<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Description Shares Value
- ---------------------------------------------------------------------------- ------------ ---------------
<S> <C> <C>
COMMON STOCKS (81.6%)
ARGENTINA (2.8%)
Banco Frances Del Rio De La Plata SA (ADR) (Banking & Finance)............ 99,700 $ 2,180,937
Corp. Cementeria Argentina (Class B) (Building & Contractors)*............ 413,000 1,775,722
Nobleza Piccardo (Class B) (Multi-Industry)............................... 409,426 1,576,132
Quilmes Industrials (Quinsa) (Registered) (Food).......................... 255,440 4,495,744
Transportadora De Gas Del Sur SA (ADR) (Energy)........................... 299,100 2,991,000
YPF Sociedad Anonima (ADS) (Energy)....................................... 231,300 3,961,013
---------------
16,980,548
---------------
BOLIVIA (0.3%)
Compania Boliviana De Energia Electrica (Utilities & Telecom)............. 61,600 1,794,100
---------------
BRAZIL (2.8%)
Companhia Energetica De Minas Gerais SA (CEMIG) (Spon. ADR Rep Non-Vtg)
(Utilities & Telecom)*................................................... 176,419 3,815,308
Electrobras Centrale (Units) (Utilities & Telecom)........................ 11,382 3,230,699
Makro Atacadista SA (GDS) (Retail) (144A)*................................ 300,000 2,700,000
Santa Elina Gold Corp. Inc. (Metals, Materials & Paper)*.................. 3,300,000 3,694,581
Telecomunicacoes Brasileiras SA (Telebras) (Voting Shares) (Utilities &
Telecom)................................................................. 2,906,539 96,522
Votorantim Celulose E Papel (ADR) (Metals, Materials & Paper)............. 267,800 4,017,000
---------------
17,554,110
---------------
CANADA (0.0%)
Minera Rayrock, Inc. (Multiple Voting B Shares) (Energy)*................. 6,000 6,628
Minera Rayrock, Inc. (Subsidiary Voting A Shares) (Energy)*............... 145,000 151,515
---------------
158,143
---------------
CHILE (2.4%)
Antofagasta Holdings plc (Multi-Industry)................................. 8,807 41,772
Compania Cervecerias Unidas SA (ADR) (Food)............................... 199,900 4,635,181
Compania Telecomunicacion Chile (Spon. ADR) (Utilities & Telecom)......... 69,700 5,018,400
Enersis CI (ADR) (Utilities & Telecom).................................... 39,900 1,002,487
Sociedad Quimica Y Minera De Chile (Spon. ADR) (Chemicals)*............... 98,046 4,252,745
---------------
14,950,585
---------------
CHINA (1.2%)
Dongfang Electrical Machinery Co. (Series H) (Energy)..................... 3,200,000 951,925
Luoyang Glass Co. Ltd. (Series H) (Building & Contractors)................ 3,574,000 1,213,414
Shanghai Erfangji Co. (Series B) (Capital Goods)*......................... 161,200 25,792
Shanghai Shangling Electric Appliances (Series B) (Consumer).............. 100,000 86,500
Shanghai Tyre and Rubber Co. Ltd. (Series B) (Metals, Materials &
Paper)................................................................... 3,229,990 849,487
Tsingtao Brewery (Series H) (Food)........................................ 6,720,000 1,781,756
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
17
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
OCTOBER 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Description Shares Value
- ---------------------------------------------------------------------------- ------------ ---------------
<S> <C> <C>
CHINA (CONTINUED)
Yizheng Chemical Fibre (Series H) (Chemicals)............................. 7,702,000 $ 2,241,357
---------------
7,150,231
---------------
COLUMBIA (0.1%)
Banco Industrial Colombiano (ADR) (Banking & Finance)..................... 30,400 414,200
Corp Financiera Del Valle SA (ADR) (Banking & Finance) (144A)............. 17,645 211,740
---------------
625,940
---------------
CZECH REPUBLIC (1.5%)
Central European Media Enterprises Ltd. (Media & Leisure)................. 49,600 1,122,200
Ceska Pojistovna (Insurance)*............................................. 4,940 755,641
Cokoladovny Praha (Food).................................................. 10,000 883,361
Elektrarny Opatovice AS (Utilities & Telecom)............................. 16,879 2,046,135
SPT Telecom AS (Utilities & Telecom)*..................................... 27,000 2,658,700
Synthesia (Chemicals)*.................................................... 63,000 1,903,250
---------------
9,369,287
---------------
ECUADOR (0.3%)
La Cemento Nacional CA (GDS) (Building & Contractors) (144A).............. 10,240 2,078,720
---------------
GHANA ( 0.1% )
Guinness Ghana Ltd. (Food)................................................ 1,116,596 185,413
Pioneer Tobacco Co. (Food)*............................................... 1,900,600 147,279
Unilever Ghana Ltd. (Food)*............................................... 350,245 230,050
---------------
562,742
---------------
GREECE (3.1%)
Alpha Credit Bank (Registered) (Banking & Finance)........................ 14,166 852,343
Athens Medical Centre (Registered) (Transport & Trade Services)........... 190,000 1,147,294
Boutaris Wine Co. (Food)*................................................. 14,400 65,214
Ergo Bank (Banking & Finance)............................................. 18,100 780,677
Hellenic Bottling Co. S.A. (Food)......................................... 235,602 7,519,753
Hellenic Sugar Industry SA (Food)......................................... 234,850 2,957,783
Michaniki SA (Building & Contractors)..................................... 126,720 1,740,794
National Investment Bank for Industrial Development (Registered) (Banking
& Finance)............................................................... 79,000 1,609,985
Titan Cement Co. (Registered) (Building & Contractors).................... 66,000 2,747,035
---------------
19,420,878
---------------
HONG KONG (1.7%)
Citic Pacific Ltd. (Multi-Industry)....................................... 644,000 2,011,537
M. C. Packaging (Metals, Materials & Paper)*.............................. 2,850,000 1,216,421
Pacific Concord Holding (Transport & Trade Services)...................... 10,120,000 1,518,321
World Houseware Holdings (Food)........................................... 12,204,000 2,178,243
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
18
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
OCTOBER 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Description Shares Value
- ---------------------------------------------------------------------------- ------------ ---------------
<S> <C> <C>
HONG KONG (CONTINUED)
Yue Yuen Industrial Holdings (Consumer)................................... 14,870,000 $ 3,894,583
---------------
10,819,105
---------------
HUNGARY (1.3%)
Fotex RT (Consumer)*...................................................... 4,400 4,088
Hungarian Foreign Trade Bank Ltd. (Banking & Finance)*.................... 17,000 1,201,838
