<PAGE>
THE U.S. EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED)
NOVEMBER 30, 1999
- - - - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- - - - ------------------------------------------------- --------------- -------------
<S> <C> <C>
COMMON STOCKS (96.0%)
BASIC INDUSTRIES (4.7%)
CHEMICALS (2.7%)
Air Products and Chemicals, Inc.................. 178,000 $ 5,762,750
Rohm & Haas Co................................... 375,400 13,749,025
------------
19,511,775
------------
FOREST PRODUCTS & PAPER (1.0%)
Smurfit-Stone Container Corp.+................... 363,000 6,965,062
------------
METALS & MINING (1.0%)
Allegheny Technologies, Inc...................... 164,686 4,126,282
USX-U.S. Steel Group............................. 127,100 3,217,219
------------
7,343,501
------------
TOTAL BASIC INDUSTRIES......................... 33,820,338
------------
CONSUMER GOODS & SERVICES (17.6%)
AUTOMOTIVE (1.5%)
Ford Motor Co.................................... 64,600 3,262,300
Lear Corp.+...................................... 222,100 7,343,181
------------
10,605,481
------------
BROADCASTING & PUBLISHING (1.0%)
AT&T Corp. - Liberty Media Group, Class A+....... 178,900 7,480,256
------------
ENTERTAINMENT, LEISURE & MEDIA (3.9%)
America Online, Inc.+............................ 140,300 10,198,056
International Game Technology.................... 197,800 3,560,400
News Corp. Ltd. (Spons. ADR) (i)................. 198,300 6,791,775
Seagram Company Ltd. (i)......................... 159,400 6,943,862
------------
27,494,093
------------
FOOD, BEVERAGES & TOBACCO (3.0%)
Bestfoods........................................ 67,400 3,694,362
Pepsi Bottling Group, Inc........................ 113,100 1,979,250
PepsiCo, Inc..................................... 165,900 5,733,919
Philip Morris Companies, Inc..................... 393,200 10,346,075
------------
21,753,606
------------
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- - - - ------------------------------------------------- --------------- -------------
<S> <C> <C>
HOUSEHOLD PRODUCTS (2.4%)
Kimberly-Clark Corp.............................. 79,700 $ 5,090,837
Procter & Gamble Co.............................. 108,260 11,692,080
Water Pik Technologies, Inc.+.................... 8,268 63,406
------------
16,846,323
------------
PERSONAL CARE (0.9%)
Gillette Co...................................... 155,700 6,257,194
------------
RETAIL (4.9%)
Abercrombie & Fitch Co., Class A+................ 143,900 4,658,763
Circuit City Stores-Circuit City Group........... 47,100 2,284,350
Dayton Hudson Corp............................... 97,900 6,908,069
Federated Department Stores, Inc.+............... 136,700 6,433,444
TJX Companies, Inc............................... 229,100 5,999,556
Wal-Mart Stores, Inc............................. 146,800 8,459,350
------------
34,743,532
------------
TOTAL CONSUMER GOODS & SERVICES................ 125,180,485
------------
ENERGY (6.3%)
GAS EXPLORATION (0.3%)
Union Pacific Resources Group, Inc............... 150,900 1,971,131
------------
OIL-PRODUCTION (5.5%)
Chevron Corp..................................... 36,700 3,250,244
Conoco, Inc., Class B............................ 243,900 6,387,131
Exxon Corp....................................... 85,700 6,797,081
Mobil Corp....................................... 191,000 19,923,687
Tosco Corp....................................... 117,800 3,187,962
------------
39,546,105
------------
OIL-SERVICES (0.5%)
Cooper Cameron Corp.+............................ 80,500 3,451,437
------------
TOTAL ENERGY................................... 44,968,673
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
16
<PAGE>
THE U.S. EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
NOVEMBER 30, 1999
- - - - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- - - - ------------------------------------------------- --------------- -------------
<S> <C> <C>
FINANCE (14.1%)
BANKING (8.0%)
Astoria Financial Corp........................... 147,130 $ 4,639,193
