<PAGE>
- --------------------------------------------------------------------------------
BRINSON RELATIONSHIP FUNDS
BRINSON GLOBAL SECURITIES FUND
BRINSON U.S. EQUITY FUND
BRINSON U.S. LARGE CAPITALIZATION VALUE EQUITY FUND
BRINSON POST-VENTURE FUND
BRINSON NON-U.S. EQUITY FUND
BRINSON EMERGING MARKETS EQUITY FUND
BRINSON U.S. SHORT/INTERMEDIATE FIXED INCOME FUND
BRINSON U.S. CASH MANAGEMENT PRIME FUND
BRINSON HIGH YIELD FUND
BRINSON EMERGING MARKETS DEBT FUND
ANNUAL REPORT
DECEMBER 31, 1998
[GRAPHIC APPEARS HERE]
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.................................... 25
Statement of Operations................................................ 26
Statement of Cash Flows................................................ 27
Statements of Changes in Net Assets.................................... 28
Financial Highlights................................................... 29
Brinson U.S. Equity Fund.................................................. 30
Schedule of Investments................................................ 33
Statement of Assets and Liabilities.................................... 37
Statement of Operations................................................ 38
Statements of Changes in Net Assets.................................... 39
Financial Highlights................................................... 40
Brinson U.S. Large Capitalization Value Equity Fund....................... 41
Schedule of Investments................................................ 44
Statement of Assets and Liabilities.................................... 47
Statement of Operations................................................ 48
Statement of Changes in Net Assets..................................... 49
Financial Highlights................................................... 50
Brinson Post-Venture Fund................................................. 51
Schedule of Investments................................................ 54
Statement of Assets and Liabilities.................................... 59
Statement of Operations................................................ 60
Statements of Changes in Net Assets.................................... 61
Financial Highlights................................................... 62
Brinson Non-U.S. Equity Fund.............................................. 63
Schedule of Investments................................................ 66
Statement of Assets and Liabilities.................................... 73
Statement of Operations................................................ 74
Statement of Changes in Net Assets..................................... 75
Financial Highlights................................................... 76
Brinson Emerging Markets Equity Fund...................................... 77
Schedule of Investments................................................ 80
Statement of Assets and Liabilities.................................... 93
Statement of Operations................................................ 94
Statements of Changes in Net Assets.................................... 95
Financial Highlights................................................... 96
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Page
<S> <C>
Brinson U.S. Short/Intermediate Fixed Income Fund......................... 97
Schedule of Investments................................................ 98
Statement of Assets and Liabilities.................................... 100
Statement of Operations................................................ 101
Statement of Changes in Net Assets..................................... 102
Financial Highlights................................................... 103
Brinson U.S. Cash Management Prime Fund
Schedule of Investments................................................ 104
Statement of Assets and Liabilities.................................... 105
Statement of Operations................................................ 106
Statement of Changes in Net Assets..................................... 107
Financial Highlights................................................... 108
Brinson High Yield Fund................................................... 109
Schedule of Investments................................................ 112
Statement of Assets and Liabilities.................................... 117
Statement of Operations................................................ 118
Statements of Changes in Net Assets.................................... 119
Financial Highlights................................................... 120
Brinson Emerging Markets Debt Fund........................................ 121
Schedule of Investments................................................ 124
Statement of Assets and Liabilities.................................... 128
Statement of Operations................................................ 129
Statements of Changes in Net Assets.................................... 130
Financial Highlights................................................... 131
Brinson Relationship Funds--Notes to Financial Statements................. 132
Report of Independent Auditors............................................ 138
</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. The 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
the 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 our offices worldwide.
Since its performance inception on April 30, 1995, the Brinson Global
Securities Fund has provided an annualized return of 14.60%, compared to the
15.87% return of its benchmark, the GSMI Relationship Fund Index. The Fund
performance over this period was achieved with an annualized volatility of
7.75%, well below the benchmark volatility of 9.92%. The Fund's 1998 return of
9.59% fell short of the benchmark return of 16.45%. Security selection in the
U.S. equity and bond markets had a negative impact on added value, while
security selection in Japanese equities contributed positively. The underweight
in developed equity markets and the corresponding bond overweight detracted
substantially, as riskier assets, with the exception of the emerging markets
tended to perform better during the year.
The bond and equity markets of European nations participating in the new single
currency performed well. Yields on the previously high yielding peripheral bond
markets fell to historically low levels toward the end of the year. The worst-
performing equity markets were generally found in Asia, with emerging markets
leading the bond market underperformers. The effects of the crisis in emerging
markets spilled over into the developed equity and credit markets in September,
although equities had rebounded by year-end. Japan's bond market suffered
severely toward year-end, joining its equity market which continued to be
adversely affected by the country's economic woes and a strengthening yen.
Because of the renewed yen overvaluation, the Fund remains underweight.
Sterling is likewise held at a below-benchmark allocation. Overweight
currencies include the Canadian dollar and the Australian dollar. Asset class
allocations remain heavily biased toward bonds and underweight developed
equities. Valuations and risk considerations do not support normal equity
allocations.
1
<PAGE>
BRINSON GLOBAL SECURITIES FUND
- --------------------------------------------------------------------------------
Total Return
<TABLE>
<CAPTION>
Annualized
6 Months 1 Year 3 Years 4/30/95*
Ended Ended Ended to
12/31/98 12/31/98 12/31/98 12/31/98
- --------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Brinson Global Securities Fund 2.81% 9.59% 12.08% 14.60%
- --------------------------------------------------------------------------
GSMI Relationship Fund Index** 5.71 16.45 14.42 15.87
- --------------------------------------------------------------------------
MSCI World Equity (Free) Index 6.72 24.62 18.06 18.09
- --------------------------------------------------------------------------
Salomon World Government Bond Index 12.17 15.29 6.20 6.55
- --------------------------------------------------------------------------
</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 World ex U.S.A. (Free) Index; 21% Salomon
Smith Barney BIG Bond Index; 9% Salomon Non-U.S. Government Bond Index
(unhedged); 2% JP Morgan EMBI+; 3% IFC Investable Index; and 3% Merrill
Lynch High Yield Master Index.
All returns over 1 year are average annualized returns.
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, MSCI World Equity (Free) Index, Salomon World Government Bond
Index and the GSMI Relationship Fund 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. GSMI Relationship Fund Index,
MSCI World Equity (Free) Index, and the Salomon
World Government Bond Index
[LINE GRAPH OF BRINSON GLOBAL SECURITIES FUNDS APPEARS HERE]
<TABLE>
<CAPTION>
Brinson Global Global Securities Relationship MSCI World Equity Salomon World Government
Securities Fund Fund Index (Free) Index Bond Index
--------------- ---------- ------------ ----------
<S> <C> <C> <C> <C>
4/30/95 100,000 100,000 100,000 100,000
5/31/95 103,327 102,509 100,902 102,820
6/30/95 104,439 104,072 100,869 103,427
7/31/95 106,942 107,314 105,919 103,675
8/31/95 108,458 106,938 103,555 100,108
9/30/95 110,483 109,800 106,614 102,341
10/31/95 111,333 109,109 104,958 103,098
11/30/95 114,689 112,375 108,616 104,263
12/31/95 117,181 114,450 111,804 105,358
1/31/96 119,499 116,097 113,894 104,062
2/29/96 119,014 116,839 114,587 103,531
3/31/96 120,123 117,776 116,489 103,386
4/30/96 121,860 119,668 119,226 102,973
5/31/96 122,513 120,972 119,321 102,993
6/30/96 123,345 120,956 119,957 103,807
7/31/96 121,479 117,445 115,718 105,800
8/31/96 123,345 119,475 117,086 106,213
9/30/96 127,331 123,619 121,677 106,648
10/31/96 129,524 124,854 122,515 108,643
11/30/96 134,752 130,105 129,422 110,077
12/31/96 134,788 128,946 127,365 109,185
1/31/97 136,535 130,834 128,926 106,270
2/28/97 137,807 131,449 130,395 105,473
3/31/97 135,713 128,559 127,786 104,671
4/30/97 137,315 131,162 131,978 103,750
5/31/97 143,170 137,793 140,144 106,572
6/30/97 147,309 142,726 147,116 107,840
7/31/97 152,244 148,405 153,906 106,999
8/31/97 148,346 142,965 143,490 106,935
9/30/97 153,248 149,159 151,291 109,213
10/31/97 148,553 144,349 143,350 111,484
11/30/97 148,774 145,637 145,857 109,779
12/31/97 150,556 147,387 147,639 109,449
1/31/98 152,365 149,372 151,781 110,511
2/28/98 158,346 156,602 162,047 111,406
3/31/98 162,163 161,041 168,867 110,303
4/30/98 162,402 162,625 170,519 112,068
5/31/98 161,570 160,331 168,450 112,326
6/30/98 160,484 162,367 172,389 112,494
7/31/98 160,247 161,519 172,129 112,640
8/31/98 147,689 145,178 149,186 115,704
9/30/98 152,719 150,195 151,841 121,860
10/31/98 158,546 159,158 165,589 125,467
11/30/98 162,850 165,664 175,451 123,698
12/31/98 164,989 171,636 183,980 126,184
</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
As of December 31, 1998
<TABLE>
<CAPTION>
Percent of
Net Assets
- --------------------------------------------------------------------------------
<S> <C>
1. Xerox Corp.................................................. 1.81%
2. FDX Corp.................................................... 1.27
3. Burlington Northern
Santa Fe Corp.................................................. 1.25
4. Lockheed Martin
Corp........................................................... 1.14
5. Philip Morris
Companies, Inc................................................. 1.04
6. Baxter International,
Inc............................................................ 0.78
7. Kimberly-Clark
Corp........................................................... 0.76
8. Aetna, Inc.................................................. 0.72
9. Entergy Corp................................................ 0.70
10. CIGNA Corp.................................................. 0.70
- --------------------------------------------------------------------------------
</TABLE>
TOP TEN NON-U.S. EQUITY HOLDINGS
As of December 31, 1998
<TABLE>
<CAPTION>
Percent of
Net Assets
- --------------------------------------------------------------------------------
<S> <C>
1. Novartis AG (Reg.).......................................... 0.46%
2. Telecom Corp. of New Zealand Ltd. .......................... 0.40
3. Royal Dutch Petroleum Co. .................................. 0.36
4. Nestle S.A. (Reg.).......................................... 0.34
5. Bayer AG.................................................... 0.34
6. Lloyds TSB Group PLC........................................ 0.33
7. Nokia Oyj-A Shares.......................................... 0.33
8. Allianz AG Holding.......................................... 0.32
9. Glaxo Wellcome PLC.......................................... 0.30
10. ING Groep NV................................................ 0.29
- --------------------------------------------------------------------------------
</TABLE>
TOP TEN U.S. BOND HOLDINGS
As of December 31, 1998
<TABLE>
<CAPTION>
Percent of
Net Assets
- --------------------------------------------------------------------------------
<S> <C>
1. U.S. Treasury Inflation Index Notes
3.625%, due 01/15/08............................................. 7.10%
2. U.S. Treasury Notes and Bonds
8.000%, due 11/15/21............................................. 2.06
3. Enron Corp
5.734%, due 03/30/00............................................. 0.59
4. U.S. Treasury Notes and Bonds
5.500%, due 02/29/00............................................. 0.57
5. Federal National Mortgage Association
Series 91-64, Class A
6.00%, due 11/01/28.............................................. 0.49
6. Federal National Mortgage Association
Series 91-64
7.500%, due 08/01/09............................................. 0.40
7. Prudential Home Mortgage Securities
Series 94-3, Class A10
6.500%, due 02/25/24............................................. 0.37
8. Tennessee Valley Authority
6.375%, due 06/15/05............................................. 0.32
9. Federal National Mortgage Association
Series 91-64
6.820%, due 10/01/07............................................. 0.30
10. World Omni-Automobile Lease
Securitization Trust, 97-A, class A3,
6.850%, due 06/25/03............................................. 0.30
- --------------------------------------------------------------------------------
</TABLE>
TOP TEN NON-U.S. BOND HOLDINGS
As of December 31, 1998
<TABLE>
<CAPTION>
Percent of
Net Assets
- --------------------------------------------------------------------------------
<S> <C>
1. Treuhandanstalt
6.250%, due 03/04/04........................................... 1.00%
2. UK Treasury
9.000%, due 10/13/08........................................... 0.83
3. Republic of Italy
8.500%, due 08/01/04........................................... 0.79
4. Kingdom of Denmark
8.000%, due 05/15/03........................................... 0.79
5. Government of Sweden
6.000%, due 02/09/05........................................... 0.77
6. Government of Spain
5.250%, due 01/31/03........................................... 0.72
7. Government of France
4.500%, due 07/12/02........................................... 0.71
8. Government of France
8.500%, due 12/26/12........................................... 0.66
9. Government of Australia
10.000%, due 02/15/06.......................................... 0.61
10. Kingdom of Denmark
7.000%, due 12/15/04........................................... 0.57
- --------------------------------------------------------------------------------
</TABLE>
3
<PAGE>
BRINSON GLOBAL SECURITIES FUND
- -------------------------------------------------------------------------------
Industry Diversification
As a Percent of Net Assets
As of December 31, 1998
<TABLE>
<S> <C>
U.S. EQUITIES
Basic Industries
Chemicals.............................................................. 0.77%
Housing/Paper.......................................................... 2.97
Metals................................................................. 0.37
------
4.11
Capital Investment
Capital Goods.......................................................... 3.10
Technology............................................................. 4.62
------
7.72
Consumer
Autos/Durables......................................................... 0.81
Health: Drugs.......................................................... 1.33
Health: Non-Drugs...................................................... 1.45
Non-Durables........................................................... 1.92
Retail/Apparel......................................................... 1.33
------
6.84
Energy.................................................................. 0.80
Financial
Banks.................................................................. 2.26
Non-Banks.............................................................. 2.26
------
4.52
Services/Misc........................................................... 2.83
Transportation.......................................................... 1.75
Utilities
Electric............................................................... 1.23
Post-Venture............................................................ 1.71
------
Total U.S. Equities................................................... 31.51*
------
NON-U.S. EQUITIES
Airlines................................................................ 0.03
Appliances & Household.................................................. 0.20
Automobiles............................................................. 0.42
Banking................................................................. 2.13
Beverages & Tobacco..................................................... 0.69
Broadcasting & Publishing............................................... 0.60
Building Materials...................................................... 0.25
Business & Public Service............................................... 0.82
Chemicals............................................................... 0.73
Construction............................................................ 0.05
Data Processing......................................................... 0.07
Electric Components..................................................... 0.16
Electronics............................................................. 1.15
Energy.................................................................. 1.58
Financial Services...................................................... 0.44
Food & House Products................................................... 0.66
Forest Products......................................................... 0.27
Health: Non-Drugs....................................................... 1.73
Industrial Components................................................... 0.21
Insurance............................................................... 1.71
Leisure & Tourism....................................................... 0.05
Machinery & Engineering................................................. 0.03
Merchandising........................................................... 0.85
Metals: Steel........................................................... 0.18
Multi-Industry.......................................................... 0.41
</TABLE>
<TABLE>
<S> <C>
Non-Ferrous Metals...................................................... 0.19%
Real Estate............................................................. 0.05
Recreation.............................................................. 0.06
Telecommunications...................................................... 1.72
Textiles & Apparel...................................................... 0.02
Transportation.......................................................... 0.04
Utilities............................................................... 0.68
Wholesale & International Trade......................................... 0.01
------
Total Non-U.S. Equities............................................... 18.19
------
EMERGING MARKETS EQUITIES............................................... 2.71
------
U.S. BONDS
U.S. Corporate Bonds
Airlines............................................................... 0.21
Asset-Backed........................................................... 2.81
Banks.................................................................. 0.06
Broadcasting........................................................... 0.27
CMO.................................................................... 1.55
Energy................................................................. 0.32
Financial.............................................................. 1.07
Technology............................................................. 0.69
Telecommunications..................................................... 0.21
Utilities.............................................................. 0.01
------
Total U.S. Corporate Bonds............................................ 7.20
------
International Dollar Bonds
Foreign Banks.......................................................... 0.89
Foreign Energy......................................................... 0.54
Foreign Financial...................................................... 0.37
Foreign Government..................................................... 0.09
Foreign Telecommunications............................................. 0.07
Foreign Utilities...................................................... 0.02
------
Total International Dollar Bonds...................................... 1.98
------
U.S. Government Agencies................................................ 4.02
U.S. Government Obligations............................................. 10.14
------
Total U.S. Bonds...................................................... 23.34*
------
HIGH YIELD BONDS........................................................ 2.69
------
NON-U.S. BONDS
Foreign Financial Bonds................................................. 0.52
Foreign Government Bonds................................................ 14.32
------
Total Non-U.S. Bonds.................................................. 14.84
------
EMERGING MARKETS BONDS.................................................. 4.87
------
SHORT-TERM INVESTMENTS.................................................. 21.57*
------
TOTAL INVESTMENTS..................................................... 119.72
LIABILITIES, LESS CASH AND OTHER ASSETS................................. (19.72)
------
NET ASSETS............................................................ 100.00%
======
</TABLE>
* The Fund held a short position in stock index futures which reduced the U.S.
Equity exposure from 31.51% to 22.75%. The Fund also held a long position in
U.S. Treasury futures which increased the U.S. Bond exposure from 23.34% to
31.47%. These adjustments resulted in a net increase to the Funds exposure
to Short-Term Investments from 21.57% to 22.20%.
4
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1998
<TABLE>
<CAPTION>
Shares Value
--------------- --------------
<S> <C> <C>
Equities - 52.41%
U.S. Equities - 31.51%
Advanced Micro Devices, Inc. (b).............. 238,000 $ 6,887,125
Aetna, Inc.................................... 153,400 12,061,075
Allergan, Inc. ............................... 59,300 3,839,675
Alza Corp. (b)................................ 125,100 6,536,475
American Standard Companies, Inc. (b)......... 126,800 4,556,875
Aon Corp...................................... 211,100 11,689,662
Automatic Data Processing, Inc. .............. 96,600 7,746,112
BankBoston Corp............................... 68,100 2,651,644
Baxter International, Inc. ................... 204,400 13,145,475
Beckman Coulter Inc. ......................... 54,200 2,940,350
Bestfoods..................................... 52,000 2,769,000
Biogen, Inc. (b).............................. 28,200 2,340,600
Birmingham Steel Corp......................... 32,000 134,000
Brinson Post-Venture Fund (b)................. 1,520,343 28,787,545
Burlington Northern Santa Fe Corp. ........... 626,300 21,137,625
Champion Enterprises, Inc. (b)................ 41,700 1,141,537
Champion International Corp................... 62,400 2,527,200
Chase Manhattan Corp.......................... 108,400 7,377,975
CIGNA Corp.................................... 151,900 11,743,769
Circuit City Stores-Circuit City Group........ 169,500 8,464,406
CMS Energy Corp............................... 161,500 7,822,656
Comerica, Inc................................. 51,600 3,518,475
CommScope, Inc. (b)........................... 88,199 1,482,846
Comverse Technology, Inc. (b)................. 57,180 4,059,780
Consolidated Stores Corp. (b)................. 165,000 3,330,938
Corning, Inc.................................. 245,300 11,038,500
Covance, Inc. (b)............................. 63,050 1,836,331
Crown Cork & Seal Co., Inc. .................. 59,500 1,833,344
Cummins Engine Co., Inc....................... 15,800 560,900
Dial Corp. ................................... 64,700 1,868,212
Eastman Chemical Co. ......................... 68,900 3,083,275
Electronic Data Systems Corp. ................ 223,200 11,215,800
EMC Corp. (b)................................. 73,900 6,281,500
Entergy Corp. ................................ 377,900 11,762,138
FDX Corp. (b)................................. 239,800 21,342,200
First American Corp. of Tennessee............. 32,700 1,451,062
First Data Corp............................... 302,470 9,584,518
First Security Corp. ......................... 62,050 1,450,419
Fleet Financial Group, Inc. .................. 160,400 7,167,875
Fleetwood Enterprises, Inc. .................. 30,600 1,063,350
Food Lion Inc., Class A....................... 284,800 3,026,000
Fort James Corp. ............................. 215,000 8,600,000
General Instrument Corp. (b).................. 285,300 9,682,369
General Semiconductor, Inc. (b)............... 44,175 361,683
</TABLE>
5
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1998
<TABLE>
<CAPTION>
Shares Value
--------------- --------------
<S> <C> <C>
U.S. Equities - (continued)
Genzyme Corp. (b)............................. 50,500 $ 2,512,375
Genzyme-Molecular Oncology (b)................ 3,400 11,049
Geon Co. ..................................... 34,500 793,500
Goodyear Tire & Rubber Co. ................... 154,900 7,812,769
Great Lakes Chemical Corp. ................... 40,000 1,600,000
GreenPoint Financial Corp. ................... 71,600 2,514,950
Harnischfeger Industries, Inc. ............... 85,700 873,069
HCR Manor Care, Inc. (b)...................... 65,000 1,909,375
Hibernia Corp., Class A....................... 69,400 1,205,825
Household International, Inc. ................ 126,500 5,012,562
IMC Global Inc. .............................. 194,700 4,161,712
Johnson Controls, Inc. ....................... 59,100 3,486,900
Kimberly-Clark Corp. ......................... 234,400 12,774,800
Lafarge Corp. ................................ 58,000 2,349,000
Lear Corp. (b)................................ 150,000 5,775,000
Lockheed Martin Corp. ........................ 226,140 19,165,365
Lyondell Petrochemical Co. ................... 179,900 3,238,200
Martin Marietta Materials, Inc. .............. 36,663 2,279,980
Masco Corp. .................................. 291,700 8,386,375
Nabisco Holdings Corp., Class A............... 127,500 5,291,250
National Service Industries, Inc. ............ 42,100 1,599,800
Nextel Communications, Inc., Class A (b)...... 174,900 4,132,013
Norfolk Southern Corp. ....................... 264,800 8,390,850
Peco Energy Co. .............................. 215,500 8,970,188
Pentair, Inc. ................................ 66,100 2,631,606
Philip Morris Companies, Inc. ................ 327,400 17,515,900
Praxair, Inc. ................................ 115,900 4,085,475
Raytheon Co., Class B......................... 212,600 11,320,950
Regions Financial Corp. ...................... 32,100 1,294,031
Schering Plough Corp. ........................ 117,000 6,464,250
Sears, Roebuck and Co. ....................... 179,700 7,637,250
Southdown, Inc. .............................. 71,960 4,259,132
St. Jude Medical, Inc. (b).................... 117,700 3,258,819
Timken Co. ................................... 22,100 417,137
TRW, Inc. .................................... 33,900 1,904,756
Tyson Foods, Inc., Class A.................... 232,800 4,947,000
Ultramar Diamond Shamrock Corp. .............. 128,890 3,125,582
Unocal Corp. ................................. 85,400 2,492,612
US Bancorp.................................... 160,552 5,699,596
USG Corp. .................................... 28,900 1,472,094
Vencor, Inc. (b).............................. 124,200 558,900
Ventas, Inc. ................................. 130,100 1,585,594
Viad Corp. ................................... 123,100 3,739,163
Wells Fargo Co. .............................. 158,100 6,314,119
Witco Corp. .................................. 13,900 221,531
</TABLE>
6
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1998
<TABLE>
<CAPTION>
Shares Value
--------------- --------------
<S> <C> <C>
U.S. Equities - (continued)
Xerox Corp.................................... 258,400 $ 30,491,200
YORK International Corp. ..................... 76,400 3,118,075
--------------
Total U.S. Equities........................... 530,703,975
--------------
Non-U.S. Equities - 18.19%
Australia - 0.96%
Amcor Ltd. ................................... 69,480 297,182
Brambles Industries Ltd. ..................... 48,130 1,173,535
Broken Hill Proprietary Co., Ltd. ............ 191,719 1,413,438
CSR Ltd. ..................................... 220,730 540,228
David Jones Ltd. ............................. 349,870 386,298
Lend Lease Corp., Ltd. ....................... 60,340 814,275
National Australia Bank Ltd. ................. 147,140 2,220,286
News Corp. Ltd. .............................. 209,900 1,387,952
News Corp. Ltd., Preferred.................... 86,274 525,500
Orica Ltd. ................................... 59,050 307,518
Pacific Dunlop Ltd. .......................... 211,935 343,202
Qantas Airways Ltd. .......................... 268,017 547,457
QBE Insurance Group Ltd....................... 142,263 589,032
Rio Tinto Ltd. ............................... 44,709 530,800
Santos Ltd. .................................. 168,880 453,728
Telstra Corp., Ltd. (b)....................... 488,600 2,286,763
Westpac Banking Corp., Ltd. .................. 255,760 1,713,162
WMC Ltd. ..................................... 144,375 435,713
Woolworth's Ltd. ............................. 78,440 267,327
--------------
16,233,396
--------------
Belgium - 0.58%
Delhaize-Le Lion S.A.......................... 1,260 111,499
Electrabel S.A................................ 8,280 3,639,423
Fortis AG..................................... 741 43
Fortis AG Strip............................... 12,231 4,432,580
KBC Bancassurance Holding..................... 19,650 1,555,810
KBC Bancassurance Holding Strip (b)........... 680 40
--------------
9,739,395
--------------
Canada - 0.43%
Agrium, Inc. ................................. 28,760 252,773
Alcan Aluminum Ltd. .......................... 18,630 503,350
Bank of Montreal.............................. 11,635 467,369
Canadian National Railway Co. ................ 11,540 599,163
Canadian Pacific Ltd. ........................ 34,748 649,263
Extendicare, Inc., Class A (b)................ 26,440 149,758
Hudson's Bay Co. ............................. 24,590 309,776
Imasco, Ltd. ................................. 18,810 400,447
Imperial Oil Ltd. ............................ 33,415 534,074
</TABLE>
7
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1998
<TABLE>
<CAPTION>
Shares Value
--------------- --------------
<S> <C> <C>
Canada - (continued)
Magna International, Inc., Class A............ 4,640 $ 288,188
Newbridge Networks Corp. (b).................. 11,440 347,073
NOVA Corp. ................................... 18,993 247,305
Potash Corporation of Saskatchewan, Inc....... 4,540 291,139
Royal Bank of Canada.......................... 13,475 671,557
Seagram Co., Ltd. ............................ 6,615 250,862
Shaw Communications, Inc., Class B............ 25,520 616,401
TransCanada Pipelines Ltd. ................... 31,295 457,404
Westcoast Energy, Inc. ....................... 10,350 205,518
--------------
7,241,420
--------------
Denmark - 0.11%
Den Danske Bank Group......................... 1,170 157,177
Tele Danmark A/S.............................. 12,910 1,742,429
--------------
1,899,606
--------------
Finland - 0.51%
Merita Ltd., Class A.......................... 217,370 1,382,335
Nokia Oyj-A Shares............................ 45,220 5,537,070
UPM-Kymmene Corp.............................. 62,430 1,750,812
--------------
8,670,217
--------------
France - 1.99%
Air Liquide................................... 11,366 2,085,477
Alcatel Alsthom............................... 16,492 2,019,356
Axa........................................... 15,014 2,177,033
Axa Certificate de Valeur Garante (b)......... 300 142
Banque Nationale de Paris..................... 19,986 1,646,478
Cie de Saint Gobain........................... 7,872 1,111,848
Dexia France.................................. 7,771 1,197,743
Elf Aquitaine S.A. ........................... 11,008 1,272,988
France Telecom S.A. .......................... 21,600 1,716,802
Groupe Danone................................. 4,390 1,257,384
Lagardere S.C.A............................... 49,710 2,113,445
Michelin, Class B............................. 20,848 834,114
Paribas....................................... 11,019 958,062
Pinault-Printemps-Redoute S.A................. 5,380 1,028,578
Rhone-Poulenc, Class A........................ 31,298 1,611,347
SEITA......................................... 41,920 2,626,472
Societe Generale.............................. 8,419 1,363,932
Suez Lyonnaise des Eaux S.A. ................. 11,638 2,391,684
Thomson CSF................................... 36,730 1,578,032
Total S.A., Class B........................... 15,581 1,578,684
Vivendi....................................... 11,210 2,909,760
--------------
33,479,361
--------------
</TABLE>
8
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1998
<TABLE>
<CAPTION>
Shares Value
--------------- --------------
<S> <C> <C>
Germany - 2.21%
Allianz AG (b)................................ 255 $ 94,921
Allianz AG Holding............................ 14,051 5,230,319
Bayer AG...................................... 134,680 5,656,140
DaimlerChrysler AG (b)........................ 39,997 3,974,246
Deutsche Bank AG.............................. 26,440 1,560,112
Deutsche Telekom AG........................... 75,290 2,474,860
Dresdner Bank AG.............................. 35,080 1,470,091
Hoechst AG.................................... 41,060 1,698,507
Mannesmann AG................................. 30,190 3,493,709
SAP AG........................................ 2,930 1,266,571
Siemens AG.................................... 64,070 4,212,095
Veba AG....................................... 75,730 4,487,603
Volkswagen AG................................. 19,090 1,544,988
--------------
37,164,162
--------------
Italy - 0.85%
Assicurazioni Generali........................ 71,826 3,005,560
Danieli & Co. Savings (Risp).................. 51,800 206,705
ENI Spa ADR................................... 13,730 930,208
ENI Spa....................................... 481,000 3,150,384
La Rinascente Spa............................. 184,760 1,904,249
Montedison Spa................................ 1,137,856 1,514,665
San Paolo-Imi Spa (b)......................... 88,085 1,559,838
Telecom Italia Mobile Spa..................... 266,100 1,968,790
--------------
14,240,399
--------------
Japan - 1.36%
Acom Co., Ltd................................. 2,500 160,904
Amada Co., Ltd. .............................. 50,000 242,465
Bridgestone Corp.............................. 8,000 181,915
Canon, Inc. .................................. 40,000 856,383
Citizen Watch Co., Ltd. ...................... 46,000 277,305
Dai Nippon Printing Co., Ltd. ................ 45,000 718,883
Daiichi Pharmaceutical Co., Ltd. ............. 41,000 693,874
Daikin Industries Ltd......................... 51,000 506,383
Daiwa House Industry Co., Ltd. ............... 25,000 266,622
Fanuc......................................... 19,500 669,016
Fuji Photo Film............................... 6,000 223,404
Fujitsu....................................... 30,000 400,266
Honda Motor Co. .............................. 20,000 657,801
Hoya Corp. ................................... 10,000 487,589
Ito Yokado Co., Ltd. ......................... 19,000 1,330,674
Kaneka Corp. ................................. 49,000 367,934
Kao Corp. .................................... 13,000 293,883
Kirin Brewery Co., Ltd. ...................... 53,000 676,596
Kokuyo........................................ 16,000 215,745
Kuraray Co., Ltd. ............................ 60,000 663,298
</TABLE>
9
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1998
<TABLE>
<CAPTION>
Shares Value
--------------- --------------
<S> <C> <C>
Japan - (continued)
Marui Co., Ltd................................ 26,000 $ 501,330
Matsushita Electric Industrial Co............. 59,000 1,045,576
NGK Insulators................................ 80,000 1,033,333
Nintendo Corp., Ltd. ......................... 4,400 427,128
Nippon Denso Co., Ltd. ....................... 41,000 759,663
Nippon Meat Packers, Inc. .................... 31,000 500,177
Omron Corp.................................... 14,000 192,128
Sankyo Co., Ltd............................... 36,000 788,298
Secom Co., Ltd. .............................. 10,000 829,787
Sega Enterprises Ltd. ........................ 6,000 133,245
Sekisui House Ltd. ........................... 45,000 476,729
Shin-Etsu Chemical Co., Ltd. ................. 4,000 96,454
Sony Corp. ................................... 10,400 758,794
Sumitomo Chemical Co. ........................ 57,000 222,340
Sumitomo Electric Industries.................. 40,000 450,709
Takeda Chemical Industries.................... 30,000 1,156,915
TDK Corp. .................................... 8,000 732,624
Tokio Marine & Fire Insurance Co. ............ 44,000 526,596
Toray Industries, Inc......................... 125,000 653,812
Toshiba Corp. ................................ 116,000 692,092
Toyota Motor Corp. ........................... 35,000 952,571
Yamato Transport Co., Ltd..................... 7,000 98,050
--------------
22,919,291
--------------
Malaysia - 0.00%
Malayan Banking Bhd........................... 12,400 17,584
Nestle (Malaysia) Bhd......................... 9,000 25,193
--------------
42,777
--------------
Netherlands - 1.41%
ABN AMRO Holdings NV.......................... 68,506 1,441,886
Elsevier NV................................... 135,630 1,900,713
