FRESCO - Fundsquare

FRESCO

(Societe d’lnvestissement a Capital Variable) organized in Luxembourg

UNAUDITED REPORT

31 December 2001

Fresco DJ Japan Titans 100

Fresco DJ UK Titans 50

Fresco DJ US (Large Cap)

Fresco DJ US Technology

Fresco Dow Jones Industrial Average

Fresco Euro STOXX 50

No skibscrip(ioriu can tie received on t h e tlasis of financial i eports. Subscl-lptlorrs are orl ly valid If itlade on t h e basis of t h e curl-ent Prospectus supplanlented by the latest Anrrual Report and latest Sarni.Arinual Kepott If published hereafter.

Adniinisti-ation and Directors

Slatement of Not Assels

Schedule of Investnienls DJ Japan Titans 100 Sub-furid

Schtxiule of Investmeiils DJ UK 1-itans 50 Sub. fund

Schedule of lriveslriients DJ US (Lnryo Cap) Sub-fund

Schedule of lnvestnienls DJ US Technology Sub-fund

Schedule nf Iiivcslments now Jones Industrial Average Suti-furid

SChcdule Of Il>VeStlllClllS E.UIo s loxx 50 SUb.fLJlld

Notes to the Financial Statenicnts

Page

3

4

6

11

14

22

24

26

28

'4 Il M IN IS '1' RAT 10 N A N 11 1) 1 RE 0'1'0 HS

Registered Office

47 houli?vard Royal L-2449 LUXEMUCSURG R.C. 8-83626

Advisory Company

Fresco Advisory Holding S A 291, Route d'Arlori L-I150 l.cixernt-,oury

Portfolio Managers of Sub-funds

LJBS Asset Managonnant Limited Triton Court 14 f-inshciry Square Londori EC2A 1PO Uriitacl Kingdoin

Ail d i lor s

PjicewaterhoLiseCoopers S.h r.1 Rkviscurs der-itisprises 4.00, route d'Esct1 B.P. 1443 L-1014 Luxembourg

C 11 stod i a ri B a 11 k

State Strast 5ai-ik 1.cixeirrboui-g S.A 17 tmulavard iioyal 1.-2449 Luxeiribourg

Directors

Dr k1eii.w I-iaininarli (Chairman)

Mr M a i ~ i d Hauser

Company Administrator

State Street Bank Luxembourg SA. 47 boulevard Royal L-2449 Luxambourg

Distributor

UBS AG Aeschenvorstadt 1, Ct-1-4002 Basel, arid Bahnhofsttasse 45, CH-8001 Zurich Switzerland

Paying Agent in Gerriiany

lJBS Privata Banking Deutschland AG Staphanstrassc 14-16, D-60313 Frankfurt am Mail\, Gsrinany

Paying Agent in Switzerland

UHS AG Asschenvorstadt 1, CH-4002 Basal, Switzerland

Hatintnofstrasse 45. Ct-1-8098 Zurich, Switzerland

Representation Agent in Switzerlaiid

lJBS Fund Managernant (Switzerland) AG Aoschenvoistadt 1, CH-4002 Basel Switzerland

Representation and lnforniation Agent in Gerrnany

UDS Asset Management GnibH Stbphanstrasse 14-16 D-60313 Frariltfurt am Main Germany

Legal Advisers

as to English Law Clifford Chance 1.irnited L iability P a tnersliip 200 Aldarsgate Sheet Loridoii ECIA 4JJ

as to Luxembourg Law Kreiriei- Associhs & Clifford Chance 6, Riie Heinrich t-leine L - 1 7 2 0 I. i 1 x e n-i bo ur g

3

Statement of Net Assets

as of 31 December 2001 (Unaudited)

..... ..... .... - ..... Fresco 0.1 Japarl DJ UK DJ US

Conaolidaletl Tilanr 100 Titans 50 (L.arge Cap) Sub-Fund Sub-Fund Sialemonl Sllb-Fui>d

EUR JPY GBP us0 ---_ 4SSETS

..... . . ....... ... .............. TO?A!-.A?SETS . . . . . . . . . . ................. !..rl!??S!130 ........3, 408,781, (J26 ...... 7,778,202 .

1.IABII ITlES

4S2,IlSi;

14.109 d,639

103,325 2.163.688 3,h7i 14.275

........... ....... . . ... ............. ~- ......... . ..................... 1’9r4!..1.1Ac!!!LEs ~ . . . . . . . . . 570.090 ....... s, lss,sae .. - ? L Z L 14.275

IL18,658.04(1 3,406,596,238 7,765,006 31,050,873 NET ASSETS AT 31 DECEMBEK 2001 -.- I---

Tlie accori-ipanying notes forrn an inlegrat part of these financial statements.

4

Statement of Net Assets

as of 3'1 Deceriiber 2001 (Continued) (Unaudited)

........ .. .... -.---.-.I.- ~

now Joiles DJ LIS Industrial Euro

Tachnuluyy Average STOXX 50 Sub-Furltl Suh-Fulld Sub-Fund

- US0 USD EUR

1s sn-s

................ ...... ............ .............................. rE!! .ASSErs . . . .......... . . . . . . . . . . . . . . . . . . . . . . 36.'26.248 .. 35,155.594 42,317,459

.IABILITIES

............... .......... .- __ .............................. .................... E!AL L!ARII.!T!E ... 20,365 16.654 ........ ......... 473,798

- rlEt ASSETS AT 31 UECEMBER 2001 36,105,883 35,138.940 41 .a43.661

7oo.uoo 3 50,000 1,100,000

IdET ASSE-I' VAL.1JE PEH SHARE AT 31 DECEMBEH 2001 51.58 100 4u 3B 04

33,074,013 32,968,366 39.049.317

Ttie acc:ornpanying notes fori-n an irltegral paIt of these financial statements.

5

. . . .


Schedule at Investments as of 31 December 2001 (Expressed in JPY) (Unaudited) Transferable securities listed on an Official Stock Exchanye

Market Yo of Net Quantity Value JPY Assets -

Common Stocks

Auto Ma n uf a c t ii re rs (1 2.7 8%) I-lonrla Molor Nissan Malar 'I oycita MoLar

23,100 59,000 82,300

'l20,013,000 41,005,000

273,236,000

3.55 1.21 8.02

Auto Parts 8, Equipment (1.46%) Hriiigestoix U t m o

19,000 13,600

2G, 3 53,000 23,609,600

0.77 0.69

66,000 136 219

135,000 34,000

1 .1 3

5,4l2,000 119,544,000 5 4 73,000 74,925,000 18,088,000 32,657 ,000

0.1 6 3.51 1 :72 2.20 0.53 0.96

Beverages (0.96%) Asalii Breweries Kirm 13rewery

11,000 21.000

12,969,000 19,fi77,000

0.30 0.58

24,000 1 1,000 10,000

18,6OO,OOO 'I 1,869,000 4,140,000

0.55 0.35 0.12

C ti em i ca Is (2.08"/,) Asa I.1 i t<awi M i Ls LJ b is t 1 I i: I1 e m ica I Shin Els1.r Cheriiical

34,000 40,000

8,900

15,fi40,000 13,392,000 41,919,000

0.46 0.39 1.23

17,000 17,000

22,270,000 20,553,000

0.65 0.60

3cJ,000 700

3,000

37,206,000 3,794,000

18,540,000

1.09 0.1 1 0.55

Fresco DJ Japan Titans I00

Schedule of Investments as of 31 December 2001 (Expressed in JPY) (Unaudited) Transferable securities listed on an Official Stock Exchange

Market YO of Net -- Quantity Value JPY Assets

Cosriietics 1L Persorial Care (I .04%) Kao

Distribution & Wholesale (I .82Oh) I lochu Milsubishi Milsui

D i ver s if i ed F i n a n c i a I Se rvi c e s (4.5 6%) I l a i w;i S e c t~ r i Lie s Group Nikko Cordial No i i i u I-a Holdings ORlX -rake h d J i

Electric (2 31%) Chubu Elwlrir: Power Karisai Eleclric Power

E lac t r i c a I C om po ne n t s & E q u i p m e n t s ( 6.99 % ) F 1.1 r LJ kaw a Eleclric Hilachi Mi Ls t 1 b i 17 I E I e (: tri c Sa rI yo E I e c L ri c 5: t iilr 1,) S u tn i la iii o C h o 11’1 i ca I S u mi lorn c) E Io (; I r i c I rid u s Ir i cs T oshilia

El e c t ro n i cs (8.8 6%) Ad va r i l e st F a r i u c Ke ye 11 cc! Kyacera M urala Ma in d x l t i r i rig NE(l:

Ser;otn Tokyo Cluclric Power.

