THE EMERGING MARKETS EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED)
APRIL 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION SHARES VALUE
- ---------------------------------------------------------------------------------- ------------ ------------
<S> <C> <C>
COMMON STOCKS (85.2%)
ARGENTINA (6.1%)
Astra Compania Argentina De Petroleo SA (Oil - Services)........................ 1,122,340 $ 2,394,706
Banco Frances Del Rio De La Plata SA (ADR) (Banking)............................ 114,655 3,296,330
Capex SA (Utilities)............................................................ 486,000 3,588,893
Corporacion Cementeria Argentina SA (Class B) (Building Materials)*............. 413,000 1,824,616
Molinos Rio de la Plata SA (Multi-Industry)*.................................... 337,182 3,521,005
Nobleza Piccardo (Class B) (Multi-Industry)..................................... 232,688 759,322
Perez Companc SA (Oil - Services)............................................... 360,700 4,534,395
Quilmes Industrials (Quinsa) (Registered) (Food, Beverages & Tobacco)........... 93,850 1,126,200
Telefonica de Argentina SA (Utilities).......................................... 427,600 12,507,300
Transportadora De Gas Del Sur SA (ADR) (Oil - Services)......................... 299,100 3,813,524
YPF Sociedad Anonima (ADS) (Oil - Production)................................... 579,500 12,676,562
------------
50,042,853
------------
BOLIVIA (0.3%)
Compania Boliviana De Energia Electrica (Electric).............................. 61,600 2,279,200
------------
BRAZIL (2.1%)
Companhia Energetica De Minas Gerais SA (CEMIG) (Spon. ADR Rep Non-Vtg)
(Utilities)*................................................................... 176,418 4,578,479
Electrobras Centrale (Units) (Utilities)........................................ 11,382,000 2,741,675
Makro Atacadista SA (GDS) (Retail) (144A)*...................................... 300,000 2,280,000
Perdigao Commercio Industrio SA (Food, Beverages & Tobacco)..................... 44,384,895 89,467
Santa Elina Gold Corp. Inc. (Metals & Mining)*.................................. 3,300,000 6,180,887
Santista Alimentos SA (Food, Beverages & Tobacco)*.............................. 75,000 114,896
Votorantim Celulose E Papel (ADR) (Forest Products & Paper)..................... 139,250 1,357,688
------------
17,343,092
------------
CANADA (0.0%)1
Minera Rayrock, Inc. (Multiple Voting B Shares) (Metals & Mining)*.............. 6,000 5,288
Minera Rayrock, Inc. (Subsidiary Voting A Shares) (Metals & Mining)*............ 145,000 130,467
------------
135,755
------------
CHILE (2.9%)
Antofagasta Holdings plc (Multi-Industry).......................................
Compania Cervecerias Unidas SA (ADR) (Food, Beverages & Tobacco)................ 256,000 5,456,000
Compania Telecomunicacion Chile (Spon. ADR) (Utilities)......................... 69,700 6,360,125
Enersis SA (ADR) (Utilities).................................................... 59,900 1,782,025
Madeco SA (Metals & Mining)..................................................... 129,000 3,225,000
Sociedad Quimica Y Minera De Chile (Spon. ADR) (Chemicals)...................... 137,146 7,337,311
------------
24,160,461
------------
CHINA (0.8%)
Dongfang Electrical Machinery Co. (Series H) (Capital Goods).................... 3,200,000 786,013
Luoyang Glass Co. Ltd. (Series H) (Building Materials).......................... 3,574,000 914,842
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
16
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION SHARES VALUE
- ---------------------------------------------------------------------------------- ------------ ------------
CHINA (CONTINUED)
<S> <C> <C>
Shanghai Erfangji Co. (Series B) (Capital Goods)*............................... 161,200 $ 21,601
Shanghai Shangling Electric Appliances (Series B) (Electrical Equipment)........ 100,000 64,800
Shanghai Tyre and Rubber Co. Ltd. (Series B) (Metal & Mining)................... 3,229,990 775,198
Tsingtao Brewery (Series H) (Food, Beverages & Tobacco)......................... 6,720,000 1,846,097
Yizheng Chemical Fibre (Series H) (Chemicals)................................... 7,702,000 2,066,084
------------
6,474,635
------------
COLOMBIA (0.2%)
Banco Ganadero SA (Banking) 53,000 821,500
Banco Industrial Colombiano (ADR) (Banking)..................................... 30,400 596,600
Corp Financiera Del Valle SA (ADR) (Banking) (144A)............................. 18,815 174,037
------------
1,592,137
------------
CROATIA (0.0%)1
Pliva (GDS) (Pharmaceuticals)*.................................................. 57,800 1,856,825
------------
CZECH REPUBLIC (3.1%)
Central European Media Enterprises Ltd. (Entertainment, Leisure & Media)*....... 123,000 3,536,250
Ceska Pojistovna (Insurance)*................................................... 4,940 879,793
Cokoladovny Praha (Food, Beverages & Tobacco)*.................................. 36,100 4,747,248
Elektrarny Opatovice AS (Utilities)............................................. 30,500 4,938,102
SPT Telecom AS (Telecommunications)*............................................ 80,100 9,798,489
Synthesia (Chemicals)*.......................................................... 63,000 1,326,002
------------
25,225,884
------------
ECUADOR (0.2%)
La Cemento Nacional CA (GDR) (Construction & Housing) (144A).................... 10,240 1,576,960
------------
GHANA ( 0.1% )
Guinness Ghana Ltd. (Food, Beverages & Tobacco)................................. 1,476,596 213,958
Pioneer Tobacco Co. (Food, Beverages & Tobacco)................................. 2,848,800 224,997
Unilever Ghana Ltd. (Food, Beverages & Tobacco)................................. 450,000 223,879
------------
662,834
------------
GREECE (2.6%)
Alpha Credit Bank (Registered) (Banking)........................................ 47,287 2,364,332
Athens Medical Centre (Registered) (Health Services)............................ 190,000 1,308,723
Boutaris Wine Co. (Food, Beverages & Tobacco)*.................................. 14,400 28,044
Ergo Bank (Banking)............................................................. 45,400 2,282,081
Hellenic Bottling Co. SA (Food, Beverages & Tobacco)............................ 235,602 8,452,240