Heineken NV................................... 46,485 2,798,958
ING Groep NV.................................. 80,386 4,904,458
Koninklijke KPN NV............................ 86,259 4,320,534
Royal Dutch Petroleum Co...................... 122,010 6,078,721
Unilever NV................................... 27,230 2,328,777
--------------
23,774,047
--------------
New Zealand - 0.68%
Auckland International Airport Ltd. (b)....... 342,650 479,709
Brierley Investments Ltd...................... 2,009,430 456,481
Carter Holt Harvey Ltd. ...................... 1,184,760 1,064,047
Fletcher Challenge Building................... 287,415 444,896
Fletcher Challenge Energy..................... 404,085 768,523
Fletcher Challenge Paper...................... 727,070 487,822
Lion Nathan Ltd. ............................. 398,680 1,017,309
</TABLE>
10
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1998
<TABLE>
<CAPTION>
Shares Value
--------------- --------------
<S> <C> <C>
New Zealand - (continued)
Telecom Corp. of New Zealand Ltd. ........... 1,437,990 $ 6,267,456
Telecom Corp. of New Zealand Ltd. ADR........ 11,850 422,897
--------------
11,409,140
--------------
Norway - 0.06%
Norsk Hydro ASA.............................. 14,210 479,324
Norske Skogindustrier ASA.................... 19,650 572,555
--------------
1,051,879
--------------
Singapore - 0.23%
Singapore Press Holdings, Ltd. .............. 215,472 2,337,545
United Overseas Bank Ltd. (Foreign).......... 240,640 1,545,930
--------------
3,883,475
--------------
Spain - 0.34%
Banco Popular Espanol S.A.................... 22,723 1,715,904
Endesa S.A................................... 107,748 2,859,175
Telefonica S.A. ............................. 26,384 1,174,934
Telefonica S.A., Rights (expiring 1/30/99)
(b)......................................... 528 469
--------------
5,750,482
--------------
Sweden - 0.76%
Astra AB, A Shares........................... 91,470 1,867,587
Electrolux AB, B Shares...................... 123,160 2,119,571
Investor AB.................................. 31,620 1,427,733
Nordbanken Holding AB........................ 162,730 1,043,939
Skandia Forsakrings AB....................... 147,100 2,250,290
Svenska Handelsbanken, A Shares.............. 13,790 581,828
Swedish Match AB............................. 429,960 1,564,783
Telefonaktiebolaget LM Ericsson, B Shares.... 82,840 1,972,430
--------------
12,828,161
--------------
Switzerland - 1.44%
CS Holdings AG (Reg.)........................ 1,197 187,372
Julius Baer Holding AG....................... 293 973,822
Nestle S.A. (Reg.)........................... 2,655 5,779,723
Novartis AG (Reg.)........................... 3,909 7,684,237
Roche Holding AG (Gen.)...................... 361 4,405,067
Swiss Reinsurance Co. (Reg.)................. 934 2,435,132
Swisscom AG (Reg.) (b)....................... 6,581 2,755,060
--------------
24,220,413
--------------
United Kingdom - 4.27%
Allied Zurich AG (b)......................... 142,040 2,118,677
Barclays PLC................................. 106,450 2,295,380
Billiton PLC................................. 89,770 178,112
BOC Group PLC................................ 125,150 1,789,701
Booker PLC................................... 193,960 201,695
</TABLE>
11
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1998
<TABLE>
<CAPTION>
Shares Value
--------------- --------------
<S> <C> <C>
United Kingdom - (continued)
Boots Company PLC................................ 122,770 $ 2,090,663
British American Tobacco PLC..................... 107,250 943,075
British Petroleum Co. PLC........................ 276,760 4,132,774
British Steel PLC................................ 1,068,050 1,581,559
Cable & Wireless PLC............................. 75,000 922,167
Charter PLC...................................... 201,261 1,105,039
Coats Viyella PLC................................ 678,130 304,636
Diageo PLC....................................... 152,368 1,734,018
Fairview Holdings PLC (b)........................ 98,788 146,284
FKI PLC.......................................... 771,347 1,719,723
Garban PLC (b)................................... 10,211 38,905
General Electric Co. PLC......................... 304,840 2,751,538
Glaxo Wellcome PLC............................... 145,440 5,004,241
Greenalls Group PLC.............................. 144,380 769,908
Hanson PLC....................................... 264,242 2,098,223
Hillsdown Holdings PLC........................... 233,675 291,593
House of Fraser PLC.............................. 340,920 300,630
Lloyds TSB Group PLC............................. 394,310 5,609,288
Marks & Spencer PLC.............................. 445,740 3,057,357
Mirror Group PLC................................. 428,510 1,071,222
National Westminster Bank PLC.................... 91,870 1,771,581
Nycomed Amersham PLC............................. 176,740 1,217,416
Peninsular & Oriental Steam Navigation Co........ 82,967 980,784
Prudential Corp. PLC............................. 267,460 4,038,400
Reed International PLC........................... 169,990 1,329,306
Rio Tinto Ltd. .................................. 134,310 1,562,030
RJB Mining PLC................................... 286,110 371,306
Royal & Sun Alliance Insurance Group PLC......... 112,409 917,836
Sainsbury (J.) PLC............................... 82,700 662,874
Scottish Hydro-Electric PLC...................... 257,420 2,899,578
Sedgwick Group PLC............................... 249,740 926,610
SmithKline Beecham PLC........................... 223,390 3,122,100
Smurfit (Jefferson) Group PLC.................... 207,264 372,436
Tate & Lyle PLC.................................. 86,720 477,585
Terranova Foods PLC (b).......................... 98,788 180,800
Tesco PLC........................................ 807,810 2,301,673
Thames Water PLC................................. 99,410 1,902,093
Thames Water PLC, Class B (b)....................... 84,530 106,185
United News & Media PLC.......................... 107,510 942,678
Vodafone Group PLC............................... 69,243 1,124,423
Williams PLC..................................... 135,536 769,540
Yorkshire Water PLC.............................. 189,920 1,737,950
--------------
71,971,592
--------------
Total Non-U.S. Equities.......................... 306,519,213
--------------
</TABLE>
12
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1998
<TABLE>
<CAPTION>
Shares Value
--------------- --------------
<S> <C> <C>
Emerging Markets Equities - 2.71%
Brinson Emerging Markets Equity Fund (b)..... 6,519,534 $ 45,645,216
--------------
Total Equities (Cost $783,237,755)........... 882,868,404
--------------
<CAPTION>
Face
Amount
---------------
<S> <C> <C>
Bonds - 45.74%
U.S. Bonds - 23.34%
U.S. Corporate Bonds - 7.20%
Aid-Israel, Series 10-Z, 0.000%, due
02/15/03.................................... $ 490,000 401,814
Aid-Israel, Series 10-Z, 0.000%, due
08/15/19.................................... 1,105,000 337,300
Asset Securitization Corp., 96-D3, Class A1B,
7.210%,
due 10/13/26................................ 4,350,000 4,655,196
Capital One Bank,
6.830%, due 05/17/99........................ 655,000 656,953
Cendant Corp., 7.750%, due 12/01/03.......... 2,500,000 2,554,958
Chase Manhattan Auto Owner Trust 96-C, Class
A4, 6.150%, due 03/15/02.................... 1,895,000 1,920,317
Chemical Master Credit Card Trust, 95-Z,
Class A, 6.230%, due 06/15/03............... 4,290,000 4,362,158
Chesapeake & Potomac Telephone of Maryland,
8.000%, due 10/15/29........................ 20,000 25,001
Citicorp Mortgage Securities, Inc., 94-9
Class A8, 5.750%, due 06/25/09.............. 4,844,866 4,769,577
Citicorp, Series F, 6.200%, due 11/10/00..... 145,000 147,343
Citicorp, Series F, 6.375%, due 11/15/08..... 2,500,000 2,593,500
CMC Securities Corp., 97-NAM3, Class FXA5,
7.250%, due 10/25/27........................ 371,289 381,118
Computer Associates International, Inc.,
Series B, 6.250%, due 04/15/03.............. 2,295,000 2,286,297
Continental Airlines, Inc., 97-4A, 6.900%,
due 01/02/18................................ 3,355,000 3,410,089
Continental Airlines, Inc., 98-1B, 6.748%,
due 09/15/18................................ 45,000 45,053
Countrywide Funding Corp., FRN, 5.420%, due
12/01/03.................................... 3,000,000 2,895,000
Countrywide Funding Corp., 93-12, Class A5,
6.000%,
due 02/25/24................................ 280,000 278,698
Donaldson Lufkin & Jenrette FRN, 6.700%, due
06/30/00.................................... 4,765,000 4,813,713
Enron Corp., FRN, 5.734%, due 03/30/00....... 10,000,000 10,000,000
Enron Corp., 6.750%, due 08/01/09............ 2,250,000 2,320,634
Enron Corp., 6.750%, due 09/01/04............ 25,000 25,718
First Bank Corporate Card Master Trust 97-1,
Class A, 6.400%, due 02/15/03............... 745,000 765,562
Gatx Capital Corp, 6.500%, due 11/01/00...... 2,500,000 2,516,039
GMAC, 9.625%, due 12/15/01................... 90,000 100,108
Kern River Funding Corp. 144A Series B,
6.720%,
due 09/30/01................................ 275,000 280,933
Lehman Brothers, Inc., 7.250%, due 04/15/03.. 490,000 504,729
MBNA Global Capital Securities FRN, 6.019%,
due 02/01/27................................ 290,000 266,876
</TABLE>
13
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1998
<TABLE>
<CAPTION>
Face
Amount Value
--------------- --------------
<S> <C> <C>
U.S. Corporate Bonds - (continued)
Merck & Co., 5.950%, due 12/01/28............ $ 2,500,000 $ 2,508,735
National Rural Utilities Cooperative Finance
Corp., 6.550%, due 11/01/18................. 2,500,000 2,596,040
News America Holdings, 7.750%, due 12/01/45.. 1,335,000 1,417,843
Norwest Asset Securities Corp., 96-2, Class
A9, 7.000%, due 09/25/11.................... 85,000 86,807
Norwest Asset Securities Corp., 98-25, Class
A5, 6.000%, due 12/25/28.................... 1,000,000 982,760
PanAmSat Corp., 6.000%, due 01/15/03......... 50,000 49,607
Prudential Home Mortgage Securities, 94-3,
Class A10, 6.500%, due 02/25/24............. 6,240,000 6,222,965
Prudential Home Mortgage Securities, 93-43,
Class A9, 6.750%, due 10/25/23.............. 3,051,322 3,073,352
Residential Asset Securitization Trust, 97-
A11, Class A2, 7.000%, due 01/25/28......... 2,013,815 2,021,186
Residential Asset Securitization Trust, 97-
A10, Class A1, 7.250%, due 12/25/27......... 4,103,836 4,140,484
Residential Asset Securitization Trust, 97-
A10, Class A5, 7.250%, due 12/25/27......... 2,995,000 3,054,282
Safeway, Inc., 6.500%, due 11/15/08.......... 2,995,000 3,104,204
Salomon, Inc., 6.750%, due 02/15/03.......... 1,850,000 1,905,354
Salomon, Inc., 7.200%, due 02/01/04.......... 2,765,000 2,904,785
Service Corp. International, 6.000%, due
12/15/05.................................... 2,400,000 2,392,538
Structured Asset Securities Corp., 98-RF1,
Class A, 8.699%, due 02/15/28............... 1,951,549 2,094,256
Structured Asset Securities Corp., 98-
RF2,144A, 8.582%, due 07/15/27.............. 2,857,171 3,057,173
Structured Asset Securities Corp., 97-2 Class
2A1, 7.250%, due 03/28/30................... 2,342,685 2,355,265
Tele-Communications, Inc., 7.875%, due
08/01/13.................................... 885,000 1,033,319
Tele-Communications, Inc., 9.800%, due
02/01/12.................................... 1,815,000 2,422,671
The Money Store 97-B, A-8, 6.900%, due
07/15/38.................................... 3,000,000 3,086,880
Time Warner Cos., Inc., 7.570%, due
02/01/24.................................... 1,000,000 1,127,811
Time Warner Entertainment, Inc., 8.375%, due
03/15/23.................................... 1,570,000 1,920,267
TransAmerica Financial Corp., Series E,
6.125%,
due 11/01/01................................ 95,000 95,400
UCFC Home Equity Loan 97-C, Class A8, FRN,
5.825%, due 09/15/27........................ 954,084 944,915
Vendee Mortgage Trust, 98-2, Class 1G,
6.750%,
due 06/15/28................................ 4,640,000 4,776,689
Viacom, Inc., 7.750%, due 06/01/05........... 3,225,000 3,521,439
World Omni Automobile Lease Securitization
Trust, 97-A, Class A3, 6.850%, due
06/25/03.................................... 5,038,284 5,090,380
--------------
121,302,091
--------------
</TABLE>
14
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1998
<TABLE>
<CAPTION>
Face
Amount Value
--------------- --------------
<S> <C> <C>
International Dollar Bonds - 1.98%
Abbey National PLC, 6.700%, Resettable
Perpetual
Step-up Notes............................... $ 2,995,000 $ 2,933,501
Banco Santiago S.A., 7.000%, due 07/18/07.... 750,000 628,484
Banque Centrale de Tunisie, 8.250%, due
09/19/27.................................... 465,000 372,000
Banque Paribas, Sub. Notes, 6.875%, due
03/01/09.................................... 640,000 650,904
Credit Suisse-London, 144A, 7.900%,
Resettable Perpetual Step-up Notes.......... 1,145,000 1,145,000
Empresa Nacional de Electricidad S.A.,
7.875%,
due 02/01/27................................ 940,000 784,699
Empresa Nacional de Electricidad S.A.,
8.125%,
due 02/01/69................................ 4,320,000 3,542,400
European Investment Bank, 7.625%, due
12/07/07.................................... 1,500,000 2,923,481
Hydro-Quebec, 8.050%, due 07/07/24........... 110,000 133,327
International Telecom Satelite, 8.125%, due
02/28/05.................................... 980,000 1,106,009
Korea Development Bank, 7.125%, due
09/17/01.................................... 1,220,000 1,150,838
National Australia Bank, 6.400%, due
12/10/07.................................... 630,000 645,958
Pan Pacific Industry PLC, 144A, 0.000%, due
04/28/07.................................... 815,000 321,925
Petroleum Nasional Bhd, 144A, 7.750%, due
08/15/15.................................... 1,110,000 818,574
Province of Quebec:
7.500%, due 07/15/02........................ 600,000 636,156
7.500%, due 07/15/23........................ 570,000 651,795
Ras Laffan Liquified Natural Gas Co., Ltd.,
144A, 8.294%, due 03/15/14.................. 4,845,000 3,993,540
Repsol International Finance, 7.000%, due
08/01/05.................................... 160,000 172,709
Republic of South Africa, 9.625%, due
12/15/99.................................... 285,000 290,700
Royal Bank of Scotland, PLC, 7.375%,
Resettable Perpetual Step-up Notes.......... 1,370,000 1,410,293
Skandinaviaka Enskilda Banken, 144A, 6.500%,
Resettable Perpetual Step-up Notes.......... 3,170,000 3,090,617
Sociedad Quimica y Minera de Chiles SA, 144A,
7.700%, due 09/15/06........................ 400,000 352,319
Southern Investments UK, 6.800%, due
12/01/06.................................... 2,345,000 2,431,676
Tyco International Group, 144A, 5.875%, due
11/01/04.................................... 3,000,000 2,981,505
United Utilities, 6.450%, due 04/01/08....... 130,000 133,182
--------------
33,301,592
--------------
</TABLE>
15
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1998
<TABLE>
<CAPTION>
Face
Amount Value
--------------- --------------
<S> <C> <C>
U.S. Government Agencies - 4.02%
Federal Farm Credit Bank
5.750%, due 09/01/05........................ $ 1,320,000 $ 1,360,099
Federal Home Loan Mortgage Corp.
6.200%, due 08/15/07........................ 190,000 190,766
7.500%, due 08/01/09........................ 6,496,399 6,683,170
7.000%, due 10/15/13........................ 409,292 419,562
9.000%, due 09/01/20........................ 3,000,000 3,191,250
8.500%, due 07/15/21........................ 1,970,421 2,036,885
7.500%, due 01/15/23........................ 3,120,562 3,289,702
7.238%, due 05/01/26........................ 675,529 686,659
Federal National Mortgage Association
6.540%, due 09/18/02........................ 900,000 921,101
8.500%, due 06/25/06........................ 3,620,721 3,728,078
6.820%, due 10/01/07........................ 4,775,535 5,109,822
6.238%, due 04/01/08........................ 1,949,088 2,014,187
5.500%, due 01/01/09........................ 2,430,000 2,402,663
8.000%, due 03/01/11........................ 1,777,929 1,832,378
6.000%, due 01/01/14........................ 5,000,000 5,014,105
8.000%, due 05/25/21........................ 310,000 317,541
6.500%, due 12/25/23........................ 890,000 886,854
9.000%, due 04/25/25........................ 1,206,824 1,257,650
6.000%, TBA, due 12/01/28................... 4,870,000 4,807,123
6.500%, due 11/01/28........................ 8,236,800 8,293,501
7.000%, due 10/01/28........................ 1,666,367 1,698,652
Federal National Mortgage Association Strip
6.220%, due 03/13/06........................ 1,330,000 1,409,990
Government National Mortgage Association
7.500%, due 12/15/22........................ 2,456,277 2,533,161
8.000%, due 12/15/22........................ 1,393,877 1,451,895
7.500%, due 01/15/24........................ 836,975 862,733
Tennesse Valley Authority, 6.375%, due
06/15/05.................................... 5,000,000 5,309,485
--------------
67,709,012
--------------
U.S. Government Obligations - 10.14%
U.S. Treasury Notes and Bonds
5.500%, due 02/29/00........................ 9,500,000 9,589,063
7.500%, due 02/15/05........................ 1,865,000 2,134,843
7.000%, due 07/15/06........................ 110,000 125,263
8.000%, due 11/15/21........................ 25,915,000 34,718,015
U.S. Treasury Inflation Indexed Notes
3.625%, due 01/15/08........................ 120,165,000 119,573,368
3.625%, due 04/15/28........................ 4,660,000 4,603,656
--------------
170,744,208
--------------
Total U.S. Bonds............................. 393,056,903
--------------
</TABLE>
16
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1998
<TABLE>
<CAPTION>
Shares Value
--------------- --------------
<S> <C> <C>
High Yield Bonds - 2.69%
Brinson High Yield Fund (b)................... 3,445,070 $ 45,383,630
--------------
Face
Amount
---------------
Non-U.S. Bonds - 14.84%
Australia - 1.42%
Government of Australia
9.500%, due 08/15/03......................... AUD 4,480,000 3,284,058
10.000%, due 02/15/06........................ 12,980,000 10,358,936
New South Wales Treasury Corp.
7.000%, due 04/01/04......................... 3,560,000 2,382,963
Queensland Treasury-Global Notes
8.000%, due 05/14/03......................... 11,540,000 7,901,516
--------------
23,927,473
--------------
Canada - 1.41%
Government of Canada
7.500%, due 09/01/00......................... CAD 50,000 33,925
6.500%, due 06/01/04......................... 5,130,000 3,606,063
8.750%, due 12/01/05......................... 6,890,000 5,497,511
7.000%, due 12/01/06......................... 3,560,000 2,636,532
4.250%, due 12/01/21 (c)..................... 12,150,000 8,902,881
4.250%, due 12/01/26 (c)..................... 4,410,000 3,060,586
--------------
23,737,498
--------------
Denmark - 1.59%
Kingdom of Denmark
9.000%, due 11/15/00......................... DKK 1,770,000 302,856
6.000%, due 11/15/02......................... 1,100,000 185,623
8.000%, due 05/15/03......................... 72,850,000 13,278,857
7.000%, due 12/15/04......................... 52,700,000 9,546,363
8.000%, due 03/15/06......................... 14,230,000 2,758,845
7.000%, due 11/10/24......................... 3,400,000 683,793
--------------
26,756,337
--------------
France - 2.20%
Government of France (BTAN)
5.750%, due 03/12/01......................... FRF 48,200,000 9,090,888
4.500%, due 07/12/02......................... 64,000,000 11,906,472
Government of France (OAT)
9.500%, due 01/25/01......................... 960,000 193,505
7.500%, due 04/25/05......................... 960,000 208,491
5.250%, due 04/25/08......................... 12,000,000 2,373,921
8.500%, due 12/26/12......................... 42,500,000 11,113,055
6.000%, due 10/25/25......................... 10,400,000 2,214,529
--------------
37,100,861
--------------
</TABLE>
17
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1998
<TABLE>
<CAPTION>
Face
Amount Value
----------------- --------------
<S> <C> <C>
Germany - 2.23%
Bundesrepublik Deutscheland
8.500%, due 08/21/00....................... DEM 7,800,000 $ 5,072,622
8.375%, due 05/21/01....................... 280,000 187,776
4.750%, due 11/20/01....................... 6,750,000 4,216,306
6.500%, due 07/15/03....................... 7,500,000 5,074,748
6.250%, due 01/04/24....................... 5,990,000 4,367,708
Landesbank Rhein, BV
7.250%, 04/20/05........................... 2,850,000 2,018,702
Treuhandanstalt
6.250%, due 03/04/04....................... 24,810,000 16,833,442
--------------
37,771,304
--------------
Italy - 1.07%
Republic of Italy (BTP)
12.000%, due 09/01/02...................... ITL 105,000,000 81,762
5.750%, due 09/15/02....................... 2,650,000,000 1,735,964
9.000%, due 10/01/03....................... 2,200,000,000 1,640,385
8.500%, due 04/01/04....................... 343,000,000 254,586
8.500%, due 08/01/04....................... 17,590,000,000 13,298,668
6.500%, due 11/01/27....................... 1,400,000,000 1,060,862
--------------
18,072,227
--------------
Netherlands - 0.01%
DSL Finance NV
5.250%, due 04/15/04....................... NLG 305,000 197,080
--------------
Spain - 1.81%
Government of Spain
6.750%, due 04/15/00....................... ESP 39,000,000 287,541
7.900%, due 02/28/02....................... 10,000,000 80,401
5.250%, due 01/31/03....................... 1,600,000,000 12,109,903
8.000%, due 05/30/04....................... 565,000,000 4,872,030
10.000%, due 02/28/05...................... 575,000,000 5,455,568
7.350%, due 03/31/07....................... 405,000,000 3,519,494
6.150%, due 01/31/13....................... 487,000,000 4,057,657
--------------
30,382,594
--------------
Sweden - 1.08%
Government of Sweden
10.250%, due 05/05/00...................... SEK 1,400,000 187,575
13.000%, due 06/15/01...................... 12,000,000 1,806,070
5.500%, due 04/12/02....................... 2,200,000 286,797
10.250%, due 05/05/03...................... 5,900,000 915,462
5.000%, due 01/15/04....................... 14,000,000 1,820,252
</TABLE>
18
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1998
<TABLE>
<CAPTION>
Face
Amount Value
--------------- --------------
<S> <C> <C>
Sweden - (continued)
6.000%, due 02/09/05......................... SEK 95,000,000 $ 12,983,771
6.750%, due 05/05/14......................... 600,000 92,256
--------------
18,092,183
--------------
United Kingdom - 2.02%
International Reconstruction & Development
Bank,
Series N, 6.500%, due 01/07/03............... GBP 3,700,000 6,551,486
UK Treasury
7.000%, due 11/06/01......................... 2,370,000 4,169,967
8.500%, due 12/07/05......................... 340,000 701,915
8.500%, due 07/16/07......................... 88,000 187,412
7.250%, due 12/07/07......................... 88,000 176,064
9.000%, due 10/13/08......................... 6,135,000 13,922,999
8.000%, due 09/27/13......................... 3,630,000 8,310,534
8.750%, due 08/25/17......................... 23,000 58,836
--------------
34,079,213
--------------
Total Non-U.S. Bonds.......................... 250,116,770
--------------
Shares
---------------
Emerging Markets Bonds - 4.87%
Brinson Emerging Markets Debt Fund (b)........ 4,682,820 82,021,931
--------------
Total Bonds (Cost $750,287,831)............... 770,579,234
--------------
<CAPTION>
Face
Amount
---------------
<S> <C> <C>
Short-Term Investments - 21.57%
Commercial Paper - 13.00%
Case Credit Corp.
5.950%, due 02/23/99......................... $ 5,000,000 4,956,201
Crown Cork & Seal Co., Inc.
5.650%, due 02/25/99......................... 10,000,000 9,913,680
Cummins Engine Co., Inc.
6.230%, due 01/06/99......................... 2,000,000 1,998,269
Detroit Edison Co.
5.250%, due 01/04/99......................... 10,000,000 9,995,625
</TABLE>
19
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1998
<TABLE>
<CAPTION>
Face
Amount Value
--------------- --------------
<S> <C> <C>
Commercial Paper - (continued)
Excel Paralubes Funding Corp.
5.650%, due 01/04/99......................... $ 25,700,000 $ 25,687,900
Gatx Capital Corp
5.100%, due 02/09/99......................... 9,500,000 9,447,513
Marriott International, Inc.
5.700%, due 01/11/99......................... 5,000,000 4,992,084
5.700%, due 01/22/99......................... 5,000,000 4,983,229
Norfolk Southern Corp.
5.400%, due 3/15/99.......................... 5,844,000 5,780,008
Seagram Co., Ltd.
7.000%, due 01/07/99......................... 20,000,000 19,976,667
6.100%, due 01/29/99......................... 10,000,000 9,952,556
Tandy Corp.
6.100%, due 01/06/99......................... 14,000,000 13,988,139
Tenneco, Inc.
6.450%, due 01/08/99......................... 10,000,000 9,987,458
Texas Utilities Co.
6.200%, due 01/05/99......................... 10,000,000 9,993,111
5.500%, due 10/29/99......................... 10,000,000 9,957,222
Textron, Inc.
5.350%, due 01/04/99......................... 20,000,000 19,991,083
Union Carbide Corp.
6.130%, due 01/04/99......................... 10,000,000 9,994,892
Union Pacific Resources Group, Inc.
7.250%, due 01/04/99......................... 10,000,000 9,993,958
5.670%, due 01/29/99......................... 10,000,000 9,955,900
5.900%, due 03/24/99......................... 5,000,000 4,932,805
Vastar Resources, Inc.
5.100%, due 01/22/99......................... 5,500,000 5,483,638
Williams Holdings of Delaware, Inc.
5.700%, due 02/12/99......................... 5,000,000 4,966,750
5.750%, due 01/29/99......................... 2,000,000 1,991,055
--------------
218,919,743
--------------
</TABLE>
20
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1998
<TABLE>
<CAPTION>
Face
Amount Value
--------------- --------------
<S> <C> <C>
Corporate Obligations - 5.68%
Burlington Northern Santa Fe Corp.,
FRN 6.294%, due 05/13/99..................... $ 10,000,000 $ 10,000,000
Burlington Resources, Inc.,
6.875%, due 08/01/99......................... 3,000,000 3,017,991
Dayton Hudson Corp.,
7.500%, due 03/01/99......................... 2,000,000 2,005,306
Federal Express Corp.,
10.000%, due 04/15/99........................ 1,100,000 1,112,737
FMC Corp.,
8.750%, due 04/01/99......................... 7,500,000 7,550,026
GMAC,
5.875%, due 01/12/99......................... 1,000,000 999,969
James River Corp.,
6.750%, due 10/01/99......................... 4,000,000 4,030,382
Lehman Brothers Holdings, Inc.,
Series A, 6.920%, due 10/04/99............... 1,000,000 1,007,492
Series E, 6.300%, due 08/11/99............... 5,000,000 5,010,939
Lockheed Martin Corp.,
6.550%, due 05/15/99......................... 16,450,000 16,486,989
McDonnell Douglas Finance Corp.,
5.480%, due 02/08/99......................... 2,000,000 1,999,006
Occidental Petroleum Corp.,
6.750%, due 09/16/99......................... 1,010,000 1,015,597
Sonat, Inc.,
9.500%, due 08/15/99......................... 6,000,000 6,128,193
Sun Co., Inc.,
8.125%, due 11/01/99......................... 2,200,000 2,240,832
SUPERVALU, Inc.,
7.250%, due 07/15/99......................... 5,750,000 5,790,415
Ultramar Diamond Shamrock Corp.,
8.250%, due 07/01/99......................... 5,000,000 5,057,578
Union Carbide Corp.,
7.000%, due 08/01/99......................... 9,500,000 9,560,608
Union Oil Co. of California,
Series B, 7.240%, due 04/01/99............... 8,500,000 8,527,933
Williams Cos., Inc.,
7.500%, due 09/15/99......................... 4,000,000 4,045,677
--------------
95,587,670
--------------
</TABLE>
21
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1998
<TABLE>
<CAPTION>
Shares Value
--------------- ---------------
<S> <C> <C>
Investment Companies - 2.39%
Brinson Supplementary Trust U.S. Cash
Management Prime Fund..................... 40,324,665 $ 40,324,665
---------------
<CAPTION>
Face
Amount
---------------
<S> <C> <C>
U.S. Government Obligations - 0.50%
U.S. Treasury Bill, due 02/25/99........... $ 8,500,000 8,447,207
---------------
Total Short-Term Investments (Cost
$363,931,477)............................. 363,936,238
---------------
Total Investments (Cost $1,897,457,063) -
119.72% (a).............................. 2,016,726,923
Liabilities, less cash and other assets -
(19.72)%................................. (332,246,282)
---------------
Net Assets - 100%.......................... $1,684,480,641
===============
</TABLE>
See accompanying notes to schedule of investments.
22
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
- -------------------------------------------------------------------------------
December 31, 1998
NOTES TO SCHEDULE OF INVESTMENTS
(a) Aggregate cost for federal income tax purposes was $1,897,457,063; and
net unrealized appreciation consisted of:
<TABLE>
<S> <C>
Gross unrealized appreciation............. $185,622,327
Gross unrealized depreciation............. (66,352,467)
------------
Net unrealized appreciation........... $119,269,860
============
</TABLE>
(b) Non-income producing security.
(c) Linked to Canada's retail price index. Reset semi-annually
FRN: Floating rate note--The rate disclosed is that in effect at December 31,
1998.
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 buyers. At December 31, 1998, the
value of these securities amounted to $16,041,586 or 0.95% of net
assets.
Resettable Perpetual Step-up Notes: A bond with either no maturity date or a
maturity date that is so far in the future that the bond will pay
interest indefinitely. The issuer generally retains the right to call
such a bond.
FORWARD FOREIGN CURRENCY CONTRACTS
The Brinson Global Securities Fund had the following open forward foreign
currency contracts as of December 31, 1998:
<TABLE>
<CAPTION>
Settlement Local Current Unrealized
Date Currency Value Gain/(Loss)
---------- ------------- ------------ ------------
<S> <C> <C> <C> <C>
Forward Foreign Currency
Buy Contracts:
Australian Dollar...... 2/5/99 115,300,000 $ 70,746,613 $ (990,578)
British Pound.......... 2/5/99 5,000,000 8,309,513 49,263
Canadian Dollar........ 2/5/99 93,200,000 60,683,009 (815,571)
Danish Krone........... 2/5/99 29,000,000 4,560,932 (64,489)
French Franc........... 2/5/99 33,000,000 5,917,828 (59,242)
German Mark............ 2/5/99 142,300,000 85,585,233 3,092,946
Japanese Yen........... 2/5/99 3,970,000,000 35,362,443 5,244,115
Netherlands Guilder.... 2/5/99 45,600,000 24,340,771 (244,985)
Swedish Krona.......... 2/5/99 360,000,000 44,481,787 (2,219,906)
Swiss Franc............ 2/5/99 10,700,000 7,818,951 478,620
Forward Foreign Currency
Sale Contracts:
Australian Dollar...... 2/5/99 28,500,000 17,487,237 (963,222)
British Pound.......... 2/5/99 54,900,000 91,238,450 (1,822,547)
Canadian Dollar........ 2/5/99 18,800,000 12,240,779 331,108
Danish Krone........... 2/5/99 154,500,000 24,298,757 (1,245,937)
French Franc........... 2/5/99 122,600,000 21,985,629 (910,287)
German Mark............ 2/5/99 156,000,000 93,824,992 (1,290,806)
Japanese Yen........... 2/5/99 3,970,000,000 35,362,443 (1,712,672)
Netherlands Guilder.... 2/5/99 45,600,000 24,340,771 (850,215)
Spanish Peseta......... 2/5/99 2,290,000,000 16,189,861 (44,743)
Swiss Franc............ 2/5/99 10,700,000 7,818,951 2,686
------------
Total.................. $(4,036,462)
============
</TABLE>
See accompanying notes to financial statements.
23
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
- -------------------------------------------------------------------------------
December 31, 1998
NOTES TO SCHEDULE OF INVESTMENTS
FUTURES CONTRACTS
The Brinson Global Securities Fund had the following open futures contracts
as of December 31, 1998:
<TABLE>
<CAPTION>
Settlement Cost/ Current Unrealized
Date Proceeds Value Gain/(Loss)
---------- ------------ ------------ -----------
<S> <C> <C> <C> <C>
U.S. Interest Rate Futures
Buy Contracts
5 Year U.S. Treasury
Notes,
895 contracts........... March 1999 $101,221,971 $101,442,656 $ 220,685
10 Year U.S. Treasury
Notes,
171 contracts........... March 1999 20,286,072 20,375,719 89,647
30 Year U.S. Treasury
Bonds,
119 contracts........... March 1999 15,242,048 15,205,969 (36,079)
Index Futures Sale
Contracts
S&P 500 Index, 474
contracts................ March 1999 138,464,392 147,591,750 (9,127,358)
-----------
Total................... $(8,853,105)
===========
</TABLE>
The market value of investments pledged to cover margin requirements for the
open futures positions at December 31, 1998 was $8,447,207.
See accompanying notes to financial statements.
24
<PAGE>
BRINSON GLOBAL SECURITIES FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 1998
<TABLE>
<S> <C>
ASSETS:
Investments, at value:
Unaffiliated issuers (Cost $1,640,353,008)................ $1,774,563,936
Affiliated issuers (Cost $257,104,055).................... 242,162,987
Foreign currency, at value (Cost $4,973,718)............... 4,922,288
Cash....................................................... 298,005
Receivables:
Investment securities sold................................ 1,588,066
Dividends................................................. 1,438,951
Interest.................................................. 11,828,319
Fund shares sold.......................................... 14,170,712
---------------
TOTAL ASSETS............................................ 2,050,973,264
---------------
LIABILITIES:
Payables:
Investment securities purchased........................... 16,756,293
Securities loaned......................................... 327,023,452
Fund shares redeemed...................................... 18,157,183
Variation margin.......................................... 437,099
Net unrealized depreciation on forward foreign currency
contracts................................................. 4,036,462
Other liabilities.......................................... 82,134
---------------
TOTAL LIABILITIES....................................... 366,492,623
---------------
NET ASSETS:
Applicable to 102,096,494 shares; no par value, unlimited
shares
authorized................................................ $1,684,480,641
===============
Net asset value, offering price and redemption price per
share
($1,684,480,641 / 102,096,494 shares)..................... $ 16.4989
===============
NET ASSETS CONSIST OF:
Paid in capital............................................ $1,025,018,570
Accumulated net investment income.......................... 193,967,269
Accumulated net realized gain.............................. 359,134,128
Net unrealized appreciation................................ 106,360,674
---------------
NET ASSETS.............................................. $1,684,480,641
===============
</TABLE>
See accompanying notes to financial statements.
25
<PAGE>
BRINSON GLOBAL SECURITIES FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 1998
<TABLE>
<S> <C>
INVESTMENT INCOME:
Interest (net of $99,147 for foreign taxes withheld;
including securities lending income of $727,434)........... $ 30,917,676
Dividends (net of $659,008 for foreign taxes withheld)...... 12,676,351
-------------
TOTAL INCOME............................................. 43,594,027
-------------
EXPENSES:
Custodian................................................... 283,954
Administration.............................................. 211,750
Professional................................................ 175,164
Other....................................................... 39,263
-------------
TOTAL EXPENSES........................................... 710,131
-------------
NET INVESTMENT INCOME.................................... 42,883,896
-------------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments ............................................... 99,332,071
Futures contracts.......................................... (14,380,979)
Foreign currency transactions.............................. (14,097,793)
-------------
Net realized gain......................................... 70,853,299
-------------
Change in net unrealized appreciation or depreciation on:
Investments and foreign currency........................... 26,201,669
Futures contracts.......................................... (8,601,166)
Forward foreign currency contracts......................... 1,093,792
Translation of other assets and liabilities denominated in
foreign currency.......................................... 233,904
-------------
Change in net unrealized appreciation or depreciation..... 18,928,199
-------------
Net realized and unrealized gain............................ 89,781,498
-------------
Net increase in net assets resulting from operations........ $132,665,394
=============
</TABLE>
See accompanying notes to financial statements.
26
<PAGE>
BRINSON GLOBAL SECURITIES FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF CASH FLOWS
FOR THE YEAR ENDED DECEMBER 31, 1998
Decrease in Cash
<TABLE>
<S> <C>
Cash flows used in operating activities:
Interest received.................................... $ 42,800,535
Expenses Paid........................................ (593,884)
Purchases of long-term portfolio investments......... (1,404,051,647)
Proceeds from sales of long-term portfolio
investments......................................... 1,141,740,044
Net proceeds from sales of short-term portfolio
investments in excess of purchases.................. 69,808,003
Net cash used in foreign currency and futures
transactions........................................ (28,478,772)
---------------
Net cash used in operating activities................ (178,775,721)
---------------
Cash flows provided by financing activities:
Net capital shares transactions...................... 1,912,574
Net cash provided by securities loaned............... 171,927,392
---------------
Net cash provided by financing activities............ 173,839,966
---------------
Net decrease in cash ...................................... (4,935,755)
Cash at beginning of year 5,233,760
---------------
Cash at end of year.................................. $ 298,005
===============
Reconciliation of Net Decrease in Net Assets Resulting from
Operations to Net Cash used in Operating Activities:
Net increase in net assets resulting from operations ...... $ 132,665,394
---------------
Increase in investments.............................. (192,503,600)
Net realized gain on investments transactions........ (70,853,299)
Net change in unrealized appreciation on
investments......................................... (18,928,199)
Net realized loss on foreign currency transaction.... (14,097,793)
Net realized loss on futures contracts............... (14,380,979)
Increase in interest receivable...................... (2,723,157)
Decrease in other assets............................. 104,212
Amortization of net premium.......................... 1,929,665
Decrease in other liabilities........................ 12,035
---------------
Total adjustments.................................. (311,441,115)
---------------
Net cash used in operating activities...................... $ (178,775,721)
===============
</TABLE>
See accompanying notes to financial statements.
