fresco annual report - fundsquare

FRESCO (Societe d'lnvestissement a Capital Variable) incorporated in Luxembourg

Annual Report For the period from 7 September 2001 to 31 December 2002

(date of incorporation)

^^ ~ ~ ^^ ^ ^ ^ .

Fresco DJ Germany Titans 30 ,1 ~ _ - . . .

>'>

Fresco DJ Japan Titans 100 /

', Fresco DJ UK Titans 50 ;

Fresco DJ US (Large Cap) /

\ Fresco DJ US Technology ,

- \

/ Fresco Dow Jones Industrial Average j

. . . - .. -

Fresco Euro STOXX 50 ,,

\

/ Fresco STOXX European Banks

" __^". . . . "" -- - ~ ~. ..-

.'>

i Fresco STOXX European Health Care

. - ..

- - ~ - . - - __ - . - .

Fresco STOXX European Technology ,

Fresco STOXX European Telecommunication /

No subscriptions can be received on the basis of financial reports.

Subscriptions are only valid if made on the basis of the current

Prospectus supplemented by the latest Annual Report and latest Semi-Annual Report if published thereafter.

TABLE OF CONTENTS

Page

Administration and Directors

Letter to Shareholders

Performance table

Independent Auditor's Report

Statement of Net Assets

Statement of Operations

Statement of Changes in Net Assets

Transactions on the Fund's own shares

Schedule of Investments Fresco DJ Germany Titans 30 Sub-fund

Schedule of Investments Fresco DJ Japan Titans 100 Sub-fund

Schedule of Investments Fresco DJ UK Titans 50 Subfund

Schedule of Investments Fresco DJ US (Large Cap) Sub-fund

Schedule of Investments Fresco DJ US Technology Sub-fund

Schedule of Investments Fresco Dow Jones Industrial Average Subfund

Schedule of Investments Fresco Euro STOXX 50 Sub-fund

Schedule of Investments Fresco STOXX European Banks Sub-fund

Schedule of Investments Fresco STOXX European Health Care Sub-fund

Schedule of Investments Fresco STOXX European Technology Sub-fund

Schedule of Investments Fresco STOXX European Telecommunication Subfund

Notes to the Financial Statements

3

4

5

6

7-9

10-12

13-15

13-15

16-18

19-23

24- 26

27-34

35-36

37-39

40-41

42-44

45-46

47-48

49-50

51-59

ADMINISTRATION AND DIRECTORS

Registered Office

49, avenue J.F. Kennedy L-1855 Luxembourg

Advisory Company

Fresco Advisory Holding S.A. 291, route d’Arlon L-I 150 Luxembourg

Portfollo Managers of Sub-funds

UBS Global Asset Management (UK) Limited 21 Lombard Street London ECSV 9AH United Kingdom

Auditors

PricewaterhouseCoopen S.a r.1. Reviseur d’entreprises 400, route d’Esch B.P. 1443 L-1014 Luxembourg

Custodian Bank

State Street Bank Luxembourg S.A. 49, avenue J.F. Kennedy L-1855 Luxembourg

Directors

Dr Heinz HBmmerli (Chairman)

Mr Manuel Hauser

Mr Joseph La Corte

Professor Bruno Solnik

Mr Scott Dobbie CBE

Dr Jorg Franke

Professor Heinz Zimmermann

R.C. 0-83626

Company Administrator

State Street Bank Luxembourg S A . 49, avenue J.F. Kennedy L-1855 Luxembourg

Distributor

UBS AG Aeschenvorstadt 1, Postfach, CH4002 Basel and Bahnhofstrasse 45, Poslfach, CH8098 Zurich, Switzerland

Paying Agent in Germany

UBS Private Banking Deutschland AG Stephanstrasse 14-16, D60313 Frankfut am Main, Germany

Paying Agent in Switzerland

UBS AG Aeschenvorstadt 1, Postfach, CH4002 Basel and Bahnhofstrasse 45, Poslfach, CH8098 Zurich, Switzerland

and their branches in Switzerland

Representation Agent in Switzerland

UBS Fund Management (Switzerland) AG Aeschenvorstadt 48, CK4002 Basel, Switzerland

Representation and Information Agent in Germany

UBS Asset Management GmbH Stephanstrasse 14- 16 DS0313 Frankfurt am Main Germany

Legal Advisers

as to English Law Clifford Chance Limited Liability Partnership 200 Aldersgate Street London ECIA 4JJ

as to Luxembourg Law Kremer Associes & Clifford Chance 0, rue Heinrich Heine L-1720 Luxembourg

3

Letter to Shareholders

We are pleased to present the first annual report of Fresco Index Shares covering the period ending 31 December 2002. Since the first sub-funds were launched in October 2001, the objective of closely matching the investnent return, before expenses, of each fund's performance benchmark has been successfully achieved, despite difficult market conditions.

Over this initial period of trading for Fresco index shares, the economic background has been disappointing in most regions. 2002 started with hopes that economic growth in the USA and elsewhere would recover after the shock to confidence following the terrorist attacks in America in September 2001. These hopes were short lived, however, as accounting scandals, corporate failures and rising unemployment undermined business sentiment further. Rising political tension in the Middle East contributed to an already difficult environment.

In the USA, growth has been lacklustre prompting the Federal Reserve to cut interest rates a further 0.5% to 1.25%, the lowest level in over 40 years. The European Central Bank followed suit, with particular concern about the weakness in Germany, The UK economy, in contrast, has been relatively firm. Economic growth has been supported by high levels of consumer spending. In Japan, growth has been persistently poor for many years and showed little sign of improvement.

Against this disappointing backdrop, equity continued to fall with negative returns recorded for the third year running in most regions. The period was also characterised by continuing high volatility with daily movements up to 3 per cent quite common. The trend in markets was downwards over most of the first nine months before a rally occurred in the final quarter as bargain hunters were attracted by stock prices often 50% or more lower than three years before. In foreign exchange markets, the most notable feature was the decline in the US dollar as investors became concerned at the stalled economy, while the Euro staged a modest recovery from the weak conditions prevailing during its first three years of trading. The relative swing between the two currencies was in excess of 15% over the year.

The investment returns of the Fresco sub-funds during 2002 mirrored the underlying market background and are shown in the table on the following page, expressed in the base currency of each fund. In consequence, the net asset value of most share classes fell sharply during the year. The exceptions to this were the subfunds launched in September 2002, which was close to the low point of the year in most markets. The weakest performances were seen by the Euro STOXX 50 fund and US Technology funds. The Euro STOXX 50 fund reflected, in particular, the sharp fall by Nokia, the largest index constituent at the beginning of 2002, and the 22 % invested in German equities, one of the weakest markets during 2002. Technology stocks, in the early months of the year, continued to suffer from a reaction to the boom conditions of the late nineties and again underperformed broader indices. In contrast, the European Technology and European Telecommunications funds, both launched in September 2002, had demonstrated positive returns in excess of 10% by the year-end.

Sincerely,

Dr Heinz HBmmerli Chairman of the Board of Directors

4

Performance table

Performance of the Sub-Fund

Sub-Funds (in %I (1)

Performance of Tracking Total Expense

(in %) (2) (in %) (3) (in %) Ratlo p.a. the tracked index difference

Fresco DJ Japan Titans 100 (") JPY Fresco DJ UK Titans 50 r) EUR Fresco DJ US (Large Cap) r) USD Fresco DJ US Technology r") USD Fresco Dow Jones Industrial Average (") USD Fresco Euro STOXX 50 v) EUR (4)

-20.21 -19.45 -0.76 0.75 -28.10 -27.70 -0.40 0.55

-24.56 -23.77 -0.79 0.55 -36.76 -36.28 -0.48 0.65 -1 6.00 -15.01 -0.99 0.55 -36.41 -36.1 1 -0.30 0.55

(*) Date of inception: 29 October 2001 (") Date of inception: 30 October 2001 ("") Date of inception: 31 October 2001 y) Date of inception: 19 September 2002 (""*) Date of inception: 20 September 2002

1) The figures relating to the performances of the Sub-Funds reflect the percentage changes of NAV's per shares (cum dividends) over the period. 2) The figures relating to the performances of tracked indexes reflect the percentage changes of the respective indexes over the period. 3) The tracking difference is attributable to fund expenses (see "Total Expense Ratio") as well as non reclaimability of withholding taxes and to generation of securities lending income. 4) For STOXX indexes and OJ Germany Titans 30, 30 December 2002 (last publication day of the index) has been used as reference date for the calculation of both fund and index performance.

Sub-Funds Fresco DJ Germany Titans 30 (..."*) EUR (4)

Fresco STOXX European Banks r) EUR (4) Fresco STOXX European Health Care (...*) EUR (4) Fresco STOXX European Technology (....) EUR (4) Fresco STOXX European Telecommunication r) EUR

5

Performance of Performance of Tracking Total Expense the Sub-Fund the tracked index difference Ratio p.a.

(in %) (1) (in %) (2) (in %) (3) (in %) -5.65 -5.54 -0.11 0.55 -0.75 -0.54 -0.21 0.55

-1.88 -1.72 -0.16 0.55 15.15 15.36 -0.21 0.55 14.80 15.08 -0.28 0.55

.

Independent Auditor’s Report

To the Shareholders of Fresco@

We have audited the financial statements, which consist of the statement of net assets, the statement of operations, the statement of changes in net assets, the schedules of invesments and the notes to the financial statements of Frescclg, (the ‘SICAV”) and of each of its sub-funds for the period from 7 September 2001 (date of incorporation) to 31 December 2002. These financial statements are the responsibility of the Board of Directors of the SICAV. Our responsibility is to express an opinion on these financial statements based on our audit.

We conducted our audit in accordance with International Standards on Auditing. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. An audit also includes assessing the accounting principles used and significant estimates made by the Board of Directors of the SICAV, in preparing the financial statements, as well as evaluating the overall financial statements presentation. We believe that our audit provides a reasonable basis for our opinion.

In our opinion, the attached financial statements give, in conformity with the Luxembourg legal and regulatory requirements, a true and fair view of the financial position of FrescdB and of each of its sub funds at 31 December 2002 and cf the results of their operations and changes in their net assets for the period then ended.

Supplementary information included in the annual report has been reviewed in the context of our mandate but has not been subject to specific audit procedures carried out in accordance with the Standards described above. Consequently we express no opinion on such information. We have no observation to make concerning such information in the context of the financial statements taken as a whole.

