THE NON-U.S. EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED)
APRIL 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION SHARES VALUE
- --------------------------------------------------------------------------- ----------- ------------
<S> <C> <C>
COMMON STOCKS (89.1%)
AUSTRALIA (1.6%)
Broken Hill Proprietary Co. Ltd. (Energy Sources)........................ 221,105 $ 3,405,694
CRA Ltd. (Metals, Materials & Paper)..................................... 69,700 1,131,137
CSR Ltd. (Multi-Industry)................................................ 217,000 783,150
National Australia Bank Ltd. (Banking)................................... 211,405 1,898,253
News Corporation Ltd. (Publishing)....................................... 280,630 1,646,060
North Broken Hill Peko Ltd. (Metals, Materials & Paper).................. 211,500 636,915
Rothmans Holdings Ltd. (Beverages & Tobacco)............................. 95,000 461,620
Santos Ltd. (Energy Sources)............................................. 164,000 585,426
Southcorp Holdings Ltd. (Food & Household Products)...................... 651,800 1,773,222
TNT Ltd. (Transportation) (A)............................................ 511,700 679,947
Western Mining Corp. Holdings Ltd. (Metals & Mining)..................... 127,100 927,398
------------
13,928,822
------------
BELGIUM (0.9%)
Arbed NPV (Metal, Materials & Paper) (A)................................. 4,300 468,014
Banque Bruxelles Lambert (Banking)....................................... 2,800 527,766
Electrabel NPV (Utilities)............................................... 4,835 1,083,173
Fortis AG NPV (Insurance)................................................ 5,900 732,024
Generale De Banque SA (Banking).......................................... 4,200 1,479,343
Petrofina SA NPV (Energy Sources)........................................ 3,800 1,122,612
Solvay and Cie Ord NPV (Chemicals)....................................... 2,100 1,237,784
Tractebel Capital NPV (Multi-Industry)................................... 3,200 1,299,740
------------
7,950,456
------------
FRANCE (10.7%)
Air Liquide (Chemicals).................................................. 19,290 3,498,717
Alcatel Alsthom (Electrical & Electronics)............................... 36,893 3,463,309
AXA (Multi-Industry)..................................................... 47,227 2,808,737
Banque Nationale de Paris (Banking)...................................... 38,800 1,617,313
Bouygues (Engineering & Construction).................................... 21,287 2,158,663
Carrefour Supermarkets (Merchandising)................................... 4,440 3,463,062
Castorama Dubois Investissments (Merchandising).......................... 8,630 1,648,611
Cetelem (Financial Services)............................................. 7,700 1,649,428
Chargeurs (Leisure & Tourism)............................................ 3,900 1,035,806
Christian Dior SA (Retail)............................................... 24,175 3,217,338
Compagnie Financiere de Cic Union Europ Certe de Invest (Banking)........ 14,777 1,027,542
Compagnie Financiere de St. Gobain (Glass & Packaging)................... 21,065 2,518,623
Compagnie Generale des Eaux (Utilities).................................. 43,139 4,682,927
Credit Commercial de France (Financial Services)......................... 36,400 1,820,306
Credit Local de France (Financial Services).............................. 15,000 1,182,412
Erid Beghin Say (Insurance).............................................. 7,900 1,286,369
Essilor International (Health & Personal Care)........................... 8,382 2,117,710
Groupe Danone (Food Processing).......................................... 29,419 4,438,027
Havas (Business & Public Services)....................................... 13,000 1,471,472
Lafarge Coppe SA (Building Materials).................................... 19,848 1,268,983
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
18
<PAGE>
THE NON-U.S. EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION SHARES VALUE
- --------------------------------------------------------------------------- ----------- ------------
FRANCE (CONTINUED)
<S> <C> <C>
LaGardere Groupe (Leisure & Tourism)..................................... 69,480 $ 1,861,432
Peugeot SA (Automotive).................................................. 12,250 1,708,379
Pinault Printemps Redouto (Building Materials)........................... 7,410 2,245,702
Promodes (Merchandising)................................................. 12,560 3,602,692
Renault SA (Automotive).................................................. 57,820 1,750,081
Rhone Poulenc SA, Class A (Chemicals).................................... 92,804 2,222,795
Roussel Uclaf (Pharmaceuticals).......................................... 4,536 1,067,164
Sanofi (Pharmaceuticals)................................................. 32,780 2,640,317
Schneider (Technology)................................................... 34,300 1,595,371
Seb AG (Food & Household Products)....................................... 5,000 840,234
SEITA (Beverages & Tobacco).............................................. 79,900 3,071,220
SGS -- Thomson Microelectronics N.V. (Electrical & Electronics) (A)...... 30,000 1,427,818
Sidel (Technology)....................................................... 7,200 1,710,601
Sita (Telecommunications)................................................ 4,300 930,245
Societe Generale (Banking)............................................... 18,458 2,139,178
Societe Nationale Elf Aquitaine (Energy Sources)......................... 71,053 5,274,288
Sommer-Allibert (Building Materials)..................................... 2,260 644,326
Synthelabo (Health & Personal Care)...................................... 24,365 1,897,100
Television Francaise (Broadcasting & Publishing)......................... 14,480 1,566,274
Total SA, Class B (Energy Sources)....................................... 74,015 5,013,794
Union Assurance Federal (Insurance)...................................... 17,880 2,168,893
Usinor Sacilor (Metals, Materials & Paper) (A)........................... 97,800 1,510,318
Valeo (Automotive)....................................................... 21,700 1,202,126
------------
94,465,703
------------
GERMANY (8.1%)
Allianz Holdings AG (Insurance).......................................... 2,256 3,869,059
Ava Allgemeine Handels-Der Verbr (Merchandising)......................... 4,790 1,180,695
Bank Gesellschaft Berlin AG (Banking).................................... 4,600 943,385
BASF AG (Chemicals)...................................................... 9,900 2,698,498
Bayer AG (Chemicals)..................................................... 22,505 7,234,966
Beiersdorf AG (Health & Personal Care)................................... 2,613 2,198,061
Bilfinger & Berger Bau AG (Construction & Housing)....................... 6,125 2,314,569
Colonia Konzern AG (Insurance)........................................... 1,545 1,057,860
Continental AG (Industrial Components)................................... 140,570 2,424,537
Daimler-Benz AG (Automobiles)............................................ 5,308 2,902,315
Deutsche Bank AG (Banking) (A)........................................... 89,900 4,301,191
