<PAGE>
THE U.S. SMALL COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS
MAY 31, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
------------------------------------------------- --------- -------------
<S> <C> <C>
COMMON STOCKS (93.0%)
BASIC INDUSTRIES (6.4%)
CHEMICALS (5.1%)
Albemarle Corp................................... 229,900 $ 5,057,800
Bush Boake Allen, Inc.+.......................... 95,000 3,099,375
General Chemical Group, Inc.+.................... 207,100 200,628
Geon Co.......................................... 207,700 4,465,550
Georgia Gulf Corp................................ 224,600 5,615,000
Minerals Technologies, Inc....................... 113,700 5,258,625
Solutia, Inc..................................... 120,500 1,461,062
Symyx Technologies, Inc.+........................ 77,800 2,256,200
Wellman, Inc..................................... 305,000 6,004,687
------------
33,418,927
------------
FOREST PRODUCTS & PAPER (0.7%)
Caraustar Industries, Inc........................ 289,400 4,793,187
------------
METALS & MINING (0.6%)
Mueller Industries, Inc.+........................ 124,100 3,645,437
------------
TOTAL BASIC INDUSTRIES......................... 41,857,551
------------
CONSUMER GOODS & SERVICES (10.7%)
AUTOMOTIVE (0.3%)
BorgWarner, Inc.................................. 39,300 1,562,175
Sonic Automotive, Inc.+.......................... 67,500 658,125
------------
2,220,300
------------
BROADCASTING & PUBLISHING (3.3%)
Entercom Communications Corp.+................... 75,900 3,453,450
Hearst-Argyle Television, Inc.+.................. 79,100 1,497,956
iBEAM Broadcasting Corp.+........................ 122,100 1,556,775
Lightspan, Inc.+................................. 35,800 297,588
Mediaplex, Inc.+................................. 90,200 1,381,188
SmartForce Public Limited Co., Spon. ADR+(i)..... 96,500 4,059,031
Spanish Broadcasting System, Inc., Class A+...... 135,000 2,295,000
TV Guide, Inc., Class A+......................... 141,600 3,643,987
Valassis Communications, Inc.+................... 100,200 3,306,600
------------
21,491,575
------------
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
------------------------------------------------- --------- -------------
<S> <C> <C>
ENTERTAINMENT, LEISURE & MEDIA (2.5%)
American Classic Voyages Co.+.................... 62,400 $ 1,185,600
Anchor Gaming+................................... 117,300 5,241,844
ARTISTdirect, Inc.+.............................. 33,900 156,787
Insight Communications Co., Inc.+................ 90,500 1,283,969
JAKKS Pacific, Inc.+............................. 88,900 1,289,050
Lifeminders.com, Inc.+........................... 35,300 1,189,169
Media Metrix, Inc.+.............................. 50,500 1,407,687
NBC Internet, Inc., Class A+..................... 16,400 325,950
Promotions.com, Inc.+............................ 61,600 354,200
Ticketmaster Online-CitySearch, Inc., Class B+... 199,700 3,619,563
------------
16,053,819
------------
FOOD, BEVERAGES & TOBACCO (1.4%)
American Italian Pasta Co., Class A+............. 92,200 2,264,662
Beringer Wine Estates Holdings, Inc.,
Class B+....................................... 52,500 1,995,000
Keebler Foods Co................................. 131,900 4,781,375
------------
9,041,037
------------
HOUSEHOLD APPLIANCES & FURNISHINGS (0.5%)
Furniture Brands International, Inc.+............ 60,200 959,437
Stanley Furniture Co., Inc.+..................... 86,200 1,944,887
------------
2,904,324
------------
HOUSEHOLD PRODUCTS (0.5%)
Alberto-Culver Co., Class B...................... 113,700 2,991,731
------------
RESTAURANTS & HOTELS (0.7%)
Aztar Corp.+..................................... 113,600 1,448,400
Boca Resorts, Inc., Class A+..................... 149,000 1,285,125
Extended Stay America, Inc.+..................... 87,300 785,700
Sun International Hotels Ltd.+(i)................ 72,400 1,307,725
------------
4,826,950
------------
RETAIL (1.5%)
Alloy Online, Inc.+.............................. 153,500 1,822,812
Cost Plus, Inc.+................................. 89,800 2,621,037
Lithia Motors, Inc., Class A+.................... 100,500 1,218,562
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
