<PAGE>
--------------------------------------------------------------------------------
BRINSON RELATIONSHIP FUNDS
BRINSON GLOBAL SECURITIES FUND
BRINSON U.S. EQUITY FUND
BRINSON U.S. LARGE CAPITALIZATION EQUITY FUND
BRINSON U.S. VALUE EQUITY FUND
BRINSON U.S. SMALL CAPITALIZATION EQUITY FUND
BRINSON GLOBAL (Ex-U.S.) EQUITY FUND
BRINSON EMERGING MARKETS EQUITY FUND
BRINSON U.S. CASH MANAGEMENT PRIME FUND
BRINSON SHORT-TERM FUND
BRINSON U.S. BOND FUND
BRINSON HIGH YIELD FUND
BRINSON EMERGING MARKETS DEBT FUND
SEMI-ANNUAL REPORT
JUNE 30, 2000
[GRAPHIC]
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.................................... 14
Statement of Operations................................................ 15
Statement of Cash Flows................................................ 16
Statements of Changes in Net Assets.................................... 17
Financial Highlights................................................... 18
Brinson U.S. Equity Fund.................................................. 19
Schedule of Investments................................................ 22
Statement of Assets and Liabilities.................................... 24
Statement of Operations................................................ 25
Statements of Changes in Net Assets.................................... 26
Financial Highlights................................................... 27
Brinson U.S. Large Capitalization Equity Fund............................. 28
Schedule of Investments................................................ 31
Statement of Assets and Liabilities.................................... 33
Statement of Operations................................................ 34
Statements of Changes in Net Assets.................................... 35
Financial Highlights................................................... 36
Brinson U.S. Value Equity Fund............................................ 37
Schedule of Investments................................................ 40
Statement of Assets and Liabilities.................................... 42
Statement of Operations................................................ 43
Statements of Changes in Net Assets.................................... 44
Financial Highlights................................................... 45
Brinson U.S. Small Capitalization Equity Fund............................. 46
Schedule of Investments................................................ 49
Statement of Assets and Liabilities.................................... 52
Statement of Operations................................................ 53
Statements of Changes in Net Assets.................................... 54
Financial Highlights................................................... 55
Brinson Global (Ex-U.S.) Equity Fund...................................... 56
Schedule of Investments................................................ 59
Statement of Assets and Liabilities.................................... 63
Statement of Operations................................................ 64
Statements of Changes in Net Assets.................................... 65
Financial Highlights................................................... 66
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Page
<S> <C>
Brinson Emerging Markets Equity Fund...................................... 67
Schedule of Investments................................................ 71
Statement of Assets and Liabilities.................................... 78
Statement of Operations................................................ 79
Statements of Changes in Net Assets.................................... 80
Financial Highlights................................................... 81
Brinson U.S. Cash Management Prime Fund................................... 82
Schedule of Investments................................................ 83
Statement of Assets and Liabilities.................................... 84
Statement of Operations................................................ 85
Statements of Changes in Net Assets.................................... 86
Financial Highlights................................................... 87
Brinson Short-Term Fund................................................... 88
Schedule of Investments................................................ 90
Statement of Assets and Liabilities.................................... 91
Statement of Operations................................................ 92
Statements of Changes in Net Assets.................................... 93
Financial Highlights................................................... 94
Brinson U.S. Bond Fund.................................................... 95
Schedule of Investments................................................ 96
Statement of Assets and Liabilities.................................... 98
Statement of Operations................................................ 99
Statement of Changes in Net Assets..................................... 100
Financial Highlights................................................... 101
Brinson High Yield Fund................................................... 102
Schedule of Investments................................................ 105
Statement of Assets and Liabilities.................................... 110
Statement of Operations................................................ 111
Statements of Changes in Net Assets.................................... 112
Financial Highlights................................................... 113
Brinson Emerging Markets Debt Fund........................................ 114
Schedule of Investments................................................ 117
Statement of Assets and Liabilities.................................... 120
Statement of Operations................................................ 121
Statements of Changes in Net Assets.................................... 122
Financial Highlights................................................... 123
Brinson Relationship Funds--Notes to Financial Statements................. 124
</TABLE>
<PAGE>
BRINSON GLOBAL SECURITIES FUND
--------------------------------------------------------------------------------
Since its performance inception of April 30, 1995, the Brinson Global
Securities Fund has provided an annualized return of 10.89% versus the 14.33%
return of its index, the GSMI Relationship Fund Index (Unhedged). The
annualized volatility of the Fund over this period was 7.56%, less than the
9.89% volatility of the benchmark. The Fund's return of 1.44% for the first six
months of 2000 is 185 basis points higher than the benchmark return of -0.41%.
Most of this performance advantage came in the second quarter of the year when
the Fund returned 2.50%, greatly outperforming the -2.56% return of the
benchmark.
Market turbulence that began early this year, particularly in equities,
continued into the second quarter. Aggregate equity indices generally fell by
moderate amounts. In recent quarters, industry selection has been critical. In
the latest quarter, there were significant setbacks in technology, media and
telecommunications stocks, with so-called "old economy" stocks generally
outperforming. The Fund's focus on these "old economy" stocks greatly
contributed to the Fund's performance advantage in the quarter and for the
year-to-date period.
In the current market environment, our analyses show that bond valuations are
more attractive than equities. The risk premium on equities versus government
inflation-linked bonds is only about 1%. This clearly does not compensate
investors for the added risk of holding large equity positions. Our strategies
therefore include a general overweight to bonds offset by underweights to
equities. Notably this quarter, widening credit spreads prompted us to increase
holdings in U.S. high-yield bonds, which was offset by reducing our large
overweight position in U.S. Treasury Inflation Protected Securities (TIPS). We
reduced our Japanese equity overweight and redistributed the proceeds to U.S.
and U.K. equities. This move came after earlier outperformance that allowed us
to take profits on some highly valued Japanese technology shares. In U.S. and
U.K. equity markets, we see opportunities in the "old economy" sectors where
some undervalued companies are making progress in leveraging their skills,
assets and competitive positions to take advantage of technology and the
internet.
1
<PAGE>
BRINSON GLOBAL SECURITIES FUND
--------------------------------------------------------------------------------
Total Return
<TABLE>
<CAPTION>
6 Months 1 Year 3 Years 5 Years Annualized
Ended Ended Ended Ended 4/30/95*
6/30/00 6/30/00 6/30/00 6/30/00 to 6/30/00
-------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Brinson Global Securities Fund 1.44% 0.71% 15.87% 10.31% 10.89%
-------------------------------------------------------------------------------
GSMI Relationship Fund Index** -0.41 9.96 11.85 13.93 14.33
-------------------------------------------------------------------------------
MSCI World Equity (Free) Index -2.49 12.39 15.13 17.35 16.94
-------------------------------------------------------------------------------
Salomon Smith Barney World Govt.
Bond Index 0.03 3.16 3.87 3.16 3.73
-------------------------------------------------------------------------------
</TABLE>
* Performance inception date of the Brinson Global Securities Fund.
** An unmanaged 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 Salomon Smith Barney World Government Bond
Index
[GRAPH]
Brinson GSMI MSCI Salomon Smith
Global Relationship World Equity Barney World
Securities Fund (Free) Government
Fund Index Index Bond Index
4/30/95 100,000 100,000 100,000 100,000
6/30/95 104,439 104,072 100,869 103,427
6/30/96 123,345 120,956 119,957 103,807
6/30/97 147,309 142,726 147,116 107,840
6/30/98 160,484 162,367 172,389 112,494
6/30/99 169,486 181,645 199,743 117,140
6/30/00 170,604 199,739 224,483 120,843
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
--------------------------------------------------------------------------------
ASSET ALLOCATION
As of June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
Current
Benchmark Strategy
--------------------------------------------------------------------------------
<S> <C> <C>
U.S. Equities................................................ 40.0% 22.5%
Global (Ex-U.S.) Equities.................................... 22.0 14.5
Emerging Markets Equities.................................... 3.0 3.0
Dollar Bonds................................................. 21.0 40.0
High Yield Bonds............................................. 3.0 5.5
Global (Ex-U.S.) Bonds....................................... 9.0 11.0
Emerging Markets Debt........................................ 2.0 3.5
Cash Equivalents............................................. 0.0 0.0
--------------------------------------------------------------------------------
100.0% 100.0%
</TABLE>
TOP TEN EQUITY HOLDINGS
As of June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
Percent of
Net Assets
--------------------------------------------------------------------------------
<S> <C>
1. Advanced Micro Devices, Inc. .................................... 1.51%
2. FedEx Corp. ..................................................... 1.14
3. Burlington Northern Santa Fe Corp. .............................. 1.08
4. Allergan, Inc. .................................................. 1.06
5. Electronic Data Systems Corp. ................................... 0.90
6. Gateway, Inc. ................................................... 0.76
7. Alza Corp. ...................................................... 0.74
8. CIGNA Corp. ..................................................... 0.74
9. St. Jude Medical, Inc. .......................................... 0.74
10. Baxter International, Inc. ...................................... 0.73
--------------------------------------------------------------------------------
</TABLE>
CURRENCY ALLOCATION
As of June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
Current
Benchmark Strategy
--------------------------------------------------------------------------------
<S> <C> <C>
U.S. ........................................................ 66.0% 62.4%
Canada....................................................... 1.3 1.3
Euro......................................................... 12.0 23.0
Other Europe................................................. 2.5 2.5
U.K. ........................................................ 5.0 0.0
Japan........................................................ 9.0 1.0
Asia (Ex-Japan).............................................. 0.6 0.2
Australia/New Zealand........................................ 0.6 6.6
Emerging Markets............................................. 3.0 3.0
--------------------------------------------------------------------------------
100.0% 100.0%
</TABLE>
TOP TEN FIXED INCOME HOLDINGS
As of June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
Percent of
Net Assets
--------------------------------------------------------------------------------
<S> <C>
1. U.S. Treasury Inflation Indexed Note,
3.625%, due 04/15/28............................................... 8.93%
2. U.S. Treasury Inflation Indexed Note,
3.875%, due 04/15/29............................................... 4.26
3. Petro Geo Services, FRN,
7.43%, due 03/20/02................................................ 1.81
4. Tosco Corp., FRN, 7.43%, due 11/16/01............................ 1.65
5. Bank of America, FRN, 6.98%, due 09/06/01........................ 1.10
6. Entron Corp., FRN, 6.58%, due 09/10/01........................... 1.10
7. Government of Japan, 4.600%, due 03/21/05........................ 0.71
8. Government of Japan, 3.000%, due 09/20/05........................ 0.69
9. Government of France (OAT),
8.500%, due 12/26/12............................................... 0.64
10. Treuhandanstalt, 6.250%, due 03/04/04............................ 0.63
--------------------------------------------------------------------------------
</TABLE>
3
<PAGE>
BRINSON GLOBAL SECURITIES FUND
--------------------------------------------------------------------------------
INDUSTRY DIVERSIFICATION
As a Percentage of Net Assets
As of June 30, 2000 (Unaudited)
<TABLE>
<S> <C>
U.S. EQUITIES
Energy.................................................................. 1.16%
Capital Investment
Capital Goods.......................................................... 1.57
Electronic Components.................................................. 2.72
Technology............................................................. 0.69
-----
4.98
Basic Industries
Chemicals.............................................................. 1.16
Housing/Paper.......................................................... 2.40
Metals................................................................. 0.61
-----
4.17
Computers
Software............................................................... 0.89
Systems................................................................ 1.60
-----
2.49
Consumer
Autos/Durables......................................................... 0.80
Health & Drugs......................................................... 2.16
Health & Non-Drugs..................................................... 3.14
Non-Durables........................................................... 0.85
Retail/Apparel......................................................... 2.48
-----
9.43
Financial
Banks.................................................................. 2.03
Non-Banks.............................................................. 2.58
-----
4.61
Telecommunications...................................................... 1.93
Transportation.......................................................... 2.52
Services/Misc........................................................... 2.84
U.S. Small Capitalization Equity........................................ 2.87
Utilities............................................................... 1.11
-----
Total U.S. Equities.................................................... 38.11*
-----
GLOBAL (Ex.-U.S.) EQUITIES
Aerospace and Military................................................. 0.04
Airlines............................................................... 0.10
Appliances & Household................................................. 0.41
Autos/Durables......................................................... 0.38
Banking................................................................ 1.61
Beverages & Tobacco.................................................... 0.47
Broadcasting & Publishing.............................................. 0.69
Building Materials..................................................... 0.11
Business & Public Service.............................................. 0.23
Chemicals.............................................................. 0.47
Computer Software...................................................... 0.10
Consumer............................................................... 0.04
Data Processing........................................................ 0.43
Electric Components.................................................... 0.46
Electronics............................................................ 0.29
Energy................................................................. 0.72
Financial Services..................................................... 0.61
Food & House Products.................................................. 0.55
Forest Products........................................................ 0.07
Health & Drugs......................................................... 0.94
Health & Non-Drugs..................................................... 0.22
Industrial Components.................................................. 0.13
Insurance.............................................................. 0.80
Leisure & Tourism...................................................... 0.08
Machinery & Engineering................................................ 0.41
Merchandising.......................................................... 0.16
</TABLE>
<TABLE>
<S> <C>
Metals-Steel.......................................................... 0.07%
Metals-NonFerrous..................................................... 0.14
Multi-Industry........................................................ 0.01
Non-Durables.......................................................... 0.01
Real Estate........................................................... 0.19
Recreation............................................................ 0.14
Technology............................................................ 0.18
Telecommunications.................................................... 1.65
Transportation........................................................ 0.40
Utilities............................................................. 0.76
Wholesale & International Trade....................................... 0.03
------
Total Global (Ex-U.S.) Equities....................................... 14.10
------
EMERGING MARKETS EQUITIES.............................................. 3.96
TOTAL EQUITIES......................................................... 56.17
------
U.S. BONDS
U.S. Corporate Bonds
Banks................................................................. 1.54
Construction.......................................................... 0.03
Consumer.............................................................. 0.23
Energy................................................................ 4.74
Financial............................................................. 0.28
Publishing............................................................ 0.13
Services/Miscellaneous................................................ 0.22
Technology............................................................ 0.03
Telecommunications.................................................... 0.21
Utilities............................................................. 0.21
------
Total U.S. Corporate Bonds............................................ 7.62
International Dollar Bonds
Foreign Banks......................................................... 0.42
Foreign Energy........................................................ 0.25
Foreign Financial..................................................... 0.27
Foreign Government.................................................... 0.05
Foreign Telecommunications............................................ 0.04
Foreign Utilities..................................................... 0.09
------
Total International Dollar Bonds...................................... 1.12
Asset-Backed........................................................... 0.68
Corporate Mortgage-Backed Securities................................... 1.96
U.S. Government Agencies............................................... 0.96
U.S. Government Mortgage-Backed Securities............................. 1.48
U.S. Government Obligations............................................ 14.04
------
Total U.S. Bonds...................................................... 27.86*
HIGH-YIELD BONDS....................................................... 5.74
GLOBAL (Ex-U.S.) BONDS
Foreign Financial Bonds............................................... 1.06
Foreign Government Bonds.............................................. 9.40
------
Total Global (Ex-U.S.) Bonds.......................................... 10.46
EMERGING MARKETS BONDS................................................. 4.33
SHORT-TERM INVESTMENTS................................................. 26.80*
------
TOTAL INVESTMENTS..................................................... 131.36
LIABILITIES, LESS CASH AND OTHER ASSETS................................ (31.36)
------
NET ASSETS............................................................. 100.00%
======
</TABLE>
* The Fund held a short position in stock index futures which reduced the U.S.
Equity exposure from 38.11% to 21.86%. The Fund also held a long position in
U.S. Treasury futures which increased the U.S. Bond exposures from 27.86% to
44.15%. These adjustments resulted in a net decrease to the Fund's exposure
to Short-Term Investments from 26.80% to 26.75%.
4
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
--------------------------------------------------------------------------------
June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
--------- -----------
<S> <C> <C>
Equities - 56.17%
U.S. Equities - 38.11%
Advanced Micro Devices, Inc. (b)......................... 177,800 $13,735,050
Allergan, Inc. .......................................... 130,100 9,692,450
Alza Corp. (b)........................................... 113,400 6,704,775
American Electric Power Co., Inc. ....................... 140,100 4,150,462
American General Corp.................................... 47,700 2,909,700
American Standard Companies, Inc. (b).................... 88,400 3,624,400
AmSouth Bancorp. ........................................ 103,256 1,626,282
Aon Corp. ............................................... 145,050 4,505,616
Associates First Capital Corp., Class A.................. 197,600 4,408,950
Baxter International, Inc. .............................. 94,200 6,623,437
Brinson U.S. Small Capitalization Equity (b)............. 1,274,705 26,123,796
Burlington Northern Santa Fe Corp. ...................... 430,100 9,865,419
Carnival Corp., Class A.................................. 81,600 1,591,200
CIGNA Corp............................................... 71,700 6,703,950
Circuit City Stores-Circuit City Group................... 55,700 1,848,544
CMS Energy Corp. ........................................ 79,300 1,754,513
CommScope, Inc. (b)...................................... 11,800 483,800
Compaq Computer Corp. ................................... 202,200 5,168,737
Computer Sciences Corp. (b).............................. 9,700 724,469
Compuware Corp. (b)...................................... 379,100 3,933,162
CVS Corp. ............................................... 43,600 1,744,000
Dell Computer Corp. (b).................................. 50,700 2,500,144
E.I. du Pont de Nemours and Co. ......................... 15,000 656,250
Eastman Chemical Co. .................................... 47,400 2,263,350
Electronic Data Systems Corp. ........................... 198,400 8,184,000
Emerson Electric Co. .................................... 107,200 6,472,200
Entergy Corp. ........................................... 116,800 3,175,500
Exxon Mobile Corp. ...................................... 53,200 4,176,200
Federated Department Stores, Inc. (b).................... 64,200 2,166,750
FedEx Corp. (b).......................................... 272,800 10,366,400
First Data Corp.......................................... 115,270 5,720,274
Fleet Boston Financial Corp. ............................ 136,664 4,646,576
Fort James Corp.......................................... 148,900 3,443,312
Gateway, Inc. (b)........................................ 121,500 6,895,125
GATX Corp. .............................................. 34,400 1,169,600
Genzyme Corp. (b)........................................ 56,800 3,376,050
GreenPoint Financial Corp. .............................. 165,100 3,095,625
Houshold International, Inc. ............................ 89,300 3,711,531
Illinois Tool Works, Inc. ............................... 112,700 6,423,900
IMC Global, Inc. ........................................ 183,200 2,381,600
Johnson & Johnson Co. ................................... 60,800 6,194,000
Johnson Controls, Inc. .................................. 55,400 2,842,712
Kimberley-Clark Corp. ................................... 71,400 4,096,575
Kroger Co. (b)........................................... 230,300 5,080,994
Lafarge Corp............................................. 68,700 1,442,700
Lear Corp. (b)........................................... 123,400 2,468,000
Lexmark International Group, Inc. (b).................... 62,700 4,216,575
Lincoln National Corp.................................... 86,600 3,128,425
Lyondell Chemical Co..................................... 106,900 1,790,575
Martin Marietta Materials, Inc........................... 51,363 2,076,991
Masco Corp............................................... 309,900 5,597,569
Mattel, Inc.............................................. 335,700 4,427,044
Mead Corp. .............................................. 80,700 2,037,675
Microsoft Corp. (b)...................................... 51,600 4,128,000
</TABLE>
<TABLE>
<CAPTION>
Shares Value
-------- -----------
<S> <C> <C>
Motorola, Inc............................................. 74,616 $ 2,168,528
New York Times Co......................................... 60,000 2,370,000
Newell Rubbermaid, Inc.................................... 174,800 4,501,100
Nextel Communications, Inc. (b)........................... 95,400 5,837,287
Norfolk Southern Corp. ................................... 102,400 1,523,200
Owens-Illinois, Inc. (b).................................. 46,600 544,638
Peco Energy Co............................................ 128,500 5,180,156
Pentair, Inc.............................................. 75,200 2,669,600
PepsiCo, Inc.............................................. 108,000 4,799,250
PNC Bank Corp. ........................................... 70,000 3,281,250
Praxair, Inc.............................................. 91,500 3,425,531
Raytheon Co., Class B..................................... 160,200 3,083,850
Sara Lee Corp............................................. 75,400 1,456,163
SBC Communications, Inc................................... 139,700 6,042,025
Smurfit-Stone Container Corp. (b)......................... 91,600 1,179,350
Southdown, Inc. .......................................... 59,360 3,428,040
St. Jude Medical, Inc. (b)................................ 146,000 6,697,750
Tellabs, Inc. (b)......................................... 44,700 3,059,156
Texas Instruments, Inc.................................... 42,400 2,912,350
Tyson Foods, Inc., Class A................................ 110,900 970,375
Ultimar Diamond Shamrock Corp............................. 88,590 2,198,139
Unisys Corp. (b).......................................... 95,100 1,384,894
UnitedHealth Group, Inc. ................................. 66,200 5,676,650
USG Corp.................................................. 39,400 1,196,775
Viad Corp. ............................................... 84,500 2,302,625
W.W. Grainger, Inc. ...................................... 62,600 1,928,863
Wal-Mart Stores, Inc...................................... 48,700 2,806,337
Watson Pharmaceutical Co. (b)............................. 60,600 3,257,250
Wells Fargo and Co........................................ 150,100 5,816,375
Westvaco Corp............................................. 56,900 1,411,831
Xerox Corp................................................ 100,600 2,087,450
XL Capital Ltd............................................ 33,400 1,807,775
York International Corp................................... 64,500 1,685,063
-----------
Total U.S. Equities....................................... 346,964,560
-----------
Global (Ex-U.S.) Equities - 14.10%
Australia - 0.82%
Amcor Ltd................................................. 30,580 107,242
Amp Ltd................................................... 33,600 342,948
Boral Ltd. (b)............................................ 59,900 75,524
Brambles Industries Ltd. ................................. 10,630 327,639
Broken Hill Proprietary Co., Ltd.......................... 42,919 508,928
CSR Ltd................................................... 31,230 87,002
Howard Smith Ltd.......................................... 26,400 129,340
Lend Lease Corp., Ltd. ................................... 28,240 361,283
National Australia Bank Ltd. ............................. 63,240 1,059,265
News Corp., Ltd. ......................................... 74,700 1,031,545
News Corp., Ltd., Preferred............................... 32,574 394,375
Origin Energy Ltd. (b).................................... 59,900 57,901
Qantas Airways Ltd........................................ 42,317 85,876
QBE Insurance Group Ltd. ................................. 63,612 312,110
Rio Tinto Ltd............................................. 18,709 310,240
Santos Ltd................................................ 55,280 168,937
Telstra Corp. Ltd. ....................................... 211,600 861,361
Westpac Banking Corp., Ltd................................ 112,560 814,349
WMC Ltd. ................................................. 31,775 142,567
Woolworth's Ltd........................................... 76,840 284,420
-----------
7,462,852
-----------
</TABLE>
5
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
--------------------------------------------------------------------------------
June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
-------- ----------
<S> <C> <C>
Austria - 0.01%
Austria Tabakwerke AG...................................... 3,300 $ 122,739
----------
Belgium - 0.14%
Electrabel S.A............................................. 2,230 553,444
Fortis B................................................... 24,819 725,163
----------
1,278,607
----------
Canada - 0.39%
Agrium, Inc................................................ 24,660 211,367
Alcan Aluminum Ltd......................................... 6,630 205,831
Bank of Montreal........................................... 2,685 113,257
Canadian National Railway Co............................... 12,880 374,656
Canadian Pacific Ltd....................................... 15,248 395,170
Hudson's Bay Co. .......................................... 28,390 300,818
Imperial Oil Ltd........................................... 7,415 180,908
Magna Entertainment Corp. (b).............................. 1,448 9,528
Magna International, Inc., Class A......................... 5,740 269,432
Nova Chemicals Corp........................................ 15,593 327,288
Potash Corporation of Saskatchewan, Inc. .................. 2,990 163,454
Royal Bank of Canada....................................... 8,075 412,824
Shaw Communications, Inc., Class B......................... 13,840 340,933
TransCanada Pipelines Ltd.................................. 7,195 54,872
Westcoast Energy, Inc...................................... 12,250 188,500
----------
3,548,838
----------
Denmark - 0.07%
Tele Danmark A/S........................................... 9,420 636,683
----------
Finland - 0.29%
Metso Oyj.................................................. 13,300 160,642
Nokia Oyj.................................................. 23,660 1,212,269
Sampo Insurance Co., Ltd., Class A......................... 19,300 786,290
UPM-Kymmene Corp........................................... 20,430 509,188
----------
2,668,389
----------
France - 1.25%
Air France................................................. 16,710 289,929
Air Liquide................................................ 5,512 721,714
Alcatel.................................................... 12,500 823,196
Alcatel S.A. ADR........................................... 11,615 772,398
Axa........................................................ 2,883 456,000
Banque Nationale de Paris.................................. 17,036 1,646,132
Cie de Saint Gobain........................................ 6,182 839,129
CSF Thomson................................................ 9,890 391,167
Groupe Danone.............................................. 4,770 635,579
L'Oreal S.A................................................ 400 347,780
Rhone-Poulenc, Class A..................................... 10,108 740,763
Schneider S.A. ............................................ 5,630 393,974
Societe Generale........................................... 14,724 889,207
Suez Lyonnaise des Eaux S.A................................ 1,480 260,336
Total Fina S.A., Class B................................... 11,622 1,789,217
Vivendi.................................................... 4,848 429,642
----------
11,426,163
----------
Germany - 0.66%
Allianz AG................................................. 4,210 1,502,490
Bayer AG................................................... 28,980 1,113,985
Bayerische Motoren Werke AG................................ 14,000 428,110
</TABLE>
<TABLE>
<CAPTION>
Shares Value
-------- ---------
<S> <C> <C>
Continental AG.............................................. 16,700 $ 281,751
Linde AG.................................................... 9,250 375,076
SAP AG...................................................... 2,490 378,087
Siemens AG.................................................. 4,520 679,393
Veba AG..................................................... 25,880 1,252,830
---------
6,011,722
---------
Hong Kong - 0.05%
Henderson Land Development Co., Ltd. ....................... 96,000 422,408
---------
Ireland - 0.10%
Bank of Ireland............................................. 52,200 328,005
Eircom PLC.................................................. 207,200 556,140
---------
884,145
---------
Italy - 0.51%
Assicurazioni Generali...................................... 15,826 544,631
ENI Spa..................................................... 128,000 742,338
ENI Spa ADR................................................. 13,730 798,914
Rinascente Spa (b).......................................... 41,760 237,785
San Paolo-imi Spa........................................... 43,085 767,789
Telecom Italia Mobile Spa................................... 93,000 953,901
Telecom Italia Spa.......................................... 45,000 621,172
---------
4,666,530
---------
Japan - 4.57%
Acom Co., Ltd. ............................................. 8,000 674,448
Asahi Bank Ltd.............................................. 63,000 265,564
Bank of Tokyo-Mitsubushi Ltd................................ 85,000 1,029,110
Benesse Corp. .............................................. 3,700 257,029
Bridgestone Corp. .......................................... 21,000 445,584
Canon, Inc.................................................. 33,000 1,646,803
Dai Nippon Printing Co., Ltd................................ 23,000 406,285
Dai-Ichi Kangyo Bank........................................ 38,000 289,117
Daikin Industries Ltd. ..................................... 14,000 326,166
Denso Corp.................................................. 18,000 438,921
East Japan Railway Co....................................... 118 687,000
Fanuc....................................................... 6,900 703,662
Fuji Bank Ltd............................................... 61,000 464,685
Fuji Photo Film Co., Ltd.................................... 13,000 533,245
Fujitsu..................................................... 57,000 1,977,128
Hitachi Ltd................................................. 51,000 737,489
Honda Motor Co.............................................. 37,000 1,262,417
Hoya Corp................................................... 7,000 628,515
Ito Yokado Co., Ltd......................................... 7,000 422,097
Kamigumi Co., Ltd. ......................................... 64,000 338,131
Kao Corp.................................................... 26,000 796,182
Kirin Brewery Co., Ltd...................................... 28,000 350,645
Kuraray Co., Ltd............................................ 50,000 574,642
Kyocera Corp................................................ 1,000 170,030
Matsushita Electric Industrial Co........................... 49,000 1,273,569
Mitsubishi Corp. ........................................... 34,000 308,171
Mitsubishi Estate Co., Ltd.................................. 78,000 920,032
Mitsubishi Trust and Banking Corp........................... 26,000 202,240
Murata Manufacturing Co., Inc. ............................. 3,000 431,549
NEC Corp.................................................... 61,000 1,919,852
NGK Insulators.............................................. 42,000 521,601
Nintendo Corp., Ltd......................................... 7,300 1,277,785
</TABLE>
6
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
--------------------------------------------------------------------------------
June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
-------- ----------
<S> <C> <C>
Nippon Steel Co............................................ 283,000 $ 596,465
Nippon Telegraph & Telephone Corp.......................... 214 2,851,850
Nissin Food Products Co.................................... 14,100 359,813
Nomura Securities Co., Ltd................................. 62,000 1,520,627
Omron Corp................................................. 10,000 272,199
Orix Corp. ................................................ 5,100 754,359
Rohm Co.................................................... 1,100 322,291
Sankyo Co., Ltd............................................ 30,000 679,079
Santen Pharmaceutical Co., Ltd............................. 17,000 411,323
Secom Co., Ltd. ........................................... 10,000 732,480
Shin-Etsu Chemical Co., Ltd................................ 10,000 508,483
Softbank Corp. ............................................ 3,800 517,178
Sony Corp. ................................................ 20,000 1,871,367
Sumitomo Bank.............................................. 62,000 761,779
Sumitomo Chemical Co. ..................................... 106,000 639,176
Sumitomo Electric Industries............................... 22,000 378,016
Takeda Chemical Industries................................. 17,000 1,118,284
Takefuji Corp.............................................. 3,200 387,430
TDK Corp. ................................................. 7,000 1,008,270
Tokio Marine & Fire Insurance Co........................... 38,000 439,601
Tokyo Electric Power....................................... 16,600 405,567
Tokyo Gas Co., Ltd......................................... 156,000 439,374
Toyoda Automatic Loom Works................................ 2,000 43,382
Toyota Motor Corp.......................................... 32,000 1,460,800
Yamanouchi Pharmaceutical Co., Ltd......................... 7,000 383,063
Yamato Transport Co., Ltd. ................................ 17,000 423,373
----------
41,565,323
----------
Netherlands - 0.73%
ABN AMRO Holdings NV....................................... 21,322 524,471
Aegon NV................................................... 20,476 731,545
Elsevier NV................................................ 77,830 946,772
Heineken NV................................................ 26,900 1,643,876
ING Groep NV............................................... 11,866 805,330
Koninklijke Philips Electronics NV......................... 9,700 459,341
TNT Post Group NV.......................................... 15,132 409,780
Wolters Kluwer NV.......................................... 42,418 1,134,465
----------
6,655,580
----------
New Zealand - 0.05%
Auckland International Airport Ltd......................... 62,150 73,736
Carter Holt Harvey Ltd..................................... 96,860 84,363
Lion Nathan Ltd............................................ 72,480 162,088
Telecom Corp. of New Zealand Ltd........................... 42,190 147,980
----------
468,167
----------
Portugal - 0.18%
Brisa-Auto Estradas de Portugal S.A. ...................... 48,100 415,899
Electricidade de Portugal S.A. ............................ 22,400 408,409
Portugal Telecom........................................... 71,400 804,900
----------
1,629,208
----------
Singapore - 0.09%
DBS Group Holdings Ltd. ................................... 17,000 218,276
SIA Engineering Co., Ltd. (b) ............................. 39,000 43,759
Singapore AIrport Terminal Services Ltd. (b) .............. 20,000 24,292
</TABLE>
<TABLE>
<CAPTION>
Shares Value
-------- ---------
<S> <C> <C>
Singapore Press Holdings Ltd. .............................. 8,472 $ 132,298
United Overseas Bank Ltd. .................................. 55,891 365,280
---------
783,905
---------
Spain - 0.24%
Banco Popular Espanol S.A................................... 11,679 362,733
Banco Santander Central Hispano S.A. ....................... 61,989 656,619
Endesa S.A. ................................................ 20,343 395,670
Tabacalera S.A. ............................................ 51,418 793,063
Telefonica S.A. (b)......................................... 1 22
---------
2,208,107
---------
Sweden - 0.44%
Electrolux AB, B Shares..................................... 38,610 600,874
Ericsson, B Shares.......................................... 74,650 1,485,170
Investor AB, B Shares ...................................... 36,640 503,377
Nordbanken Holding AB....................................... 123,797 938,605
Swedish Match AB............................................ 142,000 440,360
---------
3,968,386
---------
Switzerland - 0.46%
Givaudan (b)................................................ 75 22,900
Nestle S.A. (Reg.).......................................... 548 1,100,314
New ABB Ltd. ............................................... 4,492 539,366
Novartis AG (Reg.).......................................... 847 1,345,949
Roche Holding AG (Gen.)..................................... 75 732,427
Swisscom AG (Reg.).......................................... 1,339 465,245
---------
4,206,201
---------
United Kingdom - 3.05%
Allied Zurich PLC .......................................... 43,040 509,208
AstraZeneca PLC............................................. 13,821 645,489
BP Amoco PLC................................................ 211,654 2,031,468
British Airways PLC......................................... 90,000 517,750
British Telecommunications PLC.............................. 112,000 1,448,006
Charter PLC................................................. 99,261 572,530
De Vere Group PLC........................................... 24,892 116,066
Diageo PLC.................................................. 87,368 784,335
FKI PLC..................................................... 107,347 381,902
Glaxo Wellcome PLC.......................................... 91,440 2,667,548
House of Fraser PLC......................................... 110,920 80,938
HSBC Holdings PLC........................................... 43,000 491,810
Lloyds TSB Group PLC........................................ 129,310 1,221,549
Marconi PLC................................................. 116,840 1,521,193
Marks & Spencer PLC......................................... 109,740 385,847
National Power PLC.......................................... 118,000 752,070
Nycomed Amersham PLC........................................ 75,740 752,183
Peninsular & Oriental Steam Navigation Co................... 38,967 333,893
Powergen PLC................................................ 62,000 530,316
Prudential Corp. PLC........................................ 53,460 783,427
Reckitt & Colman PLC........................................ 35,000 392,098
Reed International PLC...................................... 94,990 826,875
RJB Mining PLC.............................................. 92,110 78,089
Royal & Sun Alliance Insurance Group PLC.................... 141,735 920,510
</TABLE>
7
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
--------------------------------------------------------------------------------
June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
----------- -----------
<S> <C> <C>
Royal Bank of Scotland Group PLC....................... 63,000 $ 1,054,848
Scottish & Newcastle PLC............................... 60,000 490,046
Scottish & Southern Energy PLC......................... 94,420 866,225
Shell Transport & Trading Co. ......................... 90,000 751,419
SmithKline Beecham PLC................................. 36,000 471,425
Tesco PLC.............................................. 241,810 752,282
Thames Water PLC....................................... 29,410 380,676
Trinity Mirror PLC..................................... 57,435 515,615
Unilever PLC........................................... 123,000 744,834
United News & Media PLC................................ 62,510 899,016
Vodafone Group PLC..................................... 366,835 1,482,779
Yorkshire Water PLC.................................... 118,920 581,503
-----------
27,735,768
-----------
Total Global (Ex-U.S.) Equities........................ 128,349,721
-----------
Emerging Markets
Equities - 3.96%
Brinson Emerging Markets Equity Fund (b)............... 3,357,115 36,085,632
-----------
Total Equities
(Cost $506,909,010)................................... 511,399,913
-----------
<CAPTION>
Face
Amount
-----------
<S> <C> <C>
Bonds - 48.39%
U.S. Bonds - 27.86%
U.S. Corporate Bonds - 7.62%
Bank of America Corp.,
7.800%, due 2/15/10................................... $ 610,000 606,773
Bank of America, FRN.,
6.98%, due 09/06/01................................... 10,000,000 9,997,750
Bell Atlantic Corp.,
8.000%, due 10/15/29.................................. 20,000 20,024
Capital One Bank, BKNT,
8.250%, due 06/15/05.................................. 425,000 424,158
Cendant Corp.,
7.750%, due 12/01/03.................................. 1,000,000 965,735
Centaur Funding Corp.,
Class B, 144A,
9.080%, due 4/21/20 (b)............................... 235 233,311
Class C, 144A,
0.000%, due 4/21/20 (b)............................... 3,320 512,525
Centex Corp., 9,750%, due 06/15/05..................... 265,000 263,564
Computer Associates International, Inc., Class B,
6.250%, due 04/15/03.................................. 295,000 282,195
El Paso Energy Corp.,
6.63%, due 07/15/01................................... 1,685,000 1,666,465
Entron Corp., FRN,
6.58%, due 09/10/01................................... 10,000,000 9,992,060
GMAC, 9.625%, due 12/15/01............................. 90,000 92,800
Household Financial Corp., FRN, 7.07%, due 12/05/01.... 1,000,000 1,000,000
Key Bank NA, FRN,
6.66%, due 07/23/01................................... 3,000,000 3,001,605
MBNA Global Capital Securities FRN, 7.191%, due
02/01/27.............................................. 290,000 242,927
</TABLE>
<TABLE>
<CAPTION>
Face
Amount Value
----------- ----------
<S> <C> <C> <C>
News America Holdings,
7.750%, due 12/01/45... $ 1,335,000 $1,159,573
Norwest Financial, Inc.,
7.603%, due 05/03/05... 425,000 428,599
NSTAR, 8.000%, due
02/15/10............... 1,500,000 1,504,215
Petro Geo Services, FRN,
7.43%, due 03/20/02.... 16,500,000 16,479,276
Rite Aid Corp., 144A,
6.125%, due 12/15/08... 2,500,000 1,162,500
Service Corp.,
International,
6.000%, due 12/15/05... 1,900,000 1,026,000
Tele-Communications,
Inc.,
9.800%, due 02/01/12... 815,000 935,314
Time Warner Cos., Inc.,
7.570%, due 02/01/24... 1,000,000 945,357
Tosco Corp., FRN,
7.43%, due 11/16/01.... 15,000,000 14,998,835
Western Resources, Inc.,
6.875%, due 08/01/04... 500,000 438,520
WorldCom, Inc.,
8.250%, due 05/15/10... 1,020,000 1,044,027
----------
Total U.S. Corporate
Bonds.................. 69,424,108
----------
International Dollar Bonds - 1.12%
Abbey National PLC,
Resettable Perpetual
Preferred,
6.700%, due 06/29/49... 1,000,000 901,460
Amvescap PLC,
6.600%, due 05/15/05... 1,415,000 1,330,607
Banco Santiago S.A.,
7.000%, due 07/18/07... 750,000 667,661
Credit Suisse-London,
144A, Step up Callable,
7.900%, due 05/29/49... 1,145,000 1,060,956
Empresa Nacional de
Electricidad S.A.,
8.125%, due 02/01/97... 1,120,000 879,443
Korea Development Bank,
7.125%, due 09/17/01... 1,220,000 1,209,332
Newcourt Credit Group,
Inc.,
6,785%, due 02/16/05... 45,000 43,089
PDVSA Finance Ltd., 98-
1,
6.450%, due 02/15/04... 1,120,000 1,022,000
Petroleum Nasional Bhd,
144A, 7.750%, due
08/15/15............... 1,110,000 1,001,504
Ras Laffan Liquified
Natural Gas Co., Ltd.,
144A,
8.294%, due 03/15/14... 1,345,000 1,242,444
Vodafone Airtouch PLC,
144A, 7.750%, due
02/15/10............... 350,000 347,008
United Mexican States,
9.875%, due 02/01/10... 440,000 455,400
----------
Total International
Dollar Bonds........... 10,160,904
----------
</TABLE>
8
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
--------------------------------------------------------------------------------
June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
Face
Amount Value
---------- -----------
<S> <C> <C>
Asset-Backed Securities - 0.68%
Chase Manhattan Auto Owner Trust, 96-C, Class A4,
6.150%, due 03/15/02.................................. $1,160,784 $ 1,156,454
First Bank Corporate Card Master Trust,
97-1, Class A,
6.400%, due 02/15/03.................................. 745,000 735,010
Green Tree Financial Corp., 99-1, Class A5,
6.110%, due 09/01/23.................................. 1,935,000 1,719,944
Peco Energy Transition Trust, 99-A3, Class A7,
6.130%, due 03/01/09.................................. 2,645,000 2,438,320
PP&L Transition Bond Company LLC, 99-1, Class A6,
6.960%, due 12/26/07.................................. 160,000 158,757
-----------
Total Asset-Backed Securities.......................... 6,208,485
-----------
Corporate Mortgage-Backed Securities - 1.96%
Asset Securitization Corp.,
96-D, Class A1B,
7.210%, due 10/13/26.................................. 2,350,000 2,333,880
Citicorp Mortgage Securities, Inc.,
94-9, Class A8,
5.750%, due 06/25/09.................................. 2,397,387 2,228,179
CMC Securities Corp.,
97-NAM3, Class FXA5,
7.250%, due 10/25/27.................................. 366,027 356,235
Countrywide Funding Corp.,
93-12, Class A5,
6.000%, due 02/25/24.................................. 169,616 167,638
LB Commercial Conduit Mortgage Trust,
99-C1, Class A1,
6.410%, due 08/15/07.................................. 853,087 822,432
Norwest Asset Securities Corp.,
96-2, Class A9,
7.000%, due 09/25/11.................................. 85,000 82,080
98-25, Class A5,
6.000%, due 12/25/28.................................. 1,000,000 932,300
Prudential Home Mortgage Securities, 93-43, Class A9,
6.750%, due 10/25/23.................................. 2,832,389 2,721,983
94-3, Class A10,
6.500%, due 02/25/24.................................. 2,740,000 2,640,346
Residential Accredit Loans, Inc.,
96-QS4, Class A10,
7.900%, due 08/25/26.................................. 2,000,000 1,993,780
Residential Asset Securitization Trust, 97-A11, Class
A2, 7.000%, due 01/25/28.............................. 31,796 31,650
Structured Asset Securities Corp.,
98-RF1, Class A,
8.712%, due 03/15/27.................................. 1,411,657 1,432,832
98-RF2,
8.582%, due 07/15/27.................................. 2,095,445 2,116,400
-----------
Total Corporate Mortgage-Backed Securities............. 17,859,735
-----------
</TABLE>
<TABLE>
<CAPTION>
Face
Amount Value
----------- -----------
<S> <C> <C>
U.S. Government Agencies - 0.96%
Aid-Israel, Series 10-Z,
0.000%, due 02/15/03................................. $ 2,070,000 $ 1,746,809
0.000%, due 08/15/19................................. 1,105,000 313,454
Federal National Mortgage Association,
5.250%, due 01/15/09................................. 5,100,000 4,475,485
7.125%, due 02/15/05................................. 250,000 250,866
Tennessee Valley Authority,
6.375%, due 06/15/05................................. 2,000,000 1,944,126
-----------
Total U.S. Government
Agencies............................................. 8,730,740
-----------
U.S. Government
Mortgage-Backed Securities - 1.48%
Fannie Mae Whole Loan,
95-W3, Class A,
9.000%, due 04/25/25................................. 714,440 735,598
Federal Home Loan Mortgage Corp., 7.000%,
due 10/15/13......................................... 409,292 390,858
9.000%, due 09/01/20................................. 1,876,710 1,935,338
Federal National Mortgage Association,
5.500%, due 01/01/09................................. 1,990,607 1,863,738
6.500%, due 03/01/19................................. 1,828,246 1,747,222
6.500%, due 12/25/23................................. 890,000 852,289
7.000%, due 10/01/28................................. 1,513,491 1,461,118
Government National Mortgage Association,
6.000%, due 02/20/29................................. 1,219,428 1,117,352
6.000%, due 08/20/29................................. 3,022,628 2,769,610
7.500%, due 01/15/24................................. 579,716 577,820
-----------
Total U.S. Government Mortgage-Backed Securities...... 13,450,943
-----------
U.S. Government Obligations - 14.04%
U.S. Treasury Bond,
8.000%, due 11/15/21................................. 2,770,000 3,343,044
8.750%, due 05/15/17................................. 2,195,000 2,758,841
U.S. Treasury Inflation Indexed Note, 3.625%, due
04/15/28............................................. 80,580,000 81,346,783
3.875%, due 04/15/29................................. 37,330,000 38,765,398
U.S. Treasury Note,
6.125%, due 12/31/01................................. 230,000 228,706
6.625%, due 04/30/02................................. 655,000 656,637
6.625%, due 02/15/27................................. 670,000 710,410
-----------
Total U.S. Government Obligations..................... 127,809,819
-----------
Total U.S. Bonds...................................... 253,644,734
-----------
Shares
-----------
High Yield Bonds - 5.74%
Brinson High Yield Fund (b)........................... 3,838,448 52,268,150
-----------
</TABLE>
9
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
--------------------------------------------------------------------------------
June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
Face
Amount Value
----------- -----------
<S> <C> <C>
Global (Ex-U.S.) Bonds - 10.46%
Australia - 0.40%
Australian Government,
7.500%, due 09/15/09.............................. AUD 1,800,000 $ 1,180,301
New South Wales
Treasury Corp.
