<PAGE>
President's Letter
Dear Shareholders:
The Fund commenced operations on March 8, 1999. From that date until
October 31, 1999, the Fund earned a total return of 2.19% on Class A shares and
1.60% on Class B shares. This compares favorably to a return of 0.11% for the
Lipper Open End High Yield Fund Average during that same time period. For the
Quarter ending October 31, 1999, the Fund's total return was -.98% (Class A)
and -1.17% (Class B) which also compares favorably to the -1.88% total
return for the Lipper Average. There were no defaults in the portfolio this
fiscal year.
The sources of the Fund's performance were advantageous sector weightings and
securities selection as well as a less risk-tolerant stance that emphasized
higher quality larger issuers. The Fund remained over-weighted in the media and
telecom sectors, both of which continue to benefit from the convergence of the
telecom/cable/internet businesses, supportive capital markets activities and
strong underlying equities markets. Given the small size of the Fund and the
unsettled market environment we will continue to proceed along this conservative
path.
The high-yield market is currently being buffeted by the uncertainty surrounding
Federal Reserve Bank interest policy, the direction of the stock market and
abundant new-issue supply. We believe once the Fed is finished raising interest
rates, both the stock market and the high-yield market will settle down and the
tone will firm up as supply and demand come into balance. However, we also
believe that the dramatically rising default rate within the high-yield universe
is a permanent situation that will continue into the foreseeable future. This
deterioration results from a combination of intense microeconomic competition,
looser underwriting standards at commercial and investment banks and the
proliferation of 'first-time' small-sized issuers. Accordingly, the Fund
continues to be managed defensively through ongoing fundamental research and
constant monitoring of each holding's creditworthiness with the intention of
identifying bonds poised to benefit from upgrades or other positive events and
identifying negative signals which indicate deterioration. The brighter side of
the equation is that we believe the strong fundamentals of the U.S. economy
still underpin a healthy future and that we encourage investors to take a
long-term investment approach in our high yield bond fund.
Thank you for your continued interest in the Fund. The Officers and Trustees
would like to wish you a happy and prosperous New Year.
Sincerely,
G. MOFFETT COCHRAN
- -----------------------------
G. Moffett Cochran
President December, 1999
<PAGE>
FUND HIGHLIGHTS (unaudited)
DLJ WINTHROP HIGH INCOME FUND
TOP TEN HOLDINGS as of October 31, 1999
<TABLE>
<CAPTION>
% OF
SECURITY DESCRIPTION NET ASSETS
- -------------------- ----------
<S> <C>
Williams Communications Group,
Inc. 10.875%, 10/01/09......... 2.00%
Argosy Gaming Co.
10.750%, 06/01/09.............. 2.00%
Station Casinos, Inc.
10.125%, 03/15/06.............. 2.00%
Time Warner Telecom, Inc.
9.750%, 07/15/08............... 1.99%
Esat Telecom Group plc Ser. B
11.875%, 12/01/08.............. 1.98%
King Pharmaceutical, Inc.
10.750%, 02/15/09.............. 1.98%
Gentek, Inc.
11.000%, 08/01/09.............. 1.98%
Nextel Communications, Inc.
9.750%, 08/15/04............... 1.98%
NEXTLINK Communications, Inc.