Bank of America Corp............................. 80,001 4,680,058
Citigroup, Inc................................... 123,900 6,675,112
First Union Corp................................. 434,900 16,825,194
KeyCorp.......................................... 174,100 4,700,700
U.S. Bancorp..................................... 409,400 13,996,362
Washington Mutual, Inc........................... 202,450 5,871,050
------------
57,387,669
------------
FINANCIAL SERVICES (2.2%)
CIT Group, Inc., Class A......................... 163,700 3,396,775
Federal Home Loan Mortgage Corp.................. 107,300 5,297,937
Goldman Sachs Group, Inc......................... 92,100 6,919,012
------------
15,613,724
------------
INSURANCE (3.9%)
Ambac Financial Group, Inc....................... 168,000 9,156,000
Aon Corp......................................... 177,300 6,327,394
UnumProvident Corp............................... 257,000 8,368,562
XL Capital Ltd., Class A......................... 74,400 3,794,400
------------
27,646,356
------------
TOTAL FINANCE.................................. 100,647,749
------------
HEALTH CARE (10.1%)
HEALTH SERVICES (0.8%)
Humana, Inc.+.................................... 20,400 142,800
Tenet Healthcare Corp.+.......................... 244,200 5,448,712
------------
5,591,512
------------
MEDICAL SUPPLIES (0.6%)
PE Corp.- PE Biosystems Group.................... 51,400 4,195,525
------------
PHARMACEUTICALS (8.7%)
ALZA Corp.+...................................... 252,600 10,909,162
American Home Products Corp...................... 166,700 8,668,400
Bristol-Myers Squibb Co.......................... 100,500 7,342,781
Eli Lilly & Co................................... 86,600 6,213,550
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- - - - ------------------------------------------------- --------------- -------------
<S> <C> <C>
PHARMACEUTICALS (CONTINUED)
Forest Laboratories, Inc.+....................... 185,900 $ 9,515,756
Monsanto Co...................................... 351,400 14,824,688
Warner-Lambert Co................................ 50,400 4,520,250
------------
61,994,587
------------
TOTAL HEALTH CARE.............................. 71,781,624
------------
INDUSTRIAL PRODUCTS & SERVICES (8.0%)
AEROSPACE (0.5%)
Boeing Co........................................ 84,100 3,432,331
------------
COMMERCIAL SERVICES (0.5%)
Cendant Corp.+................................... 220,900 3,658,656
------------
DIVERSIFIED MANUFACTURING (6.6%)
Cooper Industries, Inc........................... 92,100 3,954,544
Deere & Co....................................... 118,400 5,083,800
General Electric Co.............................. 127,100 16,523,000
Teledyne Technologies, Inc.+..................... 1,200 13,417
Tyco International Ltd.(i)....................... 532,092 21,316,936
------------
46,891,697
------------
POLLUTION CONTROL (0.4%)
Waste Management, Inc............................ 179,957 2,924,301
------------
TOTAL INDUSTRIAL PRODUCTS & SERVICES........... 56,906,985
------------
TECHNOLOGY (21.1%)
COMPUTER PERIPHERALS (2.0%)
EMC Corp.+....................................... 87,000 7,269,938
Quantum Corp.- DLT & Storage Systems+............ 229,300 3,611,475
Seagate Technology, Inc.+........................ 88,300 3,267,100
------------
14,148,513
------------
COMPUTER SOFTWARE (5.7%)
BMC Software, Inc.+.............................. 67,600 4,922,125
Citrix Systems, Inc.+............................ 8,900 844,388
Microsoft Corp.+................................. 327,500 29,817,852
Oracle Corp.+.................................... 66,950 4,540,047
------------
40,124,412
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
17
<PAGE>
THE U.S. EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
NOVEMBER 30, 1999
- - - - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- - - - ------------------------------------------------- --------------- -------------
<S> <C> <C>
COMPUTER SYSTEMS (5.0%)
Apple Computer, Inc.+............................ 52,700 $ 5,158,013