Food (0.53%) A~iriomoto

13,000

32,000 33,000 38,000

31,000 35,000 46,000

1,800 1,580

16,500 21,300

14,000 75,000 48,000 44,000 27,000 33,000 16,000 76,000

1,900 3,500

700 4,300 5,700

39,000 4,500

32,000

14,000

35,425,000

9,472,000 28,083,000 24,662 ~ 000

21,359,000 20,475,000 77,280,000 2 1 ,I 32,000 14,970,400

38,940,000 39,980,100

9,74 4,000 72,00O, 000 24,336,000 27,236,000 41,391,000 14,685,000 14,640,QOO 34,200,000

14,098,000 19,530.0(30 15,253,000 :36,765,000 44,002,000 52,143,000 29,610,000 89,280,000

‘17,920,000

1.04

0.28 0.82 0.72

0.63 0.60 2.27 0.62 0.44

1.14 1.17

0.29 2.1 1 0.71 0.80 1.22 0.43 0.43 1 .oo

0.41 0.58 0.45 1 .0t3 1.32 1.53 0.87 2.62

0.53

7



Market of Net - Quantity Value JPY Assets

Forest Products & Paper (0.43%) N I pl)oll U I 1 I~I~IL

Hand 8 Machine Tools (0.51u/0) SMC;

He a It t i c a re P rod u c t s (0.48 % ) I ioya

Home Builders (0.39%) Sekisui Iiouse

Home Furnishings (6.23%) Ma Is u sh i t a If I ct: c I ric I rid Lis t ri a I Pia ne er Sally

Insurance (1.04%) 1 okio Maririe & I'ire Insurance

I rite r n e t (0.48%) Softbank 'I-reiid Micro

Iron & Steel (0.89%) N i 1) 1x1 II S lee1

Machinery, Construction LL Mining (0.29%) Kornatsu

Mi s c B I I a n eo u s Man u f a ct ii re r s (2.5 3 Yo) I--UJI Pholo Film M I I sii b is 11 i Heavy I r i d 11s I ries Nikori

Office B 6 us i n e s s E q i i i p iii e t i t ( 3.59%) C:" Vl

Fiir;clli

25

1,300

2,100

14,000

47,000 4,300

20,200

37.000

4,900 2,L100

161,000

21,000

12,000

11 ,om 76,000

R,0 on

19,000 15,000

14,62Fj,000

17,342,000

16,413,000

1 :i,300,000

79,101,000 12,298,000

120,998,000

3 5,44tj, 000

10,388,000 6,200,000

30,429,000

9 84 9,01)0

5,160,000

51,4B0,000

0,072,000 2 tiI6oo, 000

8 5,690,000 36,600,000

0 43

0 51

0 48

0.39

2 32 0.36 3.55

1.04

0 30 0.1f1

0 89

0.29

0.1 5

151 0.78 0.24

2 52 107

N

. . . . .. . .-. . . . ___ .. .. ... .- . . .


Schedule of Investments as of 31 December 2001 (Expressed in JPY) (Unaudited) Trarisferable securities listed on an Official Stock Exchange

Quantity ---

Oil 8 Gas (1.13"/0) Nip poi1 M i tsu bish i 0 il T o k y o Gas

Pharmiaceuticals (6.00"h) Daii(;tii Pliarrnat:eLttical Eisai t ' ujisa w a P tiariiiacw I I ~:;3 1 Sari k y o Takeda Chemical Indi~slries Y a in an o c i (:II I PI i ii r IT) ace u t i ca Is

Real Estate (1.37%) M It scibis hi Estate M IlS 1.1 I F LI dos a I1

Retail (4.22Oh) Aeoii Fast Ketailing 1 to-Y o kado IL1 a ru i Seven E l e v m J i;l pa ri

Semiconductors (1.97%) Kohm Tokyo E I e(; lru I I

So tt w a re ( 0.44 %) Uona 111 i 0 ra [: I e .I if pari

Te le c o m m u n i c a t i o n s ( 5.68 O h )

KL3r31 Ma tsu shl la C i l t 11 in ti in ica t ion N i 1) [io i 1 T e I eg f a ph 8 Telephone N T l [lata NTT Docorno

Toys , Games & Hobbies (2.02%) Niri lent lu

6,000 7,000 7,000

10,000 16,000 8,000

30,000 18,000

7,000 700

9,000 9,000

10,000

2,500 3,800

2,200 800

78 2,000

77 3 0 7 t3

3,000

Market % of Net Value JPY Assets -

16,500,000 22,113,000

15,300,000 22,820,000 21,140,000 22,4 50, 000 Y4,8R0,000 27,680.000

28,7 70 000 18,000,000

2 0,7 2 0,000 ~3,162,000

53,280,000 13,950,000 47,800,000

42,525,000 24,434,000

8,550,000 6,400,000

19,110,000 7,100,000

32,879,000 13,980,000

120,1211,000

(38,850,000

0.48 0.65

0.45 0.67 0.62 0.66 2.79 0.81

0.f14 0.53

0.61 0.24 1.56 0.4 1 1.40

1.25 0.72

0.25 0.19

0.56 0.21 0.97 0.4 I 3.53

2.02



Market Y o of Net Assets - Quantity Value JPY -

Transportation (3.65%) Central Japari Railway East Japan Railway Nippon Express Nippon Yuseil t<at-)ushrki Kaisha Y a in a to ‘r ra II s ( lor I

Total Common Stocks

TOTAL INVESTMENTS (Cost JPY 3,384,514,540) Other net assets

TOTAL NET ASSETS

32 27, I x , o o n 83 52,539,000

21 ,no0 9,345,000 27,000 10,665,000 10,000 24,7OO,OOO

3,406,031,100 -

3,406,031 , I 00 567,138

3,406,598,238

0.80 1.54 0.27 0.31 0.73

99.98

99.98 0.02

100.00 -I-

The accoinpanying riotes forrii an iriteyral part of these firiancial statements.

