<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED)
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ ---------------
<S> <C> <C>
COMMON STOCKS (96.8%)
BASIC INDUSTRIES (2.6%)
CHEMICALS (1.3%)
Air Products and Chemicals, Inc.................. 130,100 $ 4,211,987
Georgia Gulf Corp................................ 100 2,550
IMC Global, Inc.................................. 52,000 838,500
Lyondell Chemical Co............................. 83,300 1,166,200
PPG Industries, Inc.............................. 7,000 409,937
Praxair, Inc..................................... 25,400 1,133,475
Rohm & Haas Co................................... 160,300 5,870,987
Solutia, Inc..................................... 77,000 1,155,000
Union Carbide Corp............................... 76,200 4,457,700
--------------
19,246,336
--------------
FOREST PRODUCTS & PAPER (0.6%)
Bowater, Inc..................................... 18,900 926,100
Fort James Corp.................................. 73,700 2,118,875
Georgia-Pacific Group............................ 7,200 286,650
International Paper Co........................... 53,800 2,807,687
Louisiana-Pacific Corp........................... 12,500 153,125
Smurfit-Stone Container Corp.+................... 72,800 1,396,850
Temple-Inland, Inc............................... 18,600 1,064,850
--------------
8,754,137
--------------
METALS & MINING (0.7%)
Alcoa, Inc....................................... 102,600 6,720,300
Allegheny Technologies, Inc...................... 38,300 964,681
Freeport - McMoran Copper & Gold, Inc.,
Class B+....................................... 51,700 817,506
Freeport-McMoran Copper & Gold, Inc., Class A+... 11,200 151,900
Reynolds Metals Co............................... 18,700 1,169,919
USX-U.S. Steel Group............................. 24,200 612,562
--------------
10,436,868
--------------
TOTAL BASIC INDUSTRIES......................... 38,437,341
--------------
CONSUMER GOODS & SERVICES (21.6%)
APPARELS & TEXTILES (0.1%)
Fruit of the Loom, Inc., Class A+................ 14,600 27,375
Jones Apparel Group, Inc.+....................... 42,100 1,123,544
--------------
1,150,919
--------------
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ ---------------
<S> <C> <C>
AUTOMOTIVE (1.6%)
Cooper Tire & Rubber Co.......................... 12,600 $ 189,000
Dana Corp........................................ 58,000 1,609,500
Delphi Automotive Systems Corp................... 193,200 3,042,900
Ford Motor Co.................................... 283,000 14,291,500
Genuine Parts Co................................. 48,100 1,238,575
Goodyear Tire and Rubber Co...................... 51,600 1,741,500
Lear Corp.+...................................... 36,800 1,216,700
Tenneco Automotive Inc........................... 80 630
--------------
23,330,305
--------------
BROADCASTING & PUBLISHING (3.9%)
AT&T Corp. - Liberty Media Group, Class A+....... 282,500 11,812,031
Comcast Corp., Class A+.......................... 222,700 10,063,256
Gannett Co., Inc................................. 111,100 7,950,594
Knight - Ridder, Inc............................. 38,600 2,106,112
MediaOne Group, Inc.+............................ 253,800 20,113,650
New York Times Co., Class A...................... 34,600 1,329,937
Times Mirror Co. New............................. 24,200 1,562,412
Washington Post Co., Class B..................... 3,900 2,228,850
--------------
57,166,842
--------------
ENTERTAINMENT, LEISURE & MEDIA (2.5%)
America Online, Inc.+............................ 375,400 27,286,887
International Game Technology+................... 51,900 934,200
Seagram Company Ltd. (i)......................... 203,900 8,882,394
--------------
37,103,481
--------------
FOOD, BEVERAGES & TOBACCO (3.7%)
Bestfoods........................................ 51,900 2,844,769
Coca-Cola Co..................................... 156,600 10,541,137
General Mills, Inc............................... 40,600 1,530,112
H.J. Heinz Co.................................... 85,500 3,580,312
Hershey Foods Corp............................... 36,000 1,768,500
Nabisco Holdings Corp., Class A.................. 9,300 309,806
PepsiCo, Inc..................................... 179,500 6,203,969
Philip Morris Companies, Inc..................... 601,400 15,824,337
Sara Lee Corp.................................... 194,300 4,711,775
Unilever NV-NY Shares (i)........................ 124,800 6,793,800
--------------
54,108,517
--------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
16
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ ---------------
<S> <C> <C>
HOUSEHOLD APPLIANCES & FURNISHINGS (0.1%)
Furniture Brands International, Inc.+............ 5,000 $ 97,500
Herman Miller, Inc............................... 1,600 36,600
Leggett & Platt, Inc............................. 64,900 1,391,294
--------------
1,525,394
--------------
HOUSEHOLD PRODUCTS (2.4%)
Clorox Co........................................ 60,800 2,709,400
Kimberly-Clark Corp.............................. 75,600 4,828,950
Procter & Gamble Co.............................. 261,700 28,263,600