Deutsche Pfandbrief Und Hypotheken Bank (Banking)........................ 65,500 2,229,576
Douglas Holding AG (Retail).............................................. 19,000 628,163
Dresdner Bank AG (Banking)............................................... 114,600 2,878,601
Henkel KGAA (Chemicals).................................................. 5,200 1,990,453
Karstadt AG (Merchandising).............................................. 600 223,721
Lufthansa AG (Transportation)............................................ 10,670 1,689,366
Man AG (Machinery & Engineering)......................................... 5,445 1,453,283
Mannesmann AG (Machinery & Engineering).................................. 4,385 1,495,484
Munchener Ruckversicherungs (Insurance).................................. 2,792 5,061,401
Rheinisch Westfalisches Elekt AG (Utilities)............................. 55,000 2,137,566
SAP AG (Computer Software)............................................... 3,300 427,155
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
19
<PAGE>
THE NON-U.S. EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION SHARES VALUE
- --------------------------------------------------------------------------- ----------- ------------
GERMANY (CONTINUED)
<S> <C> <C>
Siemens AG (Electrical & Electronics).................................... 14,865 $ 8,125,965
Thyssen AG (Metals, Materials & Paper)................................... 14,400 2,605,770
Veba AG (Energy Sources)................................................. 81,950 4,066,719
Volkswagen AG (Automotive)............................................... 14,780 5,093,660
------------
71,232,019
------------
HONG KONG (2.8%)
Cheung Kong Holdings (Building & Contractors)............................ 218,000 1,557,095
Henderson Land Development Co. (Building & Contractors).................. 600,000 4,304,974
Hong Kong Electric Holdings Ltd. (Utilities)............................. 703,500 2,237,306
Hong Kong Telecommunications Ltd. (Telecommunications)................... 1,583,200 3,018,937
HSBC Holdings PLC (Banking).............................................. 213,200 3,183,431
Hutchison Whampoa Ltd. (Multi-Industry).................................. 353,000 2,190,495
New World Development Co. Ltd. (Real Estate)............................. 110,000 493,456
Sing Tao Holdings (Broadcasting & Publishing)............................ 1,218,000 720,385
Sun Hung Kai Properties Ltd. (Real Estate)............................... 186,000 1,773,378
Swire Pacific Ltd. (Transportation)...................................... 387,500 3,306,297
Television Broadcasts Ltd. (Broadcasting & Publishing)................... 452,000 1,811,450
Tingyi Cayman Island Holdings (Food Processing) (A)...................... 1,310,000 364,113
------------
24,961,317
------------
IRELAND (0.3%)
Allied Irish Banks PLC (Banking)......................................... 53,000 275,581
Bank of Ireland (Banking)................................................ 150,000 1,080,282
CRH (Building & Contractors)............................................. 51,000 457,537
Irish Life (Insurance)................................................... 140,000 543,245
Smurfit (Jefferson) Group (Metals, Material & Paper)..................... 235,000 632,842
------------
2,989,487
------------
ITALY (0.8%)
Assicurazioni Generali SPA (Insurance)................................... 86,000 2,140,981
Ente Nazionale Idrocarburi SPA (Energy Sources) (A)...................... 136,00 586,745
Fiat SPA (Automotive) (A)................................................ 483,000 1,643,894
Istituto Mobiliare Italiano (Banking) (A)................................ 172,00 1,363,192
Telekom Italia SPA (Telecommunications).................................. 669,00 1,361,892
------------
7,096,704
------------
JAPAN (38.3%)
Achilles Corp. (Tire and Rubber)......................................... 170,000 766,003
Aichi Corp. (Machinery & Engineering).................................... 90,000 1,022,420
Alps Electric Co. Ltd. (Technology)...................................... 105,000 1,232,918
Asahi Bank Ltd. (Banking)................................................ 581,000 7,487,721
Asahi Glass Co. Ltd. (Metals, Materials & Paper)......................... 130,000 1,576,111
Asatsu Inc. (Commerical Services)........................................ 25,000 1,097,836
Bank of Kyoto (Banking).................................................. 102,000 688,429
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
20
<PAGE>
THE NON-U.S. EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION SHARES VALUE
- --------------------------------------------------------------------------- ----------- ------------
JAPAN (CONTINUED)
<S> <C> <C>
Bridgestone Corp. (Metals, Material & Paper)............................. 45,000 $ 833,401
Canon Sales Co. Ltd. (Transport & Trade Services)........................ 85,000 2,377,532
Chugai Pharmaceutical Co. (Health & Personal Care)....................... 218,000 2,122,738
Chuo Trust & Banking Co. (Banking)....................................... 200,000 2,004,745
Cosmo Oil Company Ltd. (Energy Sources).................................. 600,000 3,923,572
Daido Steel Co. (Metals, Materials & Paper).............................. 500,000 2,758,910
Daiei Inc. (Retail)...................................................... 300,000 4,066,768
Dai Ichi Kangyo Bank Ltd. (Banking)...................................... 380,000 7,726,858
Daikin Industries (Machinery & Engineering).............................. 200,000 2,214,765
Dai Nippon Ink & Chemicals Inc. (Chemicals).............................. 367,000 1,993,508
Daishi Bank (Banking).................................................... 150,000 860,608
Daiwa Bank (Banking)..................................................... 1,050,000 8,169,334
Daiwa Danchi (Building & Contractors) (A)................................ 200,000 1,298,311
Daiwa House Industry Co. Ltd. (Building & Contractors)................... 100,000 1,594,249
Denki Kagaku Kogyo (Chemicals)........................................... 100,000 386,629
Dowa Mining Co. (Metals, Materials & Paper).............................. 63,000 336,797
East Japan Railway Co. (Transportation).................................. 825 4,402,562
Ebara Corp. (Capital Goods).............................................. 180,000 2,800,915
Eisai Co. Ltd. ( Health & Personal Care)................................. 52,500 1,037,455
Familymart (Retail)...................................................... 45,000 2,199,491
Fuji Denki Reiki (Retail)................................................ 115,500 1,598,784
Fuji Electric Co. Ltd. (Technology)...................................... 600,000 3,471,072
Fuji Fire & Marine (Insurance)........................................... 230,000 1,345,947
Fuji Machine Manufacturing (Capital Goods)............................... 50,000 1,641,981
Fujitsu (Technology)..................................................... 150,000 1,546,517
Fukui Bank (Banking)..................................................... 200,000 1,258,216
Gakken Co. Ltd. (Broadcasting & Publishing).............................. 270,000 1,946,034
Godo Steel (Metals, Materials & Paper) (A)............................... 150,000 1,078,266
