<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- --------------------------------------- ------------ ------------
<S> <C> <C>
COMMON STOCK (79.0%)
ARGENTINA (6.3%)
Astra Compania Argentina De Petroleo SA
(Oil-Production)..................... 1,768,030 $ 3,182,845
Banco de Galicia y Buenos Aires
(Banking)............................ 114,700 2,064,600
Banco Frances del Rio de la Plata
S.A.(ADR) (Banking).................. 114,655 3,009,694
Capex SA (Electric).................... 486,300 3,526,109
Corporacion Cementeria Argentina SA
(Class B) (Building Materials)+...... 577,336 2,453,980
Molinos Rio de la Plata SA (ADR) (Multi
- Industry).......................... 983,447 3,098,239
Perez Companc SA (Spon. ADR)
(Oil-Services)+...................... 433,800 5,466,487
Quilmes Industrial (Quinsa)
(Registered) (Spon. ADR) (Food,
Beverages & Tobacco)................. 170,325 1,788,412
Telefonica de Argentina
(Telecommunications)................. 427,600 9,941,700
Transportadora De Gas Del Sur SA (ADR)
(Oil-Services)....................... 299,100 3,469,560
YPF Sociedad Anonima (ADS)
(Oil-Production)..................... 691,100 15,722,525
------------
53,724,151
------------
BOLIVIA (0.3%)
Compania Bolivia de Energia Electrica
(Electric)........................... 61,600 2,602,600
------------
BRAZIL (3.2%)
Bompreco Supermercados Do Norde SA
(Food, Beverages & Tobacco)+......... 197,100 3,252,150
Companhia Energetica De Minas Gerais SA
(Spon. ADR Represents Non-Voting
Shares) (Telecommunications)......... 176,419 5,596,222
Electrobras Centrale (Units)
(Utilities).......................... 11,382,000 3,534,064
Makro Atacadista (GDS) (144A)
(Retail)+............................ 360,000 3,348,000
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- --------------------------------------- ------------ ------------
<S> <C> <C>
BRAZIL (CONTINUED)
Perdigao Commercio Industrio SA (Food,
Beverages & Tobacco)................. 44,384,895 $ 77,763
Refrigeracao Parana SA (Spon. ADR)
(Household Appliances
Furnishings)+........................ 251,771 3,014,228
Santista Alimentos SA (Food, Beverages
& Tobacco)+.......................... 3,632,500 7,389,533
Votorantim Celulose E Papel SA (ADR)
(Forest Products & Paper)............ 139,250 1,376,182
------------
27,588,142
------------
CANADA (0.3%)
Echo Bay Mines Ltd. (Metals &
Mining).............................. 312,947 2,450,238
Minera Rayrock, Inc. (Subsidiary Voting
A Shares) (Metals & Mining)+......... 104,616 45,245
Minera Rayrock Inc. (Multiple Voting B
Shares) (Metals & Mining)+........... 6,000 2,595
------------
2,498,078
------------
CHILE (3.6%)
Administradora De Fondos De Pensiones
Provida SA (Multi - Industry)........ 110,100 2,559,825
Compania Cervecerias Unidas SA (Spon.
ADR) (Food, Beverages & Tobacco)..... 256,000 5,152,000
Compania de Telecomucicaciones de Chile
SA (Spon. ADR)
(Telecommunications)................. 69,700 6,874,162
Empresa Nacional De Electricas SA (ADR)
(Capital Goods)...................... 144,800 2,660,700
Enersis SA (ADR) (Electric)............ 80,000 2,350,000
Madeco S.A. (Spon. ADR) (Metals &
Mining).............................. 129,000 3,096,000
Sociedad Quimica Y Minera De Chile
S.A.(ADR) (Chemicals)................ 137,146 7,885,895
------------
30,578,582
------------
</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, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- --------------------------------------- ------------ ------------
<S> <C> <C>
CHINA (0.7%)
Dongfang Electrical Machinery Co.