Water Pik Technologies, Inc.+.................... 1,730 12,140
--------------
35,814,090
--------------
PERSONAL CARE (0.6%)
Gillette Co...................................... 216,900 8,716,669
--------------
RESTAURANTS & HOTELS (0.3%)
Extended Stay America, Inc.+..................... 3,800 29,212
Hilton Hotels Corp............................... 127,000 1,277,937
Mandalay Resort Group+........................... 4,400 102,575
Mirage Resorts, Inc.+............................ 115,600 1,481,125
Starwood Hotels & Resorts Worldwide, Inc......... 84,300 1,880,944
--------------
4,771,793
--------------
RETAIL (6.4%)
Abercrombie & Fitch Co., Class A+................ 28,600 925,925
Albertson's, Inc................................. 84,800 2,708,300
CompUSA, Inc.+................................... 13,400 78,725
Dayton Hudson Corp............................... 135,000 9,525,937
Federated Department Stores, Inc.+............... 83,600 3,934,425
Footstar, Inc.+.................................. 100 3,319
Gap, Inc......................................... 227,300 9,205,650
Hasbro, Inc...................................... 28,800 621,000
Home Depot, Inc.................................. 131,300 10,380,906
J.C. Penney, Inc................................. 69,100 1,541,794
Kmart Corp....................................... 144,900 1,439,944
Kroger Co.+...................................... 245,000 5,221,562
Mattel, Inc...................................... 154,600 2,212,712
May Department Stores Co......................... 88,700 2,982,537
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ ---------------
<S> <C> <C>
RETAIL (CONTINUED)
Nordstrom, Inc................................... 32,600 $ 906,687
Reebok International Ltd. (ADR) (i)+............. 6,900 62,100
Safeway, Inc.+................................... 142,100 5,239,937
Sears, Roebuck & Co.............................. 91,000 3,111,062
TJX Companies, Inc............................... 109,200 2,859,675
Wal-Mart Stores, Inc............................. 557,200 32,108,650
--------------
95,070,847
--------------
TOTAL CONSUMER GOODS & SERVICES................ 318,758,857
--------------
ENERGY (5.7%)
GAS EXPLORATION (0.0%)
Union Pacific Resources Group, Inc............... 42,400 553,850
--------------
OIL-PRODUCTION (5.5%)
Chevron Corp..................................... 89,600 7,935,200
Conoco, Inc., Class A............................ 21,000 552,562
Conoco, Inc., Class B............................ 81,300 2,129,044
Exxon Corp....................................... 348,300 27,624,544
Mobil Corp....................................... 170,200 17,753,987
Phillips Petroleum Co............................ 41,400 1,979,437
Royal Dutch Petroleum Co. - NY Shares (i)........ 339,500 19,691,000
Tosco Corp....................................... 64,100 1,734,706
Ultramar Diamond Shamrock Corp................... 30,700 777,094
Valero Energy Corp............................... 24,500 508,375
--------------
80,685,949
--------------
OIL-SERVICES (0.2%)
Cooper Cameron Corp.+............................ 20,800 891,800
ENSCO International, Inc......................... 22,400 449,400
Global Marine, Inc.+............................. 67,500 1,033,594
Input/Output, Inc.+.............................. 10,300 55,362
R&B Falcon Corp.................................. 74,900 926,887
Smith International, Inc.+....................... 8,100 322,987
--------------
3,680,030
--------------
TOTAL ENERGY................................... 84,919,829
--------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
17
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ ---------------
<S> <C> <C>
FINANCE (14.1%)
BANKING (7.9%)
AmSouth Bancorporation........................... 86,700 $ 1,956,169
Associated Banc - Corp........................... 13,900 542,969
Astoria Financial Corp........................... 18,700 589,634
BancWest Corp.................................... 6,400 282,000
Bank of America Corp............................. 393,800 23,037,300
Bank One Corp.................................... 290,800 10,250,700
Charter One Financial, Inc....................... 50,400 1,093,050
Citigroup, Inc................................... 345,100 18,346,497
Colonial BancGroup, Inc.......................... 3,600 41,175
Comerica, Inc.................................... 38,000 2,014,000
Compass Bancshares, Inc.......................... 33,000 837,375
Dime Bancorp, Inc................................ 44,600 813,950
First Tennessee National Corp.................... 33,100 1,088,162
First Union Corp................................. 285,300 11,037,544
First Virginia Banks, Inc........................ 6,100 276,787
Firstar Corp..................................... 46,000 1,196,000
FirstMerit Corp.................................. 18,100 470,034
FleetBoston Financial Corp....................... 131,100 4,957,219
Golden West Financial Corp....................... 12,400 1,251,625
GreenPoint Financial Corp........................ 32,300 817,594
Hibernia Corp., Class A.......................... 36,200 459,287
Huntington Bancshares, Inc....................... 50,300 1,392,681
