<TABLE>
<S> <C> <C> <C> <C> <C>
Shares Value Shares Value
COMMON STOCKS & WARRANTS (99.6%) CONSUMER NON-CYCLICAL
AUSTRALIA (0.8%) 30 Essilor International.......................$9,299
BASIC MATERIALS 120 L'Oreal.................................... 96,187
5,140 North, Ltd...................... $12,123 105,486
1,910 Orica, Ltd....................... 10,302 ENERGY
1,540 Rio Tinto, Ltd.*..................33,106 57 Elf Aquitaine...............................8,776
55,531
ENERGY INDUSTRIAL
3,180 Santos, Ltd....................... 8,670 120 Rexel......................................10,687
1,760 Woodside Petroleum, Ltd...........13,009 180 Saint Gobain.............................. 33,819
21,679 340 Schneider Electric........................ 26,671
INDUSTRIAL 71,177
450 Brambles Industries, Ltd......... 12,454 TECHNOLOGY
3,120 CSR, Ltd...........................7,584 555 Alcatel.................................. 127,343
20,038 120 Cap Gemini.................................30,432
MANUFACTURING 270 Dassault Systemes....................... 17,580
3,210 Broken Hill (The) Proprietary Co., Ltd.. 42,182 292 ST Microelectronics NV.................... 44,901
TOTAL AUSTRALIA.....................139,430 220,256
UTILITIES
BELGIUM (0.1%) 1,000Vivendi....................................90,219
CONSUMER NON-CYCLICAL TOTAL FRANCE.......................... 558,735
290 UCB...................... 12,564
TOTAL BELGIUM............... 12,564 GERMANY (0.6%)
BASIC MATERIALS
CANADA (2.4%) 1,410Bayer AG...................................66,691
BASIC MATERIALS
520 Alcan Aluminium...................21,401 CONSUMER CYCLICAL
810 Barrick Gold Corp.................14,451 120Adidas-Salomon AG..........................8,997
910 Noranda, Inc......................12,232
48,084 CONSUMER NON-CYCLICAL
CONSUMER CYCLICAL 210Beiersdorf AG..............................14,087
180 Magna International, Inc. (Class A)7,670 150Henkel KGaA................................ 9,887
23,974
ENERGY TOTAL GERMANY..............................99,662
370 Alberta Energy Co.................11,536
960 Imperial Oil, Ltd.................20,619 GREECE (0.2%)
940 Petro-Canada*.....................13,319 INDUSTRIAL
290 Suncor Energy, Inc................12,136 220Titan Cement Co........................... 13,113
57,610
INDUSTRIAL UTILITIES
500 Canadian National Railways Co.... 13,234 1,110Hellenic Telecom. Organization SA..........26,262
TOTAL GREECE...............................39,375
TECHNOLOGY
350 Newbridge Networks Corp.*..... 7,893 HONG KONG (0.8%)
2,400 Nortel Networks................242,527 FINANCE
490 Teleglobe, Inc...................11,170 3,497 Henderson Land Development Co............ 22,493
261,590 2,623 Wheelock & Co............................. 2,750
UTILITIES 25,243
380 BCT.Telus Communications....... 9,176 INDUSTRIAL
TOTAL CANADA.......................397,364 5,000Cheung Kong Infrastructure, Ltd.............9,648
FRANCE (3.3%) UTILITIES
BASIC MATERIALS 23,20 Cable and Wireless HKT, Ltd.*............. 67,002
120 Air Liquide......................20,071 5,000 CLP Holdings, Ltd.......................... 23,027
4,000 Hong Kong Electric Holdings, Ltd.*.........12,504
CONSUMER CYCLICAL 102,533
60 Castorama Dubois.................18,235 TOTAL HONG KONG.......................137,424
330 Michelin B.......................12,952
150 Valeo............................42,750
</TABLE>
<PAGE>
<TABLE>
<S> <C> <C> <C> <C> <C>
Shares Value Shares Value
ITALY (2.1%) MANUFACTURING
INDUSTRIAL 1,000Canon Sales Co.......................... $15,466
9,030 Seat - Pagine Gialle SpA............ $29,625
TECHNOLOGY
UTILITIES 200Advantest Corp.............................. 52,858
1,560 Edison Co.............................. 12,779 2,000Canon, Inc.................................. 79,483
13,330 Telecom Italia Mobile................. 148,768 500 Fanuc, Ltd...................................63,675
9,840 Telecom Italia ORD.....................138,635 100 Keyence Corp.................................40,623
4,670 Telecom Italia RNC......................28,433 1,000 Omron Corp.................................. 23,052
328,615 1,000 Tokyo Electron, Ltd. ......................137,040
