<PAGE>
THE U.S. SMALL COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED)
NOVEMBER 30, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------------- -------------
<S> <C> <C>
COMMON STOCKS (92.3%)
BASIC INDUSTRIES (6.3%)
AGRICULTURE (0.7%)
Dekalb Genetics Corp. Class B..................... 109,000 $ 4,891,375
-------------
CHEMICALS (1.7%)
Albemarle Corp.................................... 213,300 3,919,388
Applied Extrusion Technologies, Inc. (a).......... 10,900 138,975
Wellman, Inc...................................... 322,500 8,264,063
-------------
12,322,426
-------------
METALS & MINING (3.6%)
Allegheny Ludlum Corp............................. 427,800 7,967,775
Commercial Metals Co.............................. 216,500 5,087,750
Freeport McMoRan Copper & Gold Inc. Class A....... 90,800 2,451,600
J&L Specialty Steel, Inc.......................... 16,400 270,600
Kaiser Aluminum Corp. (a)......................... 172,286 2,498,147
Maverick Tube Corp. (a)........................... 128,400 818,550
Minera Rayrock, Inc. *(a)......................... 696,600 769,157
Oregon Steel Mills, Inc........................... 107,300 1,475,375
Schnitzer Steel Industries, Inc. Class A.......... 6,500 192,563
Steel Technologies, Inc........................... 416,700 3,646,125
-------------
25,177,642
-------------
PAPER & FOREST PRODUCTS (0.3%)
Glatfelter (P.H.) Co.............................. 128,800 2,463,300
-------------
Total Basic Industries............................ 44,854,743
-------------
CONSUMER GOODS & SERVICES (17.3%)
AUTOMOTIVE SUPPLIES (0.9%)
Excel Industries, Inc............................. 199,500 2,443,875
Simpson Industries, Inc........................... 408,900 3,884,550
-------------
6,328,425
-------------
BEVERAGES, FOOD, SOAP & TOBACCO (1.8%)
Adolph Coors Co. Class B.......................... 110,000 2,241,250
Bush Boake Allen, Inc. (a)........................ 55,000 1,691,250
Dreyer's Grand Ice Cream, Inc..................... 29,000 957,000
Eskimo Pie Corp................................... 39,400 738,750
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
16
<PAGE>
THE U.S. SMALL COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
NOVEMBER 30, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------------- -------------
<S> <C> <C>
CONSUMER GOODS & SERVICES (CONTINUED)
Nabisco Holdings Corp. Class A.................... 84,600 $ 2,389,950
Riviana Foods Inc................................. 77,000 981,750
Sanfilippo, John B. and Son Inc. (a).............. 12,000 108,000
Universal Foods Corp.............................. 102,300 3,567,713
-------------
12,675,663
-------------
ENTERTAINMENT, LEISURE & MEDIA (3.2%)
Boyd Gaming Corp. (a)............................. 274,400 3,292,800
Carmike Cinemas, Inc. (a)......................... 6,100 149,450
Comcast UK Cable Partners Ltd.* (a)............... 71,400 910,350
Heritage Media Corp. Class A(a)................... 72,800 1,901,900
IMAX Corp. (a).................................... 94,100 2,217,231
K-III Communications Corp. (a).................... 100,000 1,175,000
Nelson Thomas, Inc................................ 33,000 536,250
Paging Network, Inc. (a).......................... 324,600 7,262,925
People's Choice TV Corp. (a)...................... 42,000 897,750
Pixar, Inc. (a)................................... 7,100 290,213
Sports Club Company, Inc. (a)..................... 51,200 185,600
Starbucks Corp. (a)............................... 25,400 1,073,150
Telewest Communications PLC (ADR) (a)............. 54,000 1,370,250
Videotron Holdings PLC (ADR) (a).................. 69,000 1,017,750
-------------
22,280,619
-------------
HOME CONSTRUCTION (0.6%)
Bush Industries, Inc.............................. 50,600 847,550
D.R. Horton, Inc.................................. 301,815 3,055,875
-------------
3,903,425
-------------
MERCHANDISING (4.3%)
Borders Group Inc. (a)............................ 94,500 1,665,563
Catherines Stores Corp. (a)....................... 151,900 1,243,681
Dollar General Corp............................... 82,300 2,232,388
Fastenal Co....................................... 22,900 948,919
First Brands Corp................................. 31,200 1,427,400
Garden Ridge Corp. (a)............................ 30,700 1,147,413
Hannaford Brothers Co............................. 39,200 940,800
Kohls Corp. (a)................................... 37,400 2,019,600
Leslie's Poolmart (a)............................. 58,000 812,000
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
17
<PAGE>
THE U.S. SMALL COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
NOVEMBER 30, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------------- -------------
<S> <C> <C>
CONSUMER GOODS & SERVICES (CONTINUED)
Neostar Retail Group, Inc. (a).................... 25,400 $ 268,288
Nine West Group, Inc. (a)......................... 46,500 2,063,438
Office Depot Inc. (a)............................. 37,600 921,200
One Price Clothing Stores, Inc. (a)............... 294,700 1,215,638
Penn Traffic Co. (a).............................. 125,800 1,635,400