KeyCorp.......................................... 117,600 3,175,200
M & T Bank Corp.................................. 1,800 846,000
Mercantile Bankshares Corp....................... 15,700 540,178
National City Corp............................... 141,800 3,536,137
North Fork Bancorporation, Inc................... 29,900 601,737
Pacific Century Financial Corp................... 10,700 209,987
Peoples Heritage Financial Group, Inc............ 17,700 299,794
PNC Bank Corp.................................... 86,200 4,805,650
Provident Financial Group, Inc................... 14,600 575,787
Regions Financial Corp........................... 62,500 1,714,844
Southtrust Corp.................................. 40,500 1,571,906
Sovereign Bancorp, Inc........................... 35,500 315,062
Summit Bancorp................................... 39,800 1,298,475
TCF Financial Corp............................... 31,300 886,181
U.S. Bancorp..................................... 195,100 6,669,981
Union Planters Corp.............................. 31,200 1,329,900
Washington Federal, Inc.......................... 1,900 39,662
Washington Mutual, Inc........................... 169,000 4,901,000
Wilmington Trust Corp............................ 4,400 221,650
--------------
116,290,883
--------------
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ ---------------
<S> <C> <C>
FINANCIAL SERVICES (3.2%)
Associates First Capital Corp., Class A.......... 166,200 $ 5,526,150
AXA Financial, Inc............................... 70,400 2,367,200
Bear Stearns Companies, Inc...................... 26,400 1,077,450
CIT Group, Inc., Class A......................... 64,800 1,344,600
Countrywide Credit Industries, Inc............... 26,800 753,750
E*TRADE Group, Inc.+............................. 44,300 1,331,769
Federal Home Loan Mortgage Corp.................. 180,200 8,897,375
Federal National Mortgage Association............ 50,400 3,357,900
Finova Group, Inc................................ 16,700 621,031
Goldman Sachs Group, Inc......................... 100,300 7,535,037
Household International, Inc..................... 108,300 4,284,619
Merrill Lynch & Co., Inc......................... 93,200 7,514,250
Ocwen Financial Corp.+........................... 2,300 14,950
Paine Webber Group Inc........................... 32,900 1,289,269
TD Waterhouse Group, Inc.+....................... 89,700 1,575,356
--------------
47,490,706
--------------
INSURANCE (3.0%)
Allstate Corp.................................... 381,800 9,998,387
Ambac Financial Group, Inc....................... 31,600 1,722,200
American International Group, Inc................ 51,900 5,358,675
Aon Corp......................................... 114,300 4,079,081
CIGNA Corp....................................... 58,200 4,786,950
Financial Security Assurance Holdings Ltd........ 3,100 163,719
Fremont General Corp............................. 7,200 36,450
Hartford Financial Services Group, Inc........... 107,900 5,037,581
MBIA, Inc........................................ 47,800 2,390,000
Mercury General Corp............................. 15,100 352,963
Safeco Corp...................................... 58,700 1,390,456
St. Paul Companies, Inc.......................... 101,100 3,051,956
Torchmark Corp................................... 29,700 942,975
Travelers Property Casualty Corp., Class A....... 23,600 786,175
UnumProvident Corp............................... 113,400 3,692,588
--------------
43,790,156
--------------
TOTAL FINANCE.................................. 207,571,745
--------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
18
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ ---------------
<S> <C> <C>
HEALTH CARE (10.5%)
BIOTECHNOLOGY (0.1%)
Genzyme Corp.+................................... 25,100 $ 903,600
Human Genome Sciences, Inc.+..................... 5,800 649,600
IDEC Pharmaceuticals Corp.+...................... 4,600 583,050
--------------
2,136,250
--------------
HEALTH SERVICES (0.9%)
Aetna, Inc....................................... 40,000 2,185,000
Columbia / HCA Healthcare Corp................... 153,900 4,193,775
Healthsouth Corp.+............................... 130,700 743,356
Humana, Inc.+.................................... 45,900 321,300
Manor Care, Inc.................................. 40,200 806,513
Tenet Healthcare Corp.+.......................... 94,400 2,106,300
United Healthcare Corp........................... 21,300 1,106,269
Wellpoint Health Networks, Inc.+................. 22,800 1,312,425
--------------
12,774,938
--------------
MEDICAL SUPPLIES (0.5%)
Becton, Dickinson & Co........................... 29,800 812,050
Boston Scientific Corp.+......................... 83,900 1,772,388
Medtronic, Inc................................... 90,700 3,525,963
PE Corp.- PE Biosystems Group.................... 6,300 514,238
St. Jude Medical, Inc............................ 19,200 510,000
--------------
7,134,639
--------------
PHARMACEUTICALS (9.0%)
Abbott Laboratories.............................. 300,800 11,430,400
ALZA Corp.+...................................... 97,500 4,210,781