TOTAL ITALY .................... 358,240 396,731
TOTAL JAPAN .............................1,670,775
JAPAN (9.9%)
BASIC MATERIALS MEXICO (0.2%)
3,000 Asahi Chemical Industry Co..... 15,417 INDUSTRIAL
1,590Apasco, SA................................... 9,901
CONSUMER CYCLICAL
1,000 Bridgestone Corp................ 22,024 CONSUMER NON-CYCLICAL
1,000 Daiwa House Industry Co...........7,439 5,070Kimberley Clark de Mexico, SA Series 'A'.... 19,798
2,000 Denso Corp...................... 47,768 TOTAL MEXICO.................................29,699
2,000 Honda Motor......................74,393
1,000 Kokuyo Co........................13,312 NETHERLANDS (1.9%)
1,000 Onward Kashiyama Co..............13,704 BASIC MATERIALS
2,000 Sekisui House, Ltd...............17,717 610Akzo Nobel NV................................30,571
1,000 Toyoda Automatic Loom Works, Ltd.20,899 550Buhrmann NV*..................................8,275
7,000 Toyota Motor....................339,174 38,846
550 Toyota Motor ADR............... 53,556 CONSUMER NON-CYCLICAL
1,000 Wacoal Corp.......................8,800 950TNT Post Groep*............................ 27,199
618,786
CONSUMER NON-CYCLICAL ENERGY
1,000 Ajinomoto Co.....................10,425 3,890Royal Dutch Petroleum........................238,210
1,000 Banyu Pharmaceutical Co...... 15,515
1,000 Daiichi Pharmaceutical Corp......13,009 TECHNOLOGY
1,000 Eisai Co.........................19,235 111Koninklijke Philips Electronics NV...........15,080
1,000 Fujisawa Pharmaceutical Co.......24,276 TOTAL NETHERLANDS.......................... 319,335
1,000 Kao Corp.........................28,534
2,000 Kyowa Hakko Kogyo Co.............12,001 NEW ZEALAND (0.1%)
1,000 Shiseido Co......................14,585 BASIC MATERIALS
1,000 Taisho Pharmaceutical Co.........29,366 8,690Carter Holt Harvey, Ltd......................11,351
2,000 Takeda Chemical Industries, Ltd..98,865 TOTAL NEW ZEALAND............................11,351
1,000 Yamanouchi Pharmaceutical Co,Ltd 34,945
300,756 NORWAY (0.3%)
ENERGY BASIC MATERIALS
13,000 General Sekiyu KK........ 29,141 340 Norske Skogsindustrier Free................. 17,748
2,000 Tonen Corp....................... 11,785
40,926 MANUFACTURING
INDUSTRIAL 820Norsk Hydro A/S...............................34,305
2,000 Dai Nippon Printing Co........... 1,911 TOTAL NORWAY.................................52,053
1,000 Ebara Corp...................... 11,159
2,000 Fukuyama Transporting Co....... 14,389 PORTUGAL (0.1%)
100 Hirose Electric Co.................22,426 UTILITIES
5,000 Ishikawajima-Harima Heavy Industries 5,775 600 Telecel Comunicacoes Pessoasis SA.......... 10,452
1,000 Kandenko Co........................ 5,256 TOTAL PORTUGAL.............................. 10,452
1,000 Kinden Corp........................ 7,684
2,000 Komatsu, Ltd........................9,201 SINGAPORE (0.4%)
1,000 Komori Co......................... 19,078 UTILITIES
100 Mabuchi Motor Co...................17,453 30,043 Singapore Telecommunications................ 62,052
1,000 Matsushita Electric Works, Ltd......9,886 TOTAL SINGAPORE............................. 62,052
1,000 Mori Seiki Co......................13,410
3,000 Nippon Express Co................. 16,592 SPAIN (0.4%)
100 SMC Corp.......................... 22,132 ENERGY
1,000 Sumitomo Electric Industries, Ltd..11,560 1,500Petroleos....................................14,748
2,000 Toppan Printing Co.................19,969
1,000 Toto, Ltd...........................6,049 INDUSTRIAL
1,000 Yamato Transport Co................38,763 1,120Autopistas Conces. Esp., S.A. (ACESA)........10,877
282,693
</TABLE>
<PAGE>
<TABLE>
<S> <C> <C> <C> <C>
Shares Value Shares Value
SPAIN (continued) INDUSTRIAL
UTILITIES 1,780Blue Circle Industries, Plc............... $10,346
1,810 Undesa SA............................. $35,902 1,730Hays Group..................................27,560
TOTAL SPAIN......................... 61,527 7,280Invensys, Plc...............................39,639
1,040Railtrack Group. ..........................17,475
SOUTH AFRICA (0.4%) 650RMC Group, Plc.............................. 8,927
BASIC MATERIALS 1,320TI Group, Plc...............................10,130