Sam & Libby, Inc. (a)............................. 914 1,114
Scott Paper Ltd.*................................. 55,300 1,002,402
Stop and Shop Companies, Inc. (a)................. 39,000 823,875
TJX Companies, Inc................................ 424,800 7,062,300
Trans World Entertainment (a)..................... 94,400 247,800
Urban Outfitters, Inc. (a)........................ 44,900 1,015,863
Vons Companies Inc. (a)........................... 60,800 1,611,200
-------------
30,306,282
-------------
MISCELLANEOUS (2.5%)
Aaron Rents, Inc.................................. 19,900 353,225
Chaus (Bernard), Inc. (a)......................... 154,600 560,425
DeVRY, Inc. (a)................................... 116,000 3,088,500
FlightSafety International, Inc................... 21,100 1,107,750
Fruit of the Loom, Inc. Class A (a)............... 109,900 2,129,313
Gucci Group (a)................................... 34,500 1,190,250
Holson Burnes Group, Inc. (a)..................... 100,000 375,000
Johnson Worldwide Associates, Inc. (a)............ 82,800 1,873,350
Oakley, Inc. (a).................................. 15,600 499,200
Safety 1st, Inc. (a).............................. 141,300 2,826,000
SCP Pool Corp. (a)................................ 27,900 285,975
St. John Knits, Inc............................... 14,600 684,375
Warnaco Group, Inc. Class A....................... 69,000 1,742,250
Wolverine World Wide, Inc......................... 22,100 696,150
-------------
17,411,763
-------------
PERSONAL SECURITY (1.9%)
ADT Ltd. (a)...................................... 796,000 11,144,000
Pinkerton's, Inc. (a)............................. 124,500 2,490,000
-------------
13,634,000
-------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
18
<PAGE>
THE U.S. SMALL COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
NOVEMBER 30, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------------- -------------
<S> <C> <C>
CONSUMER GOODS & SERVICES (CONTINUED)
PERSONAL SERVICES (1.3%)
Equity Corp. International (a).................... 32,000 $ 624,000
Service Corp. International....................... 210,600 8,555,625
-------------
9,179,625
-------------
RESTAURANTS & HOTELS (0.8%)
Doubletree Corp. (a).............................. 27,900 589,388
Players International, Inc. (a)................... 67,200 886,200
Royal Caribbean Cruises Ltd.*..................... 146,100 3,542,925
Sbarro, Inc....................................... 32,000 716,000
-------------
5,734,513
-------------
Total Consumer Goods & Services................... 121,454,315
-------------
ENERGY (4.3%)
OIL & GAS PRODUCTION (3.5%)
Anadarko Petroleum Corp........................... 62,500 3,007,812
Devon Energy Corp................................. 130,700 3,153,138
Noble Affiliates, Inc............................. 38,900 1,055,163
Oryx Energy Co. (a)............................... 403,000 5,289,375
Pogo Producing Co................................. 67,800 1,559,400
Tejas Power Corp. Class A (a)..................... 62,000 496,000
Tesoro Petroleum Corp. (a)........................ 52,900 443,038
Texas Meridian Resources Corp. (a)................ 99,300 1,228,838
TransCanada Pipelines Ltd......................... 427,100 5,765,850
Vintage Petroleum, Inc............................ 146,200 2,997,100
-------------
24,995,714
-------------
OIL-SERVICES (0.8%)
Camco International, Inc.......................... 2,100 49,476
Dreco Energy Services Ltd. Class A (a)............ 111,700 1,675,500
Noble Drilling Corp. (a).......................... 335,400 2,473,575
Oceaneering International, Inc. (a)............... 117,700 1,147,575
-------------
5,346,126
-------------
Total Energy...................................... 30,341,840
-------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
19
<PAGE>
THE U.S. SMALL COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
NOVEMBER 30, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------------- -------------
<S> <C> <C>
FINANCE (18.4%)
BANKING (8.3%)
Banknorth Group, Inc.............................. 65,600 $ 2,222,200
Bay View Capital Corp............................. 57,000 1,613,812
Charter One Financial Inc......................... 139,400 4,443,375
Cole Taylor Financial Group, Inc.................. 34,900 946,663
Colonial Bancgroup, Inc. Class A.................. 75,700 2,223,688
Commerce Bancorp, Inc............................. 62,000 1,387,250
Community First Bankshares, Inc................... 66,000 1,369,500
First Commerce Corp............................... 186,900 6,027,525
Firstar Corp...................................... 158,700 6,506,700
FirstFed Financial Corp. (a)...................... 64,500 991,688
GBC Bancorp....................................... 70,700 1,219,575
HUBCO, Inc........................................ 63,700 1,262,056
Integra Financial Corp............................ 32,800 2,029,500
Irwin Financial Corp.............................. 19,700 770,763
Mark Twain Bancshares, Inc........................ 32,000 1,196,000
National Commerce Bancorp......................... 97,200 2,539,350