Fresco DJ IJK Titans 50

Schedule of Investinents as of 31 December 2001 (Expressed in GBP) (Unaudited) Transferable securities listed 011 an Official Stock Exchange

Market YO of Net Quantity Value GBP Assets

Cornrrion Stocks

Advert i s i n y (0.89 "h) WPP Griltlp 9,128 69,373 0.89

Aerospace 8, Defense (0.49Y0) t3AL Systerrls 12,215 37,805 0.49

Agriculture (0.96%) Brilish America . I obact;o 12.760 74.374 0.96

Auto Parts 8 Equipment (0.20°/0) GKN 5,859 15,526 0.20

Banks (26.00"/0) Abbey NaLiunal Hac c I a y s I ~ l U O S I ISBiC Holdings

R o y a l Bank Scotlarid GIOLJI) SI an( j ard Chartered

Lloyd s '1's H GI-(1 1.1 p

11,546 13,548 25,175 75,964 45,524 20,915

7,854

113,151 308,217 232.233 6 12,270 339,609 349,699

64,403

1.4-6 3.97 2.99 7.88 4-.37 4.50 0.83

B eve ra 9 e s ( 2.82 %) L3 iageo 27.913 219,117 2.02

Coinputers (0.46%) CMG 1.oglca

4,904 3,591

12,111 22,982

0.16 0.30

Diversified Fi ii a ri c i a I Services (0.7 7%) Arllvescap 6.1120 59,658 0.77

Electronics (1.39%) l lahoi i~ i l Grid GIOLIIJ Scottlstl Power

12,054 14,917

51 ,SI31 563,685

0.66 0.73

Engineering & Construction (0.61%) BAA 8.680 47,783 0.61

11


Schedirle of Investments as of 31 December 2001 (Expressed in GBP) (Unaudited) Transferable securities listed on an Official Stock Exchange

Market % of Net ----I Quantity Value GBP Assets

Food (5.72"/") C 21 d b U I y S L t 1 we pp es Compass Group T e x o Untlevcr

Holding Companies - Diversified Operations (0.62%) Six Conttinunls

Insurance (5.10%) CGNU I..egal 1(1 General Group Prudent i a I Royal & S u n Alliance Insurance Groiip

Media (3.18O/,,) Rrilish Sky Oroi.idcast Poarsori Reed International Reuters Group

Mining (2.21°/0) A t i g I o Aim e ri cu n Ria Tiinto

Miscellaneous Manufacturers (0.44%) Iltver-lsys

Oil & Gas (17.01%) UG Group f3 P C t. t i tr I ca Shell Transport tl Trading

Pharniaceu ticals (I 5.1 7%) AslraZoneca G k3xo s I II I I t l KI I ne

Real Estate (O.4su/,) La r i d S $3 (:LJ r I 11 e s

Retail (l.09°/n) Marks X, Spencer

16,695 18,233 57,051 23,942

7,126

'I 8,464 41,683 16,079 11,655

7,575 6,454

10,237 11,778

5,565 8,638

28,637

'28,651 148,616 32,447 79,4 12

13,547 44,016

4,256

23,345

73,124 93,900

142,057 135,033

48,457

156,021 66,276

127,989 46,008

57,267 51,051 58,351 80,090

57,932 113,676

34,150

80,223 793,609

72,032 374,825

4 10,686 758,396

3 3,34 6

A4,275

0.94 1.21 1 .H3 1.74

0.62

2.01 0.85 1.65 0.59

0.74 0.6f1 0.75 1.03

0.75 1.46

0.44

I .03 10.22 0.93 4.83

5.40 9.77

0.43

1.09

1%


Schedule of Investments as of 31 Decernber 2001 (Expressed in GBP) (Unaudited) Transferable securities listed on an Official Stock Exchange

Market % of Net Quantity Value GBP Assets

Semi c o nd 11 c t o r s (0.3 8 %) ARM Holdings

Telecornmitriicatioris (I 3.50%) BT Group Cable 8 Wireless Colt Telecoiri Group E 1-1 or g is Ma rcoii i Vodafone Group

Venture Capital (0.52%) 31 Group

Total Comriion Stocks

TOTAL INVESTMENTS (Cost GBP 7,648,274) Other net assets

TOTAL NET ASSETS

8.1 97 29,427

70,345 177,973 22,554 74,541

5,628 6,416 5,457 5,556

22,G17 9,442 431,240 775,154

4,655 40,010

-_ 7,762,880

7,762,880 3,006

7,765,886 --

0.38

2.29 0.96 0.08 0.07 0.12 9.98

0.52

99.96

99.96 0.04

100.00

-

-I-

The at:cornpariyiny noks foriri an ir-itegral part of these fil-iancial slalernenls.

Fresco DJ IJS (Large Cap)

Schedule of Investments as of 31 December 2001 (Expressed in USD) (Unaudited) Transferable securities listed on an Official Stock Exchange

Market 'Yo of Net Assets Quantity Value USD -

Corn t i l on Stocks

Advertising (0.33'/~) I ri ler[w bl ic G ro t ~ p

0 r 11 1.1 i ~o r i i Group

Aerospace & Defense (1.12°/~) 13 oe i ii CJ Ci e ne ra I D y ria m ics I. ackhced Marlin lliiited ~I'et;ht~ologlcs

Ayricultiire (I .22%) Philip Morris

Airlines (0.17%) Soutliwest Airlines

Auto Manufacturers (0.59%) Ford Motor General Motors

Banks (6.18%) Batik of Arnerice hank Of New 'fork Bank Ut-ie BHln- FifIti Third Dancorp F I eat Bo s to 11 Fin a rict a1 M t? 110 r i F i t i a r i ci i.1 I National City Nor lherri Trust PNC Finaricial Services Group State Street S u 11 \r 11 st I3 a r I k s US Oancorp W H c ti ov i a Wt?lls FWCJO

1,392 lia4

3,012 744

1,284 1,752

8,256

2,892

6,576 1,644

5,912 2,771 4,320 1,584 1,012 4,044 1,776 1,920

780 ,l,080 1,212

936 7,330 5,232 6,396

41,120 61.115

116,805 59,252 59,924

113.232

370,538

5 3,4 44

103,375 70,898

372,160 113,057 168,696 57,198

11 1,583 1 47,606 66,813 56,141 46,972 60,696 63,327 58,687

153,417 164,076 277,006

0:l 3 0.20

0.38 0 19 0.19 0.36

1.22

0.17

0.33 0.26

1 2 0 0.36 0.54 0 18 0 36 0 48 0.22 0.16 0 15 0.20 0.20 0.19 0 49 0.53 0.90

'I 4


Schedule of Investments as of 31 December 2001 (Expressed in USD) (Unaudited) Prarisferablc securitics listed on an Official Stock Exchange

Market Yo of Net Qua titi ty Value USD Assets

- - ~ - -

Beverages (2.83%) Aritii+usi?r-Buscth Cos c 0 Li] - c I) I a Pq,slc:o

B io le c h n o 1 og y ( 0.8 5 Yo) Arngen Ger\entech

Cherrlicals (0.90X) now Chernical Uu Punt de Netriours

Commercial Services (0.56%) Cendanl Concord EFS Paychcx

C o r11 p i i t e rs ( 5.3 0 ','a) Conipaq Carnputer Dcl I C om LI ter E M C Massachusetls E I e ct ro ii ic 13 a la S y s Le 17 IS

liewlelt-Packard I ri ter n a lio ria I B u si n c: ss Mach i r i es Sun Microsyslerns Verrlas Svflware

Cosmetics B, Persorial Care (2.39Oh) C o Ig a l t: Pa I mi o I i ve Gtllelh Kiniberiy-Clark Procler Cj, Garnble

3,084 8,556 6,612

3,898 816

3,360 3,900

3,444 1,1172 1,236

6,360 8,628 8,244 1,607 6;l 19 6,516

12,203 1,486

2,099 3,576 1,991 4,872

152,991 403,415 321,930

2213,00 3 44,268

113,501 165,789

67,537 61,364 43,309

62,074 234,509 110,799 11O,160 125,684 788,175 150,097 6ti,617

121,217 119,430 119,062 385,521

0 49 1.30 1.04

0.71 0.14

0.37 0.53

0.22 0.20 0.14

0.20 0.76 0.36 0.35 0.40 2.54 0.40 0.21

0.99 0.38 0.38 1.24

15

Fresco D,J US (Large Cap)

Schediile of lnvestrnerits as of 31 Decernher 2001 (Expressed in USD) (Unaudited) Transferable securities listed on an Official Stock Exchange

