<PAGE>
THE U.S. SMALL COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED)
NOVEMBER 30, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ ---------------
<S> <C> <C>
COMMON STOCKS (95.0%)
BASIC INDUSTRIES (9.8%)
AGRICULTURE (1.5%)
Dekalb Genetics Corp., Class B................... 475,000 $ 18,465,625
---------------
CHEMICALS (3.4%)
Albemarle Corp................................... 233,400 5,820,412
Bush Boake Allen, Inc.+.......................... 110,500 3,107,812
Crompton & Knowles Corp.......................... 146,700 3,887,550
General Chemical Group, Inc...................... 382,300 10,537,144
Geon Co.......................................... 87,800 2,074,275
Georgia Gulf Corp................................ 425,300 13,210,881
Minerals Technologies, Inc....................... 55,600 2,432,500
OM Group, Inc.................................... 31,050 1,191,544
---------------
42,262,118
---------------
FOREST PRODUCTS & PAPER (1.7%)
American Pad & Paper Co.+........................ 479,600 6,954,200
Caraustar Industries, Inc........................ 136,900 4,410,747
Jefferson Smurfit Corp.+......................... 189,600 3,116,550
Temple-Inland, Inc............................... 77,900 4,450,037
Universal Forest Products, Inc................... 127,200 1,923,900
---------------
20,855,434
---------------
METALS & MINING (3.2%)
Allegheny Teledyne, Inc.......................... 163,600 4,212,700
Alumax, Inc.+.................................... 77,200 2,426,975
Commercial Metals Co............................. 419,900 13,830,456
Mueller Industries, Inc.+........................ 166,800 7,766,625
Schnitzer Steel Industries, Inc., Class A........ 208,800 5,846,400
Steel Technologies, Inc.......................... 488,800 5,560,100
---------------
39,643,256
---------------
TOTAL BASIC INDUSTRIES......................... 121,226,433
---------------
CONSUMER GOODS & SERVICES (17.5%)
APPARELS & TEXTILES (0.2%)
Ashworth, Inc.+.................................. 223,800 2,412,844
Tropical Sportswear International Corp.+......... 34,000 402,687
---------------
2,815,531
---------------
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ ---------------
<S> <C> <C>
AUTOMOTIVE (0.3%)
Amcast Industrial Corp........................... 134,400 $ 3,326,400
Sonic Automotive, Inc............................ 71,700 752,850
---------------
4,079,250
---------------
BROADCASTING & PUBLISHING (0.6%)
Banta Corp....................................... 95,600 2,413,900
Digital Generation Systems, Inc.+................ 49,200 175,275
PRIMEDIA, Inc.+.................................. 140,700 1,873,069
Tele-Communications TCI Ventures Group+.......... 129,900 2,951,166
---------------
7,413,410
---------------
EDUCATION (0.3%)
DeVry, Inc.+..................................... 47,500 1,270,625
Education Management Corp.+...................... 49,000 1,223,469
Youth Services International, Inc.+.............. 74,100 1,074,450
---------------
3,568,544
---------------
ENTERTAINMENT, LEISURE & MEDIA (3.1%)
Cinar Films Inc., Class B+....................... 18,800 756,700
Galileo International, Inc....................... 195,800 5,249,887
Grand Casinos, Inc.+............................. 204,100 2,678,812
Imax Corp.+...................................... 200,900 4,959,719
International Game Technology.................... 372,800 9,320,000
Outdoor Systems, Inc.+........................... 106,100 3,275,837
Steiner Leisure, Ltd.*+.......................... 105,900 3,018,150
TCA Cable TV, Inc................................ 121,400 5,060,862
WMS Industries, Inc.+............................ 140,000 3,255,000
---------------
37,574,967
---------------
FOOD, BEVERAGES & TOBACCO (1.2%)
American Italian Pasta Co., Class A+............. 17,200 406,350
Beringer Wine Estates Holdings, Inc., Class B+... 10,400 336,050
IBP, Inc......................................... 111,000 2,532,187
International Home Foods, Inc.+.................. 112,800 2,707,200
</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, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ ---------------
<S> <C> <C>
FOOD, BEVERAGES & TOBACCO (CONTINUED)
Interstate Bakeries Corp......................... 80,200 $ 2,771,912
Universal Corp................................... 141,900 5,613,919
---------------
14,367,618
---------------
HOUSEHOLD APPLIANCES & FURNISHINGS (1.9%)
Aaron Rents, Inc................................. 175,000 2,898,437
Bush Industries, Inc., Class A................... 199,700 5,267,087
Department 56, Inc.+............................. 165,500 4,830,531
Furniture Brands International, Inc.+............ 427,000 8,353,187
LADD Furniture, Inc.+............................ 42,200 646,187
Royal Appliance Manufacturing Co.+............... 57,200 396,825
Stanley Furniture Co., Inc.+..................... 46,600 1,281,500
---------------
23,673,754
---------------
HOUSEHOLD PRODUCTS (0.0%)
Safety 1st, Inc.+................................ 12,800 88,000
---------------
RESTAURANTS & HOTELS (2.1%)
Applebee's International, Inc.................... 45,000 953,437
Boston Chicken, Inc.+............................ 270,200 2,165,822
Boyd Gaming Corp.+............................... 266,300 1,930,675
Candlewood Hotel Company, Inc.+.................. 167,500 1,465,625
Extended Stay America, Inc.+..................... 96,400 1,108,600
Friendly Ice Cream Corp.+........................ 35,500 571,328