Northern Trust Corp............................... 31,700 1,652,363
Pinnacle Financial Services, Inc.................. 22,700 408,600
Roosevelt Financial Group, Inc.................... 180,200 3,040,875
Silicon Valley Bancshares (a)..................... 52,200 1,161,450
Southern National Corp............................ 232,000 6,090,000
Sterling Bancshares, Inc.......................... 52,650 908,213
Trustco Bank Corp. of New York.................... 73,044 1,588,707
Westamerica Bancorporation........................ 74,200 3,032,925
Wilmington Trust Corp............................. 127,100 4,059,256
-------------
58,692,034
-------------
FINANCIAL SERVICES (0.7%)
Donaldson, Lufkin & Jenrette, Inc. (a)............ 17,100 568,575
Litchfield Financial Corp......................... 38,800 526,225
Payco American Corp. (a).......................... 78,000 663,000
Southwest Securities Group, Inc................... 105,700 1,083,425
SPS Transaction Services, Inc. (a)................ 62,400 1,723,800
WFS Financial, Inc. (a)........................... 14,300 232,375
-------------
4,797,400
-------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
20
<PAGE>
THE U.S. SMALL COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
NOVEMBER 30, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------------- -------------
<S> <C> <C>
FINANCE (CONTINUED)
INSURANCE (4.5%)
AMBAC Inc......................................... 102,000 $ 4,500,750
Capital Re Corp................................... 337,500 10,125,000
First Colony Corp................................. 112,400 2,922,400
Fremont General Corp.............................. 55,200 1,904,400
Mid Ocean Limited*................................ 39,300 1,463,925
MMI Companies, Inc................................ 207,600 4,878,600
Partner Re Limited*............................... 128,900 3,391,681
RenaissanceRe Holdings Ltd. (a)................... 61,100 1,672,613
USF&G Corp........................................ 68,000 1,173,000
-------------
32,032,369
-------------
REAL ESTATE INVESTMENT TRUSTS (4.9%)
Associated Estates Realty Corp.................... 46,200 889,350
Bay Apartment Communities, Inc.................... 31,100 676,425
Cali Realty Corp.................................. 71,900 1,420,025
Capstone Capital Trust Inc........................ 83,100 1,537,350
CenterPoint Properties Corp....................... 49,900 1,110,275
Chelsea GCA Realty, Inc........................... 55,700 1,552,638
Colonial Properties Trust......................... 43,400 1,068,725
Developers Diversified Realty Corp................ 64,500 1,822,125
Gables Residential Trust.......................... 24,200 532,400
Health & Retirement Property Trust................ 132,400 2,151,500
Healthcare Realty Trust, Inc...................... 145,400 3,017,050
Home Properties of New York, Inc.................. 52,500 885,937
Hospitality Properties Trust...................... 26,500 692,312
Liberty Property Trust............................ 63,100 1,230,450
MerryLand & Investment Company, Inc............... 39,500 873,937
ROC Communities, Inc.............................. 94,000 2,103,250
Security Capital Industrial Trust................. 100,600 1,672,475
Security Capital Pacific Trust.................... 174,700 3,362,975
Sovran Self Storage, Inc.......................... 43,900 1,092,012
Starwood Lodging Trust............................ 60,100 1,660,262
Storage Trust Realty.............................. 71,900 1,446,987
Summit Properties, Inc............................ 38,900 739,100
Sun Commodities, Inc.............................. 31,700 792,500
Vornado Realty Trust.............................. 35,100 1,246,050
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
21
<PAGE>
THE U.S. SMALL COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
NOVEMBER 30, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------------- -------------
<S> <C> <C>
FINANCE (CONTINUED)
Wellsford Residential Property Trust.............. 44,500 $ 928,937
-------------
34,505,047
-------------
Total Finance..................................... 130,026,850
-------------
HEALTHCARE (10.0%)
BIOTECHNOLOGY (3.3%)
Allergan, Inc..................................... 45,900 1,422,900
Athena Neurosciences, Inc. (a).................... 129,800 1,184,425
GeneMedicine, Inc. (a)............................ 68,100 449,034
Genzyme Corp. (a)................................. 26,100 1,709,550
Human Genome Sciences, Inc. (a)................... 28,600 772,200
Incyte Pharmaceuticals, Inc. (a).................. 88,700 1,574,425
IVAX Corp......................................... 52,700 1,403,138
Myriad Genetics, Inc. (a)......................... 14,600 456,250
Neurogen Corp. (a)................................ 45,800 950,350
Norland Medical Systems (a)....................... 10,800 230,850
North American Biologicals, Inc. (a).............. 197,565 1,876,867
Northfield Laboratories, Inc. (a)................. 12,300 202,950
Oncor, Inc. (a)................................... 142,400 836,600
