<PAGE>
THE NON-U.S. EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------------------------------------- ------------- -----------
<S> <C> <C>
COMMON STOCKS (89.1%)
AUSTRALIA (1.9%)
Broken Hill Proprietary Co. Ltd. (Energy Sources)............................ 221,105 $ 2,994,551
CSR Ltd. (Multi-Industry).................................................... 217,000 690,935
Holyman Ltd. (Materials & Commodities)....................................... 39,200 77,038
National Australia Bank Ltd. (Banking)....................................... 211,405 1,810,018
News Corporation Ltd. (Broadcast & Publishing)............................... 280,630 1,415,121
North Broken Hill Peko Ltd. (Metals, Materials & Paper)...................... 211,500 596,092
Rothmans Holdings Ltd. (Beverages & Tobacco)................................. 95,000 354,586
Santos Ltd. (Energy Sources)................................................. 164,000 443,480
Southcorp Holdings Ltd. (Food & Household Products).......................... 651,800 1,405,084
TNT Ltd. (Transportation) (A)................................................ 511,700 721,089
Western Mining Corp. Holdings Ltd. (Metals & Mining)......................... 286,800 1,839,470
-----------
12,347,464
-----------
AUSTRIA (0.1%)
OMV AG (Energy Sources)...................................................... 4,550 392,895
-----------
BELGIUM (0.9%)
Arbed NPV (Metal, Materials & Paper) (A)..................................... 8,300 825,985
Electrabel NPV (Utilities)................................................... 2,235 501,215
Generale De Banque SA (Banking).............................................. 5,700 1,843,538
Petrofina SA NPV (Energy Sources)............................................ 3,800 1,179,129
Solvay and Cie Ord NPV (Chemicals)........................................... 1,100 556,842
Tractebel Capital NPV (Multi-Industry)....................................... 3,200 1,172,080
-----------
6,078,789
-----------
DENMARK (0.8%)
Carlsberg (Food & Household Products)........................................ 18,000 932,284
Den Danske Bank (Banking).................................................... 12,700 841,398
International Service System, Series B (Business & Public Services).......... 25,000 512,445
Novo Nordisk AS, Series B (Health & Personal Care)........................... 7,105 903,729
Sophus Berendsen, Class A (Multi-Industry)................................... 5,000 544,473
Sophus Berendsen, Class B (Multi-Industry)................................... 7,500 822,200
Teledanmark, Series B (Telecommunications)................................... 19,040 993,119
-----------
5,549,648
-----------
FRANCE (9.6%)
Air Liquide (Chemicals)...................................................... 12,360 2,072,596
Alcatel Alsthom (Electrical & Electronics)................................... 36,893 3,150,552
AXA (Multi-Industry)......................................................... 35,027 1,945,427
Bouygues (Engineering & Construction)........................................ 8,487 902,485
Carrefour Supermarkets (Merchandising)....................................... 4,440 2,607,652
Casino Guichard Perrachon et Cie (Merchandising)............................. 225 6,442
Castorama Dubois Investissments (Merchandising).............................. 4,400 713,523
Cetelem (Financial Services)................................................. 5,800 925,134
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
18
<PAGE>
THE NON-U.S. EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
OCTOBER 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------------------------------------- ------------- -----------
FRANCE (CONTINUED)
<S> <C> <C>
Christian Dior SA (Retail)................................................... 24,175 $ 2,372,958
Compagnie Financiere de Cic Union Europ Certe de Invest (Banking)............ 21,777 1,491,850
Compagnie Financiere de Paribas, Class A (Banking)........................... 1,610 88,565
Compagnie Financiere de St. Gobain (Glass & Packaging)....................... 11,365 1,354,941
Compagnie Generale des Eaux (Utilities)...................................... 28,709 2,668,297
Credit Commercial de France (Financial Services)............................. 36,400 1,808,797
Credit Local de France (Financial Services).................................. 15,000 1,187,399
Docks de France (Merchandising).............................................. 3,395 516,529
Eridania Beghin Say (Insurance).............................................. 7,900 1,327,948
Groupe Danone (Food Processing).............................................. 17,919 2,861,851
Groupe de la Cite (Media & Leisure).......................................... 1,700 264,207
Havas (Business & Public Services)........................................... 12,300 852,682
Imetal (Metals, Materials & Paper)........................................... 5,281 622,044
Lafarge Coppe SA (Building Materials)........................................ 19,848 1,315,461
LaGardere Groupe (Leisure & Tourism) (A)..................................... 53,880 1,005,960
Lyonnaise des Eaux (Environmental Control)................................... 10,300 1,004,703
Peugeot SA (Automotive)...................................................... 10,050 1,309,145
Pinault Printemps Redouto (Building Materials)............................... 210 45,521
Promodes (Merchandising)..................................................... 9,080 2,211,464
Renault SA (Automotive)...................................................... 29,200 913,601
Rhone Poulenc SA, Class A (Chemicals)........................................ 75,004 1,635,023
Roussel Uclaf (Pharmaceuticals).............................................. 9,936 1,629,552
Sanofi (Pharmaceuticals)..................................................... 32,780 2,090,772
Seb AG (Food & Household Products)........................................... 5,000 605,305
SEITA (Beverages & Tobacco).................................................. 62,000 2,155,375
SGS - Thomson Microelectronics N.V. (Electrical & Electronics) (A)........... 30,000 1,383,407
Sidel (Technology)........................................................... 4,800 1,666,714
Societe Generale (Banking)................................................... 23,048 2,634,677
Societe Nationale Elf Aquitaine (Energy Sources)............................. 36,053 2,455,093
Sommer-Allibert (Building Materials)......................................... 2,260 597,571
Synthelabo (Health & Personal Care).......................................... 22,465 1,446,183
Television Francaise (Broadcasting & Publishing)............................. 11,880 1,226,846
Total, Class B (Energy Sources).............................................. 74,015 4,574,003
Usinor Sacilor (Metals, Materials & Paper) (A)............................... 37,000 552,340
Valeo (Automotive)........................................................... 12,000 542,075
-----------
62,742,670
-----------
GERMANY (6.4%)
Allianz AG Holdings (Insurance).............................................. 2,386 4,415,693
Ava Allgemeine Handels-Der Verbr (Merchandising)............................. 3,290 1,248,124
Bank Gesellschaft Berlin AG (Banking)........................................ 2,300 678,105
BASF AG (Chemicals).......................................................... 2,900 636,616