La Quinta Inns, Inc.............................. 139,000 2,641,000
Outback Steakhouse, Inc.+........................ 230,100 6,895,809
Papa John's International, Inc.+................. 122,400 4,054,500
Showbiz Pizza Time, Inc.+........................ 77,100 1,672,106
Wendy's International, Inc....................... 99,300 2,085,300
---------------
25,544,202
---------------
RETAIL (6.0%)
AutoZone, Inc.+.................................. 212,100 6,363,000
Central Garden & Pet Co.+........................ 26,900 759,925
Charming Shoppes, Inc.+.......................... 190,100 929,708
Circuit City Stores, Inc......................... 121,100 3,973,594
CML Group, Inc.+................................. 100,300 351,050
Corporate Express, Inc.+......................... 638,600 10,037,994
Delia's, Inc.+................................... 89,500 2,092,062
Garden Ridge Corp.+.............................. 490,000 7,487,812
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ ---------------
<S> <C> <C>
RETAIL (CONTINUED)
Gymboree Corp.+.................................. 117,800 $ 3,405,156
Hannaford Brothers Co............................ 169,300 6,803,744
Lazare Kaplan International, Inc.+............... 79,400 1,136,412
Let's Talk Cellular & Wireless, Inc.+(a)......... 34,600 400,062
Lithia Motors, Inc., Class A+.................... 91,100 1,429,131
N2K, Inc.+....................................... 11,400 216,600
Nine West Group, Inc.+........................... 130,200 3,539,812
One Price Clothing Stores, Inc.+................. 347,100 715,894
ONSALE, Inc.+.................................... 76,500 1,350,703
Pacific Sunwear of California+................... 30,550 998,603
Party City Corp.+................................ 134,000 3,835,750
Penn Traffic Co.+................................ 76,800 672,000
Reebok International Ltd. (ADR)*+................ 110,900 4,359,756
ShopKo Stores, Inc.+............................. 34,400 722,400
SportsLine USA, Inc.+............................ 38,800 309,187
Talbots, Inc..................................... 219,500 4,650,656
The Sports Authority, Inc.+...................... 49,200 965,550
Toymax International, Inc.+...................... 23,700 214,781
Urban Outfitters, Inc.+.......................... 301,300 5,348,075
USA Floral Products, Inc.+....................... 17,100 259,706
---------------
73,329,123
---------------
TEXTILES (1.8%)
Fruit of the Loom, Inc., Class A+................ 361,700 8,432,131
Westpoint Stevens, Inc.+......................... 321,600 12,843,900
Worldtex, Inc.+.................................. 71,700 609,450
---------------
21,885,481
---------------
TOTAL CONSUMER GOODS & SERVICES................ 214,339,880
---------------
ENERGY (5.9%)
GAS EXPLORATION (1.6%)
Barrett Resources Corp.+......................... 161,500 4,784,437
Devon Energy Corp................................ 22,100 859,137
Falcon Drilling Co., Inc.+....................... 78,500 2,531,625
Newfield Exploration Co.+........................ 159,500 3,718,344
Ocean Energy, Inc.+.............................. 36,200 2,024,937
</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, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ ---------------
<S> <C> <C>
GAS EXPLORATION (CONTINUED)
Patterson Energy, Inc.+.......................... 88,000 $ 3,212,000
Questar Corp..................................... 71,400 2,797,987
---------------
19,928,467
---------------
OIL-PRODUCTION (2.3%)
Plains Resources, Inc.+.......................... 150,000 2,475,000
Snyder Oil Corp.................................. 120,300 2,390,962
Tosco Corp....................................... 440,200 14,334,012
Valero Energy Corp............................... 269,200 8,446,150
---------------
27,646,124
---------------
OIL-SERVICES (2.0%)
Bayard Drilling Technologies, Inc.+.............. 17,200 316,050
Dril-Quip, Inc.+................................. 6,800 203,575
Hanover Compressor Co.+.......................... 70,300 1,476,300
Input/Output, Inc.+.............................. 669,900 17,333,662
IRI International Corp.+......................... 34,400 554,700
Pride International, Inc.+....................... 22,400 618,800
Seacor Smit, Inc.+............................... 67,700 3,770,044
---------------
24,273,131
---------------
TOTAL ENERGY................................... 71,847,722
---------------
FINANCE (19.5%)
BANKING (7.4%)
Bank United Corp., Class A....................... 153,600 6,393,600
Banknorth Group, Inc............................. 80,100 4,831,031
BankUnited Financial Corp., Class A+............. 28,400 367,425
Charter One Financial, Inc....................... 98,660 5,870,270
Colonial BancGroup, Inc.......................... 124,400 3,778,650
Commercial Federal Corp.......................... 44,100 2,119,556
Community First Bankshares, Inc.................. 27,400 1,298,075
Compass Bancshares, Inc.......................... 136,300 5,464,778
Crestar Financial Corp........................... 21,700 1,114,837
First Hawaiian, Inc.............................. 183,000 6,896,812
First Republic Bank+............................. 54,700 1,511,087
Firstar Corp..................................... 70,100 2,733,900
FirstFed Financial Corp.+........................ 96,400 3,518,600
Flagstar Bancorp, Inc............................ 100,400 1,851,125
GBC Bancorp...................................... 120,800 6,621,350
