<PAGE>
- --------------------------------------------------------------------------------
BRINSON RELATIONSHIP FUNDS
BRINSON GLOBAL SECURITIES FUND
BRINSON U.S. EQUITY FUND
BRINSON U.S. LARGE CAPITALIZATION EQUITY FUND
BRINSON U.S. LARGE CAPITALIZATION VALUE EQUITY FUND
BRINSON POST-VENTURE FUND
BRINSON GLOBAL (Ex-U.S.) EQUITY FUND
BRINSON EMERGING MARKETS EQUITY FUND
BRINSON U.S. SHORT/INTERMEDIATE FIXED INCOME FUND
BRINSON U.S. CASH MANAGEMENT PRIME FUND
BRINSON SHORT-TERM FUND
BRINSON HIGH YIELD FUND
BRINSON EMERGING MARKETS DEBT FUND
ANNUAL REPORT
DECEMBER 31, 1999
GLOBAL INSTITUTIONAL ASSET MANAGEMENT
- --------------------------------------------------------------------------------
<PAGE>
TABLE OF CONTENTS
<TABLE>
<CAPTION>
Page
<S> <C>
Brinson Global Securities Fund............................................ 1
Schedule of Investments................................................ 5
Statement of Assets and Liabilities.................................... 22
Statement of Operations................................................ 23
Statement of Cash Flows................................................ 24
Statements of Changes in Net Assets.................................... 25
Financial Highlights................................................... 26
Brinson U.S. Equity Fund.................................................. 27
Schedule of Investments................................................ 30
Statement of Assets and Liabilities.................................... 33
Statement of Operations................................................ 34
Statements of Changes in Net Assets.................................... 35
Financial Highlights................................................... 36
Brinson U.S. Large Capitalization Equity Fund............................. 37
Schedule of Investments................................................ 40
Statement of Assets and Liabilities.................................... 42
Statement of Operations................................................ 43
Statement of Changes in Net Assets..................................... 44
Financial Highlights................................................... 45
Brinson U.S. Large Capitalization Value Equity Fund....................... 46
Schedule of Investments................................................ 49
Statement of Assets and Liabilities.................................... 51
Statement of Operations................................................ 52
Statements of Changes in Net Assets.................................... 53
Financial Highlights................................................... 54
Brinson Post-Venture Fund................................................. 55
Schedule of Investments................................................ 58
Statement of Assets and Liabilities.................................... 62
Statement of Operations................................................ 63
Statements of Changes in Net Assets.................................... 64
Financial Highlights................................................... 65
Brinson Global (Ex-U.S.) Equity Fund...................................... 66
Schedule of Investments................................................ 69
Statement of Assets and Liabilities.................................... 76
Statement of Operations................................................ 77
Statements of Changes in Net Assets.................................... 78
Financial Highlights................................................... 79
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Page
<S> <C>
Brinson Emerging Markets Equity Fund...................................... 80
Schedule of Investments................................................ 84
Statement of Assets and Liabilities.................................... 97
Statement of Operations................................................ 98
Statements of Changes in Net Assets.................................... 99
Financial Highlights................................................... 100
Brinson U.S. Short/Intermediate Fixed Income Fund......................... 101
Schedule of Investments................................................ 104
Statement of Assets and Liabilities.................................... 105
Statement of Operations................................................ 106
Statements of Changes in Net Assets.................................... 107
Financial Highlights................................................... 108
Brinson U.S. Cash Management Prime Fund................................... 109
Schedule of Investments................................................ 110
Statement of Assets and Liabilities.................................... 111
Statement of Operations................................................ 112
Statements of Changes in Net Assets.................................... 113
Financial Highlights................................................... 114
Brinson Short-Term Fund................................................... 115
Schedule of Investments................................................ 117
Statement of Assets and Liabilities.................................... 118
Statement of Operations................................................ 119
Statements of Changes in Net Assets.................................... 120
Financial Highlights................................................... 121
Brinson High Yield Fund................................................... 122
Schedule of Investments................................................ 125
Statement of Assets and Liabilities.................................... 130
Statement of Operations................................................ 131
Statements of Changes in Net Assets.................................... 132
Financial Highlights................................................... 133
Brinson Emerging Markets Debt Fund........................................ 134
Schedule of Investments................................................ 137
Statement of Assets and Liabilities.................................... 141
Statement of Operations................................................ 142
Statements of Changes in Net Assets.................................... 143
Financial Highlights................................................... 144
Brinson Relationship Funds--Notes to Financial Statements................. 145
Report of Independent Auditors............................................ 152
</TABLE>
<PAGE>
GLOBAL SECURITIES FUND
- --------------------------------------------------------------------------------
Since its inception on April 30, 1995, the Brinson Global Securities Fund has
provided an annualized return of 11.78% versus the 16.08% return of its index,
the GSMI Relationship Fund Index (Unhedged). The annualized volatility of the
Fund over this period was 7.56%, more than 20% less than the 9.63% volatility
of the benchmark. The Fund's 1999 return of 1.99% fell substantially short of
the benchmark return of 16.85%. While these results are disappointing, we
remain committed to our long-term value-oriented investment philosophy.
Security selection in U.S. equity and Japanese equity markets contributed
negatively to the added value while issue selection in U.S. bonds made a
positive contribution. The large underweight in developed equity markets and
the corresponding overweight in nominal and real bond markets detracted
significantly from the portfolio's added value as equity markets enjoyed
another stellar year.
It was a difficult year for developed bond markets with the notable exception
of the Japanese market. Yields rose and most returns were negative when the
currency effects were removed. The slightly long duration positions maintained
in most developed bond markets hurt the Fund's relative performance as did the
significant underweight and short duration strategy in Japanese bonds and the
allocation to U.S. Treasury Inflation Protected Securities (TIPS). The
overweighting in emerging debt, as well as the active management within this
category, made a positive contribution. Emerging and developed equity markets
performed very strongly as inflation remained in check while industry
consolidation and restructuring reached record levels. Technology and
telecommunications shares provided exceptional returns, pushing their
valuations significantly higher from already lofty levels.
The yen strengthened during the year, which detracted from the Global
Securities Fund's performance, as did the euro's weakness. On the positive
side, the relative strength of the Australian dollar, and our decision to
overweight that currency, added value to the portfolio.
Going into 2000, the Global Securities Fund remains significantly underweight
in the developed equity markets with an offsetting overweight in bond markets.
The gains in developed equity markets have led to a very high level of
overpricing, making bond markets increasingly attractive on a relative basis.
The Fund is also maintaining a large underweight in the yen as this currency
has again become significantly overvalued in the world markets--particularly
compared with continental European currencies. Along with the yen underweight,
the strategy includes sterling and U.S. dollar underweights counterbalanced by
overweights in the euro, Australian dollar and the Swedish krona.
1
<PAGE>
BRINSON GLOBAL SECURITIES FUND
- --------------------------------------------------------------------------------
Total Return
<TABLE>
<CAPTION>
Annualized
6 Months 1 Year 3 Years 4/30/95*
Ended Ended Ended to
12/31/99 12/31/99 12/31/99 12/31/99
- ----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Brinson Global Securities Fund -0.72% 1.99% 7.68% 11.78%
- ----------------------------------------------------------------------------
GSMI Relationship Fund Index** 10.41 16.85 15.86 16.08
- ----------------------------------------------------------------------------
MSCI World Equity (Free) Index 15.25 25.12 21.81 19.56
- ----------------------------------------------------------------------------
Salomon Smith Barney World Govt. Bond
Index 3.13 -4.26 3.43 4.13
- ----------------------------------------------------------------------------
</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,
and Salomon Smith Barney World 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
[CHART OF BRINSON GLOBAL SECURITIES FUNDS]
[GRAPH]
GSMI MSCI World Salomon Smith
Brinson Global Relationship Equity Barney World
Securities Fund Fund Index (Free) Index Government Bond Index
4/30/95 100,000 100,000 100,000 100,000
5/31/95 103,327 102,509 100,902 102,820
6/30/95 104,439 104,072 100,869 103,427
7/31/95 106,942 107,314 105,919 103,675
8/31/95 108,458 106,938 103,555 100,108
9/30/95 110,483 109,800 106,614 102,341
10/31/95 111,333 109,109 104,958 103,098
11/30/95 114,689 112,375 108,616 104,263
12/31/95 117,181 114,450 111,804 105,358
1/31/96 119,499 116,097 113,894 104,062
2/29/96 119,014 116,839 114,587 103,531
3/31/96 120,123 117,776 116,489 103,386
4/30/96 121,860 119,668 119,226 102,973
5/31/96 122,513 120,972 119,321 102,993
6/30/96 123,345 120,956 119,957 103,807
7/31/96 121,479 117,445 115,718 105,800
8/31/96 123,345 119,475 117,086 106,213
9/30/96 127,331 123,619 121,677 106,648
10/31/96 129,524 124,854 122,515 108,643
11/30/96 134,752 130,105 129,422 110,077
12/31/96 134,788 128,946 127,365 109,185
1/31/97 136,535 130,834 128,926 106,270
2/28/97 137,807 131,449 130,395 105,473
3/31/97 135,713 128,559 127,786 104,671
4/30/97 137,315 131,162 131,978 103,750
5/31/97 143,170 137,793 140,144 106,572
6/30/97 147,309 142,726 147,116 107,840
7/31/97 152,244 148,405 153,906 106,999
8/31/97 148,346 142,965 143,490 106,935
9/30/97 153,248 149,159 151,291 109,213
10/31/97 148,553 144,349 143,350 111,484
11/30/97 148,774 145,637 145,857 109,779
12/31/97 150,556 147,387 147,639 109,449
1/31/98 152,365 149,372 151,781 110,511
2/28/98 158,346 156,602 162,047 111,406
3/31/98 162,163 161,041 168,867 110,303
4/30/98 162,402 162,625 170,519 112,068
5/31/98 161,570 160,331 168,450 112,326
6/30/98 160,484 162,367 172,389 112,494
7/31/98 160,247 161,519 172,129 112,640
8/31/98 147,689 145,178 149,186 115,704
9/30/98 152,719 150,195 151,841 121,860
10/31/98 158,546 159,158 165,589 125,467
11/30/98 162,850 165,664 175,451 123,698
12/31/98 164,989 171,636 183,980 126,184
1/31/99 165,273 174,019 188,023 125,023
2/28/99 160,936 169,405 183,027 121,010
3/31/99 163,722 174,756 190,619 121,312
4/30/99 170,446 180,835 198,165 121,264
5/31/99 167,420 176,260 190,865 119,227
6/30/99 169,486 181,645 199,743 117,140
7/31/99 169,266 180,675 199,150 120,010
8/31/99 166,730 180,175 198,781 120,562
9/30/99 164,586 179,413 196,912 122,443
10/31/99 164,564 185,820 207,139 122,382
11/30/99 165,775 190,169 212,958 121,097
12/31/99 168,182 200,556 230,206 120,806
Fund returns are net of all fees and costs, while the Index returns are based
solely on market returns without deduction for fees or transaction costs for
rebalancing.
2
<PAGE>
BRINSON GLOBAL SECURITIES FUND
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ASSET ALLOCATION
As of December 31, 1999
Current
Benchmark Strategy
- ------------------------------------
<S> <C> <C>
U.S. Equities... 40.0% 19.9%
Global (Ex-U.S.)
Equities....... 22.0 17.1
Emerging Markets
Equities....... 3.0 3.0
Dollar Bonds.... 21.0 41.0
High Yield
Bonds.......... 3.0 3.0
Global (Ex-U.S.)
Bonds.......... 9.0 11.0
Emerging Markets
Debt........... 2.0 5.0
Cash
Equivalents.... 0.0 0.0
- ------------------------------------
100.0% 100.0%
</TABLE>
<TABLE>
<CAPTION>
CURRENCY ALLOCATION
As of December 31, 1999
Current
Benchmark Strategy
- ---------------------------------------------
<S> <C> <C>
U.S. ................... 66.0% 62.5%
Japan................... 9.4 1.4
U.K. ................... 4.8 0.0
Euro.................... 11.7 18.5
Other Europe............ 2.5 6.5
Canada.................. 1.3 1.3
Emerging Markets........ 3.0 3.0
Asia (Ex-Japan)......... 0.7 0.2
Australia/New Zealand... 0.6 6.6
- ---------------------------------------------
100.0% 100.0%
</TABLE>
<TABLE>
<CAPTION>
TOP TEN EQUITY HOLDINGS
As of December 31, 1999
Percent of
Net Assets
- --------------------------------------
<S> <C>
1. FDX Corp.............. 1.17%
2. Electronic Data
Systems Corp............. 1.12
3. Burlington Northern
Santa Fe Corp. .......... 0.94
4. General Instrument
Corp. ................... 0.78
5. CIGNA Corp............ 0.76
6. Allergan, Inc......... 0.69
7. Compuware Corp........ 0.69
8. Compaq Computer
Corp..................... 0.65
9. Nextel Communications,
Inc...................... 0.64
10. First Data Corp. ..... 0.62
- --------------------------------------
</TABLE>
<TABLE>
<CAPTION>
TOP TEN BOND HOLDINGS
As of December 31, 1999
Percent of
Net Assets
- ---------------------------------------------------------------------------
<S> <C>
1. U.S. Treasury Inflation Indexed Note
3.625%, due 04/15/28........................................... 9.30%
2. U.S. Treasury Inflation Indexed Note
3.875%, due 04/15/29........................................... 5.52
3. U.S. Treasury Bond
8.000%, due 11/15/21........................................... 0.93
4. Treuhandanstalt
6.250%, due 03/04/04........................................... 0.59
5. Government of Japan
4.600%, due 09/20/04........................................... 0.57
6. Government of Sweden
6.000%, due 02/09/05........................................... 0.52
7. Queensland Treasury Corp., Global Notes
6.500%, due 06/14/05........................................... 0.49
8. Government of France (OAT)
8.500%, due 12/26/12........................................... 0.46
9. Government of France (BTAN)
4.500%, due 07/12/02........................................... 0.46
10. Prudential Home Mortgage
Securities, 94-3, Class A10
6.500%, due 02/25/24........................................... 0.46
- ---------------------------------------------------------------------------
</TABLE>
3
<PAGE>
BRINSON GLOBAL SECURITIES FUND
- --------------------------------------------------------------------------------
INDUSTRY DIVERSIFICATION
As a Percent of Net Assets
As of December 31, 1999
<TABLE>
<S> <C>
U.S. EQUITIES
Energy................................................................. 0.19%
Capital Investment
Capital Goods......................................................... 1.21
Technology............................................................ 4.68
-------
5.89
Basic Industries
Chemicals............................................................. 1.27
Housing/Paper......................................................... 2.79
Metals................................................................ 1.39
-------
5.45
Consumer
Non-Durables.......................................................... 0.66
Retail/Apparel........................................................ 1.74
Autos/Durables........................................................ 0.99
Health: Drugs......................................................... 1.77
Health: Non-Drugs..................................................... 1.56
-------
6.72
Financial
Banks................................................................. 2.39
Non-Banks............................................................. 2.04
-------
4.43
Utilities
Electric.............................................................. 2.11
Telephone............................................................. 1.07
-------
3.18
Transportation......................................................... 2.50
Services/Misc.......................................................... 1.91
Post Venture........................................................... 2.26
-------
Total U.S. Equities................................................... 32.53*
-------
GLOBAL (Ex-U.S.) EQUITIES
Aerospace and Military................................................ 0.09
Airlines.............................................................. 0.08
Appliances & Household................................................ 0.84
Autos/Durables........................................................ 0.62
Banking............................................................... 1.68
Beverages & Tobacco................................................... 0.34
Broadcasting & Publishing............................................. 0.50
Building Materials.................................................... 0.09
Business & Public Service............................................. 0.89
Chemicals............................................................. 0.40
Construction.......................................................... 0.08
Data Processing....................................................... 0.81
Electronics........................................................... 1.30
Electric Components................................................... 0.90
Energy................................................................ 0.49
Financial Services.................................................... 0.87
Food & House Products................................................. 0.40
Forest Products....................................................... 0.13
Health & Non-Drugs.................................................... 0.91
Industrial Components................................................. 0.35
Insurance............................................................. 0.86
Leisure & Tourism..................................................... 0.03
Machinery & Engineering............................................... 0.06
Merchandising......................................................... 0.55
Metals-Steel.......................................................... 0.12
Metals--Non-Ferrous................................................... 0.18
</TABLE>
<TABLE>
<S> <C>
Multi-Industry........................................................ 0.14%
Real Estate........................................................... 0.19
Recreation............................................................ 0.21
Telecommunications.................................................... 1.67
Transportation........................................................ 0.35
Utilities............................................................. 0.51
Wholesale & International Trade....................................... 0.06
-------
Total Global (Ex-U.S.) Equities...................................... 16.70
-------
EMERGING MARKETS EQUITIES.............................................. 4.61
U.S. BONDS
U.S. Corporate Bonds
Asset-Backed.......................................................... 0.74
Banks................................................................. 0.03
Broadcasting.......................................................... 0.16
Consumer.............................................................. 0.20
Financial............................................................. 1.18
Services/Miscellaneous................................................ 0.30
Technology............................................................ 0.09
Telecommunications.................................................... 0.31
Utilities............................................................. 0.19
-------
Total U.S. Corporate Bonds........................................... 3.20
International Dollar Bonds
Foreign Banks......................................................... 0.61
Foreign Multi-Industry................................................ 1.21
Foreign Financial..................................................... 0.48
Foreign Utilities..................................................... 0.45
-------
Total International Dollar Bonds..................................... 2.75
Corporate Mortgage-Backed Securities................................... 3.12
U.S. Government Mortgage-Backed Securities............................. 1.97
U.S. Government Agencies............................................... 0.42
U.S. Government Obligations............................................ 15.98
-------
Total U.S. Bonds..................................................... 27.44*
HIGH-YIELD BONDS....................................................... 2.77
GLOBAL (EX-U.S.) BONDS
Foreign Financial Bonds............................................... 1.04
Foreign Government Bonds.............................................. 8.45
-------
Total Global (Ex-U.S.) Bonds......................................... 9.49
EMERGING MARKETS BONDS................................................. 6.91
SHORT-TERM INVESTMENTS................................................. 20.15*
-------
TOTAL INVESTMENTS.................................................... 120.60
LIABILITIES, LESS CASH AND
OTHER ASSETS.......................................................... (20.60)
-------
NET ASSETS............................................................. 100.00%
=======
</TABLE>
* The Fund held a short position in stock index futures which reduced the U.S.
Equity exposure from 32.53% to 19.43%. The Fund also held a long position in
U.S. Treasury futures which increased the U.S. Bond exposures from 27.44% to
40.74%. These adjustments resulted in a net decrease to the Fund's exposure
to Short-Term Investments from 20.15% to 19.94%.
4
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1999
<TABLE>
<CAPTION>
Shares Value
--------------- --------------
<S> <C> <C>
Equities - 53.84%
U.S. Equities - 32.53%
Advanced Micro Devices, Inc. (b).............. 213,700 $ 6,183,944
Allergan, Inc. ............................... 182,000 9,054,500
Alza Corp. (b)................................ 86,900 3,008,913
American Standard Companies, Inc. (b)......... 104,300 4,784,762
AmSouth Bancorp............................... 121,856 2,353,344
Aon Corp...................................... 115,350 4,614,000
Armstrong World Industries, Inc. ............. 27,500 917,813
Baxter International, Inc..................... 111,000 6,972,187
Brinson Post-Venture Fund (b)................. 1,520,343 29,630,274
Burlington Northern Santa Fe Corp............. 507,100 12,297,175
Centaur Funding Corp., Series B, 144A......... 1,235 1,261,244
Centaur Funding Corp., Series C, 144A (b)..... 3,320 509,553
Central & South West Corp. ................... 275,400 5,508,000
Champion Enterprises, Inc. (b)................ 89,000 762,063
Champion International Corp................... 31,500 1,951,031
Chase Manhattan Corp.......................... 87,700 6,813,194
CIGNA Corp.................................... 123,000 9,909,187
Circuit City Stores-Circuit City Group........ 83,500 3,762,719
CMS Energy Corp............................... 93,500 2,916,031
CommScope, Inc. (b)........................... 39,099 1,576,178
Compaq Computer Corp.......................... 314,400 8,508,450
Computer Sciences Corp. (b)................... 69,400 6,566,975
Compuware Corp. (b)........................... 242,100 9,018,225
Consolidated Stores Corp. (b)................. 124,800 2,028,000
Corning, Inc.................................. 33,400 4,306,512
Covance, Inc. (b)............................. 59,350 641,722
Delhaize America, Inc......................... 63,334 1,286,472
Dial Corp. ................................... 87,900 2,137,069
Dominion Resources, Inc....................... 139,200 5,463,600
Eastman Chemical Co. ......................... 55,800 2,660,963
Electronic Data Systems Corp.................. 219,400 14,686,087
Eli Lilly and Co.............................. 47,400 3,152,100
Emerson Electric Co. ......................... 126,300 7,246,462
Entergy Corp.................................. 128,800 3,316,600
FDX Corp. (b)................................. 376,400 15,408,875
Federal-Mogul Corp. .......................... 140,800 2,833,600
Federated Department Stores, Inc. (b)......... 36,400 1,840,475
First Data Corp. ............................. 165,570 8,164,671
Fleet Boston Financial Corp. ................. 192,264 6,693,190
Fleetwood Enterprises, Inc. .................. 64,700 1,334,438
Fort James Corp. ............................. 175,500 4,804,312
Gateway, Inc. (b)............................. 43,700 3,149,131
GATX Corp. ................................... 40,600 1,370,250
General Instrument Corp. ..................... 120,300 10,225,500
Genzyme Corp. (b)............................. 67,000 3,015,000
</TABLE>
5
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1999
<TABLE>
<CAPTION>
Shares Value
--------------- --------------
<S> <C> <C>
U.S. Equities - (continued)
GreenPoint Financial Corp. ................... 194,700 $ 4,636,294
Hibernia Corp................................. 147,500 1,567,188
Household International, Inc. ................ 164,100 6,112,725
Illinois Tool Works, Inc...................... 114,500 7,735,906
IMC Global, Inc. ............................. 222,400 3,641,800
Johnson Controls, Inc. ....................... 59,200 3,367,000
Kimberly-Clark Corp........................... 111,600 7,281,900
Kroger Co. (b)................................ 84,000 1,585,500
Lafarge Corp. ................................ 80,900 2,234,863
Lear Corp. (b)................................ 121,400 3,884,800
Lexmark International Group, Inc. (b)......... 24,000 2,172,000
Lincoln National Corp......................... 49,600 1,984,000
Lockheed Martin Corp.......................... 179,380 3,923,937
Lyondell Chemical Co.......................... 145,800 1,858,950
Martin Marietta Materials, Inc. .............. 60,463 2,478,983
Masco Corp.................................... 316,200 8,023,575
Mattel, Inc................................... 318,600 4,181,625
Mead Corp. ................................... 64,900 2,819,094
Monsanto Co................................... 106,300 3,786,937
National Service Industries, Inc. ............ 49,900 1,472,050
New York Times Co............................. 88,200 4,332,825
Newell Rubbermaid, Inc........................ 206,000 5,974,000
Nextel Communications, Inc. (b)............... 81,700 8,425,312
Norfolk Southern Corp. ....................... 179,600 3,681,800
Owens-Illinois, Inc. (b)...................... 48,700 1,220,544
Peco Energy Co................................ 91,300 3,172,675
Pentair, Inc.................................. 68,800 2,648,800
Philip Morris Companies, Inc.................. 160,800 3,728,550
PNC Bank Corp. ............................... 82,500 3,671,250
Praxair, Inc.................................. 45,700 2,299,281
Raytheon Co., Class B......................... 188,900 5,017,656
Reliaster Financial Corp...................... 49,800 1,951,538
SBC Communications, Inc....................... 117,900 5,747,625
Southdown, Inc. .............................. 69,960 3,611,685
St. Jude Medical, Inc. (b).................... 143,400 4,400,587
Torchmark Corp. .............................. 67,900 1,973,344
Tyson Foods, Inc. ............................ 169,800 2,759,250
U.S. Bancorp.................................. 130,052 3,096,863
Ultramar Diamond Shamrock Corp................ 104,390 2,368,348
Unisys Corp. (b).............................. 81,700 2,609,294
United Healthcare Corp. ...................... 101,400 5,386,875
USG Corp...................................... 46,400 2,186,600
Viad Corp. ................................... 99,700 2,779,138
W.W. Grainger, Inc. .......................... 61,400 2,935,688
Watson Pharmaceutical Co. (b)................. 117,800 4,218,712
Wells Fargo and Co............................ 176,900 7,153,394
</TABLE>
6
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1999
<TABLE>
<CAPTION>
Shares Value
--------------- --------------
<S> <C> <C>
U.S. Equities - (continued)
Westvaco Corp................................. 82,300 $ 2,685,038
Xerox Corp.................................... 222,700 5,052,506
York International Corp....................... 76,100 2,087,994
--------------
Total U.S. Equities........................... 426,571,090
--------------
Global (Ex-U.S.) Equities - 16.70%
Australia - 0.70%
Amcor Ltd..................................... 38,080 177,776
Amp Ltd....................................... 41,700 459,264
Boral Ltd..................................... 121,100 187,025
Brambles Industries Ltd. ..................... 10,930 301,288
Broken Hill Proprietary Co., Ltd.............. 61,919 810,435
CSR Ltd....................................... 105,230 254,791
Lend Lease Corp., Ltd. ....................... 35,040 489,329
National Australia Bank Ltd. ................. 67,540 1,029,816
News Corp., Ltd. ............................. 110,400 1,068,513
News Corp., Ltd., Preferred................... 40,474 345,644
Qantas Airways Ltd............................ 52,317 130,098
QBE Insurance Group Ltd. ..................... 73,409 341,075
Rio Tinto Ltd................................. 27,709 593,321
Santos Ltd.................................... 88,580 240,562
Telstra Corp. Ltd. ........................... 262,200 1,420,710
Westpac Banking Corp., Ltd.................... 127,060 873,635
WMC Ltd. ..................................... 39,375 216,442
Woolworth's Ltd............................... 91,540 313,895
--------------
9,253,619
--------------
Austria - 0.01%
Austria Tabakwerke AG......................... 3,300 158,780
--------------
Belgium - 0.13%
Electrabel S.A................................ 1,500 488,668
Fortis B...................................... 32,379 1,162,594
--------------
1,651,262
--------------
Canada - 0.33%
Agrium, Inc................................... 31,060 239,697
Alcan Aluminum Ltd............................ 10,430 426,888
Bank of Montreal.............................. 6,385 216,895
Canadian National Railway Co.................. 12,780 336,385
Canadian Pacific Ltd.......................... 19,348 413,943
Hudson's Bay Co. ............................. 27,990 331,722
Imasco Ltd.................................... 10,410 286,556
Imperial Oil Ltd.............................. 9,415 201,106
Magna International, Inc., Class A............ 6,140 260,187
Newbridge Networks Corp. (b).................. 15,540 348,534
Nova Chemicals Corp........................... 11,293 219,822
</TABLE>
7
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1999
<TABLE>
<CAPTION>
Shares Value
--------------- --------------
<S> <C> <C>
Canada - (continued)
Potash Corporation of Saskatchewan, Inc. ..... 3,790 $ 180,190
Royal Bank of Canada.......................... 10,175 445,196
Shaw Communications, Inc., Class B............ 8,720 286,301
TransCanada Pipelines Ltd..................... 8,295 71,445
Westcoast Energy, Inc......................... 5,750 91,719
--------------
4,356,586
--------------
Denmark - 0.06%
Tele Danmark A/S.............................. 10,320 763,116
--------------
Finland - 0.38%
Merita Ltd., Class A.......................... 145,370 852,452
Nokia Oyj (b)................................. 12,340 2,226,521
Sampo Insurance Co., Ltd., Series A........... 24,100 838,273
UPM-Kymmene Corp.............................. 25,230 1,011,618
--------------
4,928,864
--------------
France - 1.12%
Air France.................................... 25,270 481,280
Air Liquide................................... 6,636 1,105,546
Alcatel Alsthom............................... 3,330 761,059
Axa........................................... 3,400 471,687
Banque Nationale de Paris..................... 19,716 1,810,312
Carrefour S.A. ............................... 3,680 675,422
Cie de Saint Gobain........................... 4,202 786,393
CSF Thomson................................... 25,430 835,848
France Telecom S.A. .......................... 17,110 2,251,925
Groupe Danone................................. 2,990 701,336
Michelin, Class B............................. 7,588 296,641
Rhone-Poulenc, Class A........................ 15,578 901,004
Schneider S.A. ............................... 7,500 586,026
Societe Generale.............................. 4,646 1,075,797
Total Fina S.A., Class B (b).................. 9,432 1,252,734
Vivendi (b)................................... 7,208 647,745
--------------
14,640,755
--------------
Germany - 1.03%
Allianz AG.................................... 3,560 1,190,104
Bayer AG...................................... 36,330 1,718,884
Bayerische Motoren Werke AG (b)............... 18,950 578,410
Continental AG................................ 22,250 444,951
DaimlerChrysler AG............................ 11,996 936,727
Deutsche Bank AG (b).......................... 11,460 965,521
Deutsche Telekom AG........................... 19,290 1,350,635
Dresdner Bank AG (b).......................... 13,230 714,805
Mannesmann AG................................. 6,340 1,527,787
SAP AG........................................ 1,030 503,844
Siemens AG (b)................................ 19,620 2,497,710
</TABLE>
8
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1999
<TABLE>
<CAPTION>
Shares Value
--------------- --------------
<S> <C> <C>
Germany - (continued)
Veba AG....................................... 23,080 $ 1,122,062
--------------
13,551,440
--------------
Hong Kong - 0.03%
Henderson Land Development Co., Ltd. ......... 54,000 346,639
--------------
Italy - 0.35%
Assicurazioni Generali........................ 20,826 684,729
Beni Stabili Spa (b).......................... 88,085 30,904
ENI Spa....................................... 61,000 333,858
ENI Spa ADR................................... 13,730 756,866
La Rinascente Spa............................. 51,760 330,501
San Paolo-imi Spa............................. 55,085 744,877
Telecom Italia Mobile Spa..................... 88,000 978,258
Telecom Italia Spa............................ 49,000 687,644
--------------
4,547,637
--------------
Japan - 8.40%
Acom Co., Ltd. ............................... 12,700 1,242,020
Asahi Bank Ltd................................ 156,000 960,188
Bank of Tokyo-Mitsubushi, Ltd................. 161,000 2,239,891
Benesse Corp. ................................ 3,700 889,258
Bridgestone Corp. ............................ 50,000 1,099,116
Canon, Inc.................................... 79,000 3,133,604
Dai Nippon Printing Co., Ltd.................. 55,000 875,873
Dai-Ichi Kangyo Bank.......................... 95,000 886,376
Daiichi Pharmaceutical Co., Ltd............... 38,000 493,400
Daikin Industries Ltd. ....................... 54,000 733,330
Denso Corp.................................... 43,000 1,025,060
East Japan Railway Co......................... 279 1,501,920
Fanuc......................................... 31,900 4,054,702
Fuji Bank Ltd................................. 74,000 717,913
Fujitsu....................................... 164,000 7,466,562
Honda Motor Co................................ 69,000 2,561,673
Hoya Corp..................................... 22,000 1,730,253
Ito Yokado Co., Ltd........................... 17,000 1,843,584
Kamigumi Co. Ltd. ............................ 106,000 445,313
Kao Corp...................................... 40,000 1,139,172
Kirin Brewery Co., Ltd........................ 106,000 1,113,282
Kokuyo........................................ 20,000 265,742
Kuraray Co., Ltd.............................. 74,000 748,278
Matsushita Electric Industrial Co............. 98,000 2,709,589
Mitsubishi Corp. ............................. 101,000 778,555
Mitsubishi Estate Co., Ltd.................... 162,000 1,577,979
Murata Manufacturing Co., Inc. ............... 11,000 2,579,258
NEC Corp...................................... 151,000 3,592,252
NGK Insulators................................ 101,000 748,952
</TABLE>
9
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1999
<TABLE>
<CAPTION>
Shares Value
--------------- --------------
<S> <C> <C>
Japan - (continued)
Nintendo Corp., Ltd........................... 16,600 $ 2,753,827
Nippon Steel Co............................... 651,000 1,520,092
Nippon Telegraph & Telephone Corp............. 327 5,590,836
Nissin Food Products Co....................... 28,400 667,305
Nomura Securities Co., Ltd.................... 164,000 2,956,182
NTT Mobile Communications..................... 82 3,148,454
Obayashi Corp. ............................... 136,000 641,766
Orix Corp. ................................... 17,900 4,025,773
Osaka Gas Co.................................. 284,000 682,566
Rohm Co....................................... 4,000 1,641,346
Sankyo Co., Ltd............................... 70,000 1,436,178
Santen Pharmaceutical Co., Ltd................ 25,000 411,558
Secom Co., Ltd. .............................. 28,000 3,077,524
Sekisui House Ltd............................. 53,000 468,614
Seven-Eleven Japan Co., Ltd................... 13,000 2,057,545
Softbank Corp. ............................... 2,600 2,484,295
Sony Corp. ................................... 24,200 7,163,890
Sumitomo Bank................................. 112,000 1,530,829
Sumitomo Chemical Co. ........................ 248,000 1,163,011
Sumitomo Electric Industries.................. 60,000 692,296
Takeda Chemical Industries.................... 58,000 2,861,609
Takefuji Corp................................. 7,700 962,171
TDK Corp. .................................... 21,000 2,894,925
Tokio Marine & Fire Insurance Co.............. 87,000 1,015,730
Tokyo Electric Power.......................... 38,700 1,035,983
Tokyo Electron Ltd............................ 12,000 1,641,346
Toyota Motor Corp............................. 87,000 4,207,415
Yamato Transport Co., Ltd. ................... 58,000 2,243,955
--------------
110,130,116
--------------
Netherlands - 0.56%
ABN AMRO Holdings NV.......................... 28,501 708,518
Elsevier NV................................... 79,630 946,674
ING Groep NV.................................. 34,432 2,068,798
Koninklijke KPN NV............................ 17,486 1,698,453
Royal Dutch Petroleum Co. .................... 14,510 885,049
TNT Post Group NV............................. 18,700 533,290
Unilever NV................................... 10,138 557,300
--------------
7,398,082
--------------
New Zealand - 0.05%
Auckland International Airport Ltd............ 62,150 93,992
Carter Holt Harvey Ltd........................ 96,860 126,281
Lion Nathan Ltd............................... 72,480 168,202
Telecom Corp. of New Zealand Ltd.............. 64,390 302,214
--------------
690,689
--------------
</TABLE>
10
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1999
<TABLE>
<CAPTION>
Shares Value
--------------- --------------
<S> <C> <C>
Norway - 0.03%
Norske Skogindustrier ASA..................... 7,350 $ 382,260
--------------
Portugal - 0.08%
EDP Electricidade de Portugal S.A. ........... 27,400 475,980
Portugal Telecom (b).......................... 48,200 526,155
--------------
1,002,135
--------------
Singapore - 0.18%
Singapore Press Holdings Ltd. ................ 61,472 1,332,016
United Overseas Bank.......................... 117,891 1,040,215
--------------
2,372,231
--------------
Spain - 0.40%
Banco Popular S.A............................. 14,635 949,886
Banco Santander Central Hispano S.A. ......... 78,062 879,519
Endesa S.A. .................................. 25,197 497,823
Tabacalera S.A. .............................. 113,398 1,614,109
Telefonica S.A. (b)........................... 53,314 1,325,355
--------------
5,266,692
--------------
Sweden - 0.37%
Electrolux AB, B Shares....................... 47,190 1,182,098
Ericsson, B Shares............................ 33,260 2,129,605
Investor AB, B Shares ........................ 44,770 628,866
Nordbanken Holding AB......................... 58,870 344,551
Swedish Match AB.............................. 169,800 590,315
--------------
4,875,435
--------------
Switzerland - 0.44%
Adecco S.A. (b)............................... 837 648,391
Nestle S.A. (Reg.)............................ 664 1,210,026
Novartis AG (Reg.)............................ 1,026 1,498,587
Roche Holding AG (Gen.)....................... 130 1,534,953
Swisscom AG (Reg.)............................ 2,374 955,117
--------------
5,847,074
--------------
United Kingdom - 2.05%
Allied Zurich PLC (b)......................... 52,040 611,855
AstraZeneca PLC............................... 16,821 696,198
Barclays PLC.................................. 26,450 759,661
BP Amoco PLC.................................. 188,654 1,892,743
British Aerospace PLC......................... 44,954 297,056
British Airways PLC........................... 67,000 436,257
British Telecommunications PLC................ 81,000 1,975,196
Charter PLC................................... 111,261 475,198
Diageo PLC.................................... 111,368 893,873
FKI PLC....................................... 269,347 1,041,861
Glaxo Wellcome PLC............................ 53,440 1,507,269
</TABLE>
11
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1999
<TABLE>
<CAPTION>
Shares Value
--------------- --------------
<S> <C> <C>
United Kingdom - (continued)
Greenalls Group PLC.......................... 71,742 $ 341,100
House of Fraser PLC.......................... 125,920 154,239
HSBC Holdings PLC............................ 51,000 709,361
Lloyds TSB Group PLC......................... 134,310 1,676,548
Marconi PLC.................................. 69,840 1,233,113
Marks & Spencer PLC.......................... 128,740 611,580
National Power PLC........................... 136,000 785,804
Nycomed Amersham PLC......................... 91,740 569,993
Peninsular & Oriental Steam Navigation Co.... 28,967 482,270
Powergen PLC................................. 72,000 516,391
Prudential Corp. PLC......................... 66,460 1,306,792
Reckitt & Colman PLC......................... 40,000 374,238
Reed International PLC....................... 112,990 844,065
Rio Tinto Ltd................................ 45,310 1,091,746
RJB Mining PLC............................... 177,110 91,344
Royal & Sun Alliance Insurance Group PLC..... 70,735 537,529
Scottish & Southern Energy PLC............... 112,420 895,522
Tesco PLC.................................... 281,810 855,023
Thames Water PLC............................. 35,410 440,585
Trinity Mirror PLC........................... 65,435 697,104
Unilever PLC................................. 79,000 579,965
United News & Media PLC...................... 80,510 1,023,795
Yorkshire Water PLC.......................... 89,920 507,237
--------------
26,912,511
--------------
Total Global (Ex-U.S.) Equities.............. 219,075,923
--------------
Emerging Markets Equities - 4.61%
Brinson Emerging Markets Equity Fund (b)..... 5,207,919 60,432,175
--------------
Total Equities (Cost $648,557,049)........... 706,079,188
--------------
<CAPTION>
Face
Amount
---------------
<S> <C> <C>
Bonds - 46.61%
U.S. Bonds - 27.44%
U.S. Corporate Bonds - 3.20%
Bell Atlantic Corp., 8.000%, due 10/15/29.... $ 20,000 20,303
Cendant Corp., 7.750%, due 12/01/03.......... 2,500,000 2,496,320
Chase Manhattan Auto Owner Trust, Series 96-
C, Class A4, 6.150%, due 03/15/02........... 1,895,000 1,891,930
Chase Manhattan Corp., 6.750%, due 12/01/04.. 425,000 411,618
CIT Group, Inc., 7.125%, 10/15/04............ 45,000 44,637
Computer Associates International, Inc.,
Series B, 6.250%, due 04/15/03.............. 1,295,000 1,237,022
First Bank Corporate Card Master Trust,
Series 97-1, Class A, 6.400%, due 02/15/03.. 745,000 737,706
GATX Capital Corp., Series F, MTN,
6.923%, due 04/25/01........................ 15,000,000 14,993,675
</TABLE>
12
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1999
<TABLE>
<CAPTION>
Face
Amount Value
--------------- --------------
<S> <C> <C>
U.S. Corporate Bonds - (continued)
GMAC, 9.625%, due 12/15/01................... $ 90,000 $ 94,109
GTE Florida, Inc., Series E, 6.860%, due
02/01/28.................................... 2,120,000 1,901,856
Honda Auto Lease Trust, 6.650%, due
07/15/05.................................... 675,000 672,665
Kern River Funding Corp., 144A, Series B,
6.720%, due 09/30/01........................ 275,000 271,678
MBNA Global Capital Securities FRN,
7.005%, due 02/01/27........................ 290,000 238,245
News America Holdings, 7.750%, due 12/01/45.. 1,335,000 1,217,225
Noram Energy Corp., 6.375%, due 11/01/03..... 830,000 789,442
Peco Energy Transition Trust, 6.130%, due
03/01/09.................................... 2,645,000 2,433,770
PP&L Transition Bond Company LLC,
6.960%, due 12/26/07........................ 160,000 159,515
Rite Aid Corp., 144A, 6.125%, due 12/15/08... 2,500,000 1,700,000
Service Corp., International, 6.000%, due
12/15/05.................................... 1,900,000 1,412,063
TCI Communications, Inc., 8.750%, due
08/01/15.................................... 780,000 851,280
Tele-Communications, Inc., 9.800%, due
02/01/12.................................... 1,815,000 2,120,080
The Money Store, Series 97-B, Class A-8,
6.900%, due 07/15/38........................ 3,000,000 2,942,370
Time Warner Cos., Inc., 7.570%, due
02/01/24.................................... 1,000,000 961,907
UCFC Home Equity Loan, Series 97-C, Class A8,
FRN, 5.638%, due 09/15/27................... 607,081 607,785
Western Resources, Inc., 6.875%, due
08/01/04.................................... 1,835,000 1,746,979
--------------
Total U.S. Corporate Bonds................... 41,954,180
--------------
International Dollar Bonds - 2.75%
Abbey National PLC, Resettable Perpetual
Preferred, 6.700%, due 06/29/49............. 2,995,000 2,711,559
Amvescap PLC, 6.600%, due 05/15/05........... 3,415,000 3,064,532
Banco Santiago S.A., 7.000%, due 07/18/07.... 750,000 672,917
Banque Centrale de Tunisie, 8.250%, due
09/19/27.................................... 465,000 378,394
Credit Suisse-London, 144A, Resettable
Perpetual Preferred, 7.900%, due 05/01/07... 1,145,000 1,089,420
Empresa Nacional de Electricidad S.A.,
7.875%, due 02/01/27........................ 940,000 817,038
Empresa Nacional de Electricidad S.A.,
8.125%, due 02/01/69........................ 2,320,000 1,879,200
Korea Development Bank, 7.125%, due
09/17/01.................................... 1,220,000 1,210,534
National Westminster Bank PLC, 7.375%, due
10/01/09.................................... 640,000 624,962
PDVSA Finance Ltd., Series 98-1,
6.450%, due 02/15/04........................ 1,120,000 1,007,643
Petroleum Nasional Bhd, 144A, 7.750%, due
08/15/15.................................... 1,110,000 1,030,498
Ras Laffan Liquified Natural Gas Co., Ltd.,
144A, 8.294%, due 03/15/14.................. 2,345,000 2,202,588
Royal Bank of Scotland, Resettable Perpetual
Preferred, 7.375%, due 04/29/49............. 1,370,000 1,306,436
Southern Investments UK, 6.800%, due
12/01/06.................................... 2,345,000 2,195,293
</TABLE>
13
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1999
<TABLE>
<CAPTION>
Face
Amount Value
--------------- --------------
<S> <C> <C>
International Dollar Bonds - (continued)
Tyco International Group, 6.821%, due
03/05/01.................................... $ 15,000,000 $ 14,996,178
Tyco International Group, 5.875%, due
11/01/04.................................... 1,000,000 925,710
--------------
Total International Dollar Bonds............. 36,112,902
--------------
Corporate Mortgage-Backed Securities - 3.12%
Asset Securitization Corp., Series 96-D,
Class A1B, 7.210%, due 10/13/26............. 4,350,000 4,309,893
Countrywide Funding Corp. FRN,
5.420%, due 12/01/03........................ 3,000,000 2,910,000
Countrywide Funding Corp., Series 93-12,
Class A5, 6.000%, due 02/25/24.............. 213,437 211,187
Citicorp Mortgage Securities, Inc., Series
94-9, Class A8, 5.750%, due 06/25/09........ 5,130,906 4,738,238
CMC Securities Corp., Series 97-NAM3, Class
FXA5, 7.250%, due 09/15/27.................. 367,878 354,436
LB Commercial Conduit Mortgage Trust, Series
99-C1, Class A1, 6.410%, due 08/15/07....... 871,912 840,070
Norwest Asset Securities Corp., Series 96-2,
Class A9, 7.000%, due 09/25/11.............. 85,000 82,285
Norwest Asset Securities Corp., Series 98-25,
Class A5, 6.000%, due 12/25/28.............. 1,000,000 938,910
Prudential Home Mortgage Securities, Series
93-43, Class A9, 6.750%, due 10/25/23....... 2,907,836 2,795,215
Prudential Home Mortgage Securities, Series
94-3, Class A10, 6.500%, due 02/25/24....... 6,240,000 5,968,061
Residential Accredit Loans, Inc., Series 96-
QS4, Class A10, 7.900%, due 08/25/26........ 2,000,000 1,995,700
Residential Asset Securitization Trust,
Series 97-A10, Class A1, 7.250%, due
12/25/27.................................... 2,316,963 2,310,846
Residential Asset Securitization Trust,
Series 97-A11, Class A2, 7.000%, due
01/25/28.................................... 316,311 315,432
Residential Asset Securitization Trust,
Series 97-A7, Class A1, 7.250%, due
12/25/27.................................... 2,995,000 2,873,882
Structured Asset Securities Corp., Series 98-
RF1, Class A, 8.712%, due 03/15/27.......... 1,554,052 1,601,159
Structured Asset Securities Corp., Series 98-
RF2, 8.582%, due 07/15/27................... 2,295,904 2,359,041
Structured Asset Securities Corp., Series 97-
RF2, Class 2A1, 7.250%, due 03/28/30........ 1,166,962 1,163,870
Structured Asset Securities LLC, 144A, Series
99-RF1, Class A, 7.900%, due 10/15/28....... 861,473 867,665
Vendee Mortgage Trust, Series 98-2, Class 1G,
6.750%, due 06/15/28........................ 4,640,000 4,283,091
--------------
Total Corporate Mortgage-Backed Securities... 40,918,981
--------------
</TABLE>
14
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1999
<TABLE>
<CAPTION>
Face
Amount Value
--------------- --------------
<S> <C> <C>
U.S. Government Agencies - 0.42%
Aid-Israel, Series 10-Z,
0.000%, due 02/15/03........................ $ 490,000 $ 399,497
Aid-Israel, Series 10-Z,
0.000%, due 08/15/19........................ 1,105,000 278,514
Tennessee Valley Authority,
6.375%, due 06/15/05........................ 5,000,000 4,818,340
--------------
Total U.S. Government Agencies............... 5,496,351
--------------
U.S. Government Mortgage-Backed Securities - 1.97%
Fannie Mae Whole Loan, Series 95-W3, Class A,
9.000%, due 04/25/25........................ 820,878 847,809
Federal Home Loan Mortgage Corp.,
7.000%, due 10/15/13........................ 409,292 389,716
Federal Home Loan Mortgage Corp.,
7.238%, due 05/01/26........................ 427,081 428,696
Federal Home Loan Mortgage Corp.,
9.000%, due 01/01/29........................ 2,089,797 2,174,041
Federal National Mortgage Association,
5.625%, due 05/14/04........................ 1,730,000 1,650,053
Federal National Mortgage Association,
5.500%, due 01/01/09........................ 2,155,223 2,057,075
Federal National Mortgage Association,
5.250%, due 01/15/09........................ 5,900,000 5,195,257
Federal National Mortgage Association,
8.000%, due 03/01/11........................ 1,207,525 1,231,927
Federal National Mortgage Association,
6.500%, due 03/01/19........................ 1,888,477 1,804,086
Federal National Mortgage Association,
6.500%, due 12/25/23........................ 890,000 847,854
Federal National Mortgage Association,
7.000%, due 10/01/28........................ 1,565,656 1,514,221
FGCI, 7.500%, due 08/01/09................... 1,991,284 2,012,433
Government National Mortgage Association,
7.500%, due 01/15/24........................ 640,448 636,811
Government National Mortgage Association,
6.000%, due 08/20/29........................ 5,539,503 5,028,323
--------------
Total U.S. Government Mortgage-Backed
Securities.................................. 25,818,302
--------------
U.S. Government Obligations - 15.98%
U.S. Treasury Bond,
8.000%, due 11/15/21........................ 10,730,000 12,171,844
U.S. Treasury Inflation Indexed Note,
3.625%, due 04/15/28........................ 131,280,000 122,010,713
U.S. Treasury Inflation Indexed Note,
3.875%, due 04/15/29........................ 75,730,000 72,370,617
U.S. Treasury Note,
5.750%, due 08/15/03........................ 3,015,000 2,951,875
</TABLE>
15
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1999
<TABLE>
<CAPTION>
Face
Amount Value
--------------- --------------
<S> <C> <C>
U.S. Government Obligations - (continued)
U.S. Treasury Note,
5.625%, due 05/15/08......................... $ 120,000 $ 112,875
--------------
Total U.S. Government Obligations............. 209,617,924
--------------
Total U.S. Bonds.............................. 359,918,640
--------------
<CAPTION>
Shares
---------------
<S> <C> <C>
High Yield Bonds - 2.77%
Brinson High Yield Fund (b)................... 2,638,758 36,324,874
--------------
<CAPTION>
Face
Amount
---------------
<S> <C> <C>
Global (Ex-U.S.) Bonds - 9.49%
Australia - 0.73%
Australian Government, Series 909
7.500%, due 09/15/09......................... AUD 2,600,000 1,768,828
New South Wales Treasury Corp.