Bayer AG (Chemicals)......................................................... 9,955 2,647,877
Bilfinger & Berger Bau AG (Construction & Housing)........................... 2,785 1,024,886
Colonia Konzern AG (Insurance)............................................... 785 613,456
Continental AG (Industrial Components)....................................... 41,880 592,080
Daimler-Benz AG (Automobiles)................................................ 3,208 1,546,340
Deutsche Bank AG (Banking)................................................... 76,800 3,473,896
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
19
<PAGE>
THE NON-U.S. EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
OCTOBER 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------------------------------------- ------------- -----------
GERMANY (CONTINUED)
<S> <C> <C>
Deutsche Pfandbrief Und Hypotheken Bank (Banking)............................ 22,100 $ 863,527
Dresdner Bank AG (Banking)................................................... 24,100 643,762
Hoechst AG (Chemicals)....................................................... 6,600 1,733,461
Karstadt AG (Merchandising).................................................. 600 261,722
Lufthansa AG (Transportation)................................................ 4,270 593,966
Man AG (Machinery & Engineering)............................................. 4,085 1,184,058
Mannesmann AG (Machinery & Engineering)...................................... 2,985 982,488
Merck Group (Health & Personal Care) (A)..................................... 5,000 208,866
Munchener Ruckversicherungs (Insurance)...................................... 1,542 3,200,997
Preussag (Metals, Materials & Paper)......................................... 2,140 608,127
Rheinisch Westfalisches Elekt AG (Utilities)................................. 5,500 1,957,587
Schering AG (Health & Personal Care)......................................... 13,500 941,816
Siemens AG (Electrical & Electronics)........................................ 9,915 5,198,402
Thyssen AG (Metals, Materials & Paper) (A)................................... 4,800 863,768
Veba AG (Energy Sources) (A)................................................. 54,950 2,256,011
Viag AG (Multi-Industry)..................................................... 850 345,109
Volkswagen AG (Automotive)................................................... 8,930 2,813,622
-----------
41,534,362
-----------
HONG KONG (2.8%)
Citic Pacific Ltd. (Transportation).......................................... 852,000 2,661,226
Henderson Land Development Co. (Building & Contractors)...................... 600,000 3,593,000
Hong Kong Electric Holdings Ltd. (Utilities)................................. 703,500 2,393,012
Hong Kong Telecommunications Ltd. (Telecommunications)....................... 1,139,600 1,989,808
HSBC Holdings PLC (Banking).................................................. 213,200 3,102,164
Jardine Matheson Holdings Ltd. (Multi-Industry).............................. 400 2,440
Johnson Electric Holdings Ltd. (Technology).................................. 1,050,000 2,193,243
Sing Tao Holdings (Broadcasting & Publishing)................................ 1,218,000 704,962
Swire Pacific Ltd. (Transportation).......................................... 500 3,751
Television Broadcasts Ltd. (Broadcasting & Publishing)....................... 452,000 1,812,279
-----------
18,455,885
-----------
JAPAN (38.1%)
Achilles Corp. (Tire & Rubber)............................................... 400,000 1,411,604
Aichi Corp. (Machinery & Engineering)........................................ 90,000 712,645
Aichi Machine Industry (Automotive).......................................... 176,000 911,873
Alps Electric Co. Ltd. (Technology).......................................... 105,000 1,077,765
Amada Metrecs Co. (Technology)............................................... 20,000 269,808
Asahi Bank Ltd. (Banking).................................................... 181,000 1,804,780
Asahi Glass Co. Ltd. (Metals, Materials & Paper)............................. 50,000 488,782
Asatsu Inc. (Commerical Services)............................................ 25,000 862,701
Bank of Kyoto (Banking)...................................................... 102,000 603,255
Bank of Nagoya (Banking)..................................................... 69,000 459,348
Canon Inc. (Consumer)........................................................ 70,000 1,197,517
Central Glass Co. Ltd. (Materials & Commodities) (A)......................... 250,000 794,271
Chiyoda Fire & Marine Insurance Ltd. (Insurance)............................. 5,000 26,639
Chou Trust & Banking Co. (Banking)........................................... 200,000 1,749,841
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
20
<PAGE>
THE NON-U.S. EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
OCTOBER 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------------------------------------- ------------- -----------
JAPAN (CONTINUED)
<S> <C> <C>
Chugai Pharmaceutical Co. (Health & Personal Care)........................... 218,000 $ 1,990,439
Cosmo Oil Company Ltd. (Energy Sources)...................................... 600,000 2,932,695
Daido Hoxan Corp. (Chemicals)................................................ 183,000 1,243,316
Daido Steel Co. (Metals, Materials & Paper).................................. 500,000 2,223,960
Daiei Inc. (Retail).......................................................... 215,000 2,248,888
Dai Ichi Kangyo Bank Ltd. (Banking).......................................... 330,000 5,580,918
Dai Ichi Katei Denki Co. (Retail)............................................ 101,000 399,873
Daiken Corp. (Transport & Trade Services).................................... 15,000 120,240
Daikin Industries (Machinery & Engineering).................................. 220,000 1,752,774
Dainichiseika Color & Chemical Manufacturing Co. (Chemicals)................. 140,000 953,908
Dai Nippon Ink & Chemicals Inc. (Chemicals).................................. 612,000 2,602,473
Daishi Bank (Banking) (A).................................................... 180,000 879,808
Daiso Co (Chemicals)......................................................... 74,000 300,210
Daito Trust Construction Co. Ltd. (Building & Contractors)................... 45,000 395,914
Daiwa Bank (Banking)......................................................... 704,000 4,198,055
Daiwa Danchi (Building & Contractors) (A).................................... 200,000 938,462
Daiwa House Industry Co. Ltd. (Building & Contractors)....................... 75,000 1,121,756
Daiwa Securities Co. Ltd. (Financial Services)............................... 150,000 1,759,617
Denki Kagaku Kogyo (Chemicals) (A)........................................... 100,000 336,282
East Japan Railway Co. (Transportation)...................................... 825 3,895,352
Ebara Corp. (Capital Goods).................................................. 180,000 2,498,656
Eisai Co. Ltd. (Health & Personal Care)...................................... 50,000 845,594
Familymart (Retail).......................................................... 28,000 1,179,725
Fukui Bank (Banking)......................................................... 200,000 940,417
Fuji Denki Reiki (Retail).................................................... 110,000 1,311,892