10.750%, 06/01/09.............. 1.97%
Consolidated Container Co. LLC
10.125%, 07/15/09.............. 1.96%
</TABLE>
ASSET ALLOCATION BY INDUSTRY October 31, 1999
<TABLE>
<CAPTION>
% OF
INDUSTRY NET ASSETS
- -------- ----------
<S> <C>
Telecommunications............... 20.7%
Media/Entertainment.............. 16.3
Gaming/Leisure................... 5.9
Chemicals........................ 5.8
Retail........................... 5.6
Transportation/Automotive........ 5.5
Financial Services............... 3.8
Forest Products/Containers....... 3.8
Healthcare....................... 3.8
Manufacturing -- Misc............ 3.6
Information Technology........... 3.5
Food & Tobacco................... 3.4%
Consumer Non-Durable............. 2.0
Energy........................... 1.9
Metal & Minerals................. 1.9
Food & Drugs..................... 1.8
Housing.......................... 1.8
Aerospace........................ 1.7
Service.......................... 1.7
Cash Equivalents and Other Assets
Net of Liabilities............. 5.5
-----
TOTAL............................ 100.0%
-----
-----
</TABLE>
PORTFOLIO AND FUND INFORMATION October 31, 1999
30 DAY YIELD, CLASS A: 9.14%
30 DAY YIELD, CLASS B: 8.82%
30 DAY YIELD, CLASS D: 9.85%
AVERAGE RATING: B*
AVERAGE YEARS TO MATURITY: 7.9 YEARS*
AVERAGE COUPON: 9.41%'D'*
AVERAGE DURATION: 4.74 YEARS*
* Weighted Average
'D' Exclusive of Commercial Paper
<PAGE>
DLJ WINTHROP HIGH INCOME FUND -- STATEMENT OF INVESTMENTS October 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
BONDS -- 94.5% --------- -----------
<S> <C> <C>
AEROSPACE -- 1.7%
BE Aerospace, Inc. Ser. B
8.000%, 03/01/08**................ $250,000 $ 223,125
-----------
CHEMICALS -- 5.8%
Huntsman ICI Chemicals LLC
10.125%, 07/01/09**............... 250,000 248,125
Lyondell Chemical Co.
10.875%, 05/01/09**............... 250,000 250,625
ZSC Specialty Chemicals plc
11.000%, 07/01/09*,**............. 250,000 251,875
-----------
750,625
-----------
CONSUMER NON-DURABLE -- 2.0%
Consolidated Container Co. LLC
10.125%, 07/15/09*,**............. 250,000 251,875
-----------
ENERGY -- 1.9%
R&B Falcon Corp.
9.500%, 12/15/08**................ 250,000 240,000
-----------
FINANCIAL SERVICES -- 3.8%
AmeriCredit Corp.
9.875%, 04/15/06**................ 250,000 250,625
Metris Companies, Inc.
10.125%, 07/15/06*,**............. 250,000 239,375
-----------
490,000
-----------
FOOD & DRUGS -- 1.8%
New World Pasta Co.
9.250%, 02/15/09**................ 250,000 229,375
-----------
FOOD & TOBACCO -- 3.4%
Advantica Restaurant Group, Inc.
11.250%, 01/15/08**............... 250,000 193,125
National Wine & Spirits Holdings
Corp. 10.125%, 01/15/09**......... 250,000 248,125
-----------
441,250
-----------
FOREST PRODUCTS/CONTAINERS -- 3.8%
Packaging Corp. of America
9.625%, 04/01/09*,**.............. 250,000 251,250
Phoenix Color Corp.
10.375%, 02/01/09**............... 250,000 231,875
-----------
483,125
-----------
GAMING/LEISURE -- 5.9%
Argosy Gaming Co.
10.750%, 06/01/09**............... 250,000 256,875
Mohegan Tribal Gaming
8.750%, 01/01/09**................ 250,000 244,375
Station Casinos, Inc.
10.125%, 03/15/06**............... 250,000 256,875
-----------
758,125
-----------
HEALTHCARE -- 3.8%
ICN Pharmaceutical, Inc.
8.750%, 11/15/08*,**.............. $250,000 $ 231,250
King Pharmaceutical, Inc.
10.750%, 02/15/09**............... 250,000 255,000
-----------
486,250
-----------
HOUSING -- 1.8%
Webb (Del E.) Corp.
10.250%, 02/15/10**............... 250,000 230,000
-----------
INFORMATION TECHNOLOGY -- 3.5%
Fairchild Semiconductor Corp.