Hamilton Bancorp, Inc.+.......................... 10,300 294,837
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ ---------------
<S> <C> <C>
BANKING (CONTINUED)
HUBCO, Inc....................................... 191,774 $ 6,646,155
InterWest Bancorp, Inc........................... 35,200 1,366,200
Irwin Financial Corp............................. 46,300 1,880,937
National Commerce Bancorporation................. 137,600 4,093,600
North Fork Bancorporation, Inc................... 120,100 3,648,037
Pacific Century Financial Corp................... 100,900 5,145,900
Providian Financial Corp......................... 49,400 2,176,687
Security First Network Bank+..................... 23,200 185,600
Sun Bancorp, Inc.+............................... 16,500 412,500
Trustco Bank Corp................................ 161,780 3,988,888
Trustmark Corp................................... 46,200 1,735,387
Valley National Bancorp.......................... 157,175 5,471,655
---------------
91,417,479
---------------
FINANCIAL SERVICES (2.1%)
Amresco, Inc.+................................... 60,500 1,678,875
Beneficial Corp.................................. 70,500 5,472,562
ContiFinancial Corp.+............................ 44,000 1,157,750
First Alliance Corp.+............................ 58,250 1,223,250
Granite Financial, Inc.+......................... 31,100 505,375
Hanover Capital Mortgage Holdings, Inc........... 30,500 518,500
IMH Commercial Holdings, Inc..................... 29,900 538,200
Litchfield Financial Corp........................ 126,740 2,511,036
Ocwen Financial Corp.+........................... 90,800 2,201,900
Paymentech, Inc.+................................ 197,700 3,064,350
Trammell Crow Co.+(a)............................ 17,200 378,400
United Asset Managment Corp...................... 115,200 3,002,400
WFS Financial, Inc.+............................. 124,600 1,479,625
Willis Lease Finance Corp.+...................... 111,900 2,251,987
---------------
25,984,210
---------------
INSURANCE (4.4%)
Capital Re Corp.................................. 346,150 19,406,034
Financial Security Assurance Holdings Ltd.*...... 138,800 6,089,850
Nationwide Financial Services, Inc............... 49,400 1,688,862
Reliance Group Holdings, Inc..................... 259,000 3,302,250
RenaissanceRe Holdings, Ltd.*.................... 191,200 8,006,500
</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, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ ---------------
<S> <C> <C>
INSURANCE (CONTINUED)
USF & G Corp..................................... 165,500 $ 3,341,031
W. R. Berkley Corp............................... 294,550 12,352,691
---------------
54,187,218
---------------
REAL ESTATE INVESTMENT TRUSTS (5.6%)
American General Hospitality Corp................ 109,800 2,978,325
American Residential Investment Trust, Inc....... 29,500 440,656
Arden Realty Group, Inc.......................... 157,500 4,793,906
Beacon Properties Corp........................... 106,300 4,783,500
Brandywine Realty Trust.......................... 62,800 1,518,975
Burnham Pacific Properties, Inc.................. 123,900 1,773,319
Crescent Real Estate Equities, Inc............... 22,800 877,800
Developers Diversified Realty Corp............... 79,000 3,076,062
Entertainment Properties Trust+.................. 66,300 1,276,275
Excel Realty Trust, Inc.......................... 36,200 1,104,100
Gables Residential Trust......................... 165,800 4,507,687
Highwoods Properties, Inc........................ 96,200 3,457,187
Innkeepers USA Trust............................. 41,000 658,562
Manufactured Home Communities, Inc............... 70,300 1,915,675
National Golf Properties, Inc.................... 53,500 1,698,625
Oasis Residential, Inc........................... 176,200 3,843,362
Post Properties, Inc............................. 141,448 5,463,410
Price REIT, Inc.................................. 82,900 3,274,550
Public Storage, Inc.............................. 90,900 2,511,112
Simon Debartolo Group, Inc....................... 122,000 3,987,875
Starwood Lodging Trust........................... 81,400 4,365,075
Sunstone Hotel Investors, Inc.................... 61,200 1,074,825
Tower Realty Trust, Inc.+........................ 53,600 1,306,500
TriNet Corporate Realty Trust, Inc............... 65,200 2,510,200
Urban Shopping Centers, Inc...................... 43,300 1,442,431
Weeks Corp....................................... 109,200 3,494,400
Westfield America, Inc........................... 58,100 969,544
---------------
69,103,938
---------------
TOTAL FINANCE.................................. 240,692,845
---------------
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ ---------------
<S> <C> <C>
HEALTHCARE (8.6%)
BIOTECHNOLOGY (1.8%)
Applied Analytical Industries, Inc.+............. 114,500 $ 1,452,719
ArQule, Inc.+.................................... 49,000 1,025,937
Cor Therapeutics, Inc.+.......................... 26,700 609,094
Human Genome Sciences, Inc.+..................... 135,600 5,542,650
Hyseq, Inc.+..................................... 13,750 175,312
IDEC Pharmaceuticals Corp.+...................... 26,000 909,188
Incyte Pharmaceuticals, Inc.+.................... 129,600 5,313,600
Millennium Pharmaceuticals, Inc.+................ 53,900 1,074,631
Novoste Corp.+................................... 25,800 616,781
SangStat Medical Corp.+.......................... 113,800 3,940,325