Hellenic Sugar Industry SA (Food, Beverages & Tobacco).......................... 234,850 2,200,197
Michaniki SA (Building Materials)............................................... 126,720 1,449,553
Titan Cement Co. (Registered) (Building Materials).............................. 66,000 3,044,257
------------
21,129,427
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
17
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION SHARES VALUE
- ---------------------------------------------------------------------------------- ------------ ------------
HONG KONG (1.5%)
<S> <C> <C>
Citic Pacific Ltd. (Multi-Industry)............................................. 644,000 $ 2,530,963
Guangdong Investments (Multi-Industry).......................................... 3,192,190 1,970,554
M. C. Packaging (Packaging & Containers)........................................ 2,850,000 948,743
Pacific Concord Holding (Transport & Services).................................. 10,120,000 1,870,867
World Houseware Holdings (Consumer Goods & Services)............................ 12,204,000 1,483,052
Yue Yuen Industrial Holdings (Consumer Goods & Services)........................ 14,870,000 3,614,058
------------
12,418,237
------------
HUNGARY (1.6%)
Hungarian Foreign Trade Bank Ltd. (Banking)*.................................... 17,000 1,550,598
Julius Meinl International AG (Food, Beverages & Tobacco)*...................... 16,800 560,584
Magyar Olaj Es Gaz (Oil - Production)*.......................................... 334,000 3,604,883
Pick Szeged RT (Spon. GDS) (Food, Beverages & Tobacco) (144A)................... 45,600 2,190,816
Polifarb Cieszyn SA (Chemicals)................................................. 315,914 1,660,571
Skala Coop (Munich Exchange) (Retail)*.......................................... 25,000 280,823
Skala Coop (Vienna Exchange) (Retail)*.......................................... 5,000 59,669
Wedel SA (Food, Beverages & Tobacco)............................................ 45,025 1,707,392
Zalakeramia RT (Building Materials)............................................. 29,333 1,041,320
------------
12,656,656
------------
INDIA (4.1%)
Ashok Leyland Ltd. (GDR) (Automotive)*.......................................... 267,900 3,616,650
Bajaj Auto Ltd. (GDR) (Automotive)*............................................. 156,200 5,584,150
Hindustan Development Corp. (GDR) (Multi-Industry) (144A)....................... 1,000,000 700,000
Indian Petrochemicals Corp. Ltd. (GDR) (Chemicals).............................. 395,800 7,817,050
ITC Ltd. (GDR) (Food, Beverages & Tobacco)*..................................... 421,300 3,686,375
Raymond Ltd. (GDR) (Textiles & Apparel)*........................................ 136,100 2,892,125
Shriram Industrial Enterprises (GDR) (Multi-Industry) (144A).................... 258,000 1,130,040
Shriram Industrial Enterprises (GDR) (Multi-Industry)........................... 246,900 1,081,422
Shriram Industrial Enterprises (GDR & Warrant Units) (Multi-Industry) (144A).... 1,000 12,500
Southern Petrochemical Industrial Corp. (GDS) (Chemicals)*...................... 556,500 4,368,525
Videocon International Ltd. (GDR) (Entertainment, Leisure & Media).............. 1,008,500 2,823,800
------------
33,712,637
------------
INDONESIA (4.2%)
P.T. APAC Centertex (Textiles & Apparel)*....................................... 360,000 417,271
P.T. Bakrie and Brothers (Multi-Industry)....................................... 175,000 285,478
P.T. Duta Anggada Realty (Real Estate).......................................... 4,031,000 2,682,231
P.T. Fastfood Indonesia (Food, Beverages & Tobacco)............................. 197,000 253,711
P.T. Goodyear Indonesia (Capital Goods)......................................... 100,000 113,762
P.T. Indorama Synthetic (Textiles & Apparel).................................... 180,000 583,406
P.T. Indorayon Utama (Forest Products & Paper).................................. 642,000 792,364
P.T. International Nickel Indonesia (Metals & Mining)........................... 3,555,700 8,586,168
P.T. Jakarta International Hotels and Development (Real Estate)................. 1,555,000 2,069,397
P.T. Modern Photo Film Co. (Consumer Goods & Services).......................... 377,500 1,863,659
P.T. Multi Bintang Indonesia (Multi-Industry)................................... 200,000 2,232,313
P.T. Niaga Bank (Banking)....................................................... 1,308,600 3,258,267
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
18
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION SHARES VALUE
- ---------------------------------------------------------------------------------- ------------ ------------
INDONESIA (CONTINUED)
<S> <C> <C>
P.T. Pakuwon Jati (Real Estate)................................................. 11,158,000 $ 4,550,527
P.T. Pan Brothers Textiles (Textiles & Apparel)*................................ 165,000 53,125
P.T. Putra Surya Perkasa (Building Materials)................................... 1,350,000 666,474
P.T. Surya Toto Indonesia (Metals & Mining)..................................... 900,000 1,970,445
P.T. Tempo Scan Pacific (Health & Personal Care)................................ 664,000 1,696,043
P.T. Unilever Indonesia (Consumer Goods & Services)............................. 47,605 766,365
P.T. United Tractors (Capital Goods)............................................ 500,000 971,271
------------
33,812,277
------------
ISRAEL (1.8%)
First International Bank (Banking).............................................. 9,711 1,124,360
Israel Chemicals Ltd. (Chemicals)............................................... 4,492,500 3,755,249
Koor Industries Ltd. (Multi Industry)........................................... 287,900 5,398,125
Teva Pharmaceutical Industries Ltd. (Pharmaceuticals)........................... 90,900 4,079,138
------------
14,356,872
------------
MALAYSIA (11.1%)
Antah Holdings Berhad (Multi-Industry).......................................... 235,200 320,675
Carlsberg Brewery Malaysia Berhad (Food, Beverages & Tobacco)................... 565,416 3,922,507
Cold Storage Malaysia Berhad (Retail)........................................... 74,000 127,006
Edaran Otomobil Nasional Berhad (Automotive).................................... 592,000 5,056,510