10.375%, 10/01/07**............... 250,000 250,000
Viasystems, Inc. Ser. B
9.750%, 06/01/07**................ 250,000 202,500
-----------
452,500
-----------
MANUFACTURING-MISC. -- 3.6%
BGF Industries, Inc.
10.250%, 01/15/09**............... 250,000 203,750
Gentek, Inc.
11.000%, 08/01/09*,**............. 250,000 254,375
-----------
458,125
-----------
MEDIA/ENTERTAINMENT -- 16.3%
Adelphia Communications Corp.
7.875%, 05/01/09.................. 250,000 226,875
American Media Operations
10.250%, 05/01/09**............... 250,000 243,750
Carmike Cinemas, Inc. Ser. B
9.375%, 02/01/09**................ 250,000 235,000
Charter Communications Holdings LLC
8.625%, 04/01/09**................ 250,000 236,875
Echostar DBS Corp.
9.375%, 02/01/09**................ 250,000 247,500
Liberty Group, Inc.
9.375%, 02/01/08**................ 250,000 238,125
Premier Parks, Inc.
9.250%, 04/01/06**................ 250,000 239,063
Regal Cinemas, Inc.
9.500%, 06/01/08**................ 250,000 187,500
United Pan - Europe
Communications NV
10.875%, 08/01/09*,**............. 250,000 244,375
-----------
2,099,063
-----------
METAL & MINERALS -- 1.9%
Kaiser Aluminum & Chemical Corp.
12.750%, 02/01/03**............... 250,000 248,750
-----------
RETAIL -- 5.6%
MusicLand Group, Inc.
9.000%, 06/15/03**................ 250,000 229,375
Rent-A-Center, Inc.
11.000%, 08/15/08**............... 250,000 249,375
Simmons Co. Ser. B
10.250%, 03/15/09**............... 250,000 244,375
-----------
723,125
-----------
</TABLE>
See notes to financial statements.
<PAGE>
DLJ WINTHROP HIGH INCOME FUND -- STATEMENT OF INVESTMENTS October 31, 1999
(continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
--------- -----------
<S> <C> <C>
SERVICE -- 1.7%
Allied Waste North America, Inc.
10.000%, 08/01/09*,**............. $250,000 $ 213,750
-----------
TELECOMMUNICATIONS -- 20.7%
Crown Castle International Corp.
9.000%, 05/15/11**................ 250,000 238,750
Dobson/Sygnet Communications, Inc.
13.000%, 05/01/09**............... 257,000 241,580
Esat Telecom Group plc Ser. B
11.875%, 12/01/08**............... 250,000 255,000
Hermes Europe Railtel BV
11.500%, 08/15/07**............... 250,000 248,750
Nextel Communications, Inc.
9.750%, 08/15/04**,***............ 250,000 254,375
NEXTLINK Communications, Inc.
10.750%, 06/01/09**............... 250,000 253,750
NTL, Inc. Ser. B
12.375%, 10/01/08**,***........... 250,000 168,750
Primus Telecommunications Group,
Inc. 11.750%, 08/01/04**.......... 250,000 243,750
PSI Net, Inc. Ser. B
10.000%, 02/15/05**............... 250,000 246,250
Time Warner Telecom, Inc.
9.750%, 07/15/08**................ 250,000 256,250
Williams Communications Group, Inc.
10.875%, 10/01/09**............... 250,000 256,875
-----------
2,664,080
-----------
TRANSPORTATION/AUTOMOTIVE -- 5.5%
American Axle & Manufacturing
Holdings, Inc.
9.750%, 03/01/09**................ 250,000 248,125
Roller Bearing Company of America
Ser. B
9.625%, 06/15/07**................ 250,000 223,750
Venture Holdings Trust
11.000%, 06/01/07*,**............. 250,000 245,000
-----------
716,875
-----------
TOTAL BONDS
(cost $12,719,686)........................... 12,160,018
-----------
COMMERCIAL PAPER -- 5.4%
(amortized cost $694,000)
Merrill Lynch & Co.