(Electrical Equipment)............... 3,200,000 $ 778,034
Luoyang Glass Co. Ltd. (Building
Materials)........................... 3,574,000 614,747
Shanghai Erfangji Co. Ltd. (Series B)
(Capital Goods)+..................... 177,320 17,377
Shanghai Tyre and Rubber Co. Ltd.
(Series B) (Metals & Mining)+........ 3,229,990 781,658
Tsingtao Brewery Co. Ltd. (Series B)
(Food, Beverages & Tobacco).......... 6,720,000 2,411,697
Yizheng Chemical Fibre Co. Ltd.
(Chemicals).......................... 7,702,000 1,782,982
------------
6,386,495
------------
COLOMBIA (0.6%)
Banco De Colombia (ADR) (Banking)...... 440,000 3,410,000
Banco Ganadero SA (ADR) (Banking)...... 53,000 1,046,750
Banco Industrial Colombiano SA (ADR)
(Banking)............................ 30,400 558,600
Cementos Diamante SA (Building
Materials)+.......................... 16,200 224,775
Corporacion Financiera Del Valle SA
(ADR) (144A) (Banking)............... 18,815 101,037
------------
5,341,162
------------
CROATIA (0.3%)
Pliva D.D. (GDR) (144A)
(Pharmaceuticals)+................... 57,800 2,846,650
------------
CZECHOSLOVAKIA (2.6%)
Central European Media Entertainment
Ltd. (Entertainment, Leisure &
Media)+.............................. 123,000 3,490,125
Ceska Pojistovna (Insurance)+.......... 3,646 499,154
Cokoladovny Praha (Food, Beverages &
Tobacco)............................. 36,100 4,499,061
Czech Power Company (Utilities)+....... 92,400 3,299,999
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- --------------------------------------- ------------ ------------
<S> <C> <C>
CZECHOSLOVAKIA (CONTINUED)
Elektra Opatovice AS
(Telecommunications)................. 30,500 $ 4,447,916
SPT Telecom AS (Telecommunications)+... 46,800 5,012,544
Synthesia (Chemicals)+................. 63,000 890,625
------------
22,139,424
------------
ECUADOR (0.2%)
La Cemento Nacional CA (GDS) (144A)
(Construction & Housing)............. 10,240 2,068,480
------------
EGYPT (0.3%)
Commercial International Bank (Egypt)
(Banking)+........................... 170,550 2,430,337
------------
GHANA (0.1%)
Guiness Ghana Ltd. (Food, Beverages &
Tobacco)............................. 1,845,745 265,447
Pioneer Tobacco Co. (Food, Beverages &
Tobacco)............................. 2,848,800 220,088
Unilever Ghana Ltd. (Food, Beverages &
Tobacco)............................. 450,000 212,069
------------
697,604
------------
GREECE (3.0%)
Alpha Credit Bank SA (Banking)......... 63,680 4,072,091
Athens Medical Centre (Health
Services)............................ 190,000 1,406,815
Boutaris Wine Co. SA (Food, Beverages &
Tobacco)+............................ 3,500 3,166
Ergo Bank SA (Banking)................. 75,000 4,406,289
Hellenic Bottling Co. SA (Food,
Beverages & Tobacco)................. 235,602 7,592,391
Hellenic Sugar Industry SA (Food,
Beverages & Tobacco)................. 318,450 3,121,533
Michaniki SA (Building Materials)...... 126,720 1,127,525
Titan Cement Co. SA (Registered)
(Building Materials)................. 66,000 3,742,869
------------
25,472,679
------------
</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, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- --------------------------------------- ------------ ------------
<S> <C> <C>
HONG KONG (1.5%)
Citic Pacific Ltd. (Multi -
Industry)............................ 644,000 $ 3,131,585
Concord Land Development Company Ltd.
(Real Estate)+....................... 202,400 104,706
Guangdong Investment Ltd. (Financial
Services)............................ 3,192,190 2,291,249
Pacific Concord Holdings Ltd.
(Transport & Services)............... 10,120,000 2,683,026
Yue Yuen Industrial (Holdings) Ltd.