Julius Meinl International AG (Food)*..................................... 16,800 531,071
Magyar Olaj Es Gaz (Energy)*.............................................. 33,400 3,015,852
Pick Szeged RT (GDS) (Food) (144A)........................................ 45,600 2,079,419
Skala Coop (Munich Exchange) (Retail)*.................................... 25,000 390,105
Skala Coop (Vienna Exchange) (Retail)*.................................... 5,000 69,267
Zalakeramia RT (Building & Contractors)................................... 29,333 645,821
---------------
7,937,461
---------------
INDIA (1.4%)
Hindustan Development Corp. (GDR) (Multi-Industry) (144A)*................ 1,000,000 600,000
Shriram Industrial Enterprise (GDR) (Multi-Industry) (144A)............... 258,000 1,451,250
Shriram Industrial Enterprise (GDR) (Multi-Industry)...................... 243,900 1,371,938
Shriram Industrial Enterprise (GDR & Warrant Units) (Multi-Industry)
(144A)................................................................... 1,000 18,000
Southern Petrochemical Industrial Corp. (GDS) (Energy).................... 556,500 3,478,125
Videocon International Ltd. (GDR) (Media & Leisure)....................... 828,000 2,049,300
---------------
8,968,613
---------------
INDONESIA (6.3%)
P.T. APAC Centertex (Consumer)............................................ 360,000 225,892
P.T. Bakrie and Brothers (Metals, Materials & Paper)...................... 175,000 314,014
P.T. Duta Anggada Realty (Building & Contractors)......................... 4,031,000 2,529,359
P.T. Goodyear Indonesia (Motors).......................................... 100,000 110,084
P.T. Indorama Synthetic (Metals, Materials & Paper)....................... 180,000 594,452
P.T. Indorayon Utama (Metals, Materials & Paper).......................... 642,000 791,546
P.T. International Nickel Indonesia (Metals, Materials & Paper)........... 3,555,700 7,671,920
P.T. Jakarta International Hotels and Development (Media & Leisure)....... 1,555,000 2,139,751
P.T. Modern Photo Film Co. (Consumer)..................................... 377,500 2,293,923
P.T. Multi Bintang Indonesia (Multi-Industry)............................. 200,000 1,585,205
P.T. Niaga Bank (Banking & Finance)....................................... 654,300 2,333,699
P.T. Pakuwon Jati (Real Estate)........................................... 4,926,000 4,175,495
P.T. Pan Brothers Textiles (Consumer)..................................... 165,000 50,859
P.T. Putra Surya Perkasa (Building & Contractors)......................... 1,350,000 505,284
P.T. Semen Gresik (Building & Contractors)*............................... 3,200,000 8,313,518
P.T. Surya Toto Indonesia (Consumer)...................................... 895,000 1,891,678
P.T. Tempo Scan Pacific (Healthcare)...................................... 332,000 1,783,531
P.T. Unilever Indonesia (Metals, Materials & Paper)....................... 47,605 670,788
P.T. United Tractors (Capital Goods)...................................... 500,000 990,753
---------------
38,971,751
---------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
19
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
OCTOBER 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Description Shares Value
- ---------------------------------------------------------------------------- ------------ ---------------
<S> <C> <C>
MALAYSIA (14.7%)
AMMB Holdings Berhad (Banking & Finance).................................. 461,000 $ 5,714,876
Anakku Corp. Berhad (Consumer)............................................ 117,000 306,198
Antah Holdings Berhad (Multi-Industry).................................... 235,200 211,967
Carlsberg Brewery Malaysia Berhad (Food).................................. 565,416 2,592,324
Cold Storage Malaysia Berhad (Food)....................................... 74,000 85,911
Edaran Otomobil Nasional Berhad (Motors).................................. 592,000 4,659,583
Golden Hope Plantations Berhad (Metals, Materials & Paper)................ 3,005,166 4,730,682
Hong Leong Industries Berhad (Multi-Industry)............................. 807,000 3,842,857
Island & Peninsular Berhad (Building & Contractors)....................... 230,500 557,881
Kian Joo Can Factory Berhad (Consumer).................................... 814,000 3,203,463
Kuala Lumpur Kepong Berhad (Metals, Materials & Paper).................... 1,797,000 4,844,333
Land & General Berhad (Multi-Industry).................................... 381,000 884,652
Lion Corp. Berhad (Transport & Trade Services)............................ 1,086,000 1,495,868
London & Pacific Insurance Co. Berhad (Insurance)......................... 73,000 290,161
Malayan Banking Berhad (Banking & Finance)................................ 216,000 1,742,621
Malayan Cement Berhad (Building & Contractors)............................ 349,000 609,823
Malaysia Mining Corp. Berhad (Metals, Materials & Paper).................. 1,659,000 2,219,835
Malaysian Assurance Alliance Berhad (Insurance)........................... 97,000 393,192
Malaysian International Shipping Corp. Berhad (Transport & Trade
Services)................................................................ 1,666,333 4,393,716
Malaysian Tobacco Co. Berhad (Food)....................................... 322,000 453,664
Matsushita Electric Co. Malaysia Berhad (Consumer)........................ 296,000 2,178,355
Nestle Malaysia Berhad (Food)............................................. 1,065,000 7,502,361
Nylex Malaysia Berhad (Chemicals)......................................... 422,000 1,237,269
Perlis Plantations Berhad (Transport & Trade Services).................... 1,476,000 4,385,596
Public Bank Berhad (Banking & Finance).................................... 3,257,000 5,768,005
Putera Capital Berhad (Consumer).......................................... 1,000 1,370
Resorts World Berhad (Media & Leisure).................................... 907,000 4,426,131
Shell Refinery Malaysia (Energy).......................................... 996,500 2,980,480
Sime Darby Berhad (Multi-Industry)........................................ 674,000 1,684,337
Sime U.E.P. Properties (Building & Contractors)........................... 1,434,000 2,505,691
Sistem Televisyen Malaysia (Media & Leisure).............................. 1,270,000 3,998,426
Southern Bank Berhad (Banking & Finance).................................. 232,500 471,222
Tanjong Co. (Media & Leisure)............................................. 393,000 989,847
Tenaga Nasional Berhad (Utilities & Telecom).............................. 1,928,000 7,284,061
UMW Holdings Berhad (Capital Goods)*...................................... 911,200 2,169,524
---------------
90,816,282
---------------
MEXICO (8.8%)
Cementos Mexicanos SA de CV (Class B) (Building & Contractors)............ 1,431,675 4,420,611
