<PAGE>
- --------------------------------------------------------------------------------
BRINSON RELATIONSHIP FUNDS
BRINSON GLOBAL SECURITIES FUND
BRINSON U.S. EQUITY FUND
BRINSON U.S. LARGE CAPITALIZATION EQUITY FUND
BRINSON U.S. LARGE CAPITALIZATION VALUE EQUITY FUND
BRINSON POST-VENTURE FUND
BRINSON GLOBAL (EX-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 SHORT-TERM FUND
BRINSON HIGH YIELD FUND
BRINSON EMERGING MARKETS DEBT FUND
SEMI-ANNUAL REPORT
JUNE 30, 1999
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.................................... 24
Statement of Operations................................................ 25
Statement of Cash Flows................................................ 26
Statements of Changes in Net Assets.................................... 27
Financial Highlights................................................... 28
Brinson U.S. Equity Fund.................................................. 29
Schedule of Investments................................................ 32
Statement of Assets and Liabilities.................................... 35
Statement of Operations................................................ 36
Statements of Changes in Net Assets.................................... 37
Financial Highlights................................................... 38
Brinson U.S. Large Capitalization Equity Fund............................. 39
Schedule of Investments................................................ 42
Statement of Assets and Liabilities.................................... 44
Statement of Operations................................................ 45
Statement of Changes in Net Assets..................................... 46
Financial Highlights................................................... 47
Brinson U.S. Large Capitalization Value Equity Fund....................... 48
Schedule of Investments................................................ 51
Statement of Assets and Liabilities.................................... 53
Statement of Operations................................................ 54
Statement of Changes in Net Assets..................................... 55
Financial Highlights................................................... 56
Brinson Post-Venture Fund................................................. 57
Schedule of Investments................................................ 60
Statement of Assets and Liabilities.................................... 64
Statement of Operations................................................ 65
Statements of Changes in Net Assets.................................... 66
Financial Highlights................................................... 67
Brinson Global (Ex-U.S.) Equity Fund...................................... 68
Schedule of Investments................................................ 71
Statement of Assets and Liabilities.................................... 78
Statement of Operations................................................ 79
Statement of Changes in Net Assets..................................... 80
Financial Highlights................................................... 81
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Page
<S> <C>
Brinson Emerging Markets Equity Fund...................................... 82
Schedule of Investments................................................ 86
Statement of Assets and Liabilities.................................... 99
Statement of Operations................................................ 100
Statements of Changes in Net Assets.................................... 101
Financial Highlights................................................... 102
Brinson U.S. Short/Intermediate Fixed Income Fund......................... 103
Schedule of Investments................................................ 106
Statement of Assets and Liabilities.................................... 109
Statement of Operations................................................ 110
Statement of Changes in Net Assets..................................... 111
Financial Highlights................................................... 112
Brinson U.S. Cash Management Prime Fund................................... 113
Schedule of Investments................................................ 113
Statement of Assets and Liabilities.................................... 114
Statement of Operations................................................ 115
Statement of Changes in Net Assets..................................... 116
Financial Highlights................................................... 117
Brinson Short-Term Fund................................................... 118
Schedule of Investments................................................ 119
Statement of Assets and Liabilities.................................... 121
Statement of Operations................................................ 122
Statements of Changes in Net Assets.................................... 123
Financial Highlights................................................... 124
Brinson High Yield Fund................................................... 125
Schedule of Investments................................................ 128
Statement of Assets and Liabilities.................................... 133
Statement of Operations................................................ 134
Statements of Changes in Net Assets.................................... 135
Financial Highlights................................................... 136
Brinson Emerging Markets Debt Fund........................................ 137
Schedule of Investments................................................ 140
Statement of Assets and Liabilities.................................... 144
Statement of Operations................................................ 145
Statements of Changes in Net Assets.................................... 146
Financial Highlights................................................... 147
Brinson Relationship Funds--Notes to Financial Statements................. 148
</TABLE>
<PAGE>
BRINSON GLOBAL SECURITIES FUND
- --------------------------------------------------------------------------------
The Brinson Global Securities Fund provides investors with a single investment
vehicle for comprehensive diversification across global markets and assets
classes. It is a long-term, value-driven investment option designed to maximize
total U.S. dollar return without assuming unnecessary risk. Its benchmark is
the Global Securities Markets Relationship Fund Index.
In selecting securities for the Brinson Global Securities Fund, we seek out
price/value discrepancies across capital markets (at the asset class, country
and currency levels), and within capital markets (through sector, sub-sector
and individual security selection). The Fund is monitored on an ongoing basis,
and rebalanced with both risk and return considerations in mind. Our value
estimates and investment decisions are based on comprehensive analysis of
forward-looking investment fundamentals, drawing on the collective judgment of
our global investment teams.
Since its performance inception on April 30, 1995, the Brinson Global
Securities Fund has produced an annualized return of 13.49%, compared to the
15.40% return of its benchmark. This performance record was achieved with
significantly less risk or volatility than the benchmark; 6.63% versus 8.56%,
respectively. The lower risk level implies that the Fund has generated a much
more constant return stream over time, protecting its investors from unwanted
fluctuations in the Fund's value. For the year-to-date period, the Fund has
returned 2.73% versus the benchmark return of 5.83%.
The greatest reason for the Fund's underperformance relative to the benchmark
is its underweight of what we consider to be overvalued global equity markets.
Our analysis indicates that the current overvaluation of the U.S. market
exceeds that seen prior to the "crash" in 1987. Other major equity markets
throughout the world are significantly overvalued but not to the same extent as
the U.S. However, these markets would be expected to suffer in the wake of a
setback in the U.S., and as a consequence, equity allocation for the Fund is at
its minimum limit.
Offsetting the Fund's equity underweight is a general overweight to global bond
markets. The largest of these overweights is to the U.S. market (+20%), of
which 15.5% is in Treasury Inflation Protected Securities (TIPS). The next
largest overweight in the Fund is to Australian bonds (+9.7%), which were
believe are undervalued at current levels. Emerging market debt offers the best
valuation among all asset classes. The returns from the still very high spreads
to Treasuries outweigh the probabilities of loss due to default risk and the
required risk premium that is related to the high volatility of these
securities. As a result, the Fund holds a 5.43% overweight position in emerging
market debt.
The Fund's largest currency overweight positions are in the euro, Swedish krona
and Australian dollars. The Australian dollar has benefited from slightly
firmer commodities prices and robust domestic growth, but we estimate that it
is still undervalued against the U.S. dollar. The krona has strenghthened this
year against the euro, and has appreciated to a level closer to fundamental
value. Due to pessimism regarding economies and policy-setting within the EMU
currency area, the euro was one of the weakest currencies over the last
quarter. However, a cyclical strenghthening seems to be underway, and we
maintain our overweight position.
1
<PAGE>
BRINSON GLOBAL SECURITIES FUND
- --------------------------------------------------------------------------------
Total Return
<TABLE>
<CAPTION>
6 Months 1 Year 3 Years Annualized
Ended Ended Ended 4/30/95*
6/30/99 6/30/99 6/30/99 to 6/30/99
- ----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Brinson Global Securities Fund 2.73% 5.61% 11.17% 13.49%
- ----------------------------------------------------------------------------
GSMI Relationship Fund Index** 5.83 11.87 14.52 15.40
- ----------------------------------------------------------------------------
MSCI World Equity (Free) Index 8.57 15.87 18.53 18.06
- ----------------------------------------------------------------------------
Salomon Smith Barney World Govt. Bond
Index -7.17 4.13 4.11 3.87
- ----------------------------------------------------------------------------
</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% MSCI Emerging Markets Free 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, GSMI Relationship Fund Index, MSCI World Equity (Free) Index,
Salomon Smith Barney World and the Government Bond Index if you had invested
$100,000 on April 30, 1995. Past performance is no guarantee of future results.
Share price and return will vary with market conditions; investors may realize
a gain or loss upon redemption.
Brinson Global Securities Fund
vs. GSMI Relationship Fund Index,
MSCI World Equity (Free) Index, and the Salomon Smith Barney
World Government Bond Index
[CHART OF BRINSON GLOBAL SECURITIES FUNDS]
Fund returns are net of all fees and costs, while the Index returns are based
solely on market returns without deduction for fees or transaction costs for
rebalancing.
2
<PAGE>
BRINSON GLOBAL SECURITIES FUND
- --------------------------------------------------------------------------------
TOP TEN U.S. EQUITY HOLDINGS
TOP TEN GLOBAL (EX-U.S.) EQUITY HOLDINGS
As of June 30, 1999 (Unaudited)
As of June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Percent of
Net Assets
- ------------------------------------
<S> <C>
1. Xerox Corp. ......... 1.37%
2. FDX Corp............. 0.93
3. Burlington Northern
Santa Fe Corp. ......... 0.87
4. Raytheon Co., Class
B....................... 0.80
5. Electronic Data
Systems Corp. .......... 0.79
6. Corning, Inc. ....... 0.77
7. Aetna, Inc. ......... 0.75
8. Lockheed Martin
Corp. .................. 0.66
9. CIGNA Corp. ......... 0.61
10. General Instrument
Corp. .................. 0.61
- ------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Percent of
Net Assets
---------------------------------------
<S> <C>
1. BP Amoco PLC................................................ 0.25%
2. Veba AG..................................................... 0.25
3. Nippon Telegraph & Telephone Corp. ......................... 0.21
4. ING Groep NV................................................ 0.21
5. Nestle S.A. (Reg.).......................................... 0.20
6. Lloyds TSB Group PLC........................................ 0.19
7. Glaxo Wellcome PLC.......................................... 0.19
8. Marks & Spencer PLC......................................... 0.18
9. General Electric Co. PLC.................................... 0.18
10. Bayer AG.................................................... 0.17
---------------------------------------
</TABLE>
TOP TEN U.S. BOND HOLDINGS
TOP TEN GLOBAL (EX-U.S.) BOND HOLDINGS
As of June 30, 1999 (Unaudited)
As of June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Percent of
Net Assets
- --------------------------------------
<S> <C>
1. U.S. Treasury
Inflation Indexed Note
3.625%, due 04/15/28..... 9.41%
2. U.S. Treasury
Inflation Indexed Note
3.875%, due 01/15/09..... 2.22
3. U.S. Treasury Bond
8.000%, due 11/15/21..... 1.60
4. U.S. Treasury
Inflation Indexed Note
3.875%, due 04/15/29..... 1.53
5. U.S. Treasury Note
3.625%, due 01/15/08..... 0.58
6. Federal National
Mortgage Association
6.500%, due 11/01/28..... 0.47
7. Prudential Home
Mortgage Securities, 94-
3, Class A10,
6.500%, due 02/25/24..... 0.37
8. Freddie Mac,
5.750%, due 06/15/01..... 0.37
9. FGCI,
7.500%, due 08/01/09..... 0.34
10. Federal National
Mortgage Association.... 0.33
- --------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Percent of
Net Assets
---------------------------------------
<S> <C>
1. Kingdom of Sweden
6.000%, due 02/09/05........................................... 0.73%
2. Government of Canada
4.250%, due 12/01/21........................................... 0.67
3. Government of France (OAT)
5.250%, due 04/25/08........................................... 0.66
4. Treuhandanstalt
6.250%, due 03/04/04........................................... 0.64
5. Bank Nederlandse Gemeenten
7.375%, due 08/06/07........................................... 0.62
6. Queensland Treasury Corp.-Global Notes
6.500%, due 06/14/05........................................... 0.57
7. Caisse D'Amort Dette Soc
6.250%, due 03/05/08........................................... 0.57
8. Government of France (OAT)
8.500%, due 12/26/12........................................... 0.56
9. Depfa Pfandbriefbank
5.250%, due 06/14/04........................................... 0.51
10. Kingdom of Denmark
7.000%, due 12/15/04........................................... 0.51
---------------------------------------
</TABLE>
3
<PAGE>
BRINSON GLOBAL SECURITIES FUND
- --------------------------------------------------------------------------------
Industry Diversification
As a Percent of Net Assets
As of June 30, 1999 (Unaudited)
<TABLE>
<S> <C>
U.S. EQUITIES
Energy................................................................... 0.17%
Capital Investment
Capital Goods........................................................... 2.37
Technology.............................................................. 3.79
-----
6.16
Basic Industries
Chemicals............................................................... 1.02
Housing/Paper........................................................... 1.89
Metals.................................................................. 0.74
-----
3.65
Consumer
Non-Durables............................................................ 0.73
Retail/Apparel.......................................................... 1.36
Autos/Durables.......................................................... 0.93
Health: Drugs........................................................... 1.07
Health: Non-Drugs....................................................... 1.25
-----
5.34
Financial
Banks................................................................... 2.34
Non-Banks............................................................... 2.23
-----
4.57
Utilities
Electric................................................................ 1.02
Transportation........................................................... 2.12
Services/Misc............................................................ 1.47
Post Venture............................................................. 1.80
-----
Total U.S. Equities.................................................... 26.30*
-----
Global (Ex-U.S.) EQUITIES
Aerospace & Military.................................................... 0.15
Airlines................................................................ 0.13
Appliances & Household Durables......................................... 0.22
Autos/Durables.......................................................... 0.63
Banks................................................................... 1.52
Beverages & Tobacco..................................................... 0.42
Broadcasting & Publishing............................................... 0.68
Building Materials...................................................... 0.15
Business & Public Service............................................... 0.55
Chemicals............................................................... 0.64
Construction............................................................ 0.11
Data Processing......................................................... 0.35
Electronics............................................................. 0.87
Electronics Components.................................................. 0.21
Energy.................................................................. 0.80
Financial Services...................................................... 0.27
Food & House Products................................................... 0.65
Forest Products......................................................... 0.16
Health & Personal Care.................................................. 0.98
Industrial Components................................................... 0.36
Insurance............................................................... 0.80
Leisure & Tourism....................................................... 0.05
Machinery & Engineering................................................. 0.13
Merchandising........................................................... 0.76
Metals Steel............................................................ 0.21
Metals--Non-Ferrous..................................................... 0.28
Multi-Industry.......................................................... 0.21
Real Estate............................................................. 0.13
Recreation.............................................................. 0.15
</TABLE>
<TABLE>
<S> <C>
Telecommunications.................................................... 1.28%
Textile and Apparel................................................... 0.03
Transportation........................................................ 0.25
Utilities............................................................. 0.78
Wholesale & International Trade....................................... 0.09
-------
Total Global (Ex-U.S.) Equities...................................... 15.00
-------
EMERGING MARKETS EQUITIES.............................................. 3.76
U.S. BONDS
U.S. Corporate Bonds
Airlines.............................................................. 0.21
Asset-Backed.......................................................... 1.08
Banks................................................................. 0.02
Broadcasting.......................................................... 0.08
Consumer.............................................................. 0.72
CMO................................................................... 0.51
Energy................................................................ 0.02
Financial Services.................................................... 0.61
Services/Miscellaneous................................................ 0.82
Technology............................................................ 0.45
Telecommunications.................................................... 0.26
Utilities............................................................. 0.16
-------
Total U.S. Corporate Bonds........................................... 4.94
-------
International Dollar Bonds
Foreign Banks......................................................... 1.33
Foreign Multi-Industry................................................ 0.18
Foreign Financial..................................................... 0.48
Foreign Government.................................................... 0.16
Foreign Technology.................................................... 0.06
Foreign Utilities..................................................... 0.56
-------
Total International Dollar Bonds..................................... 2.77
-------
Mortgage-Backed Securities............................................. 2.18
U.S. Government Agencies............................................... 4.36
U.S. Government Obligations............................................ 15.52
-------
Total U.S. Bonds..................................................... 29.77*
-------
HIGH-YIELD BONDS....................................................... 2.84
Global (Ex-U.S.) BONDS
Foreign Financial Bonds............................................... 2.32
Foreign Government Bonds.............................................. 12.06
-------
Total Global (Ex-U.S.) Bonds......................................... 14.38
-------
EMERGING MARKETS BONDS................................................. 5.43
SHORT-TERM INVESTMENTS................................................. 23.50*
-------
TOTAL INVESTMENTS.................................................... 120.98
LIABILITIES LESS CASH AND OTHER ASSETS................................. (20.98)
-------
NET ASSETS............................................................. 100.00%
=======
</TABLE>
* The Fund held a short position in stock index futures which reduced the U.S.
Equity exposure from 26.30% to 16.05%. The Fund also held a long position in
U.S. Treasury futures which increased the U.S. Bond exposures from 29.77% to
39.97%. These adjustments resulted in a net increase to the Funds exposure to
Short-Term Investments from 23.50% to 23.55%.
4
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
--------------- --------------
<S> <C> <C>
Equities - 45.06%
U.S. Equities - 26.30%
Advanced Micro Devices, Inc. (b).............. 204,700 $ 3,697,394
Aetna, Inc. .................................. 135,900 12,154,556
Allergan, Inc. (b)............................ 43,300 4,806,300
Alza Corp. ................................... 179,300 9,121,887
American Standard Cos., Inc. (b).............. 94,000 4,512,000
Aon Corp. .................................... 231,050 9,530,812
Armstrong World Industries, Inc. ............. 24,800 1,433,750
BankBoston Corp. ............................. 49,700 2,540,913
Baxter International, Inc. ................... 100,100 6,068,562
Brinson Post-Venture Fund (b)................. 1,520,343 29,322,098
Burlington Northern Santa Fe Corp. ........... 457,100 14,170,100
Champion Enterprises, Inc. (b)................ 80,200 1,493,725
Champion International Corp. ................. 28,400 1,359,650
Chase Manhattan Corp. ........................ 79,100 6,852,037
CIGNA Corp. .................................. 110,900 9,870,100
Circuit City Stores-Circuit City Group........ 85,500 7,951,500
CMS Energy Corp. ............................. 84,300 3,530,063
CommScope, Inc. (b)........................... 79,399 2,441,519
Computer Sciences Corp. (b)................... 49,000 3,390,188
Compuware Corp. (b)........................... 95,600 3,041,275
Comverse Technology, Inc. (b)................. 27,570 2,081,535
Consolidated Stores Corp. (b)................. 112,600 3,040,200
Corning, Inc. ................................ 179,100 12,559,387
Covance, Inc. (b)............................. 71,750 1,717,516
Delphi Automotive Systems Corp. .............. 165,200 3,066,525
Dial Corp. ................................... 47,200 1,755,250
Dominion Resources, Inc. ..................... 21,900 948,544
Eastman Chemical Co. ......................... 50,300 2,603,025
Electronic Data Systems Corp. ................ 226,800 12,828,375
Eli Lilly and Company......................... 49,600 3,552,600
Entergy Corp. ................................ 239,200 7,475,000
FDX Corp. (b)................................. 279,000 15,135,750
Federal-Mogul Corp. .......................... 42,700 2,220,400
First American Corp. of Tennessee............. 23,900 993,344
First Data Corp. ............................. 191,570 9,374,957
First Security Corp. ......................... 45,150 1,230,338
First Union Corp. ............................ 75,900 3,567,300
Fleet Financial Group, Inc. .................. 114,500 5,080,937
Fleetwood Enterprises, Inc. .................. 55,200 1,459,350
Food Lion Inc., Class A....................... 276,400 3,282,250
Fort James Corp. ............................. 158,300 5,995,612
GATX Corp. ................................... 14,400 548,100
General Instrument Corp. (b).................. 231,900 9,855,750
Genzyme Corp. (b)............................. 36,900 1,789,650
Genzyme Surgical Products Division (b)........ 6,605 29,105
</TABLE>
5
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
--------------- --------------
<S> <C> <C>
U.S. Equities - (continued)
Geon Co. ..................................... 14,500 $ 467,625
GreenPoint Financial Corp. ................... 143,600 4,711,875
Hibernia Corp. ............................... 115,700 1,815,044
Household International, Inc. ................ 147,900 7,006,762
Illinois Tool Works, Inc. .................... 27,400 2,246,800
IMC Global, Inc. ............................. 165,500 2,916,938
Johnson Controls, Inc. ....................... 43,100 2,987,369
Kimberly-Clark Corp. ......................... 92,300 5,261,100
Lafarge Corp. ................................ 49,500 1,754,156
Lear Corp. (b)................................ 109,500 5,447,625
Lockheed Martin Corp. ........................ 289,880 10,798,030
Lyondell Chemical Company..................... 131,500 2,712,188
Martin Marietta Materials, Inc. .............. 26,763 1,579,017
Masco Corp. .................................. 285,000 8,229,375
Mattel, Inc. ................................. 129,600 3,426,300
MCN Energy Group, Inc. ....................... 35,300 732,475
Nabisco Holdings Corp. ....................... 10,600 458,450
National Service Industries, Inc. ............ 44,900 1,616,400
New York Times Co. ........................... 51,000 1,877,438
Newell Rubbermaid, Inc. ...................... 93,900 4,366,350
Nextel Communications, Inc. (b)............... 127,600 6,403,925
Norfolk Southern Corp. ....................... 155,000 4,669,375
Peco Energy Co. .............................. 92,500 3,873,438
Pentair, Inc. ................................ 48,300 2,209,725
Philip Morris Companies, Inc. ................ 144,900 5,823,169
PNC Bank Corp. ............................... 74,400 4,287,300
Praxair, Inc. ................................ 84,600 4,140,112
Raytheon Co., Class B......................... 185,100 13,026,412
Regions Financial Corp. ...................... 23,400 899,438
Southdown, Inc. .............................. 52,560 3,376,980
St. Jude Medical, Inc. (b).................... 129,300 4,606,312
Tyson Foods, Inc. ............................ 169,800 3,820,500
U.S. Bancorp.................................. 117,252 3,986,568
Ultramar Diamond Shamrock Corp. .............. 94,190 2,054,519
United Healthcare Corp. ...................... 91,300 5,717,662
USG Corp. .................................... 37,800 2,116,800
Vencor, Inc. (b).............................. 96,100 14,415
Ventas, Inc. ................................. 63,700 342,388
Viad Corp. ................................... 89,800 2,778,188
W.W. Grainger, Inc. .......................... 27,800 1,495,988
Wells Fargo and Co. .......................... 159,500 6,818,625
Westvaco Corp. ............................... 33,900 983,100
Xerox Corp. .................................. 377,300 22,284,281
York International Corp. ..................... 56,900 2,436,031
--------------
Total U.S. Equities........................... 428,055,797
--------------
</TABLE>
6
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
--------------- --------------
<S> <C> <C>
Global (Ex-U.S.) Equities - 15.00%
Australia - 1.17%
Amcor Ltd. ................................... 58,280 $ 323,958
Amp Ltd. ..................................... 82,400 900,793
Brambles Industries Ltd. ..................... 31,630 833,250
Broken Hill Proprietary Co., Ltd. ............ 176,619 2,045,825
CSR Ltd. ..................................... 217,130 620,864
David Jones Ltd. ............................. 247,170 242,131
Lend Lease Corp., Ltd. ....................... 58,640 805,116
National Australia Bank Ltd. ................. 129,640 2,145,221
News Corp. Ltd. .............................. 262,200 2,237,065
News Corp. Ltd., Preferred.................... 72,474 552,142
Orica Ltd. ................................... 29,150 159,198
Pacific Dunlop Ltd. .......................... 30,235 43,628
Qantas Airways Ltd............................ 338,117 1,116,762
QBE Insurance Group Ltd....................... 130,163 495,391
Rio Tinto Ltd................................. 58,209 954,430
Santos Ltd.................................... 141,080 462,236
Telstra Corp. Ltd............................. 457,000 2,618,645
Westpac Banking Corp., Ltd.................... 199,260 1,292,526
WMC Ltd....................................... 150,675 647,260
Woolworth's Ltd............................... 148,340 493,387
--------------
18,989,828
--------------
Austria - 0.02%
Austria Tabakwerke AG......................... 6,000 349,611
--------------
Belgium - 0.18%
Fortis B...................................... 70,629 2,217,968
KBC Bancassurance Holding..................... 12,090 716,934
--------------
2,934,902
--------------
Canada - 0.35%
Agrium, Inc. ................................. 27,960 243,689
Alcan Aluminum Ltd. .......................... 12,830 405,245
Bank of Montreal.............................. 7,835 283,205
Canadian National Railway Co. ................ 7,840 523,867
Canadian Pacific Ltd. ........................ 23,648 559,205
Hudson's Bay Co. ............................. 24,590 274,127
Imasco, Ltd. ................................. 12,810 343,596
Imperial Oil Ltd. ............................ 19,615 371,069
Magna International, Inc., Class A............ 3,240 182,457
Newbridge Networks Corp. (b).................. 10,740 304,763
Nova Chemicals Corp. ......................... 14,493 337,821
Potash Corporation of Saskatchewan, Inc....... 3,140 161,551
Royal Bank of Canada.......................... 9,175 402,929
Seagram Co., Ltd. ............................ 4,415 218,796
Shaw Communications, Inc., Class B............ 17,220 678,283
</TABLE>
7
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
--------------- --------------
<S> <C> <C>
Canada - (continued)
TransCanada Pipelines Ltd. ................... 22,395 $ 313,963
Westcoast Energy, Inc. ....................... 7,050 137,656
--------------
5,742,222
--------------
Cayman Islands - 0.18%
Centaur Funding Corp., 144A................... 2,235 2,398,434
Centaur Funding Corp., 144A................... 3,320 512,940
--------------
2,911,374
--------------
Denmark - 0.05%
Tele Danmark A/S.............................. 17,420 857,436
--------------
Finland - 0.28%
Merita Ltd., Class A.......................... 168,470 957,324
Nokia Oyj..................................... 25,640 2,247,615
UPM-Kymmene Corp. ............................ 48,130 1,379,894
--------------
4,584,833
--------------
France - 1.26%
Aerospatiale Matra............................ 30,800 709,926
Air France (b)................................ 44,310 790,556
Air Liquide................................... 7,446 1,171,057
Banque Nationale de Paris..................... 13,186 1,098,777
Carrefour S.A. ............................... 6,660 978,755
Cie de Saint Gobain........................... 5,152 820,898
CSF Thomson (b)............................... 47,760 1,659,890
Elf Aquitaine S.A. ........................... 12,488 1,832,664
France Telecom S.A. .......................... 20,570 1,553,914
Groupe Danone ................................ 5,410 1,394,833
Michelin, Class B............................. 13,708 560,817
Rhone-Poulenc, Class A........................ 20,608 941,722
SEITA......................................... 39,560 2,284,701
Societe Generale.............................. 5,519 972,719
Suez Lyonnaise des Eaux S.A. ................. 7,648 1,379,503
Total Fina S.A., Class B (b).................. 10,211 1,317,378
Vivendi....................................... 13,618 1,103,175
--------------
20,571,285
--------------
Germany - 1.49%
Allianz AG.................................... 7,110 1,987,119
Bayer AG...................................... 67,430 2,805,961
Continental AG................................ 41,300 988,150
DaimlerChrysler AG............................ 22,546 1,969,418
Deutsche Bank AG (b).......................... 40,110 2,444,698
Deutsche Telekom AG........................... 44,990 1,890,726
Deutsche Telekom AG, Rights (b)............... 44,990 8,816
Dresdner Bank AG.............................. 41,180 1,601,079
Mannesmann AG................................. 15,890 2,376,166
</TABLE>
8
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
--------------- --------------
<S> <C> <C>
Germany - (continued)
SAP AG........................................ 2,030 $ 696,102
Siemens AG.................................... 36,370 2,805,627
Veba AG....................................... 67,630 3,989,518
Volkswagen AG................................. 10,590 683,356
--------------
24,246,736
--------------
Italy - 0.37%
Assicurazioni Generali........................ 43,826 1,518,644
ENI Spa....................................... 234,000 1,397,267
ENI Spa ADR................................... 300 18,000
ENI Spa ADR................................... 13,430 805,800
La Rinascente Spa............................. 96,760 732,448
Montedison Spa................................ 394,085 642,144
San Paolo-imi, Spa............................ 65,085 886,013
--------------
6,000,316
--------------
Japan - 3.68%
Acom Co., Ltd. ............................... 14,000 1,208,691
Amada Co., Ltd. .............................. 69,000 487,401
Bank of Tokyo-Mitsubushi, Ltd. ............... 112,000 1,594,316
Bridgestone Corp. ............................ 35,000 1,058,328
Canon, Inc. .................................. 56,000 1,610,046
Citizen Watch Co., Ltd. ...................... 63,000 546,514
Dai Nippon Printing Co., Ltd. ................ 62,000 991,160
Daiichi Pharmaceutical Co., Ltd. ............. 56,000 868,870
Daikin Industries Ltd. ....................... 136,000 1,578,652
Daiwa House Industry Co., Ltd. ............... 33,000 347,067
East Japan Railway Co. ....................... 196 1,052,545
Fanuc......................................... 27,500 1,476,785
Fuji Photo Film............................... 18,000 681,097
Fujitsu....................................... 114,000 2,293,374
Honda Motor Co. .............................. 48,000 2,034,369
Hoya Corp. ................................... 15,000 846,414
Ito Yokado Co., Ltd. ......................... 33,000 2,208,361
Kaneka Corp. ................................. 67,000 631,031
Kao Corp. .................................... 44,000 1,235,955
Kirin Brewery Co., Ltd. ...................... 74,000 886,484
Kokuyo........................................ 22,000 354,428
Kuraray Co., Ltd. ............................ 82,000 986,385
Marui Co., Ltd. .............................. 36,000 594,845
Matsushita Electric Industrial Co. ........... 81,000 1,572,621
Mitsubishi Corp. ............................. 222,000 1,503,966
Mitsubishi Estate Co., Ltd. .................. 129,000 1,258,667
NGK Insulators................................ 110,000 1,148,711
Nintendo Corp., Ltd. ......................... 7,400 1,039,937
Nippon Denso Co., Ltd. ....................... 57,000 1,158,460
Nippon Meat Packers, Inc. .................... 53,000 691,837
</TABLE>
9
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
--------------- --------------
<S> <C> <C>
Japan - (continued)
Nippon Steel Co. ............................. 470,000 $ 1,091,127
Nippon Telegraph & Telephone Corp. ........... 293 3,413,169
Nomura Securities Co., Ltd. .................. 117,000 1,369,704
Obayashi Corp. ............................... 113,000 568,548
Osaka Gas Co. ................................ 332,000 1,127,330
Sankyo Co., Ltd. ............................. 49,000 1,234,716
Sanwa Bank Ltd. .............................. 78,000 767,498
Secom Co., Ltd. .............................. 16,000 1,665,565
Sega Enterprises Ltd. ........................ 9,000 119,043
Sekisui House Ltd. ........................... 77,000 830,816
Shin-Etsu Chemical Co., Ltd. ................. 13,000 434,980
Sony Corp. ................................... 15,400 1,660,360
Sumitomo Bank................................. 80,000 992,069
Sumitomo Chemical Co. ........................ 179,000 820,762
Sumitomo Electric Industries.................. 75,000 852,611
Takeda Chemical Industries.................... 42,000 1,946,629
TDK Corp. .................................... 12,000 1,097,488
Tokio Marine & Fire Insurance Co. ............ 62,000 673,579
Tokyo Electric Power.......................... 70,300 1,483,943
Toshiba Corp. ................................ 159,000 1,133,650
Toyota Motor Corp. ........................... 63,000 1,993,473
Yamato Transport Co., Ltd. ................... 41,000 714,722
--------------
59,939,099
--------------
Netherlands - 0.67%
Elsevier NV................................... 140,930 1,635,087
Heineken NV................................... 11,085 567,597
ING Groep NV.................................. 61,986 3,356,123
Koninklijke KPN NV............................ 39,159 1,837,503
Royal Dutch Petroleum Co. .................... 37,510 2,197,255
Unilever NV................................... 19,238 1,296,523
--------------
10,890,088
--------------
New Zealand - 0.15%
Auckland International Airport Ltd. .......... 139,650 214,601
Carter Holt Harvey Ltd. ...................... 228,360 273,478
Fletcher Challenge Paper...................... 318,970 238,321
Lion Nathan Ltd. ............................. 162,880 390,121
Telecom Corp. of New Zealand Ltd. ............ 293,790 1,261,002
--------------
2,377,523
--------------
Norway - 0.06%
Norsk Hydro ASA............................... 10,010 377,640
Norske Skogindustrier ASA..................... 14,250 524,929
--------------
902,569
--------------
</TABLE>
10
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
--------------- --------------
<S> <C> <C>
Portugal - 0.06%
EDP Electricidade de Portugal S.A. ........... 52,000 $ 936,338
--------------
Singapore - 0.19%
Singapore Press Holdings Ltd. ................ 123,472 2,103,194
United Overseas Bank Ltd. (Foreign)........... 137,640 962,065
--------------
3,065,259
--------------
Spain - 0.31%
Banco Popular S.A. ........................... 13,087 941,389
Banco Santander Central Hispano, S.A. ........ 145,641 1,517,016
Endesa S.A. .................................. 47,393 1,010,764
Telefonica S.A. (b)........................... 32,769 1,578,549
--------------
5,047,718
--------------
Sweden - 0.38%
Electrolux AB, B Shares....................... 90,830 1,901,640
Ericsson, LM B Shares......................... 45,680 1,464,103
Investor AB, B Shares......................... 86,160 962,738
Nordbanken Holding AB......................... 113,320 662,433
Swedish Match AB.............................. 326,840 1,164,814
--------------
6,155,728
--------------
Switzerland - 0.74%
Adecco S.A. .................................. 557 298,457
Holderbank Financiere Glarus AG, B Shares..... 818 965,541
Holderbank Financiere Glarus AG, Rights (b)... 12 176
Nestle S.A. (Reg.)............................ 1,798 3,239,546
Novartis AG (Reg.)............................ 1,897 2,769,966
Roche Holding AG (Gen.)....................... 241 2,477,280
Swiss Reinsurance Co. (Reg.).................. 271 515,991
Swisscom AG (Reg.)............................ 4,946 1,861,193
--------------
12,128,150
--------------
United Kingdom - 3.41%
Allied Zurich PLC............................. 103,040 1,295,309
AstraZeneca Group PLC......................... 37,822 1,463,039
Barclays PLC.................................. 53,450 1,555,307
BOC Group PLC................................. 137,150 2,680,738
Boots Company PLC............................. 87,770 1,042,476
BP Amoco PLC.................................. 227,868 4,083,952
British Airways PLC........................... 133,000 917,729
British Telecommunications PLC................ 96,000 1,608,575
Charter PLC................................... 245,261 1,438,163
Coats Viyella PLC............................. 609,130 489,685
Diageo PLC.................................... 148,368 1,549,398
FKI PLC....................................... 550,347 1,709,511
General Electric Co. PLC...................... 280,840 2,864,178
Glaxo Wellcome PLC............................ 108,440 3,013,552
</TABLE>
11
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
--------------- --------------
<S> <C> <C>
United Kingdom - (continued)
Greenalls Group PLC.......................... 138,742 $ 776,378
House of Fraser PLC.......................... 278,920 384,702
Lloyds TSB Group PLC......................... 232,310 3,149,221
Marks & Spencer PLC.......................... 505,740 2,925,703
Mirror Group PLC............................. 328,510 1,275,824
National Power PLC........................... 209,000 1,522,037
Nycomed Amersham PLC......................... 186,740 1,298,114
Peninsular & Oriental Steam Navigation Co.... 60,967 915,370
Prudential Corp. PLC......................... 187,460 2,759,893
Reckitt & Colman PLC......................... 83,000 865,455
Reed International PLC....................... 159,990 1,067,399
Rio Tinto Ltd................................ 158,310 2,653,888
RJB Mining PLC............................... 224,110 185,463
Royal & Sun Alliance Insurance Group PLC..... 76,735 688,248
Sainsbury (J.) PLC........................... 60,700 382,724
Scottish & Southern Energy PLC............... 224,420 2,295,848
Tesco PLC.................................... 801,810 2,063,296
Thames Water PLC............................. 70,410 1,116,527
Unilever PLC................................. 115,000 1,023,290
United News & Media PLC...................... 162,510 1,562,596
Yorkshire Water PLC.......................... 130,920 910,084
--------------
55,533,672
--------------
Total Global (Ex-U.S.) Equities.............. 244,164,687
--------------
Emerging Markets Equities--3.76%
Brinson Emerging Markets Equity Fund......... 6,519,534 61,218,427
--------------
Total Equities (Cost $641,008,759)........... 733,438,911
--------------
<CAPTION>
Face
Amount
---------------
<S> <C> <C>
Bonds - 52.42%
U.S. Bonds - 29.77%
U.S. Corporate Bonds - 4.94%
Bell Atlantic Corp., 8.000%, due 10/15/29.... $ 20,000 21,946
Cendant Corp., 7.750%, due 12/01/03.......... 2,500,000 2,525,052
Chase Manhattan Auto Owner Trust, 96-C, Class
A4, 6.150%, due 03/15/02.................... 1,895,000 1,904,267
Chemical Master Credit Card Trust, 95-Z,
Class A, 6.230%, due 06/15/03............... 4,290,000 4,315,182
Citicorp Mortgage Securities, Inc. 94-9 Class
A8, 5.750%, due 06/25/09.................... 4,985,835 4,660,908
Computer Associates International, Inc.,
Series B, 6.250%, due 04/15/03.............. 2,295,000 2,220,844
Continental Airlines, Inc., 98-1B, 6.748%,
due 09/15/18................................ 42,832 40,780
Continental Airlines, Inc., 99-2, 7.056%, due
09/15/09.................................... 3,355,000 3,367,179
</TABLE>
12
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Face
Amount Value
--------------- --------------
<S> <C> <C>
U.S. Corporate Bonds - (continued)
Countrywide Funding Corp. FRN,
5.420%, due 12/01/03........................ $ 3,000,000 $ 2,850,000
Countrywide Funding Corp., 93-12, Class A5,
6.000%, due 02/25/24........................ 267,486 266,106
CSX Corporation, 9.500%, due 08/01/00........ 2,500,000 2,602,012
Donaldson Lufkin & Jenrette FRN,
6.700%, due 06/30/00........................ 4,765,000 4,790,512
First Bank Corporate Card Master Trust, 97-1,
Class A, 6.400%, due 02/15/03............... 745,000 747,168
Gatx Capital Corp., 6.500%, due 11/01/00..... 2,500,000 2,511,706
GMAC, 9.625%, due 12/15/01................... 90,000 96,527
GTE Florida, Inc., Series E, 6.860%, due
02/01/28.................................... 2,120,000 1,988,134
Hertz Corp., 6.625%, due 07/15/00............ 5,000,000 5,050,368
Kern River Funding Corp., 144A Series B,
6.720%, due 09/30/01........................ 275,000 274,373
Lehman Brothers, Inc., 7.250%, due 04/15/03.. 490,000 491,706
MBNA Global Capital Securities FRN,
5.795%, due 02/01/27........................ 290,000 251,457
Morgan Stanley Dean Witter, Series MTN,
5.625%, due 01/20/04........................ 145,000 139,239
News America Holdings, 7.750%, due 12/01/45.. 1,335,000 1,265,452
Noram Energy Corp., 6.375%, due 11/01/03..... 830,000 811,405
Norwest Asset Securities Corp., 96-2, Class
A9,
7.000%, due 09/25/11........................ 85,000 84,056
Norwest Asset Securities Corp., 98-25, Class
A5, 6.000%, due 12/25/28.................... 1,000,000 960,950
PanAmSat Corp., 6.000%, due 01/15/03......... 50,000 48,941
Peco Energy Transition Trust, 6.130%, due
03/01/09.................................... 2,645,000 2,507,910
Raytheon Co., 6.300%, due 08/15/00........... 5,000,000 5,045,593
Rite Aid Corp., 144A, 6.125%, due 12/15/08... 2,500,000 2,264,368
Safeway, Inc., 5.750%, due 11/15/00.......... 3,500,000 3,495,771
Salomon, Inc., 6.750%, due 02/15/03.......... 1,850,000 1,854,274
Service Corp., International, 6.000%, due
12/15/05.................................... 2,400,000 2,205,430
Supervalu, Inc., 6.500%, due 10/06/00........ 3,080,000 3,104,884
TCI Communications, Inc., 8.750%, due
08/01/15.................................... 780,000 886,006
Tele-Communications, Inc., 9.800%, due
02/01/12.................................... 1,815,000 2,216,852
The Money Store 97-B, A-8, 6.900%, due
07/15/38.................................... 3,000,000 2,997,360
Time Warner Cos., Inc., 7.570%, due
02/01/24.................................... 1,000,000 995,881
TIme Warner, Inc., 6.625%, due 05/15/29...... 1,745,000 1,537,153
TransAmerica Financial Corp. Series E,
6.125%, due 11/01/01........................ 95,000 94,229
Western Resources, Inc., 6.875%, due
08/01/04.................................... 1,835,000 1,830,816
World Omni Automobile Lease Securitization
Trust, 97-A, Class A3, 6.850%, due
06/25/03.................................... 5,009,888 5,035,639
--------------
80,358,436
--------------
</TABLE>
13
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Face
Amount Value
--------------- --------------
<S> <C> <C>
International Dollar Bonds - 2.77%
Abbey National PLC, 6.700%, Resettable
Perpetual Step-up Notes, due 06/15/08....... $ 2,995,000 $ 2,777,692
Amvescap PLC, 6.600%, due 05/15/05........... 3,415,000 3,226,847
Banco Santiago S.A., 7.000%, due 07/18/07.... 750,000 657,665
Banque Centrale de Tunisie, 8.250%, due
09/19/27.................................... 465,000 385,950
Banque Paribas, Sub. Notes, 6.875%, due
03/01/09.................................... 640,000 617,276
Credit Suisse-London, 144A, 7.900%,
Resettable Perpetual Step-up Notes.......... 1,145,000 1,114,733
Empresa Nacional de Electricidad S.A.,
7.875%,
due 02/01/27................................ 940,000 795,908
Empresa Nacional de Electricidad S.A.,
8.125%,
due 02/01/69................................ 4,320,000 3,367,872
European Investment Bank, 7.625%, due
12/07/07.................................... 2,950,000 5,157,385
Government of Malaysia, 8.750%, due
06/01/09.................................... 305,000 307,287
International Reconstruction & Development
Bank, Series N, 6.500%, due 01/07/03........ 1,800,000 2,876,762
International Telecom Satelite, 8.125%, due
02/28/05.................................... 980,000 1,033,693
Korea Development Bank, 7.125%, due
09/17/01.................................... 1,220,000 1,216,519
Landesbank Rhein, BV, 7.250%, due 04/20/05... 1,457,182 1,704,142
National Australia Bank, FRN, 6.400%, due
12/10/07.................................... 2,430,000 2,396,911
Pan Pacific Industry PLC, 144A, 0.000%, due
04/28/07.................................... 815,000 395,275
PDVSA Finance Ltd., 98-1, 6.450%, due
02/15/04.................................... 1,120,000 1,041,544
Petroleum Nasional Bhd, 144A, 7.750%, due
08/15/15.................................... 1,110,000 943,941
Province of Quebec, 7.500%, due 07/15/02..... 600,000 616,116
Ras Laffan Liquified Natural Gas Co., Ltd.,
144A, 8.294%, due 03/15/14.................. 4,845,000 4,471,112
Repsol International Finance, 7.000%, due
08/01/05.................................... 160,000 159,023
Republic of South Africa, 9.625%, due
12/15/99.................................... 285,000 287,850
Royal Bank of Scotland, PLC, 7.375%,
Resettable Perpetual Step-up Notes.......... 1,370,000 1,331,754
Skandinaviska Enskilda Banken, 144A, 6.500%,
Resettable Perpetual Step-up Notes.......... 3,170,000 3,014,917
Southern Investments UK, 6.800%, due
12/01/06.................................... 2,345,000 2,261,267
Tyco International Group, 144A, 5.875%, due
11/01/04.................................... 3,000,000 2,895,054
United Utilities, 6.450%, due 04/01/08....... 130,000 122,092
--------------
45,176,587
--------------
Mortgage-Backed Securities - 2.18%
Asset Securitization Corp., 96-D, Class A1B,
7.210%, due 10/13/26........................ 4,350,000 4,441,393
LB Commercial Conduit Mortgage Trust, Series
99-C1 A1, 6.410%, due 10/15/30.............. 890,000 878,225
Prudential Home Mortgage Securities, 93-43,
Class A9, 6.750%, due 10/25/23.............. 2,980,786 2,912,854
Prudential Home Mortgage Securities, 94-3,
Class A10, 6.500%, due 02/25/24............. 6,240,000 6,037,824
</TABLE>
14
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Face
Amount Value
--------------- --------------
<S> <C> <C>
Mortgage-Backed Securities - (continued)
Residential Accredit Loans, Inc., 96-QS4,
Class Al10, 7.900%, due 08/25/26............ $ 2,000,000 $ 2,033,239
Residential Asset Securitization Trust, 97-
A11, Class A2, 7.000%, due 01/25/28......... 849,894 852,053
Residential Asset Securitization Trust, 97-
A10, Class A1, 7.250%, due 12/25/27......... 2,909,074 2,923,677
Residential Asset Securitization Trust, 97-
A10, Class A5, 7.250%, due 12/25/27......... 2,995,000 2,939,832
Sasco LLC, 98-RF1, Class A, 7.900%, due
10/15/28.................................... 941,475 963,835
Structured Asset Securities Corp., 98-RF1,
Class A, 8.712%, due 03/15/27............... 1,737,826 1,820,373
Structured Asset Securities Corp., 98-RF2,
144A, 8.582%, due 07/15/27.................. 2,552,346 2,667,201
Structured Asset Securities Corp., Series 97-
2, Class 2A1, 7.250%, due 03/28/30.......... 1,701,274 1,711,091
UCFC Home Equity Loan 97-C, Class A8, FRN,
5.069%, due 09/15/27........................ 758,742 756,913
Vendee Mortgage Trust, 98-2, Class 1G,
6.750%, due 06/15/28........................ 4,640,000 4,483,029
--------------
35,421,539
--------------
U.S. Government Agencies - 4.36%
Aid-Israel, Series 10-Z
0.000%, due 02/15/03........................ 490,000 395,826
0.000%, due 08/15/19........................ 1,105,000 299,122
CMC Securities Corp., 97-NAM3, Class FXA5
7.250%, due 09/15/27........................ 369,636 366,676
Fannie Mae Whole Loan, Series 95-W3, Class A
9.000%, due 04/25/25........................ 981,177 1,025,267
Federal Farm Credit Bank
5.750%, due 09/01/05........................ 1,320,000 1,273,181
Federal Home Loan Mortgage Corp.