470 Anglo American Platinum Holdings... 14,279 114,077
240 Anglogold, Ltd......................12,345 UTILITIES
940 De Beers Consd/De Beers Centenary. 27,337 1,101 British Energy........................ 6,315
53,961 1,230 British Energy, Plc. (Class A)............. 1,073
ENERGY 11,950 British Telecommunications.................292,124
1,710 Sasol........................... 14,419 1,260 Powergen................................... 9,059
TOTAL SOUTH AFRICA.....................68,380 910 Severn Trent, Plc........................... 9,042
940 Thames Water, Plc...........................11,725
SWEDEN (0.6%) 329,338
BASIC MATERIALS TOTAL UNITED KINGDOM.....................1,322,531
500 Assi Doman........................ 8,144
370 Mo Och Domsjo Ab 'b'.............. 13,359 UNITED STATES (66.5%)
500 Svenska Cellulosa AB 'B'...........14,818 BASIC MATERIALS
36,321 640ALCOA, Inc................................ 53,120
CONSUMER CYCLICAL 240Allegheny Technologies, Inc..................5,385
1,260 Hennes & Mauritz Ab 'b'............42,232 220Avery Dennison Corp.........................16,033
380Dow Chemical Co.............................50,777
INDUSTRIAL 1,910Du Pont (E.I.) De Nemours & Co.............125,821
470 Sandvik AB 'A'....................14,731 190 Eastman Chemical Co..........................9,061
250 Ecolab Inc...................................9,781
UTILITIES 360 Engelhard Corp.............................. 6,795
900 Europolitan Holdings AB.......... 15,877 730 International Paper Co..................... 41,199
TOTAL SWEDEN........................ 109,161 220 Mead Corp., The............................ 9,556
190 Nucor Corp..................................10,414
SWITZERLAND (0.1%) 130 Phelps Dodge Corp............................8,726
BASIC MATERIALS 150 Reynolds Metals Co..........................11,494
220 Ciba Specialty Chemicals Holding, Inc..16,096 400 Rohm & Haas Co............................. 16,275
TOTAL SWITZERLAND.........................16,096 240 Sigma-Aldrich Corp.......................... 7,215
68 Teledyne Technologies, Inc.*.................. 642
TAIWAN (0.5%) 270 Union Carbide Corp........................ 18,023
TECHNOLOGY 300 USX-US Steel Group........................ 9,900
1,733 Asustek Computer, Inc................. 18,277 24 Water Pik Technologies, Inc.*..................230
1,851 Hon Hai Precision Industry Co., Ltd.*..13,801 140Weyerhaeuser Co.............................10,054
8,211 Taiwan Semiconductor Manufacturing Co.*43,691 420,501
75,769 CONSUMER CYCLICAL
TOTAL TAIWAN ............................75,769 310Autozone, Inc.* ...........................10,017
260Bed Bath & Beyond, Inc.* .................. 9,035
UNITED KINGDOM (7.9%) 490Cardinal Health, Inc........................23,459
BASIC MATERIALS 560Circuit City Stores, Inc....................25,235
920 BOC Group, Plc.........................19,770 1,910Delphi Automotive Systems Corp............. 30,083
200Dow Jones & Co..............................13,600
CONSUMER CYCLICAL 390Federated Department Stores, Inc.*..........19,719
1,640 Boots Co.............................. 15,951 330Goodyear Tire & Rubber Co................... 9,302
4,108Home Depot, Inc........................... 281,655
CONSUMER NON-CYCLICAL 190Johnson Controls, Inc.......................10,806
3,330 AstraZeneca Group, Plc................138,166 230Jones Apparel Group, Inc.*.................. 6,239
3,460 Smith & Nephew Associated Cos.*........11,628 290Kohl's Corp.*...............................20,934
10,260 Smithkline Beecham........... 130,959 170Lear Corp*...................................5,440
280,753 450Leggett & Platt, Inc.........................9,647
ENERGY 390Limited Inc., The...........................16,892
40,750 BP Amoco................................409,853 660Lowe's Companies............................39,435
18,380 Shell Transport & Trading Co............152,789 180Maytag Corp..................................8,640
562,642 520McKesson HBOC, Inc..........................11,733
</TABLE>
<PAGE>
<TABLE>
<S> <C> <C> <C> <C>
Shares Value Shares Value
CONSUMER CYCLICAL (continued) INDUSTRIAL (continued)
510 Nike, Inc. (Class B).................$25,277 130 DST Systems, Inc.*......................... $9,921
