<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
MAY 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ ---------------
<S> <C> <C>
COMMON STOCKS (97.1%)
BASIC INDUSTRIES (2.9%)
CHEMICALS (1.7%)
Dow Chemical Co.................................. 77,700 $ 9,440,550
Georgia Gulf Corp................................ 100 1,494
IMC Global, Inc.................................. 43,700 914,969
Lyondell Chemical Co............................. 33,600 640,500
PPG Industries, Inc.............................. 46,400 2,815,900
Rohm & Haas Co................................... 65,800 2,640,225
Solutia, Inc..................................... 41,800 937,887
Union Carbide Corp............................... 42,800 2,196,175
---------------
19,587,700
---------------
FOREST PRODUCTS & PAPER (0.6%)
Bowater, Inc..................................... 8,000 412,000
Fort James Corp.................................. 46,000 1,684,750
International Paper Co........................... 66,800 3,340,000
Mead Corp........................................ 4,400 164,450
Temple-Inland, Inc............................... 9,600 643,200
---------------
6,244,400
---------------
METALS & MINING (0.6%)
Alcan Aluminum Ltd............................... 92,300 2,584,400
Alcoa, Inc....................................... 1,600 88,000
Allegheny Teledyne, Inc.......................... 72,900 1,489,894
Freeport - McMoran Copper & Gold, Inc., Class
B.............................................. 68,500 967,562
Freeport-McMoran Copper & Gold, Inc., Class A.... 11,200 147,000
Nucor Corp....................................... 500 24,969
Reynolds Metals Co............................... 25,000 1,329,687
---------------
6,631,512
---------------
TOTAL BASIC INDUSTRIES......................... 32,463,612
---------------
CONSUMER GOODS & SERVICES (21.2%)
APPARELS & TEXTILES (0.1%)
Fruit of the Loom, Inc., Class A+................ 9,200 94,875
Jones Apparel Group, Inc.+....................... 33,300 1,023,975
---------------
1,118,850
---------------
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ ---------------
<S> <C> <C>
AUTOMOTIVE (1.7%)
Cooper Tire & Rubber Co.......................... 12,600 $ 299,250
Dana Corp........................................ 52,000 2,684,500
Delphi Automotive Systems Corp................... 162,147 3,182,144
Ford Motor Co.................................... 71,200 4,062,850
General Motors Corp.............................. 30,400 2,097,600
Genuine Parts Co................................. 48,100 1,620,369
Goodyear Tire and Rubber Co...................... 49,100 2,930,656
Lear Corp.+...................................... 35,700 1,755,994
---------------
18,633,363
---------------
BROADCASTING & PUBLISHING (2.6%)
AT+ T Corp. - Liberty Media Group+............... 19,136 1,271,348
Comcast Corp., Class A........................... 103,100 3,975,794
Gannett Co., Inc................................. 73,900 5,339,275
Knight - Ridder, Inc............................. 35,100 1,849,331
MediaOne Group, Inc.+............................ 137,900 10,187,362
New York Times Co., Class A...................... 85,900 2,931,337
Times Mirror Co. New............................. 35,000 2,062,812
Washington Post Co., Class B..................... 3,700 2,059,050
---------------
29,676,309
---------------
ENTERTAINMENT, LEISURE & MEDIA (1.9%)
America Online, Inc.+............................ 89,600 10,696,000
Circus Circus Enterprises, Inc.+................. 4,400 92,950
International Game Technology.................... 49,100 865,387
Seagram Company Ltd.(i).......................... 191,700 9,956,419
---------------
21,610,756
---------------
FOOD, BEVERAGES & TOBACCO (5.9%)
Bestfoods........................................ 45,000 2,250,000
Campbell Soup Co.(s)............................. 14,300 630,987
Coca-Cola Co..................................... 355,900 24,312,419
H.J. Heinz Co.................................... 53,200 2,570,225
Hershey Foods Corp............................... 20,100 1,090,425
Pepsi Bottling Group, Inc.(s).................... 22,400 519,400
PepsiCo, Inc.(s)................................. 234,700 8,405,194
Philip Morris Companies, Inc.(s)................. 397,900 15,344,019
Ralston-Ralston Purina Group..................... 66,000 1,798,500
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
17
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THE DISCIPLINED EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
MAY 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ ---------------
<S> <C> <C>
FOOD, BEVERAGES & TOBACCO (CONTINUED)
Sara Lee Corp.................................... 131,200 $ 3,148,800