6.200%, due 08/15/07........................ 166,225 163,926
7.000%, due 10/15/13........................ 409,292 404,401
7.238%, due 05/01/26........................ 523,814 527,770
9.000%, due 01/01/29........................ 2,474,690 2,619,306
Federal National Mortgage Association
6.540%, due 09/18/02........................ 900,000 899,923
5.625%, due 05/14/04........................ 1,730,000 1,688,298
8.500%, due 06/25/06........................ 2,835,618 2,919,228
5.500%, due 01/01/09........................ 2,299,373 2,228,595
5.250%, due 01/15/09........................ 5,900,000 5,387,933
6.500%, due 04/29/09........................ 2,070,000 1,993,992
8.000%, due 03/01/11........................ 1,399,079 1,441,614
6.500%, due 03/01/19........................ 1,933,774 1,882,495
8.000%, due 05/25/21........................ 2,545,000 2,592,019
</TABLE>
15
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Face
Amount Value
--------------- --------------
<S> <C> <C>
U.S. Government Agencies - (continued)
8.500%, due 07/15/21........................ $ 1,471,011 $ 1,522,504
6.500%, due 12/25/23........................ 890,000 871,828
7.000%, due 10/01/28........................ 1,637,886 1,621,362
6.500%, due 11/01/28........................ 7,986,255 7,729,949
6.000%, due 01/01/29........................ 2,461,442 2,316,613
6.000%, due 02/01/29........................ 5,618,785 5,290,839
7.000%, due 03/01/29........................ 2,897,273 2,869,595
6.000%, TBA, due 06/01/29................... 3,635,000 3,419,172
FGCI, 7.500%, due 08/01/09................... 5,474,654 5,568,939
Freddie Mac, 5.750%, due 06/15/01............ 6,000,000 5,989,446
Government National Mortgage Association
7.500%, due 01/15/24........................ 726,230 735,750
Tennesse Valley Authority 6.375%, due
06/15/05.................................... 5,000,000 5,014,680
--------------
71,060,249
--------------
U.S. Government Obligations - 15.52%
U.S. Treasury Bond
8.000%, due 11/15/21........................ 21,700,000 26,107,813
U.S. Treasury Inflation Indexed Notes
3.625%, due 01/15/08........................ 9,445,000 9,441,063
3.875%, due 01/15/09........................ 36,140,000 36,204,033
3.625%, due 04/15/28........................ 157,940,000 153,230,987
3.875%, due 04/15/29........................ 25,000,000 24,937,098
U.S. Treasury Notes
4.875%, due 03/31/01........................ 640,000 633,400
6.625%, due 05/15/07........................ 1,000,000 1,041,563
5.625%, due 05/15/08........................ 995,000 974,478
--------------
252,570,435
--------------
Total U.S. Bonds............................. 484,587,246
--------------
<CAPTION>
Shares
---------------
<S> <C> <C>
High Yield Bonds - 2.84%
Brinson High Yield Fund (b).................. 3,445,070 46,269,702
--------------
</TABLE>
16
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Face
Amount Value
--------------- --------------
<S> <C> <C>
Global (Ex-U.S.) Bonds - 14.38%
Australia - 1.44%
Government of Australia
7.500%, due 09/15/09......................... AUD 8,650,000 $ 6,244,798
New South Wales Treasury Corp.,
7.000%, due 04/01/04......................... 3,560,000 2,421,952
Queensland Treasury Corp.,
6.500%, due 06/14/05......................... 13,900,000 9,314,049
Queensland Treasury Corp.-Global Notes
8.000%, due 05/14/03......................... 7,840,000 5,551,258
--------------
23,532,057
--------------
Canada - 1.44%
Government of Canada
8.750%, due 12/01/05......................... CAD 4,290,000 3,400,639
7.000%, due 12/01/06......................... 4,620,000 3,400,496
5.500%, due 06/01/09......................... 3,600,000 2,431,246
4.250%, due 12/01/21......................... 14,050,000 10,919,340
4.250%, due 12/01/26......................... 4,410,000 3,249,176
--------------
23,400,897
--------------
Denmark - 1.13%
Kingdom of Denmark
8.000%, due 05/15/03......................... DKK 39,000,000 6,160,720
7.000%, due 12/15/04......................... 52,700,000 8,245,000
8.000%, due 03/15/06......................... 14,230,000 2,340,665
7.000%, due 11/10/24......................... 9,800,000 1,588,549
--------------
18,334,934
--------------
France - 2.27%
Government of France (BTAN)
5.750%, due 03/12/01......................... EUR 7,348,041 7,900,859
4.500%, due 07/12/02......................... 6,700,000 7,079,419
Government of France (OAT)
5.250%, due 04/25/08......................... 9,920,000 10,711,330
8.500%, due 12/26/12......................... 6,479,082 9,164,193
6.000%, due 10/25/25......................... 1,885,000 2,095,632
--------------
36,951,433
--------------
Germany - 2.13%
Bundesrepublik Deutschland
8.500%, due 08/21/00......................... 3,988,077 4,364,407
4.750%, due 11/20/01......................... 5,600,000 5,955,157
6.250%, due 01/04/24......................... 5,000,000 5,774,248
</TABLE>
17
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Face
Amount Value
--------------- --------------
<S> <C> <C>
Germany - (continued)
Depfa Pfandbriefbank, Series 428
5.250%, due 06/14/04......................... EUR 7,630,000 $ 8,260,686
Treuhandanstalt
6.250%, due 03/04/04......................... 9,160,000 10,360,205
--------------
34,714,703
--------------
Italy - 0.57%
Republic of Italy (BTP)
5.750%, due 09/15/02......................... 1,368,608 1,497,243
8.500%, due 08/01/04......................... 4,360,000 5,351,565
6.000%, due 11/01/07......................... 1,470,000 1,652,149
6.500%, due 11/01/27......................... 723,038 839,996
--------------
9,340,953
--------------
Netherlands - 1.20%
Government of Netherlands
9.000%, due 10/16/00......................... 2,240,000 2,479,905
6.500%, due 04/15/03......................... 4,400,000 4,957,459
5.750%, due 01/15/04......................... 7,000,000 7,753,313
5.500%, due 01/15/28......................... 4,100,000 4,266,385
--------------
19,457,062
--------------
Spain - 0.77%
Government of Spain
5.250%, due 01/31/03......................... 4,020,000 4,364,153
10.000%, due 02/28/05........................ 1,800,002 2,398,994
8.800%, due 04/30/06......................... 1,625,000 2,088,881
6.150%, due 01/31/13......................... 3,200,000 3,640,153
--------------
12,492,181
--------------
Sweden - 1.06%
Government of Sweden
5.000%, due 01/15/04......................... SEK 19,500,000 2,336,298
6.000%, due 02/09/05......................... 95,000,000 11,887,269
6.500%, due 10/25/06......................... 16,800,000 2,169,708
6.750%, due 05/05/14......................... 6,900,000 917,582
--------------
17,310,857
--------------
United Kingdom - 2.37%
Abbey National Treasury Service
6.500%, due 03/05/04......................... GBP 980,000 1,552,800
Bank Nederlandse Gemeenten NV
7.375%, due 08/06/07......................... 5,950,000 10,131,601
Caisse d'Amortissement de la Dette Sociale
6.250%, due 03/05/08......................... 5,750,000 9,261,724
Halifax PLC, Series EMTN,
8.750%, due 07/10/06......................... 2,600,000 4,599,385
</TABLE>
18
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Face
Amount Value
--------------- --------------
<S> <C> <C>
United Kingdom - (continued)
UK Treasury
9.000%, due 10/13/08......................... GBP 3,750,000 $ 7,501,182
8.000%, due 09/27/13......................... 2,680,000 5,474,905
--------------
38,521,597
--------------
Total Global (Ex-U.S.) Bonds.................. 234,056,674
--------------
Shares
---------------
Emerging Markets Bonds - 5.43%
Brinson Emerging Markets Debt Fund (b)........ 4,434,666 88,342,984
--------------
Total Bonds (Cost $862,244,322)............... 853,256,606
--------------
<CAPTION>
Face
Amount
---------------
<S> <C> <C>
Short-Term Investments - 23.50%
Commercial Paper - 8.35%
FMC Corp.,
0.000%, due 07/01/99......................... $ 20,000,000 20,000,000
GPU Australia,
0.000%, due 07/07/99......................... 10,853,000 10,843,684
Hilton Hotels Corp.,
0.000%, due 07/15/99......................... 9,000,000 8,982,430
Kroger Corp.,
0.000%, due 07/01/99......................... 4,440,000 4,440,000
Phillips Petroleum Co.,
0.000%, due 07/15/99......................... 20,000,000 19,959,400
Rohm & Haas Co.,
0.000%, due 07/01/99......................... 20,000,000 20,000,000
Tyco International Corp.,
0.000%, due 07/30/99......................... 11,852,000 11,803,117
U.S. Generating LLC,
0.000%, due 07/01/99......................... 20,000,000 20,000,000
Union Pacific Corp.,
0.000%, due 07/30/99......................... 20,000,000 19,914,611
--------------
135,943,242
--------------
Corporate Obligations - 10.62%
Burlington Resources,
6.875%, due 08/01/99......................... 3,000,000 3,002,631
CBI Industries, Inc.,
6.250%, due 06/30/00......................... 2,165,000 2,178,925
Centex Corp., Series A, MTN,
5.828%, due 06/30/00......................... 10,000,000 10,000,000
Dayton Hudson Corp.,
5.950%, due 06/15/00......................... 1,800,000 1,806,642
</TABLE>
19
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Face
Amount Value
--------------- --------------
<S> <C> <C>
Corporate Obligations - (continued)
Enron Corp.,
5.778%, due 03/30/00......................... $ 15,000,000 $ 15,010,566
General Motors Acceptance Corp.,
6.500%, due 04/25/00......................... 1,350,000 1,362,304
General Motors Corporate Notes,
9.375%, due 04/01/00......................... 3,500,000 3,602,811
James River Corp.,
6.750%, due 10/01/99......................... 8,850,000 8,875,273
Lehman Brothers, Inc., Series A, MTN,
6.920%, due 10/04/99......................... 1,000,000 1,002,578
Series E, MTN,
6.300%, due 08/11/99......................... 5,000,000 5,002,021
MCI Communications Corp.,
7.125%, due 01/20/00......................... 5,000,000 5,049,151
Series A, MTN,
6.260%, due 03/03/00......................... 3,000,000 3,016,986
Occidental Petroleum, Inc., Series B, MTN,
6.080%, due 11/26/99......................... 7,000,000 7,011,840
Quaker Oats, Inc., Series B, MTN,
9.100%, due 08/31/99......................... 2,000,000 2,012,989
Sonat, Inc.,
9.500%, due 08/15/99......................... 6,000,000 6,025,526
Sunoco, Inc.,
8.125%, due 11/01/99......................... 2,200,000 2,216,520
Supervalu Stores, Inc.,
7.250%, due 07/15/99......................... 12,000,000 12,007,464
Tele-Communications, Inc.,
7.375%, due 02/15/00......................... 1,000,000 1,012,073
Texas Utilities Electric Co.,
9.500%, due 08/01/99......................... 9,000,000 9,000,001
6.270%, due 02/01/00......................... 2,000,000 2,007,396
Texas Utilities, Inc.,
7.375%, due 11/01/99......................... 10,000,000 10,059,694
Textron Financial Corp., Series C, MTN,
5.299%, due 12/20/99......................... 7,000,000 7,000,716
Time Warner, Inc.,
7.950%, due 02/01/00......................... 6,495,000 6,577,285
Ultramar Corp.,
8.250%, due 07/01/99......................... 15,000,000 15,000,000
Union Carbide, Inc.,
7.000%, due 08/01/99......................... 14,629,000 14,644,547
Vastar Resources, Inc.,
6.000%, due 04/20/00......................... 12,405,000 12,435,950
Williams Cos., Inc.,
7.500%, due 09/15/99......................... 6,000,000 6,021,990
--------------
172,943,879
--------------
</TABLE>
20
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
--------------- ---------------
<S> <C> <C>
Investment Companies - 3.88%
Brinson Supplementary Trust U.S. Cash
Management Prime Fund Prime Fund.......... 63,240,119 $ 63,240,119
---------------
<CAPTION>
Face
Amount
---------------
<S> <C> <C>
U.S. Government Obligations - 0.65%
U.S. Treasury Bill 0.000%, due 08/05/99.... $ 10,550,000 10,504,867
---------------
Total Short-Term Investments (Cost
$382,631,597)............................. 382,632,107
---------------
Total Investments (Cost $1,885,884,678) -
120.98% (a).............................. 1,969,327,624
Liabilities, less cash and other assets -
(20.98)%................................. (341,527,230)
---------------
Net Assets - 100%.......................... $1,627,800,394
===============
</TABLE>
See accompanying notes to schedule of investments.
21
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
- -------------------------------------------------------------------------------
June 30, 1999 (Unaudited)
NOTES TO SCHEDULE OF INVESTMENTS
(a) Aggregate cost for federal income tax purposes was $1,885,884,678; and
net unrealized appreciation consisted of:
<TABLE>
<S> <C>
Gross unrealized appreciation............ $138,807,529
Gross unrealized depreciation............ (55,364,583)
-------------
Net unrealized appreciation.......... $ 83,442,946
=============
</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 June 30,
1999.
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 June 30, 1999, the value
of these securities amounted to $20,952,348 or 1.29% of net assets.
Resettable Perpetual Preferred: 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 returns 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 June 30, 1999:
<TABLE>
<CAPTION>
Settlement Local Current Unrealized
Date Currency Value Gain/(Loss)
---------- ------------- ----------- -----------
<S> <C> <C> <C> <C>
Forward Foreign Currency
Buy Contracts:
Australian Dollar........ 8/6/99 99,800,000 $66,084,838 $ 2,775,153
British Pound............ 8/6/99 18,600,000 29,326,900 (929,190)
Canadian Dollar.......... 8/6/99 83,500,000 56,444,471 1,454,185
Danish Krone............. 8/6/99 44,500,000 6,202,298 (369,654)
Euro..................... 8/6/99 83,900,000 86,769,466 (5,744,819)
Swedish Krona............ 8/6/99 438,200,000 51,659,055 (4,818,332)
Swiss Franc.............. 8/6/99 13,700,000 8,850,872 (1,064,449)
Forward Foreign Currency
Sale Contracts:
British Pound............ 8/6/99 86,600,000 136,543,525 5,117,101
Danish Krone............. 8/6/99 150,000,000 20,906,623 2,601,917
Euro..................... 8/6/99 33,000,000 34,128,634 4,458,926
Japanese Yen............. 8/6/99 6,300,000,000 52,334,201 1,721,227
-----------
Total................... $ 5,202,065
===========
</TABLE>
See accompanying notes to financial statements.
22
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
- -------------------------------------------------------------------------------
June 30, 1999 (Unaudited)
NOTES TO SCHEDULE OF INVESTMENTS
FUTURES CONTRACTS
The Brinson Global Securities Fund had the following open futures contracts
as of June 30, 1999:
<TABLE>
<CAPTION>
Settlement Cost/ Current Unrealized
Date Proceeds Value Loss
-------------- ------------ ------------ ------------
<S> <C> <C> <C> <C>
U.S. Interest Rate
Futures Buy Contracts
5 Year U.S. Treasury
Notes, 983 contracts.. September 1999 $107,898,811 $107,147,000 $ (751,811)
10 Year U.S. Treasury
Notes, 236 contracts.. September 1999 26,542,433 26,240,250 (302,183)
30 Year U.S. Treasury
Bonds, 983 contracts.. September 1999 33,098,091 32,685,563 (412,528)
Index Futures Sale
Contracts
S&P 500 Index,
474 contracts......... September 1999 160,660,532 166,840,275 (6,179,744)
------------
(7,646,266)
============
</TABLE>
The segregated cash and aggregate market value of investments pledged to
cover margin requirements for the open futures positions at June 30, 1999
were $1,244,000 and $10,504,867, respectively.
See accompanying notes to financial statements.
23
<PAGE>
BRINSON GLOBAL SECURITIES FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1999 (Unaudited)
<TABLE>
<S> <C>
ASSETS:
Investments, at value:
Unaffiliated issuers (Cost $1,609,890,173).................. $1,680,934,294
Affiliated issuers (Cost $275,994,505)...................... 288,393,330
Foreign currency, at value (Cost $1,047,381)................. 1,076,248
Receivables:
Investment securities sold.................................. 6,486,462
Dividends................................................... 1,578,084
Interest.................................................... 10,492,808
Net unrealized appreciation on forward foreign currency
contracts................................................... 5,202,065
----------------
TOTAL ASSETS.............................................. 1,994,163,291
----------------
LIABILITIES:
Payables:
Investment securities purchased............................. 31,770,793
Securities loaned........................................... 330,697,455
Variation Margin............................................ 1,820,875
Due to custodian bank....................................... 1,948,285
Other liabilities............................................ 125,489
----------------
TOTAL LIABILITIES......................................... 366,362,897
----------------
NET ASSETS:
Applicable to 96,043,105 shares; no par value, unlimited
shares authorized........................................... $1,627,800,394
================
Net asset value, offering price and redemption price per
share
($1,627,800,394 / 96,043,105 shares)........................ $ 16.9486
================
NET ASSETS CONSIST OF:
Paid in capital.............................................. $ 921,305,570
Accumulated net investment income............................ 220,436,302
Accumulated net realized gain................................ 405,309,106
Net unrealized appreciation.................................. 80,749,416
----------------
NET ASSETS................................................ $1,627,800,394
================
</TABLE>
See accompanying notes to financial statements.
24
<PAGE>
BRINSON GLOBAL SECURITIES FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 1999 (Unaudited)
<TABLE>
<S> <C>
INVESTMENT INCOME:
Interest (net of $61,519 for foreign taxes withheld;
including securities lending income of $858,426)............ $19,926,499
Dividends (net of $483,667 for foreign taxes withheld)....... 6,992,058
------------
TOTAL INCOME.............................................. 26,918,557
------------
EXPENSES:
Administration............................................... 167,961
Custodian.................................................... 143,859
Professional................................................. 84,477
Other........................................................ 53,227
------------
TOTAL EXPENSES............................................ 449,524
------------
NET INVESTMENT INCOME..................................... 26,469,033
------------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments................................................. 68,878,078
Futures contracts........................................... (22,036,061)
Foreign currency transactions............................... (667,039)
------------
Net realized gain......................................... 46,174,978
------------
Change in net unrealized appreciation or depreciation on:
Investments and foreign currency............................ (35,746,617)
Futures contracts........................................... 1,206,839
Forward foreign currency contracts.......................... 9,238,527
Translation of other assets and liabilities denominated in
foreign currency........................................... (310,007)
------------
Change in net unrealized appreciation or depreciation..... (25,611,258)
------------
Net realized and unrealized gain............................. 20,563,720
------------
Net increase in net assets resulting from operations......... $47,032,753
============
</TABLE>
See accompanying notes to financial statements.
25
<PAGE>
BRINSON GLOBAL SECURITIES FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF CASH FLOWS
FOR THE SIX MONTHS ENDED JUNE 30, 1999
<TABLE>
<S> <C>
CASH FLOWS FROM OPERATING ACTIVITIES:
Net increase in net assets resulting from operations..... $ 47,032,753
Adjustments to reconcile net increase in net assets
resulting
from operations to net cash provided by operating
activities:
Net realized and unrealized gain on investments......... (33,102,594)
Increase in receivable for investment securities sold... (4,898,396)
Decrease in dividends and interest receivable........... 1,196,378
Increase in payable for securities purchased............ 15,014,500
Net increase in custodian payable....................... 1,948,285
Increase in accrued expenses............................ 40,113
Increase in variation margin............................ 1,383,776
Net amortization of premium............................. 1,763,999
-----------------
NET CASH PROVIDED BY OPERATING ACTIVITIES ............ 30,378,814
-----------------
CASH FLOWS FROM INVESTING ACTIVITIES:
Purchases of investments................................. (1,247,256,381)
Proceeds from sales of investments....................... 1,338,206,765
Net realized loss on futures contracts................... (22,036,061)
Net realized loss on foreign currency transactions....... (667,039)
Change in unrealized appreciation or depreciation in
future contracts........................................ 1,206,839
Change in unrealized appreciation or depreciation in
other assets and liabilities............................ (31,811)
Net decrease in foreign currency......................... 3,926,337
-----------------
NET CASH PROVIDED BY INVESTING ACTIVITIES............. 73,348,649
-----------------
CASH FLOWS FROM FINANCING ACTIVITIES:
Net capital shares transactions.......................... (107,699,471)
Net decrease from securities lending..................... 3,674,003
-----------------
NET CASH USED FOR FINANCING ACTIVITIES................ (104,025,468)
-----------------
Net decrease in cash..................................... (298,005)
Cash at the beginning of the year........................ 298,005
-----------------
Cash at the end of the year.............................. $ 0
=================
</TABLE>
The accompanying notes are an integral part of these financial statements.
26
<PAGE>
BRINSON GLOBAL SECURITIES FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Six Months
Ended Year Ended
June 30, 1999 December 31,
(Unaudited) 1998
--------------- ---------------
<S> <C> <C>
OPERATIONS:
Net investment income..................... $ 26,469,033 $ 42,883,896
Net realized gain......................... 46,174,978 70,853,299
Change in net unrealized appreciation or
depreciation............................. (25,611,258) 18,928,199
--------------- ---------------
Net increase in net assets resulting from
operations............................... 47,032,753 132,665,394
--------------- ---------------
CAPITAL SHARE TRANSACTIONS:
Shares sold............................... 134,052,786 568,087,613
Shares redeemed........................... (237,765,786) (320,804,675)
--------------- ---------------
Net increase (decrease) in net assets
resulting from capital share transactions
(a)...................................... (103,713,000) 247,282,938
--------------- ---------------
TOTAL INCREASE (DECREASE) IN NET
ASSETS................................ (56,680,247) 379,948,332
NET ASSETS:
Beginning of period....................... 1,684,480,641 1,304,532,309
--------------- ---------------
End of period (including accumulated net
investment income of $220,436,302 and
$193,967,269, respectively).............. $1,627,800,394 $1,684,480,641
=============== ===============
(a) A summary of capital share transactions
follows:
<CAPTION>
Shares Shares
--------------- ---------------
<S> <C> <C>
Shares sold............................... 8,138,718 35,546,435
Shares redeemed........................... (14,192,107) (20,097,765)
--------------- ---------------
Net increase (decrease) in shares
outstanding............................. (6,053,389) 15,448,670
=============== ===============
</TABLE>
See accompanying notes to financial statements.
27
<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>
Six Months
Ended
June 30, Years Ended December 31, Period Ended
1999 --------------------------------------- December 31,
(Unaudited) 1998 1997 1996 1995*
----------- ----------- ----------- ----------- ------------
<S> <C> <C> <C> <C> <C>
Net asset value,
beginning of period.... $ 16.4989 $ 15.0556 $ 13.4788 $ 11.7181 $ 10.0000
----------- ----------- ----------- ----------- -----------
Income from investment
operations:
Net investment income.. 0.3953 0.4800** 0.5456** 0.2844 0.3769
Net realized and
unrealized gain....... 0.0544 0.9633 1.0312 1.4763 1.3412
----------- ----------- ----------- ----------- -----------
Total income from
investment
operations........... 0.4497 1.4433 1.5768 1.7607 1.7181
----------- ----------- ----------- ----------- -----------
Net asset value, end of
period................. $ 16.9486 $ 16.4989 $ 15.0556 $ 13.4788 $ 11.7181
=========== =========== =========== =========== ===========
Total return
(non-annualized)....... 2.73% 9.59% 11.70% 15.03% 17.18%
Ratios/Supplemental data
Net assets, end of
period (in 000s)...... $1,627,800 $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% 0.05% 0.14%***
After expense
reimbursement........ N/A N/A N/A N/A 0.05%***
Ratio of net investment
income to average net
assets:
Before expense
reimbursement........ 3.19%*** 3.02% 3.72% 4.36% 4.95%***
After expense
reimbursement........ N/A N/A N/A N/A 5.04%***
Portfolio turnover
rate.................. 48% 80% 138% 155% 158%
</TABLE>
* The Fund commenced operations April 28, 1995.
** The net investment income per share data was determined by using average
shares outstanding during the period.
*** Annualized
N/A = Not Applicable
See accompanying notes to financial statements.
28
<PAGE>
BRINSON U.S. EQUITY FUND
- --------------------------------------------------------------------------------
The investment strategies implemented in the Brinson U.S. Equity Fund are
designed to enhance returns, while controlling risk. Our investment strategies
emphasize stock selection with attention to avoiding unintended concentrations
in particular industry and other common characteristic exposures. The Fund is
typically 70% invested in large capitalization stocks with the remaining 30%
intermediate and small capitalization stocks. Industry exposures are normally
maintained within 10% of the benchmark weightings.
Since its performance inception on August 31, 1997, the Brinson U.S. Equity
Fund has produced an annualized return of 18.25%, compared to the 24.16% return
of its benchmark, the Wilshire 5000 Equity Index. These results have been
achieved with a risk level (volatility) very similar to that of the benchmark:
14.02% versus 14.10% respectively. For the last six months, the Fund has
underperformed the benchmark, returning 10.42% compared to the benchmark return
of 11.87%.
Stock selection has provided the largest positive contribution to the Fund's
returns over the last six months. Positions in Circuit City, First Data Corp.
and FDX Corp. were some of the best performers. The Fund's underperformance on
a year-to-date basis results mainly from our protective industry and common
characteristic exposures which we feel are appropriate given the current
environment of increasing volatility and stratification of equity returns
across market segments.
The equity market continued to favor a small group of fashionable large
capitalization growth and technology (especially internet-related) stocks in
the first quarter of 1999. These types of stocks represent, in our opinion, the
most overvalued segments of the U.S. equity market. They have been driven to
extremes by investors' unwillingness to miss out on the market's momentum.
Demand for this niche group of stocks alone drove the entire market higher in
the first quarter.
Momentum, however, shifted away from U.S. growth stocks in the second quarter
of 1999 after a long period of outperformance relative to "value" stocks.
Factors contributing to this shift include higher global industrial production,
the rebound in many commodity prices (notably oil) and expectations for
stronger corporate profits. That shift helped the fund regain nearly 400 basis
points relative to the benchmark during the second quarter, with the Fund
holding a pronounced overweight in stocks with "value" style affiliations. This
is a significant change from the momentum in growth stocks over the past two
years. While strong value stock performance this quarter helped broaden the
market, valuation imbalances still remain, and growth stocks are likely to
underperform.
In addition to the value overweight, common characteristic exposures include
underweights to size, momentum and earnings variability--chief characteristics
of the "growth" segment of the market. While these underweights have hampered
performance on a year-to-date basis, they were beneficial in the second
quarter, and we believe the portfolio is well positioned for the coming months.
29
<PAGE>
BRINSON U.S. EQUITY FUND
- --------------------------------------------------------------------------------
Total Return
<TABLE>
<CAPTION>
6 Months 1 Year Annualized
Ended Ended 8/31/97*
6/30/99 6/30/99 to 6/30/99
- ---------------------------------------------------------
<S> <C> <C> <C>
Brinson U.S. Equity Fund 10.42% 15.56% 18.25%
- ---------------------------------------------------------
Wilshire 5000 Equity Index 11.87 19.59 24.16
- ---------------------------------------------------------
</TABLE>
*Performance inception date of the Brinson U.S. Equity Fund
All returns over one 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 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 APPEARS HERE]
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.
30
<PAGE>
BRINSON U.S. EQUITY FUND
- --------------------------------------------------------------------------------
Industry Diversification
As a Percent of Net Assets
As of June 30, 1999 (Unaudited)
<TABLE>
<S> <C>
U.S. EQUITIES
Energy................................................................. 0.64%
Capital Investment
Capital Goods......................................................... 10.11
Technology............................................................ 13.17
-------
23.28
Basic Industries
Chemicals............................................................. 3.82
Housing/Paper......................................................... 6.74
Metals................................................................ 2.48
-------
13.04
Consumer
Non-Durables.......................................................... 2.82
Retail/Apparel........................................................ 5.26
Autos/Durables........................................................ 3.60
Health: Drugs......................................................... 4.15
Health: Non-Drugs..................................................... 4.82
-------
20.65
Financial
Banks................................................................. 10.13
Non-Banks............................................................. 7.49
-------
17.62
Utilities
Electric.............................................................. 3.74
Telephone............................................................. 1.52
-------
5.26
Transportation......................................................... 8.21
Services/Misc.......................................................... 5.72
-------
13.93
-------
Total U.S. Equities................................................... 94.42*
-------
SHORT-TERM INVESTMENTS................................................. 5.42*
-------
TOTAL INVESTMENTS..................................................... 99.84
CASH AND OTHER ASSETS,
LESS LIABILITIES...................................................... 0.16
-------
NET ASSETS............................................................. 100.00%
=======
</TABLE>
*The Fund held a short position in stock index futures which reduced the U.S.
Equity exposure from 94.42% to 93.77%. This adjustment resulted in a net
increase to the Funds exposure to Short-Term Investments from 5.42% to 6.07%.