Golden Hope Plantations Berhad (Metals & Mining)................................ 3,005,166 5,374,683
Hong Leong Industries Berhad (Multi-Industry)................................... 807,000 4,368,746
Kian Joo Can Factory Berhad (Capital Goods)..................................... 814,000 4,700,417
Kuala Lumpur Kepong Berhad (Metals & Mining).................................... 2,695,500 6,917,813
Land & General Berhad (Real Estate)............................................. 383,000 1,021,339
Lion Corp. Berhad (Multi-Industry).............................................. 1,086,000 2,917,791
London & Pacific Insurance Co. Berhad (Insurance)............................... 90,000 570,229
Malayan Cement Berhad (Building Materials)...................................... 349,000 867,694
Malaysia Mining Corp. Berhad (Metals & Mining).................................. 1,659,000 3,259,808
Malaysian Assurance Alliance Berhad (Insurance)................................. 493,500 2,948,648
Malaysian International Shipping Corp. Berhad (Transport & Services)............ 1,666,333 5,345,660
Malaysian Tobacco Co. Berhad (Food, Beverages & Tobacco)........................ 322,000 555,231
Matsushita Electric Co. Malaysia Berhad (Electronics)........................... 296,000 3,204,830
Nestle Malaysia Berhad (Food, Beverages & Tobacco).............................. 1,065,000 9,053,885
New Straits Times Press Berhad (Entertainment, Leisure & Media)................. 100,000 537,346
Nylex Malaysia Berhad (Chemicals)............................................... 422,000 1,726,085
Perlis Plantations Berhad (Transport & Services)................................ 1,476,000 6,214,772
Putera Capital Berhad (Real Estate)............................................. 1,000 2,326
Resorts World Berhad (Entertainment, Leisure & Media)........................... 907,000 5,492,041
Shell Refining Company Malaysia Berhad (Oil - Production)....................... 996,500 3,056,949
Sime U.E.P. Properties Berhad (Real Estate)..................................... 1,434,000 3,018,964
Sistem Televisyen Malaysia Berhad (Entertainment, Leisure & Media).............. 1,270,000 5,652,964
Tanjong Co. Berhad (Entertainment, Leisure & Media)............................. 393,000 1,497,151
UMW Holdings Berhad (Automotive)................................................ 911,200 2,996,243
------------
90,728,313
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
19
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION SHARES VALUE
- ---------------------------------------------------------------------------------- ------------ ------------
MEXICO (8.3%)
<S> <C> <C>
Cementos Mexicanos SA de CV (Class B) (Building Materials)...................... 1,431,675 $ 6,088,323
Cifra SA de CV (Class B) (Retail)*.............................................. 2,645,000 3,633,454
Cydsa SA de CV (Class A) (Registered) (Chemicals)............................... 456,720 1,164,120
Desc Sociedad de Fomento Industrial SA de CV (Class A) (Multi-Industry)*........ 268,000 1,294,289
Desc Sociedad de Fomento Industrial SA de CV (Class B) (Multi-Industry)*........ 244,000 1,214,389
Fomento Economico Mexicana SA de CV (Class B) (Food, Beverages & Tobacco)....... 1,800,000 5,408,969
Grupo Carso SA de CV (Class A) (Multi-Industry)*................................ 858,400 6,529,302
Grupo Casa Autrey S.A. de CV (Spon. ADR) (Retail)............................... 188,500 4,311,938
Grupo Embotellador De Mexico SA de CV (Class BCP) (Food, Beverages &
Tobacco)*...................................................................... 464,000 168,064
Grupo Financiero Banamex Accival SA de CV (Class B) (Banking)*.................. 632,000 1,451,493
Grupo Financiero Banamex Accival SA de CV (Class L) (Banking)*.................. 18,960 38,814
Grupo Financiero Bancomer SA de CV (Financial Services)*........................ 7,560,000 3,346,800
Grupo Financiero Probursa SA de CV (Class B) (Banking)*......................... 1,050 56
Grupo Industrial Maseca SA de CV (Class B) (Spon. ADR) (Food, Beverages &
Tobacco)....................................................................... 323,333 4,728,745
Industrias Penoles SA de CV (Class CP) (Metals & Mining)........................ 691,500 2,903,558
Kimberley Clark De Mexico SA de CV (Class A) (Forest Products & Paper).......... 273,000 4,980,759
Telefonos De Mexico SA de CV (ADR) (Utilities).................................. 200,000 334,375
Telefonos De Mexico SA de CV (ADR L Shares) (Utilities)......................... 506,320 17,214,880
Transportacion Maritima Mexicana SA de CV (ADR L Shares) (Transport &
Services)...................................................................... 349,800 2,929,575
------------
67,741,903
------------
MOROCCO (0.3%)
Banque Commerciale Du Maroc (Banking)........................................... 85 4,515
Wafa Bank (Banking)............................................................. 57,500 2,692,512
------------
2,697,027
------------
PAKISTAN (1.0%)
Hub Power Co. (GDR) (Utilities)*................................................ 235,500 5,593,125
Pakistan Telecom Corp. (GDR) (Utilities)*....................................... 28,000 2,772,000
------------
8,365,125
------------
PERU (0.7%)
Cementos Norte Pacasmayo (Class T) (Building Materials)......................... 811,058 1,267,036
Creditcorp Holdings Ltd. (Financial Services)................................... 120,416 2,047,078
Minsur SA (Class T) (Metals & Mining)*.......................................... 1 8
Telefonica del Peru SA (Utilities).............................................. 1,070,500 2,395,509
------------
5,709,631
------------
PHILIPPINES (2.5%)
Filiinvest Land Inc. (Building Materials)*...................................... 9,559,000 4,933,133
Manila Electric Co. (Class B) (Utilities)....................................... 510,000 4,757,038
Petron Corp. (Oil - Services)................................................... 9,082,675 3,906,096
Philippine Long Distance Telephone Co. (ADR) (Utilities)........................ 5,600 281,400
Philippine National Bank (Banking)*............................................. 224,190 3,342,393
RFM Corp (Food, Beverages & Tobacco)............................................ 172,065 42,097