7.000%, due 04/01/04......................... 2,100,000 1,372,631
Queensland Treasury Corp., Global Notes
6.500%, due 06/14/05......................... 10,000,000 6,403,293
--------------
9,544,752
--------------
Canada - 0.95%
Government of Canada
8.750%, due 12/01/05......................... CAD 1,700,000 1,312,911
7.000%, due 12/01/06......................... 2,300,000 1,648,019
5.500%, due 06/01/09......................... 3,600,000 2,347,206
4.250%, due 12/01/21......................... 4,700,000 3,775,415
4.250%, due 12/01/26......................... 4,410,000 3,363,791
--------------
12,447,342
--------------
Denmark - 1.04%
Depfa Pfandbrief Bank
5.750%, due 03/04/09......................... EUR 5,500,000 5,584,848
Kingdom of Denmark
8.000%, due 05/15/03......................... DKK 24,800,000 3,627,606
7.000%, due 12/15/04......................... 23,800,000 3,437,735
7.000%, due 11/10/24......................... 6,500,000 973,547
--------------
13,623,736
--------------
France - 1.28%
Government of France (BTAN)
5.750%, due 03/12/01......................... EUR 1,500,000 1,533,816
4.500%, due 07/12/02......................... 6,000,000 6,012,919
Government of France (OAT)
4.000%, due 10/25/09......................... 2,000,000 1,785,373
8.500%, due 12/26/12......................... 4,750,000 6,039,334
6.000%, due 10/25/25......................... 1,430,000 1,442,026
--------------
16,813,468
--------------
</TABLE>
16
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1999
<TABLE>
<CAPTION>
Face
Amount Value
--------------- --------------
<S> <C> <C>
Germany - 0.79%
Bundesrepublik Deutschland
4.500%, due 07/04/09......................... EUR 1,270,000 $ 1,194,114
6.250%, due 01/04/24......................... 1,350,000 1,403,981
Treuhandanstalt
6.250%, due 03/04/04......................... 7,300,000 7,700,193
--------------
10,298,288
--------------
Italy - 0.39%
Buoni Poliennali Del Tes
6.000%, due 11/01/07......................... 1,470,000 1,520,085
Republic of Italy (BTP)
8.500%, due 08/01/04......................... 1,800,000 2,046,309
7.750%, due 11/01/06......................... 1,350,000 1,529,237
--------------
5,095,631
--------------
Japan - 1.15%
Government of Japan
3.400%, due 03/22/04......................... JPY 160,000,000 1,719,193
4.600%, due 09/20/04......................... 660,000,000 7,494,680
3.000%, due 09/20/05......................... 555,000,000 5,932,002
--------------
15,145,875
--------------
Netherlands - 0.76%
Government of Netherlands
6.500%, due 04/15/03......................... EUR 4,400,000 4,644,300
5.750%, due 01/15/04......................... 900,000 931,927
5.750%, due 02/15/07 Series 1................ 1,400,000 1,445,454
3.750%, due 07/15/09......................... 2,050,000 1,795,992
5.500%, due 01/15/28......................... 1,300,000 1,214,503
--------------
10,032,176
--------------
Spain - 0.61%
Bonos Y Oblig Del Estado
3.250%, due 01/31/05......................... 4,850,000 4,448,139
Government of Spain
5.250%, due 01/31/03......................... 2,000,000 2,032,247
6.150%, due 01/31/13......................... 1,400,001 1,452,788
--------------
7,933,174
--------------
Sweden - 0.94%
Government of Sweden
5.000%, due 01/15/04......................... SEK 19,500,000 2,251,402
6.000%, due 02/09/05......................... 57,000,000 6,825,562
6.500%, due 10/25/06......................... 8,000,000 982,771
6.750%, due 05/05/14......................... 18,500,000 2,329,538
--------------
12,389,273
--------------
</TABLE>
17
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1999
<TABLE>
<CAPTION>
Face
Amount Value
--------------- --------------
<S> <C> <C>
United Kingdom - 0.85%
Abbey National Treasury Service
5.375%, due 12/30/09........................ GBP 2,000,000 $ 2,956,355
Bank Nederlandse Gemeenten NV
7.375%, due 08/06/07........................ 2,100,000 3,527,077
Halifax PLC, Series EMTN
8.750%, due 07/10/06........................ 850,000 1,480,575
UK Treasury
7.250%, due 12/07/07........................ 1,840,000 3,235,406
--------------
11,199,413
--------------
Total Global (Ex-U.S.) Bonds................. 124,523,128
--------------
<CAPTION>
Shares
---------------
<S> <C> <C>
Emerging Markets Bonds - 6.91%
Brinson Emerging Markets Debt Fund (b)....... 3,925,746 90,667,854
--------------
Total Bonds (Cost $614,485,177).............. 611,434,496
--------------
<CAPTION>
Face
Amount
---------------
<S> <C> <C>
Short-Term Investments - 20.15%
Corporate Obligations - 10.47%
CBI Industries, Inc., 6.250%, due 06/30/00... $ 2,165,000 2,171,906
Centex Corp., Series A, MTN, 6.684%, due
06/30/00.................................... 16,500,000 16,500,184
CSX Corp., 9.500%, due 08/01/00.............. 2,500,000 2,554,731
Dayton Hudson Corp., 5.950%, due 06/15/00.... 4,800,000 4,804,912
Enron Corp., 6.634%, due 03/30/00............ 15,000,000 15,003,443
GATX Capital Corp., 6.500%, due 11/01/00..... 2,500,000 2,507,301
General Motors Acceptance Corp.,
6.500%, due 04/25/00........................ 1,350,000 1,354,731
General Motors Corporate Notes,
9.375%, due 04/01/00........................ 3,500,000 3,534,021
Hertz Corp., 6.625%, due 07/15/00............ 5,000,000 5,025,979
Kroger Co., 6.000%, due 07/01/00............. 1,300,000 1,298,629
Kroger Co., 7.063%, due 10/01/00............. 17,500,000 17,498,623
Paramount Communications, 5.875%, due
07/15/00.................................... 4,445,000 4,434,329
Raytheon Co., 6.300%, due 08/15/00........... 5,000,000 5,025,182
Safeway, Inc., 5.750%, due 11/15/00.......... 10,800,000 10,754,578
Supervalu, Inc., 6.500%, due 10/06/00........ 4,080,000 4,094,376
Tele-Communications, Inc., 7.375%, due
02/15/00.................................... 1,000,000 1,002,372
Texas Utilities Electric Co., 6.270%, due
02/01/00.................................... 2,000,000 2,001,066
Time Warner, Inc., 7.950%, due 02/01/00...... 6,495,000 6,506,864
TRW Inc., 144A, 6.601%, due 06/28/00......... 9,200,000 9,189,277
Union Pacific Corp., 7.000%, due 06/15/00.... 9,550,000 9,583,103
Vastar Resources, Inc., 6.000%, due
04/20/00.................................... 12,405,000 12,416,581
--------------
137,262,188
--------------
</TABLE>
18
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1999
<TABLE>
<CAPTION>
Face
Amount Value
--------------- --------------
<S> <C> <C>
Commercial Paper - 6.82%
DQE Capital, 5.70%, due 01/04/00............ $ 8,350,000 $ 8,346,034
Dynegy, Inc., 5.50%, due 01/03/00........... 5,426,000 5,424,342
Dynegy, Inc., 5.50%, due 01/07/00........... 5,000,000 4,995,417
El Paso Natural Gas, 7.20%, due 01/18/00.... 13,314,000 13,268,732
FMC Corp., 5.75%, due 01/03/00.............. 15,000,000 14,995,208
Ralston Purina, 7.10%, due 01/21/00......... 8,792,000 8,757,321
Raytheon Co., 7.22%, due 01/27/00........... 10,000,000 9,947,819
Safeway, Inc., 5.50%, due 01/03/00.......... 10,000,000 9,996,944
Solutia, Inc., 7.00%, due 01/31/00.......... 10,000,000 9,941,667
Vodafone Airthouch PLC, 5.85%, due
02/07/00................................... 3,800,000 3,777,153
--------------
89,450,637
--------------
<CAPTION>
Shares
---------------
<S> <C> <C>
Investment Companies - 1.95%
Brinson Supplementary Trust U.S. Cash
Management Prime Fund...................... 25,548,446 25,548,446
--------------
<CAPTION>
Face
Amount
---------------
<S> <C> <C>
U.S. Government Obligations - 0.91%
U.S. Treasury Bill, due 02/03/00............ $ 12,050,000 11,997,811
--------------
Total Short-Term Investments (Cost
$264,258,823).............................. 264,259,082
--------------
Total Investments (Cost
$1,527,301,049) - 120.60% (a).............. 1,581,772,766
Liabilities, less cash and other assets -
(20.60)%.................................. (270,171,769)
--------------
Net Assets - 100%........................... $1,311,600,997
==============
</TABLE>
See accompanying notes to schedule of investments.
19
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
- -------------------------------------------------------------------------------
December 31, 1999
NOTES TO SCHEDULE OF INVESTMENTS
(a) Aggregate cost for federal income tax purposes was $1,527,301,049; and
net unrealized appreciation consisted of:
<TABLE>
<S> <C>
Gross unrealized appreciation............. $140,304,558
Gross unrealized depreciation............. (85,832,841)
------------
Net unrealized appreciation........... $ 54,471,717
============
</TABLE>
(b) Non-income producing security.
FRN: Floating rate note--The rate disclosed is that in effect at December 31,
1999.
144A: Security exempt from registration under Rule 144A of the Securities Act
of 1933. These securities may be resold in transactions exempt from
registration, normally to qualified buyers. At December 31, 1999, the
value of these securities amounted to $8,932,646 or 0.68% 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 retains the right to call
such a bond.
FORWARD FOREIGN CURRENCY CONTRACTS
The Brinson Global Securities Fund had the following open forward foreign
currency contracts as of December 31, 1999:
<TABLE>
<CAPTION>
Settlement Local Current Unrealized
Date Currency Value Gain/(Loss)
---------- -------------- ------------ ------------
<S> <C> <C> <C> <C>
Forward Foreign Currency
Buy Contracts:
Australian Dollar...... 02/08/00 118,300,000 $ 77,456,950 $ 176,890
British Pound.......... 02/08/00 36,400,000 58,668,042 (941,469)
Canadian Dollar........ 02/08/00 15,500,000 10,689,655 168,841
Danish Krone........... 02/08/00 60,200,000 8,130,290 (605,869)
Euro................... 02/08/00 154,100,000 154,922,639 (11,343,461)
Japanese Yen........... 02/09/00 1,610,000,000 15,828,579 307,219
Swedish Krona.......... 02/08/00 360,000,000 42,255,009 (2,216,665)
Swiss Franc............ 02/08/00 18,000,000 11,296,386 (1,017,621)
Forward Foreign Currency
Sale Contracts:
Australian Dollar...... 02/08/00 16,300,000 10,672,428 1,627
British Pound.......... 02/08/00 59,500,000 95,899,684 700,053
Canadian Dollar........ 02/08/00 15,500,000 10,689,655 (375,575)
Danish Krone........... 02/08/00 100,200,000 13,532,476 1,031,478
Euro................... 02/08/00 32,100,000 32,271,361 1,762,987
Japanese Yen........... 02/08/00 12,250,000,000 120,434,844 (6,406,723)
Swedish Krona.......... 02/08/00 16,000,000 1,878,000 65,162
------------
Total................. $(18,693,126)
============
</TABLE>
See accompanying notes to financial statements
20
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
- -------------------------------------------------------------------------------
December 31, 1999
NOTES TO SCHEDULE OF INVESTMENTS
FUTURES CONTRACTS
The Brinson Global Securities Fund had the following open futures contracts
as of December 31, 1999:
<TABLE>
<CAPTION>
Expiration Cost/ Current Unrealized
Date Proceeds Value Loss
---------- ------------ ------------ -----------
<S> <C> <C> <C> <C>
U.S. Interest Rate Futures
Buy Contracts
5 Year U.S. Treasury
Notes, 1,330 contracts.. March 2000 $131,691,115 $130,381,563 $(1,309,552)
10 Year U.S. Treasury
Notes, 247 contracts.... March 2000 24,097,057 23,677,264 (419,793)
30 Year U.S. Treasury
Bonds, 225 contracts.... March 2000 20,974,700 20,460,938 (513,762)
Index Futures Sale
Contracts S&P 500 Index,
463 contracts............ March 2000 166,688,334 171,796,150 (5,107,816)
-----------
$(7,350,923)
===========
</TABLE>
The segregated cash and aggregate market value of investments pledged to
cover margin requirements for the open futures positions at December 31,
1999, were $950,600 and $11,997,811, respectively.
See accompanying notes to financial statements.
21
<PAGE>
BRINSON GLOBAL SECURITIES FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 1999
<TABLE>
<S> <C>
ASSETS:
Investments, at value:
Unaffiliated issuers (Cost $1,320,082,461).................. $1,339,169,143
Affiliated issuers (Cost $207,218,588)...................... 242,603,623
Foreign currency, at value (Cost $1,244,894)................. 1,248,932
Cash......................................................... 965,259
Receivables:
Investment securities sold.................................. 39,002
Dividends................................................... 871,093
Interest.................................................... 6,701,032
Fund shares sold............................................ 154,684
----------------
TOTAL ASSETS.............................................. 1,591,752,768
----------------
LIABILITIES:
Payables:
Securities loaned........................................... 256,702,678
Fund shares redeemed........................................ 3,616,127
Variation margin............................................ 1,001,231
Accrued expenses............................................ 138,609
Net unrealized depreciation on forward foreign currency
contracts................................................... 18,693,126
----------------
TOTAL LIABILITIES......................................... 280,151,771
----------------
NET ASSETS:
Applicable to 77,945,681 shares; no par value, unlimited
shares authorized........................................... $1,311,600,997
================
Net asset value, offering price and redemption price per
share
($1,311,600,997 / 77,945,681 shares)........................ $ 16.8271
================
NET ASSETS CONSIST OF:
Paid in capital.............................................. $ 621,014,406
Accumulated net investment income............................ 242,218,789
Accumulated net realized gain................................ 420,128,801
Net unrealized appreciation.................................. 28,239,001
----------------
NET ASSETS................................................ $1,311,600,997
================
</TABLE>
See accompanying notes to financial statements.
22
<PAGE>
BRINSON GLOBAL SECURITIES FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 1999
<TABLE>
<S> <C>
INVESTMENT INCOME:
Interest (net of $73,959 for foreign taxes withheld;
including securities lending income of $1,470,006).......... $ 37,385,788
Dividends (net of $618,603 for foreign taxes withheld)....... 11,650,330
------------
TOTAL INCOME.............................................. 49,036,118
------------
EXPENSES:
Administration............................................... 280,498
Custodian.................................................... 290,888
Professional................................................. 162,795
Other........................................................ 80,443
------------
TOTAL EXPENSES............................................ 814,624
Earnings credits.......................................... (30,026)
------------
NET EXPENSES.............................................. 784,598
------------
NET INVESTMENT INCOME..................................... 48,251,520
------------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments................................................. 96,273,788
Futures contracts........................................... (34,982,971)
Foreign currency transactions............................... (296,144)
------------
Net realized gain......................................... 60,994,673
------------
Change in net unrealized appreciation or depreciation on:
Investments and foreign currency............................ (64,742,675)
Futures contracts........................................... 1,502,182
Forward foreign currency contracts.......................... (14,656,664)
Translation of other assets and liabilities denominated in
foreign currency........................................... (224,516)
------------
Change in net unrealized appreciation or depreciation..... (78,121,673)
------------
Net realized and unrealized loss............................. (17,127,000)
------------
Net increase in net assets resulting from operations......... $ 31,124,520
============
</TABLE>
See accompanying notes to financial statements.
23
<PAGE>
BRINSON GLOBAL SECURITIES FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF CASH FLOWS
FOR THE YEAR ENDED DECEMBER 31, 1999
<TABLE>
<S> <C>
CASH FLOWS FROM OPERATING ACTIVITIES:
Net increase in net assets resulting from operations...... $ 31,124,520
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.......... 17,127,000
Decrease in receivable for investment securities sold.... 1,549,064
Decrease in dividends and interest receivable............ 5,695,145
Decrease in payable for securities purchased............. (16,756,293)
Increase in accrued expenses............................. 56,475
Increase in variation margin............................. 564,132
Net amortization of premium.............................. 2,730,099
---------------
Net cash provided by operating activities ............. 42,090,142
---------------
CASH FLOWS FROM INVESTING ACTIVITIES:
Purchases of investments.................................. (2,007,402,624)
Proceeds from sales of investments........................ 2,471,102,327
Net realized loss on futures contracts.................... (34,982,971)
Net realized loss on foreign currency transactions........ (296,144)
Change in net unrealized appreciation or depreciation on
futures contracts........................................ 1,502,182
Change in net unrealized appreciation or depreciation on
other assets and liabilities............................. (224,516)
Net decrease in foreign currency.......................... 3,728,824
---------------
Net cash provided by investing activities.............. 433,427,078
---------------
CASH FLOWS FROM FINANCING ACTIVITIES:
Net capital shares transactions........................... (404,529,192)
Net decrease from securities lending...................... (70,320,774)
---------------
Net cash used for financing activities................. (474,849,966)
---------------
Net increase in cash...................................... 667,254
Cash at the beginning of the year......................... 298,005
---------------
Cash at the end of the year............................... $ 965,259
===============
</TABLE>
See accompanying notes to financial statements.
24
<PAGE>
BRINSON GLOBAL SECURITIES FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Year Ended Year Ended
December 31, December 31,
1999 1998
-------------- --------------
<S> <C> <C>
OPERATIONS:
Net investment income....................... $ 48,251,520 $ 42,883,896
Net realized gain........................... 60,994,673 70,853,299
Change in net unrealized appreciation or
depreciation............................... (78,121,673) 18,928,199
-------------- --------------
Net increase in net assets resulting from
operations................................. 31,124,520 132,665,394
-------------- --------------
CAPITAL SHARE TRANSACTIONS:
Shares sold................................. 223,762,698 568,087,613
Shares redeemed............................. (627,766,862) (320,804,675)
-------------- --------------
Net increase (decrease) in net assets
resulting from capital share transactions
(a)........................................ (404,004,164) 247,282,938
-------------- --------------
TOTAL INCREASE (DECREASE) IN NET ASSETS.. (372,879,644) 379,948,332
NET ASSETS:
Beginning of period......................... 1,684,480,641 1,304,532,309
-------------- --------------
End of period (including accumulated net
investment income of $242,218,789 and
$193,967,269, respectively)................ $1,311,600,997 $1,684,480,641
============== ==============
(a) A summary of capital share transactions
follows:
<CAPTION>
Shares Shares
-------------- --------------
<S> <C> <C>
Shares sold................................. 13,587,330 35,546,435
Shares redeemed............................. (37,738,143) (20,097,765)
-------------- --------------
Net increase (decrease) in shares
outstanding............................... (24,150,813) 15,448,670
============== ==============
</TABLE>
See accompanying notes to financial statements.
25
<PAGE>
BRINSON GLOBAL SECURITIES FUND FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
The table below sets forth financial data for one share of capital stock
outstanding throughout each period presented.
<TABLE>
<CAPTION>
Year Ended December 31, Period Ended
---------------------------------------------------- December 31,
1999 1998 1997 1996 1995*
----------- ----------- ----------- ----------- ------------
<S> <C> <C> <C> <C> <C>
Net asset value,
beginning of period... $ 16.4989 $ 15.0556 $ 13.4788 $ 11.7181 $ 10.0000
----------- ----------- ----------- ----------- -----------
Income from investment
operations:
Net investment
income............... 1.2120 0.4800** 0.5456** 0.2844 0.3769
Net realized and
unrealized gain
(loss)............... (0.8838) 0.9633 1.0312 1.4763 1.3412
----------- ----------- ----------- ----------- -----------
Total income from
investment
operations.......... 0.3282 1.4433 1.5768 1.7607 1.7181
----------- ----------- ----------- ----------- -----------
Net asset value, end of
period................ $ 16.8271 $ 16.4989 $ 15.0556 $ 13.4788 $ 11.7181
=========== =========== =========== =========== ===========
Total return
(non-annualized)...... 1.99% 9.59% 11.70% 15.03% 17.18%
Ratios/Supplemental
data
Net assets, end of
period (in 000s)..... $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% 0.14%***
After expense
reimbursement and
earnings credits.... 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.... 3.07% 3.02% 3.72% 4.36% 4.95%***
After expense
reimbursement and
earnings credits.... N/A N/A N/A N/A 5.04%***
Portfolio turnover
rate................. 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.
26
<PAGE>
BRINSON U.S. EQUITY FUND
- --------------------------------------------------------------------------------
Since its inception on August 31, 1997, the Brinson U.S. Equity Fund has
provided an annualized return of 7.80%, compared to the 23.69% return of its
benchmark, the Wilshire 5000 Equity Index. The annualized volatility of the
Brinson U.S. Equity Fund has been 17.92% since its inception, below the 18.10%
volatility for the benchmark. In 1999, the Fund's total return of -3.18%
trailed the 23.56% return for its benchmark. While these results are
disappointing, we feel that the Fund is now well positioned as we move into the
year 2000. Recent events and stratification of the U.S. market make our current
investment strategies very appealing and our conviction remains higher than
ever.
Market exposure (average beta of .96) detracted modestly from Fund relative
performance in the very strong equity environment that characterized 1999.
Factor positions detracted from performance for the full year. The most
significant negatives were the underexposure to stocks ranked high in relative
strength and size and low in earnings/price, as a relatively narrow segment of
the largest capitalization stocks, especially in the technology sector,
continued to dominate market performance. Fundamentally driven investment
styles tend to perform poorly in such narrow momentum-driven market
environments. The Fund has minimal exposure to these largest stocks based upon
our analysis, which indicates they are meaningfully overextended.
Industry weighting also detracted from active returns during 1999. The
underweight in the technology software and hardware sectors had the largest
negative effect on performance. Investors have been willing to pay significant
premiums for recent strong relative revenue growth and to extrapolate perceived
earnings growth far into the future--in spite of rising interest rates which
usually dampen high-multiple issues. We believe there is a low probability that
such high implied earnings and profitability levels can be achieved, much less
sustained, in a competitive economy. Our overweight in economically sensitive
construction and transportation stocks also detracted from performance due to
concerns over higher energy costs and fears that higher interest rates would
pressure building activity. The pick-up in the global industrial economy helps
a number of more economically sensitive sectors that have been in recession-
like conditions for much of the past two years. Our exposure in the
construction area is oriented toward non-residential infrastucture and basic
building materials, and is not dependent upon higher residential construction
spending.
Stock selection had the largest negative impact on active returns for the full
year. Among large capitalization issues, the best performers were Corning,
First Data and Computer Sciences, while the most detrimental to performance
were our weightings in Xerox, Lockheed Martin, FDX Corp and Raytheon. Given the
shift toward momentum-based styles, investors had little tolerance for
shortfalls in quarterly earnings and severely punished such disappointments. In
the intermediate capitalization segment of the Fund, the most positive
contributors were General Instrument, Circuit City and Allergan, while the
weakest were Advanced Micro Devices, Fort James and Federal Mogul.
27
<PAGE>
BRINSON U.S. EQUITY FUND
- --------------------------------------------------------------------------------
Total Return
<TABLE>
<CAPTION>
6 Months 1 Year Annualized
Ended Ended 8/31/97*
12/31/99 12/31/99 to 12/31/99
- ---------------------------------------------------------
<S> <C> <C> <C>
Brinson U.S. Equity Fund -12.32% -3.18% 7.80%
- ---------------------------------------------------------
Wilshire 5000 Equity Index 10.45 23.56 23.69
- ---------------------------------------------------------
</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 U.S. Equity Fund Wilshire 5000 Equity 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
Fund returns are net of all fees and costs, while the index returns are based
solely on market returns without deduction for fees or transaction costs for
rebalancing.
28
<PAGE>
BRINSON U.S. EQUITY FUND
- --------------------------------------------------------------------------------
INDUSTRY DIVERSIFICATION
As a Percent of Net Assets
As of December 31, 1999
<TABLE>
<S> <C>
U.S. EQUITIES
Energy................................................................. 0.59%
Capital Investment
Capital Goods......................................................... 5.01
Technology............................................................ 16.99
-------
22.00
Basic Industries
Chemicals............................................................. 2.57
Housing/Paper......................................................... 8.50
Metals................................................................ 3.89
-------
14.96
Consumer
Non-Durables.......................................................... 2.10
Retail/Apparel........................................................ 5.67
Autos/Durables........................................................ 3.52
Health: Drugs......................................................... 5.75
Health: Non-Drugs..................................................... 5.06
-------
22.10
Financial
Banks................................................................. 8.93
Non-Banks............................................................. 5.05
-------
13.98
Utilities
Electric.............................................................. 5.21
Telephone............................................................. 3.52
-------
8.73
Transportation......................................................... 8.07
Services/Misc.......................................................... 7.69
-------
15.76
-------
Total U.S. Equities................................................... 98.12*
-------
SHORT-TERM INVESTMENTS................................................. 1.54*
-------
TOTAL INVESTMENTS..................................................... 99.66
CASH AND OTHER ASSETS,
LESS LIABILITIES...................................................... 0.34
-------
NET ASSETS............................................................. 100.00%
=======
</TABLE>
* The Fund held a long position in stock index futures which increased the U.S.
Equity exposure from 98.12% to 99.75%. This adjustment resulted in a net
decrease to the Fund's exposure to Short-Term Investments from 1.54% to
(0.09)%.