Fuji Electric Co. Ltd. (Technology).......................................... 600,000 2,891,637
Fuji Fire & Marine (Insurance)............................................... 230,000 1,115,206
Fuji Heavy Industries (Automotive) (A)....................................... 355,000 1,228,506
Gakken Co. Ltd. (Broadcasting & Publishing) (A).............................. 270,000 1,491,275
Gunze Sangyo Inc. (Transportation)........................................... 200,000 860,257
Hitachi Ltd. (Electrical & Electronics)...................................... 530,000 5,440,149
Hitachi Transport System (Transport & Trade Services)........................ 107,000 941,395
Hokkai Can Co. Ltd. (Materials & Commodities)................................ 125,000 794,271
Hokkaido Takushoku Bank (Banking)............................................ 550,000 1,365,658
Honda Motor Co. Ltd. (Automotive)............................................ 400,000 6,960,262
Hyakugo Bank (Banking)....................................................... 10,000 57,970
Industrial Bank of Japan Ltd. (Banking)...................................... 100,000 2,727,406
Intec Inc. (Technology)...................................................... 5,000 68,430
Iseki and Co. (Capital Goods) (A)............................................ 50,000 176,450
Ishikawajima-Harima Heavy Industries (Machinery & Engineering)............... 950,000 3,826,189
Ishizuka Glass Co. Ltd. (Materials & Commodities)............................ 130,000 575,688
Itoham Foods Inc (Food Processing)........................................... 100,000 732,196
Itoki Crebio Corp. (Transport & Trade Service)............................... 15,000 112,029
Izumiya Co. Ltd. (Retail).................................................... 55,000 844,127
Japan Airport Terminals (Media & Leisure).................................... 60,000 686,251
Japan Organo Co. (Capital Goods)............................................. 20,000 205,289
Japan Tobacco Inc. (Beverages & Tobacco)..................................... 180 1,537,905
Kagawa Bank (Banking)........................................................ 100,000 954,103
Kaken Pharmaceutical Co. (Health & Personal Care)............................ 280,000 2,288,284
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
21
<PAGE>
THE NON-U.S. EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
OCTOBER 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------------------------------------- ------------- -----------
JAPAN (CONTINUED)
<S> <C> <C>
Kanematsu Corp. (Wholesale & International Trade Service).................... 260,000 $ 887,042
Kawasaki Kisen Kaisha Ltd. (Transport & Trade Service) (A)................... 700,000 1,874,969
Kenwood Corp. (Technology)................................................... 200,000 1,110,514
Kitz Corp. (Machinery & Engineering)......................................... 291,000 1,251,674
Kiyo Bank (Banking).......................................................... 200,000 958,014
Komatsu Forklift Co. Ltd. (Capital Goods).................................... 25,000 153,966
Kurabo Industries (Textiles & Apparel)....................................... 302,000 1,027,382
Kyodo Printing Co. (Transport & Trade Services).............................. 10,000 109,487
Lion Corp. (Chemicals)....................................................... 100,000 555,257
Maeda Corp. (Building & Contractors) (A)..................................... 5,000 48,145
Marubeni Corp. (Transport & Trade Services).................................. 500,000 2,434,137
Maruetsu Inc. (Retail)....................................................... 40,000 308,910
Maruha Corp. (Fishery) (A)................................................... 310,000 909,135
Marutomi Group Co. (Merchandising)........................................... 60,000 604,135
Matsui Construction Co. Ltd. (Engineering & Construction).................... 35,000 260,032
Matsumoto Yushi Seiyaku Co. (Chemicals)...................................... 44,000 984,994
Matsushita Electric Industries Co. Ltd. (Consumer Electronics)............... 380,000 5,386,383
Matsushita Refrigeration Co. (Consumer)...................................... 75,000 491,226
Minebea Co. (Capital Goods).................................................. 250,000 2,028,447
Mitsubishi Electric Corp. Ltd. (Electrical & Electronics).................... 400,000 2,987,438
Mitsubishi Gas Chemical Corp. (Chemicals).................................... 750,000 3,269,955
Mitsubishi Motors Corp. (Automotive)......................................... 250,000 2,082,213
Mitsubishi Pencil Co. Ltd. (Business & Public Services)...................... 30,000 230,510
Mitsui Home Co. Ltd. (Building & Contractors)................................ 14,000 198,446
Mitsui Toatsu Chemicals Inc. (Chemicals)..................................... 650,000 2,395,523
Miyazaki Bank (Banking)...................................................... 10,000 59,143
Mizuno Corp. (Retail)........................................................ 262,000 2,107,884
Morinaga Milk Industry Co. Ltd. (Food & Household Products).................. 230,000 957,818
Nagasakiya Co. (Merchandising) (A)........................................... 435,000 1,632,924
Nagase & Co. Ltd. (Transport & Trade Services)............................... 100,000 791,828
Nagoya Railroad Co. Ltd. (Transport & Trade Services)........................ 150,000 705,313
Naigai Co. (Textile & Apparel)............................................... 115,000 493,524
Nichias Corp. (Metals, Materials & Paper).................................... 104,000 484,950
Nichicon Corp. (Technology).................................................. 75,000 1,011,780
Nihon Matai Co. (Wholesale & International Trade)............................ 94,000 513,671
Nippon Credit Bank (Banking)................................................. 193,000 756,567
Nippon Express Co. Ltd. (Transport & Trade Services)......................... 11,000 89,252
Nippon Koshuha Steel Co. (Metal, Materials & Paper) (A)...................... 350,000 1,159,881
Nippon Paper Industries (Metal, Materials & Paper)........................... 390,000 2,680,190
Nippon Road Co. Ltd. (Building & Contractors)................................ 250,000 2,052,886
Nippon Shokubai Kagaku Kogyo Co. Ltd. (Chemicals)............................ 100,000 871,988
Nippon Suisan Kaisha (Food & Household Products) (A)......................... 400,000 1,622,758
Nippon Telephone & Telegraph (Telecommunications)............................ 60 492,106
Nippon Zeon Co. Ltd. (Chemicals) (A)......................................... 250,000 1,207,293
Nissan Diesel Motor Co. (Automotive) (A)..................................... 340,000 1,429,200
Nissin Electric Co. Ltd. (Electrical & Electronics).......................... 200,000 1,327,533
Nisshin Steel Co. Ltd. (Metals, Materials & Paper)........................... 550,000 2,037,734
NKK Corp. (Metals, Materials & Paper) (A).................................... 500,000 1,207,293
Nomura Securities Co. Ltd. (Financial Services).............................. 370,000 6,763,771
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
22
<PAGE>
THE NON-U.S. EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
OCTOBER 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------------------------------------- ------------- -----------
JAPAN (CONTINUED)