Perseptive Biosystems, Inc. (a)................... 359,600 3,371,250
SangStat Medical Corp. (a)........................ 104,300 814,844
Sequana Therapeutics, Inc. (a).................... 66,300 770,738
Somatogen, Inc. (a)............................... 90,100 1,238,875
Targeted Genetics Corp. (a)....................... 108,400 562,325
Vertex Pharmaceuticals, Inc. (a).................. 101,500 2,061,719
Vical, Inc. (a)................................... 124,800 1,162,200
-------------
23,051,490
-------------
HEALTH SERVICES (4.9%)
Advocat, Inc. (a)................................. 156,300 1,621,612
American Oncology Resources, Inc. (a)............. 34,100 1,227,600
Apria Healthcare Group, Inc. (a).................. 179,500 5,452,312
Caremark International, Inc....................... 50,000 981,250
Enterprise Systems, Inc. (a)...................... 6,700 210,213
HCIA, Inc. (a).................................... 19,900 897,987
Health Care & Retirement Corp. (a)................ 173,600 5,815,600
Health Management Associates, Inc. Class A (a).... 243,350 6,448,775
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
22
<PAGE>
THE U.S. SMALL COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
NOVEMBER 30, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------------- -------------
<S> <C> <C>
HEALTHCARE (CONTINUED)
Mariner Health Group, Inc. (a).................... 253,000 $ 3,368,063
Owens & Minor, Inc. Holding Co.................... 243,200 3,161,600
Physician Sales & Services, Inc. (a).............. 35,500 678,937
Sierra Health Services, Inc. (a).................. 24,200 792,550
Sterling House Corp. (a).......................... 10,900 121,263
Summit Care Corp. (a)............................. 147,000 3,307,500
Total Renal Care Holdings, Inc. (a)............... 22,000 591,250
Vivra, Inc. (a)................................... 3,800 86,450
-------------
34,762,962
-------------
HOSPITAL SUPPLIES (1.8%)
CellPro, Inc. (a)................................. 203,000 2,537,500
Fresenius USA, Inc. (a)........................... 241,900 4,172,775
InStent, Inc. (a)................................. 62,400 998,400
KeraVision, Inc. (a).............................. 109,300 1,222,794
Metra Biosystems, Inc. (a)........................ 52,300 1,098,300
Research Industries Corp. (a)..................... 26,100 721,012
Summit Medical Systems (a)........................ 4,700 105,456
Vital Signs, Inc.................................. 102,700 2,066,837
-------------
12,923,074
-------------
Total Healthcare.................................. 70,737,526
-------------
INDUSTRIAL PRODUCTS & SERVICES (11.0%)
CAPITAL GOODS (0.3%)
Gardner Denver Machinery, Inc. (a)................ 147,100 2,427,150
-------------
COMMERCIAL SERVICES (2.0%)
Advo, Inc......................................... 80,700 2,138,550
Banta Corp........................................ 139,800 6,081,300
Consolidated Graphics, Inc. (a)................... 121,100 2,936,675
Emmis Broadcasting Corp. Class A (a).............. 22,000 594,000
Leasing Solutions, Inc. (a)....................... 22,800 360,525
Measurex Corp..................................... 22,400 627,200
Robert Half International, Inc. (a)............... 34,700 1,392,337
-------------
14,130,587
-------------
DIVERSIFIED MANUFACTURING (3.2%)
Apogee Enterprises, Inc........................... 43,200 642,600
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
23
<PAGE>
THE U.S. SMALL COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
NOVEMBER 30, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------------- -------------
<S> <C> <C>
INDUSTRIAL PRODUCTS & SERVICES (CONTINUED)
Brady (WH) Co., Class A Non-Voting................ 56,400 $ 4,314,600
Collins & Aikman Corp. (a)........................ 160,200 1,021,275
Greenfield Industries, Inc........................ 33,800 1,043,575
Kaydon Corp....................................... 130,327 3,877,228
Kuhlman Corp...................................... 44,600 512,900
Libbey, Inc....................................... 73,300 1,658,412
PACCAR, Inc....................................... 103,500 4,554,000
Regal-Beloit Corp................................. 21,600 475,200
Trinova Corp...................................... 27,300 839,475
USG Corp. (a)..................................... 81,100 2,382,313
Whittaker Corp. (a)............................... 35,300 626,575
Worldtex, Inc. (a)................................ 52,000 292,500
Zoltek Companies, Inc. (a)........................ 22,100 310,781
-------------
22,551,434
-------------
ELECTRICAL EQUIPMENT (0.8%)
Charter Power Systems, Inc........................ 24,200 595,925
Encore Wire Corp. (a)............................. 76,200 790,575
Grainger (W.W.), Inc.............................. 54,900 3,671,437
Integrated Device Technology, Inc. (a)............ 35,600 602,975
-------------
5,660,912
-------------
MACHINERY (3.3%)
Applied Power, Inc. Class A....................... 145,600 4,750,200
Black & Decker Corp............................... 280,500 10,483,688
Briggs & Stratton Corp............................ 16,000 666,000