Synaptic Pharmaceutical Corp.+................... 17,200 215,538
Vical, Inc.+..................................... 48,100 667,388
---------------
21,543,163
---------------
HEALTH SERVICES (3.3%)
Alternative Living Services, Inc.+............... 86,900 2,313,713
Apria Healthcare Group, Inc.+.................... 216,800 3,414,600
Health Care & Retirement Corp.+.................. 70,800 2,787,750
Lifeline Systems, Inc.+.......................... 101,100 2,262,113
Mariner Health Group, Inc.+...................... 520,000 7,556,250
Paracelsus Healthcare Corp.+..................... 110,800 609,400
Pediatrix Medical Group, Inc.+................... 39,500 1,747,875
PhyCor, Inc.+.................................... 284,000 7,011,250
ProMedCo Management Co.+......................... 51,500 437,750
Renal Care Group Inc............................. 29,300 930,275
Renal Treatment Centers, Inc.+................... 30,000 999,375
Sierra Health Services, Inc.+.................... 191,400 6,962,175
Summit Care Corp.+............................... 183,600 2,914,650
Sunrise Assisted Living, Inc.+................... 27,300 984,506
---------------
40,931,682
---------------
MEDICAL SUPPLIES (2.3%)
AutoCyte, Inc.+.................................. 62,700 630,919
Cardiac Pathways Corp.+.......................... 41,400 349,313
Closure Medical Corp.+........................... 36,700 903,738
Computer Motion, Inc.+........................... 37,200 397,575
Conceptus, Inc.+................................. 29,800 163,900
CONMED Corp.+.................................... 95,500 2,256,188
</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, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ ---------------
<S> <C> <C>
MEDICAL SUPPLIES (CONTINUED)
Eclipse Surgical Technologies+................... 152,300 $ 1,265,994
Endocardial Solutions, Inc.+..................... 53,000 616,125
Heartstream, Inc.+............................... 138,300 1,685,531
Henry Schein, Inc.+.............................. 25,900 913,784
IDEXX Laboratories, Inc.+........................ 319,200 5,107,200
Kensey Nash Corp.+............................... 243,000 4,100,625
KeraVision, Inc.+................................ 143,400 869,363
Medi-Ject Corp.+................................. 210,300 604,613
Physio-Control International Corp.+.............. 61,600 974,050
ResMed, Inc.+.................................... 16,200 490,050
Sola International, Inc.+........................ 75,200 2,274,800
Urologix, Inc.+.................................. 23,600 470,525
Ventana Medical Systems, Inc.+................... 294,400 4,508,000
---------------
28,582,293
---------------
PHARMACEUTICALS (1.2%)
Alza Corp.+...................................... 289,100 7,715,356
Crescendo Pharmaceuticals Corp.+................. 14,555 165,563
Kos Pharmaceuticals, Inc.+....................... 115,600 1,921,850
Ligand Pharmaceuticals, Class B+................. 44,400 574,425
Mylan Labs, Inc.................................. 217,200 4,819,125
---------------
15,196,319
---------------
TOTAL HEALTHCARE............................... 106,253,457
---------------
INDUSTRIAL PRODUCTS & SERVICES (9.7%)
BUILDING MATERIALS (1.0%)
American Residential Services, Inc.+............. 171,100 2,331,238
Comfort Systems USA, Inc.+....................... 60,700 1,031,900
Owens Corning.................................... 179,700 6,603,975
Service Experts, Inc.+........................... 93,700 2,547,469
---------------
12,514,582
---------------
CAPITAL GOODS (3.4%)
ABC Rail Products Corp.+......................... 55,600 1,122,425
Applied Power, Inc., Class A..................... 59,800 3,647,800
Cincinnati Milacron, Inc......................... 206,900 6,116,481
Collins & Aikman Corp.+.......................... 269,600 2,392,700
IDEX Corp........................................ 118,000 3,930,875
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ ---------------
<S> <C> <C>
CAPITAL GOODS (CONTINUED)
Industrial Distribution Group, Inc.+............. 8,100 $ 156,431
MagneTek, Inc.+.................................. 387,000 8,078,625
Modine Manufacturing Co.......................... 65,400 2,221,556
Shaw Group, Inc.+................................ 103,800 2,530,125
Wabash National Corp............................. 299,800 8,488,088
York International Corp.......................... 70,300 3,255,769
---------------
41,940,875
---------------
COMMERCIAL SERVICES (0.8%)
Equity Corp. International+...................... 65,300 1,395,788
Hospitality Worldwide Services................... 18,200 218,400
Norrell Corp..................................... 81,000 1,974,375
Perceptron, Inc.+................................ 94,000 2,091,500
Pinkertons, Inc.+................................ 114,150 2,611,181
Wackenhut Corrections Corp.+..................... 34,400 963,200
---------------
9,254,444
---------------
CONSTRUCTION & HOUSING (1.3%)
D.R. Horton, Inc.+............................... 918,600 16,362,563
---------------
DIVERSIFIED MANUFACTURING (1.1%)
Brady (W.H.) Co.................................. 72,200 2,215,638
Intermet Corp.................................... 600,500 11,034,188
---------------
13,249,826
---------------
ELECTRICAL EQUIPMENT (1.3%)
Avnet, Inc....................................... 79,500 5,266,875
Grainger (W.W.), Inc............................. 57,400 5,374,075