TOP TEN U.S. EQUITY HOLDINGS
As of December 31, 1999
<TABLE>
<CAPTION>
Percent of
Net Assets
- ------------------------------------------------------------
<S> <C>
1. FDX Corp. ....................................................... 3.77%
2. Electronic Data Systems Corp..................................... 3.66
3. Burlington Northern Santa Fe Corp................................ 3.05
4. General Instrument Corp. ........................................ 2.64
5. CIGNA Corp....................................................... 2.46
6. Allergan, Inc. .................................................. 2.25
7. Compuware Corp. ................................................. 2.24
8. Compaq Computer Corp............................................. 2.11
9. Nextel Communications, Inc. ..................................... 2.08
10. First Data Corp.................................................. 2.03
- ------------------------------------------------------------
</TABLE>
29
<PAGE>
BRINSON U.S. EQUITY FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1999
<TABLE>
<CAPTION>
Shares Value
------------ ------------
<S> <C> <C>
U.S. Equities - 98.12%
Advanced Micro Devices, Inc. (b)................... 109,500 $ 3,168,656
Allergan, Inc. (b)................................. 92,600 4,606,850
Alza Corp. (b)..................................... 44,300 1,533,888
American Standard Cos., Inc. (b)................... 53,000 2,431,375
AmSouth Bancorp. .................................. 61,949 1,196,390
Aon Corp. ......................................... 57,825 2,313,000
Armstrong World Industries, Inc. .................. 14,000 467,250
Baxter International, Inc. ........................ 56,400 3,542,625
Burlington Northern Santa Fe Corp. ................ 257,700 6,249,225
Central & South West Corp. ........................ 139,900 2,798,000
Champion Enterprises, Inc. (b)..................... 45,200 387,025
Champion International Corp. ...................... 16,000 991,000
Chase Manhattan Corp. ............................. 44,600 3,464,862
CIGNA Corp. ....................................... 62,500 5,035,156
Circuit City Stores--Circuit City Group............ 42,400 1,910,650
CMS Energy Corp. .................................. 47,500 1,481,406
CommScope, Inc. (b)................................ 18,666 752,473
Compaq Computer Corp. ............................. 159,800 4,324,587
Computer Sciences Corp. (b)........................ 35,000 3,311,875
Compuware Corp. (b)................................ 123,000 4,581,750
Consolidated Stores Corp. (b)...................... 63,400 1,030,250
Corning, Inc. ..................................... 17,100 2,204,831
Covance, Inc. (b).................................. 29,950 323,834
Delhaize America, Inc. ............................ 32,267 655,423
Dial Corp. ........................................ 34,700 843,644
Dominion Resources, Inc. .......................... 70,700 2,774,975
Eastman Chemical Co. .............................. 28,400 1,354,325
Electronic Data Systems Corp. ..................... 111,900 7,490,306
Eli Lilly and Co. ................................. 24,200 1,609,300
Emerson Electric Co. .............................. 64,000 3,672,000
Entergy Corp. ..................................... 77,600 1,998,200
FDX Corp. (b)...................................... 188,500 7,716,719
Federal-Mogul Corp. ............................... 71,100 1,430,888
Federated Department Stores, Inc. (b).............. 18,400 930,350
First Data Corp. .................................. 84,124 4,148,365
Fleet Boston Financial Corp. ...................... 97,741 3,402,609
Fleetwood Enterprises, Inc. ....................... 32,900 678,563
Fort James Corp. .................................. 89,200 2,441,850
Gateway, Inc. (b).................................. 22,300 1,606,994
GATX Corp. ........................................ 20,600 695,250
General Instrument Corp. (b)....................... 63,700 5,414,500
Genzyme Corp. (b).................................. 33,800 1,521,000
GreenPoint Financial Corp. ........................ 98,900 2,355,056
Hibernia Corp. .................................... 75,000 796,875
Household International, Inc. ..................... 83,400 3,106,650
Illinois Tool Works, Inc. ......................... 58,000 3,918,625
</TABLE>
30
<PAGE>
BRINSON U.S. EQUITY FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1999
<TABLE>
<CAPTION>
Shares Value
------------ ------------
<S> <C> <C>
U.S. Equities - (continued)
IMC Global, Inc. .................................. 109,500 $ 1,793,063
Johnson Controls, Inc. ............................ 30,200 1,717,625
Kimberly-Clark Corp. .............................. 56,700 3,699,675
Kroger Co. (b)..................................... 42,800 807,850
Lafarge Corp. ..................................... 38,200 1,055,275
Lear Corp. (b)..................................... 61,700 1,974,400
Lexmark International Group, Inc. (b).............. 12,200 1,104,100
Lincoln National Corp. ............................ 25,200 1,008,000
Lockheed Martin Corp. ............................. 92,868 2,031,488
Lyondell Chemical Co. ............................. 74,100 944,775
Martin Marietta Materials, Inc. ................... 30,663 1,257,183
Masco Corp. ....................................... 160,700 4,077,762
Mattel, Inc. ...................................... 160,200 2,102,625
Mead Corp. ........................................ 33,100 1,437,781
Monsanto Co. ...................................... 53,700 1,913,063
National Service Industries, Inc. ................. 25,300 746,350
New York Times Co. ................................ 44,800 2,200,800
Newell Rubbermaid, Inc. ........................... 105,700 3,065,300
Nextel Communications, Inc. (b).................... 41,400 4,269,375
Norfolk Southern Corp. ............................ 91,200 1,869,600
Owens-Illinois, Inc. (b)........................... 23,400 586,463
Peco Energy Co. ................................... 46,400 1,612,400
Pentair, Inc. ..................................... 34,500 1,328,250
Philip Morris Companies, Inc. ..................... 81,700 1,894,419
PNC Bank Corp. .................................... 41,900 1,864,550
Praxair, Inc. ..................................... 23,200 1,167,250
Raytheon Co., Class B.............................. 90,200 2,395,937
Reliaster Financial Corp. ......................... 25,300 991,444
SBC Communications, Inc. .......................... 60,200 2,934,750
Southdown, Inc. ................................... 35,504 1,832,894
St. Jude Medical, Inc. (b)......................... 72,900 2,237,119
Torchmark Corp. ................................... 34,400 999,750
Tyson Foods, Inc. ................................. 95,800 1,556,750
U.S. Bancorp....................................... 66,055 1,572,935
Ultramar Diamond Shamrock Corp. ................... 53,122 1,205,205
Unisys Corp. (b)................................... 41,200 1,315,825
United Healthcare Corp. ........................... 51,500 2,735,937
USG Corp. ......................................... 23,600 1,112,150
Viad Corp. ........................................ 50,600 1,410,475
W.W. Grainger, Inc. ............................... 31,200 1,491,750
Watson Pharmaceutical Co. ......................... 58,900 2,109,356
Wells Fargo and Co. ............................... 89,900 3,635,331
Westvaco Corp. .................................... 41,200 1,344,150
Xerox Corp. ....................................... 124,800 2,831,400
York International Corp. .......................... 38,400 1,053,600
------------
Total Equities (Cost $211,049,574)................. 200,965,605
------------
</TABLE>
31
<PAGE>
BRINSON U.S. EQUITY FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1999
<TABLE>
<CAPTION>
Shares Value
------------ -------------
<S> <C> <C>
Short-Term Investments - 1.54%
Investment Companies - 1.54%
Brinson Supplementary Trust U.S. Cash Management
Prime Fund (Cost $3,153,198).................... 3,153,198 $ 3,153,198
-------------
Total Investments (Cost $214,202,772) - 99.66%
(a)............................................. 204,118,803
Cash and other assets, less liabilities - 0.34%.. 706,369
-------------
Net Assets - 100%................................ $204,825,172
=============
</TABLE>
NOTES TO SCHEDULE OF INVESTMENTS
(a) Aggregate cost for federal income tax purposes was $214,202,772; and
net unrealized depreciation consisted of:
<TABLE>
<S> <C>
Gross unrealized appreciation........... $ 23,457,654
Gross unrealized depreciation........... (33,541,623)
-------------
Net unrealized depreciation......... $(10,083,969)
=============
</TABLE>
(b) Non-income producing security.
FUTURES CONTRACTS
The Brinson U.S. Equity Fund had the following open futures contracts as of
December 31, 1999:
<TABLE>
<CAPTION>
Expiration Current Unrealized
Date Cost Value Gain
---------- ---------- ---------- ----------
<S> <C> <C> <C> <C>
Index Futures Buy Contracts
S&P 500 Index, 9 contracts....... March 2000 $3,269,763 $3,339,450 $69,687
========
</TABLE>
The segregated cash pledged to cover margin requirements for the open
futures positions at December 31, 1999 was $168,750.
See accompanying notes to financial statements.
32
<PAGE>
BRINSON U.S. EQUITY FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 1999
<TABLE>
<S> <C>
ASSETS:
Investments, at value:
Unaffiliated issuers (Cost $211,049,574)........................ $200,965,605
Affiliated issuers (Cost $3,153,198)............................ 3,153,198
Cash............................................................. 393,750
Receivables:
Dividends....................................................... 296,926
Interest........................................................ 17,695
Variation margin................................................ 7,650
Due from Advisor................................................ 1,408
-------------
TOTAL ASSETS.................................................. 204,836,232
-------------
LIABILITIES:
Payables:
Accrued expenses................................................ 11,060
-------------
TOTAL LIABILITIES............................................. 11,060
-------------
NET ASSETS:
Applicable to 17,189,281 shares; no par value, unlimited shares
authorized...................................................... $204,825,172
=============
Net asset value, offering price and redemption price per share
($204,825,172 / 17,189,281 shares).............................. $ 11.9159
=============
NET ASSETS CONSIST OF:
Paid in capital.................................................. $193,919,404
Accumulated net investment income................................ 6,316,157
Accumulated net realized gain.................................... 14,603,893
Net unrealized depreciation...................................... (10,014,282)
-------------
NET ASSETS.................................................... $204,825,172
=============
</TABLE>
See accompanying notes to financial statements.
33
<PAGE>
BRINSON U.S. EQUITY FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 1999
<TABLE>
<S> <C>
INVESTMENT INCOME:
Dividends....................................................... $ 2,941,858
Interest........................................................ 476,153
------------
TOTAL INCOME................................................. 3,418,011
------------
EXPENSES:
Professional.................................................... 38,277
Custodian....................................................... 4,909
Trustees........................................................ 4,745
Other........................................................... 4,393
------------
TOTAL EXPENSES............................................... 52,324
Earnings credits............................................. (1,907)
Expenses reimbursed by Advisor............................... (30,400)
------------
NET EXPENSES................................................. 20,017
------------
NET INVESTMENT INCOME........................................ 3,397,994
------------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain on:
Investments.................................................... 6,542,021
Futures contracts.............................................. 436,853
------------
Net realized gain............................................ 6,978,874
------------
Change in net unrealized appreciation or depreciation on:
Investments.................................................... (18,261,980)
Futures contracts.............................................. (75,954)
------------
Change in net unrealized appreciation or depreciation........ (18,337,934)
------------
Net realized and unrealized loss................................ (11,359,060)
------------
Net decrease in net assets resulting from operations............ $ (7,961,066)
============
</TABLE>
See accompanying notes to financial statements.
34
<PAGE>
BRINSON U.S. EQUITY FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Year Ended Year Ended
December 31, December 31,
1999 1998
------------- -------------
<S> <C> <C>
OPERATIONS:
Net investment income........................... $ 3,397,994 $ 2,562,158
Net realized gain............................... 6,978,874 7,555,616
Change in net unrealized appreciation or
depreciation................................... (18,337,934) 8,075,012
------------- -------------
Net increase (decrease) in net assets resulting
from operations................................ (7,961,066) 18,192,786
------------- -------------
CAPITAL SHARE TRANSACTIONS:
Shares sold..................................... 51,083,970 100,954,362
Shares redeemed................................. (17,269,810) (13,805,858)
------------- -------------
Net increase in net assets resulting from
capital share transactions (a)................. 33,814,160 87,148,504
------------- -------------
TOTAL INCREASE IN NET ASSETS................. 25,853,094 105,341,290
------------- -------------
NET ASSETS:
Beginning of period............................. 178,972,078 73,630,788
------------- -------------
End of period (including accumulated net
investment income of $6,316,157 and $2,918,163,
respectively).................................. $204,825,172 $178,972,078
============= =============
(a) A summary of capital share transactions fol-
lows:
<CAPTION>
Shares Shares
------------- -------------
<S> <C> <C>
Shares sold..................................... 4,044,568 8,606,307
Shares redeemed................................. (1,396,513) (1,209,048)
------------- -------------
Net increase in shares outstanding............. 2,648,055 7,397,259
============= =============
</TABLE>
See accompanying notes to financial statements.
35
<PAGE>
BRINSON U.S. EQUITY FUND FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
The table below sets forth financial data for one share of capital stock
outstanding throughout each period presented.
<TABLE>
<CAPTION>
Year Ended Year Ended Period Ended
December 31, December 31, December 31,
1999 1998 1997*
------------ ------------ ------------
<S> <C> <C> <C>
Net asset value, beginning of period.... $12.3079 $10.3067 $10.0000
--------- --------- ---------
Income (loss) from investment
operations:
Net investment income.................. 0.1668 0.1508 0.0498
Net realized and unrealized gain
(loss)................................ (0.5588) 1.8504 0.2569
--------- --------- ---------
Total income (loss) from investment
operations........................... (0.3920) 2.0012 0.3067
--------- --------- ---------
Net asset value, end of period.......... $11.9159 $12.3079 $10.3067
========= ========= =========
Total return (non-annualized)........... (3.18)% 19.42% 3.07%
Ratios/Supplemental data
Net assets, end of period (in 000s).... $204,825 $178,972 $ 73,631
Ratio of expenses to average net
assets:
Before expense reimbursement and
earnings credits..................... 0.03% 0.02% 0.05%**
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..................... 1.68% 1.78% 2.01%**
After expense reimbursement and
earnings credits..................... 1.70% 1.79% 2.05%**
Portfolio turnover rate................ 51% 46% 9%
</TABLE>
* The Fund commenced operations August 29, 1997.
** Annualized
See accompanying notes to financial statements.
36
<PAGE>
BRINSON U.S. LARGE CAPITALIZATION EQUITY FUND
- --------------------------------------------------------------------------------
Since its inception on April 30, 1999, the Brinson U.S. Large Capitalization
Equity Fund has provided a return of -18.04%, compared to the 11.00% return of
its benchmark, the S&P 500 Equity Index. Results for the six month period were
also disappointing, with the Fund returning -17.80% versus the benchmark return
of 7.71%. 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 has seen many sectors and market segments driven to extreme levels of
over- and undervaluation.
For 1999, market exposure detracted very modestly from active returns,
consistent with a slightly below market beta and very strong equity market
returns. Results suffered from an underweight in the high momentum, high
price/earnings and large capitalization stocks. Our Fund has minimal exposure
to such stocks based upon our valuation analysis, which indicates they are
overvalued. Industry exposures also detracted from active returns, with
negative contributions from the relative underweights in semiconductors and
computer software and overweights in railroads and tobacco. These negative
returns were only partially offset by positive contributions from our
underweights in food and beverages, drugs and specialty retail and overweights
in information services.
Stock selection had the largest negative impact on active returns for the full
year. The strongest contributors were Corning, First Data and Computer Sciences
while the biggest detractors were Xerox, Lockheed Martin, FDX Corp., and
Raytheon. Given the momentum orientation of the current market environment,
companies that reported any disappointment in expected earnings were heavily
penalized.
A relatively narrow segment of the largest capitalization stocks, especially in
the technology sector, continued to dominate market performance. Technology,
with a return of 79% for the year, had the best return of any sector and given
its heavy weighting in the S&P 500 Index (30% at year-end), resulted in
contributing about 67% of the Index's year-to-date return. We believe investors
have been too willing to pay significant premiums for the perception of strong
top-line growth and to assume strong relative earnings growth far into the
future. We remain convinced that there are greater relative values away from
such issues, which are dominated by momentum investors. Specifically, the
Fund's most important factor exposures, as we enter 2000, include underweights
in size, momentum and growth and overweights in the traditional value measures
of earnings/price, book/price and yield. From an industry standpoint, the Fund
is underweight in transportation, banks, information services and electric
utilities.
37
<PAGE>
BRINSON U.S. LARGE CAPITALIZATION EQUITY FUND
- --------------------------------------------------------------------------------
Total Return
<TABLE>
<CAPTION>
6 Months 4/30/99*
Ended to
12/31/99 12/31/99
- ------------------------------------------------------------------
<S> <C> <C>
Brinson U.S. Large Capitalization Equity Fund -17.80% -18.04%
- ------------------------------------------------------------------
Standard & Poor's (S&P) 500 Equity Index 7.71 11.00
- ------------------------------------------------------------------
</TABLE>
*Performance inception date of the Brinson U.S. Large Capitalization Equity
Fund
Illustration of an Assumed Investment of $100,000
This chart shows the growth in the value of an investment in the Brinson U.S.
Large Capitalization Equity Fund and the 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
Capitalization Equity Fund S&P 500 Equity 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
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. LARGE CAPITALIZATION EQUITY FUND
- --------------------------------------------------------------------------------
INDUSTRY DIVERSIFICATION
As a Percent of Net Assets
As of December 31, 1999
<TABLE>
<S> <C>
U.S. EQUITIES
Capital Investment
Capital Goods......................................................... 5.43%
Technology............................................................ 18.84
--------
24.27
Basic Industries
Chemicals............................................................. 1.17
Housing/Paper......................................................... 3.03
Metals................................................................ 6.38
--------
10.58
Consumer
Health: Drugs......................................................... 3.20
Health: Non-Drugs..................................................... 4.77
Non-Durables.......................................................... 1.61
Retail/Apparel........................................................ 4.69
--------
14.27
Financial
Banks................................................................. 11.28
Non-Banks............................................................. 5.36
--------
16.64
Utilities
Electric.............................................................. 5.86
Telephone............................................................. 2.26
--------
8.12
Transportation......................................................... 12.68
Services/Misc.......................................................... 8.69
--------
21.37
--------
Total U.S. Equities................................................... 95.25
SHORT-TERM INVESTMENTS................................................. 5.96
--------
TOTAL INVESTMENTS...................................................... 101.21
LIABILITIES, LESS CASH AND OTHER ASSETS................................ (1.21)
--------
NET ASSETS............................................................. 100.00%
========
</TABLE>
TOP TEN U.S. EQUITY HOLDINGS
As of December 31, 1999
<TABLE>
<CAPTION>
Percent of
Net Assets
- --------------------------------------------------------------------------------
<S> <C>
1. Electronic Data Systems Corp. ................................... 6.22%
2. FDX Corp. ....................................................... 6.18
3. Burlington Northern Santa Fe Corp. .............................. 5.07
4. CIGNA Corp. ..................................................... 3.74
5. Compuware Corp. ................................................. 3.46
6. Compaq Computer Corp. ........................................... 3.45
7. First Data Corp. ................................................ 3.43
8. Masco Corp. ..................................................... 3.24
9. Illinois Tool Works, Inc. ....................................... 3.14
10. Kimberly-Clark Corp. ............................................ 3.03
- --------------------------------------------------------------------------------
</TABLE>
39
<PAGE>
BRINSON U.S. LARGE CAPITALIZATION
EQUITY FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1999
<TABLE>
<CAPTION>
Shares Value
------ --------
<S> <C> <C>
U.S. Equities - 95.25%
Aon Corp....................................................... 350 $ 14,000
Baxter International, Inc...................................... 400 25,125
Burlington Northern Santa Fe Corp.............................. 1,800 43,650
Central & South West Corp. .................................... 900 18,000
Chase Manhattan Corp........................................... 300 23,306
CIGNA Corp..................................................... 400 32,225
Compaq Computer Corp........................................... 1,100 29,769
Computer Sciences Corp. (b).................................... 200 18,925
Compuware Corp. (b)............................................ 800 29,800
Corning, Inc................................................... 100 12,894
Dominion Resources, Inc........................................ 500 19,625
Electronic Data Systems Corp................................... 800 53,550
Eli Lilly and Co............................................... 200 13,300
Emerson Electric Co. .......................................... 400 22,950
Entergy Corp................................................... 500 12,875
FDX Corp. (b).................................................. 1,300 53,219
First Data Corp. .............................................. 600 29,587
Fleet Boston Financial Corp. .................................. 700 24,369
Gateway, Inc. (b).............................................. 200 14,413
Household International, Inc. ................................. 600 22,350
Illinois Tool Works, Inc....................................... 400 27,025
Kimberly-Clark Corp............................................ 400 26,100
Kroger Co. (b)................................................. 300 5,663
Lockheed Martin Corp. ......................................... 700 15,312
Masco Corp. ................................................... 1,100 27,912
Mattel, Inc. .................................................. 1,100 14,438
Monsanto Co.................................................... 400 14,250
Newell Rubbermaid, Inc......................................... 700 20,300
Norfolk Southern Corp. ........................................ 600 12,300
Philip Morris Companies, Inc................................... 600 13,913
PNC Bank Corp. ................................................ 300 13,350
Praxair, Inc................................................... 200 10,063
Raytheon Co., Class B.......................................... 700 18,594
SBC Communications, Inc........................................ 400 19,500
U.S. Bancorp................................................... 500 11,906
United Healthcare Corp. ....................................... 300 15,937
Wells Fargo and Co............................................. 600 24,262
Xerox Corp..................................................... 700 15,881
--------
Total U.S. Equities (Cost $908,034)............................ 820,638
--------
</TABLE>
40
<PAGE>
BRINSON U.S. LARGE CAPITALIZATION
EQUITY FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1999
<TABLE>
<CAPTION>
Shares Value
------ ---------
<S> <C> <C>
Short-Term Investments - 5.96%
Investment Companies - 5.96%
Brinson Supplementary Trust U.S. Cash Management Prime Fund
(Cost $51,379) ............................................ 51,379 $ 51,379
---------
Total Investments (Cost $959,413) - 101.21% (a)............. 872,017
Liabilities, less cash and other assets - (1.21)%........... (10,396)
---------
Net Assets - 100%........................................... $861,621
=========
</TABLE>
NOTES TO SCHEDULE OF INVESTMENTS
(a) Aggregate cost for federal income tax purposes was $959,413; and net
unrealized depreciation consisted of:
<TABLE>
<S> <C>
Gross unrealized appreciation.............. $ 35,860
Gross unrealized depreciation.............. (123,256)
----------
Net unrealized depreciation............ $ (87,396)
==========
</TABLE>
(b) Non-income producing security.
See accompanying notes to financial statements
41
<PAGE>
BRINSON U.S. LARGE CAPITALIZATION EQUITY FUND
FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 1999
<TABLE>
<S> <C>
ASSETS:
Investments, at value:
Unaffiliated issuers (Cost $908,034)............................ $ 820,638
Affiliated issuers (Cost $51,379)............................... 51,379
Receivables:
Due from Advisor................................................ 3,583
Dividends....................................................... 1,707
Interest........................................................ 203
-----------
TOTAL ASSETS.................................................. 877,510
-----------
LIABILITIES:
Payables:
Accrued expenses................................................ 15,889
-----------
TOTAL LIABILITIES............................................. 15,889
-----------
NET ASSETS:
Applicable to 105,123 shares; no par value, unlimited shares
authorized...................................................... $ 861,621
===========
Net asset value, offering price and redemption price per share
($861,621 / 105,123 shares)..................................... $ 8.1963
===========
NET ASSETS CONSIST OF:
Paid in capital.................................................. $ 3,153,301
Accumulated net investment income................................ 138,701
Accumulated net realized loss.................................... (2,342,985)
Net unrealized depreciation...................................... (87,396)
-----------
NET ASSETS.................................................... $ 861,621
===========
</TABLE>
See accompanying notes to financial statements.
42
<PAGE>
BRINSON U.S. LARGE CAPITALIZATION EQUITY FUND
FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
FOR THE PERIOD ENDED DECEMBER 31, 1999*
<TABLE>
<S> <C>
INVESTMENT INCOME:
Dividends....................................................... $ 119,050
Interest........................................................ 20,381
------------
TOTAL INCOME................................................. 139,431
------------
EXPENSES:
Professional.................................................... 11,932
Trustees........................................................ 3,140
Custodian....................................................... 660
Other........................................................... 2,894
------------
TOTAL EXPENSES............................................... 18,626
Expense reimbursed by Advisor................................ (17,896)
------------
NET EXPENSES................................................. 730
------------
NET INVESTMENT INCOME........................................ 138,701
------------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized loss on:
Investments.................................................... (2,324,159)
Futures contracts.............................................. (18,826)
------------
Net realized loss............................................ (2,342,985)
------------
Change in net unrealized appreciation or depreciation on:
Investments.................................................... (87,396)
------------
Net realized and unrealized loss................................ (2,430,381)
------------
Net decrease in net assets resulting from operations............ $ (2,291,680)
============
</TABLE>
* The Fund commenced operations April 30, 1999.
See accompanying notes to financial statements.
43
<PAGE>
BRINSON U.S. LARGE CAPITALIZATION EQUITY FUND
FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Period Ended
December 31,
1999*
-------------
<S> <C>
OPERATIONS:
Net investment income.......................................... $ 138,701
Net realized loss.............................................. (2,342,985)
Change in net unrealized appreciation or depreciation.......... (87,396)
-------------
Net decrease in net assets resulting from operations........... (2,291,680)
-------------
CAPITAL SHARE TRANSACTIONS:
Shares sold.................................................... 14,265,908
Shares redeemed................................................ (11,112,617)
-------------
Net increase in net assets resulting from capital share
transactions (a).............................................. 3,153,291
-------------
TOTAL INCREASE IN NET ASSETS................................ 861,611
-------------
NET ASSETS:
Beginning of period............................................ 10
-------------
End of period (including accumulated net investment income of
$138,701)..................................................... $ 861,621
=============
(a) A summary of capital share transactions follows:
<CAPTION>
Shares
-------------
<S> <C>
Shares sold.................................................... 1,429,122
Shares redeemed................................................ (1,324,000)
-------------
Net increase in shares outstanding............................ 105,122
=============
</TABLE>
* The Fund commenced operations April 30, 1999.
See accompanying notes to financial statements.
44
<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>
Period Ended
December 31,
1999*
------------
<S> <C>
Net asset value, beginning of period.............................. $10.0000
---------
Net investment income............................................ 1.3195
Net realized and unrealized loss................................. (3.1232)
---------
Total loss from investment operations........................... (1.8037)
---------
Net asset value, end of period.................................... $ 8.1963
=========
Total return (non-annualized)..................................... (18.04)%
Ratios/Supplemental data
Net assets, end of period (in 000s).............................. $ 862
Ratio of expenses to average net assets:
Before expense reimbursement.................................... 0.26%**
After expense reimbursement..................................... 0.01%**
Ratio of net investment income to average net assets:
Before expense reimbursement.................................... 1.66%**
After expense reimbursement..................................... 1.91%**
Portfolio turnover rate........................................... 142%
</TABLE>
* The Fund commenced operations April 30, 1999.
** Annualized
See accompanying notes to financial statements.
45
<PAGE>
BRINSON U.S. LARGE CAPITALIZATION VALUE EQUITY FUND
- --------------------------------------------------------------------------------
Since its inception on June 30, 1998, the Brinson U.S. Large Capitalization
Value Equity Fund has returned 2.27% compared to the 6.98% return of its
benchmark, the Russell 1000 Value Index. The Fund's annualized volatility or
risk over that period has been 19.47% compared to 19.52% for the index. In
1999, the U.S. Large Capitalization Value Equity Fund's total return of -0.27%
lagged the 7.33% return of the benchmark. This has been a very difficult period
for active value managers, with the broad market being carried higher by very
large, momentum-driven stocks and market segments (i.e. technology,
telecommunications).
The Fund's market exposure added modestly to active returns consistent with a
slightly above-market beta and very strong equity market returns. The Fund's
positions in the broad risk factors also added modestly to performance,
especially overweight positions in trading activity and more volatile stocks
compared to the Russell 1000 Value Index.
Industry exposures detracted from active returns with the most negative
contributions resulting from the relative underweights in telecommunication
service, media, energy and financial asset management stocks. Our underweight
in the telecommunication service industry is based on our judgment that the
forces of deregulation and new technology will increase competition and lower
profitability for the telephone utility companies. We think the main strategic
advantage lies with those companies that have close access to the consumer
market. These negative returns were only partially offset by positive
contributions from the Fund overweight in semiconductor, wireless
telecommunication, and information services stocks.
Stock selection had the largest negative impact on active returns for the full
year. The strongest contributors were Circuit City, Case, General Instrument
and AT&T while the detractors were Advanced Micro Devices, Raytheon, FDX Corp
and Lockheed Martin. Given the shift toward momentum-based styles, investors
had little tolerance for shortfalls in quarterly earnings and severely punished
stocks that reported disappointments.
46
<PAGE>
BRINSON U.S. LARGE CAPITALIZATION VALUE EQUITY FUND
- --------------------------------------------------------------------------------
Total Return
<TABLE>
<CAPTION>
Annualized
6 Months 1 Year 6/30/98*
Ended Ended to
12/31/99 12/31/99 12/31/99
- ----------------------------------------------------------------------------
<S> <C> <C> <C>
Brinson U.S. Large Capitalization Value Equity
Fund -12.25% -0.27% 2.27%
- ----------------------------------------------------------------------------
Russell 1000 Value Index -4.89 7.33 6.98
- ----------------------------------------------------------------------------
</TABLE>
*Performance inception date of 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.
Large Capitalization Value Equity Fund and the Russell 1000 Value Index if you
had invested $100,000 on June 30, 1998. Past performance is no guarantee of
future results. Share price and return will vary with market conditions;
investors may realize a gain or loss upon redemption.
Brinson U.S. Large Capitalization Value Equity Fund
vs. Russell 1000 Value Index
[GRAPH]
Brinson U.S. Large
Capitalization Value Equity Fund Russell 1000 Value Index
6/30/98 100,000 100,000
7/31/98 98,283 98,235
8/31/98 85,567 83,616
9/30/98 92,840 88,415
10/31/98 97,557 95,264
11/30/98 102,132 99,702
12/31/98 103,707 103,096
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
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.
47
<PAGE>
BRINSON U.S. LARGE CAPITALIZATION VALUE EQUITY FUND
- --------------------------------------------------------------------------------
INDUSTRY DIVERSIFICATION
As a Percent of Net Assets
As of December 31, 1999
<TABLE>
<S> <C>
U.S. EQUITIES
Energy............................................................... 3.97%
Capital Investment
Capital Goods....................................................... 6.32
Technology.......................................................... 8.64
--------
14.96
Basic Industries
Chemicals........................................................... 6.05
Housing/Paper....................................................... 5.46
Metals.............................................................. 1.53
--------
13.04
Consumer
Autos/Durables...................................................... 4.00
Health: Drugs....................................................... 2.75
Health: Non-Drugs................................................... 5.93
Retail/Apparel...................................................... 5.35
--------
18.03
Financial
Banks............................................................... 16.57
Non-Banks........................................................... 1.35
--------
17.92
Utilities
Electric............................................................ 10.56
Telephone........................................................... 8.88
--------
19.44
Transportation....................................................... 8.98
Services/Misc........................................................ 1.96
--------
10.94
--------
Total U.S. Equities................................................. 98.30
SHORT-TERM INVESTMENTS............................................... 1.55
--------
TOTAL INVESTMENTS................................................... 99.85
CASH AND OTHER ASSETS,
LESS LIABILITIES.................................................... 0.15
--------
NET ASSETS.......................................................... 100.00%
========
</TABLE>
TOP TEN U.S. EQUITY HOLDINGS
As of December 31, 1999
<TABLE>
<CAPTION>
Percent of
Net Assets
- -------------------------------------------
<S> <C>
1. FDX Corp. ................. 3.26%
2. Wells Fargo and Co. ....... 3.12
3. St. Jude Medical, Inc. .... 3.09
4. SBC Communications, Inc. .. 3.05
5. Computer Sciences Corp. ... 2.89
6. United Healthcare Corp. ... 2.84
7. Bank One Corp. ............ 2.83
8. Advanced Micro Devices,
Inc. ......................... 2.77
9. Watson Pharmaceuticals,
Co. .......................... 2.74
10. Nextel Communications,
Inc. ........................ 2.61
- -------------------------------------------
</TABLE>
48
<PAGE>
BRINSON U.S. LARGE CAPITALIZATION VALUE EQUITY FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1999
<TABLE>
<CAPTION>
Shares Value
----------- -------------
<S> <C> <C>
U.S. Equities - 98.30%
Advanced Micro Devices, Inc. (b)..................... 95,100 $ 2,751,956
AmSouth Bancorp...................................... 96,588 1,865,356
AT&T Corp. .......................................... 28,500 1,446,375
Bank of America Corp. ............................... 34,200 1,716,412
Bank One Corp. ...................................... 87,700 2,811,881
Burlington Northern Santa Fe Corp.................... 97,600 2,366,800
Carolina Power & Light Co. .......................... 70,700 2,151,931
Central & South West Corp. .......................... 127,100 2,542,000
CMS Energy Corp...................................... 56,400 1,758,975
Computer Sciences Corp. (b).......................... 30,400 2,876,600
Consolidated Stores Corp. (b)........................ 101,500 1,649,375
Dominion Resources, Inc.............................. 54,700 2,146,975
Dow Chemical Co. .................................... 15,600 2,084,550
Du Pont Ei de Nemours................................ 27,700 1,824,737
Electronic Data Systems Corp......................... 32,000 2,142,000
Emerson Electric Co. ................................ 33,300 1,910,587
Exxon Mobil Corp. ................................... 20,500 1,651,531
FDX Corp. (b)........................................ 79,300 3,246,344
Fleet Boston Financial Corp. ........................ 51,600 1,796,325
GATX Corp. .......................................... 60,400 2,038,500
GreenPoint Financial Corp............................ 76,700 1,826,419
Hibernia Corp........................................ 137,100 1,456,688
Household International, Inc. ....................... 52,300 1,948,175
Illinois Tool Works, Inc............................. 22,600 1,526,913
IMC Global, Inc. .................................... 85,200 1,395,150
International Business Machines Corp. ............... 7,700 831,600
Johnson Controls, Inc. .............................. 36,400 2,070,250
Lafarge Corp. ....................................... 58,000 1,602,250
Lear Corp. (b)....................................... 47,800 1,529,600
Lincoln National Corp................................ 33,500 1,340,000
Lockheed Martin Corp. ............................... 58,800 1,286,250
Lyondell Chemical Co................................. 56,300 717,825
New Century Energies, Inc............................ 75,600 2,296,350
Newell Rubbermaid, Inc............................... 76,300 2,212,700
Nextel Communications, Inc. (b)...................... 25,200 2,598,750
Norfolk Southern Corp. .............................. 62,900 1,289,450
Pentair, Inc......................................... 27,400 1,054,900
Philip Morris Companies, Inc......................... 63,000 1,460,813
PNC Bank Corp. ...................................... 43,000 1,913,500
Raytheon Co., Class B................................ 90,300 2,398,594
SBC Communications, Inc.............................. 62,200 3,032,250
Southdown, Inc. ..................................... 47,200 2,436,700
St. Jude Medical, Inc. (b)........................... 100,100 3,071,819
United Healthcare Corp. ............................. 53,200 2,826,250
US West, Inc......................................... 24,400 1,756,800
</TABLE>
49
<PAGE>
BRINSON U.S. LARGE CAPITALIZATION VALUE EQUITY FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1999
<TABLE>
<CAPTION>
Shares Value
----------- ------------
<S> <C> <C>
U.S. Equities - (continued)
USG Corp. ......................................... 29,600 $ 1,394,900
W.W. Grainger, Inc................................. 7,900 377,719
Watson Pharmaceutical Co. (b)...................... 76,100 2,725,331
Wells Fargo and Co. ............................... 76,700 3,101,556
York International Corp. .......................... 56,600 1,552,962
------------
Total U.S. Equities (Cost $104,025,428)............ 97,811,674
------------
<CAPTION>
<S> <C> <C>
Short-Term Investments - 1.55%
Brinson Supplementary Trust U.S. Cash Management
Prime Fund (Cost $1,548,605)...................... 1,548,605 1,548,605
------------
Total Investments (Cost $105,574,033) -- 99.85%
(a)............................................... 99,360,279
Cash and other assets, less liabilities - 0.15%.... 145,497
------------
Net Assets - 100%.................................. $99,505,776
============
</TABLE>
NOTES TO SCHEDULE OF INVESTMENTS
(a) Aggregate cost for federal income tax purposes was $105,574,033; and net
unrealized depreciation consisted of:
<TABLE>
<S> <C>
Gross unrealized appreciation........... $ 6,369,421
Gross unrealized depreciation........... (12,583,175)
-------------
Net unrealized depreciation......... $ (6,213,754)
=============
</TABLE>
(b) Non-income producing security.
See accompanying notes to financial statements.
50
<PAGE>
BRINSON U.S. LARGE CAPITALIZATION VALUE EQUITY FUND
FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 1999
<TABLE>
<S> <C>
ASSETS:
Investments, at value:
Unaffiliated issuers (Cost $104,025,428)....................... $97,811,674
Affiliated issuers (Cost $1,548,605)........................... 1,548,605
Receivables:
Dividends...................................................... 143,058
Interest....................................................... 9,846
Due from Advisor............................................... 2,582
------------
TOTAL ASSETS................................................. 99,515,765
------------
LIABILITIES:
Payables:
Accrued expenses............................................... 9,989
------------
TOTAL LIABILITIES............................................ 9,989
------------
NET ASSETS:
Applicable to 9,517,568 shares; no par value, unlimited shares
authorized..................................................... $99,505,776
============
Net asset value, offering price and redemption price per share
($99,505,776 / 9,517,568 shares)............................... $ 10.4550
============
NET ASSETS CONSIST OF:
Paid in capital................................................. $93,594,073
Accumulated net investment income............................... 3,375,256
Accumulated net realized gain................................... 8,750,201
Net unrealized depreciation..................................... (6,213,754)
------------
NET ASSETS................................................... $99,505,776
============
</TABLE>
See accompanying notes to financial statements.
51
<PAGE>
BRINSON U.S. LARGE CAPITALIZATION VALUE EQUITY FUND
FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 1999
<TABLE>
<S> <C>
INVESTMENT INCOME:
Dividends......................................................... $ 2,113,978
Interest.......................................................... 153,407
-----------
TOTAL INCOME................................................... 2,267,385
-----------
EXPENSES:
Professional...................................................... 21,020
Trustees.......................................................... 5,188
Custodian......................................................... 2,808
Other............................................................. 3,254
-----------
TOTAL EXPENSES................................................. 32,270
Earnings credits............................................... (48)
Expenses reimbursed by Advisor................................. (21,196)
-----------
NET EXPENSES................................................... 11,026
-----------
NET INVESTMENT INCOME.......................................... 2,256,359
-----------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain on:
Investments...................................................... 7,031,654
Futures contracts................................................ 215,595
-----------
Net realized gain.............................................. 7,247,249
-----------
Change in net unrealized appreciation or depreciation on:
Investments...................................................... (8,467,159)
Futures contracts................................................ (83,222)
-----------
Change in net unrealized appreciation or depreciation.......... (8,550,381)
-----------
Net realized and unrealized loss.................................. (1,303,132)
-----------
Net increase in net assets resulting from operations.............. $ 953,227
===========
</TABLE>
See accompanying notes to financial statements.
52
<PAGE>
BRINSON U.S. LARGE CAPITALIZATION VALUE EQUITY FUND
FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Year Ended Period Ended
December 31, December 31,
1999 1998*
------------- -------------
<S> <C> <C>
OPERATIONS:
Net investment income............................ $ 2,256,359 $ 1,118,897
Net realized gain................................ 7,247,249 1,502,952
Change in net unrealized appreciation or
depreciation.................................... (8,550,381) 2,336,627
------------- -------------
Net increase in net assets resulting from
operations...................................... 953,227 4,958,476
------------- -------------
CAPITAL SHARE TRANSACTIONS:
Shares sold...................................... 8,909,403 110,145,291
Shares redeemed.................................. (22,757,631) (2,703,000)
------------- -------------
Net increase (decrease) in net assets resulting
from capital share transactions (a)............. (13,848,228) 107,442,291
------------- -------------
TOTAL INCREASE (DECREASE) IN NET ASSETS....... (12,895,001) 112,400,767
------------- -------------
NET ASSETS:
Beginning of period.............................. 112,400,777 10
------------- -------------
End of period (including accumulated net
investment income of $3,375,256 and $1,118,897,
respectively)................................... $ 99,505,776 $112,400,777
============= =============
(a) A summary of capital share transactions
follows:
<CAPTION>
Shares Shares
------------- -------------
<S> <C> <C>
Shares sold...................................... 829,458 11,008,212
Shares redeemed.................................. (2,033,914) (286,189)
------------- -------------
Net increase (decrease) in shares outstanding... (1,204,456) 10,722,023
============= =============
</TABLE>
*The Fund commenced operations June 25, 1998.
See accompanying notes to financial statements.
53
<PAGE>
BRINSON U.S. LARGE CAPITALIZATION VALUE EQUITY FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
The table below sets forth financial data for one share of capital stock
outstanding throughout each period presented.
<TABLE>
<CAPTION>
Year Ended Period Ended
December 31, December 31,
1999 1998*
------------ ------------
<S> <C> <C>
Net asset value, beginning
of period................ $10.4832 $10.0000
--------- ---------
Income (loss) from
investment operations:
Net investment income.... 0.2503 0.1044
Net realized and
unrealized gain (loss).. (0.2785) 0.3788
--------- ---------
Total income (loss) from
investment operations.. (0.0282) 0.4832
--------- ---------
Net asset value, end of
period................... $10.4550 $10.4832
========= =========
Total return (non-
annualized).............. (0.27)% 4.83%
Ratios/Supplemental data
Net assets, end of period
(in 000s)............... $ 99,506 $112,401
Ratio of expenses to
average net assets:
Before expense
reimbursement and
earnings credits....... 0.03% 0.03%**
After expense
reimbursement and
earnings credits....... 0.01% 0.01%**
Ratio of net investment
income to average net
assets:
Before expense
reimbursement and
earnings credits....... 2.02% 2.04%**
After expense
reimbursement and
earnings credits....... 2.04% 2.06%**
Portfolio turnover rate.. 95% 35%
</TABLE>
* The Fund commenced operations June 25, 1998
** Annualized
See accompanying notes to financial statements.