27
<PAGE>
BRINSON GLOBAL SECURITIES FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Year Year
Ended Ended
December 31, 1998 December 31, 1997
----------------- -----------------
<S> <C> <C>
OPERATIONS:
Net investment income................... $ 42,883,896 $ 64,807,288
Net realized gain....................... 70,853,299 167,608,264
Change in net unrealized appreciation or
depreciation........................... 18,928,199 (37,368,433)
--------------- ---------------
Net increase in net assets resulting
from operations........................ 132,665,394 195,047,119
--------------- ---------------
CAPITAL SHARE TRANSACTIONS:
Shares sold............................. 568,087,613 350,379,894
Shares redeemed......................... (320,804,675) (999,404,170)
--------------- ---------------
Net increase (decrease) in net assets
resulting from capital share
transactions (a)....................... 247,282,938 (649,024,276)
--------------- ---------------
TOTAL INCREASE (DECREASE) IN NET
ASSETS.............................. 379,948,332 (453,977,157)
--------------- ---------------
NET ASSETS:
Beginning of year....................... 1,304,532,309 1,758,509,466
--------------- ---------------
End of year (including accumulated net
investment income of $193,967,269 and
$151,083,373, respectively)............ $1,684,480,641 $1,304,532,309
=============== ===============
(a)A summary of capital share transactions follows:
Shares Shares
--------------- ---------------
Shares sold.............................. 35,546,435 24,152,140
Shares redeemed.......................... (20,097,765) (67,968,919)
--------------- ---------------
Net increase (decrease) in shares
outstanding............................ 15,448,670 (43,816,779)
=============== ===============
</TABLE>
See accompanying notes to financial statements.
28
<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 Ended December 31,
-------------------------------------- Period Ended
1998 1997 1996 December 31, 1995*
---------- ---------- ---------- ------------------
<S> <C> <C> <C> <C>
Net asset value,
beginning of period.... $15.0556 $13.4788 $11.7181 $10.0000
---------- ---------- ---------- ---------
Income from investment
operations:
Net investment income.. 0.4800*** 0.5456*** 0.2844 0.3769
Net realized and
unrealized gain....... 0.9633 1.0312 1.4763 1.3412
---------- ---------- ---------- ---------
Total income from
investment
operations........... 1.4433 1.5768 1.7607 1.7181
---------- ---------- ---------- ---------
Net asset value, end of
period................. $16.4989 $15.0556 $13.4788 $11.7181
========== ========== ========== =========
Total return (non-
annualized)............ 9.59% 11.70% 15.03% 17.18%
Ratios/Supplemental data
Net assets, end of
period (in 000s)...... $1,684,481 $1,304,532 $1,758,509 $967,554
Ratio of expenses to
average net assets:
Before expense
reimbursement........ 0.05% 0.05% 0.05% 0.14%**
After expense
reimbursement........ N/A N/A N/A 0.05%**
Ratio of net investment
income to average net
assets:
Before expense
reimbursement........ 3.02% 3.72% 4.36% 4.95%**
After expense
reimbursement........ N/A N/A N/A 5.04%**
Portfolio turnover
rate.................. 80% 138% 155% 158%
</TABLE>
* The Fund commenced operations April 28, 1995.
** Annualized
*** The net investment income per share data was determined by using average
shares outstanding during the period.
See accompanying notes to financial statements.
29
<PAGE>
BRINSON U.S. EQUITY FUND
- --------------------------------------------------------------------------------
The Brinson U.S. Equity Fund is an actively managed Fund invested in common
stocks of U.S. corporations. The Fund is diversified by issue and industry; it
is typically 70% invested in large capitalization stocks, with the remaining
30% in intermediate and small capitalization stocks. Investment strategies
emphasize stock selection with attention to the management of factor and
industry exposures.
Since its performance inception on August 31, 1997, the Brinson U.S. Equity
Fund has provided an annualized return of 16.84%, below the 23.78% return of
its benchmark, the Wilshire 5000 Equity Index. This performance was achieved
with a volatility of 20.30%, below the 21.17% volatility for the Wilshire 5000
Equity Index. For calendar year 1998, the Brinson U.S. Equity Fund's total
return of 19.42% trailed the 23.43% return for its benchmark. The following
paragraphs review the sources of Fund underperformance for the year.
Market exposure (average beta of 0.95) detracted modestly from Fund relative
performance in the very strong equity environment which characterized 1998.
Factor weightings had the largest negative impact on active returns for the
full year. Among the most significant negative factor positions were the
underexposure in the relative strength and size measures, as a relatively
narrow segment of the largest capitalization stocks continued to dominate
market performance. Most of these large stocks are perceived as high quality
companies with predictable, sustainable growth rates, attributes that have been
highly favored in an environment with increasing economic uncertainty
exacerbated by pockets of global stress such as South East Asia, Russia and
Brazil. Our Fund has minimal exposure to these largest stocks. Our valuation
work suggests peak levels of overvaluation.
Industry weightings also detracted from active returns during 1998. The
technology, telecommunications and drug industries relatively outperformed for
the year. Underweights to these industries detracted from performance. Our
underweight in energy continued to contribute to performance as oil prices
plunged to nearly ten dollars per barrel by the end of the year. Our
overweights in economically sensitive basic industry, tire and railroad stocks
also detracted from performance. Slowing industrial production, lower capacity
utilization rates and the build-up of capital stock over the last seven years
have led to overcapacity in many of the basic industries. Commodity prices,
which deteriorated throughout the year, fell more sharply during the fourth
quarter, below our estimate of normal or equilibrium levels for a number of
metals, chemicals and paper grades.
Stock selection had a modest positive effect on the Fund for the year. Among
large capitalization issues, the best performers were Federal Express, EMC
Corp. and CIGNA while the worst were Lockheed Martin Corp. and Sears Roebuck
and Co. In the intermediate capitalization segment of the Fund, the most
positive contributors were Peco Energy Co., Allergan Inc. and Circuit City
Stores-Circuit City Group while the weakest were Harnischfeger Industries Inc.,
Lyondell Petrochemical Co., Nextel Communications, Inc., and Consolidated
Stores Corp.
30
<PAGE>
BRINSON U.S. EQUITY FUND
- --------------------------------------------------------------------------------
Total Return
<TABLE>
<CAPTION>
Annualized
6 Months 1 Year 8/31/97*
Ended Ended to
12/31/98 12/31/98 12/31/98
- --------------------------------------------------------
<S> <C> <C> <C>
Brinson U.S. Equity Fund 4.66% 19.42% 16.84%
- --------------------------------------------------------
Wilshire 5000 Equity Index 6.90 23.43 23.78
- --------------------------------------------------------
</TABLE>
*Performance inception date of the Brinson U.S. Equity Fund
Illustration of an Assumed Investment of $100,000
This chart shows the growth in the value of an investment in the Brinson U.S.
Equity Fund and the Wilshire 5000 Equity Index if you had invested $100,000 on
August 31, 1997. 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 U.S. Equity Fund vs. Wilshire 5000 Equity Index
[LINE GRAPH OF BRINSON U.S. EQUITY FUND VS. WILSHIRE 5000 EQUITY INDEX
APPEARS HERE]
Brinson U.S. Equity Fund Wilshire 5000 Index
------------------------ -------------------
8/31/97 100,000 100,000
9/30/97 104,257 105,901
10/31/97 98,531 102,373
11/30/97 100,718 105,725
12/31/97 103,067 107,679
1/31/98 103,809 108,264
2/28/98 112,855 116,145
3/31/98 119,441 121,958
4/30/98 118,337 123,406
5/31/98 116,730 120,122
6/30/98 117,596 124,334
7/31/98 114,727 121,609
8/31/98 98,428 102,671
9/30/98 105,613 109,378
10/31/98 113,721 117,515
11/30/98 118,588 124,915
12/31/98 123,079 132,909
Fund returns are net of all fees and costs, while the index returns are based
solely on market returns without deduction for fees or transaction costs for
rebalancing.
31
<PAGE>
BRINSON U.S. EQUITY FUND
- --------------------------------------------------------------------------------
Industry Diversification
As a Percent of Net Assets
As of December 31, 1998
<TABLE>
<S> <C>
U.S. EQUITIES
Basic Industries
Chemicals.............................................................. 3.36%
Housing/Paper.......................................................... 9.32
Metals................................................................. 0.39
------
13.07
Capital Investment
Capital Goods.......................................................... 8.71
Technology............................................................. 14.36
------
23.07
Consumer
Autos/Durables......................................................... 2.65
Discretionary.......................................................... 1.92
Health: Drugs.......................................................... 4.24
Health: Non-Drugs...................................................... 4.93
Non-Durables........................................................... 6.40
Retail/Apparel......................................................... 4.38
------
24.52
Energy.................................................................. 1.10
Financial
Banks.................................................................. 7.41
Non-Banks.............................................................. 7.42
------
14.83
Services/Misc........................................................... 5.09
Transportation.......................................................... 9.93
Utilities
Electric............................................................... 5.63
Telephone.............................................................. 0.81
------
6.44
------
Total U.S. Equities.................................................... 98.05*
------
SHORT-TERM INVESTMENTS.................................................. 1.88*
------
TOTAL INVESTMENTS...................................................... 99.93
CASH AND OTHER ASSETS, LESS LIABILITIES................................. 0.07
------
NET ASSETS.............................................................. 100.00%
======
- ------------------------------------------------------------
</TABLE>
* The Fund held a long position in stock index futures which increased U.S.
Equity exposure from 98.05% to 100.13%. This adjustment resulted in a
decrease in the Fund's exposure to Short-Term Investments from 1.88% to -
0.21%.
TOP TEN U.S. EQUITY HOLDINGS
As of December 31, 1998
<TABLE>
<CAPTION>
Percent of
Net Assets
- ------------------------------------------------------------
<S> <C>
1. Xerox Corp. ..................................................... 5.95%
2. FDX Corp. ....................................................... 4.17
3. Burlington Northern Santa Fe Corp. ........................... 4.13
4. Lockheed Martin Corp. ........................................... 3.74
5. Philip Morris Companies, Inc. ................................... 3.42
6. Baxter International, Inc. ...................................... 2.57
7. Kimberly-Clark Corp. ............................................ 2.49
8. Aetna, Inc. ..................................................... 2.35
9. Entergy Corp. ................................................... 2.35
10. CIGNA Corp. ..................................................... 2.29
- ------------------------------------------------------------
</TABLE>
32
<PAGE>
BRINSON U.S. EQUITY FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1998
<TABLE>
<CAPTION>
Shares Value
------------ ------------
<S> <C> <C>
U.S. Equities - 98.05%
Advanced Micro Devices, Inc. (b)................... 83,200 $ 2,407,600
Aetna, Inc. ....................................... 53,500 4,206,438
Allergan, Inc. .................................... 20,700 1,340,325
Alza Corp. (b)..................................... 43,700 2,283,325
American Standard Companies, Inc. (b).............. 44,400 1,595,625
Aon Corp. ......................................... 73,750 4,083,906
Automatic Data Processing, Inc. ................... 33,700 2,702,319
BankBoston Corp. .................................. 23,800 926,712
Baxter International, Inc. ........................ 71,400 4,591,912
Beckman Coulter, Inc. ............................. 18,900 1,025,325
Bestfoods.......................................... 20,600 1,096,950
Biogen, Inc. (b)................................... 9,900 821,700
Birmingham Steel Corp. ............................ 12,300 51,506
Burlington Northern Santa Fe Corp. ................ 218,900 7,387,875
Champion Enterprises, Inc. (b)..................... 13,500 369,563
Champion International Corp. ...................... 21,800 882,900
Chase Manhattan Corp. ............................. 37,900 2,579,569
CIGNA Corp. ....................................... 53,100 4,105,294
Circuit City Stores--Circuit City Group............ 59,200 2,956,300
CMS Energy Corp. .................................. 56,500 2,736,719
Comerica, Inc. .................................... 18,000 1,227,375
CommScope, Inc. (b)................................ 30,866 518,935
Comverse Technology, Inc. (b)...................... 20,020 1,421,420
Consolidated Stores Corp. (b)...................... 57,700 1,164,819
Corning, Inc. ..................................... 85,700 3,856,500
Covance, Inc. (b).................................. 22,050 642,206
Crown Cork & Seal Co., Inc. ....................... 20,800 640,900
Cummins Engine Co., Inc. .......................... 5,100 181,050
Dial Corp. ........................................ 22,600 652,575
Eastman Chemical Co. .............................. 24,100 1,078,475
Electronic Data Systems Corp. ..................... 78,000 3,919,500
EMC Corp. (b)...................................... 25,800 2,193,000
Entergy Corp. ..................................... 135,100 4,204,988
FDX Corp. (b)...................................... 83,800 7,458,200
First American Corp. of Tennessee.................. 11,400 505,875
First Data Corp. .................................. 105,724 3,350,129
First Security Corp. .............................. 21,650 506,069
Fleet Financial Group, Inc. ....................... 54,800 2,448,875
Fleetwood Enterprises, Inc......................... 10,800 375,300
Food Lion Inc., Class A............................ 99,500 1,057,188
Fort James Corp. .................................. 75,100 3,004,000
General Instrument Corp. (b)....................... 99,700 3,383,569
General Semiconductor, Inc. (b).................... 17,900 146,556
Genzyme Corp. (b).................................. 17,600 875,600
Geon Co. .......................................... 12,100 278,300
Goodyear Tire & Rubber Co. ........................ 54,000 2,723,625
</TABLE>
33
<PAGE>
BRINSON U.S. EQUITY FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1998
<TABLE>
<CAPTION>
Shares Value
------------ ------------
<S> <C> <C>
U.S. Equities - (continued)
Great Lakes Chemical Corp.......................... 14,000 $ 560,000
GreenPoint Financial Corp. ........................ 25,000 878,125
Harnischfeger Industries, Inc...................... 30,400 309,700
HCR Manor Care, Inc. (b)........................... 22,700 666,812
Hibernia Corp...................................... 24,300 422,212
Household International, Inc....................... 44,100 1,747,462
IMC Global, Inc.................................... 67,900 1,451,363
Johnson Controls, Inc.............................. 20,700 1,221,300
Kimberly-Clark Corp................................ 81,900 4,463,550
Lafarge Corp....................................... 20,900 846,450
Lear Corp. (b)..................................... 52,400 2,017,400
Lockheed Martin Corp. ............................. 78,934 6,689,656
Lyondell Petrochemical Co.......................... 62,900 1,132,200
Martin Marietta Materials, Inc..................... 12,763 793,699
Masco Corp......................................... 102,000 2,932,500
Nabisco Holdings Corp.............................. 44,600 1,850,900
National Service Industries, Inc................... 14,100 535,800
Nextel Communications, Inc. (b).................... 61,100 1,443,488
Norfolk Southern Corp.............................. 92,500 2,931,094
Peco Energy Co..................................... 75,300 3,134,363
Pentair, Inc....................................... 23,100 919,669
Philip Morris Companies, Inc....................... 114,400 6,120,400
Praxair, Inc....................................... 40,500 1,427,625
Raytheon Co., Class B.............................. 74,300 3,956,475
Regions Financial Corp. ........................... 11,200 451,500
Schering Plough Corp............................... 40,900 2,259,725
Sears, Roebuck and Co. ............................ 62,800 2,669,000
Southdown, Inc..................................... 25,104 1,485,843
St. Jude Medical, Inc. (b)......................... 41,100 1,137,956
Timken Co.......................................... 7,700 145,338
TRW, Inc........................................... 10,300 578,731
Tyson Foods, Inc., Class A......................... 81,300 1,727,625
Ultramar Diamond Shamrock Corp. ................... 45,022 1,091,783
Unocal Corp........................................ 29,800 869,787
US Bancorp......................................... 56,155 1,993,501
USG Corp. ......................................... 10,100 514,469
Vencor, Inc. (b)................................... 45,800 206,100
Ventas, Inc........................................ 45,800 558,188
Viad Corp.......................................... 43,000 1,306,125
Wells Fargo & Co. ................................. 55,200 2,204,550
Witco Corp......................................... 5,600 89,250
Xerox Corp......................................... 90,300 10,655,400
York International Corp............................ 27,200 1,110,100
------------
Total U.S. Equities (Cost $167,296,095)............ 175,474,106
------------
</TABLE>
34
<PAGE>
BRINSON U.S. EQUITY FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1998
<TABLE>
<CAPTION>
Shares Value
------------ ------------
<S> <C> <C>
Short-Term Investment - 1.88%
Investment Company - 1.88%
Brinson Supplementary Trust U.S. Cash Management
Prime Fund (Cost $3,370,072)..................... 3,370,072 $ 3,370,072
------------
Total Investments (Cost $170,666,167) - 99.93%
(a).............................................. 178,844,178
------------
Cash and other assets, less liabilities - 0.07%... 127,900
------------
Net Assets - 100%................................. $178,972,078
============
</TABLE>
See accompanying notes to schedule of investments.
35
<PAGE>
BRINSON U.S. EQUITY FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1998
NOTES TO SCHEDULE OF INVESTMENTS
(a) Aggregate cost for federal income tax purposes was $170,666,167; and
net unrealized appreciation consisted of:
<TABLE>
<S> <C>
Gross unrealized appreciation............ $ 20,426,934
Gross unrealized depreciation............ (12,248,923)
------------
Net unrealized appreciation.......... $ 8,178,011
============
</TABLE>
(b) Non-income producing security.
FUTURES CONTRACTS
The Brinson U.S. Equity Fund had the following open futures contracts as of
December 31, 1998:
<TABLE>
<CAPTION>
Settlement Current Unrealized
Date Cost Value Gain
---------- ---------- ---------- ----------
<S> <C> <C> <C> <C>
Index Futures Buy Contracts
S&P 500 Index, 12 contracts...... March 1999 $3,590,859 $3,736,500 $145,641
=========
</TABLE>
The segregated cash pledged to cover margin requirements for the open
futures positions at December 31, 1998 was $298,800.
See accompanying notes to financial statements.
36
<PAGE>
BRINSON U.S. EQUITY FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 1998
<TABLE>
<S> <C>
ASSETS:
Investments, at value:
Unaffiliated issuers (Cost $167,296,095)................... $175,474,106
Affiliated issuers (Cost $3,370,072)....................... 3,370,072
Cash........................................................ 287,145
Receivables:
Investment securities sold................................. 470,519
Dividends.................................................. 294,304
Interest................................................... 14,438
Variation margin........................................... 10,200
Due from Advisor........................................... 17,080
Other assets................................................ 8,486
--------------
TOTAL ASSETS............................................. 179,946,350
--------------
LIABILITIES:
Payables:
Investment securities purchased............................ 967,759
Accrued expenses........................................... 6,513
--------------
TOTAL LIABILITIES........................................ 974,272
--------------
NET ASSETS:
Applicable to 14,541,226 shares; no par value, unlimited
shares authorized.......................................... $178,972,078
==============
Net asset value, offering price and redemption price per
share
($178,972,078 / 14,541,226 shares)......................... $ 12.3079
==============
NET ASSETS CONSIST OF:
Paid in capital............................................. $160,105,244
Accumulated net investment income........................... 2,918,163
Accumulated net realized gain............................... 7,625,019
Net unrealized appreciation................................. 8,323,652
--------------
NET ASSETS............................................... $178,972,078
==============
</TABLE>
See accompanying notes to financial statements.
37
<PAGE>
BRINSON U.S. EQUITY FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 1998
<TABLE>
<S> <C>
INVESTMENT INCOME:
Dividends...................................................... $ 2,392,743
Interest....................................................... 183,686
------------
TOTAL INCOME................................................ 2,576,429
------------
EXPENSES:
Professional................................................... 13,685
Trustees....................................................... 4,500
Custodian...................................................... 3,569
Shareholder reporting.......................................... 2,106
Other.......................................................... 175
------------
TOTAL EXPENSES.............................................. 24,035
------------
Expenses reimbursed by Advisor.............................. (9,764)
------------
NET EXPENSES................................................ 14,271
------------
NET INVESTMENT INCOME....................................... 2,562,158
------------
NET REALIZED AND UNREALIZED GAIN:
Net realized gain on:
Investments................................................... 7,181,319
Futures contracts............................................. 374,297
------------
Net realized gain........................................... 7,555,616
------------
Change in net unrealized appreciation or depreciation on:
Investments................................................... 7,932,133
Futures contracts............................................. 142,879
------------
Change in net unrealized appreciation or depreciation....... 8,075,012
------------
Net realized and unrealized gain............................... 15,630,628
------------
Net increase in net assets resulting from operations........... $18,192,786
============
</TABLE>
See accompanying notes to financial statements.
38
<PAGE>
BRINSON U.S. EQUITY FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Year Ended Period Ended
December 31, 1998 December 31, 1997*
----------------- ------------------
<S> <C> <C>
OPERATIONS:
Net investment income.................. $ 2,562,158 $ 356,005
Net realized gain...................... 7,555,616 69,403
Change in net unrealized appreciation
or depreciation....................... 8,075,012 248,640
------------- ------------
Net increase in net assets resulting
from operations....................... 18,192,786 674,048
------------- ------------
CAPITAL SHARE TRANSACTIONS:
Shares sold............................ 100,954,362 72,956,730
Shares redeemed........................ (13,805,858) --
------------- ------------
Net increase in net assets resulting
from capital share transactions (a)... 87,148,504 72,956,730
------------- ------------
TOTAL INCREASE IN NET ASSETS........ 105,341,290 73,630,778
------------- ------------
NET ASSETS:
Beginning of period.................... 73,630,788 10
------------- ------------
End of period (including accumulated
net investment income of $2,918,163
and $356,005, respectively)........... $178,972,078 $73,630,788
============= ============
(a) A summary of capital share
transactions follows:
Shares Shares
------------- ------------
Shares sold............................ 8,606,307 7,143,966
Shares redeemed........................ (1,209,048) --
------------- ------------
Net increase in shares outstanding.... 7,397,259 7,143,966
============= ============
</TABLE>
* The Fund commenced operations August 29, 1997.
See accompanying notes to financial statements.
39
<PAGE>
BRINSON U.S. EQUITY FUND FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
The table below sets forth financial data for one share of capital stock
outstanding throughout each period presented.
<TABLE>
<CAPTION>
Year Period
Ended Ended
December 31, 1998 December 31, 1997*
----------------- ------------------
<S> <C> <C>
Net asset value, beginning of period... $10.3067 $10.0000
--------- ---------
Income from investment operations:
Net investment income................. 0.1508 0.0498
Net realized and unrealized gain...... 1.8504 0.2569
--------- ---------
Total income from investment
operations.......................... 2.0012 0.3067
--------- ---------
Net asset value, end of period......... $12.3079 $10.3067
========= =========
Total return (non-annualized).......... 19.42% 3.07%
Ratios/Supplemental data
Net assets, end of period (in 000s)... $178,972 $ 73,631
Ratio of expenses to average net
assets:
Before expense reimbursement......... 0.02% 0.05%**
After expense reimbursement.......... 0.01% 0.01%**
Ratio of net investment income to
average net assets:
Before expense reimbursement......... 1.78% 2.01%**
After expense reimbursement.......... 1.79% 2.05%**
Portfolio turnover rate............... 46% 9%
</TABLE>
*The Fund commenced operations August 29, 1997.
**Annualized
See accompanying notes to financial statements.
40
<PAGE>
BRINSON U.S. LARGE CAPITALIZATION VALUE EQUITY FUND
- --------------------------------------------------------------------------------
The Brinson U.S. Large Capitalization Value Equity Fund was launched on June
25, 1998, to better serve the unique needs of our investor base. The Fund is an
actively managed portfolio that seeks to achieve long-term total returns above
that of its benchmark, the Russell 1000 Value Index, consistent with reasonable
investment risk, as measured relative to its benchmark.
Since its performance inception on June 30, 1998, the Brinson U.S. Large
Capitalization Value Equity Fund has returned 3.71% versus 3.10% of the index.
The Fund has achieved this positive result by applying Brinson Partner's proven
price/value philosophy and disciplined approach to the constituent stocks
comprising the Russell 1000 Index. Strong stock selection in the Fund provided
nearly all of the added value relative to the benchmark for the six-month
period.
The second half of 1998 was a tumultuous time for the broader stock market
indexes, as well as the Russell 1000 Value Index. The index lost over 11.5% of
its value in the third quarter, then edged ahead of its second quarter highs by
closing the fourth quarter with an astounding 16.60% gain. The risk evidenced
by this volatility was exacerbated by a large stratification of returns across
various size segments of the market, as investors turned to large stable growth
stocks for safety. During the second half of 1998, small capitalization value
stocks (as measured by the Russell 2000 Value Index) ended down over 10%.
Industry and factor positions going into 1999 reflect our views that economic
growth will be stable, and that the recent disparities between large growth-
oriented stocks and more traditional value-oriented holdings will see some
mediation. The Fund's largest industry overweights are to the transportation,
consumer, and basic industries, with underweights to the utility, energy and
financial stocks. The Fund's largest relative factor exposures are underweights
to size and relative strength, with overweights to more traditional price/value
measures.
41
<PAGE>
BRINSON U.S. LARGE CAPITALIZATION VALUE EQUITY FUND
- --------------------------------------------------------------------------------
Total Return
6 Months 6/30/98*
Ended to
12/31/98 12/31/98
- ------------------------------------------------------------------------
Brinson U.S. Large Capitalization Value Equity Fund 3.71% 3.71%
- ------------------------------------------------------------------------
Russell 1000 Value Index 3.10 3.10
- ------------------------------------------------------------------------
*Performance inception date of the Brinson U.S. Large Capitalization Value
Equity Fund
Illustration of an Assumed Investment of $100,000
This chart shows the growth in the value of an investment in the Brinson U.S.
Large Capitalization Value Equity Fund and the Russell 1000 Value Index if you
had invested $100,000 on June 30, 1998. 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 U.S. Large Capitalization Value Equity Fund
vs. Russell 1000 Value Index
[LINE GRAPH OF BRINSON U.S. LARGE CAPITALIZATION VALUE EQUITY FUND VS.
RUSSELL 1000 VALUE INDEX APPEARS HERE]
Brinson U.S. Large
Capitalization Russell 1000
Date Value Equity Fund Value Index
-------- ------------------ ------------------
6/30/98 100,000 100,000
7/31/98 98,283 98,235
8/31/98 85,567 83,616
9/30/98 92,840 88,415
10/31/98 97,557 95,264
11/30/98 102,132 99,702
12/31/98 103,707 103,096
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.
42
<PAGE>
BRINSON U.S. LARGE CAPITALIZATION VALUE EQUITY FUND
- --------------------------------------------------------------------------------
Industry Diversification
As a Percent of Net Assets
As of December 31, 1998
<TABLE>
<S> <C>
U.S. EQUITIES
Basic Industries
Chemicals............................................................. 4.64%
Housing/Paper......................................................... 10.58
------
15.22
Capital Investment
Capital Goods......................................................... 8.88
Technology............................................................ 1.43
------
10.31
Consumer
Autos/Durables........................................................ 6.79
Health: Drugs......................................................... 3.31
Health: Non-Drugs..................................................... 2.04
Non-Durables.......................................................... 2.92
Retail/Apparel........................................................ 6.80
------
21.86
Energy.................................................................. 5.41
Financial
Banks................................................................. 13.50
Non-Banks............................................................. 9.22
------
22.72
Transportation.......................................................... 10.30
Utilities
Electric.............................................................. 8.54
Telephone............................................................. 4.32
------
12.86
------
Total U.S. Equities................................................... 98.68*
------
SHORT-TERM INVESTMENTS.................................................. 1.08*
------
TOTAL INVESTMENTS...................................................... 99.76
CASH AND OTHER ASSETS, LESS
LIABILITIES............................................................. 0.24
------
NET ASSETS............................................................ 100.00%
======
- ------------------------------------------------------------
</TABLE>
* The Fund held a long position in stock index futures which increased U.S.
Equity exposure from 98.68% to 99.79%. This adjustment resulted in a decrease
in the Fund's exposure to Short-Term Investments from 1.08% to -0.03%.
TOP TEN U.S. EQUITY HOLDINGS
As of December 31, 1998
<TABLE>
<CAPTION>
Percent of
Net Assets
- ------------------------------------------
<S> <C>
1. Wells Fargo Co. ........... 4.24%
2. Kimberly-Clark Corp. ...... 3.47
3. Chase Manhattan Corp. ..... 3.42
4. Raytheon Co., Class B...... 3.39
5. Burlington Northern Santa
Fe Corp. .................. 3.36
6. FDX Corp. ................. 3.31
7. Lockheed Martin Corp. ..... 3.15
8. Advanced Micro Devices,
Inc. ...................... 2.96
9. Aetna, Inc. ............... 2.92
10. ALLTEL Corp. .............. 2.86
- ------------------------------------------
</TABLE>
43
<PAGE>
BRINSON U.S. LARGE CAPITALIZATION VALUE EQUITY FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1998
<TABLE>
<CAPTION>
Shares Value
------- -------------
<S> <C> <C>
U.S. Equities - 98.68%
Advanced Micro Devices, Inc. (b)......................... 114,800 $ 3,322,025
Aetna, Inc............................................... 41,800 3,286,525
Allergan, Inc. .......................................... 29,800 1,929,550
ALLTEL Corp. ............................................ 53,700 3,211,931
Aon Corp. ............................................... 40,100 2,220,538
Archer Daniels Midland Co. .............................. 125,400 2,155,313
AT&T Corp. .............................................. 21,800 1,640,450
Atlantic Richfield Co. .................................. 28,200 1,840,050
Burlington Northern Santa Fe Corp. ...................... 111,900 3,776,625
Champion International Corp. ............................ 41,800 1,692,900
Chase Manhattan Corp. ................................... 56,400 3,838,725
Circuit City Stores--Circuit City Group.................. 61,000 3,046,187
CMS Energy Corp. ........................................ 64,600 3,129,062
Consolidated Stores Corp. (b)............................ 127,200 2,567,850
Crown Cork & Seal Co., Inc. ............................. 96,000 2,958,000
Cummins Engine Co., Inc. ................................ 44,300 1,572,650
Dow Chemical Co. ........................................ 17,900 1,627,781
Entergy Corp. ........................................... 19,400 603,825
FDX Corp. (b)............................................ 41,800 3,720,200
First Security Corp. .................................... 121,800 2,847,075
Fleet Financial Group, Inc. ............................. 59,100 2,641,031
Fleetwood Enterprises, Inc. ............................. 35,700 1,240,575
General Motors Corp. .................................... 41,800 2,991,312
Genzyme Corp. (b)........................................ 35,800 1,781,050
Genzyme-Molecular Oncology (b)........................... 4,035 13,114
GreenPoint Financial Corp. .............................. 70,600 2,479,825
Household International, Inc. ........................... 60,000 2,377,500
Illinova Corp. .......................................... 71,600 1,790,000
IMC Global, Inc. ........................................ 97,700 2,088,338
Johnson Controls, Inc. .................................. 30,200 1,781,800
Kerr-McGee Corp. ........................................ 47,800 1,828,350
Kimberly-Clark Corp. .................................... 71,600 3,902,200
Lear Corp. (b)........................................... 79,500 3,060,750
Lockheed Martin Corp. ................................... 41,800 3,542,550
Lyondell Petrochemical Co. .............................. 83,600 1,504,800
National Semiconductor Corp. (b)......................... 119,400 1,611,900
National Service Industries, Inc. ....................... 29,700 1,128,600
Norfolk Southern Corp. .................................. 89,800 2,845,538
Northeast Utilities (b).................................. 143,300 2,292,800
Occidental Petroleum Corp. .............................. 91,600 1,545,750
Raytheon Co., Class B.................................... 71,600 3,812,700
Sears, Roebuck and Co. .................................. 47,800 2,031,500
Southdown, Inc. ......................................... 28,100 1,663,169
St. Jude Medical, Inc. (b)............................... 82,600 2,286,988
</TABLE>
44
<PAGE>
BRINSON U.S. LARGE CAPITALIZATION VALUE EQUITY FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1998
<TABLE>
<CAPTION>
Shares Value
--------- -------------
<S> <C> <C>
U.S. Equities - (continued)
Ultramar Diamond Shamrock Corp. ...................... 35,800 $ 868,150
Union Planters Corp. ................................. 23,900 1,082,969
Wells Fargo Co. ...................................... 119,400 4,768,537
YORK International Corp. ............................. 23,700 967,256
-------------
Total U.S. Equities (Cost $108,662,936)............... 110,916,314
-------------
Short-Term Investments - 1.08%
Investment Companies - 1.04%
Brinson Supplementary Trust U.S. Cash Management Prime
Fund................................................. 1,164,404 1,164,404
-------------
<CAPTION>
Face
Amount
---------
<S> <C> <C>
US Government Obligations - 0.04%
U.S. Treasury Bill, due 02/25/99...................... $ 50,000 49,689
-------------
Total Short-Term Investments (Cost $1,214,066)........ 1,214,093
-------------
Total Investments (Cost $109,877,002) - 99.76% (a).... 112,130,407
Cash and other assets, less liabilities - 0.24%....... 270,370
-------------
Net Assets - 100%..................................... $112,400,777
=============
</TABLE>
See accompanying notes to schedule of investments.
45
<PAGE>
BRINSON U.S. LARGE CAPITALIZATION VALUE EQUITY FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1998
NOTES TO SCHEDULE OF INVESTMENTS
(a) Aggregate cost for federal income tax purposes was $109,877,002; and net
unrealized appreciation consisted of:
<TABLE>
<S> <C>
Gross unrealized appreciation............. $ 9,363,556
Gross unrealized depreciation............. (7,110,151)
------------
Net unrealized appreciation........... $ 2,253,405
============
</TABLE>
(b) Non-income producing security.
FUTURES CONTRACTS
The Brinson U.S. Large Capitalization Value Equity Fund had the following open
futures contracts as of December 31, 1998:
<TABLE>
<CAPTION>
Settlement Current Unrealized
Date Cost Value Gain
---------- ---------- ---------- ----------
<S> <C> <C> <C> <C>
Index Futures Buy Contracts
S&P 500 Index, 4 contracts......... March 1999 $1,162,278 $1,245,500 $83,222
========
</TABLE>
The market value of cash and investments pledged to cover margin requirements
for the open futures positions at December 31, 1998 were $76,500 and $49,689,
respectively.
See accompanying notes to financial statements.
46
<PAGE>
BRINSON U.S. LARGE CAPITALIZATIONVALUE EQUITY FUND
FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 1998
<TABLE>
<S> <C>
ASSETS:
Investments, at value:
Unaffiliated issuers (Cost $108,712,598)....................... $110,966,003
Affiliated issuers (Cost $1,164,404)........................... 1,164,404
Cash............................................................ 76,464
Receivables:
Dividends...................................................... 182,524
Interest....................................................... 5,812
Due from Advisor............................................... 10,229
Variation margin............................................... 3,400
-------------
TOTAL ASSETS................................................. 112,408,836
-------------
LIABILITIES:
Payables:
Accrued expenses............................................... 8,059
-------------
TOTAL LIABILITIES............................................ 8,059
-------------
NET ASSETS:
Applicable to 10,722,024 shares; no par value, unlimited shares
authorized..................................................... $112,400,777
=============
Net asset value, offering price and redemption price per share
($112,400,777 / 10,722,024 shares)............................. $ 10.4832
=============
NET ASSETS CONSIST OF:
Paid in capital................................................. $107,442,301
Accumulated net investment income............................... 1,118,897
Accumulated net realized gain................................... 1,502,952
Net unrealized appreciation..................................... 2,336,627
-------------
NET ASSETS................................................... $112,400,777
=============
</TABLE>
See accompanying notes to financial statements.
47
<PAGE>
BRINSON U.S. LARGE CAPITALIZATIONVALUE EQUITY FUND
FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
FOR THE PERIOD ENDED DECEMBER 31, 1998*
<TABLE>
<S> <C>
INVESTMENT INCOME:
Dividends......................................................... $1,089,772
Interest.......................................................... 34,387
-----------
TOTAL INCOME................................................... 1,124,159
-----------
EXPENSES:
Professional...................................................... 10,230
Custodian......................................................... 1,334
Directors......................................................... 3,162
Other............................................................. 765
-----------
TOTAL EXPENSES................................................. 15,491
-----------
Expense reimbursed by Advisor.................................. (10,229)
-----------
NET EXPENSES................................................... 5,262
-----------
NET INVESTMENT INCOME.......................................... 1,118,897
-----------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments...................................................... 1,615,180
Futures contracts................................................ (112,228)
-----------
Net realized gain.............................................. 1,502,952
-----------
Change in net unrealized appreciation or depreciation on:
Investments...................................................... 2,253,405
Futures contracts................................................ 83,222
-----------
Change in net unrealized appreciation.......................... 2,336,627
-----------
Net realized and unrealized gain.................................. 3,839,579
-----------
Net increase in net assets resulting from operations.............. $4,958,476
===========
</TABLE>
*The Fund commenced operations on June 25, 1998.