PricewaterhouseCwpers S.B r.1. Reviseur d’entreprises Represented by

Luxembourg, March 3,2003

JeanRobert Lentz

6


at 31 December 2002

Fra8c& DJ Germany DJ Japan DJ UK Conrolldstod Titans 30 Titan6 100 Tllanf 50

Statement Sub-Fund Sub-Fund Sub-Fund

EUR EUR JPY EUR

ASSETS

Market value of investments In securities Cash at banks Oivldends receivable Receivable for investment securities sold

354,288,274 4,467,356 2.172.268.000 15,708.910 11,489,193 3,750 2.912.482 857.698

252,765 524,600 41,466 3,441

TOTALASSETS 366,033,683 4,471,106 2,175,701,082 18,608,074

LIABILITIES

Unrealised loss on swap contracts (Note 2H) Flat fees payable (Note 3) Payable for Investment securities purchased Bank overdraft Capped fees payable Taxe dabonnement payable (Note 4)

1,458,042 103.868 167.256 2,035 1,304,775 7,177 25,634 16.328 16.230 203 93,199 718 2,392 25 16,139 107

TOTAL LIABILITIES 1,685.882 2,263 I ,414,113 111.870

NET ASSETS AT 31 DECEMBER 2002 36437,811 4,488,843 2,174,290,969 16,496,204

NUMBER OF SHARES OUTSTANDING AT 31 DECEMBER 2002 2 5 0,O 0 0 600,000 650,000

NET ASSET VALUE PER SHARE AT 31 DECEMBER 2002 17.88 3.624 25.38

NET ASSET VALUE PER SHARE AT 31 DECEMBER 2001 NIA 4,542 GBP 22.19

INITIAL OFFERING PRICE r) 18.61 4,617 EUR 34.69

COST OF INVESTMENTS AT 31 DECEMBER 2002 420,381,461 4.649.584 2.71 1.947.777 20,641,891

(+)As of initial deallng day (see note 1)

The accompanying notes form an integral part of these financial statements.

7

.... .


at 31 December 2002 (continued)

Euro (Large Cap) Technology lndustrlal Average STOXX 50

Sub-Fund

D w Jones

Sub-fund Sub-Fund Sub-Fund

DJ us w us

USD US0 US0 EUR

ASSETS

Market value of investments in securities Cash at banks Dividends receivable Recelvable for Investment securities sold

32,961,129 12.910238 103,052,403 148,370.1 97 447 9,678.189 1,306,601 123,026

40,602 5,006 11 1,262 14,719

22,593,433 104,470,266 148,507,942 TOTAL ASSETS 33,002.1 7a

LlAElLlflES

Unreallsed loss on swap mntracts (Note 2H) Flat fees payable (Note 3) Payable for investment securities purchased Bank overdraft Capped fees payable Taxa d'abonnement payable (Note 4)

1,374,880 47,000 16.238 12,285 46,818 64,040

1,623 1,024 4,682 6,404 30 597 1.378

TOTAL LIABILITIES 17,889 1,3a7,9as 99,097 71,821

21,205,444 104,371,169 148,436,120 NET ASSETS AT 31 DECEMBER 2002 32,984,289

NUMBER OF SHARES OUTSTANDING AT 31 DECEMBER 2002 850,000 650.000 1,250,000 6,200,000

NET ASSET VALUE PER SHARE AT 31 DECEMBER 2002 38.81 32 62 83.50 23.94

NET ASSET VALUE PER SHARE AT 31 DECEMBER 2001 51.75 51 58 100.40 38.04

INlTiAL OFFERING PRICE c) 48.92 45.43 92 70 35.28

COST OF INVESTMENTS AT 31 DECEMBER 2002 40,736.1 52 18,178,919 114,625,087 182.489.498

(7 AS of lnltlal desllng day (see note 1)


8


at 31 December 2002 (concluded)

c STOXX

STOXX European STOXX European STOXX European European Banks Health C a n Technology Telecommunleatlon

EUR EUR EUR EUR

ASSETS

Market value of investments in securities Cash at banks Dividends receivable ReCBivable for investment securities sold

6,684,185 7.700.971 4,632,623 7,445,675 16,052 1,879

1,199 15,316 26,455 3,441

TOTAL ASSETS 6,688,825 7,732,339 4,634,302 1,472,130

Unrealised loss on swap cmtram (Note 2H) Flat fees payable (Note 3) Payable for investment secunties purchased Bank overdraft Capped fees payable Taxe d‘abonnement payable (Note 4)

2.935 3,332 2,205 3,303

3,245 13.083 293 333 221 330

42 52 15 46

25,634

TOTAL LIABILITIES 6,515 29.35’1 2,441 16,762

7,702.98a 4.031.861 7,455,368 NET ASSETS AT 31 DECEMBER 2002 6,682,310

NUMBER OF SHARES OUTSTANDING AT 31 DECEMBER 2002 250,000 250,000 250,000 350,000

NET ASSET VALUE PER SHARE AT 31 DECEMBER 2002 26.73 30.81 18.53 21.30

NET ASSET VALUE PER SHARE AT 31 DECEMBER 2001 N/A NIA N/A N/A

INITIAL OFFERING PRICE r) 27.41 31.81 16.58 18.78

COST OF INVESTMENTS AT 31 DECEMBER 2002 6,855,585 7,950,136 4,134.858 6,606.618

(7 AS of lnltlal dealing day (see note 1)


9

Statement of Operatlons

for the period from 7 September 2001 (date of incorporation) to 31 December 2002

Net change in unrealliod gains (losses) on:

Investments (66,093.1 87) (182.228) (539.679.777) (4,932,981) Swap contracts (I ,458,042) (1 03.868) Foreiw currencies (21,083) (21 .OWL

I

Froi& DJ Germany DJ Japan DJ UK Coniolidatod Titans 30 Titans 100 Tltana M

Statomont Sub-Fund Sub-fund Sub-Fund ("-9 r*) r-1

EUR EUR JPY EUR

INCOME

Dividends (net of foreign wlthholding tax) Net income equalisation Income on securities lending Interest

4,360,523 - 21,564,388 587,521 1,132,194 1,736,099 81.567

28.816 26

TOTAL INCOME 5,521,559 - 13,300,487 849,088

EXPENSES

Flat fees (Note 3) Capped fees (Note 3) Taxe d'abonnement (Note 4) Currency loss Transaction fees Swap interest expenses Debll interest on call account

1,705,308 6.720 25,277,064 97.407 181.326 672 1,805.506 9,741 35,497 224 384.822 2,13C 28,194 25,892 14,522 123 271,042 3.483 7,538 647 3,560 71.808 2,939

TOTAL EXPENSES 1.955.94s 7,739 27,810,282 142.238

NET INVESTMENT INCOME (LOSS) 3,585,614 (7,739) (4,509,775) 506,848

Not roalised gains (losses) on:

Investments Swap contracts Foreign currencies

(14,140,150) 6.310 (182,786,320) (583.1 33) (86.185) (88.185)

(158,051) (153.485)

r) Date of inception: 29 October 2001 ("1 Dale of inception: 30 October 2001 r) Date of inception: 31 October 2001 ("") Date of inception: 18 September 2002 Y') Date of incepdon: 19 September2002


10

Statement d Operatlons

for the period from 7 September 2001 (date of incorporation) to 31 December 2002 (continued)

uow JOnel DJ US DJ US lnduitrlal Eura

(Large Cap) fschnology Averago STOXX 50 Sub-Fund Sub-Fund Sub-Fund Sub-fund

("1 r") ("1 r) USD US0 USD EUR

INCOME

Dividends (net of foreign withholding tax) Net income equalisation Income on securities lending Interest

1,386,166 I ,638.iag

2a.816

543.650 77.400 16,420 2i.a~ 163,948 844.096

26

YOTAL INCOME M0,DIO 99,237 1,550.1 14 2,511,127

EXPENSES

Flat fees (Note 3) Capped fees (Note 3) Tsxe d'abonnement (Note 4) Currency loss Transaction fees Swap interest expenses Debit interest on call acmunl

234,029 215.079 449,845 503,238 50,327

44'w 11,375 4.941 3.658 9,651

1,505 61 6 560 4,126 6,735 499

23,403 17,923

TOTAL EXPENSES 263.878 244,oi 1 so5,us 569,066

(144,774) I ,W,S75 1.942.061 NET INVESTMENT INCOME (LOSS) 296.192

Net realisod gains (losses) on:

Investments Swap contracts Foreign currencies

(737,302) (3,931,289) (3.839.924) (4,177,785)

Nnt change in unrealissd gains (losses) on:

investments (7.775.023) (5,286,681) (11,572,684) (34.1 19,301) Swap contracts - (1,374,680) (47.0001 Foreign currencies

(') Date of inception: 29 October 2001 (") Date of Inception: 30 October 2001 r ) Date of inception: 31 October 2001 Y) Date of inception: I 8 September 2002 (") Date of inception: I 9 September 2002

The accompanylng notes form an integral part of these financial statements

11

Statement of Operations

for the perlod from 7 September 2001 (date of Incorporatian) to 31 December 2002 (concluded)

I TOTAL INCOME 7,4a4 16,402 1,104 44,926,

EXPENSES

8TOxX STOXX STOXX STOXX European European Europaan European

Banks Health Care Technology Telecommunlcatlon (-*I r-7 ("'? (*'*)

EUR EUR EUR EUR

INCOME

Dlvldends (net of foreign withholding tax) Net lnmme equalisation Income on securities lending Interest

7.484 16,402 1,104

Flat fees (Note 3) Capped fees (Note 3) Taxe d'abonnement (Note 4) Currency loss Transaction fees Swap interest expenses Debit interest on wll account

9,778 11,615 7,025 10,484 977 1,162 702 1,049 334 397 221 346

1,676 14 55 357 602 373 456 429

45 - I TOTAL EXPENSES 13t767 13,606 8,461 12,685

NET INVESTMENT INCOME (LOSS) (6,283) 2,788 (7,357) 32.261

Net reallsed galni (loises) on:

Investments Swap contracts Foreign currencles

Net change In unroalisod gains (losses) on:

Investments (1 71,401) (249,165) 497,766 839.057 swap contracis foreign currencles (I) (19) 1

(') Date of inception 29 October 2001 (") Date af inception 30 October 2001 ( * * *J Dale of inception 31 October 2001 (""J Dale of inception 18 September 2002 (""') Date of incapLon 19 September 2002


12

. . .. .. .

Statement of Changes in Net Assets for the period from 7 September 2001 (date of Incorporation) to 31 December 2002

I Flsas& DJGermny DJJapan DJ UK

Consolldaed Mans 30 Titans 100 Tlmns 50 Slatemant SuWund SuWund SubFund

(""1 ("1 (-7

EUR EUR JPY EUR

NET ASSETS AT THE BEGINNING OF THE PERIOD

3.565.6i4 (7,739) (4,609,775) 508.849 I Ns( mallsad galna I(Iow6) on:

lnVB8tn" Swap mnmau Foreign cvrrencim Net m a l i d galns / (loases) forthe perlocl

(14.140.150) 6.310 (162,786,320) (583.133) (86.165) (86.185)

(156.051) (1 53.485) (14,382,386) W10 (162,7888,320) (822,803)

lnvastmem Swap mnlreua Fomlgn currendes (21.083) (21.064)l Net change In unmallsed pains / (Io-) fo r th prlod (67.672.312) (182,228) (539,678,777) (5,057,913)

Net Incmass I (decrease) In net assel8 m r u n l ~ f" opntlona (78,38%084) (183,8857) (708,875,872) (5,375,167) _.