American Home Products Corp...................... 329,400 17,128,800
Bristol-Myers Squibb Co.......................... 403,400 29,473,413
Eli Lilly & Co................................... 279,800 20,075,650
Forest Laboratories, Inc.+....................... 60,500 3,096,844
Johnson & Johnson................................ 27,900 2,894,625
Merck & Co., Inc................................. 104,600 8,211,100
Monsanto Co...................................... 248,000 10,462,500
Pfizer, Inc...................................... 79,800 2,887,763
Schering-Plough Corp............................. 74,600 3,813,925
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ ---------------
<S> <C> <C>
PHARMACEUTICALS (CONTINUED)
Warner-Lambert Co................................ 203,000 $ 18,206,563
Watson Pharmaceuticals, Inc.+.................... 31,600 1,175,125
--------------
133,067,489
--------------
TOTAL HEALTH CARE.............................. 155,113,316
--------------
INDUSTRIAL PRODUCTS & SERVICES (8.8%)
AEROSPACE (0.5%)
Lockheed Martin Corp............................. 188,100 3,738,488
Raytheon Co., Class A............................ 88,700 2,583,388
Raytheon Co., Class B............................ 29,300 899,144
--------------
7,221,020
--------------
BUILDING MATERIALS (0.1%)
Owens Corning.................................... 16,200 255,150
USG Corp.+....................................... 16,600 823,775
--------------
1,078,925
--------------
CAPITAL GOODS (0.2%)
Eaton Corp....................................... 28,900 2,237,944
Modine Manufacturing Co.......................... 10,000 282,500
PACCAR, Inc...................................... 23,600 970,550
--------------
3,490,994
--------------
COMMERCIAL SERVICES (0.6%)
Cendant Corp.+................................... 418,500 6,931,406
Equifax, Inc..................................... 69,100 1,710,225
Service Corp. International...................... 134,700 1,018,669
--------------
9,660,300
--------------
DIVERSIFIED MANUFACTURING (6.8%)
AlliedSignal, Inc................................ 113,300 6,776,756
B.F.Goodrich Co.................................. 45,900 1,035,619
Cooper Industries, Inc........................... 40,000 1,717,500
Deere & Co....................................... 93,000 3,993,188
Eastman Kodak Co................................. 132,300 8,186,063
General Electric Co.............................. 391,800 50,934,000
Hubbell, Inc., Class B........................... 26,900 749,838
Ingersoll-Rand Co................................ 47,600 2,305,625
ITT Industries, Inc.............................. 52,500 1,830,938
National Service Industries Inc.................. 4,600 135,988
Teledyne Technologies, Inc.+..................... 5 44
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
19
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ ---------------
<S> <C> <C>
DIVERSIFIED MANUFACTURING (CONTINUED)
Tyco International Ltd.(i)....................... 387,600 $ 15,528,225
Xerox Corp....................................... 254,500 6,887,406
--------------
100,081,190
--------------
ELECTRICAL EQUIPMENT (0.3%)
Emerson Electric Co.............................. 61,600 3,511,200
W.W. Grainger, Inc............................... 25,100 1,182,838
--------------
4,694,038
--------------
POLLUTION CONTROL (0.3%)
Waste Management, Inc............................ 231,800 3,766,750
--------------
TEXTILES (0.0%)
Unifi, Inc....................................... 6,500 86,125
--------------
TOTAL INDUSTRIAL PRODUCTS & SERVICES........... 130,079,342
--------------
TECHNOLOGY (23.1%)
COMPUTER PERIPHERALS (1.7%)
EMC Corp.+....................................... 232,600 19,436,638
Lexmark International Group, Inc., Class A+...... 22,700 1,884,100
Quantum Corp.- DLT & Storage Systems+............ 36,000 567,000
Seagate Technology, Inc.+........................ 77,400 2,863,800
--------------
24,751,538
--------------
COMPUTER SOFTWARE (5.6%)
Adobe Systems, Inc............................... 19,800 1,360,013
BMC Software, Inc.+.............................. 54,400 3,961,000
Citrix Systems, Inc.+............................ 19,600 1,859,550
Microsoft Corp.+(s).............................. 808,000 73,565,875
Novell, Inc...................................... 109,300 2,138,181
--------------
82,884,619
--------------
COMPUTER SYSTEMS (3.2%)
Compaq Computer Corp............................. 306,400 7,487,650
Dell Computer Corp.+............................. 275,300 11,837,900
International Business Machines Corp.(s)......... 78,400 8,080,100
Sun Microsystems, Inc.+.......................... 155,400 20,551,650
--------------
47,957,300
--------------
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ ---------------
<S> <C> <C>
ELECTRONICS (3.7%)
3Com Corp.+...................................... 105,800 $ 4,212,163
Cisco Systems, Inc.+............................. 553,500 49,365,281
Symbol Technologies, Inc......................... 25,700 1,225,569
--------------
54,803,013
--------------
INFORMATION PROCESSING (1.1%)
Automatic Data Processing, Inc................... 93,300 4,606,688