Top Ten U.S. Equity Holdings
As of June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Percent of
Net Assets
- ------------------------------------------------------------
<S> <C>
1. Xerox Corp....................................................... 5.29%
2. FDX Corp. ....................................................... 3.59
3. Burlington Northern Santa Fe Corp................................ 3.36
4. Raytheon Co., Class B............................................ 3.09
5. Electronic Data Systems Corp..................................... 3.04
6. Corning, Inc..................................................... 2.98
7. Aetna, Inc....................................................... 2.88
8. Lockheed Martin Corp............................................. 2.56
9. CIGNA Corp....................................................... 2.34
10. General Instrument Corp.......................................... 2.33
- ------------------------------------------------------------
</TABLE>
31
<PAGE>
BRINSON U.S. EQUITY FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
------------ ------------
<S> <C> <C>
U.S. Equities - 94.42%
Advanced Micro Devices, Inc. (b)................... 88,800 $ 1,603,950
Aetna, Inc. ....................................... 68,400 6,117,525
Allergan, Inc. .................................... 21,800 2,419,800
Alza Corp. (b)..................................... 90,300 4,594,012
American Standard Cos., Inc. (b)................... 47,300 2,270,400
Aon Corp. ......................................... 116,325 4,798,406
Armstrong World Industries, Inc. .................. 12,500 722,656
BankBoston Corp. .................................. 25,000 1,278,125
Baxter International, Inc. ........................ 50,400 3,055,500
Burlington Northern Santa Fe Corp. ................ 230,100 7,133,100
Champion Enterprises, Inc. (b)..................... 40,300 750,588
Champion International Corp. ...................... 14,300 684,613
Chase Manhattan Corp. ............................. 39,800 3,447,675
CIGNA Corp. ....................................... 55,800 4,966,200
Circuit City Stores--Circuit City Group............ 43,100 4,008,300
CMS Energy Corp. .................................. 42,400 1,775,500
CommScope, Inc. (b)................................ 39,966 1,228,955
Computer Sciences Corp. (b)........................ 22,600 1,563,638
Compuware Corp. (b)................................ 47,100 1,498,369
Comverse Technology, Inc. (b)...................... 13,680 1,032,840
Consolidated Stores Corp. (b)...................... 60,100 1,622,700
Corning, Inc. ..................................... 90,100 6,318,262
Covance, Inc. (b).................................. 36,050 862,947
Delphi Automotive Systems Corp. ................... 83,100 1,542,544
Dial Corp. ........................................ 23,800 885,063
Dominion Resources Inc. ........................... 10,500 454,781
Eastman Chemical Co. .............................. 25,300 1,309,275
Electronic Data Systems Corp. ..................... 114,100 6,453,781
Eli Lilly and Company.............................. 24,900 1,783,462
Entergy Corp. ..................................... 120,400 3,762,500
FDX Corp. (b)...................................... 140,500 7,622,125
Federal-Mogul Corp. ............................... 21,000 1,092,000
First American Corp. of Tennessee.................. 12,000 498,750
First Data Corp. .................................. 96,424 4,718,749
First Security Corp. .............................. 22,750 619,938
First Union Corp. ................................. 38,200 1,795,400
Fleet Financial Group, Inc. ....................... 57,600 2,556,000
Fleetwood Enterprises, Inc. ....................... 27,700 732,319
Food Lion Inc., Class A............................ 134,700 1,599,563
Fort James Corp. .................................. 79,600 3,014,850
GATX Corp. ........................................ 8,200 312,113
General Instrument Corp. (b)....................... 116,200 4,938,500
Genzyme Corp. (b).................................. 18,600 902,100
Genzyme Surgical Products Division (b)............. 3,330 14,671
Geon Co. .......................................... 8,300 267,675
GreenPoint Financial Corp. ........................ 71,400 2,342,812
</TABLE>
32
<PAGE>
BRINSON U.S. EQUITY FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
------------ ------------
<S> <C> <C>
U.S. Equities - (continued)
Hibernia Corp. .................................... 57,300 $ 898,894
Household International Inc. ...................... 74,400 3,524,700
Illinois Tool Works, Inc. ......................... 13,800 1,131,600
IMC Global Inc. ................................... 83,300 1,468,163
Johnson Controls Inc. ............................. 21,700 1,504,081
Kimberly-Clark Corp. .............................. 45,200 2,576,400
Lafarge Corp. ..................................... 24,900 882,394
Lear Corp. (b)..................................... 55,100 2,741,225
Lockheed Martin Corp. ............................. 145,868 5,433,583
Lyondell Chemical Company.......................... 66,100 1,363,313
Martin Marietta Materials, Inc. ................... 13,463 794,317
Masco Corp. ....................................... 143,500 4,143,562
Mattel, Inc. ...................................... 65,200 1,723,725
MCN Energy Group, Inc. ............................ 15,700 325,775
Nabisco Holdings Corp. ............................ 5,700 246,525
National Service Industries, Inc. ................. 22,600 813,600
New York Times Co. ................................ 25,700 946,081
Newell Rubbermaid Inc. ............................ 47,200 2,194,800
Nextel Communications, Inc. (b).................... 64,200 3,222,037
Norfolk Southern Corp. ............................ 77,700 2,340,712
Peco Energy Co. ................................... 46,200 1,934,625
Pentair, Inc. ..................................... 24,300 1,111,725
Philip Morris Cos., Inc. .......................... 73,000 2,933,687
PNC Bank Corp. .................................... 37,400 2,155,175
Praxair, Inc. ..................................... 42,600 2,084,737
Raytheon Co., Class B.............................. 93,100 6,551,912
Regions Financial Corp. ........................... 11,800 453,563
Southdown, Inc. ................................... 26,504 1,702,882
St. Jude Medical, Inc. (b)......................... 65,100 2,319,187
Tyson Foods, Inc. ................................. 85,500 1,923,750
U.S. Bancorp....................................... 58,955 2,004,470
Ultramar Diamond Shamrock Corp. ................... 47,422 1,034,392
United Healthcare Corp. ........................... 46,000 2,880,750
USG Corp. ......................................... 21,100 1,181,600
Vencor, Inc. (b)................................... 47,400 7,110
Ventas, Inc. ...................................... 33,000 177,375
Viad Corp. ........................................ 45,200 1,398,375
W.W. Grainger, Inc. ............................... 14,000 753,375
Wells Fargo and Co. ............................... 80,300 3,432,825
Westvaco Corp. .................................... 16,900 490,100
Xerox Corp. ....................................... 189,900 11,215,969
York International Corp. .......................... 28,600 1,224,438
------------
Total U.S. Equities (Cost $176,033,254)............ 200,220,541
------------
</TABLE>
33
<PAGE>
BRINSON U.S. EQUITY FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
------------ ------------
<S> <C> <C>
Short Term Investment - 5.42%
Investment Company - 5.42%
Brinson Supplementary Trust U.S. Cash Management
Prime Fund (Cost $11,489,698).................... 11,489,698 $ 11,489,699
------------
Total Investments (Cost $187,522,952) - 99.84%
(a).............................................. 211,710,240
Cash and other assets, less liabilities - 0.16%... 347,170
------------
Net Assets - 100%................................. $212,057,410
============
</TABLE>
NOTES TO SCHEDULE OF INVESTMENTS
(a) Aggregate cost for federal income tax purposes was $187,522,952; and
net unrealized appreciation consisted of:
<TABLE>
<S> <C>
Gross unrealized appreciation............. $33,481,523
Gross unrealized depreciation............. (9,294,235)
------------
Net unrealized appreciation........... $24,187,288
============
</TABLE>
(b) Non-income producing security.
FUTURES CONTRACTS
The Brinson U.S. Equity Fund had the following open futures contracts as of
June 30, 1999:
<TABLE>
<CAPTION>
Settlement Current Unrealized
Date Cost Value Gain
-------------- ---------- ---------- ----------
<S> <C> <C> <C> <C>
Index Futures Buy Contracts
S&P 500 Index, 4 contracts... September 1999 $1,346,104 $1,381,700 $35,596
========
</TABLE>
The segregated cash pledged to cover margin requirements for the open
futures positions at June 30, 1999 was $75,000.
See accompanying notes to financial statements.
34
<PAGE>
BRINSON U.S. EQUITY FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1999 (Unaudited)
<TABLE>
<S> <C>
ASSETS:
Investments, at value:
Unaffiliated issuers (Cost $176,033,254)......................... $200,220,542
Affiliated issuers (Cost $11,489,698)............................ 11,489,698
Receivables:
Investment securities sold....................................... 1,997,892
Dividends........................................................ 337,593
Interest......................................................... 50,644
Variation margin................................................. 25,000
Due from Advisor................................................. 1,791
Other Assets...................................................... 8,331
-------------
TOTAL ASSETS................................................... 214,131,491
-------------
LIABILITIES:
Payables:
Investment securities purchased.................................. 1,076,089
Due to custodian bank............................................ 997,992
-------------
TOTAL LIABILITIES.............................................. 2,074,081
-------------
NET ASSETS:
Applicable to 15,604,047 shares; no par value, unlimited shares
authorized....................................................... $212,057,410
=============
Net asset value, offering price and redemption price per share
($212,057,410 / 15,604,047 shares)............................... $ 13.5899
=============
NET ASSETS CONSIST OF:
Paid in capital................................................... $173,098,615
Accumulated net investment income................................. 4,511,121
Accumulated net realized gain..................................... 10,224,790
Net unrealized appreciation....................................... 24,222,884
-------------
NET ASSETS..................................................... $212,057,410
=============
</TABLE>
See accompanying notes to financial statements.
35
<PAGE>
BRINSON U.S. EQUITY FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 1999 (Unaudited)
<TABLE>
<S> <C>
INVESTMENT INCOME:
Dividends........................................................ $ 1,369,193
Interest......................................................... 233,308
------------
TOTAL INCOME.................................................. 1,602,501
------------
EXPENSES:
Professional..................................................... 7,135
Custodian........................................................ 2,391
Trustees......................................................... 2,353
Other............................................................ 905
------------
TOTAL EXPENSES................................................ 12,784
------------
Expenses deferred by Advisor.................................. (3,241)
------------
NET EXPENSES.................................................. 9,543
------------
NET INVESTMENT INCOME......................................... 1,592,958
------------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain on:
Investments..................................................... 2,303,956
Futures contracts............................................... 295,815
------------
Net realized gain............................................. 2,599,771
------------
Change in net unrealized appreciation or depreciation on:
Investments..................................................... 16,009,277
Futures contracts............................................... (110,045)
------------
Change in net unrealized appreciation or depreciation......... 15,899,232
------------
Net realized and unrealized gain................................. 18,499,003
------------
Net increase in net assets resulting from operations............. $20,091,961
============
</TABLE>
See accompanying notes to financial statements.
36
<PAGE>
BRINSON U.S. EQUITY FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Six Months
Ended Year Ended
June 30, 1999 December 31,
(Unaudited) 1998
------------- -------------
<S> <C> <C>
OPERATIONS:
Net investment income........................... $ 1,592,958 $ 2,562,158
Net realized gain............................... 2,599,771 7,555,616
Change in net unrealized appreciation or
depreciation................................... 15,899,232 8,075,012
------------- -------------
Net increase in net assets resulting from
operations..................................... 20,091,961 18,192,786
------------- -------------
CAPITAL SHARE TRANSACTIONS:
Shares sold..................................... 21,148,442 100,954,362
Shares redeemed................................. (8,155,071) (13,805,858)
------------- -------------
Net increase in net assets resulting from
capital share transactions (a)................. 12,993,371 87,148,504
------------- -------------
TOTAL INCREASE IN NET ASSETS................. 33,085,332 105,341,290
------------- -------------
NET ASSETS:
Beginning of period............................. 178,972,078 73,630,788
------------- -------------
End of period (including accumulated net
investment income of $4,511,121 and $2,918,163,
respectively).................................. $212,057,410 $178,972,078
============= =============
(a) A summary of capital share transactions fol-
lows:
<CAPTION>
Shares Shares
------------- -------------
<S> <C> <C>
Shares sold..................................... 1,697,199 8,606,307
Shares redeemed................................. (634,378) (1,209,048)
------------- -------------
Net increase in shares outstanding............. 1,062,821 7,397,259
============= =============
</TABLE>
See accompanying notes to financial statements.
37
<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>
Six Months
Ended Year Period
June 30, 1999 Ended Ended
(Unaudited) December 31, 1998 December 31, 1997*
------------- ----------------- ------------------
<S> <C> <C> <C>
Net asset value, beginning
of period.................. $12.3079 $10.3067 $10.0000
--------- --------- ---------
Income from investment
operations:
Net investment income...... 0.0884 0.1508 0.0498
Net realized and unrealized
gain...................... 1.1936 1.8504 0.2569
--------- --------- ---------
Total income from
investment operations.... 1.2820 2.0012 0.3067
--------- --------- ---------
Net asset value, end of
period..................... $13.5899 $12.3079 $10.3067
========= ========= =========
Total return (non-
annualized)................ 10.42% 19.42% 3.07%
Ratios/Supplemental data
Net assets, end of period
(in 000s)................. $212,057 $178,972 $73,631
Ratio of expenses to
average net assets:
Before expense
reimbursement............ 0.01%** 0.02% 0.05%**
After expense
reimbursement............ 0.01%** 0.01% 0.01%**
Ratio of net investment
income to average net
assets:
Before expense
reimbursement............ 1.66%** 1.78% 2.01%**
After expense
reimbursement............ 1.66%** 1.79% 2.05%**
Portfolio turnover rate.... 23% 46% 9%
</TABLE>
* The Fund commenced operations August 29, 1997.
** Annualized
See accompanying notes to financial statements.
38
<PAGE>
BRINSON U.S. LARGE CAPITALIZATION EQUITY FUND
- --------------------------------------------------------------------------------
The investment strategies implemented in the Brinson U.S. Large Capitalization
Equity Fund are designed to enhance returns, while controlling risk. Our
investment strategies emphasize stock selection with attention directed at
avoiding unintended concentrations in particular industry and other common
characteristic exposures. Issues are selected from a universe of less than 300
of the largest capitalization domestic stocks, collectively comprising about
65% of the value of the U.S. equity market.
Since its inception on April 30, 1999, the Brinson U.S. Large Capitalization
Equity Fund has produced a return of -0.29%, compared to the 3.06% return of
its benchmark, the S&P 500 Equity Index. The discussion below focuses on our
management of large capitalization equities during the first half of 1998.
Please note that the Fund's commencement of operations was during the second
quarter.
In 1998 and the first quarter of this year, the U.S. equity market has been
fueled by the desire to not miss out on market momentum. The very largest
stocks and stocks characterized as growth stocks have outperformed the broader
market by historic margins, driving the market to extremes. Based on current
prices, the market is extrapolating super-normal earnings growth for a small
group of "in-vogue" stocks far into the future, making the realization of such
projections increasingly unattainable. For the year-to-date period, this
momentum has created a difficult environment for the Brinson U.S. Large
Capitalization Equity Fund. We believe that many of the largest, most
successful companies (in terms of recent price appreciation) are currently
among the most overvalued. However, market momentum has continued to carry them
higher.
The largest 25 stocks by market capitalization in the S&P 500 were up 6.59% in
the first quarter of the year compared to an increase of 3.79% for the bottom
475 stocks. The largest four stocks alone accounted for 33% of the S&P 500
return for the quarter. Some of the best performing stocks for the quarter were
again found in the computer, electronics, and telecommunications industries.
While many of the companies driving the market are characterized as "good
companies," their future prospects simply cannot support current prices.
Momentum did, in fact, shift away from growth stocks in the second quarter of
1999 to the benefit of value stocks. Contributing factors included higher
global industrial production, the rebound in many commodity prices (notably
oil) and expectations for stronger corporate profits. This is a significant
change from the momentum driving growth stocks over the past two years. While
strong value stock performance this quarter helped broaden the market,
valuation imbalances still remain. Based on our analysis, growth stocks are
likely to underperform the broader market by a wide margin in the coming
months. Such conditions should benefit the Fund which maintains underweight
positions in common characteristics such as size, momentum and earnings
variability and overweights to more traditional value measures.
39
<PAGE>
BRINSON U.S. LARGE CAPITALIZATION EQUITY FUND
- --------------------------------------------------------------------------------
Total Return
<TABLE>
<CAPTION>
4/30/99*
to
6/30/99
- ---------------------------------------------------------
<S> <C>
Brinson U.S. Large Capitalization Equity Fund -0.29%
- ---------------------------------------------------------
Standard & Poor 500 Index 3.06
- ---------------------------------------------------------
</TABLE>
*Inception date of the Brinson U.S. Large Capitalization 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 Equity Fund and the Standard & Poor 500 Index if you had
invested $100,000 on April 30, 1999. 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 Equity Fund
vs. Standard & Poor 500 Index
[GRAPH APPEARS HERE]
Fund returns are net of all fees and costs, while the index returns are based
solely on market returns without deduction for fees or transaction costs for
rebalancing.
40
<PAGE>
BRINSON U.S. LARGE CAPITALIZATION EQUITY FUND
- --------------------------------------------------------------------------------
Industry Diversification
As a Percent of Net Assets
As of June 30, 1999 (Unaudited)
<TABLE>
<S> <C>
U.S. EQUITIES
Capital Investment
Capital Goods......................................................... 13.48%
Technology............................................................ 14.98
--------
28.46
Basic Industries
Chemicals............................................................. 1.55
Housing/Paper......................................................... 1.76
Metals................................................................ 3.87
--------
7.18
Consumer
Non-Durables.......................................................... 2.17
Retail/Apparel........................................................ 2.88
Autos/Durables........................................................ 0.89
Health: Drugs......................................................... 1.33
Health: Non-Drugs..................................................... 5.00
--------
12.27
Financial
Banks................................................................. 12.28
Non-Banks............................................................. 11.64
--------
23.92
Utilities
Electric.............................................................. 2.97
Telephone............................................................. 0.00
--------
2.97
Transportation......................................................... 12.64
Services/Misc.......................................................... 6.07
--------
18.71
--------
Total U.S. Equities................................................... 93.51
SHORT-TERM INVESTMENTS................................................. 5.74
--------
TOTAL INVESTMENTS...................................................... 99.25
CASH AND OTHER ASSETS,
LESS LIABILITIES...................................................... 0.75
--------
NET ASSETS............................................................. 100.00%
========
</TABLE>
TOP TEN U.S. EQUITY HOLDINGS
As of June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Percent of
Net Assets
- ---------------------------------------------------------------
<S> <C>
1. Xerox Corp. ..................................................... 8.25%
2. FDX Corp. ....................................................... 5.61
3. Burlington Northern Santa Fe Corp. .............................. 5.26
4. Raytheon Co., Class B............................................ 4.83
5. Electronic Data Systems Corp. ................................... 4.76
6. Corning, Inc. ................................................... 4.65
7. Aetna, Inc. ..................................................... 4.49
8. Lockheed Martin Corp. ........................................... 3.99
9. CIGNA Corp. ..................................................... 3.64
10. Aon Corp. ....................................................... 3.52
- ---------------------------------------------------------------
</TABLE>
41
<PAGE>
BRINSON U.S. LARGE CAPITALIZATION
EQUITY FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
--------- ------------
<S> <C> <C>
U.S. Equities - 93.51%
Aetna, Inc. ............................................ 6,500 $ 581,344
Aon Corp. .............................................. 11,050 455,812
BankBoston Corp. ....................................... 2,400 122,700
Baxter International, Inc. ............................. 4,800 291,000
Burlington Northern Santa Fe Corp. ..................... 22,000 682,000
Chase Manhattan Corp. .................................. 3,800 329,175
CIGNA Corp. ............................................ 5,300 471,700
Computer Sciences Corp. (b)............................. 2,100 145,294
Compuware Corp. (b)..................................... 3,500 111,344
Corning, Inc. .......................................... 8,600 603,075
Covance, Inc. (b)....................................... 3,400 81,388
Delphi Automotive Systems Corp. ........................ 6,200 115,088
Dominion Resources Inc. ................................ 600 25,988
Electronic Data Systems Corp. .......................... 10,900 616,531
Eli Lilly and Company................................... 2,400 171,900
Entergy Corp. .......................................... 11,500 359,375
FDX Corp. (b)........................................... 13,400 726,950
First Data Corp. ....................................... 9,200 450,225
First Union Corp. ...................................... 3,600 169,200
Fleet Financial Group, Inc. ............................ 5,500 244,062
Household International, Inc. .......................... 7,100 336,362
Illinois Tool Works, Inc. .............................. 1,300 106,600
Kimberly-Clark Corp. ................................... 4,000 228,000
Lockheed Martin Corp. .................................. 13,900 517,775
Masco Corp. ............................................ 13,700 395,587
Mattel, Inc. ........................................... 6,200 163,913
Newell Rubbermaid Inc. ................................. 4,500 209,250
Norfolk Southern Corp. ................................. 7,600 228,950
Philip Morris Cos., Inc. ............................... 7,000 281,312
PNC Bank Corp. ......................................... 3,600 207,450
Praxair, Inc. .......................................... 4,100 200,644
Raytheon Co., Class B................................... 8,900 626,337
U.S. Bancorp............................................ 5,600 190,400
United Healthcare Corp. ................................ 4,400 275,550
Wells Fargo and Co. .................................... 7,700 329,175
Xerox Corp. ............................................ 18,100 1,069,031
------------
Total U.S. Equities (Cost $12,191,253).................. 12,120,487
------------
</TABLE>
42
<PAGE>
BRINSON U.S. LARGE CAPITALIZATION
EQUITY FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
--------- ------------
<S> <C> <C>
Short-Term Investments - 5.74%
Investment Companies - 5.74%
Brinson Supplementary Trust U.S. Cash Management Prime
Fund (Cost $744,243).................................. 744,243 $ 744,243
------------
Total Investments (Cost $12,935,496) - 99.25% (a)...... 12,864,730
Cash and other assets, less liabilities - 0.75%........ 96,717
------------
Net Assets - 100%...................................... $12,961,447
============
</TABLE>
NOTES TO SCHEDULE OF INVESTMENTS
(a) Aggregate cost for federal income tax purposes was $12,935,496; and net
unrealized depreciation consisted of:
<TABLE>
<S> <C>
Gross unrealized appreciation............... $351,156
Gross unrealized depreciation............... (421,922)
---------
Net unrealized depreciation............. $(70,766)
=========
</TABLE>
(b) Non-income producing security.
FUTURES CONTRACTS
The Brinson U.S. Large Capitalization Equity Fund had the following open
futures contracts as of June 30, 1999:
<TABLE>
<CAPTION>
Settlement Cost Current Unrealized
Date Proceeds Value Gain/(Loss)
-------------- -------- ------- -----------
<S> <C> <C> <C> <C>
Index Futures Sale Contracts:
S&P 500 Index, 1 contract.......... September 1999 333,932 345,425 $11,493
=======
</TABLE>
The segregated cash pledged to cover margin requirements for the open futures
positions at June 30, 1999 was $82,500.
See accompanying notes to financial statements.
43
<PAGE>
BRINSON U.S. LARGE CAPITALIZATION EQUITY FUND
FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1999 (Unaudited)
<TABLE>
<S> <C>
ASSETS:
Investments, at value:
Unaffiliated issuers (Cost $12,191,253)........................ $12,120,487
Affiliated issuers (Cost $744,243)............................. 744,243
Cash............................................................ 85,675
Receivables:
Investment securities sold..................................... 10,928
Dividends...................................................... 18,722
Interest....................................................... 2,834
Variation margin............................................... 6,250
Due from Advisor............................................... 6,862
------------
TOTAL ASSETS................................................. 12,996,001
------------
LIABILITIES:
Payables:
Investment securities purchased................................ 27,649
Other liabilities.............................................. 6,905
------------
TOTAL LIABILITIES............................................ 34,554
------------
NET ASSETS:
Applicable to 1,299,961 shares; no par value, unlimited shares
authorized..................................................... $12,961,447
============
Net asset value, offering price and redemption price per share
($12,961,447 / 1,299,961 shares)............................... $ 9.9706
============
NET ASSETS CONSIST OF:
Paid in capital................................................. $13,025,918
Accumulated net investment income............................... 37,680
Accumulated net realized loss................................... (42,878)
Net unrealized depreciation..................................... (59,273)
------------
NET ASSETS................................................... $12,961,447
============
</TABLE>
See accompanying notes to financial statements.
44
<PAGE>
BRINSON U.S. LARGE CAPITALIZATION EQUITY FUND
FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
FOR THE PERIOD ENDED JUNE 30, 1999 (Unaudited)*
<TABLE>
<S> <C>
INVESTMENT INCOME:
Dividends......................................................... $ 30,048
Interest.......................................................... 7,846
----------
TOTAL INCOME................................................... 37,894
----------
EXPENSES:
Professional...................................................... 5,426
Trustees.......................................................... 1,220
Other............................................................. 430
----------
TOTAL EXPENSES................................................. 7,076
----------
Expenses deferred by Advisor................................... (6,862)
----------
NET EXPENSES................................................... 214
----------
NET INVESTMENT INCOME.......................................... 37,680
----------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized loss on:
Investments...................................................... (25,183)
Futures contracts................................................ (17,695)
----------
Net realized loss.............................................. (42,878)
----------
Change in net unrealized appreciation or depreciation on:
Investments...................................................... (70,766)
Futures contracts................................................ 11,493
----------
Change in net unrealized depreciation.......................... (59,273)
----------
Net realized and unrealized loss.................................. (102,151)
----------
Net decrease in net assets resulting from operations.............. $ (64,471)
==========
</TABLE>
* The Fund commenced operations April 30, 1999.
See accompanying notes to financial statements.
45
<PAGE>
BRINSON U.S. LARGE CAPITALIZATION EQUITY FUND
FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Period Ended
June 30, 1999*
(Unaudited)
--------------
<S> <C>
OPERATIONS:
Net investment income.......................................... $ 37,680
Net realized loss.............................................. (42,878)
Change in net unrealized appreciation or depreciation.......... (59,273)
------------
Net decrease in net assets resulting from operations........... (64,471)
------------
CAPITAL SHARE TRANSACTIONS:
Shares sold.................................................... 13,265,918
Shares redeemed................................................ (240,000)
------------
Net increase in net assets resulting from capital share
transactions (a).............................................. 13,025,918
------------
TOTAL INCREASE IN NET ASSETS................................ 12,961,447
------------
NET ASSETS:
Beginning of period............................................ --
------------
End of period (including accumulated net investment income of
$37,680)...................................................... $12,961,447
============
(a) A summary of capital share transactions follows:
<CAPTION>
Shares
--------------
<S> <C>
Shares sold.................................................... 1,324,001
Shares redeemed................................................ (24,040)
------------
Net increase in shares outstanding............................ 1,299,961
============
</TABLE>
* The Fund commenced operations April 30, 1999.
See accompanying notes to financial statements.
46
<PAGE>
BRINSON U.S. LARGE CAPITALIZATION 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
June 30, 1999*
(Unaudited)
--------------
<S> <C>
Net asset value, beginning of period............................. $10.0000
---------
Net investment income........................................... 0.0290
Net unrealized loss............................................. (0.0584)
---------
Total income from investment operations........................ (0.0294)
---------
Net asset value, end of period................................... $ 9.9706
=========
Total return (non-annualized).................................... (0.29)%
Ratios/Supplemental data
Net assets, end of period (in 000s)............................. $ 12,961
Ratio of expenses to average net assets:
Before expense reimbursement................................... 0.33%**
After expense reimbursement.................................... 0.01%**
Ratio of net investment income to average net assets:
Before expense reimbursement................................... 1.44%**
After expense reimbursement.................................... 1.76%**
Portfolio turnover rate.......................................... 6%
</TABLE>
* The Fund commenced operations April 30, 1999.
** Annualized
See accompanying notes to financial statements.
47
<PAGE>
BRINSON U.S. LARGE CAPITALIZATION VALUE EQUITY FUND
- --------------------------------------------------------------------------------
The Brinson U.S. Large Capitalization Value Equity Fund is an actively managed
fund that seeks to achieve long-term total returns above that of its benchmark,
the Russell 1000 Value Index. The portfolio will typically be concentrated in
fewer than 50 stock holdings, and diversified by industry and issuer relative
to its benchmark.
Since its performance inception on June 30, 1998, the Brinson U.S. Large
Capitalization Value Equity Fund has produced an annualized return of 17.86%,
compared to the 16.35% return of its benchmark. These results have been
achieved with a risk level (volatility) somewhat lower than that of the
benchmark: 21.89% versus 22.36%, respectively. For the last six months, the
Fund has outperformed the benchmark, returning 13.65% compared to the benchmark
return of 12.85%. The Fund's overperformance is the result of strong selection
decisions by our U.S. equity team.
Commodity prices began to strengthen during the first half of 1999, as many
producers of steel, paper and chemicals introduced price increases. Signs of
improvement in industrial production, inventory and manufacturing have also
begun to emerge. After disappointing earnings during the latter part of 1998,
many value stocks have now reversed course, releasing surprisingly high
earnings figures early in 1999. These factors have contributed to pricing
strength in the value segment of the market over this period.
An improving economic picture, coupled with increased profitability for value
stocks has led many analysts to revise earnings estimates upward for the full
year 1999 and beyond. As this occurs, there appears to be scope for continued
outperformance of value stocks relative to growth stocks in the coming months.
The Fund's systematic market exposure is slightly higher than the benchmark,
with a beta of 1.04. With respect to broad common characteristics, the Fund is
overweight relative to the benchmark in Book-to-Price (a traditional value
measure), liquidity and earnings variability. Underweights are held with
respect to size, relative strength and foreign earnings. Our work continues to
indicate that many large capitalization growth companies remain overvalued, and
are likely to underperform.
Industry weightings are tilted toward railroads, consumer healthcare, basic
industries, and banks and thrifts. The U.S. banking, insurance and asset
gathering industries offer the potential for improved efficiencies, as well as
cost savings through continued consolidation. The largest underweights are to
non-bank financials, utilities and energy stocks.
48
<PAGE>
BRINSON U.S. LARGE CAPITALIZATION VALUE EQUITY FUND
- --------------------------------------------------------------------------------
Total Return
<TABLE>
<CAPTION>
6 Months 6/30/98*
Ended to
6/30/99 6/30/99
- ------------------------------------------------------------------------
<S> <C> <C>
Brinson U.S. Large Capitalization Value Equity Fund 13.65% 17.86%
- ------------------------------------------------------------------------
Russell 1000 Value Index 12.85 16.35
- ------------------------------------------------------------------------
</TABLE>
*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 APPEARS HERE]
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.
49
<PAGE>
BRINSON U.S. LARGE CAPITALIZATION VALUE EQUITY FUND
- --------------------------------------------------------------------------------
Industry Diversification
As a Percent of Net Assets
As of June 30, 1999 (Unaudited)
<TABLE>
<S> <C>
U.S. EQUITIES
Energy............................................................... 6.31%
Capital Investment
Capital Goods....................................................... 8.31
Technology.......................................................... 4.65
--------
12.96
Basic Industries
Chemicals........................................................... 8.07
Housing/Paper....................................................... 5.38
Metals.............................................................. 0.43
--------
13.88
Consumer
Retail/Apparel...................................................... 2.46
Autos/Durables...................................................... 4.84
Health: Non-Drugs................................................... 6.06
--------
13.36
Financial
Banks............................................................... 18.84
Non-Banks........................................................... 5.93
--------
24.77
Utilities
Electric............................................................ 7.53
Telephone........................................................... 5.95
--------
13.48
Transportation....................................................... 9.38
Services/Misc........................................................ 2.99
--------
12.37
--------
Total U.S. Equities................................................. 97.13
SHORT-TERM INVESTMENTS............................................... 2.83
--------
TOTAL INVESTMENTS................................................... 99.96
CASH AND OTHER ASSETS,
LESS LIABILITIES.................................................... 0.04
--------
NET ASSETS.......................................................... 100.00%
========
</TABLE>
TOP TEN U.S. EQUITY HOLDINGS
As of June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Percent of
Net Assets
- ------------------------------------------
<S> <C>
1. Wells Fargo Co. ........... 3.90%
2. Raytheon Co., Class B...... 3.85
3. St. Jude Medical, Inc. .... 3.14
4. FDX Corp. ................. 3.06
5. ALLTEL Corp. .............. 2.93
6. United Healthcare Corp. ... 2.92
7. Aetna, Inc. ............... 2.85
8. Johnson Controls, Inc. .... 2.77
9. Advanced Micro Devices,
Inc. ......................... 2.72
10. Burlington Northern Santa
Fe Corp. .................... 2.65
- ------------------------------------------
</TABLE>
50
<PAGE>
BRINSON U.S. LARGE CAPITALIZATION VALUE EQUITY FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
----------- -------------
<S> <C> <C>
U.S. Equities - 97.13%
Advanced Micro Devices, Inc. (b)..................... 186,300 $ 3,365,044
Aetna, Inc. ......................................... 39,500 3,532,781
ALLTEL Corp. ........................................ 50,800 3,632,200
Aon Corp. ........................................... 56,850 2,345,062
AT&T Corp. .......................................... 30,900 1,724,606
Burlington Northern Santa Fe Corp. .................. 105,900 3,282,900
Case Corp. .......................................... 4,900 235,813
Chase Manhattan Corp. ............................... 32,400 2,806,650
CMS Energy Corp. .................................... 61,200 2,562,750
Consolidated Stores Corp. (b)........................ 112,600 3,040,200
Crown Cork & Seal Co., Inc. ......................... 17,400 527,250
Dominion Resources, Inc. ............................ 57,900 2,507,794
Dow Chemical Co. .................................... 16,900 2,144,187
Electronic Data Systems Corp. ....................... 54,300 3,071,344
Emerson Electric Co. ................................ 36,300 2,282,362
FDX Corp. Holding Co. (b)............................ 69,900 3,792,075
First Security Corp. ................................ 115,200 3,139,200
First Union Corp. ................................... 48,500 2,279,500
Fleet Financial Group, Inc. ......................... 56,000 2,485,000
Fleetwood Enterprises, Inc. ......................... 33,800 893,588
GATX Corp. .......................................... 64,700 2,462,644
General Instrument Corp. (b)......................... 63,200 2,686,000
GreenPoint Financial Corp. .......................... 83,600 2,743,125
Hibernia Corp. ...................................... 149,500 2,345,281
Household International, Inc. ....................... 56,800 2,690,900
Illinova Corp. ...................................... 67,800 1,847,550
IMC Global, Inc. .................................... 92,400 1,628,550
Johnson Controls, Inc. .............................. 49,400 3,424,037
Kerr-McGee Corp. .................................... 45,200 2,268,475
Kimberly-Clark Corp. ................................ 34,400 1,960,800
Lafarge Corp. ....................................... 34,600 1,226,138
Lear Corp. (b)....................................... 51,500 2,562,125
Lockheed Martin Corp. ............................... 79,100 2,946,475
Lyondell Chemical Company............................ 79,100 1,631,438
MBIA, Inc. .......................................... 22,600 1,463,350
Millenium Chemicals, Inc. ........................... 52,000 1,225,250
National Service Industries, Inc..................... 28,100 1,011,600
Nextel Communications, Inc. (b)...................... 40,000 2,007,500
Norfolk Southern Corp. .............................. 69,000 2,078,625
Northeast Utilities (b).............................. 135,600 2,398,425
Pentair, Inc. ....................................... 29,900 1,367,925
PNC Bank Corp. ...................................... 46,700 2,691,087
Raytheon Co., Class B................................ 67,800 4,771,425
Southdown, Inc. ..................................... 40,200 2,582,850
St. Jude Medical, Inc. (b)........................... 109,200 3,890,250
</TABLE>
51
<PAGE>
BRINSON U.S. LARGE CAPITALIZATION VALUE EQUITY FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
----------- -------------
<S> <C> <C>
U.S. Equities - (continued)
Ultramar Diamond Shamrock Corp. .................. 33,900 $ 739,444
United Healthcare Corp. .......................... 57,700 3,613,462
Valero Energy Corp. .............................. 117,600 2,521,050
Wells Fargo and Co. .............................. 113,000 4,830,750
YORK International Corp. ......................... 22,600 967,563
-------------
Total U.S. Equities (Cost $112,073,437)........... 120,234,400
-------------
<CAPTION>
Face
Amount
-----------
<S> <C> <C>
Short Term Investments - 2.83%
Brinson Supplementary Trust U.S. Cash Management
Prime Fund (Cost $3,494,998)..................... $ 3,494,998 3,494,998
-------------
Total Investments (Cost $115,568,435) - 99.96%
(a).............................................. 123,729,398
Cash and other assets, less liabilities - 0.04%... 53,438
-------------
Net Assets - 100%................................. $123,782,837
=============
</TABLE>
NOTES TO SCHEDULE OF INVESTMENTS
(a) Aggregate cost for federal income tax purposes was $115,568,435; and net
unrealized appreciation consisted of:
<TABLE>
<S> <C>
Gross unrealized appreciation............. $13,790,626
Gross unrealized depreciation............. (5,629,663)
------------
Net unrealized appreciation........... $ 8,160,963
============
</TABLE>
(b) Non-income producing security
See accompanying notes to financial statements.