20
<PAGE>
THE U.S. SMALL COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
MAY 31, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
------------------------------------------------- --------- -------------
<S> <C> <C>
RETAIL (CONTINUED)
Pacific Sunwear of California, Inc.+............. 38,900 $ 624,831
School Specialty, Inc.+.......................... 233,500 3,765,187
------------
10,052,429
------------
TOTAL CONSUMER GOODS & SERVICES................ 69,582,165
------------
ENERGY (8.2%)
ELECTRIC (1.3%)
Cleco Corp....................................... 169,200 5,795,100
CMS Energy Corp.................................. 104,600 2,379,650
------------
8,174,750
------------
GAS EXPLORATION (1.1%)
Newfield Exploration Co.+........................ 141,900 5,942,062
Spinnaker Exploration Co.+....................... 56,000 1,428,000
------------
7,370,062
------------
GAS-PIPELINES (0.7%)
Kinder Morgan, Inc............................... 135,600 4,423,950
------------
OIL-PRODUCTION (1.2%)
Callon Petroleum Co.+............................ 218,900 3,338,225
Devon Energy Corp................................ 41,600 2,488,200
Unit Corp.+...................................... 128,400 1,693,275
------------
7,519,700
------------
OIL-SERVICES (3.9%)
Cooper Cameron Corp.+............................ 121,600 8,481,600
Global Industries Ltd.+.......................... 72,100 1,270,762
Gulf Island Fabrication, Inc.+................... 34,200 592,087
McDermott International, Inc..................... 412,000 4,120,000
National-Oilwell, Inc. +......................... 203,400 5,288,400
Smith International, Inc.+....................... 64,700 5,115,344
Universal Compression Holdings, Inc.+............ 39,800 947,737
------------
25,815,930
------------
TOTAL ENERGY................................... 53,304,392
------------
FINANCE (13.2%)
BANKING (3.2%)
Bank United Corp., Class A....................... 158,000 5,668,250
Capital Crossing Bank+........................... 47,900 484,987
City National Corp............................... 86,400 3,369,600
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
------------------------------------------------- --------- -------------
<S> <C> <C>
BANKING (CONTINUED)
Colonial BancGroup, Inc.......................... 31,900 $ 305,044
Commercial Federal Corp.......................... 129,349 2,061,500
Hamilton Bancorp, Inc.+.......................... 95,000 1,638,750
National Commerce Bancorporation................. 122,300 2,323,700
Pacific Century Financial Corp................... 91,200 2,052,000
Republic Security Financial Corp................. 12,700 51,594
Sterling Bancshares, Inc......................... 36,200 400,462
Summit Bancshares, Inc........................... 34,000 578,000
Sun Bancorp, Inc.+............................... 88,050 610,847
Westamerica Bancorporation....................... 41,500 1,185,344
------------
20,730,078
------------
FINANCIAL SERVICES (3.5%)
Allied Capital Corp.............................. 257,400 4,391,887
American Capital Strategies, Ltd................. 44,200 919,912
American Home Mortgage Holdings, Inc.+........... 101,000 492,375
Donaldson, Lufkin & Jenrette, Inc. - DLJ
Direct......................................... 31,200 1,218,750
Doral Financial Corp............................. 150,900 1,678,762
eSPEED, Inc., Class A+........................... 117,700 3,045,488
Gabelli Asset Management, Inc., Class A+......... 88,700 1,785,087
Heller Financial, Inc............................ 206,200 3,892,025
LendingTree, Inc.+............................... 26,100 141,919
MicroFinancial, Inc.............................. 46,200 438,900
Ocwen Financial Corp.+........................... 178,600 1,026,950
Southwest Securities Group, Inc.................. 50,500 1,464,500
Vicinity Corp.+.................................. 16,400 250,100
Web Street, Inc.+................................ 69,400 177,837
Willis Lease Finance Corp.+...................... 198,200 1,548,437
------------
22,472,929
------------
INSURANCE (3.0%)
E.W. Blanch Holdings, Inc........................ 64,700 1,661,981
Fremont General Corp............................. 232,700 1,018,062