Molex, Inc....................................... 122,500 4,677,969
Tecumseh Products Co............................. 8,100 399,938
---------------
15,718,857
---------------
MACHINERY (0.0%)
AGCO Corp........................................ 8,100 220,793
Middleby Corp.+.................................. 34,100 350,591
---------------
571,384
---------------
MANUFACTURING (0.1%)
Rock of Ages Corp.+.............................. 35,600 658,600
---------------
</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, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ ---------------
<S> <C> <C>
POLLUTION CONTROL (0.7%)
American Disposal Services, Inc.+................ 74,400 $ 2,659,800
Sevenson Environmental Services, Inc............. 129,600 1,555,200
Tetra Technologies, Inc.+........................ 162,600 3,810,938
---------------
8,025,938
---------------
TOTAL INDUSTRIAL PRODUCTS & SERVICES........... 118,297,069
---------------
TECHNOLOGY (11.5%)
AEROSPACE (1.5%)
Coltec Industries, Inc.+......................... 352,500 8,217,656
Orbital Sciences Corp.+.......................... 268,400 6,894,525
Rohr Industries, Inc.+........................... 103,500 3,169,688
---------------
18,281,869
---------------
COMPUTER PERIPHERALS (2.3%)
Bolder Technologies Corp.+....................... 81,900 931,613
EMC Corp.+....................................... 91,800 2,782,688
HMT Technology Corp.+............................ 184,000 2,426,500
Hypercom Corp.+.................................. 91,800 1,468,800
In Focus Systems, Inc.+.......................... 91,300 3,007,194
Komag, Inc.+..................................... 259,900 5,238,609
Pinnacle Systems, Inc.+.......................... 92,200 2,235,850
Proxim, Inc.+.................................... 90,400 1,073,500
Quantum Corp.+................................... 268,400 7,120,988
Radiant Systems, Inc.+........................... 16,100 319,988
Raster Graphics, Inc.+........................... 100,800 585,900
SanDisk Corp.+................................... 19,300 470,438
SCM Microsystems, Inc.+.......................... 30,900 802,434
---------------
28,464,502
---------------
COMPUTER SOFTWARE (2.7%)
Aspect Development, Inc.+........................ 22,700 967,588
Aspen Technologies, Inc.+........................ 103,700 3,947,081
Autodesk, Inc.................................... 95,800 3,679,319
Checkfree Corp.+................................. 134,600 3,516,425
Cognicase, Inc.+................................. 13,900 131,181
Edify Corp.+..................................... 167,700 2,840,419
Integrated Systems, Inc.+........................ 39,200 606,375
MAPICS, Inc.+.................................... 122,700 1,342,031
MathSoft, Inc.+.................................. 60,800 199,500
Metromail Corp.+................................. 147,000 2,627,625
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ ---------------
<S> <C> <C>
COMPUTER SOFTWARE (CONTINUED)
Remedy Corp.+.................................... 70,200 $ 3,071,250
Synopsys, Inc.+.................................. 63,000 2,594,813
Transaction Systems Architects, Inc., Class A+... 113,800 4,413,306
Tripos, Inc.+.................................... 82,600 1,249,325
Viasoft, Inc.+................................... 16,000 586,000
Visigenic Software, Inc.+........................ 122,500 937,891
---------------
32,710,129
---------------
COMPUTER SYSTEMS (0.2%)
Avid Technology, Inc.+........................... 80,200 2,355,875
Bell & Howell Co.+............................... 18,200 432,250
---------------
2,788,125
---------------
ELECTRONICS (2.3%)
Electronics for Imaging, Inc.+................... 171,100 8,234,188
Flextronics International, Ltd.*+................ 37,900 1,534,950
Itron, Inc.+..................................... 99,000 1,788,188
Jabil Circuit, Inc.+............................. 31,500 1,515,938
Nimbus CD International, Inc.+................... 44,900 446,194
Perkin-Elmer Corp................................ 102,400 7,123,200
Quickturn Design System, Inc..................... 125,900 1,471,456
Symbol Technologies, Inc......................... 35,300 1,378,906
Thomas & Betts Corp.............................. 90,900 4,124,588
---------------
27,617,608
---------------
INFORMATION PROCESSING (1.0%)
Cambridge Technology Partners, Inc.+............. 103,200 4,005,450
Computer Horizons Corp.+......................... 17,250 571,406
CSG Systems International, Inc.+................. 17,000 627,938
International Network Services+.................. 141,300 2,525,738
Keane, Inc.+..................................... 31,400 994,988
Metro Information Services, Inc.+................ 71,000 1,819,375
Sapient Corp.+................................... 40,500 2,106,000
---------------
12,650,895
---------------
</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, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ ---------------
<S> <C> <C>
SEMICONDUCTORS (1.5%)
8 x 8, Inc.+..................................... 163,800 $ 1,899,056
Alliance Semiconductor Corp.+.................... 142,800 905,888
Altera Corp.+.................................... 63,800 2,990,625
ATMI, Inc.*+..................................... 88,100 2,879,769
Exar Corp.+...................................... 8,800 220,550
Galileo Technology Ltd.*+........................ 23,500 729,969
Integrated Device Technology, Inc.+.............. 269,100 2,749,866