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
20
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION SHARES VALUE
- ---------------------------------------------------------------------------------- ------------ ------------
PHILIPPINES (CONTINUED)
<S> <C> <C>
San Miguel Corp. (Class B) (Food, Beverages & Tobacco).......................... 990,000 $ 3,103,314
------------
20,365,471
------------
POLAND (0.9%)
Bank Przemyslowo-Handlowy SA (Banking).......................................... 64,160 3,276,166
Zaklady Piwowarslie w Zywcu SA (Zywiec) (Food, Beverages & Tobacco)............. 50,400 4,163,083
------------
7,439,249
------------
PORTUGAL (2.1%)
Banco Commercial Portugues SA (ADR) (Banking)................................... 30,200 345,413
Banco Commercial Portugues SA (Registered) (Banking)............................ 135,499 1,551,567
Cimpor Cimentos de Portugal SA (Building Materials)............................. 122,000 2,288,740
Corporacao Industrial Do Norte (Building Materials)............................. 92,400 2,174,881
Empresa Fabril De Maquinas Electricas S.A. (Capital Goods)...................... 82,000 758,995
Empresa Nacional De Electricas SA (Capital Goods)............................... 144,800 2,823,600
Mague-Gestao E Participacoes (Building Materials)............................... 16,576 271,531
Modelo Continente SGPS SA (Retail).............................................. 47,800 1,216,325
Portugal Telecom SA (ADR) (Telecommunications).................................. 138,000 2,984,250
Uniao Cervejaria SA (UNICER) (Registered) (Food, Beverages & Tobacco)........... 132,000 2,376,415
------------
16,791,717
------------
RUSSIA (0.5%)
Rostelekom (RDC) (Registered) (Telecommunications)*............................. 295 4,012,000
------------
SLOVAK REPUBLIC (0.6%)
Nafta AS (Natural Gas).......................................................... 45,000 3,558,316
Slovenske Lodenice AS (Capital Goods)........................................... 20,000 1,187,078
------------
4,745,394
------------
SOUTH AFRICA (8.8%)
Amalgamated Banks of South Africa (Banking)..................................... 1,399,735 6,557,709
Anglo American Corp of South Africa Ltd. (Multi-Industry)....................... 101,400 6,873,641
Anglovaal (GDR) (Multi-Industry)................................................ 172,000 5,891,000
De Beers Consolidated Mines Ltd. (Centenary Linked Units) (Metals & Mining)..... 229,000 7,298,076
Distillers Corporation of South Africa (Food, Beverages & Tobacco).............. 850,000 2,428,662
Engen Ltd. (Oil - Production)................................................... 675,800 3,799,319
Iscor Ltd. (Metals & Mining).................................................... 1,932,000 1,765,572
Kersaf Investments Ltd. (Entertainment, Leisure & Media)........................ 111,400 1,301,541
Malbak Ltd. (GDR) (Multi-Industry) (144A)....................................... 375,000 1,781,250
Omni Media Corp. Ltd. (Entertainment, Leisure & Media).......................... 209,465 3,634,578
Pepkor Ltd. (ADS) (Retail)...................................................... 500,000 5,205,500
Polifin Ltd. (Chemicals)........................................................ 104,700 199,113
Premier Group (Food, Beverages & Tobacco)....................................... 1,145,917 1,590,691
Sasol Ltd. (Oil - Production)................................................... 698,200 7,268,983
South African Breweries Ltd. (South Africa) (Food, Beverages & Tobacco)......... 65,900 1,924,855
South African Breweries Ltd. (United Kingdom) (Food, Beverages & Tobacco)....... 220,367 6,344,976
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
21
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION SHARES VALUE
- ---------------------------------------------------------------------------------- ------------ ------------
SOUTH AFRICA (CONTINUED)
<S> <C> <C>
Sun International Bophuthatswana Ltd. (Entertainment, Leisure & Media).......... 2,199,600 $ 2,809,080
Trans Natal Coal Corp. Ltd. (Metals & Mining)................................... 713,400 5,652,948
------------
72,327,494
------------
SOUTH KOREA (3.8%)
Dong Ah Construction Industrial Co. (EDR) (Building Materials)*................. 158,224 3,480,928
Hansol Paper Co. (GDS) (Forest Products & Paper)................................ 142,188 2,950,401
Hansol Paper Co. Ltd. (GDR) (Forest Products & Paper)* (144A)................... 20,903 433,737
Hyundai Motor Co. (GDS represents 1/2 Non-voting shares) (Automotive)*.......... 144,400 2,238,200
Kia Motors Corp. (GDS) (Automotive) (144A)*..................................... 1,074 23,897
Korea Electric Power Corp. (Utilities).......................................... 40,900 1,936,567
Korea Electric Power Corp. (ADR) (Utilities).................................... 145,000 4,023,750
Korea Long Term Credit Bank (Banking)........................................... 77,100 2,418,440
Korea Zinc Co. (Metals & Mining)................................................ 30,020 752,213
Pohang Iron & Steel Co. (ADS) (Metals & Mining)................................. 125,000 3,437,500
Pohang Iron & Steel Co. (Metals & Mining)....................................... 100 9,562
Samsung Electronics Co. (GDS represents 1/2 Non-voting shares) (Electronics)
(144A)......................................................................... 107,810 4,420,210
Samsung Electronics Co. (GDS represents 1/2 Non-voting shares) (Electronics)
(144A)......................................................................... 32,491 1,234,658
Samsung Electronics Co. (GDS represents 1/2 Voting shares) (Electronics)
(144A)......................................................................... 6,147 465,635
Samsung Electronics Co. (GDS represents 1/2 Voting shares, New, RFD 3/14/95)
(144A) (Electronics)........................................................... 1,852 123,158
Samsung Engineering and Construction (GDS represents Non-Voting shares)
(Building Materials)*.......................................................... 7,699 60,630
Samsung Engineering and Construction (GDS) (Building Materials)*................ 126 945
Shinhan Bank (Banking).......................................................... 125,000 3,204,732