280 Nordstrom, Inc.........................7,333 320 Dun & Bradstreet Corp........................9,440
700 Office Depot, Inc.*....................7,656 840 Electronic Data Systems Corp................56,227
810 Staples, Inc.*....................... 16,808 760 Emerson Electric Co.........................43,605
360 Starbucks Corp.*.......................8,730 540 FDX Corp.*..................................22,106
340 Tandy Corp............................16,724 750 First Data Corp............................ 36,984
570 TJX Cos...............................11,649 250 Fiserv, Inc.*................................9,578
500 Toys R Us, Inc.*.......................7,156 190 Fluor Corp...................................8,716
280 VF Corp................................8,400 200 Galileo International, Inc...................5,988
170 Whirlpool Corp........................11,061 75 Gartner Group, Inc...........................1,036
120,794 200Grainger (W.W.), Inc....................... .9,563
CONSUMER NON-CYCLICAL 950Honeywell International, Inc.*............ 54,803
2,570 Abbott Laboratories.................. 93,323 440Illinois Tool Works, Inc....................29,728
2,220 American Home Products Corp...........87,551 580Ims Health, Inc.............................15,769
1,260 Archer-Daniels-Midland Co.............15,356 320Ingersoll-Rand Co...........................17,620
460 Avon Products, Inc................... 15,180 310Ingram Micro, Inc. (Class A)*.............. .4,069
520 Baxter International, Inc.............32,663 240Lafarge Corp.................................6,630
480 Becton, Dickinson & Co............... 12,840 670Masco Corp..................................17,001
200 Block (H.& R.), Inc....................8,750 240Parker Hannifin Corp........................12,315
3,350 Bristol-Myers Squibb Co..............215,028 450Paychex, Inc................................18,000
4,180 Coca-Cola Co., The.................. 243,485 350PPG Industries, Inc.........................21,897
2,260 Johnson & Johnson................... 210,462 230Quintiles Transnational Corp.*...............4,298
920 Kimberly-Clark Corp.................. 60,030 160 Sealed Air Corp.*.......................... 8,290
1,880 Lilly (Eli) & Co.................... 125,020 380Sherwin-Williams Co......................... 7,980
4,000 Merck & Co...........................268,250 755Solectron Corp.*.......................... 71,819
510 Newell Rubbermaid, Inc................14,790 250Stanley Works................................7,531
2,520 PepsiCo, Inc..........................88,830 240SunGard Data Systems, Inc.*..................5,700
9,260 Pfizer, Inc..........................300,371 2,800Tyco International, Ltd....................108,850
2,230 Procter & Gamble Co................. 244,324 450Union Pacific Corp..........................19,631
2,500 Schering-Plough Corp.................105,469 160USG Corp.....................................7,540
370 United Healthcare Corp................19,656 220Vulcan Materials Co..........................8,786
1,400 Warner-Lambert Co....................114,712 673,154
170 Wrigley (Wm.) Jr. Co..................14,099 TECHNOLOGY
2,290,189 670 3Com Corp.*.................................31,490
ENERGY 360 Altera Corp.*...............................17,843
200 Amerada Hess Corp.................... 11,350 1,760Amgen, Inc.*...............................105,710
230 Ashland, Inc...........................7,576 650Applied Materials, Inc.*....................82,347
560 Atlantic Richfield Co.................48,440 270Biogen, Inc.*.............................. 22,815
680 Baker Hughes, Inc.................. 14,323 230Biomet, Inc..................................9,200
370 Burlington Resources, Inc.............12,233 420BMC Software, Inc.*.........................33,574
1,110 Chevron Corp..........................96,154 6,089Cisco Systems, Inc.*........................652,284
370 Diamond Offshore Drilling, Inc........11,308 2,940Compaq Computer Corp.........................79,564
460 El Paso Energy Corp...................17,854 660Compuware Corp.*.............................24,585