Integrated Silicon Solution, Inc.+............... 117,700 1,162,288
SDL, Inc.+....................................... 133,700 2,264,544
SIPEX Corp.+..................................... 38,900 1,230,213
Vitesse Semiconductor Corp.+..................... 32,700 1,459,238
---------------
18,492,006
---------------
TOTAL TECHNOLOGY............................... 141,005,134
---------------
TELECOMMUNICATIONS (1.9%)
TELECOMMUNICATION SERVICES (0.7%)
At Home Corp., Series A+......................... 25,800 530,513
Concentric Network Corp.+........................ 135,800 1,417,413
Mobile Telecommunication Technologies Corp.+..... 131,000 2,280,219
Premiere Technologies, Inc.+..................... 187,500 4,488,281
---------------
8,716,426
---------------
TELECOMMUNICATIONS-EQUIPMENT (1.2%)
Aspect Telecommunications Corp.+................. 111,200 2,502,000
Excel Switching Corp.+........................... 26,800 649,900
Glenayre Technologies, Inc.+..................... 181,100 1,980,781
Natural Microsystems Corp.+...................... 77,900 3,709,988
P-COM, Inc.+..................................... 120,400 2,114,525
QUALCOMM, Inc.+.................................. 63,500 4,310,063
---------------
15,267,257
---------------
TOTAL TELECOMMUNICATIONS ...................... 23,983,683
---------------
TRANSPORTATION (2.3%)
AIRLINES (0.2%)
ASA Holdings, Inc................................ 85,700 2,544,219
---------------
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ ---------------
<S> <C> <C>
RAILROADS (1.2%)
Genesee & Wyoming Inc., Class A+................. 139,900 $ 3,549,963
Wisconsin Central Transportation Corp.+.......... 350,700 10,630,594
---------------
14,180,557
---------------
TRANSPORTATION (0.2%)
GATX Corp........................................ 46,800 2,843,100
---------------
TRUCK & FREIGHT CARRIERS (0.7%)
Allied Holdings, Inc.+........................... 102,100 2,010,094
American Freightways Corp.+...................... 125,600 1,836,900
Jevic Transportation, Inc.+...................... 16,600 273,900
Motor Cargo Industries, Inc.+.................... 32,200 371,306
Werner Enterprises, Inc.......................... 161,700 3,496,763
---------------
7,988,963
---------------
TOTAL TRANSPORTATION........................... 27,556,839
---------------
UTILITIES (8.3%)
ELECTRIC (5.4%)
Central Hudson Gas & Electric Corp............... 170,000 6,545,000
Central Louisiana Electric Co.................... 212,400 6,172,875
Enova Corp....................................... 212,000 5,512,000
Hawaiian Electric Industries, Inc................ 184,200 7,172,288
Illinova Corp.................................... 145,800 3,526,538
MidAmerican Energy Holdings Co................... 308,700 6,154,706
Montana Power Co................................. 49,400 1,352,325
New England Electric System...................... 228,800 9,438,000
Northern States Power Co......................... 69,300 3,802,838
Otter Tail Power Co.............................. 59,300 2,045,850
Pinnacle West Capital Corp....................... 120,900 4,662,206
Potomac Electric Power Co........................ 282,200 6,984,450
Wisconsin Energy Corp............................ 91,200 2,462,400
---------------
65,831,476
---------------
NATURAL GAS (0.8%)
Atmos Energy Corp................................ 109,100 2,897,969
MCN Energy Group, Inc............................ 20,100 767,569
Wicor, Inc....................................... 129,800 5,987,025
---------------
9,652,563
---------------
</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, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ ---------------
<S> <C> <C>
TELEPHONE (1.5%)
American Communications Services, Inc.+.......... 88,000 $ 1,171,500
COLT Telcom Group plc (ADR)+(a).................. 65,400 2,840,813
Frontier Corp.................................... 69,500 1,702,750
ICG Communications, Inc.+........................ 34,900 812,516
Intermedia Communications, Inc.+................. 51,700 2,555,919
ITC DeltaCom, Inc.+.............................. 12,700 179,388
McLeodUSA, Inc., Class A+........................ 142,500 5,290,313
NEXTLINK Communications, Inc., Class A+.......... 17,700 357,872
Omnipoint Corp.+................................. 169,000 3,575,406
Pacific Gateway Exchange, Inc.+.................. 9,100 356,038
---------------
18,842,515
---------------
WATER (0.6%)
E'Town Corp...................................... 120,900 4,269,281
SJW Corp......................................... 21,300 1,214,100
Southern California Water Co..................... 101,600 2,292,350
---------------
7,775,731
---------------
TOTAL UTILITIES................................ 102,102,285
---------------
TOTAL COMMON STOCKS
(COST $973,452,255)........................... 1,167,305,347
---------------
<CAPTION>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- ------------------------------------------------- ------------ ---------------
<S> <C> <C>
SHORT-TERM INVESTMENTS (5.4%)
REPURCHASE AGREEMENT (5.4%)
Goldman Sachs, Repurchase Agreement 5.50% dated
11/28/97 due 12/01/97, proceeds $65,875,179
(collateralized by $45,760,000 U.S. Treasury
Note, 6.25% due 5/31/00, valued at $47,671,279
and $18,302,000 U.S. Treasury Note, 7.75% due
1/31/00, valued at $19,490,728) (cost
$65,845,000)................................... $ 65,845,000 $ 65,845,000
---------------
TOTAL INVESTMENTS (COST $1,039,297,255) (100.4%)...............