Cifra SA de CV (Class B) (Retail)......................................... 2,645,000 2,813,909
Cydsa SA de CV (Class A) (Registered) (Chemicals)*........................ 456,720 1,160,229
Desc Sociedad de Fomento Industrial SA de CV (Class A) (Metals, Materials
& Paper)*................................................................ 268,000 827,509
Desc Sociedad de Fomento Industrial SA de CV (Class B) (Metals, Materials
& Paper)*................................................................ 244,000 784,225
Fomento Economico Mexicana SA de CV (Class B) (Food)...................... 1,800,000 3,728,842
Grupo Carso SA de CV (Class A) (Capital Goods)*........................... 858,400 4,493,799
Grupo Casa Autrey S.A. de CV (Spon. ADR) (Food)........................... 188,500 2,403,375
Grupo Embotellador De Mexico SA de CV (Class BCP) (Food)*................. 634,000 378,175
Grupo Financiero Banamex Accival SA de CV (Class L) (Banking & Finance)... 86,320 141,747
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
20
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
OCTOBER 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Description Shares Value
- ---------------------------------------------------------------------------- ------------ ---------------
<S> <C> <C>
MEXICO (CONTINUED)
Grupo Financiero Banamex Accival SA de CV (Class B) (Banking & Finance)... 1,697,000 $ 2,905,740
Grupo Financiero Del Norte (Class B) (Banking & Finance)*................. 1,585,000 1,623,930
Grupo Financiero Probursa SA de CV (Class B) (Banking & Finance)*......... 1,050 46
Grupo Industrial Maseca SA de CV (Class B) (Spon. ADR) (Food)............. 323,333 3,112,080
Grupo Simec SA de CV (ADR; Class B) (Metals, Materials & Paper)*.......... 147,500 958,750
Industrias Penoles SA de CV (Class CP) (Metals, Materials & Paper)........ 1,377,500 5,181,333
Kimberley Clark De Mexico SA de CV (Class A) (Metal, Materials & Paper)... 273,000 3,563,368
Telefonos De Mexico SA de CV (ADR) (Utilities & Telecom).................. 200,000 271,875
Telefonos De Mexico SA de CV (ADR L Shares) (Utilities & Telecom)......... 424,020 11,660,550
Transportacion Maritima Mexicana SA de CV (ADR L Shares) (Transport &
Trade Services)*......................................................... 349,800 2,492,325
Vitro Sociedad Anonima SA de CV (Spon. ADR) (Metals, Materials & Paper)... 194,960 1,267,240
---------------
54,189,658
---------------
MOROCCO (0.4%)
Banque Commerciale Du Maroc (Banking & Finance)........................... 79 4,040
Wafa Bank (Banking & Finance)............................................. 57,500 2,435,220
---------------
2,439,260
---------------
PAKISTAN (1.0%)
Hub Power Co. (GDR) (Utilities & Telecom)*................................ 235,500 3,797,438
Pakistan Telecom Corp. (GDR) (Utilities & Telecom)*....................... 28,000 2,618,000
---------------
6,415,438
---------------
PERU (1.3%)
Banco Wiese Limitado SA (Spon. ADR) (Banking & Finance)................... 32,929 218,155
Cementos Norte Pacasmayo (Class T) (Building & Contractors)............... 811,058 1,784,471
CPT Telefonica Del Peru (Class B) (Utilities & Telecom)................... 1,070,500 1,911,607
Creditcorp Holdings Ltd. (Financial Services)............................. 102,482 1,690,953
Minsur S.A. (Class T) (Energy)............................................ 338,056 2,352,083
---------------
7,957,269
---------------
PHILIPPINES (2.4%)
Filiinvest Land Inc. (Building & Contractors)*............................ 5,346,000 1,438,754
Manila Electric Co. (Class B) (Utilities & Telecom)....................... 510,000 3,803,922
Metro Bank and Trust Co. (Banking & Finance).............................. 2,406 44,401
Petron Corp. (Energy)..................................................... 9,082,675 4,015,792
Philippine National Bank (Banking & Finance)*............................. 224,190 1,887,644
Philippine Long Distance Telephone Co. (ADR) (Utilities & Telecom)........ 5,600 314,300
San Miguel Corp. (Class B) (Food)......................................... 990,000 3,273,356
---------------
14,778,169
---------------
POLAND (0.6%)
Zaklady Piwowarskie w Zywcu S.A. (Zywiec) (Food).......................... 50,400 4,006,498
---------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
21
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
OCTOBER 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Description Shares Value
- ---------------------------------------------------------------------------- ------------ ---------------
<S> <C> <C>
PORTUGAL (2.5%)
Banco Commercial Portugues SA (Registered) (Banking & Finance)............ 135,499 $ 1,839,952
Banco Commercial Portugues SA (ADR) (Banking & Finance)................... 30,200 407,700
Cel Cat Fabricas (Technology)*............................................ 34,500 596,351
Corporacao Industrial Do Norte (Building & Contractors)................... 66,000 2,001,038
Empresa Fabril De Maquinas Electricas S.A. (Capital Goods)................ 82,000 762,585
Engil Soc De Construcao Civil SA (Building & Contractors)................. 1 16
Engil-Sociedade Gestora De Participacoes Sociais SA (Building &
Contractors)*............................................................ 212,828 1,979,262
Mague-Gestao E Participacoes (Building & Contractors)..................... 16,576 332,324
Modelo Continente SGPS SA (Retail)*....................................... 92,000 2,566,750
Portugal Telecom SA (ADR) (Utilities & Telecom)*.......................... 138,000 2,587,500
Uniao Cervejaria SA (UNICER) (Registered) (Food).......................... 132,000 2,143,810
---------------
15,217,288
---------------
RUSSIA (0.4%)
Rostelekom (RDC) (Registered) (Utilities & Telecom)*...................... 59 2,507,500
---------------
SLOVAK REPUBLIC (0.7%)
Nafta AS (Energy)......................................................... 45,000 3,215,653
Slovenske Lodenice AS (Capital Goods)..................................... 20,000 1,129,732
---------------
4,345,385
---------------
SOUTH AFRICA (7.6%)
Amalgamated Banks of South Africa (Banking & Finance)..................... 748,836 3,541,639
Anglovaal (GDR) (Multi-Industry).......................................... 172,000 6,536,000
De Beers Consolidated Mines Ltd. (Centenary Linked Units) (Energy)........ 229,000 6,325,707
Distillers Corporation of South Africa (Food)............................. 850,000 1,911,003
Malbak Ltd. (GDR) (144A) (Multi-Industry)................................. 375,000 2,513,925
Omni Media Corp. Ltd. (Media & Leisure)................................... 46,665 511,776
Pepkor Ltd. (ADS) (Retail)................................................ 500,000 5,625,000
Polifin Ltd. (Chemicals)*................................................. 104,700 225,343
Premier Group (Food)...................................................... 1,138,717 1,717,145