7.000%, due 04/01/04.................................. 1,000,000 612,742
Queensland Treasury Corp., Global Notes
6.500%, due 06/14/05.................................. 3,000,000 1,808,749
-----------
3,601,792
-----------
Canada - 1.09%
Government of Canada
4.250%, due 12/01/21.............................. CAD 2,900,000 2,380,165
4.250%, due 12/01/26.................................. 3,900,000 3,073,780
5.500%, due 06/01/09.................................. 3,600,000 2,370,116
7.000%, due 12/01/06.................................. 1,100,000 782,613
8.750%, due 12/01/05.................................. 1,700,000 1,291,573
-----------
9,898,247
-----------
Denmark - 1.12%
Depfa Pfandbrief Bank
5.750%, due 03/04/09.............................. EUR 4,500,000 4,299,448
Kingdom of Denmark
7.000%, due 12/15/04.............................. DKK 25,800,000 3,466,918
7.000%, due 11/10/24.................................. 6,500,000 958,580
8.000%, due 05/15/03.................................. 10,740,000 1,454,606
-----------
10,179,552
-----------
France - 1.50%
Government of France (BTAN)
4.500%, due 07/12/02.............................. EUR 4,900,000 4,647,675
Government of France (OAT)
4.000%, due 10/25/09.................................. 2,700,000 2,335,903
5.250%, due 04/25/08.................................. 850,000 813,559
8.500%, due 12/26/12.................................. 4,750,000 5,839,647
-----------
13,636,784
-----------
Germany - 0.73%
Bundesrepublik Deutschland
4.500%, due 07/04/09.................................. 990,000 901,370
Treuhandanstalt
6.250%, due 03/04/04.................................. 5,800,000 5,771,650
-----------
6,673,020
-----------
Italy - 1.14%
Buoni Poliennali Del Tes
3.250%, due 04/15/04.................................. 5,300,000 4,727,709
6.000%, due 11/01/07.................................. 3,770,000 3,712,936
8.500%, due 08/01/04.................................. 1,800,000 1,918,358
-----------
10,359,003
-----------
</TABLE>
<TABLE>
<CAPTION>
Face
Amount Value
----------- ------------
<S> <C> <C>
Japan - 2.02%
Government of Japan
3.000%, due 09/20/05............................. JPY 607,000,000 $ 6,271,654
3.100%, due 03/20/06................................. 381,700,000 3,971,715
4.200%, due 09/20/04................................. 156,100,000 1,670,887
4.600%, due 03/21/05................................. 589,800,000 6,482,633
------------
18,396,889
------------
Netherlands - 0.43%
Government of Netherlands
5.500%, due 07/15/10............................. EUR 1,000,000 968,045
6.500%, due 04/15/03................................. 3,000,000 2,972,513
------------
3,940,558
------------
Spain - 0.70%
Government of Spain
3.250%, due 01/31/05................................. 4,200,000 3,694,079
5.250%, due 01/31/03................................. 2,000,000 1,915,110
6.150%, due 01/31/13................................. 800,001 800,399
------------
6,409,588
------------
Sweden - 0.45%
Government of Sweden
5.000%, due 01/15/04............................. SEK 13,000,000 1,468,356
6.000%, due 02/09/05................................. 14,500,000 1,698,603
6.750%, due 05/05/14................................. 7,500,000 974,783
------------
4,141,742
------------
United Kingdom - 0.88%
Abbey National
Treasury Service
5.375%, due 12/30/09............................. GBP 2,000,000 2,786,429
Bank Nederlandse
Gemeenten NV
7.375%, due 08/06/07................................. 1,600,000 2,526,612
UK Treasury
7.250%, due 12/07/07................................. 1,590,000 2,660,395
------------
7,973,436
------------
Total Global (Ex-U.S.)
Bonds................................................ 95,210,611
------------
<CAPTION>
Shares
-----------
<S> <C> <C>
Emerging Markets Bonds - 4.33%
Brinson Emerging Markets
Debt Fund (b)........................................ 1,558,194 39,455,505
------------
Total Bonds
(Cost $375,363,055).................................. 440,579,000
------------
</TABLE>
10
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
--------------------------------------------------------------------------------
June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
Face
Amount Value
----------- -----------
<S> <C> <C>
Short-Term Investments - 26.80%
Corporate Obligations - 10.05%
Centex Corp.,
6.84%, due 04/02/01................................... $16,500,000 $16,492,591
CSX Corp., 9.50%, due 08/01/00......................... 2,500,000 2,502,738
Dominion Resources, Inc.,
7.03%, due 06/26/01................................... 15,000,000 14,999,550
GATX Capital Corp.,
6.50%, due 11/01/00................................... 2,500,000 2,492,060
GATX Capital Corp., MTN,
6.93%, due 05/21/01................................... 5,000,000 4,956,770
Hertz Corp., 6.63%, due 07/15/00....................... 5,000,000 4,999,115
Kroger Co., 6.00%, due 07/01/00........................ 1,300,000 1,297,933
Kroger Co., 7.66%, due 10/01/00........................ 17,500,000 17,496,500
Paramount Communications,
5.88%, due 07/15/00................................... 4,445,000 4,443,582
Raytheon Co.,
6.30%, due 08/15/00................................... 5,000,000 4,994,375
Safeway, Inc.,
5.75%, due 11/15/00................................... 10,800,000 10,746,551
Supervalu, Inc.,
6.50%, due 10/06/00................................... 4,080,000 4,069,853
Tyco International Group,
7.57%, due 03/05/01................................... 2,000,000 2,002,902
-----------
91,494,520
-----------
</TABLE>
<TABLE>
<CAPTION>
Face
Amount Value
----------- -------------
<S> <C> <C>
Commercial Paper - 15.22%
Boston Scientific,
7.35%, due 07/05/00............................... $15,000,000 $14,987,750
Case Credit,
7.40%, due 07/03/00............................... 9,600,000 9,596,053
Crown Cork & Seal,
7.17%, due 07/26/00............................... 5,158,000 5,132,317
FMC Corp.,
7.33%, due 07/03/00............................... 15,000,000 14,993,892
Houston Industries,
6.92%, due 07/10/00............................... 9,724,000 9,707,177
Houston Industries,
7.17%, due 07/13/00............................... 5,185,000 5,172,608
Hughes Electronics,
7.15%, due 08/22/00............................... 15,000,000 14,845,083
Norfolk Southern,
7.05%, due 07/07/00............................... 2,014,000 2,011,634
Pennziol Quaker State,
7.18%, due 07/21/00............................... 12,067,000 12,018,866
Phillips Petrolium,
7.15%, due 07/05/00............................... 10,000,000 9,992,056
Southern Energy,
7.17%, due 07/14/00............................... 15,000,000 14,961,190
Sprint Capital,
7.10%, due 07/19/00............................... 11,700,000 11,658,465
Union Pacific,
7.25%, due 07/11/00............................... 13,561,000 13,533,690
-------------
138,610,781
-------------
<CAPTION>
Shares
-----------
<S> <C> <C>
Investment Companies - 0.22%
Brinson Supplementary Trust U.S. Cash Management
Prime Fund........................................ 1,996,025 1,996,025
-------------
<CAPTION>
Face
Amount
-----------
<S> <C> <C>
U.S. Government Obligations - 1.31%
U.S. Treasury Bill, due 08/17/00................... $12,000,000 11,915,700
-------------
Total Short-Term Investments
(Cost $301,148,947)............................... 244,017,026
-------------
Total Investments
(Cost $1,183,421,012) - 131.36% (a)............... 1,195,995,939
Liabilities, less cash and
other assets - (31.36)%........................... (285,501,259)
-------------
Net Assets - 100%.................................. $ 910,494,680
=============
</TABLE>
See accompanying notes to schedule of investments.
11
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
-------------------------------------------------------------------------------
June 30, 2000 (Unaudited)
NOTES TO SCHEDULE OF INVESTMENTS
(a) Aggregate cost for federal income tax purposes was $1,183,421,012; and
net unrealized appreciation consisted of:
<TABLE>
<S> <C>
Gross unrealized appreciation............ $ 84,228,701
Gross unrealized depreciation............ (71,653,774)
------------
Net unrealized appreciation.......... $ 12,574,927
============
</TABLE>
(b) Non-income producing security.
FRN: Floating rate note--The rate disclosed is that in effect at June 30,
2000.
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, 2000, the value
of these securities amounted to $5,560,248 or 0.61% 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 currency
contracts as of June 30, 2000:
<TABLE>
<CAPTION>
Settlement Local Current Unrealized
Date Currency Value Gain/(Loss)
---------- -------------- ------------ -----------
<S> <C> <C> <C> <C>
Forward Foreign Currency
Buy Contracts:
Australian Dollar...... 08/08/00 105,800,000 $ 63,563,013 $(3,478,637)
Euro................... 08/08/00 184,320,000 177,123,944 (4,282,755)
Japanese Yen........... 08/08/00 6,110,000,000 58,164,563 572,785
Swedish Krona.......... 08/08/00 426,000,000 48,715,890 (399,512)
Swiss Franc............ 08/08/00 16,400,000 10,123,332 1,125
Forward Foreign Currency
Sale Contracts:
Australian Dollar...... 08/08/00 21,100,000 12,676,556 147,804
British Pound.......... 08/08/00 21,750,000 32,951,494 2,168,346
Danish Krone........... 08/08/00 40,000,000 5,149,072 149,081
Euro................... 08/08/00 15,300,000 14,702,773 270,572
Japanese Yen........... 08/08/00 11,750,000,000 111,854,928 589,388
Singapore Dollar....... 08/08/00 450,000 260,266 (1,050)
Swedish Krona.......... 08/08/00 430,000,000 49,173,317 1,195,076
-----------
Total................. $(3,067,777)
===========
</TABLE>
See accompanying notes to financial statements.
12
<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, 2000:
<TABLE>
<CAPTION>
Expiration Cost/ Current Unrealized
Date Proceeds Value Gain/(Loss)
-------------- ----------- ------------ -----------
<S> <C> <C> <C> <C>
U.S. Interest Rate
Futures Buy Contracts
5 Year U.S. Treasury
Notes, 1,011
contracts............. September 2000 $97,959,311 $100,104,792 $2,145,481
10 Year U.S. Treasury
Notes, 298 contracts.. September 2000 28,767,813 29,348,342 580,529
30 Year U.S. Treasury
Bonds, 194 contracts.. September 2000 18,390,249 18,884,688 494,439
Index Futures Sale
Contracts
S&P 500 Index, 403
contracts............. September 2000 147,881,904 147,911,075 (29,171)
-----------
$3,191,278
===========
</TABLE>
The aggregate market value of investments pledged to cover margin
requirements for the open futures positions at June 30, 2000 was $11,915,700.
See accompanying notes to financial statements.
13
<PAGE>
BRINSON GLOBAL SECURITIES FUND FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 2000 (Unaudited)
<TABLE>
<S> <C>
ASSETS:
Investments, at value:
Unaffiliated issuers (Cost $1,049,791,568)............... $1,040,066,831
Affiliated issuers (Cost $133,629,444)................... 155,929,108
Foreign currency, at value (Cost $665,356)................ 669,727
Cash...................................................... 1,027,056
Receivables:
Investment securities sold............................... 4,071,528
Dividends................................................ 925,551
Interest................................................. 3,800,948
----------------
TOTAL ASSETS........................................... 1,206,490,749
----------------
LIABILITIES:
Payables:
Securities loaned........................................ 287,352,332
Investment securities purchased.......................... 4,691,817
Variation margin......................................... 795,677
Accrued expenses......................................... 88,466
Net unrealized depreciation on forward foreign currency
contracts................................................ 3,067,777
----------------
TOTAL LIABILITIES...................................... 295,996,069
----------------
NET ASSETS:
Applicable to 53,342,076 shares; no par value, unlimited
shares authorized........................................ $ 910,494,680
================
Net asset value, offering price and redemption price per
share ($910,494,680 / 53,342,076 shares)................. $ 17.0690
================
NET ASSETS CONSIST OF:
Paid in capital........................................... $ 212,867,954
Accumulated net investment income......................... 258,114,767
Accumulated net realized gain............................. 426,896,309
Net unrealized appreciation............................... 12,615,650
----------------
NET ASSETS............................................. $ 910,494,680
================
</TABLE>
See accompanying notes to financial statements.
14
<PAGE>
BRINSON GLOBAL SECURITIES FUND FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 2000 (Unaudited)
<TABLE>
<S> <C>
INVESTMENT INCOME:
Dividends (net of $211,448 for foreign taxes withheld)........ $ 4,851,727
Interest (net of $1,999 for foreign taxes withheld; including
securities lending income of $505,595)....................... 11,318,875
------------
TOTAL INCOME............................................... 16,170,602
------------
</TABLE>
<TABLE>
<S> <C>
EXPENSES:
Administration................................................. 90,890
Custodian...................................................... 84,222
Professional................................................... 77,168
Other.......................................................... 29,666
------------
TOTAL EXPENSES.............................................. 281,946
Earnings credits............................................ (7,322)
------------
NET EXPENSES................................................ 274,624
------------
NET INVESTMENT INCOME....................................... 15,895,978
------------
</TABLE>
<TABLE>
<S> <C>
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments................................................ 30,794,545
Futures contracts.......................................... 983,011
Foreign currency transactions.............................. (25,010,048)
-------------
Net realized gain........................................ 6,767,508
-------------
Change in net unrealized appreciation or depreciation on:
Investments and foreign currency........................... (41,785,407)
Futures contracts.......................................... 10,542,201
Forward foreign currency contracts......................... 15,625,349
Translation of other assets and liabilities denominated in
foreign currency.......................................... (5,494)
-------------
Change in net unrealized appreciation or depreciation.... (15,623,351)
-------------
Net realized and unrealized loss............................ (8,855,843)
-------------
Net increase in net assets resulting from operations........ $ 7,040,135
=============
</TABLE>
See accompanying notes to financial statements.
15
<PAGE>
BRINSON GLOBAL SECURITIES FUND FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
STATEMENT OF CASH FLOWS
FOR THE SIX MONTHS ENDED JUNE 30, 2000 (Unaudited)
<TABLE>
<S> <C>
CASH FLOWS FROM OPERATING ACTIVITIES:
Net increase in net assets resulting from operations....... $ 7,040,135
Adjustments to reconcile net increase in net assets
resulting
from operations to net cash provided by operating
activities:
Net realized and unrealized loss on investments........... 8,855,843
Increase in receivable for investment securities sold..... (4,032,526)
Decrease in dividends and interest receivable............. 2,845,626
Increase in payable for securities purchased.............. 4,691,817
Decrease in accrued expenses.............................. (50,143)
Decrease in variation margin.............................. (205,554)
Net amortization of premium............................... 213,247
---------------
Net cash provided by operating activities .............. 19,358,445
---------------
CASH FLOWS FROM INVESTING ACTIVITIES:
Purchases of investments................................... (700,042,617)
Proceeds from sales of investments......................... 1,074,615,002
Net realized gain on futures contracts..................... 983,011
Net realized loss on foreign currency transactions......... (25,010,048)
Change in unrealized appreciation or depreciation in
futures contracts......................................... 10,542,201
Change in unrealized appreciation or depreciation in other
assets and liabilities.................................... (5,494)
Net decrease in foreign currency........................... 579,538
---------------
Net cash provided by investing activities............... 361,661,593
---------------
CASH FLOWS FROM FINANCING ACTIVITIES:
Net capital shares transactions............................ (411,607,895)
Net increase from securities lending....................... 30,649,654
---------------
Net cash used for financing activities.................. (380,958,241)
---------------
Net increase in cash....................................... 61,797
Cash at the beginning of the period........................ 965,259
---------------
Cash at the end of the period.............................. $ 1,027,056
===============
</TABLE>
See accompanying notes to financial statements.
16
<PAGE>
BRINSON GLOBAL SECURITIES FUND FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Six Months
Ended Year Ended
June 30, 2000 December 31,
(Unaudited) 1999
--------------- ---------------
<S> <C> <C>
OPERATIONS:
Net investment income..................... $ 15,895,978 $ 48,251,520
Net realized gain......................... 6,767,508 60,994,673
Change in net unrealized appreciation or
depreciation............................. (15,623,351) (78,121,673)
--------------- ---------------
Net increase in net assets resulting from
operations............................... 7,040,135 31,124,520
--------------- ---------------
CAPITAL SHARE TRANSACTIONS:
Shares sold............................... 19,997,950 223,762,698
Shares redeemed........................... (428,144,402) (627,766,862)
--------------- ---------------
Net decrease in net assets resulting from
capital share transactions (a)........... (408,146,452) (404,004,164)
--------------- ---------------
TOTAL DECREASE IN NET ASSETS........... (401,106,317) (372,879,644)
NET ASSETS:
Beginning of period....................... 1,311,600,997 1,684,480,641
--------------- ---------------
End of period (including accumulated net
investment income of $258,114,767 and
$242,218,789, respectively).............. $ 910,494,680 $1,311,600,997
=============== ===============
(a) A summary of capital share transactions
follows:
<CAPTION>
Shares Shares
--------------- ---------------
<S> <C> <C>
Shares sold............................... 1,209,611 13,587,330
Shares redeemed........................... (25,813,216) (37,738,143)
--------------- ---------------
Net decrease in shares outstanding....... (24,603,605) (24,150,813)
=============== ===============
</TABLE>
See accompanying notes to financial statements.
17
<PAGE>
BRINSON GLOBAL SECURITIES FUND FINANCIAL HIGHLIGHTS
--------------------------------------------------------------------------------
The table below sets forth financial data for one share of capital
stock outstanding throughout each period presented.
<TABLE>
<CAPTION>
Six Months
Ended Year Ended December 31, Period Ended
June 30, 2000 ---------------------------------------------------- December 31,
(Unaudited) 1999 1998 1997 1996 1995*
------------- ----------- ----------- ----------- ----------- ------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value,
beginning of period... $16.8271 $ 16.4989 $ 15.0556 $ 13.4788 $ 11.7181 $10.0000
--------- ----------- ----------- ----------- ----------- ---------
Income from investment
operations:
Net investment
income............... 1.7313 1.2120 0.4800** 0.5456** 0.2844 0.3769
Net realized and
unrealized gain
(loss)............... (1.4894) (0.8838) 0.9633 1.0312 1.4763 1.3412
--------- ----------- ----------- ----------- ----------- ---------
Total income from
investment
operations.......... 0.2419 0.3282 1.4433 1.5768 1.7607 1.7181
--------- ----------- ----------- ----------- ----------- ---------
Net asset value, end of
period................ $17.0690 $ 16.8271 $ 16.4989 $ 15.0556 $ 13.4788 $11.7181
========= =========== =========== =========== =========== =========
Total return
(non-annualized)...... 1.44% 1.99% 9.59% 11.70% 15.03% 17.18%
Ratios/Supplemental
data
Net assets, end of
period (in 000s)..... $910,495 $1,311,601 $1,684,481 $1,304,532 $1,758,509 $967,554
Ratio of expenses to
average net assets:
Before expense
reimbursement and
earnings credits.... 0.05%*** 0.05% 0.05% 0.05% 0.05% 0.14%***
After expense
reimbursement and
earnings credits.... N/A N/A N/A N/A N/A 0.05%***
Ratio of net
investment income to
average net assets:
Before expense
reimbursement and
earnings credits.... 2.89%*** 3.07% 3.02% 3.72% 4.36% 4.95%***
After expense
reimbursement and
earnings credits.... N/A N/A N/A N/A N/A 5.04%***
Portfolio turnover
rate................. 27% 81% 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.
18
<PAGE>
BRINSON U.S. EQUITY FUND
--------------------------------------------------------------------------------
Since its performance inception on August 31, 1997, the Brinson U.S. Equity
Fund has provided an annualized return of 4.97%, compared to the 18.78% return
of its benchmark, the Wilshire 5000 Equity Index. The annualized volatility of
the Brinson U.S. Equity Fund has been 18.68% since its inception, only slightly
above the 17.80% volatility for the benchmark. For the first six months of
2000, the Fund's total return of -3.72% trailed the -0.84% return for its
benchmark. However, as a more realistic view of some of the risks inherent in
the equity markets took root in the second quarter of 2000, the Fund
outperformed the benchmark. For the second quarter, the Fund returned 2.00%
compared to the benchmark return of -4.49%.
The momentum that had been driving prices higher in the technology, media and
telecommunications (TMT) sectors subsided in the second quarter. Many so-called
"old economy" stocks saw favorable attention from investors, as they began to
look for more reasonable stock valuations. Investors have begun to question
whether TMT companies can grow and increase earnings fast enough and for long
enough to justify their high valuations. Past experience is not encouraging.
Studies show that in the past, only 3% of the companies in the S&P 500 Index
have sustained growth of 20% for 10 years, and only one (Microsoft) has
sustained 20% growth for 15 years. While we are skeptical of inflated
investment expectations, we understand and appreciate the role of new and
emerging technology in business.
Our analysis is focused on investing in companies with solid fundamentals as
well as promising uses for new technologies. Specifically, we see opportunities
in some "old economy" sectors such as basic materials, transportation and
healthcare where some undervalued companies are leveraging their skills, assets
and competitive positions to take advantage of technology and the Internet.
These sectors represent the largest overweights in the Fund, and are offset by
significant underweight positions to software, hardware and telecommunications
sectors.
19
<PAGE>
BRINSON U.S. EQUITY FUND
--------------------------------------------------------------------------------
Total Return
<TABLE>
<CAPTION>
6 Months 1 Year Annualized
Ended Ended 8/31/97*
6/30/00 6/30/00 to 6/30/00
----------------------------------------------------------
<S> <C> <C> <C>
Brinson U.S. Equity Fund -3.72% -15.58% 4.97%
----------------------------------------------------------
Wilshire 5000 Equity Index -0.84 9.52 18.78
----------------------------------------------------------
</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
[GRAPH]
Brinson Wilshire
U.S. Equity 5000 Equity
Fund Index
8/31/97 100,000 100,000
9/30/97 104,257 105,901
10/31/97 98,531 102,373
11/30/97 100,718 105,725
12/31/97 103,067 107,679
1/31/98 103,809 108,264
2/28/98 112,855 116,145
3/31/98 119,441 121,958
4/30/98 118,337 123,406
5/31/98 116,730 120,122
6/30/98 117,596 124,334
7/31/98 114,727 121,609
8/31/98 98,428 102,671
9/30/98 105,613 109,378
10/31/98 113,721 117,515
11/30/98 118,588 124,915
12/31/98 123,079 132,909
1/31/99 122,444 137,794
2/28/99 118,063 132,799
3/31/99 121,869 137,924
4/30/99 132,496 144,535
5/31/99 130,852 141,371
6/30/99 135,980 148,690
7/31/99 130,382 143,923
8/31/99 126,096 142,581
9/30/99 117,234 138,856
10/31/99 117,455 147,686
11/30/99 118,317 152,632
12/31/99 119,159 164,222
1/31/00 111,309 157,405
2/29/00 102,307 160,931
3/31/00 112,479 170,489
4/30/00 117,118 161,607
5/31/00 118,471 155,963
6/30/00 114,726 162,841
Fund returns are net of all fees and costs, while the index returns are based
solely on market returns without deduction for fees or transaction costs for
rebalancing.
20
<PAGE>
BRINSON U.S. EQUITY FUND
--------------------------------------------------------------------------------
INDUSTRY DIVERSIFICATION
As a Percent of Net Assets
As of June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
<S> <C>
U.S. EQUITIES
Energy............................................................... 3.17%
Capital Investments
Capital Goods....................................................... 4.29
Electronic Components............................................... 7.46
Technology.......................................................... 1.95
--------
13.70
Basic Industries
Chemicals........................................................... 3.18
Housing/Paper....................................................... 6.60
Metals.............................................................. 1.68
--------
11.46
Computers
Software............................................................ 2.43
Systems............................................................. 4.38
--------
6.81
Consumer
Autos/Durables...................................................... 2.18
Food/House Products................................................. 0.45
Health & Drugs...................................................... 5.91
Health & Non-Drugs.................................................. 8.60
Leisure/Tourism..................................................... 0.49
Non-Durables........................................................ 1.92
Retail/Apparel...................................................... 6.79
--------
26.34
Financial
Banks............................................................... 5.55
Services............................................................ 7.06
--------
12.61
Telecommunications
Equipment........................................................... 0.15
Services............................................................ 5.18
--------
5.33
Transportation....................................................... 6.93
Services/Misc........................................................ 7.36
Utilities............................................................ 3.04
--------
Total U.S. Equities................................................. 96.75*
SHORT-TERM INVESTMENTS............................................... 2.93*
--------
TOTAL INVESTMENTS................................................... 99.68
CASH AND OTHER ASSETS, LESS LIABILITIES.............................. 0.32
--------
NET ASSETS........................................................... 100.00%
========
</TABLE>
-------
* The Fund held a long position in stock index futures which increased the U.S.
Equity exposure from 96.75% to 97.70%. This adjustment resulted in a net
decrease to the Fund's exposure to Short-Term Investments from 2.93% to
1.98%.
TOP TEN U.S. EQUITY HOLDINGS
As of June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
Percent of
Net Assets
--------------------------------------------------------------------------------
<S> <C>
1. Advanced Micro Devices, Inc...................................... 4.13%
2. FedEx Corp....................................................... 3.12
3. Burlington Northern Santa Fe Corp. .............................. 2.97
4. Allergan, Inc. .................................................. 2.92
5. Electronic Data Systems Corp. ................................... 2.46
6. Gateway, Inc. ................................................... 2.08
7. Alza Corp. ...................................................... 2.02
8. St. Jude Medical, Inc. .......................................... 2.01
9. CIGNA Corp. ..................................................... 2.01
10. Baxter International, Inc........................................ 1.99
--------------------------------------------------------------------------------
</TABLE>
21
<PAGE>
BRINSON U.S. EQUITY FUND SCHEDULE OF INVESTMENTS
--------------------------------------------------------------------------------
June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
------- ------------
<S> <C> <C>
U.S. Equities - 96.75%
Advanced Micro Devices, Inc. (b).......................... 83,200 $ 6,427,200
Allergan, Inc. ........................................... 60,900 4,537,050
Alza Corp. (b)............................................ 53,100 3,139,537
American Electric Power Co., Inc. ........................ 65,580 1,942,807
American General Corp. ................................... 22,300 1,360,300
American Standard Cos., Inc. (b).......................... 41,400 1,697,400
AmSouth Bancorp. ......................................... 48,349 761,497
Aon Corp. ................................................ 67,825 2,106,814
Associates First Capital Corp., Class A................... 92,500 2,063,906
Baxter International, Inc. ............................... 44,100 3,100,781
Burlington Northern Santa Fe Corp. ....................... 201,300 4,617,319
Carnival Corp., Class A................................... 38,900 758,550
CIGNA Corp. .............................................. 33,500 3,132,250
Circuit City Stores-Circuit City Group.................... 26,000 862,875
CMS Energy Corp. ......................................... 37,100 820,838
CommScope, Inc. (b)....................................... 5,800 237,800
Compaq Computer Corp. .................................... 94,600 2,418,212
Computer Sciences Corp. (b)............................... 4,800 358,500
Compuware Corp. (b)....................................... 177,400 1,840,525
CVS Corp. ................................................ 20,400 816,000
Dell Computer Corp. (b)................................... 23,700 1,168,706
E.I. du Pont de Nemours and Co. .......................... 7,500 328,125
Eastman Chemical Co. ..................................... 22,100 1,055,275
Electronic Data Systems Corp. ............................ 92,900 3,832,125
Emerson Electric Co. ..................................... 50,100 3,024,787
Entergy Corp. ............................................ 54,600 1,484,438
Exxon Mobil Corp. ........................................ 24,900 1,954,650
Federated Department Stores, Inc. (b)..................... 30,000 1,012,500
FedEx Corp. (b)........................................... 127,600 4,848,800
First Data Corp. ......................................... 53,924 2,675,978
Fleet Boston Financial Corp. ............................. 63,941 2,173,994
Fort James Corp. ......................................... 69,700 1,611,812
Gateway, Inc. (b)......................................... 56,900 3,229,075
GATX Corp. ............................................... 16,100 547,400
Genzyme Corp. (b)......................................... 26,600 1,581,038
GreenPoint Financial Corp. ............................... 77,200 1,447,500
Household International, Inc. ............................ 41,800 1,737,312
Illinois Tool Works, Inc. ................................ 52,700 3,003,900
IMC Global, Inc. ......................................... 85,700 1,114,100
Johnson & Johnson Co. .................................... 28,400 2,893,250
Johnson Controls, Inc. ................................... 25,900 1,328,994
Kimberly-Clark Corp. ..................................... 33,400 1,916,325
Kroger Co. (b)............................................ 107,800 2,378,337
Lafarge Corp. ............................................ 32,100 674,100
Lear Corp. (b)............................................ 57,800 1,156,000
Lexmark International Group, Inc. (b)..................... 30,900 2,078,025
Lincoln National Corp. ................................... 40,500 1,463,063
Lyondell Chemical Co. .................................... 50,100 839,175
Martin Marietta Materials, Inc. .......................... 24,063 973,048
</TABLE>
<TABLE>
<CAPTION>
Shares Value
--------- ------------
<S> <C> <C>
Masco Corp. ........................................... 145,000 $ 2,619,062
Mattel, Inc. .......................................... 157,100 2,071,756
Mead Corp. ............................................ 37,800 954,450
Microsoft Corp. (b).................................... 24,200 1,936,000
Motorola, Inc. ........................................ 34,915 1,014,717
New York Times Co. .................................... 28,100 1,109,950
Newell Rubbermaid, Inc. ............................... 81,700 2,103,775
Nextel Communications, Inc. (b)........................ 44,700 2,735,081
Norfolk Southern Corp. ................................ 50,800 755,650
Owens-Illinois, Inc. (b)............................... 21,800 254,788
Peco Energy Co. ....................................... 60,100 2,422,781
Pentair, Inc. ......................................... 35,200 1,249,600
PepsiCo, Inc. ......................................... 50,500 2,244,094
PNC Bank Corp. ........................................ 32,700 1,532,813
Praxair, Inc. ......................................... 42,800 1,602,325
Raytheon Co., Class B.................................. 74,900 1,441,825
Sara Lee Corp. ........................................ 35,900 693,319
SBC Communications, Inc. .............................. 66,400 2,871,800
Smurfit-Stone Container Corp. (b)...................... 42,800 548,375
Southdown, Inc. ....................................... 27,804 1,605,681
St. Jude Medical, Inc. (b)............................. 68,300 3,133,262
Tellabs, Inc. (b)...................................... 20,900 1,430,344
Texas Instruments, Inc. ............................... 19,800 1,360,013
Tyson Foods, Inc., Class A............................. 55,100 482,125
Ultramar Diamond Shamrock Corp. ....................... 41,422 1,027,783
Unisys Corp. (b)....................................... 44,600 649,488
UnitedHealth Group, Inc. .............................. 31,000 2,658,250
USG Corp. ............................................. 18,400 558,900
Viad Corp. ............................................ 39,500 1,076,375
W.W. Grainger, Inc. ................................... 29,300 902,806
Wal-Mart Stores, Inc. ................................. 22,800 1,313,850
Watson Pharmaceutical Co. (b).......................... 28,300 1,521,125
Wells Fargo and Co. ................................... 70,200 2,720,250
Westvaco Corp. ........................................ 28,200 699,713
Xerox Corp. ........................................... 47,000 975,250
XL Capital Ltd. ....................................... 15,700 849,763
York International Corp. .............................. 30,200 788,975
------------
Total Equities (Cost $159,747,559)..................... 150,448,107
------------
Short-Term Investments - 2.93%
Investment Companies - 2.93%
Brinson Supplementary Trust U.S. Cash Management Prime
Fund (Cost $4,552,040)................................ 4,552,040 4,552,040
------------
Total Investments (Cost $164,299,599) - 99.68% (a)..... 155,000,147
Cash and other assets, less liabilities - 0.32%........ 499,016
------------
Net Assets - 100%...................................... $155,499,163
============
</TABLE>
See accompanying notes to schedule of investments.
22
<PAGE>
BRINSON U.S. EQUITY FUND SCHEDULE OF INVESTMENTS
-------------------------------------------------------------------------------
June 30, 2000 (Unaudited)
NOTES TO SCHEDULE OF INVESTMENTS
(a) Aggregate cost for federal income tax purposes was $164,299,599; and
net unrealized depreciation consisted of:
<TABLE>
<S> <C>
Gross unrealized appreciation........... $ 16,338,434
Gross unrealized depreciation........... (25,637,886)
-------------
Net unrealized depreciation......... $ (9,299,452)
=============
</TABLE>
(b) Non-income producing security.
FUTURES CONTRACTS
The Brinson U.S. Equity Fund had the following open futures contracts as of
June 30, 2000:
<TABLE>
<CAPTION>
Expiration Current Unrealized
Date Cost Value Loss
-------------- ---------- ---------- ----------
<S> <C> <C> <C> <C>
Index Futures Buy Contracts
S&P 500 Index, 4 contracts... September 2000 $1,477,279 $1,468,100 $(9,179)
========
</TABLE>
The segregated cash pledged to cover margin requirements for the open
futures positions at June 30, 2000 was $206,250.
See accompanying notes to financial statements.