1,233,150,347
LIABILITIES IN EXCESS OF OTHER ASSETS (-0.4%)..................
(4,697,491)
---------------
NET ASSETS (100.0%)............................................ $ 1,228,452,856
---------------
---------------
</TABLE>
- ------------------------------
Note: For Federal Income Tax purposes, the cost of securities at November 30,
1997, was $1,044,816,977, the aggregate gross unrealized appreciation and
depreciation was $231,112,586 and $42,779,216, respectively, resulting in net
unrealized appreciation of $188,333,370 .
+ Non-income producing security.
* Foreign security.
(a) $3,202,874 market value of equity securities is segregated as collateral for
when-issued securities.
When-issued -- A conditional transaction in a security authorized for issuance
but not actually issued.
(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 holding, stands for American Depositary Receipt, representing
ownership of foreign securities on deposit with a domestic custodian bank.
The Accompanying Notes are an Integral Part of the Financial Statements.
24
<PAGE>
THE U.S. SMALL COMPANY PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES (UNAUDITED)
NOVEMBER 30, 1997
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments at Value (Cost $1,039,297,255 ) $1,233,150,347
Receivable for Investments Sold 11,995,384
Dividends Receivable 895,314
Interest Receivable 30,179
Prepaid Trustees' Fees 2,336
Prepaid Expenses and Other Assets 6,407
--------------
Total Assets 1,246,079,967
--------------
LIABILITIES
Payable for Investments Purchased 16,923,340
Advisory Fee Payable 605,141
Custody Fee Payable 51,138
Administrative Services Fee Payable 30,462
Payable to Custodian 2,532
Administration Fee Payable 1,297
Fund Services Fee Payable 1,655
Accrued Expenses 11,546
--------------
Total Liabilities 17,627,111
--------------
NET ASSETS
Applicable to Investors' Beneficial Interests $1,228,452,856
--------------
--------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
25
<PAGE>
THE U.S. SMALL COMPANY PORTFOLIO
STATEMENT OF OPERATIONS (UNAUDITED)
FOR THE SIX MONTHS ENDED NOVEMBER 30, 1997
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Dividend Income $ 6,961,243
Interest Income 1,418,094
------------
Investment Income 8,379,337
EXPENSES
Advisory Fee $3,612,449
Custodian Fees and Expenses 199,000
Administrative Services Fee 183,228
Professional Fees and Expenses 29,031
Fund Services Fee 22,341
Administration Fee 13,572
Trustees' Fees and Expenses 10,070
Printing Expenses 8,114
Insurance Expense 2,156
Registration Fees 306
----------
Total Expenses 4,080,267
------------
NET INVESTMENT INCOME 4,299,070
NET REALIZED GAIN ON INVESTMENTS 110,283,908
NET CHANGE IN UNREALIZED APPRECIATION OF
INVESTMENTS 58,675,647
------------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $173,258,625
------------
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
26
<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, 1997 YEAR ENDED
(UNAUDITED) MAY 31, 1997
----------------- --------------
<S> <C> <C>
INCREASE IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 4,299,070 $ 8,348,905
Net Realized Gain on Investments 110,283,908 87,877,628
Net Change in Unrealized Appreciation
(Depreciation) of Investments 58,675,647 (2,676,687)
----------------- --------------
Net Increase in Net Assets Resulting from
Operations 173,258,625 93,549,846
----------------- --------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS
Contributions 178,831,266 386,255,018
Withdrawals (193,919,646) (269,567,535)
----------------- --------------
Net Increase (Decrease) from Investors'
Transactions (15,088,380) 116,687,483
----------------- --------------
Total Increase in Net Assets 158,170,245 210,237,329
NET ASSETS
Beginning of Period 1,070,282,611 860,045,282
----------------- --------------
End of Period $ 1,228,452,856 $1,070,282,611
----------------- --------------
----------------- --------------
</TABLE>
- --------------------------------------------------------------------------------
SUPPLEMENTARY DATA
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE PERIOD
FOR THE SIX FOR THE FISCAL YEAR ENDED JULY 19, 1993
MONTHS ENDED MAY 31, (COMMENCEMENT OF
NOVEMBER 30, 1997 ------------------------- OPERATIONS) TO
(UNAUDITED) 1997 1996 1995 MAY 31, 1994
----------------- ------- ------ ------ ----------------
<S> <C> <C> <C> <C> <C>
RATIOS TO AVERAGE NET ASSETS
Expenses 0.68%(a) 0.68% 0.67% 0.71% 0.72%(a)
Net Investment Income 0.71%(a) 0.92% 1.33% 1.21% 0.99%(a)
Portfolio Turnover 44% 98% 93% 75% 97%+
Average Broker Commissions 0.0452 0.0467 -- -- --
</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.