Coltec Industries, Inc. (a)....................... 325,500 3,580,500
Intermet Corp. (a)................................ 319,700 3,856,381
-------------
23,336,769
-------------
POLLUTION CONTROL (1.4%)
Dames & Moore, Inc................................ 426,000 5,591,250
Mid-American Waste Systems, Inc. (a).............. 225,400 901,600
Sevenson Environmental Services, Inc.............. 34,300 604,538
Tetra Technologies, Inc. (a)...................... 164,700 2,717,550
-------------
9,814,938
-------------
Total Industrial Products & Services.............. 77,921,790
-------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
24
<PAGE>
THE U.S. SMALL COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
NOVEMBER 30, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------------- -------------
<S> <C> <C>
TECHNOLOGY (17.3%)
AEROSPACE (0.8%)
Orbital Sciences Corp. (a)........................ 156,600 $ 2,466,450
Rohr Industries, Inc. (a)......................... 230,500 3,371,062
-------------
5,837,512
-------------
COMPUTER-PERIPHERALS (2.6%)
Alantec Corporation (a)........................... 73,500 3,031,875
Boca Research, Inc. (a)........................... 41,300 1,197,700
FEI Co. (a)....................................... 59,200 677,100
Mylex Corp. (a)................................... 60,700 1,145,713
Network Appliance, Inc. (a)....................... 12,200 371,337
Planar Systems, Inc. (a).......................... 191,000 2,960,500
Quantum Corp. (a)................................. 144,100 2,692,868
Read-Rite Corp. (a)............................... 221,500 6,063,562
-------------
18,140,655
-------------
COMPUTER-SOFTWARE (4.8%)
Arbor Software Corporation (a).................... 3,500 150,500
Astea International, Inc. (a)..................... 6,300 130,725
Autodesk, Inc..................................... 76,700 2,713,262
Avid Technology, Inc. (a)......................... 161,100 6,383,587
BMC Software, Inc. (a)............................ 37,200 1,576,350
Checkfree Corp. (a)............................... 23,300 583,956
Clarify, Inc. (a)................................. 5,500 153,313
CyCare Systems, Inc. (a).......................... 1,900 53,200
DST Systems, Inc. (a)............................. 31,800 918,225
Fractal Design Corp. (a).......................... 5,400 78,300
Inso Corp. (a).................................... 36,500 1,469,125
Logic Works, Inc. (a)............................. 21,100 305,950
Microtec Research, Inc. (a)....................... 55,400 754,825
On Technology Corp. (a)........................... 22,100 325,975
Phoenix Technologies Ltd. (a)..................... 101,000 1,237,250
Pinnacle Systems, Inc. (a)........................ 49,500 1,621,125
Policy Management Systems Corp. (a)............... 62,900 2,814,775
Quarterdeck Corp. (a)............................. 39,400 1,260,800
Rational Software Corp. (a)....................... 150,500 2,643,156
Sybase, Inc. (a).................................. 43,400 1,527,138
Symantec Corp. (a)................................ 191,000 5,073,438
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
25
<PAGE>
THE U.S. SMALL COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
NOVEMBER 30, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------------- -------------
<S> <C> <C>
TECHNOLOGY (CONTINUED)
SYNC Research, Inc. (a)........................... 5,000 $ 252,500
Vantive Corp. (a)................................. 40,800 1,030,200
Verity, Inc. (a).................................. 25,700 1,278,575
-------------
34,336,250
-------------
ELECTRONICS (1.5%)
Amphenol Corp. (a)................................ 40,300 906,750
Dynamics Corp. of America......................... 20,200 469,650
General Signal Corp............................... 113,600 3,663,600
Input/Output, Inc. (a)............................ 32,900 1,517,513
Nimbus CD International, Inc. (a)................. 111,700 984,356
Symbol Technologies, Inc. (a)..................... 56,700 2,182,950
Vishay Intertechnology, Inc. (a).................. 27,900 976,500
-------------
10,701,319
-------------
INFORMATION PROCESSING (0.2%)
IDX Systems Corp. (a)............................. 9,700 263,719
Network Computing Devices, Inc. (a)............... 136,500 1,151,719
-------------
1,415,438
-------------
SEMICONDUCTORS (2.1%)
Advanced Technology Materials, Inc. (a)........... 176,400 1,819,125
Asyst Technologies, Inc. (a)...................... 21,300 934,537
Brooktree Corp. (a)............................... 162,700 2,084,593
Cooper & Chyan Technology, Inc. (a)............... 3,500 47,906
Credence Systems Corp. (a)........................ 49,800 1,490,887
Mentor Graphics Corp. (a)......................... 81,200 1,629,075
Micrel, Inc. (a).................................. 188,500 3,180,937
Micrion Corp. (a)................................. 70,300 834,812
Microchip Technology, Inc. (a).................... 30,400 1,223,600
SDL, Inc. (a)..................................... 82,300 1,810,600
-------------
15,056,072
-------------
TELECOMMUNICATIONS-EQUIPMENT (5.3%)