Net l n c m s ~ I (decrease) In net bM6ts t" Fund sham tranxacklons 446,164,174 4.652500 2.881.268.@41 22.364071

Dividend airtrlbunon (3.427278) (Ae4.000)

INCREASE/ (DECREASE) IN NET ASSETS 364.347.811 4.468.B43 2.174,290.869 16,496.204

NET ASSETS AT 31 DECEMBER 2002 38*,ur,eiq 4,468.w 2.174.280.969 16,496,204

Transactions on the Fund's own shares for the period from 7 September 2001 (date of incorporation) to 31 December 2002

NUMBER OF SHARES AT THE BEGINNING OF THE PERIOD

NUMBER OF SHARES ISSUED 2w.000 000,000 750 000

NUMBEROFSHARESREPURCHASED ~300.000) (100.000)

NUMBER OF SHARES AT 31 DECEMBER 2002 250.000 ~0.000 660 000

V) Date of Incep(1on 29 OctOber 2001 I") Date of incepcnon 30 October 2001 V") Date of lnatpuon 31 October 2001 ("") Dme 01 Inceplan 18 September 2002 (""') Dae d incepton 19 Septemoer 2002


13

.. . .. . .. . . . .

Statement of Changes in Net Assets for the period from 7 September 2001 (date of incorporation) to 31 December 2002 (continued)

WW JOnbS

DJ US w us Indwtrlal Eum (Large Cap) TschnolDgl Avorage STOXX M

SuWund SubFund SubFund SuWund r7 I'7 I') (7

USD us0 USD EUR


NOI lnVbSEllbfil InCOllW / (IOM) 298,192 (144774) 1.044575 1.942.061

Nel mallma g a m I (lousr) on:

Investments Swap mnlraus Foreign currencies "imallsedgalnaI(losses)tortheperiocl

(3,839,924) (4,177.786) V37.302) (3.931.200)

(3,839,924) (4,177.785) (7S7.302) (3$31,288)

"i change In unmallaed galns I (louer) on:

Investmems (7.775.023) (5,286,681) (11.672,6&0 (34.119.301) Swap mntraas (1374,080) (47.000)

Net change In unreallrecl gain1 I (loaaes) forth p l o d (7.775.023) (6,Wl,361) (11,619.6@4) (34,119,301) Foreign wunendes

Net increase I (doclease) In net mi resultlng from oporations (11.318.755) (10.883.920) (11,312.411) (36.100.529)

Not Increase81 ( d e w " ) Inn.( aasetsfrom Fund sham Wansacnons 44.551.W 32.169.3M 116,608.580 186.360.149

m a m a eismaunoe (248.500) (825,000) (1,815,500)

INCREASE I (DECREASE) IN NET ASSETS 32.W.289 21.205.oLA 104,371,188 148,436,120

NET ASSETS AT 31 DECEMBER 2002 32.9&4,2@ 21,205,444 104.371.118 148,4338.120

Transactlons on the Fund's own shares for the period from 7 September 2001 (date of incorporation) to 31 December 2002


NUMBER OF SHARES ISSUED 1.l90.000 um.000 1.350.000 B.BSO.OM

NUMBEROFSHARESREPURCHASED (300,WO) (2W.000) (100,000) (15P.OM)

NUMBER OF SHARES AT 31 DECEMBER 2002 BSO.000 W.000 1.250.000 1.200.000


14

Statement of Changes In Net Assets for the period from 7 September 2001 (date of Incorporation) to 31 December 2002 (concluded)

STOXX Eumpan STOXX European StOXX European European Health Care TecnnolOgl Telmcommunlcatlon

("7 Banks (-7 (-7 ("1

EUR EUR EUR EUR


Nm lmesunem Income I (loss) (6.283) 2.798 (7.357) 32.261

Net mallsed galns I (losses) on:

Investments Swap contra& Foreign wmndes Net mallaed galns I (loues) for the pedd

Net change In unmallsed galns I (low#) on:

Investments Swap contraus Forelgn currenc186 Ne( change In unresllsed galns I ( l o w ) forthe pdod

(171,401) (249.165) 497.768 838,057

839,058 (1) (19)

(171.402) (249,165) 497.747

Net lncmase I (clocmase) In noi assets rssultlng from oporatlons (170,790) (249.612) 486,785 881,737

Not incnua I (hcrsaas) In net amiou fmm Fund shams mn.nsns 6,853,100 7952.500 4.145.076 6,573,631

Dividend dlstibuUon

INCREASE I (DECREASE) IN NET ASSETS 6.682.310 7,702,988 4.631.661 7,455,368

NET ASSETS AT 31 DECEMBER 2002 6.682.510 1,102,988 4,851,861 7.461.360

Transactions on the Fund's own shares for the period from 7 September 2001 (date of Incorpoation) to 31 December 2002


NUMBER OF SHARES ISSUED 210.000 250.000 250.000 amma

NUMBER OF SHARES REPURCHASED

NUMBER OF SHARES AT 31 DECEMBER 2002 2M.OW 2yI.000 250,000 560.000


15

. .. .. . .... .. .. ... ..

Fresco DJ Germany Titans 30

Schedule of Investments as at 31 December 2002 (Expressed In EUR) Transferable securities listed on an Offlclal Stock Exchange

Market % of Quantity Value EUR Net Assets

Common Stocks

Airlines (0.58%) Deutsche Lufthansa 2.960 25,989 0.58

Apparel (1.29%) Adidas-Salomon 700 57.61 0 1.29

Auto Manufacturers (13.93%) Bayerische Motoren Werke DaimlerChrysler - Registered Volkswagen

4,525 12,675 3,445

130,863 372,Ol I 119,680

2.93 8.32 2.68

Banks (11.79%) Bayerische Hypo-und Vereinsbank Commenbank Deutsche Bank - Registered

5,080 6,160 9,195

77,318 45,892

403,660

1.73 I .03 9.03

Chemicals (11.54%) BASF Bayer

8,230 10,695

296,938 218,713

6.65 4.89

Diversified Financial Services (0.19%) MLP 890 8,366 0.19

Electric ( I I .46%) E.ON RWE

9,355 6,165

359,700 152,275

8.05 3.41

Electronics (0.17%) Epcos 760 7,501 0.17

16

.. . . . .


Schedule of Investments as at 31 December 2002 (Expressed in EUR) Transferable securities listed on an Official Stock Exchange


Engineering & Construction (0.97%) Linde 1,245 43,575 0.97

Food (1.11%) Metro 2,175 49,481 1.11

Healthcare Products (0.47%) Fresenius Medical Care 530 20,914 0.47

Insurance (10.39%) Allianz - Registered Muenchener Rueckvewicherung - Registered

2,955 1,723

267,871 196,422

5.99 4.40

Iron & Steel (I .40%) ThyssenKrupp 5.885 62,675 1.40

Leisure Time (0.68%) TU1 0.68 1.875 30,300

Miscellaneous Manufacturers (10.01%) Siemens 1 1,045 447,323 10.01

Pharmaceuticals (3.63%) Altana Schering

1,085 2,775

47,197 1 15,024

1.06 2.57

Semiconductors (1 .OS%) lnfinean Technologies 6,715 46,938 1.05

Software (5.42%) SAP 3.207 242,193

37,405 458,211

5.42

10.25 Telecommunications ( I 0.25%) Deutsche Telekom - Registered

17




Transportation (1.20%) Deutsche Post

Total Common Stocks

Preferred Stocks

Auto Manufacturers (1.19%) Porsche

Household Products (1.25%) Henkel

Total Preferred Stocks

TOTAL INVESTMENTS (Cost EUR 4,M9,584) Other net assets

TOTAL NET ASSETS

5,355 53,550 1.20

4,358,190 97.53

1 35 53,460 1.19

920 55,706 1.25

109,166 2.44

4,467,356 99.97 1,487 0.03

4,468,843 100.00 a,


18

Fresco DJ Japan Titans 100

Schedule of Investments as at 31 December 2002 (Expressed In JPY) Transferable securities listed on an Official Stock Exchange

Market % of Quantity Value JPY Net Assets

Common Stocks

Auto Manufacturers (14.56%) Honda Motor Nissan Motor Suzuki Motor Toyota Motor

Auto Parts & Equipment (2.06%) Bridgestone Denso

Banks (7.17%) Mitsubishi Tokyo Financial Group Mizuho Holdings Resona Holdings Sumitomo Mitsui Financial Group Sumitomo Trust & Banking UFJ Holdings

Beverages (0.95%) Asahi Breweries Kirin Brewery

Building Materials (0.94%) Asahi Glass Matsushita Electric Works

Chemicals (2.64%) Asahi Kasei Mitsubishi Chemical Shin-Etsu Chemical Sumitomo Chemical

Commercial Services ( I .32%) Dai Nippon Printing Toppan Printing

16,700 73,313,000 46,600 43,151,600

7,000 9,030,000 59,900 191,081,000

14,000 20,580,000 12,400 24,142,800

106 172

104,000 1 04

26,000 88

9.000 18,000

19,000 9.000

27,000 39,000 7,200

26,000

68,370,000 19,092,000 6,760,000

38,584,000 12,506,000 10,560,000

7,002,000 13,590,000

13,813,000 6,606,000

7,938,000 9,243,000

28,008,000 12,194,000

13,000 17,069,000 13,000 1 1,609,000

3.37 I .98 0.42 8.79

0.95 1.11

3.14 0.88 0.31 I .77 0.58 0.49

0.32 0.63

0.64 0.30

0.36 0.43 I .29 0.56

0.79 0.53

19

.


Schedule of Investments as at 31 December 2002 (Expressed in JPY) Transferable securities listed on an Official Stock Exchange


Computers (0.99%) Fujitsu TDK

Cosmetics & Personal Care (I .77%) Kao Shiseido

Distribution & Wholesale (2.23%) ltochu Mitsubishi Mitsui Sumitomo

Diversified Financial Services (4.46%) Acorn Daiwa Securities Group Nikko Cordial Nomura Holdings ORlX Ta kefuj i

Electric (5.93%) Chubu Electric Power Kansai Electric Power Tohoku Electric Power Tokyo Electric Power

Electrical Components & Equipment (4.65%) Hitachi Mitsubishi Electric Sanyo Electric Sharp Sumitomo Electric Industries Toshiba

30,000 2,400

10,000 8,000

27,000 24,000 26,000 19,000

1,760 23,000 28,000 35,000

1,300 1,490

12,800 16,400 9,100

25,100

59,000 38,000 35,000 20,500 11,000 58,000

10,170,000 11,472,000

26,050,000 12,344,000

6,939,000 17,400,000 14,404,000 9,690,000

6,864,000 12,121,000 1 1,200,000 46,690,000

9,945,000 10,206,500

27,136,000 29,405,200 15,897,700 56,600,500

26,845,000 10,412,000 10,815,000 23,103,500

8,459,000 21,576,000

0.47 0.52

1.20 0.57

0.32 0.80 0.66 0.45

0.31 0.56 0.51 2.15 0.46 0.47

I .25 I .35 0.73 2.60

1.23 0.48 0.50 1.06 0.39 0.99

20

. . . . . .. .