Unilever NV (ADR)+(s)............................ 96,339 6,292,141
---------------
66,362,110
---------------
HOUSEHOLD APPLIANCES & FURNISHINGS (0.2%)
Furniture Brands International, Inc.+............ 5,000 121,250
Leggett & Platt, Inc............................. 64,900 1,711,737
Whirlpool Corp................................... 7,900 509,550
---------------
2,342,537
---------------
HOUSEHOLD PRODUCTS (1.8%)
Kimberly-Clark Corp.............................. 88,400 5,187,975
Procter & Gamble Co.(s).......................... 159,300 14,874,637
---------------
20,062,612
---------------
RESTAURANTS & HOTELS (0.6%)
Extended Stay America, Inc.+..................... 3,800 40,375
Hilton Hotels Corp............................... 127,000 1,746,250
Mirage Resorts, Inc.+............................ 115,600 2,369,800
Starwood Hotels & Resorts Worldwide, Inc......... 84,300 2,760,825
---------------
6,917,250
---------------
RETAIL (6.4%)
Abercrombie & Fitch Co., Class A+................ 5,300 445,862
Albertson's, Inc................................. 15,900 850,650
American Stores Co............................... 80,100 2,643,300
AutoZone, Inc.+.................................. 55,600 1,608,925
Circuit City Stores-Circuit City Group........... 35,400 2,542,162
CompUSA, Inc.+................................... 13,400 108,037
Corporate Express, Inc.+......................... 8,700 56,958
Costco Companies, Inc.+.......................... 19,000 1,378,094
Dayton Hudson Corp............................... 50,200 3,162,600
Dillard's, Inc., Class A......................... 27,900 979,987
Federated Department Stores, Inc.+............... 64,300 3,504,350
Footstar, Inc.+.................................. 100 3,881
Gap, Inc......................................... 24,530 1,534,658
General Nutrition Companies, Inc.+............... 10,600 175,562
Hannaford Brothers Co............................ 26,400 1,372,800
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ ---------------
<S> <C> <C>
RETAIL (CONTINUED)
Home Depot, Inc.................................. 107,000 $ 6,085,625
J.C. Penney, Inc................................. 69,100 3,571,606
Kmart Corp.+..................................... 144,900 2,227,837
Kroger Co.+...................................... 25,800 1,510,912
Lowe's Companies, Inc............................ 14,105 732,578
Mattel, Inc...................................... 148,900 3,936,544
May Department Stores Co......................... 67,100 2,906,269
Nine West Group, Inc.+........................... 1,000 27,750
Nordstrom, Inc................................... 19,600 697,025
Reebok International Ltd. (ADR)+................. 6,900 137,137
Safeway, Inc.+................................... 68,800 3,199,200
Sears, Roebuck & Co.............................. 97,100 4,642,594
Tiffany & Co..................................... 10,800 895,050
TJX Companies, Inc............................... 107,300 3,219,000
Toys 'R' Us, Inc.+............................... 68,200 1,572,862
Wal-Mart Stores, Inc.(s)......................... 398,600 16,990,325
Walgreen Co...................................... 700 16,275
---------------
72,736,415
---------------
TOTAL CONSUMER GOODS & SERVICES................ 239,460,202
---------------
ENERGY (6.2%)
GAS EXPLORATION (0.1%)
Columbia Energy Group............................ 24,500 1,310,750
---------------
OIL-PRODUCTION (5.9%)
Chevron Corp..................................... 44,900 4,161,669
Conoco, Inc...................................... 22,100 599,462
Exxon Corp.(s)................................... 234,900 18,762,637
Mobil Corp....................................... 153,200 15,511,500
Occidental Petroleum Corp........................ 38,900 821,762
Phillips Petroleum Co............................ 32,800 1,719,950
Royal Dutch Petroleum Co. (ADR)(s)............... 306,700 17,347,719
Texaco, Inc...................................... 74,900 4,905,950
Tosco Corp....................................... 60,800 1,554,200
Ultramar Diamond Shamrock Corp................... 10,100 222,200
Unocal Corp...................................... 7,600 302,100
Valero Energy Corp............................... 24,500 491,531
---------------
66,400,680
---------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
18
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
MAY 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ ---------------
<S> <C> <C>
OIL-SERVICES (0.2%)
Cooper Cameron Corp.+............................ 6,500 $ 235,219
Diamond Offshore Drilling, Inc................... 10,600 288,850
ENSCO International, Inc......................... 21,600 383,400
Global Marine, Inc.+............................. 23,500 330,469