Gunze Ltd. (Chemicals)................................................... 65,000 426,295
Hitachi Ltd. (Electrical & Electronics).................................. 680,000 7,335,456
Hitachi Plant Engineering & Construction Co. Ltd. (Capital Goods)........ 64,000 533,988
Hitachi Transport System (Transport & Trade Services).................... 107,000 1,164,470
Hokkai Can Co. Ltd. (Materials & Commodities)............................ 125,000 1,063,231
Hokkaido Takushoku Bank (Banking)........................................ 550,000 1,590,908
Honda Motor Co. Ltd. (Automotive)........................................ 180,000 4,106,862
Industrial Bank of Japan Ltd. (Banking).................................. 114,000 3,047,212
Itoham Foods Inc. (Food Processing)...................................... 250,000 2,030,997
Izumi Co. (Retail)....................................................... 60,000 1,271,581
Izumiya Co. Ltd. (Retail)................................................ 55,000 1,050,104
Japan Airport Terminals (Media & Leisure)................................ 60,000 864,904
Japan Tobacco Inc. (Beverages & Tobacco)................................. 200 1,848,184
Kagawa Bank (Banking).................................................... 100,000 1,040,558
Kaken Pharmaceutical Co. (Health & Personal Care)........................ 115,000 1,048,434
Kao Corp. (Chemicals).................................................... 100,000 1,336,496
Kawasaki Heavy Industries Ltd. (Capital Goods)........................... 200,000 1,032,921
Kawasaki Kisen Kaisha Ltd. (Transport & Trade Services) (A).............. 700,000 2,579,438
Keiyo Co. Ltd. (Retail).................................................. 65,000 905,954
Kinden Corp. (Building & Contractors).................................... 82,500 1,315,256
Kinki Nippon Railway Co. Ltd. (Transport & Trade Services)............... 154,500 1,200,584
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
21
<PAGE>
THE NON-U.S. EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION SHARES VALUE
- --------------------------------------------------------------------------- ----------- ------------
JAPAN (CONTINUED)
<S> <C> <C>
Kissei Pharmaceutical Co. (Health & Personal Care)....................... 33,000 $ 1,039,603
Kitz Corp. (Machinery & Engineering)..................................... 145,000 757,173
Kurabo Industries (Textiles & Apparel)................................... 302,000 1,320,420
Kuraray Co. (Chemicals).................................................. 70,000 808,580
Kyocera Corp. (Technology)............................................... 15,000 1,128,385
Kyowa Hakko Kogyo Co. Ltd. (Chemicals)................................... 175,000 1,720,739
Marubeni Corp. (Transport & Trade Services).............................. 500,000 2,992,797
Maruha Corp. (Fishery) (A)............................................... 180,000 704,524
Matsushita Electric Industries Co. Ltd. (Consumer Electronics)........... 500,000 8,830,423
Matsushita Refrigeration Co. (Consumer).................................. 75,000 601,423
Matsumoto Yushi Seiyaku Co. (Chemicals).................................. 44,000 924,092
Minebea Co. (Capital Goods).............................................. 250,000 2,293,523
Minolta Co. Ltd. (Consumer).............................................. 125,000 763,712
Mitsubishi Chemical Corp. (Chemicals).................................... 120,000 657,556
Mitsubishi Electric Corp. Ltd. (Electrical & Electronics)................ 400,000 3,146,494
Mitsubishi Gas Chemical Corp. (Chemicals)................................ 750,000 3,694,458
Mitsubishi Heavy Industries (Capital Goods).............................. 1,118,000 9,968,468
Mitsubishi Oil Co. (Energy Sources)...................................... 100,000 899,271
Mitsui Mining & Smelting Co. Ltd. (Metals, Materials & Paper)............ 350,000 1,603,796
Mitsui Toatsu Chemicals Inc. (Chemicals)................................. 650,000 2,879,195
Mitsui Trust & Banking Co. Ltd. (Banking)................................ 200,000 2,405,693
Mizuno Corp. (Retail).................................................... 262,000 2,626,215
Morinaga Milk Industry Co. Ltd. (Food & Household Products).............. 100,000 537,462
Nagase & Co. Ltd. (Transport & Trade Services)........................... 100,000 992,826
Nagoya Railroad Co. Ltd. (Transport & Trade Services).................... 150,000 810,490
New Oji Paper Co. (Metals, Material & Paper)............................. 150,000 1,384,706
Nichii Co. Ltd. (Merchandising).......................................... 100,000 1,603,796
Nichicon Corp. (Technology).............................................. 75,000 1,245,806
Nihon Matai Co. (Wholesale & International Trade)........................ 94,000 620,077
Nippon Credit Bank (Banking)............................................. 193,000 786,729
Nippon Express Co. Ltd. (Transport & Trade Services)..................... 200,000 2,081,116
Nippon Meat Packers Inc. (Food Processing)............................... 50,000 792,351
Nippon Paper Industries (Metal, Materials & Paper)....................... 200,000 1,462,509
Nippon Road Co. Ltd. (Building & Contractors)............................ 130,000 1,120,652
Nippon Sheet Glass Co. Ltd. (Food & Household Products).................. 225,000 1,155,592
Nippon Steel Corp. (Metals).............................................. 433,000 1,562,498
Nippon Telephone & Telegraph (Telecommunications)........................ 160 1,238,741
Nippon Zeon Co. Ltd. (Chemicals)......................................... 180,000 1,147,859
Nishimatsu Construction Co. Ltd. (Building & Contractors)................ 200,000 2,348,415
Nissan Diesel Motor Co. (Automotive)..................................... 340,000 1,911,763
Nissan Motor Co. Ltd. (Automotive)....................................... 600,000 5,063,412
Nitto Boseki Co. (Consumer) (A).......................................... 105,000 377,894
Nomura Securities Co. Ltd. (Financial Services).......................... 474,000 10,316,988
North Pacific Bank (Banking)............................................. 220,000 1,260,125
Okamura Corp. (Transportation)........................................... 140,000 1,253,634
Okumura Corp. (Building & Contractors)................................... 300,000 2,863,921
Ono Pharmaceuticals Co. (Health & Personal Care)......................... 50,000 1,885,415
Osaka Gas Co. Ltd. (Utilities)........................................... 519,000 2,075,970
Osaka Sanso Kogyo (Chemicals)............................................ 300,000 1,340,315
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
22
<PAGE>
THE NON-U.S. EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION SHARES VALUE
- --------------------------------------------------------------------------- ----------- ------------
JAPAN (CONTINUED)
<S> <C> <C>
Parco Co. (Retail)....................................................... 77,000 $ 918,841
Penta Ocean Construction (Building & Contractors)........................ 95,000 717,364
Pokka Corp. (Food & Household Products).................................. 50,000 620,516
QP Corp. (Food & Household Products)..................................... 146,000 1,477,401