Andrew Corp. (a).................................. 17,000 737,375
Applied Digital Access, Inc. (a).................. 153,900 1,846,800
BroadBand Technologies, Inc. (a).................. 40,000 695,000
Ceridian Corp. (a)................................ 26,000 1,092,000
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
26
<PAGE>
THE U.S. SMALL COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
NOVEMBER 30, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------------- -------------
<S> <C> <C>
TECHNOLOGY (CONTINUED)
Comdial Corp. (a)................................. 199,100 $ 2,065,662
Digital Microwave Corp. (a)....................... 11,000 134,750
EchoStar Communications Corp. Class A (a)......... 14,200 216,550
Harris Corp....................................... 103,100 5,941,137
Heartland Wireless Communications, Inc. (a)....... 58,400 1,635,200
International Cabletel, Inc. (a).................. 40,000 1,035,000
Metrocall, Inc. (a)............................... 40,000 970,000
MFS Communications Co. (a)........................ 263 12,086
MFS Communications Co. (Depository Shares) (a).... 15,100 643,638
Mobilemedia Corp. (a)............................. 106,000 2,729,500
Network General Corp. (a)......................... 81,500 3,428,093
Scientific-Atlanta, Inc........................... 435,300 6,910,387
Security Dynamics Technologies, Inc. (a).......... 57,400 2,848,475
Spectrian Corp. (a)............................... 46,100 1,089,112
TelCom Semiconductor, Inc. (a).................... 51,100 421,575
Wireless One, Inc. (a)............................ 23,000 359,375
XcelleNet, Inc. (a)............................... 134,900 2,546,237
-------------
37,357,952
-------------
Total Technology.................................. 122,845,198
-------------
TRANSPORTATION (2.0%)
AIRLINES (1.2%)
Mesa Airlines, Inc. (a)........................... 934,500 8,527,312
-------------
TRUCKING & FREIGHT CARRIERS (0.8%)
American Freightways Corp. (a).................... 38,500 529,375
Heartland Express, Inc. (a)....................... 31,900 957,000
USA Truck, Inc. (a)............................... 31,400 351,287
Werner Enterprises, Inc........................... 179,300 3,787,713
-------------
5,625,375
-------------
Total Transportation.............................. 14,152,687
-------------
UTILITIES (5.8%)
ELECTRIC (3.4%)
California Energy Co., Inc. (a)................... 86,800 1,670,900
Central Hudson Gas & Electric Corp................ 160,500 4,875,188
Central Louisiana Electric........................ 57,700 1,478,563
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
27
<PAGE>
THE U.S. SMALL COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
NOVEMBER 30, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------------- -------------
<S> <C> <C>
UTILITIES (CONTINUED)
Illinova Corp..................................... 50,100 $ 1,421,588
Maine Public Service Co........................... 38,100 800,100
Pinnacle West Capital Corp........................ 172,600 4,703,350
Potomac Electric Power Co......................... 117,100 2,868,950
Washington Water Power Co......................... 259,300 4,570,163
Western Resource, Inc............................. 50,200 1,662,875
-------------
24,051,677
-------------
NATURAL GAS (1.2%)
Atlanta Gas Light Co.............................. 40,300 1,541,475
Brooklyn Union Gas Co............................. 83,100 2,347,575
El Paso Natural Gas Co............................ 32,900 1,011,675
Providence Energy Corp............................ 86,300 1,413,163
United Cities Gas Co.............................. 109,100 1,827,425
-------------
8,141,313
-------------
WATER (1.2%)
American Water Works Inc.......................... 149,100 4,789,837
Aquarion Co....................................... 25,600 598,400
E'Town Corp....................................... 36,600 1,075,125
SJW Corp.......................................... 9,600 333,600
Southern California Water Co...................... 80,500 1,519,437
-------------
8,316,399
-------------
Total Utilities................................... 40,509,389
-------------
TOTAL COMMON STOCKS
(COST $593,534,907)............................. 652,844,338
-------------
CONVERTIBLE PREFERRED STOCK (0.0+%)
TECHNOLOGY - ELECTRONICS (0.0+%)
Comptronix Corp., Series A........................ 13 43
-------------
TOTAL CONVERTIBLE PREFERRED STOCK
(COST $20)...................................... 43
-------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
28
<PAGE>
THE U.S. SMALL COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
NOVEMBER 30, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
------------- ------------
<S> <C> <C>
CORPORATE OBLIGATION (0.3%)
Boston Chicken, Inc., 4.50% due 02/01/04, callable
02/01/96........................................... $ 1,782,000 $ 2,227,500
------------
TOTAL CORPORATE OBLIGATION
(COST $1,537,687).................................. 2,227,500
------------
SHORT TERM INVESTMENT (9.1%)
REPURCHASE AGREEMENT (9.1%)
Goldman Sachs 5.85% dated 11/30/95 due 12/01/95,
proceeds $64,070,410 (collateralized by U.S.