52
<PAGE>
BRINSON U.S. LARGE CAPITALIZATION VALUE EQUITY FUND
FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1999 (Unaudited)
<TABLE>
<S> <C>
ASSETS:
Investments, at value:
Unaffiliated issuers (Cost $112,073,437)......................... $120,234,400
Affiliated issuers (Cost $3,494,998)............................. 3,494,998
Receivables:
Investment securities sold....................................... 1,505,260
Dividends........................................................ 194,387
Interest......................................................... 19,078
Due from Advisor................................................. 4,659
-------------
TOTAL ASSETS................................................... 125,452,782
-------------
LIABILITIES:
Payables:
Investment securities purchased.................................. 1,660,304
Due to custodian bank............................................ 3,091
Other liabilities................................................ 6,550
-------------
TOTAL LIABILITIES.............................................. 1,669,945
-------------
NET ASSETS:
Applicable to 10,389,652 shares; no par value, unlimited shares
authorized....................................................... $123,782,837
=============
Net asset value, offering price and redemption price per share
($123,782,837 / 10,389,652 shares)............................... $ 11.9141
=============
NET ASSETS CONSIST OF:
Paid in capital................................................... $103,887,671
Accumulated net investment income................................. 2,232,877
Accumulated net realized gain..................................... 9,501,326
Net unrealized appreciation....................................... 8,160,963
-------------
NET ASSETS..................................................... $123,782,837
=============
</TABLE>
See accompanying notes to financial statements.
53
<PAGE>
BRINSON U.S. LARGE CAPITALIZATION VALUE EQUITY FUND
FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 1999 (Unaudited)
<TABLE>
<S> <C>
INVESTMENT INCOME:
Dividends........................................................ $ 1,046,075
Interest......................................................... 73,590
------------
TOTAL INCOME.................................................. 1,119,665
------------
EXPENSES:
Professional..................................................... 9,900
Trustees......................................................... 3,060
Custodian........................................................ 1,431
Other............................................................ 720
------------
TOTAL EXPENSES................................................ 15,111
------------
Expenses deferred by Advisor.................................. (9,426)
------------
NET EXPENSES.................................................. 5,685
------------
NET INVESTMENT INCOME......................................... 1,113,980
------------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments..................................................... 7,924,411
Futures contracts............................................... 73,963
------------
Net realized gain............................................. 7,998,374
------------
Change in net unrealized appreciation or depreciation on:
Investments..................................................... 5,907,558
Futures contracts............................................... (83,222)
------------
Change in net unrealized appreciation......................... 5,824,336
------------
Net realized and unrealized gain................................. 13,822,710
------------
Net increase in net assets resulting from operations............. $14,936,690
============
</TABLE>
See accompanying notes to financial statements.
54
<PAGE>
BRINSON U.S. LARGE CAPITALIZATION VALUE EQUITY FUND
FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Six Months
Ended Period Ended
June 30, 1999 December 31,
(Unaudited) 1998*
------------- -------------
<S> <C> <C>
OPERATIONS:
Net investment income........................... $ 1,113,980 $ 1,118,897
Net realized gain............................... 7,998,374 1,502,952
Change in net unrealized appreciation or
depreciation................................... 5,824,336 2,336,627
------------- -------------
Net increase in net assets resulting from
operations..................................... 14,936,690 4,958,476
------------- -------------
CAPITAL SHARE TRANSACTIONS:
Shares sold..................................... 200,000 110,145,291
Shares redeemed................................. (3,754,630) (2,703,000)
------------- -------------
Net increase (decrease) in net assets resulting
from capital share transactions (a)............ (3,554,630) 107,442,291
------------- -------------
TOTAL INCREASE IN NET ASSETS................. 11,382,060 112,400,767
------------- -------------
NET ASSETS:
Beginning of period............................. 112,400,777 10
------------- -------------
End of period (including accumulated net
investment income of $2,232,877 and $1,118,897,
respectively).................................. $123,782,837 $112,400,777
============= =============
(a) A summary of capital share transactions
follows:
<CAPTION>
Shares Shares
------------- -------------
<S> <C> <C>
Shares sold..................................... 17,158 11,008,212
Shares redeemed................................. (349,530) (286,189)
------------- -------------
Net increase (decrease) in shares outstanding.. (332,372) 10,722,023
============= =============
</TABLE>
*The Fund commenced operations June 25, 1998.
See accompanying notes to financial statements.
55
<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 each period presented.
<TABLE>
<CAPTION>
Six Months
Ended
June 30, 1999 Period Ended
(Unaudited) December 31, 1998*
------------- ------------------
<S> <C> <C>
Net asset value, beginning of period.......... $10.4832 $10.0000
--------- ---------
Net investment income........................ 0.1072 0.1044
Net unrealized gain.......................... 1.3237 0.3788
--------- ---------
Total income from investment operations..... 1.4309 0.4832
--------- ---------
Net asset value, end of period................ $11.9141 $10.4832
========= =========
Total return (non-annualized)................. 13.65% 4.83%
Ratios/Supplemental data
Net assets, end of period (in 000s).......... $123,783 $112,401
Ratio of expenses to average net assets:
Before expense reimbursement................ 0.03%** 0.03%**
After expense reimbursement................. 0.01%** 0.01%**
Ratio of net investment income to average net
assets:
Before expense reimbursement................ 1.92%** 2.04%**
After expense reimbursement................. 1.94%** 2.06%**
Portfolio turnover rate...................... 41% 35%
</TABLE>
* The Fund commenced operations June 25, 1998
** Annualized
See accompanying notes to financial statements.
56
<PAGE>
BRINSON POST-VENTURE FUND
- --------------------------------------------------------------------------------
The Brinson Post-Venture Fund invests in common stocks of companies with market
capitalizations between roughly $50 million and $1 billion, which represents
the lower 7.5% of value in the Wilshire 5000 Equity Index (a broad
representation of the U.S. equity market). We define this equity sector as the
"mini-cap" sector. The Fund's weighted average market capitalization as of June
30, 1999 was $439 million. The Fund's emphasis is on companies that have
developed with the assistance of professional venture capitalists We believe
that venture-backed companies generally have stronger management and are better
positioned for future growth than the average company in this sector.
Since its performance inception on April 30, 1995, the Brinson Post-Venture
Fund has produced an annualized return of 17.06%, compared to the 16.32% return
of its benchmark, the Wilshire Small Stock Index. These results have been
achieved with a risk level or volatility substantially lower than that of the
benchmark; 17.05% versus 19.87% respectively. For the last six months, the Fund
has underperformed the benchmark, returning 1.85% compared to the benchmark
return of 12.06%.
The small capitalization segment of the market was on a roller-coaster ride
during the first half of this year. The -5.33% return of the index during the
first quarter was followed by an impressive run-up in the second quarter of
18.36%. Over the same period, small growth stocks outperformed small value
stocks by a margin of more than 750 basis points (measured by the difference
between the Russell 2000 Growth Index and the Russell 2000 Value Index).
The portfolio has a value tilt relative to the benchmark, which explains much
of the performance shortfall for the year. The first quarter was particularly
difficult with respect to the technology sector. We were underweighted the
high-flying internet sector at a time when the average return for internet
stocks was an astounding 54.4%. Stock selection decisions have hampered
performance the most in this environment. The portfolio was also hurt by stock
selection in the materials and services sector, and finance. Some of the
problems stemmed from holdings in the Maxim Group, Rainbow Technologies, DT
Industries, Computer Task Group and American Business Products. While this has
been a difficult time for the portfolio, it has been a very unique period in
the small cap equity market as is evidenced by the events described above.
Our longer-term track record over full market cycles demonstrates the soundness
of our process and fundamental long-term investment philosophy. Some of our
best performing stocks year-to-date are Methode Electronics, Pride
International, Intertan, Inc., Hollywood Park and Rare Hospitality. We believe
the portfolio is well-positioned as we look ahead to the second half of the
year. Our largest industry overweights are held in consumer durables,
miscellaneous finance and apparel industries, while we are underweight in
business services, drugs & medicine and banks.
57
<PAGE>
BRINSON POST-VENTURE FUND
- --------------------------------------------------------------------------------
Total Return
<TABLE>
<CAPTION>
6 Months 1 Year 3 Years Annualized
Ended Ended Ended 4/30/95*
6/30/99 6/30/99 6/30/99 to 6/30/99
- -----------------------------------------------------------------
<S> <C> <C> <C> <C>
Brinson Post-Venture Fund 1.85% -8.79% 12.61% 17.06%
- -----------------------------------------------------------------
Wilshire Small Stock Index 12.06 1.37 10.34 16.32
- -----------------------------------------------------------------
</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 APPEARS HERE]
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.
58
<PAGE>
BRINSON POST-VENTURE FUND
- --------------------------------------------------------------------------------
Industry Diversification
As a Percent of Net Assets
As of June 30, 1999 (Unaudited)
<TABLE>
<S> <C>
U.S. Equities
Capital Goods........................................................ 5.53%
Consumer
Durables............................................................. 4.53
Non-Durables......................................................... 13.97
--------
18.50
Energy................................................................. 1.72
Finance
Banks................................................................ 3.85
Non Banks............................................................ 16.51
--------
20.36
Materials & Services................................................... 17.65
Technology............................................................. 15.43
Transportation......................................................... 6.61
Utilities.............................................................. 5.42
--------
45.11
--------
Total U.S. Equities................................................ 91.22*
--------
SHORT-TERM INVESTMENTS................................................. 8.53*
--------
TOTAL INVESTMENTS.................................................. 99.75
CASH AND OTHER ASSETS,
LESS LIABILITIES...................................................... 0.25
--------
NET ASSETS......................................................... 100.00%
========
</TABLE>
* The Fund held a long position in stock index futures which increased the U.S.
Equity exposure from 91.22% to 98.88%. This adjustment resulted in a net
decrease to the Funds exposure to Short-Term Investments from 8.53% to 0.87%.
TOP TEN U.S. EQUITY HOLDINGS
As of June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Percent of
Net Assets
- ------------------------------------------------------------
<S> <C>
1. Coachmen Industries, Inc. ....................................... 2.89%
2. Benchmark Electronics, Inc. ..................................... 2.70
3. Financial Security Assurance Holdings Ltd. ...................... 2.66
4. Emmis Broadcasting Corp., Class A................................ 2.51
5. Kellwood Co. .................................................... 2.29
6. Connecticut Energy Corp. ........................................ 2.01
7. Innkeepers USA Trust............................................. 1.83
8. Methode Electronics, Inc., Class A............................... 1.78
9. Shorewood Packaging Corp. ....................................... 1.71
10. Scotsman Industries, Inc. ....................................... 1.70
</TABLE>
- --------------------------------------------------------------------------------
59
<PAGE>
BRINSON POST-VENTURE FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
----------- ------------
<S> <C> <C>
Equities - 91.22%
U.S. Equities - 91.22%
A. Schulman, Inc. .................................... 317,900 $ 5,463,906
AFC Cable Systems, Inc. (b)........................... 124,487 4,395,947
Align-Rite International, Inc. (b).................... 218,400 3,030,300
Allied Capital Corp. ................................. 234,100 5,618,400
American Business Products, Inc. ..................... 305,420 4,657,655
AmerUs Life Holdings, Inc. ........................... 309,100 8,345,700
Apartment Investment & Management Co. ................ 73,226 3,130,411
Ascent Entertainment Group, Inc. (b).................. 240,200 3,392,825
Atmos Energy Corp. ................................... 180,550 4,513,750
Bacou USA, Inc. (b)................................... 490,100 8,362,331
BancTec, Inc. ........................................ 205,500 3,686,156
BEI Medical Systems Co., Inc. (b)..................... 220,700 317,256
BEI Technologies, Inc. ............................... 160,400 1,604,000
Benchmark Electronics, Inc. (b)....................... 463,200 16,646,250
Biorerliance Corp. (b)................................ 127,300 827,450
Bon Ton Stores, Inc. (b).............................. 322,119 2,073,641
Buffets, Inc. (b)..................................... 656,800 7,553,200
Cadmus Communications Corp. .......................... 234,700 3,227,125
Caere Corp. (b)....................................... 62,900 833,425
Callon Petroleum Co. (b).............................. 404,200 4,168,312
Carmike Cinemas, Inc. (b)............................. 207,400 3,305,437
Celadon Group, Inc. (b)............................... 233,900 1,988,150
Centerpoint Properties Trust ......................... 257,600 9,434,600
CFI ProServices, Inc. (b)............................. 255,800 2,877,750
Chartwell Re Corp. ................................... 70,200 1,307,475
CKE Restaurants, Inc. ................................ 14,600 237,250
Clean Harbors, Inc. (b)............................... 281,500 510,219
Coachmen Industries, Inc. ............................ 767,699 17,849,002
Commonwealth Industries, Inc. ........................ 673,200 8,415,000
Computer Task Group, Inc. ............................ 435,100 7,396,700
Connecticut Energy Corp. ............................. 321,200 12,386,275
Cotelligent, Inc. (b)................................. 141,800 1,107,813
Crown Crafts, Inc. ................................... 387,600 1,695,750
Dayton Superior Corp. (b)............................. 294,300 5,462,944
Del Webb Corp. (b).................................... 133,700 3,192,087
Delphi Information Systems, Inc. (b).................. 100,000 1,000,000
Delta Financial Corp. (b)............................. 511,400 3,260,175
Department 56, Inc. (b)............................... 172,200 4,627,875
Diagnostic Products Corp.............................. 78,100 2,157,513
Dress Barn, Inc. (b).................................. 287,450 4,599,200
DT Industries, Inc. .................................. 517,800 4,757,287
Emmis Communications Corp. (b)........................ 314,100 15,508,687
EMS Technologies, Inc. (b)............................ 387,000 5,611,500
Endosonics Corp. (b).................................. 279,200 1,954,400
Evans & Sutherland Computer Corp. (b)................. 203,300 2,655,606
</TABLE>
60
<PAGE>
BRINSON POST-VENTURE FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
----------- ------------
<S> <C> <C>
U.S. Equities - (continued)
Exabyte Corp. (b)..................................... 585,100 $ 2,267,263
FBL Financial Group, Inc. ............................ 277,900 5,419,050
Fidelity National Corp. .............................. 299,600 2,771,300
Financial Security Assurance Holdings Ltd. ........... 316,267 16,445,884
Finlay Enterprises, Inc. (b).......................... 194,800 2,605,450
First American Financial Corp. ....................... 153,422 2,742,418
Fred's, Inc. ......................................... 103,400 1,615,625
Gardner Denver Inc. (b)............................... 239,400 3,860,325
Golf Trust of America, Inc. .......................... 210,400 5,141,650
Goody's Family Clothing, Inc. (b)..................... 80,500 920,719
Granite Broadcasting Corp. (b)........................ 380,300 2,971,094
Granite Broadcasting Corp., Preferred................. 31,300 1,111,150
HA LO Industries, Inc. (b)............................ 156,300 1,543,463
Haggar Corp. ......................................... 219,300 2,878,313
Hardinge, Inc. ....................................... 260,800 4,580,300
Hartmarx Corp. (b).................................... 722,500 3,025,469
Helen of Troy Ltd. (b)................................ 209,700 3,761,494
Herbalife International, Class B...................... 577,400 4,980,075
Hollywood Park, Inc. (b).............................. 380,200 6,463,400
Hycor Biomedical, Inc. (b)............................ 336,500 431,141
Innkeepers USA Trust.................................. 1,130,400 11,304,000
Innovex, Inc. ........................................ 198,800 2,783,200
InterTan, Inc. (b).................................... 89,400 1,832,700
InTest Corp. (b)...................................... 288,100 2,016,700
Jason, Inc. (b)....................................... 814,600 6,516,800
JLM Industries, Inc. (b).............................. 296,900 1,558,725
Kellwood Co. ......................................... 521,075 14,134,159
Kevco, Inc. (b)....................................... 278,300 2,278,581
Kitty Hawk, Inc. (b).................................. 198,200 1,560,825
KLLM Transport Services, Inc. (b)..................... 230,431 1,324,978
Landstar System, Inc. (b)............................. 119,500 4,313,203
LTC Properties, Inc. ................................. 407,000 5,291,000
M & F Worldwide Corp. (b)............................. 443,800 3,522,662
M.S. Carriers, Inc. (b)............................... 160,000 4,745,000
M/A/R/C, Inc. ........................................ 250,640 3,634,280
Mac Gray Corp. (b).................................... 317,800 2,780,750
Maxim Group, Inc. (b)................................. 212,380 1,845,051
Maxxim Medical, Inc. (b).............................. 8,000 186,500
McNaughton Apparel Group Inc. (b)..................... 345,300 2,891,888
Medallion Financial Corp. ............................ 155,900 2,971,844
Methode Electronics, Inc., Class A.................... 480,430 10,989,836
Metro Bancsares, Inc. ................................ 93,100 802,988
Micheals Stores, Inc. (b)............................. 69,100 2,116,188
Microsemi Corp. (b)................................... 569,400 5,338,125
Midway Airlines, Corp. (b)............................ 314,700 3,225,675
Midwest Express Holdings, Inc. (b).................... 100,700 3,423,800
Morton's Restaurant Group, Inc. (b)................... 51,300 977,906
</TABLE>
61
<PAGE>
BRINSON POST-VENTURE FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
----------- -------------
<S> <C> <C>
U.S. Equities - (continued)
MSC.Software Corp. (b)............................... 546,320 $ 3,175,485
NCI Building Systems, Inc. (b)....................... 286,000 6,113,250
Nichols Research Corp. (b)........................... 297,804 6,514,462
North Fork Bancorporation, Inc. ..................... 295,100 6,289,319
OEA, Inc. (b)........................................ 259,500 2,303,063
OSI Systems, Inc. (b)................................ 482,600 2,413,000
Paging Network, Inc. (b)............................. 770,200 3,706,587
PBOC Holdings, Inc. (b).............................. 271,700 2,717,000
Piccadilly Cafeterias, Inc. ......................... 274,600 2,282,613
Pool Energy Services Co. (b)......................... 77,400 1,572,188
Premier Financial Bancorp, Inc. ..................... 187,085 2,572,419
Pride International, Inc. (b)........................ 459,600 4,854,525
Printronix, Inc. (b)................................. 247,900 3,470,600
Quixote Corp. ....................................... 339,300 4,135,219
Rainbow Technologies, Inc. (b)....................... 322,300 3,807,169
Ramsay Youth Services, Inc. (b)...................... 82,500 433,125
Rare Hospitality International, Inc. (b)............. 127,761 3,257,905
Regal Beloit Corp. .................................. 195,544 4,619,727
Republic Group, Inc. ................................ 78,700 1,416,600
RFS Hotel Investors, Inc. ........................... 782,100 9,825,131
Russ Berrie & Co., Inc. ............................. 122,200 3,024,450
Safeguard Health Enterprises, Inc. (b)............... 214,600 965,700
Saga Communications, Inc., Class A (b)............... 139,500 2,598,188
Sanfilippo (John B.) & Son, Inc. (b)................. 399,700 1,523,856
Sanmina Corp. (b).................................... 1 76
SBS Technologies, Inc. (b)........................... 273,500 5,538,375
Scotsman Industries, Inc. ........................... 486,100 10,481,531
SeaMED Corp. (b)..................................... 200,000 2,350,000
Shaw Group, Inc. (b)................................. 362,300 5,751,512
Shorewood Packaging Corp. (b)........................ 572,150 10,549,016
Silicon Valley Bancshares (b)........................ 217,120 5,373,720
SkyWest, Inc. ....................................... 157,800 3,935,137
SMART Modular Technologies, Inc. (b)................. 171,100 2,972,862
SOS Staffing Services, Inc. (b)...................... 616,400 3,236,100
Special Metals Corp. (b)............................. 154,800 899,775
Stanley Furniture Co., Inc. (b)...................... 315,374 7,095,915
Storage USA, Inc. ................................... 266,300 8,488,312
TBC Corp. (b)........................................ 607,900 4,293,294
Team, Inc. (b)....................................... 168,380 631,425
The Middleby Corp.................................... 431,100 2,748,263
Tractor Supply Co. (b)............................... 72,200 1,971,963
UniSource Energy Corp. Holding Co. (b)............... 87,700 1,046,919
Vans, Inc. (b)....................................... 395,800 4,533,149
Weider Nutrition International, Inc.................. 330,400 1,362,900
York Group, Inc...................................... 201,200 1,509,000
-------------
Total Equities (Cost $546,477,398)................... 563,410,507
-------------
</TABLE>
62
<PAGE>
BRINSON POST-VENTURE FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
----------- -------------
<S> <C> <C>
Short-Term Investments - 8.53%
Investment Company - 8.25%
Brinson Supplementary Trust U.S. Cash Management
Prime Fund......................................... 50,962,884 $ 50,962,884
-------------
<CAPTION>
Face Amount
-----------
<S> <C> <C>
U.S. Government Obligations - 0.28%
U.S. Treasury Bill due 8/5/99....................... $ 1,750,000 1,742,513
-------------
Total Short-Term Investments (Cost $52,694,713)..... 52,705,397
-------------
Total Investments (Cost $599,172,111) - 99.75% (a).. 616,115,904
Cash and other assets, less liabilities - 0.25%..... 1,530,758
-------------
Net Assets - 100%................................... $617,646,662
=============
</TABLE>
NOTES TO SCHEDULE OF INVESTMENTS
(a) Aggregate cost for federal income tax purposes was $599,172,111; and net
unrealized appreciation consisted of:
<TABLE>
<S> <C>
Gross unrealized appreciation............ $72,730,346
Gross unrealized depreciation............ (55,786,553)
------------
Net unrealized appreciation.......... $16,943,793
============
</TABLE>
(b) Non-income producing security.
FUTURES CONTRACTS
The Brinson Post-Venture Fund had the following open futures contracts as of
June 30, 1999:
<TABLE>
<CAPTION>
Settlement Current Unrealized
Date Cost Value Gain
-------------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
Index Futures Buy Contracts
S&P 500 Index, 137
contracts................. September 1999 $45,635,197 $47,323,225 $1,688,029
===========
</TABLE>
The segregated cash and aggregate market value of investments pledged to cover
margin requirements for the open futures positions at June 30, 1999 were
$993,750 and $1,742,513, respectively.
See accompanying notes to financial statements.
63
<PAGE>
BRINSON POST-VENTURE FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1999 (Unaudited)
<TABLE>
<S> <C>
ASSETS:
Investments, at value:
Unaffiliated issuers (Cost $548,209,227)......................... $565,153,020
Affiliated issuers (Cost $50,962,884)............................ 50,962,884
Cash.............................................................. 1,460,523
Receivables:
Investment securities sold....................................... 3,040,368
Interest......................................................... 174,667
Dividends........................................................ 1,117,887
Due from Advisor................................................. 13,844
Variation margin................................................. 856,250
-------------
TOTAL ASSETS................................................... 622,779,443
-------------
LIABILITIES:
Payables:
Investment securities purchased.................................. 5,118,937
Other liabilities................................................ 13,844
-------------
TOTAL LIABILITIES.............................................. 5,132,781
-------------
NET ASSETS:
Applicable to 32,024,762 shares; no par value, unlimited shares
authorized....................................................... $617,646,662
=============
Net asset value, offering and redemption price per share
($617,646,662 / 32,024,762 shares)............................... $ 19.2865
=============
NET ASSETS CONSIST OF:
Paid in capital................................................... $406,123,151
Accumulated net investment income................................. 27,320,333
Accumulated net realized gain..................................... 165,571,356
Net unrealized appreciation....................................... 18,631,822
-------------
NET ASSETS..................................................... $617,646,662
=============
</TABLE>
See accompanying notes to financial statements.
64
<PAGE>
BRINSON POST-VENTURE FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 1999 (Unaudited)
<TABLE>
<S> <C>
INVESTMENT INCOME:
Dividends........................................................ $ 4,163,718
Interest......................................................... 795,151
------------
TOTAL INCOME.................................................. 4,958,869
------------
EXPENSES:
Professional..................................................... 15,747
Custodian........................................................ 6,204
Trustees......................................................... 3,077
Other............................................................ 1,810
------------
TOTAL EXPENSES................................................ 26,838
------------
Expenses deferred by Advisor.................................. (26,838)
------------
NET EXPENSES.................................................. 0
------------
NET INVESTMENT INCOME......................................... 4,958,869
------------
NET REALIZED AND UNREALIZED GAIN:
Net realized gain on:
Investments..................................................... 8,510,664
Futures contracts............................................... 2,331,754
------------
Net realized gain............................................. 10,842,418
------------
Change in net unrealized appreciation or depreciation on:
Investments..................................................... 16,684,734
Futures contracts............................................... 284,913
------------
Change in net unrealized appreciation or depreciation......... 16,969,647
------------
Net realized and unrealized gain................................. 27,812,065
------------
Net increase in net assets resulting from operations............. $32,770,934
============
</TABLE>
See accompanying notes to financial statements.
65
<PAGE>
BRINSON POST-VENTURE FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Six Months
Ended Year Ended
June 30, 1999 December 31,
(Unaudited) 1998
------------- --------------
<S> <C> <C>
OPERATIONS:
Net investment income........................... $ 4,958,869 $ 7,783,657
Net realized gain............................... 10,842,418 48,269,901
Change in net unrealized appreciation or
depreciation................................... 16,969,647 (81,469,855)
------------- --------------
Net increase (decrease) in net assets resulting
from operations................................ 32,770,934 (25,416,297)
------------- --------------
CAPITAL SHARE TRANSACTIONS:
Shares sold..................................... 201,784,160 135,747,147
Shares redeemed................................. (16,730,484) (115,860,845)
------------- --------------
Net increase in net assets resulting from
capital share transactions (a)................. 185,053,676 19,886,302
------------- --------------
TOTAL INCREASE (DECREASE) IN NET ASSETS...... 217,824,610 (5,529,995)
------------- --------------
NET ASSETS:
Beginning of period............................. 399,822,052 405,352,047
------------- --------------
End of period (including accumulated net
investment income of $27,320,333 and
$22,361,464, respectively)..................... $617,646,662 $ 399,822,052
============= ==============
(a) A summary of capital share transactions
follows:
<CAPTION>
Shares Shares
------------- --------------
<S> <C> <C>
Shares sold..................................... 11,809,168 6,754,624
Shares redeemed................................. (899,285) (5,843,228)
------------- --------------
Net increase in shares outstanding............. 10,909,883 911,396
============= ==============
</TABLE>
See accompanying notes to financial statements.
66
<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>
Six Months Period
Ended Year Ended December 31, Ended
June 30, 1999 ------------------------------ December 31,
(Unaudited) 1998 1997 1996 1995*
------------- --------- --------- --------- ------------
<S> <C> <C> <C> <C> <C>
Net asset value,
beginning of period.... $18.9356 $20.0635 $15.2509 $11.9936 $10.0000
--------- --------- --------- --------- ---------
Income from investment
operations:
Net investment income.. (0.2059) 0.3375 0.2938 0.2617 0.1660
Net realized and
unrealized gain
(loss)................ 0.5568 (1.4654) 4.5188 2.9956 1.8276
--------- --------- --------- --------- ---------
Total income (loss)
from investment
operations........... 0.3509 (1.1279) 4.8126 3.2573 1.9936
--------- --------- --------- --------- ---------
Net asset value, end of
period................. $19.2865 $18.9356 $20.0635 $15.2509 $11.9936
========= ========= ========= ========= =========
Total return
(non-annualized)....... 1.85% (5.62)% 31.56% 27.16% 19.94%
Ratios/Supplemental data
Net assets, end of
period (in 000s)...... $617,647 $399,822 $405,352 $298,978 $256,810
Ratio of expenses to
average net assets:
Before expense
reimbursement........ 0.01%** 0.01% 0.03% 0.09% 0.17%**
After expense
reimbursement........ 0.00%** 0.00% 0.00% 0.00% 0.00%**
Ratio of net investment
income to average net
assets:
Before expense
reimbursement........ 1.99%** 1.90% 1.76% 1.78% 1.85%**
After expense
reimbursement........ 2.00%** 1.91% 1.79% 1.87% 2.02%**
Portfolio turnover
rate.................. 24% 40% 45% 39% 25%
</TABLE>
* The Fund commenced operations April 28, 1995.
** Annualized
See accompanying notes to financial statements.
67
<PAGE>
BRINSON GLOBAL (EX-U.S.) EQUITY FUND
- --------------------------------------------------------------------------------
In managing the Brinson Global (Ex-U.S.) Equity Fund, we apply our fundamental
price/value philosophy with an integrated view of global capital markets. We
add value by focusing on four key portfolio management activities. We select
the best securities, focus on industries that have the best earnings prospects,
concentrate investments in countries with above average political and
structural environments, and control exposure to various global currencies. We
manage the portfolio within predefined ranges relative to the benchmark and use
both qualitative and quantitative techniques to control portfolio risk.
Since its performance inception on June 30, 1998, the Brinson Global (Ex-U.S.)
Equity Fund has produced an annualized return of 5.99% compared to the 7.18%
return of its benchmark, the MSCI World Ex-USA (Free) Index. These results were
achieved at a risk level or volatility well below that of the benchmark at
12.63% versus 14.29% respectively. For the most recent six months, the Fund has
returned 3.32% versus the benchmark return of 4.34%.
The main driver of the Fund's relative underperformance on a year-to-date basis
was unfavorable security selection decisions. We continued to underweight many
of the high-flying internet stocks and stocks in the growth sector of the
market. While these stocks are overvalued in our opinion, and we did see some
correction in favor of value stocks in the second quarter, growth stocks
continued to drive the overall markets higher across the first half of 1999.
Most European equity markets were very strong in the first quarter, and we took
that strength as an opportunity to reduce our overweight position in Europe.
Proceeds from the sales were deployed in Japan, where recent macroeconomic
policy moves have recently served to support higher asset prices. The Japan
equity position is now approximately equal to the benchmark weighting. During
the first quarter we also increased the Fund's currency exposure to the euro,
while decreasing exposure to the U.K. sterling and Japanese yen.
Renewed investor confidence in global growth boosted economically sensitive
stocks during the second quarter. Value stocks outperformed growth by a wide
margin opposing a long-running trend of overperformance by growth issues. An
improving economic picture coupled with increased profitability for value
stocks suggests that there is scope for continued outperformance of growth
stocks in the coming months. Our work continues to suggest that many large
capitalization growth stocks remain significantly overvalued.
As a result, the Fund's largest industry overweights (relative to the
benchmark) are to producer goods, basic materials and consumer stocks. The
largest underweights are maintained in financials, telecommunication services &
equipment and information technology. With respect to country strategy, the
Fund's largest overweights are to Australia/New Zealand, the U.K. and Germany,
with the largest underweights in Hong Kong, Canada and Switzerland.
Strong price increases among the European cyclicals prompted us to pare back on
certain positions near the end of the second quarter. The unexciting outlook
for the British steel industry prompted us to eliminate our position in British
Steel after taking advantage of a recent rebound in the stock price. We
maintain an overweight in cyclicals however, due to some strong value
opportunities in Australia and New Zealand, a new position in the German tire
manufacturer, Continental, and a position in Swiss construction and building
group, Holderbank.
68
<PAGE>
BRINSON GLOBAL (EX-U.S.) EQUITY FUND
- --------------------------------------------------------------------------------
Total Return
<TABLE>
<CAPTION>
6 Months Annualized
Ended 6/30/98*
6/30/99 to 6/30/99
- -------------------------------------------------------------
<S> <C> <C>
Brinson Global (Ex-U.S.) Equity Fund** 3.32% 5.99%
- -------------------------------------------------------------
MSCI World Ex USA (Free) Index *** 4.34 7.18
- -------------------------------------------------------------
</TABLE>
*Performance inception date of the Brinson Global (Ex-U.S.) Equity Fund.
**Formerly known as the Brinson Non-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 Global
(Ex-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 Global (Ex-U.S.) Equity Fund
vs. MSCI World Ex USA (Free) Index
BRINSON GLOBAL (EX-U.S.) EQUITY FUND CHART
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.
69
<PAGE>
BRINSON GLOBAL (EX-U.S.) EQUITY FUND
- --------------------------------------------------------------------------------
Industry Diversification
As a Percent of Net Assets
As of June 30, 1999 (Unaudited)
<TABLE>
<S> <C>
GLOBAL (EX-U.S.) EQUITIES
Aerospace & Military.......... 1.02%
Airlines...................... 1.06
Appliances & Households....... 2.06
Autos/Durables................ 2.77
Banking....................... 10.20
Beverages and Tobacco......... 3.08
Broadcasting & Publishing..... 3.99
Building Materials............ 0.95
Business & Public Service..... 3.78
Chemicals..................... 4.43
Construction.................. 0.65
Data Processing............... 1.48
Electric Components........... 1.31
Electronics................... 5.30
Energy........................ 6.57
Financial Services............ 2.46
Food & House Products......... 4.02
Forest Products............... 1.01
Health & Personal Care........ 6.52
Industrial Components......... 2.42
Insurance..................... 5.27
Leisure & Tourism............. 0.35
Machinery & Engineering....... 0.77
Merchandising................. 5.13
Metals-Steel.................. 0.41
Multi-Industry................ 1.73
Non-Ferrous Metals............ 1.77
Real Estate................... 0.70
Recreation.................... 0.92
Telecommunications............ 8.43
Textiles & Apparel............ 0.20
Transportation................ 0.93
Utilities..................... 5.40
Wholesale & International
Trade........................ 0.57
-------
Total Global (Ex-U.S.)