<S> <C> <C>
North Pacific Bank (Banking)................................................. 220,000 $ 1,032,309
Okamura Corp. (Building & Contractors)....................................... 300,000 2,621,829
Okamura Corp. (Transportation)............................................... 140,000 985,385
OSG Corp. (Capital Goods).................................................... 10,000 70,385
Osaka Gas Co. Ltd. (Utilities)............................................... 519,000 1,740,232
Osaka Sanso Kogyo (Chemicals)................................................ 300,000 953,126
Parco Co. (Retail)........................................................... 77,000 715,089
Ricoh Corp. Ltd. (Electrical & Electronics).................................. 270,000 2,903,368
Ryobi Ltd. (Metals, Materials & Paper)....................................... 400,000 1,970,771
Sagami Co. Ltd. (Retail)..................................................... 10,000 62,857
San-in Godo Bank Ltd. (Banking).............................................. 100,000 829,953
Sakura Bank Ltd. (Banking)................................................... 358,000 3,464,685
Sankyo Aluminium Industry Co. Ltd. (Building & Contractors).................. 75,000 390,782
Sankyu Inc. (Transport & Trade Services)..................................... 30,000 108,510
Sekisui House Ltd. (Building & Contractors).................................. 20,000 230,705
Sekisui Plastics Co. (Chemicals)............................................. 20,000 97,365
Senko Co. Ltd. (Transportation).............................................. 90,000 500,611
Shiga Bank Ltd. (Banking).................................................... 60,000 351,923
Shikoku Electric Power Inc. (Utilities)...................................... 153,000 3,574,662
Shin Nippon Air Technologies Co. (Building & Contractors).................... 50,000 645,193
Shinmaywa Industries Ltd. (Machinery & Engineering).......................... 190,000 1,476,612
Shinobu Foods Products Co. (Food & Household Products)....................... 37,000 238,721
Showa Aluminium Co. (Metals, Materials & Paper).............................. 120,000 516,154
Snow Brand Milk Products Co. Ltd. (Food & Household Products)................ 300,000 1,964,905
Sony Corp. (Electrical & Electronics)........................................ 65,000 2,922,919
Sumitomo Bank Ltd. (Banking)................................................. 310,000 5,485,117
Sumitomo Corp. (Trade)....................................................... 220,000 2,000,098
Sumitomo Electric Industries Ltd. (Capital Goods)............................ 120,000 1,384,232
Sumitomo Forestry Co. (Engineering & Construction)........................... 200,000 2,815,387
Sumitomo Light Metal Industries (Metals, Materials & Paper) (A).............. 150,000 473,630
Sumitomo Metal Industries (Metals, Materials & Paper) (A).................... 3,100,000 8,394,350
Sumitomo Realty & Development Co. Ltd. (Building & Contractors).............. 150,000 985,385
Suruga Bank Ltd. (Banking)................................................... 37,000 227,870
SXL Corp. (Building & Contractors)........................................... 14,000 140,965
Takashimaya Co. Ltd. (Retail)................................................ 160,000 2,221,027
Tobu Railway Co. Ltd. (Transport & Trade Services)........................... 330,000 1,867,833
Tochigi Bank (Banking)....................................................... 10,000 88,958
Toenec Corp. (Technology).................................................... 50,000 405,689
Toho Gas Co. Ltd. (Utilities)................................................ 247,000 794,399
Tohoku Electric Power Co. Inc. (Utilities)................................... 151,500 3,554,426
Tokai Bank Ltd. (Banking).................................................... 220,000 2,301,188
Tokio Marine & Fire Insurance Co. Ltd. (The) (Insurance)..................... 261,000 2,679,017
Tokyo Broadcasting System Inc. (Media & Leisure)............................. 10,000 146,635
Tokyu Land Corp. (Financial Services)........................................ 500,000 2,013,784
Tomen Corp. (Transport & Trade Services)..................................... 500,000 1,632,533
Tomiya Apparel Co. (Wholesale & International Trade)......................... 80,000 531,795
Toppan Printing Co. Ltd. (Transport & Trade Services)........................ 130,000 1,715,626
Topy Industries Co. Ltd. (Capital Goods)..................................... 150,000 608,534
Toshiba Ceramics Co. (Metals, Materials & Paper) (A)......................... 10,000 93,064
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
23
<PAGE>
THE NON-U.S. EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
OCTOBER 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------------------------------------- ------------- -----------
JAPAN (CONTINUED)
<S> <C> <C>
Toshiba Corp. (Electrical & Electronics)..................................... 350,000 $ 2,535,315
Tosoh Corp. (Chemicals) (A).................................................. 250,000 1,097,317
Toyo Construction Co. (Building & Contractors)............................... 303,000 1,558,023
Toyo Shutter Co. Ltd. (Building & Contractors)............................... 40,000 236,571
Toyo Trust & Banking Co. Ltd. (Banking)...................................... 106,000 716,027
Toyoda Gosei Co. (Automotive)................................................ 199,000 1,235,300
Toyota Motor Corp. (Automotive).............................................. 97,000 1,801,652
Tsubakimoto Chain (Capital Goods)............................................ 200,000 938,462
Ube Industries Ltd. (Chemicals) (A).......................................... 321,000 1,060,638
Uni-Charm Corp. (Merchandising).............................................. 60,000 1,349,040
Yamamura Glass Co. Ltd. (Metals, Materials & Paper).......................... 15,000 89,447
Yaskawa Electric Manufacturing Co. Ltd. (Technology) (A)..................... 70,000 293,563
Yasuda Trust & Banking Co. Ltd. (Financial Services)......................... 700,000 3,127,230
Yokohama Rubber Co. Ltd. (Metals, Materials & Paper)......................... 160,000 849,308
Yuasa Trading Co. (Capital Goods)............................................ 10,000 51,811
Zexel Corp. (Machinery & Engineering)........................................ 200,000 1,196,539
-----------
248,975,043
-----------
MALAYSIA (0.9%)
Commerce Asset-Holdings (Financial Services)................................. 271,000 1,343,802
Hong Leong Industries (Multi-Industry)....................................... 100,000 476,190
Malaysia International Shipping Corp. (Transport & Trade Services)........... 333 889
Public Bank Berhad (Banking)................................................. 343,000 584,546
Sime Darby Berhad (Multi-Industry)........................................... 499,800 1,238,004
Sime U.E.P. Properties (Building & Contractors).............................. 334,000 647,672
Tan Chong Motor Holdings Berhad (Automotive)................................. 524,000 492,861
Telekom Malaysia Berhad (Telecommunications)................................. 134,000 959,780
-----------
5,743,744
-----------
NETHERLANDS (2.1%)
ABN Amro Holdings (Banking).................................................. 30,530 1,282,887
Dutch State Mines (Chemicals)................................................ 20,700 1,550,729