Sasol Ltd. (Energy)....................................................... 698,200 6,030,022
South African Breweries Ltd. (South Africa) (Food)........................ 65,500 2,150,529
South African Breweries Ltd. (United Kingdom) (Food)...................... 219,231 7,192,163
Sun International Bophuthatswana Ltd. (Media & Leisure)................... 427,700 2,755,723
---------------
47,035,975
---------------
SOUTH KOREA (4.1%)
Daewoo Heavy Industries (Transport & Trade Services)...................... 142,000 1,846,566
Dong Ah Construction Industrial Co. (EDR) (Building & Contractors)........ 125,000 2,843,750
Hansol Paper Co. (GDS) (Metals, Materials & Paper)........................ 142,188 2,914,854
Kia Motors Corp. (GDS) (Motors) (144A)*................................... 71,403 1,695,821
Korea Electric Power Corp. (ADR) (Utilities & Telecom).................... 145,000 3,588,750
Korea Long Term Credit Bank (Banking & Finance)........................... 46,000 1,430,831
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
22
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
OCTOBER 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Description Shares Value
- ---------------------------------------------------------------------------- ------------ ---------------
<S> <C> <C>
SOUTH KOREA (CONTINUED)
Pohang Iron & Steel Co. (ADS) (Metals, Materials & Paper)................. 125,000 $ 3,218,750
Pohang Iron & Steel Co. (Metals, Materials & Paper)....................... 100 8,704
Samsung Electronics Co. (GDS represents 1/2 Non-voting shares)
(Technology)*............................................................ 90,000 6,007,500
Samsung Electronics Co. (GDS represents 1/2 Voting shares)
(Technology)*............................................................ 1,356 155,438
Samsung Electronics Co. (GDS represents 1/2 Voting shares)
(Technology)*............................................................ 1,338 160,560
Samsung Electronics Co. (GDS represents 1/2 Voting shares, New, RFD
3/14/95) (Technology)*................................................... 264 30,261
Samsung Engineering and Construction (GDS represents Non-Voting shares)
(Building & Contractors)*................................................ 7,000 76,125
Samsung Engineering and Construction (GDS) (Building & Contractors)....... 129 1,403
Shinhan Bank (Banking & Finance).......................................... 60,290 1,244,961
Shinhan Bank (New shares) (Banking & Finance)............................. 10,000 201,268
---------------
25,425,542
---------------
SRI LANKA (0.0%)
Distilleries Co. of Sri Lanka (Food)...................................... 500,000 64,182
---------------
TAIWAN (1.9%)
Asia Cement (GDS) (Building & Contractors)................................ 133,701 2,222,779
China Steel Corp. (GDS) (Metals, Materials & Paper)....................... 188,500 3,487,250
Hocheng Group Corp. (GDR) (Building & Contractors) (144A)................. 354,912 3,061,116
President Enterprises Corp. (GDR) (Food)*................................. 270,335 2,838,518
Microelectronics Technology (GDS) (Technology)*........................... 46,899 246,220
---------------
11,855,883
---------------
THAILAND (5.2%)
Advanced Info Service Public Co. (Utilities & Telecom).................... 447,200 6,895,037
American Standard Sanitaryware Public Co. (Building & Contractors)........ 94,800 1,619,869
Bangkok Bank Public Co. Ltd. (Banking & Finance).......................... 389,000 4,019,074
Bangkok Insurance Public Co. (Insurance).................................. 9,800 159,666
Bangkok Rubber Public Co. Ltd. (Metals, Materials & Paper)................ 454,300 257,253
Bumrungrad Hospital Public Co. Ltd. (Healthcare).......................... 493,050 825,342
Dhana Siam Finance and Securities Public Co. (Banking & Finance).......... 270,768 1,301,924
International Cosmetics Public Co. Ltd. (Retail).......................... 131,020 1,988,859
Lanna Lignite Public Co. Ltd. (Energy).................................... 212,500 1,528,412
Oriental Hotel Public Co. Ltd. (Media & Leisure).......................... 528,400 1,301,840
Pranda Jewelry (Capital Goods)............................................ 21,000 34,840
Siam Cement Public Co. Ltd. (Building & Contractors)...................... 55,700 3,036,773
Siam Commercial Bank Public Co. (Banking & Finance)....................... 545,000 6,367,177
Telecomasia (Utilities & Telecom)*........................................ 583,600 1,727,725
Thai Plastic and Chemical Public Co. Ltd. (Chemicals)..................... 239,000 1,377,111
---------------
32,440,902
---------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
23
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
OCTOBER 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Description Shares Value
- ---------------------------------------------------------------------------- ------------ ---------------
<S> <C> <C>
TURKEY (3.1%)
Adana Cimento Sanayii (Class A) (Building & Contractors).................. 4,443,600 $ 952,355
Akbank TAS (Banking & Finance)............................................ 14,458,434 3,826,670
Alarko Holdings A.S. (Transport & Trade Services)......................... 348,000 135,606
Aygaz A.S. (Energy)....................................................... 1,535,000 1,151,437
Compagnie Financiere Ottomane (Banking & Finance)......................... 4,500 156,531
Eregli Demir Ve Celik Fabrikalari (Metals, Materials & Paper)............. 13,475,000 1,601,510
Guney Biracilik Ve Malt Sanay (Food)...................................... 5,128,080 1,074,074
Mardin Cimento (Building & Contractors)................................... 10,800,000 2,525,085
Migros Turk A.S. (Food)................................................... 4,129,000 4,746,439
Teletas Telekomunikasyon Endustri Ticaret AS (Utilities & Telecom)*....... 2,840,000 1,300,341
Turk Siemens Kablo Ve Elecktrik Sanayii (Technology)...................... 2,302,000 650,346
Turkiye Garanti Bankasi (ADR) (144A) (Banking & Finance)*................. 21,999 197,991
Yapi Ve Kredi Bankasi A.S. (Banking & Finance)*........................... 4,342,170 300,335
---------------
18,618,720
---------------
VENEZUELA (1.3%)
Ceramicas Carabobo CA (Spon. ADR) (Class A) (Building & Contractors)*..... 1,280,000 1,382,400
Ceramicas Carabobo CA (Spon. ADR) (Class B) (Building & Contractors)...... 319,999 345,599
Mavesa CA (Spon. ADR) (Food) (144A)....................................... 791,088 3,890,492
Venezolana De Prerreducidos Caroni CA (GDS) (Registered) (Metals,
Materials & Paper)*...................................................... 263,000 1,249,250
Venezolana De Pulpa Y Papel CA (Venepal) (GDS) (Class B) (Metals,
Materials & Paper)* (144A)............................................... 739,047 1,478,094
---------------
8,345,835
---------------
ZIMBABWE (0.3%)