23
<PAGE>
BRINSON U.S. EQUITY FUND FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 2000 (Unaudited)
<TABLE>
<S> <C>
ASSETS:
Investments, at value:
Unaffiliated issuers (Cost $159,747,559)........................ $150,448,107
Affiliated issuers (Cost $4,552,040)............................ 4,552,040
Cash............................................................. 206,250
Receivables:
Investment securities sold...................................... 10,293,936
Due from Advisor................................................ 1,570
Dividends....................................................... 228,561
Interest........................................................ 20,835
Variation margin................................................ 32,394
-------------
TOTAL ASSETS.................................................. 165,783,693
-------------
LIABILITIES:
Payables:
Investment securitues purchased................................. 2,008,217
Due to custodian bank........................................... 8,265,090
Accrued expenses................................................ 11,223
-------------
TOTAL LIABILITIES............................................. 10,284,530
-------------
NET ASSETS:
Applicable to 13,554,150 shares; no par value, unlimited shares
authorized...................................................... $155,499,163
=============
Net asset value, offering price and redemption price per share
($155,499,163 / 13,554,150 shares).............................. $ 11.4724
=============
NET ASSETS CONSIST OF:
Paid in capital.................................................. $151,938,335
Accumulated net investment income................................ 7,942,726
Accumulated net realized gain.................................... 4,926,733
Net unrealized depreciation...................................... (9,308,631)
-------------
NET ASSETS.................................................... $155,499,163
=============
</TABLE>
See accompanying notes to financial statements.
24
<PAGE>
BRINSON U.S. EQUITY FUND FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 2000 (Unaudited)
<TABLE>
<S> <C>
INVESTMENT INCOME:
Dividends........................................................ $ 1,424,963
Interest......................................................... 210,446
-----------
TOTAL INCOME.................................................. 1,635,409
-----------
EXPENSES:
Professional..................................................... 10,852
Trustees......................................................... 2,366
Custodian........................................................ 2,214
Printing......................................................... 910
Other............................................................ 1,706
-----------
TOTAL EXPENSES................................................ 18,048
Expenses deferred by Advisor.................................. (9,208)
-----------
NET EXPENSES.................................................. 8,840
-----------
NET INVESTMENT INCOME......................................... 1,626,569
-----------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized loss on:
Investments..................................................... (9,582,440)
Futures contracts............................................... (94,720)
-----------
Net realized loss............................................. (9,677,160)
-----------
Change in net unrealized appreciation or depreciation on:
Investments..................................................... 784,517
Futures contracts............................................... (78,866)
-----------
Change in net unrealized appreciation or depreciation......... 705,651
-----------
Net realized and unrealized loss................................. (8,971,509)
-----------
Net decrease in net assets resulting from operations............. $(7,344,940)
===========
</TABLE>
See accompanying notes to financial statements.
25
<PAGE>
BRINSON U.S. EQUITY FUND FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Six Months
Ended Year Ended
June 30, 2000 December 31,
(Unaudited) 1999
------------- -------------
<S> <C> <C>
OPERATIONS:
Net investment income............................ $ 1,626,569 $ 3,397,994
Net realized gain (loss)......................... (9,677,160) 6,978,874
Change in net unrealized appreciation or
depreciation.................................... 705,651 (18,337,934)
------------- -------------
Net decrease in net assets resulting from
operations...................................... (7,344,940) (7,961,066)
------------- -------------
CAPITAL SHARE TRANSACTIONS:
Shares sold...................................... 19,744,872 51,083,970
Shares redeemed.................................. (61,725,941) (17,269,810)
------------- -------------
Net increase (decrease) in net assets resulting
from capital share transactions (a)............. (41,981,069) 33,814,160
------------- -------------
TOTAL INCREASE (DECREASE) IN NET ASSETS....... (49,326,009) 25,853,094
------------- -------------
NET ASSETS:
Beginning of period.............................. 204,825,172 178,972,078
------------- -------------
End of period (including accumulated net
investment income of $7,942,726 and $6,316,157
respectively)................................... $155,499,163 $204,825,172
============= =============
(a) A summary of capital share transactions fol-
lows:
<CAPTION>
Shares Shares
------------- -------------
<S> <C> <C>
Shares sold...................................... 1,741,345 4,044,568
Shares redeemed.................................. (5,376,476) (1,396,513)
------------- -------------
Net increase (decrease) in shares outstanding... (3,635,131) 2,648,055
============= =============
</TABLE>
See accompanying notes to financial statements.
26
<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 Year Ended
Ended December 31, Period Ended
June 30, 2000 ------------------- December 31,
(Unaudited) 1999 1998 1997*
------------- -------- -------- ------------
<S> <C> <C> <C> <C>
Net asset value, beginning of
period........................ $11.9159 $12.3079 $10.3067 $10.0000
-------- -------- -------- --------
Income (loss) from investment
operations:
Net investment income......... 0.2186 0.1668 0.1508 0.0498
Net realized and unrealized
gain (loss).................. (0.6621) (0.5588) 1.8504 0.2569
-------- -------- -------- --------
Total income (loss) from
investment operations....... (0.4435) (0.3920) 2.0012 0.3067
-------- -------- -------- --------
Net asset value, end of
period........................ $11.4724 $11.9159 $12.3079 $10.3067
======== ======== ======== ========
Total return (non-annualized).. (3.72)% (3.18)% 19.42% 3.07%
Ratios/Supplemental data
Net assets, end of period (in
000s)........................ $155,499 $204,825 $178,972 $ 73,631
Ratio of expenses to average
net assets:
Before expense reimbursement
and earnings credits........ 0.02%** 0.03% 0.02% 0.05%**
After expense reimbursement
and earnings credits........ 0.01%** 0.01% 0.01% 0.01%**
Ratio of net investment income
to average net assets:
Before expense reimbursement
and earnings credits........ 1.83%** 1.68% 1.78% 2.01%**
After expense reimbursement
and earnings credits........ 1.84%** 1.70% 1.79% 2.05%**
Portfolio turnover rate....... 40% 51% 46% 9%
</TABLE>
* The Fund commenced operations August 29, 1997
** Annualized
See accompanying notes to financial statements.
27
<PAGE>
BRINSON U.S. LARGE CAPITALIZATION EQUITY FUND
--------------------------------------------------------------------------------
Since its performance inception on April 30, 1999, the Brinson U.S. Large
Capitalization Equity Fund has provided an annualized return of -20.65%
compared to the 8.96% return of its benchmark, the S&P 500 Equity Index.
Results for the year-to-date period continued to be disappointing, with the
Fund returning -6.85% versus the benchmark return of -0.42%. While these
results are well below our expectations, we feel the Fund is very well
positioned to take advantage of the current market environment which sees
investors focusing more on the so-called "old economy" companies. In the second
quarter alone, the Fund made up 484 basis points of performance versus the
benchmark, returning 2.18% versus the benchmark return of -2.66%. We continue
to see signs that this favorable short-term performance will continue into the
future.
The momentum that had been driving prices higher in the technology, media and
telecommunications (TMT) sectors subsided in the second quarter. Many so-called
"old economy" stocks saw favorable attention from investors, as they began to
look for more reasonable stock valuations. Investors have begun to question
whether TMT companies can grow and increase earnings fast enough and for long
enough to justify their high valuations. Past experience is not encouraging.
Studies show that in the past, only 3% of the companies in the S&P 500 Index
have sustained growth of 20% for 10 years, and only one (Microsoft) has
sustained 20% growth for 15 years. While we are skeptical of inflated
investment expectations, we understand and appreciate the role of new and
emerging technology in business.
Our analysis is focused on investing in companies with solid fundamentals as
well as promising uses for new technologies. Specifically, we see opportunities
in some "old economy" sectors such as basic materials, transportation and
healthcare where some undervalued companies are leveraging their skills, assets
and competitive positions to take advantage of technology and the Internet.
These sectors represent the largest overweights in the Fund, and are offset by
significant underweight positions to software, hardware and telecommunications
sectors.
28
<PAGE>
BRINSON U.S. LARGE CAPITALIZATION EQUITY FUND
--------------------------------------------------------------------------------
Total Return
<TABLE>
<CAPTION>
6 Months 1 Year 4/30/99*
Ended Ended to
6/30/00 6/30/00 6/30/00
------------------------------------------------------------------------
<S> <C> <C> <C>
Brinson U.S. Large Capitalization Equity Fund -6.85% -23.43% -20.65%
------------------------------------------------------------------------
Standard & Poor's (S&P) 500 Equity Index -0.42 7.25 8.96
------------------------------------------------------------------------
</TABLE>
* Inception date of the Brinson U.S. Large Capitalization Equity 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 U.S.
Large Capitalization Equity Fund and the S&P 500 Equity 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. S&P 500 Equity Index
[GRAPH]
Brinson U.S. Large S&P 500
Capitalization Equity
Equity Fund Index
4/30/99 100,000 100,000
5/31/99 97,074 97,639
6/30/99 99,706 103,060
7/31/99 94,900 99,840
8/31/99 92,286 99,346
9/30/99 84,256 96,623
10/31/99 83,956 102,738
11/30/99 83,199 104,826
12/31/99 81,936 111,001
1/31/00 76,119 105,424
2/29/00 69,070 103,429
3/31/00 74,717 113,547
4/30/00 77,521 110,132
5/31/00 78,886 107,872
6/30/00 76,349 110,532
Fund returns are net of all fees and cost, while the index returns are based
solely on market returns without deduction for fees or transaction costs for
rebalancing.
29
<PAGE>
BRINSON U.S. LARGE CAPITALIZATION EQUITY FUND
--------------------------------------------------------------------------------
INDUSTRY DIVERSIFICATION
As a Percent of Net Assets
As of June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
<S> <C>
U.S. EQUITIES
Energy............................................................... 4.01%
Capital Investments
Capital Goods....................................................... 4.57
Electronic Components............................................... 4.59
Technology.......................................................... 3.17
--------
12.33
Basic Industries
Chemicals........................................................... 1.67
Housing/Paper....................................................... 1.34
Metals.............................................................. 2.70
--------
5.71
Computers
Software............................................................ 3.99
Systems............................................................. 7.15
--------
11.14
Consumer
Food/House Products................................................. 0.61
Health & Drugs...................................................... 2.08
Health & Non-Drugs.................................................. 9.27
Leisure/Tourism..................................................... 0.77
Non-Durables........................................................ 2.31
Retail/Apparel...................................................... 8.99
--------
24.03
Financial
Banks............................................................... 6.62
Non-Banks........................................................... 8.98
--------
15.60
Telecommunications................................................... 4.16
Transportation....................................................... 8.29
Services/Misc........................................................ 8.89
Utilities............................................................ 1.53
--------
Total U.S. Equities................................................. 95.69
SHORT-TERM INVESTMENTS............................................... 4.75
--------
TOTAL INVESTMENTS.................................................... 100.44
LIABILITIES, LESS CASH AND OTHER ASSETS.............................. (0.44)
--------
NET ASSETS........................................................... 100.00%
========
</TABLE>
TOP TEN U.S. EQUITY HOLDINGS
As of June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
Percent of
Net Assets
--------------------------------------------------------------------------------
<S> <C>
1. Electronic Data Systems Corp. ................................... 3.98%
2. FedEx Corp. ..................................................... 3.87
3. Burlington Northern Santa Fe Corp. .............................. 3.70
4. Gateway, Inc. ................................................... 3.43
5. CIGNA Corp. ..................................................... 3.27
6. Johnson & Johnson................................................ 3.24
7. Baxter International, Inc. ...................................... 3.21
8. Emerson Electric Co. ............................................ 3.14
9. Illinois Tool Works, Inc. ....................................... 3.08
10. UnitedHealth Group, Inc. ........................................ 2.82
--------------------------------------------------------------------------------
</TABLE>
30
<PAGE>
BRINSON U.S. LARGE CAPITALIZATION EQUITY FUND
SCHEDULE OF INVESTMENTS
--------------------------------------------------------------------------------
June 30, 2000 (Unaudited)
<TABLE>
<S> <C> <C>
Shares Value
-------- ----------
U.S. Equities - 95.69%
American Electric Power Co., Inc........................... 6,420 $ 190,193
American General Corp...................................... 2,200 134,200
Aon Corp................................................... 6,550 203,459
Associates First Capital Corp., Class A.................... 9,000 200,812
Baxter International, Inc.................................. 4,300 302,344
Burlington Northern Santa Fe Corp.......................... 15,200 348,650
Carnival Corp., Class A.................................... 3,700 72,150
CIGNA Corp................................................. 3,300 308,550
Compaq Computer Corp....................................... 9,300 237,731
Computer Sciences Corp. (b)................................ 400 29,875
Compuware Corp. (b)........................................ 17,800 184,675
CVS Corp................................................... 2,000 80,000
Dell Computer Corp. (b).................................... 2,300 113,419
Electronic Data Systems Corp............................... 9,100 375,375
Eli Lilly and Co........................................... 1,100 109,863
Emerson Electric Co........................................ 4,900 295,837
Entergy Corp............................................... 5,300 144,094
Exxon Mobil Corp........................................... 2,400 188,400
FedEx Corp. (b)............................................ 9,600 364,800
First Data Corp............................................ 5,300 263,012
Fleet Boston Financial Corp................................ 6,200 210,800
Gateway, Inc. (b).......................................... 5,700 323,475
Household International, Inc............................... 4,100 170,406
Illinois Tool Works, Inc................................... 5,100 290,700
Johnson & Johnson Co....................................... 3,000 305,625
Kimberly-Clark Corp........................................ 2,200 126,225
Kroger Co. (b)............................................. 10,500 231,656
Lexmark International Group, Inc. (b)...................... 3,000 201,750
Masco Corp................................................. 14,100 254,681
Mattel, Inc................................................ 15,400 203,087
Microsoft Corp. (b)........................................ 2,400 192,000
Newell Rubbermaid, Inc..................................... 8,000 206,000
Norfolk Southern Corp...................................... 4,600 68,425
PepsiCo, Inc............................................... 4,900 217,744
PNC Bank Corp.............................................. 3,200 150,000
Praxair, Inc............................................... 4,200 157,238
Raytheon Co., Class B...................................... 7,300 140,525
Sara Lee Corp.............................................. 3,000 57,938
SBC Communications, Inc.................................... 5,900 255,175
Schering Plough Corp....................................... 1,700 85,850
Tellabs, Inc. (b).......................................... 2,000 136,875
Texas Instruments, Inc..................................... 2,000 137,375
UnitedHealth Group, Inc. (b)............................... 3,100 265,825
Wal-Mart Stores, Inc....................................... 2,200 126,775
Wells Fargo and Co......................................... 6,800 263,500
Xerox Corp................................................. 4,700 97,525
----------
Total U.S. Equities (Cost $9,159,149)...................... 9,024,614
----------
</TABLE>
<TABLE>
<S> <C> <C>
Shares Value
-------- ----------
Short-Term Investments - 4.75%
Investment Companies - 4.75%
Brinson Supplementary Trust U.S. Cash Management Prime
Fund (Cost $447,645).................................... 447,645 $ 447,645
----------
Total Investments (Cost $9,606,794) - 100.44% (a)........ 9,472,259
Liabilities, less cash and other assets - (0.44%)........ (41,403)
----------
Net Assets - 100%........................................ $9,430,856
==========
</TABLE>
See accompanying notes to schedule of investments.
31
<PAGE>
BRINSON U.S. LARGE CAPITALIZATION EQUITY FUND
SCHEDULE OF INVESTMENTS
--------------------------------------------------------------------------------
June 30, 2000 (Unaudited)
NOTES TO SCHEDULE OF INVESTMENTS
(a) Aggregate cost for federal income tax purposes was $9,606,794; and net
unrealized depreciation consisted of:
<TABLE>
<S> <C>
Gross unrealized appreciation............... $ 575,860
Gross unrealized depreciation............... (710,395)
---------
Net unrealized depreciation............. $(134,535)
=========
</TABLE>
(b) Non-income producing security.
See accompanying notes to financial statements.
32
<PAGE>
BRINSON U.S. LARGE CAPITALIZATION
EQUITY FUND FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 2000 (Unaudited)
<TABLE>
<S> <C>
ASSETS:
Investments, at value:
Unaffiliated issuers (Cost $9,159,149)............................ $ 9,024,614
Affiliated issuers (Cost $447,645)................................ 447,645
Receivables:
Investment securities sold........................................ 133,466
Due from Advisor.................................................. 3,333
Dividends......................................................... 12,265
Interest.......................................................... 2,092
------------
TOTAL ASSETS.................................................... 9,623,415
------------
LIABILITIES:
Payables:
Investment securities purchased................................... 168,433
Accrued expenses.................................................. 24,126
------------
TOTAL LIABILITIES............................................... 192,559
------------
NET ASSETS:
Applicable to 1,235,295 shares; no par value, unlimited shares
authorized........................................................ $ 9,430,856
============
Net asset value, offering price and redemption price per share
($9,430,856 / 1,235,295 shares)................................... $ 7.6345
============
NET ASSETS CONSIST OF:
Paid in capital.................................................... $11,838,293
Accumulated net investment income.................................. 222,044
Accumulated net realized loss...................................... (2,494,946)
Net unrealized depreciation........................................ (134,535)
------------
NET ASSETS...................................................... $ 9,430,856
============
</TABLE>
See accompanying notes to financial statements.
33
<PAGE>
BRINSON U.S. LARGE CAPITALIZATION
EQUITY FUND FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 2000 (Unaudited)
<TABLE>
<S> <C>
INVESTMENT INCOME:
Dividends.......................................................... $ 69,677
Interest........................................................... 14,058
---------
TOTAL INCOME.................................................... 83,735
---------
EXPENSES:
Professional....................................................... 13,707
Trustees........................................................... 3,640
Printing........................................................... 1,795
Other.............................................................. 1,993
---------
TOTAL EXPENSES.................................................. 21,135
Expenses deferred by Advisor.................................... (20,743)
---------
NET EXPENSES.................................................... 392
---------
NET INVESTMENT INCOME........................................... 83,343
---------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments....................................................... (227,714)
Futures contracts................................................. 75,753
---------
Net realized loss............................................... (151,961)
---------
Change in net unrealized appreciation or depreciation on:
Investments....................................................... (47,139)
---------
Net realized and unrealized loss................................... (199,100)
---------
Net decrease in net assets resulting from operations............... $(115,757)
=========
</TABLE>
See accompanying notes to financial statements.
34
<PAGE>
BRINSON U.S. LARGE CAPITALIZATION
EQUITY FUND FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Six Months
Ended Period Ended
June 30, 2000 December 31,
(Unaudited) 1999 *
------------- -------------
<S> <C> <C>
OPERATIONS:
Net investment income............................ $ 83,343 $ 138,701
Net realized loss................................ (151,961) (2,342,985)
Change in net unrealized appreciation or
depreciation.................................... (47,139) (87,396)
----------- -------------
Net decrease in net assets resulting from
operations...................................... (115,757) (2,291,680)
----------- -------------
CAPITAL SHARE TRANSACTIONS:
Shares sold...................................... 8,889,992 14,265,908
Shares redeemed.................................. (205,000) (11,112,617)
----------- -------------
Net increase in net assets resulting from capital
share transactions (a).......................... 8,684,992 3,153,291
----------- -------------
TOTAL INCREASE IN NET ASSETS.................. 8,569,235 861,611
----------- -------------
NET ASSETS:
Beginning of period.............................. 861,621 10
----------- -------------
End of period (including accumulated net
investment income of $222,044 and $138,701,
respectively)................................... $9,430,856 $ 861,621
=========== =============
(a) A summary of capital share transactions
follows:
<CAPTION>
Shares Shares
------------- -------------
<S> <C> <C>
Shares sold...................................... 1,157,694 1,429,122
Shares redeemed.................................. (27,522) (1,324,000)
----------- -------------
Net increase in shares outstanding.............. 1,130,172 105,122
=========== =============
</TABLE>
* The Fund commenced operations April 30, 1999.
See accompanying notes to financial statements.
35
<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 each period presented.
<TABLE>
<CAPTION>
Six Months
Ended Period Ended
June 30, 2000 December 31,
(Unaudited) 1999*
------------- ------------
<S> <C> <C>
Net asset value, beginning of period................ $ 8.1963 $10.0000
-------- --------
Net investment income.............................. 0.1797 1.3195
Net realized and unrealized loss................... (0.7415) (3.1232)
-------- --------
Total loss from investment operations............. (0.5618) (1.8037)
-------- --------
Net asset value, end of period...................... $ 7.6345 $ 8.1963
======== ========
Total return (non-annualized)....................... (6.85)% (18.04)%
Ratios/Supplemental data
Net assets, end of period (in 000s)................ $ 9,431 $ 862
Ratio of expenses to average net assets:
Before expense reimbursement...................... 0.54%** 0.26%**
After expense reimbursement....................... 0.01%** 0.01%**
Ratio of net investment income to average net
assets:
Before expense reimbursement...................... 1.59%** 1.66%**
After expense reimbursement....................... 2.12%** 1.91%**
Portfolio turnover rate............................. 40% 142%
</TABLE>
*The Fund commenced operations April 30, 1999.
**Annualized
See accompanying notes to financial statements.
36
<PAGE>
BRINSON U.S. VALUE EQUITY FUND
--------------------------------------------------------------------------------
Since its performance inception on June 30, 1998, the Brinson U.S. Value Equity
Fund (formerly known as the Brinson U.S. Large Capitalization Value Equity
Fund) has returned 1.08% compared to the 2.94% return of its benchmark, the
Russell 1000 Value Index. The Fund's annualized volatility or risk over that
period has been 21.60% similar to the 20.06% volatility of the Index).
Interestingly, for the year-to-date period, large growth stocks have returned
4.23%, while large value stocks have returned -4.23%, as measured by the
Russell 1000 Growth and Russell 1000 Value indices, respectively. However,
nearly all of the relative performance shortfall of value stocks came in the
first three months of the year. In the first half of 2000, the U.S. Value
Equity Fund's total return of -1.22% is 301 basis points higher than the
benchmark return of -4.23%. The Fund's relative performance was particularly
strong in the second quarter at 1.10% versus the Index return of -4.69%
(outperformance of 579 basis points).
During the second quarter, industry returns were dominated by "old" economy
industries, and contributed significantly to the outperformance of the Fund
relative to the benchmark. This differs markedly from the recent past when
returns were concentrated on technology, media and telecommunications (TMT)
industries. Investors have begun to question whether TMT companies can grow and
increase earnings fast enough and for long enough to justify their high
valuations. Past experience is not encouraging. Studies show that in the past,
only 3% of the companies in the S&P 500 Index have sustained growth of 20% for
10 years, and only one (Microsoft) has sustained 20% growth for 15 years. While
we are skeptical of inflated investment expectations, we understand and
appreciate the role of new and emerging technology in business.
Our analysis is focused on investing in companies with solid fundamentals as
well as promising uses for new technologies. Specifically, we see opportunities
in some "old" economy sectors such as basic materials, transportation and
healthcare where some undervalued companies are leveraging their skills, assets
and competitive positions to take advantage of technology and the Internet.
These sectors represent the largest overweights in the portfolio, and are
offset by significant underweight positions to software, hardware and
telecommunications sectors.
37
<PAGE>
BRINSON U.S. VALUE EQUITY FUND
--------------------------------------------------------------------------------
Total Return
<TABLE>
<CAPTION>
6 Months 1 Year Annualized
Ended Ended 6/30/98*
6/30/00 6/30/00 to 6/30/00
----------------------------------------------------------------
<S> <C> <C> <C>
Brinson U.S. Value Equity Fund** -1.22% -13.32% 1.08%
----------------------------------------------------------------
Russell 1000 Value Index -4.23 -8.92 2.94
----------------------------------------------------------------
</TABLE>
*Performance inception date of the Brinson U.S. Value Equity Fund
**Formerly known as the Brinson U.S. Large Capitalization Value Equity 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 U.S.
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. Value Equity Fund
vs. Russell 1000 Value Index
[GRAPH]
Brinson Russell
U.S. Value 1000 Value
Equity Fund Index
6/30/98 100,000 100,000
7/31/98 98,283 98,235
8/31/98 85,567 83,616
9/30/98 92,840 88,415
10/31/98 97,557 95,264
11/30/98 102,132 99,702
12/31/98 103,707 103,096
1/31/99 101,220 103,901
2/28/99 99,166 102,434
3/31/99 103,428 104,554
4/30/99 115,379 114,319
5/31/99 115,252 113,063
6/30/99 117,862 116,345
7/31/99 113,517 112,939
8/31/99 109,758 108,747
9/30/99 103,314 104,947
10/31/99 106,488 110,988
11/30/99 104,466 110,120
12/31/99 104,550 110,651
1/31/00 99,484 107,042
2/29/00 88,934 99,089
3/31/00 101,062 111,179
4/30/00 105,353 109,885
5/31/00 107,905 111,043
6/30/00 102,166 105,968
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.
38
<PAGE>
BRINSON U.S. VALUE EQUITY FUND
--------------------------------------------------------------------------------
INDUSTRY DIVERSIFICATION
As a Percent of Net Assets
As of June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
<S> <C>
U.S. EQUITIES
Energy................................................................ 10.75%
Capital Investments
Capital Goods........................................................ 2.30
Electronic Components................................................ 8.57
--------
10.87
Basic Industries
Chemicals............................................................ 2.87
Housing/Paper........................................................ 6.04
Metals............................................................... 1.70
--------
10.61
Consumer
Autos/Durables....................................................... 4.19
Food/House Products.................................................. 3.13
Health: Non-Drugs.................................................... 7.73
Retail/Apparel....................................................... 3.51
--------
18.56
Financial
Banks................................................................ 14.87
Non-Banks............................................................ 6.06
--------
20.93
Telecommunications.................................................... 8.68
Transportation........................................................ 6.32
Services/Misc......................................................... 6.39
Utilities............................................................. 5.02
--------
Total U.S. Equities.................................................. 98.13*
SHORT-TERM INVESTMENTS................................................ 2.00*
--------
TOTAL INVESTMENTS.................................................... 100.13
LIABILITIES, LESS CASH AND OTHER ASSETS............................... (0.13)
--------
NET ASSETS........................................................... 100.00%
========
</TABLE>
-------
* The Fund held a long position in stock index futures which increased the U.S.
Equity exposure from 98.13% to 99.22%. This adjustment resulted in a net
decrease to the Fund's exposure to Short-Term Investments from 2.00% to
0.91%.
TOP TEN U.S. EQUITY HOLDINGS
As of June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
Percent of
Net Assets
--------------------------------------------------------------------------------
<S> <C>
1. Advanced Micro Devices, Inc. .................................... 4.39%
2. St. Jude Medical, Inc. .......................................... 3.95
3. Exxon Mobil Corp. ............................................... 3.53
4. SBC Communications, Inc. ........................................ 3.25
5. Emerson Electric Co. ............................................ 3.20
6. FedEx Corp. ..................................................... 3.08
7. Wells Fargo and Co. ............................................. 3.07
8. Southdown, Inc. ................................................. 2.78
9. UnitedHealth Group, Inc. ........................................ 2.38
10. Bank One Corp. .................................................. 2.37
--------------------------------------------------------------------------------
</TABLE>
39
<PAGE>
BRINSON U.S. VALUE EQUITY FUND SCHEDULE OF INVESTMENTS
--------------------------------------------------------------------------------
June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
-------- ------------
<S> <C> <C>
U.S. Equities - 98.13%
Advanced Micro Devices, Inc. (b).......................... 57,700 $ 4,457,325
American Electric Power Co., Inc. ........................ 79,020 2,340,967
American General Corp. ................................... 33,600 2,049,600
American International Group, Inc. ....................... 9,700 1,139,750
AmSouth Bancorp. ......................................... 100,088 1,576,386
Associates First Capital Corp., Class A................... 78,800 1,758,225
AT&T Corp. ............................................... 42,200 1,334,575
Bank of America Corp. .................................... 35,500 1,526,500
Bank One Corp. ........................................... 90,600 2,406,562
Bell Atlantic Corp. ...................................... 43,900 2,230,669
Burlington Northern Santa Fe Corp. ....................... 101,200 2,321,275
Chevron Corp. ............................................ 12,500 1,060,156
CMS Energy Corp. ......................................... 58,400 1,292,100
Computer Sciences Corp. (b)............................... 2,900 216,594
Conoco, Inc. ............................................. 64,900 1,594,106
CP & L Energy, Inc. (b)................................... 73,200 2,337,825
Dow Chemical Co. ......................................... 48,600 1,467,113
E.I. du Pont de Nemours and Co. .......................... 6,800 297,500
Electronic Data Systems Corp. ............................ 51,100 2,107,875
Emerson Electric Co. ..................................... 53,800 3,248,175
Exxon Mobil Corp. ........................................ 45,700 3,587,450
FedEx Corp. (b)........................................... 82,500 3,135,000
Fleet Boston Financial Corp. ............................. 53,400 1,815,600
Fort James Corp. ......................................... 48,400 1,119,250
GreenPoint Financial Corp. ............................... 79,500 1,490,625
Hibernia Corp. ........................................... 99,600 1,083,150
Household International, Inc. ............................ 54,200 2,252,688
Illinois Tool Works, Inc. ................................ 23,400 1,333,800
IMC Global, Inc. ......................................... 88,300 1,147,900
Johnson & Johnson Co. .................................... 14,000 1,426,250
Johnson Controls, Inc. ................................... 37,300 1,913,956
Lafarge Corp. ............................................ 60,100 1,262,100
Lear Corp. (b)............................................ 64,700 1,294,000
</TABLE>
<TABLE>
<CAPTION>
Shares Value
--------- ------------
<S> <C> <C>
Lincoln National Corp. ............................... 33,600 $ 1,213,800
Masco Corp. .......................................... 95,600 1,726,775
Mattel, Inc. ......................................... 115,900 1,528,431
McDonald's Corp. ..................................... 47,800 1,574,413
New Century Energies, Inc............................. 78,300 2,349,000
New York Times Co. ................................... 48,500 1,915,750
Newell Rubbermaid, Inc. .............................. 79,100 2,036,825
Nextel Communications, Inc. (b)....................... 32,000 1,958,000
Norfolk Southern Corp. ............................... 65,200 969,850
Peco Energy Co. ...................................... 36,500 1,471,406
Pentair, Inc. ........................................ 28,400 1,008,200
PNC Bank Corp. ....................................... 44,600 2,090,625
Sara Lee Corp. ....................................... 83,200 1,606,800
SBC Communications, Inc. ............................. 76,300 3,299,975
Southdown, Inc. ...................................... 48,900 2,823,975
St. Jude Medical, Inc. (b)............................ 87,500 4,014,062
UnitedHealth Group, Inc. (b).......................... 28,200 2,418,150
USG Corp. ............................................ 30,700 932,513
W.W. Grainger, Inc. .................................. 34,300 1,056,869
Wells Fargo and Co. .................................. 80,600 3,123,250
York International Corp. ............................. 38,400 1,003,200
------------
Total U.S. Equities (Cost $107,061,098)............... 99,746,916
------------
Short-Term Investments - 2.00%
Brinson Supplementary Trust U.S. Cash Management Prime
Fund (Cost $2,026,114)............................... 2,026,114 2,026,114
------------
Total Investments (Cost $109,087,212) - 100.13% (a)... 101,773,030
Liabilities, less cash and other assets - (0.13%)..... (128,138)
------------
Net Assets - 100%..................................... $101,644,892
============
</TABLE>
See accompanying notes to schedule of investments.
40
<PAGE>
BRINSON U.S. VALUE EQUITY FUND SCHEDULE OF INVESTMENTS
--------------------------------------------------------------------------------
June 30, 2000 (Unaudited)
NOTES TO SCHEDULE OF INVESTMENTS
(a) Aggregate cost for federal income tax purposes was $109,087,212; and net
unrealized depreciation consisted of:
<TABLE>
<S> <C>
Gross unrealized appreciation............. $ 7,988,048
Gross unrealized depreciation............. (15,302,230)
-------------
Net unrealized depreciation........... $ (7,314,182)
=============
</TABLE>
(b) Non-income producing security.
FUTURES CONTRACTS
The Brinson U.S. Value Equity Fund had the following open futures contracts as
of June 30, 2000:
<TABLE>
<CAPTION>
Expiration Current Unrealized
Date Cost Value Loss
-------------- ---------- ---------- ----------
<S> <C> <C> <C> <C>
Index Futures Buy Contracts:
S&P 500 Index, 3 contracts..... September 2000 $1,123,371 $1,101,075 $(22,296)
========
</TABLE>
The segregated cash pledged to cover margin requirements for the open futures
positions at June 30, 2000 was $102,600.
See accompanying notes to financial statements.
41
<PAGE>
BRINSON U.S. VALUE EQUITY FUND FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 2000 (Unaudited)
<TABLE>
<S> <C>
ASSETS:
Investments, at value:
Unaffiliated issuers (Cost $107,061,098)...................... $ 99,746,916
Affiliated issuers (Cost $2,026,114).......................... 2,026,114
Cash........................................................... 102,600
Receivables:
Investment securities sold.................................... 1,874,998
Due from Advisor.............................................. 2,279
Dividends..................................................... 174,205
Interest...................................................... 8,633
Variation Margin.............................................. 7,575
-------------
TOTAL ASSETS................................................ 103,943,320
-------------
LIABILITIES:
Payables:
Investment securities purchased............................... 2,283,292
Accrued expenses.............................................. 15,136
-------------
TOTAL LIABILITIES........................................... 2,298,428
-------------
NET ASSETS:
Applicable to 9,841,931 shares; no par value, unlimited shares
authorized.................................................... $101,644,892
=============
Net asset value, offering price and redemption price per share
($101,644,892 / 9,841,931 shares)............................. $ 10.3277
=============
NET ASSETS CONSIST OF:
Paid in capital................................................ $ 95,934,912
Accumulated net investment income.............................. 4,695,580
Accumulated net realized gain.................................. 8,350,878
Net unrealized depreciation.................................... (7,336,478)
-------------
NET ASSETS.................................................. $101,644,892
=============
</TABLE>
See accompanying notes to financial statements.
42
<PAGE>
BRINSON U.S. VALUE EQUITY FUND FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 2000 (Unaudited)
<TABLE>
<S> <C>
INVESTMENT INCOME:
Dividends....................................................... $ 1,251,153
Interest........................................................ 74,196
------------
TOTAL INCOME................................................. 1,325,349
------------
EXPENSES:
Professional.................................................... 10,085
Trustees........................................................ 3,094
Custodian....................................................... 1,257
Other........................................................... 4,186
------------
TOTAL EXPENSES............................................... 18,622
Expenses deferred by Advisor................................. (13,597)
------------
NET EXPENSES................................................. 5,025
------------
NET INVESTMENT INCOME........................................ 1,320,324
------------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments.................................................... (527,763)
Futures contracts.............................................. 128,440
------------
Net realized loss............................................ (399,323)
------------
Change in net unrealized appreciation or depreciation on:
Investments.................................................... (1,100,428)
Futures contracts.............................................. (22,296)
------------
Change in net unrealized appreciation or depreciation........ (1,122,724)
------------
Net realized and unrealized loss................................ (1,522,047)
------------
Net decrease in net assets resulting from operations............ $ (201,723)
============
</TABLE>
See accompanying notes to financial statements.
43
<PAGE>
BRINSON U.S. VALUE EQUITY FUND FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Six Months
Ended Year Ended
June 30, 2000 December 31,
(Unaudited) 1999
------------- -------------
<S> <C> <C>
OPERATIONS:
Net investment income............................ $ 1,320,324 $ 2,256,359
Net realized gain (loss)......................... (399,323) 7,247,249
Change in net unrealized appreciation or
depreciation.................................... (1,122,724) (8,550,381)
------------- -------------
Net increase (decrease) in net assets resulting
from operations................................. (201,723) 953,227
------------- -------------
CAPITAL SHARE TRANSACTIONS:
Shares sold...................................... 13,463,429 8,909,403
Shares redeemed.................................. (11,122,590) (22,757,631)
------------- -------------
Net increase (decrease) in net assets resulting
from capital share transactions (a)............. 2,340,839 (13,848,228)
------------- -------------
TOTAL INCREASE (DECREASE) IN NET ASSETS....... 2,139,116 (12,895,001)
------------- -------------
NET ASSETS:
Beginning of period.............................. 99,505,776 112,400,777
------------- -------------
End of period (including accumulated net
investment income of $4,695,580 and $3,375,256,
respectively)................................... $101,644,892 $ 99,505,776
============= =============
(a) A summary of capital share transactions
follows:
<CAPTION>
Shares Shares
------------- -------------
<S> <C> <C>
Shares sold...................................... 1,367,049 829,458
Shares redeemed.................................. (1,042,686) (2,033,914)
------------- -------------
Net increase (decrease) in shares outstanding... 324,363 (1,204,456)
============= =============
</TABLE>
See accompanying notes to financial statements.
44
<PAGE>
BRINSON U.S. 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 Year Ended Period Ended
June 30, 2000 December 31, December 31,
(Unaudited) 1999 1998*
------------- ------------ ------------
<S> <C> <C> <C>
Net asset value, beginning of period... $10.4550 $10.4832 $10.0000
--------- --------- ---------
Income (loss) from investment
operations:
Net investment income................. 0.1225 0.2503 0.1044
Net realized and unrealized gain
(loss)............................... (0.2498) (0.2785) 0.3788
--------- --------- ---------
Total income (loss) from investment
operations.......................... (0.1273) (0.0282) 0.4832
--------- --------- ---------
Net asset value, end of period......... $10.3277 $10.4550 $10.4832
========= ========= =========
Total return (non-annualized).......... (1.22)% (0.27)% 4.83%
Ratios/Supplemental data
Net assets, end of period (in 000s)... $101,645 $ 99,506 $112,401
Ratio of expenses to average net
assets:
Before expense reimbursement and
earnings credits.................... 0.04%** 0.03% 0.03%**
After expense reimbursement and
earnings credits.................... 0.01%** 0.01% 0.01%**
Ratio of net investment income to
average net assets:
Before expense reimbursement and
earnings credits.................... 2.60%** 2.02% 2.04%**
After expense reimbursement and
earnings credits.................... 2.63%** 2.04% 2.06%**
Portfolio turnover rate................ 39% 95% 35%
</TABLE>
* The Fund commenced operations June 25, 1998
** Annualized
See accompanying notes to financial statements.
45
<PAGE>
BRINSON U.S. SMALL CAPITALIZATION EQUITY FUND
--------------------------------------------------------------------------------
The Brinson U.S. Small Capitalization Equity Fund (formerly known as the
Brinson Post Venture Fund) has provided an annualized return of 14.88% since
its performance inception on April 30, 1995, versus a return of 16.36% for its
benchmark, the Wilshire Small Stock Index. The Wilshire Small Stock Index is a
market capitalization weighted index of roughly 3,900 small cap companies. The
Brinson U.S. Small Capitalization Equity Fund's annualized volatility was
16.12% over that same period, which compares favorably to the benchmark's
volatility of 20.27%. For the year to date period through June 30, 2000, the
Fund has outperformed the benchmark by 230 basis points, returning 5.16%,
compared to a 2.86% return for the Wilshire Small Stock Index.
Nearly all of the added value of the Fund over the benchmark has come from
stock selection decisions thus far in 2000. The five best performing stocks for
the last six months were Microsemi Corp., Bindley Western, Financial Security
Assurance, Plexus Corp. and Benchmark Electronics. Together, they contributed
more than 600 basis points of positive performance to the fund. Factor and
industry positioning has detracted from performance for the year. Our
underweights in drugs and semiconductors detracted the most in terms of
industry positioning, while our underweight in computer software benefited the
Fund. Looking at the Fund's factor positions, our underweight to the largest
stocks in the universe as well as our underweight to momentum were both
positive decisions. However, these results were offset by underweights in the
volatility and trading activity factors, which performed well in the first half
of the year.