54
<PAGE>
BRINSON POST-VENTURE FUND
- --------------------------------------------------------------------------------
The Brinson Post-Venture Fund has provided an annualized return of 15.35% since
its inception on April 30, 1995, versus a return of 17.55% 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
annualized volatility of the Fund was 16.54% over that same period, which
compares favorably to the benchmark's volatility of 19.62%. For the year ended
December 31, 1999, the Brinson Post-Venture Fund had a disappointing 2.92%
total return, compared to a 26.94% return for the Wilshire Small Stock Index.
While disappointing, these results were driven by a narrowly focused equity
market that in many cases seems to be ignoring the underlying fundamentals of
stock valuation. In such a market, risk management considerations become even
more important drivers of Fund decision-making.
The Brinson Post-Venture Fund's poor relative performance in 1999 was largely
the result of adverse stock selection within the technology, services and
consumer durables sectors. Investor preferences for immature and somewhat
speculative technology and services stocks (particularly those expected to
benefit from the growth of the Internet) caused these types of stocks to
experience extraordinary gains which could not be fully explained using
fundamental valuation methods. The Fund was underweight in such holdings during
1999. Consumer durables stocks which detracted from performance included
Coachmen Industries and Flooring America (formerly Maxim Group) which both
reported lower than expected earnings. Other holdings that delivered
disappointing performance included Benchmark Electronics, American Business
Products and Computer Task Group. Specific stocks which enhanced performance
included Emmis Communications, which is an operator of radio and television
stations principally in urban markets; Scotsman Industries, a manufacturer of
ice making equipment for hotels and restaurants; and Methode Electronics, a
maker of electronic connectors and optoelectronic products.
The investment environment in 1999 for small cap investing clearly favored
aggressive growth momentum styles. Fueled mainly by technology, the Russell
2000 Growth index had a return of 43.1% for the year versus a -1.49% return for
the Russell 2000 Value index. The 4,459 basis point performance difference for
the indexes was the largest divergence in their history. Despite current
investor sentiment favoring momentum strategies, we are confident that our
disciplined fundamental price/value investment philosophy combined with good
execution will result in above average value-added performance over the long
term. As we enter 2000, we are particularly encouraged by the relative total
return potential for our larger Fund holdings. These holdings include: Coachmen
Industries, a leading manufacturer of recreational vehicles and modular
housing; Kellwood Company, a wholesaler of women's apparel to more than 18,000
retailers; and Landstar System, a leading domestic full load trucking company.
55
<PAGE>
BRINSON POST-VENTURE FUND
- --------------------------------------------------------------------------------
Total Return
<TABLE>
<CAPTION>
6 Months 1 Year 3 Years Annualized
Ended Ended Ended 4/30/95*
12/31/99 12/31/99 12/31/99 to 12/31/99
- ------------------------------------------------------------------
<S> <C> <C> <C> <C>
Brinson Post-Venture Fund 1.05% 2.92% 8.52% 15.35%
- ------------------------------------------------------------------
Wilshire Small Stock Index 13.29 26.94 14.39 17.55
- ------------------------------------------------------------------
</TABLE>
*Performance inception date of the Brinson Post-Venture Fund
All returns over 1 year are average annualized returns.
Illustration of an Assumed Investment of $100,000
This chart shows the growth in the value of an investment in the Brinson Post-
Venture Fund and the Wilshire Small Stock Index if you had invested $100,000 on
April 30, 1995. Past performance is no guarantee of future results. Share price
and return will vary with market conditions; investors may realize a gain or
loss upon redemption.
Brinson Post-Venture Fund vs. Wilshire Small Stock Index
[GRAPH]
Brinson Post-Venture Fund Wilshire Small Stock Index
4/30/95 100,000 100,000
5/31/95 100,802 102,030
6/30/95 105,306 107,958
7/31/95 109,310 114,392
8/31/95 113,508 117,835
9/30/95 113,864 120,475
10/31/95 112,673 114,391
11/30/95 117,557 117,308
12/31/95 119,936 119,959
1/31/96 118,542 120,835
2/29/96 121,360 124,279
3/31/96 125,800 127,895
4/30/96 134,578 137,283
5/31/96 141,097 146,233
6/30/96 135,051 139,755
7/31/96 126,673 126,283
8/31/96 135,902 132,155
9/30/96 140,758 136,477
10/31/96 142,806 134,334
11/30/96 148,199 138,203
12/31/96 152,509 142,100
1/31/97 154,820 143,931
2/28/97 153,430 143,038
3/31/97 149,872 135,628
4/30/97 147,152 132,536
5/31/97 161,939 147,685
6/30/97 171,055 156,561
7/31/97 183,111 164,561
8/31/97 191,388 170,222
9/30/97 205,843 184,606
10/31/97 199,239 177,074
11/30/97 198,700 173,745
12/31/97 200,635 174,527
1/31/98 198,854 173,305
2/28/98 211,131 185,610
3/31/98 219,726 194,686
4/30/98 224,013 197,548
5/31/98 214,001 186,683
6/30/98 211,458 185,226
7/31/98 196,004 172,390
8/31/98 164,747 137,602
9/30/98 170,480 145,968
10/31/98 174,399 150,873
11/30/98 182,545 160,544
12/31/98 189,356 167,559
1/31/99 194,368 170,341
2/28/99 175,429 156,969
3/31/99 167,446 158,633
4/30/99 181,038 174,020
5/31/99 185,942 176,317
6/30/99 192,865 187,760
7/31/99 194,388 185,263
8/31/99 186,123 179,075
9/30/99 185,192 178,699
10/31/99 180,003 178,396
11/30/99 186,670 191,525
12/31/99 194,892 212,708
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.
56
<PAGE>
BRINSON POST-VENTURE FUND
- --------------------------------------------------------------------------------
INDUSTRY DIVERSIFICATION
As a Percent of Net Assets
As of December 31, 1999
<TABLE>
<S> <C>
U.S. EQUITIES
Capital Goods......................................................... 4.47%
Consumer
Durables.............................................................. 4.90
Non-Durables.......................................................... 13.22
--------
18.12
Energy................................................................. 2.11
Finance
Banks................................................................. 4.76
Non-Banks............................................................. 15.27
--------
20.03
Materials & Services................................................... 19.02
Technology............................................................. 12.56
Transportation......................................................... 7.80
Utilities.............................................................. 7.26
--------
46.64
--------
Total U.S. Equities................................................... 91.37*
--------
SHORT-TERM INVESTMENTS................................................. 8.47*
--------
TOTAL INVESTMENTS..................................................... 99.84
CASH AND OTHER ASSETS,
LESS LIABILITIES...................................................... 0.16
--------
NET ASSETS............................................................. 100.00%
========
</TABLE>
* The Fund held a long position in stock index futures which increased the U.S.
Equity exposure from 91.37% to 98.86%. This adjustment resulted in a net
decrease to the Funds exposure to Short-Term Investments from 8.47% to 0.98%.
TOP TEN U.S. EQUITY HOLDINGS
As of December 31, 1999
<TABLE>
<CAPTION>
Percent of
Net Assets
- ------------------------------------------------------------
<S> <C>
1. Emmis Communications Corp. ...................................... 3.19%
2. Connecticut Energy Corp. ........................................ 2.25
3. Coachmen Industries, Inc. ....................................... 2.25
4. Financial Security Assurance Holdings Ltd. ...................... 2.22
5. Kellwood Co. .................................................... 2.18
6. SBS Technologies, Inc............................................ 1.88
7. Innkeepers USA Trust............................................. 1.88
8. Benchmark Electronics, Inc....................................... 1.75
9. Storage USA, Inc. ............................................... 1.73
10. Bacou USA, Inc. ................................................. 1.59
</TABLE>
- --------------------------------------------------------------------------------
57
<PAGE>
BRINSON POST-VENTURE FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1999
<TABLE>
<CAPTION>
Shares Value
----------- ------------
<S> <C> <C>
Equities - 91.37%
U.S. Equities - 91.37%
A. Schulman, Inc. .................................... 473,500 $ 7,723,969
Align-Rite International, Inc. (b).................... 222,700 4,885,481
Allied Capital Corp. II............................... 263,700 4,829,006
American Business Products, Inc. ..................... 403,020 4,710,296
AmerUs Life Holdings, Inc. ........................... 307,900 7,081,700
Apartment Investment & Management Co. ................ 52,226 2,079,248
Ascent Entertainment Group, Inc. (b).................. 66,000 837,375
Atmos Energy Corp. ................................... 267,650 5,470,097
Bacou USA, Inc. (b)................................... 596,500 8,984,781
Basin Exploration, Inc. .............................. 190,400 3,355,800
BEI Medical Systems Co., Inc. (b)..................... 53,700 93,975
BEI Technologies, Inc. ............................... 150,300 2,292,075
Benchmark Electronics, Inc. (b)....................... 430,100 9,865,419
Bindley Western Industries, Inc. ..................... 276,000 4,157,250
Bon Ton Stores, Inc. (b).............................. 373,419 1,376,983
Buffets, Inc. (b)..................................... 743,000 7,430,000
C-Bridge Internet Solutions, Inc. (b)................. 10,400 505,700
Cadmus Communications Corp. .......................... 55,100 468,350
Callon Petroleum Co. (b).............................. 415,100 6,148,669
Carmike Cinemas, Inc. (b)............................. 239,200 1,868,750
Celadon Group, Inc. (b)............................... 370,200 2,128,650
Cellstar Corp. (b) ................................... 361,074 3,565,606
Centerpoint Properties Trust.......................... 240,200 8,617,175
CFI ProServices, Inc. (b)............................. 178,200 1,459,013
CKE Restaurants, Inc. ................................ 163,400 959,975
Clean Harbors, Inc. (b)............................... 287,600 359,500
Coachmen Industries, Inc. ............................ 839,699 12,700,447
Colorado Medtech Inc. ................................ 78,100 624,800
Commonwealth Industries, Inc. ........................ 609,300 7,920,900
Computer Sciences Corp. (b)........................... 100 9,463
Computer Task Group, Inc. ............................ 444,800 6,588,600
Connecticut Energy Corp. ............................. 327,100 12,716,012
Crown Crafts, Inc. ................................... 394,100 1,133,038
Data Broadcasting Corp. .............................. 189,500 1,563,375
Dayton Superior Corp. ................................ 333,700 5,422,625
Del Webb Corp. ....................................... 259,600 6,473,775
Delta Financial Corp. ................................ 506,000 2,087,250
Department 56, Inc. .................................. 178,000 4,027,250
Dress Barn, Inc. (b) ................................. 288,050 4,788,831
DT Industries, Inc. .................................. 532,000 4,189,500
East-West Bancorp Inc. ............................... 97,600 1,116,300
Emmis Communications Corp. (b)........................ 144,600 18,023,035
EMS Technologies, Inc. ............................... 393,400 4,622,450
Evans & Sutherland Computer Corp. .................... 236,500 2,704,969
Exabyte Corp. ........................................ 646,700 4,850,250
</TABLE>
58
<PAGE>
BRINSON POST-VENTURE FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1999
<TABLE>
<CAPTION>
Shares Value
----------- ------------
<S> <C> <C>
U.S. Equities - (continued)
FBL Financial Group, Inc. ............................ 343,700 $ 6,874,000
Federal Signal Corp. ................................. 245,400 3,941,737
Fidelity National Corp. .............................. 304,700 2,304,294
Financial Security Assurance Holdings Ltd. ........... 240,067 12,513,492
Finlay Enterprises, Inc. ............................. 269,000 3,900,500
First American Financial Corp. ....................... 249,922 3,108,405
First Consulting Group Inc. .......................... 253,200 3,924,600
Fred's, Inc. ......................................... 178,500 2,844,844
Gardner Denver, Inc. ................................. 243,800 4,068,412
Golf Trust of America, Inc. .......................... 274,600 4,651,037
Goody's Family Clothing, Inc. ........................ 371,800 1,998,425
Granite Broadcasting Corp. ........................... 213,800 2,164,725
Greater Bay Bancorp................................... 65,300 2,799,738
Haggar Corp. ......................................... 247,500 2,815,313
Hardinge, Inc. ....................................... 202,900 2,650,381
Hartmarx Corp. ....................................... 827,600 3,362,125
Herbalife International, Class B...................... 367,500 4,915,312
Hycor Biomedical, Inc. ............................... 343,500 601,125
In Test Corp. (b)..................................... 296,300 5,333,400
Innkeepers USA Trust.................................. 1,294,300 10,597,081
Interep National Radio Sales Class A.................. 130,400 1,744,100
Jason, Inc. .......................................... 828,300 6,005,175
John B. Sanfilippo and Son, Inc. ..................... 406,800 1,627,200
JLM Industries, Inc. ................................. 302,300 1,020,263
Kellwood Co. ......................................... 634,675 12,336,495
Kitty Hawk, Inc. ..................................... 144,600 994,125
KLLM Transport Services, Inc. ........................ 233,831 1,110,697
Landstar System, Inc. ................................ 150,800 6,456,125
LTC Properties, Inc. ................................. 278,500 2,349,844
M & F Worldwide Corp. ................................ 449,600 2,276,100
M.S. Carriers, Inc. .................................. 223,500 5,336,062
Mac Gray Corp. (b).................................... 354,300 1,350,769
McNaughton Apparel Group, Inc. ....................... 134,500 975,125
Medallion Financial Corp. ............................ 190,000 3,408,125
Mesaba Holdings, Inc. (b)............................. 125,200 1,431,975
Methode Electronics, Inc., Class A.................... 154,330 4,957,851
Metro Bancsares, Inc. ................................ 98,800 815,100
Micheals Stores, Inc. ................................ 39,100 1,114,350
Microsemi Corp. ...................................... 579,900 5,146,612
Midway Airlines, Corp. ............................... 296,800 1,836,450
Midwest Express Holdings, Inc. ....................... 200,200 6,381,375
Morton's Restaurant Group, Inc. ...................... 239,900 3,718,450
MSC Software Corp. ................................... 555,620 5,625,652
NCI Building Systems, Inc. ........................... 353,400 6,537,900
North Fork Bancorp, Inc. ............................. 402,000 7,035,000
Ondisplay, Inc. (b)................................... 7,800 708,825
</TABLE>
59
<PAGE>
BRINSON POST-VENTURE FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1999
<TABLE>
<CAPTION>
Shares Value
----------- ------------
<S> <C> <C>
U.S. Equities - (continued)
OSI Systems, Inc. .................................... 490,600 $ 2,698,300
PBOC Holdings, Inc. .................................. 272,400 2,570,775
Piccadilly Cafeterias, Inc. .......................... 135,600 542,400
Plexus Corp. ......................................... 114,900 5,055,600
Premier Financial Bancorp, Inc. ...................... 190,285 1,712,565
Pride International, Inc. (b)......................... 166,000 2,427,750
Printronix, Inc. ..................................... 254,700 5,794,425
Quixote Corp. ........................................ 345,500 5,268,875
Ramsay Youth Services, Inc. .......................... 58,000 85,188
Regal Beloit Corp. ................................... 162,520 3,351,975
RehabCare Group, Inc. ................................ 139,500 2,946,938
Republic Group, Inc. ................................. 212,400 3,212,550
ResortQuest International, Inc ....................... 238,300 997,881
RFS Hotel Investors, Inc. ............................ 838,600 8,752,887
Russ Berrie & Co., Inc. .............................. 143,500 3,766,875
Saga Communications, Inc., Class A.................... 177,500 3,594,375
SBS Technologies, Inc. ............................... 290,900 10,617,850
Shaw Group, Inc. (b).................................. 164,200 4,156,312
Shorewood Packaging Corp. ............................ 464,150 8,789,841
Silicon Valley Bancshares............................. 56,320 2,787,840
SkyWest, Inc. ........................................ 237,300 6,644,400
SOS Staffing Services, Inc. .......................... 627,700 2,746,188
Special Metals Corp. ................................. 94,400 300,900
Stanley Furniture Co., Inc. .......................... 386,974 7,110,647
Storage USA, Inc. .................................... 323,300 9,779,825
Stride Rite Corp. .................................... 538,500 3,500,250
TBC Corp. ............................................ 955,600 5,972,500
Team, Inc. ........................................... 171,780 332,824
The Middleby Corp. ................................... 322,400 1,813,500
Tractor Supply Co. ................................... 172,900 2,766,400
UCBH Holdings, Inc. .................................. 175,800 3,614,887
UniSource Energy Holding Co. (b)...................... 428,000 4,788,250
Watsco, Inc. ......................................... 182,300 2,107,844
Weider Nutrition International, Inc. ................. 318,800 1,175,575
Wesley Jessen Visioncare, Inc. ....................... 57,700 2,185,388
XPedior, Inc. (b)..................................... 10,400 299,000
York Group, Inc. ..................................... 265,200 1,143,675
------------
Total Equities (Cost $537,151,276).................... 515,899,659
------------
</TABLE>
60
<PAGE>
BRINSON POST-VENTURE FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1999
<TABLE>
<CAPTION>
Shares Value
---------- ------------
<S> <C> <C>
Short-Term Investments - 8.47%
Investment Company - 8.08%
Brinson Supplementary Trust U.S. Cash Management Prime
Fund................................................. 45,574,707 $ 45,574,707
------------
<CAPTION>
Face
Amount
----------
<S> <C> <C>
U.S. Government Obligations - 0.39%
U.S. Treasury Bill, due 02/03/00...................... $2,230,000 2,220,342
------------
Total Short-Term Investments (Cost $47,752,737)....... 47,795,049
------------
Total Investments (Cost $584,904,013) - 99.84% (a).... 563,694,708
Cash and other assets, less liabilities - 0.16%....... 930,093
------------
Net Assets - 100%..................................... $564,624,801
============
</TABLE>
NOTES TO SCHEDULE OF INVESTMENTS
(a) Aggregate cost for federal income tax purposes was $584,904,013; and net
unrealized depreciation consisted of:
<TABLE>
<S> <C>
Gross unrealized appreciation........... $ 70,698,650
Gross unrealized depreciation........... (91,907,955)
-------------
Net unrealized depreciation......... $(21,209,305)
=============
</TABLE>
(b) Non-income producing security.
FUTURES CONTRACTS
The Brinson Post-Venture Fund had the following open futures contracts as of
December 31, 1999:
<TABLE>
<CAPTION>
Expiration Current Unrealized
Date Cost Value Gain
---------- ----------- ----------- ----------
<S> <C> <C> <C> <C>
Index Futures Buy Contracts
S&P 500 Index, 114 contracts..... March 2000 $40,944,285 $42,299,700 $1,355,415
==========
</TABLE>
The segregated cash and aggregate market value of investments pledged to cover
margin requirements for the open futures positions at December 31, 1999 were
$93,750 and $2,220,342, respectively.
See accompanying notes to financial statements.
61
<PAGE>
BRINSON POST-VENTURE FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
FOR THE YEAR ENDED DECEMBER 31, 1999
<TABLE>
<S> <C>
ASSETS:
Investments, at value:
Unaffiliated issuers (Cost $539,329,306)........................ $518,120,001
Affiliated issuers (Cost $45,574,707)........................... 45,574,707
Cash............................................................. 93,750
Receivables:
Fund shares sold................................................ 14,112
Interest........................................................ 208,026
Dividends....................................................... 945,917
Due from Advisor................................................ 7,614
Variation margin................................................ 96,900
-------------
TOTAL ASSETS.................................................. 565,061,027
-------------
LIABILITIES:
Payables:
Fund shares redeemed............................................ 428,612
Accrued expenses................................................ 7,614
-------------
TOTAL LIABILITIES............................................. 436,226
-------------
NET ASSETS:
Applicable to 28,971,208 shares; no par value, unlimited shares
authorized...................................................... $564,624,801
=============
Net asset value, offering price and redemption price per share
($564,624,801 / 28,971,208 shares).............................. $ 19.4892
=============
NET ASSETS CONSIST OF:
Paid in capital.................................................. $350,119,228
Accumulated net investment income................................ 33,507,383
Accumulated net realized gain.................................... 200,852,080
Net unrealized depreciation...................................... (19,853,890)
-------------
NET ASSETS.................................................... $564,624,801
=============
</TABLE>
See accompanying notes to financial statements.
62
<PAGE>
BRINSON POST-VENTURE FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 1999
<TABLE>
<S> <C>
INVESTMENT INCOME:
Dividends....................................................... $ 9,235,614
Interest........................................................ 1,910,305
-------------
TOTAL INCOME................................................. 11,145,919
-------------
EXPENSES:
Professional.................................................... 31,755
Custodian....................................................... 15,700
Trustees........................................................ 6,205
Printing........................................................ 3,650
Other........................................................... 5,360
-------------
TOTAL EXPENSES............................................... 62,670
Earnings credits............................................. (2,168)
Expenses reimbursed by Advisor............................... (60,502)
-------------
NET EXPENSES................................................. --
-------------
NET INVESTMENT INCOME........................................ 11,145,919
-------------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain on:
Investments.................................................... 41,142,754
Futures contracts.............................................. 4,980,388
-------------
Net realized gain............................................ 46,123,142
-------------
Change in net unrealized appreciation or depreciation on:
Investments.................................................... (21,468,363)
Futures contracts.............................................. (47,702)
-------------
Change in net unrealized appreciation or depreciation........ (21,516,065)
-------------
Net realized and unrealized gain................................ 24,607,077
-------------
Net increase in net assets resulting from operations............ $ 35,752,996
=============
</TABLE>
See accompanying notes to financial statements.
63
<PAGE>
BRINSON POST-VENTURE FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Year Ended Year Ended
December 31, December 31,
1999 1998
-------------- --------------
<S> <C> <C>
OPERATIONS:
Net investment income.......................... $ 11,145,919 $ 7,783,657
Net realized gain.............................. 46,123,142 48,269,901
Change in net unrealized appreciation or
depreciation.................................. (21,516,065) (81,469,855)
-------------- --------------
Net increase (decrease) in net assets resulting
from operations............................... 35,752,996 (25,416,297)
-------------- --------------
CAPITAL SHARE TRANSACTIONS:
Shares sold.................................... 234,889,275 135,747,147
Shares redeemed................................ (105,839,522) (115,860,845)
-------------- --------------
Net increase in net assets resulting from
capital share transactions (a)................ 129,049,753 19,886,302
-------------- --------------
TOTAL INCREASE (DECREASE) IN NET ASSETS..... 164,802,749 (5,529,995)
-------------- --------------
NET ASSETS:
Beginning of period............................ 399,822,052 405,352,047
-------------- --------------
End of period (including accumulated net
investment income of $33,507,383 and
$22,361,464, respectively).................... $ 564,624,801 $ 399,822,052
============== ==============
(a) A summary of capital share transactions
follows:
<CAPTION>
Shares Shares
-------------- --------------
<S> <C> <C>
Shares sold.................................... 13,533,154 6,754,624
Shares redeemed................................ (5,676,825) (5,843,228)
-------------- --------------
Net increase in shares outstanding............ 7,856,329 911,396
============== ==============
</TABLE>
See accompanying notes to financial statements.
64
<PAGE>
BRINSON POST-VENTURE FUND FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
The table below sets forth financial data for one share of capital stock
outstanding throughout each period presented.
<TABLE>
<CAPTION>
Year Ended December 31, Period Ended
---------------------------------------- December 31,
1999 1998 1997 1996 1995*
--------- --------- --------- --------- ------------
<S> <C> <C> <C> <C> <C>
Net asset value,
beginning of period.... $18.9356 $20.0635 $15.2509 $11.9936 $10.0000
--------- --------- --------- --------- ---------
Income from investment
operations:
Net investment income.. 0.0975 0.3375 0.2938 0.2617 0.1660
Net realized and
unrealized gain
(loss)................ 0.4561 (1.4654) 4.5188 2.9956 1.8276
--------- --------- --------- --------- ---------
Total income (loss)
from investment
operations........... 0.5536 (1.1279) 4.8126 3.2573 1.9936
--------- --------- --------- --------- ---------
Net asset value, end of
period................. $19.4892 $18.9356 $20.0635 $15.2509 $11.9936
========= ========= ========= ========= =========
Total return
(non-annualized)....... 2.92% (5.62)% 31.56% 27.16% 19.94%
Ratios/Supplemental data
Net assets, end of
period (in 000s)...... $564,625 $399,822 $405,352 $298,978 $256,810
Ratio of expenses to
average net assets:
Before expense
reimbursement and
earnings credits..... 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%**
Ratio of net investment
income to average net
assets:
Before expense
reimbursement and
earnings credits..... 2.05% 1.90% 1.76% 1.78% 1.85%**
After expense
reimbursement and
earnings credits..... 2.06% 1.91% 1.79% 1.87% 2.02%**
Portfolio turnover
rate.................. 57% 40% 45% 39% 25%
</TABLE>
* The Fund commenced operations April 28, 1995.
** Annualized
See accompanying notes to financial statements.
65
<PAGE>
BRINSON GLOBAL (Ex-U.S.) EQUITY FUND
- --------------------------------------------------------------------------------
The Brinson Global (Ex-U.S.) Equity Fund has provided an annualized return of
15.52% since its inception on June 30, 1998. Over the same period, its
benchmark, the MSCI World Ex USA (Free) Index has produced a return of 19.87%.
The Fund's performance was achieved with a volatility (or risk) of 17.63%,
considerably below the 18.54% volatility of the benchmark. For the full year
period, the Fund increased 21.10%, lagging the index's unhedged return of
27.77%. Most regions experienced strong performance in dollar-hedged terms, led
by Asia (Ex-Japan), Japan and Europe (Ex-U.K.). The Fund benefited from our
mid-year decision to increase Japan to neutral and then to an overweight, as
well as from our European market allocation. However, returns were hurt by the
overweight to Australia and underweight to Asia (Ex-Japan). Currency management
reduced returns, due to the underweight of the yen and overweight of the Euro,
but holding an overweight position in the strong-performing Australian dollar
helped the Fund's performance.
Earlier in the year, traditional value stocks, encompassing such sectors as
transportation, materials, basic industry and other economically sensitive
areas, regained favor in Europe. At the time, our overweight in these sectors
gave a lift to relative performance. By mid-year, however, investor sentiment
changed sharply, as investors began to shun value stocks in order to flock to
large capitalization, growth and momentum industries and stocks. Following in
the footsteps of the U.S. market, investors in Japan, Southeast Asia,
Australia, Europe and the U.K. rushed to stocks engaged in information
technology, telecommunications and Internet-related businesses. By year-end,
stocks with a growth tilt had significantly overtaken value on a global basis.
In our view, many of these stocks have risen to levels that far exceed
underlying value. Consequently, stock selection in our U.K. and European
portfolios, which are underweight these securities, was hurt. The Fund's
positioned in industries and stocks that command more reasonable valuations
and, in our view, offer greater upside potential.
The Pacific (Ex-Japan) region has begun to rebound from last year's currency
and banking crises. Japan has exhibited tentative signs of an economic revival,
fueled by government spending packages and extremely low interest rates.
Consolidation in the banking and financial sectors is easing fears of a
financial meltdown, while encouraging signs of restructuring in other
businesses have begun to surface. Our Japanese stock holdings are geared toward
companies that are actively restructuring.
66
<PAGE>
BRINSON GLOBAL (Ex-U.S.) EQUITY FUND
- --------------------------------------------------------------------------------
Total Return
<TABLE>
<CAPTION>
6 Months 1 Year Annualized
Ended Ended 6/30/98*
12/31/99 12/31/99 to 12/31/99
- ---------------------------------------------------------------------
<S> <C> <C> <C>
Brinson Global (Ex-U.S.) Equity Fund** 17.22% 21.10% 15.52%
- ---------------------------------------------------------------------
MSCI World Ex USA (Free) Index 22.45 27.77 19.87
- ---------------------------------------------------------------------
</TABLE>
*Performance inception date of the Brinson Global (Ex-U.S.) Equity Fund.
**Formerly known as the Brinson Non-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
[BRINSON GLOBAL (EX-U.S.) EQUITY FUND CHART]
[GRAPH]
Brinson Global MSCI World Ex USA
(Ex-U.S.) 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
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.
67
<PAGE>
BRINSON GLOBAL (Ex-U.S.) EQUITY FUND
- --------------------------------------------------------------------------------
INDUSTRY DIVERSIFICATION
As a Percent of Net Assets
As of December 31, 1999
<TABLE>
<S> <C>
GLOBAL (Ex-U.S.) EQUITIES
Aerospace & Military.......... 0.68%
Airlines...................... 0.65
Appliances & Households....... 3.68
Autos/Durables................ 2.90
Banking....................... 11.23
Beverages and Tobacco......... 2.28
Broadcasting & Publishing..... 3.62
Building Materials............ 0.72
Business & Public Service..... 4.98
Chemicals..................... 2.75
Construction.................. 0.38
Data Processing............... 2.93
Electric Components........... 3.50
Electronics................... 8.24
Energy........................ 3.90
Financial Services............ 4.04
Food & House Products......... 2.98
Forest Products............... 1.12
Health & Personal Care........ 5.87
Industrial Components......... 1.55
Insurance..................... 5.14
Leisure & Tourism............. 0.24
Machinery & Engineering....... 0.24
Merchandising................. 2.98
Metals-Non-Ferrous............ 1.24
Metals-Steel.................. 0.42
Multi-Industry................ 1.04
Real Estate................... 0.89
Recreation.................... 0.78
Telecommunications............ 12.65
Transportation................ 1.49
Utilities..................... 3.81
Wholesale & International
Trade........................ 0.21
-------
Total Global (Ex-U.S.)
Equities.................... 99.13
-------
SHORT-TERM INVESTMENTS......... 0.62
-------
TOTAL INVESTMENTS............ 99.75
CASH AND OTHER ASSETS,
LESS LIABILITIES.............. 0.25
-------
NET ASSETS................... 100.00%
=======
</TABLE>
TOP TEN GLOBAL (Ex-U.S.) EQUITY HOLDINGS
As of December 31, 1999
<TABLE>
<CAPTION>
Percent of
Net Assets
- --------------------------------------------------------------------------------
<S> <C>
1. Sony Corp. ...................................................... 2.11%
2. Fujitsu ......................................................... 2.06
3. Nippon Telegraph & Telephone Corp. .............................. 1.89
4. Siemens AG....................................................... 1.64
5. France Telecom S.A. ............................................. 1.49
6. Nokia Oyj........................................................ 1.46
7. Ericsson, B Shares............................................... 1.41
8. ING Groep NV..................................................... 1.37
9. Fanuc ........................................................... 1.32
10. British Telecommunications PLC................................... 1.25
- --------------------------------------------------------------------------------
</TABLE>
68
<PAGE>
BRINSON GLOBAL (Ex-U.S.) EQUITY FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1999
<TABLE>
<CAPTION>
Shares Value
------------- --------------
<S> <C> <C>
Global (Ex-U.S.) Equities - 99.13%
Australia - 4.14%
Amcor Ltd. ........................................ 19,960 $ 93,183
Amp Ltd. .......................................... 22,400 246,703
Boral Ltd. ........................................ 63,400 97,914
Brambles Industries Ltd. .......................... 5,860 161,532
Broken Hill Proprietary Co., Ltd. ................. 32,450 424,726
CSR Ltd. .......................................... 56,710 137,311
Lend Lease Corp., Ltd. ............................ 19,160 267,567
National Australia Bank Ltd. ...................... 36,400 555,009
News Corp. Ltd. ................................... 57,760 559,034
News Corp. Ltd., Preferred......................... 21,720 185,487
Qantas Airways Ltd. ............................... 27,430 68,211
QBE Insurance Group Ltd. .......................... 40,494 188,145
Rio Tinto Ltd. .................................... 14,950 320,118
Santos Ltd. ....................................... 46,360 125,902
Telstra Corp. Ltd. ................................ 139,090 753,648
Westpac Banking Corp., Ltd. ....................... 68,410 470,371
WMC Ltd. .......................................... 19,930 109,554
Woolworth's Ltd. .................................. 48,140 165,074
--------------
4,929,489
--------------
Austria - 0.12%
Austria Tabakwerke AG.............................. 2,880 138,571
--------------
Belgium - 1.15%
Electrabel S.A. ................................... 1,180 384,419
Fortis B........................................... 25,440 913,444
KBC Bancassurance Holding.......................... 1,272 68,215
--------------
1,366,078
--------------
Canada - 1.95%
Agrium, Inc. ...................................... 16,520 127,488
Alcan Aluminum Ltd. ............................... 5,560 227,564
Bank of Montreal................................... 3,390 115,157
Canadian National Railway Co. ..................... 6,820 179,511
Canadian Pacific Ltd. ............................. 10,180 217,797
Hudson's Bay Co. .................................. 14,880 176,349
Imasco Ltd. ....................................... 5,500 151,399
Imperial Oil Ltd. ................................. 4,940 105,519
Magna International, Inc., Class A................. 3,240 137,298
Newbridge Networks Corp. (b)....................... 8,290 185,930
NOVA Chemicals Corp. .............................. 6,314 122,904
Potash Corporation of Saskatchewan, Inc. .......... 2,040 96,989
Royal Bank of Canada............................... 5,380 235,396
Shaw Communications, Inc., Class B................. 4,620 151,687
TransCanada Pipelines Ltd. ........................ 4,400 37,897
Westcoast Energy, Inc. ............................ 3,580 57,105
--------------
2,325,990
--------------
</TABLE>
69
<PAGE>
BRINSON GLOBAL (Ex-U.S.) EQUITY FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31 1999
<TABLE>
<CAPTION>
Shares Value
------------- -------------
<S> <C> <C>
Denmark - 0.56%
Tele Danmark A/S................................... 9,040 $ 668,466
-------------
Finland - 2.74%
Nokia Oyj (b)...................................... 9,650 1,741,162
Sampo Insurance Co., Ltd., Series A................ 20,990 730,098
UPM-Kymmene Corp. ................................. 19,810 794,298
-------------
3,265,558
-------------
France - 9.51%
Air France......................................... 19,856 378,168
Air Liquide........................................ 5,209 867,810
Alcatel Alsthom.................................... 1,760 402,241
Axa................................................ 2,910 403,709
Banque Nationale de Paris.......................... 15,437 1,417,417
Carrefour S.A. .................................... 2,888 530,060
Cie de Saint Gobain................................ 3,303 618,147
CSF Thomson........................................ 19,982 656,780
France Telecom S.A. ............................... 13,438 1,768,636
Groupe Danone...................................... 2,356 552,625
Michelin, Class B.................................. 5,962 233,075
Rhone-Poulenc, Class A............................. 12,236 707,709
Schneider S.A. .................................... 5,890 460,225
Societe Generale................................... 3,648 844,707
Total Fina S.A., Class B........................... 7,345 975,544
Vivendi (b)........................................ 5,664 508,994
-------------
11,325,847
-------------
Germany - 8.98%
Allianz AG......................................... 2,797 935,034
Bayer AG........................................... 28,430 1,345,111
Bayerische Motoren Werke AG (b).................... 13,450 410,534
Continental AG..................................... 18,250 364,960
DaimlerChrysler AG................................. 9,393 733,468
Deutsche Bank AG (b)............................... 10,583 891,632
Deutsche Telekom AG................................ 13,450 941,733
Dresdner Bank AG (b)............................... 10,310 557,040
Mannesmann AG...................................... 4,950 1,192,831
SAP AG............................................. 800 391,335
Siemens AG (b)..................................... 15,330 1,951,574
Veba AG............................................ 19,080 927,597
Volkswagen AG...................................... 900 50,521
-------------
10,693,370
-------------
Hong Kong - 0.19%
Henderson Land Development Co., Ltd. .............. 35,000 224,674
-------------
Italy - 2.93%
Assicurazioni Generali............................. 16,000 526,057
</TABLE>
70
<PAGE>
BRINSON GLOBAL (Ex-U.S.) EQUITY FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1999
<TABLE>
<CAPTION>
Shares Value
------------- -------------
<S> <C> <C>
Italy - (continued)
Beni Stabili Spa (b)................................ 47,495 $ 16,663
ENI Spa............................................. 136,000 744,339
ENI Spa ADR......................................... 1,950 107,494
La Rinascente Spa................................... 40,000 255,411
San Paolo-imi Spa................................... 43,495 588,153
Telecom Italia Mobile Spa........................... 69,000 767,043
Telecom Italia Spa.................................. 35,000 491,174
-------------
3,496,334
-------------
Japan - 31.78%
Acom Co., Ltd. ..................................... 5,800 567,222
Asahi Bank Ltd. .................................... 51,000 313,907
Bank of Tokyo-Mitsubushi Ltd. ...................... 53,000 737,355
Benesse Corp. ...................................... 1,900 456,646
Bridgestone Corp. .................................. 17,000 373,699
Canon, Inc. ........................................ 26,000 1,031,313
Dai Nippon Printing Co., Ltd. ...................... 18,000 286,649
Dai-Ichi Kangyo Bank................................ 31,000 289,238
Daiichi Pharmaceutical Co., Ltd. ................... 16,000 207,748
Daikin Industries Ltd. ............................. 21,000 285,184
Denso Corp. ........................................ 14,000 333,740
East Japan Railway Co. ............................. 92 495,257
Fanuc............................................... 12,400 1,576,122
Fuji Bank Ltd. ..................................... 24,000 232,837
Fujitsu............................................. 54,000 2,458,502
Honda Motor Co. .................................... 23,000 853,891
Hoya Corp. ......................................... 7,000 550,535
Ito Yokado Co., Ltd. ............................... 5,000 542,230
Kamigumi Co., Ltd. ................................. 45,000 189,048
Kao Corp. .......................................... 19,000 541,107
Kirin Brewery Co., Ltd. ............................ 35,000 367,593
Kokuyo.............................................. 9,000 119,584
Kuraray Co., Ltd. .................................. 35,000 353,915
Matsushita Electric Industrial Co. ................. 34,000 940,062
Mitsubishi Corp. ................................... 33,000 254,379
Mitsubishi Estate Co., Ltd. ........................ 57,000 555,215
Murata Manufacturing Co., Inc. ..................... 2,000 468,956
NEC Corp. .......................................... 45,000 1,070,539
NGK Insulators...................................... 33,000 244,707
Nintendo Corp., Ltd. ............................... 5,600 929,002
Nippon Meat Packers, Inc. .......................... 8,000 103,561
Nippon Steel Co. ................................... 214,000 499,692
Nippon Telegraph & Telephone Corp. ................. 132 2,256,851
Nissin Food Products Co. ........................... 10,100 237,316
Nomura Securities Co., Ltd. ........................ 54,000 973,377
NTT Mobile Communications........................... 27 1,036,686
</TABLE>
71
<PAGE>
BRINSON GLOBAL (Ex-U.S.) EQUITY FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1999
<TABLE>
<CAPTION>
Shares Value
------------- -------------
<S> <C> <C>
Japan - (continued)
Obayashi Corp. .................................... 50,000 $ 235,944
Orix Corp. ........................................ 5,900 1,326,931
Osaka Gas Co. ..................................... 136,000 326,862
Rohm Co. .......................................... 1,300 533,438
Sankyo Co., Ltd. .................................. 23,000 471,887
Santen Pharmaceutical Co., Ltd. ................... 12,000 197,548
Secom Co., Ltd. ................................... 11,000 1,209,027
Sekisui House Ltd. ................................ 24,000 212,203
Seven-Eleven Japan Co., Ltd. ...................... 4,000 633,091
Softbank Corp. .................................... 900 859,948
Sony Corp. ........................................ 8,500 2,516,242
Sumitomo Bank...................................... 37,000 505,720
Sumitomo Chemical Co. ............................. 76,000 356,407
Sumitomo Electric Industries....................... 14,000 161,536
Takeda Chemical Industries......................... 19,000 937,424
Takefuji Corp. .................................... 2,500 312,393
TDK Corp. ......................................... 7,000 964,975
Tokio Marine & Fire Insurance Co. ................. 28,000 326,901
Tokyo Electric Power............................... 12,700 339,974
Tokyo Electron Ltd. ............................... 4,000 547,115
Toyota Motor Corp. ................................ 29,000 1,402,472
Yamato Transport Co., Ltd. ........................ 19,000 735,089
-------------
37,846,792
-------------
Netherlands - 4.84%
ABN AMRO Holdings NV............................... 22,363 555,931
Elsevier NV........................................ 58,500 695,472
ING Groep NV....................................... 27,095 1,627,965
Koninklijke KPN NV................................. 13,693 1,330,030
Royal Dutch Petroleum Co. ......................... 11,420 696,572
TNT Post Group NV.................................. 14,700 419,217
Unilever NV........................................ 7,985 438,947
-------------
5,764,134
-------------
New Zealand - 0.37%
Auckland International Airport Ltd. ............... 36,290 54,883
Carter Holt Harvey Ltd. ........................... 58,260 75,957
Fletcher Challenge Paper........................... 84,600 59,119
Lion Nathan Ltd. .................................. 38,330 88,951
Telecom Corp. of New Zealand Ltd. ................. 34,410 161,503
-------------
440,413
-------------
Norway - 0.26%
Norske Skogindustrier ASA.......................... 5,990 311,529
-------------
</TABLE>
72
<PAGE>
BRINSON GLOBAL (Ex-U.S.) EQUITY FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1999
<TABLE>
<CAPTION>
Shares Value
------------- -------------
<S> <C> <C>
Portugal - 0.66%
EDP Electricidade de Portugal S.A. ................ 21,500 $ 373,487
Portugal Telecom (b)............................... 37,900 413,720
-------------
787,207
-------------
Singapore - 0.92%
Singapore Press Holdings Ltd. ..................... 29,500 639,226
United Overseas Bank Ltd., (Frgn.)................. 51,296 452,612
-------------
1,091,838
-------------
Spain - 3.19%
Banco Popular S.A. ................................ 11,499 746,344
Banco Santander Central Hispano S.A. .............. 61,331 691,012
Endesa S.A. ....................................... 19,797 391,133
Tabacalera S.A. ................................... 65,720 935,460
Telefonica S.A. (b)................................ 41,925 1,042,231
-------------
3,806,180
-------------
Sweden - 3.63%
Electrolux AB, B Shares............................ 37,080 928,845
Ericsson, B Shares................................. 26,140 1,673,719
Investor AB, B Shares (b).......................... 35,180 494,159
Nordbanken Holding AB.............................. 128,800 753,833
Swedish Match AB................................... 137,180 476,910
-------------
4,327,466
-------------
Switzerland - 3.86%
Adecco S.A. (b).................................... 658 509,727
Nestle S.A. (Reg.)................................. 522 951,255
Novartis AG (Reg.)................................. 806 1,177,252
Roche Holding AG (Gen.)............................ 102 1,204,348
Swisscom AG (Reg.)................................. 1,866 750,737
-------------
4,593,319
-------------
United Kingdom - 17.35%
Allied Zurich PLC.................................. 38,977 458,268
AstraZeneca PLC.................................... 12,791 529,402
Barclays PLC....................................... 19,952 573,034
BP Amoco PLC....................................... 141,444 1,419,091
British Aerospace PLC.............................. 24,884 164,433
British Airways PLC................................ 49,842 324,536
British Telecommunications PLC..................... 61,215 1,492,736
Charter PLC........................................ 89,548 382,462
Diageo PLC......................................... 88,798 712,720
FKI PLC............................................ 217,084 839,702
Glaxo Wellcome PLC................................. 39,491 1,113,839
Greenalls Group PLC................................ 59,606 283,399
House of Fraser PLC................................ 119,959 146,938
HSBC Holdings PLC.................................. 38,000 528,543
</TABLE>
73
<PAGE>
BRINSON GLOBAL (Ex-U.S.) EQUITY FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1999
<TABLE>
<CAPTION>
Shares Value
------------- -------------
<S> <C> <C>
United Kingdom - (continued)
Lloyds TSB Group PLC.............................. 100,313 $ 1,252,175
Marconi PLC....................................... 58,033 1,024,645
Marks & Spencer PLC............................... 96,004 456,068
National Power PLC................................ 103,504 598,043
Nycomed Amersham PLC.............................. 72,500 450,452
Peninsular & Oriental Steam Navigation Co. ....... 21,729 361,765
Powergen PLC...................................... 60,000 430,326
Prudential Corp. PLC.............................. 49,971 982,571
Reckitt & Colman PLC.............................. 31,786 297,389
Reed International PLC............................ 84,757 633,157
Rio Tinto Ltd. ................................... 33,907 816,990
RJB Mining PLC.................................... 90,557 46,704
Royal & Sun Alliance Insurance Group PLC.......... 53,540 406,861
Scottish & Southern Energy PLC.................... 83,687 666,639
Tesco PLC......................................... 210,998 640,176
Thames Water PLC.................................. 27,770 345,525
Trinity Mirror PLC (b)............................ 58,513 623,362
Unilever PLC...................................... 58,753 431,325
United News & Media PLC........................... 63,352 805,608
Yorkshire Water PLC............................... 74,796 421,922
-------------
20,660,806
-------------
Total Global (Ex-U.S.) Equities (Cost
$99,445,622)..................................... 118,064,061
-------------
Short-Term Investments - 0.62%
Investment Companies - 0.62%
Brinson Supplementary Trust U.S. Cash Management
Prime Fund (Cost $734,046)....................... 734,046 734,046
-------------
Total Investments (Cost $100,179,668) - 99.75%
(a).............................................. 118,798,107
Cash and other assets, less liabilities - 0.25%... 299,151
-------------
Net Assets - 100%................................. $ 119,097,258
=============
</TABLE>
See accompanying notes to schedule of investments.