Schedule of Investments as at 31 December 2002 (Expressed in JPY) Transferable securities listed on an Official Stock Exchange


Electronics (4.78%) Advantest Fanuc Keyence Kyocera Murata Manufacturing NEC Secom

1,500 7,980,000 0.37 2,600 13,650,000 0.63

600 12,390,000 0.57 3,300 22,803,000 1.05 4,400 20,460,000 0.94 28,000 12,432,000 0.57 3,500 14,245,000 0.65

Food (0.63%) Ajinomoto 11,000 13,629,000 0.63

Forest Products & Paper (0.47%) Nippon Unipac 20 10,300,000 0.47

Hand & Machine Tools (0.51%) SMC 1,000 11,140,000 0.51

Healthcare Products (0.65%) Hoya 1,700 14,127,000 0.65

Home Builders (0.39%) Sekisui House 10,000 8,400,000 0.39

Home Furnishings (6.38%) Matsushita Electric Industrial Pioneer Sony

46,000 2,900

15,800

53,820,000 6,452,500

78,368,000

2.48 0.30 3.60

Insurance (2.59%) Millea Holdings Mitsui Sumitomo Insurance Sompo Japan insurance

34 27,000 18,000

29,036,000 14,742,000 12,474,000

I .34 0.68 0.57

21

... .. . . . . .




Internet (0.22%) Softbank

Iron & Steel (0.72%) Nippon Steel

Machinery, Construction & Mining (0.30%) Komatsu

Mlscsllaneous Manufacturers (2.66%) Fuji Photo Film Mitsubishi Heavy Industries Nikon

Office & Business Equipment (4.16%) Canon Ricoh

Oil & Gas (1.51%) Nippon Oil Tokyo Gas

Pharmaceuticals (5.94%) Daiichi Pharmaceutical Eisai Fujisawa Pharmaceutical Sankyo Takeda Chemical Industries Yamanouchi Pharmaceutical

Real Estate (I .49%) Mitsubishi Estate Mitsui Fudosan

3,500 4,742,500 0.22

1 13,000 15,707,000 0.72

17,000 6,579,000 0.30

9,000 34,830,000 61,000 17,690,000 6,000 5,352,000

15,000 12,000

27,000 49,000

4,800 5,300 5,000 7,300

12,400 6,100

24,000 14,000

67,050,000 23,364,000

14,526,000 18,228,000

8,174,400 14,124,500 13,575,000 10,869,700 61,504,000 20,984,000

21,696,000 10,780,000

I .60 0.81 0.25

3.08 I .08

0.67 0.84

0.38 0.65 0.62 0.50 2.83 0.96

1 .oo 0.49

22

...

Fresco DJ Japan Titans I00


Market % of Quantlty Value JPY Net Assets

Retail (3.42%) Aeon Ito-Yo kado Marui Seven-Eleven Japan

Semlconductors ( I .99%) Rohm Tokyo Electron

Telecommunicatlons (5.68%) KDDl Nippon Telegraph &Telephone NTT Data NTT DoCoMo

Textiles (0.21%) Teijin

Toys, Games & Hobbies (1.17%) Nintendo

Transportation (4.37%) Central Japan Railway East Japan Railway Nippon Express Nippon Yuaen Kabushiki Kaisha West Japan Railway Yamato Transport

Total Common Stocks

TOTAL INVESTMENTS (Cost JPY 2,711,947,777) Other net assets

TOTAL NET ASSETS

6,100 17,141,000 0.79 7,000 24,500,000 1.13 6,300 7,320,600 0.34 7,000 25,340,000 1.16

1,900 28,709,000 1.32 2,700 14,499,000 0.67

58 22,330,000 I .03 60 25,860,000 1.19 22 7,216,000 0.33

31 I 68,109,000 3.1 3

16,000 4,544,000 0.21

2,300 25,507,000 1.17

25 18,475,000 64 37,696,000

17,000 7,905,000 21,000 8,400,000

24 10,104,000 8,000 12,400,000

0.85 I .73 0.36 0.39 0.47 0.57

2,172,268,000

2,172,268,000 2,022,969

2,174,290,969

99.91

99.91 0.09

100.00


23

Fresco DJ UK Titans 50



Common Stocks

Advertising (0.71%) WPP Group

Aerospace & Defense (0.48%) BAE Systems

Agriculture (1.26%) British American Tobacco

Banks (20.10%) Abbey National Barclays HBOS HSBC Holdings Lloyda TSB Group Royal Bank of Scotland Group Standard Chartered

Beverages (3.26%) Allied Domecq Diageo

Chemicals (0.58%) BOC Group

Commercial Services (0.54%) Rentokil Initial

Diversified Flnancial Services (0.39%) Amvescap

16,055 116,846

41,728 79,362

21,833 207,788

19,758 90,362 52,096 56,098 76,456 36,752 13,762

15,011 43.1 60

6,972

26,506

156,978 533,596 523,373 590,682 523,013 838,783 149,022

91,404 446,839

94,959

89,440

10,651 65,019

0.71

0.48

1.26

0.95 3.24 3.17 3.58 3.17 5.09 0.90

0.55 2.71

0.58

0.54

0.39

24



Electric (2.69%) National Grid Transco Scottish Power

42,933 300,606 I .82 25,709 142,942 0.87

Engineering & Construction (0.69%) BAA 14,643 113,195 0.69

Entertainment (0.32%) Hilton Group 20,864 53,442 0.32

Food (5.94%) Cadbury Schweppes Compass Group fesco Unilever

28,772 31,075 96,836 40,189

170,784 157,286 288,141 364,301

1.03 0.95 1.75 2.21

Holding Companies - Diversified Operations (0.56%) Six Continents 92,180 11,972 0.56

Household Products (0.74%) Reckitt Benckiaer 6,600 121,982 0.74

Insurance (3.42%) Aviva Legal & General Group Prudential Royal & Sun Alliance Insurance Group

31,034 90,381 27,336 19.657

210,866 133,081 184,062 36.406

1.28 0.81 1.11 0.22

Media (2.77%) British Sky Broadcasting Pearson Reed Elsevier Reuters Group

16,951 10,916 17,353 19,699

166,135 96,188

141,596 53,630

I .Ol 0.58 0.86 0.32

25


Schedule of Investments as at 31 December 2002 (Expressed in EUR) Transferable securities llsted on an Official Stock Exchange


Mining (4.30%) Anglo American BHP Billiton Rio Tinto

Oil 8 Gas (17.25%) BG Group BP Centrica Shell Transport & Trading

Pharmaceuticals (14.12%) AstraZeneca GlaxoSmithKline Shire Pharmaceuticals Group

Retail (2.42%) GUS Kingfisher Marks 8. Spencer Group

Telecommunications ( I 2.69%) BT Group Cable 8. Wireless mm02 Vodafone Group

Total Common Stocks

TOTAL INVESTMENTS (Cost EUR 20,641,891) Other net assets

TOTAL NET ASSETS

18,922 267,731 1.63 31,835 161,988 0.98 14,657 278,761 I .69

49,159 202,07 I I .23 252,555 1,654,053 10.03

57,958 152,011 0.92 133,452 837,171 5.07

22,406 762,927 4.63 83,338 1,523,649 9.24 6,874 41.910 0.25

13,842 122,501 0.74 35,946 122,672 0.74 31,948 154,355 0.94

119,811 358,34 I 2.17 32,090 22,026 0.13

122,952 83,440 0.51 938,027 1,629,368 9.88

15,708,910 95.23

15,708,910 95.23 787,294 4.77

16,496,204 100.00


26

Fresco DJ US (Large Cap)

Schedule of Investments as at 31 December 2002 (Expressed in USD) Transferable securities listed on an Official Stock Exchange

Market % of Quantity Value USD Net Assets

Common Stocks

Advertising (0.19%) Omnicom Group

Aerospace & Defense (I .77%) Boeing General Dynamics Lockheed Martin Northrop Grumman Raytheon United Technologies

Agriculture (1.28%) PhiliD Morris

Airlines (0.1 3%) Southwest Airlines

Auto Manufacturers (0.54%) Ford Motor General Motors

Banks (7.65%) Bank of America Bank of New York Bank One BB&T Comerica Fifth Third Bancorp FleetBoston Financial Keycorp Mellon Financial National City Northern Trust PNC Financial Services Group State Street SunTrust Banks US Bancorp Wachovia Wells Fargo

975

3,555 941

1,826 761

1.909 2,505

10,423

3,035

8,765 2,651

7,552 3,586 6,043 2,292 838

2,591 5,399 2,032 2,084 2,913 1,138 1,535 1,738 1,345 9,614 6,875 8,521

62,985

1 17,279 74,687 105,452 73,817 58,702 155,160

422,444

42.187

81,514 97,716

525,393 85,921 220,872 84,781 36,235 151,703 131,196 51,084 54,413 79,583

64,317 67,782 76,557 204,009 250,525 399,379

39,887

0.19

0.35 0.23 0.32 0.22 0.18 0.47

1.28

0.13

0.25 0.29

1.59 0.26 0.67 0.26 0.1 1 0.46 0.40 0.15 0.16 0.24 0.12 0.20 0.21 0.23 0.62 0.76 1.21

27

.


Schedule of Investments as at 31 December 2002 (Expressed in USD) Transferable securities listed on an Offlclal Stock Exchange

Beverages (3.35%) Anheuser-Busch Coca-Cola Coca-Cola Enterprises PepsiCo

Biotechnology (1 .Ol%) Amgen Genentech

Building Materials (0.17%) Masco

Chemicals (1.34%) Air Products & Chemicals Dow Chemical Du Pont de Nemours PPG Industries

Commerclal Services (0.55%) Cendant Concord EFS McKesson Paychex

Computers (4.27%) Dell Computer Electronic Data Systems EMC Massachusetts Hewlett-Packard International Business Machines Sun Microsystems Veritas Software

Cosmetics 8 Personal Care (3.14%) Avon Products Colgate-Palmolive G i I lette Kimberly-Clark Procter & Gamble

4,339 210,008 0.64 11,448 501,651 1.52

1,190 25,847 0.08 8,715 367,947 1.11

6,068 293,32 7 0.89 1,171 38,830 0.12

2,599

1,142 4,784 5,047

760

4,919 2,681 1,364 1,760

11,510 2,230

11,800 14,029 8,531

15,784 2,103

1,130 2,671 4,860 2,597 6,549

54,709

48,820 142,085 213,993

38,114

51,551 42,199 36,869 49,104

307,777 41,099 72,452

243,543 661,153 49,088 32,849

60,873 140,040 147,550 123,280 562,821

0.17

0.15 0.43 0.65 0.1 1

0.16 0.13 0.1 1 0.15

0.93 0.1 3 0.22 0.74 2.00 0.15 0.10

0.18 0.43 0.45 0.37 1.71

28




Diversified Financial Services (8.12%) American Express Capital One Financial Citigroup Federal Home Loan Mortgage Federal National Mortgage Association Goldman Sachs Group Household International JP Morgan Chase Lehman Brothers Holdings MBNA Merrill Lynch Morgan Stanley SLM

Electric (1.86%) American Electric Power Dominion Resources Duke Energy Entergy Exelon FirstEnergy FPL Group Progress Energy Southern

Electrical Components & Equipment (0.33%) Emerson Electric

Electronics (0.1 2%) Agilent Technologies

Environmental Control (0.20%) Waste Management

5,807 1,111 25,512 3,605 4,952 1,244 2,467 10,087 1,267 5,708 4,184 5,009 774

1,739 1,549 4,432 1,120 1,692 1,506 946 986

3,647

205,278 33,019 897,767 212,875 318,562 84,716 68,607 242,088 67,519 108,566 158,783 199,959 80,388