HealthExtras, Inc.+.............................. 141,500 663,281
Hooper Holmes, Inc............................... 184,200 1,888,050
MIIX Group, Inc.................................. 23,700 282,919
Nationwide Financial Services, Inc., Class A..... 135,300 3,839,137
Protective Life Corp............................. 83,200 2,288,000
Quotesmith.com, Inc.+............................ 167,400 502,200
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
21
<PAGE>
THE U.S. SMALL COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
MAY 31, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
------------------------------------------------- --------- -------------
<S> <C> <C>
INSURANCE (CONTINUED)
RenaissanceRe Holdings Ltd.(i)................... 136,600 $ 5,916,487
StanCorp Financial Group, Inc.................... 53,600 1,708,500
------------
19,768,617
------------
REAL ESTATE INVESTMENT TRUSTS (3.5%)
Arden Realty, Inc................................ 135,100 3,107,300
CenterPoint Properties Corp...................... 54,900 2,014,144
Cousins Properties, Inc.......................... 103,800 3,976,837
Macerich Co...................................... 86,700 1,891,144
Manufactured Home Communities, Inc............... 105,500 2,545,187
Mills Corp....................................... 90,500 1,600,719
Mission West Properties, Inc..................... 133,300 1,233,025
Post Properties, Inc............................. 147,500 6,471,562
------------
22,839,918
------------
TOTAL FINANCE.................................. 85,811,542
------------
HEALTH CARE (10.7%)
BIOTECHNOLOGY (4.7%)
Aclara Biosciences, Inc.+........................ 14,600 385,075
Affymetrix, Inc.+................................ 30,200 3,586,250
Corixa Corp.+.................................... 58,900 1,877,437
Diversa Corp.+................................... 31,900 701,800
Exelixis, Inc.+.................................. 49,600 1,202,800
Gene Logic, Inc.+................................ 23,900 504,887
Human Genome Sciences, Inc.+..................... 158,400 13,899,600
Maxygen, Inc.+................................... 13,100 540,375
Millennium Pharmaceuticals, Inc.+................ 41,400 3,462,075
Molecular Devices Corp.+......................... 8,900 475,037
Neurocrine Biosciences, Inc.+.................... 79,000 1,678,750
Nexell Therapeutics Inc.+........................ 3,206 11,121
Orchid Biosciences+.............................. 131,200 1,574,400
Vical, Inc.+..................................... 35,500 674,500
------------
30,574,107
------------
HEALTH SERVICES (0.8%)
Accredo Health, Inc.+............................ 57,350 1,376,400
Allscripts, Inc.+................................ 113,900 3,160,725
HealthGate Data Corp.+........................... 159,500 358,875
------------
4,896,000
------------
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
------------------------------------------------- --------- -------------
<S> <C> <C>
MEDICAL SUPPLIES (1.7%)
Cytyc Corp.+..................................... 52,600 $ 2,639,863
Eclipse Surgical Technologies, Inc.+............. 195,400 696,113
I-STAT Corp.+.................................... 133,300 1,932,850
ORATEC Interventions, Inc.+...................... 40,900 1,543,975
ResMed, Inc.+.................................... 143,500 3,444,000
Sonic Innovations, Inc.+......................... 33,500 554,844
------------
10,811,645
------------
PHARMACEUTICALS (3.5%)
Abgenix, Inc.+................................... 36,400 2,875,600
Akorn, Inc.+..................................... 189,100 1,512,800
Bindley Western Industries, Inc.................. 104,700 1,995,844
Gilead Sciences, Inc.+........................... 11,200 612,500
IDEC Pharmaceuticals Corp.+...................... 48,900 3,120,431
ILEX Oncology, Inc.+............................. 34,300 855,356
Ligand Pharmaceuticals, Inc.,
Class B+....................................... 338,200 3,614,513
SangStat Medical Corp.+.......................... 47,700 1,270,013
Trimeris, Inc.+.................................. 42,700 1,878,800
Vertex Pharmaceuticals, Inc.+.................... 72,100 5,326,388
------------
23,062,245
------------