Equities.................... 97.66
-------
SHORT-TERM INVESTMENTS......... 1.53
-------
TOTAL INVESTMENTS............ 99.19
CASH AND OTHER ASSETS,
LESS LIABILITIES.............. 0.81
-------
NET ASSETS................... 100.00%
=======
</TABLE>
TOP TEN GLOBAL (EX-U.S.) EQUITY HOLDINGS
As of June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Percent of
Net Assets
- --------------------------------------------------------------------------------
<S> <C>
1. BP Amoco PLC..................................................... 1.77%
2. Veba AG.......................................................... 1.71
3. ING Groep NV..................................................... 1.49
4. Nestle S.A. (Reg.)............................................... 1.35
5. Lloyds TSB Group PLC............................................. 1.34
6. Glaxo Wellcome PLC............................................... 1.31
7. Nippon Telegraph & Telephone Corp................................ 1.30
8. Marks & Spencer PLC.............................................. 1.28
9. Siemens AG....................................................... 1.25
10. Bayer AG......................................................... 1.25
- --------------------------------------------------------------------------------
</TABLE>
70
<PAGE>
BRINSON GLOBAL (EX-U.S.) EQUITY FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
------------- -------------
<S> <C> <C>
Global (Ex-U.S.) Equities - 97.66%
Australia - 5.55%
Amcor Ltd. ........................................ 15,260 $ 84,825
Amp Limited ....................................... 19,500 213,173
Brambles Industries Ltd. .......................... 7,860 207,061
Broken Hill Proprietary Co., Ltd. ................. 41,550 481,285
CSR Ltd. .......................................... 55,910 159,870
David Jones Ltd. .................................. 58,500 57,307
Lend Lease Corp., Ltd. ............................ 13,860 190,295
National Australia Bank Ltd. ...................... 42,400 701,615
News Corp. Ltd. ................................... 61,860 527,784
News Corp. Ltd., Preferred......................... 19,920 151,760
Orica Ltd. ........................................ 10,180 55,597
Pacific Dunlop Ltd. ............................... 10,050 14,502
Qantas Airways Ltd. ............................... 80,430 265,651
QBE Insurance Group Ltd. .......................... 33,586 127,826
Rio Tinto Ltd. .................................... 14,650 240,210
Santos Ltd. ....................................... 41,660 136,495
Telstra Corp. Ltd. ................................ 107,790 617,645
Westpac Banking Corp., Ltd. ....................... 54,910 356,181
WMC Ltd. .......................................... 27,430 117,832
Woolworth's Ltd. .................................. 33,140 110,225
-------------
4,817,139
-------------
Austria - 0.09%
Austria Tabakwerke AG.............................. 1,400 81,576
-------------
Belgium - 1.21%
Fortis B........................................... 25,210 791,672
KBC Bancassurance Holding.......................... 4,312 255,700
-------------
1,047,372
-------------
Canada - 2.69%
Agrium, Inc. ...................................... 11,420 99,533
Alcan Aluminum Ltd. ............................... 5,260 166,141
Bank of Montreal................................... 3,190 115,306
Canadian National Railway Co. ..................... 3,210 214,492
Canadian Pacific Ltd. ............................. 9,580 226,539
Hudson's Bay Co. .................................. 10,080 112,371
Imasco, Ltd. ...................................... 5,200 139,477
Imperial Oil Ltd. ................................. 8,040 152,098
Magna International, Inc., Class A................. 1,340 75,460
Newbridge Networks Corp. (b)....................... 4,390 124,573
NOVA Chemicals Corp. .............................. 5,914 137,851
Potash Corporation of Saskatchewan, Inc. .......... 1,140 58,652
Royal Bank of Canada............................... 3,780 166,002
Seagram Co., Ltd. ................................. 1,800 89,203
</TABLE>
71
<PAGE>
BRINSON GLOBAL (EX-U.S.) EQUITY FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
------------- -------------
<S> <C> <C>
Canada - (continued)
Shaw Communications, Inc., Class B................. 7,020 $ 276,512
TransCanada Pipelines Ltd. ........................ 9,100 127,576
Westcoast Energy, Inc. ............................ 2,880 56,234
-------------
2,338,020
-------------
Denmark - 0.34%
Tele Danmark A/S................................... 6,100 300,250
-------------
Finland - 1.85%
Merita Ltd., Class A............................... 59,910 340,436
Nokia Oyj.......................................... 8,860 776,672
UPM-Kymmene Corp. ................................. 17,130 491,120
-------------
1,608,228
-------------
France - 9.12%
Aerospatiale Matra................................. 11,460 264,148
Air Liquide........................................ 2,870 451,374
Banque Nationale de Paris.......................... 5,080 423,312
Carrefour SA....................................... 2,580 379,157
Cie de Saint Gobain................................ 1,990 317,078
Elf Aquitaine S.A. ................................ 4,820 707,354
France Telecom S.A. ............................... 8,190 618,695
Air France (b)..................................... 17,630 314,546
Groupe Danone...................................... 2,090 538,854
Michelin, Class B.................................. 5,050 206,604
Rhone-Poulenc, Class A............................. 7,950 363,290
SEITA.............................................. 15,260 881,308
Societe Generale................................... 2,130 375,411
Suez Lyonnaise des Eaux S.A. ...................... 2,950 532,104
Thomson CSF........................................ 17,940 623,501
Total Fina S.A., Class B (b)....................... 3,940 508,322
Vivendi............................................ 5,075 411,119
-------------
7,916,177
-------------
Germany - 10.71%
Allianz AG......................................... 2,697 753,764
Bayer AG........................................... 26,120 1,086,930
Continental AG..................................... 16,000 382,819
DaimlerChrysler AG................................. 8,573 748,861
Deutsche Bank AG................................... 15,383 937,591
Deutsche Telekom AG................................ 17,450 733,345
Deutsche Telekom AG, Rights (b).................... 17,450 3,419
Dresdner Bank AG................................... 15,520 603,418
Mannesmann AG...................................... 6,020 900,222
SAP AG............................................. 770 264,039
Siemens AG......................................... 14,100 1,087,691
</TABLE>
72
<PAGE>
BRINSON GLOBAL (EX-U.S.) EQUITY FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
------------- -------------
<S> <C> <C>
Germany - (continued)
Veba AG............................................ 25,170 $ 1,484,787
Volkswagen AG...................................... 4,870 314,253
-------------
9,301,139
-------------
Italy - 2.65%
Assicurazioni Generali............................. 17,000 589,079
ENI Spa............................................ 125,000 746,403
ENI Spa ADR........................................ 1,520 91,200
La Rinascente Spa.................................. 37,000 280,080
Montedison Spa..................................... 149,760 244,027
San Paolo-imi Spa.................................. 25,495 347,068
-------------
2,297,857
-------------
Japan - 22.82%
Acom Co., Ltd. .................................... 4,400 379,874
Amada Co., Ltd. ................................... 22,000 155,403
Bank of Tokyo-Mitsubushi, Ltd. .................... 37,000 526,694
Bridgestone Corp. ................................. 12,000 362,855
Canon, Inc. ....................................... 18,000 517,515
Citizen Watch Co., Ltd. ........................... 20,000 173,496
Dai Nippon Printing Co., Ltd. ..................... 21,000 335,715
Daiichi Pharmaceutical Co., Ltd. .................. 19,000 294,795
Daikin Industries Ltd. ............................ 44,000 510,740
Daiwa House Industry Co., Ltd. .................... 11,000 115,689
Denso Corp. ....................................... 19,000 386,153
East Japan Railway Co. ............................ 65 349,058
Fanuc.............................................. 9,100 488,681
Fuji Photo Film.................................... 6,000 227,032
Fujitsu............................................ 38,000 764,458
Honda Motor Co. ................................... 16,000 678,123
Hoya Corp. ........................................ 5,000 282,138
Ito Yokado Co., Ltd. .............................. 11,000 736,120
Kaneka Corp. ...................................... 21,000 197,786
Kao Corp. ......................................... 14,000 393,258
Kirin Brewery Co., Ltd. ........................... 25,000 299,488
Kokuyo............................................. 7,000 112,773
Kuraray Co., Ltd. ................................. 28,000 336,814
Marui Co., Ltd. ................................... 12,000 198,282
Matsushita Electric Industrial Co. ................ 27,000 524,207
Mitsubishi Estate Co., Ltd. ....................... 43,000 419,556
Mitsubishi Corp. .................................. 73,000 494,547
NGK Insulators .................................... 39,000 407,270
Nintendo Corp., Ltd. .............................. 2,600 365,383
Nippon Meat Packers, Inc. ......................... 17,000 221,910
Nippon Steel Co. .................................. 155,000 359,840
Nippon Telegraph & Telephone Corp. ................ 97 1,129,957
</TABLE>
73
<PAGE>
BRINSON GLOBAL (EX-U.S.) EQUITY FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
------------- -------------
<S> <C> <C>
Japan - (continued)
Nomura Securities Co., Ltd. ....................... 39,000 $ 456,568
Obayashi Corp. .................................... 37,000 186,162
Osaka Gas Co. ..................................... 103,000 349,744
Sankyo Co., Ltd. .................................. 16,000 403,173
Sanwa Bank Ltd. ................................... 26,000 255,833
Secom Co., Ltd. ................................... 5,000 520,489
Sega Enterprises Ltd. ............................. 2,700 35,713
Sekisui House Ltd. ................................ 24,000 258,956
Shin-Etsu Chemical Co., Ltd. ...................... 4,000 133,840
Sony Corp. ........................................ 5,100 549,860
Sumitomo Bank...................................... 27,000 334,823
Sumitomo Chemical Co. ............................. 59,000 270,530
Sumitomo Electric Industries....................... 25,000 284,204
Takeda Chemical Industries......................... 14,000 648,876
TDK Corp. ......................................... 4,000 365,830
Tokio Marine & Fire Insurance Co. ................. 21,000 228,148
Tokyo Electric Power............................... 23,100 487,612
Toshiba Corp. ..................................... 54,000 385,013
Toyota Motor Corp. ................................ 21,000 664,491
Yamato Transport Co., Ltd. ........................ 14,000 244,052
-------------
19,809,527
-------------
Netherlands - 4.72%
Elsevier NV........................................ 52,240 606,095
Heineken NV........................................ 3,960 202,768
ING Groep NV....................................... 23,837 1,290,613
Koninklijke KPN NV................................. 14,919 700,061
Royal Dutch Petroleum Co. ......................... 13,880 813,060
Unilever NV........................................ 7,175 483,564
-------------
4,096,161
-------------
New Zealand - 0.87%
Auckland International Airport Ltd. ............... 32,690 50,235
Carter Holt Harvey Ltd. ........................... 55,560 66,537
Fletcher Challenge Paper........................... 70,860 52,944
Lion Nathan Ltd. .................................. 38,930 93,243
Telecom Corp. of New Zealand Ltd. ................. 114,210 490,210
-------------
753,169
-------------
Norway - 0.35%
Norsk Hydro ASA.................................... 3,390 127,892
Norske Skogindustrier ASA.......................... 4,850 178,660
-------------
306,552
-------------
Portugal - 0.43%
EDP Electricidade de Portugal S.A. ................ 20,600 370,934
-------------
</TABLE>
74
<PAGE>
BRINSON GLOBAL (EX-U.S.) EQUITY FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
------------- -------------
<S> <C> <C>
Singapore - 0.76%
Singapore Press Holdings Ltd. ..................... 26,500 $ 451,395
United Overseas Bank Ltd. (Frgn.).................. 30,000 209,692
-------------
661,087
-------------
Spain - 2.08%
Banco Popular S.A. ................................ 4,672 336,072
Banco Santander Central Hispano, S.A. ............. 52,612 548,013
Endesa S.A. ....................................... 17,000 362,564
Telefonica S.A. (b)................................ 11,621 559,807
-------------
1,806,456
-------------
Sweden - 2.67%
Electrolux AB, B Shares............................ 34,190 715,810
Ericsson, B Shares................................. 17,200 551,282
Investor AB--B Shares.............................. 32,440 362,479
Nordbanken Holding AB.............................. 42,660 249,377
Swedish Match AB................................... 123,140 438,855
-------------
2,317,803
-------------
Switzerland - 5.16%
Adecco S.A......................................... 208 111,452
Holderbank Financiere Glarus AG, B Shares.......... 296 349,389
Holderbank Financiere Glarus AG, Rights (b)........ 10 147
Nestle S.A. (Reg.)................................. 652 1,174,741
Novartis AG (Reg.)................................. 721 1,052,792
Roche Holding AG (Gen.)............................ 87 894,288
Swiss Reinsurance Co. (Reg.)....................... 98 186,594
Swisscom AG (Reg.)................................. 1,880 707,449
-------------
4,476,852
-------------
United Kingdom - 23.59%
Allied Zurich PLC.................................. 38,660 485,992
AstraZeneca PLC.................................... 10,130 391,851
Barclays PLC....................................... 20,770 604,373
BOC Group PLC...................................... 51,900 1,014,439
Boots Company PLC.................................. 33,660 399,792
British Airways PLC................................ 50,000 345,011
BP Amoco PLC....................................... 85,634 1,534,771
British Telecommunications PLC..................... 33,000 552,948
Charter PLC........................................ 88,530 519,123
Coats Viyella PLC.................................. 217,720 175,027
Diageo PLC......................................... 55,900 583,760
FKI PLC............................................ 208,200 646,720
General Electric Co. PLC........................... 100,560 1,025,572
Glaxo Wellcome PLC................................. 40,940 1,137,724
Greenalls Group PLC................................ 54,125 302,875
House of Fraser PLC................................ 99,310 136,974
</TABLE>
75
<PAGE>
BRINSON GLOBAL (EX-U.S.) EQUITY FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
------------- -------------
<S> <C> <C>
United Kingdom - (continued)
Lloyds TSB Group PLC.............................. 86,040 $ 1,166,368
Marks & Spencer PLC............................... 192,150 1,111,587
Mirror Group PLC.................................. 122,260 474,817
National Power PLC................................ 79,500 578,956
Nycomed Amersham PLC.............................. 67,910 472,073
Peninsular & Oriental Steam Navigation Co. ....... 23,050 346,077
Prudential Corp. PLC.............................. 65,180 959,617
Reckitt & Colman PLC.............................. 31,000 323,242
Reed International PLC............................ 59,810 399,032
Rio Tinto Ltd..................................... 60,210 1,009,353
RJB Mining PLC.................................... 71,960 59,551
Royal & Sun Alliance Insurance Group PLC.......... 27,855 249,830
Sainsbury (J.) PLC................................ 23,050 145,334
Scottish Southern Energy PLC...................... 84,680 866,288
Tesco PLC......................................... 305,070 785,036
Thames Water PLC.................................. 26,170 414,991
Unilever PLC...................................... 40,000 355,927
United News & Media PLC........................... 60,420 580,962
Yorkshire Water PLC............................... 46,500 323,242
-------------
20,479,235
-------------
Total Global (Ex-U.S.) Equities (Cost
$79,707,305)..................................... 84,785,534
-------------
Short Term Investment - 1.53%
Investment Companies - 1.53%
Brinson Supplementary Trust U.S. Cash Management
Prime Fund (Cost $1,331,945)..................... 1,331,945 1,331,945
-------------
Total Investments (Cost $81,039,250) - 99.19%
(a).............................................. 86,117,479
Cash and other assets, less liabilities - 0.81%... 703,325
-------------
Net Assets - 100%................................. $ 86,820,804
=============
</TABLE>
See accompanying notes to schedule of investments.
76
<PAGE>
BRINSON GLOBAL (EX-U.S.) EQUITY FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
June 30, 1999 (Unaudited)
NOTES TO SCHEDULE OF INVESTMENTS
(a) Aggregate cost for federal income tax purposes was $81,039,250; and net
unrealized appreciation consisted of:
<TABLE>
<S> <C>
Gross unrealized appreciation............... $ 9,077,903
Gross unrealized depreciation............... (3,999,674)
------------
Net unrealized appreciation............. $ 5,078,229
============
</TABLE>
(b) Non-income producing security.
FORWARD FOREIGN CURRENCY CONTRACTS
The Brinson Global (Ex-U.S.) Equity Fund had the following open forward foreign
currency contracts as of June 30, 1999:
<TABLE>
<CAPTION>
Settlement Local Current Unrealized
Date Currency Value Gain/(Loss)
---------- ----------- ---------- -----------
<S> <C> <C> <C> <C>
Forward Foreign Currency Buy
Contracts:
Australian Dollar............... 12/03/99 6,300,000 $4,179,576 $ 57,537
Canadian Dollar................. 12/03/99 1,600,000 1,083,262 (2,072)
Euro............................ 12/03/99 5,800,000 6,055,038 (98,743)
Swedish Krona................... 12/03/99 26,000,000 3,089,915 29,832
Swiss Franc..................... 12/03/99 1,400,000 917,173 (22,109)
Forward Foreign Currency Sale
Contracts:
British Pound................... 12/03/99 5,500,000 8,686,314 118,526
Japanese Yen.................... 12/03/99 754,000,000 6,381,792 13,133
--------
Total......................... $ 96,104
========
</TABLE>
See accompanying notes to financial statements.
77
<PAGE>
BRINSON GLOBAL (EX-U.S.) EQUITY FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1999 (Unaudited)
<TABLE>
<S> <C>
ASSETS:
Investments, at value:
Unaffiliated issuers (Cost $79,707,305)......................... $84,785,534
Affiliated issuers (Cost $1,331,945)............................ 1,331,945
Foreign currency, at value (Cost $392,987)....................... 396,715
Receivables:
Investment securities sold...................................... 473,124
Dividends....................................................... 270,353
Interest........................................................ 5,331
Due from Advisor................................................ 4,766
Net unrealized appreciation on forward foreign currency
contracts....................................................... 96,104
------------
TOTAL ASSETS.................................................. 87,363,872
------------
LIABILITIES:
Payables:
Investment securities purchased................................. 539,872
Other liabilities............................................... 3,196
------------
TOTAL LIABILITIES............................................. 543,068
------------
NET ASSETS:
Applicable to 8,141,068 shares; no par value, unlimited shares
authorized...................................................... $86,820,804
============
Net asset value, offering price and redemption price per share
($86,820,804 / 8,141,068 shares)................................ $ 10.6645
============
NET ASSETS CONSIST OF:
Paid in capital.................................................. $79,913,766
Accumulated net investment income................................ 1,605,773
Accumulated net realized gain.................................... 126,085
Net unrealized appreciation...................................... 5,175,180
------------
NET ASSETS.................................................... $86,820,804
============
</TABLE>
See accompanying notes to financial statements.
78
<PAGE>
BRINSON GLOBAL (EX-U.S.) EQUITY FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 1999 (Unaudited)
<TABLE>
<S> <C>
INVESTMENT INCOME:
Dividends (net of $149,973 for foreign taxes withheld)........... $1,142,232
Interest......................................................... 75,544
-----------
TOTAL INCOME.................................................. 1,217,776
-----------
EXPENSES:
Custodian........................................................ 21,137
Professional..................................................... 9,412
Trustees......................................................... 2,896
Other............................................................ 5,851
-----------
TOTAL EXPENSES................................................ 39,296
-----------
Expenses deferred by Advisor.................................. (9,741)
-----------
NET EXPENSES.................................................. 29,555
-----------
NET INVESTMENT INCOME......................................... 1,188,221
-----------
NET REALIZED AND UNREALIZED GAIN:
Net realized gain on:
Investments..................................................... 1,018,177
Foreign currency transactions................................... 175,165
-----------
Net realized gain............................................. 1,193,342
-----------
Change in net unrealized appreciation or depreciation on:
Investments and foreign currency................................ 209,647
Forward foreign currency contracts.............................. 170,505
Translation of other assets and liabilities denominated in
foreign currency............................................... (155)
-----------
Change in net unrealized appreciation or depreciation......... 379,997
-----------
Net realized and unrealized gain................................. 1,573,339
-----------
Net increase in net assets resulting from operations............. $2,761,560
===========
</TABLE>
See accompanying notes to financial statements.
79
<PAGE>
BRINSON GLOBAL (EX-U.S.) EQUITY FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Six Months
Ended Period Ended
June 30, 1999 December 31,
(Unaudited) 1998*
------------- ------------
<S> <C> <C>
OPERATIONS:
Net investment income............................. $ 1,188,221 $ 417,552
Net realized gain (loss).......................... 1,193,342 (1,067,257)
Change in net unrealized appreciation or
depreciation..................................... 379,997 4,795,183
------------ ------------
Net increase in net assets resulting from
operations....................................... 2,761,560 4,145,478
------------ ------------
CAPITAL SHARE TRANSACTIONS:
Shares sold....................................... 19,900,686 74,452,671
Shares redeemed................................... (11,402,910) (3,036,691)
------------ ------------
Net increase in net assets resulting from capital
share transactions (a)........................... 8,497,776 71,415,980
------------ ------------
TOTAL INCREASE IN NET ASSETS................... 11,259,336 75,561,458
------------ ------------
NET ASSETS:
Beginning of period............................... 75,561,468 10
------------ ------------
End of period (including accumulated net
investment income of $1,605,773 and $417,552,
respectively).................................... $86,820,804 $75,561,468
============ ============
(a) A summary of capital share transactions
follows:
<CAPTION>
Shares Shares
------------- ------------
<S> <C> <C>
Shares sold....................................... 1,941,337 7,631,785
Shares redeemed................................... (1,120,492) (311,563)
------------ ------------
Net increase in shares outstanding............... 820,845 7,320,222
============ ============
</TABLE>
* The Fund commenced operations June 26, 1998.
See accompanying notes to financial statements.
80
<PAGE>
BRINSON GLOBAL (EX-U.S.) EQUITY FUND FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
The table below sets forth financial data for one share of capital stock
outstanding throughout each period presented.
<TABLE>
<CAPTION>
Six Months
Ended
June 30, 1999 Period Ended
(Unaudited) December 31, 1998*
------------- ------------------
<S> <C> <C>
Net asset value, beginning of period.......... $10.3223 $10.0000
--------- ---------
Net investment income........................ 0.1402 0.0570
Net realized and unrealized gain............. 0.2020 0.2653
--------- ---------
Total income from investment operations..... 0.3422 0.3223
--------- ---------
Net asset value, end of period................ $10.6645 $10.3223
========= =========
Total return (non-annualized)................. 3.32% 3.22%
Ratios/Supplemental data
Net assets, end of period (in 000s).......... $ 86,821 $ 75,561
Ratio of expenses to average net assets:
Before expense reimbursement................ 0.08%** 0.10%**
After expense reimbursement................. 0.06%** 0.06%**
Ratio of net investment income to average net
assets:
Before expense reimbursement................ 2.94%** 1.40%**
After expense reimbursement................. 2.96%** 1.44%**
Portfolio turnover rate...................... 32% 41%
</TABLE>
* The Fund commenced operations June 26, 1998.
** Annualized
See accompanying notes to financial statements.
81
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND
- --------------------------------------------------------------------------------
Our Emerging Markets Equity Fund management process begins with an analysis of
the fundamental economic and political elements that drive capital market risks
and returns. We combine this "top-down" analysis with proven fundamental
security research, or "bottom-up" analysis. Investment decisions represent the
synthesis of the quantitative estimates and qualitative judgments of our
seasoned investment professionals, working together in offices around the
world.
Top-down Analysis
.Proprietary measures of macroeconomic risks
.Dynamic political and economic policy analysis
.Currency valuation and forecasting
Bottom-up Price/Value Methodology
.Intensive industry and company-specific analysis
.Proprietary modeling of investment cash flows
.Supplemental analysis of capital structure and costs
Qualitative Judgment
.Global market perspective
.Seasoned global investment professionals
Since July 31, 1995, the first month-end after the Fund became fully invested,
the Brinson Emerging Markets Equity Fund has produced an annualized return of -
1.46%, compared to the 2.68% return of its benchmark, the Brinson Emerging
Markets Normal Index. A widely followed industry benchmark, the MSCI Emerging
Markets Index (Gross Dividends Reinvested - Free) returned 1.61% over the same
period. In contrast, over the last six months, the Fund returned 34.14% while
the Normal Index returned 43.26%, and the MSCI Index (above) returned 39.87%.
The Brinson Normal Index utilizes country weights within liquidity tiers to
minimize country specific risk, and can diverge substantially from a typical
passive or market-capitalization weighted index.
Support for current asset prices in the emerging markets rests on a
continuation of favorable liquidity conditions and real economic recovery in
Asia. To a large extent, the prospects for Asian recovery depend on its export
sector, and are therefore reliant on continued rapid growth of the U.S. economy
or dynamic recoveries in the EU and/or Japan. Evidence for these events is not
readily discernible. Furthermore, two sources of overall risk remain
compelling: weak commodity prices due to overcapacity in basic industries, and
currency instability emanating from the fragile state of the Chinese and
Japanese economies.
In this context, our investment strategy is to remain broadly neutral on Asia,
with country tilts reflecting significant local variations in risk and reward.
We maintain an underweight in Latin America in light of contractionary
conditions in Brazil and Argentina. We have a regional overweight in Europe,
which is driven primarily by the long-term convergence potential of Central
Europe.
82
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND
- --------------------------------------------------------------------------------
Total Return
<TABLE>
<CAPTION>
Annualized
6 Months 1 Year 3 Years 6/30/95*
Ended Ended Ended to
6/30/99 6/30/99 6/30/99 6/30/99
- ----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Brinson Emerging Markets Equity
Fund(/1/) 34.14% 16.15% -3.87% -1.56%
- ----------------------------------------------------------------------------
Brinson Emerging Markets Equity
Fund(/2/) 30.17 12.72 -4.83 -1.93
- ----------------------------------------------------------------------------
Brinson Emerging Markets Normal Index 43.26 44.54 1.36 3.35
- ----------------------------------------------------------------------------
MSCI Emerging Markets Index 39.87 28.71 -4.00 -1.03
- ----------------------------------------------------------------------------
</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 MSCI
Emerging Markets 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 MSCI Emerging Markets Index
[LINE GRAPH APPEARS HERE]
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.
83
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND MARKET ALLOCATION
- --------------------------------------------------------------------------------
As of June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
MSCI-EMF* Normal Strategy
Benchmark Benchmark Strategy Over/Under Range
Class Exposure Exposure Exposure Weights (95% Freq.)
----- --------- --------- -------- ---------- -----------
<S> <C> <C> <C> <C> <C> <C>
Latin America 28.17% 26.53% 24.02% -2.5%
Argentina.............. 1 2.56 6.12 3.62 -2.5 2.5-9.0
Brazil................. 1 8.34 6.12 6.12 0.0 2.5-9.0
Chile.................. 1 3.87 6.12 6.12 0.0 2.5-9.0
Mexico................. 1 11.39 6.12 6.12 0.0 2.5-9.0
Peru................... 3 0.78 2.04 2.04 0.0 0.0-4.0
Colombia............... 4 0.43 0.00 0.00 0.0 0.0-2.0
Venezuela.............. 4 0.79 0.00 0.00 0.0 0.0-2.0
Asia 44.36% 38.78% 39.23% +0.5
India.................. 1 7.62 6.12 6.12 +2.0 2.5-9.0
Korea.................. 1 15.24 6.12 6.12 0.0 2.5-9.0
Philippines............ 1 1.80 6.12 6.12 0.0 2.5-9.0
Taiwan................. 1 12.18 6.12 6.12 0.0 2.5-9.0
Thailand............... 1 3.93 6.12 5.12 -1.0 2.5-9.0
China.................. 2 0.75 4.08 2.58 -1.5 1.5-6.5
Indonesia.............. 3 2.48 2.04 1.00 -1.0 0.0-4.0
Malaysia............... 3 0.00 2.04 4.04 +2.0 0.0-4.0
Pakistan............... 4 0.32 0.00 0.00 0.0 0.0-2.0
Sri Lanka.............. 4 0.05 0.00 0.00 0.0 0.0-2.0
Europe/Middle East/
Africa 27.47% 34.69% 33.47% -1.2
Greece................. 1 6.19 6.12 6.12 -1.0 2.5-9.0
Israel................. 1 2.90 6.12 5.62 -0.5 2.5-9.0
South Africa........... 1 10.98 6.12 6.12 0.0 2.5-9.0
Turkey................. 1 1.98 6.12 5.12 -1.0 2.5-9.0
Poland................. 2 1.29 4.08 5.08 +1.0 1.5-6.5
Czech Republic......... 3 0.76 2.04 1.00 -1.0 0.0-4.0
Hungary................ 3 1.23 2.04 2.74 +0.7 0.0-4.0
Russia................. 3 2.00 2.04 1.46 -0.6 0.0-4.0
Bulgaria............... 4 0.00 0.00 0.11 +0.1 0.0-2.0
Egypt.................. 4 0.00 0.00 0.43 +0.4 0.0-2.0
Jordan................. 4 0.14 0.00 0.00 0.0 0.0-2.0
Kazakhstan............. 4 0.00 0.00 0.33 +0.3 0.0-2.0
Romania................ 4 0.00 0.00 0.21 +0.2 0.0-2.0
Ukraine................ 4 0.00 0.00 0.12 +0.1 0.0-2.0
Cash.................... N.A. 0.00 0.00 3.28 0.0-10.0
----- ----- -----
100.0% 100.0% 100.0%
</TABLE>
* Morgan Stanley Emerging Markets Free Index.
Note: Totals may not add due to rounding.
84
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND
- --------------------------------------------------------------------------------
TOP TEN GLOBAL (EX-U.S.) EQUITY HOLDINGS
As of June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Percent of
Net Assets
- --------------------------------------------------------------------------------
<S> <C>
1. Telefonos de Mexicano S.A., Series L, ADR........................ 2.16%
2. Telecom Chile ADR................................................ 1.79
3. Phillippine Long Distance Telephone Co........................... 1.50
4. Telekomunikacja Polska S.A., GDR................................. 1.40
5. Atlantis Korean Smaller Cos...................................... 1.34
6. Telekom Malaysia Bhd............................................. 1.19
7. Telefonica de Argentina, Class ARS 1 ............................ 1.16
8. Chile Fund, Inc.................................................. 1.16
9. Magyar Tavkozlesi Rt............................................. 1.14
10. Hellenic Telecommunications Organization S.A..................... 1.07
- --------------------------------------------------------------------------------
</TABLE>
85
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
----------- ------------
<S> <C> <C>
Equities - 93.46%
Argentina - 3.32%
Banco Frances del Rio de la Plata S.A. ............... 80,021 $ 520,189
Bco Galicia y Buenos Aires (b)........................ 174,468 895,110
CEI Citicorp Holdings S.A. (b)........................ 190,791 553,349
Cresud S.A.C.I.F.y A. ................................ 570,985 616,725
Inversiones Y Representaciones S.A. .................. 508,953 1,567,732
Perez Companc CMN ARS, Class B........................ 179,226 1,030,653
Siderar S.A. Class A (b).............................. 2,725 8,585
Telecom Argentina S.A., Class B....................... 425,981 2,343,130
Telefonica de Arg (Tear) ADR.......................... 20,300 543,025
Telefonica de Argentina S.A.--ADR (b)................. 39,550 1,240,881
Telefonica de Argentina, Class ARS 1 (b).............. 1,683,500 5,219,372
Transportadora de Gas del Sur S.A., Class B........... 185,400 344,878
------------
14,883,629
------------
Brazil - 5.92%
Banco Bradesco S.A. .................................. 277,239,897 1,391,672
Banco Itau S.A. Preferred............................. 945,300 482,513
Brazil Fund, Inc. (c)................................. 20,266 301,457
Centrais Electricas Brasileiras S.A., Class B......... 42,000,000 845,685
Cia de Saneamento Basica S.A. ........................ 11,654,778 953,154
Cia Eletricidade do Estado da Bahia................... 20,914,992 519,041
Cia Energetica de Minas Gerais ADR (c)................ 13,919 290,478
Cia Energetica de Minas Gerais........................ 39,963,688 838,494
Cia Vale Do Rio Doce, Class A......................... 136,750 2,699,521
Coelce Preferred A.................................... 317,130,000 804,898
Eletricidade Sao Paulo, Preferred (b)................. 20,189,906 899,607
Embratel Participacoes S.A. ADR (b)................... 27,200 377,400
Embratel Participacoes S.A., Preferred (b)............ 113,070,000 1,556,068
Petroleo Brasileiro S.A., Preferred................... 19,980,000 3,087,716
Tele Norte Leste Participacoes S.A., Preferred (b).... 119,530,000 2,191,046
Telecelular Sul Preferred (b)......................... 88,530,000 182,253
Telecentro Sul Preferred (b).......................... 186,812,300 2,065,156
Telecular Sul Particip ADR (b)........................ 2,720 58,990
Telemig Celular Participacoes S.A., Preferred (b)..... 83,530,000 102,234
Telesp Celular Participacoes S.A., Preferred (b)...... 139,730,000 1,457,984
Telesp Participacoes S.A., Preferred (b).............. 177,430,000 4,052,969
Telesp Participacoes S.A. ADR (b)..................... 16,200 370,575
Telesudeste Celular Preferred (b)..................... 181,730,000 1,014,736
Vale Dorio Doce Rights (b)............................ 23,646 0
------------
26,543,647
------------
Cayman Islands - 0.09%
Regent Central Asia Investments (b)................... 415,000 415,000
------------
</TABLE>
86
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
------------ -------------
<S> <C> <C>
Chile - 5.85%
Banco de A. Edwards ADR............................ 30,700 $ 445,150
Banco Santiago S.A. ADR............................ 20,600 395,263
Chile Fund, Inc. (b)............................... 449,700 5,199,656
Chilectra S.A., ADR................................ 63,200 1,367,452
Chilgener S.A., ADR................................ 59,100 1,049,025
Cia Cervecerias Unidas S.A., ADR................... 72,000 2,061,000
Distribucion y Servicio D&S A. representing IS Ord
Shs............................................... 1,500 28,125
Embotelladora Andina S.A., Class B, ADR............ 131,400 2,003,850
Empresa Nacional de Electricidad S.A., ADR......... 40,964 496,689
Enersis S.A., ADR.................................. 73,604 1,683,691
Genesis Chile Fund................................. 44,000 1,386,000
Quimica Y Minera Chile S.A. ....................... 1,700 60,138
Quimica Y Minera Chile S.A., ADR................... 54,400 1,924,400
Quimica Y Minera Chile S.A., ADR New............... 3,359 117,565
Telecom Chile ADR.................................. 324,670 8,035,582
-------------
26,253,586
-------------
China - 1.02%
Huaneng Power International, Inc. ADR.............. 28,000 479,500
Huaneng Power International, Inc. Class H.......... 1,352,000 566,317
Qingling Motors Co. (HK Reg)....................... 619,000 149,985
Shanghai Petrochemical Co. Ltd., Class H........... 4,723,000 1,113,958
Yanzhou Coal Mining Co., Ltd., Class H............. 1,665,000 595,494
Yizheng Chemical Fibre Co., Ltd. .................. 1,234,000 322,062
Zhejiang Expressway................................ 6,675,100 1,324,886
-------------
4,552,202
-------------
Czech Republic - 0.80%
Ceske Energeticke Zavody A.S. (b).................. 457,000 936,937
Metrostav A.S. .................................... 16,500 67,919
SPT Telecom A.S. .................................. 133,900 2,165,906
Tabak A.S. ........................................ 1,289 307,009
Unipetrol A.S. (b)................................. 61,000 115,676
-------------
3,593,447
-------------
Egypt - 0.20%
Egypt Investment Co., Ltd. (b)..................... 61,000 866,200
The Egypt Trust.................................... 5,000 48,500
-------------
914,700
-------------
Greece - 4.20%
Aktor S.A. (b).....................................
Alpha Credit Bank Ord.............................. 44,266 2,853,422
Athens Medical Center Ord (b)...................... 17,628 439,413
Commercial Bank of Greece, S.A. ................... 30,950 2,213,733
Ergo Bank S.A. .................................... 9,630 1,030,519
Hellenic Bottling Co. S.A. (b)..................... 48,560 1,173,446
Hellenic Telecommunications Organization S.A. ..... 223,356 4,787,416
</TABLE>
87
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
------------- -------------
<S> <C> <C>
Greece - (continued)
Intracom S.A. (b)................................. 16,690 $ 1,075,851
National Bank of Greece Ord....................... 61,737 4,038,429
Titan Cement Co. S.A. ............................ 1,900 174,965
Titan Cement Co. S.A., Preferred.................. 12,720 1,050,575
-------------
18,837,769
-------------
Hong Kong - 1.86%
Angang New Steel Co., Ltd. ....................... 1,916,000 286,453
Beijing Datang Power Generation Co., Ltd., Class
H................................................ 7,059,300 2,274,581
Beijing Yanhua Petrochemical Co., Ltd., Class H... 1,250,000 281,934
China Shipping Development Co., Ltd. (b).......... 1,380,000 318,370
China Telecom Ltd. ............................... 2,100 5,833
China Resources Beijing Land...................... 2,846,000 652,912
Cosco Pacific Ltd. ............................... 790,000 656,730
Guangdong Investment Ltd., Warrants (b)........... 31,800 0
Guangdong Kelon Elec Holding, Class H............. 1,556,700 1,815,739
Jiangsu Express................................... 5,512,000 1,193,489
New World Infrastructure Ltd. (b)................. 328,800 618,706
Shenzhen Expressway Co., Ltd. .................... 1,162,000 245,612
-------------
8,350,359
-------------
Hungary - 2.41%
BorsodChem Rt. (b)................................ 21,500 519,989
Danubius Hotel HUF 1000 (b)....................... 17,659 320,502
Magyar Tavkozlesi Rt. ............................ 943,369 5,105,300
Mezogazdasagi Gepgyarto Rt. (b)................... 30,272 274,711
MOL Magyar Olaj-es Gazipari Rt. .................. 94,145 2,269,164
OPT Bank Rt. ..................................... 27,489 1,146,701
Richter Gedeon Rt. ............................... 21,812 947,309
Synergon Information Systems, 144A, GDR (b)....... 19,500 227,175
-------------
10,810,851
-------------
India - 6.46%
Aptech Ltd. ...................................... 23,840 393,106
Asea Brown Boveri Ltd. ........................... 1,004 8,197
Associated Cement Cos., Ltd. ..................... 71,500 282,133
Associated Cement Cos., Ltd., Rights (b).......... 17,875 47,860
Bajaj Auto Ltd. .................................. 61,300 764,813
Bata India Ltd. .................................. 89,900 445,651
Bharat Heavy Electricals Ltd. (b)................. 246,400 1,397,892
Bharat Petroleum Corp., Ltd. ..................... 116,800 708,429
BSES Ltd. ........................................ 1,490 5,125
Cipla Ltd. (b).................................... 14,450 477,042
Cochin Refineries Ltd. (b)........................ 135,928 453,289
Corporation Bank.................................. 243,500 467,780
Cummins India Ltd. ............................... 100 966
Digital Equipment India (b)....................... 100 986
</TABLE>
88
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
------------ -------------
<S> <C> <C>
India - (continued)
Dr. Reddy's Laboratories Ltd. (b).................. 22,900 $ 439,977
EIH Ltd. (b)....................................... 11 53
Glaxo India Ltd. .................................. 26,200 439,876
Grasim Industries Ltd. (b)......................... 115,200 588,470
Gujarat Ambuja Cements Ltd. ....................... 300 2,214
Hindalco Industries Ltd., GDR (b).................. 20,000 289,900
Hindalco Industries Ltd. .......................... 12,200 176,833
Hindustan Lever Ltd. .............................. 63,088 3,462,752
Hindustan Petroleum Corp. Ltd. (b)................. 281,700 1,614,399
Housing Development Finance........................ 8,300 425,324
ICICI Banking Corp. ............................... 300 249
India I T Fund (b)................................. 125,000 2,875,000
Industrial Credit & Investment Corp. of India
Ltd. ............................................. 148,000 250,869
ITC Ltd. .......................................... 70,200 1,773,565
Larsen & Toubro Ltd. .............................. 49,500 327,060
Larsen & Toubro Ltd., Class A...................... 40,000 264,291
Larsen & Toubro Ltd., GDR (b)...................... 30,000 462,750
Mahanagar Telephone Nigam Ltd. (b)................. 359,600 1,542,518
Mahindra & Mahindra Ltd. .......................... 43,879 255,919
Morgan Stanley India Investment Fund, Inc. (b)..... 293,600 2,844,250
National Aluminum Co., Ltd. (b).................... 100 100
NIIT Ltd. (b)...................................... 14,100 661,080
Punjab Tractors Ltd. .............................. 14,000 427,801
Ranbaxy Laboratories Ltd. ......................... 47,100 349,764
Reliance Industries Ltd. .......................... 308,000 1,255,119
Satyam Computer Services Ltd. ..................... 13,700 400,609
Software Solution Integrated (b)................... 23,800 237,636
State Bank of India Ltd. (b)....................... 121,700 664,755
Steel Authority of India (b)....................... 100 17
Tata Engineering & Locomotive Co., Ltd. ........... 100,050 473,700
Tata Engineering & Locomotive Co., Ltd., GDR (b)... 11,300 65,540
TVS Suzuki Ltd. (b)................................ 39,800 456,411
TVS Suzuki Ltd., *DEMAT (b)........................ 250 2,867
Videsh Sanchar Nigam Ltd. (b)...................... 20,302 427,940
Videsh Sanchar Nigam Ltd., *DEMAT (b).............. 2,800 59,020
-------------
28,971,897
-------------
Indonesia - 2.19%
Astra International Inc. .......................... 2,614,000 1,195,948
Bank Dagang Nasional Warrants (b).................. 47,219 0
Bank Internasional Indonesia Warrants (b).......... 48,840 404
Gudang Garam (b)................................... 360,000 977,778
Indah Kiat Pulp & Paper Corp....................... 2,721,000 1,264,662
Indah Kiat Pulp & Paper Corp. Warrants (b)......... 8,900 2,973
PT Bank Dagang Nasional (b)........................ 1,062 0
PT Bank Negara Indonesia (b)....................... 2,321,000 126,416
PT Bank Negara Indonesia, Rights (b)............... 81,235,000 9,203
</TABLE>
89
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
------------ -------------
<S> <C> <C>
Indonesia - (continued)
PT Bank Pan Indonesia Tbk (b)....................... 1,216,000 $ 353,232
PT Bank Pan Indonesia Tbk, Rights (b)............... 851,200 111,268
PT Hanjaya Mandala Sampoerna Tbk.................... 260,000 596,659
PT Indofood Sukses Makmur Tbk (b)................... 1,201,000 1,639,709
PT Semen Gresik Tbk (b)............................. 372,000 810,458
Telecom Indonesia................................... 4,320,000 2,509,804
Timah............................................... 282,000 245,752
-------------
9,844,266
-------------
Israel - 5.43%
Bank Hapoalim Ltd. (b).............................. 1,765,473 4,529,181
Bank Leumi Le-Israel (b)............................ 384,150 725,965
Bezeq Israeli Telecommunications Corp. Ltd. (b)..... 548,209 2,207,544
Blue Square Chain Ord CMN (b)....................... 47,088 771,141
Crystal Systems Solutions ADR (b)................... 60,900 464,362
ECI Telecommunications ADR.......................... 106,000 3,517,875
First International Bank Israel Ltd. (5)............ 39 243
Formula Systems Ltd. (b)............................ 61,520 1,867,391
Gilat Satellite Networks Ltd. (b)................... 34,700 1,821,750
Israel Chemicals Ltd. .............................. 805,995 982,560
Koor Industries Ltd. ............................... 9,788 1,128,528
Koor Industries Ltd., ADR........................... 26,000 607,750
MA Industries Ord (b)............................... 413,157 927,431
Orbotech, Ltd. (b).................................. 33,800 1,761,825
Teva Pharmaceutical Industries Ltd. ................ 26,259 1,248,317
Teva Pharmaceutical Industries Ltd., ADR............ 36,690 1,797,810
-------------
24,359,673
-------------
Korea - 5.27%
Cheil Jedang Corp. ................................. 5,100 401,391
Dongwon Securities (b).............................. 8,000 147,214
Hankuk Glass Industry Co., Ltd. .................... 7,300 195,508
Hite Brewery Co. ................................... 9,323 323,788
Honam Petrochemical Corp. .......................... 20,900 487,516
Housing & Commercial Bank, Korea.................... 25,010 788,652
Housing & Commercial Bank, Korea, GDR (b)........... 3 104
Hyundai Motor Co., New Shs.......................... 11,318 268,405
Kookmin Bank........................................ 41,780 848,233
Korea Chemical Co., Ltd. (b)........................ 2,200 197,667
Korea Electric Power Corp. ......................... 90,070 3,742,866
Korea Fine Chemical Company......................... 13,910 550,391
Korea Zinc Co. ..................................... 11,362 343,559
LG Chemical Ltd. ................................... 29,195 794,508
LG Electronics...................................... 19,200 530,799
LG Information & Communication Ltd. ................ 8,539 631,480
Nong Shim Co., Ltd. (b)............................. 3,200 205,408
Pohang Iron & Steel Co., Ltd. ...................... 16,570 2,046,186
</TABLE>
90
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
----------- -------------
<S> <C> <C>
Korea - (continued)
Samchully Co. (b)..................................... 8,800 $ 371,007
Samsung Aerospace Industries (b)...................... 36,774 365,357
Samsung Corporation................................... 26,800 629,771
Samsung Display Devices Co. .......................... 10,692 581,940
Samsung Electro-Mechanics Co. ........................ 16,687 576,657
Samsung Electronics Co. .............................. 30,708 3,369,258
Samsung Fire & Marine Insurance....................... 1,414 995,603
Samsung Securities Co., Ltd. ......................... 7,823 419,029
Samsung Securities Co., New Shs (b)................... 2,241 46,466
Sejong Securities Co., Ltd. (b)....................... 31,600 251,162
Sejong Securities Co., Ltd., Rights (b)............... 7,267 51,481
Shin Young Securities (b)............................. 17,700 279,836
Shinhan Bank (b)...................................... 35,600 399,827
Sindo Ricoh Co. ...................................... 8,293 444,183
SK Corp. New Shs (b).................................. 42,570 723,690
SK Telecom Co., Ltd. ................................. 504 751,392
SK Telecom OMN KRW (b)................................ 115 76,369
Youngone Corp. CMN STK................................ 28,159 810,103
-------------
23,646,806
-------------
Luxemburg - 0.77%
Korea Asia Fund Ltd., ADR (b)......................... 2,120 3,445,000
-------------
Malaysia - 6.47%
Arab Malaysian Finance Berhad......................... 667,000 807,421
Berjaya Sports Toto Bhd............................... 617,000 1,428,842
Commerce Asset-Holding Berhad......................... 963,000 2,382,158
IOI Corporated Berhad (b)............................. 1,159,000 735,050
Kuala Lumpur Kepong Bhd............................... 342,500 468,684
Malayan Banking Bhd................................... 1,029,000 3,087,000
Malaysian International Shipping Bhd (Frgn.).......... 866,000 1,583,868
Nestle (Malaysia) Bhd................................. 59,000 232,895
Public Bank Bhd....................................... 376,000 285,958
Public Bank Bhd (Frgn.)............................... 1,018,000 1,066,221
Resorts World Bhd..................................... 851,000 2,004,329
Rothmans of Pall Mall Bhd (b)......................... 189,000 1,429,934
Sime Darby Bhd........................................ 1,394,000 1,826,874
Tanjong MYR NPV (b)................................... 226,000 562,026
Telekom Malaysia Bhd.................................. 1,430,500 5,345,553
Tenaga Nasional Bhd (b)............................... 1,253,000 2,885,197
UMW Holdings Bhd (b).................................. 485,000 1,091,250
YTL Corp. Bhd (b)..................................... 853,000 1,795,790
-------------
29,019,050
-------------
Mexico - 5.99%
Apasco NV............................................. 169,400 1,111,643
ARA, S.A. de C.V. .................................... 439,997 1,765,018
</TABLE>
91
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
----------- -------------
<S> <C> <C>
Mexico - (continued)
Carso Global Telecom
Series A-1 (b)......... 76 $ 480
Cemex S.A. CPO NPV...... 190,031 937,282
Cifra U NPV (b)......... 1,077,619 2,087,259
Corporacion GEO, S.A.,
Series B (b)........... 21,350 90,390
Fomento Economico
Mexicano S.A. de C.V.,
ADR.................... 49,202 1,961,930
Formento Economico
Mexicano S.A. de C.V.,
UBD Units.............. 75,100 299,669
Grupo Financiero Banamex
Accival S.A., Series L
(b).................... 510 1,242
Grupo Financiero
Bancomer S.A. de C.V.