5,852 Exxon Mobil Corp.....................471,452 680Corning, Inc.................................87,677
850 Halliburton Co........................34,213 4,330Dell Computer Corp.*........................220,830
200 Kerr-Mcgee Corp...................... 12,400 150Eaton Corp...................................10,894
490 Phillips Petroleum Co............... 23,030 580Gateway, Inc.*...............................41,796
1,000 Schlumberger, Ltd.....................56,250 530Guidant Corp.*...............................24,910
950 Texaco, Inc...........................51,597 1,730Hewlett-Packard Co......................... 197,112
360 Tosco Corp.............................9,788 6,111Intel Corp..................................503,012
504 Transocean Sedco Forex, Inc...........16,979 280Linear Technology Corp.......................20,038
580 USX-Marathon Group....................14,319 5,582Lucent Technologies, Inc................... 417,603
909,266 500Maxim Integrated Products, Inc.*.............23,594
INDUSTRIAL 2,000Medtronic, Inc...............................72,875
390 American Power Conversion Corp.*......10,286 9,206Microsoft Corp.*..........................1,074,800
880 Burlington Northern Santa Fe Corp.....21,340 690Minnesota Mining & Manufacturing Co..........67,534
230 Cintas Corp.*.........................12,219 1,252 Motorola, Inc............................. 184,357
290 Computer Sciences Corp.*..............27,441 630Novell, Inc.*................................25,161
220 Cooper Industries, Inc.................8,896 2,480Oracle Systems Corp.*.......................277,915
430 CSX Corp..............................13,491 200PE Corp.-PE Biosystems Group................ 24,063
260 Danaher Corp..........................12,545 510Peoplesoft, Inc.*............................10,869
440 Dover Corp........................... 19,965 790Rockwell International Corp..................37,821
</TABLE>
<PAGE>
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
Shares Value Shares Value
TECHNOLOGY (continued) UTILITIES (continued)
190 Stryker Corp......................$13,229 630Duke Energy Corp............................$31,579
3,722 Sun Microsystems, Inc.*...........288,222 1,200Enron Corp...................................53,250
680 Tellabs, Inc.*.....................43,648 320FPL Group, Inc...............................13,700
830 United Technologies Corp...........53,950 310 KeySpan Corp..................................7,188
399,049 4,770 MCI Worldcom, Inc.*.........................253,108
UTILITIES 400 Northern States Power Co. (Minnesota).........7,800
280 Ameren Corp.........................9,170 320 PP&L Resources, Inc...........................7,320
5,410 AT&T Corp.........................274,557 5,764 SBC Communications..........................280,995
3,210 BellSouth Corp....................150,268 530 Sempra Energy.................................9,209
160 Columbia Energy Group.............10,120 790 Sprint Corp (PCS Group)......................80,975
400 Consolidated Edison, Inc..........13,800 1,530 Sprint Corp. (FON Corp.)....................102,988
190 Consolidated Natural Gas Co.......12,338 410 Unicom Corp..................................13,735
630 Duke Energy Corp..................31,579 861,847
TOTAL UNITED STATES ....................11,193,647
TOTAL COMMON STOCKS
& WARRANTS .............................16,745,622
TOTAL INVESTMENTS (identified cost $14,904,463).....99.6% 16,745,622
CASH AND OTHER ASSETS IN EXCESS OF LIABILITIES.......0.4 69,326
NET ASSETS.........................................100.0% $16,814,948
<FN>
* non-income producing security
** The aggregate cost for federal income tax purposes is $14,904,463. The
aggregate gross unrealized appreciation is $2,704,425, and the aggregate
gross unrealized depreciation is $863,266 resulting in net unrealized
appreciation of $1,841,159.
</FN>
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
DOW JONES ISLAMIC MARKET INDEX PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
December 31, 1999
(expressed in U.S. dollars)
<S> <C> <C>
ASSETS:
Investments in securities, at value (identified cost $14,904,463) (Note 1) $ 16,745,622