Trans Zambezi Industries Ltd. (Food)...................................... 1,300,000 1,690,000
---------------
Total Common Stocks (cost $562,065,138)................................. 505,492,000
---------------
PREFERRED STOCKS (8.5%)
BRAZIL (7.6%)
Banco Do Estado De Sao Paulo SA (BANESPA) (Banking & Finance)*............ 215,300 1,343,107
Ceval Alimentos SA (ADR) (Food)........................................... 190,000 2,469,328
Cia Acos Especiais Itabira (ACESITA) (ADR) (Metals, Materials & Paper).... 400,000 5,500,000
Companhia Energetica De Minas Gerais SA (CEMIG) (ADR) (Utilities &
Telecom) (144A).......................................................... 287,547 6,218,606
Companhia Hering (Consumer)............................................... 71,300 515,216
Companhia Vale Do Rio Doce SA (Spon. ADR) (Metals, Materials & Paper)..... 280,300 11,293,147
Copene Petroquimica do Nordeote SA (Spon. ADR) (Class A) (Chemicals)...... 166,200 4,492,885
Hering Textile Companhia SA (Consumer)*................................... 14,260 7,561
Perdigao Commercio Industrio SA (Food)*................................... 1,009,300,000 1,825,933
Petroleo Brasileiro SA (Chemicals)........................................ 59,733,333 5,155,400
Refrigeracao Parana SA (ADR) (Consumer)................................... 251,771 2,971,097
Telecomunicacoes Brasileiras SA (Telebras) (ADR) (Utilities & Telecom).... 122,663 4,942,031
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
24
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
OCTOBER 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Description Shares Value
- ---------------------------------------------------------------------------- ------------ ---------------
<S> <C> <C>
BRAZIL (CONTINUED)
Viacao Aerea Riograndense SA (Varig) (Transport & Trade Services)*........ 130,000 $ 443,335
---------------
47,177,646
---------------
COLUMBIA (0.1%)
Banco Ganadero SA (Spon. ADR) (Banking & Finance) (144A).................. 53,000 516,750
---------------
GREECE (0.1%)
Boutaris Wine Co. (Food)*................................................. 32,280 100,105
Delta Dairy S.A. (Food)................................................... 1,417 25,944
Michaniki SA (Building & Contractors)..................................... 11,520 126,703
National Investment Bank for Industrial Development (Banking & Finance)... 10,000 160,449
---------------
413,201
---------------
PHILIPPINES (0.5%)
Philippine Long Distance Telephone Co. (GDS) (Utilities & Telecom)........ 90,000 2,880,000
---------------
SOUTH KOREA (0.2%)
Samsung Electronics Co. (GDS represents Non-Voting shares RFD 3/14/95)
(Technology)*............................................................ 17,810 1,179,913
---------------
Total Preferred Stock (cost $43,255,909)................................ 52,167,510
---------------
<CAPTION>
Principal
Amount
------------
<S> <C> <C>
BONDS/CONVERTIBLE BONDS (2.2%)
HONG KONG (0.3%)
Guangdong Investment Ltd. (4.5% Cnv. Bds., due 10/7/98) (Banking &
Finance)................................................................. $ 1,585,000 1,898,038
---------------
INDONESIA (0.1%)
Inti Indorayon Utama Pt (7% Cnv Bds, due 05/02/06) (Metals, Materials &
Paper)................................................................... 900,000 734,625
---------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
25
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
OCTOBER 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal
Description Amount Value
- ------------------------------------------------------------------------------ ---------- ---------------
<S> <C> <C>
MALAYSIA (0.1%)
Land & General Berhad (4.5% Cnv Bds, due 7/26/04)
(Multi-Industry)........................................... $ 645,000 $ 722,400
------------
MEXICO (0.1%)
Nacional Financiera (11.25% Cnv Bds, due 05/15/98)
(Utilities & Telecom)...................................... 25,000 712,500
------------
SOUTH KOREA (1.0%)
Daewoo Heavy Industries Ltd. ( 3% Cnv Bds, due 12/31/01)
(Capital Goods)............................................ 200,000 335,000
Ssangyong Cement Co. (3% Cnv Bds, due 12/31/05) (Building &
Contractors)............................................... 2,800,000 3,454,500
Ssangyong Oil Refinery Co. (3.75% Cnv Bds, due 12/31/08)
(Energy)................................................... 2,000,000 2,110,000
------------
5,899,500
------------
TAIWAN (0.3%)
Pacific Electric Wire & Cable (3.75% Cnv Bds, due 10/31/01)
(Technology)............................................... 300,000 376,500
Yieh Loong Co. (2% Cnv. Bds., due 12/31/00) (Metals,
Materials & Paper)......................................... 2,500,000 1,728,618
------------
2,105,118
------------
THAILAND (0.3%)
Land & Houses Co. (5% Cnv Bds, due 04/29/03) (Building &
Contractors)............................................... 1,450,000 1,801,625
------------
Total Bonds/Convertible Bonds (cost $15,371,478).......... 13,873,806
------------
<CAPTION>
Shares
---------
<S> <C> <C>
RIGHTS & WARRANTS (0.1%)*
HONG KONG (0.0%)
World Houseware Holdings (Expire 12/8/95) (Food)............ 80,000 135
Tian An China Investments Co. Ltd. (Expire 1/25/96)
(Building & Contractors)................................... 888,150 1,493
------------
1,628
------------
INDIA (0.0%)
Shriram Industrial Enterprises (Expire 04/28/96; for GDR
144A) (Multi-Industry)..................................... 86,000 860
------------
MALAYSIA (0.0%)
UMW Holdings Berhad (Expire 01/26/00) (Capital Goods)....... 107,200 73,196
------------
TURKEY ( 0.1%)
Adana Cimento Sanayii (Class A) (Rights, expire 11/13/95)
(Building & Contractors)................................... 3,174,000 618,412
------------
Total Rights & Warrants (cost of $1,160,950).............. 694,096
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
26
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
OCTOBER 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Description Units Value
- ---------------------------------------------------------------------------------- ---------- -----------
<S> <C> <C>
UNIT TRUSTS (1.8%)
CHILE (0.1%)
Chile Fund Inc................................................. 33,000 $ 750,750
---------
RUSSIA (1.5%)
New Century Holdings Ltd. (Partnership III; Group B)t*......... 1,800 3,245,400
New Century Holdings Ltd. (Partnership IV; Group I)t*.......... 2,000 2,416,000
New Century Holdings Ltd. (Partnership V; Group II)t*.......... 3,800 3,826,600
---------
9,488,000
---------
TAIWAN (0.2%)
R.O.C. Taiwan Fund*............................................ 140,000 1,347,500
---------
Total Unit Trusts (cost $9,649,500).......................... 11,586,250
---------
<CAPTION>
Principal
Amount
---------
<S> <C> <C>
REPURCHASE AGREEMENT (4.6%)
State Street Bank and Trust, 5.25% dated 10/31/95 due 11/1/95,
proceeds $28,354,134 (collateralized by $22,175,000 U.S.