See accompanying notes to financial statements.
48
<PAGE>
BRINSON U.S. LARGE CAPITALIZATIONVALUE EQUITY FUND
FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Period
Ended
December 31, 1998*
------------------
<S> <C>
OPERATIONS:
Net investment income...................................... $ 1,118,897
Net realized gain.......................................... 1,502,952
Change in net unrealized appreciation or depreciation...... 2,336,627
-------------
Net increase in net assets resulting from operations....... 4,958,476
-------------
CAPITAL SHARE TRANSACTIONS:
Shares sold................................................ 110,145,291
Shares redeemed............................................ (2,703,000)
-------------
Net increase in net assets resulting from capital share
transactions (a).......................................... 107,442,291
-------------
TOTAL INCREASE IN NET ASSETS............................ 112,400,767
-------------
NET ASSETS:
Beginning of period........................................ 10
-------------
End of period (including accumulated net investment income
of $1,118,897)............................................ $112,400,777
=============
(a) A summary of capital share transactions follows:
<CAPTION>
Shares
------------------
<S> <C>
Shares sold................................................ 11,008,212
Shares redeemed............................................ (286,189)
-------------
Net increase in shares outstanding........................ 10,722,023
=============
</TABLE>
*The Fund commenced operations June 25, 1998.
See accompanying notes to financial statements.
49
<PAGE>
BRINSON U.S. LARGE CAPITALIZATION VALUE EQUITY FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
The table below sets forth financial data for one share of capital stock
outstanding throughout the period presented.
<TABLE>
<CAPTION>
Period
Ended
December 31, 1998*
------------------
<S> <C>
Net asset value, beginning of period......................... $10.0000
---------
Net investment income....................................... 0.1044
Net unrealized gain......................................... 0.3788
---------
Total income from investment operations.................... 0.4832
---------
Net asset value, end of period............................... $10.4832
=========
Total return (non-annualized)................................ 4.83%
Ratios/Supplemental data
Net assets, end of period (in 000s)......................... $112,401
Ratio of expenses to average net assets:
Before expense reimbursement............................... 0.03%**
After expense reimbursement................................ 0.01%**
Ratio of net investment income to average net assets:
Before expense reimbursement............................... 2.04%**
After expense reimbursement................................ 2.06%**
Portfolio turnover rate..................................... 35%
</TABLE>
*The Fund commenced operations June 25, 1998.
**Annualized
See accompanying notes to financial statements.
50
<PAGE>
BRINSON POST-VENTURE FUND
- --------------------------------------------------------------------------------
The Brinson Post-Venture Fund invests in common stocks of companies with market
capitalizations between $50 and $810 million, which represent the lower 7.5% of
value of the Wilshire 5000 Equity Index. We define this equity sector as the
"mini-cap" 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 provided an annualized return of 18.98% since
its performance inception on April 30, 1995, versus a return of 15.12% for its
benchmark, the Wilshire Small Stock Index. The Wilshire Small Stock Index is a
market capitalization weighted index of roughly 3,600 mini-cap companies. The
Post-Venture Fund's annualized volatility was 16.42% over the same time period,
lower than the benchmark volatility of 20.00%. For the year ended December 31,
1998, the Post-Venture Fund had a -5.62% return, compared to a -3.99% return
for the Wilshire Small Stock Index.
The Post-Venture Fund's 1998 relative performance was adversely affected by
stock selection within the apparel, business services, and media industries.
The Fund's absence of exposure to Internet-related stocks, whose strong
performance was aided by speculative fervor, also detracted from relative
performance. Stock selection within the trucking, consumer durables, and drugs
and medicine industries enhanced results, as did the Fund's underweight in
energy. Specific stocks that enhanced performance included: Marquette Medical
Systems, a leading producer of systems for patient monitoring and diagnostic
cardiology; Landstar System Inc., a full load trucking company which utilizes
the services of truckers who own their own trucks; Altron Inc., a contract
manufacturer specializing in custom electronic assemblies and multilayer
printed circuit boards; National Computer Systems Inc., a provider of financial
management, student information, and instructional management software and
services; and NCI Building Systems, Inc., a maker of metal buildings and other
building components.
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 28 new companies were made in
1998 using this process, while 28 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 1999, we are particularly encouraged by the relative total return
potential of our larger portfolio holdings. These holdings include: Emmis
Communications Corp., a diversified communications company with television,
radio broadcasting and magazine publishing operations; Scotsman Industries,
Inc., a producer of commercial refrigeration products for the foodservice and
food retail industries; Kellwood Company, a manufacturer of moderately priced
women's apparel and recreational camping products; and Computer Task Group
Inc., a leading international information technology services company.
51
<PAGE>
BRINSON POST-VENTURE FUND
- --------------------------------------------------------------------------------
Total Return
<TABLE>
<CAPTION>
6 Months 1 Year 3 Years Annualized
Ended Ended Ended 4/30/95*
12/31/98 12/31/98 12/31/98 to 12/31/98
- ------------------------------------------------------------------
<S> <C> <C> <C> <C>
Brinson Post-Venture Fund -10.45% -5.62% 16.44% 18.98%
- ------------------------------------------------------------------
Wilshire Small Stock Index -9.54 -3.99 11.78 15.12
- ------------------------------------------------------------------
</TABLE>
*Performance inception date of the Brinson Post-Venture Fund
All returns over 1 year are average annualized returns.
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
[LINE GRAPH OF BRINSON POST-VENTURE FUND VS. WILSHIRE SMALL STOCK INDEX
APPEARS HERE]
Brinson Post-Venture Fund Wilshire Small Stock Index
------------------------- --------------------------
4/30/95 100,000 100,000
5/31/95 100,802 102,030
6/30/95 105,306 107,958
7/31/95 109,310 114,392
8/31/95 113,508 117,835
9/30/95 113,864 120,475
10/31/95 112,673 114,391
11/30/95 117,557 117,308
12/31/95 119,936 119,959
1/31/96 118,542 120,835
2/29/96 121,360 124,279
3/31/96 125,800 127,895
4/30/96 134,578 137,283
5/31/96 141,097 146,233
6/30/96 135,051 139,755
7/31/96 126,673 126,283
8/31/96 135,902 132,155
9/30/96 140,758 136,477
10/31/96 142,806 134,334
11/30/96 148,199 138,203
12/31/96 152,509 142,100
1/31/97 154,820 146,931
2/28/97 153,430 143,038
3/31/97 149,872 135,628
4/30/97 147,152 132,536
5/31/97 161,939 147,685
6/30/97 171,055 156,561
7/31/97 183,111 164,561
8/31/97 191,388 170,222
9/30/97 205,843 184,606
10/31/97 199,239 177,074
11/30/97 198,700 173,745
12/31/97 200,635 174,527
1/31/98 198,854 173,305
2/28/98 211,131 185,610
3/31/98 219,726 194,686
4/30/98 224,013 197,548
5/31/98 214,001 186,683
6/30/98 211,458 185,226
7/31/98 196,004 172,390
8/31/98 164,747 137,602
9/30/98 170,480 145,968
10/31/98 174,399 150,873
11/30/98 182,545 160,544
12/31/98 189,356 167,559
Fund returns are net of all fees and costs, while the index returns are based
on market returns without deduction for fees or transaction costs for
rebalancing.
52
<PAGE>
BRINSON POST-VENTURE FUND
- --------------------------------------------------------------------------------
Industry Diversification
As a Percent of Net Assets
As of December 31, 1998
U.S. EQUITIES
Capital Goods......................................................... 6.15%
Consumer
Durables.............................................................. 6.46
Non-Durables.......................................................... 13.24
------
19.70
Energy 0.93
Finance
Banks................................................................. 4.63
Non Banks............................................................. 18.07
------
22.70
Materials & Services.................................................... 18.08
Technology.............................................................. 14.21
Transportation.......................................................... 7.32
Utilities............................................................... 4.18
------
Total U.S. Equities................................................. 93.27*
------
SHORT-TERM INVESTMENTS.................................................. 6.87*
------
TOTAL INVESTMENTS................................................... 100.14
LIABILITIES, LESS CASH AND OTHER ASSETS................................. (0.14)
------
NET ASSETS.......................................................... 100.00%
======
- --------------------------------------------------------------------------------
* The Fund held a long position in stock index futures which increased U.S.
Equity exposure from 93.27% to 98.80%. This adjustment resulted in a decrease
in the Fund's exposure to Short-Term Investments from 6.87% to 1.34%.
TOP TEN U.S. EQUITY HOLDINGS
As of December 31, 1998
Percent of
Net Assets
- ----------------------------------------------------------
1. Financial Security Assurance Holdings Ltd. 3.07%
2. Shorewood Packaging Corp. 2.85
3. Coachmen Industries, Inc. 2.61
4. LTC Properties, Inc. 2.33
5. Benchmark Electronics, Inc. 2.25
6. Innkeepers USA Trust 2.19
7. North Fork Bancorporation, Inc. 2.07
8. Emmis Communications Corp. 1.90
9. Maxim Group, Inc. 1.74
10. Connecticut Energy Corp. 1.60
- ----------------------------------------------------------
53
<PAGE>
BRINSON POST-VENTURE FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1998
<TABLE>
<CAPTION>
Shares Value
----------- ------------
<S> <C> <C>
Equities - 93.27%
U.S. Equities - 93.27%
AFC Cable Systems, Inc. (b)........................... 81,562 $ 2,742,522
Align-Rite International, Inc. (b).................... 143,100 1,663,538
Allied Capital Corp. II............................... 172,240 2,981,905
American Business Products, Inc. ..................... 250,970 5,897,795
Amerus Life Holdings, Inc., Class A................... 204,300 4,571,212
Apartment Investment & Management Co., Class A........ 98,422 3,660,068
Applied Power, Inc., Class A.......................... 31,000 1,170,250
Ascent Entertainment Group, Inc. (b).................. 213,100 1,571,612
Atmos Energy Corp. ................................... 84,050 2,710,613
Bacou USA, Inc. (b)................................... 289,900 6,232,850
BancTec, Inc. (b)..................................... 373,400 4,690,838
BEI Medical System Co., Inc. (b)...................... 215,400 417,338
BEI Technologies, Inc. ............................... 208,100 1,950,937
Benchmark Electronics, Inc. (b)....................... 245,400 8,987,775
Bioreliance Corp. (b)................................. 75,200 601,600
Bon-Ton Stores, Inc. (b).............................. 210,719 1,606,732
Cadmus Communications Corp. .......................... 153,400 2,895,425
Callon Petroleum Co. (b).............................. 202,500 2,354,062
Carmike Cinemas, Inc., Class A (b).................... 177,200 3,599,375
Celadon Group, Inc. (b)............................... 152,800 2,177,400
CenterPoint Properties Corp. ......................... 178,400 6,032,150
CFI ProServices, Inc. (b)............................. 167,400 1,946,025
Clean Harbors, Inc. (b)............................... 186,100 279,150
Coachmen Industries, Inc. ............................ 397,399 10,431,724
Commonwealth Industries, Inc. ........................ 432,000 4,050,000
Computer Task Group, Inc. ............................ 145,900 3,957,538
Connecticut Energy Corp. ............................. 210,300 6,414,150
Coventry Health Care, Inc. (b)........................ 70,695 623,000
Crown Crafts, Inc. ................................... 253,500 1,568,531
Dayton Superior Corp. (b)............................. 192,700 3,709,475
Delta Financial Corp. (b)............................. 265,100 1,574,031
Department 56, Inc. (b)............................... 88,900 3,339,306
Diagnostic Products Corp. ............................ 25,200 784,350
Dress Barn, Inc. (b).................................. 188,150 2,857,528
DT Industries, Inc. .................................. 303,700 4,783,275
Electromagnetic Sciences, Inc. (b).................... 227,100 3,179,400
Emmis Communications Corp. (b)........................ 175,000 7,590,625
EndoSonics Corp. (b).................................. 30,900 307,069
Evans & Sutherland Computer Corp. (b)................. 142,200 2,506,275
Exabyte Corp. (b)..................................... 332,600 1,829,300
FBL Financial Group, Inc., Class A.................... 156,500 3,795,125
Fidelity National Corp. .............................. 189,900 2,041,425
Financial Security Assurance Holdings Ltd. ........... 226,273 12,275,310
Genesco, Inc. (b)..................................... 288,700 1,641,981
</TABLE>
54
<PAGE>
BRINSON POST-VENTURE FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1998
<TABLE>
<CAPTION>
Shares Value
----------- ------------
<S> <C> <C>
U.S. Equities - (continued)
Golf Trust of America, Inc. .......................... 137,700 $ 3,821,175
Gradall Industries, Inc. (b).......................... 258,900 3,721,687
Granite Broadcasting Corp. (b)........................ 249,200 1,495,200
Granite Broadcasting Corp., Preferred................. 31,300 1,064,200
Haggar Corp. ......................................... 207,200 2,369,850
Hardinge, Inc. ....................................... 170,550 3,144,516
Hartmarx Corp. (b).................................... 423,300 2,381,062
Helen of Troy Ltd. (b)................................ 172,000 2,526,250
Herbalife International, Inc., Class B................ 228,500 2,613,469
Hollywood Park, Inc. (b).............................. 228,900 1,902,731
Hologic, Inc. (b)..................................... 71,400 865,725
Huffy Corp. .......................................... 95,850 1,581,525
Hycor Biomedical, Inc. (b)............................ 222,100 232,512
Innkeepers USA Trust.................................. 740,200 8,743,612
Integrated Circuit Systems, Inc. (b).................. 201,600 3,553,200
InterTan, Inc. (b).................................... 326,700 1,898,944
inTEST Corp. (b)...................................... 172,900 1,426,425
Jason, Inc. (b)....................................... 532,900 4,463,037
JLM Industries, Inc. (b).............................. 194,200 995,275
Kellwood Co. ......................................... 143,675 3,591,875
Kevco, Inc. (b)....................................... 203,500 1,475,375
Kitty Hawk, Inc. (b).................................. 73,800 811,800
KLLM Transport Services, Inc. (b)..................... 150,765 1,111,892
Landstar System, Inc. (b)............................. 136,200 5,550,150
LTC Properties, Inc. ................................. 561,400 9,333,275
M & F Worldwide Corp. (b)............................. 238,800 2,402,925
Mac-Gray Corp. (b).................................... 186,000 2,115,750
MacNeal-Schwendler Corp. (b).......................... 301,320 2,109,240
M/A/R/C, Inc. ........................................ 164,170 1,744,306
Mariner Post - Acute Network, Inc. (b)................ 81,100 370,019
Maxim Group, Inc. (b)................................. 289,600 6,950,400
Medallion Financial Corp. ............................ 101,900 1,458,444
Methode Electronics, Inc., Class A.................... 164,180 2,565,313
Metro Bancshares, Inc. ............................... 62,900 676,175
Microsemi Corp. (b)................................... 323,000 3,553,000
Middleby Corp. (b).................................... 282,300 1,023,337
Midway Airlines Corp. (b)............................. 218,300 2,619,600
M.S. Carriers, Inc. (b)............................... 126,100 4,153,419
National Information Group............................ 119,850 2,486,887
NCI Building Systems, Inc. (b)........................ 170,600 4,798,125
Nichols Research Corp. (b)............................ 194,854 4,067,577
North Fork Bancorporation, Inc. ...................... 346,200 8,287,163
Norton McNaughton, Inc. (b)........................... 225,800 536,275
OEA, Inc. ............................................ 169,800 2,005,763
</TABLE>
55
<PAGE>
BRINSON POST-VENTURE FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1998
<TABLE>
<CAPTION>
Shares Value
----------- ------------
<S> <C> <C>
U.S. Equities - (continued)
OPTEK Technology, Inc. (b)............................ 108,100 $ 2,040,388
OSI Systems, Inc. (b)................................. 315,600 2,722,050
Paging Network, Inc. (b).............................. 379,400 1,778,438
PBOC Holdings, Inc. (b)............................... 177,900 1,823,475
Piccadilly Cafeterias, Inc. .......................... 250,400 2,629,200
Pluma, Inc. (b)....................................... 112,229 210,429
Pool Energy Services Co. (b).......................... 122,700 1,326,694
Premier Financial Bancorp, Inc. ...................... 122,340 2,018,610
Pride International, Inc. (b)......................... 390,200 2,755,787
ProCyte Corp. (b)..................................... 291,500 127,531
Quixote Corp. ........................................ 222,100 2,734,606
Rainbow Technologies, Inc. (b)........................ 291,700 5,487,606
Ramsay Health Care, Inc. (b).......................... 161,800 262,925
Rare Hospitality International Inc. (b)............... 230,161 3,222,254
Regal Beloit Corp. ................................... 201,920 4,644,160
Republic Group, Inc. ................................. 30,200 605,888
RFS Hotel Investors, Inc. ............................ 485,100 5,942,475
Russ Berrie & Co., Inc. .............................. 55,500 1,304,250
Safeguard Health Enterprises, Inc. (b)................ 141,100 467,394
Saga Communications, Inc., Class A (b)................ 91,200 1,869,600
Sanfilippo (John B.) & Son, Inc. (b).................. 261,100 1,109,675
Sanmina Corp. (b)..................................... 1 63
SBS Technologies, Inc. (b)............................ 81,800 1,513,300
Scotsman Industries, Inc. ............................ 303,200 6,234,550
Shaw Group, Inc. (b).................................. 218,700 1,749,600
Shelby Williams Industries, Inc. ..................... 203,400 2,440,800
Sholodge, Inc. (b).................................... 156,300 879,187
Shorewood Packaging Corp. (b)......................... 556,200 11,402,100
Silicon Valley Bancshares (b)......................... 121,080 2,062,144
SOS Staffing Services, Inc. (b)....................... 384,700 2,789,075
Special Metals Corp. (b).............................. 124,000 1,108,250
Stanley Furniture Co., Inc. (b)....................... 188,620 3,442,315
Storage USA, Inc. .................................... 162,900 5,263,706
Sun Healthcare Group, Inc. (b)........................ 284,880 1,869,525
Swisher International Group, Inc., Class A (b)........ 29,700 267,300
TBC Corp. (b)......................................... 370,500 2,639,813
Team, Inc. ........................................... 110,980 402,302
Tractor Supply Co. (b)................................ 80,000 1,920,000
Trimble Navigation Limited (b)........................ 140,400 1,017,900
Vans, Inc. (b)........................................ 195,800 1,346,125
Varlen Corp. ......................................... 97,375 2,245,711
Weider Nutrition International, Inc. ................. 215,900 1,376,363
York Group, Inc. ..................................... 131,900 1,253,050
------------
Total Equities (Cost $372,647,221).................... 372,905,684
------------
</TABLE>
56
<PAGE>
BRINSON POST-VENTURE FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1998
<TABLE>
<CAPTION>
Shares Value
---------- -------------
<S> <C> <C>
Short-Term Investments - 6.87%
Investment Company - 6.60%
Brinson Supplementary Trust U.S. Cash Management
Prime Fund......................................... 26,377,775 $ 26,377,775
<CAPTION>
Face
Amount
----------
<S> <C> <C>
U.S. Government Obligations - 0.27%
U.S. Treasury Bill due 2/25/99...................... $1,100,000 1,093,168
-------------
Total Short-Term Investments (Cost $27,470,347)..... 27,470,943
-------------
Total Investments (Cost $400,117,568) - 100.14%
(a)................................................ 400,376,627
Liabilities, less cash and other assets - (0.14)%... (554,575)
-------------
Net Assets - 100%................................... $399,822,052
=============
</TABLE>
See accompanying notes to schedule of investments.
57
<PAGE>
BRINSON POST-VENTURE FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1998
NOTES TO SCHEDULE OF INVESTMENTS
(a) Aggregate cost for federal income tax purposes was $400,117,568; and net
unrealized appreciation consisted of:
<TABLE>
<S> <C>
Gross unrealized appreciation............ $58,366,921
Gross unrealized depreciation............ (58,107,862)
------------
Net unrealized appreciation.......... $ 259,059
============
</TABLE>
(b) Non-income producing security.
FUTURES CONTRACTS
The Brinson Post-Venture Fund had the following open futures contracts as of
December 31, 1998:
<TABLE>
<CAPTION>
Settlement Current Unrealized
Date Cost Value Gain
---------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
Index Futures Buy Contracts
S&P 500 Index, 71 contracts..... March 1999 $20,704,509 $22,107,625 $1,403,116
===========
</TABLE>
The segregated cash and market value of investments pledged to cover margin
requirements for the open futures positions at December 31, 1998 were $360,000,
and $1,093,168, respectively.
See accompanying notes to financial statements.
58
<PAGE>
BRINSON POST-VENTURE FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 1998
<TABLE>
<S> <C>
ASSETS:
Investments, at value:
Unaffiliated issuers (Cost $373,739,793)....................... $373,998,852
Affiliated issuers (Cost $26,377,775).......................... 26,377,775
Cash............................................................ 360,000
Receivables:
Investment securities sold..................................... 192,823
Interest....................................................... 102,473
Dividends...................................................... 552,585
Due from Advisor............................................... 21,407
Variation margin............................................... 56,129
-------------
TOTAL ASSETS................................................. 401,662,044
-------------
LIABILITIES:
Payables:
Investment securities purchased................................ 568,585
Fund shares redeemed........................................... 1,250,000
Accrued expenses............................................... 21,407
-------------
TOTAL LIABILITIES............................................ 1,839,992
-------------
NET ASSETS:
Applicable to 21,114,879 shares; no par value, unlimited shares
authorized..................................................... $399,822,052
=============
Net asset value, offering and redemption price per share
($399,822,052 / 21,114,879 shares).............................. $ 18.9356
=============
NET ASSETS CONSIST OF:
Paid in capital................................................. $221,069,475
Accumulated net investment income............................... 22,361,464
Accumulated net realized gain................................... 154,728,938
Net unrealized appreciation..................................... 1,662,175
-------------
NET ASSETS................................................... $399,822,052
=============
</TABLE>
See accompanying notes to financial statements.
59
<PAGE>
BRINSON POST-VENTURE FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 1998
<TABLE>
<S> <C>
INVESTMENT INCOME:
Dividends...................................................... $ 6,652,686
Interest....................................................... 1,130,971
-------------
TOTAL INCOME................................................ 7,783,657
-------------
EXPENSES:
Professional................................................... 32,384
Custodian...................................................... 10,165
Trustees....................................................... 5,979
Other.......................................................... 3,572
-------------
TOTAL EXPENSES.............................................. 52,100
-------------
Expenses reimbursed by Advisor.............................. (52,100)
-------------
NET EXPENSES................................................ --
-------------
NET INVESTMENT INCOME....................................... 7,783,657
-------------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain on:
Investments................................................... 45,951,295
Futures contracts............................................. 2,318,606
-------------
Net realized gain........................................... 48,269,901
-------------
Change in net unrealized appreciation or depreciation on:
Investments................................................... (82,880,216)
Futures contracts............................................. 1,410,361
-------------
Change in net unrealized appreciation or depreciation....... (81,469,855)
-------------
Net realized and unrealized loss............................... (33,199,954)
-------------
Net decrease in net assets resulting from operations........... $(25,416,297)
=============
</TABLE>
See accompanying notes to financial statements.
60
<PAGE>
BRINSON POST-VENTURE FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Year Year
Ended Ended
December 31, December 31,
1998 1997
------------- -------------
<S> <C> <C>
OPERATIONS:
Net investment income............................ $ 7,783,657 $ 6,192,998
Net realized gain................................ 48,269,901 50,571,206
Change in net unrealized appreciation or
depreciation.................................... (81,469,855) 38,360,184
------------- -------------
Net increase (decrease) in net assets resulting
from operations................................. (25,416,297) 95,124,388
------------- -------------
CAPITAL SHARE TRANSACTIONS:
Shares sold...................................... 135,747,147 44,110,536
Shares redeemed.................................. (115,860,845) (32,861,125)
------------- -------------
Net increase in net assets resulting from capital
share transactions (a).......................... 19,886,302 11,249,411
------------- -------------
TOTAL INCREASE (DECREASE) IN NET ASSETS....... (5,529,995) 106,373,799
------------- -------------
NET ASSETS:
Beginning of year................................ 405,352,047 298,978,248
------------- -------------
End of year (including accumulated net investment
income of $22,361,464 and $14,577,807,
respectively)................................... $399,822,052 $405,352,047
============= =============
(a) A summary of capital share transactions fol-
lows:
<CAPTION>
Shares Shares
------------- -------------
<S> <C> <C>
Shares sold...................................... 6,754,624 2,434,473
Shares redeemed.................................. (5,843,228) (1,835,022)
------------- -------------
Net increase in shares outstanding.............. 911,396 599,451
============= =============
</TABLE>
See accompanying notes to financial statements.
61
<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>
Period
Year Ended December 31, Ended
------------------------------- December 31,
1998 1997 1996 1995*
--------- --------- --------- ------------
<S> <C> <C> <C> <C>
Net asset value, beginning of
period........................... $20.0635 $15.2509 $11.9936 $10.0000
--------- --------- --------- ---------
Income from investment operations:
Net investment income............ 0.3375 0.2938 0.2617 0.1660
Net realized and unrealized gain
(loss).......................... (1.4654) 4.5188 2.9956 1.8276
--------- --------- --------- ---------
Total income (loss) from
investment operations.......... (1.1279) 4.8126 3.2573 1.9936
--------- --------- --------- ---------
Net asset value, end of period.... $18.9356 $20.0635 $15.2509 $11.9936
========= ========= ========= =========
Total return (non-annualized)..... (5.62)% 31.56% 27.16% 19.94%
Ratios/Supplemental data
Net assets, end of period (in
000s)........................... $399,822 $405,352 $298,978 $256,810
Ratio of expenses to average net
assets:
Before expense reimbursement... 0.01% 0.03% 0.09% 0.17%**
After expense reimbursement.... 0.00% 0.00% 0.00% 0.00%**
Ratio of net investment income to
average net assets:
Before expense reimbursement... 1.90% 1.76% 1.78% 1.85%**
After expense reimbursement.... 1.91% 1.79% 1.87% 2.02%**
Portfolio turnover rate.......... 40% 45% 39% 25%
</TABLE>
*The Fund commenced operations April 28, 1995.
**Annualized
See accompanying notes to financial statements.
62
<PAGE>
BRINSON NON-U.S. EQUITY FUND
- --------------------------------------------------------------------------------
The Brinson Non-U.S. Equity Fund is actively managed, providing a fully
integrated approach to the developed equity markets across the world. We
employ fundamental valuation models to determine the relative attractiveness
of aggregate markets, as well as of individual stocks. Our Fund construction
process simultaneously sets country, currency, industry/factor and stock
selection strategies. This interactive investment process has evolved within
the context of an environment marked by growing globalization and
increasingly integrated economies, industries and capital markets.
The Brinson Non-U.S. Equity Fund has provided a return of 2.59% since its
performance inception on June 30, 1998, compared to the 2.72% return of the
MSCI World ex USA (Free) Index. With the exception of the Pacific Rim and
several small markets, most developed equity markets enjoyed solid
performance.
Monetary Union, privatization, restructuring, merger activity and increased
capital flows have boosted European equity markets. Despite their excellent
performance, European corporations are still early into their restructuring,
with the potential for improving profitability ahead. Europe is our largest
overweight. Most Pacific markets continued to suffer the consequences of
last year's currency crisis. This situation has been aggravated in Japan by
flawed macroeconomic policies, a largely insolvent financial sector and an
unprofitable domestic corporate sector. We remain significantly underweight
in Japan, Hong Kong and Singapore. In comparison, Australia and New Zealand
have been unduly impacted by their geographic proximity to Asia and are
attractively priced. We maintain an overweight in these markets.
Overall market allocation detracted from performance. Holding cash (through
July) in a period of unusually strong returns and overweighting New Zealand
offset the positive effects of underweighting Japan and overweighting
Belgium and Finland. Currency management was hurt by the yen underweight and
the New Zealand dollar and Australian dollar overweights. Stock selection
was positive due to successful strategies in Japan, helped by the
significant underweight to banks, overweight to blue chips and stock
specific returns, but hurt in the U.K. due to stock specific factors, the
underweight to size and the overweight to basic industries.
63
<PAGE>
BRINSON NON-U.S. EQUITY FUND
- -----------------------------------------------------------------------
Total Return
6 Months 6/30/98*
Ended to
12/31/98 12/31/98
- -----------------------------------------------------------------------
Brinson Non-U.S. Equity Fund** 2.59% 2.59%
- -----------------------------------------------------------------------
MSCI World ex USA (Free) Index *** 2.72 2.72
- -----------------------------------------------------------------------
* Performance inception date of the Brinson Non-U.S. Equity Fund.
** Effective on or around February 26,1999, the Non-U.S. Equity Fund will be
renamed the Global (ex-U.S.) Equity Fund.
*** Formerly known as the MSCI Non-U.S. Equity (Free) Index.
Illustration of an Assumed Investment of $100,000
This chart shows the growth in the value of an investment in the Brinson Non-
U.S. Equity Fund and the MSCI World ex USA (Free) Index if you had invested
$100,000 on June 30, 1998. 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 Non-U.S. Equity Fund
vs. MSCI World ex USA (Free) Index
[LINE GRAPH OF BRINSON NON-U.S. EQUITY FUND VS.
MSCI WORLD EX USA (FREE) INDEX APPEARS HERE]
Brinson Non-U.S. MSCI Unhedged
Date Equity Fund Global (ex-U.S.)