74
<PAGE>
BRINSON GLOBAL (Ex-U.S.) EQUITY FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1999
NOTES TO SCHEDULE OF INVESTMENTS
(a) Aggregate cost for federal income tax purposes was $100,179,668; and net
unrealized appreciation consisted of:
<TABLE>
<S> <C>
Gross unrealized appreciation............... $23,774,242
Gross unrealized depreciation............... (5,155,803)
-----------
Net unrealized appreciation............. $18,618,439
===========
</TABLE>
(b) Non-income producing security.
FORWARD FOREIGN CURRENCY CONTRACTS
The Brinson Global (Ex-U.S.) Equity Fund had the following open forward foreign
currency contracts as of December 31, 1999:
<TABLE>
<CAPTION>
Settlement Local Current Unrealized
Date Currency Value Gain/(Loss)
---------- ------------- ----------- -----------
<S> <C> <C> <C> <C>
Forward Foreign Currency Buy
Contracts:
Australian Dollar............ 06/02/00 6,800,000 $ 4,455,715 $120,375
British Pound................ 06/02/00 700,000 1,127,886 (9,194)
Canadian Dollar.............. 06/02/00 3,100,000 2,143,786 30,918
Euro......................... 06/02/00 9,100,000 9,226,402 (73,657)
Swedish Krona................ 06/02/00 28,000,000 3,310,190 (11,478)
Swiss Franc.................. 06/02/00 2,800,000 1,780,740 (12,408)
Forward Foreign Currency Sale
Contracts:
British Pound................ 06/02/00 5,500,000 8,861,963 (60,753)
Japanese Yen................. 06/02/00 1,318,000,000 13,203,428 49,548
--------
Total...................... $ 33,351
========
</TABLE>
See accompanying notes to financial statements.
75
<PAGE>
BRINSON GLOBAL (Ex-U.S.) EQUITY FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 1999
<TABLE>
<S> <C>
ASSETS:
Investments, at value:
Unaffiliated issuers (Cost $99,445,622)......................... $118,064,061
Affiliated issuers (Cost $734,046).............................. 734,046
Foreign currency, at value (Cost $201,903)....................... 203,564
Receivables:
Dividends....................................................... 86,813
Interest........................................................ 3,444
Due from Advisor................................................ 3,581
Net unrealized appreciation on forward foreign currency
contracts....................................................... 33,351
-------------
TOTAL ASSETS.................................................. 119,128,860
-------------
LIABILITIES:
Payables:
Accrued expenses................................................ 31,602
-------------
TOTAL LIABILITIES............................................. 31,602
-------------
NET ASSETS:
Applicable to 9,527,148 shares; no par value, unlimited shares
authorized...................................................... $119,097,258
=============
Net asset value, offering price and redemption price per share
($119,097,258 / 9,527,148 shares)............................... $ 12.5008
=============
NET ASSETS CONSIST OF:
Paid in capital.................................................. $ 95,037,443
Accumulated net investment income................................ 2,254,679
Accumulated net realized gain.................................... 3,151,001
Net unrealized appreciation...................................... 18,654,135
-------------
NET ASSETS.................................................... $119,097,258
=============
</TABLE>
See accompanying notes to financial statements.
76
<PAGE>
BRINSON GLOBAL (Ex-U.S.) EQUITY FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 1999
<TABLE>
<S> <C>
INVESTMENT INCOME:
Dividends (net of $209,479 for foreign taxes withheld).......... $ 1,761,010
Interest........................................................ 132,222
------------
TOTAL INCOME................................................. 1,893,232
------------
EXPENSES:
Professional.................................................... 53,514
Custodian....................................................... 50,584
Trustees........................................................ 5,840
Other........................................................... 2,515
------------
TOTAL EXPENSES............................................... 112,453
Earnings credits............................................. (3,545)
Expenses reimbursed by Advisor............................... (52,803)
------------
NET EXPENSES................................................. 56,105
------------
NET INVESTMENT INCOME........................................ 1,837,127
------------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments.................................................... 5,635,169
Foreign currency transactions.................................. (1,416,911)
------------
Net realized gain............................................ 4,218,258
------------
Change in net unrealized appreciation or depreciation on:
Investments and foreign currency............................... 13,747,790
Forward foreign currency contracts............................. 107,752
Translation of other assets and liabilities denominated in
foreign currency.............................................. 3,410
------------
Change in net unrealized appreciation or depreciation........ 13,858,952
------------
Net realized and unrealized gain................................ 18,077,210
------------
Net increase in net assets resulting from operations............ $19,914,337
============
</TABLE>
See accompanying notes to financial statements.
77
<PAGE>
BRINSON GLOBAL (Ex-U.S.) EQUITY FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Year Ended Period Ended
December 31, December 31,
1999 1998*
------------- ------------
<S> <C> <C>
OPERATIONS:
Net investment income............................ $ 1,837,127 $ 417,552
Net realized gain (loss)......................... 4,218,258 (1,067,257)
Change in net unrealized appreciation or
depreciation.................................... 13,858,952 4,795,183
------------- ------------
Net increase in net assets resulting from
operations...................................... 19,914,337 4,145,478
------------- ------------
CAPITAL SHARE TRANSACTIONS:
Shares sold...................................... 59,948,270 74,452,671
Shares redeemed.................................. (36,326,817) (3,036,691)
------------- ------------
Net increase in net assets resulting from capital
share transactions (a).......................... 23,621,453 71,415,980
------------- ------------
TOTAL INCREASE IN NET ASSETS.................. 43,535,790 75,561,458
------------- ------------
NET ASSETS:
Beginning of period.............................. 75,561,468 10
------------- ------------
End of period (including accumulated net
investment income of $2,254,679 and $417,552,
respectively)................................... $119,097,258 $75,561,468
============= ============
(a) A summary of capital share transactions follows:
<CAPTION>
Shares Shares
------------- ------------
<S> <C> <C>
Shares sold...................................... 5,616,680 7,631,785
Shares redeemed.................................. (3,409,755) (311,563)
------------- ------------
Net increase in shares outstanding.............. 2,206,925 7,320,222
============= ============
</TABLE>
* The Fund commenced operations June 26, 1998.
See accompanying notes to financial statements.
78
<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>
Year Ended Period Ended
December 31, December 31,
1999 1998*
------------ ------------
<S> <C> <C>
Net asset value, beginning of period................. $10.3223 $10.0000
--------- ---------
Net investment income............................... 0.1796 0.0570
Net realized and unrealized gain.................... 1.9989 0.2653
--------- ---------
Total income from investment operations............ 2.1785 0.3223
--------- ---------
Net asset value, end of period....................... $12.5008 $10.3223
========= =========
Total return (non-annualized)........................ 21.10% 3.22%
Ratios/Supplemental data
Net assets, end of period (in 000s)................. $119,097 $ 75,561
Ratio of expenses to average net assets:
Before expense reimbursement and earnings credits.. 0.12% 0.10%**
After expense reimbursement and earnings credits... 0.06% 0.06%**
Ratio of net investment income to average net
assets:
Before expense reimbursement and earnings credits.. 1.90% 1.40%**
After expense reimbursement and earnings credits... 1.96% 1.44%**
Portfolio turnover rate............................. 86% 41%
</TABLE>
* The Fund commenced operations June 26, 1998.
** Annualized
See accompanying notes to financial statements.
79
<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
3.55%, compared to the 6.57% return of its benchmark, the Brinson Emerging
Markets Normal Index. A widely followed industry benchmark, the MSCI Emerging
Markets (Free) Index has returned 2.53% over the same period. Over the last
year, the Fund returned 65.76% while the Normal Index returned 71.07%, and the
MSCI EMF Index returned 66.41%.
The Brinson Normal Index (our long-term policy asset mix) utilizes country
weights within liquidity tiers to minimize country specific risk, while
maintaining broad exposure to emerging growth economies, and can diverge
substantially from a typical passive or market-capitalization weighted index.
As a result of the annual mid-year review of this long-term policy, the long-
term policy overweight to EMEA (Europe, Middle East and Africa) and our
underweight to Latin America relative to the market-capitalization weighted
MSCI EMF benchmark were removed.
Relative to the MSCI EMF, our Fund started the year significantly underweight
in Latin America and remained so for most of the year. This regional bet added
value as these markets underperformed the broader index for the first nine
months. We started the year underweight in Asia relative to the MSCI EMF, which
paid off during the first quarter, but then hurt us significantly in the second
quarter as the region outperformed very strongly.
The outperformance of the EMEA markets during the course of 1999 went against
our strategy and therefore hurt the Fund's performance relative to the MSCI.
The Greek market's unwarranted exuberance continued until the fourth quarter
and hurt our relative performance, because we remained underweight in light of
the unattractive valuations. Our strategy was finally rewarded in the fourth
quarter as the market corrected sharply, at the same time that Turkey bounced
back from an extended period of underperformance on the back of structural
reforms. The overweight of Turkey relative to the MSCI, together with the
underweight in Greece, allowed most of the year's relative underperformance
vis-a-vis the MSCI to be recouped in the final weeks of the year.
80
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND
- --------------------------------------------------------------------------------
Total Return
<TABLE>
<CAPTION>
Annualized
6 Months 1 Year 3 Years 6/30/95*
Ended Ended Ended to
12/31/99 12/31/99 12/31/99 12/31/99
- ---------------------------------------------------------------
<S> <C> <C> <C> <C>
Brinson Emerging Markets
Equity Fund(/1/) 23.58% 65.76% 4.44% 3.36%
- ---------------------------------------------------------------
Brinson Emerging Markets
Equity Fund(/2/) 19.90 60.83 3.39 3.01
- ---------------------------------------------------------------
Brinson Emerging Markets
Normal Index** 19.41 71.07 8.96 6.57
- ---------------------------------------------------------------
MSCI Emerging Markets
(Free) Index 18.98 66.41 3.18 2.99
- ---------------------------------------------------------------
</TABLE>
* Performance inception date of the Brinson Emerging Markets Equity Fund.
** An unmanaged index compiled by the Advisor that is constructed to minimize
country specific risk while providing regional exposure similar to the MSCI
Emerging Markets (Free) Index.
(1) Total return based on NAV--does not include the payment of a 1.50%
transaction charge on Fund share purchases and redemptions.
(2) Standardized total return--includes the payment of a 1.50% transaction
charge on Fund share purchases and redemptions in each period presented
where applicable.
All returns over 1 year are average annualized returns.
Illustration of an Assumed Investment of $100,000
This chart shows growth in the value of an investment in the Brinson Emerging
Markets Equity Fund, the Brinson Emerging Markets Normal Index and the MSCI
Emerging Markets (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. Brinson Emerging Markets Normal Index
and MSCI Emerging Markets (Free) Index
[GRAPH]
Brinson MSCI Emerging Brinson Emerging
Emerging Markets Markets Markets
Equity Fund/2/ (Free) Index Normal Index
6/30/95 100,000 100,000 100,000
7/31/95 99,469 102,245 102,846
8/31/95 94,941 99,836 98,380
9/30/95 95,041 99,362 97,952
10/31/95 92,298 95,559 94,968
11/30/95 90,060 93,855 92,628
12/31/95 93,164 98,017 95,466
1/31/96 99,521 104,985 103,741
2/29/96 99,709 103,315 103,127
3/31/96 100,005 104,120 103,399
4/30/96 104,747 108,283 108,202
5/31/96 103,691 107,800 107,412
6/30/96 105,701 108,473 109,536
7/31/96 98,860 101,059 102,864
8/31/96 100,824 103,646 105,105
9/30/96 101,719 104,544 106,494
10/31/96 98,597 101,756 102,987
11/30/96 100,788 103,461 104,879
12/31/96 101,862 103,929 105,309
1/31/97 111,465 111,018 115,791
2/28/97 114,896 115,772 118,997
3/31/97 113,164 112,731 116,647
4/30/97 113,647 112,930 115,739
5/31/97 118,493 116,162 121,101
6/30/97 122,647 122,379 124,766
7/31/97 124,271 124,206 125,801
8/31/97 111,402 108,401 112,952
9/30/97 115,646 111,404 116,437
10/31/97 99,057 93,124 98,930
11/30/97 92,813 89,726 91,933
12/31/97 91,635 91,889 89,228
1/31/98 88,446 84,682 87,004
2/28/98 95,912 93,520 98,570
3/31/98 99,893 97,579 102,598
4/30/98 100,327 96,516 102,119
5/31/98 88,532 83,289 87,998
6/30/98 80,845 74,553 78,919
7/31/98 84,345 76,916 82,314
8/31/98 59,302 54,677 60,665
9/30/98 60,325 58,145 63,762
10/31/98 66,285 64,268 72,771
11/30/98 70,021 69,613 79,912
12/31/98 70,004 68,604 79,625
1/31/99 68,941 67,497 78,997
2/28/99 69,912 68,154 80,787
3/31/99 77,436 77,136 90,062
4/30/99 87,270 86,679 103,649
5/31/99 86,025 86,175 103,868
6/30/99 93,900 95,955 114,072
7/31/99 91,746 93,348 110,513
8/31/99 91,000 94,198 110,334
9/30/99 87,241 91,010 106,722
10/31/99 90,264 92,948 110,084
11/30/99 98,662 101,282 118,946
12/31/99 116,039 114,163 136,211
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.
81
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND
- --------------------------------------------------------------------------------
MARKET ALLOCATION
As of December 31, 1999
<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 28.74% 29.23% 25.7% -3.5%
Argentina................. 2.08 4.62 3.6 -1.0 0 to +5%
Brazil.................... 9.94 9.23 9.2 0.0 +/-7
Chile..................... 3.51 4.62 2.1 -2.5 0 to +5
Colombia.................. 0.35 0.00 0.0 0.0 0 to +2
Mexico.................... 11.62 9.23 9.2 0.0 +/-7
Peru...................... 0.67 1.54 1.5 0.0 0 to +5
Venezuela................. 0.58 0.00 0.0 0.0 0 to +2
Asia 40.14% 40.00% 44.5% 4.5
China..................... 0.44 3.08 3.1 0.0 0 to +5
India..................... 8.41 4.62 7.6 3.0 0 to +5
Indonesia................. 1.74 1.54 1.0 -0.5 0 to +53
Korea..................... 13.90 9.23 10.2 1.0 +/-7
Malaysia.................. 0.00 3.08 3.1 0.0 0 to +5
Pakistan.................. 0.35 0.00 0.0 0.0 0 to +2
Philippines............... 1.24 4.62 4.6 0.0 0 to +5
Sri Lanka................. 0.05 0.00 0.0 0.0 0 to +2
Taiwan.................... 10.99 9.23 11.2 2.0 +/-7
Thailand.................. 3.02 4.62 3.6 -1.0 0 to +5
Europe/Middle East/ Africa 31.12% 30.77% 29.2 -1.6
Bulgaria.................. 0.00 0.00 0.1 0.1 0 to +2
Czech Republic............ 0.64 1.54 1.5 0.0 0 to +5
Greece.................... 6.47 4.62 2.6 -2.0 0 to +5
Hungary................... 1.21 1.54 2.5 1.0 0 to +5
Israel.................... 4.13 4.62 4.6 0.0 0 to +5
Jordan.................... 0.12 0.00 0.0 0.0 0 to +2
Kazakhstan................ 0.00 0.00 0.4 0.4 0 to +2
Poland.................... 1.26 3.08 3.1 0.0 0 to +5
Romania................... 0.00 0.00 0.3 0.3 0 to +2
Russia.................... 2.46 1.54 1.5 0.0 0 to +5
South Africa.............. 10.78 9.23 7.7 -1.5 +/-7
Turkey.................... 4.05 4.62 4.6 0.0 0 to +5
Ukraine................... 0.00 0.00 0.1 0.1 0 to +2
Cash....................... 0.00 0.00 0.6 0.6
----- ----- ----- -----
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.
82
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND
- --------------------------------------------------------------------------------
TOP TEN EQUITY HOLDINGS
As of December 31, 1999
<TABLE>
<CAPTION>
Percent of
Net Assets
- --------------------------------------------------------------------------------
<S> <C>
1. Telefonos de Mexicano S.A., Series L and Series L ADR............ 3.97%
2. Turkiye Is Bankasi, Class C...................................... 1.90
3. India I T Fund................................................... 1.89
4. Petroleo Brasileiro S.A., Preferred.............................. 1.69
5. Samsung Electronics Co. ......................................... 1.55
6. Atlantis Korean Smaller Cos. .................................... 1.55
7. Cia Vale Do Rio Doce, Class A.................................... 1.28
8. Yapi Ve Kredi Bankasi A.S. ...................................... 1.21
9. Magyar Tavkozlesi Rt. ........................................... 1.09
10. Taiwan Semiconductor Manufacturing Co. .......................... 1.06
- --------------------------------------------------------------------------------
</TABLE>
83
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1999
<TABLE>
<CAPTION>
Shares Value
----------- -----------
<S> <C> <C>
Equities - 93.05%
Argentina - 2.94%
Banco Frances del Rio de la Plata S.A. ................... 58,882 $ 465,214
Banco Frances del Rio de la Plata S.A., ADR............... 30,400 720,100
Banco Galicia y Buenos Aires (b).......................... 359,479 1,786,789
CEI Citicorp Holdings S.A. (b)............................ 198,791 725,660
Cresud S.A.C.I.F.y A. .................................... 612,826 600,630
Inversiones Y Representaciones S.A. ...................... 445,291 1,442,887
Perez Companc CMN ARS, Class B............................ 324,226 1,660,203
Telecom Argentina S.A. ................................... 22,600 774,050
Telecom Argentina S.A., Class B........................... 190,881 1,313,393
Telefonica de Argentina S.A., ADR......................... 76,000 2,346,500
Telefonica de Argentina, Class ARS 1 (b).................. 814,600 2,501,072
-----------
14,336,498
-----------
Austria - 0.03%
Ca Ib Invest Ceska Spor, Warrants (b)..................... 80,000 146,751
-----------
Brazil - 11.90%
Banco Bradesco S.A. ...................................... 424,939,897 3,357,345
Banco Bradesco S.A., Rights (b)........................... 27,593,086 218,468
Banco Itau S.A., Preferred................................ 14,253,000 1,231,790
Brazil Fund, Inc. (c)..................................... 20,266 376,188
Centrais Electricas Brasileiras S.A. ..................... 31,350,000 690,626
Centrais Electricas Brasileiras S.A., Class B............. 42,000,000 1,009,311
Cia de Saneamento Basica S.A. ............................ 19,188,380 2,269,225
Cia Energetica de Minas Gerais, ADR (c)...................... 13,919 314,310
Cia Energetica de Minas Gerais, Preferred................. 96,533,688 2,179,880
Cia Vale Do Rio Doce, Preferred A......................... 224,250 6,251,742
Coelce Preferred A........................................ 455,730,000 1,308,620
Eletricidade Sao Paulo-Preferred (b)...................... 23,089,906 1,506,283
Embratel Participacoes S.A. ADR (b)....................... 60,000 1,635,000
Embratel Participacoes S.A., Preferred (b)................ 116,570,000 3,022,306
Petroleo Brasileiro S.A., Preferred....................... 32,155,000 8,247,170
Tele Norte Leste Participacoes S.A., ADR (b).............. 112,400 2,866,200
Tele Norte Leste Participacoes S.A., Preferred (b)........ 119,530,000 3,232,342
Telecelular Sul Participacoes ADR (b)..................... 20,920 664,210
Telecelular Sul Preferred (b)............................. 88,530,000 296,170
Telecentro Sul Preferred (b).............................. 186,812,300 3,436,263
Telecentro Sul S.A. (b)................................... 11,000 998,250
Telesp Celular Participacoes ADR (b)...................... 19,700 834,787
Telesp Celular Participacoes, Preferred (b)............... 101,930,000 1,818,656
Telesp Participacoes S.A., ADR (b)........................ 71,100 1,737,506
Telesp Participacoes S.A., Preferred (b).................. 167,020,000 4,078,883
Telesudeste Celular Participacoes ADR (b)................. 22,200 861,637
Telesudeste Celular Participacoes, Preferred (b).......... 181,730,000 1,352,716
Usinas Siderurgicas de Minas Gerais S.A. ................. 424,200 2,317,904
Vale Dorio Doce Rights (b)................................ 23,646 --
-----------
58,113,788
-----------
</TABLE>
84
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1999
<TABLE>
<CAPTION>
Shares Value
--------- ------------
<S> <C> <C>
Bulgaria - 0.09%
Farmlington Bulgaria Fund (b)........................... 124,500 $ 435,750
------------
Cayman Islands - 0.04%
Regent Central Asia Investments (b)..................... 415,000 207,500
------------
Chile - 1.87%
Banco de A. Edwards ADR................................. 20,654 340,791
Chile Fund, Inc. ....................................... 241,700 2,719,125
Cia Cervecerias Unidas S.A., ADR........................ 15,100 484,144
Cia de Telecomunicaciones de Chile S.A., ADR............ 144,470 2,636,577
Embotelladora Andina S.A., Class B, ADR................. 32,400 473,850
Empresa Nacional de Electricidad S.A., ADR.............. 37,564 532,939
Genesis Chile Fund...................................... 44,000 1,380,500
Quimica Y Minera Chile S.A., ADR........................ 11,000 347,187
Quimica Y Minera Chile S.A., Class A, ADR............... 3,359 105,809
Quinenco S.A., ADR...................................... 9,700 107,913
------------
9,128,835
------------
Czech Republic - 1.06%
Ceska Sporitelna A.S. .................................. 90,300 417,152
Ceske Energeticke Zavody A.S. (b)....................... 510,300 1,259,409
Komercni Banka A.S. (b)................................. 4,900 83,572
Komercni Banka A.S., ADR (b)............................ 70,200 398,701
Komercni Banka A.S., Rights (b)......................... 4,900 15,009
Metrostav............................................... 16,500 63,818
SPT Telecom A.S. ....................................... 138,900 2,229,780
Tabak A.S. ............................................. 2,189 440,214
Unipetrol A.S. (b)...................................... 201,500 286,831
------------
5,194,486
------------
Egypt - 0.09%
Egypt Investment Co., Ltd. (b).......................... 36,000 457,200
------------
Greece - 1.78%
Alpha Credit Bank Ord................................... 16,466 1,288,257
Athens Medical Center Ord (b)........................... 6,678 342,807
Attica Enterprises S.A. (b)............................. 19,560 373,973
Chipita International S.A. (b).......................... 13,600 210,082
Commercial Bank of Greece, S.A. ........................ 8,655 665,062
Hellenic Bottling Co. S.A. ............................. 16,460 380,891
Hellenic Telecommunications Organization S.A. .......... 101,056 2,390,615
Intracom S.A. (b)....................................... 15,036 684,471
National Bank of Greece Ord............................. 21,637 1,589,073
Titan Cement Co., S.A. ................................. 3,400 200,228
Titan Cement Co., S.A., Preferred....................... 10,400 550,757
------------
8,676,216
------------
Hong Kong - 2.18%
Angang New Steel Co., Ltd. ............................. 3,886,000 309,940
</TABLE>
85
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1999
<TABLE>
<CAPTION>
Shares Value
--------- ------------
<S> <C> <C>
Hong Kong - (continued)
Beijing Datang Power Generation Co., Ltd., Class H...... 4,631,300 $ 762,599
Beijing Yanhua Petrochemical Co., Ltd., Class H......... 2,790,000 323,020
Brilliance China Automotive (b)......................... 68,000 237,937
China Everbright Ltd. .................................. 301,000 247,816
China Shipping Development Co., Ltd. (b)................ 3,488,000 691,004
China Southern Airlines Co., Ltd. (b)................... 1,100,000 240,561
China Telecom Ltd. ..................................... 63,000 393,877
Chinatrust Resources Beijing Land....................... 2,376,000 272,032
Cosco Pacific Ltd. ..................................... 478,000 396,617
Great Wall Technology Co., Ltd. (b)..................... 290,000 281,662
Guangdong Kelon Elec Holding, Class H................... 1,373,700 1,042,623
Guangshen Railway Co., Ltd. ............................ 1,590,000 177,951
Hengan International Group Co., Ltd..................... 450,000 124,461
Huaneng Power International, Inc. Class H............... 2,354,000 560,224
Huaneng Power International, Inc., Series N, ADR........ 34,200 361,237
Jiangsu Express......................................... 3,428,000 560,051
Jiangxi Copper Industry (b)............................. 1,025,000 114,717
New World Infrastructure Ltd. (b)....................... 184,800 236,542
Qingling Motors Co. .................................... 226,000 27,329
Shanghai Petrochemical Co., Ltd., Class H............... 7,926,000 1,243,934
TPV Holdings Ltd. (b)................................... 1,062,000 177,603
Yanzhou Coal Mining Co., Ltd., Class H.................. 986,000 272,709
Yizheng Chemical Fibre Co., Ltd. ....................... 3,456,000 966,978
Zhejiang Expressway Co., Ltd., Class H.................. 4,005,100 607,965
------------
10,631,389
------------
Hungary - 2.21%
BorsodChem Rt. (b)...................................... 19,000 762,932
Danubius Hotel HUF 1000 (b)............................. 18,559 336,081
Magyar Tavkozlesi Rt. .................................. 765,669 5,335,147
MOL Magyar Olaj-es Gazipari Rt. ........................ 87,145 1,801,084
OPT Bank Rt. ........................................... 26,889 1,565,579
Richter Gedeon Rt. ..................................... 15,362 1,003,894
------------
10,804,717
------------
India - 6.83%
Aptech Ltd. ............................................ 19,613 796,373
Asea Brown Boveri Ltd. ................................. 19,004 109,175
Ashok Leyland Ltd. ..................................... 124,750 326,943
Associated Cement Cos., Ltd. ........................... 38,500 219,627
Bajaj Auto Ltd. ........................................ 29,000 219,245
Bharat Heavy Electricals Ltd. (b)....................... 127,600 615,752
Bharat Petroleum Corp., Ltd. ........................... 59,000 532,278
Cadbury India Ltd. (b).................................. 18,700 322,714
Cipla Ltd. ............................................. 11,950 381,697
Cochin Refineries Ltd. (b).............................. 500 1,746
Corporation Bank........................................ 113,000 288,229
</TABLE>
86
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1999
<TABLE>
<CAPTION>
Shares Value
--------- ------------
<S> <C> <C>
India - (continued)
Cummins India Ltd. ..................................... 100 $ 1,314
Digital Equipment India (b)............................. 100 2,574
Dr. Reddy's Laboratories Ltd. (b)....................... 15,400 510,296
EIH Ltd. (b)............................................ 12 55
Grasim Industries Ltd. ................................. 50,700 475,340
Gujarat Ambuja Cements Ltd. ............................ 25,600 191,776
HCL Technologies Ltd. (b)............................... 18,000 239,904
Hindalco Industries Ltd. ............................... 24,200 447,659
Hindustan Lever Ltd. ................................... 42,788 2,212,282
Hindustan Petroleum Corp., Ltd. ........................ 210,950 887,088
Housing Development Finance (b)......................... 67,400 442,958
ICICI Banking Corp. .................................... 300 483
India I T Fund (b)...................................... 125,000 9,250,000
India Public Secitr Fund, Ltd. (b) 147,059 1,213,237
Indian Hotels Co., Ltd. ................................ 15,000 109,266
Industrial Credit & Investment Corp. of India Ltd. ..... 104,600 221,134
IS Himalayan Fund (b)................................... 218,218 4,855,350
ITC Ltd. ............................................... 56,600 864,916
Larsen & Toubro Ltd., Class A........................... 79,300 1,012,992
Mahanagar Telephone Nigam Ltd. ......................... 153,000 678,555
Mahindra & Mahindra Ltd. ............................... 43,679 421,559
National Aluminum Co., Ltd. (b)......................... 100 145
NIIT Ltd. .............................................. 11,900 906,648
Punjab Tractors Ltd. ................................... 350 8,357
Ranbaxy Laboratories Ltd. .............................. 26,400 579,353
Reliance Industries Ltd. ............................... 219,180 1,177,052
Satyam Computer Services Ltd. .......................... 19,400 980,309
Software Solution Integrated............................ 300 15,217
State Bank of India Ltd. ............................... 109,600 566,039
Steel Authority of India Ltd. (b)....................... 100 26
Tata Engineering & Locomotive Co., Ltd. ................ 102,750 474,585
Videsh Sanchar Nigam Ltd. .............................. 9,102 378,365
Videsh Sanchar Nigam Ltd., (b).......................... 9,600 399,067
------------
33,337,680
------------
Indonesia - 0.81%
Astra International, Inc. .............................. 571,800 304,149
Bank Dagagang Nasional, Warrants (b).................... 47,219 --
Bank Internasional Indonesia, Warrants (b).............. 55,042 8
Gudang Garam............................................ 160,000 426,667
Indah Kiat Pulp & Paper Corp. .......................... 1,132,200 441,638
Indah Kiat Pulp & Paper Corp., Warrants (b)............. 8,900 2,336
Jaya Real Property...................................... 110,000 15,993
PT Bank Dagang Nasional (b)............................. 1,062 --
PT Bank Pan Indonesia Tbk............................... 1,704,400 163,187
PT Bank Pan Indonesia Tbk, Warrants (b)................. 364,800 12,678
PT Duta Pertiwi Property (b)............................ 350,000 38,475
</TABLE>
87
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1999
<TABLE>
<CAPTION>
Shares Value
--------- ------------
<S> <C> <C>
Indonesia - (continued)
PT Hanjaya Mandala Sampoerna Tbk......................... 30,200 $ 76,143
PT Indofood Sukses Makmur Tbk............................ 389,500 483,422
PT Indorama Synthetics (b)............................... 215,000 49,557
PT Matahari Putra Prima (b).............................. 800,000 133,333
PT Medco Energy Corp. (b)................................ 54,500 36,333
PT Semen Gresik Tbk...................................... 122,500 192,438
PT Tempo Scan Pacific Tbk................................ 239,900 200,767
Tambang Timah............................................ 107,000 73,989
Telecom Indonesia........................................ 2,349,000 1,324,436
------------
3,975,549
------------
Israel - 4.84%
Bank Hapoalim Ltd. ...................................... 1,279,973 3,981,646
Bank Leumi Le-Israel..................................... 238,150 500,368
Bezeq Israeli Telecommunications Corp., Ltd. (b)......... 372,209 1,852,187
Check Point Software Technologies (b).................... 19,200 3,816,000
ECI Telecommunications ADR............................... 70,200 2,220,075
Formula Systems Ltd. (b)................................. 32,525 1,369,869
Gilat Satellite Networks Ltd. (b)........................ 14,400 1,710,000
Israel Chemicals Ltd. ................................... 512,995 563,582
Koor Industries Ltd. .................................... 3,388 338,002
Koor Industries Ltd., ADR................................ 26,000 520,000
MA Industries Ord (b).................................... 262,157 458,166
Orbotech, Ltd. (b)....................................... 32,850 2,545,875
Tecnomatix Technologies Ltd. (b)......................... 13,600 391,000
Teva Pharmaceutical Industries Ltd. ..................... 7,359 505,955
Teva Pharmaceutical Industries Ltd., ADR................. 39,690 2,845,277
------------
23,618,002
------------
Korea - 9.74%
Atlantis Korean Smaller Cos. (b)......................... 408,441 7,556,158
Cheil Jedang Corp. ...................................... 9,500 1,098,605
Daewoo Securities........................................ 36,746 416,831
Fidelity Advisor Korea Fund (b).......................... 168,000 1,932,000
Hankuk Glass Industry Co., Ltd. ......................... 11,700 222,060
Hite Brewery Co. ........................................ 7,323 251,470
Honam Petrochemical Corp. ............................... 37,300 523,544
Housing & Commercial Bank, Korea......................... 37,610 1,195,233
Housing & Commercial Bank, Korea, GDR, 144A (b).......... 3 98
Hyundai Motor Co., 144A (b).............................. 108,116 1,162,247
Hyundai Motor Co., Ltd. ................................. 3,428 54,470
Hyundai Securities Co. (b)............................... 14,300 280,244
Kookmin Bank............................................. 85,592 1,344,931
Korea Asia Fund Ltd., ADR (b)............................ 2,120 4,028,000
Korea Electric Power Corp................................ 105,170 3,267,994
Korea Telecom............................................ 34,900 2,608,775
Korea Telecom Corp. (b).................................. 2,210 349,214
</TABLE>
88
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- --------------------------------------------------------------------------------
December 31, 1999
<TABLE>
<CAPTION>
Shares Value
--------- ------------
<S> <C> <C>
Korea - (continued)
LG Chemical Ltd. ........................................ 44,595 $ 1,413,277
LG Electronics........................................... 25,800 1,070,445
LG Investment & Securities Co., Ltd. (b)................. 28,500 485,567
LG Investment & Securities Co., Ltd., Rights............. 6,358 16,838
Nong Shim Co., Ltd. ..................................... 6,000 266,949
Pohang Iron & Steel Co., Ltd. ........................... 14,470 1,713,799
Samsung Corp. ........................................... 34,100 511,741
Samsung Display Devices Co. ............................. 10,692 445,500
Samsung Electro-Mechanics Co. ........................... 13,687 912,225
Samsung Electronics Co. ................................. 32,308 7,586,448
Samsung Securities Co., Ltd. ............................ 34,090 1,035,211
Sejong Securities Co., Ltd., Warrants (b)................ 7,260 6,409
Shinhan Bank (b)......................................... 85,600 929,449
Shinsegae Department Store Co. .......................... 4,346 220,216
SK Corp. ................................................ 53,927 1,637,614
SK Telecom Co., Ltd. .................................... 264 1,049,692
SK Telecom Co., Ltd., ADR................................ 51,490 1,975,917
------------
47,569,171
------------
Malaysia - 2.82%
APM Automotive Holdings Bhd (b).......................... 74,700 42,461
Arab Malaysian Finance Bhd............................... 329,000 363,632
Berjaya Sports Toto Bhd.................................. 307,000 662,474
British American Tabacco Bhd............................. 53,000 404,474
Commerce Asset-Holding Bhd............................... 326,000 836,447
IOI Corporated Bhd....................................... 669,000 404,921
Malayan Banking Bhd...................................... 438,000 1,556,053
Malaysian International Shipping Bhd (Frgn.)............. 392,000 644,737
OSK Holdings Bhd......................................... 485,321 416,354
OSK Holdings Bhd, Rights (b)............................. 121,333 14,688
Public Bank Bhd (Frgn.).................................. 924,000 958,042
Resorts World Bhd........................................ 344,000 986,737
Sime Darby Bhd........................................... 423,000 536,542
TA Enterprise Bhd........................................ 1,189,000 506,889
Tan Chong Motor Holdings Bhd............................. 498,000 209,684
Tanjong MYR NPV.......................................... 102,000 225,474
Telekom Malaysia Bhd..................................... 533,000 2,061,868
Tenaga Nasional Bhd...................................... 470,000 1,212,105
UMW Holdings Bhd......................................... 288,000 538,105
Unisem (M) Bhd........................................... 105,000 674,210
Warisan TC Holdings Bhd (b).............................. 24,900 16,513
YTL Corp. Bhd............................................ 321,600 512,021
------------
13,784,431
------------
Mexico - 9.97%
Apasco NV................................................ 104,000 647,257
ARA, S.A. de C.V. (b).................................... 1,204,091 1,994,117
</TABLE>
89
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- --------------------------------------------------------------------------------
December 31, 1999
<TABLE>
<CAPTION>
Shares Value
--------- ------------
<S> <C> <C>
Mexico - (continued)
Cemex S.A. CPO NPV (b).................................. 897,331 $ 5,016,724
Cifra U NPV (b)......................................... 955,219 1,914,468
Corporacion GEO, S.A., Series B (b)..................... 349,600 1,316,532