Treasury Bond, 8.875% due 2/15/19, valued at $28,921,744)
(cost $28,350,000)............................................ $28,350,000 28,350,000
---------
Total Investments (cost $659,852,975) (98.8%)................ 612,163,662
---------
Other assets net of liablities (1.2%).......................... 7,323,527
---------
Total Net Assets (100.0%).................................... $619,487,189
---------
---------
</TABLE>
- ------------------------------
Note: Based on the cost of investments of $631,503,027 for Federal Income Tax
purposes at October 31, 1995 the aggregate gross unrealized appreciation and
depreciation was $60,812,041 and $108,501,407, respectively, resulting in net
unrealized depreciation of $47,689,366.
t - Restricted securities. See Note 4.
* - Non-income producing securities.
ADR - American Depositary Receipt.
ADS - American Depositary Shares.
Spon. ADR - Sponsored ADR.
EDR - European Depositary Receipt.
GDR - Global Depositary Receipt.
GDS - Global Depositary Shares.
Spon. GDR - Sponsored GDR.
RDC - Russian Depositary Certificate
RFD - Ranked for Dividend
144A - Securities restricted for resale to Qualified Institutional Buyers.
The Accompanying Notes are an Integral Part of the Financial Statements.
27
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
OCTOBER 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Percent of
INDUSTRY DIVERSIFICATION Portfolio
- --------------------------------------------------------------------------------------------------- -----------
<S> <C>
Food............................................................................................... 14.55%
Utilities & Telecom................................................................................ 13.83%
Metals, Materials & Paper.......................................................................... 12.68%
Banking & Finance.................................................................................. 10.29%
Building & Contractors............................................................................. 10.01%
Energy............................................................................................. 7.23%
Repurchase Agreement............................................................................... 4.63%
Multi-Industry..................................................................................... 4.09%
Chemicals.......................................................................................... 3.60%
Media & Leisure.................................................................................... 3.15%
Transport & Trade Services......................................................................... 2.92%
Consumer........................................................................................... 2.88%
Retail............................................................................................. 2.64%
Unit Trusts........................................................................................ 1.89%
Capital Goods...................................................................................... 1.64%
Technology......................................................................................... 1.54%
Motors............................................................................................. 1.06%
Real Estate........................................................................................ 0.68%
Healthcare......................................................................................... 0.43%
Insurance.......................................................................................... 0.26%
-----------
100%
-----------
-----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
28
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
OCTOBER 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
Assets
Investments, at Value (Cost $631,502,975) $ 583,813,662
Repurchase Agreement (Cost $28,350,000) 28,350,000
Foreign Currency, at Value (Cost $9,986,835) 9,920,609
Cash 745
Unrealized Appreciation on Open Spot Foreign Currency Contracts 17
Receivable for Investments Sold 2,089,937
Dividends and Interest Receivable 837,685
Deferred Organization Expense 4,267
Prepaid Expenses 6,999
-------------
Total Assets 625,023,921
-------------
Liabilities
Payable for Investments Purchased 3,834,162
Custody Fee Payable 825,863
Advisory Fee Payable 642,494
Withholding Taxes Payable 109,157
Fund Services Fee Payable 4,435
Administration Fee Payable 3,169
Accrued Expenses & Other Liabilities 117,452
-------------
Total Liabilities 5,536,732
-------------
Net Assets
Applicable to Investors' Beneficial Interests $ 619,487,189
-------------
-------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
29
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE FISCAL YEAR ENDED OCTOBER 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
Investment Income
Dividends (Net of $1,282,559 Foreign Withholding Taxes) $ 11,143,682
Interest (Net of $13,502 Foreign Withholding Taxes) 2,417,239
------------
$ 13,560,921
Investment Income
Expenses
Advisory Fee 5,713,506
Custodian Fees and Expenses 1,191,779
Financial and Fund Accounting Services Fees 337,050
Professional Fees 102,360
Fund Services Fee 53,162
Administration Fee 35,189
Trustees' Fees and Expenses 14,345
Insurance Expense 6,997
Amortization of Organization Expense 1,895
Miscellaneous 14,609
------------
(7,470,892)
Total Expenses
------------
6,090,029
Net Investment Income
Net Realized Loss on
Investment Transactions (27,969,936)
Foreign Currency Transactions (997,367)
------------
(28,967,303)
Net Realized Loss
Net Change in Unrealized Appreciation (Depreciation) of
Investments (102,466,120)
Foreign Currency Contracts and Translations 41,860
------------
(102,424,260)
Net Change in Unrealized Appreciation
------------
$(125,301,534)
Net Decrease in Net Assets Resulting from Operations
------------
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
30
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
For the Period
For the November 15, 1993
Fiscal Year (commencement of
Ended operations) through
October 31, 1995 October 31, 1994
---------------- -------------------
<S> <C> <C>
Increase (Decrease) in Net Assets
From Operations
Net Investment Income $ 6,090,029 $ 2,713,099
Net Realized Gain (Loss) on Investments and Foreign Currency Transactions (28,967,303) 13,205,437
Net Change in Unrealized Appreciation (Depreciation) of Investments and
Foreign Currency Contracts and Translations (102,424,260) 54,668,581
---------------- -------------------
Net Increase (Decrease) in Net Assets Resulting from Operations (125,301,534) 70,587,117
---------------- -------------------
Transactions in Investors' Beneficial Interest
Contributions 350,949,115 631,086,772
Withdrawals (153,817,752) (154,116,729)
---------------- -------------------
Net Increase from Investors' Transactions 197,131,363 476,970,043
---------------- -------------------
Total Increase in Net Assets 71,829,829 547,557,160
Net Assets
Beginning of Period 547,657,360 100,200
---------------- -------------------
End of Period $ 619,487,189 $ 547,657,360
---------------- -------------------
---------------- -------------------
</TABLE>
<TABLE>
<S> <C> <C>
- --------------------------------------------------------------------------------------------------
SUPPLEMENTARY DATA:
- --------------------------------------------------------------------------------------------------
<CAPTION>
For the Period
For the Fiscal November 15, 1993
Year Ended (commencement of
October 31, operations) through
1995 October 31, 1994
--------------- -------------------
<S> <C> <C>
Ratio to Average Net Assets
Expenses 1.31% 1.36%(a)
Net Investment Income 1.07% 0.66%(a)
Portfolio Turnover 41.31% 27.48%
</TABLE>
- ------------------------
(a) Annualized
The Accompanying Notes are an Integral Part of the Financial Statements.