(Metals & Mining).................... 14,870,000 4,423,126
------------
12,633,692
------------
HUNGARY (1.7%)
Julius Meinl International AG (Food,
Beverages & Tobacco)................. 16,800 509,635
Magyar Olaj ES Gas (Natural Gas)....... 334,000 3,409,589
Pick Szeged RT (Spon. GDS) (144A)
(Food, Beverages & Tobacco).......... 45,600 2,055,835
Polifarb Cieszyn SA (Chemicals)+....... 464,300 2,097,446
Wedel SA (Food, Beverages & Tobacco)... 101,217 5,040,968
Zalakeramia RT (Building Materials).... 29,333 1,239,698
------------
14,353,171
------------
INDIA (3.9%)
Ashok Leyland Ltd. (GDR)
(Automotive)......................... 267,900 3,013,875
Bajaj Auto Ltd. (GDR) (Automotive)..... 156,200 4,998,400
Hindalco Industries Ltd. (GDR) (Metals
& Mining)............................ 273,450 5,026,011
Hindustan Development Corp. (GDR)
(144A) (Multi - Industry)............ 1,000,000 250,000
Indian Petrochemicals Corp. Ltd. (GDR)
(Chemicals).......................... 395,800 3,760,100
ITC Ltd. (GDR) (Food, Beverages &
Tobacco)............................. 710,000 6,297,700
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- --------------------------------------- ------------ ------------
<S> <C> <C>
INDIA (CONTINUED)
Raymond Ltd. (GDR) (Textiles).......... 136,100 $ 1,292,950
Reliance Industrial Infrastructure Ltd.
(GDR) (Chemicals)+................... 274,200 3,084,750
Shiram Industrial Enterprises Ltd.
(GDR) (144A) (Multi - Industry)...... 258,000 129,000
Shriram Industrial Enterprises Ltd.
(GDR) (Multi - Industry)+............ 246,900 123,450
Southern Petrochemical Industries Corp.
Ltd. (GDS) (144A) (Chemicals)........ 422,325 1,583,719
Videocon International Ltd. (GDS)
(Entertainment, Leisure & Media)..... 1,185,500 1,837,525
Wockhardt Ltd. (GDR)
(Pharmaceuticals).................... 284,400 1,848,600
------------
33,246,080
------------
INDONESIA (3.3%)
P.T. Fastfood Indonesia (Food,
Beverages & Tobacco)................. 197,000 313,034
P.T. Goodyear Indonesia (Capital
Goods)............................... 100,000 107,365
P.T. Indorama Synthetic (Textiles)..... 180,000 514,065
P.T. Indoryan Utama (Forest Products &
Paper)............................... 642,000 578,999
P.T. International Nickel Indonesia
(Metals & Mining).................... 3,555,700 7,635,172
P.T. Jakarta International Hotel &
Development (Entertainment, Leisure &
Media)............................... 3,887,500 2,504,294
P.T. Matahari Putra Prima (Retail)..... 241,000 209,588
P.T. Modern Photo Film Co. (Wholesale &
International Trade)................. 377,500 1,041,631
P.T. Multi Bintang Indonesia (Multi -
Industry)............................ 200,000 2,963,281
P.T. Niaga Bank (Banking).............. 1,308,600 3,456,255
</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, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- --------------------------------------- ------------ ------------
<S> <C> <C>
INDONESIA (CONTINUED)
P.T. Pakuwon Jati (Real Estate)........ 11,158,000 $ 3,833,541
P.T. Pan Brothers Textiles
(Textiles)+.......................... 165,000 143,494
P.T. Putra Surya Perkasa (Building
Materials)........................... 1,350,000 1,289,993
P.T. Surya Toto Indonesia (Metals &
Mining).............................. 900,000 1,835,946
P.T. Tempo Scan Pacific (Health
Services)............................ 664,000 976,680
P.T. Unilever Indonesia (Entertainment,
Leisure & Media)..................... 47,605 715,557
------------
28,118,895
------------
ISRAEL (2.1%)
First International Bank (Banking)..... 52,500 5,466,004
Israel Chemicals Ltd. (Chemicals)+..... 4,492,500 3,659,165
Koors Industries Ltd. (Multi -
Industry)............................ 287,900 5,002,262
Teva Pharmaceutical Industries Ltd.