Ricoh Corp. Ltd. (Electronics)........................................... 186,000 2,184,026
Rohm Co. (Electronics)................................................... 20,000 1,271,581
Ryobi Ltd. (Metals, Materials & Paper)................................... 400,000 2,195,673
Ryoyo Electro Corp. (Technology)......................................... 30,000 770,395
Sanden Corp. (Industrial Components)..................................... 50,000 371,355
San-in Godo Bank Ltd. (Banking).......................................... 100,000 849,630
Sakura Bank Ltd. (Banking)............................................... 358,000 4,203,663
Sankyo Aluminium Industry Co. Ltd. (Building & Contractors).............. 75,000 475,411
Sanwa Bank (Banking)..................................................... 200,000 4,047,675
Shikoku Electric Power Inc. (Utilities).................................. 100,000 2,453,425
Showa Aluminium Co. (Metals, Materials & Paper).......................... 120,000 674,740
Showa Denko K.K. (Chemicals) (A)......................................... 800,000 2,642,444
Snow Brand Milk Products Co. Ltd. (Food & Household Products)............ 300,000 2,173,716
Sony Corp. (Electrical & Electronics).................................... 73,000 4,738,834
Sumitomo Bank Ltd. (Banking)............................................. 520,000 11,119,650
Sumitomo Electric Industries Ltd. (Capital Goods)........................ 120,000 1,718,352
Sumitomo Forestry Co. (Engineering & Construction)....................... 200,000 3,073,942
Sumitomo Light Metal Industries (Metals, Materials & Paper).............. 150,000 608,583
Sumitomo Metal Industries (Metals, Materials & Paper).................... 2,790,000 8,949,180
Sumitomo Realty & Development Co. Ltd. (Building & Contractors).......... 150,000 1,205,711
Tadano Ltd. (Capital Goods).............................................. 100,000 964,187
Takashimaya Co. Ltd. (Retail)............................................ 200,000 3,264,870
Toa Corporation (Building & Contractors)................................. 150,000 1,051,059
Tobu Railway Co. Ltd. (Transport & Trade Services)....................... 175,000 1,209,529
Toenec Corp. (Technology)................................................ 50,000 510,733
Toho Gas Co. Ltd. (Utilities)............................................ 247,000 929,037
Tohoku Electric Power Co. Inc. (Utilities)............................... 80,000 1,985,652
Tokio Marine & Fire Insurance Co. Ltd. (The) (Insurance)................. 261,000 3,587,920
Tokyo Electric Power Co. Inc. (Utilities)................................ 135,000 3,672,978
Tokyu Land Corp. (Financial Services) (A)................................ 500,000 2,563,209
Tomen Corp. (Transport & Trade Services)................................. 500,000 2,042,930
Toppan Printing Co. Ltd. (Transport & Trade Services).................... 130,000 1,911,190
Topy Industries Co. Ltd. (Capital Goods)................................. 150,000 717,412
Toshiba Corp. (Electrical & Electronics)................................. 75,000 582,808
Tosoh Corp. (Chemicals) (A).............................................. 755,000 3,538,899
Toyo Construction Co. (Building & Contractors)........................... 303,000 1,718,181
Toyo Trust & Banking Co. Ltd. (Banking).................................. 210,000 2,285,409
Tyobo Co. Ltd. (Consumer)................................................ 95,000 385,436
Toyoda Gosei Co. (Automotive)............................................ 139,000 1,180,985
Toyota Motor Corp. (Automotive).......................................... 405,000 9,240,441
Tsubakimoto Chain (Capital Goods)........................................ 200,000 1,410,958
Ube Industires Ltd. (Chemicals).......................................... 321,000 1,320,759
Uni-Charm Corp. (Merchandising).......................................... 60,000 1,695,441
Victor Co. of Japan (Consumer)........................................... 50,000 692,114
Yamazaki Baking Co. (Food & Household Products).......................... 60,000 1,225,758
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
23
<PAGE>
THE NON-U.S. EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION SHARES VALUE
- --------------------------------------------------------------------------- ----------- ------------
JAPAN (CONTINUED)
<S> <C> <C>
Yaohan Japan Corp. (Retail).............................................. 100,000 $ 913,591
Yaskawa Electric Manufacturing Co. Ltd. ( Technology) (A)................ 70,000 370,209
Yasuda Trust & Banking Co. Ltd. (Financial Services)..................... 645,000 4,273,256
Yokogawa Bridge Corp. (Metals, Materials & Paper)........................ 25,000 372,310
Yokohama Rubber Co. Ltd. (Metals, Materials & Paper)..................... 410,000 2,735,904
Zexel Corp. (Machinery & Engineering).................................... 200,000 1,477,783
------------
337,961,894
------------
MALAYSIA (0.7%)
Commerce Asset-Holdings (Financial Services)............................. 351,000 2,392,795
IOI Corporation (Metals, Materials & Paper).............................. 427,000 640,397
New Straits Times Press (Media & Leisure)................................ 205,000 1,101,560
Sime Darby Berhad (Multi-Industry)....................................... 535,000 1,480,309
Tan Chong Motor Holdings Berhad (Automotive)............................. 524,000 844,709
------------
6,459,770
------------
NETHERLANDS (2.7%)
ABN Amro Holdings (Banking).............................................. 52,130 2,694,944
Aegon NV ( Insurance).................................................... 17,500 832,275
Dutch State Mines (Chemicals)............................................ 20,700 2,111,285
Elsevier NV (Broadasting & Publishing)................................... 66,000 992,435
Heineken Holding (Food & Household Products)............................. 4,000 748,348
Internationale Nederlanden Groep (Insurance)............................. 31,300 2,413,474
Koninklijke KNP (Metals, Materials & Paper).............................. 28,450 678,178
Koninklijke PTT Nederland (Utilities).................................... 29,000 1,086,794
Moeara Enim Petroleum (Energy Sources)................................... 160 2,527,130
Royal Dutch Petroleum (Energy Sources)................................... 48,540 6,905,672
Unilever NV (Food & Household Products).................................. 20,645 2,813,182
------------
23,803,717
------------
NEW ZEALAND (0.3%)
Fletcher Challenge Paper (Metals, Materials & Paper) (A)................. 340,000 700,509
Fletcher Challenge Energy (Energy Sources) (A)........................... 170,000 364,265
Fletcher Challenge Building (Building & Contractors) (A)................. 170,000 402,793
Lion Nathan Ltd. (Food & Household Products)............................. 619,000 1,543,159
------------
3,010,726
------------
NORWAY (1.3%)
Aker AS, Series B (Building Materials)................................... 70,000 1,159,158
Hafslund Nycomed, Series B (Health & Personal Care)...................... 70,000 1,951,426
Kvaerner AS, Series B (Machinery & Engineering).......................... 50,000 1,925,599
Norsk Hydro AS (Energy Sources).......................................... 120,000 5,460,042