-------- ---------------- ----------------
6/30/98 100,000 100,000
7/31/98 101,820 100,660
8/31/98 89,193 87,808
9/30/98 86,983 85,299
10/31/98 94,172 94,198
11/30/98 98,923 98,985
12/31/98 102,591 102,717
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 NON-U.S. EQUITY FUN
- --------------------------------------------------------------------------------
Industry Diversification
As a Percent of Net Assets
As of December 31, 1998
NON-U.S. EQUITIES
Aerospace & Military........... 0.46%
Airlines....................... 0.17
Appliances & Households........ 1.11
Autos/Durables................. 2.93
Banking........................ 10.34
Beverages and Tobacco.......... 3.56
Broadcasting & Publishing...... 2.80
Building Materials............. 1.24
Business & Public Service...... 4.79
Chemicals...................... 4.30
Construction................... 0.41
Data Processing................ 0.69
Electric Components............ 1.38
Electronics.................... 7.05
Energy......................... 6.31
Financial Services............. 1.87
Food & House Products.......... 3.72
Forest Products................ 1.05
Health & Personal Care......... 9.63
Housing/Paper.................. 0.05
Industrial Components.......... 1.65
Insurance...................... 8.81
Investment Companies........... 0.43
Leisure & Tourism.............. 0.23
Machinery & Engineering........ 0.22
Merchandising.................. 4.51
Metals--Steel.................. 0.88
Multi-Industry................. 2.08
Non-Ferrous Metals............. 1.08
Real Estate.................... 0.29
Recreation..................... 0.69
Telecommunications............. 8.67
Textiles & Apparel............. 0.12
Transportation................. 0.26
Utilities...................... 4.57
Wholesale & International
Trade......................... 0.07
------
Total Non-U.S. Equities....... 98.42
------
SHORT-TERM INVESTMENTS.......... 1.27
------
TOTAL INVESTMENTS............. 99.69
CASH AND OTHER ASSETS
LESS LIABILITIES................ 0.31
------
NET ASSETS.................... 100.00%
======
TOP TEN NON-U.S. EQUITY HOLDINGS
As of December 31, 1998
Percent of
Net Assets
- ---------------------------------------
1. Novartis AG (Reg.) 2.35%
2. Royal Dutch Petroleum Co. 1.92
3. Nestle S.A. (Reg.) 1.76
4. Nokia Oyj-A Shares 1.74
5. Lloyds TSB Group PLC 1.68
6. Bayer AG 1.65
7. Allianz AG 1.62
8. Glaxo Wellcome PLC 1.59
9. Fortis AG Strip 1.42
10. Koninklijke KPN NV 1.40
- ---------------------------------------
65
<PAGE>
BRINSON NON-U.S. EQUITY FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1998
<TABLE>
<CAPTION>
Shares Value
------------- -------------
<S> <C> <C>
Non-U.S. Equities - 98.42%
Australia - 5.32%
Amcor Ltd. ...................................... 17,360 $ 74,253
Brambles Industries Ltd. ........................ 11,960 291,616
Broken Hill Proprietary Co., Ltd. ............... 45,050 332,129
CSR Ltd. ........................................ 63,110 154,459
David Jones Ltd. ................................ 83,900 92,636
Lend Lease Corp., Ltd. .......................... 16,160 218,076
National Australia Bank Ltd. .................... 36,600 552,280
News Corp. Ltd. ................................. 48,560 321,100
News Corp. Ltd., Preferred....................... 23,120 140,825
Orica Ltd. ...................................... 14,380 74,888
Pacific Dunlop Ltd. ............................. 56,650 91,738
Qantas Airways Ltd. ............................. 64,030 130,789
QBE Insurance Group Ltd. ........................ 30,986 128,296
Rio Tinto Ltd. .................................. 11,950 141,874
Santos Ltd. ..................................... 41,660 111,927
Telstra Corp. Ltd. (b)........................... 123,890 579,834
Westpac Banking Corp., Ltd. ..................... 61,110 409,334
WMC Ltd. ........................................ 36,230 109,339
Woolworth's Ltd. ................................ 19,140 65,230
-------------
4,020,623
-------------
Belgium - 3.00%
Electrabel S.A................................... 1,950 857,110
Fortis AG........................................ 140 8
Fortis AG Strip.................................. 2,970 1,076,344
KBC Bancassurance Holding Strip (b).............. 150 9
KBC Bancassurance Holding NV..................... 4,202 332,698
-------------
2,266,169
-------------
Canada - 2.29%
Agrium, Inc. .................................... 6,320 55,547
Alcan Aluminum Ltd. ............................. 4,360 117,800
Bank of Montreal................................. 2,690 108,055
Canadian National Railway Co..................... 3,010 156,281
Canadian Pacific Ltd. ........................... 8,180 152,842
Extendicare, Inc., Class A (b)................... 6,060 34,324
Hudson's Bay Co. ................................ 6,680 84,152
Imasco, Ltd. .................................... 4,200 89,414
Imperial Oil Ltd. ............................... 7,940 126,906
Magna International, Inc., Class A............... 1,040 64,594
Newbridge Networks Corp. (b)..................... 2,890 87,678
NOVA Corp. ...................................... 4,314 56,172
Potash Corporation of Saskatchewan, Inc. ........ 1,140 73,105
Royal Bank of Canada............................. 3,180 158,482
Seagram Co., Ltd. ............................... 1,500 56,885
</TABLE>
66
<PAGE>
BRINSON NON-U.S. EQUITY FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1998
<TABLE>
<CAPTION>
Shares Value
------------- -------------
<S> <C> <C>
Canada - (continued)
Shaw Communications, Inc., Class B............... 5,720 $ 138,159
TransCanada Pipelines Ltd. ...................... 8,300 121,312
Westcoast Energy, Inc. .......................... 2,480 49,245
-------------
1,730,953
-------------
Denmark - 0.56%
Den Danske Bank Group............................ 180 24,181
Tele Danmark A/S................................. 2,950 398,154
-------------
422,335
-------------
Finland - 2.70%
Merita Ltd., Class A............................. 51,810 329,479
Nokia Oyj-A Shares............................... 10,730 1,313,860
UPM-Kymmene Corp. ............................... 14,230 399,072
-------------
2,042,411
-------------
France - 10.19%
Air Liquide...................................... 2,570 471,564
Alcatel Alsthom.................................. 3,900 477,534
Axa (b).......................................... 3,340 484,301
Axa Certificate de Valeur Garante (b)............ 1,480 702
Banque Nationale de Paris........................ 4,730 389,665
Cie de Saint Gobain.............................. 1,840 259,883
Dexia France..................................... 1,900 292,847
Elf Aquitaine S.A................................ 2,580 298,357
France Telecom S.A............................... 5,320 422,842
Groupe Danone.................................... 990 283,556
Lagardere S.C.A.................................. 11,230 477,449
Michelin, Class B................................ 4,790 191,645
Paribas.......................................... 2,500 217,366
Pinault-Printemps-Redoute S.A.................... 1,230 235,158
Rhone-Poulenc, Class A........................... 6,990 359,873
SEITA............................................ 9,470 593,337
Societe Generale................................. 1,860 301,332
Suez Lyonnaise des Eaux S.A...................... 2,580 530,206
Thomson CSF...................................... 8,290 356,163
Total S.A., Class B.............................. 3,520 356,650
Vivendi.......................................... 2,700 700,834
-------------
7,701,264
-------------
Germany - 11.34%
Allianz AG....................................... 3,293 1,225,781
Bayer AG......................................... 29,720 1,248,147
DaimlerChrysler AG (b)........................... 9,073 901,526
Deutsche Bank AG................................. 6,020 355,215
Deutsche Telekom AG.............................. 17,600 578,530
Dresdner Bank AG................................. 8,220 344,474
</TABLE>
67
<PAGE>
BRINSON NON-U.S. EQUITY FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1998
<TABLE>
<CAPTION>
Shares Value
------------- -------------
<S> <C> <C>
Germany - (continued)
Hoechst AG....................................... 9,270 $ 383,467
Mannesmann AG.................................... 6,820 789,238
SAP AG........................................... 670 289,625
Siemens AG....................................... 14,450 949,973
Veba AG.......................................... 17,120 1,014,496
Volkswagen AG.................................... 6,020 487,209
-------------
8,567,681
-------------
Italy - 4.34%
Assicurazioni Generali........................... 17,000 711,365
Danieli & Co. Savings (Risp)..................... 16,000 63,847
ENI Spa ADR...................................... 1,520 102,980
ENI Spa.......................................... 126,000 825,257
La Rinascente Spa................................ 43,000 443,184
Montedison Spa................................... 257,000 342,107
San Paolo-Imi, Spa (b)........................... 20,495 362,932
Telecom Italia Mobile Spa........................ 58,000 429,124
-------------
3,280,796
-------------
Japan - 13.39%
Acom Co., Ltd. .................................. 2,000 128,723
Amada Co., Ltd. ................................. 21,000 101,835
Bridgestone Corp. ............................... 5,000 113,697
Canon, Inc. ..................................... 17,000 363,963
Citizen Watch Co., Ltd. ......................... 18,000 108,511
Dai Nippon Printing Co., Ltd. ................... 19,000 303,528
Daiichi Pharmaceutical Co., Ltd. ................ 17,000 287,704
Daikin Industries Ltd. .......................... 21,000 208,511
Daiwa House Industry Co., Ltd. .................. 10,000 106,649
Fanuc............................................ 8,000 274,468
Fuji Photo Film.................................. 4,000 148,936
Fujitsu.......................................... 12,000 160,106
Honda Motor Co. ................................. 10,000 328,901
Hoya Corp. ...................................... 5,000 243,794
Ito Yokado Co., Ltd. ............................ 8,000 560,284
Kaneka Corp. .................................... 21,000 157,686
Kao Corp. ....................................... 7,000 158,245
Kirin Brewery Co., Ltd. ......................... 23,000 293,617
Kokuyo........................................... 6,000 80,904
Kuraray Co., Ltd. ............................... 25,000 276,374
Marui Co., Ltd. ................................. 11,000 212,101
Matsushita Electric Industrial Co. .............. 23,000 407,598
NGK Insulators................................... 36,000 465,000
Nintendo Corp., Ltd. ............................ 2,000 194,149
Nippon Denso Co., Ltd. .......................... 18,000 333,511
Nippon Meat Packers, Inc. ....................... 14,000 225,887
</TABLE>
68
<PAGE>
BRINSON NON-U.S. EQUITY FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1998
<TABLE>
<CAPTION>
Shares Value
------------- -------------
<S> <C> <C>
Japan - (continued)
Omron Corp. ..................................... 6,000 $ 82,340
Sankyo Co., Ltd. ................................ 15,000 328,457
Secom Co., Ltd. ................................. 5,000 414,894
Sega Enterprises Ltd. ........................... 3,000 66,622
Sekisui House Ltd. .............................. 19,000 201,286
Shin-Etsu Chemical Co., Ltd. .................... 4,000 96,454
Sony Corp. ...................................... 4,300 313,732
Sumitomo Chemical Co. ........................... 24,000 93,617
Sumitomo Electric Industries..................... 17,000 191,551
Takeda Chemical Industries....................... 13,000 501,330
TDK Corp. ....................................... 4,000 366,312
Tokio Marine & Fire Insurance Co. ............... 19,000 227,394
Toray Industries, Inc. .......................... 53,000 277,216
Toshiba Corp. ................................... 48,000 286,383
Toyota Motor Corp. .............................. 14,000 381,028
Yamato Transport Co., Ltd. ...................... 3,000 42,021
-------------
10,115,319
-------------
Netherlands - 7.22%
ABN AMRO Holdings NV............................. 14,491 305,001
Elsevier NV...................................... 30,540 427,986
Heineken NV...................................... 10,460 629,818
ING Groep NV..................................... 17,160 1,046,955
KLM NV........................................... 110 3,329
Koninklijke KPN NV............................... 21,097 1,056,705
Royal Dutch Petroleum Co. ....................... 29,180 1,453,791
Unilever NV...................................... 6,220 531,950
-------------
5,455,535
-------------
New Zealand - 1.99%
Auckland International Airport Ltd. (b).......... 44,990 62,986
Brierley Investments Ltd. ....................... 311,660 70,800
Carter Holt Harvey Ltd. ......................... 111,360 100,014
Fletcher Challenge Building...................... 26,590 41,159
Fletcher Challenge Energy........................ 52,350 99,564
Fletcher Challenge Paper......................... 101,960 68,409
Lion Nathan Ltd. ................................ 44,030 112,351
Telecom Corp. of New Zealand Ltd. ............... 194,210 846,461
Telecom Corp. of New Zealand Ltd. ADR............ 2,800 99,925
-------------
1,501,669
-------------
Norway - 0.39%
Norsk Hydro ASA.................................. 3,890 131,215
Norske Skogindustrier ASA........................ 5,550 161,714
-------------
292,929
-------------
</TABLE>
69
<PAGE>
BRINSON NON-U.S. EQUITY FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
December 31, 1998
Shares Value
------------- -------------
<S> <C> <C>
Singapore - 0.73%
Singapore Press Holdings, Ltd. .................. 30,500 $ 330,879
United Overseas Bank Ltd. (Frgn.)................ 34,000 218,424
-------------
549,303
-------------
Spain - 1.84%
Banco Popular Espanol S.A. ...................... 5,130 387,387
Endesa S.A. ..................................... 27,708 735,253
Telefonica S.A. ................................. 5,957 265,277
Telefonica S.A. Rights (expiring 1/30/99) (b).... 119 106
-------------
1,388,023
-------------
Sweden - 4.00%
Astra AB, A Shares............................... 20,870 426,113
Electrolux AB, B Shares.......................... 30,810 530,237
Investor AB...................................... 7,140 322,391
Nordbanken Holding AB............................ 37,320 239,414
Skandia Forsakrings AB........................... 33,240 508,495
Svenska Handelsbanken, A Shares.................. 3,520 148,516
Swedish Match AB................................. 109,950 400,149
Telefonaktiebolaget LM Ericsson, B Shares........ 18,790 447,392
-------------
3,022,707
-------------
Switzerland - 7.39%
CS Holdings AG (Reg.)............................ 516 80,772
Julius Baer Holding AG........................... 68 226,006
Nestle S.A. (Reg.)............................... 611 1,330,098
Novartis AG (Reg.)............................... 905 1,779,032
Roche Holding AG (Gen.).......................... 82 1,000,597
Swiss Reinsurance Co. (Reg.)..................... 216 563,157
SwissCom AG (Reg.) (b)........................... 1,452 607,863
-------------
5,587,525
-------------
United Kingdom - 21.73%
Allied Zurich PLC (b)............................ 32,660 487,158
Barclays PLC..................................... 25,770 555,678
BOC Group PLC.................................... 25,900 370,382
Booker PLC....................................... 53,150 55,270
Boots Company PLC................................ 27,660 471,025
British American Tobacco PLC..................... 24,660 216,841
British Petroleum Co. PLC........................ 62,089 927,156
British Steel PLC................................ 224,460 332,378
Cable & Wireless PLC............................. 17,800 218,861
Charter PLC...................................... 44,530 244,495
Coats Viyella PLC................................ 194,720 87,474
Diageo PLC....................................... 33,900 385,798
Fairview Holdings PLC (b)........................ 26,597 39,385
FKI PLC.......................................... 177,200 395,068
</TABLE>
70
<PAGE>
BRINSON NON-U.S. EQUITY FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1998
<TABLE>
<CAPTION>
Shares Value
------------- -------------
<S> <C> <C>
United Kingdom - (continued)
Garban PLC (b).................................. 2,142 $ 8,161
General Electric Co. PLC........................ 74,560 672,991
Glaxo Wellcome PLC.............................. 34,940 1,202,201
Greenalls Group PLC............................. 32,250 171,973
Hanson PLC...................................... 60,830 483,023
Hillsdown Holdings PLC.......................... 53,205 66,392
House of Fraser PLC............................. 82,310 72,582
Lloyds TSB Group PLC............................ 89,040 1,266,646
Marks & Spencer PLC............................. 105,150 721,230
Mirror Group PLC................................ 99,260 248,138
National Westminster Bank PLC................... 22,350 430,988
Nycomed Amersham PLC............................ 42,910 295,572
Peninsular & Oriental Steam Navigation Co....... 20,050 237,018
Prudential Corp. PLC............................ 68,180 1,029,455
Reed International PLC.......................... 40,810 319,130
Rio Tinto Ltd. ................................. 38,210 444,384
RJB Mining PLC.................................. 71,960 93,388
Royal & Sun Alliance Insurance Group PLC........ 26,640 217,520
Sainsbury (J.) PLC.............................. 10,050 80,555
Scottish Hydro-Electric PLC..................... 59,680 672,235
SmithKline Beecham PLC.......................... 50,850 710,680
Smurfit (Jefferson) Group PLC................... 50,000 89,846
Tate & Lyle PLC................................. 15,280 84,150
Terranova Foods PLC (b)......................... 26,597 48,678
Tesco PLC....................................... 158,070 450,385
Thames Water PLC................................ 23,170 443,331
Thames Water PLC, Class B (b)................... 24,790 31,141
United News & Media PLC......................... 21,420 187,817
Vodafone Group PLC.............................. 15,880 257,872
Williams PLC.................................... 28,014 159,057
Yorkshire Water PLC............................. 47,500 434,670
-------------
16,418,178
-------------
Total Non-U.S. Equities (Cost $69,483,796)...... 74,363,420
-------------
Short-Term Investment - 1.27%
Investment Companies - 1.27%
Brinson Supplementary Trust U.S. Cash Management
Prime Fund (Cost $961,967)..................... 961,967 961,967
-------------
Total Investments (Cost $70,445,763) - 99.69%
(a)............................................ 75,325,387
-------------
Cash and other assets, less liabilities -
0.31%......................................... 236,081
-------------
Net Assets - 100%............................... $ 75,561,468
=============
</TABLE>
See accompanying notes to schedule of investments.
71
<PAGE>
BRINSON NON-U.S. EQUITY FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1998
NOTES TO SCHEDULE OF INVESTMENTS
(a) Aggregate cost for federal income tax purposes was $70,445,763; and net
unrealized appreciation consisted of:
<TABLE>
<S> <C>
Gross unrealized appreciation.............. $ 7,380,856
Gross unrealized depreciation.............. (2,501,232)
------------
Net unrealized appreciation.............. $ 4,879,624
============
</TABLE>
(b) Non-income producing security.
FORWARD FOREIGN CURRENCY CONTRACTS
The Brinson Non-U.S. Equity Fund had the following open forward foreign
currency contracts as of December 31, 1998:
<TABLE>
<CAPTION>
Settlement Local Current Unrealized
Date Currency Value Gain/(Loss)
---------- ------------ ---------- -----------
<S> <C> <C> <C> <C>
Forward Foreign Currency Buy
Contracts:
Australian Dollar.............. 6/4/99 2,400,000 $1,474,229 $(43,051)
Canadian Dollar................ 6/4/99 1,600,000 1,042,515 (10,200)
Japanese Yen................... 6/4/99 119,000,000 1,076,999 79,221
Portuguese Escudos............. 6/4/99 88,999,999 525,408 5,730
Spanish Peseta................. 6/4/99 155,000,000 1,102,547 12,034
Swedish Krona.................. 6/4/99 17,700,000 2,198,569 (134)
Swiss Franc.................... 6/4/99 1,100,000 812,696 (21,522)
Forward Foreign Currency Sale
Contracts:
Belgian Franc.................. 6/4/99 32,000,000 938,851 (11,046)
British Pound.................. 6/4/99 2,450,000 4,064,164 (48,859)
Finnish Markka................. 6/4/99 5,550,000 1,104,766 (9,269)
French Franc................... 6/4/99 3,200,000 577,373 (6,831)
German Mark.................... 6/4/99 700,000 423,593 (1,830)
Netherlands Guilder............ 6/4/99 2,550,000 1,369,517 (15,367)
Swiss Franc.................... 6/4/99 1,100,000 812,696 (3,277)
---------
Total.......................... $(74,401)
=========
</TABLE>
See accompanying notes to financial statements.
72
<PAGE>
BRINSON NON-U.S. EQUITY FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 1998
<TABLE>
<S> <C>
ASSETS:
Investments, at value:
Unaffiliated issuers (Cost $69,483,796)........................ $74,363,420
Affiliated issuers (Cost $961,967)............................. 961,967
Foreign currency, at value (Cost $1,057,360).................... 1,050,046
Receivables:
Investment securities sold..................................... 34,077
Dividends...................................................... 69,583
Interest....................................................... 5,433
Due from Advisor............................................... 10,488
------------
TOTAL ASSETS................................................. 76,495,014
------------
LIABILITIES:
Payables:
Investment securities purchased................................ 843,099
Net unrealized depreciation on forward foreign currency
contracts..................................................... 74,401
Accrued expenses............................................... 16,046
------------
TOTAL LIABILITIES............................................ 933,546
------------
NET ASSETS:
Applicable to 7,320,223 shares; no par value, unlimited shares
authorized..................................................... $75,561,468
============
Net asset value, offering price and redemption price per share
($75,561,468 / 7,320,223 shares)............................... $ 10.3223
============
NET ASSETS CONSIST OF:
Paid in capital................................................. $71,415,990
Accumulated net investment income............................... 417,552
Accumulated net realized loss................................... (1,067,257)
Net unrealized appreciation..................................... 4,795,183
------------
NET ASSETS................................................... $75,561,468
============
</TABLE>
See accompanying notes to financial statements.
73
<PAGE>
BRINSON NON-U.S. EQUITY FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
FOR THE PERIOD ENDED DECEMBER 31, 1998*
<TABLE>
<S> <C>
INVESTMENT INCOME:
Dividends (net of $49,961 for foreign taxes withheld)........... $ 397,919
Interest........................................................ 36,644
------------
TOTAL INCOME................................................. 434,563
------------
EXPENSES:
Custodian....................................................... 14,364
Professional.................................................... 9,620
Directors....................................................... 2,960
Other........................................................... 555
------------
TOTAL EXPENSES............................................... 27,499
------------
Expenses reimbursed by Advisor............................... (10,488)
------------
NET EXPENSES................................................. 17,011
------------
NET INVESTMENT INCOME........................................ 417,552
------------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments.................................................... (1,198,253)
Foreign currency transactions.................................. 130,996
------------
Net realized loss............................................. (1,067,257)
------------
Change in net unrealized appreciation or depreciation on:
Investments.................................................... 4,879,624
Forward foreign currency contracts............................. (74,401)
Translation of other assets and liabilities denominated in
foreign currency.............................................. (10,040)
------------
Change in net unrealized appreciation or depreciation......... 4,795,183
------------
Net realized and unrealized gain................................ 3,727,926
------------
Net increase in net assets resulting from operations............ $ 4,145,478
============
</TABLE>
* The Fund commenced operations on June 26, 1998.
See accompanying notes to financial statements.
74
<PAGE>
BRINSON NON-U.S. EQUITY FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Period Ended
December 31, 1998*
------------------
<S> <C>
OPERATIONS:
Net investment income...................................... $ 417,552
Net realized loss.......................................... (1,067,257)
Change in net unrealized appreciation or depreciation...... 4,795,183
------------
Net increase in net assets resulting from operations....... 4,145,478
------------
CAPITAL SHARE TRANSACTIONS:
Shares sold................................................ 74,452,671
Shares redeemed............................................ (3,036,691)
------------
Net increase in net assets resulting from capital share
transactions (a).......................................... 71,415,980
------------
TOTAL INCREASE IN NET ASSETS............................ 75,561,458
------------
NET ASSETS:
Beginning of period........................................ 10
------------
End of period (including accumulated net investment income
of $417,552).............................................. $75,561,468
============
(a) A summary of capital share transactions follows:
<CAPTION>
Shares
------------------
<S> <C>
Shares sold............................................... 7,631,785
Shares redeemed........................................... (311,563)
------------
Net increase in shares outstanding....................... 7,320,222
============
</TABLE>
* The Fund commenced operations June 26, 1998.
See accompanying notes to financial statements.
75
<PAGE>
BRINSON NON-U.S. EQUITY FUND FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
The table below sets forth financial data for one share of capital stock
outstanding throughout the period presented.
<TABLE>
<CAPTION>
Period Ended
December 31, 1998*
------------------
<S> <C>
Net asset value, beginning of period......................... $10.0000
---------
Net investment income...................................... 0.0570
Net realized and unrealized gain........................... 0.2653
---------
Total income from investment operations................ 0.3223
---------
Net asset value, end of period............................... $10.3223
=========
Total return (non-annualized)................................ 3.22%
Ratios/Supplemental data
Net assets, end of period (in 000s)........................ $ 75,561
Ratio of expenses to average net assets:
Before expense reimbursement............................. 0.10%**
After expense reimbursement.............................. 0.06%**
Ratio of net investment income to average net assets:
Before expense reimbursement............................. 1.40%**
After expense reimbursement.............................. 1.44%**
Portfolio turnover rate.................................... 41%
</TABLE>
* The Fund commenced operations June 26, 1998.
** Annualized
See accompanying notes to financial statements.
76
<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 funds. We continually examine newly emerging markets in anticipation of
gaining broad diversification benefits and identifying discrepancies between
prices and fundamental values across markets.
Since July 31, 1995, the first month-end after the Fund became fully invested,
the Brinson Emerging Markets Equity Fund has generated an annualized return of
- -9.76%, compared with the -6.30% return of its benchmark, the Brinson Emerging
Markets Normal Index. International Finance Corporation Investable Index
(IFCI), a widely-followed market-capitalization weighted benchmark, returned -
10.06% during the same period. For calendar year 1998, the Fund returned -
23.61%, versus -10.76% for the Brinson Normal Index and -22.00% for the IFCI.
The Brinson Normal Index utilizes equal country weights within liquidity tiers
to minimize country-specific risk, while maintaining broad exposure to emerging
growth economies. The composition of the Brinson Normal Index diverged very
significantly from market-capitalization weighted indices. In the volatile
conditions of 1998, there were substantial changes to the composition of the
Brinson Normal Index reflecting the degraded investability of relatively large
Southeast Asian markets such as Malaysia.
Asian markets generally outperformed during 1998, thanks to strong rallies in
the first and fourth quarters. The former resulted in the Fund underperforming
the Brinson Normal Index because our strategy was based correctly as it turned
out on the conviction that fundamentals still did not support a turnaround in
the region.
Markets in the EMEA were hit very hard during the third quarter as a result of
the Russian debt default and ruble devaluation in August. Contagion from Russia
negatively impacted asset prices in Brazil as investors fled to low-risk havens
and demanded much higher risk premia on emerging market equities. Our relative
performance versus the Brinson Normal Index was significantly hurt by strategy
overweights in both Russia and Brazil at the time.
77
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND
- --------------------------------------------------------------------------------
Total Return
<TABLE>
<CAPTION>
Annualized
6 Months 1 Year 3 Years 6/30/95*
Ended Ended Ended to
12/31/98 12/31/98 12/31/98 12/31/98
- ------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Brinson Emerging Markets Equity
Fund/1/ -13.41% -23.61% -9.08% -9.67%
- ------------------------------------------------------------------------------
Brinson Emerging Markets Equity
Fund/2/ -15.99 -25.88 -10.00 -10.06
- ------------------------------------------------------------------------------
Brinson Emerging Markets Normal Index 0.89 -10.76 -5.87 -6.30
- ------------------------------------------------------------------------------
IFCI Index -7.47 -22.00 -10.07 -10.06
- ------------------------------------------------------------------------------
</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.
All returns over 1 year are average annualized returns.
Illustration of an Assumed Investment of $100,000
This chart shows growth in the value of an investment in the Brinson Emerging
Markets Equity Fund, the Brinson Emerging Markets Normal Index and the IFCI
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 IFCI Index
[LINE GRAPH OF BRINSON EMERGING MARKETS EQUITY FUND VS. BRINSON EMERGING MARKETS
NORMAL INDEX AND IFCI INDEX APPEARS HERE]
Brinson Emerging Brinson Emerging
Markets Equity Fund Markets Normal Index IFCI Index
------------------- -------------------- ----------
6/30/95 100,000 100,000 100,000
99,469 102,846 103,182
94,941 98,380 100,416
95,041 97,952 99,655
92,298 94,968 95,895
90,060 92,628 95,416
12/31/95 93,164 95,466 98,736
99,521 103,741 107,008
99,709 103,127 104,632
100,005 103,399 106,160
104,747 108,202 110,442
103,691 107,412 109,471
6/30/96 105,701 109,536 110,772
98,860 102,864 103,494
100,824 105,105 106,703
101,719 106,494 108,276
98,597 102,987 105,951
100,788 104,879 107,518
12/31/96 101,862 105,309 107,988
111,465 115,791 115,616
114,896 118,997 121,279
113,164 116,647 118,241
113,647 115,739 116,234
118,493 121,101 120,186
6/30/97 122,647 124,766 125,375
124,271 125,801 126,585
111,402 112,952 110,424
115,646 116,437 114,019
99,057 98,930 95,311
92,813 91,933 90,873
12/31/97 91,635 89,228 92,075
88,446 87,004 86,037
95,912 98,570 94,822
99,893 102,598 98,539
100,327 102,119 98,807
88,532 87,998 86,481
6/30/98 80,845 78,919 77,615
84,345 82,314 80,713
59,302 60,665 58,018
60,325 63,762 60,818
66,285 72,771 67,805
70,021 79,912 72,905
12/31/98 70,004 79,625 71,820
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.
78
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND
- --------------------------------------------------------------------------------
MARKET ALLOCATION
As of December 31, 1998
<TABLE>
<CAPTION>
MSCI EMF Normal
Benchmark Benchmark Strategy
Class Exposure* Exposure** Exposure
- -------------------------------------------------------
<S> <C> <C> <C> <C>
Latin America 35.1% 26.5% 26.3%
----- ----- -----
Argentina....... 1 4.6 6.1 6.1
Brazil.......... 1 11.9 6.1 6.1
Chile........... 1 4.5 6.1 6.1
Mexico.......... 1 11.3 6.1 7.1
Peru............ 3 1.0 2.0 0.8
Bolivia......... 4 0.7 0.0 0.0
Venezuela....... 4 1.0 0.0 0.0
Asia 36.4 38.8 35.6
----- ----- -----
India........... 1 7.9 6.1 6.1
Korea........... 1 10.7 6.1 6.1
Philippines..... 1 2.1 6.1 6.1
Taiwan.......... 1 10.0 6.1 6.1
Thailand........ 1 2.8 6.1 6.1
China........... 2 0.7 4.1 4.1
Indonesia....... 3 1.8 2.0 0.0
Malaysia........ 3 0.0 2.0 0.9
Pakistan........ 4 0.4 0.0 0.0
Sri Lanka....... 4 0.1 0.0 0.0
Vietnam......... 4 0.0 0.0 0.0
Europe/Mideast/
Africa 28.5 34.7 37.0
----- ----- -----
South Africa.... 1 10.3 6.1 6.1
Turkey.......... 1 2.0 6.1 6.1
Greece.......... 1 7.3 6.1 6.1
Israel.......... 1 3.3 6.1 6.1
Poland.......... 2 1.4 4.1 6.2
Czech Republic.. 3 1.1 2.0 0.0
Hungary......... 3 1.6 2.0 3.7
Russia.......... 3 1.3 2.0 1.0
Bulgaria........ 4 0.0 0.0 0.2
Egypt........... 4 0.0 0.0 0.6
Kazakhstan...... 4 0.0 0.0 0.5
Romania......... 4 0.0 0.0 0.2
Ukraine......... 4 0.0 0.0 0.2
Cash 0.0 0.0 1.1
----- ----- -----
TOTALS.......... 100.0% 100.0% 100.0%
===== ===== =====
- -------------------------------------------------------
</TABLE>
* Morgan Stanley Capital International--Emerging Markets Free Index as of
12/31/98.
**Current Strategy will fall in this range with 95% frequency.
Note: Totals may not add due to rounding.