Cash (including $6,565 in foreign currency) ..................................................99,948
Receivables for dividends ............................................................... 16,201
Total Assets .............................................................16,861,771
LIABILITIES:
Payables for:
Expense reimbursement fee (Note 2) .......................................... 43,410
Foreign withholding taxes .............................................................3,413
Total Liabilities ........................................................... 46,823
NET ASSETS $ 16,814,948
Net Assets Consist of:
Paid-in capital .................................................................$ 14,973,734
Net unrealized appreciation............................................................... 1,841,214
Net Assets ..............................................................................$ 16,814,948
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
DOW JONES ISLAMIC MARKET INDEX PORTFOLIO
STATEMENT OF OPERATIONS
For the period July 1, 1999 (commencement of operations) to December 31, 1999
(expressed in U.S. dollars)
<S> <C> <C>
INVESTMENT INCOME:
Income:
Dividends (net of foreign withholding tax of $21,221) ................. $ 71,791
Total Income ................................................................71,791
Expenses:
Expense reimbursement fee (Note 2) ................................................ 43,410
Total Expenses ..............................................................43,410
Net Investment Income ......................................................28,381
NET REALIZED AND UNREALIZED GAIN (LOSS) (Notes 1 and 3):
Net realized gain on investments and foreign exchange transactions ........................(54,847)
Net change in unrealized appreciation on investments and foreign
currency translations ......................................................... 1,841,214
Net Realized and Unrealized Gain ................................................ 1,786,367
Net Increase in Net Assets Resulting from Operations............................$ 1,814,748
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
DOW JONES ISLAMIC MARKET INDEX PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
(expressed in U.S. dollars)
<S> <C> <C>
For the period July 1, 1999
(commencement of operations) to December 31, 1999
Operations:
Net investment income............................................$ 28,381
Net realized (loss) on investments and foreign
exchange transactions ..........................................(54,847)
Net change in unrealized appreciation on
investments and foreign currency translations.................1,841,214
Net increase in net assets resulting from operations..........1,814,748
Capital Transactions:
Proceeds from contributions ........................................ 15,000,200
Value of withdrawals ............................................... -
Net increase in net assets resulting from
capital transactions ................................15,000,200
Total increase in net assets........................ 16,814,948
NET ASSETS:
Beginning of period .......................................................... -
End of period .......................................................... $ 16,814,948
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
DOW JONES ISLAMIC MARKET INDEX PORTFOLIO
FINANCIAL HIGHLIGHTS
Selected per share data and ratios for a share
outstanding throughout each period
(expressed in U.S. dollars)
<S> <C> <C>
For the period July 1, 1999
(commencement of operations) to December 31, 1999
Net assets, end of period (000's omitted)...............................$ 16,815
Expenses as a percentage of average net assets.......................... 0.57% (1)(2)
Ratio of net investment income to average net assets............................. 0.37% (1)
Portfolio turnover rate..............................................................7%
<FN>
(1) Had the expense reimbursement agreement not been in place, the ratio of
expenses to average net assets would be as follows:
Ratio of expenses to average net assets(2)...............................1.66%
(2) Annualized.