(ADR) (Pharmaceuticals).............. 90,900 3,800,756
------------
17,928,187
------------
MALAYSIA (9.9%)
Antah Holdings Berhad (Multi -
Industry)............................ 200 268
Box Pak (Malaysia) Berhad (Packaging &
Containers)+......................... 1,896 5,215
Carlsberg Brewery Malaysia Berhard
(Food, Beverages & Tobacco).......... 565,416 3,960,919
Cold Storage Malaysia Berhard (Food,
Beverages & Tobacco)................. 74,000 112,465
Edaran Otomobil Nasional Berhad
(Automotive)......................... 592,000 5,529,531
Golden Hope Plantations Berhard (Metals
& Mining)............................ 3,005,166 5,114,362
Hong Leong Industries Berhard (Multi -
Industry)............................ 807,000 4,120,195
Kian Joo Can Factory Berhard (Capital
Goods)............................... 814,000 4,445,883
SECURITY DESCRIPTION SHARES VALUE
- --------------------------------------- ------------ ------------
MALAYSIA (CONTINUED)
Kuala Lumpur Kepong Berhad (Metals &
Mining).............................. 2,695,500 $ 6,774,350
Land & General Berhad (Real Estate).... 383,000 833,712
Lion Corp. Berhad (Multi - Industry)... 1,086,000 2,213,562
London & Pacific Insurance Co. Berhad
(Insurance).......................... 126,000 1,092,117
Malayan Cement Berhad (Building
Materials)........................... 349,000 780,420
Malaysia Mining Corp. Berhad (Metals &
Mining).............................. 2,322,600 2,472,756
Malaysian Assurance Alliance Berhad
(Insurance).......................... 493,500 2,421,940
Malaysian International Shipping Corp.
Berhad (Transport & Services)........ 1,666,333 4,979,243
Malaysian Tobacco Co. Berhad (Food,
Beverages & Tobacco)................. 322,000 471,533
Matsushita Electric Co. Malaysia Berhad
(Electronics)........................ 296,000 2,858,486
Nestle Malaysia Berhad (Food, Beverages
& Tobacco)........................... 1,065,000 8,345,827
New Straits Times Press Berhad
(Entertainment, Leisure & Media)..... 100,000 526,388
Nylex Malaysia Berhad (Chemicals)...... 633,000 1,390,437
Perlis Plantations Berhad (Transport &
Services)............................ 1,845,000 5,294,061
Putera Capital Berhad (Real Estate).... 1,000 2,830
Resorts World Berhad (Entertainment,
Leisure & Media)..................... 907,000 5,205,109
Shell Refining Company Malaysia Berhad
(Oil-Production)..................... 996,500 2,879,087
Sistem Televisyen Malaysia Berhad
(Entertainment, Leisure & Media)..... 2,540,000 5,478,792
Tanjong Co. Berhad (Entertainment,
Leisure & Media)..................... 393,000 1,524,310
</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, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- --------------------------------------- ------------ ------------
<S> <C> <C>
MALAYSIA (CONTINUED)
Tenaga Nasional Berhad
(Telecommunications)................. 1,548,000 $ 6,187,951
UMW Holdings Berhad (Capital Goods)+... 200 918
------------
85,022,667
------------
MEXICO (7.8%)
Carso Global Telecom
(Telecommunications)+................ 783,256 1,894,975
Cementos Mexicanos SA de CV (Building
Materials)........................... 1,899,675 6,811,491
Cifra SA de CV (Class B) (Retail)+..... 2,645,000 3,373,524
Cydsa SA de CV (Class A) (Registered)
(Chemicals).......................... 456,720 855,642
Desc SA (Multi - Industry)+............ 10,666 51,610
Desc Sociedad de Fomento Industrial SA
de CV (Class A) (Multi -
Industry)+........................... 268,000 1,379,901
Desc Sociedad de Fomento Industrial SA
de CV (Class B) (Multi -
Industry)+........................... 244,000 1,192,755
Empresas La Moderna SA de CV (Food,
Beverages & Tobacco)................. 152,000 2,736,000
Fomento Economico Mexicana SA de CV
(Class B) (Food, Beverages &
Tobacco)............................. 1,800,000 5,449,133
Gruma SA de CV (Food, Beverages &
Tobacco)+............................ 554,000 2,742,507
Grupo Carso SA de CV (Class A) (Multi -
Industry)............................ 754,400 3,416,328
Grupo Casa Autrey SA de CV (Spon. ADR)
(Food, Beverages & Tobacco).......... 151,800 2,865,225
Grupo Financiero Banamex Accival SA de
CV (Class B) (Banking)+.............. 1,587,000 3,347,271
Grupo Financiero Banamex Accival SA de
CV (Class L) (Banking)+.............. 18,960 38,579
Grupo Financiero Bancomer SA de CV
(Financial Services)+................ 3,780,000 1,599,231
Grupo Financiero Inbursa SA de CV
(Financial Services)................. 26,322 84,910
Grupo Financiero Probursa SA de CV
(Class B) (Banking)+................. 1,050 64
SECURITY DESCRIPTION SHARES VALUE
- --------------------------------------- ------------ ------------
MEXICO (CONTINUED)
Grupo Industrial Maseca SA de CV (Spon.