DoubleClick, Inc.+............................... 7,300 1,168,456
Electronic Data Systems Corp..................... 78,100 5,022,806
Exodus Communications, Inc.+..................... 12,300 1,326,094
First Data Corp.................................. 85,700 3,706,525
--------------
15,830,569
--------------
SEMICONDUCTORS (4.5%)
Applied Materials, Inc.+......................... 60,800 5,924,200
Intel Corp.(s)................................... 570,700 43,765,556
National Semiconductor Corp.+.................... 30,400 1,292,000
Texas Instruments, Inc........................... 132,000 12,680,250
Xilinx, Inc.+.................................... 24,500 2,192,750
--------------
65,854,756
--------------
TELECOMMUNICATIONS-EQUIPMENT (3.3%)
Lucent Technologies, Inc......................... 499,500 36,494,719
Motorola, Inc.................................... 103,400 11,813,450
--------------
48,308,169
--------------
TOTAL TECHNOLOGY............................... 340,389,964
--------------
TRANSPORTATION (0.7%)
AIRLINES (0.2%)
AMR Corp.+....................................... 26,600 1,619,275
Northwest Airlines Corp.+........................ 14,400 337,500
Southwest Airlines Co............................ 28,500 464,906
--------------
2,421,681
--------------
RAILROADS (0.5%)
Burlington Northern Railroad Co.................. 79,400 2,302,600
CSX Corp......................................... 35,600 1,266,025
Norfolk Southern Corp............................ 63,900 1,365,863
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
20
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ ---------------
<S> <C> <C>
RAILROADS (CONTINUED)
Union Pacific Corp............................... 62,100 $ 2,922,581
Wisconsin Central Transportation Corp.+.......... 1,800 25,256
--------------
7,882,325
--------------
TRUCK & FREIGHT CARRIERS (0.0%)
CNF Transportation, Inc.......................... 7,700 256,025
Consolidated Freightways Corp.+.................. 100 913
Ryder System, Inc................................ 10,700 241,419
United Parcel Service, Inc., Class B............. 3,900 257,644
--------------
756,001
--------------
TOTAL TRANSPORTATION........................... 11,060,007
--------------
UTILITIES (9.7%)
ELECTRIC (2.1%)
Allegheny Energy, Inc............................ 33,300 965,700
Carolina Power & Light Co........................ 80,900 2,437,113
Central & South West Corp........................ 152,300 3,046,000
Cinergy Corp..................................... 42,200 1,068,188
CMS Energy Corp.................................. 33,900 1,127,175
Constellation Energy Group....................... 42,000 1,236,375
Dominion Resources, Inc.+(i)..................... 59,400 2,695,275
DTE Energy Co.................................... 42,000 1,388,625
Entergy Corp..................................... 85,500 2,356,594
FPL Group, Inc................................... 48,400 2,117,500
GPU, Inc......................................... 8,200 262,400
NiSource, Inc.................................... 33,700 633,981
Northern States Power Co......................... 103,300 2,111,194
PG&E Corp........................................ 116,200 2,599,975
Pinnacle West Capital Corp....................... 24,500 813,094
PP&L Resources, Inc.............................. 53,100 1,224,619
TECO Energy, Inc................................. 38,100 762,000
Texas Utilities Co............................... 82,200 2,943,788
USEC, Inc........................................ 51,500 424,875
Wisconsin Energy Corp............................ 33,200 659,850
--------------
30,874,321
--------------
NATURAL GAS (0.2%)
Columbia Energy Group............................ 26,400 1,656,600
Consolidated Natural Gas Co...................... 19,900 1,276,088
--------------
2,932,688
--------------
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ ---------------
<S> <C> <C>
TELEPHONE (7.4%)
Global Crossing Ltd.+(i)......................... 142,600 $ 6,220,925
AT&T Corp........................................ 200,100 11,180,588
Bell Atlantic Corp............................... 142,100 8,996,706
GTE Corp......................................... 190,600 13,913,800
Level 3 Communications, Inc.+.................... 65,300 4,428,156
MCI WorldCom, Inc.+.............................. 382,200 31,603,163
SBC Communications, Inc.......................... 622,700 32,341,481
--------------
108,684,819
--------------
TOTAL UTILITIES................................ 142,491,828
--------------
TOTAL COMMON STOCKS (COST $1,282,953,282)...... 1,428,822,229
--------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
------------
<S> <C> <C>
FIXED INCOME SECURITIES (0.2%)
U.S. TREASURY OBLIGATIONS (0.2%)
U.S. TREASURY NOTES (0.2%)
5.38% due 07/31/00 (s) (cost $3,289,312)......... $ 3,289,312 3,282,301
--------------
</TABLE>
<TABLE>
<CAPTION>
SHORT-TERM INVESTMENTS (3.6%)
<S> <C> <C>
OTHER INVESTMENT COMPANIES (3.6%)
J.P. Morgan Institutional Prime Money Market
(cost $52,762,901)............................. 52,762,901 52,762,901
--------------
TOTAL INVESTMENTS (COST $1,339,005,495) (100.6%)...............