27
<PAGE>
THE U.S. SMALL COMPANY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
NOVEMBER 30, 1997
- --------------------------------------------------------------------------------
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 Portfolio's investment objective is to provide a high total
return from a portfolio of equity securities of small companies. The Declaration
of Trust permits the Trustees to issue an unlimited number of beneficial
interests in the Portfolio.
The preparation of financial statements in accordance with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts and disclosures. Actual amounts could differ from
those estimates. The following is a summary of the significant accounting
policies of the Portfolio:
a) The value of each security for which readily available market quotations
exist 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 average of readily available closing bid
and ask prices on such exchange. 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 at the time that the
relevant ex-dividend date and amount become known. Interest income, which
includes the amortization of premiums and discounts, if any, is recorded
on an accrual basis. For financial and tax reporting purposes, realized
gains and losses are determined on the basis of specific lot
identification.
c) Distributions to shareholders of net investment income and realized net
captial gains, if any, are declared and paid annually.
d) The Portfolio intends to be treated as a partnership for federal income
tax purposes. As such, each investor in the Portfolio will be taxed on its
share of the Portfolio's ordinary income and capital gains. It is intended
that the Portfolio's assets will be managed in such a way that an investor
in the Portfolio will be able to satisfy the requirements of Subchapter M
of the Internal Revenue Code.
28
<PAGE>
THE U.S. SMALL COMPANY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
NOVEMBER 30, 1997
- --------------------------------------------------------------------------------
d) The Portfolio's custodian takes possession of the collateral pledged for
investment in repurchase agreements on behalf of the Portfolio. It is the
policy of the Portfolio to value the underlying collateral daily on a
mark-to-market basis to determine that the value, including accrued
interest, is at least equal to the repurchase price plus accrued interest.
In the event of default of the obligation to repurchase, the Portfolio has
the right to liquidate the collateral and apply the proceeds in
satisfaction of the obligation. Under certain circumstances, in the event
of default or bankruptcy by the other party to the agreement, realization
and/or retention of the collateral or proceeds may be subject to legal
proceedings.
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 agreement,
the Portfolio pays Morgan a fee at an annual rate of 0.60% of the
Portfolio's average daily net assets. For the six months ended November
30, 1997, such fees amounted to $3,612,449.
b) The Portfolio has retained Funds Distributor, Inc. ("FDI"), a registered
broker-dealer, to serve as co-administrator and exclusive placement agent.
Under a Co-Administration Agreement between FDI and the Portfolio, FDI
provides administrative services necessary for operations of the Portolio,
furnishes office space and facilities required for conducting the business
of the Portfolio and pays the compensation of the officers affiliated with
FDI. The Portfolio has agreed to pay FDI fees equal to its allocable share
of an annual complex-wide charge of $425,000 plus FDI's out-of-pocket
expenses. The amount allocable to the Portfolio is based on the ratio of
the Portfolio's net assets to the aggregate net assets of the Portfolio
and certain other investment companies subject to similar agreements with
FDI. For the six months ended November 30, 1997, the fee for these
services amounted to $13,572.
c) The Portfolio has an Administrative Services Agreement (the "Services
Agreement") with Morgan under which Morgan is responsible for overseeing
certain aspects of the administration and operation of the Portfolio.
Under the Services Agreement, the Portfolio has agreed to pay Morgan a fee
equal to its allocable share of an annual complex-wide charge. This charge
is calculated based on the aggregate average daily net assets of the
Portfolio and certain other portfolios for which Morgan acts as investment
advisor (the "Master Portfolios") and J.P. Morgan Series Trust in
accordance with the following annual schedule: 0.09% on the first $7
billion of their aggregate average daily net assets and 0.04% of their
aggregate average daily net assets in excess of $7 billion less the
complex-wide fees payable to FDI. The portion of this charge payable by
the Portfolio is determined by the proportionate share that its net assets
bear to the net assets of the Master Portfolios, other investors in the
Master Portfolios for which Morgan provides similar services, and J.P.
Morgan Series Trust. For the six months ended November 30, 1997, the fee
for these services amounted to $183,228.
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 $22,341 for the six months ended November 30, 1997.
29
<PAGE>
THE U.S. SMALL COMPANY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
NOVEMBER 30, 1997
- --------------------------------------------------------------------------------
e) An aggregate annual fee of $75,000 is paid to each Trustee for serving as
a Trustee of the J.P. Morgan Funds, the J.P. Morgan Institutional Funds,
the Master Portfolios, and J.P. Morgan Series Trust. The Trustees' Fees
and Expenses shown in the financial statements represents the Portfolio's
allocated portion of the total fees and expenses. The Portfolio's Chairman
and Chief Executive Officer also serves as Chairman of Group and receives
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 $4,500.
3. INVESTMENT TRANSACTIONS
Investment transactions (excluding short-term investments) for the six months
ended November 30, 1997 were as follows:
<TABLE>
<CAPTION>
COST OF PROCEEDS
PURCHASES FROM SALES
- ----------------- ------------
<S> <C>
$496,193,692...... $521,041,022
</TABLE>
4. CREDIT AGREEMENT
The Portfolio is party to a revolving line of credit agreement as discussed more
fully in Note 4 of the Funds's Notes to the Financial Statements which are
included elsewhere in this report.
30