Input/Output, Inc.+.............................. 1,000 8,500
R&B Falcon Corp.+................................ 45,100 417,175
Smith International, Inc.+....................... 5,900 255,175
---------------
1,918,788
---------------
TOTAL ENERGY................................... 69,630,218
---------------
FINANCE (15.6%)
BANKING (9.1%)
Associated Banc - Corp........................... 19,100 660,144
Astoria Financial Corp........................... 22,100 996,572
Bancwest Corp.................................... 7,500 285,000
Bank of America Corp............................. 292,500 18,921,094
Bank One Corp.................................... 29,700 1,679,906
BankBoston Corp.................................. 116,700 5,528,662
Charter One Financial, Inc....................... 29,600 839,900
Citigroup, Inc.(s)............................... 331,900 21,988,375
Colonial BancGroup, Inc.......................... 3,600 46,350
Compass Bancshares, Inc.......................... 18,900 559,322
Dime Bancorp, Inc................................ 42,800 872,050
First American Corp.............................. 19,700 804,006
First Union Corp................................. 167,900 7,733,894
Firstmerit Corp.................................. 14,600 398,306
Golden West Financial Corp....................... 10,100 958,237
GreenPoint Financial Corp........................ 19,500 672,750
Hibernia Corp., Class A.......................... 23,800 339,150
KeyCorp.......................................... 82,000 2,849,500
M & T Bank Corp.................................. 1,200 632,400
Marshall + Ilsley Corp........................... 8,800 615,725
Mellon Bank Corp................................. 22,500 802,969
Mercantile Bancorporation, Inc................... 5,000 292,187
Mercantile Bankshares Corp....................... 10,300 370,156
North Fork Bancorporation, Inc................... 21,800 464,612
Pacific Century Financial Corp................... 10,700 214,000
Peoples Heritage Financial Group, Inc............ 13,800 258,319
PNC Bank Corp.................................... 48,900 2,799,525
Provident Financial Group, Inc................... 14,600 625,062
Regions Financial Corp........................... 34,100 1,292,603
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ ---------------
<S> <C> <C>
BANKING (CONTINUED)
Republic New York Corp........................... 13,900 $ 944,331
Southtrust Corp.................................. 26,600 1,036,569
Sovereign Bancorp, Inc........................... 28,600 378,056
Summit Bancorp................................... 30,100 1,232,219
Suntrust Bank, Inc............................... 52,700 3,557,250
TCF Financial Corp............................... 31,300 868,575
U.S. Bancorp..................................... 122,100 3,968,250
Union Planters Corp.............................. 25,500 1,053,469
Washington Federal, Inc.......................... 1,900 42,750
Washington Mutual, Inc........................... 106,200 4,055,512
Wells Fargo Co.(s)............................... 270,400 10,816,000
Wilmington Trust Corp............................ 4,400 258,775
---------------
102,712,532
---------------
FINANCIAL SERVICES (2.9%)
American Express Co.............................. 50,120 6,073,917
Associates First Capital Corp., Class A.......... 117,500 4,817,500
Bear Stearns Companies, Inc...................... 16,900 749,937
CIT Group, Inc., Class A......................... 14,100 408,900
Federal Home Loan Mortgage Corp.................. 4,200 244,912
Federal National Mortgage Association............ 8,000 544,000
Finova Group, Inc................................ 11,300 540,281
Franklin Resources, Inc.......................... 45,200 1,966,200
Goldman Sachs Group, Inc.+....................... 32,500 2,207,969
Household International, Inc..................... 70,900 3,075,287
Lehman Brothers Holdings, Inc.................... 19,200 1,048,800
Merrill Lynch & Company, Inc..................... 16,500 1,386,000
Morgan Stanley Dean Witter & Co.................. 85,700 8,270,050
Ocwen Financial Corp.+........................... 2,300 19,981
Paine Webber Group Inc........................... 21,000 987,000
Waddell & Reed Financial, Inc., Class A.......... 1,100 26,950
---------------
32,367,684
---------------
INSURANCE (3.6%)
Allstate Corp.................................... 218,600 7,965,237
Ambac Financial Group, Inc....................... 26,100 1,521,956
American International Group, Inc................ 28,900 3,303,631
Aon Corp......................................... 68,300 2,936,900
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
19
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
MAY 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ ---------------