As we go into the second half of the year, the Fund's largest overweights are
held in the apparel/retail, restaurant, transportation and media sectors. The
largest underweights are to software/internet/information services, materials
and pharmaceuticals/biotech.
46
<PAGE>
BRINSON U.S. SMALL CAPITALIZATION EQUITY FUND
--------------------------------------------------------------------------------
Total Return
<TABLE>
<CAPTION>
6 Months 1 Year 3 Years Annualized
Ended Ended Ended 4/30/95*
6/30/00 6/30/00 6/30/00 to 6/30/00
------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Brinson U.S. Small Capitalization
Equity Fund** 5.16% 6.26% 6.20% 14.88%
------------------------------------------------------------------------
Wilshire Small Stock Index 2.86 16.53 11.80 16.36
------------------------------------------------------------------------
</TABLE>
*Performance inception date of the Brinson U.S. Small Capitalization Equity
Fund
**Formerly known as 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 U.S.
Small Capitalization Equity 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 U.S. Small Capitalization Equity Fund vs.
Wilshire Small Stock Index
[GRAPH]
Brinson U.S. Small Wilshire
Capitalization Small Stock
Equity Fund Index
4/30/95 100,000 100,000
6/30/95 105,306 107,958
6/30/96 135,051 139,755
6/30/97 171,055 156,561
6/30/98 211,458 185,226
6/30/99 192,865 187,760
6/30/00 204,808 218,799
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.
47
<PAGE>
BRINSON U.S. SMALL CAPITALIZATION EQUITY FUND
--------------------------------------------------------------------------------
INDUSTRY DIVERSIFICATION
As a Percent of Net Assets
As of June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
<S> <C>
U.S. EQUITIES
Energy................................................................ 4.14%
Capital Investment
Capital Goods........................................................ 3.99
Electronic Components................................................ 6.53
Technology........................................................... 6.80
--------
17.32
Basic Industries
Chemicals............................................................ 0.99
Construction......................................................... 1.34
Metals............................................................... 0.59
--------
2.92
Computers
Software............................................................. 2.91
Systems.............................................................. 2.71
--------
5.62
Consumer
Autos/Durables....................................................... 5.72
Food/House Products.................................................. 1.12
Health & Non-Drugs................................................... 4.62
Non-Durables......................................................... 5.22
Retail/Apparel....................................................... 8.81
--------
25.49
Financial
Banks................................................................ 6.70
Non-Banks............................................................ 10.84
--------
17.54
Telecommunications.................................................... 0.45
Transportation........................................................ 5.75
Services/Misc......................................................... 15.26
Utilities............................................................. 1.98
--------
Total U.S. Equities................................................. 96.47*
SHORT-TERM INVESTMENTS................................................ 4.49*
--------
TOTAL INVESTMENTS................................................... 100.96
LIABILITIES, LESS CASH AND OTHER ASSETS............................... (0.96)
--------
NET ASSETS............................................................ 100.00%
========
</TABLE>
-------
* The Fund held a long position in stock index futures which increased the U.S.
Equity exposure from 96.47% to 99.08%. This adjustment resulted in a net
decrease to the Funds exposure to Short-Term Investments from 4.49% to 1.88%.
TOP TEN U.S. EQUITY HOLDINGS
As of June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
Percent of
Net Assets
--------------------------------------------------------------------------------
<S> <C>
1. Kellwood Co. .................................................... 2.95%
2. Bacou USA, Inc. ................................................. 2.61
3. Emmis Communications Corp. ...................................... 2.59
4. SBS Technologies, Inc. .......................................... 2.36
5. Innkeepers USA Trust............................................. 2.08
6. AmerUS Life Holdings, Inc. ...................................... 1.83
7. Bindley Western Industries, Inc. ................................ 1.83
8. Buffets, Inc. ................................................... 1.59
9. Callon Petroleum Co. ............................................ 1.58
10. Benchmark Electronics, Inc. ..................................... 1.57
--------------------------------------------------------------------------------
</TABLE>
48
<PAGE>
BRINSON U.S. SMALL CAPITALIZATION
EQUITY FUND SCHEDULE OF INVESTMENTS
--------------------------------------------------------------------------------
June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
-------- ------------
<S> <C> <C>
Equities - 96.47%
U.S. Equities - 96.47%
A. Schulman, Inc. ........................................ 357,500 $ 4,312,344
AAR Corp. ................................................ 115,400 1,384,800
AC Nielsen Corp. (b)...................................... 176,800 3,889,600
Allied Capital Corp. ..................................... 279,960 4,759,320
AmerUs Life Holdings, Inc. ............................... 386,300 7,967,437
APAC Customer Services, Inc. (b).......................... 442,000 4,889,625
Applied Power, Inc., Class A.............................. 170,000 5,695,000
Artesyn Technologies, Inc. (b)............................ 197,800 5,501,312
Atmos Energy Corp. ....................................... 360,850 6,314,875
Bacou USA, Inc. (b)....................................... 568,600 11,372,000
Basin Exploration, Inc. (b)............................... 275,500 4,924,562
Benchmark Electronics, Inc. (b)........................... 187,300 6,848,156
Bindley Western Industries, Inc. ......................... 301,300 7,965,619
Bon Ton Stores, Inc. (b).................................. 255,319 590,425
Buffets, Inc. (b)......................................... 547,400 6,945,137
Callon Petroleum Co. (b).................................. 461,600 6,866,300
Candela Corp. (b)......................................... 181,800 1,658,925
Carmike Cinemas, Inc. (b)................................. 228,600 885,825
Celadon Group, Inc. (b)................................... 222,100 2,498,625
Centerpoint Properties Trust.............................. 54,300 2,212,725
CFW Communications Co. ................................... 43,900 1,646,250
CKE Restaurants, Inc. .................................... 389,100 1,167,300
Clean Harbors, Inc. (b)................................... 76,100 156,956
Coachmen Industries, Inc. ................................ 532,499 6,123,738
Colorado Medtech, Inc. (b)................................ 193,600 1,222,100
Commonwealth Industries, Inc. ............................ 434,000 2,549,750
Computer Task Group, Inc. ................................ 375,600 1,901,475
Concentrix, Inc. (b)...................................... 88,100 352,400
Crown Crafts, Inc. ....................................... 198,200 222,975
CT Communications, Inc. .................................. 10,300 292,906
Del Monte Foods Co. (b)................................... 451,600 3,076,525
Del Webb Corp. (b)........................................ 249,300 3,817,406
Delta Financial Corp. (b)................................. 252,100 409,663
Department 56, Inc. (b)................................... 196,000 2,156,000
Devry, Inc. (b)........................................... 78,100 2,064,769
Dover Downs Entertainment................................. 307,600 4,306,400
Dress Barn, Inc. (b)...................................... 66,600 1,473,525
DT Industries, Inc. (b)................................... 398,800 3,738,750
East-West Bancorp, Inc. .................................. 187,900 2,701,063
Emisphere Technologies, Inc. (b).......................... 132,400 5,641,482
Emmis Communications Corp. (b)............................ 273,200 11,303,650
EMS Technologies, Inc. (b)................................ 375,500 6,759,000
ESS Technology (b)........................................ 109,700 1,590,650
Etinuum, Inc. (b)......................................... 304,100 1,710,563
Evans & Sutherland Computer Corp. (b)..................... 90,200 575,025
Expedia, Inc. (b)......................................... 185,300 2,744,756
FBL Financial Group, Inc. ................................ 325,900 5,132,925
Federal Signal Corp. ..................................... 236,100 3,895,650
Fidelity National Corp. .................................. 292,400 1,790,950
Finlay Enterprises, Inc. (b).............................. 319,300 4,150,900
First Consulting Group, Inc. (b).......................... 288,400 1,604,225
Fred's, Inc. ............................................. 170,900 3,076,200
</TABLE>
<TABLE>
<CAPTION>
Shares Value
-------- ------------
<S> <C> <C>
Gardner Denver, Inc. (b)................................ 182,900 $ 3,269,337
Golf Trust of America, Inc. ............................ 208,100 3,303,587
Goody's Family Clothing, Inc. (b)....................... 355,800 1,956,900
Granite Broadcasting Corp. ............................. 191,000 1,408,625
Great Plains Software, Inc. (b)......................... 82,400 1,617,100
Greater Bay Bancorp..................................... 41,500 1,940,125
Haggar Corp. ........................................... 192,000 2,256,000
Hamilton Bancorp, Inc. (b).............................. 236,800 4,144,000
Handleman Co. (b)....................................... 189,200 2,365,000
Hardinge, Inc. ......................................... 153,800 1,605,288
Harte-Hanks Communications, Inc. ....................... 163,400 4,085,000
Hartmarx Corp. (b)...................................... 469,400 1,202,838
Herbalife International, Class B........................ 316,700 2,494,013
In Test Corp. (b)....................................... 283,600 4,218,550
Indymac Mortgage Holdings, Inc. ........................ 63,200 857,150
Innkeepers USA Trust.................................... 991,400 9,046,525
Interep National Radio Sales, Class A (b)............... 279,400 1,484,313
Jason, Inc. (b)......................................... 414,400 3,988,600
JLM Industries, Inc. (b)................................ 289,700 1,013,950
JNI Corp. (b)........................................... 77,700 2,457,263
John B. Sanfilippo and Son, Inc. (b).................... 389,800 1,145,038
Keane, Inc. (b)......................................... 214,500 4,638,563
Kellwood Co. ........................................... 609,050 12,866,181
Key Production Company, Inc. ........................... 31,900 558,250
KLLM Transport Services, Inc. (b)....................... 89,931 711,017
Landstar System, Inc. (b)............................... 73,900 4,401,669
M & F Worldwide Corp. (b)............................... 431,500 2,427,188
M.S. Carriers, Inc. (b)................................. 248,700 4,383,337
Mac Gray Corp. (b)...................................... 336,800 1,473,500
McNaughton Apparel Group, Inc. (b)...................... 128,900 1,353,450
Medallion Financial Corp. .............................. 184,000 2,840,500
Mentor Graphics Corp. (b)............................... 276,500 5,495,437
Mesaba Holdings, Inc. (b)............................... 143,600 1,373,175
Methode Electronics, Inc., Class A...................... 88,610 3,422,561
Michaels Stores, Inc. (b)............................... 45,400 2,079,888
Microsemi Corp. (b)..................................... 45,100 1,530,581
Midway Airlines Corp. (b)............................... 296,700 1,520,588
Midwest Express Holdings, Inc. (b)...................... 76,600 1,646,900
Morton's Restaurant Group, Inc. (b)..................... 191,600 4,119,400
MSC Software Corp. (b).................................. 468,820 4,365,886
NCI Building Systems, Inc. (b).......................... 100,000 2,025,000
North Fork Bancorporation, Inc. ........................ 317,300 4,799,162
O'Charleys, Inc. (b).................................... 118,800 1,618,650
1-800-Flowers.com, Inc. (b)............................. 225,400 1,155,175
Packaging Corporation of America (b).................... 184,600 1,869,075
Park Electrochemical Corp. ............................. 129,800 4,680,912
PBOC Holdings, Inc. (b)................................. 259,600 2,206,600
Photronics, Inc. (b).................................... 180,880 5,132,470
Premier Financial Bancorp, Inc. ........................ 181,450 1,179,425
Printronix, Inc. (b).................................... 244,500 3,209,062
QRS Corp. (b)........................................... 85,100 2,090,269
Quantum Corp. (b)....................................... 336,900 3,263,719
Quixote Corp. .......................................... 104,600 1,569,000
RehabCare Group, Inc. (b)............................... 41,400 1,128,150
</TABLE>
49
<PAGE>
BRINSON U.S. SMALL CAPITALIZATION
EQUITY FUND SCHEDULE OF INVESTMENTS
--------------------------------------------------------------------------------
June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
-------- ------------
<S> <C> <C>
Republic Group, Inc. .................................... 255,000 $ 2,295,000
Republic Security Financial Corp. ....................... 330,200 1,651,000
ResortQuest International, Inc. (b)...................... 228,100 1,169,013
RFS Hotel Investors, Inc. ............................... 578,900 6,802,075
Russ Berrie & Co., Inc. ................................. 174,700 3,362,975
Saga Communications, Inc., Class A (b)................... 202,650 4,458,300
SBS Technologies, Inc. (b)............................... 278,600 10,290,787
School Specialty, Inc. (b)............................... 63,800 1,184,288
Shaw Industries, Inc. ................................... 174,900 2,186,250
Silicon Valley Bancshares (b)............................ 55,140 2,350,343
Silicon Valley Group, Inc. (b)........................... 188,700 4,882,612
SkyWest, Inc. ........................................... 63,900 2,368,294
SOS Staffing Services, Inc. (b).......................... 573,100 1,755,119
Stanley Furniture Co., Inc. (b).......................... 249,586 5,490,892
Storage USA, Inc. ....................................... 174,900 5,159,550
Stride Rite Corp. ....................................... 514,300 3,150,087
TBC Corp. (b)............................................ 911,600 4,216,150
Team, Inc. (b)........................................... 172,880 345,760
Tractor Supply Co. (b)................................... 299,300 4,957,156
Trans World Entertainment (b)............................ 68,500 830,563
UCBH Holdings, Inc. ..................................... 193,600 5,166,700
UniSource Energy Holding Co. (b)......................... 155,300 2,329,500
Watsco, Inc. ............................................ 233,100 2,913,750
York Group, Inc. ........................................ 266,100 1,064,400
------------
Total Equities (Cost $453,635,990)....................... 420,213,045
------------
</TABLE>
<TABLE>
<CAPTION>
Shares Value
---------- -----------
<S> <C> <C>
Short-Term Investments - 4.49%
Investment Companies - 4.04%
Brinson Supplementary Trust U.S. Cash Management Prime
Fund.................................................. 17,584,228 $17,584,228
-----------
</TABLE>
<TABLE>
<CAPTION>
Face
Amount
----------
<S> <C> <C>
U.S. Government
Obligations - 0.45%
U.S. Treasury Bill, due 08/17/00...................... $2,000,000 1,985,950
------------
Total Short-Term Investments (Cost $19,569,501)....... 19,570,178
------------
Total Investments (Cost $473,205,491) - 100.96% (a)... 439,783,223
Liabilities, less cash and other assets - (0.96)%..... (4,180,472)
------------
Net Assets - 100%..................................... $435,602,751
============
</TABLE>
See accompanying notes to schedule of investments.
50
<PAGE>
BRINSON U.S. SMALL CAPITALIZATION
EQUITY FUND SCHEDULE OF INVESTMENTS
--------------------------------------------------------------------------------
June 30, 2000 (Unaudited)
NOTES TO SCHEDULE OF INVESTMENTS
(a) Aggregate cost for federal income tax purposes was $473,205,491; and net
unrealized depreciation consisted of:
<TABLE>
<S> <C>
Gross unrealized appreciation.............. $ 56,488,281
Gross unrealized depreciation.............. (89,910,549)
------------
Net unrealized depreciation............ $(33,422,268)
============
</TABLE>
(b) Non-income producing security.
FUTURES CONTRACTS
The Brinson U.S. Small Capitalization Equity Fund had the following open
futures contracts as of June 30, 2000:
<TABLE>
<CAPTION>
Settlement Current Unrealized
Date Cost Value Loss
-------------- ----------- ----------- ----------
<S> <C> <C> <C> <C>
Index Futures Buy Contracts
S&P 500 Index, 31
contracts.................. September 2000 $11,608,167 $11,377,775 $(230,392)
=========
</TABLE>
The segregated aggregate market value of investments pledged to cover margin
requirements for the open futures positions at June 30, 2000 was $1,985,950.
See accompanying notes to financial statements.
51
<PAGE>
BRINSON U.S. SMALL CAPITALIZATION
EQUITY FUND FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 2000 (Unaudited)
<TABLE>
<S> <C>
ASSETS:
Investments, at value:
Unaffiliated issuers (Cost $455,621,263)...................... $422,198,995
Affiliated issuers (Cost $17,584,228)......................... 17,584,228
Receivables:
Investment securities sold.................................... 1,616,796
Due from Advisor.............................................. 14,615
Dividends..................................................... 699,236
Interest...................................................... 126,395
Variation margin.............................................. 78,275
-------------
TOTAL ASSETS................................................ 442,318,540
-------------
LIABILITIES:
Payables:
Investments purchased......................................... 6,632,292
Due to custodian bank......................................... 68,882
Accrued expenses.............................................. 14,615
-------------
TOTAL LIABILITIES........................................... 6,715,789
-------------
NET ASSETS:
Applicable to 21,255,186 shares; no par value, unlimited shares
authorized.................................................... $435,602,751
=============
Net asset value, offering and redemption price per share
($435,602,751/21,255,186 shares).............................. $ 20.4940
=============
NET ASSETS CONSIST OF:
Paid in capital................................................ $194,169,617
Accumulated net investment income.............................. 38,660,737
Accumulated net realized gain.................................. 236,425,057
Net unrealized depreciation.................................... (33,652,660)
-------------
NET ASSETS.................................................. $435,602,751
=============
</TABLE>
See accompanying notes to financial statements.
52
<PAGE>
BRINSON U.S. SMALL CAPITALIZATION
EQUITY FUND FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 2000 (Unaudited)
<TABLE>
<S> <C>
INVESTMENT INCOME:
Dividends........................................................ $ 4,118,970
Interest......................................................... 1,034,384
------------
TOTAL INCOME.................................................. 5,153,354
------------
EXPENSES:
Professional..................................................... 15,934
Custodian........................................................ 6,430
Trustees......................................................... 3,094
Other............................................................ 16,630
------------
TOTAL EXPENSES................................................ 42,088
Expenses deferred by Advisor.................................. (42,088)
------------
NET EXPENSES.................................................. --
------------
NET INVESTMENT INCOME......................................... 5,153,354
------------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments..................................................... 36,392,898
Futures contracts............................................... (819,921)
------------
Net realized gain............................................. 35,572,977
------------
Change in net unrealized appreciation or depreciation on:
Investments...................................................... (12,212,963)
Futures contracts................................................ (1,585,807)
------------
Change in net unrealized appreciation or depreciation......... (13,798,770)
------------
Net realized and unrealized gain.................................. 21,774,207
------------
Net increase in net assets resulting from operations.............. $ 26,927,561
============
</TABLE>
See accompanying notes to financial statements.
53
<PAGE>
BRINSON U.S. SMALL CAPITALIZATION
EQUITY FUND FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Six Months
Ended Year Ended
June 30, 2000 December 31,
(Unaudited) 1999
-------------- --------------
<S> <C> <C>
OPERATIONS:
Net investment income.......................... $ 5,153,354 $ 11,145,919
Net realized gain.............................. 35,572,977 46,123,142
Change in net unrealized appreciation or
depreciation.................................. (13,798,770) (21,516,065)
-------------- --------------
Net increase in net assets resulting from
operations.................................... 26,927,561 35,752,996
-------------- --------------
CAPITAL SHARE TRANSACTIONS:
Shares sold.................................... 4,352,695 234,889,275
Shares redeemed................................ (160,302,306) (105,839,522)
-------------- --------------
Net increase (decrease) in net assets resulting
from capital share transactions (a)........... (155,949,611) 129,049,753
-------------- --------------
TOTAL INCREASE (DECREASE) IN NET ASSETS..... (129,022,050) 164,802,749
-------------- --------------
NET ASSETS:
Beginning of period............................ 564,624,801 399,822,052
-------------- --------------
End of period (including accumulated net
investment income of $38,660,737 and
$33,507,383, respectively).................... $ 435,602,751 $ 564,624,801
============== ==============
(a) A summary of capital share transactions fol-
lows:
<CAPTION>
Shares Shares
-------------- --------------
<S> <C> <C>
Shares sold.................................... 214,522 13,533,154
Shares redeemed................................ (7,930,544) (5,676,825)
-------------- --------------
Net increase (decrease) in shares
outstanding.................................. (7,716,022) 7,856,329
============== ==============
</TABLE>
See accompanying notes to financial statements.
54
<PAGE>
BRINSON U.S. SMALL CAPITALIZATION
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 Ended December 31, Period Ended
June 30, 2000 ---------------------------------------- December 31,
(Unaudited) 1999 1998 1997 1996 1995*
------------- --------- --------- --------- --------- ------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value,
beginning of period........... $19.4892 $18.9356 $20.0635 $15.2509 $11.9936 $10.0000
--------- --------- --------- --------- --------- ---------
Income from investment
operations:
Net investment income......... 0.6623 0.0975 0.3375 0.2938 0.2617 0.1660
Net realized and unrealized
gain (loss).................. 0.3425 0.4561 (1.4654) 4.5188 2.9956 1.8276
--------- --------- --------- --------- --------- ---------
Total income (loss) from
investment operations....... 1.0048 0.5536 (1.1279) 4.8126 3.2573 1.9936
--------- --------- --------- --------- --------- ---------
Net asset value, end of
period........................ $20.4940 $19.4892 $18.9356 $20.0635 $15.2509 $11.9936
========= ========= ========= ========= ========= =========
Total return (non-annualized).. 5.16% 2.92% (5.62)% 31.56% 27.16% 19.94%
Ratios/Supplemental data
Net assets, end of period
(in 000s).................... $435,603 $564,625 $399,822 $405,352 $298,978 $256,810
Ratio of expenses to average
net assets:
Before expense reimbursement
and earnings credits........ 0.02%** 0.01% 0.01% 0.03% 0.09% 0.17%**
After expense reimbursement
and earnings credits........ 0.00%** 0.00% 0.00% 0.00% 0.00% 0.00%**
Ratio of net investment income
to average net assets:
Before expense reimbursement
and earnings credits........ 1.99%** 2.05% 1.90% 1.76% 1.78% 1.85%**
After expense reimbursement
and earnings credits........ 2.01%** 2.06% 1.91% 1.79% 1.87% 2.02%**
Portfolio turnover rate....... 33% 57% 40% 45% 39% 25%
</TABLE>
*The Fund commenced operations April 28, 1995.
**Annualized
See accompanying notes to financial statements.
55
<PAGE>
BRINSON GLOBAL (Ex-U.S.) EQUITY FUND
--------------------------------------------------------------------------------
The Brinson Global (Ex-U.S.)Equity Fund has provided an annualized return of
9.93% since its performance inception on June 30, 1998. Over the same period,
its benchmark, the MSCI World Ex USA (Free) Index, has produced a return of
12.83%. The Fund's performance was achieved with a volatility or risk of
17.18%, below the 17.97% volatility of the benchmark. Year-to-date, the Fund
returned -2.70% outperforming the benchmark return of -2.99%. During the second
quarter, returns were dominated by "old economy" stocks, and the Fund
outperformed the benchmark by 463 basis points.
Trends of the last two years show a remarkable divergence between the
performance of "new economy" and "old economy" sectors. In contrast to recent
bull markets, the current price appreciation has been limited to narrow groups
of technology, media and telecommunications (TMT) stocks. This phenomenon,
while originally most prevalent in the U.S. where it began, has proliferated
into all developed equity markets. As such, we hold significant underweights to
TMT sectors. This strategy began to pay off in the second quarter as investors
began to question whether TMT companies can grow and increase earnings fast
enough and for long enough to justify their high valuations.
While we are skeptical of inflated equity investment expectations, we
understand and appreciate the role of new and emerging technology in business.
Our analysis is focused on investing in companies with solid fundamentals as
well as promising uses for new technologies. Specifically, we see opportunities
in some "old economy" sectors such as utilities, diversified financials, and
food, beverages and tobacco where some companies are leveraging their skills,
assets and competitive positions to take advantage of the Inernet.
With respect to countries, we increased our underweights to Canada, Europe (ex-
U.K.) and the EMU region during the quarter where our analysis indicates
overvaluation. After a few periods of outperformance in Japan, we sold some
Japanese holdings and distributed the proceeds into the U.K. market. We still
maintain a modest overweight to Japan to capture opportunities that are coming
from the ongoing restructuring of the corporate sector in the region. The
restructuring trend is breaking old business molds and bringing much needed
efficiencies to many companies. The Fund's regional weightings were modestly
additive to returns during the quarter.
56
<PAGE>
BRINSON GLOBAL (Ex-U.S.) EQUITY FUND
--------------------------------------------------------------------------------
Total Return
<TABLE>
<CAPTION>
6 Months 1 Year Annualized
Ended Ended 6/30/98*
6/30/00 6/30/00 to 6/30/00
-------------------------------------------------------------------
<S> <C> <C> <C>
Brinson Global (Ex-U.S.) Equity Fund -2.70% 14.05% 9.93%
-------------------------------------------------------------------
MSCI World Ex USA (Free) Index -2.99 18.78 12.83
-------------------------------------------------------------------
</TABLE>
*Performance inception date of the Brinson Global (Ex-U.S.) Equity 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 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
[GRAPH]
Brinson Global MSCI World
(Ex-U.S.) Ex USA
Equity Fund (Free) Index
6/30/98 100,000 100,000
7/31/98 101,820 100,660
8/31/98 89,193 87,808
9/30/98 86,983 85,299
10/31/98 94,172 94,198
11/30/98 98,923 98,985
12/31/98 102,591 102,717
1/31/99 102,553 102,702
2/28/99 99,258 100,118
3/31/99 102,540 104,257
4/30/99 107,271 108,760
5/31/99 101,925 103,195
6/30/99 105,992 107,178
7/31/99 109,244 110,278
8/31/99 108,918 110,574
9/30/99 108,164 111,809
10/31/99 110,983 116,130
11/30/99 113,932 120,176
12/31/99 125,008 131,240
1/31/00 115,352 123,268
2/29/00 115,825 126,728
3/31/00 119,533 131,932
4/30/00 115,134 125,072
5/31/00 114,078 122,042
6/30/00 120,856 127,310
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.
57
<PAGE>
BRINSON GLOBAL (Ex-U.S.) EQUITY FUND
--------------------------------------------------------------------------------
INDUSTRY DIVERSIFICATION
As a Percent of Net Assets
As of June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
<S> <C>
GLOBAL (Ex-U.S.) EQUITIES
Aerospace & Military................................................. 0.35%
Airlines............................................................. 0.77
Appliances & Households.............................................. 2.35
Autos/Durables....................................................... 2.25
Banking.............................................................. 11.30
Beverages and Tobacco................................................ 3.62
Broadcasting & Publishing............................................ 4.67
Building Materials................................................... 0.49
Business & Public Service............................................ 1.30
Chemicals............................................................ 3.18
Computer Software.................................................... 0.53
Consumer............................................................. 0.35
Data Processing...................................................... 1.21
Electric Components.................................................. 3.66
Electronics.......................................................... 2.43
Energy............................................................... 4.87
Financial Services................................................... 4.21
Food & House Products................................................ 3.84
Forest Products...................................................... 0.47
Health & Personal Care............................................... 7.56
Industrial Components................................................ 0.78
Insurance............................................................ 5.87
Leisure & Tourism.................................................... 0.44
Machinery & Engineering.............................................. 2.23
Merchandising........................................................ 0.96
Metals-Steel......................................................... 0.37
Multi-Industry....................................................... 0.07
Non-Ferrous Metals................................................... 0.76
Non-Durables......................................................... 0.06
Real Estate.......................................................... 1.21
Recreation........................................................... 0.57
Services/Miscellaneous............................................... 0.03
Technology........................................................... 1.03
Telecommunications................................................... 12.88
Transportation....................................................... 2.20
Utilities............................................................ 5.76
Wholesale & International Trade...................................... 0.18
--------
Total Global (Ex.-U.S.) Equities.................................... 94.81
SHORT-TERM INVESTMENTS............................................... 3.60
--------
TOTAL INVESTMENTS................................................... 98.41
CASH AND OTHER ASSETS, LESS LIABILITIES.............................. 1.59
--------
NET ASSETS........................................................... 100.00%
========
</TABLE>
TOP TEN EQUITY HOLDINGS
As of June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
Percent of
Net Assets
--------------------------------------------------------------------------------
<S> <C>
1. Glaxo Wellcome PLC............................................... 2.10%
2. Nippon Telegraph & Telephone Corp. .............................. 1.76
3. BP Amoco PLC..................................................... 1.61
4. Total Fina Elf................................................... 1.59
5. Heineken NV...................................................... 1.45
6. Lloyds TSB Group PLC............................................. 1.35
7. Allianz AG....................................................... 1.27
8. Ericsson, B Shares............................................... 1.24
9. Fujitsu.......................................................... 1.21
10. Marconi PLC...................................................... 1.18
--------------------------------------------------------------------------------
</TABLE>
58
<PAGE>
BRINSON GLOBAL (Ex-U.S.) EQUITY FUND SCHEDULE OF INVESTMENTS
--------------------------------------------------------------------------------
June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
------- ----------
<S> <C> <C>
Global (Ex-U.S.) Equities - 94.81%
Australia - 4.16%
Amcor Ltd. ................................................. 13,260 $ 46,502
Amp Ltd. ................................................... 14,700 150,039
Boral Ltd. (b).............................................. 24,850 31,332
Brambles Industries Ltd. ................................... 4,860 149,795
Broken Hill Proprietary Co., Ltd. .......................... 18,950 224,707
CSR Ltd. ................................................... 13,610 37,915
Howard Smith Ltd. .......................................... 10,800 52,912
Lend Lease Corp., Ltd. ..................................... 12,360 158,125
National Australia Bank Ltd. ............................... 17,100 286,423
National Australia Bank Ltd., Preferred..................... 4,800 135,900
News Corp., Ltd. ........................................... 32,260 445,484
News Corp., Ltd., Preferred................................. 14,320 173,373
Origin Energy Ltd. (b)...................................... 24,350 23,538
Qantas Airways Ltd. ........................................ 18,630 37,807
QBE Insurance Group Ltd. ................................... 27,977 137,268
Rio Tinto Ltd. ............................................. 8,250 136,805
Santos Ltd. ................................................ 24,160 73,833
Telstra Corp., Ltd. ........................................ 90,490 368,358
Westpac Banking Corp., Ltd. ................................ 48,810 353,131
WMC Ltd. ................................................... 13,930 62,501
Woolworth's Ltd. ........................................... 33,540 124,147
----------
3,209,895
----------
Austria - 0.09%
Austria Tabakwerke AG....................................... 1,900 70,668
----------
Belgium - 1.18%
Electrabel S.A. ............................................ 1,610 399,571
Fortis B.................................................... 17,490 511,024
----------
910,595
----------
Canada - 2.59%
Agrium, Inc. ............................................... 13,920 119,312
Alcan Aluminum Ltd. ........................................ 3,760 116,731
Bank of Montreal............................................ 1,490 62,850
Canadian National Railway Co. .............................. 7,320 212,926
Canadian Pacific Ltd. ...................................... 8,580 222,361
Hudson's Bay Co. ........................................... 15,980 169,323
Imperial Oil Ltd. .......................................... 4,140 101,006
Magna International, Inc., Class A.......................... 3,240 152,083
NOVA Chemicals Corp. ....................................... 8,814 185,001
Potash Corporation of Saskatchewan, Inc. ................... 1,740 95,120
Royal Bank of Canada........................................ 4,580 234,146
Shaw Communications, Inc., Class B.......................... 7,840 193,129
TransCanada Pipelines Ltd. ................................. 3,700 28,218
Westcoast Energy, Inc. ..................................... 6,880 105,868
----------
1,998,074
----------
Denmark - 0.59%
Tele Danmark A/S............................................ 6,700 452,842
----------
</TABLE>
<TABLE>
<CAPTION>
Shares Value
------- ----------
<S> <C> <C>
Finland - 2.36%
Metso Oyj................................................... 9,409 $ 113,645
Nokia Oyj (b)............................................... 16,264 833,320
Sampo Insurance Co., Ltd., Series A......................... 13,352 543,966
UPM-Kymmene Corp. .......................................... 13,237 329,913
----------
1,820,844
----------
France - 9.55%
Air France.................................................. 12,098 209,908
Air Liquide................................................. 3,882 508,274
Alcatel..................................................... 8,365 550,883
Alcatel S.A. ADR............................................ 5,525 367,412
Aventis S.A................................................. 7,169 525,379
Axa......................................................... 807 127,642
Banque Nationale de Paris................................... 7,928 766,056
Cie de Saint Gobain......................................... 2,283 309,889
CSF Thomson................................................. 6,895 272,709
France Telecom S.A. ........................................ 3,326 466,767
Groupe Danone............................................... 3,124 416,258
L'Oreal S.A. ............................................... 297 258,226
Schneider Electric S.A. .................................... 4,081 285,579
Societe Generale............................................ 9,870 596,066
Suez Lyonnaise des Eaux S.A. ............................... 1,074 188,920
Total Fina S.A., Class B.................................... 7,975 1,227,758
Vivendi..................................................... 3,417 302,823
----------
7,380,549
----------
Germany - 4.71%
Allianz AG.................................................. 2,757 983,935
Bayer AG.................................................... 18,670 717,671
Bayerische Motoren Werke AG................................. 9,040 276,437
Continental AG.............................................. 10,030 169,219
E.on AG..................................................... 14,880 720,329
SAP AG...................................................... 1,620 245,984
Siemens AG.................................................. 3,240 486,999
Volkswagen AG............................................... 900 34,768
----------
3,635,342
----------
Hong Kong - 0.44%
Henderson Land Development Co., Ltd. ....................... 78,000 343,207
----------
Ireland - 0.75%
Bank of Ireland............................................. 37,145 233,405
Eircom PLC.................................................. 128,670 345,360
----------
578,765
----------
Italy - 3.41%
Assicurazioni Generali...................................... 11,000 378,550
ENI Spa..................................................... 93,000 539,355
ENI Spa ADR................................................. 2,248 130,806
Rinascente Spa (b).......................................... 30,000 170,822
San Paolo-imi Spa........................................... 29,495 525,611
Telecom Italia Mobile Spa................................... 48,000 492,336
Telecom Italia Spa.......................................... 29,000 400,311
----------
2,637,791
----------
</TABLE>
59
<PAGE>
BRINSON GLOBAL (Ex-U.S.) EQUITY FUND SCHEDULE OF INVESTMENTS
--------------------------------------------------------------------------------
June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
------- ------------
<S> <C> <C>
Japan - 25.00%
Acom Co., Ltd. ........................................... 3,800 $ 320,363
Asahi Bank Ltd. .......................................... 31,000 130,674
Bank of Tokyo-Mitsubushi Ltd. ............................ 40,000 484,287
Benesse Corp. ............................................ 1,900 131,988
Bridgestone Corp. ........................................ 10,000 212,183
Canon, Inc. .............................................. 16,000 798,450
Dai Nippon Printing Co., Ltd. ............................ 11,000 194,310
Dai-Ichi Kangyo Bank...................................... 18,000 136,950
Daikin Industries Ltd. ................................... 7,000 163,083
Denso Corp. .............................................. 9,000 219,460
East Japan Railway Co. ................................... 56 326,034
Fanuc..................................................... 3,800 387,524
Fuji Bank Ltd. ........................................... 29,000 220,916
Fuji Photo Film Co., Ltd. ................................ 6,000 246,113
Fujitsu................................................... 27,000 936,534
Hitachi Ltd. ............................................. 26,000 375,975
Honda Motor Co. .......................................... 16,000 545,910
Hoya Corp. ............................................... 3,000 269,363
Ito Yokado Co., Ltd. ..................................... 3,000 180,899
Kamigumi Co., Ltd. ....................................... 31,000 163,782
Kao Corp. ................................................ 13,000 398,091
Kirin Brewery Co., Ltd. .................................. 14,000 175,323
Kuraray Co., Ltd. ........................................ 24,000 275,828
Kyocera Corp. ............................................ 500 85,015
Matsushita Electric Industrial Co. ....................... 23,000 597,798
Mitsubishi Corp. ......................................... 16,000 145,022
Mitsubishi Estate Co., Ltd. .............................. 37,000 436,426
Mitsubishi Trust and Banking Corp. ....................... 13,000 101,120
Murata Manufacturing Co., Inc. ........................... 2,000 287,699
NEC Corp. ................................................ 24,000 755,352
NGK Insulators............................................ 20,000 248,381
Nintendo Corp., Ltd. ..................................... 2,500 437,597
Nippon Steel Co. ......................................... 134,000 282,425
Nippon Telegraph & Telephone Corp. ....................... 102 1,359,293
Nissin Food Products Co. ................................. 6,800 173,527
Nomura Securities Co., Ltd. .............................. 30,000 735,788
Omron Corp. .............................................. 5,000 136,099
Orix Corp. ............................................... 2,600 384,575
Rohm Co. ................................................. 500 146,496
Sankyo Pharm Co. ......................................... 14,000 316,904
Santen Pharmaceutical Co., Ltd. .......................... 8,000 193,564
Secom Co., Ltd. .......................................... 5,000 366,240
Shin-Etsu Chemical Co., Ltd. ............................. 5,000 254,241
Softbank Corp. ........................................... 1,200 163,319
Sony Corp. ............................................... 8,900 832,758
Sumitomo Bank............................................. 29,000 356,316
Sumitomo Chemical Co. .................................... 50,000 301,498
Sumitomo Electric Industries.............................. 11,000 189,008
Takeda Chemical Industries................................ 8,000 526,251
Takefuji Corp. ........................................... 1,500 181,608
TDK Corp. ................................................ 3,000 432,116
Tokio Marine & Fire Insurance Co. ........................ 18,000 208,232
Tokyo Gas Co., Ltd. ...................................... 80,000 225,320
</TABLE>
<TABLE>
<CAPTION>
Shares Value
------- ------------
<S> <C> <C>
Toyoda Automatic Loom Works............................... 3,000 $ 65,073
Toyota Motor Corp. ....................................... 16,000 730,400
Yamanouchi Pharmaceutical Co., Ltd. ...................... 3,000 164,170
Yamato Transport Co., Ltd. ............................... 8,000 199,234
------------
19,312,905
------------
Netherlands - 6.33%
ABN AMRO Holdings NV...................................... 15,573 383,059
Aegon NV.................................................. 18,904 675,382
Elsevier NV............................................... 58,540 712,116
Heineken NV............................................... 18,300 1,118,325
ING Groep NV.............................................. 9,659 655,544
Philips Electronics NV.................................... 6,400 303,070
TNT Post Group NV......................................... 9,982 270,317
Wolters Kluwer NV......................................... 28,838 771,269
------------
4,889,082
------------
New Zealand - 0.27%
Auckland International Airport Ltd. ...................... 26,590 31,547
Carter Holt Harvey Ltd. .................................. 42,160 36,721
Lion Nathan Ltd. ......................................... 31,030 69,392
Telecom Corp. of New Zealand Ltd. ........................ 20,710 72,640
------------
210,300
------------
Portugal - 1.49%
Brisa-Auto Estradas de Portugal S.A. ..................... 31,593 273,171
Electricidade de Portugal S.A. ........................... 14,743 268,802
Portugal Telecom.......................................... 54,255 611,623
------------
1,153,596
------------
Singapore - 0.61%
DBS Group Holdings Ltd. .................................. 11,000 141,238
SIA Engineering Co., Ltd. (b)............................. 42,000 47,126
Singapore Airport Terminal Services Ltd. (b).............. 18,000 21,862
United Overseas Bank Ltd. ................................ 40,296 263,357
------------
473,583
------------
Spain - 2.95%
Altadis S.A. ............................................. 33,994 524,318
Banco Popular Espanol S.A. ............................... 15,151 470,568
Banco Santander Central Hispano S.A. ..................... 40,370 427,620
Endesa S.A. .............................................. 13,345 259,560
Telefonica S.A. (b)....................................... 27,587 595,009
------------
2,277,075
------------
Sweden - 3.30%
Electrolux AB, B Shares................................... 24,750 385,176
Ericsson, B Shares........................................ 48,100 956,955
Investor AB, B Shares..................................... 23,480 322,579
Nordic Baltic Holdings AB................................. 79,810 605,104
Swedish Match AB.......................................... 91,080 282,451
------------
2,552,265
------------
</TABLE>
60
<PAGE>
BRINSON GLOBAL (Ex-U.S.) EQUITY FUND SCHEDULE OF INVESTMENTS
--------------------------------------------------------------------------------
June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
-------- ----------
<S> <C> <C>
Switzerland - 3.56%
Givaudan (b)............................................... 46 $ 14,045
Nestle S.A. (Reg.)......................................... 350 702,755
New ABB Ltd................................................ 2,883 346,169
Novartis AG (Reg.)......................................... 543 862,870
Roche Holding AG (Gen.).................................... 47 458,988
Swisscom AG (Reg.)......................................... 1,061 368,652
----------
2,753,479
----------
United Kingdom - 21.47%
Allied Zurich PLC.......................................... 25,131 297,326
AstraZeneca PLC............................................ 8,119 379,186
BP Amoco PLC............................................... 129,218 1,240,242
British Airways PLC........................................ 52,481 301,912
British Telecommunications PLC............................. 67,951 878,513
Charter PLC................................................ 68,792 396,787
De Vere Group PLC.......................................... 13,174 61,427
Diageo PLC................................................. 52,766 473,700
FKI PLC.................................................... 59,649 212,210
Glaxo Wellcome PLC......................................... 55,527 1,619,870
House of Fraser PLC........................................ 64,415 47,003
HSBC Holdings PLC.......................................... 24,116 275,825
Invensys PLC............................................... 24,000 90,107
Kelda Group PLC............................................ 67,146 328,335
Lloyds TSB Group PLC....................................... 110,655 1,045,322
Marconi PLC................................................ 69,802 908,784
Marks & Spencer PLC........................................ 62,565 219,979
National Power PLC......................................... 68,863 438,897
Nycomed Amersham PLC....................................... 42,785 424,903
Peninsular & Oriental Steam Navigation Co. ................ 22,489 192,700
Powergen PLC............................................... 35,986 307,805
Prudential Corp. PLC....................................... 32,443 475,434
Reckitt Benckiser PLC...................................... 19,739 221,132
Reed International PLC..................................... 53,869 468,922
</TABLE>
<TABLE>
<CAPTION>
Shares Value
--------- -----------
<S> <C> <C>
RJB Mining PLC.......................................... 51,723 $ 43,850
Royal & Sun Alliance Insurance Group PLC................ 85,466 555,066
Royal Bank of Scotland Group PLC........................ 37,832 633,445
Scottish & Newcastle PLC................................ 10,000 81,674
Scottish & Southern Energy PLC.......................... 53,729 492,919
Shell Transport & Trading Co............................ 50,596 422,431
SmithKline Beecham PLC.................................. 20,000 261,903
Tesco PLC............................................... 138,176 429,872
Thames Water PLC........................................ 16,586 214,685
Trinity Mirror PLC...................................... 43,052 386,494
Unilever PLC............................................ 75,430 456,771
United News & Media PLC................................. 31,822 457,662
Vodafone Group PLC...................................... 207,745 839,723
-----------
16,582,816
-----------
Total Global (Ex-U.S.) Equities (Cost $70,137,500)...... 73,243,673
-----------
Short-Term Investments - 3.60%
Investment Companies - 3.60%
Brinson Supplementary Trust U.S. Cash Management Prime
Fund (Cost $2,780,511)................................. 2,780,511 2,780,511
-----------
Total Investments (Cost $72,918,011) - 98.41% (a)....... 76,024,184
Cash and other assets, less liabilities - 1.59%......... 1,228,417
-----------
Net Assets - 100%....................................... $77,252,601
-----------
</TABLE>
See accompanying notes to schedule of investments.