Compaq Computer Corp............................. 176,800 4,320,550
Dell Computer Corp.+............................. 104,500 4,493,500
Hewlett-Packard Co............................... 59,300 5,626,088
International Business Machines Corp............. 52,900 5,452,006
Sun Microsystems, Inc.+.......................... 81,800 10,818,050
------------
35,868,207
------------
ELECTRONICS (2.2%)
Cisco Systems, Inc.+............................. 178,300 15,902,131
------------
INFORMATION PROCESSING (0.7%)
Automatic Data Processing, Inc................... 103,700 5,120,188
------------
SEMICONDUCTORS (2.9%)
Intel Corp....................................... 189,700 14,547,619
Texas Instruments, Inc........................... 62,900 6,042,331
------------
20,589,950
------------
TELECOMMUNICATIONS-EQUIPMENT (2.6%)
Lucent Technologies, Inc......................... 136,400 9,965,725
Motorola, Inc.................................... 73,700 8,420,225
------------
18,385,950
------------
TOTAL TECHNOLOGY............................... 150,139,351
------------
TRANSPORTATION (2.2%)
RAILROADS (2.0%)
CSX Corp......................................... 109,400 3,890,538
Union Pacific Corp............................... 218,600 10,287,863
------------
14,178,401
------------
TRUCK & FREIGHT CARRIERS (0.2%)
United Parcel Service, Inc., Class B............. 23,800 1,572,288
------------
TOTAL TRANSPORTATION........................... 15,750,689
------------
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- - - - ------------------------------------------------- --------------- -------------
<S> <C> <C>
UTILITIES (11.9%)
ELECTRIC (1.2%)
Allegheny Energy, Inc............................ 83,300 $ 2,415,700
Northern States Power Co......................... 173,200 3,539,775
PG&E Corp........................................ 116,100 2,597,738
------------
8,553,213
------------
NATURAL GAS (2.2%)
Columbia Energy Group............................ 244,450 15,339,238
------------
TELEPHONE (8.5%)
AT&T Corp........................................ 276,500 15,449,438
Bell Atlantic Corp............................... 87,800 5,558,838
Global Crossing Ltd.+(i)......................... 119,800 5,226,275
GTE Corp......................................... 85,500 6,241,500
Level 3 Communications, Inc.+.................... 66,700 4,523,094
MCI WorldCom, Inc.+.............................. 154,200 12,750,413
SBC Communications, Inc.......................... 202,300 10,506,956
------------
60,256,514
------------
TOTAL UTILITIES................................ 84,148,965
------------
TOTAL COMMON STOCKS (COST $557,173,714)........ 683,344,859
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
---------------
<S> <C> <C>
SHORT-TERM INVESTMENTS (4.1%)
OTHER INVESTMENT COMPANIES (3.8%)
J.P. Morgan Institutional Prime Money Market Fund
5.580% due 12/01/99............................ $ 27,522,344 27,522,344
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
18
<PAGE>
THE U.S. EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
NOVEMBER 30, 1999
- - - - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- - - - ------------------------------------------------- --------------- -------------
<S> <C> <C>
U.S. TREASURY OBLIGATIONS (0.3%)
Notes, 5.875% due 02/15/00 (s)................... $ 2,050,000 $ 2,051,599
------------
TOTAL SHORT-TERM INVESTMENTS (COST
$29,575,707).................................. 29,573,943
------------
TOTAL INVESTMENTS (COST
$586,749,421) (100.1%).......................................... 712,918,802
LIABILITIES IN EXCESS OF OTHER
ASSETS (-0.1%).................................................. (906,043)
------------
NET ASSETS (100.0%)............................................... $712,012,759
============
</TABLE>
- - - - ------------------------------
Note: Based on the cost of investments of $590,926,056 for federal income tax
purposes at November 30, 1999 the aggregate gross unrealized appreciation and
depreciation was $149,718,902 and $27,726,156, respectively, resulting in net
unrealized apppreciation of $121,992,746.