47,527 85,040 86,601 51,061 89,287 49,653 56,883 42,743 103,538

0.62 0.10 2.72 0.65 0.97 0.26 0.21 0.73 0.20 0.33 0.48 0.61 0.24

0.15 0.26 0.26 0.16 0.27 0.15 0.17 0.13 0.31

2,129 108,260 0.33

2,231 40,069 0.12

2,902 66,514 0.20

29




Food (2.21%) AI bertson's Campbell Soup Conagra Foods Del Monte Foods General Mills HJ Heinr Kellogg Kraft Foods - Class A Kroger Safeway Sara Lee

Wm. Wrigley Jr. sysco

Forest Products & Paper (0.40%) International Paper Weyerhaeuser

Healthcare Products (4.03%) Alcon Baxter International Boston Scientific Guidant Johnson 8 Johnson Medtronic Stryker

Healthcare Services (0.96%) HCA Tenet Healthcare UnitedHealth Group WellPoint Health Networks

Household Products (0.10%) Clorox

2,027 1,244 2,862 824

1,930 1,845 1,082 1,370 3,304 2,489 3,910 3,326 732

45,121 29,197 71,579 6,345 90,613 60,645 37,080 53,334 51,047 58,143 88,014 99,081 40,172

0.14 0.09 0.22 0.02 0.27 0.18 0.1 1 0.16 0.15 0.18 0.27 0.30 0.12

2,149 75,151 0.23 1,130 55,607 0.17

218 3,128 1,478 1,640 1501 8 6,010 604

2,452 2,595 1,518 652

800

8,600 87,584 62,845 50,594 806,617 274,056 40,540

101,758 42,558 126,753 46,396

33,000

0.03 0.27 0.19 0.15 2.44 0.83 0.12

0.31 0.13 0.38 0.14

0.10

30

... . .. . .. . . . . . .-. . .



Market Quantity Value USD

Insurance (4.61%) Aflac Allstate American International Group Chubb Hartford Financial Services Group John Hancock Financial Services Loews Marsh & McLennan Metlife Principal Financial Group Progressive Prudential Financial Travelers Property Casualty Class A Travelers Property Casualty - Class B XL Capital - Class A

Internet (0.40%) eBay Schwab Charles

Leisure Tlme (0.45%) Cam ival Harley-Davidson USA interactive

Machinery, Construction & Mining (0.42%) Caterpillar Deere

Media (4.50%) AOL Time Warner Clear Channel Communications Comcast - Class A Comcast - Class A Special COX Communications - Class A Gannett Liberty Media - Class A McGraw-Hill Tribune Viacom - Class A Viacom - Class B Walt Disney

2,825 3,445 11,579

91 6 1,243 1,328 680

2,604 1,470 1,466 978

2,937 2,335 2,364 680

1,030 5,618

1,748 1,613 1,370

1,834 1.174

21,958 2,823 6,850 4,848 883

1,397 11,645 1,032 860 1 50

7,770 10,300

85,089 127,430 669,845 47,815 56,469 37,051 30,233 120,331 39,749 44,171 48,538 93,220 34,208 34,633 52,530

69,855 60,955

43,613 74,521 31,400

83,850 53.828

287,650 105,270 161,454 109,516 25,077 100,305 104,106 62,374 39,096 6,122

316,705 167,993

% of Net Assets

0.26 0.39 2.03 0.15 0.17 0.1 1 0.09 0.36 0.12 0.13 0.15 0.28 0.10 0.1 1 0.16

0.21 0.19

0.13 0.23 0.09

0.26 0.16

0.87 0.32 0.49 0.33 0.08 0.30 0.31 0.19 0.12 0.02 0.96 0.51

31

- . . -. . . . . .. . .


Schedule of Investments as at 31 December 2002 (Expressed in USD) Transferable securities llsted on an Official Stock Exchange

Mining (0.45%) Alcoa Newmont Mining

Miscellaneous Manufacturers (5.78%) 3M Danaher Eastman Kodak General Electric Honeywell International Illinois Tool Works Tyco International

Offlce 8 Business Equlpment (0.1 1%) Pitney Bowes

Oil & Gas (5.64%) Anadarko Petroleum ChevronTexaco ConocoPhillips Exxon Mobil Occidental Petroleum Transocean

Oil & Gas Servlces (0.53%) Baker Hughes Schlumberger

Pharmaceuticals (10.24%) Abbott Laboratories Bristol-Myers Squibb Cardinal Health Eli Lilly Forest Laboratories Medimmune Merck Pfizer Pharmacia Schering-Plough Wyeth

4,419 100,665 0.31 1,626 47,203 0.14

1,950 240,435 0.73 522 34,295 0.10

1,539 53,927 0.16 50,226 1,223,003 3.71 4,147 99,528 0.30 1,299 84,253 0.26 9,986 170,561 0.52

1,074

1,327 5,470 3,242 33,955 1,728 1,698

1,829 2.789

7,282 9,784 2,328 4,924 935

1,154 11,326 31,312 6,379 7,420 6,834

35,077

63,563 363,645 156,880

1,186,388 49.162 39,394

58,876 117.389

291,280 226,500 137,794 312,674 91,836 31,354 641,165 957,208 266,642 164,724 255,591

0.1 1

0.19 1.10 0.48 3.60 0.15 0.12

0.18 0.35

0.88 0.69 0.42 0.95 0.28 0.10 1.94 2.90 0.81 0.50 0.77

32




RElTS (0.16%) Equity Office Properties Trust

Retail (5.90%) Bed Bath & Beyond Best Buy Costco Wholesale cvs Gap Home Depot Kohl's Lowe's Ltd Brands McDonald's Sears Roebuck Target TJX Wal-Mart Stores Walgreen

Savlngs & Loans (0.62%) Golden West Financial Washington Mutual

Semlconductors (3.06%) Analog Devices Applied Materials Intel Kla-Tencor Linear Technology Maxim Integrated Products Micron Technology Texas Instruments Xilinx

Software (5.21%) Automatic Data Processing First Data Intuit Microsoft Oracle

2,149

1,480 1,234 2,374 2,081 3,314

11,864 1,551 3,562 1,952 6,502 1,751 4,005 2,552

13,786 5,180

566 4,762

1,929 8,669

33,669 844

1,686 1,749 2,872 8,789 1,753

3,022 3,890

852 23,285 20,065

53,682

51,104 29,801 66,614 51,963 51,433

284,262 86,779

133,575 27,191

104,552 41,937

120,150 49,815

696,331 151,204

40,644 164,432

46,045 112,957 524,227 29,852 43,364 57,787 27,973

131,923 36,112

118,614 137,745 39,976

1,203,834 216,702

0.16

0.1 5 0.09 0.20 0.16 0.16 0.86 0.26 0.41 0.08 0.32 0.1 3 0.36 0.15 2.1 I 0.46

0.12 0.50

0.14 0.34 1.59 0.09 0.13 0.18 0.08 0.40 0.1 1

0.36 0.42 0.12 3.65 0.66

33

.


Schedule of Investments as at 31 December 2002 (Expressed in USD) Transferable securlties listed on an Official Stock Exchange

Market Quantity Value USD

Telecommunications (7.09%) Alltel AT&T AT&T Wireless Services BellSouth Cisco Systems Hughes Electronics Motorola Nextel Communications - Class A Qualcomm SBC Communications Sprint - FON Group Verizon Communications

Transportation (I .04%) Burlington Northern Santa Fe FedEx Union Pacific United Parcel Service - Class 6

Total Common Stocks

TOTAL INVESTMENTS (Cost USD 40,736,152) Other net assets

TOTAL NET ASSETS

1,579 3,875 11,330 9,179 36,403 3,452 11,624 4,200 4,023 16,741 4,049 13,774

80,529 101,176 64,014 237,461 476,879 36,936 100,548 48,510 146,397 453,849 58,630 533,742

1,816 47,234 1,471 79,758 1,220 73,041 2,266 142,939

32,961,129

32,961 , I 29 23,160

32,984,289

% of Net Assets

0.24 0.31 0.19 0.72 1.45 0.1 I 0.30 0.15 0.44 1.38 0.18 1.62

0.14 0.24 0.22 0.44

~

99.93

99.93 0.07

100.00


34

.. .....

Fresco DJ US Technology

Schedule of Investments as at 31 December 2002 (Expressed In USD) Transferable securities listed on an Official Stock Exchange


Common Stocks

Applications Software (4.05%) Intuit Microsoft

4,436 12.603

208,137 651.575

0.98 3.07

Computers - Memory Devices (2.15%) EMC Massachusetts Veritas Software

50,306 9,360

308,879 146.203

1.46 0.69

Computers (20.58%) Dell Computer Hewlett-Packard International Business Machines Sun Microsystems

52,755 63,075 21,076 72,274

1,410,669 1,094,982 1,633,390 224,772

6.65 5.17 7.70 1.06

Computer Services (0.95%) Electronic Data Systems 10,889 200,684 0.95

Entreprise Softwares - Services (4.79%) Oracle 94,135 1,016.658 4.79

Electronic Components - Semiconductors (8.49%) Intel Micron Technology Texas Instruments Xilinx

59,048 12,533 40,061 7,607

919,377 122,072 601,316 158,352

4.33 0.57 2.84 0.75

Networking Products (7.72%) Cisco Systems 124,934 1,636,635 7.72

Office Automation 8 Equipment (0.84%) Pitney Bowes 5,424 177,148 0.84

35

.... . . . -. . .. - .. .

Fresco DJ US Technology

Schedule of Investments as at 31 December 2002 (Expressed In USD) Transferable securities listed on an Offlclal Stock Exchange


Semiconductor Components - Integrated Clreults (2.98%) Analog Devices Linear Technology Maxim Integrated Products

Semiconductor Equipment (3.06%) Applied Materials Kla-Tencor

Wireless Equipment (5.27%) Motorola Qualcomm

Total Common Stocks


TOTAL NET ASSETS

8,421 201,009 7,214 185,544 7,458 246,413

38,026 495,479 4,336 153,364

52,659 455,500 18,194 662,080

12,910,238

12,910,238 8,295,206

21,205,444

0.95 0.87 1.16

2.34 0.72

2.1 5 3.12

60.88

60.88 39.12

100.00


36

Fresco Dow Jones Industrial Average



Common Stocks

Aerospace & Defense (7.81%) Boeing United Technologies

85,563 2,822,724 86,013 5,327,645

2.70 5.1 1

Agriculture (3.34%) Philip Morris 85,843 3,479,217 3.34

Auto Manufacturers (3.03%) General Motors 85,633 3,156,432 3.03

Beverages (3.60%) Coca-Cola 85,763 3,758,135 3.60

Chemicals (3.48%) Du Pont de Nemours 85,713 3,634,231 3.48

Computers (7.77%) Hewlett-Packard International Business Machines

84,963 85.553

1,474,958 6,630,357

1.42 6.35

Cosmetics & Personal Care (7.05%) Procter & Gamble 85.653 7,361,019 7.05

Diversified Financial Services (7.76%) American Express Citigroup JP Morgan Chase