Market o/. of Net Quantity Value USD Assets - ~ - -

Diversified Financial Services (8.61%) American Express Cap i la I 0 ne F i r i a r 1 cia I C i t igruu p Federal Home 1.oaIi Mor-[gage Fsderal National Morlgage Associatiori Gold nIa r 1 Sa c: h s C; roup t -1 o LI se hold I ii le rna I I on a I .1P Morgan Chase 1. ellmar Brolhers Holdings MI’INA Merrill L.yr-ich Morgan Stanley Dean Wilier USA Education

Electric (1.39%) An-iwcari Electric Power C: I p I r-i e [lo ri 1 i r 1 i c) r i Re so LA rce s Duke Eiieryy E x e to r1

M Iran t SOLI t ti err) TXU

Electrical Components B Equipment (0.29%) F.rner-son Lrleclr IC

Electrori ics (0.25%) Ag i I en t ’I‘ HC t i I 1 olog i c? s So I B clro r i

Envirorirnental Control (0.24%) Wa si e M d I I a ye In e r 1 I

4,404 779

19,319 2,604 3.015

804 1,728 7,428

900 2,000 2,952 3,804

600

1,200 1,140

928 2,856 1,188 1,510 2,556 1,000

1,596

1,560 2,991

2,316

157,179 42,027

975,223 170,302 303,293

74,571

270 I 008 60,120 98,842

153,858 212,796 50,412

100,120

52,236 19,141 5 5,7 73

112,127 56.881 24,190 64.795 47,150

91,132

44,476 33.738

7 3,904

0.51 0.14 3.14 0.55 0.98 0.24 0.32 0.87 0.19 0.32 0.50 0.69 0.16

0.17 0.06 0.18 0.36 0.18 0.00 0.21 0.15

0.29

0.14 0.11

0.24



Market % Of Net Quantity Value USD Assets

Food (I .57"/0) AI herlson's Col-iagra r-oods General Mills HJ t.leiriz Kroyer s a few a y Sara 1.ee Syst:o

Forest Products & Paper (0.37%) I 11 tern at i on a I Pa 1) er Weyerhaeuser

Healthcare Products (3.50%) I3 ax k r I r-i ler ri a t io n a I Guidanl Johnson & Johnson Medtronic

Healthcare Services (0.71%) t - i CA 7 cnel t-leallhcare Ilnitedtteallth C h u p

Insurance ( 4.O4YO) Ailac AI Is la to American Inlern:iIion;~l Group Chulib Cigna 1-1 a r I I( )r d F i I I ari ci R I S or v i ces G ro II p Marsh 8 Mclennan Mellile

Internet (0.30%) Schwab Charles VerrSign

Leisure Time (0.200/0) t .I a r I i.2 y David so r )

1,416 2,000 1,356 1,296 3,060 1,072 2,926 2,520

1, f lOO 7 92

2,208 1,140

1 1,400 4,523

'I ,7'1 6 1,212 1,176

1,980 2,556 9,756

648 552 876

1,020 2,736

3,936 784

1,128

44,590 47,540 70,526 53,292 63,862 70,156 65,045 66,074

72,630 42,831

118,415 56.772

678,468 231,623

66,135 71,169 83,226

40,629 86,137

774,626 44 7 1 2 51,143 55,039

109,599 86,676

60,890 29,823

61,262

0.14 0.15 0.23 0.17 0.21 0.25 0.21 0.21

0.23 0.14

0.38 0.18 2.19 0.75

0.21 0.23 0.27

0.16 (3.28 2.19 0.14 0.1fj

0.18 0.35 0.28

0.20 0.10

0.20

17


Schedule of Investments as of 31 December 2001 (Expressed in USD) (Unaiidited) Transferable securities listed on an Official Stock Exchange

Market Yo of Net -- Quantity Value US0 Assets

Machinery , Con st ru c tio n & Mining (0.22%) C alar p i I I a r

Media (4.47Oh) AOL Time Warner C I e a I- C ha r i r i e I Co tin tn u n I ca t io n s Corricasl - Class A Gannet1 Liberly Media - Class A M C G I ~ W tiill Viacom Wall [Iisriey

Miniiiy (0.37Y0) Alcoa

M is c e I I a ri e o u s Ma n u f a c t u re r s ( 7.4 7 % ) E ';I ,,, . d11 I<udak General Hectric Honeywell ln\erriational Illinois 'Tool Works Minnesota Mining 8 Manufacturing Ty co I n t crnaliorial

Oil & Gas (5.04Y0) Anadarko Petroleurn Cll~vr-un I exaco c 0 noco Cxxon Mobil P t I i I I i 115 t% tro I e ~i 17-1

Oil 8, Gas Services (O .6O0h) Baker bluc~lies t-lalliburlan Schluinberyer

1,284

15,946 2,103 3,396

984 8,068

7 20 5,760 7,787

3,240

1,000 37,175

3,012 1,128 1,476 7,553

924 3,984 2,328

25,727 1,284

1,300 1,596 2,136

67,089

51 1,867 107,064 122,256 66,154

124,152 43,906

254,304 161,347

115,182

31,784 1,409,974

101,866 76,380

174,478 444,872

52,529 357,006

65,882 1,Ol 1,071

77,374

47,411 2.0,YOB

117,373

0.22

1.65 0.34 0.39 0.21 0.40 0.14 0.82 0.52

0.37

0.10 4.80 0.33 0.25 0.56 .1.43

0.17 1.15 0.21 3.26 0.25

0.15 U.07 0.38

18


Schedule of Investments a s of 31 December 2001 (Expressed in USD) (Unaudited) Transferable securities listed o n an Official Stock Exchange

Market % of Net Quantity Value USD Assets - --

P h ami ace u ti c al s (I 0.66%) Abbolt Laboratoi-ies Ari1enr:an Home F-'rodi,icls Brislol-Myers Squibb Cardinal I Icalth Eli L.illy Farcsl l.ahoraIories Mediinmune Mcr'ck P Ci ze I- PI i ar m ii ci a Schuring-Ploiigli

P i pe I in es ( 0.44%) E3 Paso W 1 1 liarris

Real Estate (0.15%) Equity O t f w Properties 'I rust

Retail (6.00%) COS I I:O Who I es a I B

cvs Gap I-lorne Depot UOl-llS

Lowe's McDorialtl's Scars Roatiuck Ta I-g c I -I ransocean Scdro Forex Wal-Marl Stores W a l y ree II

Savings B Loans (0.34%) Washirigton Mutual

5,424 4,896 7,319 1,756 3,612

648 744

8,628 23,673 4,824 5,472

1,896 2,028

1,500

1,668 1,452 2,316 8,687

936 2,592 4,836 1,224 3,340 1 ,'I 88

10,320 3,792

3,2767

302,380 300,419 373,269 113,543 203,686

53,104 34,484

507,326 943,369 205,744 195,952

84,581 51,755

45,120

74,026 42,979 32,285

443,124 65,932

120,295 128,009 58,311

137,435 40,178

593,916 127,fi30

1 117,125

0.97 0.97 1.20 0.37 0.91 0.17 0.11 1.63 3.04 0.66 0.f13

0.27 0.17

0.15

0.24 0.14 0.10 1.43 0.21 0.39 0.4 1 0.19 0.44 0.13 1.91 0.4 1

0.34


Schedule of lrivestrrients as of 31 December 2001 (Expressed in USD) (Unaudited) Transferable securities listed on an Official Stock Exchange

Market % of Net Quantity Value USD Assets

Semiconductors (4.53%) AI le r i i Analog Devices Ai:) p I i etJ Ma Le r i a I s l l i lel I. inear Tachnology Maxiin Illlegrated Products Micron Technology Texas I ns Lr LJ me n Is Xilinx