+ Non-income producing security.
(i) Foreign security.
(s)Security is partially segregated with custodian as collateral for futures
contracts or with broker as initial margin for futures contracts.
Spon. ADR - Sponsored American Depositary Receipt.
The Accompanying Notes are an Integral Part of the Financial Statements.
19
<PAGE>
THE U.S. EQUITY PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES (UNAUDITED)
NOVEMBER 30, 1999
- - - - --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments at Value (Cost $586,749,421 ) $712,918,802
Cash 382,431
Receivable for Investments Sold 14,013,439
Dividends Receivable 1,067,222
Interest Receivable 112,352
Prepaid Expenses and Other Assets 10,430
------------
Total Assets 728,504,676
------------
LIABILITIES
Payable for Investments Purchased 15,916,533
Variation Margin Payable 259,492
Advisory Fee Payable 232,121
Custody Fee Payable 28,867
Administrative Services Fee Payable 14,661
Administration Fee Payable 620
Fund Services Fee Payable 398
Accrued Expenses 39,225
------------
Total Liabilities 16,491,917
------------
NET ASSETS
Applicable to Investors' Beneficial Interests $712,012,759
============
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
20
<PAGE>
THE U.S. EQUITY PORTFOLIO
STATEMENT OF OPERATIONS (UNAUDITED)
FOR THE SIX MONTHS ENDED NOVEMBER 30, 1999
- - - - --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Dividend Income (Net of Foreign Withholding Tax
of $16,505) $ 4,789,250
Interest Income 424,432
-----------
Investment Income 5,213,682
EXPENSES
Advisory Fee $ 1,429,773
Administrative Services Fee 90,872
Custodian Fees and Expenses 87,811
Professional Fees and Expenses 22,068
Fund Services Fee 6,383
Printing Expenses 4,333
Administration Fee 4,172
Trustees' Fees and Expenses 2,006
Insurance Expense 1,285
Miscellaneous 100
-----------
Total Expenses 1,648,803
-----------
NET INVESTMENT INCOME 3,564,879
NET REALIZED GAIN ON
Investment Transactions 16,033,578
Futures Contracts 269,404
-----------
Net Realized Gain 16,302,982
NET CHANGE IN UNREALIZED DEPRECIATION OF
Investments (6,906,762)
Futures Contracts (117,368)
-----------
Net Change in Unrealized Depreciation (7,024,130)
-----------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $12,843,731
===========
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
21
<PAGE>
THE U.S. EQUITY PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
- - - - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE SIX
MONTHS ENDED FOR THE FISCAL
NOVEMBER 30, 1999 YEAR ENDED
(UNAUDITED) MAY 31, 1999
----------------- --------------
<S> <C> <C>
DECREASE IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 3,564,879 $ 7,489,950
Net Realized Gain on Investments and Futures
Contracts 16,302,982 124,444,147
Net Change in Unrealized Depreciation of
Investments and Futures Contracts (7,024,130) (20,064,046)
---------------- -------------
Net Increase in Net Assets Resulting from
Operations 12,843,731 111,870,051
---------------- -------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS
Contributions 54,236,277 137,233,705
Withdrawals (74,497,694) (356,977,035)
---------------- -------------
Net Decrease from Investors' Transactions (20,261,417) (219,743,330)
---------------- -------------
Total Decrease in Net Assets (7,417,686) (107,873,279)
NET ASSETS
Beginning of Period 719,430,445 827,303,724
---------------- -------------
End of Period $ 712,012,759 $ 719,430,445
================ =============
</TABLE>
- - - - --------------------------------------------------------------------------------
SUPPLEMENTARY DATA
- - - - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE SIX
MONTHS ENDED FOR THE FISCAL YEAR ENDED MAY 31,
NOVEMBER 30, 1999 ---------------------------------
(UNAUDITED) 1999 1998 1997 1996 1995
----------------- ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C> <C>
RATIOS TO AVERAGE NET ASSETS
Net Expenses 0.46%(a) 0.47% 0.47% 0.47% 0.46% 0.51%
Net Investment Income 0.99%(a) 1.03% 1.01% 1.41% 2.20% 2.12%
Portfolio Turnover 46% 84% 106% 99% 85% 71%
</TABLE>
- - - - ------------------------
(a) Annualized.