Orkla AS, B Free (Multi-Industry)........................................ 30,000 1,367,289
------------
11,863,514
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
24
<PAGE>
THE NON-U.S. EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION SHARES VALUE
- --------------------------------------------------------------------------- ----------- ------------
SINGAPORE (1.3%)
<S> <C> <C>
Development Bank of Singapore (Banking).................................. 125 $ 1,583
Malaysia International Shipping Corp. (Transport & Trade Services)....... 333 1,044
Natsteel Ltd. (Metals, Materials & Paper)................................ 343,000 687,966
Overseas Chinese Banking Corp. (Banking)................................. 87,000 1,194,264
Sime Darby Berhad (Multi-Industry)....................................... 499,800 1,386,387
Sime U.E.P. Properties (Building & Contractors).......................... 334,000 641,407
Singapore Airlines Ltd. (Transportation)................................. 106,600 1,076,637
Singapore Press Holdings Ltd. (Media & Leisure).......................... 64,000 1,210,836
Singapore Telecommunications (Utilities)................................. 990,000 2,436,323
United Overseas Bank (Banking)........................................... 215,000 2,094,993
United Overseas Land (Building & Contractors)............................ 359,000 748,145
------------
11,479,585
------------
SPAIN (2.3%)
Banco Intercontinental Espanol (Banking)................................. 20,100 2,111,540
Banco Pastor (Banking)................................................... 22,200 1,270,655
Banco Popular Espanol (Banking).......................................... 14,700 2,432,961
Empresa Nacional de Electric (Utilities)................................. 50,400 3,161,728
Fuerzas Electric de Cataluna SA, Series A (Utilities).................... 403,300 2,814,992
Iberdrola SA (Utilities)................................................. 183,700 1,795,667
Repsol SA (Energy Sources)............................................... 103,300 3,783,548
Telefonica de Espana (Telecommunications)................................ 175,100 3,113,878
------------
20,484,969
------------
SWITZERLAND (3.5%)
Baer Holdings AG (Banking)............................................... 490 547,229
BBC AG Brown Boveri & Cie (Machinery & Engineering)...................... 620 745,214
Ciba Geigy AG (Chemicals)................................................ 5,035 5,829,368
Compagnie Financiere Richemont AG (Food & Household Products)............ 600 877,366
CS Holding (Banking)..................................................... 5,845 529,491
Fischer (Georg) AG (Capital Goods)....................................... 820 975,065
Holderbank Financiere Glarus (Building Materials)........................ 900 678,994
Interdiscount Holding AG (Retail) (A).................................... 3,400 81,952
Liechtenstein Global Trust (Financial Services).......................... 1,250 636,733
Merkur Holding AG (Retail)............................................... 5,640 1,160,051
Nestle SA (Food & Household Products).................................... 3,965 4,399,414
Roche Holdings Genusscheine NPV (Health & Personal Care)................. 796 6,245,156
Sandoz AG (Health & Personal Care)....................................... 3,430 3,736,903
Schweizerischer Bankverein (Banking) (A)................................. 7,720 2,884,219
Societe Generale de Surveillance Holdings SA (Transport & Trade
Service)................................................................ 350 787,379
Swissair AG (Transportation) (A)......................................... 880 867,531
------------
30,982,065
------------
UNITED KINGDOM (13.5%)
Abbey National PLC (Banking)............................................. 148,000 1,261,465
Allied Colloids Group PLC (Chemicals).................................... 700,000 1,386,555
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
25
<PAGE>
THE NON-U.S. EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION SHARES VALUE
- --------------------------------------------------------------------------- ----------- ------------
UNITED KINGDOM (CONTINUED)
<S> <C> <C>
Allied Domecq PLC (Food & Household Products)............................ 261,000 $ 2,011,157
Amersham International PLC (Health & Personal Care)...................... 60,000 965,186
Argyll Group PLC (Retail)................................................ 374,000 1,863,265
Barclays Bank (Banking).................................................. 226,000 2,499,430
BAT Industries PLC (Beverages & Tobacco)................................. 407,000 3,065,936
BICC (Industrial Components)............................................. 272,000 1,416,326
BOC Group PLC (Chemicals)................................................ 111,100 1,538,795
Britannic Assurance (Insurance).......................................... 118,000 1,421,879
British Gas PLC (Utilities).............................................. 440,000 1,558,223
British Petroleum Co. Ltd. (Energy Sources).............................. 495,000 4,453,069
British Telecommunications PLC (Telecommunications)...................... 680,000 3,719,388
British Tire & Rubber PLC (Multi-Industry)............................... 579,000 2,780,312
Cable & Wireless PLC (Telecommunications)................................ 271,000 2,120,746
Caradon PLC (Building & Contractors)..................................... 509,000 1,756,753
Dalgety PLC (Food & Household Products).................................. 314,000 1,828,211
General Electric Co. PLC (Electrical & Electronics)...................... 353,000 1,899,017
Glaxo Wellcome PLC (Health & Personal Care).............................. 630,496 7,621,016
Glynwed International PLC (Metals, Materials & Paper).................... 300,200 1,660,019
Granada Group PLC (Leisure & Tourism).................................... 205,077 2,534,227
Guardian Royal Exchange PLC (Insurance).................................. 729,000 2,466,829
Guinness PLC (Beverages & Tobacco)....................................... 375,000 2,689,826
Hanson Trust PLC (Multi-Industry)........................................ 514,000 1,519,478
Hillsdown Holdings PLC (Food & Household Products)....................... 682,000 1,842,137
HSBC Holdings (Banking).................................................. 225,000 3,320,641
Inchcape PLC (Commercial Services)....................................... 303,000 1,327,671
Kingfisher (Merchandising)............................................... 218,000 1,944,793
Lloyds TSB Group (Banking)............................................... 696,450 3,328,621
Lucas Industries PLC (Capital Goods)..................................... 466,000 1,499,955
Marks & Spencer PLC (Merchandising)...................................... 329,500 2,192,876
MEPC (Real Estate)....................................................... 290,000 1,864,721
National Power (Utilities)............................................... 305,000 2,565,314
National Westminster Bank (Banking)...................................... 225,000 2,068,015
Pearson PLC (Multi-Industry)............................................. 194,000 2,043,637
Peninsular & Orient Steam Navigation Company (Transportation)............ 131,000 1,028,106