TOP TEN NON-U.S. EQUITY HOLDINGS
As of December 31, 1998
<TABLE>
<CAPTION>
Percent of
Net Assets
- -------------------------------------------------------------
<S> <C>
1. Hellenic Telecommunications Organization S.A. 2.09%
2. Phillippine Long Distance Telephone Co. 1.98%
3. National Bank of Greece S.A. 1.70%
4. Magyar Tavkoziesi Rt. 1.56%
5. Telefonos de Mexico S.A. Series L 1.43%
6. Cia de Telecomunicaciones de Chile S.A., ADR 1.20%
7. Telefonos de Mexico S.A., Series L ADR 1.20%
8. ECI Telecommunications Ltd. 1.16%
9. Telefonica de Argentina S.A., Class B 1.07%
10. Enersis S.A., ADR 1.03%
- -------------------------------------------------------------
</TABLE>
79
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1998
<TABLE>
<CAPTION>
Shares Value
------------ -------------
<S> <C> <C>
Equities - 85.33%
Argentina - 5.37%
Banco de Galicia y Buenos Aires S.A. de C.V. ...... 350,167 $ 1,542,123
Banco Frances del Rio de la Plata S.A. ............ 162,497 1,154,768
CEI Citicorp Holdings S.A. (b)..................... 151,291 469,425
Cresud S.A.C.I.F.y A. ............................. 534,743 642,270
Inversiones Y Representaciones S.A. ............... 512,820 1,406,393
Perez Companc S.A., Class B........................ 549,426 2,326,165
Quilmes Industrial S.A., ADR (c)................... 38,500 358,531
Siderca S.A., Class A.............................. 1,499,229 1,710,661
Telecom Argentina S.A., Class B.................... 368,700 2,085,032
Telefonica de Argentina S.A., Class B.............. 1,521,500 4,340,181
Transportadora de Gas del Sur S.A., Class B........ 572,400 1,134,373
YPF Sociedad Anonima S.A., Class D................. 84,500 2,363,902
YPF Sociedad Anonima S.A., Class D ADR (c)......... 83,000 2,318,812
-------------
21,852,636
-------------
Asia - 0.59%
Central Asia Regional Growth Fund (b).............. 97,150 194,300
IS Himalayan Fund (b).............................. 189,218 1,680,256
Regent Central Asia Investments (b)................ 415,000 518,750
-------------
2,393,306
-------------
Balkan Republic - 0.07%
Regent Balkan Fund (b)............................. 115,000 299,000
-------------
Brazil - 2.87%
Banco Bradesco S.A. ............................... 106,515,715 590,628
Banco Bradesco S.A., Preferred Rights (b).......... 3,822,854 --
Brazil Fund, Inc. (c).............................. 20,266 220,393
Centrais Electricas Brasileiras S.A. .............. 14,500,000 249,607
Centrais Electricas Brasileiras S.A., Class B...... 4,000,000 76,802
Cia de Saneamento Basico do Estado de Sao Paulo.... 6,334,778 479,709
Cia Eletricidade do Estado de Bahia................ 9,682,992 344,591
Cia Energetica de Ceara, Class A................... 287,000,000 712,571
Cia Energetica de Minas Gerais..................... 2,097,688 39,930
Cia Energetica de Minas Gerais ADR (c)............. 23,919 455,336
Cia Vale do Rio Doce Rights (b).................... 23,646 --
Cia Vale do Rio Doce, Class A...................... 35,000 448,978
Eletropaulo Metropolitiana......................... 18,547,132 859,587
Embratel Participacoes S.A. (b).................... 30,530,000 416,904
Embratel Participacoes S.A. ADR (b)................ 27,200 379,100
Petroleo Brasileiro S.A. .......................... 9,250,000 1,048,788
Tele Celular Sul Participacoes S.A. (b)............ 88,530,000 149,467
Tele Celular Sul Participacoes S.A. ADR (b,c)...... 2,720 47,430
Tele Centro Oeste Celular Participacoes S.A. (b)... 23,530,000 24,732
Tele Centro Oeste Celular Participacoes S.A. ADR
(b,c)............................................. 9,066 26,631
Tele Centro Sul Participacoes S.A. (b)............. 53,530,000 464,727
</TABLE>
80
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- --------------------------------------------------------------------------------
December 31, 1998
<TABLE>
<CAPTION>
Shares Value
---------- -----------
<S> <C> <C>
Brazil - (continued)
Tele Centro Sul Participacoes S.A. ADR (b,c)............ 5,440 $ 227,460
Tele Leste Celular Participacoes S.A. (b)............... 23,530,000 13,632
Tele Leste Celular Participacoes S.A. ADR (b)........... 544 15,436
Tele Nordeste Celular Participacoes S.A. (b)............ 88,530,000 80,595
Tele Nordeste Celular Participacoes S.A. ADR (b,c)...... 1,360 25,160
Tele Norte Celular Participacoes S.A. (b)............... 23,530,000 10,905
Tele Norte Celular Participacoes S.A. ADR (b,c)......... 544 12,274
Tele Norte Leste Participacoes S.A. (b)................. 38,530,000 481,505
Tele Norte Leste Participacoes S.A. ADR (b,c)........... 27,200 338,300
Tele Sudeste Celular Participacoes S.A. (b)............. 43,530,000 183,732
Tele Sudeste Celular Participacoes S.A. ADR (b,c)....... 5,440 112,540
Telecomunicacoes Brasileiras S.A........................ 23,530,000 2,726
Telecomunicacoes Brasileiras S.A. ADR................... 27,200 2,975
Telecomunicacoes de Sao Paulo S.A....................... 2,030,583 276,783
Telemig Celular Participacoes S.A. (b).................. 83,530,000 92,634
Telemig Celular Participacoes S.A. ADR (b).............. 1,360 28,900
Telesp Celular Participacoes S.A. (b)................... 58,530,000 431,116
Telesp Celular Class B, S.A. (b)........................ 7,017,724 308,401
Telesp Celular S.A. (b)................................. 3,330,000 75,099
Telesp Celular Participacoes S.A. ADR (b,c)............. 10,880 190,400
Telesp Participacoes S.A. (b)........................... 43,530,000 990,710
Telesp Participacoes S.A. ADR (b,c)..................... 27,200 601,800
Uniao de Bancos Brasileiros S.A......................... 6,500,000 131,797
-----------
11,670,791
-----------
Bulgaria - 0.13%
Farmlington Bulgaria Fund (b)........................... 124,500 529,125
-----------
Chile - 5.33%
Chile Fund, Inc......................................... 449,700 4,075,406
Chilectra S.A. ADR (c).................................. 78,700 1,742,843
Cia Cervecerias Unidas S.A., ADR (c).................... 56,100 1,079,925
Cia de Telecomunicaciones de Chile S.A., ADR (c)........ 236,170 4,885,767
Embotelladora Andina S.A., Class B, ADR (c)............. 150,550 1,957,150
Embotelladora Andina S.A., Class A, ADR (c)............. 8,000 116,000
Empresa Nacional de Electricidad S.A., ADR (c).......... 83,600 950,950
Enersis S.A., ADR (c)................................... 162,600 4,197,113
Gener S.A., ADR (c)..................................... 49,600 793,600
Quimica Y Minera Chile S.A., ADR (c).................... 56,400 1,899,975
-----------
21,698,729
-----------
Czech Republic - 0.02%
Metrostav A.S........................................... 16,500 68,673
Tabak A.S............................................... 39 10,896
-----------
79,569
-----------
</TABLE>
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- --------------------------------------------------------------------------------
December 31, 1998
<TABLE>
<CAPTION>
Shares Value
--------- ------------
<S> <C> <C>
Egypt - 0.50%
The Egypt Fund (c)...................................... 76,300 $ 1,063,622
The Egypt Investment Co., Ltd. (b,c).................... 61,000 902,190
The Egypt Trust (c)..................................... 5,000 48,937
------------
2,014,749
------------
Greece - 7.68%
Alpha Credit Bank....................................... 36,260 3,783,315
Athens Medical Center S.A. ............................. 37,790 741,496
Attica Enterprises S.A. ................................ 103,868 930,936
Chipita International S.A. ............................. 27,766 902,234
Commercial Bank of Greece S.A. ......................... 22,540 2,216,574
Goody's S.A. ........................................... 28,000 744,867
Hellenic Bottling Co. S.A. ............................. 74,260 2,292,368
Hellenic Telecommunications Organization S.A. .......... 318,856 8,482,333
Maillis................................................. 48,650 1,064,897
National Bank of Greece S.A. ........................... 30,738 6,914,815
Panafon Hellenic Telecom S.A. (b)....................... 25,000 669,523
Sarantis S.A. .......................................... 45,865 655,097
Titan Cement Co. S.A. .................................. 13,300 1,021,068
Titan Cement Co. S.A., Preferred........................ 12,720 815,070
------------
31,234,593
------------
Hong Kong - 3.34%
Beijing Datang Power Generation Co., Ltd. H Shares...... 9,411,300 2,824,374
China Telecom Ltd. ..................................... 1,086,000 1,878,383
Chinatrust Resources Beijing Land....................... 3,316,000 826,079
Cosco Pacific Ltd. ..................................... 1,932,000 804,241
Guangdong Investment Ltd., Warrants (b)................. 31,800 --
Guangdong Kelon Elec Holding H Shares................... 1,641,000 1,461,529
Jiangsu Expressway Co., Ltd., H Shares.................. 6,237,000 1,360,542
New World Infrastructure Ltd. (b)....................... 853,800 1,250,840
NG Fung Hong Ltd. ...................................... 1,149,400 1,031,112
Qingling Motors Co. .................................... 849,000 149,038
Yanzhou Coal Mining Co., Ltd. H Shares.................. 2,819,000 473,029
Zhehuang Expressway Co., Ltd. H Shares.................. 7,525,100 1,524,971
------------
13,584,138
------------
Hungary - 3.82%
Danubius Hotels and Spa Rt. (b)......................... 15,652 327,878
Magyar Tavkozlesi Rt. .................................. 1,109,480 6,343,714
Mezogazdasagi Gepgyarto Rt. (b)......................... 30,728 428,175
MOL Magyar Olaj-es Gazipari Rt. ........................ 145,645 3,994,676
OTP Bank Rt. ........................................... 35,333 1,770,794
Pannonplast Rt. ........................................ 31,697 897,342
Pick Szeged Rt. ........................................ 22,656 962,876
Richter Gedeon Rt. ..................................... 19,039 811,365
------------
15,536,820
------------
</TABLE>
82
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- --------------------------------------------------------------------------------
December 31, 1998
<TABLE>
<CAPTION>
Shares Value
------- -----------
<S> <C> <C>
India - 5.25%
Aptech Ltd. ............................................... 29,000 $ 392,216
Arvind Mills Ltd. ......................................... 50 45
Asea Brown Boveri Ltd. .................................... 29,356 349,021
Associated Cement Cos., Ltd. .............................. 14,400 349,950
Bajaj Auto Ltd. ........................................... 56,800 696,696
Bank of Baroda............................................. 400 467
Bharat Heavy Electricals Ltd. ............................. 99,000 611,757
Bharat Petroleum Corp., Ltd. .............................. 102,600 563,021
BSES Ltd. ................................................. 95,240 316,897
Cipla Ltd. ................................................ 3,050 61,633
Corporation Bank........................................... 141,800 298,640
Cummins India Ltd. ........................................ 100 724
Digital Equipment Ltd. .................................... 8,100 28,686
Dr. Reddy's Laboratories Ltd. (b).......................... 50,000 571,226
EIH Ltd. .................................................. 11 61
Fleming Indian Investment Trust (b)........................ 500,000 287,007
Glaxo India Ltd. .......................................... 24,400 353,113
Grasim Industries Ltd. .................................... 82,000 347,903
Gujarat Ambuja Cements Ltd. ............................... 300 1,836
HDFC Bank Ltd. ............................................ 1,400 1,804
Hindalco Industries Ltd. GDR (c)........................... 20,000 241,204
Hindalco Industries Ltd. .................................. 18,200 219,490
Hindustan Lever Ltd. ...................................... 52,500 2,055,091
Hindustan Petroleum Corp. Ltd. ............................ 255,600 1,414,042
Housing Development Finance Corp. Ltd. .................... 8,300 425,485
ICICI Banking Corp. ....................................... 6,700 3,445
India Cements Ltd. ........................................ 100 76
India Cements Ltd., Rights (b)............................. 4,400 --
India I T Fund (b,c)....................................... 125,000 1,422,500
India Public Sector Fund Ltd. (b,c)........................ 147,059 1,139,707
Indian Petrochemicals Corp., Ltd. ......................... 100 135
Industrial Credit & Investment Corp. of India Ltd. ........ 102,800 113,816
ITC Ltd. .................................................. 55,000 970,673
Larsen & Toubro Ltd. ...................................... 49,500 186,952
Larsen & Toubro Ltd. GDR (c)............................... 30,000 213,750
Mahanagar Telephone Nigam Ltd. ............................ 311,100 1,341,141
Mahindra & Mahindra Ltd. .................................. 100 388
Morgan Stanley India Investment Fund, Inc. (b,c)........... 371,600 2,508,300
National Aluminum Co., Ltd. ............................... 100 44
NIIT Ltd. ................................................. 9,000 343,883
Oriental Bank of Commerce.................................. 800 703
Pfizer Ltd. ............................................... 251 4,991
Punjab Tractors Ltd. ...................................... 20,500 383,022
Ranbaxy Laboratories Ltd. ................................. 75,000 452,510
Reliance Industries Ltd. .................................. 343,700 968,914
Satyam Computer Services Ltd. ............................. 23,900 409,147
</TABLE>
83
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- --------------------------------------------------------------------------------
December 31, 1998
<TABLE>
<CAPTION>
Shares Value
--------- -----------
<S> <C> <C>
India - (continued)
SKF Bearings India Ltd. ................................. 55 $ 1,132
Software Solution Integrated............................. 31,300 443,394
State Bank of India...................................... 111,400 411,823
Steel Authority of India Ltd. ........................... 100 13
Tata Engineering & Locomotive Co., Ltd. ................. 89,150 341,946
Tata Engineering & Locomotive Co., Ltd. GDR (c).......... 11,300 45,200
Tata Iron & Steel Co., Ltd. ............................. 50 138
TVS Suzuki Ltd. ......................................... 250 3,097
Videsh Sanchar Nigam Ltd. ............................... 2,800 48,560
-----------
21,347,415
-----------
Indonesia - 0.00%
Bank Dagang Nasional Warrants (b)........................ 47,219 --
Bank Dagang Nasional Indonesia Tbk (b)................... 1,062 --
Bank Internasional Indonesia Warrants (b)................ 29,210 239
Indah Kiat Pulp & Paper Corp., Warrants (b).............. 8,900 1,242
-----------
1,481
-----------
Israel - 5.84%
Bank Hapoalim Ltd. ...................................... 2,216,909 4,012,722
Bank Leumi Le-Israel..................................... 975,750 1,379,152
Bezeq Israeli Telecommunications Corp. Ltd. (b).......... 435,556 1,360,033
Blue Square Chain Investments & Properties Ltd. (b)...... 71,400 856,436
Crystal Systems Solutions (b,c).......................... 74,000 763,125
ECI Telecommunications Ltd. (c).......................... 133,000 4,738,125
First International Bank Israel Ltd. .................... 201,539 997,982
Formula Systems Ltd. (b)................................. 64,520 1,597,452
Israel Chemicals Ltd. ................................... 995,827 983,834
Koor Industries Ltd. .................................... 3,212 280,271
Makhteshim-Agan Industries Ltd. (b)...................... 595,484 1,288,276
NICE Systems Ltd. (b).................................... 20,324 439,691
NICE Systems Ltd. ADR (b,c).............................. 31,800 687,675
Orbotech, Ltd. (b,c)..................................... 43,900 2,079,762
Supersol Ltd. ........................................... 54,144 134,446
Teva Pharmaceutical Industries Ltd. ..................... 52,459 2,143,706
-----------
23,742,688
-----------
Kazakhstan - 0.10%
Peregrine Kazakhstan Fund (b)............................ 160,000 400,000
-----------
Korea - 3.59%
Dae Duck Electronics Co.................................. 7,850 600,582
Daewoo Heavy Industries.................................. 57,900 298,528
Housing & Commercial Bank, Korea......................... 40,110 496,997
Housing & Commercial Bank, Korea GDR (c)................. 3 33
Korea Asia Fund Ltd. IDR (b,c)........................... 2,120 1,855,000
Korea Electric Power Corp................................ 112,960 2,799,341
Korea Fine Chemical Co................................... 10,610 357,343
</TABLE>
84
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- --------------------------------------------------------------------------------
December 31, 1998
<TABLE>
<CAPTION>
Shares Value
----------- ------------
<S> <C> <C>
Korea - (continued)
Korea Telecom Corp. (b)............................... 100 $ 3,160
Korea Zinc Co. ....................................... 19,162 438,216
LG Chemical Ltd. ..................................... 33,100 360,590
LG Information & Communication Ltd. .................. 12,839 344,865
Medison Co., Ltd. .................................... 21,080 245,422
Nong Shim Co., Ltd. .................................. 4,183 240,718
Pohang Iron & Steel Co., Ltd. ........................ 22,470 1,357,917
S1 Corp. ............................................. 1,390 260,083
Samsung Display Devices Co. .......................... 7,492 369,460
Samsung Electronics Co. .............................. 29,817 2,001,025
Samsung Fire & Marine Insurance....................... 1,100 411,642
Samsung Fire & Marine Rights (b)...................... 744 143,046
Samsung Securities Co., Ltd. ......................... 15,800 433,597
SK Telecom Co., Ltd. ................................. 1,046 764,938
Ssangyong Oil Refining Co., Ltd. ..................... 20,200 386,362
Youngone Corp. ....................................... 16,700 448,574
------------
14,617,439
------------
Malaysia - 1.26%
Berjaya Sports Toto Bhd............................... 231,000 201,646
Kian Joo Can Factory Bhd.............................. 85,000 87,661
Kuala Lumpur Kepong Bhd............................... 317,500 380,064
Malayan Banking Bhd................................... 441,000 625,359
Malayan Cement Bhd.................................... 226,000 57,020
Malaysian International Shipping Bhd (Frgn.).......... 203,000 186,925
Malaysian Pacific Industries Bhd...................... 102,000 97,680
Nestle (Malaysia) Bhd................................. 48,000 134,365
Perusahaan Otomobil Nasional Bhd...................... 112,000 118,600
Public Bank Bhd....................................... 376,000 138,490
Public Bank Bhd (Frgn.)............................... 120,000 40,884
Resorts World Bhd..................................... 267,000 215,370
Rothmans of Pall Mall Bhd............................. 73,000 301,142
Sime Darby Bhd........................................ 531,000 426,365
Telekom Malaysia Bhd.................................. 517,500 953,039
Tenaga Nasional Bhd................................... 504,000 723,978
UMW Holdings Bhd...................................... 161,000 118,600
YTL Corp. Bhd......................................... 346,000 314,777
------------
5,121,965
------------
Mexico - 6.68%
Apasco S.A. .......................................... 180,400 639,335
ARA S.A. de C.V. (b).................................. 386,397 976,737
Carso Global Telecom Series A-1....................... 450,276 1,520,649
Cemex S.A. CPO........................................ 1 2
Cifra S.A., Series V.................................. 2,988,019 3,625,503
Cifra S.A., Series C (b).............................. 180,000 219,858
Corporacion GEO, S.A., Series B (b)................... 149,000 414,307
Fomento Economico Mexicano S.A. de C.V. ADR (c)....... 49,202 1,310,003
</TABLE>
85
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- --------------------------------------------------------------------------------
December 31, 1998
<TABLE>
<CAPTION>
Shares Value
----------- ------------
<S> <C> <C>
Mexico - (continued)
Fomento Economico Mexicano S.A. de C.V. UBD Units.... 359,000 $ 974,636
Grupo Carso S.A., Series A1.......................... 346,876 1,178,467
Grupo Elektra S.A. de C.V. CPO....................... 1,456,500 739,295
Grupo Elektra S.A. de C.V. CPO GDR (c)............... 22,500 112,500
Grupo Financiero Banamex Accival S.A. de C.V., Series
L (b)............................................... 510 588
Grupo Modelo S.A. de C.V., Series C.................. 692,000 1,427,381
Grupo Televisa S.A. Series CPO (b)................... 32,262 402,541
Grupo Televisa S.A., GDR (b,c)....................... 21,000 518,438
Organizacion Soriana S.A. ........................... 740,300 2,357,882
Telefonos de Mexico S.A., Series L................... 2,402,297 5,829,639
Telefonos de Mexico S.A., Series L ADR (c)........... 99,900 4,863,881
Tubos de Acero de Mexico S.A. ADR (c)................ 10,500 67,594
------------
27,179,236
------------
Peru - 0.81%
Cementos Lima S.A. .................................. 31,282 406,389
Cerveceria Backus & Johnston S.A., T Shares.......... 1,037,522 341,896
Cia de Minas Buenaventura S.A., A Shares............. 34,836 209,722
Cia de Minas Buenaventura S.A., Trabajo Shares....... 28,178 133,926
Credicorp, Ltd. (c).................................. 17,095 153,855
Edegel S.A. ......................................... 630,000 153,707
Ferreyros S.A. ...................................... 76,834 69,384
Ferreyros S.A., 144A, ADR (c)........................ 11,558 208,754
LUZ del Sur S.A., B Shares........................... 430,000 276,584
Telefonica del Peru S.A. ADR (c)..................... 21,800 276,588
Telefonica del Peru S.A., B Shares................... 844,115 1,061,830
------------
3,292,635
------------
Philippines - 6.80%
Ayala Land, Inc., Class B............................ 12,077,200 3,415,147
Bank of the Philippine Islands....................... 440,000 933,162
Benpres Holdings Corp. (b)........................... 8,974,000 1,453,373
Benpres Holdings Corp. GDR (b,c)..................... 550,660 1,651,980
International Container Terminal Services, Inc. (b).. 11,817,000 987,282
Manila Electric Co., Class B......................... 1,192,895 3,833,210
Metropolitan Bank & Trust Co. ....................... 120,000 863,753
Phillippine Long Distance Telephone Co............... 313,390 8,056,298
Phillippine National Bank (b)........................ 395,000 609,255
Queenbee Resources Corp. (b)......................... 2,247,700 1,097,848
San Miguel Corp., Class B............................ 513,200 989,460
SM Prime Holdings, Inc. ............................. 19,840,800 3,774,342
------------
27,665,110
------------
Poland - 4.76%
BIG Bank Gdanski S.A. ............................... 968,348 869,030
Bank Rozwoju Eksportu S.A. .......................... 151,593 3,498,300
Bank Slaski S.A. .................................... 50,995 2,644,185
</TABLE>
86
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BRINSON EMERGING MARKETS EQUITY FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1998
<TABLE>
<CAPTION>
Shares Value
------- -----------
<S> <C> <C>
Poland - (continued)
Elektrim Spolka Akcyjna S.A. .............................. 257,707 $ 2,789,990
Exbud S.A. (b)............................................. 131,978 1,139,297
Exbud S.A., GDR (b,c)...................................... 17,000 146,756
KGHM Polska Miedz.......................................... 251,320 895,014
KGHM Polska Miedz S.A., GDR (c)............................ 158,000 1,125,387
Kredyt Bank PBI S.A. GDR (b,c)............................. 30,000 486,750
Kredyt Bank PBI S.A. GDR (b,c)............................. 15,000 235,875
Kredyt Bank PBI S.A. (b)................................... 256,639 833,529
Mostostal-Warszawa S.A. GDR (b,c).......................... 47,000 237,016
Mostostal-Warszawa S.A. (b)................................ 50,999 257,175
Polifarb Cieszyn-Wroclaw S.A............................... 46,985 111,774
Prokom Software S.A........................................ 7,297 280,654
Prokom Software S.A. GDR (c)............................... 55,000 1,009,250
Przedsiebiorstwo Farmaceutyczne JELFA S.A.................. 14,655 121,081
Sokolowskie Zaklady Miesne S.A. (b)........................ 176,171 116,444
Stomil Olsztyn S.A......................................... 92,775 473,126
Telekomunikacja Polska S.A. GDR (b,c)...................... 183,000 887,550
Wielkopolski Bank Kredytowy S.A............................ 86,097 542,092
Zaclady Metali Lekkich Kety (b)............................ 100 943
Zaklady Piwowarskie w Zywcu S.A............................ 5,580 667,692
-----------
19,368,910
-----------
Portugal - 0.04%
Banco Pinto & Sotto Mayor S.A.............................. 20 379
Mota e Companhia S.A....................................... 14,250 170,184
-----------
170,563
-----------
Romania - 0.13%
Romanian Investment Fund (b,c)............................. 1,950 536,250
-----------
Russia - 1.09%
Aeroflot - Russian International Airlines (b,c)............ 2,800 58,800
Borskoie Glass Co. (b,c)................................... 5,500 11,000
Chelyabinksvyazinform Preferred (b,c)...................... 32,192 65,994
Chelyabinksvyazinform (b).................................. 8,300 55,610
Firebird Republics Fund (b)................................ 10,288 552,660
Framlington Russia Investment Fund (b)..................... 9,721 34,023
Gaskovsky Auto Plant Preferred (b,c)....................... 10,000 26,450
Gorkovsky Auto Plant (b)................................... 8,300 128,650
Kirowsky Shinniy (b)....................................... 11,000 259,049
Krasny Oktyabr (RED October) RDC (b,c)..................... 3 45,000
LUKoil Holding Co. (b,c)................................... 59,000 238,950
LUKoil Holding Co. ADR (c)................................. 58,800 911,476
Mosenergo ADR (c).......................................... 32,100 61,372
Mosenergo ADR 144A (b,c)................................... 83,000 158,688
Rostelcom Preferred (b,c).................................. 172,000 49,880
Rostelecom (c)............................................. 60,000 43,800
</TABLE>
87
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- --------------------------------------------------------------------------------
December 31, 1998
<TABLE>
<CAPTION>
Shares Value
---------- -----------
<S> <C> <C>
Russia - (continued)
Rostelecom ADR (c)....................................... 22,000 $ 92,125
Rostovenergo............................................. 1,062,732 16,274
Rostovenergo Preferred................................... 5,800,000 88,817
Sberbank of Russia....................................... 6,700 92,637
SUN Brewing Limited GDR (b,c)............................ 45,000 110,250
Surguntneftegaz Preferred ADR (b,c)...................... 29,200,000 534,360
Surgutneftegaz ADR (c)................................... 50,000 161,255
Trading House Tsum (c)................................... 500,000 25,000
Unified Energy Systems (c)............................... 6,300,000 192,150
Unified Energy Systems ADR (c)........................... 46,000 143,018
Unified Energy Systems GDR (c)........................... 28,500 88,609
Vimpel-Communications ADR (b,c).......................... 14,100 182,419
Yuganskneftegaz (b,c).................................... 10,000 500
-----------
4,428,816
-----------
South Africa - 4.51%
Anglo American Platinum Corp. Ltd. ...................... 138,100 1,894,450
Anglogold Ltd. .......................................... 39,817 1,551,312
Bidvest Group Ltd. ...................................... 123,971 899,837
BOE Corp., Ltd., N Shares................................ 110,748 63,066
BOE Ltd. ................................................ 572,965 371,081
DataTec Ltd. ............................................ 54,600 705,378
De Beers Centenary AG.................................... 40,733 519,306
Dimension Data Holdings Ltd. ............................ 367,756 1,562,844
FirstRand Ltd. .......................................... 1,957,900 2,136,690
Investec Bank Ltd. ...................................... 26,700 907,731
Liberty Life Association of Africa Ltd. ................. 52,208 718,849
Nedcor Ltd. ............................................. 106,665 1,816,794
Persetel Q Data Holdings Ltd. ........................... 164,600 1,337,438
Pick 'n Pay Stores Ltd. ................................. 341,600 330,985
Pick 'n Pay Stores Ltd., N Shares........................ 167,100 150,546
Sasol Ltd. .............................................. 130,512 493,624
South African Breweries Ltd. ............................ 134,200 2,260,696
Theta Group Ltd. (b)..................................... 178,000 605,154
-----------
18,325,781
-----------
Switzerland - 0.43%
Compagnie Financiere Richmont AG Depository.............. 124,800 1,762,916
-----------
Taiwan - 3.25%
Asustek Computer, Inc. (b)............................... 165,000 1,541,554
Cathay Life Insurance Co. ............................... 750,000 2,421,044
China Steel Corp. ....................................... 4,136,000 2,490,522
CTCI Corp. (b)........................................... 1,674,000 2,400,521
Hon Hai Precision Industry (b)........................... 201,000 1,110,515
</TABLE>
88
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1998
<TABLE>
<CAPTION>
Shares Value
---------- ------------
<S> <C> <C>
Taiwan - (continued)
Siliconware Precision Industries Co. (b) ............. 527,000 $ 932,381
Taiwan Semiconductor Manufacturing Co. (b)............ 423,000 932,195
Yung Shin Pharmaceutical Industries Co. .............. 565,000 1,376,659
------------
13,205,391
------------
Thailand - 5.40%
ABN Amro Asia Securities Public Co., Ltd. (b)......... 183,000 292,115
Advanced Info Service Public Co., Ltd. (Frgn.)........ 224,300 1,333,392
Bangkok Bank Public Co., Ltd. (b)..................... 658,900 1,360,052
Bangkok Expressway Public Co., Ltd. (b)............... 220,000 217,972
Bangkok Expressway Public Co., Ltd. (Frgn.) (b)....... 1,274,000 1,262,254
BEC World Public Co., Ltd. (Frgn.).................... 222,200 1,223,063
Capital Nomura Securities Public Co., Ltd. (Frgn.).... 50,000 87,381
Delta Electronics Public Co., Ltd..................... 5,700 29,806
Delta Electronics Public Co., Ltd. (Frgn.)............ 237,600 1,255,517
Electricity Generating Public Co., Ltd. (Frgn.) (b)... 838,700 2,273,619
Hana Microelectronics Public Co., Ltd. (Frgn.) (b).... 334,900 811,097
Krung Thai Bank Public Co., Ltd. (Frgn.).............. 1,571,100 853,976
National Finance Public Co., Ltd. (Frgn.) (b)......... 800,000 253,199
PTT Exploration & Production Public Co., Ltd. (b)..... 27,700 195,162
PTT Exploration & Production Public Co., Ltd. (Frgn.)
(b).................................................. 584,800 4,120,237
Ruam Pattana Fund II (Frgn.) (b)...................... 15,000,000 1,981,560
Saha-Union Public Co., Ltd. (Frgn.)................... 537,300 218,114
Shinawatra Satellite Public Co., Ltd. (Frgn.) (b)..... 1,474,800 740,749
Siam Cement Public Co., Ltd. (Frgn.) (b).............. 45,500 1,031,842
TelecomAsia Corp. Public Co., Ltd. (b)................ 408,000 168,433
TelecomAsia Corp. Public Co., Ltd. (Frgn.) (b)........ 50,000 21,673
Thai Farmers Bank Public Co., Ltd. (Frgn.) (b)........ 821,600 1,447,156
Thai Union Frozen Products Public Co., Ltd............ 20,000 87,519
Thai Union Frozen Products Public Co. Ltd. (Frgn.).... 156,100 683,085
------------
21,948,973
------------
Turkey - 4.85%
Akbank T.A.S. ........................................ 49,919,000 1,012,941
Akcansa Cimento A.S. ................................. 74,475,000 1,251,482
Aksigorta A.S. ....................................... 33,261,250 1,012,391
Carsi Buyuk Magazacilik A.S. ......................... 23,102,750 970,550
Cukurova Elektrik A.S. ............................... 938,000 1,011,160
Dogan Sirketler Grubu Holdings........................ 96,815,000 675,311
Efes Sinai Yatrim Holding A.S. (b).................... 1,700,000 16,439
Ege Biracilik Ve Malt Sanayi A.S. .................... 13,552,000 1,052,708
EGS Gayrimenkul Yatirim Ortakligi A.S., B Shares (b).. 53,860,000 503,763
Enka Holding Yatirim A.S. ............................ 7,976,250 771,324
Migros Turk T.A.S. ................................... 1,179,000 1,177,505
Netas-Northern Electric Telekomunikasyon A.S. (b)..... 31,464,000 578,603
Sabah Yayincilik A.S. (b)............................. 99,110,000 573,480
</TABLE>
89
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1998
<TABLE>
<CAPTION>
Shares Value
-------------- -------------
<S> <C> <C>
Turkey - (continued)
Tofas Turk Otomobil Fabrikasi A.S. (b)........... 100,793,000 $ 910,780
Turk Sise Ve Cam Fabrikalari A.S. ............... 76,247,500 942,819
Turkiye Garanti Bankasi A.S. (b)................. 72,738,470 1,798,859
Turkiye Is Bankasi Class C....................... 136,551,000 3,550,153
Yapi Kredi Bankasi............................... 13,305,907 153,984
Yapi Ve Kredi Bankasi A.S........................ 151,484,000 1,753,065
-------------
19,717,317
-------------
Ukraine - 0.09%
Ukraine Investment Fund (c)...................... 50,000 350,000
-------------
United States - 0.73%
First NIS Regional Fund.......................... 13,000 81,250
Old Mutual Saga Fund (b)......................... 28,446 840,969
Societe Generale Arab Fund (b)................... 16,000 1,040,000
Societe Generale Ladenburg Thalmann (b).......... 20,000 1,000,000
-------------
2,962,219
-------------
Venezuela - 0.00%
Ceramica Carabobo, Class B ADR................... 17,794 12,609
-------------
Total Equities (Cost $402,295,293)............... 347,051,170
-------------
<CAPTION>
Face
Amount
--------------
<S> <C> <C>
Bonds - 3.36%
Convertible Bonds - 0.52%
China - 0.09%
Qingling Motors Co., 144A, 3.500%, due 01/22/02
................................................ $ 1,175,000 358,375
-------------
Poland - 0.24%
Elektrim S.A., 2.000%, due 05/30/04 ............. PLN 1,550,000 977,125
-------------
Thailand - 0.19%
Tipco Asphalt Co., 2.750%, due 09/19/06 ......... $ 950,000 774,250
-------------
Total Convertible Bonds.......................... 2,109,750
-------------
Non-U.S. Government Bonds - 2.84%
Brazil - 2.82%
Brazil-DCB L, Series RG, 6.188%, due 04/15/12 ... 22,600,000 11,476,280
-------------
Russia - 0.02%
Russia GKO, 0.000%, due 05/19/99................. RUB 41,914,000 102,908
-------------
Total Non-U.S. Government Bonds.................. 11,579,188
-------------
Total Bonds (Cost $20,276,673)................... 13,688,938
-------------
<CAPTION>
Shares
--------------
<S> <C> <C>
Short-Term Investments - 5.96%
Investment Companies - 2.52%
Brinson Supplementary Trust U.S. Cash Management
Prime Fund...................................... 10,263,332 10,263,332
-------------
</TABLE>
90
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1998
<TABLE>
<CAPTION>
Face
Amount Value
------------ -------------
<S> <C> <C>
Commercial Paper - 3.44%
CSX Corp., 6.100%, due 01/20/99.................... $ 5,014,000 $ 4,997,858
Excel Paralubes Funding Corp., 6.150%, due
01/20/99.......................................... 6,000,000 5,980,525
Williams Holdings of Delaware, 5.750%, due
01/29/99.......................................... 3,000,000 2,986,584
-------------
13,964,967
-------------
Total Short Term Investments (Cost $24,228,299).... 24,228,299
-------------
Total Investments (Cost $446,800,265) - 94.65%
(a)............................................... 384,968,407
Cash and other assets, less liabilities - 5.35%.... 21,757,644
-------------
Net Assets - 100%.................................. $406,726,051
=============
</TABLE>
See accompanying notes to schedule of investments.
91
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
NOTES TO SCHEDULE OF INVESTMENTS
(a) Aggregate cost for federal income tax purposes was $446,800,265; and net
unrealized depreciation consisted of:
<TABLE>
<S> <C>
Gross unrealized appreciation............ $ 26,678,463
Gross unrealized depreciation............ (88,510,321)
------------
Net unrealized depreciation........... $(61,831,858)
============
</TABLE>
(b) Non-income producing security.
(c) Denominated in U.S. Dollars.
ADR: American Depositary Receipt
GDR: Global Depositary Receipt
GKO: Russian Government Short-Term Obligations
PLN: Polish Zloty
RDC: Russian Depositary Certificates
RUB: Russian Ruble
144A: Security exempt from registration under Rule 144A of the Securities Act
of 1933. These Securities may resold in transactions exempt from registration,
normally to qualified institutional buyers. At December 31, 1998, the value of
these securities amounted to $725,817 or 0.18% of net assets.
EQUITY SWAP CONTRACTS
The Brinson Emerging Markets Equity Fund has entered into equity swap contracts
as of December 31, 1998. These swaps serve to reduce the Fund's exposure to
Short-Term Investments, as a percentage of net assets, from 5.96% to 0.55% and
increase the Fund's exposure to various countries. The following reflects the
open swap positions as of December 31, 1998, aggregated by country exposure.
<TABLE>
<CAPTION>
Net
Notional Unrealized
Amounts Maturity Dates Country Gain (Loss) Exposure
------------ ------------------- ------- ------------ --------
<S> <C> <C> <C> <C>
$ 6,427,052 05/14/1999 Korea $ 4,396,160 2.66%
3,322,417 03/15/99 - 04/15/99 Turkey 262,435 0.88%
10,676,678 02/16/99 - 10/04/99 Taiwan (922,994) 2.40%
1,562,845 07/20/99 Poland 301,306 0.46%
------------ ------------ ------
$ 21,988,992 $ 4,036,907 6.40%
============ ============ ======
</TABLE>
See accompanying notes to financial statements.
92
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 1998
<TABLE>
<S> <C>
ASSETS:
Investments, at value:
Unaffiliated issuers (Cost $436,536,933)..................... $ 374,705,075
Affiliated issuers (Cost $10,263,332)........................ 10,263,332
Cash.......................................................... 2,354,374
Foreign currency, at value (Cost $4,574,642).................. 4,600,979
Receivables:
Fund shares sold............................................. 6,574,720
Investment securities sold................................... 5,438,789
Net unrealized appreciation on equity swap contracts......... 5,589,007
Dividends.................................................... 393,955
Interest..................................................... 341,337
Other assets.................................................. 293,757
--------------
TOTAL ASSETS............................................... 410,555,325
--------------
LIABILITIES:
Payables:
Investment securities purchased.............................. 1,877,768
Fund shares redeemed......................................... 314,717
Net unrealized depreciation on swap contracts................ 1,552,100
Accrued expenses............................................. 84,689
--------------
TOTAL LIABILITIES.......................................... 3,829,274
--------------
NET ASSETS:
Applicable to 58,100,492 shares; no par value, unlimited
shares authorized............................................ $ 406,726,051
==============
Net asset value per share ($406,726,051 / 58,100,492 shares).. $ 7.0004
==============
Maximum offering price per share (net asset value, plus 1.52%
of net asset value, or 1.50% of offering price).............. $ 7.1068
==============
Redemption price per share (net asset value, less 1.50% of net
asset value, or 1.52% of redemption value)................... $ 6.8954
==============
NET ASSETS CONSIST OF:
Paid in capital............................................... $ 585,259,606
Accumulated net investment income............................. 31,124,528
Accumulated net realized loss................................. (151,917,253)
Net unrealized depreciation................................... (57,740,830)
--------------
NET ASSETS................................................. $ 406,726,051
==============
</TABLE>
See accompanying notes to financial statements.
93
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 1998
<TABLE>
<S> <C>
INVESTMENT INCOME:
Dividends (net of $424,126 for foreign taxes withheld)........ $ 9,283,875
Interest (net of $279,731 for foreign taxes withheld)......... 10,139,422
--------------
TOTAL INCOME............................................... 19,423,297
--------------
EXPENSES:
Custodian..................................................... 1,223,656
Administration................................................ 322,359
Professional.................................................. 95,120
Other......................................................... 20,504
--------------
TOTAL EXPENSES............................................. 1,661,639
--------------
NET INVESTMENT INCOME...................................... 17,761,658
--------------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments.................................................. (112,163,321)
Equity swap contracts........................................ (26,019,467)
Foreign currency transactions................................ (1,867,975)
--------------
Net realized loss........................................... (140,050,763)
--------------
Change in net unrealized appreciation or depreciation on:
Investments, equity swap contracts and foreign currency...... 26,218,678
Translation of other assets and liabilities denominated in
foreign currency............................................ 71,206
--------------
Change in net unrealized appreciation or depreciation....... 26,289,884
--------------
Net realized and unrealized loss.............................. (113,760,879)
--------------
Net decrease in net assets resulting from operations.......... $ (95,999,221)
==============
</TABLE>
See accompanying notes to financial statements.
94
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Year Ended Year Ended
December 31, 1998 December 31, 1997
----------------- -----------------
<S> <C> <C>
OPERATIONS:
Net investment income...................... $ 17,761,658 $ 8,365,844
Net realized loss.......................... (140,050,763) (9,483,262)
Change in net unrealized appreciation or
depreciation.............................. 26,289,884 (85,779,669)
-------------- -------------
Net decrease in net assets resulting from
operations................................ (95,999,221) (86,897,087)
-------------- -------------
CAPITAL SHARE TRANSACTIONS:
Shares sold................................ 168,513,076 366,188,354
Shares redeemed............................ (117,661,142) (6,756,104)
-------------- -------------
Net increase in net assets resulting from
capital share transactions (a)............ 50,851,934 359,432,250
-------------- -------------
TOTAL INCREASE (DECREASE) IN NET
ASSETS................................. (45,147,287) 272,535,163
-------------- -------------
NET ASSETS:
Beginning of year.......................... 451,873,338 179,338,175
-------------- -------------
End of year (including accumulated net
investment income of $31,124,528 and
$13,362,870, respectively)................ $ 406,726,051 $451,873,338
============== =============
(a)A summary of capital share transactions follows:
Shares Shares
-------------- -------------
Shares sold............................... 22,326,797 32,314,985
Shares redeemed........................... (13,538,648) (608,644)
-------------- -------------
Net increase in shares outstanding....... 8,788,149 31,706,341
============== =============
</TABLE>
See accompanying notes to financial statements.
95
<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 Ended December 31, Period Ended
------------------------------ December 31,
1998 1997 1996 1995*
-------- -------- -------- ------------
<S> <C> <C> <C> <C>
Net asset value, beginning of
period............................ $ 9.1635 $10.1862 $ 9.3164 $10.0000
-------- -------- -------- --------
Income from investment operations:
Net investment income............. 0.2647 0.2561*** 0.1810 0.1028
Net realized and unrealized gain
(loss)........................... (2.4278) (1.2788) 0.6888 (0.7864)
-------- -------- -------- --------
Total income (loss) from
investment operations........... (2.1631) (1.0227) 0.8698 (0.6836)
-------- -------- -------- --------
Net asset value, end of period..... $ 7.0004 $ 9.1635 $10.1862 $ 9.3164
======== ======== ======== ========
Total return (non-annualized)...... (23.61)% (10.04)% 9.34% (6.84)%
Ratios/Supplemental data
Net assets, end of period (in
000s)............................ $406,726 $451,873 $179,338 $ 90,129
Ratio of expenses to average net
assets........................... 0.38% 0.28% 0.46% 0.50%**
Ratio of net investment income to
average net assets............... 4.13% 2.44% 3.42% 3.86%**
Portfolio turnover rate........... 112% 62% 25% 2%
</TABLE>
*The Fund commenced operations June 30, 1995
**Annualized
*** The net investment income per share data was determined by using average
shares outstanding during the period.
See accompanying notes to financial statements.