31
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
OCTOBER 31, 1995
- --------------------------------------------------------------------------------
1. Organization and Significant Accounting Policies
The Emerging Markets Equity Portfolio (the "Portfolio") is registered under the
Investment Company Act of 1940, as amended, (the "Act") as a no-load,
diversified, open-end management investment company which was organized as a
trust under the laws of the State of New York on June 16, 1993. The Portfolio
commenced operations on November 15, 1993 and received a contribution of certain
assets and liabilities, including securities, with a value of $223,722,513 on
that date from the JPM Emerging Markets Equity Fund, Ltd. in exchange for a
beneficial interest in the Portfolio. The Declaration of Trust permits the
Trustees to issue an unlimited number of beneficial interests in the Portfolio.
The following is a summary of the significant accounting policies of the
Portfolio:
a)The value of each security for which readily available market quotations
exists is based on a decision as to the broadest and most representative
market for such security. The value of such security will be based either
on the last sale price on a national securities exchange, or, in the
absence of recorded sales, at the readily available closing bid price on
such exchanges, or at the quoted bid price in the over-the-counter market.
Securities listed on a foreign exchange are valued at the last quoted sale
price available before the time when net assets are valued. Unlisted
securities are valued at the average of the quoted bid and asked prices in
the over-the-counter market. Securities or other assets for which market
quotations are not readily available are valued at fair value in
accordance with procedures established by the Portfolio's Trustees. Such
procedures may 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;
operating data and general market conditions. All portfolio securities
with a remaining maturity of less than 60 days are valued by the amortized
cost method.
Trading in securities on most foreign exchanges and over-the-counter
markets is normally completed before the close of the domestic market and
may also take place on days on which the domestic market is closed. If
events materially affecting the value of foreign securities occur between
the time when the exchange on which they are traded closes and the time
when the Portfolio's net assets are calculated, such securities will be
valued at fair value in accordance with procedures established by and
under the general supervision of the Portfolio's Trustees.
Investments in emerging markets may involve certain considerations and
risks not typically associated with investments in the United States.
Future economic and political developments in emerging market countries
could adversely affect the liquidity or value, or both, of such securities
in which the Portfolio is invested. The ability of the issuers of the debt
securities held by the Portfolio to meet their obligations may be affected
by economic and political developments in a specific industry or region.
b)The books and records of the Portfolio are maintained in U.S. dollars. The
market values of investment securities, other assets and liabilities and
foreign currency contracts are translated at the prevailing exchange rates
at the end of the period. Purchases, sales, income and expense are
translated at the exchange rate prevailing on the respective dates of such
transactions. Translation gains and losses resulting from changes in
exchange rates during the reporting period and gains and losses realized
upon settlement of foreign currency transactions are reported in the
Statement of Operations.
32
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
OCTOBER 31, 1995
- --------------------------------------------------------------------------------
Since the net assets of the Portfolio are presented at the exchange rates
and market values prevailing at the end of the period, the Portfolio does
not isolate the portion of the results of operations arising as a result
of changes in foreign exchange rates from the fluctuations arising from
changes in the market prices of securities during the period.
c)Securities transactions are recorded on a trade date basis. Dividend
income is recorded on the ex-dividend date or at the time that the
relevant ex-dividend date and amount becomes known. Interest income, which
includes the amortization of premiums and discounts, if any, is recorded
on an accrual basis. For financial and tax reporting purposes, realized
gains and losses are determined on the basis of specific lot
identification.
d)The Portfolio may enter into forward and spot foreign currency contracts
to protect securities and related receivables against fluctuations in
future foreign currency rates. A forward contract is an agreement to buy
or sell currencies of different countries on a specified future date at a
specified rate. Risks associated with such contracts include the movement
in the value of the foreign currency relative to the U.S. Dollar and the
ability of the counterparty to perform.
The market value of the contract will fluctuate with changes in currency
exchange rates. Contracts are valued daily based on procedures established
by and under the general supervision of the Portfolio's Trustees and the
change in the market value is recorded by the Portfolio as unrealized
appreciation or depreciation of forward and spot foreign currency contract
translations. At October 31, 1995 the Portfolio had open spot foreign
currency contracts as follows:
Summary of Open Contracts
<TABLE>
<CAPTION>
Net Unrealized
Value at Appreciation
Foreign Currency Purchase Contracts Cost 10/31/95 (Depreciation)
- --------------------------------------------------------------------- --------- ----------- -------------------
<S> <C> <C> <C>
Indonesian Rupiah, 6,490,418 expiring 11/6/95 $ 2,857 $ 2,858 $ 1
Malaysian Ringgit, 40,787, expiring 11/9/95 16,035 16,051 16
---
Net Unrealized Appreciation on Foreign Currency Contracts $ 17
---
---
</TABLE>
e)The Portfolio intends to be treated as a partnership for federal income
tax purposes. As such, each investor in the Portfolio will be taxable on
its share of the Portfolio's ordinary income and capital gains. It is
intended that the Portfolio's assets will be managed in such a way that an
investor in the Portfolio will be able to satisfy the requirements of
Subchapter M of the Internal Revenue Code.
f)The Portfolio incurred organization expenses in the amount of $7,629.