TOTAL HEALTH CARE.............................. 69,343,997
------------
INDUSTRIAL PRODUCTS & SERVICES (8.4%)
BUILDING & CONSTRUCTION (0.3%)
Dycom Industries, Inc.+.......................... 40,950 1,983,516
------------
BUILDING MATERIALS (0.8%)
Elcor Corp....................................... 130,150 2,480,984
Universal Forest Products, Inc................... 208,700 2,739,188
------------
5,220,172
------------
BUSINESS & PUBLIC SERVICES (0.5%)
ACT Manufacturing, Inc.+......................... 99,700 3,140,550
Obie Media Corp.+................................ 60,340 490,263
------------
3,630,813
------------
CAPITAL GOODS (1.6%)
IDEX Corp........................................ 72,900 2,433,038
SeaChange International, Inc.+................... 93,900 2,406,188
Shaw Group, Inc.+................................ 127,500 5,562,188
------------
10,401,414
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
22
<PAGE>
THE U.S. SMALL COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
MAY 31, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
------------------------------------------------- --------- -------------
<S> <C> <C>
COMMERCIAL SERVICES (1.9%)
CoStar Group, Inc.+.............................. 52,400 $ 1,097,125
Fargo Electronics+............................... 111,400 821,575
On Assignment, Inc.+............................. 222,000 5,772,000
Optimal Robotics Corp.+.......................... 88,000 2,959,000
Source Information Management Co.+............... 107,600 1,479,500
------------
12,129,200
------------
DIVERSIFIED MANUFACTURING (0.9%)
Buckeye Technologies, Inc.+...................... 138,900 2,647,781
GenTek, Inc...................................... 245,160 3,309,660
------------
5,957,441
------------
MACHINERY (0.2%)
Manitowoc Co., Inc............................... 39,400 1,287,888
------------
MANUFACTURING (2.2%)
Meade Instruments Corp.+......................... 29,200 1,454,525
Mettler-Toledo International, Inc.+.............. 174,300 6,830,381
Monaco Coach Corp.+.............................. 116,700 1,677,563
National R.V. Holdings, Inc.+.................... 94,900 1,073,556
Rayovac Corp.+................................... 170,800 3,031,700
------------
14,067,725
------------
TOTAL INDUSTRIAL PRODUCTS & SERVICES........... 54,678,169
------------
TECHNOLOGY (25.9%)
AEROSPACE (0.4%)
L-3 Communications Holdings, Inc.+............... 41,600 2,329,600
------------
COMMERCIAL SERVICES (0.7%)
CheckFree Holdings Corp.+........................ 116,700 4,879,519
------------
COMPUTER PERIPHERALS (0.9%)
Integrated Circuit Systems, Inc.+................ 97,000 1,164,000
JNI Corp.+....................................... 64,500 1,677,000
M-Systems Flash Disk Pioneers Ltd.+(i)........... 53,900 3,260,950
------------
6,101,950
------------
COMPUTER SOFTWARE (10.7%)
Accrue Software, Inc.+........................... 64,100 1,538,400
Agile Software Corp.+............................ 93,700 3,923,688
Allaire Corp.+................................... 25,200 1,047,375
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
------------------------------------------------- --------- -------------
<S> <C> <C>
COMPUTER SOFTWARE (CONTINUED)
Alteon Websystems, Inc.+......................... 34,000 $ 1,727,625
Art Technology Group, Inc.+...................... 97,200 5,704,425
Certicom Corp.+.................................. 68,000 2,163,250
Clarent Corp.+................................... 82,300 3,487,463
click2learn.com, Inc.+........................... 134,500 1,614,000
Corillian Corp.+................................. 30,100 466,550
E.piphany, Inc.+................................. 17,600 1,375,000
Excalibur Technologies Corp.+.................... 39,500 1,135,625
FASTNET Corp.+................................... 148,100 657,194
Informatica Corp.+............................... 78,600 3,163,650
Informix Corp.+.................................. 316,300 2,293,175
ISS Group, Inc.+................................. 29,600 2,190,400
Looksmart, Ltd.+................................. 50,600 702,075
Mercury Interactive Corp.+....................... 79,100 6,703,725
Metasolv Software, Inc.+......................... 25,500 1,007,250