96
<PAGE>
BRINSON U.S. SHORT/INTERMEDIATE FIXED INCOME FUND
- --------------------------------------------------------------------------------
Industry Diversification
As a Percent of Net Assets
As of December 31, 1998
<TABLE>
<S> <C>
U.S. BONDS
Corporate Bonds
Asset-backed.................. 22.36%
Banks......................... 5.69
Consumer...................... 2.38
Services/Miscellaneous........ 13.37
Energy........................ 3.45
Industrial.................... 5.60
Financial Services............ 18.29
Utilities..................... 1.70
Telecommunications............ 3.27
------
Total U.S. Corporate Bonds... 76.11
------
International Dollar Bonds.... 8.20
------
Total U.S. Bonds............. 84.31
------
SHORT-TERM INVESTMENTS........ 14.60
------
TOTAL INVESTMENTS............ 98.91
CASH AND OTHER ASSETS, LESS
LIABILITIES.................. 1.09
------
NET ASSETS................... 100.00%
======
</TABLE>
97
<PAGE>
BRINSON U.S. SHORT/INTERMEDIATE FIXED INCOME FUND
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1998
<TABLE>
<CAPTION>
Face
Amount Value
------------- -------------
<S> <C> <C>
Bonds - 84.31%
U.S. Corporate Bonds - 76.11%
Abbott Labs, 6.500%, due 09/06/01................. $ 235,000 $ 244,100
Albertson's Inc., 6.375%, due 06/01/00............ 345,000 350,084
Arcadia Automobile Receivables Trust, 98-C, Class
A3, 5.670%, due 08/15/06......................... 600,000 604,404
Aristar, Inc., 6.000%, due 08/01/01............... 290,000 291,545
Associates Corp. NA, Series E, 6.750%, due
10/31/01......................................... 250,000 260,187
Capital One Bank, 6.260%, due 05/07/01............ 1,000,000 987,176
Central Fidelity Banks, Inc., 8.150%, due
11/15/02......................................... 400,000 434,652
CIT Group, Inc., 5.800%, due 02/26/01............. 320,000 321,897
Comed Transitional Funding Trust, 98-1, Class A2,
5.290%, due 06/25/03............................. 300,000 300,081
Consolidated Edison Utility, 92-C, 7.600%, due
01/15/00......................................... 415,000 424,914
Countrywide Home Loans, Inc., Series F, FRN,
5.648%,
due 01/21/03..................................... 1,500,000 1,470,225
Cox Communications, Inc., 6.375%, due 06/15/00.... 305,000 309,502
Dean Witter Discover, Series E, FRN, 5.688%,
due 10/07/02..................................... 1,000,000 1,004,530
Electronic Data Systems, 144A, 6.850%, due
05/15/00......................................... 140,000 142,874
ERAC USA Finance Co., 7.000%, due 06/15/00........ 380,000 384,088
Fleetwood Credit Corp. Grantor Trust, 97-B, Class
A, 6.400%, due 05/15/13.......................... 701,000 713,786
Ford Motor Credit Co., FRN, 5.382%, due 04/29/02.. 1,000,000 993,065
GMAC, 5.350%, due 12/07/01........................ 350,000 348,777
Goldman Sachs, Series A FRN, 5.370%, due 1/31/02.. 1,000,000 994,455
Green Tree Master Trust, 98-2, Class A, FRN,
5.599%,
due 04/13/04..................................... 1,000,000 990,310
Heller Financial, Inc., Series H, 6.140%, due
04/13/00......................................... 1,000,000 1,002,654
Homeside Lending, Inc., FRN, 5.304%, due
04/24/01......................................... 1,000,000 995,299
MCI Worldcom, Inc., 6.125%, due 08/15/01.......... 500,000 508,379
Merrill Lynch & Co., FRN, 5.400%, due 06/24/03.... 1,000,000 993,895
Morgan Stanley Group, 8.875%, due 10/15/01........ 300,000 324,267
Potomac Capital Investments NV, Series C, 144A,
7.050%, due 10/02/01............................. 600,000 612,134
Premier Auto Trust, 98-4, Class A3, 5.690%, due
06/08/02......................................... 230,000 231,707
Proffitt's Credit Card Master Trust, 98-2, Class
A, 6.000%, due 09/15/04.......................... 1,000,000 1,014,590
Standard Credit Card Master Trust, Class A,
8.250%,
due 11/07/03..................................... 250,000 267,221
UGI Utilities, Inc., Series B, 6.170%, due
03/06/01......................................... 250,000 253,700
USA Waste Management Services Inc., 6.125%,
due 07/15/01..................................... 500,000 505,741
USG Corp., Series B, 9.250%, due 09/15/01......... 700,000 752,968
-------------
19,033,207
-------------
</TABLE>
98
<PAGE>
BRINSON U.S. SHORT/INTERMEDIATE FIXED INCOME FUND
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1998
<TABLE>
<CAPTION>
Face
Amount Value
-------------- -------------
<S> <C> <C>
International Dollar Bonds - 8.20%
Caisse Centrale Dejardins, Series E, 6.750%, due
04/17/01 $ 500,000 $ 517,020
Quebec Province, 9.000%, due 05/08/01............ 500,000 541,419
St. George Bank Ltd., Series E, 5.310%, due
03/20/02........................................ 1,000,000 991,850
-------------
2,050,289
-------------
Total Bonds (Cost $21,143,601)................... 21,083,496
-------------
Short-Term Investments - 14.60%
Investment Companies - 1.82% Shares
--------------
Brinson Supplementary Trust U.S. Cash Management
Prime Fund...................................... 453,196 453,196
-------------
Face
Commercial Paper - 12.78% Amount
--------------
Associates Corp. of North America, 5.100%, due
01/25/99........................................ $ 1,600,000 1,593,946
Ciesco Corp., 5.250%, due 02/01/99............... 1,610,000 1,602,277
-------------
3,196,223
-------------
Total Short-Term Investments (Cost $3,649,419)... 3,649,419
-------------
Total Investments (Cost $24,793,020) - 98.91%
(a)............................................. 24,732,915
-------------
Cash and other assets, less liabilities - 1.09%.. 273,521
-------------
Net Assets - 100%................................ $ 25,006,436
=============
</TABLE>
NOTES TO SCHEDULE OF INVESTMENTS
(a) Aggregate cost for federal income tax purposes was $24,793,020; and net
unrealized depreciation consisted of:
<TABLE>
<S> <C>
Gross unrealized appreciation............... $ 8,143
Gross unrealized depreciation............... (68,248)
---------
Net unrealized depreciation............. $(60,105)
=========
</TABLE>
FRN: Floating Rate Note--The rate disclosed is that in effect at December 31,
1998.
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,
1998, the value of these securities amounted to $755,008 or 3.02% of net
assets.
See accompanying notes to financial statements.
99
<PAGE>
BRINSON U.S. SHORT/INTERMEDIATE FIXED INCOME FUND
FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 1998
<TABLE>
<S> <C>
ASSETS:
Investments, at value:
Unaffiliated issuers (Cost $24,339,824)........................ $24,279,719
Affiliated issuers (Cost $453,196)............................. 453,196
Receivables:
Interest....................................................... 273,637
------------
TOTAL ASSETS................................................. 25,006,552
------------
LIABILITIES:
Payables:
Accrued expenses............................................... 116
------------
TOTAL LIABILITIES............................................ 116
------------
NET ASSETS:
Applicable to 2,500,117 shares; no par value, unlimited shares
authorized..................................................... $25,006,436
============
Net asset value, offering price and redemption price per share
($25,006,436 / 2,500,117 shares)............................... $ 10.0021
============
NET ASSETS CONSIST OF:
Paid in capital................................................. $25,001,168
Accumulated net investment income............................... 65,373
Net unrealized depreciation..................................... (60,105)
------------
NET ASSETS................................................... $25,006,436
============
</TABLE>
See accompanying notes to financial statements.
100
<PAGE>
BRINSON U.S. SHORT/INTERMEDIATE FIXED INCOME FUND
FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
FOR THE PERIOD ENDED DECEMBER 31, 1998*
<TABLE>
<S> <C>
INVESTMENT INCOME:
Interest............................................................ $ 65,489
---------
TOTAL INCOME..................................................... 65,489
---------
TOTAL EXPENSES................................................... 116
---------
NET INVESTMENT INCOME............................................ 65,373
---------
NET UNREALIZED LOSS:
Change in net unrealized appreciation or depreciation on:
Investments........................................................ (60,105)
---------
Net increase in net assets resulting from operations................ $ 5,268
=========
</TABLE>
*The Fund commenced operations December 14, 1998.
See accompanying notes to financial statements.
101
<PAGE>
BRINSON U.S. SHORT/INTERMEDIATE FIXED INCOME FUND
FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Period Ended
December 31, 1998*
------------------
<S> <C>
OPERATIONS:
Net investment income..................................... $ 65,373
Change in net unrealized appreciation or depreciation..... (60,105)
------------
Net increase in net assets resulting from operations...... 5,268
------------
CAPITAL SHARE TRANSACTIONS:
Shares sold............................................... 25,001,158
------------
Net increase in net assets resulting from capital share
transactions (a)......................................... 25,001,158
------------
TOTAL INCREASE IN NET ASSETS............................ 25,006,426
------------
NET ASSETS:
Beginning of period....................................... 10
------------
End of period (including accumulated net investment income
of $65,373).............................................. $25,006,436
============
(a)A summary of capital share transactions follows:
<CAPTION>
Shares
------------------
<S> <C>
Shares sold............................................... 2,500,116
============
</TABLE>
*The Fund commenced operations December 14, 1998.
See accompanying notes to financial statements.
102
<PAGE>
BRINSON U.S. SHORT/INTERMEDIATE FIXED INCOME 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, 1998*
------------------
<S> <C>
Net asset value, beginning of period......................... $10.0000
---------
Income from investment operations:
Net investment income....................................... 0.0262
Net realized and unrealized gain............................ (0.0241)
---------
Total income from investment operations.................. 0.0021
---------
Net asset value, end of period............................... $10.0021
=========
Total return (non-annualized)................................ 0.02%
Ratios/Supplemental data
Net assets, end of period (in 000s)......................... $ 25,006
Ratio of expenses to average net assets.................... 0.01%**
Ratio of net investment income to average net assets....... 5.31%**
Portfolio turnover rate.................................... 0%
</TABLE>
*The Fund commenced operations December 14, 1998.
**Annualized
See accompanying notes to financial statements.
103
<PAGE>
BRINSON U.S. CASH MANAGEMENT PRIME FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1998
<TABLE>
<CAPTION>
Shares Value
----------- -------------
<S> <C> <C>
Investment Company -- 99.94%
Brinson Supplementary Trust U.S. Cash Management
Prime Fund (Cost $299,043,160)..................... 299,043,160 $299,043,160
Cash and other assets, less liabilities -- 0.06%.... 181,053
-------------
Net Assets -- 100%.................................. $299,224,213
=============
</TABLE>
See accompanying notes to financial statements.
104
<PAGE>
BRINSON U.S. CASH MANAGEMENT PRIME FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 1998
<TABLE>
<S> <C>
ASSETS:
Investments, at value (Cost $299,043,160)...................... $299,043,160
Cash........................................................... 10,550
Receivables:
Interest...................................................... 1,376,454
Due from Advisor.............................................. 4,550
-------------
TOTAL ASSETS................................................ 300,434,714
-------------
LIABILITIES:
Payables:
Dividends..................................................... 1,210,394
Accrued expenses.............................................. 107
-------------
TOTAL LIABILITIES........................................... 1,210,501
-------------
NET ASSETS:
Applicable to 299,225,057 shares; no par value, unlimited
shares authorized............................................. $299,224,213
=============
Net asset value, offering price and redemption price per share
($299,224,213 / 299,225,057 shares)........................... $ 1.0000
=============
NET ASSETS CONSIST OF:
Paid in capital................................................ $299,225,057
Accumulated net realized loss.................................. (844)
-------------
NET ASSETS.................................................. $299,224,213
=============
</TABLE>
See accompanying notes to financial statements.
105
<PAGE>
BRINSON U.S. CASH MANAGEMENT PRIME FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
FOR THE PERIOD ENDED DECEMBER 31, 1998*
<TABLE>
<S> <C>
INVESTMENT INCOME:
Interest........................................................ $11,578,281
------------
TOTAL INCOME.................................................. 11,578,281
------------
EXPENSES:
Professional.................................................... 17,752
Custodian....................................................... 5,158
Trustees........................................................ 2,536
------------
TOTAL EXPENSES................................................ 25,446
------------
Expenses reimbursed by Advisor................................ (4,550)
------------
NET EXPENSES.................................................. 20,896
------------
NET INVESTMENT INCOME......................................... 11,557,385
------------
NET REALIZED LOSS:
Net realized loss............................................... (844)
------------
Net increase in net assets resulting from operations............ $11,556,541
============
</TABLE>
*The Fund commenced operations February 18, 1998.
See accompanying notes to financial statements.
106
<PAGE>
BRINSON U.S. CASH MANAGEMENT PRIME FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Period Ended
December 31, 1998*
------------------
<S> <C>
OPERATIONS:
Net investment income...................................... $ 11,557,385
Net realized loss.......................................... (844)
--------------
Net increase in net assets resulting from operations....... 11,556,541
--------------
DISTRIBUTIONS:
Net investment income...................................... (11,557,385)
--------------
CAPITAL SHARE TRANSACTIONS:
Shares sold................................................ 905,743,780
Shares reinvested.......................................... 591,582
Shares redeemed............................................ (607,110,306)
--------------
Net increase in net assets resulting from capital share
transactions (a).......................................... 299,225,056
--------------
TOTAL INCREASE IN NET ASSETS............................ 299,224,212
--------------
NET ASSETS:
Beginning of period........................................ 1
--------------
End of period.............................................. $ 299,224,213
==============
(a)A summary of capital share transactions follows:
<CAPTION>
Shares
------------------
<S> <C>
Shares sold............................................... 905,743,780
Shares reinvested......................................... 591,582
Shares redeemed........................................... (607,110,306)
--------------
Net increase in shares outstanding....................... 299,225,056
==============
</TABLE>
* The Fund commenced operations February 18, 1998.
See accompanying notes to financial statements.
107
<PAGE>
BRINSON U.S. CASH MANAGEMENT PRIME 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, 1998*
------------------
<S> <C>
Net asset value, beginning of period......................... $ 1.0000
---------
Income from investment operations:
Net investment income....................................... 0.0477
Net realized and unrealized gain............................ 0.0000
---------
Total income from investment operations.................. 0.0477
---------
Distribution:
Net investment income....................................... (0.0477)
---------
Net asset value, end of period............................... $ 1.0000
=========
Total return (non-annualized)................................ 4.88%
Ratios/Supplemental data
Net assets, end of period (in 000s)......................... $299,224
Ratio of expenses to average net assets:
Before expense reimbursement............................... 0.01%**
After expense reimbursement................................ 0.01%**
Ratio of net investment income to average net assets:
Before expense reimbursement............................... 5.52%**
After expense reimbursement................................ 5.52%**
</TABLE>
*The Fund commenced operations February 18, 1998.
**Annualized
See accompanying notes to financial statements.
108
<PAGE>
BRINSON HIGH YIELD FUND
- --------------------------------------------------------------------------------
Brinson Partners is an active manager of high yield fixed income client
portfolios. We believe successful high yield investing involves capturing the
market's high total return potential while minimizing losses due to credit
deterioration or default. We believe that our research-intensive effort and our
focus on long-term performance will result in superior risk-adjusted returns.
At the forefront of our philosophy is a focus on diversification and
preservation of principal.
The Brinson High Yield Fund earned an annualized return of 7.79% since its
performance inception on April 30, 1995, versus 9.54% for its benchmark, the
First Boston High Yield Bond Index. The Fund's total return for calendar year
1998 was -5.66%, versus 0.58% for the benchmark.
Spreads in the high yield market widened by 242 basis points during 1998 as
investors fled the high yield market for the safety and liquidity of U.S.
Treasuries. By year-end, liquidity had improved and spreads had tightened by
100 basis points from the October peak to end the year at 554 basis points.
Industry weightings contributed significantly to 1998 results. During 1998, the
Fund underweighted the energy, metals and paper industries, which all posted
negative returns, and overweighted broadcasting and diversified media, which
outperformed. Issue selection also played an important role in 1998 as bond
holdings in Simmons Co. and Ryder TRS, among others, were refinanced via tender
offers, resulting in significant capital appreciation.
At year end, the Fund contained approximately 100 issues, with 19% in double-B,
74% in single-B and 7% in CCC/CC/C rated issues.
109
<PAGE>
BRINSON HIGH YIELD FUND
- --------------------------------------------------------------------------------
Total Return
<TABLE>
<CAPTION>
Annualized
6 Months 1 Year 3 Years 4/30/95*
Ended Ended Ended to
12/31/98 12/31/98 12/31/98 12/31/98
- ----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Brinson High Yield Fund -7.60% -5.66% 7.06% 7.79%
- ----------------------------------------------------------------------------
First Boston High Yield Bond Index -3.57 0.58 8.31 9.54
- ----------------------------------------------------------------------------
Merrill Lynch High Yield Master Index -0.81 3.66 9.11 10.36
- ----------------------------------------------------------------------------
</TABLE>
*Performance inception date of the Brinson High Yield Fund.
** Effective December 31,1998, the Fund's benchmark changed from the First
Boston High Yield Bond Index to the Merrill Lynch High Yield Master Index.
The Fund determined that the Merrill Lynch High Yield Master Index more
closely reflects the investment objectives of the Fund.
All returns over 1 year are average annualized returns.
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, First Boston High Yield Bond Index and the Merrill Lynch High Yield
Master 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 and Merrill Lynch High Yield Master
Index
[LINE GRAPH OF BRINSON HIGH YIELD FUND VS. FIRST BOSTON HIGH YIELD BOND INDEX
AND MERRILL LYNCH HIGH YIELD MASTER INDEX APPEARS HERE]
<TABLE>
<CAPTION>
Brinson High Yield Fund First Boston High Yield Bond Index Merrill Lynch High Yield Master Index
----------------------- ---------------------------------- -------------------------------------
<S> <C> <C> <C>
4/30/95 100,000 100,000 10,0000
5/31/95 100,662 102,820 10,3124
6/30/95 100,553 103,499 10,3912
7/31/95 101,729 105,103 10,5100
8/31/95 102,291 105,397 10,5738
9/30/95 103,491 106,609 10,6947
10/31/95 104,956 107,793 10,7705
11/30/95 105,941 108,299 10,8757
12/31/95 107,361 109,675 11,0502
1/31/96 108,820 111,758 11,2247
2/29/96 110,836 112,351 11,2417
3/31/96 110,503 112,047 11,2111
4/30/96 111,210 112,652 11,2161
5/31/96 112,623 113,565 11,2970
6/30/96 112,963 113,815 11,3649
7/31/96 113,584 114,839 11,4421
8/31/96 115,713 116,091 11,5602
9/30/96 119,121 118,088 11,8083
10/31/96 119,625 119,080 11,9377
11/30/96 121,423 120,937 12,1791
12/31/96 123,175 123,295 12,2728
1/31/97 124,846 124,196 12,3672
2/28/97 126,409 126,530 12,5407
3/31/97 122,735 125,113 12,4013
4/30/97 124,892 126,227 12,5425
5/31/97 128,738 128,764 12,7952
6/30/97 131,130 130,515 12,9901
7/31/97 134,858 133,282 13,3018
8/31/97 135,479 134,002 13,2786
9/30/97 139,078 136,655 13,4985
10/31/97 137,523 136,641 13,5881
11/30/97 139,649 137,611 13,7168
12/31/97 139,645 138,864 13,8469
1/31/98 140,588 141,224 14,0531
2/28/98 141,432 142,326 14,1112
3/31/98 143,331 143,038 14,2328
4/30/98 143,577 144,110 14,3004
5/31/98 143,922 144,543 14,3999
6/30/98 142,574 144,846 14,4712
7/31/98 143,397 145,860 14,5537
8/31/98 130,486 135,956 13,9257
9/30/98 128,769 135,943 13,9536
10/31/98 126,011 133,237 13,7244
11/30/98 132,152 139,993 14,3493
12/31/98 131,736 139,671 14,3541
</TABLE>
Funds 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.
110
<PAGE>
BRINSON HIGH YIELD FUND
- --------------------------------------------------------------------------------
Industry Diversification
As a Percent of Net Assets
As of December 31, 1998
<TABLE>
<S> <C>
U.S. BONDS
Corporation Bonds
Appliances & Household
Durables.................. 1.19%
Broadcasting & Public Serv-
ice....................... 11.10
Business Services.......... 3.01
Construction............... 4.88
Consumer Goods............. 2.21
Electronics and Electric
Components................ 2.07
Energy..................... 1.98
Financial.................. 1.11
Food & House Products...... 3.79
Health..................... 2.19
Housing/Paper.............. 0.78
Industrial................. 17.62
Leisure & Tourism.......... 2.68
Machinery & Engineering.... 1.87
Multi-Industry............. 3.22
Real Estate................ 1.11
Recreation................. 4.79
Retail..................... 1.04
Services................... 2.09
Telecommunications......... 18.23
Utilities.................. 1.29
------
Total U.S. Corporate
Bonds.................... 88.25
------
International Dollar
Bonds.................... 4.01
------
Total U.S. Bonds.......... 92.26
------
U.S. EQUITIES
Common Stock............... 0.15
Preferred Stock............ 3.53
Warrants................... 0.03
------
Total U.S. Equities....... 3.71
------
SHORT-TERM INVESTMENTS.... 2.52
------
TOTAL INVESTMENTS........... 98.49
CASH AND OTHER ASSETS, LESS
LIABILITIES................ 1.51
------
NET ASSETS................ 100.00%
======
</TABLE>
111
<PAGE>
BRINSON HIGH YIELD FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1998
<TABLE>
<CAPTION>
Face
Amount Value
------------ -------------
<S> <C> <C>
U.S. Bonds - 92.26%
U.S. Corporate Bonds - 88.25%
21st Century Telecom Group 0.000%, due 02/15/08
(c)............................................... $ 6,000,000 $ 2,520,000
Ackerley Group, Inc. 144A, 9.000%, due 01/15/09.... 2,500,000 2,537,500
Advanced Lighting Technologies, Inc., 144A, 8.000%,
due 03/15/08...................................... 3,500,000 3,150,000
Affiliated Newspapers Investments, Inc., 0.000%,
due 07/01/06 (o).................................. 2,350,000 2,420,500
Allbritton Communications Co., Series B, 8.875%,
due 02/01/08...................................... 2,500,000 2,525,000
Alliance Laundry Systems, 144A, 9.625%, due
05/01/08.......................................... 3,500,000 3,360,000
American Business Information Services, 144A,
9.500%,
due 06/15/08...................................... 3,000,000 2,460,000
American Standard Cos., Inc., 10.875%, due
05/15/99.......................................... 1,250,000 1,253,125
Aurora Foods, Inc., Series D, 9.875%, due
02/15/07.......................................... 1,000,000 1,090,000
Aurora Foods, Inc., Series B, 9.875%, due
02/15/07.......................................... 3,500,000 3,815,000
Avalon Cable Holdings, 144A, 9.375%, due 12/01/08.. 3,250,000 3,323,125
Bally Total Fitness Holding Corp., Series B,
9.875%,
due 10/15/07...................................... 3,500,000 3,430,000
Big Flower Press Holdings, Inc., 144A, 8.625%,
due 12/01/08...................................... 3,750,000 3,787,500
Building Materials Holding Corp., 144A, 8.000%,
due 12/01/08...................................... 4,000,000 3,990,000
CalEnergy Co., Inc., 9.500%, due 09/15/06.......... 3,000,000 3,262,500
CB Richard Ellis Services, Inc., 8.875%, due
06/01/06.......................................... 3,500,000 3,430,000
Centennial Cellular Corp., 144A, 10.750%, due
12/15/08.......................................... 3,000,000 2,985,000
Century Communications Corp., Class B, 0.000%,
due 01/15/08...................................... 6,500,000 3,250,000
Chancellor Media Corp., Series B, 10.500%, due
01/15/07.......................................... 1,500,000 1,642,500
Citadel Broadcasting Co., 144A, 9.250%, due
11/15/08.......................................... 1,750,000 1,824,375
Citadel Broadcasting Co., 10.250%, due 07/01/07.... 3,000,000 3,262,500
Collins & Aikman Products, 11.500%, due 04/15/06... 3,000,000 3,120,000
COLT Telecom Group, 0.000%, due 12/15/06 (d)....... 4,000,000 3,360,000
CSC Holdings, Inc., 7.625%, due 07/15/18........... 1,500,000 1,470,900
Cumulus Media, Inc., 10.375%, due 07/01/08......... 3,500,000 3,710,000
Details Holdings Corp., Series B, 0.000%, due
11/15/07 (e)...................................... 5,000,000 2,775,000
Diamond Triumph Autoglass, 144A, 9.250%, due
04/01/08.......................................... 3,650,000 3,631,750
Digital Television Services, Series B, 12.500%, due
08/01/07.......................................... 2,000,000 2,180,000
Dobson/Sygnet Communications, 144A, 12.250%,
due 12/15/08...................................... 1,250,000 1,271,875
E.Spire Communications, Inc., 0.000%, due 07/01/08
(f)............................................... 3,500,000 1,365,000
Eagle Family Foods, Series B, 8.750%, due
01/15/08.......................................... 3,000,000 2,835,000
Fortress Group, Inc., 13.750%, due 05/15/03........ 4,000,000 4,200,000
Fox/Liberty Networks, 0.000%, due 08/15/07 (g)..... 5,000,000 3,400,000
Fresh Foods, Inc., 10.750%, due 06/01/06........... 2,000,000 1,880,000
Fundy Cable Ltd., 11.000%, due 11/15/05............ 3,000,000 3,180,000
</TABLE>
112
<PAGE>
BRINSON HIGH YIELD FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1998
<TABLE>
<CAPTION>
Face
Amount Value
------------ -------------
<S> <C> <C>
U.S. Corporate Bonds - (continued)
Globalstar LP, 11.375%, due 02/15/04............... $ 1,500,000 $ 1,132,500
Golden Sky Systems, Inc., 144A, 12.375%, due
08/01/06.......................................... 2,000,000 2,070,000
Granite Broadcasting Corp., 10.375%, due 05/15/05.. 1,000,000 1,010,000
Hines Horticulture, Inc., Series B, 11.750%, due
10/15/05.......................................... 1,950,000 2,081,625
Hollinger International, Inc., 9.250%, due
03/15/07.......................................... 3,499,000 3,691,445
Horseshoe Gaming LLC, Series B, 12.750%, due
09/30/00.......................................... 2,000,000 2,135,000
ICG Holdings, Inc., 0.000%, due 09/15/05 (h)....... 1,750,000 1,443,750
Icon Fitness Corp., Series B, 0.000%, due 11/15/06
(i)............................................... 7,000,000 70,000
Imax Corp., 7.875%, due 12/01/05................... 2,000,000 2,020,000
Interep National Radio Sales, 144A, 10.000%, due
07/01/08.......................................... 2,000,000 2,060,000
Intermedia Communications, Series B, 0.000%,
due 07/15/07 (j).................................. 4,850,000 3,298,000
International Comfort Products, Series B, 8.625%,
due 05/15/08...................................... 2,000,000 2,020,000
Iron Mountain, Inc., 8.750%, due 09/30/09.......... 3,300,000 3,399,000
J.H. Heafner Co., 144A, 10.000%, due 05/15/08...... 1,500,000 1,507,500
JCAC, Inc., 10.125%, due 06/15/06.................. 2,380,000 2,653,700
KMC Telecom Holdings, Inc., 0.000%, due 02/15/08
(k)............................................... 4,000,000 1,920,000
Lamar Advertising Co., 8.625%, due 09/15/07........ 2,535,000 2,661,750
Lamar Advertising Co., 9.625%, due 12/01/06........ 1,500,000 1,605,000
Liberty Group Operating, 9.375%, due 02/01/08...... 3,500,000 3,430,000
LIN Holdings Corp., 0.000%, due 03/01/08 (l)....... 4,500,000 3,150,000
Lowes Cineplex Entertainment Corp., 8.875%, due
08/01/08.......................................... 3,500,000 3,613,750
Mail-Well Corp., 144A, 8.750%, due 12/15/08........ 3,500,000 3,500,000
Marcus Cable Co., 0.000%, due 12/15/05 (m)......... 4,500,000 4,263,750
McLeodUSA, Inc., 9.250%, due 07/15/07.............. 3,250,000 3,396,250
Mediacom LLC., Series B, 8.500%, due 04/15/08...... 4,000,000 4,095,000
Microcell Telecommunications, Inc., Series B,
0.000%,
due 06/01/06 (n).................................. 3,500,000 2,598,750
MTS, Inc., 9.375%, due 05/01/05.................... 2,875,000 2,803,125
National Equipment Services, Inc., 144A, 10.000%,
due 11/30/04...................................... 1,500,000 1,462,500
Nationsrent, Inc., 144A, 10.375%, due 12/15/08..... 3,000,000 2,970,000
NBTY, Inc., Series B, 8.625%, due 09/15/07......... 3,750,000 3,656,250
Newpark Resources, Inc., Series B, 8.625%, due
12/15/07.......................................... 750,000 710,625
Nextel Communications, Inc., 0.000%, due 09/15/07
(p)............................................... 6,000,000 3,825,000
Nextlink Communications, Inc., 144A, 10.750%,
due 11/15/08...................................... 4,000,000 4,070,000
Nortek, Inc., Series B, 9.125%, due 09/01/07....... 3,000,000 3,090,000
Nortek, Inc., 9.875%, due 03/01/04................. 1,000,000 1,035,000
NTL, Inc., 144A, 0.000%, due 10/01/08 (q).......... 4,000,000 2,505,000
Nuevo Energy Co., Series B, 8.875%, due 06/01/08... 3,000,000 2,850,000
Packaged Ice, Inc. Series B, 9.750%, due 02/01/05.. 4,000,000 4,000,000
Parker Drilling Co., Series D, 9.750%, due
11/15/06.......................................... 2,500,000 2,225,000
Paxson Communications Corp., 11.625%, due
10/01/02.......................................... 3,000,000 3,075,000
</TABLE>
113
<PAGE>
BRINSON HIGH YIELD FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1998
<TABLE>
<CAPTION>
Face
Amount Value
------------ -------------
<S> <C> <C>
U.S. Corporate Bonds - (continued)
Pegasus Communications, 144A, 9.750%, due
12/01/06.......................................... $ 1,000,000 $ 1,002,500
Pegasus Communications, Series B, 9.625%, due
10/15/05.......................................... 1,500,000 1,503,750
Plastic Containers, Inc., Series B, 10.000%, due
12/15/06.......................................... 3,000,000 3,120,000
Premier Parks, Inc., 0.000%, due 04/01/08 (r)...... 6,690,000 4,532,475
Pride Petroleum Services, Inc., 9.375%, due
05/01/07.......................................... 3,500,000 3,255,000
PSINET, Inc., 144A, 11.500%, due 11/01/08.......... 3,750,000 3,928,125
R. H. Donnelly, Inc., 9.125%, due 06/01/08......... 1,950,000 2,042,625
Revlon Consumer Products, 8.625%, due 02/01/08..... 4,000,000 3,640,000
Riverwood International Corp., 10.625%, due
08/01/07.......................................... 3,000,000 2,970,000
Safety Kleen Co., 9.250%, due 06/01/08............. 1,500,000 1,545,000
SFX Entertainment, Inc., Series B, 9.125%, due
02/01/08.......................................... 3,500,000 3,465,000
Sinclair Broadcast Group, Inc., 8.750%, due
12/15/07.......................................... 3,500,000 3,535,000
Speedway Motorsports, Inc., 8.500%, due 08/15/07... 1,250,000 1,318,750
Station Casinos, Inc., 144A, 8.875%, due 12/01/08.. 2,000,000 2,030,000
Tenet Healthcare Corp., 144A, 8.125%, due
12/01/08.......................................... 2,000,000 2,050,000
Tenet Healthcare Corp., 8.625%, due 01/15/07....... 1,000,000 1,045,000
Trans-Resources, Inc., Series B, 0.000%, due
03/15/08 (s)...................................... 3,000,000 1,590,000
Transwestern Publishing Co., 144A, 9.625%, due
11/15/07.......................................... 2,000,000 2,080,000
Transwestern Publishing Co., 9.625%, due 11/15/07.. 2,000,000 2,080,000
United Artists Theatre Circuit, Inc., Series B,
9.750%,
due 04/15/08...................................... 2,650,000 2,530,750
United Rentals, Inc., Series B, 9.500%, due
06/01/08.......................................... 605,000 611,050
United Rentals, Inc., 144A, 8.800%, due 08/15/08... 3,860,000 3,782,800
United Rentals, Inc., 144A, 9.250%, due 01/15/09... 1,000,000 1,002,500
Verio, Inc., 144A, 11.250%, due 12/01/08........... 1,000,000 1,005,000
Victory Markets, Inc., 12.500%, due 03/15/00 (v)... 2,000,000 40,000
Weirton Steel Corp., 11.375%, due 07/01/04......... 3,500,000 3,150,000
Werner Holdings Co., Inc., Series A, 10.000%, due
11/15/07.......................................... 3,000,000 2,970,000
Wesco Distribution, Inc., Series B, 9.125%, due
06/01/08.......................................... 3,000,000 3,000,000
William Carter Co., Series A, 10.375%, due
12/01/06.......................................... 3,000,000 3,165,000
Wireless One, Inc., 0.000%, due 08/01/06 (t)....... 5,000,000 400,000
Young Broadcasting, Inc., Series B, 9.000%, due
01/15/06.......................................... 3,000,000 3,030,000
-------------
272,222,745
-------------
International Dollar Bonds - 4.01%
Croatia - Series A FRN, 6.563%, due 07/30/10....... 3,000,000 2,370,000
Mexican United States Global Bond, 9.875%, due
01/15/07.......................................... 3,500,000 3,438,750
Morocco - Loan Tranche A FRN, 6.063%, due
01/01/09.......................................... 3,500,000 2,765,000
Telesystems International Wireless, Inc., Series C,
0.000%, due 11/01/07 (u).......................... 5,000,000 1,900,000
Venezuela - DCB, Series DL, FRN, 5.938%, due
12/18/07.......................................... 3,000,000 1,901,250
-------------
12,375,000
-------------
Total Bonds (Cost $297,622,827).................... 284,597,745
-------------
</TABLE>
114
<PAGE>
BRINSON HIGH YIELD FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1998
<TABLE>
<CAPTION>
Shares Value
------------ -------------
<S> <C> <C>
U.S. Equities - 3.71%
CBS Radio, PIK Preferred, 11.375%.................. 3,158,400 $ 3,758,496
CSC Holdings, Inc., Series M....................... 30,218 3,369,307
F.T.D. Corp., Class B (b).......................... 81,250 406,250
Icon Health & Fitness Capital, Inc., Warrants,
144A, "99" (b).................................... 4,000 40
KMC Telecommunications Holdings, Inc., Warrants,
144A, "08" (b).................................... 6,000 15,000
Pegasus Communications Corp., Series A, PIK
Convertible Preferred, 12.750%.................... 3,579 3,757,950
Pegasus Communications Corp., Warrants "07" (b).... 3,000 97,500
Renaissance Cosmetics, Inc., PIK Convertible
Preferred, 14.000% (b)............................ 7,618 7,618
Renaissance Cosmetics, Inc., Warrants "01" (b)..... 4,000 --
Renaissance Cosmetics, Inc., Warrants "06" (b)..... 5,000 --
Royal Oak Mines, Inc. (b).......................... 171,428 42,857
-------------
Total U.S. Equities (Cost $15,990,402)............. 11,455,018
-------------
Short-Term Investments - 2.52%
Investment Companies - 2.52%
Brinson Supplementary Trust U.S. Cash Management
Prime Fund (Cost $7,759,725)...................... 7,759,725 7,759,725
-------------
Total Investments (Cost $321,372,954) - 98.49%
(a)............................................... 303,812,488
Cash and other assets, less liabilities - 1.51%.... 4,670,359
-------------
Net Assets - 100.00%............................... $308,482,847
=============
</TABLE>
See accompanying notes to schedule of investments.
115
<PAGE>
BRINSON HIGH YIELD FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1998
NOTES TO SCHEDULE OF INVESTMENTS
(a) Aggregate cost for federal income tax purposes was $321,372,954; and net
unrealized appreciation consisted of:
<TABLE>
<S> <C>
Gross unrealized appreciation............ $ 7,345,578
Gross unrealized depreciation............ (24,906,044)
-------------
Net unrealized depreciation.............. $(17,560,466)
=============
</TABLE>
(b) Non-income producing security
(c) Interest rate 0.000% until 02/15/03, then 12.250% to maturity
(d) Interest rate 0.000% until 12/15/01, then 12.000% to maturity
(e) Interest rate 0.000% until 11/15/02, then 12.500% to maturity
(f) Interest rate 0.000% until 07/01/03, then 10.675% to maturity
(g) Interest rate 0.000% until 08/15/02, then 9.750% to maturity
(h) Interest rate 0.000% until 09/15/00, then 13.500% to maturity
(i) Interest rate 0.000% until 11/15/01, then 14.000% to maturity
(j) Interest rate 0.000% until 07/15/02, then 11.250% to maturity
(k) Interest rate 0.000% until 02/15/03, then 12.500% to maturity
(l) Interest rate 0.000% until 03/11/03, then 10.000% to maturity
(m) Interest rate 0.000% until 06/15/00, then 14.250% to maturity
(n) Interest rate 0.000% until 12/01/01, then 14.000% to maturity
(o) Interest rate 0.000% until 07/01/99, then 13.250% to maturity
(p) Interest rate 0.000% until 09/15/02, then 10.650% to maturity
(q) Interest rate 0.000% until 10/01/03, then 12.375% to maturity
(r) Interest rate 0.000% until 04/01/03, then 10.000% to maturity
(s) Interest rate 0.000% until 03/15/03, then 12.000% to maturity
(t) Interest rate 0.000% until 08/01/01, then 13.500% to maturity
(u) Interest rate 0.000% until 11/01/02, then 10.500% to maturity
(v) Security in default as to payment of interest
FRN: Floating rate note, rate disclosed is as of December 31, 1998.
PIK: Payment in kind, interest payment in cash or additional securities.
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,
1998, the value of these securities amounted to $69,362,090 or 22.48% of
net assets.
See accompanying notes to financial statements.