61
<PAGE>
BRINSON GLOBAL (Ex-U.S.) EQUITY FUND SCHEDULE OF INVESTMENTS
--------------------------------------------------------------------------------
June 30, 2000 (Unaudited)
NOTES TO SCHEDULE OF INVESTMENTS
(a) Aggregate cost for federal income tax purposes was $72,918,011; and net
unrealized appreciation consisted of:
<TABLE>
<S> <C>
Gross unrealized appreciation................ $7,120,067
Gross unrealized depreciation................ (4,013,894)
-----------
Net unrealized appreciation.............. $3,106,173
===========
</TABLE>
(b) Non-income producing security.
FORWARD FOREIGN CURRENCY CONTRACTS
The Brinson Global (Ex-U.S.) Equity Fund had the following open forward
currency contracts as of June 30, 2000:
<TABLE>
<CAPTION>
Settlement Local Current Unrealized
Date Currency Value Gain/(Loss)
---------- ------------- ----------- -----------
<S> <C> <C> <C> <C>
Forward Foreign Currency Buy
Contracts:
Australian Dollar............ 12/01/00 8,950,000 $ 5,390,560 $ 271,160
British Pound................ 12/01/00 1,900,000 2,885,740 7,715
Canadian Dollar.............. 12/01/00 2,000,000 1,355,399 19,394
Euro......................... 12/01/00 15,100,000 14,611,254 447,906
Japanese Yen................. 12/01/00 312,000,000 3,034,455 3,164
Swiss Franc.................. 12/01/00 2,200,000 1,372,204 43,702
Forward Foreign Currency Sale
Contracts:
Australian Dollar............ 12/01/00 1,650,000 993,790 11,720
British Pound................ 12/01/00 7,100,000 10,783,554 (210,234)
Euro......................... 12/01/00 4,300,000 4,160,821 (10,786)
Japanese Yen................. 12/01/00 1,090,000,000 10,601,142 (45,128)
----------
Total...................... $ 538,613
==========
</TABLE>
See accompanying notes to financial statements.
62
<PAGE>
BRINSON GLOBAL (Ex-U.S.) EQUITY FUND FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 2000 (Unaudited)
<TABLE>
<S> <C>
ASSETS:
Investments, at value:
Unaffiliated issuers (Cost $70,137,500)......................... $73,243,673
Affiliated issuers (Cost $2,780,511)............................ 2,780,511
Foreign currency, at value (Cost $464,832)....................... 474,160
Receivables:
Investment securities sold...................................... 766,285
Due from Advisor................................................ 3,987
Dividends....................................................... 180,876
Interest........................................................ 5,261
Net unrealized appreciation on forward foreign currency
contracts....................................................... 538,613
------------
TOTAL ASSETS.................................................. 77,993,366
------------
LIABILITIES:
Payables:
Investment securities purchased................................. 706,268
Due to custodian bank........................................... 3,980
Accrued expenses................................................ 30,517
------------
TOTAL LIABILITIES............................................. 740,765
------------
NET ASSETS:
Applicable to 6,351,515 shares; no par value, unlimited shares
authorized...................................................... $77,252,601
============
Net asset value, offering price and redemption price per share
($77,252,601 / 6,351,515 shares)................................ $ 12.1629
============
NET ASSETS CONSIST OF:
Paid in capital.................................................. $57,505,524
Accumulated net investment income................................ 3,065,390
Accumulated net realized gain.................................... 13,039,104
Net unrealized appreciation...................................... 3,642,583
------------
NET ASSETS.................................................... $77,252,601
============
</TABLE>
See accompanying notes to financial statements.
63
<PAGE>
BRINSON GLOBAL (Ex-U.S.) EQUITY FUND FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 2000 (Unaudited)
<TABLE>
<S> <C>
INVESTMENT INCOME:
Dividends (net of $131,843 for foreign taxes withheld)......... $ 788,052
Interest....................................................... 49,680
-------------
TOTAL INCOME................................................ 837,732
-------------
EXPENSES:
Custodian...................................................... 25,699
Professional................................................... 21,022
Trustees....................................................... 2,712
Other.......................................................... 746
-------------
TOTAL EXPENSES.............................................. 50,179
Earnings credits............................................ (1,418)
Expenses deferred by Advisor................................ (21,740)
-------------
NET EXPENSES................................................ 27,021
-------------
NET INVESTMENT INCOME....................................... 810,711
-------------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments................................................... 9,978,537
Foreign currency transactions................................. (90,434)
-------------
Net realized gain........................................... 9,888,103
-------------
Change in net unrealized appreciation or depreciation on:
Investments and foreign currency.............................. (15,504,599)
Forward foreign currency contracts............................ 505,262
Translation of other assets and liabilities denominated in
foreign currency............................................. (12,215)
-------------
Change in net unrealized appreciation or depreciation....... (15,011,552)
-------------
Net realized and unrealized loss................................ (5,123,449)
-------------
Net decrease in net assets resulting from operations............ $ (4,312,738)
=============
</TABLE>
See accompanying notes to financial statements.
64
<PAGE>
BRINSON GLOBAL (Ex-U.S.) EQUITY FUND FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Six Months
Ended Year Ended
June 30, 2000 December 31,
(Unaudited) 1999
------------- ------------
<S> <C> <C>
OPERATIONS:
Net investment income.............................. $ 810,711 $ 1,837,127
Net realized gain.................................. 9,888,103 4,218,258
Change in net unrealized appreciation or
depreciation...................................... (15,011,552) 13,858,952
------------ ------------
Net increase (decrease) in net assets resulting
from operations................................... (4,312,738) 19,914,337
------------ ------------
CAPITAL SHARE TRANSACTIONS:
Shares sold........................................ 14,564,040 59,948,270
Shares redeemed.................................... (52,095,959) (36,326,817)
------------ ------------
Net increase (decrease) in net assets resulting
from capital share transactions (a)............... (37,531,919) 23,621,453
------------ ------------
TOTAL INCREASE (DECREASE) IN NET ASSETS......... (41,844,657) 43,535,790
------------ ------------
NET ASSETS:
Beginning of period................................ 119,097,258 75,561,468
------------ ------------
End of period (including accumulated net investment
income of $3,065,390 and $2,254,679,
respectively)..................................... $ 77,252,601 $119,097,258
============ ============
(a) A summary of capital share transactions follows:
<CAPTION>
Shares Shares
------------- ------------
<S> <C> <C>
Shares sold........................................ 1,203,033 5,616,680
Shares redeemed.................................... (4,378,666) (3,409,755)
------------ ------------
Net increase (decrease) in shares outstanding..... (3,175,633) 2,206,925
============ ============
</TABLE>
See accompanying notes to financial statements.
65
<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 Year Ended Period Ended
June 30, 2000 December 31, December 31,
(Unaudited) 1999 1998*
------------- ------------ ------------
<S> <C> <C> <C>
Net asset value, beginning of period... $12.5008 $10.3223 $10.0000
--------- --------- ---------
Income (loss) from investment
operations:
Net investment income................. 0.2460 0.1796 0.0570
Net realized and unrealized gain
(loss)............................... (0.5839) 1.9989 0.2653
--------- --------- ---------
Total income (loss) from investment
operations.......................... (0.3379) 2.1785 0.3223
--------- --------- ---------
Net asset value, end of period......... $12.1629 $12.5008 $10.3223
========= ========= =========
Total return (non-annualized).......... (2.70)% 21.10% 3.22%
Ratios/Supplemental data...............
Net assets, end of period (in 000s)... $ 77,253 $119,097 $ 75,561
Ratio of expenses to average net
assets:
Before expense reimbursement......... 0.11%** 0.12% 0.10%**
After expense reimbursement.......... 0.06%** 0.06% 0.06%**
Ratio of net investment income to
average net assets:
Before expense reimbursement......... 1.75%** 1.90% 1.40%**
After expense reimbursement.......... 1.80%** 1.96% 1.44%**
Portfolio turnover rate............... 35% 86% 41%
</TABLE>
*The Fund commenced operations June 26, 1998.
**Annualized
See accompanying notes to financial statements.
66
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND
--------------------------------------------------------------------------------
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
1.59%, compared to the 0.55% return of its benchmark, the MSCI Emerging Markets
(Free) Index. Over the last six months, the Fund returned -7.37% while the MSCI
EMF Index returned -7.99%. While these returns are disappointing, it is
important to remember that they come on the heels of a very strong 1999, in
which the portfolio and index returned more than 60%. Returns were positive in
the emerging equity markets in the first quarter, but turned in negative
results of about -10.0% for the second quarter. Increasing uncertainty about
the global economy and interest rate hikes by the U.S. Federal Reserve seemed
to dampen investors' feelings on the asset class.
During the first half of the year, the benchmark's composition changed
considerably. Asia, which constituted about 40% of the benchmark at the end of
1999, now makes up about 50% of the benchmark. The Latin America region made up
about 29% of the benchmark at the beginning of the year, and now constitutes
about 24%, while the Europe/Middle East/Africa region went from about 31% down
to about 25% of the benchmark's composition. The increase in policy weight to
Asia is a result of three primary factors. First is the long-term convergence
prospect offered by Korea and Taiwan with a growing number of large globally
competitive companies. Second is the acceleration of China's restructuring
associated with its entry into the World Trade Organization. The third factor
is the removal of capital controls in Malaysia, which justifies an increase in
longer-term policy exposure. The reduction in Latin America results partially
form acquisitions of companies by larger foreign-listed companies in the recent
past.
Our current tactical weightings leave us broadly neutral in Asia vis-a-vis the
technology, media and telecommunication (TMT) sectors, which account for a
slightly lower share in emerging markets (41%) than they do for the global
equity universe (47%). Telecoms remain attractively valued in Latin America,
where they are overweighted, whereas in other regions, our TMT exposure is
concentrated in high-tech manufacturers rather than in telecom companies. We
are also broadly neutral in Asia with respect to our long-term policy, with
underweights in Malaysia and Thailand matching an overweight in India. We are
also underweight Latin America in recognition of its particular vulnerability
(especially Mexico) to U.S. interest rate hikes and demand slowdown, and to the
lack of bottom-up opportunities in Chile.
67
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND
--------------------------------------------------------------------------------
Total Return
<TABLE>
<CAPTION>
Annualized
6 Months 1 Year 3 Years 6/30/95/1
Ended Ended Ended / to
6/30/00 6/30/00 6/30/00 6/30/00
------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Brinson Emerging Markets Equity Fund/2/ -7.37% 14.47% -4.30% 1.45%
------------------------------------------------------------------------------
Brinson Emerging Markets Equity Fund/3/ -10.13 11.06 -5.26 1.15
------------------------------------------------------------------------------
MSCI Emerging Markets (Free) Index -7.99 9.47 -4.96 0.99
------------------------------------------------------------------------------
</TABLE>
/1/Performance inception date of the Brinson Emerging Markets Equity Fund.
/2/Total return based on NAV--does not include the payment of a 1.50%
transaction charge on Fund share purchases and redemptions.
/3/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 and the MSCI Emerging Markets (Free) 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. MSCI Emerging Markets Free Index
[GRAPH]
Brinson Emerging MSCI Emerging
Markets Equity Markets (Free)
Fund/2/ Index
6/30/95 100,000 100,000
7/31/95 99,469 102,245
8/31/95 94,941 99,836
9/30/95 95,041 99,362
10/31/95 92,298 95,559
11/30/95 90,060 93,855
12/31/95 93,164 98,017
1/31/96 99,521 104,985
2/29/96 99,709 103,315
3/31/96 100,005 104,120
4/30/96 104,747 108,283
5/31/96 103,691 107,800
6/30/96 105,701 108,473
7/31/96 98,860 101,059
8/31/96 100,824 103,646
9/30/96 101,719 104,544
10/31/96 98,597 101,756
11/30/96 100,788 103,461
12/31/96 101,862 103,929
1/31/97 111,465 111,018
2/28/97 114,896 115,772
3/31/97 113,164 112,731
4/30/97 113,647 112,930
5/31/97 118,493 116,162
6/30/97 122,647 122,379
7/31/97 124,271 124,206
8/31/97 111,402 108,401
9/30/97 115,646 111,404
10/31/97 99,057 93,124
11/30/97 92,813 89,726
12/31/97 91,635 91,889
1/31/98 88,446 84,682
2/28/98 95,912 93,520
3/31/98 99,893 97,579
4/30/98 100,327 96,516
5/31/98 88,532 83,289
6/30/98 80,845 74,553
7/31/98 84,345 76,916
8/31/98 59,302 54,677
9/30/98 60,325 58,145
10/31/98 66,285 64,268
11/30/98 70,021 69,613
12/31/98 70,004 68,604
1/31/99 68,941 67,497
2/28/99 69,912 68,154
3/31/99 77,436 77,136
4/30/99 87,270 86,679
5/31/99 86,025 86,175
6/30/99 93,900 95,955
7/31/99 91,746 93,348
8/31/99 91,000 94,198
9/30/99 87,241 91,010
10/31/99 90,264 92,948
11/30/99 98,662 101,282
12/31/99 116,039 114,163
1/31/00 117,029 114,843
2/29/00 119,917 116,360
3/31/00 119,583 116,928
4/30/00 107,973 105,844
5/31/00 102,813 101,468
6/30/00 107,490 105,042
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.
68
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND
--------------------------------------------------------------------------------
MARKET ALLOCATION
As of June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
MSCI-EMF* Normal Strategy
Benchmark Benchmark Strategy Over/Under Range**
Exposure Exposure Exposure Weights (95% Freq.)
--------- --------- -------- ---------- -----------
<S> <C> <C> <C> <C> <C>
Latin America 23.65% 24.00% 23.00% -1.0%
Argentina................. 1.73 3.00 2.00 -1.0 0 to +5
Brazil.................... 8.55 9.00 10.00 1.0 +/-7
Chile..................... 2.82 3.00 1.50 -1.5 0 to + 5
Colombia.................. 0.21 0.00 0.00 0.0 0 to + 2
Mexico.................... 9.33 9.00 9.00 0.0 +/-7
Peru...................... 0.58 0.00 0.50 0.5 0 to + 2
Venezuela................. 0.45 0.00 0.00 0.0 0 to + 2
Asia 50.98% 49.00% 48.00% -1.0%
China..................... 6.47 4.50 4.50 0.0 0 to + 5
India..................... 7.49 4.50 5.50 1.0 0 to + 5
Indonesia................. 0.99 3.00 3.00 0.0 0 to + 5
Korea..................... 13.95 14.00 14.00 0.0 +/-7
Malaysia.................. 6.46 3.00 1.50 -1.5 0 to + 5
Pakistan.................. 0.32 0.00 0.00 0.0 0 to + 2
Philippines............... 0.79 3.00 3.00 0.0 0 to + 5
Taiwan.................... 12.74 14.00 15.00 1.0 +/-7
Thailand.................. 1.73 3.00 1.50 -1.5 0 to + 5
Europe/Middle East/ Africa 25.37% 27.00% 28.15% 1.2%
Baltics/CIS............... 0.00 0.00 0.95 0.95
Bulgaria.................. 0.00 0.00 0.13 0.1 0 to +2
Czech Republic............ 0.57 1.50 1.00 -0.5 0 to +5
Egypt..................... 0.00 0.00 0.20 0.2 0 to +2
Greece.................... 4.29 0.00 1.50 1.5 0 to +2
Hungary................... 0.98 1.50 2.50 1.0 0 to +5
Israel.................... 4.59 4.50 4.50 0.0 0 to +5
Jordan.................... 0.11 0.00 0.00 0.0 0 to +2
Kazakhstan................ 0.00 0.00 0.40 0.4 0 to +2
Poland.................... 1.19 3.00 3.00 0.0 0 to +5
Romania................... 0.00 0.00 0.30 0.3 0 to +2
Russia.................... 2.17 3.00 3.00 0.0 0 to +5
South Africa.............. 8.05 9.00 7.00 -2.0 +/-7
Turkey.................... 3.43 4.50 4.50 0.0 0 to +5
Ukraine................... 0.00 0.00 0.12 0.1 0 to +2
Cash....................... 0.00 0.00 0.85 0.85
----- ----- ----- -----
Totals..................... 100.0% 100.0% 100.0% 100.0%
</TABLE>
* Morgan Stanley Emerging Markets (Free) Index.
** Current Strategy will fall in this range with 95% frequency.
Note: Totals may not add due to rounding.
69
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND
--------------------------------------------------------------------------------
TOP TEN EQUITY HOLDINGS
As of June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
Percent of
Net Assets
--------------------------------------------------------------------------------
<S> <C>
1.Telefonos de Mexicano S.A., Series L, ADR......................... 2.71%
2.China Mobile Ltd. ................................................ 2.38
3.Samsung Electronics Co. .......................................... 2.33
4.India l T Fund.................................................... 2.00
5.Petroleo Brasiliero S.A., Preferred............................... 1.91
6.Atlantis Korean Smaller Cos. ..................................... 1.70
7.Taiwan Semiconductor Manufacturing Co. ........................... 1.64
8.IS Himalayan Fund................................................. 1.44
9.Check Point Software Technologies................................. 1.34
10.United Microelectronics Corp., Ltd. .............................. 1.20
--------------------------------------------------------------------------------
</TABLE>
70
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND SCHEDULE OF INVESTMENTS
--------------------------------------------------------------------------------
June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
----------- ------------
<S> <C> <C>
Equities - 89.17%
Argentina - 3.52%
Banco Frances del Rio de la Plata S.A. ................. 58,882 $ 432,791
Banco Frances del Rio de la Plata S.A., ADR............. 29,800 644,425
Banco Galicia y Buenos Aires (b)........................ 425,414 1,595,335
CEI Citicorp Holdings S.A. (b).......................... 198,791 795,180
Cresud S.A.C.I.F.y A. .................................. 612,826 527,041
Impsat Fiber Networks, Inc. ............................ 9,500 159,125
IRSA Inversiones y Representaciones S.A., Class B....... 350,680 806,580
PC Holdings S.A. ADR.................................... 120,810 2,212,332
Telecom Argentina S.A. ................................. 111,900 3,077,250
Telecom Argentina S.A., Class B......................... 110,881 612,075
------------
10,862,134
------------
Brazil - 10.88%
Banco Bradesco S.A. .................................... 260,432,983 2,266,518
Brazil Fund, Inc. (c)................................... 20,266 347,055
Centrais Electricas Brasileiras S.A. ................... 31,350,000 642,988
Centrais Electricas Brasileiras S.A., Class B........... 17,000,000 375,055
Cia de Saneamento Basica S.A. .......................... 12,703,716 964,750
Cia Energetica de Minas Gerais, ADR (c)................. 13,919 240,811
Cia Energetica de Minas Gerais, Preferred............... 63,533,688 1,109,374
Cia Vale Do Rio Doce, Preferred A....................... 128,250 3,618,584
Coelce Preferred A...................................... 315,072,000 829,596
Eletricidade Sao Paulo-Preferred (b).................... 18,689,906 1,315,753
Embratel Participacoes S.A. ADR (b)..................... 39,100 923,737
Embratel Participacoes S.A., Preferred (b).............. 86,070,000 2,056,329
Petroleo Brasileiro S.A., Preferred..................... 195,320 5,900,743
Tele Nordeste Celular Participacoes S.A.,
Preferred (b).......................................... 241,970,000 824,898
Tele Norte Leste Participacoes S.A., ADR (b)............ 54,485 1,287,208
Tele Norte Leste Participacoes S.A., Preferred (b)...... 104,677,316 2,454,463
Tele Norte Leste Participacoes S.A., Rights............. 768 --
Telecelular Sul Participacoes ADR (b)................... 6,520 295,030
Telecelular Sul Preferred (b)........................... 171,956,000 768,273
Telecentro Sul Preferred (b)............................ 186,812,300 2,713,128
Telecentro Sul S.A. (b)................................. 500 36,531
Telemig Celular Participacoes S.A., Preferred (b)........290,825,346.. 1,033,365
</TABLE>
<TABLE>
<CAPTION>
Shares Value
----------- ------------
<S> <C> <C>
Telesp Celular Participacoes ADR (b).................. 20,000 $ 897,500
Telesp Celular Participacoes, Preferred (b)........... 81,435,825 1,467,109
Usinas Siderurgicas de Minas Gerais S.A. ............. 252,000 1,165,011
Vale Dorio Doce Rights (b)............................ 23,646 --
------------
33,533,809
------------
Bulgaria - 0.12%
Farmlington Bulgaria Fund (b)......................... 124,500 373,500
------------
Cayman Islands - 0.07%
Regent Central Asia Investments (b)................... 415,000 207,500
------------
Chile - 1.65%
Banco de A. Edwards ADR............................... 18,454 249,129
Chile Fund, Inc. ..................................... 101,700 991,575
Cia Cervecerias Unidas S.A., ADR...................... 8,300 188,306
Cia de Telecomunicaciones de Chile S.A., ADR.......... 97,970 1,775,706
Embotelladora Andina S.A., Class B, ADR............... 25,200 240,975
Empresa Nacional de Electricidad S.A., ADR............ 25,564 282,802
Genesis Chile Fund.................................... 44,000 1,243,000
Quimica Y Minera Chile S.A., Class A, ADR............. 3,359 73,898
Quinenco S.A., ADR.................................... 5,900 57,525
------------
5,102,916
------------
Czech Republic - 1.01%
Ceska Sporitelna A.S. ................................ 52,300 282,996
Ceske Energeticke Zavody A.S. (b)..................... 264,800 700,030
Komercni Banka A.S. (b)............................... 3,400 68,896
Komercni Banka A.S., ADR (b).......................... 35,200 237,530
Metrostav............................................. 16,500 60,157
SPT Telecom A.S....................................... 84,300 1,418,345
Tabak A.S............................................. 1,389 216,768
Unipetrol A.S. (b).................................... 93,500 132,382
------------
3,117,104
------------
Greece - 1.40%
Alpha Credit Bank Ord................................. 23,049 914,601
Athens Medical Center Ord (b)......................... 5,995 79,239
Commercial Bank of Greece, S.A. ...................... 8,055 349,311
Hellenic Telecommunications Organization S.A.......... 76,156 1,865,814
National Bank of Greece Ord........................... 27,172 1,081,676
Titan Cement Co., S.A., Preferred..................... 1,020 34,771
------------
4,325,412
------------
Hong Kong - 4.28%
Brilliance China Automotive (b)....................... 2,331,500 400,781
China Telecom Ltd. ................................... 832,000 7,337,755
China Unicom Ltd...................................... 180,000 382,153
</TABLE>
71
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND SCHEDULE OF INVESTMENTS
--------------------------------------------------------------------------------
June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
----------- ------------
<S> <C> <C>
Citic Pacific Ltd..................................... 232,000 $ 1,214,270
Cosco Pacific Ltd..................................... 596,000 470,206
Great Wall Technology Co., Ltd. (b)................... 308,000 213,359
Guangdong Kelon Elec Holding, Class H................. 492,700 267,040
Huaneng Power International, Inc., Class H............ 1,096,000 358,524
Huaneng Power International, Inc., Series N, ADR...... 34,200 455,288
Legend Holdings Ltd................................... 696,000 674,098
PetroChina Co., Ltd................................... 30,440 637,338
Shanghai Petrochemical Co., Ltd., Class H............. 1,768,000 240,412
TCL International Holdings Ltd........................ 772,000 282,247
Yizheng Chemical Fibre Co., Ltd. ..................... 1,278,000 254,115
------------
13,187,586
------------
Hungary - 1.28%
BorsodChem Rt. (b).................................... 3,700 114,770
Magyar Tavkozlesi Rt.................................. 335,069 2,340,549
MOL Magyar Olaj-es Gazipari Rt........................ 42,645 590,272
OPT Bank Rt. ......................................... 9,589 501,922
Richter Gedeon Rt..................................... 7,262 393,235
------------
3,940,748
------------
India - 6.01%
ABB Alstom Power India Ltd. .......................... 19,004 15,315
Aptech Ltd. .......................................... 8,626 163,348
Asea Brown Boveri Ltd. ............................... 8,004 36,909
Ashok Leyland Ltd. ................................... 78,750 105,417
Associated Cement Cos., Ltd........................... 20,500 54,127
Bajaj Auto Ltd. ...................................... 16,500 131,527
Bharat Heavy Electricals Ltd. (b)..................... 67,600 201,941
Bharat Petroleum Corp., Ltd. ......................... 59,000 254,702
Cipla Ltd. ........................................... 8,550 165,354
Corporation Bank...................................... 113,000 205,397
Digital Equipment India (b)........................... 100 1,606
Dr. Reddy's Laboratories Ltd. (b)..................... 6,300 184,159
EIH Ltd. (b).......................................... 12 31
Grasim Industries Ltd. ............................... 25,700 164,650
Gujarat Ambuja Cements Ltd. .......................... 12,800 55,873
HCL Technologies Ltd. (b)............................. 7,000 201,887
Hero Honda Motors Ltd. ............................... 4,100 90,632
Hindalco Industries Ltd. ............................. 3,600 63,635
Hindalco Industries Ltd., GDR (b)..................... 5,000 88,382
Hindustan Lever Ltd. ................................. 14,688 932,572
Hindustan Petroleum Corp., Ltd. ...................... 74,950 205,946
Housing Development Finance (b)....................... 20,900 261,551
India I T Fund (b).................................... 87,900 6,153,000
India IMCI Fund....................................... 147,000 551,250
India Public Sector Fund Ltd. (b)..................... 147,059 735,295
Industrial Credit & Investment Corp. of India Ltd. ... 50,300 141,253
IS Himalayan Fund (b)................................. 218,218 4,446,192
</TABLE>
<TABLE>
<CAPTION>
Shares Value
----------- ------------
<S> <C> <C>
ITC Ltd. ............................................. 21,900 $ 389,565
Larsen & Toubro Ltd. ................................. 6,500 35,896
Larsen & Toubro Ltd., Class A......................... 21,230 117,241
Mahanagar Telephone Nigam Ltd. ....................... 69,000 331,388
Mahindra & Mahindra Ltd. ............................. 10,279 48,677
National Aluminum Co., Ltd. (b)....................... 50 59
NIIT Ltd. ............................................ 7,900 390,884
Punjab Tractors Ltd. ................................. 350 5,322
Ranbaxy Laboratories Ltd. ............................ 11,200 142,343
Reliance Industries Ltd. ............................. 73,580 561,496
Satyam Computer Services Ltd. ........................ 3,900 260,361
Software Solution Integrated.......................... 300 19,101
State Bank of India Ltd. ............................. 57,700 292,359
Steel Authority of India Ltd. (b)..................... 100 14
Tata Engineering & Locomotive Co., Ltd. .............. 48,450 133,726
Videsh Sanchar Nigam Ltd. (b)......................... 6,876 186,213
------------
18,526,596
------------
Indonesia - 2.31%
Astra International, Inc. ............................ 2,099,800 659,749
Gudang Garam.......................................... 597,500 965,967
Indah Kiat Pulp & Paper Corp. ........................ 4,088,200 829,084
Indah Kiat Pulp & Paper Corp., Warrants (b)........... 8,900 829
PT Bank Dagang Nasional (b)........................... 1,062 --
PT Bank Pan Indonesia Tbk............................. 4,974,400 213,128
PT Bank Pan Indonesia Tbk, Warrants (b)............... 364,800 3,459
PT Bimantara Citra.................................... 1,555,500 217,708
PT Duta Pertiwi Property (b).......................... 350,000 25,992
PT Gajah Tunggal Tbk.................................. 1,493,000 98,083
PT Hanjaya Mandala Sampoerna Tbk...................... 30,200 43,821
PT Indofood Sukses Makmur Tbk......................... 1,383,000 754,507
PT Indorama Synthetics (b)............................ 215,000 20,880
PT Indosat Tbk........................................ 110,500 130,037
PT Jakarta International Hotels & Development Tbk..... 155,500 11,548
PT Matahari Putra Prima (b)........................... 597,000 51,157
PT Medco Energy Corp. (b)............................. 2,017,500 253,556
PT Semen Gresik Tbk................................... 132,500 120,351
PT Tempo Scan Pacific Tbk............................. 274,900 111,499
Tambang Timah......................................... 245,000 72,779
Telecom Indonesia..................................... 7,240,000 2,543,616
------------
7,127,750
------------
Israel - 4.72%
Advanced Vision Technology Ltd. ...................... 27,845 587,228
Bank Hapoalim Ltd. ................................... 719,673 2,086,928
Bank Leumi Le-Israel.................................. 430,250 888,319
Bezeq Israeli Telecommunications Corp., Ltd. (b)...... 169,709 945,599
Check Point Software Technologies (b)................. 19,500 4,129,125
ECI Telecommunications ADR............................ 24,100 861,575
</TABLE>
72
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND SCHEDULE OF INVESTMENTS
--------------------------------------------------------------------------------
June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
----------- ------------
<S> <C> <C>
Formula Systems Ltd. (b).............................. 5,600 $ 302,562
Gilat Satellite Networks Ltd. (b)..................... 11,100 770,062
Israel Chemicals Ltd. ................................ 323,695 395,522
Koor Industries Ltd., ADR............................. 122 2,593
Orbotech, Ltd. (b).................................... 17,115 1,589,556
Orckit Communications Ltd............................. 7,900 237,987
Sapiens International Corp. NV........................ 14,000 88,375
Teva Pharmaceutical Industries Ltd. .................. 718 39,021
Teva Pharmaceutical Industries Ltd., ADR.............. 29,580 1,639,841
------------
14,564,293
------------
Korea - 10.13%
Atlantis Korean Smaller Cos. (b)...................... 368,441 5,250,284
Atlantis KOSDAQ Fund.................................. 83,000 683,090
Cheil Jedang Corp. ................................... 9,900 453,703
Fidelity Advisor Korea Fund (b)....................... 168,000 2,005,500
Housing & Commercial Bank, Korea...................... 31,601 739,702
Housing & Commercial Bank, Korea, GDR, 144A (b)....... 3 67
Hyundai Motor Co., 144A (b)........................... 58,116 377,754
Hyundai Motor Co., Ltd. .............................. 418 5,361
Hyundai Securities Co. (b)............................ 1,001 9,965
Kookmin Bank.......................................... 42,592 542,415
Korea Asia Fund Ltd., ADR (b)......................... 2,120 2,862,000
Korea Electric Power Corp. ........................... 85,370 2,649,090
Korea Telecom Corp. .................................. 20,900 1,011,038
Korea Telecom Corp. ADR (b)........................... 1,150 101,280
LG Chemical Ltd....................................... 46,695 933,879
LG Electronics........................................ 20,350 569,422
Pohang Iron & Steel Co., Ltd.......................... 10,270 909,076
Samsung Corp.......................................... 36,500 314,580
Samsung Electro-Mechanics Co.......................... 11,337 710,707
Samsung Electronics Co................................ 21,708 7,183,921
Samsung Securities Co., Ltd........................... 25,689 564,454
Sejong Securities Co., Ltd., Warrants (b)............. 7,260 6,511
SK Corp............................................... 39,517 724,757
SK Telecom Co., Ltd................................... 4,100 1,378,436
SK Telecom Co., Ltd. ADR.............................. 34,690 1,259,681
------------
31,246,673
------------
Malaysia - 1.43%
AMMB Holdings Bhd..................................... 52,000 173,789
Arab Malaysian Finance Bhd............................ 136,000 158,905
British American Tabacco Bhd.......................... 67,000 546,579
Hong Leong Industries Bhd............................. 84,000 249,789
IOI Corporated Bhd.................................... 313,000 246,281
Konsortium Logistik Bhd............................... 134,000 152,337
Malayan Banking Bhd................................... 146,000 591,684
OSK Holdings Bhd...................................... 58,000 17,400
Public Bank Bhd (Frgn.)............................... 256,000 256,000
Resorts World Bhd..................................... 152,000 416,000
TA Enterprise Bhd..................................... 279,000 90,308
Tanjong MYR NPV....................................... 9,000 21,553
</TABLE>
<TABLE>
<CAPTION>
Shares Value
----------- ------------
<S> <C> <C>
Telekom Malaysia Bhd.................................. 86,000 $ 296,474
Tenaga Nasional Bhd................................... 137,000 447,053
UMW Holdings Bhd...................................... 105,000 226,579
Unisem (M) Bhd........................................ 48,000 341,053
United Engineers Bhd.................................. 83,000 169,276
------------
4,401,060
------------
Mexico - 8.52%
ARA, S.A. de C.V. (b)................................. 1,041,091 1,226,866
Cemex S.A. CPO NPV (b)................................ 598,469 2,805,846
Cemex S.A. de C.V., Warrants (b)...................... 52,000 26,413
Cifra U NPV (b)....................................... 502,719 1,179,744
Corporacion GEO, S.A., Series B (b)................... 153,600 251,228
Fomento Economico Mexicano S.A. de C.V., UBD Units.... 656,800 2,802,418
Grupo Imsa S.A. de C.V................................ 360,700 586,295
Grupo Imsa S.A. de C.V., ADR.......................... 5,300 76,519
Grupo Mexico S.A...................................... 184,100 510,584
Grupo Modelo S.A. de C.V., Series C................... 929,800 2,158,371
Grupo Televisa S.A., Series CPO (b)................... 364,420 1,251,323
Industrias Penoles S.A................................ 667,400 1,132,278
Organizacion Soriana S.A. de C.V. (b)................. 246,700 982,439
Telefonos de Mexicano S.A., Series L.................. 804,744 2,297,283
Telefonos de Mexicano S.A., Series L, ADR............. 146,400 8,363,100
Tubos de Acero de Mexico S.A.......................... 14,800 204,480
Tubos de Acero de Mexico S.A. ADR..................... 28,920 401,265
------------
26,256,452
------------
Peru - 0.70%
Cementos Lima S.A..................................... 2,587 30,972
Cerveceria Backus & Johnston S.A., T Shares........... 4,237 1,215
Credicorp Ltd......................................... 211,995 1,907,955
Ferreyros S.A......................................... 391,567 124,617
Ferreyros S.A., 144A ADR.............................. 12,761 81,229
------------
2,145,988
------------
Philippines - 2.85%
Ayala Land, Inc., Class B............................. 5,524,240 702,829
Bank of Philippines Islands........................... 82,800 149,396
Benpres Holdings Corp. (b)............................ 5,018,000 481,719
Filivest Land, Inc. (b)............................... 5,437,800 236,481
Hi Cement Corp. (b)................................... 8,086,000 151,507
International Container Terminal Services, Inc. (b)... 5,585,000 165,367
Manila Electric Co., Class B.......................... 597,030 876,970
Metropolitan Bank & Trust Co.......................... 296,500 1,385,450
Metropolitan Bank & Trust Co., Rights (b)............. 296,500 28,806
</TABLE>
73
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND SCHEDULE OF INVESTMENTS
--------------------------------------------------------------------------------
June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
----------- ------------
<S> <C> <C>
Philippine Long Distance Telephone Co................. 154,780 $ 2,774,798
Queenbee Res Corp. (b)................................ 1,440,970 399,992
San Miguel Corp., Class B............................. 255,520 316,223
SM Prime Holdings, Inc................................ 9,252,800 1,112,990
------------
8,782,528
------------
Poland - 3.05%
Bank Handlowy w Warszawie............................. 662 10,443
Bank Handlowy w Warszawie GDR (b)..................... 20,850 328,919
Bank Rozwoju Eksportu S.A............................. 33,544 1,039,826
Elektrim Spolka Akcyjna S.A. (b)...................... 89,380 1,026,177
Europejski Fundusz Leasingowy S.A..................... 11,300 176,845
KGHM Polska Miedz S.A................................. 26,070 195,151
KGHM Polska Miedz S.A., GDR........................... 43,500 651,273
Kredyt Bank S.A. (b).................................. 71 269
Kredyt Bank S.A. GDR (b).............................. 100 1,855
Orbis Un Sponsored (b)................................ 1,092 8,525
Orbis Un Sponsored ADR (b)............................ 44,000 330,000
Polski Koncern Naftowy S.A. (b)....................... 30,200 145,626
Polski Koncern Naftowy S.A., GDR (b).................. 40,000 385,776
Polski Koncern Naftowy S.A., W/I, GDR (b)............. 102,950 967,730
Prokom Software S.A................................... 5,797 303,494
Prokom Software S.A., GDR............................. 13,700 332,910
Softbank S.A.......................................... 12,600 653,869
Telekomunikacja Polska S.A............................ 300 2,149
Telekomunikacja Polska S.A. GDR, 144A................. 78,506 562,448
Telekomunikacja Polska S.A., REGS GDR (b)............. 342,429 2,278,865
------------
9,402,150
------------
Romania - 0.21%
Romanian Investment Fund (b).......................... 1,950 633,750
------------
Russia - 1.72%
Borskoie Glass Co. (b)................................ 5,500 --
Framlington Russia Investment Fund (b)................ 9,721 26,733
Gaz Auto Plant (b).................................... 2,500 60,250
Gaz Auto Plant, Preferred (b)......................... 10,000 50,000
Kirowsky Shinniy (b).................................. 11,000 16,500
Krasny Oktyabr (RED October) RDC (b).................. 10,000 20,000
Kubanelectrosvyaz..................................... 9,000 77,625
LUKoil Holding Co. ADR................................ 36,500 1,865,880
Nizhegorodsvyazinform................................. 53,333 64,600
Norilsk Nickel (b).................................... 39,700 290,802
RAO Unified Energy Systems............................ 5,440,000 625,600
RAO Unified Energy Systems GDR........................ 14,300 164,450
Rostelecom............................................ 90,000 198,000
Rostelecom ADR........................................ 4,000 54,500
Sun Interbrew Ltd. GDR (b)............................ 33,100 99,300
</TABLE>
<TABLE>
<CAPTION>
Shares Value
----------- ------------
<S> <C> <C>
Surgutneftegaz Preferred (b).......................... 2,500,000 $ 285,000
Surgutneftegaz Preferred ADR (b)...................... 104,570 1,393,395
------------
5,292,635
------------
South Africa - 7.67%
ABSA Group Ltd........................................ 286,100 1,084,479
Anglo American Platinum Corp., Ltd.................... 51,900 1,495,761
Anglogold Ltd......................................... 28,417 1,160,989
Bidvest Group Ltd..................................... 98,989 683,287
BOE Ltd............................................... 946,465 537,447
De Beers Consolidated Mines........................... 127,233 3,096,378
Dimension Data Holdings Ltd. (b)...................... 280,755 2,323,061
FirstRand Ltd......................................... 1,383,200 1,428,083
Impala Platinum Holdings Ltd.......................... 18,300 680,717
Investec Bank Ltd..................................... 24,300 818,602
Liberty Life Association of Africa Ltd................ 65,994 627,819
M-Cell Ltd............................................ 300,000 1,453,540
Metro Cash & Carry Ltd................................ 997,700 618,044
Naspers Ltd........................................... 65,700 547,500
Nedcor Ltd. ZAR CMN................................... 69,365 1,456,870
Old Mutual PLC (b).................................... 274,600 607,522
Pick 'n Pay Stores Ltd................................ 295,200 474,584
Rembrandt Group Ltd................................... 116,400 1,098,761
RMB Holdings Ltd...................................... 65,117 97,003
Sanlam Ltd............................................ 805,500 951,630
Sasol Ltd. ZAR CMN.................................... 142,412 955,715
South African Breweries PLC........................... 194,700 1,453,071
------------
23,650,863
------------
Taiwan - 8.27%
Accton Technology Corp. (b)........................... 120 267
Advanced Semiconductor Engineering, Inc. (b).......... 221,000 674,481
Advantech Co., Ltd.................................... 84,600 447,721
Ambit Microsystems Corp............................... 67,000 663,474
Asustek Computer, Inc. (b)............................ 93,568 771,632
Bank Sinopac.......................................... 874,000 561,857
Cathay Life Insurance Co.............................. 629,224 1,450,484
China Development Corp. (b)........................... 381,000 507,175
China Steel Corp...................................... 937,050 638,898
Compal Electronics.................................... 237 580
Far Eastern Textile Ltd............................... 467,030 579,239
Formosa Plastics Corp. ............................... 536,950 1,011,140
Hon Hai Precision Industry (b)........................ 113,800 1,027,156
Microelectronics Technology, Inc. .................... 147,800 489,468
Nan Ya Plastics Corp. ................................ 622,110 1,252,299
Pacific Electric Wire & Cable Co., Ltd. .............. 556,000 444,078
Pro Mos Technologies, Inc. ........................... 136,000 549,740
Realtek Semiconductor Corp. .......................... 72,000 600,779
Siliconware Precision Industries Co. (b).............. 221,000 495,097
Sunplus Technology Co., Ltd. ......................... 130,100 633,604
Taishin International Bank............................ 976,600 624,643
</TABLE>
74
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND SCHEDULE OF INVESTMENTS
--------------------------------------------------------------------------------
June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
----------- ------------
<S> <C> <C>
Taiwan Semiconductor Manufacturing Co. (b)........... 1,064,498 $ 5,045,995
United Microelectronics Corp., Ltd. ................. 1,329,800 3,691,490
United World Commercial Bank......................... 799,280 757,759
Via Technologies, Inc. .............................. 44,000 678,571
Winbond Electronics Corp. (b)........................ 442,890 1,279,780
Wintek Corp. ........................................ 171,600 607,286
Wintek Corp., Rights................................. 9,635 2,815
------------
25,487,508
------------
Thailand - 1.37%
Advanced Info Service Public Co., Ltd. (Frgn.)....... 28,100 349,593
Arisaig MCL Thai Recovery Fund....................... 82,508 1,063,528
Bangkok Bank Public Co., Ltd. (b).................... 208,800 255,510
BEC World Public Co., Ltd. (Frgn.)................... 44,100 258,585
Delta Electronics Public Co., Ltd. (Frgn.)........... 10,851 71,925
Hana Microelectronics (Frgn.) (b).................... 7,800 59,258
PTT Exploration & Production Public Co., Ltd. (b).... 55,900 270,771
Ruang Khao Fund (b).................................. 1,549,000 185,604
Ruang Khao High Income Fund (b)...................... 789,500 51,124
Siam Cement Public Co., Ltd. (b)..................... 9,600 180,130
Siam Commercial Bank Public Co., Ltd. ............... 461,200 258,672
Siam Commercial Bank Public Co., Ltd., Preferred
(b)................................................. 108,000 55,067
Siam Commercial Bank Public Co., Ltd., Warrants (b).. 38,000 4,505
Siam Panich Leasing Ltd. ............................ 40,000 15,806
Siam Panich Leasing Ltd., Warrants (b)............... 40,000 --
TelecomAsia Corp. Public Co., Ltd. (Frgn.) (b)....... 219,500 243,423
Thai Euro Fund (b)................................... 26,000 139,100
Thai Farmers Bank Public Co., Ltd. (Frgn.) (b)....... 354,700 298,409
Thailand International Fund.......................... 79 458,200
------------
4,219,210
------------
Turkey - 4.40%
Akcansa Cimento...................................... 17,000,000 266,182
Alcatel Telekomunikasyon............................. 3,742,500 815,557
Arcelik A.S. ........................................ 6,000,000 295,400
Cukurova Elektrik A.S. .............................. 244,000 191,025
</TABLE>
<TABLE>
<CAPTION>
Shares Value
----------- ------------
<S> <C> <C>
Dogan Yayin Holdings A.S. ............................. 21,826,000 $ 369,932
Efes Sinai Yatrim Holding A.S. (b)..................... 2,210,000 24,615
Ege Biracilik Ve Malt Sanayi A.S. ..................... 5,894,000 385,322
EGS Gayrimenkul Yatirim, B Shares (b).................. 25,934,780 330,726
Enka Holding Yatirim A.S. ............................. 3,450,000 765,739
Eregli Demir Ve Celik Fabrikalari T.A.S. (b)........... 15,680,000 632,768
Ford Otomotive Sanayi A.S. ............................ 8,200,000 436,804
Haci Omer Sabanci Holding.............................. 50,000,000 589,185
Migros Turk T.A.S. .................................... 3,690,000 684,988
Tupras-Turkiye Petrol Rafinerileri A.S. ............... 10,500,000 550,847
Turk Sise Ve Cam Fabrikalari A.S. ..................... 50,488,014 537,887
Turkiye Garanti Bankasi A.S. (b)....................... 79,042,444 956,930
Turkiye Is Bankasi, Class C............................ 141,730,000 3,031,352
Vestel Elektronik Sanayi ve Ticaret A.S. (b)........... 2,550,000 771,792
Yapi Ve Kredi Bankasi A.S. ............................ 173,105,567 1,928,052
------------
13,565,103
------------
United Kingdom - 0.32%
First Hungary Fund Ltd. ............................... 260 348,930
Oryx Fund.............................................. 62,000 651,000
------------
999,930
------------
Venezuela - 0.01%
Ceramica Carabobo, Class B ADR (b)..................... 17,794 24,787
------------
Regional - 1.27%
AsiaInfo Holdings, Inc. ............................... 7,000 312,812
Central Asia Regional Growth Fund (b).................. 97,150 121,438
Firebird Republics Fund (b)............................ 10,288 921,941
First NIS Regional Fund................................ 13,000 74,750
MIH Ltd. .............................................. 9,900 298,238
MIH Holdings Ltd. ..................................... 12,100 363,378
Peregrine Kazakhstan Fund (b).......................... 160,000 180,800
Regent Balkan Fund (b)................................. 115,000 442,750
Societe Generale Arab Fund (b)......................... 16,000 736,000
Societe Generale Ladenburg Thalmann (b)................ 13,334 480,024
------------
3,932,131
------------
Total Equities (Cost $257,875,512)..................... 274,910,116
------------
</TABLE>
75
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND SCHEDULE OF INVESTMENTS
--------------------------------------------------------------------------------
June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
Face
Amount Value
---------- ------------
<S> <C> <C>
Global (Ex-U.S.)