Nuance Communications, Inc.+..................... 8,600 339,700
Numerical Technologies, Inc.+.................... 12,300 509,681
Peregrine Systems, Inc.+......................... 120,200 2,494,150
Quest Software, Inc.+............................ 51,400 2,056,000
Retek, Inc.+..................................... 78,100 1,610,813
Sequoia Software Corp.+.......................... 33,600 226,800
Software Technlogies Corp.+...................... 87,100 1,959,750
Software.com, Inc.+.............................. 31,800 2,679,150
Sonic Foundry, Inc.+............................. 73,700 1,036,406
The 3DO Co.+..................................... 134,500 756,563
Tumbleweed Communications Corp.+................. 64,100 2,223,469
Ulticom, Inc.+................................... 16,500 424,875
Watchguard Technologies, Inc.+................... 75,000 2,071,875
Websense, Inc.+.................................. 31,800 675,253
Webtrends Corp.+................................. 70,000 1,793,750
Wind River Systems, Inc.+........................ 206,300 7,478,375
Witness Systems, Inc.+........................... 67,800 478,838
------------
69,716,318
------------
COMPUTER SYSTEMS (0.1%)
eMachines, Inc.+................................. 105,300 417,909
------------
ELECTRONICS (1.6%)
C-Cube Microsystems Inc.+........................ 113,100 1,943,906
DDi Corp.+....................................... 153,800 2,057,075
Power-One, Inc.+................................. 73,600 6,449,200
------------
10,450,181
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
23
<PAGE>
THE U.S. SMALL COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
MAY 31, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
------------------------------------------------- --------- -------------
<S> <C> <C>
INFORMATION PROCESSING (2.9%)
Computer Horizons Corp.+......................... 183,100 $ 2,059,875
Diamond Technology Partners, Inc.+............... 39,000 2,457,000
Digitas, Inc.+................................... 32,800 399,750
Gartner Group, Inc., Class A..................... 176,900 2,354,981
Go2Net, Inc.+.................................... 16,800 766,500
Net Perceptions, Inc.+........................... 91,400 1,359,575
NetRatings, Inc.+................................ 99,800 1,889,963
Proxicom, Inc.+.................................. 50,400 2,312,100
Visual Networks, Inc.+........................... 84,700 4,203,238
WorldGate Communications, Inc.+.................. 53,100 776,588
------------
18,579,570
------------
SEMICONDUCTORS (8.6%)
Applied Micro Circuits Corp.+.................... 70,400 6,987,200
Applied Science and Technology, Inc.+............ 83,900 1,704,219
ATMI, Inc.+...................................... 158,900 6,097,788
Cirrus Logic, Inc.+.............................. 80,700 1,402,163
Exar Corp.+...................................... 112,550 7,737,813
Genesis Microchip, Inc.+......................... 36,900 666,506
Kopin Corp.+..................................... 126,800 8,994,875
Lam Research Corp.+.............................. 114,000 3,662,250
Lattice Semiconductor Corp.+..................... 78,500 4,656,031
MKS Instruments, Inc.+........................... 95,200 3,748,500
PRI Automation, Inc.+............................ 50,600 2,600,366
SDL, Inc.+....................................... 15,200 3,443,750
Silicon Image, Inc.+............................. 49,900 1,799,519
Silicon Laboratories, Inc.+...................... 20,700 953,494
Therma-Wave, Inc.+............................... 20,700 393,300
TranSwitch Corp.+................................ 17,200 1,077,150
------------
55,924,924
------------
TOTAL TECHNOLOGY............................... 168,399,971
------------
TELECOMMUNICATIONS (6.5%)
TELECOMMUNICATION SERVICES (1.9%)
CapRock Communications Corp.+.................... 57,800 1,156,000
Choice One Communications, Inc.+................. 55,000 1,306,250
GoAmerica, Inc.+................................. 53,300 333,125
iBasis, Inc.+.................................... 80,500 1,132,031
ITC DeltaCom, Inc.+.............................. 72,800 1,324,050
MGC Communications, Inc.+........................ 74,200 3,042,200
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