(b).................... 3,127,000 1,125,296
Grupo Financiero Banorte
S.A. de C.V. (b)....... 421,000 606,012
Grupo Industrial Bimbo
S.A. Series A (b)...... 266,100 591,458
Grupo Televisa S.A.
Series CPO (b)......... 66,362 1,478,535
Grupo Televisa S.A., GDR
(b).................... 21,000 941,062
Modelo -C-.............. 308,400 878,065
Organizacion Soriana
S.A. (b)............... 293,900 1,381,156
Telefonos de Mexicano
S.A., Series L......... 480,297 1,921,595
Telefonos de Mexicano
S.A., Series L, ADR.... 120,000 9,697,500
-------------
26,875,592
-------------
Peru - 1.88%
Cementos Lima S.A. ..... 59,999 926,381
Cerveceria Backus &
Johnston S.A., T
Shares................. 1,860,236 652,519
Cia de Minas
Buenaventura S.A. ADR.. 45,400 695,187
Cia de Minas
Buenaventura S.A., A
Shares................. 34,836 264,233
Cia de Minas
Buenaventura S.A.,
Trabajo Shares......... 28,178 215,422
Credicorp, Ltd. ........ 73,795 811,745
Edegel S.A. ............ 630,000 130,325
Ferreyros S.A. ......... 823,571 540,735
Ferreyros S.A., 144A
ADR.................... 12,761 167,576
LUZ del Sur S.A., B
Shares................. 480,000 309,399
Telefonica del Peru
S.A., ADR.............. 161,400 2,441,175
Telefonica del Peru
S.A., B Shares......... 844,115 1,267,881
-------------
8,422,578
-------------
Philippines - 5.87%
Ayala Land, Inc., Class
B (b).................. 7,620,200 2,403,217
Bank of Philippines
Islands................ 295,000 1,054,402
Benpres Holdings
Corp. ................. 138,760 659,110
Benpres Holdings GDR
(b).................... 3,762,000 889,829
International Container
Terminal Services, Inc.
(b).................... 9,705,000 1,262,543
Manila Electric Co.,
Class B................ 749,915 2,700,088
Metro Pacific Corp.
(b).................... 7,928,000 395,879
Metropolitan Bank &
Trust Co. (b).......... 336,800 3,363,574
Petron Corp. ........... 8,767,000 933,150
Philippine Long Distance
Telephone Co. ......... 220,190 6,712,757
Philippine National Bank
(b).................... 362,000 979,921
Queenbee Res Corp. (b).. 1,714,000 878,397
San Miguel Corp., Class
B...................... 549,120 1,197,818
SM Prime Holdings,
Inc.................... 12,902,800 2,916,270
-------------
26,346,955
-------------
</TABLE>
92
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
----------- -------------
<S> <C> <C>
Poland - 3.77%
Bank Handlowy w Warszawie GDR (b)................... 52,300 $ 726,510
Bank Handlowy w Warszawie (b)....................... 3,500 48,617
Bank Inicjatyw Gospodarczych S.A.................... 191,094 423,733
Bank Rozwoju Eksportu S.A........................... 58,144 1,830,199
BIG Bank Gdanski S.A. GDR........................... 11,000 391,875
Elektrim Spolka Akcyjna S.A. (b).................... 180,707 2,556,197
Exbud S.A. (b)...................................... 95,978 748,548
KGHM Polska Miedz (b)............................... 76,070 478,891
Orbis Un Sponsored ADR (b).......................... 149,992 1,250,956
Powszechny Bank Kredytowy GDR (b)................... 16,500 400,125
Prokom SoftWare S.A. (b)............................ 7,297 242,706
Prokom Software S.A. GDR (b)........................ 35,500 582,200
Stomil Olsztyn S.A. (b)............................. 82,775 464,139
Telekomunikacja Polska S.A. GDR (b)................. 890,000 6,274,500
Telekomunikacja Polska S.A. (b)..................... 25,300 177,329
Zaklady Piwowarskie w Zywcu S.A. ................... 2,780 320,974
-------------
16,917,499
-------------
Russia - 1.80%
Borskoie Glass Co. (b).............................. 5,500 11,000
Gaz Auto Plant Preferred (b)........................ 10,000 100,000
Gazprom ADR (b)..................................... 40,000 451,000
Gorkovsky Auto Plant................................ 10,000 352,400
Kirowsky Shinniy (b)................................ 11,000 329,864
Krasny Oktyabr (RED October) RDC (b)................ 3 105,000
LUKoil Holding Co. (b).............................. 59,000 584,100
LUKoil Holding Co. ADR.............................. 49,800 1,972,080
Rostelecom Preferred (b)............................ 172,000 88,580
Rostelecom (b)...................................... 60,000 94,800
Rostelecom ADR (b).................................. 22,000 215,875
Rostovenergo (b).................................... 1,062,732 12,181
Rostovenergo Preferred (b).......................... 5,800,000 49,738
Sberbank of Russia (b).............................. 6,700 246,092
SUN Brewing GDR Luxemauge Reg (b)................... 90,000 278,100
Surgutneftegaz Preferred ADR (b).................... 29,200,000 1,387,000
Surgutneftegaz Preferred (b)........................ 48,870 387,783
Unified Energy Systems (b).......................... 7,600,000 665,000
Unified Energy Systems ADR.......................... 46,000 402,500
Vimpel-Communications ADR (b)....................... 14,100 326,944
Yuganskneftegaz (b)................................. 10,000 3,200
-------------
8,063,237
-------------
South Africa - 5.61%
ABSA Group Ltd. ZAR CMN N/C From Amalgamted Bh of
South Africa....................................... 191,000 1,080,893
Anglo American Platinum Corp. Ltd. ................. 96,100 2,242,254
Anglogold Ltd. ..................................... 43,617 1,879,264
Bidvest Group Ltd. (b).............................. 98,282 820,849
BOE Corp., N Shares................................. 110,748 88,092
</TABLE>
93
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
----------- -------------
<S> <C> <C>
South Africa - (continued)
BOE Ltd. ............................................... 976,265 $ 970,684
De Beers Consolidated Mines............................. 94,633 2,267,616
Dimension Data Holdings Ltd. (b)........................ 296,756 1,313,014
FirstRand Ltd. ......................................... 1,755,500 2,007,283
Impala Platinum Holdings Ltd. .......................... 19,000 477,952
Investec Bank Ltd. ..................................... 26,700 1,119,413
Liberty International plc (b)........................... 37,013 245,036
Liberty Life Association of Africa Ltd. ................ 79,394 1,017,012
Metro Cash & Carry Ltd.................................. 833,000 690,198
Nedcor Limited ZAR CMN.................................. 96,965 2,223,872
Pick 'n Pay Stores Ltd. ................................ 302,600 446,290
Pick 'n Pay Stores Ltd., N Shares....................... 167,100 232,603
Rembrandt Group Ltd. ................................... 186,500 1,554,553
Sanlam Ltd. (b)......................................... 1,236,300 1,464,835
Sasol Limited ZAR CMN................................... 212,012 1,512,489
SAB plc USD 0.10 ZAR Listing (b)........................ 174,900 1,518,727
-------------
25,172,929
-------------
Switzerland - 0.25%
Compagnie Financiere Richmont AG Depository (b)......... 57,500 1,116,745
-------------
Taiwan - 2.68%
Accton Technology Corp. (b)............................. 151,000 343,607
Acer Inc. (b)........................................... 132,000 335,108
Asustek Computer, Inc. (b).............................. 57,800 651,368
Cathay Life Insurance Co. .............................. 230,000 826,006
China Motor Co., Ltd. (b)............................... 158,000 249,474
China Steel Corp........................................ 776,050 586,242
Chinatrust Commercial Bank (b).......................... 263,000 315,926
Compeq Manufacturing Co., Ltd. (b)...................... 78,000 456,409
Delta Electronics, Inc. (b)................................ 60,000 332,508
Far Eastern Textile Ltd. (b)............................ 195,000 289,783
Formosa Chemicals & Fibre Corp. ........................ 149,000 181,752
Formosa Plastics Corp. ................................. 176,000 370,526
Hon Hai Precision Industry (b).......................... 78,000 705,139
Hua Nan Commercial Bank (b)............................. 344,000 681,610
Mitac International Corp. (b)........................... 228,000 377,647
Nan Ya Plastics Corp. .................................. 194,000 321,331
Quanta Computer, Inc. .................................. 34,840 417,433
Siliconware Precision Industries Co. (b)................ 307,000 584,536
Taiwan Semiconductor Manufacturing Co. (b).............. 417,420 1,596,018
Uniglory Marine Corp., Ltd. (b)......................... 291,000 233,340
United Microelectronics Corp., Ltd. (b)................. 337,000 725,124
United World Commercial Bank............................ 641,000 992,260
Yuanta Securities Corp. (b)............................. 238,000 431,053
-------------
12,004,200
-------------
</TABLE>
94
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
----------- -------------
<S> <C> <C>
Thailand - 5.39%
ABN Amro Asia Securities Public Co., Ltd. .......... 79,800 $ 283,493
Advance Agro Public Co., Ltd. ...................... 356,200 260,811
Advanced Info Service Public Co., Ltd. (Frgn.)...... 115,300 1,563,390
Arisaig MCL Thai Recovery Fund (b).................. 82,508 1,329,204
Bangkok Bank Public Co., Ltd. (b)................... 589,500 2,206,129
Bangkok Expressway Public Co., Ltd. (b)............. 443,300 291,526
Bank of Ayudhya PLC................................. 451,400 309,094
BEC World Public Co., Ltd. (Frgn.).................. 115,000 717,288
Capital Nomura Securities Public Co., Ltd. (Frgn.)
(b)................................................ 50,000 162,712
Delta Electronics Public Co., Ltd. (Frgn.).......... 79,415 667,624
Electricity Generating Public Co., Ltd. (Frgn.)
(b)................................................ 206,100 394,035
Industrial Finance Corp. of Thailand................ 432,500 275,627
Italian-Thai Development Public Co., Ltd. (b)....... 123,400 297,833
Kiatnakin Finance and Securities Public Co., Ltd.
(b)................................................ 182,000 345,491
Land & House PLC (Frgn.)............................ 194,000 352,488
National Finance & Securities (Frgn.) (b)........... 402,200 242,683
National Petrochemical Public Co., Ltd. ............ 171,000 157,668
PTT Exploration & Production Public Co., Ltd. (b)... 191,800 1,466,782
Quality House Public Co., Ltd. ..................... 340,800 194,083
Ruam Pattana Fund II (Frgn.) (b).................... 15,000,000 2,806,780
Ruang Khao Fund (b)................................. 1,549,000 298,248
Ruang Khao High Income Fund (b)..................... 789,500 83,500
Seamico Securities THBIO (Frgn.) (b)................ 80,300 241,717
Securities One Public Co., Ltd. .................... 122,000 30,107
Securities One Public Co., Ltd., Rights (b)......... 61,000 6,782
Siam Cement Public Co., Ltd. (Frgn.) (b)............ 59,700 1,813,261
Siam Commercial Bank Public Co., Ltd. (b)........... 1,303,000 1,855,119
Siam Commercial Bank Public Co., Ltd. .............. 154,500 213,681
Siam Commercial Bank Public Co., Ltd. Warrants (b).. 258,000 165,295
TelecomAsia Corp. Public Co., Ltd. (Frgn.) (b)...... 1,256,100 1,268,874
Thai Farmers Bank Public Co., Ltd. (Frgn.) (b)...... 556,400 1,720,125
Thai Petrochemical Industry Public Co., Ltd. ....... 1,386,100 902,140
Thai Union Frozen Products Public Co., Ltd. ........ 20,000 69,424
Thai Union Frozen Products Public Co., Ltd.
(Frgn.)............................................ 78,200 275,688
Thailand International Fund......................... 23 261,050
United Broadcasting Corp. Public Co., Ltd. ......... 595,000 467,932
United Communication Industry PLC (Frgn.)........... 181,000 202,475
-------------
24,200,159
-------------
Turkey - 4.24%
Akbank T.A.S. ...................................... 86,348,000 1,268,560
Arcelik A.S. (b).................................... 24,700,000 877,920
Carsi Buyuk Magazacilik A.S. (b).................... 17,232,750 592,092
Cukurova Elektrik A.S. ............................. 708,000 452,964
Efes Sinai Yatrim Holding A.S. (b).................. 2,210,000 20,423
Ege Biracilik Ve Malt Sanayi A.S. .................. 10,528,000 785,821
</TABLE>
95
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
------------ -------------
<S> <C> <C>
Turkey - (continued)
EGS Gayrimenkul Yatirim, B Shares (b)............... 72,633,120 $ 438,876
Enka Holding Yatirim A.S. .......................... 5,382,250 931,009
Eregli Demir Ve Celik Fabrikalari T.A.S. (b)........ 33,180,000 463,869
Migros Turk T.A.S. ................................. 1,182,000 1,470,428
Tofas Turc Otomobil Fabrikasi A.S., Rights (b)...... 55,475,000 164,150
Tofas Turk Otomobil Fabrikasi A.S. (b).............. 97,081,250 385,316
Turk Sise Ve Cam Fabrikalari A.S. .................. 85,077,535 786,224
Turkiye Garanti Bankasi A.S. (b).................... 279,242,444 2,084,294
Turkiye Is Bankasi Class C.......................... 240,687,400 4,277,417
Vestel Elektronik Sanayi ve Ticaret A.S. (b)........ 9,470,000 1,032,226
Yapi Ve Kredi Bankasi A.S. ......................... 208,002,432 3,006,528
-------------
19,038,117
-------------
United Kingdom - 0.22%
Anglo American PLC (b).............................. 21,500 1,004,723
-------------
United States - 3.50%
Atlantis Korean Smaller Cos. (b).................... 408,441 6,024,505
Central Asia Regional Growth Fund (b)............... 97,150 121,438
Farmlington Bulgaria Fund (b)....................... 124,500 529,125
Firebird Republics Fund (b)......................... 10,288 603,248
First NIS Regional Fund (b)......................... 13,000 84,500
Framlington Russia Investment Fund (b).............. 9,721 38,884
India Public Sector Fund Ltd. (b)................... 147,059 919,119
IS Himalayan Fund (b)............................... 218,218 2,905,573
Old Mutual Saga Fund (b)............................ 28,446 1,062,524
Peregrine Kazakhstan Fund (b)....................... 160,000 460,800
Regent Balkan Fund (b).............................. 115,000 345,000
Romanian Investment Fund (b)........................ 1,950 780,000
Societe Generale Arab Fund (b)...................... 16,000 1,072,000
Societe Generale Ladenburg Thalmann (b)............. 13,334 500,025
Thai Euro Fund (b).................................. 26,000 262,600
-------------
15,709,341
-------------
Venezuela - 0.00%
Ceramica Carabobo, Class B, ADR (b)................. 17,794 13,198
-------------
Total Equities (Cost $373,428,884).................. 419,327,155
-------------
</TABLE>
96
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Face
Amount Value
-------------- -------------
<S> <C> <C>
Bonds - 0.70%
Convertible Bonds - 0.70%
China - 0.10%
Qingling Motors Co., 3.500%, due 01/22/02........ $ 1,075,000 $ 408,500
Qingling Motors Co., Series 144A, 3.500%, due
01/22/02........................................ 100,000 38,000
-------------
446,500
-------------
Poland - 0.59%
Elektrim S.A. Regis Convertable, 2.000%, due
05/30/04........................................ PLN 792,502 1,099,279
KGHM Polska Miedz S.A., GDR...................... 123,000 1,548,718
-------------
2,647,997
-------------
Russia - 0.01%
Russia GKO, 0.000%, due 05/19/99................. RUB 41,914,000 43,201
-------------
Total Bonds (Cost $8,034,810).................... 3,137,698
-------------
<CAPTION>
Shares
--------------
<S> <C> <C>
Short Term Investments - 2.73%
Investment Companies - 2.73%
Brinson Supplementary Trust U.S. Cash Management
Prime Fund (Cost 12,240,250).................... 12,240,250 12,240,250
-------------
Total Investments (Cost $393,703,944) - 96.89%
(a)............................................. 434,705,103
Cash and other assets, less liabilities - 3.11%.. 13,969,295
-------------
Net Assets - 100%................................ $448,674,398
=============
</TABLE>
See accompanying notes to schedule of investments.
97
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
June 30, 1999
NOTES TO SCHEDULE OF INVESTMENTS
(a) Aggregate cost for federal income tax purposes was $393,703,944, and net
unrealized appreciation consisted of:
<TABLE>
<S> <C>
Gross unrealized appreciation............ $80,845,566
Gross unrealized depreciation............ (39,844,407)
------------
Net unrealized appreciation.......... $41,001,159
============
</TABLE>
(b)Non-income producing security.
(c) Denominated in U.S. dollars
ADR: American Depositary Receipt
GDR:Global Depositary Receipt
PLN: Polish Zloty
RUB: Russian Ruble
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 June 30,
1999, the value of these securities amounted to $432,751 or 0.10% of net
assets.
EQUITY SWAP CONTRACTS
The Brinson Emerging Markets Equity Fund has entered into equity swap contracts
as of June 30, 1999. 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 June 30, 1999, aggregated by country exposure.
<TABLE>
<S> <C> <C> <C> <C> <C>
Net Unrealized
Notional Amounts Maturity Dates Country Gain Exposure
---------------- ----------------- ------- -------------- --------
$10,370,904 02/10/99-10/04/99 Taiwan $3,949,301 3.19%
2,900,521 Poland 620,982 0.78%
---------------- -------------- --------
$13,271,425 $4,570,283 3.97%
================ ============== ========
</TABLE>
See accompanying notes to financial statements.
98
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1999 (Unaudited)
<TABLE>
<S> <C>
ASSETS:
Investments, at value:
Unaffiliated issuers (Cost $381,463,694)..................... $ 422,464,853
Affiliated issuers (Cost $12,240,250)........................ 12,240,250
Cash.......................................................... 6,302,263
Foreign currency, at value (Cost $1,538,818).................. 1,567,047
Receivables:
Investment securities sold................................... 2,059,955
Net unrealized appreciation on equity swap contracts......... 4,579,431
Dividends.................................................... 1,876,007
Interest..................................................... 133,065
--------------
TOTAL ASSETS............................................... 451,222,871
--------------
LIABILITIES:
Payables:
Investment securities purchased.............................. 1,420,264
Net unrealized appreciation on forwards...................... 5,733
Net unrealized appreciation on swap contracts................ 9,148
Country Tax Expense.......................................... 663,696
Other liabilities............................................ 449,632
--------------
TOTAL LIABILITIES.......................................... 2,548,473
--------------
NET ASSETS:
Applicable to 47,782,333 shares; no par value, unlimited
shares authorized............................................ $ 448,674,398
==============
Net asset value per share ($448,674,398 / 47,782,333 shares).. $ 9.3900
==============
Maximum offering price per share (net asset value, plus 1.52%
of net asset value, or 1.50% of offering price).............. $ 9.5329
==============
Redemption price per share (net asset value, less 1.50% of net
asset value, or 1.52% of redemption value)................... $ 9.2491
==============
NET ASSETS CONSIST OF:
Paid in capital............................................... $ 499,113,230
Accumulated net investment income............................. 34,520,182
Accumulated net realized loss................................. (130,518,819)
Net unrealized appreciation................................... 45,559,805
--------------
NET ASSETS................................................. $ 448,674,398
==============
</TABLE>
See accompanying notes to financial statements.
99
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 1999 (Unaudited)
<TABLE>
<S> <C>
INVESTMENT INCOME:
Dividends (net of $186,165 for foreign taxes withheld)......... $ 4,317,741
Interest (net of $359 for foreign taxes withheld).............. 1,254,152
-------------
TOTAL INCOME................................................ 5,571,893
-------------
EXPENSES:
Custodian...................................................... 720,515
Country Tax Expense............................................ 1,238,157
Administration................................................. 162,271
Professional................................................... 49,145
Other.......................................................... 6,151
-------------
TOTAL EXPENSES.............................................. 2,176,239
-------------
NET INVESTMENT INCOME....................................... 3,395,654
-------------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments................................................... 13,474,544
Equity swap contracts......................................... 8,970,159
Foreign currency transactions................................. (1,046,269)
-------------
Net realized gain............................................ 21,398,434
-------------
Change in net unrealized appreciation or depreciation on:
Investments, equity swap contracts and foreign currency....... 103,368,285
Translation of other assets and liabilities denominated in
foreign currency............................................. (67,650)
-------------
Change in net unrealized appreciation or depreciation........ 103,300,635
-------------
Net realized and unrealized gain............................... 124,699,069
-------------
Net increase in net assets resulting from operations........... $128,094,723
=============
</TABLE>
See accompanying notes to financial statements.
100
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Six Months
Ended June 30, Year Ended
1999 December 31,
(Unaudited) 1998
-------------- --------------
<S> <C> <C>
OPERATIONS:
Net investment income.......................... $ 3,395,654 $ 17,761,658
Net realized gain (loss)....................... 21,398,434 (140,050,763)
Change in net unrealized appreciation or
depreciation.................................. 103,300,635 26,289,884
-------------- --------------
Net increase (decrease) in net assets resulting
from operations............................... 128,094,723 (95,999,221)
-------------- --------------
CAPITAL SHARE TRANSACTIONS:
Shares sold.................................... 21,400,930 168,513,076
Shares redeemed................................ (107,547,306) (117,661,142)
-------------- --------------
Net increase (decrease) in net assets resulting
from capital share transactions (a)........... (86,146,376) 50,851,934
-------------- --------------
TOTAL INCREASE (DECREASE) IN NET ASSETS..... 41,948,347 (45,147,287)
-------------- --------------
NET ASSETS:
Beginning of period............................ 406,726,051 451,873,338
-------------- --------------
End of period (including accumulated net
investment income of $34,520,182 and
$31,124,528, respectively).................... $ 448,674,398 $ 406,726,051
============== ==============
(a) A summary of capital share transactions
follows:
<CAPTION>
Shares Shares
-------------- --------------
<S> <C> <C>
Shares sold.................................... 2,949,144 22,326,797
Shares redeemed................................ (13,267,303) (13,538,648)
-------------- --------------
Net increase (decrease) in shares
outstanding.................................. (10,318,159) 8,788,149
============== ==============
</TABLE>
See accompanying notes to financial statements.
101
<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>
Six Months
Ended June Year Ended December 31, Period Ended
30, 1999 -------------------------------- December 31,
(Unaudited) 1998 1997 1996 1995*
----------- --------- --------- --------- ------------
<S> <C> <C> <C> <C> <C>
Net asset value,
beginning of period... $ 7.0004 $ 9.1635 $10.1862 $ 9.3164 $10.0000
--------- --------- --------- --------- ---------
Income from investment
operations:
Net investment
income............... 0.1868 0.2647 0.2561** 0.1810 0.1028
Net realized and
unrealized gain
(loss)............... 2.2028 (2.4278) (1.2788) 0.6888 (0.7864)
--------- --------- --------- --------- ---------
Total income (loss)
from investment
operations.......... 2.3896 (2.1631) (1.0227) 0.8698 (0.6836)
--------- --------- --------- --------- ---------
Net asset value, end of
period................ $ 9.3900 $ 7.0004 $ 9.1635 $10.1862 $ 9.3164
========= ========= ========= ========= =========
Total return
(non-annualized)...... 34.14% (23.61)% (10.04)% 9.34% (6.84)%
Ratios/Supplemental
data
Net assets, end of
period (in 000s)..... $448,674 $406,726 $451,873 $179,338 $ 90,129
Ratio of expenses to
average net assets... 0.43%*** 0.38% 0.28% 0.46% 0.50%***
Ratio of net
investment income to
average net assets... 2.14%*** 4.13% 2.44% 3.42% 3.86%***
Portfolio turnover
rate................. 52% 112% 62% 25% 2%
</TABLE>
* The Fund commenced operations June 30, 1995
** The net investment income per share data was determined by using average
shares outstanding during the period.
*** Annualized
See accompanying notes to financial statements.
102
<PAGE>
BRINSON U.S. SHORT/INTERMEDIATE FIXED INCOME FUND
- --------------------------------------------------------------------------------
The Brinson U.S. Short/Intermediate Fixed Income Fund was launched in December
of 1998 to provide our clients with another vehicle for accessing our short
duration portfolio management capabilities. In selecting issues for the U.S.
Short/Intermediate Fixed Income Fund, we incorporate our analysis of interest
rate sensitivity, maturity mix, sector valuation and individual securities. We
invest the Fund in investment-grade (high quality) marketable and
short/intermediate debt securities, and maintain the Fund's overall maturity
exposure in a range of six months to two years. The Fund's benchmark is
comprised of 50% U.S. LIBID (3 Month) and 50% Merrill Lynch 1-3 Year Treasury
Index.
Over the short period (six months) since the Fund's performance inception, it
has returned 2.14% versus the 1.83% return of its benchmark. The Fund
outperformed the benchmark by a rather wide margin in the first quarter of the
year (1.45% versus 0.92%), and underperformed slightly during the second
quarter (0.68% versus 0.91%).
We believe that current U.S. market interest rates provide reasonably high,
positive excess returns, U.S. bond yields in the second quarter were driven
well above our estimates of fair value by market expectations of higher
inflation and anticipation of the 25 basis point rate hike by the Federal
Reserve which occurred on June 30. As a result, the Fund's average maturity
exposure is held slightly longer than its index at about 1.05 times that of the
one-year benchmark; with maturities ranging from overnight to as long as three
years.
From a sector standpoint, we believe that prevailing credit spreads provide
more than adequate compensation for risk--given our assumptions about the
economy and the probabilities we assign to different scenarios for default
rates. While credit fundamentals have modestly deteriorated in recent months,
this has already been accounted for in our sector modeling.
103
<PAGE>
BRINSON U.S. SHORT/INTERMEDIATE FIXED INCOME FUND
- --------------------------------------------------------------------------------
Total Return
<TABLE>
<CAPTION>
12/31/98*
to
6/30/99
- --------------------------------------------------------------
<S> <C>
Brinson U.S. Short/Intermediate Fixed Income Fund 2.14%
- --------------------------------------------------------------
Short/Intermediate Fund Custom Benchmark 1.83
- --------------------------------------------------------------
Merrill Lynch 1-3 year U.S. Treasury Index 1.17
- --------------------------------------------------------------
U.S. 3 Month LIBID (London Inter Bank bid rate) 2.49
- --------------------------------------------------------------
</TABLE>
*Performance inception date of the Brinson U.S. Short/Intermediate Fixed
Income Fund
**An un-managed index compiled by the Advisor, constructed as follows: 50%
Merrill Lynch 1-3 year U.S. Treasury Index; and 50% U.S. 3 month LIBID
(London Inter Bank bid rate).
Illustration of an Assumed Investment of $100,000
This chart shows the growth in the value of an investment in the Brinson U.S.
Short/Intermediate Fixed Income Fund and the Short/Intermediate Fund Custom
Benchmark if you had invested $100,000 on December 31, 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. Short/Intermediate Fixed Income Fund vs. Short/Intermediate Fund
Custom Benchmark
[LINE GRAPH APPEARS HERE]
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.
104
<PAGE>
BRINSON U.S. SHORT/INTERMEDIATE FIXED INCOME FUND
- --------------------------------------------------------------------------------
Industry Diversification
As a Percent of Net Assets
As of June 30, 1999 (Unaudited)
<TABLE>
<S> <C>
U.S. BONDS
Corporate Bonds
Asset-backed........................................................... 12.01%
Banks.................................................................. 12.06
Consumer............................................................... 4.96
Services/Miscellaneous................................................. 20.45
Energy................................................................. 3.01
Industrial............................................................. 3.86
Financial Services..................................................... 20.53
Utilities.............................................................. 5.47
-------
Total U.S. Corporate Bonds............................................ 82.35
International Dollar Bonds............................................. 5.64
U.S. Government Agencies............................................... 1.84
U.S. Government Obligations............................................ 4.85
-------
Total U.S. Bonds...................................................... 12.33
SHORT-TERM INVESTMENTS.................................................. 6.00
-------
TOTAL INVESTMENTS..................................................... 100.68
LIABILITIES LESS CASH AND OTHER ASSETS.................................. (.68)
-------
NET ASSETS............................................................ 100.00%
=======
</TABLE>
105
<PAGE>
BRINSON U.S. SHORT/INTERMEDIATE FIXED INCOME FUND
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Face
Amount Value
------------- -------------
<S> <C> <C>
Bonds - 94.68%
U.S. Corporate Bonds - 82.35%
Abbey National Treasury Services PLC,
6.000%, due 10/16/00............................. $ 215,000 $ 214,687
Abbott Labs, 6.500%, due 09/06/01................. 235,000 236,539
Albertson's, Inc., 6.375%, due 06/01/00........... 345,000 346,499
Aristar, Inc., 6.000%, due 05/15/02............... 200,000 197,539
Associates Corp., NA, Series E, MTN,
6.750%, due 10/31/01............................. 250,000 252,010
AT&T Capital Corp., Series F, MTN, 7.500%, due
11/15/00......................................... 500,000 502,979
BAMT Series 1999-A Class A, 5.104%, due 06/15/06.. 500,000 499,190
Bank of New York Co., Inc., 7.625%, due 07/15/02.. 375,000 386,777
Bombardier Capital Inc., Series 144A,
6.000%, due 01/15/02............................. 300,000 295,031
Central Fidelity, 8.150%, due 11/15/02............ 400,000 420,898
Comdisco, Inc., 6.500%, due 06/15/00.............. 435,000 437,323
Comed, 98-1, Class A2, 5.290%, due 06/25/03....... 300,000 297,342
Commercial Credit Co., 6.875%, due 05/01/02....... 200,000 202,581
Countrywide Home, Series F, MTN, 5.300%, due
01/21/03......................................... 1,500,000 1,490,437
DCMT Series 99-2, Class A, 5.900%, due 10/15/04... 250,000 247,425
Dean Witter Discover, Series E, MTN,
5.435%, due 10/07/02............................. 1,000,000 1,004,188
Enron Corp., 6.450%, due 11/15/01................. 250,000 249,552
First USA Bank Series DPNT, 6.375%, due 10/23/00.. 250,000 250,449
Fleet Financial Group, Inc., 7.125%, due
05/01/00......................................... 300,000 302,792
Ford Credit Auto Owner Trust, Series 99-B, Class
A4, 5.800%, due 06/15/02......................... 300,000 298,956
Ford Motor Credit Co., 5.125%, due 10/15/01....... 400,000 390,331
Ford Motor Credit Co., MTN, 5.130%, due 04/29/02.. 1,000,000 998,523
General Motors Acceptance Corp., 5.500%, due
01/14/02......................................... 300,000 294,141
Goldman Sachs, Series A, MTN, 5.120%, due
01/31/02......................................... 1,000,000 998,375
HAROT Series 99-1, Class A3, 5.300%, due 09/15/02 150,000 148,482
Heller Financial, Inc., 6.500%, due 11/01/01...... 350,000 350,755
Household Bank FSB, 6.870%, due 05/15/01.......... 300,000 302,760
International Lease Finance Corp., 6.250%, due
10/15/00......................................... 250,000 250,808
JDOT Series 99-A, Class A3, 5.940%, due 10/15/02.. 250,000 249,660
KeyBank National Association, 5.306%, due
03/18/02......................................... 600,000 599,298
McKesson HBOC, Inc., 6.600%, due 03/01/00......... 500,000 501,417
Meridian Bancorp, 6.625%, due 06/15/00............ 250,000 250,792
Merrill Lynch & Co., 5.339%, due 06/24/03......... 1,000,000 995,137
Morgan Stanley, 8.875%, due 10/15/01.............. 300,000 316,801
NAVOT Series 99-A, Class A3, 5.950%, due
04/15/03......................................... 500,000 498,650
NCNB Corp., 9.125%, due 10/15/01.................. 250,000 264,732
Niagara Mohawk Power, 6.875%, due 03/01/01........ 250,000 252,057
</TABLE>
106
<PAGE>
BRINSON U.S. SHORT/INTERMEDIATE FIXED INCOME FUND
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Face
Amount Value
------------- -------------
<S> <C> <C>
Bonds - (continued)
U.S. Corporate Bonds - (continued)
NorAm Energy Corp., 7.500%, due 08/01/00.......... $ 555,000 $ 561,257
PECO Energy Transition Trust, Series 99-A, Class
A1, 5.480%, due 03/01/03......................... 300,000 298,545
PepsiCo, Inc., Series 1, MTN, 6.800%, due
05/15/00......................................... 500,000 502,988
Pitney Bowes Credit Corp., Series C, MTN,
6.780%, due 07/16/01............................. 300,000 302,499
Potomac Capital Investments NV, Series C, MTN,
7.050%, due 10/02/01............................. 600,000 597,047
Textron Financial Corp., Series C, MTN,
5.840%, due 02/19/02............................. 300,000 293,979
TJX Cos., Inc.,, 6.625%, due 06/15/00............. 500,000 504,175
Tyco International Ltd., 6.500%, due 11/01/01..... 300,000 300,219
UAC Series 99-A, Class A3, 5.570%, due 09/08/03... 200,000 198,038
UGI Utilities, Series B, MTN, 6.170%, due
03/06/01......................................... 250,000 247,808
USA Waste Services, 6.125%, due 07/15/01.......... 450,000 446,981
USG Corp., Series, B, 9.250%, due 09/15/01........ 700,000 738,055
Wells Fargo Co., Series F, MTN, 6.750%, due
05/12/00......................................... 250,000 251,684
WESTO Series 99-A, Class A3, 5.550%, due 05/20/03 500,000 495,375
Williams Cos., Series 144A, 5.950%, due 02/15/00.. 375,000 374,476
Xerox Capital (Europe) PLC, 5.750%, due 05/15/02.. 250,000 245,763
-------------
22,154,802
-------------
International Dollar Bonds - 5.64%
Quebec Province, 9.000%, due 05/08/01............. 500,000 521,295
ST. George Bank, Series E, MTN, 5.241%, due
03/20/02......................................... 1,000,000 997,035
-------------
1,518,330
-------------
U.S. Government Agencies - 1.84%
Freddie Mac, Series 2131, Class BA,
6.000%, due 11/15/17............................. 500,000 494,048
-------------
U.S. Government Obligations - 4.85%
U.S. Treasury Notes
5.625%, due 04/30/00............................. 380,000 381,069
4.000%, due 10/31/00............................. 500,000 490,937
6.500%, due 05/31/02............................. 425,000 434,563
-------------
1,306,569
-------------
1,800,617
-------------
Total Bonds (Cost $25,653,333).................... 25,473,749
-------------
</TABLE>
107
<PAGE>
BRINSON U.S. SHORT/INTERMEDIATE FIXED INCOME FUND
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
-------------- ---------------
<S> <C> <C>
Short Term Investments - 6.00%
Investment Companies - 6.00%
Brinson Supplementary Trust U.S. Cash
Management Prime Fund (Cost $1,614,029)...... 1,614,029 $ 1,614,029
---------------
Total Investments (Cost $27,267,362) - 100.68%
(a).......................................... 27,087,778
Liabilities, less cash and other assets -
(0.68%)..................................... (183,097)
---------------
Net Assets - 100%............................. $ 26,904,681
===============
</TABLE>
NOTES TO SCHEDULE OF INVESTMENTS
(a) Aggregate cost for federal income tax purposes was $27,267,363; and net
unrealized depreciation consisted of:
<TABLE>
<S> <C>
Gross unrealized appreciation.............. $ 15,402
Gross unrealized depreciation.............. (194,986)
----------
Net unrealized depreciation............ $(179,584)
==========
</TABLE>
FRN: Floating rate note--The rate disclosed is that in effect at June 30, 1999.