Bonds - 0.16%
Russia Federal Loan Bond, 00.000%, due 12/15/01....RUB 6,189,000 $ 104,069
25.000%, due 02/06/02 (d)............................. 1,805,370 37,876
25.000%, due 05/22/02 (d)............................. 1,805,370 36,429
25.000%, due 06/05/02 (d)............................. 1,805,370 36,410
25.000%, due 09/18/02 (d)............................. 1,805,370 35,509
25.000%, due 10/09/02 (d)............................. 1,805,370 34,088
25.000%, due 01/22/03 (d)............................. 1,805,370 33,136
25.000%, due 02/05/03 (d)............................. 1,805,370 33,303
25.000%, due 05/21/03 (d)............................. 1,805,370 32,235
25.000%, due 06/04/03 (d)............................. 1,805,370 32,364
25.000%, due 09/17/03 (d)............................. 1,805,370 31,599
25.000%, due 10/08/03 (d)............................. 1,805,370 30,164
25.000%, due 01/21/04 (d)............................. 1,805,370 29,528
------------
Total Global (Ex-U.S.) Bonds (Cost $5,256,571)........ 506,710
------------
<CAPTION>
Shares
----------
<S> <C> <C>
Short-Term Investments - 6.49%
Investment Companies - 6.49%
Brinson Supplementary Trust U.S. Cash Management Prime
Fund (Cost $20,002,143).............................. 20,002,143 20,002,143
------------
Total Investments (Cost $283,134,226) - 95.82% (a).... 295,418,969
Cash and other assets, less liabilities -- 4.18%...... 12,890,611
------------
Net Assets - 100%..................................... $308,309,580
============
</TABLE>
See accompanying notes to schedule of investments.
76
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND SCHEDULE OF INVESTMENTS
--------------------------------------------------------------------------------
June 30, 2000 (Unaudited)
NOTES TO SCHEDULE OF INVESTMENTS
(a) Aggregate cost for federal income tax purposes was $283,134,226; and net
unrealized appreciation consisted of:
<TABLE>
<S> <C>
Gross unrealized appreciation............ $53,134,736
Gross unrealized depreciation............ (40,849,993)
------------
Net unrealized appreciation........... $12,284,743
============
</TABLE>
(b) Non-income producing security.
(c) Denominated in U.S. dollars
(d) Step Bond--coupon rate increases in increments to maturity. Rate disclosed
is as of June 30, 2000. Maturity date disclosed is the ultimate maturity
date.
ADR: American Depositary Receipt
GDR: Global Depositary Receipt
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,
2000, the value of these securities amounted to $1,021,498 or 0.33% of
net assets.
EQUITY SWAP CONTRACTS
The Brinson Emerging Markets Equity Fund has entered into equity swap contracts
as of June 30, 2000. These swaps serve to reduce the Fund's exposure to short-
term investments, as a percentage of net assets, from 6.49% to (1.85)% and
increase the Fund's exposure to various countries. The following reflects the
open swap positions as of June 30, 2000, aggregated by country exposure.
<TABLE>
<S> <C> <C> <C> <C> <C>
Net Unrealized
Notional Amounts Maturity Dates Country Gain (Loss) Exposure
---------------- ----------------- ------- -------------- --------
$12,700,000 10/05/00-11/16/00 Taiwan $1,084,760 4.47%
3,000,026 11/06/00 India 413,546 1.11
10,000,000 06/11/01 Korea (134,967) 3.20
---------------- -------------- --------
$25,700,026 $1,363,339 8.78%
================ ============== ========
</TABLE>
See accompanying notes to financial statements.
77
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 2000 (Unaudited)
<TABLE>
<S> <C>
ASSETS:
Investments, at value:
Unaffiliated issuers (Cost $263,132,083)..................... $ 275,416,826
Affiliated issuers (Cost $20,002,143)........................ 20,002,143
Cash.......................................................... 1,158,584
Foreign currency, at value (Cost $10,645,326)................. 10,794,406
Receivables:
Investment securities sold................................... 1,620,695
Dividends.................................................... 965,211
Interest..................................................... 144,985
Net unrealized appreciation on equity swap contracts.......... 1,363,339
--------------
TOTAL ASSETS............................................... 311,466,189
--------------
LIABILITIES:
Payables:
Investment securities purchased.............................. 1,954,701
Country tax.................................................. 1,095,445
Fund shares redeemed......................................... 3,046
Accrued expenses............................................. 103,417
--------------
TOTAL LIABILITIES.......................................... 3,156,609
--------------
NET ASSETS:
Applicable to 28,682,617 shares; no par value, unlimited
shares authorized............................................ $ 308,309,580
==============
Net asset value per share ($308,309,580 / 28,682,617 shares).. $ 10.7490
==============
Maximum offering price per share (net asset value, plus 1.52%
of net asset value, or 1.50% of offering price).............. $ 10.9124
==============
Redemption price per share (net asset value, less 1.50% of net
asset value, or 1.52% of redemption value)................... $ 10.5878
==============
NET ASSETS CONSIST OF:
Paid in capital............................................... $ 293,128,310
Accumulated net investment income............................. 40,659,480
Accumulated net realized loss................................. (38,182,256)
Net unrealized appreciation................................... 12,704,046
--------------
NET ASSETS................................................. $ 308,309,580
==============
</TABLE>
See accompanying notes to financial statements.
78
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 2000 (Unaudited)
<TABLE>
<S> <C>
INVESTMENT INCOME:
Dividends (net of $206,848 for foreign taxes withheld)......... $ 2,904,210
Interest (net of $149 for foreign taxes withheld).............. 736,935
-------------
TOTAL INCOME................................................ 3,641,145
-------------
EXPENSES:
Custodian...................................................... 703,549
Administration................................................. 141,356
Professional................................................... 96,050
Other.......................................................... 12,740
-------------
TOTAL EXPENSES.............................................. 953,695
Earnings credits............................................ (32,012)
-------------
NET EXPENSES................................................ 921,683
-------------
NET INVESTMENT INCOME....................................... 2,719,462
-------------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments................................................... 60,530,242
Equity swap contracts......................................... 4,035,788
Foreign currency transactions................................. (600,753)
-------------
Net realized gain............................................ 63,965,277
-------------
Change in net unrealized appreciation or depreciation on:
Investments and foreign currency.............................. (90,840,424)
Equity swap contracts......................................... (3,836,526)
Translation of other assets and liabilities denominated in
foreign currency............................................. 311,757
-------------
Change in net unrealized appreciation or depreciation........ (94,365,193)
-------------
Net realized and unrealized loss............................... (30,399,916)
-------------
Net decrease in net assets resulting from operations........... $(27,680,454)
=============
</TABLE>
See accompanying notes to financial statements.
79
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Six Months
Ended Year Ended
June 30, 2000 December 31,
(Unaudited) 1999
-------------- --------------
<S> <C> <C>
OPERATIONS:
Net investment income.......................... $ 2,719,462 $ 6,815,490
Net realized gain.............................. 63,965,277 49,769,720
Change in net unrealized appreciation or
depreciation.................................. (94,365,193) 164,810,069
-------------- --------------
Net increase (decrease) in net assets resulting
from operations............................... (27,680,454) 221,395,279
-------------- --------------
CAPITAL SHARE TRANSACTIONS:
Shares sold.................................... 31,987,396 44,691,727
Shares redeemed................................ (184,330,695) (184,479,724)
-------------- --------------
Net decrease in net assets resulting from
capital share transactions (a)................ (152,343,299) (139,787,997)
-------------- --------------
TOTAL INCREASE (DECREASE) IN NET ASSETS..... (180,023,753) 81,607,282
-------------- --------------
NET ASSETS:
Beginning of period............................ 488,333,333 406,726,051
-------------- --------------
End of period (including accumulated net
investment income of $40,659,480 and
$37,940,018, respectively).................... $ 308,309,580 $ 488,333,333
============== ==============
(a) A summary of capital share transactions
follows:
<CAPTION>
Shares Shares
-------------- --------------
<S> <C> <C>
Shares sold.................................... 2,448,713 5,232,604
Shares redeemed................................ (15,849,760) (21,249,432)
-------------- --------------
Net decrease in shares outstanding............ (13,401,047) (16,016,828)
============== ==============
</TABLE>
See accompanying notes to financial statements.
80
<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 Year Ended December 31, Period Ended
June 30, 2000 ------------------------------------------ December 31,
(Unaudited) 1999 1998 1997 1996 1995*
------------- --------- --------- --------- --------- ------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value,
beginning of period... $11.6039 $ 7.0004 $ 9.1635 $10.1862 $ 9.3164 $10.0000
--------- --------- --------- --------- --------- ---------
Income (loss) from
investment operations:
Net investment
income............... 0.5160 0.3658 0.2647 0.2561** 0.1810 0.1028
Net realized and
unrealized
gain (loss).......... (1.3709) 4.2377 (2.4278) (1.2788) 0.6888 (0.7864)
--------- --------- --------- --------- --------- ---------
Total income (loss)
from investment
operations.......... (0.8549) 4.6035 (2.1631) (1.0227) 0.8698 (0.6836)
--------- --------- --------- --------- --------- ---------
Net asset value, end of
period................ $10.7490 $11.6039 $ 7.0004 $ 9.1635 $10.1862 $ 9.3164
========= ========= ========= ========= ========= =========
Total return
(non-annualized)...... (7.37)% 65.76% (23.61)% (10.04)% 9.34% (6.84)%
Ratios/Supplemental
data
Net assets, end of
period (in 000s)..... $308,310 $488,333 $406,726 $451,873 $179,338 $ 90,129
Ratio of expenses to
average net assets:
Before earnings
credits.............. 0.51%*** 0.47% 0.38% 0.28% 0.46% 0.50%***
After earnings
credits.............. 0.49%*** N/A N/A N/A N/A N/A
Ratio of net investment
income to average net
assets:
Before earnings
credits.............. 1.42%*** 1.62% 4.13% 2.44% 3.42% 3.86%***
After earnings
credits.............. 1.44%*** N/A N/A N/A N/A N/A
Portfolio turnover
rate.................. 28% 92% 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
N/A= Not Applicable
See accompanying notes to financial statements.
81
<PAGE>
BRINSON U.S. CASH MANAGEMENT PRIME FUND
--------------------------------------------------------------------------------
The goal of the U.S. Cash Management Prime Fund is to provide a competitive
money-market return with minimal risk of loss of principal. We invest the Fund
primarily in short-term debt instruments issued by governments and corporate
entities (with maturities less than 397 days). The Fund's benchmark for
comparative purposes is the Salomon Smith Barney 1 month Treasury Bill rate.
Since the Fund's performance inception on February 28, 1998, it has produced an
annualized return of 5.68%, compared to the benchmark, which has returned 4.66%
over the same period. For the most recent six-month period, the Fund has
returned 3.12% versus 2.62% for the benchmark.
The market continues to focus on the Federal Reserve and what if any tightening
remains on the horizon. As of month end, the market was pricing in a 25 basis
point tightening for the August 22 meeting. The market will continue to be very
sensitive to the economic data released before that meeting. We can expect
volatility to continue in the market place for the near future. The U.S. market
will continue to focus on the Federal Reserve, the unemployment rate,
inflation, consumer spending, stock market levels, swap spreads and the
Treasury yield curve.
82
<PAGE>
BRINSON U.S. CASH MANAGEMENT PRIME FUND
SCHEDULE OF INVESTMENTS
--------------------------------------------------------------------------------
June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
----------- ------------
<S> <C> <C>
Investment Companies - 100.00%
Brinson Supplementary Trust U.S. Cash Management
Prime Fund (Cost $773,017,507)...................... 773,017,507 $773,017,507
Cash and other assets,
less liabilities - 0.00%............................ 4,275
------------
Net Assets - 100.0%.................................. $773,021,782
============
</TABLE>
See accompanying notes to financial statements.
83
<PAGE>
BRINSON U.S. CASH MANAGEMENT PRIME FUND FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 2000 (Unaudited)
<TABLE>
<S> <C>
ASSETS:
Investments in affiliates, at value (Cost $773,017,507)............ $773,017,507
Receivables:
Interest.......................................................... 4,418,212
-------------
TOTAL ASSETS.................................................... 777,435,719
-------------
LIABILITIES:
Payables:
Dividends......................................................... 4,402,438
Accrued expenses.................................................. 11,499
-------------
TOTAL LIABILITIES............................................... 4,413,937
-------------
NET ASSETS:
Applicable to 773,021,782 shares; no par value, unlimited shares
authorized........................................................ $773,021,782
=============
Net asset value, offering price and redemption price per share
($773,021,782 / 773,021,782 shares)............................... $ 1.0000
=============
NET ASSETS CONSIST OF:
Paid in capital.................................................... $773,021,782
-------------
NET ASSETS...................................................... $773,021,782
=============
</TABLE>
See accompanying notes to financial statements.
84
<PAGE>
BRINSON U.S. CASH MANAGEMENT PRIME FUND FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 2000 (Unaudited)
<TABLE>
<S> <C>
INVESTMENT INCOME:
Interest.......................................................... $24,180,280
------------
TOTAL INCOME................................................... 24,180,280
------------
EXPENSES:
Professional...................................................... 28,516
Trustees.......................................................... 6,138
Other............................................................. 4,187
------------
TOTAL EXPENSES................................................. 38,841
------------
NET INVESTMENT INCOME.......................................... $24,141,439
============
</TABLE>
See accompanying notes to financial statements.
85
<PAGE>
BRINSON U.S. CASH MANAGEMENT PRIME FUND FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Six Months Ended Year Ended
June 30, 2000 December 31,
(Unaudited) 1999
---------------- ----------------
<S> <C> <C>
OPERATIONS:
Net investment income..................... $ 24,141,439 $ 24,401,812
---------------- ----------------
Net increase in net assets resulting from
operations............................... 24,141,439 24,401,812
---------------- ----------------
DISTRIBUTIONS:
Net Investment Income..................... (24,141,439) (24,400,968)
---------------- ----------------
CAPITAL SHARE TRANSACTIONS:
Shares sold............................... 1,260,896,469 1,517,054,742
Shares reinvested......................... 12,818,688 8,163,336
Shares redeemed........................... (1,024,479,226) (1,300,657,284)
---------------- ----------------
Net increase in net assets resulting from
capital share transactions (a)........... 249,235,931 224,560,794
---------------- ----------------
TOTAL INCREASE IN NET ASSETS........... 249,235,931 224,561,638
---------------- ----------------
NET ASSETS:
Beginning of period....................... 523,785,851 299,224,213
---------------- ----------------
End of period............................. $ 773,021,782 $ 523,785,851
================ ================
(a) A summary of capital share transactions
follows:
<CAPTION>
Shares Shares
---------------- ----------------
<S> <C> <C>
Shares sold............................... 1,260,896,469 1,517,054,742
Shares reinvested......................... 12,818,688 8,163,336
Shares redeemed........................... (1,024,479,226) (1,300,657,284)
---------------- ----------------
Net increase in shares outstanding....... 249,235,931 224,560,794
================ ================
</TABLE>
See accompanying notes to financial statements.
86
<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 Year Ended Period Ended
June 30, 2000 December 31, December 31,
(Unaudited) 1999 1998*
------------- ------------ ------------
<S> <C> <C> <C>
Net asset value, beginning of period... $ 1.0000 $ 1.0000 $ 1.0000
--------- --------- ---------
Income from investment operations:
Net investment income................. 0.0309 0.0521 0.0477
--------- --------- ---------
Total income from investment
operations.......................... 0.0309 0.0521 0.0477
--------- --------- ---------
Distribution:
Net investment income................. (0.0309) (0.0521) (0.0477)
--------- --------- ---------
Net asset value, end of period......... $ 1.0000 $ 1.0000 $ 1.0000
--------- --------- ---------
Total return (non-annualized).......... 3.13% 5.34% 4.88%
Ratios/Supplemental data
Net assets, end of period (in 000s)... $773,022 $523,786 $299,224
Ratio of expenses to average net
assets............................... 0.01%** 0.01% 0.01%**
Ratio of net investment income to
average net assets................... 6.23%** 5.23% 5.52%**
</TABLE>
*The Fund commenced operations February 18, 1998.
**Annualized
See accompanying notes to financial statements.
87
<PAGE>
BRINSON SHORT-TERM FUND
--------------------------------------------------------------------------------
The goal 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 an annualized return of 5.86%. These results are slightly above its
benchmark, U.S. 30-Day LIBOR, which has returned 5.75% over the same period.
For the year to date period, the Fund has returned 3.18%, slightly ahead of the
benchmark's return of 3.13%.
The market continues to focus on the Federal Reserve and what if any tightening
remains on the horizon. As of month end, the market was pricing in a 25 basis
point tightening for the August 22 meeting. The market will continue to be very
sensitive to the economic data released before that meeting. We can expect
volatility to continue in the marketplace for the near future. The U.S. market
will continue to focus on the Federal Reserve, the unemployment rate,
inflation, consumer spending, stock market levels, swap spreads and the
Treasury yield curve.
88
<PAGE>
BRINSON SHORT-TERM FUND
--------------------------------------------------------------------------------
Total Return
<TABLE>
<CAPTION>
Annualized
6 Months 1 Year 12/31/98*
Ended Ended to
6/30/00 6/30/00 6/30/00
------------------------------------------------------
<S> <C> <C> <C>
Brinson Short-Term Fund 3.18% 6.20% 5.86%
------------------------------------------------------
U.S. Libor (30 day) 3.13 6.08 5.75
------------------------------------------------------
</TABLE>
*Inception date of the Brinson Short-Term 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 Short-
Term Fund and 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)
[GRAPH]
Brinson Short-Term Fund U.S. LIBOR (30 day)
12/31/98 100,000 100,000
1/31/99 100,392 100,436
2/28/99 100,798 100,822
3/31/99 101,241 101,253
4/30/99 101,619 101,669
5/31/99 102,080 102,099
6/30/99 102,549 102,519
7/31/99 103,021 102,981
8/31/99 103,404 103,442
9/30/99 103,898 103,905
10/31/99 104,419 104,388
11/30/99 104,924 104,859
12/31/99 105,557 105,444
1/31/00 106,030 105,973
2/29/00 106,543 106,475
3/31/00 107,165 107,018
4/30/00 107,621 107,565
5/31/00 108,253 108,148
6/30/00 108,914 108,747
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.
89
<PAGE>
BRINSON SHORT-TERM FUND SCHEDULE OF INVESTMENTS
--------------------------------------------------------------------------------
June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
Face
Amount Value
--------- ----------
<S> <C> <C>
Short-Term Investments - 93.58%
Commercial Paper - 93.24%
Boston Scientific,
7.050%, due 07/14/00..................................... $430,000 $ 429,088
Houston Industries,
6.970%, due 07/05/00..................................... 413,000 412,841
Pennzoil, Inc., 6.950%, due 07/12/00...................... 347,000 346,422
Union Pacific Corp.,
7.250%, due 07/11/00..................................... 430,000 429,328
----------
Total Commercial Paper.................................... 1,617,679
----------
</TABLE>
<TABLE>
<CAPTION>
Face
Amount Value
--------- ----------
<S> <C> <C>
Investment Companies - 0.34%
Brinson Supplementary Trust U.S. Cash Management Prime
Fund.................................................... $ 5,780 $ 5,780
----------
Total Investments (Cost $1,622,762) - 93.58% (a)......... 1,623,459
Cash and other assets, less liabilities - 6.42%.......... 111,454
----------
Net Assets - 100%........................................ $1,734,913
==========
</TABLE>
NOTES TO SCHEDULE OF INVESTMENTS
(a) Aggregate cost for federal income tax purposes was $1,622,762; and net
unrealized appreciation consisted of:
<TABLE>
<S> <C>
Gross unrealized appreciation...................... $697
Gross unrealized depreciation...................... --
-----
Net unrealized appreciation.................... $697
=====
</TABLE>
See accompanying notes to financial statements.
90
<PAGE>
BRINSON SHORT-TERM FUND FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 2000 (Unaudited)
<TABLE>
<S> <C>
ASSETS:
Investments, at value:
Unaffiliated issuers (Cost $1,616,982).......................... $1,617,679
Affiliated issuers (Cost $5,780)................................ 5,780
Cash............................................................. 117,178
Receivables:
Due from Advisor................................................ 1,402
Interest........................................................ 10
-----------
TOTAL ASSETS.................................................. 1,742,049
-----------
LIABILITIES:
Payables:
Accrued expenses................................................ 7,136
-----------
TOTAL LIABILITIES............................................. 7,136
-----------
NET ASSETS:
Applicable to 159,295 shares; no par value, unlimited shares
authorized...................................................... $1,734,913
===========
Net asset value, offering and redemption price per share
($1,734,913 / 159,295 shares)................................... $ 10.8912
===========
NET ASSETS CONSIST OF:
Paid in capital.................................................. $1,389,927
Accumulated net investment income................................ 344,435
Accumulated net realized loss.................................... (146)
Net unrealized appreciation...................................... 697
-----------
NET ASSETS.................................................... $1,734,913
===========
</TABLE>
See accompanying notes to the financial statements.
91
<PAGE>
BRINSON SHORT-TERM FUND FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 2000 (Unaudited)
<TABLE>
<S> <C>
INVESTMENT INCOME:
Interest............................................................ $109,301
---------
TOTAL INCOME..................................................... 109,301
---------
EXPENSES:
Professional........................................................ 4,310
Trustees............................................................ 1,820
Custodian........................................................... 43
Other............................................................... 551
---------
TOTAL EXPENSES................................................... 6,724
Expenses deferred by Advisor..................................... (5,861)
---------
NET EXPENSES..................................................... 863
---------
NET INVESTMENT INCOME............................................ 108,438
---------
NET UNREALIZED LOSS:
Change in net unrealized appreciation or depreciation on:
Investments........................................................ (3,078)
---------
Net unrealized loss................................................. (3,078)
---------
Net increase in net assets resulting from operations................ $105,360
=========
</TABLE>
See accompanying notes to financial statements.
92
<PAGE>
BRINSON SHORT-TERM FUND FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Six Months
Ended Year Ended
June 30, 2000 December 31,
(Unaudited) 1999*
------------- ------------
<S> <C> <C>
OPERATIONS:
Net investment income.............................. $ 108,438 $ 235,997
Net realized loss.................................. -- (146)
Change in net unrealized appreciation or
depreciation...................................... (3,078) 3,775
------------ ------------
Net increase in net assets resulting from
operations........................................ 105,360 239,626
------------ ------------
CAPITAL SHARE TRANSACTIONS:
Shares sold........................................ 60,868 9,001,618
Shares redeemed.................................... (3,206,264) (4,466,305)
------------ ------------
Net increase (decrease) in net assets resulting
from capital share transactions (a)............... (3,145,396) 4,535,313
------------ ------------
TOTAL INCREASE (DECREASE) IN NET ASSETS......... (3,040,036) 4,774,939
------------ ------------
NET ASSETS:
Beginning of period................................ 4,774,949 10
------------ ------------
End of period (including accumulated net investment
income of $344,435 and $235,997, respectively).... $ 1,734,913 $ 4,774,949
============ ============
(a) A summary of capital share transactions follows:
<CAPTION>
Shares Shares
------------- ------------
<S> <C> <C>
Shares sold........................................ 5,767 888,546
Shares redeemed.................................... (298,831) (436,188)
------------ ------------
Net increase (decrease) in shares outstanding..... (293,064) 452,358
============ ============
</TABLE>
*The Fund commenced operations December 31, 1998.
See accompanying notes to financial statements.
93
<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 Year Ended
June 30, 2000 December 31,
(Unaudited) 1999*
------------- ------------
<S> <C> <C>
Net asset value, beginning of period............... $10.5557 $10.0000
--------- ---------
Income from investment operations:
Net investment income............................. 1.6406 0.5217
Net realized and unrealized gain (loss)........... (1.3051) 0.0340
--------- ---------
Total income from investment operations.......... 0.3355 0.5557
--------- ---------
Net asset value, end of period..................... $10.8912 $10.5557
========= =========
Total return (non-annualized)...................... 3.18% 5.56%
Ratios/Supplemental data...........................
Net assets, end of period (in 000s)............... $ 1,735 $ 4,775
Ratio of expenses to average net assets:
Before expense reimbursement and earnings
credits......................................... 0.39%** 0.45%
After expense reimbursement and earnings
credits......................................... 0.05%** 0.05%
Ratio of net investment income to average net
assets:
Before expense reimbursement and earnings
credits......................................... 5.91%** 5.03%
After expense reimbursement earnings credits..... 6.25%** 5.43%
</TABLE>
*The Fund commenced operations December 31, 1998.
**Annualized
See accompanying notes to financial statements.