------------------------------------------------- --------- -------------
<S> <C> <C>
TELECOMMUNICATION SERVICES (CONTINUED)
Motient Corp.+................................... 183,000 $ 1,658,438
Net2Phone, Inc.+................................. 49,100 1,448,450
PNV.net, Inc.+................................... 142,300 364,644
TeleCorp PCS, Inc.+.............................. 22,100 671,288
------------
12,436,476
------------
TELECOMMUNICATIONS-EQUIPMENT (4.6%)
Advanced Fibre Communications+................... 225,900 10,391,400
Aether Systems, Inc.+............................ 11,200 1,539,300
Avanex Corp.+.................................... 8,900 605,200
FLAG Telecom Holdings Ltd.+(i)................... 94,600 1,342,138
Metawave Communications Corp.+................... 49,400 1,475,825
Netro Corp.+..................................... 37,000 1,105,375
New Focus, Inc.+................................. 12,700 820,738
ONI Systems Corp.+............................... 16,100 402,500
Polycom, Inc.+................................... 60,800 5,111,000
Turnstone Systems, Inc.+......................... 14,100 1,240,139
UTStarcom, Inc.+................................. 32,700 1,250,775
Vyyo, Inc.+...................................... 81,700 1,205,075
Williams Communication Group, Inc.+.............. 41,700 1,529,869
World Access, Inc.+.............................. 171,200 1,797,600
------------
29,816,934
------------
TOTAL TELECOMMUNICATIONS....................... 42,253,410
------------
TRANSPORTATION (1.9%)
RAILROADS (0.4%)
Wisconsin Central Transportation Corp.+.......... 214,300 2,785,900
------------
TRANSPORT & SERVICES (1.1%)
C.H. Robinson Worldwide, Inc..................... 151,900 6,826,006
------------
TRUCK & FREIGHT CARRIERS (0.4%)
Werner Enterprises, Inc.......................... 229,825 2,786,628
------------
TOTAL TRANSPORTATION........................... 12,398,534
------------
UTILITIES (1.1%)
NATURAL GAS (0.4%)
Atmos Energy Corp................................ 161,800 2,962,963
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
24
<PAGE>
THE U.S. SMALL COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
MAY 31, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
------------------------------------------------- --------- -------------
<S> <C> <C>
WATER (0.7%)
E'Town Corp...................................... 65,000 $ 4,310,313
------------
TOTAL UTILITIES................................ 7,273,276
------------
TOTAL COMMON STOCKS (COST $532,591,504)........ 604,903,007
------------
</TABLE>
<TABLE>
<CAPTION>
CONVERTIBLE PREFERRED STOCKS (0.4%)
<S> <C> <C>
ENTERTAINMENT, LEISURE & MEDIA (0.1%)
AMCV Capital Trust I+............................ 25,900 1,087,800
------------
TELECOMMUNICATION SERVICES (0.3%)
Verio, Inc., Series A............................ 29,800 1,802,900
------------
TOTAL CONVERTIBLE PREFERRED STOCKS (COST
$2,921,594)................................... 2,890,700
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
------------------------------------------------- ------------ -------------
<S> <C> <C>
SHORT-TERM INVESTMENTS (5.8%)
OTHER INVESTMENT COMPANIES (5.8%)
J.P. Morgan Institutional Prime Money Market Fund
(cost $37,627,748)*............................ $37,627,748 $ 37,627,748
------------
TOTAL INVESTMENTS
(COST $573,140,846) (99.2%).................................. 645,421,455
OTHER ASSETS IN EXCESS OF LIABILITIES (0.8%)...................
5,198,017
------------
NET ASSETS (100.0%)............................................ $650,619,472
============
</TABLE>
------------------------------
Note: Based on the cost of investments of $579,456,374 for federal income tax
purposes at May 31, 2000, the aggregate gross unrealized appreciation and
depreciation was $150,606,831 and $84,641,750 respectively, resulting in net
unrealized appreciation of $65,965,081.
+ - Non-income producing security.
(i) - Foreign security.
Spon. ADR - Sponsored American Depository Receipt.
*Money Market mutual fund registered under the Investment Company Act of 1940,
as amended, and advised by J.P. Morgan Investment Management, Inc.
The Accompanying Notes are an Integral Part of the Financial Statements.