85,733 85,663 85,663

3,030,661 3,014,481 2,055,912

2.90 2.89 1.97

37

Fresco Dow Jones industrial Average


Market O/O of Quantity Value USD Net Assets

Forest Products 8 Paper (2.87%) International Paper

Healthcare Products (4.40%) Johnson&Johnson

Machlnery, Construction & Mining (3.76%) Caterpillar

Media (1.33%) Walt Disney

Mining (1.87%) Alcoa

Miscellaneous Manufacturers (I 5.78%) 3M Eastman Kodak General Electric Honeywell International

Oil 8 Gas (2.87%) Exxon Mobil

Pharmaceuticals (4.66%) Merck

Retail (7.44%) Home Depot McDonald's Wal-Mart Stores

85,713

85,483

85,873

85,263

85,663

75,753 85,763 85,563 85,163

85,663

85,963

2,997,384 2.87

4,591,292 4.40

3,926,114 3.76

1,390,640

1,951,403

9,340,345 3,005,135

2,043,912 2,083,459

2,993,065

85,763 2,054,882 85,263 1,371,029 85,953 4,341,486

I .33

1.87

8.95 2.88 I .99 1.96

2.87

4.66

I .97 1.31 4.16

38

Fresco Dow Jones Industrial Average


Market '!a Of Quantity Value USD Net Assets

Semiconductors ( I .29%) Intel

Software (4.26%) Microsoft

Telecommunications (4.37%) AT&T SBC Communications

Total Common Stocks


TOTAL NET ASSETS

86,663 1,349,343

85,973 4,444,804

85,340 2,228,227 85,863 2,327,746

103,052,403

103,052,403 1,318,766

104,371,169

1.29

4.26

2.14 2.23

90.74

98.74 1.26

100.00


39

Fresco Euro STOXX 50



Common Stocks

Belglum (1.65%) Fortis

Finland (6.21%) Nokia

France (32.15%) Air Liquide Alcatel - Class A Aventis AXA BNP Paribas Carrefour Compagnie de Saint-Gobain France Telecom Groupe Danone L'Oreal Lafarge LVMH (Louis Vuitton Moet Hennessy) Sanofi-Synthelabo Societe Generale - Class A Suez TotalFinaElf Vivendi Universal

Germany (19.19%) Allianz - Registered BASF Bayer Bayerische Hypo-und Vereinsbank DaimlerChrysler - Registered Deutsche Bank - Registered Deutsche Telekom - Registered E.ON Muenchener Rueckversicherung - Registered RWE Siemens Volkswagen

147,259

608,468

12,843 148,962 88,705

183,380 107,370 68,034 44,535 54,199 16,963 40,998 16,960 29,172 51,324 51,730

123,340 88,175

12561 9

24,335 68,032 89,192 42,701

105,635 75,991

308,195 77,208 14,309 51,125

106,533 27,368

2,453,335

9,218,290

1,614,365 622,661

4,594,919 2,345,430 4,169,177 2,886,683 1,245,199

904,039 2, I 74,657 2,974,405 1,217,728 1,142,084 2,989,623 2,871 ,015 2,040,044

12,000,617 1,933,276

2,205,968 2,454,595 1,823,976

649,909 3,100,387 3,336,005 3,775,389 2,968,648 1,631,226 1,262,788 4,314,586

950,764

1.65

6.21

1.09 0.42 3.10 1.58 2.81 I .95 0.84 0.61 1.47 2.00 0.82 0.77 2.01 1.93 I .37 8.08 I .30

I .49 1.65 1.23 0.44 2.09 2.25 2.54 2.00 1.10 0.85 2.91 0.64

40

. - .. -. . . . . . .. . . . .

Fresco Euro STOXX 50

Schedule of Investments as at 31 December 2002 (Expressed In EUR) Transferable securities listed on an Official Stock Exchange

Market Yo of Quantity Value EUR Net Assets

Italy (11.31%) Assicurazioni Generali Enel EN1 (Ente Nazionale Idrocarburi) Sanpaolo IMI Telecom ltalia TIM UniCredito ltaliano

Netherlands (18.83%) ABN Amro Holding Aegon Ahold ING Groep Philips Electronics Royal Dutch Petroleum Unilever

Spain (10.62%) Banco Bilbao Vizcaya Argentaria Banco Santander Central Hispano Endesa Repsol Telefonica

140,400 252,846 358,586 157,484 304,272 476,831 549,672

175,427 161,351 119,917 212,271 163,580 269,895

73,550

41 1,309 613,478 127,771 121,780 591,344

2,751,840 I ,254,116 5,432,578

976,401 2,199,887 2,074,215 2,094,250

2,733,153 1,978,163 1,450,996 3,426,054 2,731,786

11,322,095 4,306,352

3,751,138 4,012,146 1,424,647 1,534,428 5,044,164

I .85 0.85 3.66 0.66 1.48 I .40 1.41

1.84 1.33 0.98 2.31 1.84 7.63 2.90

2.53 2.70 0.96 1.03 3.40

Total Common Stocks


TOTAL NET ASSETS

148,370,197

148,370,197 65,923

148,436,120

99.96

99.96 0.04

100.00 P

.-


41

.

Fresco STOXX European Banks

Schedule of Investments as at 31 December 2002 (Expressed in EUR) Transferable securities listed on an Offlclal Stock Exchange


Common Stocks

Austria (0.34%) Erste Bank der Oesterreichischen

Belgium (1.84%) Almanij Dexia KBC Bancassurance Holding

Denmark (1.33%) Danske Bank Jyske Bank - Registered

France (9.27%) BNP Paribas CA He de France Credit Agricole Credit Lyonnais Natexis Banques Populaires Societe Generale - Class A

Germany (4.57%) Bayerische Hypo-und Vereinsbank Commetzbank Deutsche Bank - Registered

Greece (1.03%) Alpha Bank Bank of Piraeus Commercial Bank of Greece EFG Eurobank Ergasias National Bank of Greece

350

760 6.000

900

5,065 350

7,575 70

2,585 I ,415

85 3,605

2,930 3,725 5,310

1,210 1,525

450 1,550 1,600

22,452

24,708 70,980 27,351

79,816 9,051

294,137 6,111

37,172 75,420

6,758 200,077

44,595 27,751

233, I09

13,915 9,180 6,507

17,360 21,600

0.34

0.37 1.06 0.41

1.19 0.14

4.40 0.09 0.56 1.13 0.1 0 2.99

0.67 0.41 3.49

0.21 0.14 0.10 0.26 0.32

42



Ireland (3.30%) Allied Irish Banks Anglo Irish Banks Bank of Ireland First Active

Italy (8.58%) Banca Antonveneta Banca Fideuram Banca lntesa Banca Lombarda Banca Monte dei Paschi di Siena Banca Nazionale del Lavoro Banca Popolare Commercio e Industria Banca Popolare dell'Emilia Romagna Banca Popolare di Bergamo Credito Varesino Banca Popolare di Lodi Banca Popolare di Milano Banca Popolare di Sondrio Banco Popolare di Verona e Novara Capitalia FinecoGroup Mediobanca Sanpaolo IMI UniCredito ltaliano

Netherlands (2.86%) ABN Amro Holding

Norway (0.49%) DnB Holding Gjensidige NOR

Portugal (0.87%) Banco Comercial Portugues - Registered Banco Espirito Santo - Registered

8,060 3,030 9,085 1,050

1,560 2,150

36,565 2,935 8,350

15,440 1,215

620 1,260 1,310 3,605 1,290 3,470

15,620 14,565 5,700

11,190 38,615

12,260

3,775 51 0

18,120 1,370

105,586 20,543 20,543

5,670

18,533 9,632

73,496 26,709 18,746 16,289 9,416

17,856 21,420 11,685 12,509 13,739 36,886 19,025 6,481

44,688 69,378

147,123

191 ,011

16,915 15,912

41,314 17,125

1.58 0.31 1.33 0.08

0.28 0.14 1.10 0.40 0.28 0.24 0.14 0.27 0.32 0.1 7 0.1 9 0.21 0.55 0.28 0.10 0.67 I .04 2.20

2.86

0.25 0.24

0.62 0.25

43




Spain (9.54%) Banco Bilbao Vizcaya Argentaria Banco de Sabadell Banco Popular Espanol Banco Santander Central Hispano Bankinter

Sweden (3.40%) ForeningsSparban ken Nordea Skandinaviska Enskilda Banken - Class A Svenska Handelsbanken - Class A

Switzerland (10.95%) Credit Suisse Group Julius Baer Holding UBS - Registered

United Kingdom (41.66%) Abbey National Alliance & Leicester Barclays Close Brothers Group HBOS HSBC Holdings lnvestec Lloyds TSB Group Northern Rock Royal Bank of Scotland Group Standard Chartered

Total Common Stocks

TOTAL INVESTMENTS (Cost EUR 6,855,585) Liabilities in excess of Other Assets

28,755 262,246 3.92 1,460 20,148 0.30 1,545 60,209 0.90

42,890 280,500 4.20 61 0 14,402 0.22

3,410 38,565 0.58 21,905 92,358 1.38 4,425 35,225 0.53 4,810 61,263 0.91

10,650 220,225 80 16,543

10,680 494,694

13,110 4,325

59,225 1,070

34,000 85,140

400 50,110

3,950 23,960

9,075

104,159 49,487

349,729 9,125

341,575 896,479

5,061 342,787

39,986 546,834 98,269

3.30 0.25 7.40

1.56 0.74 5.23 0.14 5.1 I

13.42 0.08 5.1 3 0.60 8.1 8 I .47

6,684,185 100.03

6,684,185 100.03 ( I ,875) (0.03)

TOTAL NET ASSETS 6,682,310 100.00


44

Fresco STOXX European Health Care

Schedule of Investments as at 31 December 2002 (Expressed In EUR) Transferable securities listed on an Official Stock Exchange

Common Stocks

Belgium (0.74%) Omega Pharma UCB

Denmark (2.67%) Coloplast - Class B H Lundbeck Novo-Nordisk - Class B Novozymes William Demant

Finland (0.58%) Instrumentarium Orion-Yhtymae - Class B

France (14.62%) Aventis Essilor International Sanofi-Synthelabo

Germany (3.21%) Altana Freseniua Medical Care Merck Schering Stada Atzneimittel

Ireland (0.17%) Elan

Netherlands (0.16%) Qiagen

Spain (0.21 %) Zeltia

330 1,590

280 1,120 4,605 1,025 530

830 610

12,358 1,810 7,125

1,275 625 81 5

3,225 330

9,016 47,700

19,422 28,360

126,837 20,432 10.886

31,689 12,993

640,144 71,043

415,031

55,462 24,663 20,701

133,676 12,639

6,380 13,079

2,505 12,149

3,035 16,450

0.12 0.62

0.25 0.37 I .65 0.26 0.14

0.41 0.17

8.31 0.92 5.39

0.72 0.32 0.27 I .74 0.16

0.17

0.16

0.21

45

.... .