------------
31,215,163
------------
SRI LANKA (0.0%)1
Distilleries Co. of Sri Lanka (Food, Beverages & Tobacco)....................... 500,000 54,811
------------
TAIWAN (2.0%)
Asia Cement (GDS) (Building Materials).......................................... 133,701 2,807,721
China Steel Corp. (GDS) (Metals & Mining)....................................... 188,500 4,203,550
Hocheng Group Corp. (GDR) (Building Materials) (144A)*.......................... 354,912 4,613,856
Microelectronics Technology (GDS) (Telecommunications)*......................... 46,899 272,014
President Enterprises (GDR) (Food, Beverages & Tobacco)* (144A)................. 24,563 417,571
President Enterprises Corp. (GDR) (Food, Beverages & Tobacco)*.................. 245,772 4,178,124
------------
16,492,836
------------
THAILAND (7.3%)
Advanced Info Service Public Co. (Telecommunications)........................... 447,200 7,474,243
American Standard Sanitaryware Public Co. (Building Materials).................. 94,800 1,535,623
Bangkok Bank Public Co. Ltd. (Banking).......................................... 389,000 5,638,760
Bangkok Insurance Public Co. (Insurance)........................................ 9,800 170,778
Bangkok Rubber Public Co. Ltd. (Metals & Mining)................................ 454,300 206,916
Bumrungrad Hospital Public Co. Ltd. (Health & Personal Care).................... 493,050 497,948
Charoen Pokphand Feedmill Public Co. Ltd. (Agriculture)......................... 329,700 1,919,505
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
22
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION SHARES VALUE
- ---------------------------------------------------------------------------------- ------------ ------------
THAILAND (CONTINUED)
<S> <C> <C>
Dhana Siam Finance and Securities Public Co. (Financial Services)............... 567,768 $ 4,002,615
International Cosmetics Public Co. Ltd. (Retail)................................ 262,040 2,283,196
Krung Thai Bank Public Co. Ltd. (Banking)....................................... 304,600 1,495,907
Lanna Lignite Public Co. Ltd. (Metals & Mining)................................. 212,500 1,615,895
Oriental Hotel Public Co. Ltd. (Entertainment, Leisure & Media)................. 264,200 1,245,182
Phatra Thanakit Public Co. Ltd. (Financial Services)............................ 633,000 5,515,429
Sahavirya Steel Industries Public Co. Ltd. (Metals & Mining)*................... 1,981,000 1,863,378
Siam Cement Public Co. Ltd. (Building Materials)................................ 114,000 5,869,501
Siam Commercial Bank Public Co. (Banking)....................................... 770,700 11,354,846
Telecomasia (Telecommunications)*............................................... 583,600 1,525,500
Thai Farmers Bank Public Co. Ltd. (Banking)..................................... 330,100 3,791,373
Thai Plastic and Chemical Public Co. Ltd. (Chemicals)........................... 239,000 1,277,864
------------
59,284,459
------------
TURKEY (2.3%)
Adana Cimento Sanayii (Class A) (Building Materials)............................ 7,617,600 1,291,247
Akbank TAS (Banking)............................................................ 14,458,434 1,721,422
Akbank TAS (New shares) (Banking)............................................... 21,822,651 2,582,133
Alarko Holdings A.S. (Multi-Industry)........................................... 348,000 124,918
Aygaz A.S. (Oil - Services)..................................................... 4,263,889 878,656
Compagnie Financiere Ottomane (Financial Services).............................. 4,500 258,155
Eregli Demir Ve Celik Fabrikalari (Metals & Mining)............................. 13,475,000 1,469,006
Guney Biracilik Ve Malt Sanay (Food, Beverages & Tobacco)....................... 5,128,080 1,090,827
Mardin Cimento (Building Materials)............................................. 10,800,000 1,435,836
Migros Turk A.S. (Food, Beverages & Tobacco).................................... 4,954,800 5,665,075
Teletas Telekomunikasyon Endustri Ticaret AS (Telecommunications)*.............. 2,840,000 943,929
Turkiye Garanti Bankasi (ADR) (Banking) (144A).................................. 69,295 398,446
Turk Siemens Kablo Ve Elecktrik Sanayii (Electrical Equipment).................. 2,302,000 872,230
Yapi Ve Kredi Bankasi A.S. (Banking)............................................ 4,342,170 294,414
------------
19,026,294
------------
VENEZUELA (1.1%)
Ceramicas Carabobo CA (Spon. ADR) (Class A) (Building Materials)................ 1,408,000 1,506,560
Ceramicas Carabobo CA (Spon. ADR) (Class B) (Building Materials)................ 351,998 376,638
Mavesa CA (Spon. ADR) (Food, Beverages & Tobacco)............................... 602,829 3,251,539
Mavesa CA (Spon. ADR) (144A) (Food, Beverages & Tobacco)........................ 188,259 1,015,431
Venezolana De Prerreducidos Caroni CA (GDS) (Registered) (Metals & Mining)*..... 263,000 1,528,030
Venezolana De Pulpa Y Papel CA (Venepal) (GDS) (Class B) (Forest Products &
Paper) (144A).................................................................. 739,047 1,478,094
------------
9,156,292
------------
ZIMBABWE (0.3%)
Trans Zambezi Industries Ltd. (Multi-Industry).................................. 1,300,000 2,145,000
------------
Total Common Stocks (cost $671,891,743)....................................... 697,734,921
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
23
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION SHARES VALUE
- ---------------------------------------------------------------------------------- ------------ ------------
PREFERRED STOCKS (7.6%)
<S> <C> <C>
ARGENTINA (0.1%)
Quilmes Industrials (Quinsa) (Sponsored ADR non voting) (Food, Beverages &
Tobacco)*...................................................................... 78,325 $ 930,109
------------
BRAZIL (7.2%)
Banco Do Estado De Sao Paulo SA (BANESPA) (Banking)*............................ 215,300,000 878,817
Ceval Alimentos SA (ADR) (Food, Beverages & Tobacco)............................ 190,000 2,152,377
Cia Acos Especiais Itabira (ACESITA) (ADR) (Metals & Mining).................... 420,000 3,620,400
Companhia Energetica De Minas Gerais SA (CEMIG) (ADR) (Utilities) (144A)........ 287,547 7,462,506