1,484,867,432
LIABILITIES IN EXCESS OF OTHER ASSETS (-0.6%)..................
(8,612,693)
--------------
NET ASSETS (100.0%)............................................ $1,476,254,739
==============
</TABLE>
- ------------------------------
Note: The cost of investments for federal income tax purposes at November 30,
1999 was $1,340,684,785; the aggregate gross unrealized appreciation and
depreciation was $241,950,097 and $97,767,450 respectively, resulting in net
unrealized appreciation of $144,182,647.
+ - Non-income producing security.
(s) - Security is fully or partially segregated with custodian as collateral for
futures contracts or with brokers as initial margin for futures contracts.
Total market value of securities segregated is $50,113,804.
(i) - Foreign security.
ADR - American Depositary Receipt.
The Accompanying Notes are an Integral Part of the Financial Statements.
21
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES (UNAUDITED)
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments at Value (Cost $1,339,005,495 ) $1,484,867,432
Receivable for Investments Sold 14,173,795
Dividends and Interest Receivable 2,155,520
Deferred Organization Expenses 3,617
Prepaid Trustees' Fees 444
Prepaid Expenses and Other Assets 32,735
--------------
Total Assets 1,501,233,543
--------------
LIABILITIES
Payable to Custodian 2,182,597
Payable for Investments Purchased 21,633,417
Variation Margin Payable 617,899
Advisory Fee Payable 425,110
Custody Fee Payable 47,916
Administrative Services Fee Payable 30,157
Administration Fee Payable 1,283
Fund Services Fee Payable 814
Accrued Expenses 39,611
--------------
Total Liabilities 24,978,804
--------------
NET ASSETS
Applicable to Investors' Beneficial Interests $1,476,254,739
==============
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
22
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
STATEMENT OF OPERATIONS (UNAUDITED)
FOR THE SIX MONTHS ENDED NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Dividend Income (Net of Foreign Withholding Tax
of $38,475) $ 8,696,773
Interest Income 839,555
-----------
Investment Income 9,536,328
EXPENSES
Advisory Fee $ 2,310,282
Administrative Services Fee 167,661
Custodian Fees and Expenses 126,945
Professional Fees and Expenses 23,891
Fund Services Fee 11,507
Administration Fee 7,683
Trustees' Fees and Expenses 5,278
Printing Expenses 4,333
Amortization of Organization Expense 869
Insurance Expense 675
-----------
Total Expenses 2,659,124
-----------
NET INVESTMENT INCOME 6,877,204
NET REALIZED GAIN/(LOSS) ON
Investments 42,280,764
Futures (1,767,221)
-----------
Net Realized Gain 40,513,543
NET CHANGE IN UNREALIZED APPRECIATION OF
Investments 12,727,698
Futures 2,198,347
-----------
Net Change in Unrealized Appreciation 14,926,045
-----------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $62,316,792
===========
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
23
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE SIX
MONTHS ENDED FOR THE FISCAL
NOVEMBER 30, 1999 YEAR ENDED
(UNAUDITED) MAY 31, 1999
----------------- --------------
<S> <C> <C>
INCREASE IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 6,877,204 $ 7,760,571
Net Realized Gain on Investments and Futures
Contracts 40,513,543 34,862,292
Net Change in Unrealized Appreciation of
Investments and Futures Contracts 14,926,045 97,213,895
---------------- --------------
Net Increase in Net Assets Resulting from
Operations 62,316,792 139,836,758
---------------- --------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS
Contributions 429,513,024 796,144,084
Withdrawals (144,258,533) (121,433,323)
---------------- --------------
Net Increase from Investors' Transactions 285,254,491 674,710,761
---------------- --------------
Total Increase in Net Assets 347,571,283 814,547,519
NET ASSETS
Beginning of Period 1,128,683,456 314,135,937
---------------- --------------
End of Period $ 1,476,254,739 $1,128,683,456
================ ==============
</TABLE>
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE FOR THE PERIOD
FOR THE FISCAL YEAR DECEMBER 30, 1996
SIX MONTHS ENDED ENDED MAY 31, (COMMENCEMENT OF
NOVEMBER 30, 1999 -------------- OPERATIONS) THROUGH
(UNAUDITED) 1999 1998 MAY 31, 1997
----------------- ------ ------ -------------------
<S> <C> <C> <C> <C>
RATIOS TO AVERAGE NET ASSETS
Net Expenses 0.40%(a) 0.42% 0.45% 0.45%(a)
Net Investment Income 1.04%(a) 1.18% 1.27% 1.54%(a)
Expenses without Reimbursement 0.40%(a) 0.42% 0.51% 0.78%(a)
Portfolio Turnover 28.64% 50.64% 60.59% 20.47%
</TABLE>
- ------------------------
(a) Annualized.
(b) Not Annualized.
The Accompanying Notes are an Integral Part of the Financial Statements.