5.300%, 11/01/99.................. $694,000 $ 694,000
-----------
TOTAL INVESTMENTS -- 99.9%
(cost $13,413,686)........................... 12,854,018
-----------
CASH AND OTHER ASSETS
NET OF LIABILITIES -- 0.1%..................... 6,712
-----------
NET ASSETS -- 100.0%............................. $12,860,730
-----------
-----------
</TABLE>
Notes to Statement of Investments:
* 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. As of October 31,
1999, the value of these securities amounted to $2,183,125 or 17.0% of net
assets.
** Security has an effective maturity date less than the stated maturity date
due to a call feature.
*** Zero coupon until a specified date at which time the stated coupon rate
becomes effective until maturity.
See notes to financial statements.
<PAGE>
DLJ WINTHROP HIGH INCOME FUND -- STATEMENT OF ASSETS AND LIABILITIES October 31,
1999
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS:
Investment in securities, at value (cost $13,413,686)..... $12,854,018
Cash...................................................... 534
Receivable for capital stock sold......................... 4,980
Dividends and interest receivable......................... 350,723
Reimbursement due from advisor............................ 20,977
-----------
Total assets.............................................. 13,231,232
-----------
LIABILITIES:
Payable to distributor.................................... 7,165
Payable for capital stock redeemed........................ 290,100
Dividend payable.......................................... 30,345
Accrued expenses and other liabilities.................... 42,892
-----------
Total liabilities......................................... 370,502
-----------
NET ASSETS.................................................. $12,860,730
-----------
-----------
NET ASSETS CONSIST OF:
Capital paid-in........................................... $13,332,046
Accumulated net realized gain on investments.............. 88,352
Net unrealized depreciation of investments................ (559,668)
-----------
$12,860,730
-----------
-----------
CLASS A SHARES:
Net assets................................................ $10,487,750
-----------
-----------
Shares outstanding........................................ 1,085,944
-----------
-----------
Net asset value and redemption value per share............ $ 9.66
-----------
-----------
Maximum offering price per share (net asset value plus
sales charge of 4.75% of offering price)............... $ 10.14
-----------
-----------
CLASS B SHARES:
Net assets................................................ $ 1,447,444
-----------
-----------
Shares outstanding........................................ 149,852
-----------
-----------
Net asset value and redemption value per share............ $ 9.66
-----------
-----------
CLASS D SHARES:
Net assets................................................ $ 925,536
-----------
-----------
Shares outstanding........................................ 95,884
-----------
-----------
Net asset value and redemption value per share............ $ 9.65
-----------
-----------
</TABLE>
See notes to financial statements.
<PAGE>
DLJ WINTHROP HIGH INCOME FUND -- STATEMENT OF OPERATIONS for the Period Ended
October 31, 1999*
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
INVESTMENT INCOME:
Interest.................................................. $619,998
--------
EXPENSES:
Investment advisory fees (Note B)......................... 44,319
Distribution fees -- Class A (Note B)..................... 13,858
Distribution fees -- Class B (Note B)..................... 5,164
Transfer agent fees....................................... 29,000
Custodian fees............................................ 27,000
Registration fees......................................... 20,200
Printing fees............................................. 7,000
Legal fees................................................ 8,000
Auditing fees............................................. 6,000
Trustees' fees (Note B)................................... 1,700
Miscellaneous............................................. 1,883
--------
Total expenses......................................... 164,124
Less expenses reimbursed by investment advisor (Note
B).................................................... (91,286)
--------
Net expenses........................................... 72,838
--------
NET INVESTMENT INCOME....................................... 547,160
--------
REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS:
Net realized gain on investments.......................... 88,352
Net change in unrealized depreciation on investments...... (559,668)
--------
Net realized and unrealized gain/(loss) on investments.... (471,316)
--------
NET INCREASE IN NET ASSETS FROM OPERATIONS.................. $ 75,844
--------
--------
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PERIOD ENDED
10/31/99*
------------
<S> <C>
OPERATIONS:
Net investment income..................................... $ 547,160
Net realized gain on investments.......................... 88,352
Net change in unrealized depreciation on investments...... (559,668)
-----------
Net increase in net assets from operations................ 75,844
-----------
DIVIDENDS TO SHAREHOLDERS FROM:
Investment income:
Class A................................................ (481,082)
Class B................................................ (40,859)
Class D................................................ (25,219)
-----------
Total Dividends to Shareholders........................... (547,160)
-----------
CAPTIAL STOCK TRANSACTIONS -- (NET) NOTE D.................. 13,332,046
-----------
Total increase in net assets.............................. 12,860,730
NET ASSETS:
Beginning of period....................................... --
-----------
End of period............................................. $12,860,730
-----------
-----------
</TABLE>
*The DLJ Winthrop High Income Fund commenced operations on March 8, 1999.