ADR) (Class B) (Food, Beverages &
Tobacco)............................. 161,733 $ 2,951,627
Industrias Penoles SA de CV (Class CP)
(Metals & Mining).................... 691,500 2,736,831
Kimberly Clark De Mexico SA de CV
(Class A) (Forest Products &
Paper)............................... 273,000 5,250,001
Telefonos De Mexico SA de CV (ADR L
Shares) (Telecommunications)......... 506,320 15,442,760
Telefonos De Mexico SA de CV (ADR)
(Telecommunications)................. 200,000 296,875
Transportacion Maritima Mexicana SA de
CV (ADR L shares) (Transport &
Services)............................ 349,800 2,448,600
------------
66,965,840
------------
MOROCCO (0.3%)
Banque Commerciale Du Maroc
(Banking)+........................... 170 6,936
Elf Gabon SA (Oil-Production).......... 9,461 2,259,585
------------
2,266,521
------------
PAKISTAN (0.8%)
Hub Power Co. Ltd. (Spon. GDR)
(Oil-Services)+...................... 235,500 4,651,125
Pakistan Telecommunications Corp. (GDR)
(Telecommunications)+................ 28,000 2,128,000
------------
6,779,125
------------
PERU (0.7%)
Cementos Norte Pacasmayo SA (Class T)
(Building Materials)................. 945,540 1,385,241
Creditcorp Holdings Ltd. (Financial
Services)............................ 120,416 2,107,280
</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, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- --------------------------------------- ------------ ------------
<S> <C> <C>
PERU (CONTINUED)
Minsur SA (Class T) (Metals &
Mining).............................. 1 $ 9
Telefonica del Peru SA
(Telecommunications)................. 1,070,500 2,277,387
------------
5,769,917
------------
PHILIPPINES (2.4%)
Filinvest Land Inc. (Building
Materials)+.......................... 14,338,500 4,855,879
Manila Electric Company (Class B)
(Electric)........................... 663,000 4,869,059
Petron Corp. (Oil-Services)............ 11,353,344 3,326,509
Philippine Long Distance Telephone Co.