Racal Electronics (Technology)........................................... 277,000 1,434,049
Rank Organisation PLC (Media & Leisure).................................. 217,000 1,735,609
Reuters Holdings PLC (Broadcasting & Publishing)......................... 233,100 2,630,420
Rolls-Royce PLC (Machinery & Engineering)................................ 589,000 2,094,733
RTZ Corp. PLC (Metals, Materials & Paper)................................ 147,000 2,307,353
Sainsbury (J.) PLC (Retail).............................................. 437,000 2,400,090
Sears Holdings (Merchandising)........................................... 1,362,000 2,054,037
Shell Transport & Trading Co. (Energy Sources)........................... 282,000 3,709,079
Smithkline Beecham (Health & Personal Care).............................. 243,166 2,572,510
South West Water (Utilities)............................................. 217,700 2,231,229
Standard Chartered PLC (Financial Services).............................. 229,000 2,137,425
Tarmac PLC (Building Materials).......................................... 921,500 1,804,558
Thorn EMI PLC (Appliances & Household Durables).......................... 92,000 2,543,667
Tomkins (Multi-Industry)................................................. 423,000 1,739,226
Unilever PLC (Food & Household Products)................................. 70,000 1,277,311
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
26
<PAGE>
THE NON-U.S. EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION SHARES VALUE
- --------------------------------------------------------------------------- ----------- ------------
UNITED KINGDOM (CONTINUED)
<S> <C> <C>
Vodafone Group PLC (Telecommunications).................................. 718,000 $ 2,860,579
Willis Corroon Group PLC (Insurance)..................................... 367,900 844,668
Yorkshire Electricity Group (Utilities).................................. 85,000 1,044,005
Zeneca Group PLC (Health & Personal Care)................................ 64,000 1,337,335
------------
119,821,478
------------
Total Common Stocks (cost $721,817,227)................................ 788,492,226
------------
PREFERRED STOCKS (0.6%)
GERMANY (0.6%)
GEA AG (Machinery)....................................................... 4,715 1,463,522
Jungheinrich (Capital Goods)............................................. 6,730 943,548
Rheinisch Westfalisches Elekt AG (Utilities)............................. 50,300 1,461,256
SAP AG, 9.00 (Computer Software)......................................... 11,000 1,458,279
------------
Total Preferred Stocks (cost $6,015,623)............................... 5,326,605
------------
<CAPTION>
PRINCIPAL
AMOUNT
(IN FRF)
-----------
<S> <C> <C> <C>
CONVERTIBLE BONDS (4.6%)
FRANCE (0%)*
Sanofi 4.00% due 01/01/00 (Pharmaceuticals)................................... 372,500 323,699
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
(IN YEN)
------------
<S> <C> <C>
JAPAN (3.9%)
BOT Cayman Finance 4.25% due 03/31/03 (Banking)............................... 950,000,000 13,206,852
Canon Inc. 1.3% due 12/19/08 (Consumer)....................................... 111,000,000 1,478,213
Daido Hoxan Inc. 1.6% due 03/29/02 (Chemicals)................................ 30,000,000 336,511
Izumiya Co. Ltd. 0.80% due 08/31/99 (Retail).................................. 140,000,000 1,804,270
Matsushita Electric Works 2.7% due 05/31/02 (Building & Contractors).......... 75,000,000 908,579
Mitsui & Co Ltd. 1.05% due 09/30/99 (Transport & Trade Services).............. 75,000,000 810,490
NEC Corp. 1.90% due 03/30/01 (Electrical & Electronics)....................... 700,000,000 9,168,365
SXL Corp. 2.70% due 03/29/02 (Building & Contractors)......................... 60,000,000 678,749
Toyota Motor Co. 1.70% due 05/31/96 (Automotive).............................. 75,000,000 1,174,207
Toyota Motor Co. 1.2% due 01/28/98 (Automotive)............................... 300,000,000 3,528,350
Yamato Transport 3.90% due 03/30/01 (Transportation).......................... 132,000,000 1,696,128
-----------
34,790,714
-----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
27
<PAGE>
THE NON-U.S. EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
DESCRIPTION (IN USD) VALUE
- -------------------------------------------------------------------------------- ------------ -----------
<S> <C> <C>
MALAYSIA (0.2%)
Telekom Malaysia 4% due 10/30/04 (Telecommunications)......................... 1,540,000 $ 1,641,063
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
(IN CHF)
------------
<S> <C> <C>
SWITZERLAND (0.4%)
Sandoz Capital BVI Ltd. 1.25% due 10/23/02 (Financial Services)............... 1,595,000 1,720,414
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
(IN USD)
------------
<S> <C> <C>
Swiss Re Finance Bermuda 2% due 07/06/00 (Insurance).......................... 1,790,000 1,995,850
-----------
3,716,264
-----------
<CAPTION>
PRINCIPAL
AMOUNT
(IN STG)
------------
<S> <C> <C>
UNITED KINGDOM (0.1%)
BPB Industries PLC 7.25% due 08/25/08 (Building & Contractors)................ 396,000 792,193
-----------
Total Convertible Bonds (cost $37,665,016).................................. 41,263,933
-----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
------------
<S> <C> <C>
WARRANTS (0.6%)
FRANCE (0%)*
LaGardere Groupe, Expiring 12/31/96 (Leisure & Tourism) (A)................... 16,000 12,671
-----------
GERMANY (0.3%)
Alliance Holdings AG, Expiring 02/23/98 (Insurance) (A) 17,330 821,568
Veba International, Expiring 04/06/98 (Energy Sources) (A).................... 8,870 2,122,757
-----------
2,944,325
-----------
JAPAN (0.1%)
Dowa Mining Co, Expiring 12/09/97 (Metals, Materials & Paper) (A)............. 391 635,375
Maeda Corp, Expiring 02/05/97 (Building & Contractors) (A).................... 315 567,000
-----------
1,202,375
-----------
NETHERLANDS (0.1%)
Philips Electronics, Expiring 06/30/98 (Appliances & Household Durables)
(A).......................................................................... 27,800 444,760
-----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
28
<PAGE>
THE NON-U.S. EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION SHARES VALUE
- -------------------------------------------------------------------------------- ------------ -----------
SWITZERLAND (0.1%)
<S> <C> <C>
Lion Corp., Expiring 6/18/99 (Chemicals) (A).................................. 2,000 $ 449,931
-----------
Total Warrants (cost $4,566,934)............................................ 5,054,062
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
(IN US
DOLLARS)
------------
<S> <C> <C>
TIME DEPOSITS (3.1%)
UNITED STATES (3.1%)
State Street Bank & Trust Co. 4.875 % due 05/01/96 (Banking) (cost $27,177,000
)............................................................................ 27,177,000 27,177,000
-----------
TOTAL INVESTMENTS (COST $797,241,800) (98.0%) 867,313,826
OTHER ASSETS NET OF LIABILITIES (2.0%) 14,176,822
-----------
NET ASSETS (100.0%) $881,490,648
-----------
-----------
</TABLE>
(A) Non-Income-Producing Security
* Less than 0.1%
Note: For Federal Income Tax purposes, the cost of securities owned at April
30, 1996 was substantially the same as the cost of securities for
financial statement purposes.
The Accompanying Notes are an Integral Part of the Financial Statements.