Companhia Hering (Textiles & Apparel)........................................... 71,300,000 423,976
Companhia Vale Do Rio Doce SA (Spon. ADR) (Metals & Mining)..................... 387,200 7,082,895
Copene Petroquimica do Nordeote SA (Spon. ADR) (Class A) (Chemicals)............ 166,200 4,187,475
Hering Textile Companhia SA (Textiles & Apparel)*............................... 14,260,000 13,653
Iochpe Maxion SA (Automotive)*.................................................. 22,260,000 2,467,842
Perdigao Commercio Industrio SA (Food, Beverages & Tobacco)..................... 900,000,000 1,623,660
Petroleo Brasileiro SA (Oil - Production)....................................... 59,733,333 6,953,416
Refrigeracao Parana SA (ADR) (Capital Goods).................................... 251,771 3,133,768
Telecomunicacoes Brasileiras SA (Telebras) (ADR) (Telecommunications)........... 218,863 11,845,960
Telecomunicacoes de Minas Gerais SA (Telemig) (Telecommunications)*............. 48,000,000 3,923,391
Telecomunicacoes do Rio de Janeiro SA (Telerj) (Telecommunications)*............ 35,750,000 2,614,044
Viacao Aerea Riograndense SA (Varig) (Transport & Services)*.................... 130,000 353,758
------------
58,737,938
------------
GREECE (0.0%)1
Boutaris Wine Co. (Food, Beverages & Tobacco)*.................................. 25,150 44,855
Delta Dairy S.A. (Food, Beverages & Tobacco).................................... 1,417 13,043
Michaniki SA (Building Materials)............................................... 11,520 95,409
------------
153,307
------------
PHILIPPINES (0.3%)
Philippine Long Distance Telephone Co. (GDS) (Utilities)........................ 90,000 2,610,000
------------
Total Preferred Stock (cost $52,670,587)...................................... 62,431,354
------------
<CAPTION>
PRINCIPAL
AMOUNT
------------
<S> <C> <C>
CONVERTIBLE BONDS (1.8%)
INDONESIA (0.1%)
P.T. Inti Indorayon Utama (7% Cnv Bds, due 05/02/06) (Forest Products &
Paper)......................................................................... $ 900,000 733,500
------------
MEXICO (0.1%)
Nacional Financiera (11.25% Cnv Bds, due 05/15/98) (Financial Services)......... 25,000 862,500
------------
PORTUGAL (0.1%)
Banco Commercial Portuguese SA (8.75% Conv Bds, due 5/2/21) (Banking)........... 519,000 668,823
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
24
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
DESCRIPTION AMOUNT VALUE
- ---------------------------------------------------------------------------------- ------------ ------------
SOUTH KOREA (0.7%)
<S> <C> <C>
Daewoo Heavy Industries Ltd. (3% Cnv Bds, due 12/31/01) (Capital Goods)......... $ 200,000 $ 270,000
Ssangyong Cement Co. (3% Cnv Bds, due 12/31/05) (Building Materials)............ 2,800,000 3,500,000
Ssangyong Oil Refinery Co. (3.75% Cnv Bds, due 12/31/08) (Oil - Production)..... 2,000,000 2,165,000
------------
5,935,000
------------
TAIWAN (0.2%)
Pacific Electric Wire & Cable (3.75% Cnv Bds, due 10/31/01) (Electrical
Equipment)..................................................................... 300,000 391,500
Yieh Loong Co. (2% Cnv. Bds., due 12/31/00) (Metals & Mining)................... 2,500,000 1,551,660
------------
1,943,160
------------
THAILAND (0.6%)
Land & Houses Co. (5% Cnv Bds, due 04/29/03) (Building Materials)............... 1,450,000 1,848,750
Siam Commercial Bank Public Co. Ltd. (3.25% Cnv Bds, due 1/27/04) (Banking)..... 2,500,000 3,109,375
------------
4,958,125
------------
Total Convertible Bonds (cost $16,766,899).................................... 15,101,108
------------
<CAPTION>
Shares
------------
<S> <C> <C>
RIGHTS & WARRANTS (0.1%)*
INDIA (0.0%)1
Shriram Industrial Enterprises (Expire 04/01/96; for GDR 144A)
(Multi-Industry)............................................................... 86,000 860
------------
MALAYSIA (0.1%)
UMW Holdings Berhad (Expire 01/26/00) (Capital Goods)........................... 107,200 107,469
------------
PORTUGAL (0.0%)1
Banco Commercial Portuguese SA (Expire 5/10/96) (Banking)....................... 135,499 51,719
------------
THAILAND (0.0%)1
Bumrungrad Hospital Public Co. Ltd. (Expire 6/14/96) (Health & Personal Care)... 246,525 53,700
------------
Total Rights & Warrants (cost of $323,359).................................... 213,748
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
25
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION
- ---------------------------------------------------------------------------------- Units Value
------------ ------------
UNIT TRUSTS (1.5%)
<S> <C> <C>
CHILE (0.1%)
Chile Fund Inc.................................................................. 33,000 $ 808,500
------------
GHANA (0.1%)
Blakeney Investors*............................................................. 100,000 976,000
------------
RUSSIA (1.1%)
New Century Holdings Ltd. (Partnership III; Group B)+*.......................... 1,800 3,065,400
New Century Holdings Ltd. (Partnership IV; Group I)+*........................... 2,000 2,320,000
New Century Holdings Ltd. (Partnership V; Group II)+*........................... 3,800 3,610,000
------------
8,995,400
------------
TAIWAN (0.2%)
R.O.C. Taiwan Fund.............................................................. 140,000 1,505,000
------------
Total Unit Trusts (cost $10,649,500).......................................... 12,284,900
------------
<CAPTION>
Principal
Amount
------------
<S> <C> <C>
REPURCHASE AGREEMENT (3.0%)
State Street Bank and Trust 4.75% dated 4/30/96 due 5/1/96, proceeds $24,791,271
(collateralized by $19,715,000 U.S. Treasury Bond, 11.125% due 8/15/03, valued
at $25,284,488) (cost $24,788,000).............................................. $ 24,788,000 24,788,000
------------
TOTAL INVESTMENTS (COST $777,090,088) (99.2%)................................... 812,554,031
OTHER ASSETS NET OF LIABILITIES (0.8%).......................................... 6,177,090
------------
TOTAL NET ASSETS (100.0%)....................................................... $818,731,121
------------
------------
</TABLE>
- ------------------------------
Note: For Federal Income Tax purposes, the cost of securities owned at April 30,
1996 was substantially the same as the cost of securities for financial
statement purposes.