Treasury Notes, 4.375% - 7.750% due 2/29/96 -
8/15/02 valued at $52,465,426 and U.S. Treasury 64,060,000 64,060,000
Bonds, 8.750% - 12.750% due 11/15/10 - 5/15/20
valued at $12,876,556).............................
------------
64,060,000
TOTAL SHORT TERM INVESTMENT
(COST $64,060,000)...................................
------------
719,131,881
TOTAL INVESTMENTS (101.8%) (COST $659,132,614).......
(12,980,500)
LIABILITIES IN EXCESS OF OTHER ASSETS (-1.8%)........
------------
$706,151,381
NET ASSETS (100.0%)..................................
------------
------------
</TABLE>
(a) Non-income producing security.
* Foreign Security.
+ Less than 0.1%
(ADR) - Securities whose value is determined or significantly influenced by
trading on exchanges not located in the United States or Canada. ADR
after the name of a foreign holdings stands for American Depository
Receipt, representing ownership of foreign securities on deposit with a
domestic custodian bank.
The Accompanying Notes are an Integral Part of the Financial Statements.
29
<PAGE>
THE U.S. SMALL COMPANY PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES (UNAUDITED)
NOVEMBER 30, 1995
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments at Value (Cost $659,132,614) $719,131,881
Receivable for Investments Sold 3,451,913
Dividends Receivable 778,585
Interest Receivable 36,994
Prepaid Expenses and Other Assets 7,628
Cash 20
------------
Total Assets 723,407,021
------------
LIABILITIES
Payable for Securities Purchased 15,903,208
Advisory Fee Payable 1,233,644
Administration Fee Payable 3,375
Fund Services Fee Payable 2,866
Accrued Expenses 112,547
------------
Total Liabilities 17,255,640
------------
NET ASSETS
Applicable to Investors' Beneficial Interests $706,151,381
------------
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
30
<PAGE>
THE U.S. SMALL COMPANY PORTFOLIO
STATEMENT OF OPERATIONS (UNAUDITED)
FOR THE SIX MONTHS ENDED NOVEMBER 30, 1995
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
$ 5,237,234
Dividend Income (Net of Withholding Tax of $29,223)
1,430,143
Interest Income
-----------
6,667,377
Investment Income
EXPENSES
Advisory Fee $2,027,852
Financial and Fund Accounting Services Fee 64,301
Fund Services Fee 27,539
Professional Fees 23,986
Administration Fee 19,884
Trustees' Fees and Expenses 7,631
Printing Fee 6,017
Custodian Fees and Expenses 5,774
Insurance Fee 4,024
Miscellaneous 1,309
----------
(2,188,317)
Total Expenses
-----------
4,479,060
NET INVESTMENT INCOME
38,420,532
NET REALIZED GAIN ON INVESTMENTS
54,248,739
NET CHANGE IN UNREALIZED APPRECIATION OF INVESTMENTS
-----------
$97,148,331
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS
-----------
-----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
31
<PAGE>
THE U.S. SMALL COMPANY PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE SIX
MONTHS ENDED FOR THE FISCAL
NOVEMBER 30, 1995 YEAR ENDED
(UNAUDITED) MAY 31, 1995
----------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 4,479,060 $ 7,063,319
Net Realized Gain on Investments 38,420,532 28,881,980
Net Change in Unrealized Appreciation of
Investments 54,248,739 31,665,894
----------------- -----------------
Net Increase in Net Assets Resulting from
Operations 97,148,331 67,611,193
----------------- -----------------
TRANSACTIONS IN INVESTORS' BENEFICIAL
INTEREST
Contributions 96,490,192 162,456,578
Withdrawals (108,540,351) (243,561,586)
----------------- -----------------
Net Decrease from Investors' Transactions (12,050,159) (81,105,008)
----------------- -----------------
Total Increase (Decrease) in Net Assets 85,098,172 (13,493,815)
NET ASSETS
Beginning of Period 621,053,209 634,547,024
----------------- -----------------
End of Period $ 706,151,381 $ 621,053,209
----------------- -----------------
----------------- -----------------
</TABLE>
- --------------------------------------------------------------------------------
SUPPLEMENTARY DATA
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE PERIOD
FOR THE SIX JULY 19, 1993
MONTHS ENDED FOR THE FISCAL (COMMENCEMENT OF
NOVEMBER 30, 1995 YEAR ENDED OPERATIONS) THROUGH
(UNAUDITED) MAY 31, 1995 MAY 31, 1994
-------------------- --------------- -------------------
<S> <C> <C> <C>
RATIOS TO AVERAGE NET
ASSETS:
Expenses 0.65%(a) 0.71% 0.72%(a)
Net Investment Income 1.33%(a) 1.21% 0.99%(a)
Portfolio Turnover 42% 75% 97%+
</TABLE>
- ------------------------
(a) Annualized.