See notes to financial statements.
<PAGE>
DLJ WINTHROP HIGH INCOME FUND -- NOTES TO FINANCIAL STATEMENTS October 31, 1999
- --------------------------------------------------------------------------------
NOTE (A) SIGNIFICANT ACCOUNTING POLICIES. DLJ Winthrop High Income Fund ('Fund')
is a diversified series of the DLJ Winthrop Opportunity Funds (the 'Trust'). In
addition, the Trust consists of the DLJ Winthrop Municipal Money Fund, the DLJ
Winthrop U.S. Government Money Fund, the DLJ Winthrop International Equity Fund
and the DLJ Winthrop Developing Markets Fund. The Trust was organized as a
Delaware business trust under the laws of Delaware on May 31, 1995 and is
registered under the Investment Company Act of 1940 (the 'Act'), as amended, as
an open-end management investment company. The Fund commenced operations on
March 8, 1999. The Fund's primary objective is to seek high current income with
a secondary objective of seeking capital appreciation.
The Fund offers three classes of shares. Class A shares are sold with a
front-end sales charge of up to 4.75%. Class B shares are sold with a contingent
deferred sales charge which declines from 4% to zero depending on the period of
time the shares are held. Class D shares are offered exclusively to employees of
DLJ and its subsidiaries who are eligible to participate in the DLJ 401(k)
Retirement Savings Plan for Employees. Each class is identical in all respects
except that Class A and Class B bear different distribution service fees and
Class D shares are not subject to any distribution service fees. Each class has
different exchange privileges and only Class B shares have a conversion feature.
Class A and Class B have exclusive voting rights with respect to each class's
distribution plan.
The Portfolio is considered to be a separate entity for financial reporting and
tax purposes. The Fund's financial statements are prepared in accordance with
generally accepted accounting principles which may require the use of management
estimates and assumptions. Actual results could differ from those estimates. The
following is a summary of significant accounting policies consistently followed
by the Fund.
(1) SECURITY VALUATION: Fixed-income securities (other than short-term
obligations, but including listed issues) are valued based on prices obtained
by one or more independent pricing services approved by the Board of Trustees.
Securities (other than fixed-income securities) for which the principal market
is one or more securities exchanges are valued at the last reported sale price
(or, if there has been no current sale, at the closing bid price) on the
primary exchange on which such securities are traded. If a securities exchange
is not the principal market for a security, such security will, if market
quotations are readily available, be valued at the closing bid price in the
over-the-counter market (or the last sale price in the case of securities
reported on the NASDAQ national market system for which any sales occurred
during the day). Portfolio securities for which there are no such valuations
are valued at fair value as determined in good faith by or at the direction of
the Board of Trustees. Short-term obligations with maturities of less than 60
days are valued at amortized cost which approximates market value.