Software (5.55%) Aulornalic Dala Processing Coin puter Associates In terna Lional F i I s t l l a la Microsof1 Oracle Si e be I S y s t 12 m s

Te le c o m m u ii i c at io 11 s ( 9.60 YO) Alllul AT &T ATXIT Wireless Sei-vicos B e l l S G U t t l c IS (X1 s y SI0 111 s Carr1lng H ti CJ I I e s E I e c t ro r 1 i ( :s .J DS I J t i i p h as e L u ct? n I TH; 1-1 ii nl og i a s Molorola Qual curmi Clwest Curncriur~icalioris lnlernalional S k3 C: Coin rn u n i ca I io n s Sprinl - FON Group Sprinl - PCS Group Verizon Cor ii r n u in i m lions Wol-I('1Corn

1,452 1,344 3,024

25,190 1,176 1,224 2.004 6,492 1,224

2,328 1,704 1,476

17,331 'I 5,995 1,512

1,104 13,223 9,160 7,008

27,239 3,480 2,4 12 4,802

12,742 8,172 2,819 5,076

12,647 2,952 2,232

10,103 10,991

30.81 1 59,660

121,263 792 I 477 45,911 64,272 G2,12,4

18'1,776 47,797

137.1 19 58,771

115,792 1,148,525

220,891 42,306

68,150 239,865 136,055 267,355 493,290

31,042 37.266 42,620 80,147

122,743 142,360 71,724

495,383 59,276 54,483

479,488 154,753

0.10 0.19 0.39 2.55 0.15 0.21 0.20 0.59 0.15

0.44 0.19 0.37 3.70 0.71 0.14

0.22 0.77 0.44 0.86 1.59 0.10 0.12 0.14 11.26 0.40 0.46 0.23 1.60 0.1 9 0.18 1.54 0.50

20


Schedule of Investmerits as of 31 December 2001 (Expressed in USD) (Unaudited) Transferable securities listed on an Official Stock Exchange

Market % of Net Assets 4 ii a n t i t y Value USD

Transportation (0.56%) FedEx 1J nion Pa uric UPS - Class B

Total Cornrnon Stocks

TOTAL INVESTMENTS (Cost USD 29,099,800) Other net assets

TOTAL NET ASSETS

1,032 53,540 0.17 876 49,932 0.1 6

1,302 70,959 0.23

__-- 31,023,855 99.91

31,023,855 99.91 27,018 0.09

.'the accompanying rioles forin at1 inlegral part of lhese linancial stalainents

Fresco DJ U S Technology

Schedulo of Investments as of 31 December 2001 (Expressed in USD) (Unaudited) Transferable securities listed on an Official Stock Exchange

Cornmon Stocks

Applications Software (21.54%) Microsoft Si e t36 I S y s t e 1 ri s

Computers - Memory Devices (3.22%) EMC Massxhusells Veritas Software

Computers (24.59%) Campaq Cornputer Dell Coiriputer t 1 ew 1811 -Pa (; ka rd I 11 tc? r n a t io na I Business Mac t i in e s Sun Micrnsystems

Computer Services (2.04%) Electronic Data Systems

Enterprise Softwares - Services (5.09%) (:OiTipUter Associates lrikrnalional 0 ra c I e

Electronic Camponcrits - Semiconductors (20.27%) Altera lritel M icro r) Tk (: t i no logy Texas Ins tr LI 17~HfI t 5 Xilinx

I nternct Security (0.54%) Veri S i g in

Networking Products (I 0.43%) C I s co S y 5 t e I n s 1-11 cc r I I Tec hi101 og t e s

Semiconductor Cornponents - lritegrated Circuits (3.09%) Analog Dcvir:es

Maxim Integrated F’rciducls Linear -1 echl10logy

113,166 9,964

54,116 9,744

4’1,729 56,598 411,120 42,366 R0,017

10,750

11,199 105,076

9,534 165,408

13,160 42,584

8,092

5,144

178,770 83,545

8,820 7,770 8,022

7,499,511 2 78,793

727,319 436,823

407,275 1,538,333

824,065 5,123,591

984,209

73(3,912

386,254 1,451,100

202,311

407,960 1,192,352

315,993

5 , 2 0 2 , ~

195,678

3,237,525 525,498

391,520 303,341 421,235

Yo of Net Assets I-.-__ -

20.77 0.77

2 01 1.21

‘1.13 4.26 2.28

14.19 2.73

2.04

1.07 4.02

0.56 14.41

1.13 3.30 0.87

0.54

8.97 ’I -46

1.08 0.84 1.17

22

Fresco DJ US Technology


Market % of Net Assets

__--.___I__ - __I -- -_ - -I

Value USD Q 11 an ti ty

Serii icon d u c t o r E q u i p r i i en t (2.2 1 %) Ap p I i etl bl a leri a I s

Sat el li te Tel econim u r i i cat io n (0.68%) 1-inqhes Eleckonics !-I

19,877

15,861

Te le co in m u n i c a ti o n E q u i pm e r i t Fiber 0 p t i c s ( 3.8 9 %)

JUS llniphaso 29.014 Corn in g 22,830

C2 ua Icoim in 18,791

Wire I e ss E q u i pme n t (2.2 8%) M otora la

Total Coinnion Stocks


54,716

797,068

245,052

203,644 253,292 948.945

821,834

36,060,515

36,060,515 45.368

TOTAL NET ASSETS 36,105,883

2.21

0.68

0.56 0.70 2.63

2.28

99.87 --

99.87 0.13

100.00 ---

Tho acconipanying noles forrn an inlegral part of these financial slaternents

23


Schedule of lnvestirients as of 31 December 2001 (Expressed in USD) (Unaudited) Transferable securities listed on an Official Stock Exchange

Market Yo of Net Quantity Value USD Assets

Common Stocks

Aerospace & Defense (7.13"h) Uoeiiig IJriiled Technologies

24,317 24,217

943,013 1,565,145

2.68 4.45

Agriciilture (3.16%) Philip Morris 24,217 1 ,'I 10,349 3.1 ti

Auto Manufacturers (3.35%) G 81-1 era I Motors 24,217 1 ,'I 76,946 3.35

Beverages (3.25%) COCX-CCh 24,217 .1,14 .I ,832 3.25

Chemicals (2.93"/0) L3u PonI de Neinout-s 24,217 1,029,465 2.93

C om p ~t t e rs ( 9.7 6 Yo)

I 11 I ern a ti0 ria I E3 LJ s i n e ss Mac t i i n es I 1 B WI C? I I- Pa ( ke rd 24,317

24,217 499,471

2,929,288 1.42 8.34

Cosmetics & Personal Care (5.45°/0) Procter & Gamble 24,217 1,916,291 5.45

Diversified Fi ti a nci a I Services ( 8.47%) Ai 11 erica n Express c i t I CJ r 011 p JP Morgan Ctlase

24,317 24,217 24,317

867,874 1,222,474

883,92 3

2.47 3.48 2.52

Forest Products & Paper (2.78%) I n t et-n a t i on a 1 Pap e r 24,217 877,156 2-78

H e a I t h care P rod u c t s (4.07 % ) Jolinsoii R Jotirison 24,217 1,431,225 4.07

Machinery - Construction & Mining (3.60%) Caterpillar 24,217 1,265,338 3.60

Media (1.43%) W a I t Disr.1 cy 2.4,3 1 7 503.84 8 1.43

24


Schcdule of Investments as of 31 December 2001 (Expressed in USD) (Unaudited) Transferable securities listed on an Official Stock Exchange

Market % of Net Quantity Value USD Assets

Mini n g (2.45%) Alcoa

Miscellaneous Manufacturers (15.29%) Eastman Kodak G u ri t m I E 1 e ctri c tloiieywell Internalional Minnesota Miniiig & Manufacluring

