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<PAGE> PAGE 4
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<PAGE> PAGE 5
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<PAGE> PAGE 6
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<PAGE> PAGE 7
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<PAGE> PAGE 8
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<PAGE> PAGE 9
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<PAGE> PAGE 10
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<PAGE> PAGE 11
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<PAGE> PAGE 12
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<PAGE> PAGE 13
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<PAGE> PAGE 14
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<PAGE> PAGE 15
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<PAGE> PAGE 16
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<PAGE> PAGE 17
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SIGNATURE GEORGE A. RIO
TITLE TREASURER
WARNING: THE EDGAR SYSTEM ENCOUNTERED ERROR(S) WHILE PROCESSING THIS SCHEDULE.
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial data extracted from the annual report
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</TABLE>
WARNING: THE EDGAR SYSTEM ENCOUNTERED ERROR(S) WHILE PROCESSING THIS SCHEDULE.
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
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<DISTRIBUTIONS-OF-INCOME> 0
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 333
<NUMBER-OF-SHARES-REDEEMED> 0
<SHARES-REINVESTED> 0
<NET-CHANGE-IN-ASSETS> 5261
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 11
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 87
<AVERAGE-NET-ASSETS> 5227
<PER-SHARE-NAV-BEGIN> 15.00
<PER-SHARE-NII> 0
<PER-SHARE-GAIN-APPREC> .78
<PER-SHARE-DIVIDEND> 0
<PER-SHARE-DISTRIBUTIONS> 0
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 15.78
<EXPENSE-RATIO> .75
[AVG-DEBT-OUTSTANDING] 0
[AVG-DEBT-PER-SHARE] 0
</TABLE>
WARNING: THE EDGAR SYSTEM ENCOUNTERED ERROR(S) WHILE PROCESSING THIS SCHEDULE.
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial data extracted from the annual report
dated May 31, 1999, for the J.P. Morgan Institutional Market Neutral Fund and is
qualified in its entirety by reference to such annual report.
</LEGEND>
<MULTIPLIER> 1,000
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> MAY-31-1999
<PERIOD-END> MAY-31-1999
<INVESTMENTS-AT-COST> 9,427
<INVESTMENTS-AT-VALUE> 9,714
<RECEIVABLES> 133
<ASSETS-OTHER> 1
<OTHER-ITEMS-ASSETS> 9,791
<TOTAL-ASSETS> 19,639
<PAYABLE-FOR-SECURITIES> 84
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 9,412
<TOTAL-LIABILITIES> 9,496
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 10,032
<SHARES-COMMON-STOCK> 669
<SHARES-COMMON-PRIOR> 0
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 165
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> (116)
<NET-ASSETS> 10,143
<DIVIDEND-INCOME> 87
<INTEREST-INCOME> 148
<OTHER-INCOME> 0
<EXPENSES-NET> 146
<NET-INVESTMENT-INCOME> 89
<REALIZED-GAINS-CURRENT> 165
<APPREC-INCREASE-CURRENT> (116)
<NET-CHANGE-FROM-OPS> 137
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 27
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 10,006
<NUMBER-OF-SHARES-REDEEMED> 0
<SHARES-REINVESTED> 27
<NET-CHANGE-IN-ASSETS> 10,032
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 62
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 235
<AVERAGE-NET-ASSETS> 9,943
<PER-SHARE-NAV-BEGIN> 15.00
<PER-SHARE-NII> .13
<PER-SHARE-GAIN-APPREC> .07
<PER-SHARE-DIVIDEND> .04
<PER-SHARE-DISTRIBUTIONS> 0
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 15.16
<EXPENSE-RATIO> 2.00
[AVG-DEBT-OUTSTANDING] 0
[AVG-DEBT-PER-SHARE] 0
</TABLE>
TRANSACTIONS SUBJECT TO RULE 10f-3 PROCEDURES
Portfolio: JPM Market Neutral Portfolio Security
---------------------------- Description: (Common Stock -
25,000,000 Shares)
------------------
Issuer: Level 3 Communications, Inc. Offering Type: US Registered
---------------------------- ------------
(US Registered, Eligible Muni,
Eligible Foreign, Eligible 144A)
<TABLE>
<CAPTION>
- -------- ------------------------------------------- ---------------- -------------------------------------- -----------------
In Compliance
REQUIRED INFORMATION ANSWER APPLICABLE RESTRICTION (Yes/No)
- -------- ------------------------------------------- ---------------- -------------------------------------- -----------------
- -------- ------------------------------------------- ---------------- --------------------------------------
<S> <C> <C>
1. Offering Date March 4, 1999 None N/A
------------- ---
2. Trade Date March 4, 1999 Must be the same as #1 Y
------------- -
3. Unit Price of Offering $54.00 None N/A
------ ---
4. Price Paid per Share $54.00 Must not exceed #3 Y
------ -
5. Years of Issuer's Operations 5 Must be at least three years * Y
- -
6. Underwriting Type Firm Must be firm Y
7. Underwriting Spread $1.89 Investment Adviser determination to N/A
----- be made ---
8. Total Price paid by Portfolio $10,800 None N/A
------- ---
9. Total Size of Offering $1,350,000,000 None N/A
-------------- ---
10. Total Price Paid by Portfolio plus Total $22,053,600 #10 divided by #9 must not exceed N/A
Price Paid for same securities purchased ----------- 25% ** ---
by the same investment adviser for other
investment companies
11. Underwriter(s) from whom the Portfolio Salomon Smith Must not include Investment Adviser Y
purchased (attach a prospectus or -------------- affiliates *** -
offering circular for a list of all Barney
syndicate members) ------
12. If the affiliate was lead or co-lead N/A
manager, was the instruction listed below Must be "Yes" or "N/A" N/A
given to the broker(s) named in #11? **** ---
- -------- ------------------------------------------- ---------------- -------------------------------------- -----------------
</TABLE>
The Investment Adviser has no reasonable cause to believe that the underwriting
commission, spread or profit is NOT reasonable and fair compared to
underwritings of similar securities during a comparable period of time. In
determining which securities are comparable, the Investment Adviser has
considered the factors set forth in the Portfolio's 10f-3 procedures.