94
<PAGE>
BRINSON U.S. BOND FUND
--------------------------------------------------------------------------------
INDUSTRY DIVERSIFICATION TOP TEN U.S. BOND HOLDINGS
As a Percent of Net Assets
As of June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
<S> <C>
U.S. BONDS
Corporate Bonds
Airlines............................................................ 2.44%
Energy.............................................................. 0.80
Financial Services.................................................. 6.64
Health.............................................................. 0.73
Telecommunications.................................................. 2.83
Utilities........................................................... 4.50
--------
Total U.S. Corporate Bonds.......................................... 17.94
Asset-Backed......................................................... 5.78
Corporate Mortgage-Backed Securities................................. 10.57
U.S. Government Mortgage-Backed Securities........................... 32.89
International Dollar Bonds........................................... 6.99
U.S. Government Obligations.......................................... 21.66
--------
Total U.S. Bonds.................................................... 95.83
SHORT-TERM INVESTMENTS............................................... 3.01
--------
TOTAL INVESTMENTS.................................................... 98.84
CASH AND OTHER ASSETS, LESS LIABILITIES.............................. 1.16
--------
NET ASSETS........................................................... 100.00%
========
</TABLE>
As of June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
Percent of
Net Assets
<S> <C>
--------------------------------------------------------------------------------
1. Federal National Mortgage Association,
5.250%, due 01/15/09............................................. 6.30%
2. U.S. Treasury Note, 6.625%, due 07/31/01......................... 6.30
3. U.S. Treasury Bond, 8.00%, due 11/15/21.......................... 3.51
4. U.S. Treasury Note, 6.125%, due 12/31/01......................... 3.08
5. U.S. Treasury Inflation Indexed Note,
3.875%, due 4/15/29 ............................................. 2.92
6. ABN Amro Mortgage Corp.,
6.300%, due 4/25/29.............................................. 2.83
7. Bank of America Corp., 7.800%, due 02/15/10...................... 2.80
8. U.S. Treasury Bond, 8.750%, due 05/15/17......................... 2.71
9. Texas Utilities Corp., 5.940%, due 10/15/11...................... 1.93
10. Tyco International Group, Inc.,
6.250%, due 06/15/03 ............................................ 1.88
--------------------------------------------------------------------------------
</TABLE>
95
<PAGE>
BRINSON U.S. BOND FUND SCHEDULE OF INVESTMENTS
--------------------------------------------------------------------------------
June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
Face
Amount Value
---------- ----------
<S> <C> <C> <C>
Bonds - 95.83%
U.S. Corporate Bonds - 17.94%
AT&T
9.800%, due 02/01/12................................ $ 150,000 $ 172,144
Banc One Corp.,
8.000%, due 04/29/27................................ 130,000 124,902
Bank of America Corp.,
7.800%, due 02/15/10................................ 300,000 298,413
Continental Airlines, Inc.,
6.320%, due 11/01/08................................ 140,000 126,473
Finova Capital Corp.,
7.250%, due 11/08/04................................ 150,000 132,130
NSTAR,
8.000%, due 02/15/10................................ 135,000 135,379
Pacific Gas & Electric Co.,
7.050%, due 03/01/24................................ 150,000 138,508
Rite Aid Corp.,
7.700%, due 02/15/27................................ 175,000 77,875
Sempra Energy,
7.950%, due 03/01/10................................ 85,000 85,720
Sprint Capital Corp.,
6.875%, due 11/15/28................................ 150,000 129,762
Texas Utilities,
5.940%, due 10/15/11................................ 210,000 206,035
Transamerica Capital III,
7.625%, due 11/15/37................................ 175,000 150,936
U.S. Airways, Inc.,
8.360%, due 07/20/20................................ 135,000 133,762
----------
1,912,039
----------
Corporate Mortgage-Backed Securities - 10.57%
ABN Amro Mortgage Corp., 99-2 IA2,
6.300%, due 04/25/29................................ 320,000 302,048
Bear Stearns Mortgage
Securities, Inc., 96-7A4,
6.000%, due 01/28/09............................... 125,000 119,804
CMC Securities Corp.,
97-NAM3, Class FXA5,
7.250%, due 10/25/27................................ 43,923 42,748
Countrywide Funding Corp., 93-12,
Class A5, 6.000%, due 02/25/24...................... 69,664 68,852
First Nationwide Trust, 98-3, 1PPA, 6.500%, due
09/19/28............................................ 137,138 127,678
Heller Financial Commercial Mortgage Assets,
99-PH1, Class A1,
6.500%, due 05/15/31................................ 172,178 166,509
LB Commercial Conduit Mortgage Trust, 99-C1, Class
A1,
6.410%, due 08/15/07................................ 100,645 97,028
</TABLE>
<TABLE>
<CAPTION>
Face
Amount Value
---------- ----------
<S> <C> <C>
Prudential Home Mortgage Securities, 94-3, Class A10,
6.500%, due 02/25/24.................................... $ 60,000 $ 57,818
Residential Asset Securitization Trust,
97-A7, Class A1, 7.250%, due 12/25/27................... 130,000 124,777
Thrift Financial Corp.,
11.250%, due 01/01/16................................... 18,329 18,807
----------
1,126,069
----------
International Dollar Bonds - 6.99%
Abbey National PLC, Resettable Perpetual Preferred,
6.700%, due 06/29/49.................................... 185,000 166,770
Interamer Development Bank,
6.800%, due 10/15/25.................................... 195,000 184,651
Korea Development Bank,
7.125%, due 09/17/01.................................... 75,000 74,344
Newcourt Credit Group, Inc.,
6.875%, due 02/16/05.................................... 125,000 119,693
Tyco International Group S.A.,
6.250%, due 06/15/03.................................... 210,000 199,891
----------
745,349
----------
Asset-Backed - 5.78%
CISCE, Series 97-1, Class A4,
6.220%, due 03/25/04.................................... 175,000 172,440
Conseco Finance,
8.170%, due 10/15/31.................................... 100,000 101,419
Peco Energy Transition Trust,
99-A3, Class A7,
6.130%, due 03/01/09.................................... 210,000 193,591
PP&L Transition Bond Company LLC,
99-1, Class A6,
6.960%, due 12/26/07.................................... 150,000 148,835
----------
Total Asset-Backed....................................... 616,285
----------
U.S. Government Mortgage-Backed Securities - 32.89%
Federal Home Loan Mortgage Corp.,
0.000%, due 04/01/28.................................... 132,873 83,821
6.000%, due 09/15/07.................................... 127,214 121,475
7.000%, due 10/15/13.................................... 185,156 176,817
7.500%, due 05/01/24.................................... 108,154 106,767
9.000%, due 09/01/20.................................... 93,835 96,766
Federal Home Loan Mortgage Corp. Gold,
8.000%, due 11/01/22.................................... 42,280 42,521
</TABLE>
96
<PAGE>
BRINSON U.S. BOND FUND SCHEDULE OF INVESTMENTS
--------------------------------------------------------------------------------
June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
Face
Amount Value
---------- ----------
<S> <C> <C>
Federal National Mortgage Association,
5.250%, due 01/15/09.................................... $ 765,000 $ 671,323
6.000%, due 03/01/28.................................... 190,104 173,894
6.500%, due 03/01/19.................................... 205,211 196,116
6.500%, due 08/01/28.................................... 191,158 180,208
6.500%, due 09/01/28.................................... 105,754 99,696
7.250%, due 05/15/30.................................... 90,000 91,628
8.000%, due 12/01/09.................................... 130,143 131,496
8.000%, due 03/01/11.................................... 30,634 30,953
8.000%, due 02/01/13.................................... 58,522 59,131
8.000%, due 08/01/19.................................... 178,154 179,802
8.000%, due 09/01/27.................................... 140,078 140,702
9.500%, due 08/01/22.................................... 25,385 26,360
Government National Mortgage Association,
6.000%, due 02/20/29.................................... 113,435 103,940
6.000%, due 08/20/29.................................... 157,020 143,876
7.000%, due 06/15/27.................................... 201,297 195,778
7.500%, due 11/15/22.................................... 53,195 52,852
7.500%, due 12/15/22.................................... 34,327 34,106
7.500%, due 08/15/23.................................... 123,191 122,398
7.500%, due 12/15/23.................................... 99,464 98,824
7.500%, due 06/15/25.................................... 145,470 144,533
----------
3,505,783
----------
</TABLE>
<TABLE>
<CAPTION>
Face
Amount Value
---------- -----------
<S> <C> <C>
U.S. Government
Obligations - 21.66%
U.S. Treasury Bond,
8.000%, due 11/15/21.................................. $ 310,000 $ 374,132
8.750%, due 05/15/17.................................. 230,000 289,081
U.S. Treasury Inflation Indexed Note,
3.875%, due 04/15/29.................................. 300,000 311,535
U.S. Treasury Note,
5.750%, due 08/15/03.................................. 190,000 186,734
6.125%, due 12/31/01.................................. 330,000 328,144
6.625%, due 07/31/01.................................. 670,000 671,047
6.625%, due 02/15/27.................................. 140,000 148,444
-----------
2,309,117
-----------
Total Bonds (Cost $10,138,095)......................... 10,214,642
-----------
<CAPTION>
Shares
----------
<S> <C> <C>
Short-Term Investments - 3.01%
Investment Companies - 3.01%
Brinson Supplementary Trust U.S. Cash Management Prime
Fund (Cost $321,023).................................. 321,023 321,023
-----------
Total Investments (Cost $10,459,118) - 98.84% (a)...... 10,535,665
Cash and other assets, less liabilities - 1.16%........ 123,558
-----------
Net Assets - 100%...................................... $10,659,223
===========
</TABLE>
NOTES TO SCHEDULE OF INVESTMENTS
(a) Aggregate cost for federal income tax purposes was $10,459,118; and net
unrealized appreciation consisted of:
<TABLE>
<S> <C>
Gross unrealized appreciation................... $94,119
Gross unrealized depreciation................... (17,572)
--------
Net unrealized appreciation................. $76,547
========
</TABLE>
See accompanying notes to schedule of investments.
97
<PAGE>
BRINSON U.S. BOND FUND FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 2000 (Unaudited)
<TABLE>
<S> <C>
ASSETS:
Investments, at value:
Unaffiliated issuers (Cost $10,138,095)........................ $10,214,642
Affiliated issuers (Cost $321,023)............................. 321,023
Receivables:
Investment securities sold..................................... 6,821
Due from Advisor............................................... 2,945
Interest....................................................... 144,861
------------
TOTAL ASSETS................................................. 10,690,292
------------
LIABILITIES:
Payables:
Due to custodian bank.......................................... 28,021
Accrued expenses............................................... 3,048
------------
TOTAL LIABILITIES............................................ 31,069
------------
NET ASSETS:
Applicable to 1,046,473 shares; no par value, unlimited shares
authorized..................................................... $10,659,223
============
Net asset value, offering price and redemption price per share
($10,659,223 / 1,046,473 shares)............................... $ 10.1859
============
NET ASSETS CONSIST OF:
Paid in capital................................................. $10,464,923
Accumulated net investment income............................... 120,881
Accumulated net realized loss................................... (3,128)
Net unrealized appreciation..................................... 76,547
------------
NET ASSETS................................................... $10,659,223
============
</TABLE>
See accompanying notes to financial statements.
98
<PAGE>
BRINSON U.S. BOND FUND FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 2000 (Unaudited)
<TABLE>
<S> <C>
INVESTMENT INCOME:
Interest............................................................ $121,006
---------
TOTAL INCOME..................................................... 121,006
---------
EXPENSES:
Professional........................................................ 2,494
Trustees............................................................ 406
Other............................................................... 169
---------
TOTAL EXPENSES................................................... 3,069
Expenses deferred by Advisor..................................... (2,944)
---------
NET EXPENSES..................................................... 125
---------
NET INVESTMENT INCOME............................................ 120,881
---------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized loss on:
Investments........................................................ (3,128)
---------
Change in net unrealized appreciation or depreciation on:
Investments........................................................ 76,547
---------
Net realized and unrealized gain.................................... 73,419
---------
Net increase in net assets resulting from operations................ $194,300
=========
</TABLE>
See accompanying notes to financial statements.
99
<PAGE>
BRINSON U.S. BOND FUND FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Period Ended
June 30, 2000*
(Unaudited)
--------------
<S> <C>
OPERATIONS:
Net investment income.......................................... $ 120,881
Net realized loss.............................................. (3,128)
Change in net unrealized appreciation or depreciation.......... 76,547
------------
Net increase in net assets resulting from operations........... 194,300
------------
CAPITAL SHARE TRANSACTIONS:
Shares sold.................................................... 10,464,923
------------
Net increase in net assets resulting from capital share
transactions (a).............................................. 10,464,923
------------
TOTAL INCREASE IN NET ASSETS................................ 10,659,223
------------
NET ASSETS:
Beginning of period............................................ --
------------
End of period (including accumulated net investment income of
$120,881)..................................................... $10,659,223
============
(a) A summary of capital share transactions follows:
<CAPTION>
Shares
--------------
<S> <C>
Shares sold.................................................... 1,046,473
------------
Net increase in shares outstanding............................ 1,046,473
============
</TABLE>
* The Fund commenced operations April 28, 2000.
See accompanying notes to financial statements.
100
<PAGE>
BRINSON U.S. BOND FUND FINANCIAL HIGHLIGHTS
--------------------------------------------------------------------------------
The table below sets forth financial data for one share of capital stock
outstanding throughout period presented.
<TABLE>
<CAPTION>
Period Ended
June 30, 2000*
(Unaudited)
--------------
<S> <C>
Net asset value, beginning of period............................. $10.0000
---------
Income from investment operations:
Net investment income........................................... 0.1155
Net realized and unrealized gain................................ 0.0704
---------
Total income from investment operations........................ 0.1859
---------
Net asset value, end of period................................... $10.1859
=========
Total return (non-annualized).................................... 1.86%
Ratios/Supplemental data
Net assets, end of period (in 000s)............................. $ 10,659
Ratio of expenses to average net assets:
Before expense reimbursement................................... 0.23%**
After expense reimbursement.................................... 0.01%**
Ratio of net investment income to average net assets............
Before expense reimbursement................................... 8.87%**
After expense reimbursement.................................... 9.09%**
Portfolio turnover rate......................................... 9%
</TABLE>
*The Fund commenced operations April 28, 2000.
**Annualized
See accompanying notes to financial statements.
101
<PAGE>
BRINSON HIGH YIELD FUND
--------------------------------------------------------------------------------
The Brinson High Yield Fund has earned an annualized return of 6.15% since its
performance inception on April 30, 1995 versus 7.32% for its benchmark, the
Merrill Lynch High Yield Master Index. This performance was achieved with an
annualized volatility of 6.47% versus 4.29% for the benchmark. The Fund's total
return for the year to date through June 30, 2000 was -1.08% versus -1.19% for
the benchmark. High yield fixed income has been one of the worst performing
asset classes so far in 2000, but we remain optimistic about the medium term
future of the high yield asset class.
Continued uncertainty about the direction of the economy has kept the perceived
risks of high yield investing at a higher-than-normal level thus far in 2000.
Currently, the yield spread of high yield bonds over "risk free" U.S.
Treasuries stands at about 6.0%. That 6.0% spread can be thought of as the
extra compensation investors require for taking on the credit risk of the
underlying companies. That spread has continued to widen throughout 2000, while
interestingly, default rates on high yield bonds seem to be trending downward.
When we look at data of investors' expectations for defaults, the prices of
high yield bonds are much lower than those default rates should imply.
Continued near-term economic uncertainty and generally rising interest rates
may continue to stall the high yield market, but we think that on a fundamental
basis, the medium to longer-term outlook for the asset class is very
attractive.
During the most recent quarter, the environmental services, publishing, gaming
and textile sectors performed well relative to the index, while the retail,
financial services and steel sectors underperformed. We are positive about
industries that we think will benefit from de-leveraging, growth or M&A
activity, including telecommunications, cable and gaming. We hold overweight
positions in these sectors.
102
<PAGE>
BRINSON HIGH YIELD FUND
--------------------------------------------------------------------------------
Total Return
<TABLE>
<CAPTION>
6 Months 1 Year 3 Years Annualized
Ended Ended Ended 4/30/95*
6/30/00 6/30/00 6/30/00 to 6/30/00
-----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Brinson High Yield Fund -1.08% 1.39% 1.26% 6.15%
-----------------------------------------------------------------------------
Merrill Lynch High Yield Master Index -1.19 -1.37 3.51 7.32
-----------------------------------------------------------------------------
</TABLE>
*Performance inception date of the Brinson High Yield Fund.
All returns over 1 year are average annualized returns.
Illustration of an Assumed Investment of $100,000
This chart shows the growth in the value of an investment in the Brinson High
Yield Fund 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
[GRAPH]
Brinson High Yield Fund Merrill Lynch High Yield Master Index
4/30/95 100,000 100,000
5/31/95 100,662 103,124
6/30/95 100,553 103,912
7/31/95 101,729 105,100
8/31/95 102,291 105,738
9/30/95 103,491 106,947
10/31/95 104,956 107,705
11/30/95 105,941 108,757
12/31/95 107,361 110,502
1/31/96 108,820 112,247
2/28/96 110,836 112,417
3/31/96 110,503 112,111
4/30/96 111,210 112,161
5/31/96 112,623 112,970
6/30/96 112,963 113,649
7/31/96 113,584 114,421
8/31/96 115,713 115,602
9/30/96 119,121 118,083
10/31/96 119,625 119,377
11/30/96 121,423 121,791
12/31/96 123,175 122,728
1/31/97 124,846 123,672
2/28/97 126,409 125,407
3/31/97 122,735 124,013
4/30/97 124,892 125,425
5/31/97 128,738 127,952
6/30/97 131,130 129,901
7/31/97 134,858 133,018
8/31/97 135,479 132,786
9/30/97 139,078 134,985
10/31/97 137,523 135,881
11/30/97 139,649 137,168
12/31/97 139,645 138,469
1/31/98 140,588 140,531
2/28/98 141,432 141,112
3/31/98 143,331 142,328
4/30/98 143,577 143,004
5/31/98 143,922 143,999
6/30/98 142,574 144,712
7/31/98 143,397 145,537
8/31/98 130,486 139,257
9/30/98 128,769 139,536
10/31/98 126,011 137,244
11/30/98 132,152 143,493
12/31/98 131,736 143,541
1/31/99 134,588 144,961
2/28/99 135,061 143,854
3/31/99 136,427 145,095
4/30/99 138,509 147,364
5/31/99 135,277 146,341
6/30/99 134,307 146,066
7/31/99 134,318 146,281
8/31/99 133,571 144,796
9/30/99 133,437 144,240
10/31/99 133,869 143,396
11/30/99 136,386 145,037
12/31/99 137,628 145,798
1/31/00 136,159 145,075
2/29/00 135,656 145,200
3/31/00 133,170 143,170
4/30/00 134,349 143,220
5/31/00 133,801 141,643
6/30/00 136,142 144,068
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.
103
<PAGE>
BRINSON HIGH YIELD FUND
--------------------------------------------------------------------------------
INDUSTRY DIVERSIFICATION
As a Percent of Net Assets
As of June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
<S> <C>
U.S. BONDS
Corporate Bonds
Aerospace........................................................... 0.56%
Appliances & Household Durables..................................... 0.55
Autos/Durables...................................................... 4.92
Cable Television.................................................... 2.66
Chemicals........................................................... 2.17
Computer Software................................................... 1.90
Computer Systems.................................................... 0.34
Construction........................................................ 2.53
Consumer............................................................ 2.00
Electronics and Electric Components................................. 1.41
Energy.............................................................. 3.83
Financial Services.................................................. 1.60
Food & House Products............................................... 2.72
Health.............................................................. 2.79
Housing/Paper....................................................... 0.29
Industrial.......................................................... 0.40
Non-Durables........................................................ 0.72
Publishing.......................................................... 2.15
Radio Broadcasting.................................................. 2.30
Real Estate......................................................... 0.33
Recreation.......................................................... 11.12
Retail.............................................................. 3.06
Services/Miscellaneous.............................................. 7.72
Technology.......................................................... 0.85
Telecommunications--Equipment....................................... 1.25
Telecommunications--Services........................................ 5.74
Telecommunications--Wireless........................................ 10.13
Television Broadcasting............................................. 8.84
Transportation...................................................... 0.28
--------
Total U.S. Corporate Bonds.......................................... 85.16
International Dollar Bonds........................................... 6.39
--------
Total U.S. Bonds.................................................... 91.55
U.S. EQUITIES
Preferred Stock..................................................... 3.47
Warrants............................................................ 0.02
--------
Total U.S. Equities................................................. 3.49
SHORT-TERM INVESTMENTS............................................... 4.49
--------
TOTAL INVESTMENTS.................................................... 99.53
CASH AND OTHER ASSETS, LESS LIABILITIES.............................. 0.47
--------
NET ASSETS........................................................... 100.00%
========
</TABLE>
TOP TEN U.S. BOND HOLDINGS
As of June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
Percent of
Net Assets
------------------------------------------------------------------------------
<S> <C>
1. Paxson Communications Corp.,
11.625%, due 10/01/02............................................ 1.56%
2. Dobson Sygnet Communications, Inc., 12.250%, due 12/15/08...... 1.25
3. Voicestream Wireless, 144A, 10.375%, due 11/15/09.............. 1.19
4. COLT Telecom Group, 0.000%, due 12/15/06 (a)................... 1.04
5. Speedway Motor Sports, Inc.,
8.500%, due 08/15/07............................................. 1.00
6. Echostar DBS Corp.,
9.375%, due 02/01/09............................................. 1.00
7. Microcell Telecommunications, Inc., 0.000%, due 06/01/06 (b)... 0.95
8. Integrated Electrical Services, Inc., Series B, 9.375%, due
02/01/09......................................................... 0.94
9. Williams Communications Group, Inc., 10.875%, due 10/01/09..... 0.93
10. NTL Communications, Inc., Series B,
0.000%, due 10/01/08 (c)......................................... 0.93
------------------------------------------------------------------------------
<CAPTION>
<S> <C>
</TABLE>
104
<PAGE>
BRINSON HIGH YIELD FUND SCHEDULE OF INVESTMENTS
--------------------------------------------------------------------------------
June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
Face Amount Value
----------- -------------
<S> <C> <C>
Bonds - 91.55%
U.S. Corporate Bonds - 85.16%
Ackerley Group, Inc., Class B,
9.000%, due 01/15/09................................ $ 634,000 $ 581,695
Adelphia Communications, Inc.,
9.375%, due 11/15/09................................ 2,000,000 1,850,000
Airgate PCS, Inc.,
0.000%, due 10/01/09 (c)............................ 1,155,000 661,238
Alamosa PCS Holdings, Inc.,
0.000%, due 02/15/10 (c)............................ 3,000,000 1,560,000
Allbritton Communications Co.
8.875%, due 02/01/08, Class B....................... 500,000 460,625
9.750%, due 11/30/07................................ 1,500,000 1,440,000
American Mobile Satellite Corp.,
12.250%, due 04/01/08............................... 1,454,000 1,134,120
American Restaurant Group, Inc., Class B,
11.500%, due 02/15/03............................... 1,000,000 767,500
Argosy Gaming Co.,
10.750%, due 06/01/09............................... 3,000,000 3,101,250
Atrium Cos., Inc.,
10.500%, due 05/01/09............................... 870,000 732,975
Aurora Foods, Inc., Class B,
9.875%, due 02/15/07................................ 2,619,000 1,519,020
Aztar Corp,
8.875%, due 05/15/07................................ 1,750,000 1,649,375
Bally Total Fitness Corp., Class D,
9.875%, due 10/15/07................................ 3,002,000 2,716,810
BGF Industries, Inc.,
10.250%, due 01/15/09............................... 1,470,000 1,359,750
Big City Radio, Inc.,
0.000%, due 03/15/05 (c)............................ 1,350,000 759,375
Boyd Gaming Corp.,
9.500%, due 07/15/07................................ 1,000,000 960,000
Building Materials Corp., Class B,
7.750%, due 07/15/05................................ 1,750,000 1,439,375
Capstar Broadcasting Partners, Inc.,
0.000%, due 02/01/09 (c)............................ 2,575,000 2,369,000
Carmike Cinemas, Inc.,
9.375%, due 02/01/09................................ 2,205,000 1,323,000
CB Richard Ellis Services, Inc.,
8.875%, due 06/01/06................................ 1,340,000 1,139,000
CBS Radio, Inc.,
11.375%, due 01/15/09............................... 2,158,400 2,341,864
Centennial Cellular,
10.750%, due 12/15/08............................... 2,000,000 1,942,500
Century Communications Corp.
0.000%, due 01/15/08................................ 5,365,000 2,199,650
9.500%, due 08/15/00................................ 275,000 275,261
Charter Communications Holdings
0.000%, due 04/01/11 (c)............................ 3,000,000 1,702,500
10.000%, due 04/01/09............................... 1,550,000 1,495,750
Citadel Broadcasting Co.,
10.250%, due 07/01/07............................... 1,250,000 1,264,062
Classic Cable, Inc.,
10.500%, due 03/01/10............................... 1,440,000 1,328,400
</TABLE>
<TABLE>
<CAPTION>
Face Amount Value
----------- -------------
<S> <C> <C>
Coast Hotels and Casinos, Inc.,
9.500%, due 04/01/09................................ $3,000,000 $ 2,850,000
Collins & Alkman Corp.,
11.500%, due 04/15/06............................... 2,400,000 2,310,000
Cross Timbers Oil Co,
8.750%, due 11/01/09................................ 3,000,000 2,850,000
Crown Castle International Corp.
0.000%, due 05/15/11 (c)............................ 1,909,000 1,166,876
9.000%, due 05/15/11................................ 1,000,000 922,500
9.500%, due 08/01/11................................ 1,000,000 950,000
CSC Holdings, Inc.,
7.625%, due 07/15/18................................ 2,050,000 1,838,649
Cumulus Media, Inc.,
10.375%, due 07/01/08............................... 557,000 470,665
Dayton Superior Corp., 144A,
13.000%, due 06/15/09............................... 1,500 1,477,500
Delco Remy International, Inc.,
8.625%, due 12/15/07................................ 2,000,000 1,860,000
Diamond Triumph Auto, Inc.,
9.250%, due 04/01/08................................ 800,000 624,000
Dobson Communications Corp., 144A,
10.875%, due 07/01/10............................... 650,000 653,250
Dobson Sygnet Communications, Inc.,
12.250%, due 12/15/08............................... 4,000,000 4,260,000
Eagle Family Foods, Class B,
8.750%, due 01/15/08................................ 4,000,000 2,360,000
Echostar DBS Corp.,
9.375%, due 02/01/09................................ 3,535,000 3,393,600
Exodus Communications, Inc.
11.250%, due 07/01/08............................... 3,000,000 2,970,000
11.625%, due 07/15/10, 144A......................... 1,000,000 1,002,500
FairPoint Communications, Inc., 144A,
12.500%, due 05/01/10............................... 1,350,000 1,363,500
Fedders North America,
9.375%, due 08/15/07................................ 2,000,000 1,877,500
Federal-Mogul Corp.,
7.500%, due 01/15/09................................ 2,250,000 1,543,169
Finova Capital Corp.,
7.250%, due 11/08/04................................ 1,000,000 880,866
Fox/Liberty Networks,
0.000%, due 08/15/07 (c)............................ 2,250,000 1,822,500
Fundy Cable Ltd.,
11.000%, due 11/15/05............................... 2,275,000 2,411,500
Global Imaging Systems, Inc.,
10.750%, due 02/15/07............................... 1,000,000 850,000
Globix Corp.,
12.500%, due 02/01/10............................... 1,400,000 1,148,000
Golden Sky DBS, Inc.,
0.000%, due 03/01/07 (c)............................ 3,500,000 2,362,500
Golden Sky Systems, Inc., Class B,
13.500%, due 08/01/06............................... 2,175,000 2,370,750
Gothic Production Corp.,
11.125%, due 05/01/05............................... 2,600,000 2,424,500
</TABLE>
105
<PAGE>
BRINSON HIGH YIELD FUND SCHEDULE OF INVESTMENTS
--------------------------------------------------------------------------------
June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
Face Amount Value
----------- -------------
<S> <C> <C>
Granite Broadcasting Corp.,
10.375%, due 05/15/05.............................. $1,021,000 $ 969,950
GST Network Funding, Inc., 0.000%, due 05/01/08
(c)................................................ 1,000,000 472,500
Hadco Corp.,
9.500%, due 06/15/08............................... 2,000,000 2,015,000
Hayes Lemmerz International, Inc.,
8.250%, due 12/15/08............................... 1,000,000 845,000
HMH Properties,
7.875%, due 08/01/08............................... 2,000,000 1,795,000
Hollinger International Publishing Corp.
8.625%, due 03/15/05............................... 1,000,000 988,750
9.250%, due 02/01/06............................... 950,000 936,938
Hollywood Park, Inc.,
9.500%, due 08/01/07............................... 1,002,000 996,990
Horseshoe Gaming Holdings,
8.625%, due 05/15/09............................... 2,431,000 2,291,217
Horseshoe Gaming L.L.C.,
9.375%, due 06/15/07............................... 600,000 591,000
Huntsman Corp., 144A,
9.500%, due 07/01/07............................... 2,000,000 1,820,000
Huntsman Packaging Corp., 144A,
13.000%, due 06/01/10.............................. 1,090,000 1,122,700
ICN Pharmaceuticals, Inc.,
9.250%, due 08/15/05............................... 2,000,000 1,980,000
Icon Fitness Corp., Class B,
0.000%, due 11/15/06 (c)........................... 7,000,000 70,000
Integrated Electrical Services, Inc., Class B,
9.375%, due 02/01/09............................... 3,960,000 3,207,600
Interep National Radio Sales, Class B,
10.000%, due 07/01/08.............................. 2,127,000 1,882,395
Intl. Game Technology
7.875%, due 05/15/04............................... 1,000,000 960,000
8.375%, due 05/15/09............................... 2,000,000 1,890,000
Iron Mountain, Inc.
8.250%, due 07/01/11............................... 250,000 218,750
8.750%, due 09/30/09............................... 2,300,000 2,116,000
JH Heafner Co.,
10.000%, due 05/15/08.............................. 2,955,000 2,157,150
Jackson Products, Inc., Class B,
9.500%, due 04/15/05............................... 2,500,000 2,250,000
Lamar Media Co.
8.625%, due 09/15/07............................... 535,000 513,600
9.625%, due 12/01/06............................... 1,600,000 1,608,000
Level 3 Communications, Inc.
0.000%, due 12/01/08 (c)........................... 2,050,000 1,245,375
9.125%, due 05/01/08............................... 1,250,000 1,121,875
11.250%, due 03/15/10, 144A........................ 1,125,000 1,108,125
Liberty Group Operating,
9.375%, due 02/01/08............................... 3,600,000 2,952,000
Lifepoint Hospital Holdings,
10.750%, due 05/15/09.............................. 2,620,000 2,698,600
</TABLE>
<TABLE>
<CAPTION>
Face Amount Value
----------- -------------
<S> <C> <C>
LIN Holdings Corp.,
0.000%, due 03/01/08 (c)............................ $1,355,000 $ 890,913
Loral Space & Communications Ltd.,
9.500%, due 01/15/06................................ 900,000 652,500
Luigino's, Inc.,
10.000%, due 02/01/06............................... 1,260,000 1,008,000
Lyondell Chemical Co., Class B,
9.875%, due 05/01/07................................ 3,000,000 2,962,500
Mail Well Corp., Class B,
8.750%, due 12/15/08................................ 2,700,000 2,268,000
Majestic Star Casino LLC,
Class B,
10.875%, due 07/01/06............................... 1,100,000 896,500
McLeod USA, Inc.
9.250%, due 07/15/07................................ 500,000 482,500
9.500%, due 11/01/08................................ 2,000,000 1,955,000
Mediacom LLC., Class B,
8.500%, due 04/15/08................................ 1,100,000 1,012,000
Merrill Corp., Class B,
12.000%, due 05/01/09............................... 1,500,000 1,080,000
Metromedia Fiber Network,
10.000%, due 12/15/09............................... 2,950,000 2,905,750
MGM Grand, Inc.,
9.750%, due 06/01/07................................ 2,600,000 2,645,500
Mohegan Tribal Gaming Authority,
8.750%, due 01/01/09................................ 3,000,000 2,850,000
Motors & Gears, Inc.,
10.750%, due 11/15/06............................... 2,000,000 1,925,000
MTS, Inc.,
9.375%, due 05/01/05................................ 2,592,000 1,114,560
New World Pasta Co.,
9.250%, due 02/15/09................................ 562,000 334,390
Newpark Resources, Inc., Class B,
8.625%, due 12/15/07................................ 2,500,000 2,181,250
Nextel Communications, Inc.
0.000%, due 09/15/07 (c)............................ 3,750,000 2,943,750
9.375%, due 11/15/09................................ 2,285,000 2,182,175
Nextel Partners, Inc., 144A,
11.000%, due 03/15/10............................... 1,500,000 1,492,500
Nextlink Communications, 144A,
0.000%, due 12/01/09, 144A (c)...................... 715,000 411,125
10.500%, due 12/01/09............................... 2,224,000 2,168,400
NL Industries Inc.,
11.750%, due 10/15/03............................... 650,000 663,000
Nortek, Inc.
8.875%, due 08/01/08................................ 500,000 452,500
9.125%, due 09/01/07, Class B....................... 1,385,000 1,281,125
NTL Communications, Inc., Class B,
0.000%, due 10/01/08 (c)............................ 5,000,000 3,175,000
NTL, Inc.
0.000%, due 02/01/06
Class B (c), ...................................... 150,000 138,375
12.750%, due 04/15/05 Class A (c), ................. 875,000 890,313
</TABLE>
106
<PAGE>
BRINSON HIGH YIELD FUND SCHEDULE OF INVESTMENTS
--------------------------------------------------------------------------------
June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
Face Amount Value
----------- -----------
<S> <C> <C>
Nuevo Energy Co.,
9.500%, due 06/01/08.................................. $2,000,000 $ 1,975,000
Omnipoint Corp.,
11.625%, due 08/15/06................................. 1,500,000 1,620,000
Oxford Automotive, Inc.,
10.125%, due 06/15/07................................. 2,000,000 1,740,000
Pacifica Papers, Inc,
10.000%, due 03/15/09................................. 1,000,000 982,500
Packaging Corp. of America,
9.625%, due 04/01/09.................................. 3,000,000 2,977,500
Pantry, Inc.,
10.250%, due 10/15/07................................. 2,000,000 1,890,000
Paxson Communications Corp.,
11.625%, due 10/01/02................................. 5,185,000 5,301,662
Pegasus Communications Corp.
9.625%, due 10/15/05, Class B......................... 2,000,000 1,930,000
9.750%, due 12/01/06, Class B......................... 1,000,000 962,500
12.500%, due 08/01/07,
Class B.............................................. 2,000,000 2,130,000
Perry Ellis International, Inc.,
12.250%, due 04/01/06................................. 2,250,000 2,137,500
Phoenix Color, Inc.,
10.375%, due 02/01/09................................. 1,615,000 1,453,500
Pillowtex Corp.,
10.000%, due 11/15/06................................. 1,200,000 420,000
Pinnacle Holdings, Inc.,
0.000%, due 03/15/08 (c).............................. 2,325,000 1,604,250
Pioneer Natural Resources Co.,
9.625%, due 04/01/10.................................. 1,800,000 1,858,732
Plains Resources, Inc.
10.250%, due 03/15/06,
Class B.............................................. 1,000,000 1,007,500
10.250%, due 03/15/06,
Class D.............................................. 1,525,000 1,536,437
Premier Parks Inc.
0.000%, due 04/01/08 (c).............................. 3,480,000 2,362,050
9.750%, due 06/15/07.................................. 550,000 531,438
Protection One Alarm, Inc.,
7.375%, due 08/15/05.................................. 1,000,000 745,000
PSINet, Inc.
10.000%, due 02/15/05,
Class B.............................................. 1,000,000 920,000
10.500%, due 12/01/06................................. 1,300,000 1,196,000
11.000%, due 08/01/09................................. 530,000 490,250
11.500%, due 11/01/08................................. 2,300,000 2,162,000
Quest Diagnostic, Inc.,
10.750%, due 12/15/06................................. 850,000 879,750
Qwest Communications
International, Inc.
0.000%, due 10/15/07 (c).............................. 3,000,000 2,520,036
0.000%, due 02/01/08 (c).............................. 1,000,000 788,960
R. H. Donnelly, Inc.,
9.125%, due 06/01/08.................................. 1,748,000 1,645,305
RailWorks Corp.,
11.500%, due 04/15/09................................. 1,000,000 940,000
</TABLE>
<TABLE>
<CAPTION>
Face Amount Value
----------- -----------
<S> <C> <C>
Range Resources Corp.,
8.750%, due 01/15/07.................................. $1,590,000 $ 1,367,400
Rayovac Corp., Class B,
10.250%, due 11/01/06................................. 2,050,000 2,101,250
RCN Corp.,
10.000%, due 10/15/07................................. 1,741,000 1,475,498
Samsonite Corp.,
10.750%, due 06/15/08................................. 1,900,000 1,586,500
SBA Communications Corp.,
0.000%, due 03/01/08 (c).............................. 1,720,000 1,212,600
Sbarro, Inc.,
11.000%, due 09/15/09................................. 1,250,000 1,278,125
Scotts Co., 144A,
8.625%, due 01/15/09.................................. 1,000,000 960,000
Sequa Corp.,
9.000%, due 08/01/09.................................. 2,000,000 1,920,000
SFX Entertainment, Inc., Class B,
9.125%, due 02/01/08.................................. 640,000 643,200
Simmons Co.,
10.250%, due 03/15/09................................. 1,275,000 1,131,563
Sinclair Broadcast Group,
10.000%, due 09/30/05................................. 1,000,000 955,000
Sleepmaster,
11.000%, due 05/15/09................................. 1,250,000 1,181,250
Spectrasite Holdings, Inc.
0.000%, due 07/15/08 (c).............................. 880,000 611,600
0.000%, due 03/15/10 (c), 144A........................ 1,274,000 694,330
10.750%, due 03/15/10, 144A........................... 1,837,000 1,832,407
10.750%, due 03/15/10, Class B....................... 500,000 498,750
Speedway Motorsports, Inc.,
8.500%, due 08/15/07.................................. 3,650,000 3,394,500
Station Casinos, Inc.
9.750%, due 04/15/07.................................. 2,100,000 2,100,000
9.875%, due 07/01/10, 144A............................ 875,000 877,188
Sterling Chemicals, Inc., Class B,
12.375%, due 07/15/06................................. 1,000,000 1,015,000
Stone Container,
11.500%, due 10/01/04................................. 1,280,000 1,321,600
T/SF Communications Corp.,
Class B,
10.375%, due 11/01/07................................. 2,800,000 2,604,000
TeleCorp PCS, Inc.,
0.000%, due 04/15/09 (c).............................. 3,100,000 2,022,750
Tenet Healthcare Corp.
8.625%, due 01/15/07.................................. 1,375,000 1,313,125
9.250%, due 09/01/10, 144A............................ 450,000 453,375
Trans-Resources, Inc., Class B,
0.000%, due 03/15/08 (c).............................. 3,000,000 270,000
TransWestern Publishing Co.,
9.625%, due 11/15/07.................................. 2,887,000 2,785,955
Triad Hospitals Holdings, Inc.,
11.000%, due 05/15/09................................. 2,128,000 2,175,880
Tritel PCS, Inc.,
0.000%, due 05/15/09 (c).............................. 3,000,000 1,987,500
</TABLE>
107
<PAGE>
BRINSON HIGH YIELD FUND SCHEDULE OF INVESTMENTS
--------------------------------------------------------------------------------
June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
Face Amount Value
----------- ------------
<S> <C> <C>
Triton PCS, Inc.,
0.000%, due 05/01/08 (c)............................. $3,500,000 $ 2,537,500
Unisys Corp.,
11.750%, due 10/15/04................................ 120,000 127,800
United Industries Corp.,
9.875%, due 04/01/09................................. 1,150,000 632,500
United Rentals, Inc., Class B,
9.250%, due 01/15/09................................. 270,000 243,675
US Unwired, Inc.,
0.000%, due 11/01/09 (c)............................. 3,686,000 1,999,655
USA Waste Services,
6.125%, due 07/15/01................................. 300,000 290,489
Verio, Inc.
10.625%, due 11/15/09................................ 1,800,000 1,995,750
13.500%, due 06/15/04................................ 2,650,000 2,991,187
Voicestream Wireless Corp.,
10.375%, due 11/15/09................................ 3,925,000 4,052,562
Waterford Gaming, 144A,
9.500%, due 03/15/10................................. 400,000 384,000
Weirton Steel Corp.,
11.375%, due 07/01/04................................ 2,000,000 1,880,000
Westpoint Stevens, Inc.,
7.875%, due 06/15/05................................. 1,550,000 1,294,250
Wheeling-Pittsburg Corp.,
9.250%, due 11/15/07................................. 2,000,000 1,530,000
Williams Comm. Group, Inc.,
10.875%, due 10/01/09................................ 3,250,000 3,176,875
Winsloew Furniture, Inc., Class B,
12.750%, due 08/15/07................................ 750,000 690,000
WMX Technologies, Inc.,
6.250%, due 10/15/00................................. 500,000 495,966
------------
Total U.S. Corporate Bonds............................ 289,675,986
------------
International Dollar Bonds - 6.39%
Callahan Nordrhein-Westfalen, 144A,
14.000%, due 07/15/10................................ 1,000,000 1,000,000
Clearnet Communications,
0.000%, due 12/15/05 (c)............................. 1,950,000 2,013,375
COLT Telecom Group,
0.000%, due 12/15/06 (c)............................. 4,000,000 3,525,000
Energis PLC,
9.750%, due 06/15/09................................. 500,000 490,000
Global Crossing Holding Ltd.,
9.500%, due 11/15/09................................. 2,250,000 2,171,250
Imax Corp.,
7.875%, due 12/01/05................................. 2,250,000 2,036,250
Microcell Telecommunications, Inc., Class B,
0.000%, due 06/01/06 (c)............................. 3,510,000 3,237,975
</TABLE>
<TABLE>
<CAPTION>
Face Amount Value
----------- ------------
<S> <C> <C>
Norampac, Inc.,
9.500%, due 02/01/08................................ $2,400,000 $ 2,316,000
Rogers Communications, Inc.,
9.125%, due 01/15/06................................ 2,000,000 1,960,000
TeleWest Communications PLC
0.000%, due 10/01/07 (c)............................ 950,000 900,125
0.000%, due 04/15/09 (c)............................ 500,000 270,000
United Pan-Europe Communications NV, Class B 0.000%,
due 02/01/10 (c).................................... 1,300,000 611,000
11.250%, due 02/01/10............................... 725,000 645,250
11.500%, due 02/01/10............................... 650,000 578,500
------------
Total International Dollar Bonds..................... 21,754,725
------------
Total Bonds (Cost $336,000,613)...................... 311,430,711
------------
Shares
-----------
Equities - 3.49%
U.S. Equities
CSC Holdings, Inc., (b).............................. 35,622 3,749,230
Merrill Corp., Warrants,
Expires 05/01/09, 144A (b).......................... 1,500 15
Motient Corp., 144A, Warrants, Expires 04/01/08 (b).. 1,454 58,160
Paxson Communications Corp., PIK Convertible
Preferred, 12.500% (b).............................. 1,693 1,693,310
Pegasus Communications Corp., Class A, PIK
Convertible Preferred, 12.750%...................... 4,309 4,330,967
Pegasus Communications Corp. (b)..................... 11,616 569,910
Rural Cellular Corp., PIK Convertible Preferred,
12.250%............................................. 1,546 1,469,118
Winsloew Furniture, Inc., 144A, Warrants, Expires
07/01/00 (b)........................................ 750 3,750
------------
Total Equities
(Cost $9,599,334)................................... 11,874,460
------------
Short-Term Investments - 4.49%
Investment Companies - 4.49%
Brinson Supplementary Trust U.S. Cash Management
Prime Fund (Cost $15,274,351)....................... 15,274,351 15,274,351
------------
Total Investments
(Cost $360,874,298) - 99.53% (a).................... 338,579,522
Cash and other assets, less liabilities - 0.47%...... 1,592,824
------------
Net Assets - 100%.................................... $340,172,346
============
</TABLE>
See accompanying notes to schedule of investments.