Oil R Gas (2.71"h) Exxon Mo bil

Phartiiaceuticals (4.05%) Merck

Retail (9.32%) tiorne Depot McDonald's Wa I- M ar t Stores

Semi co nd LI c t ors ( 2. I 7 0/4 ) Intel

Software (4.57%) M icros o fl

Tolecominirriications (3.96%) AT&l. S 5 C Coin 111 u n i ca lio n s

24,217

24,317 24,317 24,217 24,217

24,217

24,217

24,217 24,317 24,217

24,217

24,217

24,317 24,317

860,914

715,649 974,625 819,019

2,862,693

951,728

1,423,960

1,235,309 643,671

1,393,688

76'1,625

1,604,861

441,110 952,497

2.45

2.04 2.77 2.33 8.15

2.71

4.05

3.52 1.03 3.97

2.17

4.57

1.25 2.71

Total Common Stocks 35,104,987


35,104,987 33.953

TOTAL NET ASSETS 35,138,940

99.90

99.90 0.1 0

100.00

rlie i3cconipanying notes form an integr'al part of lhese financial statements

25


Schedule of Investments as of 31 December 2001 (Expressed in EUR) (Unaudited) Transferable securities listed on an Official Stock Exchange

Market X of Net Q 11 anti t y Value EUR Assets ----

Common Stocks

F i n I a t i d (7.57 "/. ) Nokia

France (31.57%) Air Liqiiide Alcalel - Class A Aventis AKA HNP Parttias Carrefnur 0 a I I o n e France I'elemrri 1 'Oreal LVMt 1 ( l m i s Vuilton Moel Hennessy) Pii-i.atill-Printaiiips-Rcrlnu(e Sa i 11 I--G o L)a i r i ~aiiofi-Syriltielat.),a So c i R t e Ge r i t? r a le SLlez .I 0 ta I I- I II a E I f Vi ve n cl i U n i vers a I

Germany (21.71%) Allianz - Regislered UASF

yer Bayeiische Iiypo-urid Vereirisbarik DaiinlerC hrysler C)eulsChe Bank Detilsctie Telekorri E.ON M LA e r i (:I 1 e ri er K LJ E?(: kvers i ch er LI 1-1 y RWE Sie in ens Vol kswagun

.3

109,381

2,112 26,466 15,546

9,702 33,088

13,478 3,498

12,056 7,348 5,250 1,525 1,892 9,102 9,614

2.1,622 16,44I3 23,688

3,570 12,562 16,170 8,484

19,032 14,976 5 5 I 373 14,145. 2,244 8,367

19,212 5,170

3,167,674

332,429

1,239,793 776,575 975,051 787,115 479,226 541,314 594,453 240,2Y 1 220,515 320,694 762,74 8 604,240 735,148

2,636,976 1,456,812

508,147

949,621) 524,464 578,886 291,171 920,197

1,189,094 1,068,699

822,956 684 ,:Jot3 353,087

1,428,412 271,425

7.57

0 79 1 2 1 2.96 106 2.33 1 .B8 1.15 1.20 1.42 0.58 0 53 0.77 1.82 1 44 1.76 6.30 3.48

2 27 1.25 1.38 0.70 2.20 2.84 2.56 1-97 1.64 0.84 3.41 0.65

26:


Schedule of Investments as of 31 December 2001 (Expressed in ECJR) (Unaudited) Transferable securities listed an an Official Stock Exchange

Market Yo Of Net Quantity Value EUR , Assets

Italy (8.SlYo) Assicurazioni Gsiierali Enel EN1 (Ente Nazicinale Idrocarkuri) Saripaolo IMI Telecorii ltalia l - lM Unicredito ltaliano

Netherlands (20.1 4%) AHN Amro Iioldiiiy Aeyori A ti0 I cl Fortis ING GI-oep Philips Eleclrariics Royal Diilch Pelroleurn U n i I e ve r

Spain (10.27°/u) Banco Bilbao Vizcaya Argentaria U a nco Sa nt a n d e r C e ri tra I t-I i s pa ino Eindesa Re 1 x 0 I T e 1 e fo n i ca

Total Common Stocks

25,841 45,210 60,771 23,496 56,612 86,929 81,517

31,473 21,120 21,186 26,409 38,006 29,444 49,177 13,420

73,821 108,369 23,628 21,758 98.355

806,239 286,179 855,656 283,127 543,475 545,045 367,642

569,347 642,048 692,358 770,830

982,841 2,780,171

883,707

I ,088,492

1,026,112 1,019,752

4 15,144 356,396

I ,478,276

41.872.357

TOTAL INVESTMENTS (Cost EUR 39,049,317) Liabilities in excess of Other Assets

TOTAL NET ASSETS

41,872,357 (28,69 6)

41,843,661 _... I -.

1.93 0.6a 2.04 0.638 1.30 1.30 0.88

1.36 1.53 1.66 1.04 2.60 2.35 6 69 2.1 1

2.45 2.44 0.99 0.85 3.54

100.07

100.07 (0.07)

100.00

The accornpanyirig noles form an integral part of Ihese financial stateimeills.

27

FRESCO Notes to the Financial Statements at 31 December 2001“)

Note 1 - Description -. of the-FAncl

The Cornpany is structured as an utnbrella fund organised under Luxembourg Law as an undeitakiriy for collective investn-lent in the form of a “Societe d’lrivestissement a Capital Variable” (“SICAV). The Company was incorporated on 7 September 2001 pursuant to Patt I of the Law of 30 Match 1988 for an unlirnited period of time. At 31 December 2001, 6 Sub- funds were a c h e as described below.

The Company has been established to provide investors with an opportunity to purchase Shares iri its Sub-funds, the investment objective of each of which is to aim to track a specific Index. Each Sub-fund aims to I-eplicate 01’ track, before expenses, the price and iriconie p e r f o r m “ of its Index by holding a portfolio of transferable securities that cornprises all or substantially all of the Component Securities of its Index. Accordingly, each Sub-fund is not managed according to tlie traditional approach of active investment management, but a passive approach is applied to each Sub-fund by indexing techniques.

The purpose of the Conipany is for each of it’s Sub-furids through having its Shares listed an m e 01- more Listing Stock Exchanges to be an Exchange Traded Furid (“ETF”). With the exceptions detailed in the prospectus, only institutions qualifying as Authorised Participants ai-e able to suhscr-he or I-edeern shares by acceptiny in kind stocks, which mostly are stocks composing the relevant index. Those “in kind” subscriptions and redemptions allow tninirriisiny fund turnover arid loweririg trading expenses. A secondary market is created through such Authorised Participants. Persons who ai-e not Authurised Patticipants are able lo buy 01- sell Shares in a S~ib-fiirid on a Listing Stock Exchange at prices which should approximate to the Indicative Intra-Day NAV Per Share from other investors in Shares who are acting as market maker’s or brokerldealers.

In otdet to allow participants in the secondary matket to have access to a leal time estimate of lhe NAV Per Share, an indicative Intra-Day NAV Pet Share IS calculated by a CalcLilalion Agent appointed by the Disti ibutor

Name of the Sub-Fund Currency Class Initial Dealing Day

Fresco DJ US (Large Cap) USD A Shares 30 October 2001 Fresco DJ US Technology USD A Shares 3‘1 October 2001 Fresco DJ Japan Titans 100 JPY A Shares 30 October 2001 Fresco DJ UK Titans 50 EUR A Shares 31 October 2001 Ftesco Dow Jones Industrial Average USD A Shares 29 October 2001 Fresco E~.tt-o STOXX 50 EUR A Shares 29 October 2001

Each of the above SIX SUO-Furids was admitted to trading on the SWX Swiss Exchange on Noveniber l 3 , 2001.