+ Portfolio turnover is for the twelve month period ended May 31, 1994, and
includes the portfolio activity of the Portfolio's predecessor entity, The
Pierpont Capital Appreciation Fund, for the period June 1, 1993 to July 18,
1993.
The Accompanying Notes are an Integral Part of the Financial Statements.
32
<PAGE>
THE U.S. SMALL COMPANY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
NOVEMBER 30, 1995
- --------------------------------------------------------------------------------
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
The U.S. Small Company Portfolio (the "Portfolio") is registered under the
Investment Company Act of 1940, as amended, as a no-load, diversified, open-end
management investment company which was organized as a trust under the laws of
the State of New York. The Portfolio commenced operations on July 19, 1993 and
received a contribution of certain assets and liabilities, including securities,
with a value of $200,358,103 on that date from The Pierpont Capital Appreciation
Fund in exchange for a beneficial interest in the Portfolio. At that date, net
unrealized appreciation of $29,458,073 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 at amortized cost.
b)Securities transactions are recorded on a trade date basis. Dividend
income is recorded on the ex-dividend date or as of the time that the
relevant ex-dividend date and amount 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.
c)The Portfolio intends to be treated as a partnership for federal income
tax purposes. As such, each investor in the Portfolio will be subject to
taxation on its share of the Portfolio's ordinary income and capital
gains. It is intended that the Portfolio's assets will be managed in such
a way that an investor in the Portfolio will be able to satisfy the
requirements of Subchapter M of the Internal Revenue Code.
d)The Portfolio's custodian takes possession of the collateral pledged for
investments in repurchase agreements on behalf of the Portfolio. It is the
policy of the Portfolio to value the underlying collateral daily on a
mark-to-market basis to determine that the value, including accrued
interest, is at least equal to the repurchase price plus accrued interest.
In the event of default of the obligation to repurchase, the
33
<PAGE>
THE U.S. SMALL COMPANY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
NOVEMBER 30, 1995
- --------------------------------------------------------------------------------
Portfolio has the right to liquidate the collateral and apply the proceeds
in satisfaction of the obligation. Under certain circumstances, in the
event of default or bankruptcy by the other party to the agreement,
realization and/or retention of the collateral or proceeds may be subject
to legal proceedings.
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
November 30, 1995, this fee amounted to $2,027,852.
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 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
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 to
the daily net assets of the Portfolio. For the six months ended November
30, 1995, Signature's fee for these services amounted to $19,884.
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 The Pierpont Funds, The JPM
Institutional Funds, The JPM Advisor Funds and the Master Portfolios.
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 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 at 0.10% of the Portfolio's average daily net assets up to $200
million, 0.05% of the next $200 million of average daily net assets, and
0.03% of average daily net assets thereafter. For the three months ended
August 31, 1995, the fee for these services amounted to $64,301. 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 prior agreement and that Morgan
should bear all of its expenses incurred in connection with these
services.
34
<PAGE>
THE U.S. SMALL COMPANY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
NOVEMBER 30, 1995
- --------------------------------------------------------------------------------
Effective December 29, 1995, the Portfolio entered into an Administrative
Services 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 net assets and
0.03% of the aggregate 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.
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 $27,539 for the six months ended November 30, 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 represents the Portfolio's allocated portion of the
total fees and expenses. The Trustee who serves as Chairman and Cheif
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 $3,500.
3. INVESTMENT TRANSACTIONS
Investment transactions (excluding short-term investments) for the six months
ended November 30, 1995 were as follows:
<TABLE>
<CAPTION>
COST OF PROCEEDS
PURCHASES FROM SALES
- ------------ ------------
<S> <C>
$260,687,543 $267,183,455
</TABLE>
35