<S> <C> <C>
INSURANCE (CONTINUED)
Chubb Corp....................................... 43,000 $ 3,012,687
CIGNA Corp....................................... 47,800 4,457,350
Equitable Companies, Inc......................... 22,900 1,607,294
Financial Security Assurance Holdings Ltd........ 3,100 175,925
Fremont General Corp............................. 7,200 152,550
Marsh & McLennan Companies, Inc.................. 69,700 5,070,675
MBIA, Inc........................................ 30,200 2,063,037
Mercury General Corp............................. 15,100 544,544
Ohio Casualty Corp............................... 1,300 49,441
Provident Companies, Inc......................... 16,000 625,000
St. Paul Companies, Inc.......................... 61,000 2,169,312
Torchmark Corp................................... 35,300 1,178,137
Travelers Property Casualty Corp., Class A....... 17,000 671,500
UNUM Corp........................................ 51,200 2,755,200
---------------
40,260,376
---------------
TOTAL FINANCE.................................. 175,340,592
---------------
HEALTHCARE (10.9%)
BIOTECHNOLOGY (1.2%)
Amgen, Inc.+..................................... 107,700 6,815,391
Chiron Corp.+.................................... 48,200 1,016,719
Genzyme Corp.+................................... 46,200 1,872,544
MedImmune, Inc.+................................. 37,600 2,389,950
PE Corp.- PE Biosystems Group.................... 10,800 1,206,225
PE-Corp.-Celera Genomics+........................ 3,600 61,200
---------------
13,362,029
---------------
HEALTH SERVICES (1.4%)
Aetna, Inc....................................... 32,000 2,906,000
Columbia / HCA Healthcare Corp.(s)............... 136,700 3,220,994
HCR Manor Care, Inc.+............................ 40,200 1,075,350
Health Management Associates, Inc., Class A+..... 56,400 733,200
Healthsouth Corp.+............................... 95,300 1,274,637
Humana, Inc.+.................................... 42,400 532,650
Lifepoint Hospitals, Inc.+....................... 94 946
Pacificare Health Systems+....................... 3,800 328,106
Tenet Healthcare Corp.+.......................... 93,300 2,285,850
Triad Hospitals, Inc+............................ 1,894 19,236
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ ---------------
<S> <C> <C>
HEALTH SERVICES (CONTINUED)
United Healthcare Corp........................... 36,700 $ 2,137,775
Wellpoint Health Networks, Inc.+................. 15,700 1,294,269
---------------
15,809,013
---------------
MEDICAL SUPPLIES (0.1%)
Medtronic, Inc................................... 19,700 1,398,700
---------------
PHARMACEUTICALS (8.2%)
ALZA Corp.+...................................... 97,500 3,479,531
American Home Products Corp...................... 296,600 17,091,575
Bristol-Myers Squibb Co.......................... 359,600 24,677,550
Eli Lilly & Co................................... 131,000 9,358,312
Forest Laboratories, Inc.+....................... 57,100 2,719,388
Johnson & Johnson................................ 16,300 1,509,788
Merck & Co., Inc................................. 81,800 5,521,500
Monsanto Co...................................... 243,200 10,092,800
Pfizer, Inc...................................... 30,000 3,210,000
Warner-Lambert Co................................ 228,600 14,173,200
Watson Pharmaceuticals, Inc.+.................... 31,600 1,210,675
---------------
93,044,319
---------------
TOTAL HEALTHCARE............................... 123,614,061
---------------
INDUSTRIAL PRODUCTS & SERVICES (10.4%)
AEROSPACE (0.9%)
Boeing Co........................................ 67,900 2,868,775
Lockheed Martin Corp............................. 80,800 3,267,350
Raytheon Co., Class A............................ 57,000 3,786,938
---------------
9,923,063
---------------
BUILDING MATERIALS (0.2%)
Owens Corning.................................... 16,200 637,875
Sherwin-Williams Co.............................. 47,100 1,451,269
USG Corp......................................... 7,600 430,350
---------------
2,519,494
---------------
CAPITAL GOODS (0.2%)
Eaton Corp....................................... 16,800 1,464,750
Modine Manufacturing Co.......................... 10,000 324,063
PACCAR, Inc...................................... 11,400 644,100
---------------
2,432,913
---------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
20
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
MAY 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ ---------------
<S> <C> <C>
COMMERCIAL SERVICES (1.3%)
Cendant Corp.+................................... 415,600 $ 7,662,625
Equifax, Inc..................................... 66,800 2,404,800