25
<PAGE>
THE U.S. SMALL COMPANY PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
MAY 31, 2000
--------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments at Value (Cost $573,140,846) $645,421,455
Cash 176,888
Receivable for Investments Sold 8,967,643
Dividends and Interest Receivable 436,455
Prepaid Trustees' Fees 1,919
Prepaid Expenses and Other Assets 7,759
------------
Total Assets 655,012,119
------------
LIABILITIES
Payable for Investments Purchased 3,947,654
Advisory Fee Payable 340,056
Custody Fee Payable 62,000
Administrative Services Fee Payable 13,817
Administration Fee Payable 896
Fund Services Fee Payable 599
Accrued Expenses 27,625
------------
Total Liabilities 4,392,647
------------
NET ASSETS
Applicable to Investors' Beneficial Interests $650,619,472
============
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
26
<PAGE>
THE U.S. SMALL COMPANY PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE FISCAL YEAR ENDED MAY 31, 2000
--------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Dividend Income (Net of Foreign Withholding Tax
of $13,318) $ 4,565,821
Interest Income 2,317,761
------------
Investment Income 6,883,582
EXPENSES
Advisory Fee $3,870,586
Custodian Fees and Expenses 193,866
Administrative Services Fee 162,199
Professional Fees and Expenses 45,037
Fund Services Fee 11,170
Printing Expenses 9,603
Trustees' Fees and Expenses 7,234
Administration Fee 6,159
Insurance Expense 1,739
Miscellaneous 108
----------
Total Expenses 4,307,701
------------
NET INVESTMENT INCOME 2,575,881
NET REALIZED GAIN ON INVESTMENTS 111,618,260
NET CHANGE IN UNREALIZED APPRECIATION OF
INVESTMENTS 19,782,827
------------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $133,976,968
============
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
27
<PAGE>
THE U.S. SMALL COMPANY PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE FISCAL FOR THE FISCAL
YEAR ENDED YEAR ENDED
MAY 31, 2000 MAY 31, 1999
-------------- --------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 2,575,881 $ 3,782,136
Net Realized Gain (Loss) on Investments 111,618,260 (62,700,742)
Net Change in Unrealized Appreciation
(Depreciation) of Investments 19,782,827 (25,375,283)
------------- -------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 133,976,968 (84,293,889)
------------- -------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS
Contributions 302,615,546 289,628,106
Withdrawals (317,840,027) (355,231,710)
------------- -------------
Net Decrease from Investors' Transactions (15,224,481) (65,603,604)
------------- -------------
Total Increase (Decrease) in Net Assets 118,752,487 (149,897,493)
NET ASSETS
Beginning of Fiscal Year 531,866,985 681,764,478
------------- -------------
End of Fiscal Year $ 650,619,472 $ 531,866,985
============= =============
</TABLE>
--------------------------------------------------------------------------------
SUPPLEMENTARY DATA
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE FISCAL YEAR ENDED MAY 31,
---------------------------------
2000 1999 1998 1997 1996
----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C>
RATIOS TO AVERAGE NET ASSETS
Net Expenses 0.66% 0.68% 0.68% 0.68% 0.67%
Net Investment Income 0.39% 0.67% 0.68% 0.92% 1.33%
Portfolio Turnover 104% 104% 96% 98% 93%
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
28
<PAGE>
THE U.S. SMALL COMPANY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
MAY 31, 2000
--------------------------------------------------------------------------------
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 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. The portfolio's
investment objective is to provide a high total return from a portfolio of small
company stocks. 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 accounting principles
generally accepted in the United States 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 portfolio values securities that are listed on an exchange using
prices supplied daily by an independent pricing service that are based on
the last traded price on a national securities exchange or in the absence
of recorded trades, at the readily available mean of the bid and asked
prices on such exchange, if such exchange or market constitutes the
broadest and most representative market for the security. Securities
listed on a foreign exchange are valued at the last traded price or, in
the absence of recorded trades, at the readily available mean of the bid
and asked prices on such exchange available before the time when net
assets are valued. Independent pricing service procedures may also include
the use of prices based on yields or prices of securities of comparable
quality, coupon, maturity and type, indications as to values from dealers,
operating data, and general market conditions. Unlisted securities are
valued at the average of the quoted bid and asked prices in the
over-the-counter market provided by a principal market maker or dealer. If
prices are not supplied by the portfolio's independent pricing service or
principal market maker or dealer, such securities are priced using fair
values in accordance with procedures adopted by the portfolio's trustees.