Fresco STOXX European Health Care


Sweden (0.41 %) Gambro - Class A Getinge - Class B

Swilzerland (34.32%) BB Biotech Centerpulse - Registered Nobel Biocare Holding Novartia - Registered Roche Holding Serono - Class B Synthes-Stratec

United Kingdom (42.71%) Amersham AatraZeneca Celltech Group Galen Holdings GlaxoSmithKline Shire Pharmaceuticals Group Smith & Nephew SSL International

Total Common Stocks

Preferred Stocks

Germany (0.17%) Fresenius

Total Preferred Stocks


TOTAL NET ASSETS

3,340 17,786 0.23 700 13,681 0.1 8

505 19,771 0.26 205 34,054 0.44 430 26.349 0.34

47,380 1,647,602 21.39 12,595 836,462 10.86

85 43,414 0.56 62 36,240 0.47

12,750 29,250 5,025 2,590

108,555 8,800 15,120 3,095

108,730 995,966 26,590 19,664

1,984,686 53,652 88,242 12,224

I .41 12.93 0.34 0.26 25.76 0.70 1.15 0.16

99.80

370 13,486 0.17

13,486 0.17

7,700,971 99.97 2,017 0.03

7,702,988 100.00


...

46

. . . . . .. .. . -

Fresco STOXX European Technology



Common Stocks

Denmark (0.31%) GN Store Nord

Finland (41.05%) Nokia Tietoenator

France (6.86%) Alcatel - Class A Atos Origin Business Objects Cap Gemini Dassault Systems Neopost Sagem Wanadoo

Germany (30.29%) I nf i neon Tech nolog ies SAP Siemens T-Online International

Italy (0.45%) Tiacali

Netherlands (9.35%) ASM International ASML Holding Equant Getronics OCE STMicroelectronics

5.210 14,526

123,640 1,873,146 2,180 28,340

30,040 590

1,620 2,730 1,035

680 305

8,090

1 1,365 5,365

21,726 7,260

4,830

1,090 11,985 3,395

10,775 2,150

15,155

125,567 13,688 22,729 59,459 21,259 20,876 19,673 34,544

79,441 405,165 879,903

38,623

20,672

12,807 95,401 13,139 6,250

22,575 283,095

0.31

40.44 0.61

2.71 0.30 0.49 I .28 0.46 0.45 0.42 0.75

I .71 8.75

19.00 0.83

0.45

0.28 2.06 0.28 0.13 0.49 6.1 1

47

Fresco STOXX European Technology



Norway (0.37%) Tand berg

Spain (0.96%) Amadeus Global Travel Distribution - Class A Terra Networks

Sweden (5.78%) LM Ericsson - Class B

Switzerland (0.98%) Kudelski Logitech International - Registered

United Kingdom (3.62%) ARM Holdings LogicaCMG Misys Sage Group

Total Common Stocks

TOTAL INVESTMENTS (Cost EUR 4,134,858) Liabilities in excess of Other Assets

TOTAL NET ASSETS

3,130 17,208 0.37

1,235 4,854 0.1 1 9,825 39,398 0.85

399,335 267,464

875 11,309 1,195 33,977

26,730 19,679 19,659 45,229 15,260 41,194 30,115 61,433

4,632,623

4,632,623 (762)

4,631,861

5.78

0.25 0.73

0.42 0.98 0.89 1.33

100.02

100.02 (0.02)

100.00


48

Fresco STOXX Euro pea n Telecommunication



Common Stocks

Austria (0.56%) Telekom Austria

Denmark (0.93%) TDC

Finland (0.25%) Elisa Communications

France (3.56%) France Telecom Orange

Germany (9.23%) Deutsche Telekom - Registered

Greece (1.34%) Hellenic Telecommunications Organization Vodafone-Panafon

Italy (12.37%) Olivetti Telecom ltalia TIM

Netherlands (3.32%) Royal KPN

4,339 41,871

3,003 69,568

3,255 18.619

9,767 15,545

56,171

7,770 3,360

148,071 55,494 86,597

39,941

1 62,914 102,441

688,095

81,585 18,278

143,925 401,222 376,697

247,634

0.56

0.93

0.25

2.19 1.37

9.23

I .09 0.25

1.93 5.38 5.06

3.32

Norway (0.46%) Telenor 9,499 34,599 0.46

49

.. .

Fresco STOW European Telecommunication

Schedule of Investments as at 31 December 2002 (Expressed In EUR) Transferable securities llsted on an Ofkial Stock Exchange


Portugal (2.59%) Portugal Telecom - Registered Vodafone Telecel - Comunicacoes Pessoais

Spain (12.91%) Telefonica Telefonica Moviles

Sweden (2.63%) Tele2 - Class B Tel i aSo ne ra

Switzerland (2.13%) Swisscom - Registered

Unlted Kingdom (47.59%) BT Group Cable 8 Wireless "02 Vodafone Group

Total Common Stocks


TOTAL NET ASSETS

26,712 174,963 2.34 2,492 18,441 0.25

107,387 916,Ol I 12.29 7,443 46,147 0.62

2,243 56,767 0.76 38,751 139,558 1.87

574 158,457 2.13

202,726 606,331 8.13 53,424 36,669 0.49

204,771 138,978 I .87 1,592,331 2,765,905 37.10

7,445,675 99.87

7,445,675 99.87 9,693 0.13

7,455,368 100.00


50

. . .... . . . . .. .~

FRESCOB Notes to the Financial Statements at 31 December 2002 (*)

Note 1 DescriDtion of the Fund

Fresco@ (he “Company”) is structured as an umbrella fund organised under Luxembourg Law as an undertaking for collective investment in the form of a “Saiete d’lnvestissement a Capital Variable” (“SICAV”). The Company was incorporated on 7 September 2001 pursuant to Part I of the Law of 30 March 1988 for an unlimited period of time. At 31 December 2002, 11 Sub-funds were active as described below.

The Company has been established to provide investors with an opportunity to purchase Shares in its Subfunds, the investment objective of each of which is to aim to track a specific Index. Each Sub-fund aims to replicate or track, before expenses, the price and income performance of its Index by holding a portfolio of transferable securities that comprises all or substantially all of the Component Securities of its Index.

The purpose of the Company is for each of its Subfunds through having its Shares listed on one or more Listing Stock Exchanges to be an Exchange Traded Fund (“ETF). With the exceptions detailed in the prospectus, only institutions qualifying as Authorised Participants are able to subscribe or redeem shares by delivery of in kind stocks, which mostly are stocks composing the relevant index. Those “in kind” subscriptions and redemptions minimise fund turnover and lower trading expenses. A secondary market is created through such Authorised Participants. Persons who are not Authorised Participants are able to buy or sell Shares in a Subfund 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 makers or broker/dealers.

In order to allow paticipants in the secondary market to have access to a real time estimate of the NAV Per Share, an indicative IntraDay NAV Per Share is calculated by a Calculation Agent appointed by the Distributor.

I Name of the Sub-Fund Currency Class Initial Dealing Day

Fresco DJ Germany Titans 30 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 Fresco STOXX European Banks Fresco STOXX European Health Care Fresco STOXX European Technology Fresco STOXX European Telecommunication

EUR J PY EUR USD USD USD EUR EUR EUR EUR EUR

A Shares A Shares A Shares A Shares A Shares A Shares A Shares A Shares A Shares A Shares A Shares

I 9 September 2002 30 October 2001 31 October 2001 30 October 2001 31 October 2001 29 October 2001 29 October 2001

18 September 2002 18 September 2002 18 September 2002 18 September 2002

Fresco DJ Japan Titans 100, Fresco DJ UK Titans 50, Fresco DJ US (Large Cap), Fresco DJ US Technology, Fresco Dow Jones Industrial Average and Fresco Euro STOXX 50 were admitted to trading on the SWX Swiss Exchange on 13 November 2001 and on the Deutsche Borse on 19 March 2002.

Fresco DJ US (Large Cap), Fresco DJ US Technology, Fresco Dow Jones Industrial Average and Fresco Euro STOXX 50 were also admitted for trading on the virt-x on 6 May 2002.

(*’All capitalised terms have the meaning given to them in the Fresco Prospectus

51

FRESCO@ Notes to the Financial Statements at 31 December 2002 (continued)

Note 1 Deserbtion of the Fund ( c o w

Fresco STOXX European Banks, Fresco STOXX European Technology, Fresco STOXX European Telecommunication, Fresco STOXX European Health Care and Fresco DJ Germany Titans 30 were admitted for trading on the Deutsche Borse on 26 September 2002.

Each SubFund is categorised as a remgnised scheme for the purpose of section 86 of the UK Financial Services Act of 1986 and shares may be marketed to the general public in the United Kingdom, UBS Global Asset Management (UK) Limited has been appointed to act as paying agent for the Fund in the United Kingdom.

Ac n In P I' i . . Note 2

A) Presentation of Financial State-

The financial statements are presented in accordance with generally accepted accounting principles in Luxembourg.

-vestment Valuation Princioleg

Securities listed on a recognised stock exchange or dealt in on any other Regulated Market are valued 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 in calculating the value of each Subfund's Index, but in the event that the last available price does not truly reflect the fair market value of the relevant securities, the value of such securities is defined by the Board of Directors based on the reasonably foreseeable sales price determined prudently and in good faith.

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

The liquidating value of futures, fotward or options contracts traded on exchanges or on other Regulated Markets are based upon the last available settlement prices of these contracts on exchanges and Regulated Markets on which the particular futures, forward or options contracts are traded by the Company; provided that if a futures, forward or options contract can not be liquidated on the day with respect to which net assets are being determined, the basis for determining the liquidating value of such contract is such value as the Board of Directors may deem fair and reasonable.

Treatment of Currencies

The books and records of each Subfunds are denominated in the Base Currencies as described in Note 1.

All assets and liabilities of the Sub-funds expressed in a currency other than the Base Currency are converted 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 arising from the translation of these items is taken into account in the determination of the results of operations.

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

. I EUR = 124.6572 JPY 1 EUR = 1.0499 USD

52


Note 2 Summarv of Sianificant Ac-a Policies (continued)

D) Securitv T r a w t i o n s and Investment lncomg

The net realised gain or loss on investment securities sold or paid out in kind as part of the Redemption Price for Shares is determined on the average cost basis.

The assets of the Company include all s t o c k stock dividends, cash dividends and cash distributions receivable by the Company to the extent that information therein is reasonably available to the Company and all interest accrued on any interest-bearing securities owned by the Company, except to the extent that it is included or reflected in the principal amount of such security. Dividends and interest income are accrued net of related withholding tax.

All of the Company's formation and establishment expenses, including legal fees, other advisers' fees, initial registration fees, the ugfront licensing fees payable to each Index Provider, any initial listing fees have been deferred and are amortised over up to five financial years.

s and Futures Contrack

For the purpose of efficient portfolio management, the Company may enter into 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 the 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 current day price on the last business day of the reporting period.

For the purpose of efficient portfolio 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 premium whether or not the option is exercised. Additionally, the Company bean the risk of loss of the premium and any change in market value should the counterparty not perform under the contract. Put and call options purchased are accounted for in the same manner as portfolio securities. The cost of securities acquired through the exercise of call options is increased by premium paid. The proceeds from securities sold through the exercise of put options are decreased by the premiums paid.