(ADR) (Telecommunications)........... 5,600 335,300
Philippine National Bank (Banking)+.... 323,290 3,721,275
RFM Corp. (Food, Beverages &
Tobacco)............................. 172,065 28,481
San Miguel Corp. (Class B) (Food,
Beverages & Tobacco)................. 1,089,000 3,936,639
------------
21,073,142
------------
POLAND (0.8%)
Bank Przemyslowo-Handlowy SA
(Banking)............................ 64,160 4,450,742
Zaklady Piwowarslie w Zywcu SA (Zywiec)
(Food, Beverages & Tobacco).......... 50,400 2,241,145
------------
6,691,887
------------
PORTUGAL (1.7%)
Banco Commercial Portugues SA
(Banking)............................ 271,985 3,378,253
Cimpor Cimentos de Portugal SA
(Building Materials)................. 122,000 2,565,692
Corporacao Industrial Do Norte
(Building Materials)................. 92,400 3,002,078
Mague-Gestao E Participacoes (Building
Materials)........................... 76 1,515
Portugal Telecom SA (ADR)
(Telecommunications)................. 138,000 3,570,750
Uniao Cervejaria SA (Food, Beverages &
Tobacco)............................. 132,000 2,381,643
------------
14,899,931
------------
SECURITY DESCRIPTION SHARES VALUE
- --------------------------------------- ------------ ------------
RUSSIA (0.9%)
Rostelekom (RDC) (Registered)
(Telecommunications)+................ 295 $ 7,463,500
------------
SOUTH AFRICA (6.3%)
Amalgamated Banks of South Africa Ltd.
(Banking)............................ 1,231,735 6,272,830
Anglo-American Corp. of South Africa
Ltd. (Multi - Industry).............. 101,400 6,098,461
Anglovaal Ltd. (GDR) (Multi -
Industry)............................ 71,900 2,174,975
De Beers Consolidated Mines Ltd.
(Centenary Linked Units) (Metals &
Mining).............................. 229,000 6,758,240
Distillers Corporation (South Africa)
Ltd. (Food, Beverages & Tobacco)..... 850,000 2,082,884
Engen Ltd. (Oil-Production)............ 529,828 2,878,879
Iscor Ltd. (Metals & Mining)........... 3,001,500 2,142,553
Kersaf Investments Ltd. (Entertainment,
Leisure & Media)..................... 131,000 1,284,037
Omni Media Corp. Ltd. (Entertainment,
Leisure & Media)..................... 209,465 3,235,920
Pepkor Ltd. (ADS) (Retail)............. 500,000 3,686,250
Premier Group Ltd. (Food, Beverages &
Tobacco)............................. 1,163,150 1,541,610
Sasol Ltd. (Oil-Production)............ 698,200 8,517,334
Sun International Bophuthatswana Ltd.
(Entertainment, Leisure & Media)..... 2,199,600 1,968,527
Trans-Natal Coal Corp. Ltd. (Metals &
Mining).............................. 713,400 5,647,292
------------
54,289,792
------------
SOUTH KOREA (3.1%)
Dong Ah Construction Industrial Co.
Ltd. (EDR) (Building Materials)+..... 172,166 2,415,901
Hansol Paper Co. Ltd. (GDS) (Forest
Products & Paper).................... 142,188 2,097,273
Hansol Paper Co. Ltd. (GDS) (144A)
(Forest Products & Paper)+........... 20,903 308,319
</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, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- --------------------------------------- ------------ ------------
<S> <C> <C>
SOUTH KOREA (CONTINUED)
Hyundai Motor Co. Ltd. (GDS)
(Automotive)+........................ 386,600 $ 4,155,950
Kia Motors Corp. (GDS) (144A)
(Automotive)+........................ 1,074 19,601
Korea Electric Power Corp. (ADR)
(Electric)........................... 234,500 4,221,000
Korea Electric Power Corp. (ADR)
(Electric)........................... 40,900 1,201,705
Korea Long Term Credit Bank
(Banking)............................ 86,570 1,956,343
Korea Zinc Co. Ltd. (Metals &
Mining).............................. 104,400 2,246,926
Pohang Iron & Steel Co. Ltd. (Metals &
Mining).............................. 100 6,366
Pohang Iron & Steel Co. Ltd. (ADS)
(Metals & Mining).................... 125,000 2,593,750
Samsung Co. (144A) (Electronics)+...... 7,699 28,871
Samsung Co. Ltd. (Building
Materials)+.......................... 126 473
Samsung Corp. (GDS represents 1/2