R.R. Donnelley & Sons Co......................... 65,000 2,356,250
Service Corp. International...................... 130,700 2,507,806
---------------
14,931,481
---------------
DIVERSIFIED MANUFACTURING (6.0%)
AlliedSignal, Inc................................ 150,700 8,750,019
Coltec Industries, Inc.+......................... 28,000 560,000
Cooper Industries, Inc........................... 38,300 1,898,244
Deere & Co....................................... 71,700 2,729,081
Eastman Kodak Co................................. 94,400 6,383,800
General Electric Co.(s).......................... 227,000 23,083,063
Harris Corp...................................... 43,100 1,629,719
Hubbell, Inc..................................... 11,300 473,188
ITT Industries, Inc.............................. 28,600 1,079,650
Johnson Controls, Inc............................ 13,400 845,038
National Service Industries Inc.................. 4,600 169,338
Parker Hannifin Corp............................. 300 13,106
Sensormatic Electronics Corp.+................... 1,800 24,075
Tenneco, Inc..................................... 48,800 1,137,650
Tyco International Ltd........................... 190,700 16,662,413
Xerox Corp....................................... 36,400 2,045,225
---------------
67,483,609
---------------
ELECTRICAL EQUIPMENT (0.7%)
Emerson Electric Co.............................. 91,300 5,831,788
W.W. Grainger, Inc............................... 28,600 1,517,588
---------------
7,349,376
---------------
PACKAGING & CONTAINERS (0.1%)
Smurfit-Stone Container Corp.+................... 70,800 1,526,625
---------------
POLLUTION CONTROL (1.0%)
Browning-Ferris Industries, Inc.................. 21,900 908,850
Waste Management, Inc............................ 205,400 10,860,525
---------------
11,769,375
---------------
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ ---------------
<S> <C> <C>
TEXTILES (0.0%)
Unifi, Inc....................................... 6,500 $ 107,250
---------------
TOTAL INDUSTRIAL PRODUCTS & SERVICES........... 118,043,186
---------------
TECHNOLOGY (17.7%)
COMPUTER PERIPHERALS (1.0%)
EMC Corp.+(s).................................... 89,400 8,906,475
Quantum Corp.+................................... 34,800 689,475
Seagate Technology, Inc.+........................ 37,800 1,141,088
---------------
10,737,038
---------------
COMPUTER SOFTWARE (3.2%)
Adobe Systems, Inc............................... 1,800 133,369
Electronic Arts+................................. 10,500 513,188
Microsoft Corp.+(s).............................. 372,900 30,100,022
Oracle Corp.+.................................... 210,200 5,209,019
Symantec Corp.+.................................. 3,200 78,300
---------------
36,033,898
---------------
COMPUTER SYSTEMS (4.6%)
Apple Computer, Inc.+............................ 32,900 1,448,628
Dell Computer Corp............................... 201,100 6,919,097
Gateway, Inc.+................................... 22,600 1,374,363
International Business Machines Corp............. 285,200 33,172,325
Sun Microsystems, Inc.+.......................... 153,300 9,154,884
---------------
52,069,297
---------------
ELECTRONICS (2.5%)
3Com Corp.+...................................... 52,100 1,424,609
Cisco Systems, Inc.+............................. 238,700 26,010,841
Symbol Technologies, Inc......................... 16,600 830,000
---------------
28,265,450
---------------
INFORMATION PROCESSING (0.6%)
Automatic Data Processing, Inc................... 89,000 3,665,688
First Data Corp.................................. 62,800 2,822,075
---------------
6,487,763
---------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
21
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
MAY 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ ---------------
<S> <C> <C>
SEMICONDUCTORS (4.1%)
Applied Materials, Inc.+......................... 57,200 $ 3,147,788
Intel Corp.(s)................................... 510,800 27,678,975
Motorola, Inc.................................... 84,700 7,014,219
National Semiconductor Corp.+.................... 21,300 412,688
Texas Instruments, Inc.(s)....................... 61,900 6,770,313
Xilinx, Inc.+.................................... 22,000 976,938
---------------
46,000,921
---------------
TELECOMMUNICATIONS-EQUIPMENT (1.7%)
Lucent Technologies, Inc......................... 343,600 19,542,250
---------------
TOTAL TECHNOLOGY............................... 199,136,617
---------------
TRANSPORTATION (0.9%)
AIRLINES (0.2%)
AMR Corp.+....................................... 26,600 1,730,663
COMAIR Holdings, Inc............................. 4,200 79,669
Southwest Airlines Co............................ 19,000 609,188