Elsevier NV (Broadasting & Publishing)....................................... 66,000 853,340
Internationale Nederlanden Groep (Insurance)................................. 18,000 1,073,520
Koninklijke KNP (Metals, Materials & Paper).................................. 43,300 1,303,555
Philips Electronics (Appliances & Household Durables) (A).................... 12,800 227,963
Royal Dutch Petroleum (Energy Sources)....................................... 47,140 5,852,913
Unilever NV (Food & Household Products)...................................... 14,745 1,931,672
-----------
14,076,579
-----------
NEW ZEALAND (0.2%)
Fletcher Challenge Ltd. (Forest Products).................................... 413,200 1,093,757
-----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
24
<PAGE>
THE NON-U.S. EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
OCTOBER 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------------------------------------- ------------- -----------
NORWAY (1.8%)
<S> <C> <C>
Aker AS, Series B (Building Materials)....................................... 60,000 $ 703,389
Hafslund Nycomed, Series B (Health & Personal Care).......................... 80,000 2,235,426
Kvaerner AS, Series B (Machinery & Engineering).............................. 35,000 1,393,930
Norsk Hydro AS (Energy Sources).............................................. 126,222 5,026,988
Orkla AS, A Free (Multi-Industry)............................................ 13,500 698,089
Orkla AS, B Free (Multi-Industry)............................................ 36,600 1,780,922
-----------
11,838,744
-----------
SINGAPORE (0.7%)
Cycle and Carriage Limited (Automotive)...................................... 127,000 1,132,484
DBS Land Ltd. (Building & Contractors)....................................... 116,000 343,156
Development Bank of Singapore (Banking)...................................... 149,125 1,709,713
Sembawang Corp. Ltd. (Capital Goods)......................................... 148,000 717,481
Singapore Airlines Ltd. (Transportation)..................................... 106,600 988,294
-----------
4,891,128
-----------
SPAIN (1.6%)
Banco Intercont Espana (Banking)............................................. 18,500 1,603,621
Banco Popular Espanol (Banking).............................................. 11,700 1,858,695
Empresa Nacional de Electidad (Utilities).................................... 36,800 1,830,126
Fuerzas Electricas de Cataluna (Utilities)................................... 403,300 2,441,839
Repsol (Energy Sources)...................................................... 66,800 1,994,888
Telefonica de Espana (Telecommunications).................................... 40,000 504,691
-----------
10,233,860
-----------
SWITZERLAND (5.5%)
Baer Holding AG (Banking).................................................... 490 593,455
BBC AG Brown Boveri & Cie (Machinery & Engineering).......................... 1,380 1,600,863
Bil GT Gruppe AG (Banking)................................................... 1,250 770,721
CS Holding (Banking)......................................................... 25,995 2,656,056
Ciba Geigy AG (Chemicals).................................................... 6,705 5,805,527
Compagnie Financiere Richemont AG, Series A (Multi-Industry)................. 600 835,022
Holderbank FN Glarus (Building Materials) (A)................................ 900 722,981
Merkur Holding AG (Retail)................................................... 2,540 566,035
Nestle SA (Food & Household Products)........................................ 4,555 4,774,465
Roche Holdings Genusscheine NPV (Health & Personal Care)..................... 680 4,941,425
Sandoz AG (Health & Personal Care)........................................... 4,210 3,474,650
Schweizerische Bankgesellschaft (Banking).................................... 1,100 1,191,756
Schweizerische Bankverein (Banking).......................................... 6,420 2,635,180
Schweizerische Rueckversicherungs-Gesellschaft (Insurance)................... 1,180 1,290,901
SMH AG Neuenburg (Consumer).................................................. 950 592,443
Societe Generale de Surveillance Holdings SA (Transport & Trade Service)..... 350 661,279
Swissair AG (Transportation) (A)............................................. 880 554,215
Zurich Versicherungs (Insurance)............................................. 8,050 2,304,457
-----------
35,971,431
-----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
25
<PAGE>
THE NON-U.S. EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
OCTOBER 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------------------------------------- ------------- -----------
UNITED KINGDOM (15.7%)
<S> <C> <C>
Abbey National PLC (Banking)................................................. 268,000 $ 2,268,996
Allied Colloids Group PLC (Chemicals)........................................ 504,000 1,059,794
Argos (Retail)............................................................... 159,000 1,284,569
Argyll Group PLC (Retail).................................................... 272,000 1,382,577
Barclays Bank (Banking)...................................................... 88,000 1,033,043
BAT Industries PLC (Beverages & Tobacco)..................................... 367,000 3,011,431
BICC (Industrial Components)................................................. 272,000 1,133,154
BOC Group PLC (Chemicals).................................................... 111,100 1,526,417
British Gas PLC (Utilities).................................................. 462,000 1,760,348
British Petroleum Co. Ltd. (Energy Sources).................................. 356,000 2,617,233
British Telecommunications PLC (Telecommunications).......................... 803,700 4,777,726
British Tire & Rubber PLC (Multi-Industry) (A)............................... 430,000 2,284,269
Cable & Wireless PLC (Telecommunications).................................... 265,000 1,730,356
Caradon PLC (Building & Contractors)......................................... 419,000 1,311,652
Farnell Electronic PLC (Electrical & Electronics)............................ 83,000 877,897
Forte PLC (Leisure & Tourism)................................................ 377,000 1,502,039
General Electric Co. PLC (Electrical & Electronics).......................... 321,300 1,595,070
Glaxo Holdings PLC (Health & Personal Care).................................. 433,596 5,847,548
Glynwed International PLC (Metals, Materials & Paper)........................ 207,200 1,103,975
Granada Group PLC (Leisure & Tourism)........................................ 178,000 1,905,233
Grand Metropolitan PLC (Multi-Industry)...................................... 307,000 2,125,945
Guardian Royal Exchange PLC (Insurance)...................................... 790,000 2,860,237
Guinness PLC (Beverages & Tobacco)........................................... 203,000 1,627,209
Hanson Trust PLC (Multi-Industry)............................................ 554,000 1,697,036
Hillsdown Holdings PLC (Food & Household Products)........................... 682,000 1,806,087
HSBC Holdings (Banking)...................................................... 152,520 2,269,112
Inchcape PLC (Commercial Services)........................................... 220,000 1,086,956
Kingfisher (Merchandising)................................................... 218,000 1,638,877