</FN>
</TABLE>
<PAGE>
1. Organization and Significant Accounting Policies. Dow Jones Islamic
Market Index Portfolio (the "Portfolio") was organized as a trust under the laws
of the State of New York on March 5, 1999. The Portfolio commenced operations on
July 1, 1999. The Declaration of Trust permits the Trustees to create an
unlimited number of beneficial interests in the Portfolio.
The Portfolio's financial statements are prepared in accordance with
accounting principles generally accepted in the United States of America, which
require management to make certain estimates and assumptions at the date of the
financial statements and are based, in part, on the following accounting
policies. Actual results could differ from those estimates.
A. Valuation of Investments. (1) The value of investments
listed on either a domestic or foreign securities exchange is based on
the last sale price on that exchange prior to the time when assets are
valued, or in the absence of recorded sales, at the average of readily
available closing bid and asked prices on such exchange; (2) unlisted
securities are valued at the average of the quoted bid and asked prices
in the over-the-counter market; (3) securities or other assets for
which market quotations are not readily available are valued at fair
value in accordance with procedures established by and under the
general supervision and responsibility of 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 the value from
dealers; and general market conditions; (4) all assets and liabilities
initially expressed in foreign currencies will be converted into U.S.
dollars at the prevailing rates of exchange available at the time of
valuation; and (5) trading in securities on most foreign exchanges and
over-the-counter markets is normally completed before the close of the
New York Stock Exchange and may also take place on days on which the
New York Stock Exchange is closed. If events materially affecting the
value of foreign securities occur between the time when the exchange on
which they are traded closes and the time when the Portfolio's net
assets are calculated, such securities will be valued at fair value in
accordance with procedures established by and under the general
supervision of the Portfolio's Trustees.
B. Foreign Currency Translations. The accounting records of
the Portfolio are maintained in U.S. dollars. Foreign currency amounts
are translated into U.S. dollars at the current rate of exchange of
such currency against the U.S. dollar to determine the value of
investments, assets and liabilities. Purchases and sales of securities,
and income and expenses are translated at the prevailing rate of
exchange on the respective dates of such transactions. The Portfolio
does not isolate that portion of realized gain or loss on investments
resulting from changes in foreign exchange rates on investments from
the fluctuations arising from changes in market prices of such
investments. Reported net realized and unrealized gains and losses
arise from the sales of portfolio securities, sales of foreign
currencies, currency gains or losses realized between the trade and
settlement dates on securities transactions, and the difference between
the amounts of dividends, interest and foreign withholding taxes
recorded on the Portfolio's books and the U.S. dollar equivalent of the
amounts actually received or paid. Net unrealized appreciation or
depreciation on foreign currency translations arise from changes in the
value of the assets and liabilities, excluding investments in
securities, at fiscal year end, arising from changes in the exchange
rate.
C. Accounting for Investments. Security transactions are
accounted for on the trade date. Realized gains and losses on security
transactions are determined on the identified cost method. Dividend
income and other distributions from portfolio securities are recorded
on the ex-dividend date. Dividend income is recorded net of foreign
taxes withheld where recovery of such taxes is not assured.
D. Federal Income Taxes. The Portfolio will be treated as a
partnership for federal income tax purposes. As such, each investor in
the Portfolio will be subject to taxation 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 comply with the provisions of the
Internal Revenue Code applicable to regulated investment companies.