+ - Restricted securities. See Note 4.
* - Non-income producing securities.
1 - Less than .01%
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.
26
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1996
- --------------------------------------------------------------------------------
INDUSTRY DIVERSIFICATION
<TABLE>
<CAPTION>
PERCENT OF
TOTAL INVESTMENTS
---------------------
<S> <C>
Food, Beverages & Tobacco...................................................................... 12.82%
Utilities...................................................................................... 11.08%
Metals & Mining................................................................................ 10.51%
Banking........................................................................................ 9.34%
Building Materials............................................................................. 7.14%
Multi-Industry................................................................................. 6.86%
Telecommunications............................................................................. 5.87%
Oil - Production............................................................................... 5.11%
Chemicals...................................................................................... 4.77%
Entertainment, Leisure & Media................................................................. 3.69%
Automotive..................................................................................... 2.84%
Retail......................................................................................... 2.51%
Transport & Services........................................................................... 2.16%
Financial Services............................................................................. 2.07%
Oil - Services................................................................................. 2.01%
Capital Goods.................................................................................. 1.92%
Real Estate.................................................................................... 1.73%
Forest Products & Paper........................................................................ 1.64%
Electronics.................................................................................... 1.22%
Consumer Goods & Services...................................................................... 1.00%
Pharmaceuticals................................................................................ 0.77%
Insurance...................................................................................... 0.59%
Textiles & Apparel............................................................................. 0.57%
Natural Gas.................................................................................... 0.46%
Electric....................................................................................... 0.29%
Health & Personal Care......................................................................... 0.29%
Agriculture.................................................................................... 0.25%
Construction & Housing......................................................................... 0.20%
Health Services................................................................................ 0.17%
Packaging & Containers......................................................................... 0.12%
-----
100.0%
-----
-----
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
27
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES (UNAUDITED)
APRIL 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments, at Value (Cost $752,302,088) $787,766,031
Repurchase Agreement (Cost $24,788,000) 24,788,000
Foreign Currency, at Value (Cost $5,718,079) 5,674,005
Unrealized Appreciation on Open Spot Foreign Currency Contracts 199
Receivable for Investments Sold 3,312,113
Dividends and Interest Receivable 2,648,471
Receivable for Foreign Currency Sold 436,011
Deferred Organization Expense 3,628
Prepaid Expenses 7,343
------------
Total Assets 824,635,801
------------
LIABILITIES
Payable for Investments Purchased 4,316,925
Advisory Fee Payable 762,733
Payable for Foreign Currency Purchased 436,011
Custody Fee Payable 253,852
Professional Fees Payable 55,688
Payable to Custodian 34,602
Administrative Services Fee Payable 16,183
Administration Fee Payable 8,567
Fund Services Fee Payable 2,893
Accrued Expenses & Other Liabilities 17,226
------------
Total Liabilities 5,904,680
------------
NET ASSETS
Applicable to Investors' Beneficial Interests $818,731,121
------------
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
28
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
STATEMENT OF OPERATIONS (UNAUDITED)
FOR THE SIX MONTHS ENDED APRIL 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Dividends (Net of $743,757 Foreign Withholding Taxes) $ 6,821,147
Interest 1,720,285
-----------
Investment Income 8,541,432
EXPENSES
Advisory Fee $ 3,608,169
Custodian Fees and Expenses 603,009
Administrative Services Fee 64,035
Professional Fees 47,895
Administration Fee 39,661
Fund Services Fee 19,928
Trustees' Fees and Expenses 6,985
Insurance Expense 2,950
Amortization of Organization Expense 639
Miscellaneous 7,243
-----------
Total Expenses (4,400,514)
-----------
NET INVESTMENT INCOME 4,140,918
NET REALIZED GAIN (LOSS) ON
Investment Transactions 3,011,069
Foreign Currency Transactions (5,054,319)
-----------
Net Realized Loss (2,043,250)
NET CHANGE IN UNREALIZED APPRECIATION OF
Investments 83,153,256
Foreign Currency Contracts and Translations 142,123
-----------
Net Change in Unrealized Appreciation 83,295,379
-----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $85,393,047
-----------
-----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
29
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE SIX
MONTHS ENDED FOR THE YEAR
APRIL 30, 1996 ENDED
(UNAUDITED) OCTOBER 31, 1995
--------------- -------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 4,140,918 $ 6,090,029
Net Realized Loss on Investments and Foreign Currency Transactions (2,043,250) (28,967,303)
Net Change in Unrealized Appreciation (Depreciation) of Investments and
Foreign Currency Translations 83,295,379 (102,424,260)
--------------- -------------------
Net Increase (Decrease) in Net Assets Resulting from Operations 85,393,047 (125,301,534)
--------------- -------------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTEREST
Contributions 264,400,172 350,949,115
Withdrawals (150,549,287) (153,817,752)
--------------- -------------------
Net Increase from Investors' Transactions 113,850,885 197,131,363
--------------- -------------------
Total Increase in Net Assets 199,243,932 71,829,829
NET ASSETS
Beginning of Period 619,487,189 547,657,360
--------------- -------------------
End of Period $ 818,731,121 $ 619,487,189
--------------- -------------------
--------------- -------------------
</TABLE>
- --------------------------------------------------------------------------------
SUPPLEMENTARY DATA:
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE PERIOD
FOR THE SIX NOVEMBER 15, 1993
MONTHS ENDED FOR THE YEAR (COMMENCEMENT OF
APRIL 30, 1996 ENDED OPERATIONS) THROUGH
(UNAUDITED) OCTOBER 31, 1995 OCTOBER 31, 1994
---------------- ----------------- ---------------------
<S> <C> <C> <C>
RATIO TO AVERAGE NET ASSETS
Expenses 1.22%(a) 1.31% 1.36%(a)
Net Investment Income 1.28%(a) 1.07% 0.66%(a)
Portfolio Turnover 16.13% 41.31% 27.48%
</TABLE>
- ------------------------
(a) Annualized.