(2) SECURITIES TRANSACTIONS AND INVESTMENT INCOME: Securities transactions are
recorded as of the trade date. Realized gains and losses from securities
transactions are recorded on the identified cost basis. Dividend income is
recorded on the ex-dividend date. Interest income, including, where
applicable, accretion of discount on investments is recorded on the accrual
basis.
(3) FEDERAL INCOME TAXES: The Fund intends to be treated as a 'regulated
investment company' under Sub-chapter M of the Internal Revenue Code and to
distribute substantially all of its net taxable income. Accordingly, no
provisions for federal income taxes have been made in the accompanying
financial statements.
(4) DIVIDENDS AND DISTRIBUTIONS: It is the policy of the Fund to declare
dividends daily from net investment income. Such dividends are paid monthly.
Dividends from net realized capital gain, if any, are normally declared and
paid annually, but the Fund may make distributions on a more frequent basis to
comply with the distribution requirements of the Internal Revenue Code. To the
extent that net realized capital gain can be offset by capital loss
carryovers, it is the policy of the Fund not to distribute such gain.
<PAGE>
DLJ WINTHROP HIGH INCOME FUND -- NOTES TO FINANCIAL STATEMENTS October 31, 1999
(continued)
- --------------------------------------------------------------------------------
NOTE (B) ADVISORY AND DISTRIBUTION SERVICES AGREEMENT: DLJ Investment Management
Corp. (the 'Advisor') is a wholly-owned subsidiary of Donaldson, Lufkin &
Jenrette Securities Corporation, which is a wholly-owned subsidiary of
Donaldson, Lufkin and Jenrette, Inc. ('DLJ'). DLJ is an independently operated,
indirect subsidiary of AXA Financial, Inc., a holding company controlled by AXA,
a member of a large French insurance group. AXA is indirectly controlled by a
group of four French mutual insurance companies. Under its Advisory Agreement
with the Fund, the Advisor will provide investment advisory services and order
placement facilities for the Fund and pay all compensation of Trustees of the
Fund who are affiliated persons of the Advisor. The Advisor or its affiliates
will also furnish the Fund, without charge, management supervision and
assistance and office facilities. The Fund will pay the Advisor at the following
annual percentage rates of its average daily net assets: .70 of 1% of the first
$500 million and .625 of 1% of the balance. Such fees will be accrued daily and
paid monthly.
Through October 31, 2000, the Advisor has agreed to a contractual expense
limitation to reduce its management fees or reimburse operating expenses by the
amount that total fund operating expenses exceed 1.10% of the average daily net
assets of the Fund's Class A shares, 1.85% of the Fund's Class B shares and
0.85% of the Fund's Class D shares. After October 31, 2000, the Advisor may, in
its sole discretion, determine to discontinue this undertaking. As a result of
the assumption of expenses, the Fund was reimbursed $91,286 during the period
ended October 31, 1999.
Pursuant to Rule 12b-1 under the Act, the Fund has entered into a Distribution
Services Agreement (the 'Agreement') with Donaldson, Lufkin & Jenrette
Securities Corporation, the Fund's Distributor, under which the Fund pays a
distribution services fee to the Distributor at an annual rate of up to .25 of
1% of its average daily net assets attributable to Class A shares and 1% of the
average daily net assets attributable to Class B shares. Under the Agreement,
each Fund is obligated to pay distribution and/or service fees to the
Distributor for its distribution and service activities as reimbursement for
specific expenses incurred. In addition, the Agreement provides that the Advisor
may use its own resources including fees from investment companies (including
the Fund) to finance the distribution of the Fund's shares.
Each Trustee who is not an affiliated person receives an attendance fee of
$2,000 per meeting. In addition, each unaffiliated Trustee receives an
attendance fee of $1,000 per audit committee meeting. Attendance fees are
charged to all series of the Trust and are allocated on a pro rata basis.
Costs incurred in connection with the Fund's organization have been absorbed by
the Advisor.