Fomento Economico Mexicano S.A. de C.V., ADR............ 3,202 142,489
Fomento Economico Mexicano S.A. de C.V., UBD Units...... 840,900 3,752,117
Grupo Financiero Banamex Accival S.A. (b)............... 860,700 3,450,063
Grupo Financiero Banamex Accival S.A., Series L (b)..... 510 1,964
Grupo Financiero Bancomer S.A. de C.V. (b).............. 6,348,000 2,651,696
Grupo Imsa S.A. de C.V. ................................ 461,000 875,316
Grupo Imsa S.A. de C.V., ADR............................ 5,300 90,762
Grupo Televisa S.A., GDR (b)............................ 34,800 2,375,100
Grupo Televisa S.A., Series CPO (b)..................... 85,162 2,874,667
Nuevo Grupo Iusacell S.A. (b)........................... 56,321 841,295
Organizacion Soriana S.A. (b)........................... 302,700 1,388,972
Telefonos de Mexicano S.A., Series L.................... 547,497 3,060,901
Telefonos de Mexicano S.A., Series L, ADR............... 145,000 16,312,500
------------
48,706,940
------------
Peru - 1.37%
Cementos Lima S.A....................................... 20,998 345,582
Cerveceria Backus & Johnston S.A., T Shares............. 994,329 413,360
Cia de Minas Buenaventura S.A., A Shares................ 15,836 126,030
Cia de Minas Buenaventura S.A., ADR..................... 5,800 93,162
Credicorp, Ltd. ........................................ 197,595 2,371,140
Ferreyros S.A. ......................................... 950,567 514,259
Ferreyros S.A., 144A, ADR............................... 12,761 138,074
Telefonica del Peru S.A., ADR........................... 119,600 1,599,650
Telefonica del Peru S.A., B Shares...................... 844,115 1,098,407
------------
6,699,664
------------
Philippines - 3.22%
Ayala Land, Inc., Class B............................... 4,126,200 1,075,065
Bank of Philippines Islands............................. 82,800 238,333
Benpres Holdings Corp. (b).............................. 5,188,000 785,280
Equitable PCIBank....................................... 84,000 186,551
Far East Bank & Trust................................... 93,000 173,077
Filivest Land, Inc. (b)................................. 6,245,100 635,358
Hi Cement Corp. (b)..................................... 8,086,000 264,852
International Container Terminal Services, Inc. (b)..... 5,585,000 505,837
Manila Electric Co., Class B............................ 560,325 1,598,942
Metro Pacific Corp. (b)................................. 9,883,000 284,473
Metropolitan Bank & Trust Co. .......................... 421,600 3,033,846
Petron Corp. ........................................... 7,917,000 628,645
Phillippine Long Distance Telephone Co. ................ 135,390 3,443,542
Queenbee Res Corp. (b).................................. 1,399,000 590,149
San Miguel Corp., Class B............................... 517,520 731,976
SM Prime Holdings, Inc. ................................ 8,315,300 1,568,146
------------
15,744,072
------------
</TABLE>
90
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BRINSON EMERGING MARKETS EQUITY FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1999
<TABLE>
<CAPTION>
Shares Value
---------- -----------
<S> <C> <C>
Poland - 2.91%
Bank Handlowy w Warszawie............................... 3,500 $ 51,824
Bank Handlowy w Warszawie GDR (b)....................... 47,500 703,323
Bank Rozwoju Eksportu S.A. ............................. 48,544 1,536,054
Elektrim Spolka Akcyjna S.A. (b)........................ 71,607 709,151
KGHM Polska Miedz S.A. ................................. 26,070 163,725
KGHM Polska Miedz S.A., GDR............................. 73,500 923,189
Kredyt Bank S.A. (b).................................... 17,000 77,814
Kredyt Bank S.A., GDR (b)............................... 17,100 396,720
Orbis Un Sponsored (b).................................. 1,092 9,443
Orbis Un Sponsored ADR (b).............................. 67,000 502,500
Polski Koncern Naftowy S.A. (b)......................... 75,200 457,739
Polski Koncern Naftowy S.A., GDR (b).................... 61,000 742,614
Polski Koncern Naftowy S.A., W/I, GDR (b)............... 190,950 2,386,875
Prokom Software S.A. ................................... 7,297 225,608
Prokom Software S.A., GDR............................... 34,700 539,585
Softbank S.A. .......................................... 22,000 733,333
Telekomunikacja Polska S.A. ............................ 50,300 329,259
Telekomunikacja Polska S.A., GDR, 144A.................. 131,000 857,513
Telekomunikacja Polska S.A., REGS, GDR (b).............. 424,000 2,703,000
Zaklady Piwowarskie w Zywcu S.A. ....................... 1,552 136,831
-----------
14,186,100
-----------
Romania - 0.16%
Romanian Investment Fund (b) 1,950 780,000
-----------
Russia - 1.82%
Borskoie Glass Co. (b).................................. 5,500 13,750
Framlington Russia Investment Fund (b).................. 9,721 19,442
Gaz Auto Plant (b)...................................... 4,000 140,000
Gaz Auto Plant, Preferred (b)........................... 10,000 79,564
Gazprom ADR (b)......................................... 34,000 288,150
Kirowsky Shinniy (b).................................... 11,000 16,410
Krasny Oktyabr (RED October) RDC (b).................... 15,000 30,000
LUKoil Holding Co. (b).................................. 59,000 767,000
LUKoil Holding Co., ADR................................. 41,350 2,150,200
Norilsk Nickel (b)...................................... 72,000 504,000
Surgutneftegaz Preferred (b)............................ 23,200,000 2,540,400
Surgutneftegaz Preferred ADR (b)........................ 65,620 1,115,540
Unified Energy Systems.................................. 10,400,000 1,248,000
Yuganskneftegaz (b)..................................... 10,000 3,200
-----------
8,915,656
-----------
South Africa - 7.41%
ABSA Group Ltd. ........................................ 331,200 1,484,551
Anglo American Platinum Corp., Ltd. .................... 84,100 2,554,072
Anglo American PLC...................................... 17,475 1,126,687
Anglogold Ltd. ......................................... 30,217 1,553,667
Bidvest Group Ltd. ..................................... 98,989 966,178
</TABLE>
91
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BRINSON EMERGING MARKETS EQUITY FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1999
<TABLE>
<CAPTION>
Shares Value
--------- -----------
<S> <C> <C>
South Africa - (continued)
BOE Corp., N Shares...................................... 110,748 $ 83,994
BOE Ltd. ................................................ 1,164,265 1,134,485
Compagnie Financiere Richmont AG Depository.............. 57,500 1,421,275
De Beers Consolidated Mines.............................. 145,133 4,219,051
Dimension Data Holdings Ltd. (b)......................... 398,755 2,499,707
FirstRand Ltd. .......................................... 1,530,500 2,187,316
Impala Platinum Holdings Ltd. ........................... 34,900 1,411,303
Investec Bank Ltd. ...................................... 26,700 1,183,776
Liberty Life Association of Africa Ltd. ................. 79,394 915,465
Metro Cash & Carry Ltd. ................................. 833,000 946,975
Nedcor Investment Bank Holdings Ltd. (b)................. 96,965 60,628
Nedcor Ltd. ZAR CMN...................................... 96,965 2,157,402
Old Mutual PLC (b)....................................... 325,500 853,727
Old Mutual Saga Fund (b)................................. 28,699 1,298,784
Pick 'n Pay Stores Ltd. ................................. 469,700 800,950
Rembrandt Group Ltd. .................................... 186,500 1,774,892
Sanlam Ltd. ............................................. 1,236,300 1,726,704
Sasol Ltd. ZAR CMN....................................... 212,012 1,738,791
South African Breweries PLC.............................. 202,700 2,060,742
-----------
36,161,122
-----------
Taiwan - 5.89%
Accton Technology Corp. (b).............................. 32,100 109,048
Acer Inc. ............................................... 170,000 704,944
Advanced Semiconductor Engineering, Inc. (b)............. 199,000 710,941
Ambit Microsystems Corp. ................................ 82,000 609,442
Asustek Computer, Inc. (b)............................... 73,800 779,196
Bank Sinopac............................................. 1,033,000 609,585
Cathay Life Insurance Co. ............................... 593,950 1,430,406
China Development Corp. (b).............................. 391,000 623,604
China Motor Co., Ltd. ................................... 12,050 12,146
China Steel Corp. ....................................... 1,735,050 1,283,992
Chinatrust Commercial Bank (b)........................... 801,440 933,096
Compal Electronics....................................... 182,182 613,085
Compeq Manufacturing Co., Ltd. (b)....................... 147,000 801,818
Far Eastern Textile Ltd. ................................ 560,030 1,339,785
Formosa Plastics Corp. .................................. 475,950 948,864
Hon Hai Precision Industry (b)........................... 197,800 1,476,402
Hua Nan Commercial Bank (b).............................. 478,000 600,740
Nan Ya Plastics Corp. ................................... 909,110 2,000,912
Quanta Computer Inc. .................................... 80,840 634,343
Ritek Corp. (b).......................................... 69,000 418,182
Siliconware Precision Industries Co. (b)................. 290,000 740,032
Taiwan Semiconductor Manufacturing Co. (b)............... 967,420 5,153,402
United Microelectronics Corp., Ltd. ..................... 1,027,000 3,669,027
United World Commercial Bank............................. 715,280 864,724
Winbond Electronics Corp. (b)............................ 303,000 720,048
</TABLE>
92
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- --------------------------------------------------------------------------------
December 31, 1999
<TABLE>
<CAPTION>
Shares Value
---------- --------------
<S> <C> <C>
Taiwan - (continued)
Yageo Corporation................................... 392,000 $ 463,898
Zyxel Communications Corp. (b)...................... 204,000 510,813
--------------
28,762,475
--------------
Thailand - 3.60%
ABN Amro Asia Securities Public Co., Ltd. .......... 55,800 104,695
Advance Agro Public Co., Ltd. ...................... 211,200 106,794
Advanced Info Service Public Co., Ltd. (Frgn.)...... 90,300 1,518,818
Arisaig MCL Thai Recovery Fund...................... 82,508 1,337,455
Bangkok Bank Public Co., Ltd. (b)................... 500,000 1,264,138
Bangkok Expressway Public Co., Ltd. (b)............. 253,300 121,341
Bank of Ayudhya PLC................................. 806,900 343,590
BEC World Public Co., Ltd. (Frgn.).................. 87,800 621,552
Capital Nomura Securities Public Co., Ltd. (Frgn.).. 50,000 86,494
Delta Electronics Public Co., Ltd. (Frgn.).......... 33,815 403,170
Electricity Generating Public Co., Ltd. (Frgn.)
(b)................................................ 113,100 140,717
Golden Land Property................................ 100,000 36,593
Hana Microelectronics (Frgn.) (b)................... 28,300 136,322
Industrial Finance Corp. of Thailand................ 492,500 242,482
Italian-Thai Development Public Co., Ltd. (b)....... 68,400 76,455
KGI Securities One Public Co., Ltd. ................ 1,233,000 180,479
Land & House PLC (Frgn.)............................ 212,800 202,464
National Finance & Securities (Frgn.) (b)........... 452,200 201,580
National Petrochemical Public Co., Ltd. ............ 281,600 307,268
PTT Exploration & Production Public Co., Ltd. (b)... 125,300 773,642
Quality House Public Co., Ltd. ..................... 90,800 15,707
Regional Container Lines............................ 56,400 76,551
Ruam Pattana Fund II (Frgn.) (b).................... 15,000,000 2,554,890
Ruang Khao Fund (b)................................. 1,549,000 280,325
Ruang Khao High Income Fund (b)..................... 789,500 73,750
Seamico Securities Public Co., Ltd. (b)............. 16,300 19,955
Seamico Securities Public Co., Ltd., Warrants (b)... 4,075 2,440
Siam Cement Public Co., Ltd. (b).................... 32,600 1,086,233
Siam Cement Public Co., Ltd. (Frgn.)................ 82,000 440,825
Siam Commercial Bank Public Co., Ltd. .............. 158,200 194,724
Siam Commercial Bank Public Co., Ltd., Preferred
(b)................................................ 835,000 1,022,222
Siam Commercial Bank Public Co., Ltd., Warrants
(b)................................................ 123,000 56,876
Siam Panich Leasing Ltd. ........................... 120,000 105,389
Siam Panich Leasing Ltd., Warrants (b).............. 40,000 --
TelecomAsia Corp. Public Co., Ltd. (Frgn.) (b)...... 810,600 1,057,070
Thai Euro Fund (b).................................. 26,000 231,400
Thai Farmers Bank Public Co., Ltd. (Frgn.) (b)...... 552,800 926,850
Thai Petrochemical Industry Public Co., Ltd. ....... 959,800 447,013
Thailand International Fund......................... 23 226,550
United Broadcasting Corp. Public Co., Ltd. ......... 347,800 349,420
United Communication Industry PLC (Frgn.)........... 218,700 218,263
--------------
17,592,502
--------------
</TABLE>
93
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- --------------------------------------------------------------------------------
December 31, 1999
<TABLE>
<CAPTION>
Shares Value
----------- -----------
<S> <C> <C>
Turkey - 6.92%
Akcansa Cimento........................................ 64,000,000 $ 1,445,428
Aksa Akrilik Kimya Sanayii A.S. (b).................... 22,075,000 1,037,818
Alcatel Telekomunikasyon............................... 9,342,500 2,066,925
Arcelik A.S. .......................................... 33,050,000 2,163,118
Carsi Buyuk Magazacilik A.S. (b)....................... 12,611,750 1,534,615
Cukurova Elektrik A.S. ................................ 374,000 448,193
Efes Sinai Yatrim Holding A.S. (b)..................... 2,210,000 33,818
EGS Gayrimenkul Yatirim, B Shares (b).................. 81,134,780 1,151,803
Eregli Demir Ve Celik Fabrikalari T.A.S. (b)........... 38,480,000 1,596,239
Migros Turk T.A.S. .................................... 2,454,000 1,583,518
Turk Sise Ve Cam Fabrikalari A.S....................... 59,872,534 1,600,575
Turkiye Garanti Bankasi A.S. (b)....................... 180,242,444 2,724,904
Turkiye Is Bankasi, Class C............................ 193,665,000 9,283,352
Vestel Elektronik Sanayi ve Ticaret A.S. (b)........... 5,100,000 1,222,345
Yapi Ve Kredi Bankasi A.S. ............................ 190,825,630 5,892,937
-----------
33,785,588
-----------
Venezuela - 0.01%
Ceramica Carabobo, Class B, ADR (b).................... 17,794 26,057
-----------
Regional - 0.54%
Central Asia Regional Growth Fund (b).................. 97,150 121,438
Firebird Republics Fund (b)............................ 10,288 655,493
First NIS Regional Fund................................ 13,000 61,750
Peregrine Kazakhstan Fund (b).......................... 160,000 100,800
Regent Balkan Fund (b)................................. 115,000 345,000
Societe Generale Arab Fund (b)......................... 16,000 928,000
Societe Generale Ladenburg Thalmann (b)................ 13,334 426,688
-----------
2,639,169
-----------
Total Equities (Cost $346,781,461)..................... 454,417,308
-----------
</TABLE>
94
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1999
<TABLE>
<CAPTION>
Face
Amount Value
------------- ------------
<S> <C> <C>
Global (Ex-U.S.) Bonds - 0.31%
Russia - 0.07%
Russia Federal Loan Bond, 0.000%, due 12/15/01.... RUB 6,189,000 53,084
Russia Federal Loan Bond, 25.000%, due 02/06/02.... 1,805,370 25,269
Russia Federal Loan Bond, 25.000%, due 05/22/02.... 1,805,370 23,447
Russia Federal Loan Bond, 25.000%, due 06/05/02.... 1,805,370 23,722
Russia Federal Loan Bond, 25.000%, due 09/18/02.... 1,805,370 22,503
Russia Federal Loan Bond, 25.000%, due 10/09/02.... 1,805,370 21,756
Russia Federal Loan Bond, 25.000%, due 01/22/03.... 1,805,370 21,520
Russia Federal Loan Bond, 25.000%, due 02/05/03.... 1,805,370 21,520
Russia Federal Loan Bond, 25.000%, due 05/21/03.... 1,805,370 20,544
Russia Federal Loan Bond, 25.000%, due 06/04/03.... 1,805,370 20,917
Russia Federal Loan Bond, 25.000%, due 09/17/03.... 1,805,370 20,492
Russia Federal Loan Bond, 25.000%, due 10/08/03.... 1,805,370 19,653
Russia Federal Loan Bond, 25.000%, due 01/21/04.... 1,805,370 18,722
------------
313,149
------------
Convertible Bonds - 0.24%
China - 0.07%
Qingling Motors Co., 3.500%, due 01/22/02.......... $ 1,075,000 $ 290,572
Qingling Motors Co., 144A, 3.500%, due 01/22/02.... 100,000 27,030
------------
317,602
------------
Poland - 0.17%
Elektrim S.A. Regis Convertible, 2.000%, due
05/30/04.......................................... PLN 792,502 846,037
------------
1,163,639
------------
Total Bonds (Cost $7,152,896)...................... 1,476,788
------------
<CAPTION>
Shares
-------------
<S> <C> <C>
Short Term Investments - 4.78%
Investment Companies - 4.78%
Brinson Supplementary Trust U.S. Cash Management
Prime Fund (Cost $23,338,964)..................... 23,338,964 23,338,964
------------
Total Investments (Cost $377,273,321) - 98.14%
(a)............................................... 479,233,060
Cash and other assets, less liabilities - 1.86%.... 9,100,273
------------
Net Assets - 100%.................................. $488,333,333
============
</TABLE>
See accompanying notes to schedule of investments.
95
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1999
NOTES TO SCHEDULE OF INVESTMENTS
(a) Aggregate cost for federal income tax purposes was $377,273,321; and net
unrealized appreciation consisted of:
<TABLE>
<S> <C>
Gross unrealized appreciation............. $135,453,248
Gross unrealized depreciation............. (33,493,509)
------------
Net unrealized appreciation........... $101,959,739
============
</TABLE>
(b)Non-income producing security.
(c) Denominated in U.S. dollars
ADR: American Depositary Receipt
GDR:Global Depositary Receipt
PLN: Polish Zloty
RUB: Russian Ruble
144A: Security exempt from registration under Rule 144A of the Securities Act
of 1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. At December 31,
1999, the value of these securities amounted to $2,184,962 or 0.45% of
net assets.
EQUITY SWAP CONTRACTS
The Brinson Emerging Markets Equity Fund has entered into equity swap contracts
as of December 31, 1999. These swaps serve to reduce the Fund's exposure to
short-term investments, as a percentage of net assets, from 4.78% to 0.29% and
increase the Fund's exposure to various countries. The following reflects the
open swap positions as of December 31, 1999, aggregated by country exposure.
<TABLE>
<S> <C> <C> <C> <C> <C>
Notional Net Unrealized
Amounts Maturity Dates Country Gain Exposure
------------ ------------------- ------- -------------- --------
$18,909,173 02/15/00 - 11/16/00 Taiwan $4,595,346 4.81%
3,000,026 11/6/2000 India 604,519 0.74%
------------ -------------- --------
$21,909,199 $5,199,865 5.55%
============ ============== ========
</TABLE>
See accompanying notes to financial statements.
96
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 1999
<TABLE>
<S> <C>
ASSETS:
Investments, at value:
Unaffiliated issuers (Cost $353,934,357)..................... $ 455,894,096
Affiliated issuers (Cost $23,338,964)........................ 23,338,964
Cash.......................................................... 203,163
Foreign currency, at value (Cost $2,928,338).................. 3,147,402
Receivables:
Investment securities sold................................... 309,909
Dividends.................................................... 716,700
Interest..................................................... 142,186
Net unrealized appreciation on equity swap contracts.......... 5,199,865
--------------
TOTAL ASSETS............................................... 488,952,285
--------------
LIABILITIES:
Payables:
Country tax.................................................. 315,491
Fund shares redeemed......................................... 94,328
Accrued expenses............................................. 209,133
--------------
TOTAL LIABILITIES.......................................... 618,952
--------------
NET ASSETS:
Applicable to 42,083,664 shares; no par value, unlimited
shares authorized............................................ $ 488,333,333
==============
Net asset value per share ($488,333,333 / 42,083,664 shares).. $ 11.6039
==============
Maximum offering price per share (net asset value, plus 1.52%
of net asset value, or 1.50% of offering price).............. $ 11.7803
==============
Redemption price per share (net asset value, less 1.50% of net
asset value, or 1.52% of redemption value)................... $ 11.4298
==============
NET ASSETS CONSIST OF:
Paid in capital............................................... $ 445,471,609
Accumulated net investment income............................. 37,940,018
Accumulated net realized loss................................. (102,147,533)
Net unrealized appreciation................................... 107,069,239
--------------
NET ASSETS................................................. $ 488,333,333
==============
</TABLE>
See accompanying notes to financial statements.
97
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 1999
<TABLE>
<S> <C>
INVESTMENT INCOME:
Dividends (net of $309,182 for foreign taxes withheld)......... $ 6,796,279
Interest (net of $359 for foreign taxes withheld).............. 1,978,529
-------------
TOTAL INCOME................................................ 8,774,808
-------------
EXPENSES:
Custodian...................................................... 1,518,626
Administration................................................. 249,233
Professional................................................... 168,536
Other.......................................................... 50,047
-------------
TOTAL EXPENSES.............................................. 1,986,442
Earnings credits............................................ (27,124)
-------------
NET EXPENSES................................................ 1,959,318
-------------
NET INVESTMENT INCOME....................................... 6,815,490
-------------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments................................................... 40,676,829
Equity swap contracts......................................... 10,910,808
Foreign currency transactions................................. (1,817,917)
-------------
Net realized gain............................................ 49,769,720
-------------
Change in net unrealized appreciation or depreciation on:
Investments and foreign currency.............................. 163,984,324
Equity swap contracts......................................... 1,162,958
Translation of other assets and liabilities denominated in
foreign currency............................................. (337,213)
-------------
Change in net unrealized appreciation or depreciation........ 164,810,069
-------------
Net realized and unrealized gain............................... 214,579,789
-------------
Net increase in net assets resulting from operations........... $221,395,279
=============
</TABLE>
See accompanying notes to financial statements.
98
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Year Ended Year Ended
December 31, December 31,
1999 1998
-------------- --------------
<S> <C> <C>
OPERATIONS:
Net investment income.......................... $ 6,815,490 $ 17,761,658
Net realized gain (loss)....................... 49,769,720 (140,050,763)
Change in net unrealized appreciation or
depreciation.................................. 164,810,069 26,289,884
-------------- --------------
Net increase (decrease) in net assets resulting
from operations............................... 221,395,279 (95,999,221)
-------------- --------------
CAPITAL SHARE TRANSACTIONS:
Shares sold.................................... 44,691,727 168,513,076
Shares redeemed................................ (184,479,724) (117,661,142)
-------------- --------------
Net increase (decrease) in net assets resulting
from capital share transactions (a)........... (139,787,997) 50,851,934
-------------- --------------
TOTAL INCREASE (DECREASE) IN NET ASSETS..... 81,607,282 (45,147,287)
-------------- --------------
</TABLE>
<TABLE>
<S> <C> <C>
NET ASSETS:
Beginning of period............................... 406,726,051 451,873,338
------------- -------------
End of period (including accumulated net
investment income of $37,940,018 and $31,124,528,
respectively).................................... $488,333,333 $406,726,051
============= =============
(a) A summary of capital share transactions
follows:
</TABLE>
<TABLE>
<CAPTION>
Shares Shares
----------- -----------
<S> <C> <C>
Shares sold.......................................... 5,232,604 22,326,797
Shares redeemed...................................... (21,249,432) (13,538,648)
----------- -----------
Net increase (decrease) in shares outstanding....... (16,016,828) 8,788,149
=========== ===========
</TABLE>
See accompanying notes to financial statements.
99
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
The table below sets forth financial data for one share of capital stock
outstanding throughout each period presented.
<TABLE>
<CAPTION>
Year Ended December 31, Period Ended
------------------------------------------ December 31,
1999 1998 1997 1996 1995*
--------- --------- --------- --------- ------------
<S> <C> <C> <C> <C> <C>
Net asset value,
beginning of period... $7.0004 $ 9.1635 $10.1862 $ 9.3164 $10.0000
--------- --------- --------- --------- ---------
Income (loss) from
investment operations:
Net investment income
..................... 0.3658 0.2647 0.2561** 0.1810 0.1028
Net realized and
unrealized gain
(loss)............... 4.2377 (2.4278) (1.2788) 0.6888 (0.7864)
--------- --------- --------- --------- ---------
Total income (loss)
from investment
operations.......... 4.6035 (2.1631) (1.0227) 0.8698 (0.6836)
--------- --------- --------- --------- ---------
Net asset value, end of
period................ $11.6039 $ 7.0004 $ 9.1635 $10.1862 $ 9.3164
========= ========= ========= ========= =========
Total return
(non-annualized)...... 65.76% (23.61)% (10.04)% 9.34% (6.84)%
Ratios/Supplemental
data
Net assets, end of
period
(in 000s)............ $488,333 $406,726 $451,873 $179,338 $ 90,129
Ratio of gross
expenses to average
net assets........... 0.47% 0.38% 0.28% 0.46% 0.50%***
Ratio of net
investment income to
average net assets... 1.62% 4.13% 2.44% 3.42% 3.86%***
Portfolio turnover
rate................. 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.
See accompanying notes to financial statements.
100
<PAGE>
BRINSON SHORT/INTERMEDIATE FIXED INCOME FUND
- --------------------------------------------------------------------------------
The Brinson Short/Intermediate Fixed Income Fund was launched in December of
1998 to provide our clients with another vehicle for accessing our short
duration portfolio management capabilities. In selecting issues for the Brinson
U.S. Short/Intermediate Fixed Income Fund, we incorporate our analysis of
interest rate sensitivity, maturity mix, sector valuation and individual
securities. We invest the Fund in investment-grade (high quality) marketable
and short/intermediate debt securities, and maintain the Fund's overall
maturity exposure in a range of six months to two years. Our strategies attempt
to take advantage of undervalued segments of the yield curve, as well as to add
value through specific security selection. The Fund's benchmark is comprised of
50% U.S. LIBID (3 Month) and 50% Merrill Lynch 1-3 Year U.S. Treasury Index.
Over the short period (12 months) since the Fund's inception, it has returned
4.08% versus the 4.27% return of its benchmark. The Fund outperformed the index
over the first six months of the year, but gave up ground in the volatile
conditions that characterized the latter half of 1999.
Throughout the past year, wide credit spreads and a steeper credit curve
provided relative value opportunities in various sectors. Spread volatility was
high as the two-year swap spread ranged from 40-75 basis points, finishing the
year around 55 basis points. The widest yield spreads of the year occurred in
the third quarter due to massive corporate issuance surrounding Y2K concerns
and dealers wishing to lighten their inventory. Floating rate notes were added
at attractive values at that time, which helped enhance performance.
Additionally, a barbelled strategy was implemented to take advantage of the
steeper credit curve and potential corporate credit upgrades.
101
<PAGE>
BRINSON U.S. SHORT/INTERMEDIATE FIXED INCOME FUND
- --------------------------------------------------------------------------------
Total Return
<TABLE>
<CAPTION>
6 Months 12/31/98*
Ended to
12/31/99 12/31/99
- ---------------------------------------------------------------------
<S> <C> <C>
Brinson U.S. Short/Intermediate Fixed Income Fund 1.90% 4.08%
- ---------------------------------------------------------------------
Short/Intermediate Fund Custom Benchmark** 2.39 4.27
- ---------------------------------------------------------------------
Merrill Lynch 1-3 year U.S. Treasury Index 1.87 3.06
- ---------------------------------------------------------------------
U.S. 3 month LIBID (London Inter Bank bid rate) 2.92 5.48
- ---------------------------------------------------------------------
</TABLE>
* Performance inception date of the Brinson U.S. Short/Intermediate Fixed
Income Fund
** An unmanaged index compiled by the Advisor, constructed as follows: 50% U.S.
3 month LIBID (London Inter Bank bid rate); and 50% Merrill Lynch 1-3 year
U.S. Treasury Index.
Illustration of an Assumed Investment of $100,000
This chart shows the growth in the value of an investment in the Brinson U.S.
Short/Intermediate Fixed Income Fund, the Short/Intermediate Fund Custom
Benchmark, the Merrill Lynch 1-3 year U.S. Treasury Index and the U.S. 3 month
LIBID if you had invested $100,000 on December 31, 1998. Past performance is no
guarantee of future results. Share price and return will vary with market
conditions; investors may realize a gain or loss upon redemption.
Brinson U.S. Short/Intermediate Fixed Income Fund vs. Short/Intermediate Fund
Custom Benchmark, Merrill Lynch 1-3 year U.S. Treasury Index and U.S. 3 month
LIBID
[GRAPH]
Brinson
U.S. Short/ Short/ Merrill Lynch
Intermediate Intermediate 1-3 year
Fixed Income Fund Custom U.S. Treasury U.S. 3
Fund Benchmark Index month LIBID
12/31/98 100,000 100,000 100,000 100,000
1/31/99 100,522 100,411 100,396 100,425
2/28/99 100,647 100,355 99,906 100,804
3/31/99 101,451 100,915 100,600 100,229
4/30/99 101,825 101,283 100,924 100,641
5/31/99 101,811 101,463 100,860 102,066
6/30/99 102,142 101,830 101,174 102,487
7/31/99 102,451 102,221 101,495 102,949
8/31/99 102,699 102,598 101,788 103,412
9/30/99 103,325 103,162 102,450 103,877
10/31/99 103,730 103,564 102,723 104,410
11/30/99 104,259 103,924 102,917 104,937
12/31/99 104,078 104,266 103,064 105,478
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.
102
<PAGE>
BRINSON U.S. SHORT/INTERMEDIATE FIXED INCOME FUND
- --------------------------------------------------------------------------------
INDUSTRY DIVERSIFICATION
As a Percent of Net Assets
As of December 31, 1999
<TABLE>
<S> <C>
U.S. BONDS
Corporate Bonds
Energy................................................................. 12.38%
Financial Services..................................................... 14.63
Services/Miscellaneous................................................. 14.65
Utilities.............................................................. 18.78
-------
Total U.S. Corporate Bonds............................................ 60.44
International Dollar Bonds............................................. 14.91
U.S. Government Obligations............................................ 19.04
-------
Total U.S. Bonds...................................................... 94.39
SHORT-TERM INVESTMENTS.................................................. 3.22
-------
TOTAL INVESTMENTS..................................................... 97.61
CASH AND OTHER ASSETS, LESS LIABILITIES................................. 2.39
-------
NET ASSETS............................................................ 100.00%
=======
</TABLE>
103
<PAGE>
BRINSON U.S. SHORT/INTERMEDIATE FIXED INCOME FUND
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1999
<TABLE>
<CAPTION>
Face
Amount Value
------------- -------------
<S> <C> <C>
Bonds - 94.39%
U.S. Bonds - 94.39%
U.S. Corporate Bonds - 60.44%
Bombardier Capital, Inc., 144A, 6.000%, due
01/15/02......................................... $ 300,000 $ 292,403
Enron Corp., 6.450%, due 11/15/01................. 250,000 247,022
Textron Financial Corp., Series C, MTN, 5.840%,
due 02/19/02..................................... 300,000 291,871
Williams Cos., 144A, 5.950%, due 02/15/00......... 375,000 374,745
-------------
1,206,041
-------------
U.S. Government Obligations - 19.04%
U.S. Treasury Notes, 5.625%, due 04/30/00......... 380,000 379,881
-------------
International Dollar Bonds - 14.91%
Tyco International Ltd., 6.500%, due 11/01/01..... 300,000 297,517
-------------
Total Bonds (Cost $1,912,321)..................... 1,883,439
-------------
<CAPTION>
Shares
-------------
<S> <C> <C>
Short-Term Investments - 3.22%
Investment Companies - 3.22%
Brinson Supplementary Trust U.S. Cash Management
Prime Fund (Cost $64,248)........................ 64,248 64,248
-------------
Total Investments (Cost $1,976,569) - 97.61% (a).. 1,947,687
Cash and other assets, less liabilities - 2.39%... 47,775
-------------
Net Assets - 100%................................. $ 1,995,462
=============
</TABLE>
NOTES TO SCHEDULE OF INVESTMENTS
(a) Aggregate cost for federal income tax purposes was $1,976,569; and net
unrealized depreciation consisted of:
<TABLE>
<S> <C>
Gross unrealized appreciation............... $ --
Gross unrealized depreciation............... (28,882)
---------
Net unrealized depreciation............. $(28,882)
=========
</TABLE>
144A: Security exempt from registration under Rule 144A of the Securities Act
of 1933. These securities may be resold in transactions exempt from
registration, normally to qualified buyers. At December 31, 1999, the
value of these securities amounted to $667,148 or 33.43% of net assets.
See accompanying notes to financial statements.
104
<PAGE>
BRINSON U.S. SHORT/INTERMEDIATE
FIXED INCOME FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 1999
<TABLE>
<S> <C>
ASSETS:
Investments, at value:
Unaffiliated issuers (Cost $1,912,321)........................... $1,883,439
Affiliated issuers (Cost $64,248)................................ 64,248
Receivables:
Interest......................................................... 57,702
Due from Advisor................................................. 1,381
-----------
TOTAL ASSETS................................................... 2,006,770
-----------
LIABILITIES:
Payables:
Accrued expenses................................................. 11,308
-----------
TOTAL LIABILITIES.............................................. 11,308
-----------
NET ASSETS:
Applicable to 191,686 shares; no par value, unlimited shares
authorized....................................................... $1,995,462
===========
Net asset value, offering price and redemption price per share
($1,995,462 / 191,686 shares).................................... $ 10.4100
===========
</TABLE>
<TABLE>
<S> <C>
NET ASSETS CONSIST OF:
Paid in capital................................................... $ 837,986
Accumulated net investment income................................. 1,573,499
Accumulated net realized loss..................................... (387,141)
Net unrealized depreciation....................................... (28,882)
-----------
NET ASSETS..................................................... $1,995,462
===========
</TABLE>
See accompanying notes to financial statements.
105
<PAGE>
BRINSON U.S. SHORT/INTERMEDIATE
FIXED INCOME FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 1999
<TABLE>
<S> <C>
INVESTMENT INCOME:
Interest.......................................................... $1,510,703
-----------
TOTAL INCOME................................................... 1,510,703
-----------
EXPENSES:
Professional...................................................... 21,839
Trustees.......................................................... 4,585
Custodian......................................................... 1,194
Other............................................................. 1,215
-----------
TOTAL EXPENSES................................................. 28,833
Earnings credits............................................... (150)
Expenses reimbursed by Advisor................................. (26,106)
-----------
NET EXPENSES................................................... 2,577
-----------
NET INVESTMENT INCOME.......................................... 1,508,126
-----------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized loss on:
Investments...................................................... (387,141)
-----------
Change in net unrealized appreciation or depreciation on:
Investments...................................................... 31,223
-----------
Net realized and unrealized loss.................................. (355,918)
-----------
Net increase in net assets resulting from operations.............. $1,152,208
===========
</TABLE>
See accompanying notes to financial statements.