The Accompanying Notes are an Integral Part of the Financial Statements.
22
<PAGE>
THE U.S. EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
NOVEMBER 30, 1999
- - - - --------------------------------------------------------------------------------
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
The U.S. Equity 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. The portfolio's
investment objective is to provide a high total return from a portfolio of
selected equity securities. 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 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 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 upon
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) 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) A futures contract is an agreement to purchase/sell a specified quantity
of an underlying instrument at a specified future date or to make/receive
a cash payment based on the value of a securities index. The price at
which the purchase and sale will take place is fixed when the portfolio
enters into the contract. Upon entering into such a contract, the
portfolio is required to pledge to the broker an amount of cash and/or
liquid securities equal to the minimum "initial margin" requirements of
the exchange. Pursuant to the contract, the portfolio agrees to receive
from, or pay to, the broker an amount of cash equal to the daily
fluctuation in value of the contract. Such receipts or payments are known
as "variation margin" and are recorded by the portfolio as unrealized
gains or losses. When the contract is closed, the portfolio records a
realized gain or loss equal to the difference between the value of the
contract at the time it was opened and the value at the time when it was
closed. The portfolio invests in futures contracts for the purpose of
hedging its existing portfolio securities, or securities the portfolio
intends to purchase, against fluctuations in value caused by changes in
prevailing market interest rates or securities
23
<PAGE>
THE U.S. EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
NOVEMBER 30, 1999
- - - - --------------------------------------------------------------------------------
movement. The use of futures transactions involves the risk of imperfect
correlation in movements in the price of futures contracts, interest rates
and the underlying hedged assets, and the possible inability of
counterparties to meet the terms of their contracts.
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") and a wholly owned subsidiary of
J.P. Morgan & Co. Incorporated ("J.P. Morgan"). Under the terms of the
agreement, the portfolio pays JPMIM at an annual rate of 0.40 % of the
portfolio's average daily net assets. For the six months ended
November 30, 1999, such fees amounted to $1,429,773.
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 six months ended November 30, 1999,
J.P. Morgan has agreed to reimburse the portfolio $4,515 under this
agreement.
b) 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 six months ended November 30, 1999,
the fee for these services amounted to $4,172.
c) 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 the Morgan acts as
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
24
<PAGE>
THE U.S. EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
NOVEMBER 30, 1999
- - - - --------------------------------------------------------------------------------
assets bear to the net assets of the portfolio, 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, 1999, the fee
for these services amounted to $90,872.
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 $6,383 for the six months ended November 30, 1999.
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 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 $1,300.
3. INVESTMENT TRANSACTIONS
Investment transactions (excluding short-term investments) for the six months
ended November 30, 1999 were as follows:
<TABLE>
<CAPTION>
COST OF PROCEEDS
PURCHASES FROM SALES
- - - - --------- ------------
<S> <C>
$319,854,645 $342,817,471
</TABLE>
Futures transactions as of November 30, 1999 are summarized as follows:
<TABLE>
<CAPTION>
NET UNREALIZED CURRENT MARKET VALUE
CONTRACTS LONG DEPRECIATION OF CONTRACTS
-------------- -------------- --------------------
<S> <C> <C> <C>
S&P 500, expiring
December 1999.................. 76 $(43,006) $26,438,500
== ======== ===========
</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.
25