These costs were deferred and are being amortized on a straight-line basis
over a five year period from the commencement of operations.
g)The Portfolio's custodian takes possession of the collateral pledged for
investments in repurchase agreements on behalf of the Portfolio. It is the
policy of the Portfolio to value the underlying collateral daily on a
mark-to-market basis to determine that the value, including accrued
interest, is at least equal to the repurchase price plus accrued interest.
In the event of default of the obligation to repurchase, the Portfolio has
the right to liquidate the collateral and apply the proceeds in
33
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
OCTOBER 31, 1995
- --------------------------------------------------------------------------------
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. a)The Portfolio has an investment advisory agreement with Morgan Guaranty
Trust Company of New York ("Morgan"). Under the terms of the investment
advisory agreement, the Portfolio pays Morgan at an annual rate of 1.00%
of the Portfolio's average daily net assets. For the fiscal year ended
October 31, 1995, such fees amounted to $5,713,506.
b)The Portfolio has retained Signature Broker - Dealer Services, Inc.
("Signature") to serve as Administrator and exclusive placement agent.
Signature provides administrative services necessary for the operations of
the Portfolio, furnishes office space and facilities required for
conducting the business of the Portfolio and pays the compensation of the
Portfolio's officers affiliated with Signature. The agreement provides for
a fee to be paid to Signature at an annual fee rate determined by the
following schedule: 0.01% of the first $1 billion of the aggregate average
daily net assets of the Portfolio and the other portfolios subject to the
Administrative Services Agreement, 0.008% of the next $2 billion of such
net assets, 0.006% of the next $2 billion of such net assets, and 0.004%
of such net assets in excess of $5 billion. The daily equivalent of the
fee rate is applied to the daily net assets of the Portfolio. For the
fiscal year ended October 31, 1995, such expenses amounted to $35,189.
c)During the period November 1, 1994 through August 31, 1995, the Portfolio
had a Financial and Fund Accounting Services Agreement ("Services
Agreement") with Morgan under which Morgan may receive a fee, based on the
percentages described below, for assisting in certain aspects of the
administration and operation of the Portfolio and which was also designed
to provide an expense limit for certain expenses of the Portfolio. This
fee was calculated exclusive of the advisory fee, custody expenses, fund
services fee, amortization of organization expenses, and brokerage costs
at 0.15% of the Portfolio's average daily net assets up to $200 million,
0.10% of the next $200 million of average daily net assets, 0.05% of the
next $200 million of average daily net assets and 0.03% of average daily
net assets thereafter. For the period from November 1, 1994, through
August 31, 1995, the fee for these services amounted to $337,050.
Effective September 1, 1995, the Services Agreement was terminated and an
interim agreement was entered into between the Portfolio and Morgan which
provides for the continuation of the oversight services that were outlined
under the prior agreement and that Morgan shall bear all of its expenses
incurred in connection with these services.
d)The Portfolio has a Fund Services Agreement with Pierpont Group, Inc.
("Group") to assist the Trustees in exercising their overall supervisory
responsibilities for the Portfolio's affairs. The Trustees of the
Portfolio represent all the existing shareholders of Group. The
Portfolio's allocated portion of Group's fee for its reasonable costs in
performing its services amounted to $53,162 for the fiscal year ended
October 31, 1995.
e)An aggregate annual fee of $65,000 is paid to each Trustee for serving as
a Trustee of the Pierpont Funds, the JPM Institutional Funds and their
corresponding Portfolios. The Trustees' Fees and Expenses shown in the
financial statements represents the Portfolio's allocated portion of the
total fees and expenses. Prior to April 1, 1995, the aggregate annual
trustee fee was $55,000. The Trustee
34
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
OCTOBER 31, 1995
- --------------------------------------------------------------------------------
who serves as Chairman and Chief Executive Officer of these Funds and
Portfolios also serves as Chairman of Group and received compensation and
employee benefits from Group in his role as Group's Chairman. The
allocated portion of such compensation and benefits included in the Fund
Services Fee shown in the financial statements was $6,800.
3. Investment Transactions
Investment transactions (excluding short-term investments) for the fiscal
year ended October 31, 1995 were as follows:
<TABLE>
<CAPTION>
Cost of Proceeds from
Purchases Sales
- -------------- --------------
<S> <C>
$ 415,186,372 $ 222,457,550
- -------------- --------------
</TABLE>
4. Restricted Securities
<TABLE>
<CAPTION>
Units Date Acquired U.S. $ Cost
----------- -------------- -----------
<S> <C> <C> <C>
New Century Holdings, Ltd.:
Partnership III 1,800 4/11/94 $ 1,800,000
Partnership IV 2,000 6/16/94 $ 2,000,000
Partnership V 3,800 11/9/94 $ 3,800,000
</TABLE>
The securities shown above are restricted as to sale and have been valued at
fair value in accordance with the procedures described in Note 1a. The value of
these securities at October 31, 1995 is $9,488,000 representing 1.5% of net
assets.
35
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
To the Trustees and Investors of
The Emerging Markets Equity Portfolio
In our opinion, the accompanying statement of assets and liabilities, including
the schedule of investments, and the related statements of operations and of
changes in net assets and the supplementary data present fairly, in all material
respects, the financial position of The Emerging Markets Equity Portfolio (the
"Portfolio") at October 31, 1995, the results of its operations for the year
then ended, and the changes in its net assets and the supplementary data for the
year then ended and for the period November 15, 1993 (commencement of
operations) through October 31, 1994, in conformity with generally accepted
accounting principles. These financial statements and supplementary data
(hereafter referred to as "financial statements") are the responsibility of the
Portfolio's management; our responsibility is to express an opinion on these
financial statements based on our audits. We conducted our audits of these
financial statements in accordance with generally accepted auditing standards
which require that we plan and perform the 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 involved
confirmation of securities at October 31, 1995 by correspondence with the
custodian and brokers and the application of alternative auditing procedures
where confirmations from brokers were not received, provide a reasonable basis
for the opinion expressed above.
PRICE WATERHOUSE LLP
New York, New York
December 22, 1995
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