Lloyds Bank PLC (Banking).................................................... 170,100 2,093,642
MEPC (Real Estate)........................................................... 220,000 1,307,826
Marks & Spencer PLC (Merchandising).......................................... 203,500 1,364,174
Pearson PLC (Multi-Industry)................................................. 194,000 1,927,731
Peninsular & Orient Steam Navigation Company (Transportation)................ 131,000 998,292
Racal Electronics (Technology)............................................... 277,000 1,105,810
Reckitt & Colman (Health & Personal Care).................................... 129,900 1,382,177
Reuters Holdings PLC (Broadcasting & Publishing)............................. 174,100 1,618,511
Rexam PLC (Metals, Materials & Paper)........................................ 154,000 986,087
Rolls-Royce PLC (Machinery & Engineering).................................... 530,000 1,290,434
Royal Bank of Scotland PLC (Banking)......................................... 289,000 2,341,700
RTZ Corp. PLC (Metals, Materials & Paper).................................... 106,200 1,470,849
Sainsbury (J.) PLC (Retail).................................................. 139,000 930,696
Scottish & Newcastle PLC (Food & Household Products)......................... 194,000 1,798,909
Scottish Hydro Electric PLC (Utilities)...................................... 275,450 1,480,680
Sears Holdings (Merchandising)............................................... 1,098,000 1,762,008
Shell Transport & Trading Co. (Energy Sources)............................... 282,000 3,299,288
Smithkline Beecham (Health & Personal Care).................................. 214,000 2,234,735
Standard Chartered PLC (Financial Services).................................. 265,000 2,174,466
Tarmac PLC (Building Materials).............................................. 921,500 1,252,949
Tesco PLC (Merchandising).................................................... 194,000 920,158
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
26
<PAGE>
THE NON-U.S. EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
OCTOBER 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------------------------------------- ------------- -----------
UNITED KINGDOM (CONTINUED)
<S> <C> <C>
Thorn EMI PLC (Appliances & Household Durables).............................. 56,800 $ 1,322,789
Tomkins (Multi-Industry)..................................................... 364,000 1,435,858
Unilever PLC (Food & Household Products)..................................... 35,000 680,079
United Biscuits Holdings PLC (Food & Household Products)..................... 339,000 1,465,874
Vickers PLC (Machinery & Engineering)........................................ 328,500 1,303,613
Vodafone Group PLC (Telecommunications)...................................... 242,000 990,957
Willis Corroon Group PLC (Insurance)......................................... 601,500 1,198,245
Yorkshire Electricity Group (Utilities)...................................... 139,000 1,948,198
Yorkshire Water (Business & Public Services)................................. 235,000 2,275,692
Zeneca Group PLC (Health & Personal Care).................................... 55,000 1,024,783
-----------
102,511,996
-----------
UNITED STATES (0.0%)
U. S. Industries Inc. (Multi-Industry) (A)................................... 4,540 68,100
-----------
Total Common Stocks (cost $591,067,383).................................... 582,506,095
-----------
PREFERRED STOCKS (0.3%)
GERMANY (0.3%)
GEA AG (Machinery)........................................................... 1,355 441,848
Jungheinrich (Capital Goods)................................................. 2,930 539,123
SAP AG, 9.00 Dem (Computer Software)......................................... 6,000 951,407
-----------
1,932,378
-----------
Total Preferred Stocks (cost $1,779,770)................................... 1,932,378
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
(IN FRF)
-------------
<S> <C> <C>
CONVERTIBLE BONDS (5.2%)
FRANCE (0.1%)
Sanofi 4.00%
due 01/01/00 (Pharmaceuticals).............................................. 372,500 278,036
-----------
<CAPTION>
PRINCIPAL
AMOUNT
(IN YEN)
-------------
<S> <C> <C>
JAPAN (4.7%)
Bot Cayman Finance 4.25% due 03/31/03 (Banking).............................. 1,090,000,000 12,839,826
Daiwa International Finance 5.65% due 08/30/96 (Banking)..................... 1,750,000 1,850,625
Izumiya Co. Ltd. 0.80% due 08/31/99 (Retail)................................. 80,000,000 855,565
NEC Corp. 1.90% due 03/30/01 (Electrical & Electronics)...................... 700,000,000 9,422,748
SXL Corp. 2.70% due 03/29/02 (Building & Contractors)........................ 60,000,000 664,549
Toyota Motor Co. 1.70% due 05/31/96 (Automotive)............................. 75,000,000 960,457
Yamanouchi Pharmaceutical 1.25% due 03/31/14 (Health & Personal Care)........ 250,000,000 2,776,895
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
27
<PAGE>
THE NON-U.S. EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
OCTOBER 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
SECURITY DESCRIPTION (IN YEN) VALUE
- ------------------------------------------------------------------------------- ------------- -----------
JAPAN (CONTINUED)
<S> <C> <C>
Yamato Transport 3.90% due 03/30/01 (Transportation)......................... 132,000,000 $ 1,548,463
-----------
30,919,128
-----------
<CAPTION>
PRINCIPAL
AMOUNT
(IN CHF)
-------------
<S> <C> <C>
SWITZERLAND (0.4%)
Sandoz Capital BVI Ltd. 1.25% due 10/23/02 (Financial Services).............. 2,950,000 2,725,755
-----------
Total Convertible Bonds (cost $33,791,074)................................. 33,922,919
-----------
<CAPTION>
SHARES
-------------
<S> <C> <C>
WARRANTS(A) (0.1%)
FRANCE (0.0%)
LaGardere Groupe, Expiring 12/31/96 (Leisure & Tourism)...................... 16,000 5,562
-----------
GERMANY (0.1%)
Veba International, Expiring 04/06/98 (Energy Sources)....................... 3,500 498,544
-----------
JAPAN (0.0%)
Maeda Corp., Expiring 02/05/97 (Construction & Housing)...................... 15 15,562
-----------
SWITZERLAND (0.0%)
Holderbank FN Glarus, Expiring 12/20/95 (Building Materials & Components).... 4,500 5,351
-----------
UNITED KINGDOM (0.0%)
British Tire & Rubber, Expiring 5/15/96 (Multi-Industry)..................... 5,000 5,850
-----------
Total Warrants (cost $565,020)............................................. 530,869
-----------
<CAPTION>
PRINCIPAL
AMOUNT
(IN US
DOLLARS)
-------------
<S> <C> <C>
TIME DEPOSITS (4.1%)
UNITED STATES (4.1%)
State Street Bank & Trust Co. (Banking) 5.50% due 11/01/95
(cost $26,586,000).......................................................... 26,586,000 26,586,000
-----------
TOTAL INVESTMENTS (COST $653,789,247) (98.8%) 645,478,261
-----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
28
<PAGE>
THE NON-U.S. EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
OCTOBER 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LOCAL
SECURITY DESCRIPTION CURRENCY VALUE
- ------------------------------------------------------------------------------- ------------- -----------
FOREIGN CURRENCY (1.2%)
<S> <C> <C>
Australian Dollar............................................................ AUD 61,043 $ 46,498
Austrian Schilling........................................................... ATS 95,844 9,680