---------------
2,419,520
---------------
RAILROADS (0.7%)
Burlington Northern Railroad Co.................. 68,600 2,126,600
CSX Corp......................................... 31,700 1,487,919
Norfolk Southern Corp............................ 53,500 1,752,125
Union Pacific Corp............................... 48,100 2,744,706
Wisconsin Central Transportation Corp.+.......... 1,800 35,663
---------------
8,147,013
---------------
TRUCK & FREIGHT CARRIERS (0.0%)
CNF Transportation, Inc.......................... 6,600 273,900
Consolidated Freightways Corp.+.................. 100 1,331
Ryder System, Inc................................ 8,300 199,200
---------------
474,431
---------------
TOTAL TRANSPORTATION........................... 11,040,964
---------------
UTILITIES (11.3%)
ELECTRIC (2.5%)
Allegheny Energy, Inc............................ 30,100 1,049,738
Ameren Corp...................................... 26,800 1,097,125
Central & South West Corp........................ 120,000 3,090,000
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ ---------------
<S> <C> <C>
ELECTRIC (CONTINUED)
Cinergy Corp..................................... 37,900 $ 1,293,338
CMS Energy Corp.................................. 24,000 1,116,000
Constellation Energy Group....................... 31,300 976,169
Dominion Resources, Inc.......................... 46,100 1,990,944
Edison International............................. 73,600 2,024,000
Entergy Corp..................................... 59,600 1,933,275
New England Electric System...................... 100 5,006
Nisource, Inc.................................... 100 2,803
Northeast Utilities+............................. 26,900 474,113
Northern States Power Co......................... 41,200 1,073,775
PG&E Corp........................................ 91,400 3,084,750
Pinnacle West Capital Corp....................... 19,900 833,313
PP&L Resources, Inc.............................. 47,200 1,416,000
Southern Co...................................... 41,400 1,174,725
TECO Energy, Inc................................. 31,500 730,406
Texas Utilities Co............................... 67,400 3,033,000
USEC, Inc........................................ 48,000 528,000
Wisconsin Energy Corp............................ 27,600 765,900
---------------
27,692,380
---------------
NATURAL GAS (0.2%)
Consolidated Natural Gas Company................. 20,300 1,206,581
El Paso Energy Corp.............................. 28,900 1,042,206
K N Energy, Inc.................................. 6,600 141,488
---------------
2,390,275
---------------
TELEPHONE (8.6%)
Ameritech Corp................................... 135,800 8,937,338
AT & T Corp...................................... 166,100 9,218,550
Bell Atlantic Corp............................... 263,300 14,415,675
Frontier Corp.................................... 5,600 294,700
GTE Corp......................................... 166,100 10,474,681
Level 3 Communications, Inc.+.................... 61,100 4,794,441
MCI WorldCom, Inc.+.............................. 315,700 27,258,722
SBC Communications, Inc.......................... 332,300 16,988,838
US WEST, Inc..................................... 85,600 4,627,750
---------------
97,010,695
---------------
TOTAL UTILITIES................................ 127,093,350
---------------
TOTAL COMMON STOCKS (COST $962,677,250)........ 1,095,822,802
---------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
22
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THE DISCIPLINED EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
MAY 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- ------------------------------------------------- ------------ ---------------
<S> <C> <C>
FIXED INCOME SECURITIES (0.2%)
U.S. TREASURY OBLIGATIONS (0.2%)
U.S. TREASURY NOTES (0.2%)
6.000% due 06/30/99(s)........................... $ 1,125,000 $ 1,126,226
5.875% due 11/15/99(s)........................... 1,000,000 1,004,060
---------------
TOTAL U.S. TREASURY OBLIGATIONS................ 2,130,286
---------------
TOTAL FIXED INCOME SECURITIES (COST
$2,141,599)................................... 2,130,286
---------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- ------------------------------------------------- --------------- ---------------
<S> <C> <C>
SHORT-TERM INVESTMENTS (2.7%)
REPURCHASE AGREEMENT (2.7%)
State Street Repurchase Agreement dated 05/28/99,
due 06/01/99, 4.00% , proceeds $30,732,653
(collateralized by US Treasury note, 7.875%,
due 02/15/21, valued at $31,333,911) (Cost
$30,719,000)................................... $ 30,719,000 $ 30,719,000
---------------
TOTAL INVESTMENTS (COST $995,537,849) (100.0%)....................