106
<PAGE>
BRINSON U.S. SHORT/INTERMEDIATE
FIXED INCOME FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Year Ended Period Ended
December 31, December 31,
1999 1998*
------------ ------------
<S> <C> <C>
OPERATIONS:
Net investment income.............................. $ 1,508,126 $ 65,373
Net realized loss.................................. (387,141) --
Change in net unrealized appreciation or
depreciation...................................... 31,223 (60,105)
------------ ------------
Net increase in net assets resulting from
operations........................................ 1,152,208 5,268
------------ ------------
CAPITAL SHARE TRANSACTIONS:
Shares sold........................................ 1,960,268 25,001,158
Shares redeemed.................................... (26,123,450) --
------------ ------------
Net increase (decrease) in net assets resulting
from capital share transactions (a)............... (24,163,182) 25,001,158
------------ ------------
TOTAL INCREASE (DECREASE) IN NET ASSETS......... (23,010,974) 25,006,426
------------ ------------
NET ASSETS:
Beginning of period................................ 25,006,436 10
------------ ------------
End of period (including accumulated net investment
income of $1,573,499 and $65,373, respectively)... $ 1,995,462 $25,006,436
============ ============
(a) A summary of capital share transactions follows:
<CAPTION>
Shares Shares
------ ------
<S> <C> <C>
Shares sold........................................ 191,686 2,500,116
Shares redeemed.................................... (2,500,117) --
------------ ------------
Net increase (decrease) in shares outstanding..... (2,308,431) 2,500,116
============ ============
</TABLE>
*The Fund commenced operations December 14, 1998.
See accompanying notes to financial statements.
107
<PAGE>
BRINSON U.S. SHORT/INTERMEDIATE
FIXED INCOME FUND FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
The table below sets forth financial data for one share of capital stock
outstanding throughout each period presented.
<TABLE>
<CAPTION>
Year Ended Period Ended
December 31, December 31,
1999 1998*
------------ ------------
<S> <C> <C>
Net asset value, beginning of period................ $10.0021 $10.0000
--------- ---------
Income from investment operations:
Net investment income.............................. 0.6000** 0.0262
Net realized and unrealized loss................... (0.1921) (0.0241)
--------- ---------
Total income from investment operations........... 0.4079 0.0021
--------- ---------
Net asset value, end of period...................... $10.4100 $10.0021
========= =========
Total return (non-annualized)....................... 4.08% 0.02%
Ratios/Supplemental data
Net assets, end of period (in 000s)................ $ 1,995 $ 25,006
Ratio of expenses to average net assets:
Before expense reimbursement and earnings
credits.......................................... 0.11% 0.01%***
After expense reimbursement and earnings credits.. 0.01% N/A
Ratio of net investment income to average net
assets............................................
Before expense reimbursement and earnings
credits.......................................... 5.75% 5.31%***
After expense reimbursement and earnings credits.. 5.85% N/A
Portfolio turnover rate............................ 131% 0%
</TABLE>
* The Fund commenced operations December 14, 1998.
** The net investment income per share data was determined by using average
shares outstanding throughout the period.
*** Annualized
N/A=Not Applicable
See accompanying notes to financial statements.
108
<PAGE>
BRINSON U.S. CASH MANAGEMENT PRIME FUND
- --------------------------------------------------------------------------------
The objective of the Brinson U.S. Cash Management Prime Fund attempts 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 30-day U.S. London Interbank
Bid Rate (LIBID).
Since the Fund's performance inception on February 28, 1998, it has produced an
annualized return of 5.49%. These results are similar to the benchmark, which
has returned 5.50% over the same period. For the most recent one-year period,
the Fund has returned 5.34% versus 5.31% for the benchmark.
Short-term interest rates rose steadily throughout the year. For example, the
Federal Funds rate, the one-year U.S. T-bill and the two-year U.S. T-note rose
75, 135 and 165 basis points, respectively. Strong economic growth, strong
equity and asset markets, and low unemployment led to inflation concerns.
Though inflation rose only modestly, the credit market anticipated and saw
tighter monetary policy from the Federal Reserve to address the potential for
an increase in inflation.
The performance in 1999 was achieved by a large exposure to corporate
securities throughout the year, including commercial paper, loan
participations, and master notes. Higher liquidity than average was maintained
in the second half of the year due to year-end uncertainties and expectations
of further Federal Reserve Board monetary tightening in 2000.
109
<PAGE>
BRINSON U.S. CASH MANAGEMENT PRIME FUND
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1999
<TABLE>
<CAPTION>
Shares Value
----------- ------------
<S> <C> <C>
Investment Companies - 99.69%
Brinson Supplementary Trust U.S. Cash Management
Prime Fund (Cost $522,161,380)...................... 522,161,380 $522,161,380
Cash and other assets, less liabilities - 0.31%...... 1,624,471
------------
Net Assets - 100%.................................... $523,785,851
============
</TABLE>
See accompanying notes to financial statements.
110
<PAGE>
BRINSON U.S. CASH MANAGEMENT PRIME FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
December 31, 1999
<TABLE>
<S> <C>
ASSETS:
Investments in affiliates, at value (Cost $522,161,380)......... $522,161,380
Receivables:
Interest....................................................... 2,614,895
-------------
TOTAL ASSETS................................................. 524,776,275
-------------
LIABILITIES:
Payables:
Dividends...................................................... 989,361
Accrued expenses............................................... 1,063
-------------
TOTAL LIABILITIES............................................ 990,424
-------------
NET ASSETS:
Applicable to 523,785,851 shares; no par value, unlimited shares
authorized..................................................... $523,785,851
=============
Net asset value, offering price and redemption price per share
($523,785,851 / 523,785,851 shares)............................ $ 1.0000
=============
NET ASSETS CONSIST OF:
Paid in capital................................................. $523,785,851
-------------
NET ASSETS................................................... $523,785,851
=============
</TABLE>
See accompanying notes to financial statements.
111
<PAGE>
BRINSON U.S. CASH MANAGEMENT PRIME FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 1999
<TABLE>
<S> <C>
INVESTMENT INCOME:
Interest.......................................................... $24,448,587
------------
TOTAL INCOME................................................... 24,448,587
------------
EXPENSES:
Professional...................................................... 25,308
Printing.......................................................... 7,528
Trustees.......................................................... 6,423
Other............................................................. 7,516
------------
TOTAL EXPENSES................................................. 46,775
------------
NET INVESTMENT INCOME.......................................... $24,401,812
============
</TABLE>
See accompanying notes to financial statements.
112
<PAGE>
BRINSON U.S. CASH MANAGEMENT PRIME FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Year Ended Period Ended
December 31, December 31,
1999 1998*
---------------- --------------
<S> <C> <C>
OPERATIONS:
Net investment income....................... $ 24,401,812 $ 11,557,385
Net realized loss........................... -- (844)
---------------- --------------
Net increase in net assets resulting from
operations................................. 24,401,812 11,556,541
---------------- --------------
DISTRIBUTIONS:
Net investment income....................... (24,400,968) (11,557,385)
---------------- --------------
CAPITAL SHARE TRANSACTIONS:
Shares sold................................. 1,517,054,742 905,743,780
Shares reinvested........................... 8,163,336 591,582
Shares redeemed............................. (1,300,657,284) (607,110,306)
---------------- --------------
Net increase in net assets resulting from
capital share transactions (a)............. 224,560,794 299,225,056
---------------- --------------
TOTAL INCREASE IN NET ASSETS............. 224,561,638 299,224,212
---------------- --------------
NET ASSETS:
Beginning of period......................... 299,224,213 1
---------------- --------------
End of period............................... $ 523,785,851 $ 299,224,213
================ ==============
(a) A summary of capital share transactions
follows:
<CAPTION>
Shares Shares
---------------- --------------
<S> <C> <C>
Shares sold................................. 1,517,054,742 905,743,780
Shares reinvested........................... 8,163,336 591,582
Shares redeemed............................. (1,300,657,284) (607,110,306)
---------------- --------------
Net increase in shares outstanding......... 224,560,794 299,225,056
================ ==============
</TABLE>
*The Fund commenced operations February 18, 1998.
See accompanying notes to financial statements.
113
<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>
Year Ended Period Ended
December 31, December 31,
1999 1998*
------------ ------------
<S> <C> <C>
Net asset value, beginning of period................. $ 1.0000 $ 1.0000
--------- ---------
Income from investment operations:
Net investment income............................... 0.0521 0.0477
--------- ---------
Total income from investment operations............ 0.0521 0.0477
--------- ---------
Distribution:
Net investment income............................... (0.0521) (0.0477)
--------- ---------
Net asset value, end of period....................... $ 1.0000 $ 1.0000
========= =========
Total return (non-annualized)........................ 5.34% 4.88%
Ratios/Supplemental data
Net assets, end of period (in 000s)................. $523,786 $299,224
Ratio of expenses to average net assets............. 0.01% 0.01%**
Ratio of net investment income to average net
assets............................................. 5.23% 5.52%**
</TABLE>
* The Fund commenced operations February 18, 1998.
** Annualized
See accompanying notes to financial statements.
114
<PAGE>
BRINSON SHORT-TERM FUND
- --------------------------------------------------------------------------------
The objective of the Brinson Short-Term Fund is to maximize total U.S. dollar
return, consisting of capital appreciation and income, without assuming
unnecessary risk. Since the Fund's inception on December 31, 1998, it has
produced a return of 5.56%. These results are slightly above its benchmark,
U.S. 30-Day LIBOR, which has returned 5.44% over the same period.
Short-term interest rates rose steadily throughout the year. For example, the
Federal Funds rate, the one-year U.S. T-bill and the two-year U.S. T-note rose
75, 135 and 165 basis points, respectively. Strong economic growth, strong
equity and asset markets, and low unemployment led to inflation concerns.
Though inflation rose only modestly, the credit market anticipated and saw
tighter monetary policy from the Federal Reserve to address the potential for
an increase in inflation.
The performance in 1999 was achieved by a significant exposure to corporate
securities throughout the year, including commercial paper, loan
participations, and master notes. Higher liquidity than average was maintained
in the second half of the year due to year-end uncertainties and expectations
of further Federal Reserve Board monetary tightening in 2000.
115
<PAGE>
BRINSON SHORT-TERM FUND
- --------------------------------------------------------------------------------
Total Return
<TABLE>
<CAPTION>
6 Months 12/31/98*
Ended to
12/31/99 12/31/99
- -------------------------------------------
<S> <C> <C>
Brinson Short-Term Fund 2.93% 5.56%
- -------------------------------------------
U.S. LIBOR (30 day) 2.85 5.44
- -------------------------------------------
</TABLE>
*Inception date of the Brinson Short-Term Fund.
Illustration of an Assumed Investment of $100,000
This chart shows the growth in the value of an investment in the Brinson Short-
Term Fund and 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
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.
116
<PAGE>
BRINSON SHORT-TERM FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1999
<TABLE>
<CAPTION>
Face
Amount Value
---------- -----------
<S> <C> <C>
Short-Term Investments - 100.12%
Commercial Paper - 100.12%
Centex Corp., 6.550%, due 01/21/00..................... $1,015,000 $1,012,259
Rayonier, Inc., 6.850%, due 01/07/00................... 1,200,000 1,199,280
Sunoco, Inc., 6.500%, due 01/28/00..................... 500,000 498,116
Union Pacific Corp., 6.580%, due 02/04/00.............. 1,000,000 994,729
Vodafone Airtouch Plc, 5.850%, due 02/07/00............ 1,082,000 1,076,151
-----------
Total Short-Term Investments (Cost $4,776,760)......... 4,780,535
-----------
Total Investments (Cost $4,776,760) - 100.12% (a)...... 4,780,535
Liabilities, less cash and other assets - (0.12)%...... (5,586)
-----------
Net Assets - 100%...................................... $4,774,949
===========
</TABLE>
NOTES TO SCHEDULE OF INVESTMENTS
(a) Aggregate cost for federal income tax purposes was $4,776,760; and net
unrealized appreciation consisted of:
<TABLE>
<S> <C>
Gross unrealized appreciation.................. $3,775
Gross unrealized depreciation.................. --
-------
Net unrealized appreciation................ $3,775
=======
</TABLE>
See accompanying notes to financial statements.
117
<PAGE>
BRINSON SHORT-TERM FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 1999
<TABLE>
<S> <C>
ASSETS:
Investments, at value:
Unaffiliated issuers (Cost $4,776,760).......................... $4,780,535
Cash............................................................. 120
Receivables:
Due from Advisor................................................ 1,320
-----------
TOTAL ASSETS.................................................. 4,781,975
-----------
LIABILITIES:
Payables:
Accrued expenses................................................ 7,026
-----------
TOTAL LIABILITIES............................................. 7,026
-----------
NET ASSETS:
Applicable to 452,359 shares; no par value, unlimited shares
authorized...................................................... $4,774,949
===========
Net asset value, offering and redemption price per share
($4,774,949 / 452,359 shares)................................... $ 10.5557
===========
NET ASSETS CONSIST OF:
Paid in capital.................................................. $4,535,323
Accumulated net investment income................................ 235,997
Accumulated net realized loss.................................... (146)
Net unrealized appreciation...................................... 3,775
-----------
NET ASSETS.................................................... $4,774,949
===========
</TABLE>
See accompanying notes to financial statements.
118
<PAGE>
BRINSON SHORT-TERM FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 1999
<TABLE>
<S> <C>
INVESTMENT INCOME:
Interest............................................................ $238,172
---------
TOTAL INCOME..................................................... 238,172
---------
EXPENSES:
Professional........................................................ 9,900
Trustees............................................................ 4,469
Custodian........................................................... 4,216
Other............................................................... 914
---------
TOTAL EXPENSES................................................... 19,499
Earnings credits................................................. (3,807)
Expenses reimbursed by Advisor................................... (13,517)
---------
NET EXPENSES..................................................... 2,175
---------
NET INVESTMENT INCOME............................................ 235,997
---------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized loss on:
Investments........................................................ (146)
Change in net unrealized appreciation or depreciation on:
Investments........................................................ 3,775
---------
Net realized and unrealized gain.................................... 3,629
---------
Net increase in net assets resulting from operations................ $239,626
=========
</TABLE>
See accompanying notes to financial statements.
119
<PAGE>
BRINSON SHORT-TERM FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Year Ended
December 31,
1999*
------------
<S> <C>
OPERATIONS:
Net investment income........................................... $ 235,997
Net realized loss............................................... (146)
Change in net unrealized appreciation or depreciation........... 3,775
------------
Net increase in net assets resulting from operations............ 239,626
------------
CAPITAL SHARE TRANSACTIONS:
Shares sold..................................................... 9,001,618
Shares redeemed................................................. (4,466,305)
------------
Net increase in net assets resulting from capital share
transactions (a)............................................... 4,535,313
------------
TOTAL INCREASE IN NET ASSETS................................. 4,774,939
------------
NET ASSETS:
Beginning of period............................................. 10
------------
End of period (including accumulated net investment income of
$235,997)...................................................... $ 4,774,949
============
(a) A summary of capital share transactions follows:
<CAPTION>
Shares
------------
<S> <C>
Shares sold..................................................... 888,546
Shares redeemed................................................. (436,188)
------------
Net increase in shares outstanding............................. 452,358
============
</TABLE>
* The Fund commenced operations December 31, 1998.
See accompanying notes to financial statements.
120
<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>
Year Ended
December 31,
1999*
------------
<S> <C>
Net asset value, beginning of period............................... $10.0000
---------
Income from investment operations:
Net investment income............................................. 0.5217
Net realized and unrealized gain.................................. 0.0340
---------
Total income from investment operations.......................... 0.5557
---------
Net asset value, end of period..................................... $10.5557
=========
Total return....................................................... 5.56%
Ratios/Supplemental data
Net assets, end of period (in 000s)............................... $ 4,775
Ratio of expenses to average net assets:
Before expense reimbursement and earnings credits................ 0.45%
After expense reimbursement and earnings credits................. 0.05%
Ratio of net investment income to average net assets:
Before expense reimbursement and earnings credits................ 5.03%
After expense reimbursement and earnings credits................. 5.43%
</TABLE>
* The Fund commenced operations December 31, 1998.
See accompanying notes to financial statements.
121
<PAGE>
BRINSON HIGH YIELD FUND
- --------------------------------------------------------------------------------
The Brinson High Yield Fund has earned an annualized return of 7.08% since its
inception on April 30, 1995 versus 8.42% for its benchmark, the Merrill Lynch
High Yield Master Index. This performance was achieved with an annualized
volatility of 6.62% versus 4.27% for the benchmark. The Fund's total return for
1999 was 4.50% versus 1.57% for the benchmark. This strong performance for the
year was due mainly to credit and sector selection decisions.
Due to continued strength in the U.S. economy, spreads (over U.S. Treasuries)
in the high yield market tightened from 555 basis points at 1998 year-end to
453 basis points at 1999 year-end. However, an increase in the general level of
U.S. interest rates raised the benchmark's yield-to-worst from 10.20% to 10.97%
over the same one-year period. As the year progressed, the market became
increasingly intolerant of poor financial results. Often when companies
reported bad news their bond prices dropped by more than 15%. Conversely, when
companies reported good news, their bond prices showed only modest gains.
In September, default rates stood at 3.26% versus 1.32% a year earlier. As
participants focused on higher default rates, the market's shrinking liquidity
was exacerbated by the perception of potential business disruptions resulting
from Y2K. In December, evidence suggested that the default rate had peaked and
that Y2K concerns had been addressed. Liquidity improved and demand for new
bond issuance increased. This firmed up the market, leading to solid
performance in the fourth quarter.
As in 1998, industry weightings helped to enhance returns. The Fund benefited
from underweights in healthcare, textile and entertainment/film, which
significantly underperformed the market, and from overweights in cable,
broadcasting and publishing/printing, which performed well. Fund performance
was hurt somewhat by an underweight in cyclicals, which significantly
outperformed the broader market in 1999.
122
<PAGE>
BRINSON HIGH YIELD FUND
- --------------------------------------------------------------------------------
Total Return
<TABLE>
<CAPTION>
6 Months 1 Year 3 Years Annualized
Ended Ended Ended 4/30/95*
12/31/99 12/31/99 12/31/99 to 12/31/99
- -----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Brinson High Yield Fund 2.50% 4.50% 3.78% 7.08%
- -----------------------------------------------------------------------------
Merrill Lynch High Yield Master Index -0.18 1.57 5.91 8.42
- -----------------------------------------------------------------------------
</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
BRINSON HIGH YIELD FUND CHART
[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
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.
123
<PAGE>
BRINSON HIGH YIELD FUND
- --------------------------------------------------------------------------------
INDUSTRY DIVERSIFICATION
As a Percent of Net Assets
As of December 31, 1999
<TABLE>
<S> <C>
U.S. BONDS
Corporate Bonds
Auto...................... 2.53%
Business & Public
Service.................. 2.91
Chemicals................. 1.93
Construction.............. 5.07
Consumer.................. 2.30
Electronics and Electric
Components............... 0.31
Energy.................... 2.49
Financial Services........ 1.05
Food & House Products..... 4.81
Health.................... 3.74
Industrial................ 0.42
Radio Broadcasting........ 4.10
Real Estate............... 1.02
Recreation................ 8.61
Retail.................... 3.22
Services/Miscellaneous.... 16.90
Telecommunications........ 12.79
Television Broadcasting... 16.51
Transportation............ 0.45
--------
Total U.S. Corporate
Bonds................... 91.16
International Dollar
Bonds................... 3.21
--------
Total U.S. Bonds......... 94.37
--------
U.S. EQUITIES
Preferred Stock........... 3.22
Warrants.................. 0.09
--------
Total U.S. Equities...... 3.31
SHORT-TERM INVESTMENTS... 0.31
--------
TOTAL INVESTMENTS.......... 97.99
CASH AND OTHER ASSETS,
LESS LIABILITIES.......... 2.01
--------
NET ASSETS............... 100.00%
========
</TABLE>
124
<PAGE>
BRINSON HIGH YIELD FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1999
<TABLE>
<CAPTION>
Face
Amount Value
------------- -------------
<S> <C> <C>
Bonds - 94.37%
U.S. Corporate Bonds - US - 91.16%
Ackerley Group, Inc., Series B, 9.000%, due
01/15/09......................................... $ 3,500,000 $ 3,412,500
Adelphia Communications, Inc., 9.375%, due
11/15/09......................................... 3,000,000 2,940,000
Airgate Pcs, Inc., 0.000%, due 10/01/09 (c)....... 2,000,000 1,110,000
Allbritton Communications Co., 9.750%, due
11/30/07......................................... 1,500,000 1,503,750
Allbritton Communications Co., Series B, 8.875%,
due 02/01/08..................................... 2,500,000 2,400,000
AMSC Acquisition, Inc., 12.250%, due 04/01/08..... 2,000,000 1,562,500
Aurora Foods, Inc., Series B, 9.875%, due
02/15/07......................................... 3,500,000 3,548,125
Aurora Foods, Inc., Series D, 9.875%, due
02/15/07......................................... 1,000,000 1,013,750
Avalon Cable Of Michigan, 9.375%, due 12/01/08.... 2,650,000 2,676,500
Bally Total Fitness Corp., Series D, 9.875%, due
10/15/07......................................... 3,456,000 3,352,320
BGF Industries, Inc., 10.250%, due 01/15/09....... 1,470,000 1,293,600
Big City Radio, Inc., 0.000%, due 03/15/05 (d).... 3,000,000 1,935,000
Bresnan Communications Group, 9.25%, due
02/01/09......................................... 3,750,000 2,587,500
Budget Group, Inc., 9.125%, due 04/01/06.......... 3,500,000 3,255,000
Building Materials Corp., 8.000%, due 12/01/08.... 3,500,000 3,167,500
Building Materials Corp., Series B, 7.750%, due
07/15/05......................................... 1,700,000 1,547,000
Capstar Broadcasting Partners, Inc., 0.000%, due
02/01/09 (e)..................................... 2,500,000 2,225,000
Carmike Cinemas, Inc., 9.375%, due 02/01/09....... 2,600,000 2,255,500
CB Richard Ellis Services, Inc., 8.875%, due
06/01/06......................................... 3,500,000 3,115,000
CBS Radio, Inc.................................... 3,158,400 3,521,616
Centennial Cellular, 10.750%, due 12/15/08........ 2,000,000 2,140,000
Century Communications Corp., 0.000%, due 01/15/08
(f).............................................. 6,500,000 2,851,875
Charter Communications Holdings, 0.000%, due
04/01/11 (g)..................................... 3,000,000 1,758,750
Citadel Broadcasting Co., 10.250%, due 07/01/07... 2,250,000 2,368,125
Collins & Alkman Corp., 11.500%, due 04/15/06..... 3,500,000 3,456,250
Cross Timbers Oil Co, 8.750%, due 11/01/09........ 1,000,000 955,000
CSC Holdings, Inc., 7.625%, due 07/15/18.......... 2,050,000 1,906,500
Cumulus Media, Inc., 10.375%, due 07/01/08........ 2,350,000 2,444,000
Diamond Triumph Autoglass, Inc., 144A, 9.250%, due
04/01/08......................................... 1,900,000 1,330,000
Dobson Sygnet Communications, Inc., 12.250%, due
12/15/08......................................... 3,600,000 3,960,000
Eagle Family Foods, Series B, 8.750%, due
01/15/08......................................... 4,000,000 3,080,000
Echostar DBS Corp, 9.375%, due 02/01/09........... 2,385,000 2,396,925
Exodus Communications, Inc., 10.750%, due
12/15/09......................................... 1,000,000 1,017,500
Exodus Communications, Inc., 11.250%, due
07/01/08......................................... 2,000,000 2,065,000
Fedders North America, 144A, 9.375%, due
08/15/07......................................... 2,000,000 1,960,000
Federal-Mogul Corp, 7.500%, due 01/15/09.......... 2,250,000 2,004,215
Florida Panthers Corp., 9.875%, due 04/15/09...... 2,000,000 1,940,000
Fortress Group, Inc., 13.750%, due 05/15/03....... 2,500,000 1,500,000
Fox/Liberty Networks, Step, 0.000%, due 08/15/07
(h).............................................. 4,250,000 3,421,250
Fundy Cable Ltd., 11.000%, due 11/15/05........... 4,275,000 4,606,312
Global Imaging Systems, 10.750%, due 02/15/07..... 1,000,000 960,000
</TABLE>
125
<PAGE>
BRINSON HIGH YIELD FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1999
<TABLE>
<CAPTION>
Face
Amount Value
------------- -------------
<S> <C> <C>
U.S. Corporate Bonds - (continued)
Golden Sky DBS, Inc., 0.000%, due 03/01/07 (i).......... $ 3,500,000 $ 2,130,625
Golden Sky Systems, Inc., Series B, 12.380%, due
08/01/06............................................... 2,350,000 2,502,750
Gothic Production Corp., 11.125%, due 05/01/05.......... 2,500,000 2,125,000
Granite Broadcasting Corp., 10.375%, due 05/15/05....... 2,000,000 2,040,000
Group Maintenance America Corp., 9.750%, due 01/15/09... 3,700,000 3,672,250
Harvey Casinos Resorts, 10.625%, due 06/01/06........... 1,500,000 1,548,750
Hollinger International Publishing, 5.625%, due
03/15/05............................................... 1,000,000 987,500
ICN Pharmaceuticals, Inc., 9.250%, due 08/15/05......... 2,000,000 1,970,000
Icon Fitness Corp., Series B, 0.000%, due 11/15/06 (j).. 7,000,000 70,000
Integrated Electrical Services, Inc., Series B, 9.375%,
due 02/01/09........................................... 3,500,000 3,434,375
Interep National Radio Sales, Series B, 10.000%, due
07/01/08............................................... 3,000,000 2,872,500
Iron Mountain, Inc., 8.750%, due 09/30/09............... 4,550,000 4,333,875
Isle Of Capri Casinos, Inc., 8.750%, due 04/15/09....... 1,000,000 920,000
JH Heafner Co., Inc., 10.000%, due 05/15/08............. 3,205,000 2,900,525
Lamar Media Co., 8.625%, due 09/15/07................... 2,000,000 1,960,000
Lamar Media Co., 9.625%, due 12/01/06................... 1,600,000 1,632,000
Level 3 Communications, 0.000%, due 12/01/08 (k)........ 2,050,000 1,240,250
Liberty Group Operating, 9.375%, due 02/01/08........... 3,600,000 3,204,000
Lifepoint Hospitals Holdings, 10.750%, due 05/15/09..... 965,000 998,775
LIN Holdings Corp., Step, 0.000%, due 03/01/08 (l)...... 4,500,000 3,031,875
Loral Space & Communications Ltd., 9.500%, due
01/15/06............................................... 940,000 846,000
Lowes Cineplex Entertainment Corp., 8.875%, due
08/01/08............................................... 1,365,000 1,204,613
Lyondell Chemical Co., 9.875%, due 05/01/07............. 1,170,000 1,193,400
Mail Well Corp., Series B, 8.750%, due 12/15/08......... 2,700,000 2,565,000
Mediacom LLC., Series B, 8.500%, due 04/15/08........... 4,350,000 4,045,500
Merrill Corp., 12.000%, due 05/01/09.................... 1,500,000 1,470,000
Metromedia Fiber Network, 10.000%, due 12/15/09......... 2,200,000 2,255,000
Mohegan Tribal Gaming Authority Corp., 8.750%, due
01/01/09............................................... 3,500,000 3,447,500
MTS, Inc., 9.375%, due 05/01/05......................... 3,375,000 1,687,500
NationsRent, Inc., 10.375%, due 12/15/08................ 3,250,000 3,201,250
NBTY, Inc., Series B, 8.625%, due 09/15/07.............. 3,015,000 2,788,875
New World Pasta Co., 9.250%, due 02/15/09............... 2,400,000 2,160,000
Newpark Resources, Inc., Series B, 8.625%, due
12/15/07............................................... 2,500,000 2,325,000
Nextel Communications, Inc., 144A, 9.375%, due
11/15/09............................................... 600,000 588,000
Nextel Communications, Inc., 0.000%, due 09/15/07 (m).. 5,500,000 4,097,500
Nextlink Communications, 144A, 0.000%, due 12/01/09
(n).................................................... 715,000 416,488
Nextlink Communications, 144A, 10.500%, due 12/01/09.... 174,000 176,610
Nortek, Inc., Series B, 9.125%, due 09/01/07............ 2,197,000 2,125,597
NTL Communications, Inc., Series B, 10.992%, due
10/01/08............................................... 5,000,000 3,537,500
Omnipoint Corp., 11.625%, due 08/15/06.................. 1,500,000 1,590,000
Packaging Corp. of America, 9.625%, due 04/01/09........ 410,000 418,713
</TABLE>
126
<PAGE>
BRINSON HIGH YIELD FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1999
<TABLE>
<CAPTION>
Face
Amount Value
-------------- --------------
<S> <C> <C>
U.S. Corporate Bonds - (continued)
Paxson Communications Corp., 11.625%, due
10/01/02....................................... $ 4,760,000 $ 4,950,400
Pegasus Communication, 12.500%, due 08/01/07.... 2,000,000 2,180,000
Pegasus Communications Corp., Series B, 9.625%,
due 10/15/05................................... 2,000,000 2,020,000
Pegasus Communications Corp., Series B, 9.750%,
due 12/01/06................................... 1,000,000 1,010,000
Phoenix Color, Inc., 10.375%, due 02/01/09...... 2,000,000 1,920,000
Pillowtex Corp., 10.000%, due 11/15/06.......... 600,000 276,000
Plains Resources, Inc., Series D, 10.250%, due
03/15/06....................................... 1,000,000 970,000
Plains Resources, Inc., Series B, 10.250%, due
03/15/06....................................... 1,525,000 1,479,250
Premier Parks, Inc., 0.000%, due 04/01/08 (o)... 7,690,000 5,306,100
Protection One, 7.375%, due 08/15/05............ 1,000,000 795,000
PSINet, Inc., 144A, 10.500%, due 12/01/06....... 1,300,000 1,309,750
PSINet, Inc., 11.500%, due 11/01/08............. 2,300,000 2,403,500
PSINet, Inc., Series B, 10.000%, due 02/15/05... 1,000,000 988,750
Qwest Communications International, Inc.,
0.000%, due 10/15/07 (p)....................... 3,000,000 2,430,000
R. H. Donnelley, Inc., 9.125%, due 06/01/08..... 3,250,000 3,185,000
Railworks Corp., 144A, 11.500%, due 04/15/09.... 1,350,000 1,363,500
Range Resources Corp., 8.750%, due 01/15/07..... 2,250,000 2,064,375
Rayovac Corp., Series B, 10.250%, due 11/01/06.. 2,750,000 2,805,000
RCN Corp., 10.000%, due 10/15/07................ 500,000 496,875
Revlon Consumer Products, 8.125%, due 02/01/06.. 2,385,000 1,752,975
Revlon Consumer Products, 8.625%, due 02/01/08.. 1,159,000 579,500
Scotts Co., 144A, 8.625%, due 01/15/09.......... 1,800,000 1,746,000
Sequa Corp, 9.000%, due 08/01/09................ 1,500,000 1,451,250
Simmons Co., 10.250%, due 03/15/09.............. 3,500,000 3,311,875
Sinclair Broadcast Group, Inc., 8.750%, due
12/15/07....................................... 3,500,000 3,228,750
Sleepmaster Corp., 144A, 11.000%, due 05/15/09.. 1,250,000 1,271,875
Speedway Motorsports Inc., 8.500%, due
08/15/07....................................... 3,000,000 2,910,000
Splitrock Services, Inc., Series B, 11.750%, due
07/15/08....................................... 500,000 467,500
Supreme International Corp., 12.250%, due
04/01/03....................................... 1,500,000 1,490,625
T/SF Communications Corp., Series B, 10.375%,
due 11/01/07................................... 3,000,000 2,880,000
Telecorp Pcs, Inc., 0.000%, due 04/15/09 (q).... 1,500,000 945,000
TeleWest Communications PLC, 0.000%, due
10/01/07 (r)................................... 1,000,000 932,500
TeleWest Communications PLC, 144A, 0.000%, due
04/15/09 (s)................................... 500,000 315,000
Tenet Healthcare Corp., 8.625%, due 01/15/07.... 1,500,000 1,447,500
Tenet Healthcare Corp., Series B, 8.125%, due
12/01/08....................................... 2,000,000 1,860,000
Trans-Resources, Inc., Series B, 0.000%, due
03/15/08 (t)................................... 3,000,000 1,500,000
TransWestern Publishing Co., 9.625%, due
11/15/07....................................... 2,625,000 2,605,312
Tritel PCS, Inc., 144A, 0.000%, due 05/15/09
(u)............................................ 1,000,000 632,500
Triton PCS, Inc., 0.000%, due 05/01/08 (v)...... 4,500,000 3,183,750
United Industries Corp, 9.875%, due 04/01/09.... 3,500,000 3,193,750
United Rentals, Inc., Series B, 9.250%, due
01/15/09....................................... 1,475,000 1,416,000
</TABLE>
127
<PAGE>
BRINSON HIGH YIELD FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1999
<TABLE>
<CAPTION>
Face
Amount Value
-------------- -------------
<S> <C> <C>
U.S. Corporate Bonds - (continued)
United Rentals, Inc., Series B, 9.500%, due
06/01/08........................................ $ 4,320,000 $ 4,222,800
US Unwired Inc., 144A, 0.000%, due 11/01/09 (w).. 2,500,000 1,462,500
Verio, Inc., 10.625%, 144A, due 11/15/09......... 1,800,000 1,845,000
Verio, Inc., 13.500%, due 06/15/04............... 2,650,000 2,908,375
Victory Markets, Inc. ........................... 2,000,000 --
Voicestream Wireless, 144A, 10.375%, due
11/15/09........................................ 1,550,000 1,596,500
Waterford Gaming, 144A, 9.500%, due 03/15/10..... 3,401,000 3,349,985
Williams Comm Group, Inc., 10.875%, due
10/01/09........................................ 3,000,000 3,135,000
-------------
Total U.S. Corporate Bonds....................... 277,854,281
-------------
International Dollar Bonds - 3.21%
COLT Telecom Group, 0.000%, due 12/15/06 (x)..... 4,000,000 3,440,000
Clearnet Communications, 0.000%, due 12/15/05
(y)............................................. 2,500,000 2,453,125
Imax Corp., 7.875%, due 12/01/05................. 2,250,000 2,126,250
Microcell Telecommunications, Inc., Series B,
0.000%, due 06/01/06 (z)........................ 2,000,000 1,765,000
-------------
Total International Dollar Bonds................. 9,784,375
-------------
Total Bonds (Cost $302,792,933).................. 287,638,656
-------------
<CAPTION>
Shares
--------------
<S> <C> <C>
Equities - 3.31%
U.S. Equities
American Mobile Satellite Corp., 144A (b)........ 2,000 80,000
CSC Holdings, Inc., Series M..................... 33,720 3,683,961
Icon Health & Fitness Capital, Inc., 144A,
Warrants (b).................................... 4,000 40
Paxson Communications Corp. (b).................. 1,594 1,625,625
Pegasus Communications Corp. (b)................. 230,337 2,419
Pegasus Communications Corp., Series A, PIK
Convertible Preferred, 12.750%.................. 4,307 4,522,481
Pegasus Communications Corp., Warrants (b)....... 3,000 186,000
Renaissance Cosmetics, Inc. PIK Convertible
Preferred, 14.000% (b).......................... 7,618 --
Renaissance Cosmetics, Inc., Warrants "01" 144A
(b)............................................. 4,000 --
Renaissance Cosmetics, Inc., Warrants "06" 144A
(b)............................................. 5,000 --
-------------
Total Equities (Cost $17,820,998)................ 10,100,526
-------------
Short-Term Investments - 0.31%
Investment Companies - 0.31%
Brinson Supplementary Trust U.S. Cash Management
Prime Fund (Cost $958,619)...................... 958,619 958,619
-------------
Total Investments (Cost $321,572,550) - 97.99%
(a) 298,697,801
Cash and other assets, less liabilities - 2.01%.. 6,113,238
-------------
Net Assets - 100.00%............................. $304,811,039
=============
</TABLE>
See accompanying notes to schedule of investments.
128
<PAGE>
BRINSON HIGH YIELD FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1999
NOTES TO SCHEDULE OF INVESTMENTS
(a) Aggregate cost for federal income tax purposes was $321,572,550; and net
unrealized depreciation consisted of:
<TABLE>
<S> <C>
Gross unrealized appreciation............ $ 4,934,516
Gross unrealized depreciation............ (27,809,265)
-------------
Net unrealized depreciation.......... $(22,874,749)
=============
</TABLE>
(b) Non-income producing security
(c) Interest rate 0.000% until 10/01/04, then 13.500% to maturity
(d) Interest rate 0.000% until 03/15/01, then 11.250% to maturity
(e) Interest rate 0.000% until 02/01/02, then 12.750% to maturity
(f) Interest rate 0.000% until 01/15/08, then 9.920% to maturity
(g) Interest rate 0.000% until 04/01/14, then 9.920% to maturity
(h) Interest rate 0.000% until 08/15/02, then 9.750% to maturity
(i) Interest rate 0.000% until 03/01/07, then 13.500% to maturity
(j) Interest rate 0.000% until 11/15/01, then 14.000% to maturity
(k) Interest rate 0.000% until 12/01/03, then 10.500% to maturity
(l) Interest rate 0.000% until 03/01/03, then 10.500% to maturity
(m) Interest rate 0.000% until 09/15/02, then 10.650% to maturity
(n) Interest rate 0.000% until 12/01/04, then 12.375% to maturity
(o) Interest rate 0.000% until 04/01/03, then 10.000% to maturity
(p) Interest rate 0.000% until 10/15/02, then 9.470% to maturity
(q) Interest rate 0.000% until 04/15/04, then 11.625% to maturity
(r) Interest rate 0.000% until 10/01/02, then 9.250% to maturity
(s) Interest rate 0.000% until 04/15/04, then 11.000% to maturity
(t) Interest rate 0.000% until 03/15/03, then 12.000% to maturity
(u) Interest rate 0.000% until 05/15/04, then 12.750% to maturity
(v) Interest rate 0.000% until 05/01/03, then 11.000% to maturity
(w) Interest rate 0.000% until 11/01/04, then 14.000% to maturity
(x) Interest rate 0.000% until 12/15/02, then 12.000% to maturity
(y) Interest rate 0.000% until 12/15/01, then 14.750% to maturity
(z)Interest rate 0.000% until 06/01/01, then 14.000% to maturity
FRN: Floating rate note, rate disclosed is as of December 31, 1999.
PIK: Payment in kind, interest payment in cash or additional securities.
144A: Security exempt from registration under Rule 144A of the Securities Act
of 1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. At December 31,
1999, the value of these securities amounted to $19,443,748 or 6.38% of
net assets.
See accompanying notes to financial statements.