NOTE (C) INVESTMENT TRANSACTIONS: For federal income tax purposes, the cost of
securities owned at October 31, 1999 was substantially the same as the cost of
securities for financial statement purposes. At October 31, 1999, the components
of net unrealized appreciation (depreciation) on investments were as follows:
<TABLE>
<S> <C>
Gross appreciation (investments having an excess of value
over cost)................................................ $ 51,217
Gross depreciation (investments having an excess of cost
over value)............................................... (610,885)
---------
Net unrealized depreciation on investments.................. $(559,668)
---------
---------
</TABLE>
For the period ended October 31, 1999, total aggregate purchases and sales
of portfolio securities, excluding short-term securities, were as follows:
<TABLE>
<S> <C>
Purchases................................................... $29,974,836
Sales....................................................... 17,348,438
</TABLE>
<PAGE>
DLJ WINTHROP HIGH INCOME FUND -- NOTES TO FINANCIAL STATEMENTS October 31, 1999
(continued)
- --------------------------------------------------------------------------------
NOTE (D) SHARES OF BENEFICIAL INTEREST: There is an unlimited number of shares
($0.001 par value) authorized. Transactions in shares of beneficial interest
were as follows:
<TABLE>
<CAPTION>
PERIOD ENDED
OCTOBER 31, 1999*
-----------------------
SHARES AMOUNT
------ ------
<S> <C> <C>
CLASS A
Shares sold................................................. 1,147,988 $11,482,944
Shares issued through reinvestment of dividends............. 29,206 289,072
--------- -----------
1,177,194 11,772,016
--------- -----------
Shares redeemed............................................. (91,250) (901,341)
--------- -----------
Net increase................................................ 1,085,944 $10,870,675
--------- -----------
--------- -----------
CLASS B
Shares sold................................................. 146,586 $ 1,472,897
Shares issued through reinvestment of dividends............. 3,485 34,378
--------- -----------
150,071 1,507,275
--------- -----------
Shares redeemed............................................. (219) (2,146)
--------- -----------
Net increase................................................ 149,852 $ 1,505,129
--------- -----------
--------- -----------
CLASS D
Shares sold................................................. 95,325 $ 951,003
Shares issued through reinvestment of dividends............. 2,578 25,219
--------- -----------
97,903 976,222
--------- -----------
Shares redeemed............................................. (2,019) (19,980)
--------- -----------
Net increase................................................ 95,884 $ 956,242
--------- -----------
--------- -----------
</TABLE>
*The DLJ Winthrop High Income Fund commenced operations on March 8, 1999.
<PAGE>
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
The table below sets forth financial data for a share of capital stock
outstanding throughout the period presented. This information has been derived
from information in the financial statements.
<TABLE>
<CAPTION>
PERIOD ENDED
OCTOBER 31, 1999*
--------------------------------
CLASS A CLASS B CLASS D(4)
------- ------- ----------
<S> <C> <C> <C>
Net asset value, beginning of period........................ $ 10.00 $ 10.00 $ 10.23
INCOME FROM INVESTMENT OPERATIONS:
Net investment income..................................... 0.563 0.504 0.414
Net realized and unrealized loss on investments........... (0.340) (0.340) (0.580)
-------- -------- --------
Total from investment operations....................... 0.223 0.164 0.166
LESS DISTRIBUTIONS:
From net investment income................................ (0.563) (0.504) (0.414)
-------- -------- --------
Net asset value, end of period.............................. $ 9.66 $ 9.66 $ 9.65
-------- -------- --------
-------- -------- --------
Total Return(1)............................................. 2.19% 1.60% (1.63)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's omitted)................. $ 10,488 $ 1,447 $ 926
Ratio of expenses to average net assets(2)(3)............. 1.10% 1.85% 0.85%
Ratio of net investment income to average net
assets(2)(3)........................................... 8.61% 7.83% 9.36%
Portfolio turnover rate................................... 188.4% 188.4% 188.4%
</TABLE>
* DLJ Winthrop High Income Fund commenced operations on March 8, 1999.