29
<PAGE>
THE NON-U.S. EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1996
- --------------------------------------------------------------------------------
INDUSTRY DIVERSIFICATION
<TABLE>
<CAPTION>
PERCENT OF
TOTAL INVESTMENTS
---------------------
<S> <C>
Banking........................................................................................ 17.8%
Chemicals...................................................................................... 6.4%
Energy Sources................................................................................. 6.3%
Electrical & Electronics....................................................................... 6.0%
Metals, Materials & Paper...................................................................... 5.0%
Automotive..................................................................................... 4.8%
Utilities...................................................................................... 4.8%
Health & Personal Care......................................................................... 4.4%
Retail......................................................................................... 3.5%
Building & Contractors......................................................................... 3.3%
Financial Services............................................................................. 3.2%
Insurance...................................................................................... 3.2%
Capital Goods.................................................................................. 3.1%
Food & Household Products...................................................................... 3.1%
Transport & Trade.............................................................................. 2.4%
Merchandising.................................................................................. 2.3%
Multi-Industry................................................................................. 2.2%
Telecommunications............................................................................. 2.2%
Transportation................................................................................. 1.8%
Technology..................................................................................... 1.7%
Machinery...................................................................................... 1.6%
Beverages & Tobacco............................................................................ 1.3%
Broadcasting & Publishing...................................................................... 1.1%
Industrial Components.......................................................................... 1.0%
Miscellaneous.................................................................................. 7.5%
-----
100.0%
-----
-----
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
30
<PAGE>
THE NON-U.S. EQUITY PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES (UNAUDITED)
APRIL 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments at Value (Cost $797,241,800) $867,313,826
Cash 4,477
Foreign Currency at Value (Cost $17,103,466) 17,075,133
Receivable for Investments Sold 13,382,375
Dividends and Interest Receivable 3,717,536
Foreign Tax Reclaim Receivable 1,017,270
Unrealized Appreciation on Forward Foreign Currency Contracts 462,389
Unrealized Appreciation on Open Spot Foreign Currency Contracts 2,282
Prepaid Trustees' Fees 2,795
Prepaid Expenses 1,618
------------
Total Assets 902,979,701
------------
LIABILITIES
Payable for Investments Purchased 17,664,492
Unrealized Depreciation on Forward Foreign Currency Contracts 3,072,023
Advisory Fee Payable 589,995
Custody Fee Payable 85,657
Administrative Services Fee Payable 17,303
Administration Fee Payable 9,087
Fund Services Fee Payable 3,109
Accrued Expenses 47,387
------------
Total Liabilities 21,489,053
------------
NET ASSETS
Applicable to Investors' Beneficial Interests $881,490,648
------------
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
31
<PAGE>
THE NON-U.S. EQUITY PORTFOLIO
STATEMENT OF OPERATIONS (UNAUDITED)
FOR THE SIX MONTHS ENDED APRIL 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
$ 5,650,321
Dividends (Net of $866,267 Foreign Withholding Taxes)
1,118,324
Interest (Net of $14,094 Foreign Withholding Taxes)
------------
6,768,645
Investment Income
EXPENSES
Advisory Fee $ 2,275,697
Custodian Fees and Expenses 448,548
Administrative Fee 41,663
Professional Fees 34,250
Fund Services Fee 21,154
Administrative Services Fee 67,216
Trustees' Fees and Expenses 6,938
Printing Expenses 4,496
Miscellaneous 4,467
-------------
(2,904,429)
Total Expenses
------------
3,864,216
NET INVESTMENT INCOME
NET REALIZED GAIN ON
Investment Transactions 11,079,494
Foreign Currency Contracts and Foreign Exchange Transactions 9,429,974
-------------
20,509,468
Net Realized Gain
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) OF
Investments 78,383,012
Foreign Currency Contracts and Translations (4,430,580)
-------------
73,952,432
Net Change in Unrealized Appreciation (Depreciation)
------------
$ 98,326,116
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS
------------
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
32
<PAGE>
THE NON-U.S. EQUITY PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE SIX
MONTHS ENDED FOR THE FISCAL
APRIL 30, 1996 YEAR ENDED
(UNAUDITED) OCTOBER 31, 1995
---------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 3,864,216 $ 6,919,031
Net Realized Gain on Investments and Foreign Currency Transactions 20,509,468 15,078,850
Net Change in Unrealized Appreciation of Investments and
Foreign Currency Translations 73,952,432 (27,987,331)
---------------- -----------------
Net Increase (Decrease) in Net Assets Resulting from Operations 98,326,116 (5,989,450)
---------------- -----------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS
Contributions 228,090,206 373,795,232
Withdrawals (98,228,630) (138,078,647)
---------------- -----------------
Net Increase from Investors' Transactions 129,861,576 235,716,585
---------------- -----------------
Total Increase in Net Assets 228,187,692 229,727,135
NET ASSETS
Beginning of Period 653,302,956 423,575,821
---------------- -----------------
End of Period $ 881,490,648 $ 653,302,956
---------------- -----------------
---------------- -----------------
</TABLE>
- --------------------------------------------------------------------------------
SUPPLEMENTARY DATA
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE SIX
MONTHS ENDED FOR THE FISCAL FOR THE FISCAL
APRIL 30, 1996 YEAR ENDED YEAR ENDED
(UNAUDITED) OCTOBER 31, 1995 OCTOBER 31, 1994
---------------- ----------------- -----------------
<S> <C> <C> <C>
Ratios to Average Net Assets
Expenses 0.77%(a) 0.82% 0.95%
Net Investment Income 1.02%(a) 1.31% 0.93%
Portfolio Turnover 26%(b) 59% 56%
</TABLE>
<TABLE>
<S> <C>
<FN>
- ------------------------
(a) Annualized.
(b) Not Annualized
(c) Portfolio turnover for the fiscal year ended October 31, 1993, included the
portfolio activity of The Pierpont International Equity Fund, Inc. for the
period November 1, 1992 through October 3, 1993, prior to conversion when
The Pierpont International Equity Fund, Inc. contributed all of its
investable assets to the Portfolio.
</FN>
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
33
<PAGE>
THE NON-U.S. EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
APRIL 30, 1996
- --------------------------------------------------------------------------------
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
The Non-U.S. Equity Portfolio (the "Portfolio") is registered under the
Investment Company Act of 1940, as amended, (the "Act") 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. The Portfolio's investment
objective is to provide a high total return from a portfolio of equity
securities of foreign companies. The Portfolio commenced operations on
October 4, 1993 and received a contribution of certain assets and
liabilities, including securities, with a value of $160,213,973 on that date
from the Pierpont International Equity Fund, Inc. in exchange for a
beneficial interest in the Portfolio. At that date, net unrealized
appreciation of $11,116,204 was included in the contributed securities. The
Declaration of Trust permits the Trustees to issue an unlimited number of
beneficial interests in the Portfolio.
Investments in international markets may involve certain considerations and
risks not typically associated with investments in the United States. Future
economic and political developments in foreign countries could adversely
affect the liquidity or value, or both, of such securities in which the
Portfolio is invested. The ability of the issuers of the debt securities
held by the Portfolio to meet their obligations may be affected by economic
and political developments in a specific industry or region.
The preparation of financial statements prepared 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
exists 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 readily available closing bid price on
such exchanges, or at the quoted bid price in the over-the-counter market.
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 portfolio securities with a remaining
maturity of less than 60 days are valued by the amortized cost method.
Trading in securities on most foreign exchanges and over-the-counter
markets is normally completed before the close of the domestic market and
may also take place on days on which the domestic market 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 asset value is 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.
34
<PAGE>
THE NON-U.S. EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1996
- --------------------------------------------------------------------------------
b)The books and records of the Portfolio are maintained in U.S. dollars. The
market value of investment securities, other assets and liabilities and
forward contracts stated in foreign currencies are translated at the
prevailing exchange rates at the end of the period. Purchases, sales,
income and expenses are translated at the exchange rates prevailing on the
respective dates of such transactions. Translation gains and losses
resulting from changes in the exchange rates during the reporting period
and gains and losses realized upon settlement of foreign currency
transactions are reported in the Statement of Operations.
Although the net assets of the Portfolio are presented at the exchange
rates and market values prevailing at the end of the period, the Portfolio
does not isolate the portion of the results of operations arising as a
result of changes in foreign exchange rates from the fluctuations arising
from changes in the market prices of securities during the period.
c)The Portfolio may enter into forward and spot foreign currency contracts
to protect securities and related receivables and payables against
fluctuations in future foreign currency rates. A forward contract is an
agreement to buy or sell currencies of different countries on a specified
future date at a specified rate. Risks associated with such contracts
include the movement in the value of the foreign currency relative to the
U.S. dollar and the ability of the counterparty to perform.