All short-term securities with a remaining maturity of sixty days or less
are valued using the amortized cost method.
b) The portfolio's custodian or designated sub custodians, as the case may be
under tri-party repurchase agreements, 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 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.
c) 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.
29
<PAGE>
THE U.S. SMALL COMPANY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
MAY 31, 2000
--------------------------------------------------------------------------------
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.
2. TRANSACTIONS WITH AFFILIATES
a) The portfolio has an Investment Advisory Agreement with J.P. Morgan
Investment Management Inc. ("JPMIM"), an affiliate of Morgan Guaranty
Trust Company of New York ("Morgan"), a wholly-owned subsidiary of
J.P. Morgan & Co. Incorporated ("J.P. Morgan"). Under the terms of the
agreement, the portfolio paid JPMIM at an annual rate of 0.60% of the
portfolio's average daily net assets. For the fiscal year ended May 31,
2000, such fees paid amounted to $3,918,665.
The trust, on behalf of the portfolio, may invest in one or more
affiliated money market funds: J.P. Morgan Institutional Prime Money
Market Fund, J.P. Morgan Institutional Tax Exempt Money Market Fund,
J.P. Morgan Institutional Federal Money Market Fund and J.P. Morgan
Institutional Treasury Money Market Fund. The Advisor has agreed to
reimburse its advisory fee from the portfolio in an amount to offset any
doubling of investment advisory and shareholder servicing fees. For the
fiscal year ended May 31, 2000, J.P. Morgan has agreed to reimburse the
portfolio $48,079 under this agreement. Interest income included in the
Statement of Operations for the year ended May 31, 2000 includes
$1,169,918 of interest income from investments in affiliated Money Market
Funds.
b) The trust, on behalf of the portfolio, has retained Funds Distributor,
Inc. ("FDI"), a registered broker-dealer, to serve as the co-administrator
and exclusive placement agent. Under a Co-Administration Agreement between
FDI and the portfolio, FDI 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 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 fiscal year ended May 31, 2000, the fee for these services
amounted to $6,159.
c) The trust, on behalf of the portfolio, has an Administrative Services
Agreement (the "Services Agreement") with Morgan, under which Morgan is
responsible for 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 JPMIM 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
30
<PAGE>
THE U.S. SMALL COMPANY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
MAY 31, 2000
--------------------------------------------------------------------------------
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
fiscal year ended May 31, 2000, the fee for these services amounted to
$162,199.
d) The trust, on behalf of 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 $11,170 for the fiscal year ended May 31, 2000.
e) An aggregate annual fee of $75,000 is paid to each trustee for serving as
a trustee of the portfolio, 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 $2,100.
3. INVESTMENT TRANSACTIONS
Investment transactions (excluding short-term investments) for the fiscal year
ended May 31, 2000 were as follows:
<TABLE>
<CAPTION>
COST OF PROCEEDS
PURCHASES FROM SALES
--------- ------------
<S> <C>
633,640,799..... 676,595,162
</TABLE>
4. CREDIT AGREEMENT
The portfolio is party to a revolving line of credit agreement (the "Agreement")
as discussed more fully in Note 4 of the fund's Notes to the Financial
Statements which are included elsewhere in this report.
31
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
To the Trustees and Investors of
The U.S. Small Company Portfolio
In our opinion, the accompanying statement of assets and liabilities, including
the schedule of investments, and the related statements of operations and of
changes in net assets and the supplementary data present fairly, in all material
respects, the financial position of The U.S. Small Company Portfolio (the
"portfolio") at May 31, 2000, the results of its operations for the year then
ended, the changes in its net assets for each of the two years in the period
then ended and the supplementary data for each of the five years in the period
then ended, in conformity with accounting principles generally accepted in the
United States. These financial statements and supplementary data (hereafter
referred to as "financial statements") are the responsibility of the portfolio's
management; our responsibility is to express an opinion on these financial
statements based on our audits. We conducted our audits of these financial
statements in accordance with auditing standards generally accepted in the
United States, which require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements, assessing the
accounting principles used and significant estimates made by management, and
evaluating the overall financial statement presentation. We believe that our
audits, which included confirmation of securities at May 31, 2000 by
correspondence with the custodian and brokers, provide a reasonable basis for
the opinion expressed above.
PricewaterhouseCoopers LLP
New York, New York
July 14, 2000
32