Belgian Franc................................................................ BEF 4,928 170
British Pound................................................................ GBP 555,545 878,333
Canadian Dollar.............................................................. CAD 3 2
Danish Kroner................................................................ DKK 93,655 17,140
Finish Markka................................................................ FIM 5,667 1,334
French Franc................................................................. FRF 7,507,436 1,535,232
German Mark.................................................................. DEM 203,717 144,726
Greek Drachma................................................................ GRD 73,093 315
Hong Kong Dollar............................................................. HKD 753,587 97,467
Italian Lira................................................................. ITL 225,050 141
Japanese Yen................................................................. JPY 43,863,473 428,794
Malaysian Ringgit............................................................ MRY 934,153 367,632
Netherlands Guilder.......................................................... NLG5,272,006 3,341,365
Singapore Dollar............................................................. SGD 835,581 591,353
Spanish Peseta............................................................... ESP 4,342,508 35,578
Swiss Franc.................................................................. CHF 344,626 303,555
-----------
Total Foreign Currency (Cost $7,821,779)................................... 7,799,315
-----------
TOTAL INVESTMENTS AND FOREIGN CURRENCY (COST $661,611,026) (100.0%) 653,277,576
OTHER ASSETS NET OF LIABILITIES (0.0%) 25,380
-----------
NET ASSETS (100.0%) $653,302,956
-----------
-----------
</TABLE>
- ------------------------
(A) Non-Income-Producing Security
The cost of investments for Federal Income Tax purposes at October 31,
1995, was $654,078,384, the aggregate gross unrealized appreciation and
depreciation of investments was $38,928,739, and $47,528,862, respectively,
resulting in net unrealized depreciation of $8,600,123.
The Accompanying Notes are an Integral Part of the Financial Statements.
29
<PAGE>
THE NON-U.S. EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
OCTOBER 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INDUSTRY DIVERSIFICATION
PERCENT OF
TOTAL INVESTMENTS
-----------------
<S> <C>
Banking 14.5%
Energy Sources 6.4%
Chemicals 5.7%
Health & Personal Care 5.0%
Electrical & Electronics 5.3%
Short Term Investments 5.3%
Metals, Materials & Paper 4.8%
Utilities 4.1%
Automotive 3.9%
Insurance 3.4%
Financial Services 3.6%
Food & Household Products 3.1%
Multi-Industry 3.1%
Retail 2.9%
Machinery & Engineering 2.8%
Building & Contractors 2.8%
Merchandising 2.6%
Transportation 2.2%
Transport & Trade Service 2.0%
Telecommunications 1.9%
Technology 1.8%
Capital Goods 1.4%
Broadcasting & Publishing 1.4%
Beverages & Tobacco 1.3%
Consumer Electronics 0.8%
Building Materials 0.7%
Leisure & Tourism 0.7%
Pharmaceuticals 0.6%
Engineering & Construction 0.6%
Business & Public Services 0.6%
Food Processing 0.6%
Consumer 0.3%
Materials & Commodities 0.3%
Trade 0.3%
Commercial Services 0.3%
Wholesale & International Trade 0.3%
Metals & Mining 0.3%
Industrial components 0.3%
Appliances & Household Durables 0.2%
Textiles & Apparel 0.2%
Tire & Rubber 0.2%
Glass & Packaging 0.2%
Real Estate 0.2%
Media & Leisure 0.2%
Forest Products 0.2%
Construction & Housing 0.2%
Environmental Control 0.2%
Computer Software 0.1%
Fishery 0.1%
-----
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
OCTOBER 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments, at Value (Cost $653,789,247) $645,478,261
Foreign Currency, at Value (Cost $7,821,779) 7,799,315
Cash 435
Receivable for Investments Sold 5,575,338
Dividends and Interest Receivable 1,731,676
Unrealized Appreciation on Open Forward Foreign Currency Contracts 1,850,307
Foreign Tax Reclaim Receivable 878,932
Prepaid Expenses 6,724
------------
Total Assets 663,320,988
------------
LIABILITIES
Payable for Investments Purchased 8,984,332
Advisory Fee Payable 496,411
Custody Fee Payable 468,412
Fund Services Fee Payable 4,462
Administration Fee Payable 3,156
Accrued Expenses and Other Liabilities 61,259
------------
Total Liabilities 10,018,032
------------
NET ASSETS
Applicable to Investors' Beneficial Interests $653,302,956
------------
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
31
<PAGE>
THE NON-U.S. EQUITY PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE FISCAL YEAR ENDED OCTOBER 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
$ 9,441,029
Dividends (Net of Foreign Withholding Tax of $1,425,275)
1,822,564
Interest (Net of Foreign Withholding Tax of $21,444)
------------
11,263,593
Investment Income
EXPENSES
Advisory Fee 3,174,965
Custodian Fees and Expenses 637,537
Financial and Fund Accounting Services Fees 349,443
Professional Fees 68,890
Fund Services Fee 48,442
Administration Fee 31,500
Trustees' Fees and Expenses 13,943
Miscellaneous 19,842
-------------
(4,344,562)
Total Expenses ------------
6,919,031
NET INVESTMENT INCOME
NET REALIZED GAIN ON
Investment Transactions 9,909,433
Foreign Currency Transactions 5,169,417
-------------
15,078,850
Net Realized Gain
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) OF
Investments (32,387,251)
Foreign Currency Contracts and Translations 4,399,920
-------------
(27,987,331)
Net Change in Unrealized Appreciation (Depreciation)
------------
$ (5,989,450)
NET DECREASE 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 FISCAL FOR THE FISCAL
YEAR ENDED YEAR ENDED
OCTOBER 31, 1995 OCTOBER 31, 1994
----------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 6,919,031 $ 2,975,662
Net Realized Gain on Investments and Foreign Currency Transactions 15,078,850 11,298,758
Net Change in Unrealized Appreciation of Investments and Foreign
Currency Translations (27,987,331) 6,493,611
----------------- -----------------
Net Increase (Decrease) in Net Assets Resulting from Operations (5,989,450) 20,768,031
----------------- -----------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS
Contributions 373,795,232 343,552,141
Withdrawals (138,078,647) (124,114,838)
----------------- -----------------
Net Increase from Investors' Transactions 235,716,585 219,437,303
----------------- -----------------
Total Increase in Net Assets 229,727,135 240,205,334
NET ASSETS
Beginning of Fiscal Year 423,575,821 183,370,487
----------------- -----------------
End of Fiscal Year $ 653,302,956 $ 423,575,821
----------------- -----------------
----------------- -----------------
<CAPTION>
- -------------------------------------------------------------------------------------------
SUPPLEMENTARY DATA
- -------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
FOR THE PERIOD
OCTOBER 4, 1993
FOR THE FISCAL FOR THE FISCAL (COMMENCEMENT
YEAR ENDED YEAR ENDED OF OPERATIONS) THROUGH
RATIOS TO AVERAGE NET ASSETS OCTOBER 31, 1995 OCTOBER 31, 1994 OCTOBER 31, 1993
----------------- ----------------- ----------------------
<S> <C> <C> <C>
Expenses 0.82% 0.95% 0.99% (a)
Net Investment Income 1.31% 0.93% 0.43% (a)
Decrease Reflected in Expense Ratio
due to Expense Reimbursement -- -- 0.17% (a)
Portfolio Turnover 59% 56% 54% (b)
</TABLE>
- ------------------------
(a) Annualized.