1,128,672,088
OTHER ASSETS IN EXCESS OF LIABILITIES (0.0%)......................
11,368
---------------
NET ASSETS (100.0%)............................................... $ 1,128,683,456
---------------
---------------
</TABLE>
- ------------------------------
Note:The cost of investments for federal income tax purposes at May 31, 1999 was
$996,555,422; the aggregate gross unrealized appreciation and depreciation
was $156,869,931 and $24,753,265 respectively, resulting in net unrealized
appreciation of $132,116,666.
+ Non-income producing security.
(i) Foreign Security
(s)Security is fully or partially segregated with custodian as collateral for
futures contracts or with broker as initial margin for futures contracts.
Total market value of securities segregated is $43,690,208.
ADR - American Depositary Receipt.
The Accompanying Notes are an Integral Part of the Financial Statements.
23
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
MAY 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments at Value (Cost $995,537,849 ) $1,128,672,088
Cash 91
Receivable for Investments Sold 10,337,211
Dividends Receivable 2,194,881
Variation Margin Receivable 266,523
Foreign Tax Reclaim Receivable 111,030
Interest Receivable 44,709
Deferred Organization Expenses 4,486
Prepaid Trustees' Fees 691
Prepaid Expenses and Other Assets 2,118
--------------
Total Assets 1,141,633,828
--------------
LIABILITIES
Payable for Investments Purchased 12,504,071
Advisory Fee Payable 339,112
Custody Fee Payable 47,519
Administrative Services Fee Payable 25,011
Fund Services Fee Payable 1,020
Administration Fee Payable 252
Accrued Expenses 33,387
--------------
Total Liabilities 12,950,372
--------------
NET ASSETS
Applicable to Investors' Beneficial Interests $1,128,683,456
--------------
--------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
24
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE FISCAL YEAR ENDED MAY 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Dividend Income (Net of Foreign Withholding Tax
of $195,640 ) $ 9,542,720
Interest Income 1,008,059
------------
Investment Income 10,550,779
EXPENSES
Advisory Fee $ 2,310,525
Custodian Fees and Expenses 216,265
Administrative Services Fee 176,331
Professional Fees and Expenses 46,597
Fund Services Fee 14,804
Administration Fee 9,294
Printing Expenses 9,062
Trustees' Fees and Expenses 4,486
Amortization of Organization Expenses 1,733
Insurance Expense 1,111
-----------
Total Expenses 2,790,208
------------
NET INVESTMENT INCOME 7,760,571
NET REALIZED GAIN ON INVESTMENTS
Investment Transactions 32,127,905
Futures Contracts 2,734,387
-----------
Total Realized Gain 34,862,292
NET CHANGE IN UNREALIZED
APPRECIATION/(DEPRECIATION) OF INVESTMENTS
Investments 98,007,871
Futures Contracts (793,976)
-----------
Net Change in Unrealized Appreciation 97,213,895
------------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $$139,836,758
------------
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
25
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE FISCAL FOR THE FISCAL
YEAR ENDED YEAR ENDED
MAY 31, 1999 MAY 31, 1998
-------------- --------------
<S> <C> <C>
INCREASE IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 7,760,571 $ 2,279,909
Net Realized Gain on Investments and Futures 34,862,292 14,779,999
Net Change in Unrealized Appreciation
(Depreciation) of Investments and Futures
Contracts 97,213,895 29,521,206
-------------- --------------
Net Increase in Net Assets Resulting from
Operations 139,836,758 46,581,114
-------------- --------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS
Contributions 796,144,084 235,373,755
Withdrawals (121,433,323) (44,366,828)
-------------- --------------
Net Increase from Investors' Transactions 674,710,761 191,006,927
-------------- --------------
Total Increase in Net Assets 814,547,519 237,588,041
NET ASSETS
Beginning of Fiscal Year 314,135,937 76,547,896
-------------- --------------
End of Fiscal Year $1,128,683,456 $ 314,135,937
-------------- --------------
-------------- --------------
</TABLE>
- --------------------------------------------------------------------------------
SUPPLEMENTARY DATA
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE PERIOD
DECEMBER 30, 1996
FOR THE FOR THE (COMMENCEMENT OF
FISCAL YEAR ENDED FISCAL YEAR ENDED OPERATIONS) THROUGH
MAY 31, 1999 MAY 31, 1998 MAY 31, 1997
----------------- ----------------- -------------------
<S> <C> <C> <C>
RATIOS TO AVERAGE NET ASSETS
Net Expenses 0.42% 0.45% 0.45%(a)
Net Investment Income 1.18% 1.27% 1.54%(a)
Expenses without Reimbursement 0.42% 0.51% 0.78%
Portfolio Turnover 50.64% 60.59% 20.47%(b)
</TABLE>
- ------------------------
(a) Annualized.