Accordingly, no provision for federal income taxes is necessary.
2. Transactions with Affiliates.
Investment Management and Advisory Fee. The Portfolio has an investment
management agreement with Brown Brothers Harriman & Co. (the "Manager") and an
investment advisory agreement with Wafra Investment Advisory Group, Inc. (the
"Adviser"). The Manager and the Adviser jointly receive from the portfolio
calculated daily and paid monthly at an annual rate equivalent to 0.40% of the
Portfolio's average daily net assets.
Administrative Fee. The Portfolio has an administrative agreement with
Brown Brothers Harriman Trust Company (Cayman) Limited (the "Administrator") for
which it pays the Administrator a fee calculated daily and paid monthly at an
annual rate equivalent to 0.05% of the Portfolio's average daily net assets that
are not in excess of $50 million and at an annual rate equivalent to 0.01% on
the Portfolio's average daily net assets in excess of $50 million.
Custody Fee. The Portfolio has a custody agreement with Brown Brothers
Harriman & Co. (the "Custodian") for which it pays a fee for custodial services
as agreed to from time to time by the Trustee and the Custodian. This fee is
calculated and paid monthly.
Expense Reimbursement Fee. Brown Brothers Harriman Trust Company
(Cayman) Limited pays certain expenses of the Portfolio and receives a fee from
the Portfolio, computed and paid monthly, such that after such fee the aggregate
expenses will not exceed 0.57% of the Portfolio's average daily net assets. For
the period July 1, 1999 (commencement of operations) to December 31, 1999, Brown
Brothers Harriman Trust Company (Cayman) Limited incurred $127,202, including
$30,655 in investment management/advisory fees, $10,000 in administration fees
and $44,667 in custody fees, in expenses on behalf of the Portfolio.
3. Investment Transactions. For the period July 1, 1999 (commencement
of operations) to December 31, 1999, the cost of purchases and the proceeds of
sales of investment securities other than short-term investments were
$20,874,569 and $1,010,202, respectively.
4. Impure Dividends. Dividends received by the Portfolio may comprise
of an amount which is attributable, for Islamic Shari'ah purposes, to interest
income. For the period July 1, 1999 (commencement of operations) to December 31,
1999, the Portfolio earned $2,736 of dividend income which is considered impure
by Dow Jones' Shari'ah Supervisory Board.
<PAGE>
INDEPENDENT AUDITORS' REPORT
Trustees and Investors
Dow Jones Islamic Market Index Portfolio:
We have audited the accompanying statement of assets and liabilities, including
the portfolio of investments, of Dow Jones Islamic Market Index Portfolio (the
"Portfolio") as of December 31, 1999, and the related statement of operations
for the period July 1, 1999 (commencement of operations) through December 31,
1999, the statement of changes in net assets for the period July 1, 1999 through
December 31, 1999 and the financial highlights for the period July 1, 1999
through December 31, 1999 (all expressed in U.S. dollars). These financial
statements and financial highlights are the responsibility of the Portfolio's
management. Our responsibility is to express an opinion on these financial
statements and financial highlights based on our audit.
We conducted our audit in accordance with auditing standards generally accepted
in the United States of America. Those standards require that we plan and
perform the audit to obtain reasonable assurance about whether the financial
statements and financial highlights are free of material misstatement. An audit
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements. Our procedures included confirmation of
securities owned at December 31, 1999 by correspondence with the custodian. An
audit also includes assessing the accounting principles used and significant
estimates made by management, as well as evaluating the overall financial
statement presentation. We believe that our audit provides a reasonable basis
for our opinion.
In our opinion, such financial statements and financial highlights present
fairly, in all material respects, the financial position of Dow Jones Islamic
Market Index Portfolio at December 31, 1999, the results of its operations, the
changes in its net assets, and its financial highlights for the respective
stated period in conformity with accounting principles generally accepted in the
United States of America.
Deloitte & Touche LLP
Boston, Massachusetts
February 25, 2000