108
<PAGE>
BRINSON HIGH YIELD FUND SCHEDULE OF INVESTMENTS
--------------------------------------------------------------------------------
June 30, 2000 (Unaudited)
NOTES TO SCHEDULE OF INVESTMENTS
(a) Aggregate cost for federal income tax purposes was $360,874,298; and net
unrealized depreciation consisted of:
<TABLE>
<S> <C>
Gross unrealized appreciation........... $ 4,230,527
Gross unrealized depreciation........... (26,525,303)
-------------
Net unrealized depreciation......... $(22,294,776)
=============
</TABLE>
(b) Non-income producing security
(c) Step bonds - coupon rate increases in increments to maturity. Rate
disclosed is as of June 30, 2000. Maturity date disclosed is the ultimate
maturity date.
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,
2000, the value of these securities amounted to $18,882,825 or 5.55% of
net assets.
109
<PAGE>
BRINSON HIGH YIELD FUND FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 2000 (Unaudited)
<TABLE>
<S> <C>
ASSETS:
Investments, at value:
Unaffiliated issuers (Cost $345,599,947)......................... $323,305,171
Affiliated issuers (Cost $15,274,351)............................ 15,274,351
Cash.............................................................. 134,221
Receivables:
Investment securities sold....................................... 1,735,920
Due from Advisor................................................. 13,536
Interest......................................................... 6,838,499
-------------
TOTAL ASSETS................................................... 347,301,698
-------------
LIABILITIES:
Payables:
Investment securities purchased.................................. 7,115,817
Accrued expenses................................................. 13,535
-------------
TOTAL LIABILITIES.............................................. 7,129,352
-------------
NET ASSETS:
Applicable to 24,981,503 shares; no par value, unlimited shares
authorized....................................................... $340,172,346
=============
Net asset value, offering price and redemption price per share
($340,172,346 / 24,981,503 shares)............................... $ 13.6170
=============
NET ASSETS CONSIST OF:
Paid in capital................................................... $293,467,114
Accumulated net investment income................................. 103,101,683
Accumulated net realized loss..................................... (34,101,675)
Net unrealized depreciation....................................... (22,294,776)
-------------
NET ASSETS..................................................... $340,172,346
=============
</TABLE>
See accompanying notes to financial statements.
110
<PAGE>
BRINSON HIGH YIELD FUND FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 2000 (Unaudited)
<TABLE>
<S> <C>
INVESTMENT INCOME:
Interest....................................................... $ 15,993,044
-------------
TOTAL INCOME................................................ 15,993,044
-------------
EXPENSES:
Professional................................................... 14,242
Custodian...................................................... 3,958
Trustees....................................................... 2,366
Other.......................................................... 1,410
-------------
TOTAL EXPENSES.............................................. 21,976
Expenses deferred by Advisor................................ (21,976)
-------------
NET EXPENSES................................................ --
-------------
NET INVESTMENT INCOME....................................... 15,993,044
-------------
NET REALIZED AND UNREALIZED LOSS:
Net realized loss on investments............................... (19,590,279)
Change in net unrealized appreciation or depreciation.......... 579,973
-------------
Net realized and unrealized loss............................... (19,010,306)
-------------
Net decrease in net assets resulting from operations........... $ (3,017,262)
=============
</TABLE>
See accompanying notes to financial statements.
111
<PAGE>
BRINSON HIGH YIELD FUND FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Six Months
Ended Year Ended
June 30, 2000 December 31,
(Unaudited) 1999
------------- -------------
<S> <C> <C>
OPERATIONS:
Net investment income............................ $ 15,993,044 $ 31,219,299
Net realized loss................................ (19,590,279) (12,129,675)
Change in net unrealized appreciation or
depreciation.................................... 579,973 (5,314,283)
------------- -------------
Net increase (decrease) in net assets resulting
from operations................................. (3,017,262) 13,775,341
------------- -------------
CAPITAL SHARE TRANSACTIONS:
Shares sold...................................... 154,256,544 57,847,072
Shares redeemed.................................. (115,877,975) (75,294,221)
------------- -------------
Net increase (decrease) in net assets resulting
from capital transactions (a)................... 38,378,569 (17,447,149)
------------- -------------
TOTAL INCREASE (DECREASE) IN NET ASSETS....... 35,361,307 (3,671,808)
------------- -------------
NET ASSETS:
Beginning of period.............................. 304,811,039 308,482,847
------------- -------------
End of period (including accumulated net
investment income of $103,101,683 and
$87,108,639, respectively)...................... $340,172,346 $304,811,039
============= =============
(a) A summary of capital share transactions
follows:
<CAPTION>
Shares Shares
------------- -------------
<S> <C> <C>
Shares sold...................................... 11,456,851 4,321,584
Shares redeemed.................................. (8,617,808) (5,595,915)
------------- -------------
Net increase (decrease) in shares outstanding... 2,839,043 (1,274,331)
============= =============
</TABLE>
See accompanying notes to financial statements.
112
<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 Year Ended December 31, Period Ended
June 30, 2000 -------------------------------------------- December 31,
(Unaudited) 1999 1998 1997 1996 1995*
------------- --------- --------- --------- --------- ------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value,
beginning of period.... $13.7659 $13.1736 $13.9645 $12.3175 $10.7361 $10.0000
--------- --------- --------- --------- --------- ---------
Income from investment
operations:
Net investment income.. 0.1931 1.5473 1.4678** 1.3299** 0.8041 0.5408
Net realized and
unrealized gain
(loss)................ (0.3420) (0.9550) (2.2587) 0.3171 0.7773 0.1953
--------- --------- --------- --------- --------- ---------
Total income (loss)
from investment
operations............ (0.1489) 0.5923 (0.7909) 1.6470 1.5814 0.7361
--------- --------- --------- --------- --------- ---------
Net asset value, end of
period................. $13.6170 $13.7659 $13.1736 $13.9645 $12.3175 $10.7361
========= ========= ========= ========= ========= =========
Total return (non-
annualized)............ (1.08)% 4.50% (5.66)% 13.37% 14.73% 7.36%
Ratios/Supplemental data
Net assets, end of
period
(in 000s)............. $340,172 $304,811 $308,483 $156,521 $165,050 $107,953
Ratio of expenses to
average net assets:
Before expense
reimbursement and
earnings credits...... 0.01%*** 0.01% 0.02% 0.06% 0.14% 0.33%***
After expense
reimbursement and
earnings credits...... 0.00%*** 0.00% 0.00% 0.00% 0.00% 0.00%***
Ratio of net investment
income to average net
assets:
Before expense
reimbursement and
earnings credits...... 10.09%*** 9.56% 10.75% 10.09% 9.17% 9.33%***
After expense
reimbursement and
earnings credits...... 10.10%*** 9.57% 10.77% 10.15% 9.31% 9.66%***
Portfolio turnover
rate.................. 42% 93% 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.
113
<PAGE>
BRINSON EMERGING MARKETS DEBT FUND
--------------------------------------------------------------------------------
Since its performance inception on July 31, 1995, the first month-end after the
Fund became fully invested, the Brinson Emerging Markets Debt Fund has earned
an annualized return of 21.04%, compared to the 16.77% return of its benchmark,
the J.P. Morgan Emerging Markets Bond Index Plus (EMBI+). For the year-to-date
period ended June 30, 2000, the Fund returned 9.64% versus 8.10% for the
benchmark. Most of the strong results for the year-to-date period came in the
first quarter, while returns were flatter for the last three months.
Changes in emerging market debt spreads throughout the year have coincided with
movements in other "risky" asset classes. the NASDAQ equity index reached its
peak for the year in early March and its subsequent trough near the end of May.
Similarly, emerging market debt spreads were at their narrowest in early March
and at their widest point so far this year in mid-May. From a fundamental
basis, emerging market debt and the technology-heavy NASDAQ index encompass
different risks. However, both are certainly influenced by similar external
factors, particularly U.S. interest rates and changes in the risk appetite of
investors.
As of July 1, 2000, the benchmark for the Fund is changing to the J.P. Morgan
Emerging Markets Bond Index Global (EMBI Global). Our policy has always been to
use the broadest representative index available; the EMBI Global was launched
in July of 1999, and represents the most recent improvement in emerging market
debt indices. It contains a broader array of countries than the EMBI+, and has
a lower weight in Latin America. The EMBI Global also applies less stringent
liquidity tests which are more comparable to those used by the U.S. high equity
bond indices.
114
<PAGE>
BRINSON EMERGING MARKETS DEBT FUND
--------------------------------------------------------------------------------
Total Return
<TABLE>
<CAPTION>
6 Months 1 Year 3 Years Annualized
Ended Ended Ended 6/30/95/1/
6/30/00 6/30/00 6/30/00 to 6/30/00
----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Brinson Emerging Markets Debt Fund/2/ 9.64% 27.11% 9.85% 20.40%
----------------------------------------------------------------------------
Brinson Emerging Markets Debt Fund/3/ 8.81 26.16 9.68 20.40
----------------------------------------------------------------------------
JP Morgan EMBI Global 6.95 20.74 6.10 15.67
----------------------------------------------------------------------------
JP Morgan EMBI+ 8.10 23.16 6.13 16.48
----------------------------------------------------------------------------
</TABLE>
/1/ Inception date of the Brinson Emerging Markets Debt Fund.
/2/ Total return based on NAV--Does not include the payment of a transaction
charge on Fund share purchases.
/3/ Standardized total return--Includes the payment of a transaction charge
on Fund share purchases in each period presented where applicable.
Effective March 1, 1999 the transaction charge on 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, the JP Morgan EMBI+ and the JP Morgan EMBI Global
if you had invested $100,000 on June 30, 1995. Beginning with this report, we
are now comparing the Fund's performance to the JP Morgan EMBI Global rather
than the JP Morgan EMBI+ as this better represents the Fund's investment
universe. 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+ and JP Morgan EMBI Global
[GRAPH]
Brinson Emerging JP Morgan JP Morgan
Markets Debt Fund/2/ EMBI+ EMBI Global
6/30/95 100,000 100,000 100,000
7/31/95 98,952 100,074 100,034
8/31/95 101,671 102,435 102,823
9/30/95 105,713 105,964 106,438
10/31/95 104,843 104,876 105,411
11/30/95 108,802 108,546 108,976
12/31/95 116,401 116,772 116,457
1/31/96 127,448 125,646 126,385
2/28/96 118,868 118,715 119,132
3/31/96 121,904 121,419 121,802
4/30/96 129,544 128,043 127,826
5/31/96 132,236 130,259 129,811
6/30/96 136,384 134,838 133,412
7/31/96 139,238 137,656 134,849
8/31/96 145,236 142,712 139,123
9/30/96 156,324 151,916 147,264
10/31/96 158,248 153,109 148,475
11/30/96 167,000 160,744 155,792
12/31/96 168,816 162,676 157,483
1/31/97 175,557 167,181 162,265
2/28/97 178,950 170,082 164,913
3/31/97 172,262 163,948 159,418
4/30/97 177,672 168,802 164,101
5/31/97 185,086 175,352 169,664
6/30/97 190,948 179,389 173,379
7/31/97 199,060 186,831 180,545
8/31/97 199,245 186,075 179,668
9/30/97 205,585 191,761 184,655
10/31/97 185,908 169,672 165,088
11/30/97 195,410 177,728 172,088
12/31/97 202,278 183,853 176,297
1/31/98 203,272 183,481 177,145
2/28/98 210,539 188,733 181,826
3/31/98 215,693 193,431 185,955
4/30/98 215,905 193,899 186,385
5/31/98 210,889 187,281 180,758
6/30/98 203,957 181,875 176,177
7/31/98 204,961 183,120 177,205
8/31/98 145,381 130,500 128,756
9/30/98 152,861 143,261 139,881
10/31/98 162,186 152,530 148,817
11/30/98 177,930 161,507 159,020
12/31/98 175,294 157,470 155,945
1/31/99 171,369 151,622 152,391
2/28/99 173,768 153,799 153,898
3/31/99 186,905 165,434 164,095
4/30/99 201,488 176,740 174,187
5/31/99 192,357 166,663 165,191
6/30/99 199,210 174,117 171,538
7/31/99 197,853 170,506 168,679
8/31/99 197,766 170,263 168,789
9/30/99 205,287 176,203 174,096
10/31/99 214,825 183,002 180,263
11/30/99 218,596 188,183 185,089
12/31/99 230,702 198,370 193,649
1/31/00 230,037 194,443 190,668
2/29/00 242,525 206,967 200,915
3/31/00 249,226 213,486 206,376
4/30/00 244,716 209,410 202,571
5/31/00 238,579 204,079 197,887
6/30/00 253,042 214,436 207,107
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.
115
<PAGE>
BRINSON EMERGING MARKETS DEBT FUND
--------------------------------------------------------------------------------
MARKET ALLOCATION
As of June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
Market
Index Strategy Over/Under Strategy Range
Weights* Weight Weight (95% Freq.)
-------- -------- ---------- --------------
<S> <C> <C> <C> <C>
Algeria............................. 0.6% 0.0% -0.6% 0-10%
Argentina........................... 20.1 21.0 0.9 5-30
Brazil.............................. 19.2 26.1 6.9 5-30
Bulgaria............................ 2.0 7.1 5.1 0-10
Chile............................... 0.2 0.0 -0.2 0-10
China............................... 1.0 0.0 -1.0 0-10
Colombia............................ 1.2 4.5 3.3 0-10
Cote d'Ivoire....................... 0.1 0.0 -0.1 0-10
Croatia............................. 0.7 0.0 -0.7 0-10
Ecuador............................. 1.0 0.0 -1.0 0-10
Guatemala........................... 0.0 0.0 0.0 0-10
Hungary............................. 0.3 0.0 -0.3 0-10
Korea............................... 6.7 0.0 -6.7 0-10
Lebanon............................. 0.3 0.0 -0.3 0-10
Malaysia............................ 2.8 0.0 -2.8 0-10
Mexico.............................. 15.2 12.3 -2.9 5-25
Morocco............................. 0.9 1.6 0.6 0-10
Nigeria............................. 1.2 0.0 -1.2 0-10
Panama.............................. 1.9 1.8 -0.1 0-10
Peru................................ 1.3 0.0 -1.3 0-10
Philippines......................... 2.3 1.6 -0.7 0-10
Poland.............................. 2.4 0.0 -2.4 0-10
Quatar.............................. 0.0 3.1 3.1 0-10
Russia.............................. 10.3 17.6 7.2 0-20
South Africa........................ 0.9 0.0 -0.9 0-10
Thailand............................ 0.3 0.0 -0.3 0-10
Turkey.............................. 2.0 0.0 -2.0 0-10
Ukraine............................. 0.4 0.0 -0.4 0-10
Venezuela........................... 4.8 1.7 -3.1 0-15
Local Currency...................... 0.0 0.0 0.0 0-15
Cash................................ 0.0 1.6 1.6 0-30
----- ----- ----
100.0% 100.0% 0.0%
</TABLE>
*J.P. Morgan Emerging Market Bond Index Global as of 6/30/00.
Note: Totals may not add due to rounding.
116
<PAGE>
BRINSON EMERGING MARKETS DEBT FUND SCHEDULE OF INVESTMENTS
--------------------------------------------------------------------------------
June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
Face
Amount Value
--------------- -------------
<S> <C> <C>
Bonds - 96.21%
Global (Ex-U.S.) Bonds - 3.83%
Argentina - 1.32%
Republic of Argentina,
2.807%, due 04/01/07............................. ARS 3,960,059 $ 2,742,899
-------------
Colombia - 2.51%
Banco de Commercio Exterior de Colombia,
3.850%, due 07/09/01............................. JPY 580,000,000 5,219,512
-------------
Total Global (Ex-U.S.) Bonds...................... 7,962,411
-------------
International Dollar
Bonds - 90.86%
Argentina - 18.87%
Argentina - FRN,
7.375%, due 03/31/05............................. $ 4,400,000 4,015,000
11.786%, due 04/10/05............................ 15,240,000 14,173,200
Republic of Argentina,
0.000%, due 10/15/02............................. 3,500,000 2,765,000
0.000%, due 10/15/03............................. 4,500,000 3,105,000
11.750%, due 04/07/09............................ 4,200,000 3,906,000
11.750%, due 06/15/15............................ 7,798,000 7,057,190
12.000%, due 02/01/20............................ 4,600,000 4,197,500
-------------
39,218,890
-------------
Brazil - 25.32%
Banco Nacional de Desenvolvimento
Economico e Social FRN,
12.554%, due 06/16/08............................ 7,830,000 7,321,050
Brazil - C PIK Bond,
8.000%, due 04/15/14............................. 6,187,835 4,470,711
Brazil - DCB L FRN,
7.438%, due 04/15/12............................. 15,200,000 11,172,000
Brazil - DCB L FRN RG,
7.438%, due 04/15/12............................. 16,730,000 12,296,550
Brazil - MYDFA, Trust REGS,
7.188%, due 09/15/07............................. 8,832,742 7,607,199
Brazil - Par Z-L,
6.000%, due 04/15/24 (b)......................... 7,000,000 4,563,125
Federal Republic of Brazil,
12.250%, due 03/06/30............................ 5,690,000 5,177,900
-------------
52,608,535
-------------
Bulgaria - 7.22%
Bulgaria - FLIRB Class A VRN BR,
2.750%, due 07/28/12 (b)......................... 20,440,000 14,997,850
-------------
</TABLE>
<TABLE>
<CAPTION>
Face Amount Value
----------- -------------
<S> <C> <C>
Colombia - 1.82%
Republic of Colombia,
8.625%, due 04/01/08............................... $ 3,750,000 $ 2,793,750
9.750%, due 04/23/09............................... 300,000 234,000
11.750%, due 02/25/20.............................. 900,000 744,750
-------------
3,772,500
-------------
Mexico - 11.84%
Conproca S.A., REGS,
12.000%, due 06/16/10.............................. 14,110,000 14,533,300
Mexico - Par Class W-B,
6.250%, due 12/31/19............................... 1,800,000 1,489,500
Mexico - United Mexican States,
6.250%, due 12/31/19............................... 265,000 219,287
8.625%, due 03/12/08............................... 1,540,000 1,455,300
10.375%, due 02/17/09.............................. 1,000,000 1,032,500
11.375%, due 09/15/16.............................. 5,190,000 5,882,865
-------------
24,612,752
-------------
Panama - 1.73%
Republic of Panama, 8.875%, due 09/30/27............ 4,260,000 3,589,050
-------------
Philippines - 1.53%
Republic of Philippines, 10.625%, due 03/16/25...... 3,720,000 3,180,600
-------------
Qatar - 3.08%
State of Qatar, 144A,
9.750%, due 06/15/30............................... 6,492,000 6,402,735
-------------
Russia - 17.58%
Russia, REGS,
12.750%, due 06/24/28.............................. 29,600,000 25,493,000
Russian Federation, 144A, 2.250%, due 03/31/30 (b).. 29,370,000 11,050,462
-------------
36,543,462
-------------
Venezuela - 1.87%
Venezuela -
9.250%, due 09/15/27............................... 4,380,000 2,884,230
Venezuela - DCB Class DL, FRN, 7.875%, due
12/18/07........................................... 1,249,996 1,011,716
-------------
3,895,946
-------------
Total International Dollar Bonds.................... 188,822,320
-------------
</TABLE>
117
<PAGE>
BRINSON EMERGING MARKETS DEBT FUND SCHEDULE OF INVESTMENTS
--------------------------------------------------------------------------------
June 30, 2000 (Unaudited)
<TABLE>
<CAPTION>
Face Amount Value
----------- -------------
<S> <C> <C>
International Dollar Loans - 1.52%
Morocco - 1.52%
Morocco - Loan Tranche A FRN, 7.750%, due 01/01/09.. $3,523,336 $ 3,153,386
-------------
Total Bonds (Cost $180,055,336)..................... 199,938,117
-------------
Shares
-----------
Short-Term Investments - 6.22%
Investment Companies - 5.26%
Brinson Supplementary Trust U.S.
Cash Management Prime Fund......................... 10,929,545 10,929,545
-------------
</TABLE>
<TABLE>
<CAPTION>
Face Amount Value
----------- -------------
<S> <C> <C>
U.S. Government
Obligations - 0.96%
U.S. Treasury Bill, due 08/17/00.................... $2,000,000 $ 1,985,950
-------------
Total Short-Term Investments (Cost $12,914,817)..... 12,915,495
-------------
Total Investments
(Cost $192,970,153) - 102.43% (a).................. 212,853,612
Liabilities, less cash and other assets - (2.43%)... (5,039,708)
-------------
Net Assets - 100%................................... $207,813,904
=============
</TABLE>
NOTES TO SCHEDULE OF INVESTMENTS
(a) Aggregate cost for federal income tax purposes was $192,970,153; and net
unrealized appreciation consisted of:
<TABLE>
<S> <C>
Gross unrealized appreciation.................. $22,908,626
Gross unrealized depreciation.................. (3,025,167)
------------
Net unrealized appreciation................. $19,883,459
============
</TABLE>
(b) Step Bond--coupon rate increases in increments to maturity. Rate disclosed
is as of June 30, 2000. Maturity date disclosed is the ultimate maturity
date.
BR: Bearer
RG: Registered
FLIRB: Front loaded interest reduction bond
FRN: Floating rate note--The rate disclosed is that in effect at June 30, 2000
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,
2000, the value of these securities amounted to $17,453,197 or 8.40% of
net assets.
FORWARD FOREIGN CURRENCY CONTRACTS
The Brinson Emerging Markets Debt Fund had the following open forward currency
contracts as of June 30, 2000:
<TABLE>
<CAPTION>
Settlement Local Current Unrealized
Date Currency Value Gain/(Loss)
---------- ----------- ---------- -----------
<S> <C> <C> <C> <C>
Forward Foreign Currency
Buy Contracts:
Japanese Yen.................... 09/1/00 200,000,000 $1,912,149 $ 9,200
Sale Contracts:
Japanese Yen.................... 09/1/00 720,000,000 $6,883,737 (47,104)
---------
$(37,904)
=========
</TABLE>
See accompanying notes to schedule of investments.
118
<PAGE>
BRINSON EMERGING MARKETS DEBT FUND SCHEDULE OF INVESTMENTS
--------------------------------------------------------------------------------
June 30, 2000 (Unaudited)
FUTURES CONTRACTS
The Brinson Emerging Markets Debt Fund had the following open futures contracts
as of June 30, 2000:
<TABLE>
<CAPTION>
Expiration Cost/ Current Unrealized
Date Proceeds Value Gain/(Loss)
-------------- ------------ ------------ -----------
<S> <C> <C> <C> <C>
U.S. Interest Rate
Futures
Buy Contracts
30 Year U.S. Treasury
Bonds,
290 contracts........... September 2000 $27,319,569 $28,229,687 $910,118
Sale Contracts..........
10 Year U.S. Treasury
Notes, 30 contracts..... September 2000 2,870,415 2,954,531 (84,116)
---------
$826,002
=========
</TABLE>
The aggregate market value of investments pledged to cover margin requirements
for the open futures positions at June 30, 2000 was $1,985,950.
SWAP CONTRACTS
The Brinson Emerging Markets Debt Fund has entered into total return swap
contracts as of June 30, 2000. The following reflects the open swap positions
as of June 30, 2000.
<TABLE>
<CAPTION>
Net
Notional Maturity Unrealized
Amounts Dates Gain (Loss) Exposure
---------- -------- ----------- --------
<S> <C> <C> <C> <C>
Total Return Swap Contracts
Buy Contracts:
Federal Republic of Brazil, 9.375%,
due 04/07/2008..................... $4,460,000 12/13/00 $(82,212) 2.11%
Sale Contracts:
Federal Republic of Brazil, 14.500%,
due 10/15/2009..................... (3,491,000) 12/13/00 134,866 (1.74)
--------
$ 52,654
========
</TABLE>
See accompanying notes to financial statements.
119
<PAGE>
BRINSON EMERGING MARKETS DEBT FUND FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 2000 (Unaudited)
<TABLE>
<S> <C>
ASSETS:
Investments, at value:
Unaffiliated issuers (Cost $182,040,609)...................... $201,924,068
Affiliated issuers (Cost $10,929,544)......................... 10,929,544
Receivables:
Investment securities sold.................................... 10,951,268
Interest...................................................... 3,473,129
Net unrealized appreciation on total return swap contracts..... 52,654
-------------
TOTAL ASSETS................................................ 227,330,663
-------------
LIABILITIES:
Payables:
Investment securities purchased............................... 14,432,645
Variation margin.............................................. 48,593
Due to custodian bank......................................... 4,937,450
Accrued expenses.............................................. 60,167
Net unrealized depreciation on forward foreign currency
contracts..................................................... 37,904
-------------
TOTAL LIABILITIES........................................... 19,516,759
-------------
NET ASSETS:
Applicable to 8,207,074 shares; no par value, unlimited shares
authorized.................................................... $207,813,904
=============
Net asset value and redemption price per share
($207,813,904 / 8,207,074 shares)............................. $ 25.3213
=============
Maximum offering price per share (net assets value, plus 0.75%
of net asset value or 0.75% of offering price)................ $ 25.5112
=============
NET ASSETS CONSIST OF:
Paid in capital................................................ $ (6,083,393)
Accumulated net investment income.............................. 176,403,295
Accumulated net realized gain.................................. 16,755,723
Net unrealized appreciation.................................... 20,738,279
-------------
NET ASSETS.................................................. $207,813,904
=============
</TABLE>
See accompanying notes to financial statements.
120
<PAGE>
BRINSON EMERGING MARKETS DEBT FUND FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 2000 (Unaudited)
<TABLE>
<S> <C>
INVESTMENT INCOME:
Interest........................................................ $15,490,898
------------
TOTAL INCOME................................................. 15,490,898
------------
EXPENSES:
Administration.................................................. 105,598
Professional.................................................... 46,956
Custodian....................................................... 26,372
Other........................................................... 8,144
------------
TOTAL EXPENSES............................................... 187,070
Earnings credits............................................. (120)
------------
NET EXPENSES................................................. 186,950
------------
NET INVESTMENT INCOME........................................ 15,303,948
------------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain on:
Investments.................................................... 40,371,953
Futures contracts.............................................. 1,475,699
Foreign currency transactions.................................. 1,057,653
------------
Net realized gain............................................ 42,905,305
------------
Change in net unrealized appreciation or depreciation on:
Investments and foreign currency............................... (31,730,336)
Total return swap contracts.................................... 52,654
Futures contracts.............................................. 2,088,449
Forward contracts.............................................. (269,744)
Translation of other assets and liabilities denominated in
foreign currency.............................................. 8,009
------------
Change in net unrealized appreciation or depreciation........ (29,850,968)
------------
Net realized and unrealized gain................................ 13,054,337
------------
Net increase in net assets resulting from operations............ $28,358,285
============
</TABLE>
See accompanying notes to financial statements.
121
<PAGE>
BRINSON EMERGING MARKETS DEBT FUND FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Six Months
Ended Year Ended
June 30, 2000 December 31,
(Unaudited) 1999
------------- -------------
<S> <C> <C>
OPERATIONS:
Net investment income............................ $ 15,303,948 $ 57,316,701
Net realized gain (loss)......................... 42,905,305 (30,269,732)
Change in net unrealized appreciation or
depreciation.................................... (29,850,968) 91,462,309
------------- -------------
Net increase in net assets resulting from
operations...................................... 28,358,285 118,509,278
------------- -------------
CAPITAL SHARE TRANSACTIONS:
Shares sold...................................... 22,646,460 28,017,687
Shares redeemed.................................. (291,405,532) (96,549,918)
------------- -------------
Net decrease in net assets resulting from capital
share transactions (a).......................... (268,759,072) (68,532,231)
------------- -------------
TOTAL INCREASE (DECREASE) IN NET ASSETS....... (240,400,787) 49,977,047
------------- -------------
NET ASSETS:
Beginning of period.............................. 448,214,691 398,237,644
------------- -------------
End of period (including accumulated net
investment income of $176,403,295 and
$161,099,347, respectively)..................... $207,813,904 $448,214,691
============= =============
(a) A summary of capital share transactions
follows:
<CAPTION>
Shares Shares
------------- -------------
<S> <C> <C>
Shares sold...................................... 913,157 1,523,289
Shares redeemed.................................. (12,112,911) (4,834,711)
------------- -------------
Net decrease in shares outstanding.............. (11,199,754) (3,311,422)
============= =============
</TABLE>
See accompanying notes to financial statements.
122
<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 Year Ended December 31, Period Ended
June 30, 2000 --------------------------------------------- December 31,
(Unaudited) 1999 1998 1997 1996 1995*
------------- --------- --------- --------- --------- ------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value,
beginning of period.... $23.0957 $17.5294 $20.2278 $16.8816 $11.6401 $10.0000
--------- --------- --------- --------- --------- ---------
Income (loss) from
investment operations:
Net investment income.. 1.3000** 2.6800** 2.2017 1.7757** 1.3882 0.4485
Net realized and
unrealized gain
(loss)................ 0.9256 2.8863 (4.9001) 1.5705 3.8533 1.1916
--------- --------- --------- --------- --------- ---------
Total income (loss)
from investment
operations............ 2.2256 5.5663 (2.6984) 3.3462 5.2415 1.6401
--------- --------- --------- --------- --------- ---------
Net asset value, end of
period................. $25.3213 $23.0957 $17.5294 $20.2278 $16.8816 $11.6401
========= ========= ========= ========= ========= =========
Total return (non-
annualized)............ 9.64% 31.75% (13.34)% 19.82% 45.03% 16.40%
Ratios/Supplemental
data...................
Net assets, end of
period (in 000s)...... $207,814 $448,215 $398,238 $428,085 $222,571 $119,654
Ratio of expenses to
average net assets.... 0.13%*** 0.12% 0.12% 0.13% 0.18% 0.50%***
Ratio of net investment
income to average net
assets................ 10.86%*** 13.66% 12.21% 9.83% 11.89% 12.95%***
Portfolio turnover
rate.................. 51% 68% 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.
123
<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. Value Equity Fund
(formerly Brinson U.S. Large Capitalization Value Equity Fund), Brinson U.S.
Small Capitalization Equity Fund (formerly Brinson Post-Venture Fund), Brinson
Global (Ex-U.S.) Equity Fund, Brinson Emerging Markets Equity Fund, Brinson
U.S. Bond 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 at the
daily closing net asset value of the respective fund. Debt securities are
valued at the most recent bid price by using market quotations or independent
pricing 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 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. Total
return swaps are marked-to-market daily based upon quotations from market
makers and the change, if any, is recorded as unrealized appreciation or
depreciation in the Statement of Operations. 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 each Fund is includable in the income tax
returns of the investors.
124
<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.
H. Earnings Credits: The Funds have entered into an arrangement with their
custodian whereby interest earned on uninvested cash balances was used to
offset a portion of the Fund's expenses. This amount is reflected in the
statement of operations.
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 U.S. Small
Capitalization Equity 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. Value Equity Fund............................................ 0.01
Brinson Global (Ex-U.S.) Equity Fund...................................... 0.06
Brinson Emerging Markets Equity Fund...................................... 0.50
Brinson U.S. Cash Management Prime Fund................................... 0.01
Brinson Short-Term Fund................................................... 0.05
Brinson U.S. Bond Fund.................................................... 0.01
Brinson Emerging Markets Debt Fund........................................ 0.50
</TABLE>
Certain officers of the Funds are also officers and directors of the Advisor.
All officers serve without direct compensation from the Funds. Trustees' fees
paid to unaffiliated trustees were as follows:
<TABLE>
<S> <C>
Brinson Global Securities Fund......................................... $8,008
Brinson U.S. Equity Fund............................................... 2,366
Brinson U.S. Large Capitalization Equity Fund.......................... 3,640
Brinson U.S. Value Equity Fund......................................... 3,094
Brinson U.S. Small Capitalization Equity Fund.......................... 3,094
Brinson Global (Ex-U.S.) Equity Fund................................... 2,712
Brinson Emerging Markets Equity Fund................................... 5,460
Brinson U.S. Cash Management Prime Fund................................ 6,139
Brinson Short-Term Fund................................................ 1,820
Brinson U.S. Bond Fund................................................. 406
Brinson High Yield Fund................................................ 2,366
Brinson Emerging Markets Debt Fund..................................... 2,730
</TABLE>
125
<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 17.12% of the Fund's total net assets at June 30, 2000. Amounts
relating to those investments at June 30, 2000 and for the six months ended is
summarized as follows:
<TABLE>
<CAPTION>
Change in Net
Sales Net Realized Unrealized
Affiliates Purchases Proceeds Gain/(Loss) Gain/(Loss) Value
------------------------ ------------- ------------- ------------ ------------- -------------
<S> <C> <C> <C> <C> <C>
Brinson U.S. Small
Capitalization Equity
Fund................... -- $ 5,000,000 $ 1,498,765 $ (5,243) $ 26,123,796
Brinson High Yield
Fund................... $ 24,000,000 8,000,000 927,712 (984,437) 52,268,150
Brinson Emerging Markets
Equity Fund............ -- 21,670,000 2,258,611 (4,935,154) 36,085,632
Brinson Emerging Markets
Debt Fund.............. -- 56,500,000 12,448,189 (7,160,538) 39,455,505
Brinson Supplementary
Trust U.S. Cash
Management Prime Fund.. 331,503,449 355,055,870 N/A N/A 1,996,025
------------- ------------- ------------ ------------- -------------
$355,503,449 $446,225,870 $17,133,277 $(13,085,372) $155,929,108
============= ============= ============ ============= =============
</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,
2000 and for the year then ended are summarized as follows:
<TABLE>
<CAPTION>
% of
Sales Interest Net
Fund Purchases Proceeds Income Value Assets
------------------------ --------------- ------------- ------------ ------------- ------
<S> <C> <C> <C> <C> <C>
Brinson Global
Securities Fund........ $ 331,503,449 $355,055,870 $ 758,249 $ 1,996,025 0.22%
Brinson U.S. Equity
Fund................... 49,740,803 48,341,961 210,447 4,552,040 2.93
Brinson U.S. Large
Capitalization Equity
Fund................... 4,953,580 4,557,315 14,058 447,645 4.75
Brinson U.S. Value
Equity Fund............ 20,892,404 20,414,895 74,196 2,026,114 2.00
Brinson U.S. Small
Capitalization Equity
Fund................... 169,884,416 197,874,894 935,728 17,584,228 4.04
Brinson Global (Ex-U.S.)
Equity Fund............ 30,016,616 27,970,150 49,315 2,780,511 3.60
Brinson Emerging Markets
Equity Fund............ 146,507,832 149,844,654 516,876 20,002,143 6.49
Brinson U.S. Cash
Management Prime Fund.. 1,077,927,149 827,071,022 24,180,278 773,017,507 100.00
Brinson Short-Term
Fund................... 5,780 -- -- 5,780 0.34
Brinson U.S. Bond Fund.. 743,408 422,385 3,306 321,023 3.01
Brinson High Yield
Fund................... 202,841,402 188,525,670 883,361 15,274,351 4.49
Brinson Emerging Markets
Debt Fund.............. 113,690,430 114,596,079 332,574 10,929,545 5.26
</TABLE>
126
<PAGE>
BRINSON RELATIONSHIP FUNDS - NOTES TO FINANCIAL STATEMENTS (Unaudited)
--------------------------------------------------------------------------------
3. INVESTMENT TRANSACTIONS
Investment transactions for the six months ended June 30, 2000, excluding
short-term investments, were as follows:
<TABLE>
<CAPTION>
Proceeds
Purchases From Sales
------------- -------------
<S> <C> <C>
Brinson Global Securities Fund..................... $288,966,218 $662,768,825
Brinson U.S. Equity Fund........................... 67,324,738 109,044,312
Brinson U.S. Large Capitalization Equity Fund...... 11,140,387 2,661,557
Brinson U.S. Value Equity Fund..................... 41,501,222 37,937,790
Brinson U.S. Small Capitalization Equity Fund...... 161,081,406 280,989,589
Brinson Global (Ex-U.S.) Equity Fund............... 30,162,714 69,402,689
Brinson Emerging Markets Equity Fund............... 97,456,684 249,603,143
Brinson U.S. Bond Fund............................. 11,117,705 905,765
Brinson High Yield Fund............................ 160,246,290 119,884,252
Brinson Emerging Markets Debt Fund................. 144,727,924 383,176,581
</TABLE>
4. SWAP CONTRACTS
The Brinson Emerging Markets Equity Fund and the Brinson Emerging Markets Debt
Fund can enter into swap contracts. Swaps often provide a less expensive, and
in some cases the only, means of investing in certain emerging markets. In
equity swaps, the Brinson Emerging Markets Equity Fund agrees to receive the
return on the notional amount of the contract as if it were invested in the
stocks comprising the contract index in exchange for an interest amount based
on the notional amount of the agreement. In a total return swap, the Emerging
Markets Debt Fund exchanges the return of one emerging markets bond for another
emerging markets bond.
Fluctuations in the value of open swap contracts are recorded daily as net
unrealized gains or losses. The Funds realize 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 swap contracts, if any, are reflected as
receivable or payable for 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 Funds consider the
creditworthiness of each counterparty to a swap contract in evaluating
potential credit risk. The credit risk to the Funds 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, 2000, the Brinson Emerging Markets Equity Fund and the Brinson
Emerging Markets Debt Fund had open equity swap contracts and open total return
swap contracts, respectfully, with a limited number of international dealers.
The Funds had short-term investments segregated with their custodian equal to,
or in excess of, their notional amounts of their open equity swap contracts and
open total return swap contracts.
5. FORWARD FOREIGN CURRENCY CONTRACTS
The Brinson Global Securities Fund, Brinson Global (Ex-U.S.) Equity Fund and
the Brinson Emerging Markets Debt 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 Funds on a forward
foreign currency
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BRINSON RELATIONSHIP FUNDS - NOTES TO FINANCIAL STATEMENTS (Unaudited)
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contract. Fluctuations in the value of forward foreign currency contracts are
recorded daily as net unrealized gains or losses. The Funds realize a gain or
loss upon settlement of the contracts. The statement of operations reflects net
realized and net unrealized gains and losses on these contracts. The
counterparty to all forward foreign currency contracts during the six months
ended June 30, 2000, was the Funds' 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. The Fund receives cash as collateral against the
loaned securities. The cash is then generally invested in interest-bearing
securities which are included in the schedule of investments. 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 equal to 102% of
the value of domestic securities loaned and 105% of the value of foreign
securities loaned. The cash collateral received is invested in short-term
securities and is included in the schedule of investments. The value of loaned
securities and related collateral outstanding at June 30, 2000, were as
follows:
<TABLE>
<CAPTION>
Value of Loaned Value of
Securities Collateral
--------------- -------------
<S> <C> <C>
Brinson Global Securities Fund................... $277,180,919 $287,352,332
============= =============
</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 0.75%,
respectively, of the Fund's offering price on Fund share purchases. Prior to
March 1, 1999, the Brinson Emerging Markets Debt Fund's transaction charge was
0.50%. 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 were $3,162,275 and $3,396,455 and the Brinson Emerging
Markets Debt Fund were $147,230 and $140,060 respectively for the six months
ended June 30, 2000 and 1999, 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.
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