* Not applicable to munis. In the case of munis, (i) the issue must have
one investment grade rating or (ii) if the issuer or the revenue source
has been in operation for less than three years, the issue must have
one of the three highest ratings. Circle (i) or (ii), whichever is met.
** If an eligible Rule 144A offering, must not exceed 25% of the total
amount of same class sold to QIBs in the Rule 144A offering PLUS the
amount of the offering of the same class in any concurrent public
offering
*** For munis purchased from syndicate manager, check box to confirm that
the purchase was not designated as a group sale. [ ]
**** No credit for the purchase made for the Portfolio can be credited to
the Investment Adviser's affiliate.
TRANSACTIONS SUBJECT TO RULE 10f-3 PROCEDURES
Portfolio: JPM Smart Index 350 Portfolio Security
----------------------------- Description: (Common Stock -
25,000,000 Shares)
------------------
Issuer: Level 3 Communications, Inc. Offering Type: US Registered
---------------------------- -------------
(US Registered, Eligible
Muni, Eligible Foreign,
Eligible 144A)
<TABLE>
<CAPTION>
- -------- ------------------------------------------- ---------------- -------------------------------------- -----------------
In Compliance
REQUIRED INFORMATION ANSWER APPLICABLE RESTRICTION (Yes/No)
- -------- ------------------------------------------- ---------------- -------------------------------------- -----------------
- -------- ------------------------------------------- ---------------- --------------------------------------
<S> <C> <C>
1. Offering Date March 4, 1999 None N/A
------------- ---
2. Trade Date March 4, 1999 Must be the same as #1 Y
------------- -
3. Unit Price of Offering $54.00 None N/A
------ ---
4. Price Paid per Share $54.00 Must not exceed #3 Y
------ -
5. Years of Issuer's Operations 5 Must be at least three years * Y
- -
6. Underwriting Type Firm Must be firm Y
7. Underwriting Spread $1.89 Investment Adviser determination to N/A
----- be made ---
8. Total Price paid by Portfolio $10,800 None N/A
------- ---
9. Total Size of Offering $1,350,000,000 None N/A
-------------- ---
10. Total Price Paid by Portfolio plus Total $22,053,600 #10 divided by #9 must not exceed N/A
Price Paid for same securities purchased ----------- 25% ** ---
by the same investment adviser for other
investment companies
11. Underwriter(s) from whom the Portfolio Salomon Smith Must not include Investment Adviser Y
purchased (attach a prospectus or -------------- affiliates *** -
offering circular for a list of all Barney
syndicate members) ------
12. If the affiliate was lead or co-lead N/A Must be "Yes" or "N/A" N/A
manager, was the instruction listed below ---
given to the broker(s) named in #11? ****
- -------- ------------------------------------------- ---------------- -------------------------------------- -----------------
</TABLE>
The Investment Adviser has no reasonable cause to believe that the underwriting
commission, spread or profit is NOT reasonable and fair compared to
underwritings of similar securities during a comparable period of time. In
determining which securities are comparable, the Investment Adviser has
considered the factors set forth in the Portfolio's 10f-3 procedures.
* Not applicable to munis. In the case of munis, (i) the issue must have
one investment grade rating or (ii) if the issuer or the revenue source
has been in operation for less than three years, the issue must have
one of the three highest ratings. Circle (i) or (ii), whichever is met.
** If an eligible Rule 144A offering, must not exceed 25% of the total
amount of same class sold to QIBs in the Rule 144A offering PLUS the
amount of the offering of the same class in any concurrent public
offering
*** For munis purchased from syndicate manager, check box to confirm that
the purchase was not designated as a group sale. [ ]
**** No credit for the purchase made for the Portfolio can be credited to
the Investment Adviser's affiliate.