Each Sih-Fi.ind is categorised as a recognised scheme for the purpose of section 86 of the UK Financial Services Act of 1986 and shai‘es may be marketed to the general public in the United Kingdom. UBS Asset Managernent L.irnited has been appointed to act as paying agent for the Fund in the United Kingdom.

“’ All capitalisad terms have the mcanirig given to thein in the FI-esco Prospectus

28

FRESCO Noies i o the IGilanciill Staleiucnls at 31 1)ecembcr 2001 (corrlinuetl)

A) . Piesentation . . ~ of Financial Statements

The firianctal statements a i e presented in accordance with generally accepted accoLInting ~ ~ i n c i p l e s in Luxernbouig

Securities listed on a recoynised stock exchange or dealt in on any other Regulated Market at-e valuecl at their last available closing prices, or, in the event that there are several such markets, on the basis of their last available closing prices on the principal market for the relevant security provided that such closing prices used are normally the same as those used by the Index Provider i f i calculating the value of each Sub-fund's Index, but in the event that the last available price does not truly reflect the fair market value of the televant securities, the value of such securities are defined by the Board of Director's based on the reasonably foreseeable sales price deterrnined prudently and in good faith.

Secut-ities riot listed or traded on a stock exchange or not dealt in on another Regulated Market are valued on the basis of t he probable sales price determined prudently and in good faith by the Board of Directors.

The licluidatiny value of futures, fotwarcl 01' options contracts traded on exchanges of on other Regulated Markets at-e based upon t,he lasl available settlement pi-ices of these contracts on exchanges and Regulated Markets on which the particular futures, foiward 01' options contracts are traded by the Cornpany; provided that if a futut-es, fwward or options contract can riot be liquidated on the day with respect to which net assets are being deteimined, the basis fot- deter rninirq the IiqLiidating value of such contract is such value as the Board of Directors may deem fair and reasonable.

Treatrnent - . __ . . of Cu ... rrer@

The books and records of each Sub-funds are denominated in the Base Currencies as described in Note 1 with the exception of the DJ UK Titans 50 Sub-fund for which books are kept in GBP and which Net Asset Value is convetted to EUR usirig Reuters exchange rate at 12pm EST (6prn Luxernbourg time). All assets and liabilities of the Sub-funds expressed iri a currency other than the Base Currency ai-e convetted into the Base Currency at the exchange rate prevailing on the principal Regulated Market of such asset on the Dealing Day preceding the Valuation Time. The exchange gain or- loss at-isiny from the translation of these items is taker1 into account in the detertiination of the results of operations.

In ot-der to prepare combined financial statements, financial statements of each Sub-fund that is not EUR derioniinated have been converted into EUR at the following exchange rates:

a

1 EUR = 0.6123 GBP 1 EUR = 1'16.6186 JPY 1 EUR = 0.8901 USD

29

0 ) SecuriQ . . Transactions and Invcsttnent ... Income . . ---__

The net trealiscd gain or loss on investment securities sold or paid out in kind as part of tlie Redeniptiun Pi-ice for Shares is deter.mined on the average cost basis. The assets of the Fund include all stocks, stock dividends, cash dividends and cash disti ibutions receivable by the Fund to the extent that infoimation therein is reasonably available to the Fund and all interest accrued on any interest-bearing securities owned by the Fund, except to the extent that it is included or rellected in the principal amount of such security. Dividends and interest income are accrued net of related withholding tax.

E) Oiganisation -. -_ Expenses

All of the Company's forinatiori and establishment expenses, including legal fees, other advisers fees, initial registration fees, the up-front licensing fees payable to each Index Provider, any initial listing fees have been deferred and shall be amortised over a petiod not exceeding five years fi-orn the formation of the Company in equal instalrnents.

F) Options ..-.. and Futures Contracts

For the purpose of an efficient portfolio management, the Company [nay enter irtto futures contracts as set forth in the prospectus. Initial margin deposits made upon entering into futures contracts are included in deposits on financial futures in t he Statement of Net Assets. The unrealised appreciation or depreciation on open futures contracts is calculated as the difference between the contract price at trade date and the cui-relit day price on the last business day of the reporting period.

For the purpose of an efficient poitfolio management, the Company may furthermore purchase and write (sell) options as set forth in the prospectus. The risk associated with purchasing an option is that the Company pays a pi-erriium whether 01- not the option is exercised. Additionally, the Company bears the r-isk of loss of the prerniurn arid any change in market value should the counter-party not perfoi.tn under the coiltract. Put and call options purchased ate accounted for in the same manner as portfolio securities. The cost of securities acquired through the exercise of call options is increased by prerniurn paid. The proceeds froin securities sold through the exercise of put options are decreased by the premiums paid. When the Carnpany writes an option the prernium received by the Company is recorded as a liahility and is subsequently adjusted to the current market value of the option written. The Conipany recor-ds preniicims received from written options that expit-e unexercised on the expit ation date as realised gairis fr.om option transactions. The difference between the pr-erniurn and the airlotint paid on the effecting closing purchase transaction, including hi-okerage cornrnissions, is also treated as a realised gain, or if the prernium is less than the amount paid for the closing purchase transaction, as a realised loss. If a written call option is exercised, the pi.eniium is added to the proceeds from the sale of ttie underlying security ill detetrnininy whether ttie Company has realised a gain or a loss. If a written put option is exercised, the pretniurn reduces the cost basis of the security purchased by the Curnpany. In wt itiriy covered options, the Company hears the market risk of unfavoiirable ctiarlge in the pi-ice of the security underlyirig the written option. Exercise of an option written by the Company could result in the Company selling or buying a security at a price different frorn ttie current market value. Losses fi-orn written market index options may be unlimited.

As of 31 December. 2001, the Company had no outstanding futures or options contracts

30

Forward . .. .- Forelgn ... Cur rg~~yExchange -. . Contracts

As described in the prospectus, each Sub-fund is authorised to enter into fotward foreign exchange coritr‘acts i r i order to protect a Sub-furid against adverse niovernent in the value of a Sub-fund’s Base Curi-ency. Each Sub-fund may enter into contracts for- the purchase or sale of a specific foreign currency at a fixed price on a future date as a hedge or cross- hedge against either. specific transactions or portfolio positions. The aggr‘egate pi-iricipal amounts are reflected net in the accompanying Statement of Net Assets if a Sub-fund intends to settle the contract prior to delivery. All comrnitmellts are “rnarked-to-market” at. the applicable translation rates and any resulting unrealised gains or losses are recorded in each Sub-fund ’s financial statements. Each Sub-fund records realisecl gains or losses at the time the fotward contract is offset by entry irito a closing ti’ansaction or extiriguished by delivery of the currency. Risks may arise upon entet-iny these contracts from the potential iriability of couriterparties lo rrieet the terms of their contracts and fr-orri unanticipated rriovements in the value of a foreign currency relative to the Base Currency.

As of 31 December 2001, the Company had no outstanding forwaid fat-etgri currency exchange contracts.

Note 3 A g r e e m ~ n ~ s

Each Sub-fund pays a Flat Fee as indicated in the table below. The Flat Fee is allocated by the Company and paid directly by the Conipany to the Company Atlrriiriistrator, the Portfolio Manager, the Custodian Bank, the Distributor and the Advisory Company, each of which is a service provider. The Flat Fee also includes other costs and expenses incurred in the Sub- furid’s ordinary course of business which ate paid by the service providers from their share of the tlat fee.

The Flat Fee is calc;ulated on the average daily NAV of the Sub-funds and is payable rriorilhly 01‘ quatterly iti arteai-s as the case rnay be.