129
<PAGE>
BRINSON HIGH YIELD FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 1999
<TABLE>
<S> <C>
ASSETS:
Investments, at value:
Unaffiliated issuers (Cost $320,613,931)...................... $297,739,182
Affiliated issuers (Cost $958,619)............................ 958,619
Receivables:
Interest...................................................... 6,112,868
Fund shares sold.............................................. 370
Due from Advisor.............................................. 39,054
-------------
TOTAL ASSETS................................................ 304,850,093
-------------
LIABILITIES:
Payables:
Accrued expenses.............................................. 39,054
-------------
TOTAL LIABILITIES........................................... 39,054
-------------
NET ASSETS:
Applicable to 22,142,460 shares; no par value, unlimited shares
authorized.................................................... $304,811,039
=============
Net asset value, offering price and redemption price per share
($304,811,039 / 22,142,460 shares)............................ $ 13.7659
=============
NET ASSETS CONSIST OF:
Paid in capital................................................ $255,088,545
Accumulated net investment income.............................. 87,108,639
Accumulated net realized loss.................................. (14,511,396)
Net unrealized depreciation.................................... (22,874,749)
-------------
NET ASSETS.................................................. $304,811,039
=============
</TABLE>
See accompanying notes to financial statements.
130
<PAGE>
BRINSON HIGH YIELD FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 1999
<TABLE>
<S> <C>
INVESTMENT INCOME:
Interest........................................................ $ 30,878,941
Dividends....................................................... 340,358
-------------
TOTAL INCOME................................................. 31,219,299
-------------
EXPENSES:
Professional.................................................... 24,065
Custodian....................................................... 9,691
Trustees........................................................ 4,745
Other........................................................... 7,325
-------------
TOTAL EXPENSES............................................... 45,826
Earnings credits............................................. (1,542)
Expenses reimbursed by Advisor............................... (44,284)
-------------
NET EXPENSES................................................. --
-------------
NET INVESTMENT INCOME........................................ 31,219,299
-------------
NET REALIZED AND UNREALIZED LOSS:
Net realized loss on investments................................ (12,129,675)
Change in net unrealized appreciation or depreciation........... (5,314,283)
-------------
Net realized and unrealized loss................................ (17,443,958)
-------------
Net increase in net assets resulting from operations............ $ 13,775,341
=============
</TABLE>
See accompanying notes to financial statements.
131
<PAGE>
BRINSON HIGH YIELD FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Year Ended Year Ended
December 31, December 31,
1999 1998
------------- -------------
<S> <C> <C>
OPERATIONS:
Net investment income............................ $ 31,219,299 $ 23,451,286
Net realized loss................................ (12,129,675) (13,955,595)
Change in net unrealized appreciation or
depreciation.................................... (5,314,283) (16,983,209)
------------- -------------
Net increase (decrease) in net assets resulting
from operations................................. 13,775,341 (7,487,518)
------------- -------------
CAPITAL SHARE TRANSACTIONS:
Shares sold...................................... 57,847,072 177,164,918
Shares redeemed.................................. (75,294,221) (17,715,079)
------------- -------------
Net increase (decrease) in net assets resulting
from capital share transactions (a)............. (17,447,149) 159,449,839
------------- -------------
TOTAL INCREASE (DECREASE) IN NET ASSETS....... (3,671,808) 151,962,321
------------- -------------
NET ASSETS:
Beginning of period.............................. 308,482,847 156,520,526
------------- -------------
End of period (including accumulated net
investment income of $87,108,639 and
$55,889,340, respectively)...................... $304,811,039 $308,482,847
============= =============
(a) A summary of capital share transactions
follows:
<CAPTION>
Shares Shares
------------- -------------
<S> <C> <C>
Shares sold...................................... 4,321,584 13,471,230
Shares redeemed.................................. (5,595,915) (1,262,864)
------------- -------------
Net increase (decrease) in shares outstanding... (1,274,331) 12,208,366
============= =============
</TABLE>
See accompanying notes to financial statements.
132
<PAGE>
BRINSON HIGH YIELD FUND FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
The table below sets forth financial data for one share of capital stock
outstanding throughout each period presented.
<TABLE>
<CAPTION>
Year Ended December 31, Period Ended
-------------------------------------------- December 31,
1999 1998 1997 1996 1995*
--------- --------- --------- --------- ------------
<S> <C> <C> <C> <C> <C>
Net asset value,
beginning of period... $13.1736 $13.9645 $12.3175 $10.7361 $10.0000
--------- --------- --------- --------- ---------
Income from investment
operations:
Net investment
income............... 1.5473 1.4678** 1.3299** 0.8041 0.5408
Net realized and
unrealized gain
(loss)............... (0.9550) (2.2587) 0.3171 0.7773 0.1953
--------- --------- --------- --------- ---------
Total income (loss)
from investment
operations.......... 0.5923 (0.7909) 1.6470 1.5814 0.7361
--------- --------- --------- --------- ---------
Net asset value, end of
period................ $13.7659 $13.1736 $13.9645 $12.3175 $10.7361
========= ========= ========= ========= =========
Total return (non-
annualized)........... 4.50% (5.66)% 13.37% 14.73% 7.36%
Ratios/Supplemental
data
Net assets, end of
period (in 000s)...... $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% 0.02% 0.06% 0.14% 0.33%***
After expense
reimbursement and
earnings credits.... 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.... 9.56% 10.75% 10.09% 9.17% 9.33%***
After expense
reimbursement and
earnings credits.... 9.57% 10.77% 10.15% 9.31% 9.66%***
Portfolio turnover
rate................. 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.
133
<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 21.13%, compared to the 16.76% return of its benchmark,
the J.P. Morgan Emerging Markets Bond Index Plus (EMBI+). For the year ended
December 31, 1999, the Fund returned 31.75% versus 25.97% for the benchmark--
outperformance of 578 basis points. For the past year, emerging debt as an
asset class vastly outperformed equivalent duration U.S. Treasury Bonds, which
returned -1.34%.
One year ago, the market was in a state of panic after Russia devalued and
defaulted on its local currency debt. Market participants feared that Brazil
would suffer similarly and that perhaps all of Latin America would follow. In
contrast, today's global environment is more benign. Brazil's currency
devaluation in January did not lead to a large recession or hyperinflation.
Latin economies appear to be recovering from last year's recession, and even
Russia has stabilized.
Brazil's devaluation led to a small sell-off, but after a key Central Bank
appointment restored confidence, emerging debt markets returned 14.92% in March
and April. In May, Argentina's recession and election posturing caused the
market to soften once again. Near the end of August, Ecuador defaulted on its
Brady debt--the first-ever Brady bond default. Because Ecuador is small and has
few links with other emerging economies, the default had little effect on the
overall market. During the last four months of 1999, Latin markets began to
recover from a recession. The EMBI+ rallied strongly, with a 16.51% return
during that period. Russia was the best 1999 performer, returning 166%. "London
Club" creditors and the Russian government have made progress in negotiations
to restructure the defaulted debt of the former Soviet Union.
Both country allocation and security selection strategies enhanced Fund
performance. The most notable country strategies were a timely underweight in
Argentina, a timely overweight in Russia, favorable underweights in Ecuador and
Poland and unfavorable overweights in Colombia and Croatia which performed
poorly relative to the rest of the market. Security selection within Brazil and
Russia also made a positive contribution to performance. Our U.S. interest rate
strategy had a slightly negative impact on performance.
134
<PAGE>
BRINSON EMERGING MARKETS DEBT FUND
- --------------------------------------------------------------------------------
Total Return
<TABLE>
<CAPTION>
6 Months 1 Year 3 Years Annualized
Ended Ended Ended 6/30/95*
12/31/99 12/31/99 12/31/99 to 12/31/99
- -----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Brinson Emerging Markets Debt Fund(1) 15.94% 31.75% 11.01% 20.41%
- -----------------------------------------------------------------------------
Brinson Emerging Markets Debt Fund(2) 15.07 31.10 10.83 20.41
- -----------------------------------------------------------------------------
JP Morgan EMBI+ 13.93 25.97 6.84 16.44
- -----------------------------------------------------------------------------
</TABLE>
*Inception date of the Brinson Emerging Markets Debt Fund.
(1)Total return based on NAV--Does not include the payment of a transaction
charge on Fund share purchases.
(2) Standardized total return--Includes the payment of a transaction charge on
Fund share purchases in each period presented where applicable. Effective
March 1, 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 and in the JP Morgan EMBI+ if you had invested
$100,000 on June 30, 1995. Past performance is no guarantee of future results.
Share price and return will vary with market conditions; investors may realize
a gain or loss upon redemption.
Brinson Emerging Markets Debt Fund
vs. JP Morgan EMBI+
BRINSON EMERGING MARKETS DEBT FUND LOGO
[GRAPH]
Brinson Emerging Markets Debt Fund/2/ JP Morgan EMBI+
6/30/95 100,000 100,000
7/31/95 98,952 100,074
8/31/95 101,671 102,435
9/30/95 105,713 105,964
10/31/95 104,843 104,876
11/30/95 108,802 108,546
12/31/95 116,401 116,772
1/31/96 127,448 125,646
2/28/96 118,868 118,715
3/31/96 121,904 121,419
4/30/96 129,544 128,043
5/31/96 132,236 130,259
6/30/96 136,384 134,838
7/31/96 139,238 137,656
8/31/96 145,236 142,712
9/30/96 156,324 151,916
10/31/96 158,248 153,109
11/30/96 167,000 160,744
12/31/96 168,816 162,676
1/31/97 175,557 167,181
2/28/97 178,950 170,082
3/31/97 172,262 163,948
4/30/97 177,672 168,802
5/31/97 185,086 175,352
6/30/97 190,948 179,389
7/31/97 199,060 186,831
8/31/97 199,245 186,075
9/30/97 205,585 191,761
10/31/97 185,908 169,672
11/30/97 195,410 177,728
12/31/97 202,278 183,853
1/31/98 203,272 183,481
2/28/98 210,539 188,733
3/31/98 215,693 193,431
4/30/98 215,905 193,899
5/31/98 210,889 187,281
6/30/98 203,957 181,875
7/31/98 204,961 183,120
8/31/98 145,381 130,500
9/30/98 152,861 143,261
10/31/98 162,186 152,530
11/30/98 177,930 161,507
12/31/98 175,294 157,470
1/31/99 171,369 151,622
2/28/99 173,768 153,799
3/31/99 186,905 165,434
4/30/99 201,488 176,740
5/31/99 192,357 166,663
6/30/99 199,210 174,117
7/31/99 197,853 170,506
8/31/99 197,766 170,263
9/30/99 205,287 176,203
10/31/99 214,825 183,002
11/30/99 218,596 188,183
12/31/99 230,702 198,370
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.
135
<PAGE>
BRINSON EMERGING MARKETS DEBT FUND
- --------------------------------------------------------------------------------
MARKET ALLOCATION
As of December 31, 1999
<TABLE>
<CAPTION>
Market
Index Strategy Over/Under Strategy Range
Weights* Weight Weight (95% Freq.)
-------- -------- ---------- --------------
<S> <C> <C> <C> <C>
Argentina........................... 26.0% 24.5% -1.5% 5-30%
Brazil.............................. 22.3 24.5 2.1 5-30
Bulgaria............................ 2.5 5.0 2.5 0-10
China............................... 0.0 0.0 0.0 0-10
Colombia............................ 1.4 5.1 3.7 0-10
Croatia............................. 0.0 5.4 5.4 0-10
Ecuador............................. 1.3 0.0 -1.3 0-10
Guatemala........................... 0.0 0.0 0.0 0-10
Korea............................... 2.9 0.0 -2.9 0-10
Mexico.............................. 17.6 12.5 -5.1 5-25
Morocco............................. 1.3 1.4 0.1 0-10
Nigeria............................. 0.8 0.0 -0.8 0-10
Panama.............................. 2.4 2.9 0.6 0-10
Peru................................ 1.6 0.0 -1.6 0-10
Philippines......................... 1.4 0.0 -1.4 0-10
Poland.............................. 3.1 0.0 -3.1 0-10
Quatar.............................. 0.0 0.0 0.0 0-10
Russia.............................. 9.2 5.9 -3.2 0-10
Tunisia............................. 0.0 1.4 1.4 0-10
Turkey.............................. 0.4 2.2 1.8 0-10
Venezuela........................... 5.8 6.4 0.5 0-15
Cash................................ 0.0 2.8 2.8 0-30
----- ----- ----
100.0% 100.0% 0.0%
</TABLE>
* J.P. Morgan Emerging Market Bond Index Plus.
Note: Totals may not add due to rounding.
136
<PAGE>
BRINSON EMERGING MARKETS DEBT FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1999
<TABLE>
<CAPTION>
Face
Amount Value
--------------- -------------
<S> <C> <C>
Bonds - 95.18%
Global (Ex-U.S.) Bonds - 2.74%
Argentina - 0.66%
Republic of Argentina, 2.976%, due 04/01/07..... ARS 4,302,082 $ 2,948,154
Columbia - 2.08%
Banco de Comercio Exterior de Colombia,
3.850%, due 07/09/01........................... JPY 980,000,000 9,321,935
-------------
12,270,089
-------------
International Dollar Bonds - 91.08%
Argentina - 23.45%
Argentina - FRN, 5.938%, due 03/31/05........... $ 32,824,000 29,869,840
Argentina - FRN, 11.786%, due 04/10/05.......... 19,840,000 18,153,600
Argentina - Global Bond, 9.750%, due 09/19/27... 8,800,000 7,964,000
Argentina - Par Series L, 6.000%, due 03/31/23.. 16,250,000 10,684,375
Republic of Argentina, 0.000%, due 10/15/02..... 8,200,000 6,191,000
Republic of Argentina, 0.000%, due 10/15/03..... 12,300,000 8,210,250
Republic of Argentina, 11.750%, due 04/07/09.... 23,900,000 24,019,500
-------------
105,092,565
-------------
Brazil - 23.91%
Banco Nacional de Desenvolvimento Economico e
Social FRN, 15.224%, due 06/16/09.............. 15,000,000 13,575,000
Brazil - C PIK Bond, 8.000%, due 04/15/14....... 51,197,457 38,462,090
Brazil - DCB L FRN, 7.000%, due 04/15/12........ 1,850,000 1,378,250
Brazil - DCB L FRN RG, 7.000%, due 04/15/12..... 3,150,000 2,346,750
Brazil - EI L FRN, 6.938%, due 04/15/06......... 2,820,000 2,481,600
Brazil - FLIRB L FRN BR, 4.500%, due 04/15/09... 21,300,000 15,762,000
Brazil - FLIRB L FRN RG, 5.000%, due 04/15/09... 6,700,000 4,958,000
Brazil - MYDFA, Trust REGS, 6.813%, due
09/15/07....................................... 31,323,224 25,097,733
Brazil - New Money Bond L FRN,
7.000%, due 04/15/09........................... 3,800,000 3,092,250
-------------
107,153,673
-------------
Bulgaria - 4.90%
Bulgaria - FLIRB Series A VRN BR,
2.750%, due 07/28/12........................... 30,190,000 21,736,800
Bulgaria - FLIRB Series A VRN RG,
2.500%, due 07/28/12........................... 350,000 252,000
-------------
21,988,800
-------------
Colombia - 2.95%
Republic of Colombia, 8.625%, due 04/01/08...... 10,350,000 9,056,250
Republic of Colombia, 9.750%, due 04/23/09...... 4,500,000 4,185,000
-------------
13,241,250
-------------
Croatia - 5.28%
Croatia - Series A FRN, 5.813%, due 07/31/10.... 26,500,000 23,651,250
-------------
</TABLE>
137
<PAGE>
BRINSON EMERGING MARKETS DEBT FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1999
<TABLE>
<CAPTION>
Face
Amount Value
--------------- -------------
<S> <C> <C>
International Dollar Bonds - (continued)
Mexico - 11.97%
Conproca S.A., Series REGS, 12.000%, due
06/16/10....................................... $ 14,060,000 $ 14,130,300
Fideicumiso Petacalco Trust Series REGS,
10.160%, due 12/23/09.......................... 6,200,000 5,952,000
Mexico - Par Series W-B, 6.250%, due 12/31/19... 15,200,000 11,970,000
Mexico - Par Series, Rights (b)................. 7,046,000 --
Mexico - United Mexican States, 6.250%, due
12/31/19....................................... 8,920,000 7,024,500
Mexico - United Mexican States Discount Bond
"D', 7.250%, due 12/31/19...................... 4,580,000 4,288,025
Monterray Power S.A., 144A, 9.625%, due
11/15/09....................................... 11,300,000 10,283,000
-------------
53,647,825
-------------
Panama - 2.86%
Republic of Panama, 3.704%, due 07/17/14........ 16,340,000 12,801,377
-------------
Russia - 5.92%
Russia, Series REGS, 12.750%, due 06/24/28...... 38,350,000 26,557,375
-------------
Tunisia - 1.40%
Banque Centrale de Tunisie, 8.250%, due
09/19/27....................................... 7,700,000 6,265,875
-------------
Turkey - 2.19%
Cellco Finance NV, 15.000%, due 08/01/05........ 2,500,000 2,718,750
Cellco FRN N Sr Nt, 144A, 12.750%, due
08/01/05....................................... 400,000 414,500
Republic of Turkey, 12.000%, due 12/15/08....... 6,300,000 6,693,750
-------------
9,827,000
-------------
Venezuela - 6.25%
Venezuela - 9.250%, due 09/15/27................ 11,900,000 7,854,000
Venezuela - DCB Series DL, FRN,
7.000%, due 12/18/07........................... 18,476,098 14,549,927
Venezuela - Discount Bond, Series W-A FRN,
7.188%, due 03/31/20........................... 5,000,000 3,500,000
Venezuela Discount Bond, Series B FRN,
6.000%, due 03/31/20........................... 3,000,000 2,100,000
-------------
28,003,927
-------------
Total International Dollar Bonds................ 408,230,917
-------------
International Dollar Loans - 1.36%
Morocco - 1.36%
Morocco - Loan Tranche A FRN, 6.844%, due
01/01/09....................................... 6,763,095 6,120,601
-------------
Total Bonds (Cost $376,695,977)................. 426,621,607
-------------
</TABLE>
138
<PAGE>
BRINSON EMERGING MARKETS DEBT FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1999
<TABLE>
<CAPTION>
No. of Warrants Value
--------------- -------------
<S> <C> <C>
Warrants - 0.38%
Mexico - 0.38%
Mexico - United Mexican States (b).............. 18,250 1,688,125
-------------
Venezuela - 0.00%
Venezuela Oil (b)............................... 57,120 --
-------------
Total Warrants (Cost $0)........................ 1,688,125
=============
<CAPTION>
Shares
---------------
<S> <C> <C>
Short-Term Investments - 3.16%
Investment Companies - 2.64%
Brinson Supplementary Trust U.S. Cash Management
Prime Fund..................................... 11,835,193 $ 11,835,193
-------------
<CAPTION>
Face
Amount
---------------
<S> <C> <C>
Treasury Obligations - 0.52%
U.S. Treasury Bill, due 02/03/00................ $ 2,330,000 2,319,908
-------------
Total Short Term Investments (Cost
$14,155,068)................................... 14,155,101
-------------
Total Investments (Cost $390,851,045) - 98.72%
(a)............................................ 442,464,833
Cash and other assets, less liabilities -
1.28%......................................... 5,749,858
-------------
Net Assets - 100%............................... $ 448,214,691
=============
</TABLE>
NOTES TO SCHEDULE OF INVESTMENTS
(a) Aggregate cost for federal income tax purposes was $390,851,045; and net
unrealized appreciation consisted of:
<TABLE>
<S> <C>
Gross unrealized appreciation............. $57,273,908
Gross unrealized depreciation............. (5,660,120)
------------
Net unrealized appreciation........... $51,613,788
============
</TABLE>
(b) No stated interest rate
BR: Bearer
RG: Registered
FLIRB: Front loaded interest reduction bond
FRN: Floating rate note--The rate disclosed is that in effect at December 31,
1999
DCB: Debt conversion bond
PIK: Payments in kind, interest payment in cash or additional securities.
144A: Security exempt from registration under Rule 144A of the Securities Act
of 1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. At December 31,
1999, the value of these securities amounted to $10,697,500 or 2.39% of
net assets.
139
<PAGE>
BRINSON EMERGING MARKETS DEBT FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
December 31, 1999
FORWARD FOREIGN CURRENCY CONTRACTS
The Brinson Emerging Markets Debt Fund had the following open forward foreign
currency contracts as of December 31, 1999:
<TABLE>
<CAPTION>
Settlement Local Current Unrealized
Date Currency Value Gain
------------ ----------- ----------- -----------
<S> <C> <C> <C> <C>
Forward Foreign Currency Sale
Contracts:
Japanese Yen................ 03/03/00 965,000,000 $9,523,716 $ 45,425
South African Rand.......... 09/28/01 100,000,000 2,259,348 186,415
-----------
Total...................... $ 231,840
===========
</TABLE>
FUTURES CONTRACTS
The Brinson Emerging Markets Debt Fund had the following open futures contracts
as of December 31, 1999:
<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,
795 contracts............... March 2000 73,751,152 72,295,313 $(1,455,839)
Sale Contracts
10 Year U.S. Treasury Notes,
135 contracts............... March 2000 13,134,407 12,941,015 193,392
------------
$(1,262,447)
============
</TABLE>
The aggregate market value of investments pledged to cover margin requirements
for the open futures positions at December 31, 1999 was $2,319,908.
See accompanying notes to financial statements.
140
<PAGE>
BRINSON EMERGING MARKETS DEBT FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 1999
<TABLE>
<S> <C>
ASSETS:
Investments, at value:
Unaffiliated issuers (Cost $379,015,852)...................... $430,629,640
Affiliated issuers (Cost $11,835,193)......................... 11,835,193
Receivables:
Interest...................................................... 7,474,820
Net unrealized appreciation on forward foreign currency
contracts..................................................... 231,840
-------------
TOTAL ASSETS................................................ 450,171,493
-------------
LIABILITIES:
Payables:
Variation margin.............................................. 342,656
Due to custodian bank......................................... 1,473,003
Accrued expenses.............................................. 141,143
-------------
TOTAL LIABILITIES........................................... 1,956,802
-------------
NET ASSETS:
Applicable to 19,406,828 shares; no par value, unlimited shares
authorized.................................................... $448,214,691
=============
Net asset value and redemption price per share
($448,214,691 / 19,406,828 shares)............................ $ 23.0957
=============
Maximum offering price per share (net assets value, plus 0.75%
of net asset value or 0.75% of offering price) ............... $ 23.2689
=============
NET ASSETS CONSIST OF:
Paid in capital................................................ $262,675,679
Accumulated net investment income.............................. 161,099,347
Accumulated net realized loss.................................. (26,149,582)
Net unrealized appreciation.................................... 50,589,247
-------------
NET ASSETS.................................................. $448,214,691
=============
</TABLE>
See accompanying notes to financial statements.
141
<PAGE>
BRINSON EMERGING MARKETS DEBT FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 1999
<TABLE>
<S> <C>
INVESTMENT INCOME:
Interest....................................................... $ 57,814,289
-------------
TOTAL INCOME................................................ 57,814,289
-------------
EXPENSES:
Administration................................................. 314,108
Professional................................................... 92,756
Custodian...................................................... 85,619
Other.......................................................... 11,150
-------------
TOTAL EXPENSES.............................................. 503,633
Earnings credits............................................ (6,045)
-------------
NET EXPENSES................................................ 497,588
-------------
NET INVESTMENT INCOME....................................... 57,316,701
-------------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments................................................... (20,307,772)
Futures contracts............................................. (11,619,051)
Swap contracts................................................ 2,642,966
Foreign currency transactions................................. (985,875)
-------------
Net realized loss........................................... (30,269,732)
-------------
Change in net unrealized appreciation or depreciation on:
Investments and foreign currency.............................. 92,719,497
Futures contracts............................................. (1,495,094)
Forward contracts............................................. 231,840
Translation of other assets and liabilities denominated in
foreign currency............................................. 6,066
-------------
Change in net unrealized appreciation or depreciation....... 91,462,309
-------------
Net realized and unrealized gain............................... 61,192,577
-------------
Net increase in net assets resulting from operations........... $118,509,278
=============
</TABLE>
See accompanying notes to financial statements.
142
<PAGE>
BRINSON EMERGING MARKETS DEBT FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Year Ended Year Ended
December 31, December 31,
1999 1998
------------- -------------
<S> <C> <C>
OPERATIONS:
Net investment income............................ $ 57,316,701 $ 53,699,994
Net realized loss................................ (30,269,732) (51,952,975)
Change in net unrealized appreciation or
depreciation.................................... 91,462,309 (58,144,577)
------------- -------------
Net increase (decrease) in net assets resulting
from operations................................. 118,509,278 (56,397,558)
------------- -------------
CAPITAL SHARE TRANSACTIONS:
Shares sold...................................... 28,017,687 180,024,224
Shares redeemed.................................. (96,549,918) (153,474,069)
------------- -------------
Net increase (decrease) in net assets resulting
from capital share transactions (a)............. (68,532,231) 26,550,155
------------- -------------
TOTAL INCREASE (DECREASE) IN NET ASSETS....... 49,977,047 (29,847,403)
------------- -------------
NET ASSETS:
Beginning of period.............................. 398,237,644 428,085,047
------------- -------------
End of period (including accumulated net
investment income of $161,099,347 and
$103,782,646, respectively)..................... $448,214,691 $398,237,644
============= =============
(a) A summary of capital share transactions
follows:
<CAPTION>
Shares Shares
------------- -------------
<S> <C> <C>
Shares sold...................................... 1,523,289 10,283,200
Shares redeemed.................................. (4,834,711) (8,728,204)
------------- -------------
Net increase (decrease) in shares outstanding... (3,311,422) 1,554,996
============= =============
</TABLE>
See accompanying notes to financial statements.
143
<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>
Years Ended December 31, Period Ended
-------------------------------------------- December 31,
1999 1998 1997 1996 1995*
--------- --------- --------- --------- ------------
<S> <C> <C> <C> <C> <C>
Net asset value,
beginning of period... $17.5294 $20.2278 $16.8816 $11.6401 $10.0000
--------- --------- --------- --------- ---------
Income (loss) from
investment operations:
Net investment
income............... 2.6800** 2.2017 1.7757** 1.3882 0.4485
Net realized and
unrealized gain
(loss)............... 2.8863 (4.9001) 1.5705 3.8533 1.1916
--------- --------- --------- --------- ---------
Total income (loss)
from investment
operations.......... 5.5663 (2.6984) 3.3462 5.2415 1.6401
--------- --------- --------- --------- ---------
Net asset value, end of
period................ $23.0957 $17.5294 $20.2278 $16.8816 $11.6401
========= ========= ========= ========= =========
Total return (non-
annualized)........... 31.75% (13.34)% 19.82% 45.03% 16.40%
Ratios/Supplemental
data
Net assets, end of
period
(in 000s)............ $448,215 $398,238 $428,085 $222,571 $119,654
Ratio of gross
expenses to average
net assets........... 0.12% 0.12% 0.13% 0.18% 0.50%***
Ratio of net
investment income to
average net assets... 13.66% 12.21% 9.83% 11.89% 12.95%***
Portfolio turnover
rate................. 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.
144
<PAGE>
BRINSON RELATIONSHIP FUNDS - NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES
The Brinson Relationship Funds (the "Trust") is an open-end, management
investment company registered under the Investment Company Act of 1940, as
amended. The Trust currently offers shares of twelve series representing
separate portfolios of investments, each of which is non-diversified. The
twelve series are: Brinson Global Securities Fund, Brinson U.S. Equity Fund,
Brinson U.S. Large Capitalization Equity Fund, Brinson U.S. Large
Capitalization Value Equity Fund, Brinson Post-Venture Fund, Brinson Global
(Ex-U.S.) Equity Fund (formerly Brinson Non-U.S. Equity Fund), Brinson Emerging
Markets Equity Fund, Brinson U.S. Short/Intermediate Fixed Income Fund, Brinson
U.S. Cash Management Prime Fund, Brinson 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. 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.
145
<PAGE>
BRINSON RELATIONSHIP FUNDS - NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
F. Partnership Allocations: For federal income tax purposes, an investor's
distributive share of each item of a Fund's income, gain, loss, deduction and
credit will be determined by the Amended and Restated Agreement and Declaration
of Trust (the "Trust Agreement") so long as the allocation has "substantial
economic effect" within the meaning of Code Section 704 and the regulations
thereunder. The Trust has received rulings from the Internal Revenue Service
that this allocation method has substantial economic effect.
G. Use of Estimates: The preparation of financial statements in conformity with
generally accepted accounting principles requires management to make estimates
and assumptions that affect the amounts reported in the financial statements
and accompanying notes. Actual results may differ from those estimates.
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 Post-Venture Fund and
Brinson High Yield Fund for all operating expenses. The Advisor has agreed to
reimburse the following Funds to the extent that total operating expenses
exceed the following percentage of average daily net assets:
<TABLE>
<S> <C>
Brinson Global Securities Fund............................................ 0.05%
Brinson U.S. Equity Fund.................................................. 0.01
Brinson U.S. Large Capitalization Equity Fund............................. 0.01
Brinson U.S. Large Capitalization Value Equity Fund....................... 0.01
Brinson Global (Ex-U.S.) Equity Fund...................................... 0.06
Brinson Emerging Markets Equity Fund...................................... 0.50
Brinson U.S. Short/Intermediate Fixed Income Fund......................... 0.01
Brinson U.S. Cash Management Prime Fund................................... 0.01
Brinson Short-Term Fund................................................... 0.05
Brinson Emerging Markets Debt Fund........................................ 0.50
</TABLE>
Certain officers of the Funds are also officers and directors of the Advisor.
All officers serve without direct compensation from the Funds. Trustees' fees
paid to unaffiliated trustees were as follows:
<TABLE>
<S> <C>
Brinson Global Securities Fund......................................... $16,060
Brinson U.S. Equity Fund............................................... 4,745
Brinson U.S. Large Capitalization Equity Fund.......................... 3,140
Brinson U.S. Large Capitalization Value Equity Fund.................... 5,188
Brinson Post-Venture Fund.............................................. 6,205
Brinson Global (Ex-U.S.) Equity Fund................................... 5,840
Brinson Emerging Markets Equity Fund................................... 8,246
Brinson U.S. Short/Intermediate Fixed Income Fund...................... 4,585
Brinson U.S. Cash Management Prime Fund................................ 6,423
Brinson Short-Term Fund................................................ 4,469
Brinson High Yield Fund................................................ 4,745
Brinson Emerging Markets Debt Fund..................................... 5,475
</TABLE>
146
<PAGE>
BRINSON RELATIONSHIP FUNDS - NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
The Brinson Global Securities Fund invests in shares of certain affiliated
investment companies also sponsored by Brinson Partners, Inc. These investments
represented 18.49% of the Fund's total net assets at December 31, 1999. Amounts
relating to those investments at December 31, 1999 and for the year then ended
is summarized as follows:
<TABLE>
<CAPTION>
Net Change in
Sales Realized Net Unrealized
Affiliates Purchases Proceeds Gain/(Loss) Gain/(Loss) Value
- ------------------------ ------------ ------------ ----------- -------------- ------------
<S> <C> <C> <C> <C> <C>
Brinson Post-Venture
Fund................... $ -- $ -- $ -- $ 842,729 $ 29,630,274
Brinson High Yield
Fund................... 2,000,000 13,000,000 1,567,178 374,066 36,324,874
Brinson Emerging Markets
Equity Fund............ -- 12,418,716 (978,115) 28,183,790 60,432,175
Brinson Emerging Markets
Debt Fund.............. -- 15,000,000 2,720,404 20,925,519 90,667,854
Brinson Supplementary
Trust U.S. Cash
Management Prime Fund.. 793,140,872 807,917,091 -- -- 25,548,446
------------ ------------ ---------- ----------- ------------
$795,140,872 $848,335,807 $3,309,467 $50,326,104 $242,603,623
============ ============ ========== =========== ============
</TABLE>
147
<PAGE>
BRINSON RELATIONSHIP FUNDS - NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
The following Funds invest in shares of the Brinson Supplementary Trust U.S.
Cash Management Prime Fund ("Supplementary Trust"). The Supplementary Trust is
an investment company managed by the Advisor. The Supplementary Trust is
offered as a cash management option only to mutual funds and other accounts
managed by the Advisor. The Supplementary Trust pays no management fees.
Distributions from the Supplementary Trust are reflected as interest income on
the statement of operations. Amounts relating to those investments at December
31, 1999 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........ $ 793,140,872 $ 807,917,091 $ 1,420,175 $25,548,446 1.95%
Brinson U.S. Equity
Fund................... 61,764,502 61,981,376 476,153 3,153,198 1.54
Brinson U.S. Large
Capitalization Equity
Fund................... 15,401,060 15,349,681 20,393 51,379 5.96
Brinson U.S. Large
Capitalization Value
Equity Fund............ 33,577,778 33,193,577 153,015 1,548,605 1.56
Brinson Post-Venture
Fund................... 231,834,323 212,637,391 1,887,515 45,574,707 8.07
Brinson Global
(Ex-U.S.) Equity Fund.. 52,770,648 52,998,569 130,356 734,046 0.62
Brinson Emerging Markets
Equity Fund............ 307,086,024 294,010,392 911,752 23,338,964 4.78
Brinson U.S.
Short/Intermediate
Fixed Income Fund...... 29,938,882 30,327,830 103,739 64,248 3.22
Brinson U.S. Cash
Management Prime Fund.. 1,268,095,642 1,044,977,421 24,448,587 522,161,380 100.00
Brinson Short-Term
Fund................... 4,976,971 4,976,971 729 -- --
Brinson High Yield
Fund................... 196,476,537 203,277,642 817,192 958,619 0.31
Brinson Emerging Markets
Debt Fund.............. 241,373,684 237,018,853 527,871 11,835,193 2.64
</TABLE>
148
<PAGE>
BRINSON RELATIONSHIP FUNDS - NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
3. INVESTMENT TRANSACTIONS
Investment transactions for the year ended December 31, 1999, excluding short-
term investments, were as follows:
<TABLE>
<CAPTION>
Proceeds
Purchases From Sales
-------------- --------------
<S> <C> <C>
Brinson Global Securities Fund.................. $1,220,367,821 $1,581,448,785
Brinson U.S. Equity Fund........................ 133,727,208 96,515,750
Brinson U.S. Large Capitalization Equity Fund... 16,444,825 13,212,632
Brinson U.S. Large Capitalization Value Equity
Fund........................................... 100,866,417 112,535,579
Brinson Post-Venture Fund....................... 407,281,023 283,901,552
Brinson Global (Ex-U.S.) Equity Fund............ 101,386,564 76,985,034
Brinson Emerging Markets Equity Fund............ 354,120,873 463,578,812
Brinson U.S. Short/Intermediate Fixed Income
Fund........................................... 29,451,172 48,073,438
Brinson High Yield Fund......................... 298,566,813 283,857,260
Brinson Emerging Markets Debt Fund.............. 269,642,815 310,138,692
</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 December 31, 1999, the Brinson Emerging Markets Equity Fund had open equity
swap contracts with a limited number of international dealers. The Fund had
short-term investments segregated with its custodian equal to, or in excess of,
the notional amount of its open equity swap contracts. The Brinson Emerging
Markets Debt Fund had no open swap contracts as of December 31, 1999.
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
149
<PAGE>
BRINSON RELATIONSHIP FUNDS - NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
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 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 year ended December 31, 1999, was
an affiliate of 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 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 global (Ex-U.S.) 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 December 31, 1999, were as follows:
<TABLE>
<CAPTION>
Cash
Value of Loaned Collateral-
Securities Received
--------------- ------------
<S> <C> <C>
Brinson Global Securities Fund.................... $249,533,255 $256,702,678
============ ============
</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
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<PAGE>
BRINSON RELATIONSHIP FUNDS - NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
Equity Fund were $3,396,455 and $3,745,133 and the Brinson Emerging Markets
Debt Fund were $140,060 and $900,123 respectively for the year ended December
31, 1999 and 1998, respectively, and are included in shares sold on the
statements of changes in net assets.
This Report is submitted for the general information of the shareholders of the
Funds. It is not authorized for distribution to prospective investors in the
Funds unless preceded or accompanied by an effective Prospectus which includes
details regarding each Fund's objectives, policies, expenses and other
information.
151
<PAGE>
THE BRINSON RELATIONSHIP FUNDS -- REPORT OF INDEPENDENT AUDITORS
- --------------------------------------------------------------------------------
The Board of Trustees and Shareholders of
The Brinson Relationship Funds --
Brinson Global Securities Fund
Brinson U.S. Equity Fund
Brinson U.S. Large Capitalization Equity Fund
Brinson U.S. Large Capitalization Value Equity Fund
Brinson Post-Venture Fund
Brinson Global (Ex-U.S.) Equity Fund
Brinson Emerging Markets Equity Fund
Brinson U.S. Short/Intermediate Fixed Income Fund
Brinson U.S. Cash Management Prime Fund
Brinson Short-Term Fund
Brinson High Yield Fund
Brinson Emerging Markets Debt Fund
We have audited the accompanying statements of assets and liabilities,
including the schedules of investments, of The Brinson Relationship Funds --
Brinson Global Securities Fund, Brinson U.S. Equity Fund, Brinson U.S. Large
Capitalization Equity Fund, Brinson U.S. Large Capitalization Value Equity
Fund, Brinson Post-Venture Fund, Brinson Global (Ex-U.S.) Equity Fund (formerly
Brinson Non-U.S. Equity Fund), Brinson Emerging Markets Equity Fund, Brinson
U.S. Short/Intermediate Fixed Income Fund, Brinson U.S. Cash Management Prime
Fund, Brinson Short-Term Fund, Brinson High Yield Fund and Brinson Emerging
Markets Debt Fund as of December 31, 1999, the related statements of
operations, cash flows (Brinson Global Securities Fund only), changes in net
assets and the financial highlights for the periods indicated therein. These
financial statements and financial highlights are the responsibility of the
Funds' management. Our responsibility is to express an opinion on these
financial statements and financial highlights based on our audits.
We conducted our audits in accordance with auditing standards generally
accepted in the United States. Those standards require that we plan and perform
the audit to obtain reasonable assurance about whether the financial statements
and financial highlights are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements. Our procedures included confirmation of securities
owned as of December 31, 1999, by correspondence with the custodian. An audit
also includes assessing the accounting principles used and significant
estimates made by management, as well as evaluating the overall financial
statement presentation. We believe that our audits provide a reasonable basis
for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of The
Brinson Relationship Funds -- Brinson Global Securities Fund, Brinson U.S.
Equity Fund, Brinson U.S. Large Capitalization Equity Fund, Brinson U.S. Large
Capitalization Value Equity Fund, Brinson Post-Venture Fund, Brinson Global
(Ex-U.S.) Equity Fund, Brinson Emerging Markets Equity Fund, Brinson U.S.
Short/Intermediate Fixed Income Fund, Brinson U.S. Cash Management Prime Fund,
Brinson Short-Term Fund, Brinson High Yield Fund and Brinson Emerging Markets
Debt Fund at December 31, 1999, the results of their operations, cash flows
(Brinson Global Securities Fund only), changes in their net assets and the
financial highlights for the periods indicated therein in conformity with
accounting principles generally accepted in the United States.
/s/ Ernst & Young LLP
Chicago, Illinois
February 8, 2000
152