The market value of the contract will fluctuate with changes in currency
exchange rates. Contracts are valued daily based on procedures established
by and under the general supervision of the Portfolio's Trustees and the
change in the market value is recorded by the Portfolio as unrealized
appreciation or depreciation of foreign currency translations. At April
30, 1996, the Portfolio had open foreign currency contracts as follows:
SUMMARY OF OPEN FORWARD FOREIGN CURRENCY SALE CONTRACTS
<TABLE>
<CAPTION>
U.S. DOLLAR NET UNREALIZED
VALUE AT APPRECIATION/
SALES CONTRACTS PROCEEDS 04/30/96 (DEPRECIATION)
- ------------------------------------------------------------- ------------- ------------- ---------------
<S> <C> <C> <C>
French Franc 117,210,233, expiring 07/23/96 $ 22,946,404 $ 22,719,718 $ 226,686
German Mark 21,655,860, expiring 07/23/96 14,427,622 14,191,919 235,703
Japanese Yen 9,318,493,076, expiring 07/23/96 87,007,405 90,079,428 (3,072,023)
---------------
Net Unrealized Depreciation on Forward Foreign Currency Contracts $ (2,609,634)
---------------
---------------
</TABLE>
SUMMARY OF OPEN SPOT FOREIGN CURRENCY CONTRACTS
<TABLE>
<CAPTION>
U.S. DOLLAR
VALUE AT NET UNREALIZED
PURCHASE CONTRACTS COST 04/30/96 APPRECIATION
- ------------------------------------------------------------- ------------- ------------- ---------------
<S> <C> <C> <C>
Italian Lira 662,000,000, per GBP 280,447, expiring 05/03/96 $ 420,839 $ 423,121 $ 2,282
------
------
</TABLE>
d)Securities transactions are recorded on a trade date basis. Dividend
income is recorded on the ex-dividend date or at the time that the
relevant ex-dividend date and amount becomes known. Interest
35
<PAGE>
THE NON-U.S. EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1996
- --------------------------------------------------------------------------------
income, which includes the amortization of premiums and discount, 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.
e)The Portfolio intends to be treated as a partnership for federal income
tax purposes. As such, each investor in the Portfolio will be taxable 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. The Portfolio earns foreign
income which may be subject to foreign withholding taxes at various rates.
2. TRANSACTIONS WITH AFFILIATES
a)The Portfolio has an investment advisory agreement with Morgan Guaranty
Trust Company of New York ("Morgan"). Under the terms of the investment
advisory agreement, the Portfolio pays Morgan at an annual rate of 0.60%
of the Portfolio's average daily net assets. For the six months ended
April 30, 1996, such fees amounted to $2,275,697.
b)The Portfolio has retained Signature Broker-Dealer Services, Inc.
("Signature") to serve as administrator and exclusive placement agent.
Signature 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
Portfolio's officers affiliated with Signature. The agreement provided for
a fee to be paid to Signature at an annual rate determined by the
following schedule: 0.01% of the first $1 billion of the aggregate average
daily net assets of the Portfolio and the other portfolios subject to the
Administrative Services Agreement, 0.008% of the next $2 billion of such
net assets, 0.006% of the next $2 billion of such net assets, and 0.004%
of such net assets in excess of $5 billion. The daily equivalent of the
fee rate is applied each day to the net assets of the Portfolio. For the
period November 1, 1995 through December 28, 1995, such fees amounted to
$9,619.
Effective December 29, 1995, the Administration Agreement was amended such
that the fee charged would be equal to the Portfolio's proportionate share
of a complex-wide fee based on the following annual schedule: 0.03% on the
first $7 billion of the aggregate average daily net assets of the
Portfolio and the other portfolios subject to this agreement (the "Master
Portfolios") and 0.01% on the aggregate average daily net assets of the
Master Portfolios in excess of $7 billion. The portion of this charge
payable by the Portfolio is determined by the proportionate share its net
assets bear to the total net assets of The Pierpont Funds, The JPM
Institutional Funds, The JPM Advisor Funds and the Master Portfolios. For
the period from December 29, 1995 through April 30, 1996, such fees
amounted to $32,044.
c)Until August 31, 1995, the Portfolio had a Financial and Fund Accounting
Services Agreement ("Services Agreement") with Morgan under which Morgan
received a fee, based on the percentage described below, for overseeing
certain aspects of the administration and operation of the Portfolio and
was also designed to provide an expense limit for certain expenses of the
Portfolio. This fee was calculated exclusive of the advisory fee, custody
expenses, fund services fee, and brokerage costs at 0.15% of the
Portfolio's average daily net assets up to $200 million, 0.10% of the next
$200 million of average daily net
36
<PAGE>
THE NON-U.S. EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1996
- --------------------------------------------------------------------------------
assets, and 0.05% of the next $200 million of average daily net assets and
0.03% on any excess over $600 million. From September 1, 1995 until
December 28, 1995, an interim agreement between the Portfolio and Morgan
provided for the continuation of the oversight functions that were
outlined under the Services Agreement and that Morgan should bear all of
its expenses incurred in connection with these services.
Effective December 29, 1995, the Portfolio entered into an Administrative
Services Agreement (the "Agreement") with Morgan under which Morgan is
responsible for overseeing certain aspects of the administration and
operation of the Portfolio. Under the Agreement, the Portfolio has agreed
to pay Morgan a fee equal to its proportionate share of an annual
complex-wide charge. This charge is calculated daily based on the
aggregate net assets of the Master Portfolios in accordance with the
following annual schedule: 0.06% on the first $7 billion of the Master
Portfolios' aggregate average daily net assets and 0.03% of the aggregate
average daily net assets in excess of $7 billion. The portion of this
charge payable by the Portfolio is determined by the proportionate share
that the Portfolio's net assets bear to the net assets of the Master
Portfolios and other investors in the Master Portfolios for which Morgan
provides similar services. For the period December 29, 1995 through April
30, 1996, the fee for these services amounted to $67,216.
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 $21,154 for the six months ended April 30, 1996.
e)An aggregate annual fee of $65,000 is paid to each Trustee for serving as
a Trustee of The Pierpont Funds, The JPM Institutional Funds and the
Master Portfolios. The Trustees' Fees and Expenses shown in the financial
statements represent the Portfolio's allocated portion of the total fees
and expenses. The Trustee who serves as Chairman and Chief Executive
Officer of the Portfolio 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 $2,700.
3. INVESTMENT TRANSACTIONS
Investment transactions (excluding short-term investments) for the six
months ended April 30, 1996, were as follows:
<TABLE>
<CAPTION>
COST OF PROCEEDS
PURCHASES FROM SALES
- -------------- --------------
<S> <C>
$324,131,537 $192,349,478
</TABLE>
37