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 June 30, 1999, the value
of these securities amounted to $669,507 or 2.49% of net assets.
See accompanying notes to financial statements.
108
<PAGE>
BRINSON U.S. SHORT/INTERMEDIATE
FIXED INCOME FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1999 (Unaudited)
<TABLE>
<S> <C>
ASSETS:
Investments, at value:
Unaffiliated issuers (Cost $25,653,333)........................ $25,473,749
Affiliated issuers (Cost $1,614,029)........................... 1,614,029
Receivables:
Interest....................................................... 320,937
Due from Advisor............................................... 3,551
Other Assets.................................................... 1,279
------------
TOTAL ASSETS................................................. 27,413,545
------------
LIABILITIES:
Payables:
Investment securities purchased................................ 508,864
------------
TOTAL LIABILITIES............................................ 508,864
------------
NET ASSETS:
Applicable to 2,633,516 shares; no par value, unlimited shares
authorized..................................................... $26,904,681
============
Net asset value, offering price and redemption price per share
price per share ($26,904,681 / 2,633,516 shares)............... $ 10.2163
============
NET ASSETS CONSIST OF:
Paid in capital................................................. $26,361,436
Accumulated net investment income............................... 789,995
Accumulated net realized loss................................... (67,166)
Net unrealized depreciation..................................... (179,584)
------------
NET ASSETS................................................... $26,904,681
============
</TABLE>
See accompanying notes to financial statements.
109
<PAGE>
BRINSON U.S. SHORT/INTERMEDIATE
FIXED INCOME FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 1999 (Unaudited)
<TABLE>
<S> <C>
INVESTMENT INCOME:
Interest........................................................... $ 725,828
----------
TOTAL INCOME.................................................... 725,828
----------
EXPENSES:
Professional....................................................... 2,880
Trustees........................................................... 800
Custodian.......................................................... 314
Other.............................................................. 763
----------
TOTAL EXPENSES.................................................. 4,757
----------
Expenses deferred by Advisor.................................... (3,551)
----------
NET EXPENSES.................................................... 1,206
----------
NET INVESTMENT INCOME........................................... 724,622
----------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized loss on:
Investments....................................................... (67,166)
----------
Change in net unrealized appreciation or depreciation on:
Investments....................................................... (119,479)
----------
Net realized and unrealized loss................................... (186,645)
----------
Net increase in net assets resulting from operations............... $ 537,977
==========
</TABLE>
See accompanying notes to financial statements.
110
<PAGE>
BRINSON U.S. SHORT/INTERMEDIATE
FIXED INCOME FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Six Months
Ended Period Ended
June 30, 1999 December 31,
(Unaudited) 1998*
------------- ------------
<S> <C> <C>
OPERATIONS:
Net investment income............................. $ 724,622 $ 65,373
Net realized loss................................. (67,166) --
Change in net unrealized appreciation or
depreciation..................................... (119,479) (60,105)
------------ ------------
Net increase in net assets resulting from
operations....................................... 537,977 5,268
------------ ------------
CAPITAL SHARE TRANSACTIONS:
Shares sold....................................... 1,360,268 25,001,158
------------ ------------
Net increase in net assets resulting from capital
share transactions (a)........................... 1,360,268 25,001,158
------------ ------------
TOTAL INCREASE IN NET ASSETS................... 1,898,245 25,006,426
------------ ------------
NET ASSETS:
Beginning of period............................... 25,006,436 10
------------ ------------
End of period (including accumulated net
investment income of $789,995 and $65,373,
respectively).................................... $26,904,681 $25,006,436
============ ============
(a) A summary of capital share transactions
follows:
<CAPTION>
Shares Shares
------------- ------------
<S> <C> <C>
Shares sold....................................... 133,399 2,500,116
============ ============
</TABLE>
*The Fund commenced operations December 14, 1998.
See accompanying notes to financial statements.
111
<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 each period presented.
<TABLE>
<CAPTION>
Six Months
Ended Period Ended
June 30, 1999 December 31,
(Unaudited) 1998*
------------- ------------
<S> <C> <C>
Net asset value, beginning of period.............. $10.0021 $10.0000
--------- ---------
Income from investment operations:
Net investment income............................ 0.2738 0.0262
Net realized and unrealized loss................. (0.0596) (0.0241)
--------- ---------
Total income from investment operations......... 0.2142 0.0021
--------- ---------
Net asset value, end of period.................... $10.2163 $10.0021
========= =========
Total return (non-annualized)..................... 2.14% 0.02%
Ratios/Supplemental data
Net assets, end of period (in 000s).............. $ 26,905 $ 25,006
Ratio of expenses to average net assets:
Before expense reimbursement.................... 0.04%** 0.01%**
After expense reimbursement..................... 0.01%** N/A
Ratio of net investment income to average net
assets..........................................
Before expense reimbursement.................... 5.74%** 5.31%**
After expense reimbursement..................... 5.77%** N/A
Portfolio turnover rate.......................... 74% 0%
</TABLE>
* The Fund commenced operations December 14, 1998.
** Annualized
N/A=Not Applicable
See accompanying notes to financial statements.
112
<PAGE>
BRINSON U.S. CASH MANAGEMENT PRIME FUND
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
----------- ------------
<S> <C> <C>
Investment Companies - 100.00%
Brinson Supplementary Trust U.S. Cash Management
Prime Fund (Cost $453,768,060)...................... 453,768,060 $453,768,060
Cash and other assets, less liabilities - 0.00%...... 3,623
------------
Net Assets - 100%.................................... $453,771,683
============
</TABLE>
113
<PAGE>
BRINSON U.S. CASH MANAGEMENT PRIME FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1999 (Unaudited)
<TABLE>
<S> <C>
ASSETS:
Investments, at value (Cost $453,768,060)....................... $453,768,060
Receivables:
Interest....................................................... 1,971,836
-------------
TOTAL ASSETS................................................. 455,739,896
-------------
LIABILITIES:
Payables:
Dividends...................................................... 1,964,881
Other liabilities.............................................. 3,332
-------------
TOTAL LIABILITIES............................................ 1,968,213
-------------
NET ASSETS:
Applicable to 453,771,683 shares; no par value, unlimited shares
authorized..................................................... $453,771,683
=============
Net asset value, offering price and redemption price per share
price per share ($453,771,683 / 453,771,683 shares)............ $ 1.0000
=============
NET ASSETS CONSIST OF:
Paid in capital................................................. $453,771,683
-------------
NET ASSETS................................................... $453,771,683
=============
</TABLE>
See accompanying notes to financial statements.
114
<PAGE>
BRINSON U.S. CASH MANAGEMENT PRIME FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 1999 (Unaudited)
<TABLE>
<S> <C>
INVESTMENT INCOME:
Interest.......................................................... $11,070,394
------------
TOTAL INCOME................................................... 11,070,394
------------
EXPENSES:
Professional...................................................... 8,953
Custodian......................................................... 2,329
Trustees.......................................................... 3,711
Other............................................................. 7,081
------------
TOTAL EXPENSES................................................. 22,074
------------
NET INVESTMENT INCOME.......................................... $11,048,320
============
</TABLE>
See accompanying notes to financial statements.
115
<PAGE>
BRINSON U.S. CASH MANAGEMENT PRIME FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Six Months
Ended June 30, Period Ended
1999 December 31,
(Unaudited) 1998*
-------------- --------------
<S> <C> <C>
OPERATIONS:
Net investment income......................... $ 11,048,320 $ 11,557,385
Net realized loss............................. -- (844)
-------------- --------------
Net increase in net assets resulting from
operations................................... 11,048,320 11,556,541
-------------- --------------
DISTRIBUTIONS:
Net Investment Income......................... (11,047,476) (11,557,385)
-------------- --------------
CAPITAL SHARE TRANSACTIONS:
Shares sold................................... 772,146,736 905,743,780
Shares reinvested............................. 2,283,008 591,582
Shares redeemed............................... (619,883,118) (607,110,306)
-------------- --------------
Net increase in net assets resulting from
capital share transactions (a)............... 154,546,626 299,225,056
-------------- --------------
TOTAL INCREASE IN NET ASSETS............... 154,547,470 299,224,212
-------------- --------------
NET ASSETS:
Beginning of period........................... 299,224,213 1
-------------- --------------
End of period................................. $ 453,771,683 $ 299,224,213
============== ==============
(a) A summary of capital share transactions
follows:
<CAPTION>
Shares Shares
-------------- --------------
<S> <C> <C>
Shares sold................................... 772,146,736 905,743,780
Shares reinvested............................. 2,283,008 591,582
Shares redeemed............................... (619,883,118) (607,110,306)
-------------- --------------
Net increase in shares outstanding........... 154,546,626 299,225,056
============== ==============
</TABLE>
*The Fund commenced operations February 18, 1998.
See accompanying notes to financial statements.
116
<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 each period presented.
<TABLE>
<CAPTION>
Six Months
Ended Period Ended
June 30, 1999 December 31,
(Unaudited) 1998*
------------- ------------
<S> <C> <C>
Net asset value, beginning of period................ $ 1.0000 $ 1.0000
--------- ---------
Income from investment operations:
Net investment income.............................. 0.0244 0.0477
Net realized and unrealized gain................... 0.0000 0.0000
--------- ---------
Total income from investment operations........... 0.0244 0.0477
--------- ---------
Distribution:
Net investment income.............................. (0.0244) (0.0477)
--------- ---------
Net asset value, end of period...................... $ 1.0000 $ 1.0000
========= =========
Total return (non-annualized)....................... 2.52% 4.88%
Ratios/Supplemental data
Net assets, end of period (in 000s)................ $453,772 $299,224
Ratio of expenses to average net assets:
Before expense reimbursement...................... 0.01%** 0.01%**
After expense reimbursement....................... N/A 0.01%**
Ratio of net investment income to average net
assets:
Before expense reimbursement...................... 5.01%** 5.52%**
After expense reimbursement....................... N/A 5.52%**
</TABLE>
* The Fund commenced operations February 18, 1998.
** Annualized
N/A = Not Applicable
See accompanying notes to financial statements.
117
<PAGE>
BRINSON SHORT-TERM FUND
- --------------------------------------------------------------------------------
The objective of the Brinson Short-Term Fund is to maximize total U.S. dollar
return, consisting of capital appreciation and income, without assuming
unnecessary risk. Since the Fund's inception on December 31, 1998, it has
produced a return of 2.55%. These results are slightly above the benchmark,
which has returned 2.52% over the same period.
The volatility in interest rates during the first quarter of 1999 gave way to a
general trend of rising rates over the first half of the year. Rate increases
were spurred by expectations of higher inflation, and anticipation of the 25
basis point rate hike by the Federal Reserve which occurred on June 30. As a
result of these recent yield increases, we feel that most bonds are now
attractively priced, and we are biased toward a slight extension of the
portfolio's duration.
Additionally, we believe that credit spreads over "risk free" U.S. Treasury
securities are generally attractive. In our opinion, the premium being paid for
taking even modest credit risk more than adequately compensates for the real
risk inherent in many corporate-issued securities. Our strategy is to take
advantage of that yield disparity by holding securities with at least a
moderate degree of perceived credit risk.
We currently favor commercial paper instruments over government securities due
to the yield advantage described above. Our strategy is to assume a moderate
degree of credit risk by holding securities rated A-2 by Standard and Poors
(indicating a strong degree of safety) and/or P-2 (defined as having a strong
capacity for repayment) by Moody's Investor services. Referred to as "A-2/P-2
commercial paper," these instruments lie approximately in the middle of the
investment-grade short-term debt risk spectrum.
118
<PAGE>
BRINSON SHORT-TERM FUND
- --------------------------------------------------------------------------------
Total Return
<TABLE>
<CAPTION>
12/31/98*
to
6/30/99
- ------------------------------------
<S> <C>
Brinson Short-Term Fund 2.55%
- ------------------------------------
U.S. Libor (30 day) 2.52
- ------------------------------------
</TABLE>
*Inception date of the Brinson Short-Term Fund.
Illustration of an Assumed Investment of $100,000
This chart shows the growth in the value of an investment in the Brinson Short-
Term Fund and the U.S. Libor (30 day) if you had invested $100,000 on December
31, 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 Short-Term Fund vs. U.S. Libor (30 day)
[LINE GRAPH APPEARS HERE]
@FINACT:[72728]72728FJLAN.EFT
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.
119
<PAGE>
BRINSON SHORT-TERM FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Face Amount Value
----------- -----------
<S> <C> <C>
Short-Term Investments - 135.74%
Commercial Paper - 135.74%
Bergen Brunswig Drug Corp., 5.05%, due 07/06/99...... $1,022,000 $1,021,283
Browning Ferris Industries, Inc., 5.27%, due
07/09/99............................................ 1,010,000 1,008,817
Centex Corp., 5.08%, due 07/08/99.................... 1,020,000 1,018,992
GATC Corp., 5.27%, due 08/13/99...................... 1,094,000 1,087,114
Phillips Petroleum Co., 5.25%, due 07/15/99.......... 1,021,000 1,018,915
-----------
Total Short-Term Investments (Cost $5,155,121)....... 5,155,121
-----------
Total Investments (Cost $5,155,121) - 135.74% (a).... 5,155,121
Liabilities, less cash and other assets - (35.74)%... (1,357,256)
-----------
Net Assets - 100%.................................... $3,797,865
===========
</TABLE>
See accompanying notes to financial statements.
120
<PAGE>
BRINSON SHORT-TERM FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1999 (Unaudited)
<TABLE>
<S> <C>
ASSETS:
Investments, at Value:
Unaffiliated issuers (Cost $5,155,121).......................... $5,155,121
Receivables:
Due from Advisor................................................ 3,900
-----------
TOTAL ASSETS.................................................. 5,159,021
-----------
LIABILITIES:
Other liabilities............................................... 1,361,156
-----------
TOTAL LIABILITIES............................................. 1,361,156
-----------
NET ASSETS:
Applicable to 370,346 shares; no par value, unlimited shares
authorized...................................................... $3,797,865
===========
Net asset value, offering and redemption price per share
($3,797,865 / 370,346 shares)................................... $ 10.2549
===========
NET ASSETS CONSIST OF:
Paid in capital.................................................. $3,681,271
Accumulated net investment income................................ 116,740
Accumulated net realized loss.................................... (146)
-----------
NET ASSETS.................................................... $3,797,865
===========
</TABLE>
See accompanying notes to financial statements.
121
<PAGE>
BRINSON SHORT-TERM FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 1999 (Unaudited)
<TABLE>
<S> <C>
INVESTMENT INCOME:
Interest............................................................ $117,856
---------
TOTAL INCOME..................................................... 117,856
---------
EXPENSES:
Professional........................................................ 3,276
Trustees............................................................ 910
Custodian........................................................... 55
Other............................................................... 775
---------
TOTAL EXPENSES................................................... 5,016
---------
Expenses deferred by Advisor..................................... (3,900)
---------
NET EXPENSES..................................................... 1,116
---------
NET INVESTMENT INCOME............................................ 116,740
---------
NET REALIZED AND UNREALIZED LOSS:
Net realized loss on:
Investments........................................................ (146)
---------
Net increase in net assets resulting from operations................ $116,594
=========
</TABLE>
See accompanying notes to financial statements.
122
<PAGE>
BRINSON SHORT-TERM FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Six Months
Ended
June 30, 1999
(Unaudited)
-------------
<S> <C>
OPERATIONS:
Net investment income........................................... $ 116,740
Net realized loss............................................... (146)
-----------
Net increase in net assets resulting from operations............ 116,594
-----------
CAPITAL SHARE TRANSACTIONS:
Shares sold..................................................... 6,769,881
Shares redeemed................................................. (3,088,620)
-----------
Net increase in net assets resulting from capital share
transactions (a)............................................... 3,681,261
-----------
TOTAL INCREASE IN NET ASSETS................................. 3,797,855
-----------
NET ASSETS:
Beginning of period............................................. 10
-----------
End of period (including accumulated net investment income of
$116,740)...................................................... $3,797,865
===========
(a) A summary of capital share transactions follows:
<CAPTION>
Shares
-------------
<S> <C>
Shares sold..................................................... 674,644
Shares redeemed................................................. (304,298)
-----------
Net increase in shares outstanding............................. 370,346
===========
</TABLE>
See accompanying notes to financial statements.
123
<PAGE>
BRINSON SHORT-TERM FUND FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
The table below sets forth financial data for one share of capital stock
outstanding throughout each period presented.
<TABLE>
<CAPTION>
Six Months
Ended
June 30, 1999*
(Unaudited)
--------------
<S> <C>
Net asset value, beginning of period............................. $10.0000
---------
Income from investment operations:
Net investment income........................................... 0.3152
Net realized and unrealized loss................................ (0.0603)
---------
Total income from investment operations........................ 0.2549
---------
Net asset value, end of period................................... $10.2549
=========
Total return (non-annualized).................................... 2.55%
Ratios/Supplemental data
Net assets, end of period (in 000s)............................. $ 3,798
Ratio of expenses to average net assets:
Before expense reimbursement................................... 0.23%**
After expense reimbursement.................................... 0.05%**
Ratio of net investment income to average net assets:
Before expense reimbursement................................... 5.07%**
After expense reimbursement.................................... 5.25%**
Portfolio turnover rate......................................... N/A
</TABLE>
* The Fund commenced operations December 31, 1998
** Annualized
N/A=Not Applicable
See accompanying notes to financial statements.
124
<PAGE>
BRINSON HIGH YIELD FUND
- --------------------------------------------------------------------------------
In selecting issues for the Brinson High Yield Fund, we incorporate our
analysis of interest rate sensitivity, maturity mix, and sector valuation, as
well as security specific research--compiled by our fixed income and equity
research teams. Successful high yield fixed income investing involves capturing
the market's high total return potential while minimizing losses due to credit
deterioration or default. We believe that many high yield managers sacrifice
safety while reaching for high current income. In contrast, at the forefront of
our philosophy is a focus on asset coverage and preservation of principal. Our
disciplined process avoids taking large risks solely for the sake of a high
indicated yield.
Our investment process consists of four stages:
. Identify high quality issuers with substantial asset coverage.
. Identify issuers generating free cash flow with a focus on deleveraging
their balance sheet.
. Consider relative value: does expected return from the investment adequately
compensate for risk?
. Diversify holdings by issuer and industry.
Since its performance inception on April 30, 1995, the Brinson High Yield Fund
has returned 7.33% compared to 9.52% for its benchmark, the Merrill Lynch High
Yield Master Index. Over the most recent six-month period, the Fund has
returned 1.95% versus the index return of 1.76%. Volatility of the Fund (since
its inception) has been slightly higher than that of the benchmark at 6.95%
versus 5.34%.
Rising U.S. Treasury yields, above-trend GDP growth and a more benign global
economic outlook resulted in tighter high yield bond spreads in the first half
of 1999. (Prices, of high yield bonds increased relative to U.S. treasuries,
bringing forward-looking "risky" bond yields closer to those of "riskless"
government-backed treasury bonds.) Spreads over treasuries tightened
significantly from 5.55% at December 31, 1998 to 4.51% at June 30, 1999. Lower
rated high yield bonds have generally outperformed their higher quality
counterparts thus far in 1999, as investors have, to some degree, reversed the
flight-to-quality which occurred during the second half of 1998. We continue to
believe that additional spread tightening is warranted at current levels.
Our valuation model indicates that the high yield bond market is expected to
generate an annualized total return of approximately 10.5% over the course of
the next 3 years. We continue to believe that issue selection remains paramount
in generating solid returns from a high yield portfolio, and our focus remains
on single-B rated companies that we expect will demonstrate improving credit
quality over a 12 to 18 month horizon. Specifically, we have reduced our
underweight in cyclical industries (which performed well during the first half
of the year) including paper and energy, and modestly reduced our overweight in
cable television and broadcasting.
125
<PAGE>
BRINSON HIGH YIELD FUND
- --------------------------------------------------------------------------------
Total Return
<TABLE>
<CAPTION>
6 Months 1 Year 3 Years Annualized
Ended Ended Ended 4/30/95*
6/30/99 6/30/99 6/30/99 to 6/30/99
- ------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Brinson High Yield Fund 1.95% -5.80% 5.94% 7.33%
- ------------------------------------------------------------------------------
Merrill Lynch High Yield Master Index** 1.76 0.94 8.72 9.52
- ------------------------------------------------------------------------------
</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.
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 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. Merrill Lynch High Yield Master Index
BRINSON HIGH YIELD FUND CHART
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.
126
<PAGE>
BRINSON HIGH YIELD FUND
- --------------------------------------------------------------------------------
Industry Diversification
As a Percent of Net Assets
As of June 30, 1999 (Unaudited)
<TABLE>
<S> <C>
U.S. BONDS
Corporate Bonds
Auto...................... 3.08%
Business & Public
Service.................. 3.59
Chemicals................. 1.71
Construction.............. 3.01
Consumer.................. 2.09
Electronics and Electric
Components............... 0.73
Energy.................... 0.54
Financial Services........ 0.99
Food & House Products..... 4.93
Health.................... 3.87
Industrial................ 0.87
Multi-Industry............ 0.76
Radio Broadcasting........ 5.19
Real Estate............... 1.01
Recreation................ 9.39
Retail.................... 3.26
Services/Miscellaneous.... 16.74
Telecommunications........ 11.58
Television Broadcasting... 14.59
--------
Total U.S. Corporate
Bonds................... 87.93
--------
International Dollar
Bonds................... 2.90
--------
Total U.S. Bonds......... 90.83
--------
U.S. EQUITIES.............. 2.66
--------
SHORT-TERM INVESTMENTS... 4.81
--------
TOTAL INVESTMENTS.......... 98.30
CASH AND OTHER ASSETS,
LESS LIABILITIES.......... 1.70
--------
NET ASSETS............... 100.00%
========
</TABLE>
127
<PAGE>
BRINSON HIGH YIELD FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Face
Amount Value
------------ -------------
<S> <C> <C>
Bonds - 90.83%
U.S. Corporate Bonds - 87.93%
Ackerley Group Inc., Series B, 9.000%, due
01/15/09........................................... $ 3,500,000 $ 3,456,250
Adams Outdoor Advertising, 10.750%, due 03/15/06.... 1,000,000 1,065,000
Allbritton Communications Co., 9.750%, due
11/30/07........................................... 1,500,000 1,518,750
Allbritton Communications Co., Series B,
8.875%, due 02/01/08............................... 2,500,000 2,406,250
Alliance Laundry Systems, 144A, 9.625%, due
05/01/08........................................... 2,750,000 2,523,125
American Media, Inc., 144A, 10.250%, due 05/01/09... 2,000,000 2,015,000
Aurora Foods, Inc., Series B, 9.875%, due 02/15/07.. 3,500,000 3,622,500
Aurora Foods, Inc., Series D, 9.875%, due 02/15/07.. 1,000,000 1,035,000
Avalon Cable Holdings, 144A, 9.375%, due 12/01/08... 3,150,000 3,201,187
Bally Total Fitness Corp., Series D, 9.875%, due
10/15/07........................................... 3,750,000 3,637,500
BGF Industries, Inc., 144A, 10.250%, due 01/15/09... 2,000,000 1,820,000
Big City Radio, Inc., 0.000%, due 03/15/05 (c)...... 3,000,000 2,130,000
Big Flower Holdings, Inc., 8.625%, due 12/01/08..... 4,000,000 3,680,000
Bresnan Communications Group, 144A,
0.000%, due 02/01/09 (d)........................... 4,000,000 2,600,000
Budget Group, Inc., 144A, 9.125%, due 04/01/06...... 3,500,000 3,228,750
Building Materials Corp., 8.000%, due 12/01/08...... 3,500,000 3,263,750
Capstar Broadcasting Partners, Inc.,
0.000%, due 02/01/09 (e)........................... 2,500,000 2,112,500
CB Richard Ellis Services, Inc., 8.875%, due
06/01/06........................................... 3,500,000 3,377,500
CBS Radio, Inc...................................... 3,158,400 3,580,836
Centennial Cellular, 144A, 10.750%, due 12/15/08.... 4,500,000 4,646,250
Century Communications Corp., 0.000%, due 01/15/08.. 6,500,000 2,892,500
Chancellor Media Corp., 9.000%, due 10/01/08........ 1,000,000 1,017,500
Charter Communications Holdings, 144A,
0.000%, due 04/01/11 (f).............................. 3,000,000 1,860,000
Citadel Broadcasting Co., 10.250%, due 07/01/07..... 2,500,000 2,693,750
Clearnet Communications, 0.000%, due 05/01/09 (g)... 375,000 213,750
Collins & Alkman Corp., 11.500%, due 04/15/06....... 3,500,000 3,517,500
CSC Holdings, Inc., 7.625%, due 07/15/18............ 2,050,000 1,898,813
Cumulus Media, Inc., 10.375%, due 07/01/08.......... 4,000,000 4,240,000
Diamond Triumph Autoglass, Inc., 144A,
9.250%, due 04/01/08............................... 3,250,000 3,152,500
Digital Television Services, Series B, 12.500%, due
08/01/07........................................... 2,000,000 2,197,500
Dobson/Sygnet, Inc., 144A, 12.250%, due 12/15/08.... 3,750,000 3,937,500
Eagle Family Foods, Series B, 8.750%, due 01/15/08.. 4,000,000 3,580,000
Echostar DBS Corp., 144A, 9.375%, due 02/01/09...... 2,000,000 2,035,000
Exodus Communications, Inc., 144A, 11.250%, due
07/01/08........................................... 750,000 787,500
Falcon Holding Group Series B, 0.000%, due 04/15/10
(h)................................................ 4,000,000 2,800,000
Federal-Mogul Corp., 144A, 7.500%, due 01/15/09..... 3,250,000 2,995,281
Florida Panthers Corp., 9.875%, due 04/15/09........ 2,000,000 1,870,000
Fortress Group, Inc., 13.750%, due 05/15/03......... 4,000,000 2,800,000
Fox/Liberty Networks, 0.000%, due 08/15/07 (i)...... 4,250,000 3,315,000
</TABLE>
128
<PAGE>
BRINSON HIGH YIELD FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Face
Amount Value
------------ -------------
<S> <C> <C>
U.S. Corporate Bonds - (continued)
Fundy Cable Ltd., 11.000%, due 11/15/05..................... $ 3,000,000 $ 3,270,000
Global Imaging Systems, Inc., 144A, 10.750%, due 02/15/07... 2,000,000 1,960,000
Golden Sky DBS Inc., 144A, 0.000%, due 03/01/07............. 3,500,000 2,082,500
Golden Sky Systems, Inc. Series B, 12.375%, due 08/01/06.... 2,350,000 2,632,000
Granite Broadcasting, Corp., 10.375%, due 05/15/05.......... 2,000,000 2,020,000
Group Maintenance America Corp., 144A,
9.750%, due 01/15/09....................................... 3,700,000 3,630,625
Harvey Casinos Resorts, 10.625%, due 06/01/06............... 1,500,000 1,560,000
ICG Holdings Inc., 0.000%, due 05/01/06 (j)................. 3,000,000 2,340,000
Icon Fitness Corp., Series B, 0.000%, due 11/15/06 (k)...... 7,000,000 70,000
Integrated Electrical Services, Inc., 144A,
9.375%, due 02/01/09....................................... 3,500,000 3,447,500
Interep National Radio Sales, Series B,
10.000%, due 07/01/08...................................... 3,000,000 3,067,500
Intermedia Communications, Inc., Series B,
0.000%, due 07/15/07 (l)................................... 4,850,000 3,455,625
International Comfort Products Corp., Series B,
8.625%, due 05/15/08....................................... 1,000,000 1,070,000
Iron Mountain, Inc., 8.750%, due 09/30/09................... 4,550,000 4,413,500
Isle of Capri Casinos, Inc., 144A, 8.750%, due 04/15/09..... 1,000,000 937,500
J.H. Heafner Co., 144A, 10.000%, due 05/15/08............... 3,000,000 2,985,000
J.H. Heafner Co., Inc., 10.000%, due 05/15/08............... 205,000 203,975
JCAC, Inc., 10.125%, due 06/15/06........................... 2,380,000 2,579,325
Lamar Advertising Co., 9.625%, due 12/01/06................. 1,600,000 1,648,000
Lamar Advertising Co., 8.625%, due 09/15/07................. 2,000,000 1,960,000
Level 3 Communications, 0.000%, due 12/01/08 (m)............ 4,000,000 2,460,000
Liberty Group Operating, 9.375%, due 02/01/08............... 3,500,000 3,290,000
Lifepoint Hospitals Holdings, 144A, 10.750%, due 05/15/09... 2,000,000 2,035,000
LIN Holdings Corp., 0.000%, due 03/01/08.................... 4,500,000 2,970,000
Lowes Cineplex Entertainment Corp., 8.875%, due 08/01/08.... 3,000,000 2,865,000
Lyondell Chemical Co., 9.875%, due 05/01/07................. 1,000,000 1,022,500
Mail Well Corp., Series B, 8.750%, due 12/15/08............. 4,000,000 3,880,000
Mediacom LLC., Series B, 8.500%, due 04/15/08............... 4,350,000 4,089,000
Mohegan Tribal Gaming Authority Corp.,
8.750%, due 01/01/09....................................... 3,500,000 3,465,000
MTS, Inc., 9.375%, due 05/01/05............................. 3,375,000 2,565,000
National Equipment Services, Inc., 10.000%, due 11/30/04.... 1,000,000 1,010,000
NationsRent, Inc., 10.375%, due 12/15/08.................... 3,250,000 3,217,500
NBTY, Inc., Series B, 8.625%, due 09/15/07.................. 3,750,000 3,225,000
New World Pasta Co., 144A, 9.250%, due 02/15/09............. 3,750,000 3,646,875
Newpark Resources, Inc., Series B, 8.625%, due 12/15/07..... 2,000,000 1,930,000
Nextel Communications, Inc.,144A, 0.000%, due 09/15/07 (n).. 5,500,000 4,001,250
Nortek, Inc., Series B, 9.125%, due 09/01/07................ 3,000,000 2,970,000
NTL Communications, Inc., Series B,
0.000%, due 10/01/08 (o)................................... 5,000,000 3,412,500
</TABLE>
129
<PAGE>
BRINSON HIGH YIELD FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Face
Amount Value
------------ -------------
<S> <C> <C>
U.S. Corporate Bonds - (continued)
Packaging Corp. of America 144A, 9.625%, due
04/01/09.......................................... $ 1,000,000 $ 1,015,000
Paxson Communications Corp., 11.625%, due
10/01/02.......................................... 3,000,000 3,120,000
Pegasus Communications Corp., Series B,
9.625%, due 10/15/05.............................. 2,000,000 1,960,000
Pegasus Communications Corp., Series B,
9.750%, due 12/01/06.............................. 1,000,000 1,000,000
Phoenix Color, Inc., 10.375%, due 02/01/09......... 4,000,000 3,920,000
Premier Parks, Inc., 0.000%, due 04/01/08 (p)...... 7,690,000 5,113,850
PSINet Inc., 11.500%, due 11/01/08................. 2,000,000 2,110,000
PSINet Inc., Series B, 10.000%, due 02/15/05....... 1,000,000 1,005,000
Quest Diannostic Corp., 144A, 9.875%, due
07/01/09.......................................... 1,000,000 1,012,500
Qwest Communications International Inc.,
0.000%, due 10/15/07 (q).......................... 3,000,000 2,340,000
R. H. Donnelly, Inc., 9.125%, due 06/01/08......... 3,250,000 3,258,125
Range Resources Corp., 8.750%, due 01/15/07........ 2,000,000 1,800,000
Rayovac Corp., Series B, 10.250%, due 11/01/06..... 2,300,000 2,461,000
Revlon Consumer Products, 8.625%, due 02/01/08..... 3,500,000 3,272,500
Scotts Co., 144A, 8.625%, due 01/15/09............. 3,500,000 3,447,500
SFX Entertainment, Inc., Series B, 9.125%, due
02/01/08.......................................... 4,000,000 3,920,000
Simmons Co., 144A, 10.250%, due 03/15/09........... 3,500,000 3,552,500
Sinclair Broadcast Group, Inc., 8.750%, due
12/15/07.......................................... 3,500,000 3,395,000
Sleepmaster Corp., 144A, 11.000%, due 05/15/09..... 1,000,000 1,017,500
Speedway Motorsports, Inc., 8.500%, due 08/15/07... 2,500,000 2,525,000
Speedway Motorsports, Inc., 144A, 8.500%, due
08/15/07.......................................... 1,000,000 1,010,000
Splitrock Services, Inc., Series B, 11.750%, due
07/15/08.......................................... 500,000 467,500
Supreme International Corp., 144A, 12.250%, due
04/01/06.......................................... 1,500,000 1,515,000
T/SF Communications Corp., Series B,
10.375%, due 11/01/07............................. 3,000,000 3,000,000
Telecorp PCS Inc., 144A, 0.000%, due 04/15/09 (r).. 3,000,000 1,657,500
TeleWest Communications plc, 0.000%, due 10/01/07
(s)............................................... 1,000,000 890,000
TeleWest Communications plc, 144A,
0.000%, due 04/15/09 (t).......................... 500,000 333,125
Tenet Healthcare Corp., 8.625%, due 01/15/07....... 1,500,000 1,477,500
Tenet Healthcare Corp., Series B, 8.125%, due
12/01/08.......................................... 2,000,000 1,890,000
Trans-Resources, Inc., Series B, 0.000%, due
03/15/08 (u)...................................... 3,000,000 1,515,000
TransWestern Publishing Co., 9.625%, due 11/15/07.. 4,000,000 3,935,000
Triton PCS, Inc., 0.000%, due 05/01/08 (v)......... 4,000,000 2,570,000
Unisys Corp., 11.750%, due 10/15/04................ 2,500,000 2,775,000
United Artists Theatre Circuit, Inc., Series B,
9.750%, due 04/15/08.............................. 1,400,000 994,000
United Industries Corp., 144A, 9.875%, due
04/01/09.......................................... 3,500,000 3,185,000
United Rentals, Inc., Series B, 9.250%, due
01/15/09.......................................... 1,000,000 985,000
United Rentals, Inc., Series B, 9.500%, due
06/01/08.......................................... 4,320,000 4,341,600
Verio Inc., 13.500%, due 06/15/04.................. 2,550,000 2,856,000
Victory Markets, Inc., 12.500%, due 03/15/00....... 2,000,000 40,000
</TABLE>
130
<PAGE>
BRINSON HIGH YIELD FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Face
Amount Value
------------ -------------
<S> <C> <C>
U.S. Corporate Bonds - (continued)
Waterford Gaming, 144A, 9.500%, due 03/15/10....... $ 3,500,000 $ 3,473,750
Wesco Distribution, Inc., Series B, 9.125%, due
06/01/08.......................................... 500,000 483,750
Young Broadcasting Corp., 9.000%, due 01/15/06..... 3,000,000 2,932,500
-------------
Total U.S. Corporate Bonds......................... 293,684,617
-------------
International Dollar Bonds - 2.90%
COLT Telecom Group, 0.000%, due 12/15/06 (w)....... 4,000,000 3,320,000
Energis plc, 144A, 9.750%, due 06/15/09............ 750,000 759,375
Imax, Corp., 7.875%, due 12/01/05.................. 2,250,000 2,117,813
Morocco - Loan Tranche A FRN, 5.906%, due
01/01/09.......................................... 3,333,333 2,683,333
Microcell Telecommunications, Inc., Series B,
0.000%, due 06/01/06 (x).......................... 1,000,000 807,500
-------------
Total International Dollar Bonds................... 9,688,021
-------------
Total Bonds (Cost $314,672,920).................... 303,372,638
-------------
<CAPTION>
Shares
------------
<S> <C> <C>
Equities - 2.66%
U.S. Equities
CSC Holdings, Inc., Series M....................... 31,922 3,479,468
Icon Health & Fitness Capital, Inc., Warrants...... 4,000 40
Paxson Communications Corp......................... 1,500 1,368,750
Pegasus Communications Corp........................ 151,081 1,556
Pegasus Communications Corp., Series A, PIK
Convertible Preferred, 12.750%.................... 3,807 3,921,210
Pegasus Communications Corp., Warrants............. 3,000 105,000
Renaissance Cosmetics, Inc., PIK Convertible
Preferred, 14.000%................................ 7,618 7,618
Renaissance Cosmetics, Inc., Warrants.............. 4,000 --
Renaissance Cosmetics, Inc., Warrants.............. 5,000 --
Royal Oak Mines, Inc............................... 171,428 --
-------------
Total Equities (Cost $17,481,499).................. 8,883,642
-------------
Short-Term Investments - 4.81%
Investment Companies - 4.81%
Brinson Supplementary Trust U.S. Cash Management
Prime Fund (Cost $16,076,063)..................... 16,076,063 16,076,063
-------------
Total Investments (Cost $348,230,482) - 98.30%
(a)............................................... 328,332,343
Cash and other assets, less liabilities - 1.70%.... 5,669,028
-------------
Net Assets - 100.00%............................... $334,001,371
=============
</TABLE>
See accompanying notes to schedule of investments.