non-voting common share 144A)
(Electronics)........................ 666 2,614
Samsung Electronics Co. Ltd. (GDS
represents 1/2 non-voting common
share) (144A) (Electronics).......... 106,821 2,296,652
Samsung Electronics Co. Ltd. (GDS
represents 1/2 non-voting preferred
share) (144A) (Electronics).......... 32,193 515,088
Samsung Electronics Co. Ltd. (GDS
represents 1/2 voting common share)
(144A) (Electronics)................. 1,845 63,653
Samsung Electronics Co. Ltd. (GDS
represents 1/2 voting common share)
(144A) (Electronics)+................ 6,123 281,658
Shinhan Bank (Banking)................. 125,000 2,492,594
------------
26,904,737
------------
TAIWAN (2.5%)
Asia Cement Corp. (GDS) (Building
Materials)........................... 142,658 2,853,160
China Steel Corp. (GDS) (Metals &
Mining).............................. 181,700 3,522,709
SECURITY DESCRIPTION SHARES VALUE
- --------------------------------------- ------------ ------------
TAIWAN (CONTINUED)
Hocheng Group Corp. (GDR) (144A)
(Building Materials)................. 408,148 $ 3,277,428
Macronix International Co. Ltd. (ADR)
(Semiconductors)+.................... 544,700 7,141,763
Microelectronics Technology Inc. (GDS)
(Telecommunications)+................ 55,946 265,744
President Enterprises Corp. (GDR)
(Food, Beverages & Tobacco)+......... 294,926 4,423,896
President Enterprises Corp. (GDR)
(144A) (Food, Beverages &
Tobacco)+............................ 29,476 442,134
------------
21,926,834
------------
THAILAND (4.5%)
Advanced Info Service Public Co. Ltd.
(Telecommunications)................. 202,500 2,747,105
American Standard Sanitaryware
(Thailand) Ltd. (Building
Materials)........................... 94,800 1,523,934
Bangkok Bank Public Co. Ltd.
(Banking)............................ 421,700 4,497,245
Bangkok Insurance Public Co. Ltd.
(Insurance).......................... 9,800 138,326
Bangkok Rubber Co. Ltd. (Metals &
Mining).............................. 454,300 156,747
Bumrungrad Hospital Public Co. Ltd.
(Health & Personal Care)............. 739,575 521,950
Charoen Pokphand Feedmill Public Co.
Ltd. (Agriculture)................... 329,700 1,279,759
Dhana Siam Finance and Securities
Public Co. Ltd. (Financial
Services)............................ 68 180
International Cosmetics Public Co. Ltd.
(Retail)............................. 262,040 1,705,492
Krung Thai Bank Public Co. Ltd.
(Banking)............................ 1,713,200 4,634,802
Land & House Public Co. Ltd. (Real
Estate).............................. 219,100 1,821,178
Lanna Lignite Public Co. Ltd. (Metals &
Mining).............................. 277,200 2,282,373
Phatra Thanakit Public Co. Ltd.
(Financial Services)................. 538,100 1,993,742
</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, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- --------------------------------------- ------------ ------------
<S> <C> <C>
THAILAND (CONTINUED)
Saha-Union Public Co. Ltd.
(Textiles)........................... 665,400 $ 776,147
Sahavirya Steel Industries Public Co.
Ltd. (Metals & Mining)+.............. 3,270,600 1,243,865
Siam Cement Public Co. Ltd. (Building
Materials)........................... 165,500 5,658,334
TelecomAsia Corporation Public Co. Ltd.
(Telecommunications)+................ 1,301,300 2,500,044
Thai Farmers Bank Public Co. Ltd.
(Banking)............................ 330,100 2,523,796
Thai Plastic and Chemical Public Co.
Ltd. (Chemicals)..................... 289,400 902,069
The Oriental Hotel (Thailand) Public
Co. Ltd. (Entertainment, Leisure &
Media)............................... 264,200 1,450,223
------------
38,357,311
------------
TURKEY (1.8%)
Eregli Demir Ve Celik Fabrikalari A.S.
(Metals & Mining).................... 28,784,000 3,363,315
Guney Biracilik Ve Malt Sanayii A.S.
(Food, Beverages & Tobacco).......... 8,974,140 820,237
Koc Holding A.S. (Multi - Industry).... 16,649,000 3,285,531
Mardin Cimento Sanayii Ve Ticaret A.S.