S 11 1) -F 11 tjds F I esco Euro STOXX 50 Fresco Dow Jones Industrial Average Fresco DJ US (Large Cap) Fresco DJ US Technology Ftesco 0.1 Japan Titans 100 Fresco DJ UK Titans 50

Flat Fee 50 bps per annum 50 bps per annum 50 bps per annurri 60 bps per annuin 70 bps per annum 50 bps pet annum

Certarri costs and expenses are not included i n each Sub-fund’s Flat Fee which niay be payalde by the Company horn the assets of the relevant Sub-fund.

The Directors have appointed Fresco ArJvisory Holding S.A. (the “Advisory Cornpariy”). Pursuant lo an investnienl advisory agreement, the Advisory Company is to advise h e Cornpariy from time to time on the selection, appointment and supet-vision of the Conipany’s Portfolio Matiagei-s and on the Investment Objectives and Policies of the Sub-firnds. Witl-i the approval of the Directors, UBS Asset Management Limited (the “Portfolio Manager”) has been appoirited to act as Poitfolio Manager of all the curreiitly active Sub-funds. The Poitfolio Manager is entitled to receive a fee for its services rendered payable out of the flat fee abased the avet-age daily NAV of the Sub-funds arid payable monthly in arrears. UBS AG is ultimately the pat.ent company of the Advisot-y Company and the Portfolio Managers. LJBS AG (the “Distributor”) has been appointed as distributor and is responsible for assistirig the Company in the marketing of the Shares and promoting t he establishment and operation of a secondary inarkel in Shares as well as other general marketing activities on behalf of the Co I 11 par 1 y .

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Note 4 T a x - a t ~ y

Under. cui-rent Luxembourg law and practice, the Company is not liable to any Luxernbourg income tax, nor are dividerids paid by the Company liable to any Luxernbourg withholding tax. Under current Luxerribout-y law and practice, no capital gains tax is payable on the realised capital appreciation of the assets of the Company. The Company is, however, liable to an aririual tax in Luxembourg calculated, in accordance with Article 108 of the Luxembourg Law dated 30 March 1988, at the late of O . O l o / ~ of the NAV of all its Sub-funcis. This tax is payable quatterly on the basis of the NAV of the Sub- funds, calculated at the end of the quaitet- to which the tax relates. No starnp or other tax will be payable in Luxembourg in coririection with the issue of Sttares of the Company, except a once and for all tax of LUF 50,000 which was paid upon incorporation.

Under the United Kingdom Inconie and Corporation Taxes Act, 1988, offshore funds niust distribute substantially all of their income every yeat, in order to apply to the United Kingdorn Inland Revenue for cer'tification as a distributing fund. Such approval is granted I etrospectively for each accounting period.

Prospective investor's should consult their own taxation advisers in relation to their own individual cir cumstances as they may differ from the general statements that appear above.

The Company, for each Sub-fund is subject to taxation on capital gains, interest and dividends it1 cettain jurisdictions in which each Sub-fund invests. It is the policy of each Sub- fund to accrue for such taxes when the dividend is declared 01- interest is ear-ned. At each valuation date, taxation on iinrealised appreciation of securities is accrued for at statutory rates

Note 5 Distribution

Upon a proposal of the Board of Directors and within the limits provided by Luxembourg Law, the general meeting of Shareholders of the class or classes of Shares issued in respect of any Sub-Fund will determine how the income of each Sub-fund shall be dealt with, and may from time to time declare distr-ibutions. The Board of Directors may decide to pay interim dividends in compliance with the conditions set fotth by Luxembourg Law.

The Company intends for each Sub-fund to distribute its net income in order to achieve the rriaximum tracking accuracy of t he relevant Index. An income equalisation amount will be calculated by refeterice to the amount of the Daily NAV Per Shar-e representing accrued net incorne (or deficit) at the time when a subscription 01' a redemption in kind is made so that the dividend representing net investment income corr-esporids to the net income !return of the Index.

Presently, it is foreseen, that the Company will pay out dividends or interim dividends for Shales within each Sub-furid on the date or dates resolved by t he general meeting of Stiareholders in each of the ex-dividend rnanths (Le. June and December). If a dividend is declared in respect of such Sub-funds, it is currently foreseen that paynient will be effected no later than 2 inoriths after the date on which it was declared.

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Note 6 E-qualisation for German investors

The equalisation is calculated for each of the Suh-funds to avoid that the taxable arnounl per share is irnpacled hy the fluctuation of the nurnbei. of outstanding shares during the fiscal year. These figuies are not profit and loss arnounts but pait of the capital fluctuation. They will be included in the calculation of the Deemed Distribution amounts.

Note 7 Transactions -. . - by the Company

As a result of each Sub-fund typically receiving (or delivering) the securities through in kind subscriptions (or redernptiuns) made by Authorised Participants Sub-funds will not normally erigage in high levels of investment transactions. In accordance with the Investment Policy of each Sub-fund investment transactions may be entered into periodically by the Company in seeking to achieve the Sub-fund’s Investment Objectives. Subject to the Investment Policy established by the B0ar.d of Directors, the Portfolio Manager of each Sub-fund is primarily responsible for the execution of each Sub-fund’s investment transactions and the allocation of the brokerage commissions and will select brokers who will provide the best overall service to the Cornpany. The Cornpany has no obligation to deal with any specific brokei- or group of brokers in execution of transactions in securities for a Sub-fund. However, the Company contemplates that a substantial amourit of such transactions will be conducted through Authorised Participants or their affiliates or affiliates of the relevant Portfolio Manager; provided always that any such person will endeavor to transact such transactions on a best execution basis. Certain t,ransactions may be subject to a comniission 01- dealei- mark-up which may not be the lowest commission or spread available. Brokers who provide suppleniental services called soft commissions to a Sub-fund’s Portfolio Manager may receive otders for transactions by the Company. Soft commission services so received by a Portfolio Manager will be in addition to and not in lieu of the services required to be perforrned by the Sub-fund’s Portfolio Manager and the fees of the Pottfolio Manager will riot LE reduced as a result of the receipt of such sofl conitnissions. The Advisory Company is satisfied that such soft coriirnissioti arranyetnents comply with [’el evan t regulatory roqu ire inen ts .

Note 8 Changes in Investment P-ortfol!~

A copy of the list of changes iti the portfolio during the reference period may he obtained free of charge at the custodian or paying agents, at the paying and information agent in Get many and at the Swiss representation office in Switzerland.

Note 9 Fund _ __ - - documentation ~-

The articles of associalionlmanagemerit of regulations, the prospectus, the unaudited setmi- arinual ropuits, as well as the audited annttal reports can be obtained free of char-ge from the Gel man payitig agent and inforrnation office as well as frorn the Swiss representative.

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FRESCO Notcs to the liinaiicial Statements ut 3 I l~eceriibel- 2001 (contiaaetl)

Note 10 For .- --_ German - -_ residents __ o&

The Cornpany has appointed UBS Asset Management GmhH, Stephanstrasse 14-1 6, D- 60313 Fianklcirt am Main as the German intot mation agent to provide inforination to potential investors it1 Germany and redemption support

The Cotripany has appointed UBS Private Banking DeLitschland AG, Stephanstrasse 14-16, D-60313 Frankfurt am Main as paying agent in Germany.

Note 11 For - Swiss __ - residents . . -- only .

The Corripany has appointed UBS Fund Management (Switzerland) AG, Aeschenvorstadl 48, CH-4002 Basel as represetilation agent of the Cornpany in Switzerland.

The Company has appointed UBS AG, Aeschenvorstadt 1, CH-4002 Basel and Bahnhofstrasse 45, CH-8098 Zurich and all offices in Switzerland as paying agent of the Cornpany in Switzerland.

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Documents

FRESCO - Fundsquare