131
<PAGE>
BRINSON HIGH YIELD FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
June 30, 1999 (Unaudited)
NOTES TO SCHEDULE OF INVESTMENTS
(a) Aggregate cost for federal income tax purposes was $348,230,482; and net
unrealized depreciation consisted of:
<TABLE>
<S> <C>
Gross unrealized appreciation............ $ 3,899,883
Gross unrealized depreciation............ (23,798,022)
-------------
Net unrealized depreciation.......... $(19,898,139)
=============
</TABLE>
(b) Non-income producing security
(c) Interest rate 0.000% until 03/15/01, then 11.25% to maturity
(d) Interest rate 0.000% until 02/01/04, then 9.25% to maturity
(e) Interest rate 0.000% until 02/01/02, then 12.500% to maturity
(f) Interest rate 0.000% until 04/01/04, then 9.92% to maturity
(g) Interest rate 0.000% until 05/01/04, then 10.125% to maturity
(h) Interest rate 0.000% until 04/15/03, then 9.285% to maturity
(i) Interest rate 0.000% until 08/15/02, then 9.75% to maturity
(j) Interest rate 0.000% until 05/01/01, then 12.50% to maturity
(k) Interest rate 0.000% until 11/15/01, then 14.00% to maturity
(l) Interest rate 0.000% until 07/15/02, then 11.25% to maturity
(m) Interest rate 0.000% until 12/01/03, then 10.50% to maturity
(n) Interest rate 0.000% until 09/15/02, then 10.65% to maturity
(o) Interest rate 0.000% until 10/01/03, then 12.375% to maturity
(p) Interest rate 0.000% until 04/01/03, then 10.00% to maturity
(q) Interest rate 0.000% until 10/15/02, then 9.47% to maturity
(r) Interest rate 0.000% until 04/15/01, then 11.625% to maturity
(s) Interest rate 0.000% until 04/15/04, then 9.25% to maturity
(t) Interest rate 0.000% until 10/01/00, then 11.00% to maturity
(u) Interest rate 0.000% until 03/15/03, then 12.00% to maturity
(v) Interest rate 0.000% until 05/01/03, then 11.00% to maturity
(w) Interest rate 0.000% until 12/15/01, then 12.00% to maturity
(x) Interest rate 0.000% until 12/01/01, then 14.000% to maturity
FRN: Floating rate note, rate disclosed is as of June 30, 1999.
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 June 30,
1999, the value of these securities amounted to $81,507,093 or 24.40% of
net assets.
See accompanying notes to financial statements.
132
<PAGE>
BRINSON HIGH YIELD FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1999 (Unaudited)
<TABLE>
<S> <C>
ASSETS:
Investments, at value:
Unaffiliated issuers (Cost $332,154,419)...................... $312,256,280
Affiliated issuers (Cost $16,076,063)......................... 16,076,063
Receivables:
Interest...................................................... 6,329,378
Investment securities sold.................................... 99,933
Dividends..................................................... 242,696
Due from Advisor.............................................. 43,578
-------------
TOTAL ASSETS................................................ 335,047,928
-------------
LIABILITIES:
Payables:
Investment securities purchased............................... 1,000,000
Due to custodian bank......................................... 2,979
Other liabilities............................................. 43,578
-------------
TOTAL LIABILITIES........................................... 1,046,557
-------------
NET ASSETS:
Applicable to 24,868,541 shares; no par value, unlimited shares
authorized.................................................... $334,001,371
=============
Net asset value, offering price and redemption price per share
price per share ($334,001,371 / 24,868,541 shares)............ $ 13.4307
=============
NET ASSETS CONSIST OF:
Paid in capital................................................ $292,133,344
Accumulated net investment income.............................. 71,373,571
Accumulated net realized loss.................................. (9,607,405)
Net unrealized depreciation.................................... (19,898,139)
-------------
NET ASSETS.................................................. $334,001,371
=============
</TABLE>
See accompanying notes to financial statements.
133
<PAGE>
BRINSON HIGH YIELD FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 1999 (Unaudited)
<TABLE>
<S> <C>
INVESTMENT INCOME:
Interest......................................................... $15,144,666
Dividends........................................................ 339,565
------------
TOTAL INCOME.................................................. 15,484,231
------------
EXPENSES:
Professional..................................................... 14,661
Custodian........................................................ 4,095
Trustees......................................................... 2,353
Other............................................................ 905
------------
TOTAL EXPENSES................................................ 22,014
------------
Expenses deferred by Advisor.................................. (22,014)
------------
NET EXPENSES.................................................. 0
------------
NET INVESTMENT INCOME......................................... 15,484,231
------------
NET REALIZED AND UNREALIZED LOSS:
Net realized loss on:
Investments..................................................... (7,225,684)
Change in net unrealized appreciation or depreciation on:
Investments..................................................... (2,337,673)
------------
Net realized and unrealized loss................................. (9,563,357)
------------
Net increase in net assets resulting from operations............. $ 5,920,874
============
</TABLE>
See accompanying notes to financial statements.
134
<PAGE>
BRINSON HIGH YIELD FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Six Months
Ended
June 30, 1999 Year Ended
(Unaudited) December 31, 1998
------------- -----------------
<S> <C> <C>
OPERATIONS:
Net investment income........................ $ 15,484,231 $ 23,451,286
Net realized loss............................ (7,225,684) (13,955,595)
Change in net unrealized appreciation or
depreciation................................ (2,337,673) (16,983,209)
------------- -------------
Net increase (decrease) in net assets
resulting from operations................... 5,920,874 (7,487,518)
------------- -------------
CAPITAL SHARE TRANSACTIONS:
Shares sold.................................. 42,546,432 177,164,918
Shares redeemed.............................. (22,948,782) (17,715,079)
------------- -------------
Net increase in net assets resulting from
capital share transactions (a).............. 19,597,650 159,449,839
------------- -------------
TOTAL INCREASE IN NET ASSETS.............. 25,518,524 151,962,321
------------- -------------
NET ASSETS:
Beginning of period.......................... 308,482,847 156,520,526
------------- -------------
End of period (including accumulated net
investment income of $71,373,571 and
$55,889,340, respectively).................. $334,001,371 $308,482,847
============= =============
(a) A summary of capital share transactions
follows:
<CAPTION>
Shares Shares
------------- -----------------
<S> <C> <C>
Shares sold.................................. 3,146,551 13,471,230
Shares redeemed.............................. (1,694,801) (1,262,864)
------------- -------------
Net increase in shares outstanding.......... 1,451,750 12,208,366
============= =============
</TABLE>
See accompanying notes to financial statements.
135
<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>
Six Months
Ended June Year Ended December 31, Period Ended
30, 1999 --------------------------------- December 31,
(Unaudited) 1998 1997 1996 1995*
----------- --------- --------- --------- ------------
<S> <C> <C> <C> <C> <C>
Net asset value,
beginning of period.... $13.1736 $13.9645 $12.3175 $10.7361 $10.0000
--------- --------- --------- --------- ---------
Income from investment
operations:
Net investment income.. 0.4833 1.4678** 1.3299** 0.8041 0.5408
Net realized and
unrealized gain
(loss)................ (0.2262) (2.2587) 0.3171 0.7773 0.1953
--------- --------- --------- --------- ---------
Total income (loss)
from investment
operations........... 0.2571 (0.7909) 1.6470 1.5814 0.7361
--------- --------- --------- --------- ---------
Net asset value, end of
period................. $13.4307 $13.1736 $13.9645 $12.3175 $10.7361
========= ========= ========= ========= =========
Total return (non-
annualized)............ 1.95% (5.66)% 13.37% 14.73% 7.36%
Ratios/Supplemental data
Net assets, end of
period
(in 000s)............. $334,001 $308,483 $156,521 $165,050 $107,953
Ratio of expenses to
average net assets:
Before expense
reimbursement........ 0.01%*** 0.02% 0.06% 0.14% 0.33%***
After expense
reimbursement........ 0.00%*** 0.00% 0.00% 0.00% 0.00%***
Ratio of net investment
income to average net
assets:
Before expense
reimbursement........ 9.44%*** 10.75% 10.09% 9.17% 9.33%***
After expense
reimbursement........ 9.45%*** 10.77% 10.15% 9.31% 9.66%***
Portfolio turnover
rate.................. 61% 106% 76% 45% 25%
</TABLE>
* The Fund commenced operations April 28, 1995.
** The net investment income per share data was determined by using average
shares outstanding during the period.
*** Annualized
See accompanying notes to financial statements.
136
<PAGE>
BRINSON EMERGING MARKETS DEBT FUND
- --------------------------------------------------------------------------------
The Emerging Markets Debt Fund attempts to outperform its benchmark, the JP
Morgan Emerging Markets Bond Index Plus (EMBI+), while controlling risk. The
Fund is diversified across a wide range of emerging market fixed income
securities issued by sovereign, agency and corporate borrowers.
Our analysis of emerging market securities focuses on the fundamental economic
and political elements that drive capital market risks and returns. Our
analysis combines disciplined quantitative techniques with qualitative
judgment, in the context of integrated global capital markets. Our process is
guided by risk considerations, and seeks to exploit discrepancies between a
security's fundamental value and its observed market price.
.Sovereign Price Analysis:
We decompose bond cash flow into sovereign and U.S. collateral components,
using similar quantitative techniques to those proven successful in the
mortgage-backed market.
.Sovereign Risk, or Value Analysis:
We employ a rational model of economic and political variables prioritized
with respect to immediate serviceability, medium-term solvency, and long-term
structural strength.
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 produced
a return of 19.55% versus the benchmark return of 15.19%. It has achieved these
results with a risk or volatility level of 22.97% similar to the benchmark
volatility of 22.90%. For the most recent six months, the Fund has outperformed
the benchmark by 307 basis points (13.64% versus 10.57%). Emerging market debt
spreads have declined modestly since the beginning of the year, but remain
under duress at currently high historical levels. While speculators' risk
positions have presumably been reduced, sovereign spreads remain high, and
reflect a cautious outlook on emerging economies' prospects.
Overall we believe that sovereign spreads in the emerging markets adequately
reflect the risks. Even excluding Russia's problematic debt, current market
spreads imply about a 40% conditional probability of default. By looking at
default scenarios and applying reasonable estimates to recovery values, we
think that emerging market debt is attractively priced. While volatility is
expected to continue to be high, the opportunities available to a fundamental
value-oriented investor are significant enough to offset the associated risks.
That being said, risk reduction remains a primary driver of our investment
decisions.
137
<PAGE>
BRINSON EMERGING MARKETS DEBT FUND
- --------------------------------------------------------------------------------
Total Return
<TABLE>
<CAPTION>
6 Months 1 Year 3 Years Annualized
Ended Ended Ended 6/30/95*
6/30/99 6/30/99 6/30/99 to 6/30/99
- ----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Brinson Emerging Markets Debt Fund(1) 13.64% -2.33% 13.46% 18.79%
- ----------------------------------------------------------------------------
Brinson Emerging Markets Debt Fund(2) 13.08 -2.81 13.27 18.79
- ----------------------------------------------------------------------------
JP Morgan EMBI+ 10.57 -4.27 8.90 14.87
- ----------------------------------------------------------------------------
</TABLE>
*Inception date of the Brinson Emerging Markets Debt Fund.
(1)Total return based on NAV--Does not include the payment of a transaction
charge on Fund share purchases.
(2) Standardized total return--Includes the payment of a transaction charge
on Fund share purchases in each period presented where applicable.
Effective March 1, the transaction charge or Fund shares purchased was
changed from 0.50% to 0.75%.
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+
BRINSON EMERGING MARKETS DEBT FUND LOGO
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.
138
<PAGE>
BRINSON EMERGING MARKETS DEBT FUND MARKET ALLOCATION
- --------------------------------------------------------------------------------
As of June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Index Strategy Over/Under Strategy Range
Weight Weight Weight (95% Freq.)
------ -------- ---------- --------------
<S> <C> <C> <C> <C>
Argentina............................. 24.8% 13.9% -10.9% 5-30%
Brazil................................ 22.2 23.5 +1.3 5-30
Bulgaria.............................. 2.5 4.5 +2.0 0-10
China................................. 0.0 0.9 +0.9 0-10
Colombia.............................. 0.8 7.9 +7.1 0-10
Croatia............................... 0.0 5.2 +5.2 0-10
Ecuador............................... 1.9 0.0 -1.9 0-10
Guatemala............................. 0.0 0.0 0.0 0-10
Korea................................. 3.4 0.0 -3.4 0-10
Mexico................................ 18.0 16.5 -1.5 5-30
Morocco............................... 1.4 5.6 +4.2 0-10
Nigeria............................... 1.0 0.0 -1.0 0-10
Panama................................ 2.3 0.0 -2.3 0-10
Peru.................................. 1.7 0.0 -1.7 0-10
Philippines........................... 1.4 0.0 -1.4 0-10
Poland................................ 3.6 0.0 -3.6 0-10
Quatar................................ 0.0 2.5 +2.5 0-10
Russia................................ 8.1 5.2 -2.9 0-10
Tunisia............................... 0.0 1.6 +1.6 0-10
Turkey................................ 0.0 0.7 +0.7 0-10
Venezuela............................. 7.0 6.9 -0.1 0-15
Cash.................................. 0.0 5.2 +5.2 0-30
----- -----
100.0% 100.0%
</TABLE>
Note: Totals may not add due to rounding.
See accompanying notes to financial statements.
139
<PAGE>
BRINSON EMERGING MARKETS DEBT FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Face
Amount Value
--------------- -------------
<S> <C> <C>
Bonds - 90.59%
International Dollar Bonds - 90.59%
Argentina - 13.14%
Argentina - FRN, 5.938%, due 03/31/05........... $ 3,162,000 $ 2,701,929
Argentina - FRN, 12.120%, due 04/10/05.......... 21,050,000 18,734,500
Argentina - Par Series L, 7.330%, due 03/31/23.. 16,250,000 10,379,687
Compania de Alimentos Fargo S.A.,
13.250%, due 08/01/08.......................... 4,000,000 3,100,000
Republic of Argentina, 11.750%, due 04/07/09.... 23,900,000 21,510,000
-------------
56,426,116
-------------
Brazil - 22.38%
Banco Nacional de Desenvolvimento Economico e
Social, 15.224%, due 06/16/08.................. 15,000,000 12,562,500
Brazil - C PIK Bond, 8.000%, due 04/15/14....... 28,089,080 18,293,013
Brazil - DCB L FRN, 5.938%, due 04/15/12........ 23,350,000 14,360,250
Brazil - New Money Bond L FRN,
5.938%, due 04/15/09........................... 3,250,000 2,266,875
Brazil - EI L FRN, 5.875%, due 04/15/06......... 2,850,000 2,244,375
Brazil - DCB L FRN RG, 5.938%, due 04/15/12..... 12,750,000 7,841,250
Brazil - FLIRB L FRN BR, 5.000%, due 04/15/09... 21,300,000 11,821,500
Brazil - FLIRB L FRN RG, 5.000%, due 04/15/09... 6,700,000 3,718,500
Brazil - MYDFA Trust RegS, 5.875%, due
09/15/07....................................... 32,932,296 22,970,277
-------------
96,078,540
-------------
Bulgaria - 4.32%
Bulgaria - FLIRB Series A VRN RG,
2.500%, due 07/28/12........................... 350,000 212,188
Bulgaria - IBA FRN, 5.875%, due 07/28/11........ 9,000,000 6,131,250
Bulgaria - FLIRB Series A VRN BR,
2.500%, due 07/28/12........................... 20,100,000 12,185,625
-------------
18,529,063
-------------
Colombia - 7.55%
Banco de Comercio Exterior de Colombia,
3.850%, due 07/09/01........................... 980,000,000 7,813,120
Republic of Colombia, 7.270%, due 06/15/03...... 21,500,000 18,382,500
Republic of Colombia, 9.750%, due 04/23/09...... 7,600,000 6,232,000
-------------
32,427,620
-------------
Croatia - 4.91%
Croatia - Series A FRN, 5.813%, due 07/31/10.... 26,500,000 21,067,500
-------------
Hong Kong - 0.88%
Silver Grant International Industries
Convertible,
1.000%, due 08/19/04........................... 5,400,000 3,780,000
-------------
</TABLE>
140
<PAGE>
BRINSON EMERGING MARKETS DEBT FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Face
Amount Value
--------------- -------------
<S> <C> <C>
International Dollar Bonds - (continued)
Mexico - 15.89%
Conproca S.A., RegS, 12.000%, due 06/16/10...... $ 14,060,000 $ 13,357,000
Fideicumiso Petacalco Trust RegS,
10.160%, due 12/23/09.......................... 6,200,000 5,580,000
Mexico - Par Series W-B, 6.250%, due 12/31/19... 15,200,000 11,286,000
Mexico - United Mexican States, Warrants........ 18,250 1,140,625
Monterray Power S.A., 9.625%, due 11/15/09...... 11,300,000 9,605,000
Petro Mexicanos, RegS, 9.657%, due 07/15/05..... 29,214,000 27,242,055
-------------
68,210,680
-------------
Morocco - 5.36%
Morocco - Loan Tranche A FRN, 5.906%, due
01/01/09....................................... 28,571,429 23,000,000
-------------
Russia - 5.04%
Russia, RegS, 12.750%, due 06/24/28............. 38,350,000 21,619,812
-------------
Tunisia - 1.49%
Banque Centrale de Tunisie, 8.250%, due
09/19/27....................................... 7,700,000 6,391,000
-------------
Turkey - 0.60%
Cellco Finance NV, 15.000%, due 08/01/05........ 2,500,000 2,575,000
-------------
United Kingdom - 2.40%
State of Qatar Series 144A, 9.500%, due
05/21/09....................................... 10,000,000 10,290,000
-------------
Venezuela - 6.63%
Venezuela - 9.250%, due 09/15/27................ 6,000,000 4,020,000
Venezuela - DCB Series DL, FRN,
6.313%, due 12/18/07........................... 24,892,740 19,245,200
Venezuela - Discont Bond, Series W-A FRN,
5.875%, due 03/31/20........................... 5,000,000 3,250,000
Venezuela - FLIRB Series B FRN,
6.000%, due 03/31/07........................... 3 2
Venezuela Discount Bond, Series B FRN,
6.000%, due 03/31/20........................... 3,000,000 1,950,000
-------------
28,465,202
-------------
Total Bonds (Cost $372,372,159)................. 388,860,533
-------------
<CAPTION>
Shares
---------------
<S> <C> <C>
Short-Term Investments - 7.43%
Investment Companies - 6.75%
Brinson Supplementary Trust U.S. Cash Management
Prime Fund..................................... 28,951,002 28,951,001
-------------
</TABLE>
141
<PAGE>
BRINSON EMERGING MARKETS DEBT FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Face
Amount Value
----------- -------------
<S> <C> <C>
Treasury Obligations - 0.68%
U.S. Treasury Bill, 0.000%, due 08/05/99............. $2,940,000 $ 2,927,423
-------------
Total Short Term Investments (Cost $31,878,282)...... 31,878,424
-------------
Total Investments (Cost $404,250,441) - 98.02% (a)... 420,738,957
Cash and other assets, less liabilities - 1.98%...... 8,513,772
-------------
Net Assets - 100%.................................... $429,252,729
=============
</TABLE>
NOTES TO SCHEDULE OF INVESTMENTS
(a) Aggregate cost for federal income tax purposes was $404,250,441; and net
unrealized appreciation consisted of:
<TABLE>
<S> <C>
Gross unrealized appreciation............ $32,369,734
Gross unrealized depreciation............ (15,881,218)
------------
Net unrealized appreciation.......... $16,488,516
============
</TABLE>
(b) No stated interest rate
BR: Bearer
RG: Registered
FLIRB: Front loaded interest reduction bond
FRN: Floating rate note--The rate disclosed is that in effect at June 30, 1999
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 June 30,
1999, the value of these securities amounted to $10,290,000 or 2.40% of
net assets.
FUTURES CONTRACTS
The Brinson Emerging Markets Debt Fund had the following open futures contracts
as of June 30, 1999:
<TABLE>
<CAPTION>
Settlement Cost/ Current Unrealized
Date Proceeds Value Gain/(Loss)
-------------- ----------- ----------- ------------
<S> <C> <C> <C> <C>
U.S. Interest Rate
Futures Buy Contracts
10 Year U.S. Treasury
Notes, 135 contracts.... September 1999 15,172,844 15,010,313 $ 162,532
30 Year U.S. Treasury
Bonds, 1,115 contracts.. September 1999 131,769,446 129,235,469 (2,533,977)
------------
$(2,371,445)
============
</TABLE>
The aggregate market value of investments pledged to cover margin requirements
for the open futures positions at June 30, 1999 was $2,927,423.
See accompanying notes to financial statements.
142
<PAGE>
FORWARD FOREIGN CURRENCY CONTRACTS
The Brinson Emerging Markets Debt Fund had the following open forward currency
contracts as of June 30, 1999:
<TABLE>
<CAPTION>
Settlement Local Current Unrealized
Date Currency Value Gain
---------- ----------- ---------- ----------
<S> <C> <C> <C> <C>
Forward Foreign Currency Sale
Contracts:
Japanese Yen.................... 09/03/1999 970,000,000 $8,092,831 $37,046
========
</TABLE>
See accompanying notes to financial statements.
143
<PAGE>
BRINSON EMERGING MARKETS DEBT FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1999 (Unaudited)
<TABLE>
<S> <C>
ASSETS:
Investments, at value:
Unaffiliated issuers (Cost $375,299,440)...................... $391,787,956
Affiliated issuers (Cost $28,951,001)......................... 28,951,001
Cash........................................................... 2,000
Receivables:
Interest...................................................... 7,694,292
Variation margin.............................................. 853,281
Other Assets................................................... 37,046
-------------
TOTAL ASSETS................................................ 429,325,576
-------------
LIABILITIES:
Payables:
Other liabilities............................................. 72,847
-------------
TOTAL LIABILITIES........................................... 72,847
-------------
NET ASSETS:
Applicable to 21,547,772 shares; no par value, unlimited shares
authorized.................................................... $429,252,729
=============
Net asset value and redemption price per share
($429,252,729 / 21,547,772 shares)............................ $ 19.9210
=============
Maximum offering price per share (net assets value, plus 0.50%
of net asset value or 0.50% of offering price)................ $ 20.0210
=============
NET ASSETS CONSIST OF:
Paid in capital................................................ $306,353,030
Accumulated net investment income.............................. 134,977,070
Accumulated net realized loss.................................. (26,230,517)
Net unrealized appreciation.................................... 14,153,146
-------------
NET ASSETS.................................................. $429,252,729
=============
</TABLE>
See accompanying notes to financial statements.
144
<PAGE>
BRINSON EMERGING MARKETS DEBT FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 1999 (Unaudited)
<TABLE>
<S> <C>
INVESTMENT INCOME:
Interest....................................................... $ 31,439,192
-------------
TOTAL INCOME................................................ 31,439,192
-------------
EXPENSES:
Administration................................................. 155,986
Professional................................................... 45,284
Custodian...................................................... 39,516
Other.......................................................... 3,982
-------------
TOTAL EXPENSES.............................................. 244,768
-------------
NET INVESTMENT INCOME....................................... 31,194,424
-------------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments................................................... (24,553,672)
Futures contracts............................................. (5,974,980)
Foreign currency transactions................................. 177,985
-------------
Net realized loss........................................... (30,350,667)
-------------
Change in net unrealized appreciation or depreciation on:
Investments and foreign currency.............................. 57,594,225
Futures contracts............................................. (2,604,092)
Forward contracts............................................. 37,046
Translation of other assets and liabilities denominated in
foreign currency............................................. (971)
-------------
Change in net unrealized appreciation or depreciation....... 55,026,208
-------------
Net realized and unrealized gain............................... 24,675,541
-------------
Net increase in net assets resulting from operations........... $ 55,869,965
=============
</TABLE>
See accompanying notes to financial statements.
145
<PAGE>
BRINSON EMERGING MARKETS DEBT FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Six Months
Ended Year Ended
June 30, 1999 December 31,
(Unaudited) 1998
------------- --------------
<S> <C> <C>
OPERATIONS:
Net investment income........................... $ 31,194,424 $ 53,699,994
Net realized loss............................... (30,350,667) (51,952,975)
Change in net unrealized appreciation or
depreciation................................... 55,026,208 (58,144,577)
------------- --------------
Net increase (decrease) in net assets resulting
from operations................................ 55,869,965 (56,397,558)
------------- --------------
CAPITAL SHARE TRANSACTIONS:
Shares sold..................................... 20,325,032 180,024,224
Shares redeemed................................. (45,179,912) (153,474,069)
------------- --------------
Net increase (decrease) in net assets resulting
from capital share transactions (a)............ (24,854,880) 26,550,155
------------- --------------
TOTAL INCREASE (DECREASE) IN NET ASSETS...... 31,015,085 (29,847,403)
------------- --------------
NET ASSETS:
Beginning of period............................. 398,237,644 428,085,047
------------- --------------
End of period (including accumulated net
investment income of $134,977,070 and
$103,782,646, respectively).................... $429,252,729 $ 398,237,644
============= ==============
(a) A summary of capital share transactions
follows:
<CAPTION>
Shares Shares
------------- --------------
<S> <C> <C>
Shares sold..................................... 1,152,236 10,283,200
Shares redeemed................................. (2,322,714) (8,728,204)
------------- --------------
Net increase (decrease) in shares outstanding.. (1,170,478) 1,554,996
============= ==============
</TABLE>
See accompanying notes to financial statements.
146
<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>
Six Months
Ended June Years Ended December 31, Period Ended
30, 1999 -------------------------------- December 31,
(Unaudited) 1998 1997 1996 1995*
----------- --------- --------- --------- ------------
<S> <C> <C> <C> <C> <C>
Net asset value,
beginning of period... $17.5294 $20.2278 $16.8816 $11.6401 $10.0000
--------- --------- --------- --------- ---------
Income (loss) from
investment operations:
Net investment
income............... 1.6958 2.2017 1.7757** 1.3882 0.4485
Net realized and
unrealized gain
(loss)............... 0.6958 (4.9001) 1.5705 3.8533 1.1916
--------- --------- --------- --------- ---------
Total income (loss)
from investment
operations.......... 2.3916 (2.6984) 3.3462 5.2415 1.6401
--------- --------- --------- --------- ---------
Net asset value, end of
period................ $19.9210 $17.5294 $20.2278 $16.8816 $11.6401
========= ========= ========= ========= =========
Total return (non-
annualized)........... 13.64% (13.34)% 19.82% 45.03% 16.40%
Ratios/Supplemental
data
Net assets, end of
period
(in 000s)............ $429,253 $398,238 $428,085 $222,571 $119,654
Ratio of expenses to
average net assets... 0.12%*** 0.12% 0.13% 0.18% 0.50%***
Ratio of net
investment income to
average net assets... 14.97%*** 12.21% 9.83% 11.89% 12.95%***
Portfolio turnover
rate................. 33% 122% 120% 71% 29%
</TABLE>
* The Fund commenced operations June 30, 1995.
** The net investment income per share was determined by using average shares
outstanding during the period.
*** Annualized
See accompanying notes to financial statements.
147
<PAGE>
BRINSON RELATIONSHIP FUNDS - NOTES TO FINANCIAL STATEMENTS (Unaudited)
- --------------------------------------------------------------------------------
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 twelve series representing
separate portfolios of investments, each of which is non-diversified. The
twelve series are: Brinson Global Securities Fund, Brinson U.S. Equity Fund,
Brinson U.S. Large Capitalization Equity Fund, Brinson U.S. Large
Capitalization Value Equity Fund, Brinson Post-Venture Fund, Brinson Global
(ex-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 Short-Term Fund, Brinson High Yield Fund and Brinson Emerging Markets
Debt Fund (each a "Fund," and collectively the "Funds"). The following is a
summary of significant accounting policies followed by the Funds in the
preparation of their financial statements.
A. Investment Valuation: Securities for which market quotations are readily
available are valued at the last available sales price on the exchange or
market on which they are principally traded, or lacking any sales, at the last
available bid price on the exchange or market on which such securities are
principally traded. U.S. equity securities traded over-the-counter are valued
at the most recent bid price. Equity securities traded in certain emerging
market countries may be subject to a foreign premium and are valued
accordingly. Investments in affiliated investment companies are valued each day
based on the closing net asset value of the respective fund. Debt securities
are valued at the most recent bid price by using market quotations or
independent services. Securities for which market quotations are not readily
available, including restricted securities which are subject to limitations on
their sale, are valued at fair value as determined in good faith by or under
the direction of the Trust's Board of Trustees.
Futures contracts are valued at the settlement price established each day on
the exchange on which they are traded. Forward foreign currency contracts are
valued daily using the 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.
148
<PAGE>
BRINSON RELATIONSHIP FUNDS - NOTES TO FINANCIAL STATEMENTS (Unaudited)
- --------------------------------------------------------------------------------
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 Equity Fund............................. 0.01
Brinson U.S. Large Capitalization Value Equity Fund....................... 0.01
Brinson Global (Ex-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 Short-Term Fund................................................... 0.05
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........................................... $7,964
Brinson U.S. Equity Fund................................................. 2,353
Brinson U.S. Large Capitalization Equity Fund............................ 0
Brinson U.S. Large Capitalization Value Equity Fund...................... 3,060
Brinson Post-Venture Fund................................................ 3,077
Brinson Global (Ex-U.S.) Equity Fund..................................... 2,896
Brinson Emerging Markets Equity Fund..................................... 3,077
Brinson U.S. Short/Intermediate Fixed Income Fund........................ 800
Brinson U.S. Cash Management Prime Fund.................................. 3,711
Brinson Short-Term Fund.................................................. 910
Brinson High Yield Fund.................................................. 2,353
Brinson Emerging Markets Debt Fund....................................... 2,715
</TABLE>
149
<PAGE>
BRINSON RELATIONSHIP FUNDS - NOTES TO FINANCIAL STATEMENTS (Unaudited)
- --------------------------------------------------------------------------------
The Brinson Global Securities Fund invests in shares of certain affiliated
investment companies also sponsored by Brinson Partners, Inc. These investments
represented 17.72% of the Fund's total net assets at June 30, 1999. Amounts
relating to those investments at June 30, 1999 and for the six months 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................... $ -- $ -- $ -- $ 534,553 $ 29,322,098
Brinson High Yield
Fund................... -- -- 886,072 46,269,702
Brinson Emerging Markets
Equity Fund............ -- -- -- 15,573,211 61,218,427
Brinson Emerging Markets
Debt Fund.............. -- 5,000,000 974,995 10,346,058 88,342,984
Brinson Supplementary
Trust U.S. Cash
Management Prime Fund.. 424,625,920 401,710,466 -- -- 63,240,119
------------- ------------- --------- ------------ -------------
$424,625,920 $406,710,466 $974,995 $27,339,894 $288,393,330
============= ============= ========= ============ =============
</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 June 30,
1999 and for the six months 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................... $ 33,900,214 $ 25,780,587 $ 233,308 $ 11,489,699 5.42%
Brinson U.S. Large
Capitalization Equity
Fund................... 13,742,025 12,997,782 7,858 744,243 5.74
Brinson U.S. Large
Capitalization Value
Equity Fund............ 12,959,536 10,628,941 73,244 3,494,998 2.82
Brinson Post-Venture
Fund................... 94,358,286 69,773,178 773,829 50,962,884 8.25
Brinson Global (Ex-U.S.)
Equity Fund............ 24,903,388 24,533,410 74,006 1,331,945 1.53
Brinson Emerging Markets
Equity Fund............ 183,010,167 181,033,250 557,395 12,240,250 2.73
Brinson U.S.
Short/Intermediate
Fixed Income Fund...... 9,305,733 8,144,900 36,350 1,614,029 6.00
Brinson U.S. Cash
Management Prime Fund.. 639,422,210 484,697,309 11,070,394 453,768,060 100.00
Brinson Short-Term
Fund................... 3,076,621 3,076,621 445 -- --
Brinson High Yield
Fund................... 127,038,741 118,722,402 345,569 16,076,063 4.81
Brinson Emerging Markets
Debt Fund.............. 153,648,206 132,177,566 263,602 28,951,001 6.75
</TABLE>
150
<PAGE>
BRINSON RELATIONSHIP FUNDS - NOTES TO FINANCIAL STATEMENTS (Unaudited)
- --------------------------------------------------------------------------------
3. INVESTMENT TRANSACTIONS
Investment transactions for the six months ended June 30, 1999, excluding
short-term investments, were as follows:
<TABLE>
<CAPTION>
Purchases Proceeds from Sales
------------ -------------------
<S> <C> <C>
Brinson Global Securities Fund............... $778,766,850 $875,698,811
Brinson U.S. Equity Fund..................... 49,082,770 42,649,567
Brinson U.S. Large Capitalization Equity
Fund........................................ 12,868,047 651,610
Brinson U.S. Large Capitalization Value Eq-
uity Fund................................... 45,651,168 50,165,079
Brinson Post-Venture Fund.................... 276,448,305 111,128,794
Brinson Global (Ex-U.S.) Equity Fund......... 34,524,153 25,318,879
Brinson Emerging Markets Equity Fund......... 202,598,807 257,360,755
Brinson U.S. Short/Intermediate Fixed Income
Fund........................................ 21,265,646 17,534,448
Brinson High Yield Fund...................... 214,598,758 190,315,099
Brinson Emerging Markets Debt Fund........... 128,837,501 160,347,333
</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 June 30, 1999, 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.
5. FORWARD FOREIGN CURRENCY CONTRACTS
The Brinson Global Securities Fund and the Brinson Global (Ex-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
151
<PAGE>
BRINSON RELATIONSHIP FUNDS - NOTES TO FINANCIAL STATEMENTS (Unaudited)
- --------------------------------------------------------------------------------
foreign currency contracts during the six months ended June 30, 1999 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 global (ex-U.S.) securities loaned. The cash collateral
received is invested in short-term securities. The value of loaned securities
and related collateral outstanding at June 30, 1999, are as follows:
<TABLE>
<CAPTION>
Cash
Value of Loaned Collateral-
Securities Received
--------------- -------------
<S> <C> <C>
Brinson Global Securities Fund................... $315,149,775 $330,697,455
============= =============
</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. Effective
March 1, 1999, the Brinson Emerging Markets Debt Fund's transaction charge was
changed to .075%. Therefore, the shares of each of these Funds are sold at a
price which is equal to the net asset value of such shares, plus a transaction
charge. The transaction charge is retained by the Funds and is intended to
defray transaction costs associated with the purchase and sale of securities
within the Funds. 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
$360,168 and $3,745,133 and $101,625 and $900,123, respectively, for the six
months ended June 30, 1999 and 1998, 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.
152