(b) 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.
The Accompanying Notes are an Integral Part of the Financial Statements.
33
<PAGE>
THE NON-U.S. EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
OCTOBER 31, 1995
- --------------------------------------------------------------------------------
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 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.
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.
Foreign security and currency transactions may involve certain
considerations and risks not typically associated with those of domestic
origin as a result of, among other factors, the possibility of political
or economic instability and the level of governmental supervision and the
regulation of foreign securities markets.
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 expense are translated at the exchange rate prevailing on the
respective dates of such transactions. Translation gains and losses
resulting from changes in the exchange rate during the reporting period
and gains and losses realized upon settlement of foreign currency
transactions are
34
<PAGE>
THE NON-U.S. EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
OCTOBER 31, 1995
- --------------------------------------------------------------------------------
reported in the Statement of Operations. Since 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 October
31, 1995, the Portfolio had open foreign currency contracts as follows:
<TABLE>
<CAPTION>
U.S. DOLLAR
VALUE AT NET UNREALIZED
OPEN FORWARD FOREIGN CURRENCY SALE CONTRACTS PROCEEDS 10/31/95 APPRECIATION
- --------------------------------------------------- ------------- ------------- ---------------
<S> <C> <C> <C>
Japanese Yen, 7,900,714,279, expiring 01/30/96 $ 80,210,297 $ 78,359,990 $ 1,850,307
</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 income, which
includes the amortization of premiums and discounts, if any, is recorded
on an accrual basis. For financial and tax reporting purposes, realized
gains and losses are determined on the basis of specific lot
identification.
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 fiscal year ended
October 31, 1995, such fees amounted to $3,174,965.
b)The Portfolio retains 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 provides for a fee to be
paid to Signature at an annual rate determined
35
<PAGE>
THE NON-U.S. EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
OCTOBER 31, 1995
- --------------------------------------------------------------------------------
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 fiscal year ended October 31, 1995, such expenses amounted to $31,500.
c)During the period November 1, 1994 through 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
percentages described below, for overseeing certain aspects of the
administration and operation of the Portfolio and which 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% on the next $200 million of
average daily net assets, 0.05% of the next $200 million of average daily
assets and 0.03% on any excess over $600 million. During the period
November 1, 1994, through August 31, 1995, the fee for these services
amounted to $349,443. Effective September 1, 1995, the Services Agreement
was terminated and an interim agreement was entered into between the
Portfolio and Morgan which provides for the continuation of the oversight
services that were outlined under the prior agreement and that Morgan
shall bear all of its expenses incurred in connection with these services.
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 $48,442 for the fiscal year ended October 31, 1995.
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 their
corresponding Portfolios. The Trustees' Fees and Expenses shown in the
financial statements represent the Portfolio's allocated portion of the
total fees and expenses. Prior to April 1, 1995, an aggregate annual fee
of $55,000 was paid to each Trustee. The Trustee who serves as Chairman
and Chief Executive Officer of these Funds and Portfolios 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 $6,200.
3. INVESTMENT TRANSACTIONS
Investment transactions (excluding short-term investments) for the fiscal
year ended October 31, 1995, were as follows:
<TABLE>
<CAPTION>
COST OF PURCHASES PROCEEDS FROM SALES
- ----------------- -------------------
<S> <C>
$ 544,468,560 $ 299,154,541
</TABLE>
36
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
To the Trustees and Shareholders of
The Non-U.S. Equity Portfolio
In our opinion, the accompanying statement of assets and liabilities, including
the schedule of investments, and the related statements of operations and of
changes in net assets and the supplementary data present fairly, in all material
respects, the financial position of The Non-U.S. Equity Portfolio (the
"Portfolio") at October 31, 1995, the results of its operations for the year
then ended, the changes in its net assets for each of the two years in the
period then ended, and the supplementary data for each of the two years in the
period then ended and for the period October 4, 1993 (commencement of
operations) through October 31, 1993, in conformity with generally accepted
accounting principles. These financial statements and supplementary data
(hereafter referred to as "financial statements") are the responsibility of the
Portfolio's management; our responsibility is to express an opinion on these
financial statements based on our audits. We conducted our audits of these
financial statements in accordance with generally accepted auditing standards
which require that we plan and perform the audits to obtain reasonable assurance
about whether the financial statements are free of material misstatement. An
audit includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, and evaluating the overall
financial statement presentation. We believe that our audits, which included
confirmation of securities at October 31, 1995 by correspondence with the
custodian and brokers and the application of alternative auditing procedures
where confirmations from brokers were not received, provide a reasonable basis
for the opinion expressed above.
PRICE WATERHOUSE LLP
New York, New York
December 22, 1995
37