24
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
The Disciplined Equity Portfolio (the "portfolio") is one of five subtrusts
(portfolios) comprising The Series Portfolio (the "series portfolio"). The
series portfolio is registered under the Investment Company Act of 1940, as
amended, as a no-load open-end management investment company which was organized
as a trust under the laws of the State of New York on June 24, 1994. The
portfolio commenced operations on December 30, 1996. The portfolio's investment
objective is to provide a high total return from a broadly diversified portfolio
of equity securities. The Declaration of Trust permits the trustees to issue an
unlimited number of beneficial interests in the portfolio.
The preparation of financial statements in accordance with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts and disclosures. Actual amounts could differ from
those estimates. The following is a summary of the significant accounting
policies of the portfolio:
a) The value of each security for which readily available market quotations
exist is based on a decision as to the broadest and most representative
market for such security. The value of such security will be based either
on the last sale price on a national securities exchange, or, in the
absence of recorded sales, at the average of readily available closing bid
and asked prices on such exchanges. Securities listed on a foreign
exchange are valued at the last quoted sale price available before the
time when net assets are valued. Unlisted securities are valued at the
average of the quoted bid and asked prices in the over-the-counter market.
Securities or other assets for which market quotations are not readily
available are valued at fair value in accordance with procedures
established by the portfolio's trustees. Such procedures include the use
of independent pricing services, which use prices based upon yields or
prices of securities of comparable quality, coupon, maturity and type;
indications as to values from dealers; and general market conditions. All
short-term portfolio securities with a remaining maturity of less than 60
days are valued by the amortized cost method.
The portfolio's custodian takes possession of the collateral pledged for
investments in repurchase agreements on behalf of the portfolio. It is the
policy of the portfolio to value the underlying collateral daily on a
mark-to-market basis to determine that the value, including accrued
interest, is at least equal to the repurchase price plus accrued interest.
In the event of default of the obligation to repurchase, the portfolio has
the right to liquidate the collateral and apply the proceeds in
satisfaction of the obligation. Under certain circumstances, in the event
of default or bankruptcy by the other party to the agreement, realization
and/or retention of the collateral or proceeds may be subject to legal
proceedings.
b) Securities transactions are recorded on a trade-date basis. Dividend
income is recorded on the ex-dividend date or as of the time that the
relevant ex-dividend date and amount become known. Interest income, which
includes the amortization of premiums and discounts, if any, is recorded
on an accrual basis. For financial and tax reporting purposes, realized
gains and losses are determined on the basis of specific lot
identification.
c) The portfolio incurred organization expenses in the amount of $9,049.
Morgan Guaranty Trust Company of New York ("Morgan"), a wholly owned
subsidiary of J.P. Morgan & Co. Incorporated
25
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
("J.P. Morgan"), has agreed to pay the organization expenses of the
portfolio. The portfolio has agreed to reimburse Morgan for these costs
which are being deferred and amortized on a straight-line basis over a
period not to exceed five years beginning with the commencement of
operations of the portfolio.
d) Expenses incurred by the series portfolio with respect to any two or more
portfolios in the series portfolio are allocated in proportion to the net
assets of each portfolio in the series portfolio, except where allocations
of direct expenses to each portfolio can otherwise be made fairly.
Expenses directly attributable to a portfolio are charged to that
portfolio.
e) Futures -- A futures contract is an agreement to purchase/sell a specified
quantity of an underlying instrument at a specified future date or to
make/receive a cash payment based on the value of a securities index. The
price at which the purchase and sale will take place is fixed when the
portfolio enters into the contract. Upon entering into such a contract,
the portfolio is required to pledge to the broker an amount of cash and/or
liquid securities equal to the minimum "initial margin" requirements of
the exchange. Pursuant to the contract, the portfolio agrees to receive
from, or pay to, the broker an amount of cash equal to the daily
fluctuation in value of the contract. Such receipts or payments are known
as "variation margin" and are recorded by the portfolio as unrealized
gains or losses. When the contract is closed, the portfolio records a
realized gain or loss equal to the difference between the value of the
contract at the time it was opened and the value at the time when it was
closed. The portfolio invests in futures contracts for the purpose of
hedging its existing portfolio securities, or securities the portfolio
intends to purchase, against fluctuations in value caused by changes in
prevailing market interest rates or securities movements. The use of
futures transactions involves the risk of imperfect correlation in
movements in the price of futures contracts, interest rates and the
underlying hedged assets.
f) The portfolio intends to be treated as a partnership for federal income
tax purposes. As such, each investor in the portfolio will be taxed on its
share of the portfolio's ordinary income and capital gains. It is intended
that the portfolio's assets will be managed in such a way that an investor
in the portfolio will be able to satisfy the requirements of Subchapter M
of the Internal Revenue Code.
2. TRANSACTIONS WITH AFFILIATES
a) Prior to October 1, 1998, the portfolio had an Investment Advisory
Agreement with Morgan. Under the terms of the agreement, the portfolio
paid Morgan at an annual rate of 0.35% of the portfolio's average daily
net assets. Effective October 1, 1998, the portfolio's Investment Advisor
is J.P. Morgan Investment Management Inc. ("JPMIM"), an affiliate of
Morgan and a wholly owned subsidiary of J.P. Morgan, and the terms of the
agreement will remain the same. At November 30, 1999, such fees amounted
to $2,310,282.