(b) Not Annualized.
The Accompanying Notes are an Integral Part of the Financial Statements.
26
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
MAY 31, 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, diversified, 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 portfolio values securities that are listed on an exchange using
prices supplied daily by an independent pricing service that are based on
the last traded price on a national securities exchange or in the absence
of recorded trades, at the readily available mean of the bid and asked
prices on such exchange, if such exchange or market constitutes the
broadest and most representative market for the security. Securities
listed on a foreign exchange are valued at the last traded price or in the
absence of recorded trades, at the readily available mean of the bid and
asked prices on such exchange available before the time when net assets
are valued. Independent pricing service procedures may also include the
use of prices based on yields or prices of securities of comparable
quality, coupon, maturity and type, indications as to values from dealers,
operating data, and general market conditions. Unlisted securities are
valued at the average of the quoted bid and asked prices in the
over-the-counter market provided by a principal market maker or dealer. If
prices are not supplied by the portfolio's independent pricing service or
principal market maker or dealer, such securities are priced using fair
values in accordance with procedures adopted by the portfolio's Trustees.
All short-term securities with a remaining maturity of sixty days or less
are valued using the amortized cost method.
b) 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.
c) 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.
27
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
MAY 31, 1999
- --------------------------------------------------------------------------------
d) The portfolio incurred organization expenses in the amount of $9,049 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.
e) 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.
f) 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.
g) 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 Guaranty Trust Company of New York ("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 Co. Incorporated ("J.P. Morgan"), and the
terms of the agreement will remain the same. For the fiscal year ended May
31, 1999, such fees amounted to $2,310,525.
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
28
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
MAY 31, 1999
- --------------------------------------------------------------------------------
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. For the fiscal year
ended May 31, 1999, the fee for these services amounted to $9,294.
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.
For the fiscal year ended May 31, 1999, the fee for these services
amounted to $176,331.
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, 1999. This arrangement can be changed or terminated at
any time at the option of J.P.Morgan. For the fiscal year ended May 31,
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 $14,804 for the fiscal year ended May 31, 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 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 $3,100.
29
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
MAY 31, 1999
- --------------------------------------------------------------------------------
3. INVESTMENT TRANSACTIONS
Investment transactions (excluding short-term investments) for the fiscal year
ended May 31, 1999, were as follows:
<TABLE>
<CAPTION>
COST OF PROCEEDS
PURCHASES FROM SALES
- ----------------- ------------
<S> <C>
$981,959,368..... $322,918,515
</TABLE>
Futures Transactions as of May 31, 1999 are summarized as follows:
<TABLE>
<CAPTION>
CURRENT
NET UNREALIZED MARKET VALUE
CONTRACTS LONG DEPRECIATION OF CONTRACTS
-------------- -------------- ------------
<S> <C> <C> <C>
S & P 500, expiring June 1999.................... 95 $(707,558) $30,808,505
-------------- -------------- ------------
-------------- -------------- ------------
</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.
30
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
To the Trustees and Investors of
The Disciplined Equity Portfolio
In our opinion, the accompanying statement of assets and liabilities, including
the schedule of investments, and the related statements of operations and of
changes in net assets and the supplementary data present fairly, in all material
respects, the financial position of The Disciplined Equity Portfolio (the
"portfolio") at May 31, 1999, the results of its operations for the year then
ended, the changes in its net assets for each of the two years in the period
then ended and the supplementary data for each of the two years in the period
then ended and for the period December 30, 1996 (commencement of operations)
through May 31, 1997, in conformity with generally accepted accounting
principles. These financial statements and supplementary data (hereafter
referred to as "financial statements") are the responsibility of the portfolio's
management; our responsibility is to express an opinion on these financial
statements based on our audits. We conducted our audits of these financial
statements in accordance with generally accepted auditing standards which
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, assessing the accounting principles
used and significant estimates made by management, and evaluating the overall
financial statement presentation. We believe that our audits, which included
confirmation of securities at May 31, 1999 by correspondence with the custodian
and brokers, provide a reasonable basis for the opinion expressed above.
PricewaterhouseCoopers LLP
New York, New York
July 14, 1999
31