116
<PAGE>
BRINSON HIGH YIELD FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 1998
<TABLE>
<S> <C>
ASSETS:
Investments, at value:
Unaffiliated issuers (Cost $313,613,229)...................... $296,052,763
Affiliated issuers (Cost $7,759,725).......................... 7,759,725
Cash........................................................... 988,286
Receivables:
Interest...................................................... 5,238,492
Investment securities sold.................................... 1,058,682
Dividends..................................................... 309,933
Due from Advisor............................................... 49,547
-------------
TOTAL ASSETS................................................ 311,457,428
-------------
LIABILITIES:
Payables:
Investment securities purchased............................... 2,425,034
Fund shares redeemed.......................................... 500,000
Accrued expenses.............................................. 49,547
-------------
TOTAL LIABILITIES........................................... 2,974,581
-------------
NET ASSETS:
Applicable to 23,416,791 shares; no par value, unlimited shares
authorized.................................................... $308,482,847
=============
Net asset value, offering price and redemption price per share
($308,482,847 / 23,416,791 shares)............................ $ 13.1736
=============
NET ASSETS CONSIST OF:
Paid in capital................................................ $272,535,694
Accumulated net investment income.............................. 55,889,340
Accumulated net realized loss.................................. (2,381,721)
Net unrealized depreciation.................................... (17,560,466)
-------------
NET ASSETS.................................................. $308,482,847
=============
</TABLE>
See accompanying notes to financial statements.
117
<PAGE>
BRINSON HIGH YIELD FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 1998
<TABLE>
<S> <C>
INVESTMENT INCOME:
Interest...................................................... $ 21,750,628
Dividends..................................................... 1,700,658
-------------
TOTAL INCOME................................................ 23,451,286
-------------
EXPENSES:
Custodian..................................................... 5,444
Professional.................................................. 29,596
Trustees...................................................... 4,524
Other......................................................... 2,995
-------------
TOTAL EXPENSES.............................................. 42,559
-------------
Expenses reimbursed by Advisor.............................. (42,559)
-------------
NET EXPENSES................................................ --
-------------
NET INVESTMENT INCOME....................................... 23,451,286
-------------
NET REALIZED AND UNREALIZED LOSS:
Net realized loss on investments.............................. (13,955,595)
Change in net unrealized appreciation or depreciation......... (16,983,209)
-------------
Net realized and unrealized loss.............................. (30,938,804)
-------------
Net decrease in net assets resulting from operations.......... $ (7,487,518)
=============
</TABLE>
See accompanying notes to financial statements.
118
<PAGE>
BRINSON HIGH YIELD FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Year Ended Year Ended
December 31, December 31,
1998 1997
------------- -------------
<S> <C> <C>
OPERATIONS:
Net investment income............................ $ 23,451,286 $ 14,417,600
Net realized gain (loss)......................... (13,955,595) 10,125,145
Change in net unrealized appreciation or
depreciation.................................... (16,983,209) (6,492,577)
------------- -------------
Net increase (decrease) in net assets resulting
from operations................................. (7,487,518) 18,050,168
------------- -------------
CAPITAL SHARE TRANSACTIONS:
Shares sold...................................... 177,164,918 33,985,265
Shares redeemed.................................. (17,715,079) (60,564,948)
------------- -------------
Net increase (decrease) in net assets resulting
from capital share transactions (a)............. 159,449,839 (26,579,683)
------------- -------------
TOTAL INCREASE (DECREASE) IN NET ASSETS....... 151,962,321 (8,529,515)
------------- -------------
NET ASSETS:
Beginning of year................................ 156,520,526 165,050,041
------------- -------------
End of year (including accumulated net investment
income of $55,889,340 and $32,438,054,
respectively)................................... $308,482,847 $156,520,526
============= =============
(a) A summary of capital share transactions
follows:
<CAPTION>
Shares Shares
------------- -------------
<S> <C> <C>
Shares sold..................................... 13,471,230 2,464,066
Shares redeemed................................. (1,262,864) (4,655,305)
------------- -------------
Net increase (decrease) in shares outstanding.. 12,208,366 (2,191,239)
============= =============
</TABLE>
See accompanying notes to financial statements.
119
<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>
Period
Year Ended December 31, Ended
----------------------------------- December 31,
1998 1997 1996 1995*
--------- --------- --------- ------------
<S> <C> <C> <C> <C>
Net asset value, beginning of
period....................... $13.9645 $12.3175 $10.7361 $10.0000
--------- --------- --------- ---------
Income from investment
operations:
Net investment income........ 1.4678*** 1.3299*** 0.8041 0.5408
Net realized and unrealized
gain (loss)................. (2.2587) 0.3171 0.7773 0.1953
--------- --------- --------- ---------
Total income (loss) from
investment operations..... (0.7909) 1.6470 1.5814 0.7361
--------- --------- --------- ---------
Net asset value, end of
period....................... $13.1736 $13.9645 $12.3175 $10.7361
========= ========= ========= =========
Total return (non-
annualized).................. (5.66)% 13.37% 14.73% 7.36%
Ratios/Supplemental data
Net assets, end of period
(in 000s)................... $308,483 $156,521 $165,050 $107,953
Ratio of expenses to average
net assets:
Before expense
reimbursement.............. 0.02% 0.06% 0.14% 0.33%**
After expense
reimbursement.............. 0.00% 0.00% 0.00% 0.00%**
Ratio of net investment
income to average net
assets:
Before expense
reimbursement.............. 10.75% 10.09% 9.17% 9.33%**
After expense
reimbursement.............. 10.77% 10.15% 9.31% 9.66%**
Portfolio turnover rate...... 106% 76% 45% 25%
</TABLE>
* The Fund commenced operations April 28, 1995.
** Annualized
*** The net investment income per share data was determined by using average
shares outstanding during the period.
See accompanying notes to financial statements.
120
<PAGE>
BRINSON EMERGING MARKETS DEBT FUND
- --------------------------------------------------------------------------------
The Brinson Emerging Markets Debt Fund is an actively managed diversified Fund
of fixed income securities issued by sovereign, agency and corporate borrowers
domiciled in countries typically excluded from the definition of "developed"
markets. Fundamental economic and political analyses are the key elements of
the process. Relative value analysis drives our duration, country allocation
and security selection strategies.
Since its performance inception on July 31, 1995, the first month-end after the
Fund became fully invested, the Brinson Emerging Markets Debt Fund has earned
an annualized return of 18.19%, compared to the 13.85% return of its benchmark,
the J.P. Morgan Emerging Markets Bond Index Plus (EMBI+). For the year 1998,
the Fund returned -13.34% versus -14.35% for the benchmark.
The emerging debt market had declined modestly through July (-0.40%), but in
August experienced its largest-ever monthly decline (-28.74%). Russia's default
on its local currency Treasury bills, after attempting an ill-conceived,
simultaneous internal debt restructuring and currency devaluation, was the main
cause. Without liquidity assistance, re-profiling short-term government debt
destroyed the bank sector and made international support moot. The EMBI+ partly
recovered in the last four months of 1998 with a +20.67% return. For the year,
emerging debt underperformed equivalent duration U.S. Treasury bonds, which
returned 9.84%.
In retrospect, the Asian crisis signaled a shift from a benign to malign global
economic environment for emerging economies. Self-reinforcing cyclical trends
of declining commodity prices, slowing G7 economies and retreating lenders all
bore down on these countries in 1998. Asian economies appear to be stabilizing
but Latin America may only be entering its downturn.
Market/country allocation strategies had mixed results while security selection
improved Fund performance. The most notable country strategies were an
unfavorable overweight in Russia and favorable overweights in Croatia,
Guatemala and Poland (local currency). Security selection within the Russian
market helped significantly. Our U.S. interest rate duration strategy had no
net impact upon performance.
At year-end, our Fund was fully invested with allocations to non-index
countries such as Colombia, Croatia, Turkey and Tunisia and underweights in the
major Latin markets of Brazil and Argentina.
121
<PAGE>
BRINSON EMERGING MARKETS DEBT FUND
- --------------------------------------------------------------------------------
December 31, 1998
Total Return
<TABLE>
<CAPTION>
Annualized
6 Months 1 Year 3 Years 6/30/95*
Ended Ended Ended to
12/31/98 12/31/98 12/31/98 12/31/98
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Brinson Emerging Markets Debt Fund(1).... -14.05% -13.34% 14.61% 17.36%
- -------------------------------------------------------------------------------
Brinson Emerging Markets Debt Fund(2).... -14.48 -13.77 14.43 17.36
- -------------------------------------------------------------------------------
JP Morgan EMBI+.......................... -13.42 -14.35 10.48 13.85
- -------------------------------------------------------------------------------
</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.
All returns over 1 year are average annualized returns.
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 in 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+
[LINE GRAPH OF BRINSON EMERGING MARKETS DEBT FUND VS. JP MORGAN EMBI+ APPEARS
HERE]
Brinson Emerging Markets Debt Fund JP Morgan EMBI+
---------------------------------- ---------------
6/30/95 100,000 100,000
98,952 100,074
101,671 102,435
105,713 105,964
104,843 104,876
108,802 108,546
12/31/95 116,401 116,772
127,448 125,646
118,868 118,715
121,904 121,419
129,544 128,043
132,236 130,259
6/30/96 136,384 134,838
139,238 137,656
145,236 142,712
156,324 151,916
158,248 153,109
167,000 160,744
12/31/96 168,816 162,676
175,557 167,181
178,950 170,082
172,262 163,948
177,672 168,802
185,086 175,352
6/30/97 190,948 179,389
199,060 186,831
199,245 186,075
205,585 191,761
185,908 169,672
195,410 177,728
12/31/97 202,278 183,853
203,272 183,481
210,539 188,733
215,693 193,431
215,905 193,899
210,889 187,281
6/30/98 203,957 181,875
204,961 183,120
145,381 130,500
152,861 143,261
162,186 152,530
177,930 161,507
12/31/98 175,294 157,470
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.
122
<PAGE>
BRINSON EMERGING MARKETS DEBT FUND
- --------------------------------------------------------------------------------
MARKET ALLOCATION
As of December 31, 1998
<TABLE>
<CAPTION>
Index Strategy Market Strategy Range
Weights Weight Over/Underweight (95% Frequency)
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Argentina..................... 28.8% 18.7% -10.1% 5-30
Brazil........................ 22.9 9.1 -13.7 5-30
Bulgaria...................... 2.6 1.8 -0.9 0-10
China......................... 0.0 2.6 2.6 0-10
Colombia...................... 0.0 8.8 8.8 0-10
Croatia....................... 0.0 5.4 5.4 0-10
Ecuador....................... 2.3 2.1 -0.2 0-10
Guatemaia..................... 0.0 0.9 0.9 0-10
Korea......................... 3.5 0.2 -3.3 0-10
Mexico........................ 19.9 17.9 -2.0 5-25
Morocco....................... 1.5 6.0 4.5 0-10
Nigeria....................... 1.1 0.0 -1.1 0-10
Panama........................ 2.5 0.0 -2.5 0-10
Peru.......................... 1.9 0.0 -1.9 0-10
Philippines................... 0.0 1.3 1.3 0-10
Poland........................ 4.0 0.0 -4.0 0-10
Russia........................ 2.6 8.6 6.1 0-20
Tunisia....................... 0.0 2.0 2.0 0-10
Turkey........................ 0.0 5.1 5.1 0-10
Venezuela..................... 6.7 6.8 0.2 0-15
Cash.......................... 0.0 2.8 2.8 0-30
----- -----
100.0% 100.0%
===== =====
</TABLE>
Note: Totals may not add due to rounding
123
<PAGE>
BRINSON EMERGING MARKETS DEBT FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1998
<TABLE>
<CAPTION>
Face
Amount Value
--------------- -------------
<S> <C> <C>
Bonds - 95.39%
International Dollar Bonds - 94.06%
Argentina - 18.28%
Argentina - Cia de Alimentos Fargo S.A, 144A,
13.250%, due 08/01/08.......................... $ 4,000,000 $ 3,040,000
Argentina - FRN, 9.165%, due 04/10/05........... 30,050,000 27,045,000
Argentina - Global Bearer, FRN, 6.188%, due
03/31/05....................................... 14,006,000 11,905,100
Argentina - Global Bond, 11.375%, due 01/30/17.. 7,200,000 7,182,000
Argentina - Global Bond, 9.750%, due 09/19/27... 5,200,000 4,615,000
Argentina - Par Series L, FRN, 5.750%, due
03/31/23....................................... 16,250,000 11,700,000
Argentina - Series XW, 11.000%, due 12/04/05.... 7,000,000 6,982,500
Argentina - Series XW, warrants, expiring
12/3/99........................................ 7,000 315,000
-------------
72,784,600
-------------
Brazil - 8.90%
Brazil - Bearer, Series L, FRN, 5.000%, due
04/15/09....................................... 3,800,000 1,824,000
Brazil - C PIK Bond, 8.000%, due 04/15/04....... 14,720,250 8,758,549
Brazil - DCB L, FRN, 6.750%, due 04/15/12....... 23,350,000 11,675,000
Brazil - EI, Series L, FRN, 6.688%, due
04/15/06....................................... 2,880,000 1,850,400
Brazil - MYDFA, FRN, 6.250%, due 09/15/07....... 12,901,619 7,289,415
Brazil - New Money Bond, FRN, 6.750%, due
04/15/09....................................... 3,250,000 1,775,312
Brazil - Series L, FRN, 5.000%, due 04/15/09.... 4,700,000 2,256,000
-------------
35,428,676
-------------
Bulgaria - 1.72%
Bulgaria - FLIRB, Series A, FRN, 2.250%, due
07/28/12....................................... 12,000,000 6,840,000
-------------
Cayman Islands - 4.29%
Cayman Islands - Sultan Ltd., FRN,
7.842%, due 06/11/99........................... 18,000,000 17,100,000
-------------
China - 1.90%
China - 7.300%, due 12/15/08.................... 7,600,000 7,563,520
-------------
Colombia - 8.69%
Colombia - 144A, 7.270%, due 06/15/03........... 31,200,000 26,208,000
Colombia - FRN, 12.243%, due 08/13/05........... 9,200,000 8,418,000
-------------
34,626,000
-------------
Croatia - 5.26%
Croatia - Series A, FRN, 6.563%, due 07/31/10... 26,500,000 20,935,000
-------------
Ecuador - 2.08%
Ecuador - Par, 3.500%, due 02/28/25............. 19,500,000 8,287,500
-------------
Guatemala - 0.85%
Guatemala - 8.500%, due 08/03/07................ 4,000,000 3,400,000
-------------
Hong Kong - 0.64%
Hong Kong - Silver Grant International
Industries,
1.000%, due 08/19/04........................... 5,400,000 2,551,500
-------------
</TABLE>
124
<PAGE>
BRINSON EMERGING MARKETS DEBT FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1998
<TABLE>
<CAPTION>
Face
Amount Value
--------------- -------------
<S> <C> <C>
Korea - 0.22%
Korea - Development Bank Global Bond, 8.090%,
due 10/06/04................................... $ 900,000 $ 893,250
-------------
Mexico - 17.73%
Mexico - Bufete Industries, 11.375%, due
07/15/99....................................... 900,000 738,000
Mexico - Conproca S.A., 144A, 12.000%, due
06/16/10....................................... 14,060,000 13,075,800
Mexico - Fideicumiso Petacalco Trust, 144A,
10.160%, due 12/23/09.......................... 6,200,000 5,332,000
Mexico - Monterray Power S.A., 144A, 9.625%, due
11/15/09....................................... 11,300,000 8,814,000
Mexico - Par Series W-B, 6.250%, due 12/31/19... 13,200,000 10,279,500
Mexico - Petro Mexicanos, 144A, 9.574%, due
07/15/05....................................... 13,300,000 12,302,500
Mexico - Petro Mexicanos, 9.574%, due 07/15/05.. 15,914,000 14,720,450
Mexico - United Mexican States, 6.571%, due
06/27/02....................................... 5,900,000 5,332,125
-------------
70,594,375
-------------
Morocco - 5.95%
Morocco - Loan Tranche A FRN, 6.813%, due
01/01/09....................................... 30,000,000 23,700,000
-------------
Netherlands - 0.75%
Netherlands - Cellco Finance, 144A, 15.000%, due
08/01/05....................................... 3,500,000 3,010,000
-------------
Russia - 8.14%
Russia - Interest Notes, Series US FRN, 5.969%,
due 12/15/15................................... 53,529,046 5,787,828
Russia - 144A, 8.750%, due 07/24/05............. 46,800,000 10,998,000
Russia - 12.750%, due 06/24/28.................. 52,050,000 15,615,000
-------------
32,400,828
-------------
Tunisia - 1.91%
Banque Centrale de Tunisie, 8.250%, due
09/19/27....................................... 9,500,000 7,600,000
-------------
Venezuela - 6.75%
Venezuela - DCB Series DL, FRN, 6.813%, due
12/18/07....................................... 26,357,055 16,703,784
Venezuela - Discount Bonds, Series B, FRN,
5.875%, due 03/31/20........................... 3,000,000 1,830,000
Venezuela - Discount Bonds, Series W-A FRN,
5.813%, due 03/31/20........................... 5,000,000 3,050,000
Venezuela - FLIRB Series B FRN, 6.750%, due
03/31/07....................................... 2,630,940 1,636,116
Venezuela - Global, 9.250%, due 09/15/27........ 6,000,000 3,660,000
Venezuela - Oil warrants........................ 57,120 --
-------------
26,879,900
-------------
374,595,149
-------------
Structured Note - 1.33%
U.S. Treasury Bill Linked Note
ING Bank, 144A, 0.000%, due 08/11/99 (b)........ 5,000,000 5,300,000
-------------
Total Bonds (Cost $421,002,189)................. 379,895,149
-------------
</TABLE>
125
<PAGE>
BRINSON EMERGING MARKETS DEBT FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1998
<TABLE>
<S> <C> <C>
Shares Value
--------------- -------------
Short-Term Investments - 2.58%
Investment Companies - 1.88%
Brinson Supplementary Trust U.S. Cash Management
Prime Fund..................................... 7,480,362 $ 7,480,362
-------------
Face
Amount
---------------
Treasury Obligations - 0.70%
U.S. Treasury Bill, due 02/25/99................ $2,800,000 2,782,609
-------------
Total Short-Term Investments (Cost
$10,261,454)................................... 10,262,971
-------------
Total Investments (Cost $431,263,643) - 97.97%
(a)............................................ 390,158,120
Cash and other assets, less liabilities -
2.03%......................................... 8,079,524
-------------
Net Assets - 100%............................... $ 398,237,644
=============
</TABLE>
See accompanying notes to schedule of investments.
126
<PAGE>
BRINSON EMERGING MARKETS DEBT FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1998
NOTES TO SCHEDULE OF INVESTMENTS
(a) Aggregate cost for federal income tax purposes was $431,263,643; and net
unrealized depreciation consisted of:
<TABLE>
<S> <C>
Gross unrealized appreciation............ $ 12,095,920
Gross unrealized depreciation............ (53,201,443)
------------
Net unrealized depreciation........... $(41,105,523)
============
</TABLE>
(b) No stated interest rate
FLIRB:Front loaded interest reduction bond
FRN:Floating rate note--The rate disclosed is that in effect at December 31,
1998
DCB:Debt conversion bond
PIK:Payments in kind, interest payment in cash or additional securities.
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,
1998, the value of these securities amounted to $88,080,300 or 22.12% of
net assets.
FUTURES CONTRACTS
The Brinson Emerging Markets Debt Fund had the following open futures contracts
as of December 31, 1998:
<TABLE>
<CAPTION>
Settlement Cost/ Current Unrealized
Date Proceeds Value Gain (Loss)
---------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
Interest Rate Futures Buy
Contracts
10 year U.S. Treasury Bonds,
1,050 contracts............. March 1999 133,742,897 134,170,313 $ 427,416
Interest Rate Futures Sell
Contracts
10 year U.S. Treasury Notes,
342 contracts............... March 1999 $40,556,669 $40,751,438 (194,769)
---------
Total.................... $ 232,647
=========
</TABLE>
The market value of investments pledged to cover margin requirements for the
open futures positions at December 31, 1998 was $2,782,609.
See accompanying notes to financial statements.
127
<PAGE>
BRINSON EMERGING MARKETS DEBT FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 1998
<TABLE>
<S> <C>
ASSETS:
Investments, at value:
Unaffiliated issuers (Cost $423,783,281)...................... $382,677,758
Affiliated issuers (Cost $7,480,362).......................... 7,480,362
Foreign currency, at value (Cost $4,422)....................... 4,236
Receivables:
Interest...................................................... 8,277,710
-------------
TOTAL ASSETS................................................ 398,440,066
-------------
LIABILITIES:
Payables:
Variation margin.............................................. 120,562
Accrued expenses.............................................. 81,860
-------------
TOTAL LIABILITIES........................................... 202,422
-------------
NET ASSETS:
Applicable to 22,718,250 shares; no par value, unlimited shares
authorized.................................................... $398,237,644
=============
Net asset value and redemption price per share ($398,237,644 /
22,718,250 shares)............................................ $ 17.5294
=============
Maximum offering price per share (net assets value, plus 0.50%
of net asset value or 0.50% of offering price)................ $ 17.6175
=============
NET ASSETS CONSIST OF:
Paid in capital................................................ $331,207,910
Accumulated net investment income.............................. 103,782,646
Accumulated net realized gain.................................. 4,120,150
Net unrealized depreciation.................................... (40,873,062)
-------------
NET ASSETS.................................................. $398,237,644
=============
</TABLE>
See accompanying notes to financial statements.
128
<PAGE>
BRINSON EMERGING MARKETS DEBT FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 1998
<TABLE>
<S> <C>
INVESTMENT INCOME:
Interest...................................................... $ 54,210,823
--------------
TOTAL INCOME............................................... 54,210,823
--------------
EXPENSES:
Administration................................................ 329,911
Professional.................................................. 87,151
Custodian..................................................... 83,577
Other......................................................... 10,190
--------------
TOTAL EXPENSES............................................. 510,829
--------------
NET INVESTMENT INCOME...................................... 53,699,994
--------------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments.................................................. (54,191,545)
Futures contracts............................................ 2,983,630
Foreign currency transactions................................ (745,060)
--------------
Net realized loss........................................... (51,952,975)
--------------
Change in net unrealized appreciation or depreciation on:
Investments.................................................. (57,912,319)
Futures contracts............................................ (240,888)
Translation of other assets and liabilities denominated in
foreign currency............................................ 8,630
--------------
Change in net unrealized appreciation or depreciation....... (58,144,577)
--------------
Net realized and unrealized loss.............................. (110,097,552)
--------------
Net decrease in net assets resulting from operations.......... $ (56,397,558)
==============
</TABLE>
See accompanying notes to financial statements.
129
<PAGE>
BRINSON EMERGING MARKETS DEBT FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Year Year
Ended Ended
December 31, 1998 December 31, 1997
----------------- -----------------
<S> <C> <C>
OPERATIONS:
Net investment income...................... $ 53,699,994 $ 25,868,174
Net realized gain (loss)................... (51,952,975) 37,060,810
Change in net unrealized appreciation or
depreciation.............................. (58,144,577) (12,971,139)
-------------- -------------
Net increase (decrease) in net assets
resulting from operations................. (56,397,558) 49,957,845
-------------- -------------
CAPITAL SHARE TRANSACTIONS:
Shares sold................................ 180,024,224 222,421,261
Shares redeemed............................ (153,474,069) (66,864,627)
-------------- -------------
Net increase in net assets resulting from
capital share transactions (a)............ 26,550,155 155,556,634
-------------- -------------
TOTAL INCREASE (DECREASE) IN NET
ASSETS................................. (29,847,403) 205,514,479
-------------- -------------
NET ASSETS:
Beginning of year.......................... 428,085,047 222,570,568
-------------- -------------
End of year (including accumulated net
investment income of $103,782,646 and
$50,082,652, respectively)................ $ 398,237,644 $428,085,047
============== =============
(a) A summary of capital share transactions
follows:
<CAPTION>
Shares Shares
----------------- -----------------
<S> <C> <C>
Shares sold............................... 10,283,200 11,490,582
Shares redeemed........................... (8,728,204) (3,511,554)
-------------- -------------
Net increase in shares outstanding....... 1,554,996 7,979,028
============== =============
</TABLE>
See accompanying notes to financial statements.
130
<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 Ended December 31, Period Ended
--------------------------------- December 31,
1998 1997 1996 1995*
--------- --------- --------- ------------
<S> <C> <C> <C> <C>
Net asset value, beginning of
period......................... $20.2278 $16.8816 $11.6401 $10.0000
--------- --------- --------- ---------
Income (loss) from investment
operations:
Net investment income......... 2.2017 1.7757*** 1.3882 0.4485
Net realized and unrealized
gain (loss).................. (4.9001) 1.5705 3.8533 1.1916
--------- --------- --------- ---------
Total income (loss) from
investment operations...... (2.6984) 3.3462 5.2415 1.6401
--------- --------- --------- ---------
Net asset value, end of period.. $17.5294 $20.2278 $16.8816 $11.6401
========= ========= ========= =========
Total return (non-annualized)... (13.34)% 19.82% 45.03% 16.40%
Ratios/Supplemental data
Net assets, end of period (in
000s)........................ $398,238 $428,085 $222,571 $119,654
Ratio of expenses to average
net assets................... 0.12% 0.13% 0.18% 0.50%**
Ratio of net investment income
to average net assets........ 12.21% 9.83% 11.89% 12.95%**
Portfolio turnover rate....... 122% 120% 71% 29%
</TABLE>
* The Fund commenced operations June 30, 1995.
** Annualized
*** The net investment income per share was determined by using average shares
outstanding during the period.
See accompanying notes to financial statements.
131
<PAGE>
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 eleven series representing
separate portfolios of investments, each of which is non-diversified. The
eleven series are: Brinson Global Securities Fund, Brinson U.S. Equity Fund,
Brinson U.S. Large Capitalization Value Equity Fund, Brinson Post-Venture Fund,
Brinson Non-U.S. Equity Fund, Brinson Emerging Markets Equity Fund, Brinson
U.S. Short/Intermediate Fixed Income Fund, Brinson U.S. Cash Management Prime
Fund, Brinson High Yield Fund, Brinson Emerging Markets Debt Fund and Brinson
Short Term Fund. (each a "Fund," and collectively the "Funds"). The following
is a summary of significant accounting policies followed by the Funds
(excluding Brinson Short Term Fund) in the preparation of their financial
statements.
A. Investment Valuation: Securities for which market quotations are readily
available are valued at the last available sales price on the exchange or
market on which they are principally traded, or lacking any sales, at the last
available bid price on the exchange or market on which such securities are
principally traded. 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 quoted forward exchange rates. Equity swap values are
derived based on the values, or estimates of the values, of the applicable
equity indices and foreign exchange rates underlying the contracts. Short-term
obligations with a maturity of 60 days or less are valued at amortized cost,
which approximates market value.
B. Foreign Currency Translation: 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 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.
132
<PAGE>
BRINSON RELATIONSHIP FUNDS - NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
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.
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 following funds to the extent that total operating expenses
exceed the following percentage of average daily net assets:
<TABLE>
<S> <C>
Brinson Global Securities Fund............................................ 0.05%
Brinson U.S. Equity Fund.................................................. 0.01
Brinson U.S. Large Capitalization Value Equity Fund....................... 0.01
Brinson Non-U.S. Equity Fund.............................................. 0.06
Brinson Emerging Markets Equity Fund...................................... 0.50
Brinson U.S. Short/Intermediate Fixed Income Fund......................... 0.01
Brinson U.S. Cash Management Prime Fund................................... 0.01
Brinson Emerging Markets Debt Fund........................................ 0.50
</TABLE>
Certain officers of the Funds are also officers and directors of the Advisor.
All officers serve without direct compensation from the Funds. Trustees' fees
paid to unaffiliated trustees were as follows:
<TABLE>
<S> <C>
Brinson Global Securities Fund......................................... $15,735
Brinson U.S. Equity Fund............................................... 4,500
Brinson U.S. Large Capitalization Value Equity Fund.................... 3,162
Brinson Post-Venture Fund.............................................. 5,979
Brinson Non-U.S. Equity Fund........................................... 2,960
Brinson Emerging Markets Equity Fund................................... 6,134
Brinson U.S. Short/Intermediate Fixed Income Fund...................... --
Brinson U.S. Cash Management Prime Fund................................ 2,536
Brinson High Yield Fund................................................ 4,524
Brinson Emerging Markets Debt Fund..................................... 5,430
</TABLE>
133
<PAGE>
BRINSON RELATIONSHIP FUNDS - NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
The Brinson Global Securities Fund invests in shares of certain affiliated
investment companies also sponsored by Brinson Partners, Inc. These investments
represented 14.38% of the Fund's total net assets at December 31, 1998. Amounts
relating to those investments at December 31, 1998 and for the year ended is
summarized as follows:
<TABLE>
<CAPTION>
Change in
Net Net
Sales Realized Unrealized
Affiliates Purchases Proceeds Gain Gain/(Loss) Value
- ------------------------ ------------- ------------- ----------- ------------ -------------
<S> <C> <C> <C> <C> <C>
Brinson Post-Venture
Fund................... $ 1,949,866 $ -- $ -- $(1,537,715) $ 28,787,545
Brinson High Yield
Fund................... 15,500,682 -- -- (2,001,026) 45,383,630
Brinson Emerging Markets
Equity Fund............ 5,140,074 -- -- (12,521,591) 45,645,216
Brinson Emerging Markets
Debt Fund.............. 29,703,323 6,000,000 1,445,902 (9,075,359) 82,021,931
Brinson Supplementary
Trust U.S. Cash
Management Prime Fund.. 524,364,768 484,040,103 -- -- 40,324,665
------------- ------------- ----------- ------------ -------------
$576,658,713 $490,040,103 $1,445,902 $25,135,691 $242,162,987
============= ============= =========== ============ =============
</TABLE>
The following Funds invest in shares of the Brinson Supplementary Trust U.S.
Cash Management Prime Fund ("Supplementary Trust"). The Supplementary Trust is
an investment company managed by the Advisor. The Supplementary Trust is
offered as a cash management option only to mutual funds and other accounts
managed by the Advisor. The Supplementary Trust pays no management fees.
Distributions from the Supplementary Trust are reflected as interest income on
the statement of operations. Amounts relating to those investments at December
31, 1998 and for the year then ended are summarized as follows:
<TABLE>
<CAPTION>
% of
Sales Interest Net
Fund Purchases Proceeds Income Value Assets
- ------------------------ ------------ ------------ ---------- ------------ ------
<S> <C> <C> <C> <C> <C>
Brinson U.S. Equity
Fund................... $ 24,030,468 $ 20,660,396 $ 92,211 $ 3,370,072 1.88%
Brinson U.S. Large
Capitalization Value
Equity Fund............ 16,219,857 15,055,453 32,413 1,164,404 1.04
Brinson Post-Venture
Fund................... 67,782,979 41,405,204 651,964 26,377,775 6.60
Brinson Non-U.S. Equity
Fund................... 23,123,942 22,161,975 36,335 961,967 1.27
Brinson Emerging Markets
Equity Fund............ 192,819,827 182,556,495 1,160,351 10,263,332 2.52
Brinson U.S.
Short/Intermediate
Fixed Income Fund...... 8,527,379 8,074,183 2,117 453,196 1.82
Brinson U.S. Cash
Management Prime Fund.. 741,256,135 442,212,975 7,324,817 299,043,160 99.94
Brinson High Yield
Fund................... 135,994,598 128,234,873 191,029 7,759,725 2.52
Brinson Emerging Markets
Debt Fund.............. 204,956,675 197,476,313 661,992 7,480,362 1.88
</TABLE>
134
<PAGE>
BRINSON RELATIONSHIP FUNDS - NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
3. INVESTMENT TRANSACTIONS
Investment transactions for the year ended December 31, 1998, excluding short-
term investments, were as follows:
<TABLE>
<CAPTION>
Purchases Proceeds from Sales
-------------- -------------------
<S> <C> <C>
Brinson Global Securities Fund............. $1,413,173,916 $1,098,397,241
Brinson U.S. Equity Fund................... 156,859,501 61,673,950
Brinson U.S. Large Capitalization Value Eq-
uity Fund................................. 143,846,161 36,798,405
Brinson Post-Venture Fund.................. 178,717,956 155,335,993
Brinson Non-U.S. Equity Fund............... 91,690,285 21,078,573
Brinson Emerging Markets Equity Fund....... 489,754,973 397,492,616
Brinson U.S. Short/Intermediate Fixed In-
come Fund................................. 21,148,270 --
Brinson High Yield Fund.................... 396,391,164 223,393,894
Brinson Emerging Markets Debt Fund......... 606,609,773 477,676,348
</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, if any, 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
unrealized gain 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, 1998, the Brinson Emerging Markets Equity Fund had open equity
swap contracts with a limited number of 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.
135
<PAGE>
BRINSON RELATIONSHIP FUNDS - NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
5. FORWARD FOREIGN CURRENCY CONTRACTS
The Brinson Global Securities Fund and the Brinson Non-U.S. Equity 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, 1998 was
the Fund's custodian, or an affiliate of 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. SECURITY LENDING:
The Brinson Global Securities Fund loaned securities to certain brokers, with
the Fund's custodian acting as the Fund's lending agent. The Fund earned
negotiated lenders' fees, which are included in interest income in the
statement of operations. Securities loaned are recorded at the amount of cash
collateral received. The Fund monitors the market value of securities loaned on
a daily basis and initially requires collateral against the loaned securities
in an amount at least to 102% of the value of domestic securities loaned and
105% of the value of non-U.S. securities loaned. The cash collateral received
is invested in short-term securities.
The value of loaned securities and related collateral outstanding at December
31, 1998, are as follows:
<TABLE>
<CAPTION>
Cash
Value of Loaned Collateral-
Securities Received
--------------- ------------
<S> <C> <C>
Brinson Global Securities Fund.................... $314,043,835 $327,023,452
============ ============
</TABLE>
8. 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
136
<PAGE>
BRINSON RELATIONSHIP FUNDS - NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
with the purchase and sale of securities within the Funds. 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 $3,745,133 and $5,541,127 and
$900,123 and $1,094,422, respectively, for the years ended December 31, 1998
and 1997, respectively, 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.
137
<PAGE>
BRINSON RELATIONSHIP FUNDS -- REPORT OF INDEPENDENT AUDITORS
- --------------------------------------------------------------------------------
The Board of Trustees and Shareholders of
Brinson Relationship Funds--
Brinson Global Securities Fund
Brinson U.S. Equity Fund
Brinson U.S. Large Capitalization Value Equity Fund
Brinson Post-Venture Fund
Brinson Non-U.S. Equity Fund
Brinson Emerging Markets Equity Fund
Brinson U.S. Short/Intermediate Fixed Income Fund
Brinson U.S. Cash Management Prime Fund
Brinson High Yield 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 U.S. Equity Fund, Brinson U.S. Large
Capitalization Value Equity Fund, Brinson Post-Venture Fund, Brinson Non-U.S.
Equity Fund, Brinson Emerging Markets Equity Fund, Brinson U.S.
Short/Intermediate Fixed Income Fund, Brinson U.S. Cash Management Prime Fund,
Brinson High Yield Fund and Brinson Emerging Markets Debt Fund as of December
31, 1998, the related statements of operations, cash flows (Brinson Global
Securities Fund only), 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, 1998, 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 U.S. Equity
Fund, Brinson U.S. Large Capitalization Value Equity Fund, Brinson Post-Venture
Fund, Brinson Non-U.S. Equity Fund, Brinson Emerging Markets Equity Fund,
Brinson U.S. Short/Intermediate Fixed Income Fund, Brinson U.S. Cash Management
Prime Fund, Brinson High Yield Fund and Brinson Emerging Markets Debt Fund at
December 31, 1998, the results of their operations, cash flows (Brinson Global
Securities Fund only), changes in their net assets and the financial highlights
for the periods indicated therein in conformity with generally accepted
accounting principles.
/s/ Ernst & Young LLP
Chicago, Illinois
February 12, 1999
138