(1) Total return is calculated assuming an initial investment made at the net
asset value at the beginning of the period, reinvestment of all dividends
and distributions at net asset value during the period, and redemption on
the last day of the period. Initial sales charge or contingent deferred
sales charge is not reflected in the calculation of total return. Total
return calculated for a period of less than one year is not annualized.
(2) Annualized
(3) Net of voluntary assumption by Advisor of expenses, expressed as a
percentage of average net assets, of Class A shares, Class B shares and
Class D shares: 1.43% for the period ended October 31, 1999.
(4) Class D shares commenced operations on May 13, 1999.
<PAGE>
REPORT OF ERNST & YOUNG LLP, INDEPENDENT AUDITORS
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Shareholders and Board of Trustees
DLJ Winthrop High Income Fund
We have audited the accompanying statement of assets and liabilities, including
the statement of investments, of DLJ Winthrop High Income Fund (one of the Funds
constituting DLJ Winthrop Opportunity Funds) as of October 31, 1999, and the
related statements of operations and changes in net assets and financial
highlights for the period from March 8, 1999 (commencement of operations) to
October 31, 1999. These financial statements and financial highlights are the
responsibility of the Fund's management. Our responsibility is to express an
opinion on these financial statements and financial highlights based on our
audit.
We conducted our audit in accordance with generally accepted auditing standards.
Those standards require that we plan and perform the audit to obtain reasonable
assurance about whether the financial statements and financial highlights are
free of material misstatement. An audit includes examining, on a test basis,
evidence supporting the amounts and disclosures in the financial statements and
financial highlights. Our procedures included confirmation of securities owned
as of October 31, 1999 by correspondence with the custodian and brokers. 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 audit provides 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 DLJ
Winthrop High Income Fund at October 31, 1999, and the results of its
operations, the changes in its net assets and the financial highlights for the
period from March 8, 1999 to October 31, 1999, in conformity with generally
accepted accounting principles.
ERNST & YOUNG LLP
New York, New York
December 27, 1999
<PAGE>
TRUSTEES
G. Moffett Cochran
Robert E. Fischer
Wilmot H. Kidd, III
Martin Jaffe
John W. Waller, III
OFFICERS
G. Moffett Cochran, Chairman and President
James A. Engle, Vice President
Martin Jaffe, Vice President, Secretary and Treasurer
Brian A. Kammerer, Vice President
Michael A. Snyder, Vice President
INVESTMENT ADVISER
DLJ Investment Management Corp.
277 Park Avenue, New York, NY 10172
CUSTODIAN
Citibank, N.A.
111 Wall Street, New York, NY 10043
TRANSFER AGENT
PFPC, Inc.
P.O. Box 61787 (211 South Gulph Road)
King of Prussia, PA 19406-0903
DISTRIBUTOR
Donaldson, Lufkin & Jenrette Securities Corporation
277 Park Avenue, New York, NY 10172
INDEPENDENT AUDITORS
Ernst & Young LLP
787 Seventh Avenue, New York, NY 10019
LEGAL COUNSEL
Skadden, Arps, Slate, Meagher & Flom
919 Third Avenue, New York, NY 10022
This report is submitted for the general information of the stockholders
of the Fund. It is not authorized for distribution to prospective investors
in the Fund unless preceded or accompanied by an effective prospectus,
which should be read carefully before investing.
[DLJ Logo]
277 Park Avenue, New York, NY 10172
800-225-8011
ANNUAL-HIGHINC99
ANNUAL REPORT
[DLJ Logo]
Leadership through
Experience
DLJ Winthrop
High Income Fund
October 31, 1999
STATEMENT OF DIFFERENCES
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The dagger symbol shall be expressed as................................... 'D'