The Accompanying Notes are an Integral Part of the Financial Statements.
30
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
APRIL 30, 1996
- --------------------------------------------------------------------------------
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 Portfolio's investment objective is to
provide a high total return from a portfolio of equity securities of companies
in emerging markets. The Declaration of Trust permits the Trustees to issue an
unlimited number of beneficial interests in the Portfolio.
The preparation of financial statements prepared in accordance with generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts and disclosures. Actual amounts
could differ from those estimates. The following is a summary of the significant
accounting policies of the Portfolio:
a)The value of each security for which readily available market quotations
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 Unites 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
31
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1996
- --------------------------------------------------------------------------------
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.
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 April 30, 1996 the Portfolio had open spot foreign
currency contracts as follows:
SUMMARY OF OPEN CONTRACTS
<TABLE>
<CAPTION>
U.S. DOLLAR NET UNREALIZED
VALUE AT APPRECIATION
FOREIGN CURRENCY SALE CONTRACTS PROCEEDS 4/30/96 (DEPRECIATION)
- -------------------------------------------------------------------- --------- ----------- -----------------
<S> <C> <C> <C>
Portuguese Escudo, 21,030,320, expiring 5/3/96 $ 134,353 $ 133,785 $ 568
<CAPTION>
FOREIGN CURRENCY PURCHASE CONTRACTS COST
- -------------------------------------------------------------------- ---------
<S> <C> <C> <C>
Israeli Shekel, 495,527, expiring 5/1/96 155,386 155,134 (252)
Malaysian Ringgit, 358,289, expiring 5/3/96 143,786 143,676 (110)
South Korean Won, 1,929,600 expiring 5/3/96 2,486 2,479 (7)
-----
Net Unrealized Appreciation on Foreign
Currency Contracts $ 199
-----
-----
</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.
32
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1996
- --------------------------------------------------------------------------------
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
satisfaction of the obligation. Under certain circumstances, in the event
of default or bankruptcy by the other party to the agreement, realization
and/or retention of the collateral or proceeds may be subject to legal
proceedings.
2. TRANSACTIONS WITH AFFILIATES
a)The Portfolio has an investment advisory agreement with Morgan Guaranty
Trust Company of New York ("Morgan"). Under the terms of the investment
advisory agreement, the Portfolio pays Morgan at an annual rate of 1.00%
of the Portfolio's average daily net assets. For the six months ended
April 30, 1996, such fees amounted to $3,608,169.
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 provided 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
Administration 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 each day to the net assets of the Portfolio. For the
period November 1, 1995 through December 28, 1995, such fees amounted to
$6,052.
Effective December 29, 1995, the Administration Agreement was amended such
that the fee charged would be equal to the Portfolio's proportionate share
of a complex-wide fee based on the following annual schedule: 0.03% on the
first $7 billion of the aggregate average daily net assets of the
Portfolio and the other portfolios subject to this agreement (the "Master
Portfolios") and 0.01% on the aggregate average daily net assets of the
Master Portfolios in excess of $7 billion. The portion of this charge
payable by the Portfolio is determined by the proportionate share its net
assets bear to the total net assets of The Pierpont Funds, The JPM
Institutional Funds, The JPM Advisor Funds and the Master Portfolios. For
the period December 29, 1995 through April 30, 1996, such fees amounted to
$33,609.
c)Until August 31, 1995, the Portfolio had a Financial and Fund Accounting
Services Agreement ("Services Agreement") with Morgan under which Morgan
would receive a fee, based on the percentage described below, for
overseeing certain aspects of the administration and operation of the
Portfolio and 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 0.03% of the Portfolio's
average daily net assets. From September 1, 1995 until December 28, 1995,
an interim agreement between the Portfolio and Morgan provided for the
continuation of the oversight functions that were outlined under the
Services Agreement and that Morgan should bear all of its expenses
incurred in connection with these services.
33
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1996
- --------------------------------------------------------------------------------
Effective December 29, 1995, the Portfolio entered into an Administrative
Services Agreement (the "Agreement") with Morgan under which Morgan is
responsible for overseeing certain aspects of the administration and
operation of the Portfolio. Under the Agreement, the Portfolio has agreed
to pay Morgan a fee equal to its proportionate share of an annual
complex-wide charge. This charge is calculated daily based on the
aggregate net assets of the Master Portfolios in accordance with the
following annual schedule: 0.06% on the first $7 billion of the Master
Portfolios' aggregate average daily net assets and 0.03% of the aggregate
average daily net assets in excess of $7 billion. The portion of this
charge payable by the Portfolio is determined by the proportionate share
that the Portfolio's net assets bear to the net assets of the Master
Portfolios and other investors in the Master Portfolios for which Morgan
provides similar services. For the period December 29, 1995 through April
30, 1996, such fees amounted to $64,035.
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 $19,928 for the six months ended April 30, 1996.
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 the
Master Portfolios. The Trustees' Fees and Expenses shown in the financial
statements represent 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 $2,600.
3. INVESTMENT TRANSACTIONS:
Investment transactions (excluding short-term investments) for the six
months ended April 30, 1996 were as follows:
<TABLE>
<CAPTION>
COST OF PROCEEDS FROM
PURCHASES SALES
- -------------- --------------
<S> <C>
$ 231,805,864 $ 108,894,720
- -------------- --------------
</TABLE>
4. RESTRICTED SECURITIES:
<TABLE>
<CAPTION>
SHARES 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 April 30, 1996 is $8,995,400 representing 1.1% of net
assets.
34