The portfolio may invest in one or more affiliated money market funds:
J.P. Morgan Institutional Prime Money Market Fund, J.P. Morgan
Institutional Tax Exempt Money Market Fund, J.P. Morgan Institutional
Federal Money Market Fund and J.P. Morgan Institutional Treasury Money
Market Fund.
26
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
The Advisor has agreed to reimburse its advisory fee from the portfolio in
an amount to offset any doubling of investment advisory and shareholder
servicing fees. For the six months ended November 30, 1999, J.P. Morgan
has agreed to reimburse the portfolio $7,220 under this agreement.
b) The portfolio has retained Funds Distributor, Inc. ("FDI"), a registered
broker-dealer, to serve as the co-administrator and exclusive placement
agent. Under a Co-Administration Agreement between FDI and the portfolio,
FDI provides administrative services necessary for the operations of the
portfolio, furnishes office space and facilities required for conducting
the business of the portfolio and pays the compensation of the officers
affiliated with FDI. The portfolio has agreed to pay FDI fees equal to its
allocable share of an annual complex-wide charge of $425,000 plus FDI's
out-of-pocket expenses. The amount allocable to the portfolio is based on
the ratio of the portfolio's net assets to the aggregate net assets of the
portfolio and certain other investment companies subject to similar
agreements with FDI. At November 30, 1999, the fee for these services
amounted to $7,683.
c) The portfolio has an Administrative Services Agreement (the "Services
Agreement") with Morgan under which Morgan is responsible for certain
aspects of the administration and operation of the portfolio. Under the
Services Agreement, the portfolio has agreed to pay Morgan a fee equal to
its allocable share of an annual complex-wide charge. This charge is
calculated based on the aggregate average daily net assets of the
portfolio and other portfolios for which JPMIM acts as investment advisor
(the "master portfolios") and J.P. Morgan Series Trust in accordance with
the following annual schedule: 0.09% on the first $7 billion of the their
aggregate average daily net assets and 0.04 % of their aggregate average
daily net assets in excess of $7 billion, less the complex-wide fees
payable to FDI. The portion of this charge payable by the portfolio is
determined by the proportionate share that its net assets bear to the net
assets of the master portfolios, other investors in the master portfolios
for which Morgan provides similar services, and J.P. Morgan Series Trust.
At November 30, 1999, the fee for these services amounted to $167,661.
In addition, J.P. Morgan has agreed to reimburse the portfolio to the
extent necessary to maintain the total operating expenses of the portfolio
at no more than 0.45% of the average daily net assets of the portfolio
through August 31, 2000. This arrangement can be changed or terminated at
any time at the option of J.P. Morgan. For the six months ended
November 30, 1999, J.P. Morgan did not reimburse expenses under this
agreement.
d) The portfolio has a Fund Services Agreement with Pierpont Group, Inc.
("Group") to assist the trustees in exercising their overall supervisory
responsibilities for the portfolio's affairs. The trustees of the
portfolio represent all the existing shareholders of Group. The
portfolio's allocated portion of Group's costs in performing its services
amounted to $11,507 for the six months ended November 30, 1999.
e) An aggregate annual fee of $75,000 is paid to each trustee for serving as
a trustee of the J.P. Morgan Funds, the J.P. Morgan Institutional Funds,
the master portfolios and J.P. Morgan Series Trust. The Trustees' Fees and
Expenses shown in the financial statements represents the portfolio's
allocated portion of the total fees and expenses. The portfolio's Chairman
and Chief Executive Officer also serves
27
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
as Chairman of Group and received compensation and employee benefits from
Group in his role as Group's Chairman. The allocated portion of such
compensation and benefits included in the Fund Services Fee shown in the
financial statements was $2,400.
3. INVESTMENT TRANSACTIONS
Investment transactions (excluding short-term investments) for the six months
ended November 30, 1999, were as follows:
<TABLE>
<CAPTION>
COST OF PROCEEDS
PURCHASES FROM SALES
- --------- ------------
<S> <C>
$ 649,932,982 $370,790,001
</TABLE>
Futures Transactions as of November 30, 1999 are summarized as follows:
<TABLE>
<CAPTION>
CURRENT MARKET
NET UNREALIZED VALUE
CONTRACTS LONG APPRECIATION OF CONTRACTS
-------------- -------------- --------------
<S> <C> <C> <C>
S & P 500, expiring December 1999................ 131 $ 1,490,789 $ 45,571,625
============= ============= =============
</TABLE>
4. CREDIT AGREEMENT
The portfolio is party to a revolving line of credit agreement (the "Agreement")
as discussed more fully in Note 4 of the fund's Notes to the Financial
Statements which are included elsewhere in the report.
28