When the Company writes an option the premium received by the Company is recorded as a liability and is subsequently adjusted to the current market value of the option written. The Company records premiums received from written options that expire unexercised on the expiration date as realised gains from option transactions. The difference between the premium and the amount paid on the effective closing purchase transaction, including brokerage commissions, is also treated as a realised gain, or if the premium is less than the amount paid for the closing purchase transaction, as a realised loss. If a written call option is exercised, the premium is added to the proceeds from the sale of the underlying security in determining whether the Company has realised a gain or a loss. If a written put option is exercised, the premium reduces the cost basis of the security purchased by the Company. In writing covered options, the Company bears the market risk of unfavourable change in the price of the security underlying 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 from the current market value. Losses from written market index options may be unlimited.

As of 31 December 2002, the Company had no outstanding futures or options contracts.

53

.. . .


Note 2

G)

mf S lanlficant Accountina P o w (continued)

Forward Foreian Currencv Fxaa nae Contracts

As described in the prospectus, each Subfund is authorised to enter into fwward foreign exchange contracts in order to protect a Subfund against adverse movement in the value of a Subfund’s Base Currency. Each Subfund 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 aggregate principal amounts are reflected net in the accompanying Statement of Net Assets if a Sub-fund intends to settle the contract prior to delivery. All commitments are “marked-to-market’’ at the applicable translation rates and any resulting unrealised gains or losses are recorded in each Subfund ’s financial statements.

Each Subfund records realised gains or losses at the time the forward contract is offset by entry into a closing transaction or extinguished by delivery of the currency. Risks may arise upon entering these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the Base Currency.

As of 31 December 2002, the Company had no outstanding forward foreign currency exchange contracts.

Swao Cont rxk

The Company may enter into swap contracts in which the Company and the counterparty agree to exchange the returns generated by a security, instrument, basket or index thereof for the return generated by another security, instrument, basket or index thereof. The payments made by the Company to the counterparty and vice versa are calculated by reference to a specific security, index, or instrument and an agreed upon notional amount. The relevant indices include, but are not limited to, currencies, fixed interest rates, prices and total return on interest rate indices, fixed income indices and stock indices.

The commitment arising on a swap transaction is equal to the value of the net position under the contract marked to market daily.

As of 31 December 2002, the Company had the following open equity swap contracts, which individually exchange an interest rate with the underlying equity performance. The counterparty for these swap transactions is UBS AG.

Fresco DJ UK Titans 50 (in EUR)

Security Name Position cost Market Value Unrealised Gain/(Loss)

74,000 883,048 779,180 (1 03,868)

(103,868)

54

. . . -.. .. ..

FRESCO@

Note 2

H)

Note 3

Notes to the Financial Statements at 31 December 2002 (continued)

Summarv of S i o n i f i c a n t u ntina Pollciea (continued)

Contracts (continued)

Fresco DJ US Technoloav (in USDL

Security Name Position Cost Market Value Unrealised Gain/(Loss)

Cisco Systems 42,000 582,540 550,200 (32,340)

Intel 95,000 2,683,750 1,479,150 (1,204,600)

IBM 18,000 I ,513,440 1,395,000 (1 18,440)

Microsoft 94,000 4,879,100 4,859,800 (I 9,300)

TOTAL (1,374,680)

Eresco Dow Jones Industrial Avemae lin. USDl

Security Name Posltlon Cost Market Value Unrealised Galn/(Loss)

3M 10,000 1,280,000 1,233,000 (47,000)

TOTAL (47,000)

Agmements

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

55

.. .


Note 3 Aareements ( c a m

The Flat Fee is calculated on the average daily NAV of the Subfunds and is payable monthly or quarterly in arrears as the case may be.

Sub-Funds Flat Fee

Fresco DJ Germany Titans 30 Fresco DJ Japan Titam 100 Fresco DJ UK Titans 50 Fresco DJ US (Large Cap) Fresco DJ US Technology Fresco Dow Jones Industrial Average Fresco Euro STOXX 50 Fresco STOXX European Banks Fresco STOXX European Health Care Fresco STOXX European Technology Fresco STOXX European Telecommunication

50 bps per annum 70 bps per annum 50 bps per annum 50 bps per annum 60 bps per annum 50 bps per annum 50 bps per annum 50 bps per annum 50 bps per annum 50 bps per annum 50 bps per annum

Certain costs and expenses are not included in each Subfund’s Flat Fee which may be payable by the Company from the assets of the relevant Sub-fund.

However, of those Other Costs the amounts charged to a Sub-fund andlor share class in respect of On-going Listing Fees, unamortised Formation Expenses, Ongoing Index Fees and (excluding Taxation Charges (for example, the Taxe dAbonnement or VAT), Transaction Fees and Extraordinary Expenses) all Other Costs (the “Capped Other Costs”) will not exceed 0.05% (Le. 5 bps) per annum of the NAV of each share class of a Slb-fund. If the Capped Other Costs exceed such amounts the excess will be borne by the Distributor.

The Directors have appointed Fresco Advisory Holding SA. (the “Advisory Company”). Pursuant to an investment advisory agreement, the Advisory Company is to advise the Company from time to time on the selection, appointment and supervision of the Company’s Portfolio Managers and on the Investment Objectives and Policies of the Sub-funds. With the approval of the Directors, UBS Global Asset Management (UK) Limited (the “Portfolio Manager“) has been appointed to act as Portfolio Manager of all the currently listed Subfunds. The Portfolio Manager is entitled to receive a fee for its services rendered payable out of the Flat Fee based on the average daily NAV of the Sub-funds and payable monthly in arrears. UBS AG the ultimate parent company of the Advisory Company and of the Portfolio Manager.

UBS AG (the “Distributor”) has been appointed as distributor and is responsible for assisting the Company in the marketing of the Shares and promoting the establishment and operation of a secondary market in Shares as well as other general marketing activities on behalf of the Company.

Note 4 m i i o n

Under current Luxembourg law and practice, the Company is not liable to any Luxembourg income tax, nor are dividends paid by the Company liable to any Luxembourg withholding tax. Under current Luxembourg 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 annual tax in Luxembourg calculated, in accordance with Article 108 of the Luxembourg Law dated 30 March 1988, at the rate of 0.01% of the NAV of all its Sub-funds. This tax is payable quarterly on the basis of the NAV of the Sub-funds, calculated at the end of the quarter to which the tax relates. No stamp or other tax will be payable in Luxembourg in connection with the issue of Shares of the Company.

56

. ..


Note 4 Taxation Ico nt inuea)

Under the United Kingdom Income and Corporation Taxes Act, 1988, offshore funds must distribute substantially all of their income every year, in order ta apply to the United Kingdom Inland Revenue for certification as a distributing fund. Such approval is granted retrospectively for each accounting period.

Prospective investors should consult their own taxation advisers in relation to their own individual circumstances as they may differ from the general statements that appear above.

The Company, for each Subfund is subject to taxation on capital gains, interest and dividends in certain jurisdictions in which each Subfund invests. It is the policy of each Subfund to accrue for such taxes when the dividend is declared or interest is earned. At each valuation date, taxation on unrealiaed appreciation of securities is accrued for at applicable 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 SubFund determines how the income of each Subfund shall be dealt with, and may from time to time declare distributions. The Board of Directors may decide to pay interim dividends in compliance with the conditions set forth by Luxembourg Law.

The Company intends for each Subfund to distribute its net income in order to achieve the maximum tracking accuracy of the relevant Index. An income equalisation amount will be calculated by reference to the amount of the Daily NAV per share representing the accrued net income (or deficit) at the time when a subscription or a redemption in kind is made so that the dividend representing the net investment income corresponds to the net income return of the Index.

The Company resolved to pay to all shareholders of the Subfunds mentioned below, interim dividends out of the income net of all costs End expenses incurred by the respective subfund -uring the period starting on its initial dealing day and ending on 30 June 2002 as follows:

Sub- ac- Payment Currency Number of Dividend Total Net Funds dividend Date Shares Per Amount of Investment

Dete Share Dividends income Paid

Fresco DJ June 30, July 8,2002 EUR 650.000 0.50 325,000 UK Titans 2002 50

December December EUR 650,000 0.26 169,000 16,2002 27,2002

494,000 506,849

Fresco DJ June 30, July 8,2002 USD 1,150.000 0.12 138,000 US (Large 2002 Cap)

December December USD 850,000 0.13 1 10.500 16,2002 27,2002

248,500 296,192

57

.. .. . . ...

FRESCO0 Notes to the Financial Statements at 31 December 2002 (continued)

Note 5 Distribution (cont inued

Sub- Ex- Payment Currency Number of Dividend Total Net Funds dlvldend Date Shares per Amount of investment

mte Share Dividends income Paid

Fresco June 30, July 8,2002 USD 850,000 0.50 425,000 [low 2002 Jones Industrial Average

December December USD 1,250,000 0.40 500,000 16,2002 27,2002

925,000 1,044,575

Fresco June 30, July 8,2002 USD 2,550,000 0.25 637,500 Euro 2002 STOXX 50

December December USD 6,200,000 0.19 1,178,000 16,2002 27,2002

1,815,500 1,942,061

Note 6 Transactions by the Company

As a result of each Sub-fund typically receiving (or delivering) securities through in kind subscriptions (or redemptions) made by Authorised Participants, Subfunds will normally not incure high levels of investment transactions. In accordance with the Investment Policy of each Subfund 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 Board of Directors, the Podfolio Manager of each Subfund is primarily responsible for the execution of each Sub-fund’s investment transactions and the allocation of the brokerage mmmissions and will select brokers who will provide the best overall service to the Company. The Company has no obligation to deal with any specific broker or group of brokers in execution of transactions in securities for a Sub-fund. However, the Company contemplates that a substantial amount 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 transactions may be subject to a commission or dealer mark-up which may not be the lowest commission or spread available.

Brokers who provide supplemental services called soft commissions to a Subfund’s Porifolio Manager may receive orders 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 prformed by the Sub-fund’s Portfolio Manager and the fees of the Porifolio Manager will not be reduced as a result of the receipt of such soft commissions.

58

Note 7

Note 8

Note 9

Note I O

FRESCO0 Notes to the Financial Statements at 31 December 2002 (concluded)

Chanaes in Investment Portfolip

A copy of the list of changes in the portfolio during the reference period may be obtained free of charge at the custodian, at the paying agents, at the paying and information agent in Germany and at the Swiss representation office in Swikerland.

The articles of associationlmanagement of regulations, the prospectus, the unaudited semi- annual reports, as well as the audited annual reports can be obtained free of charge from the German paying agent and information office as well as from the Swiss representative.

For German residents only

The Company has appointed UBS Asset Management GmbH, Stephanstrasse 14-16, D60313 Frankfurt am Main as the German information agent to provide information to potential investors in Germany and redemption support.

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

For Swiss resid-

The Company has appointed UBS Fund Management (SAtzerland) AG, Aeschenvorstadt 48, CH4002 Basel as representation agent of the Company in Switzerland.

The Company has appointed UBS AG, Aeschenvorstadt 1, Postfach, CH402 Basel and Bahnhofstrasse 45, Postfach, CH8098 Zurich and all offices in Switzerland as paying agent of the Company in Switzerland.

The sales prospectus, management regulations, annual and semkannual reports as well as the porifolio movements of the investment fund mentioned in this publication are available free of charge tom UBS AG, Postfach, CH-4002 Basel and from UBS Fund Management (Switzerland) AG, Poslfach, CH-4002 Basel.

59

fresco annual report - fundsquare

Documents