(Building Materials)................. 1,187,000 40,068
Migros Turk A.S. (Food, Beverages &
Tobacco)............................. 3,854,200 3,883,022
Turkiye Garanti Bankasi A.S. (ADR)
(Banking)............................ 338,563 1,642,031
Turkiye Garanti Bankasi A.S. (ADR)
(144A) (Banking)..................... 48,512,500 2,418,571
------------
15,452,775
------------
VENEZUELA (1.2%)
Ceramicas Carabobo CA (Spon. ADR)
(Class A) (Building Materials)....... 1,408,000 1,492,480
Ceramicas Carabobo CA (Spon. ADR)
(Class B) (Building Materials)....... 351,998 373,118
SECURITY DESCRIPTION SHARES VALUE
- --------------------------------------- ------------ ------------
VENEZUELA (CONTINUED)
Mavesa CA (Spon. ADR) (144A) (Food,
Beverages & Tobacco)................. 596,343 $ 3,662,858
Mavesa SA (Spon. ADR) (144A) (Food,
Beverages & Tobacco)................. 282,388 1,734,484
Venezolana de Prerreducidos Caroni CA
(GDS) (Metals & Mining).............. 263,000 1,341,300
Venezolana De Pulpa Y Papel CA (GDS)
(144A) (Metals & Mining)............. 739,047 1,939,998
------------
10,544,238
------------
ZIMBABWE (0.3%)
Trans Zambezi Industries Ltd. (Multi -
Industry)............................ 1,312,000 2,492,800
------------
TOTAL COMMON STOCK (COST
$701,911,377)....................... 677,555,426
------------
CONVERTIBLE PREFERRED STOCKS (0.3%)
PHILIPPINES (0.3%)
Philippine Long Distance Telephone Co.
(GDS represents 1 Series 2 Cnv Pfd)
(Telecommunications)................. 90,000 2,970,000
------------
(COST $3,202,982)....................
PREFERRED STOCK (7.7%)
ARGENTINA (0.1%)
Quilmes Industrial (Quinsa)(Sponsored
ADR non-voting) (Food, Beverages &
Tobacco)............................. 93,850 961,962
------------
BRAZIL (7.6%)
Banco Do Estado De Sao Paulo SA
(Banking)+........................... 14,100,000 32,938
Ceval Alimentos SA (ADR) (Food,
Beverages & Tobacco)................. 190,000 1,830,821
Companhia Acos Especiais Itabira (ADR)
(Metals & Mining).................... 420,000 1,520,400
</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, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- --------------------------------------- ------------ ------------
<S> <C> <C>
BRAZIL (CONTINUED)
Companhia Energetica De Minas Gerais SA
(ADR) (Telecommunications)........... 287,547 $ 9,121,336
Companhia Hering (Textiles)............ 71,300,000 485,795
Companhia Vale Do Rio Doce SA (Spon.
ADR) (Metals & Mining)............... 387,200 8,140,493
Copene Petroquimica Do Nordeote SA
(Sponsored ADR) (Class A)
(Chemicals).......................... 166,200 3,178,658
Hering Textile Companhia SA
(Textiles)+.......................... 14,260,000 18,738
Iochpe Maxion SA (Automotive)+......... 22,260,000 2,144,991
Perdigao Commercio Industrio SA (Food,
Beverages & Tobacco)................. 900,000,000 1,681,933
Petroleo Brasileiro SA (Chemicals)..... 65,533,333 8,483,577
Telecomunicacoes Brasileiras SA (ADR)
(Telecommunications)................. 323,663 24,112,893
Telecomunicacoes de Minas Gerais SA
(Telecommunications)+................ 625,000 74,826
Telecomunicacoes de Rio de Janeiro SA
(Telecommunications)+................ 37,130,000 3,577,876
Varig SA (Transportation)+............. 130,000 199,924
------------
64,605,199
------------
GREECE (0.0%)(1)
Delta Dairy SA (Food, Beverages &
Tobacco)............................. 1,417 11,863
Michaniki SA (Building Materials)...... 11,520 92,082
------------
103,945
------------
TOTAL PREFERRED STOCK (COST
$52,294,837)........................ 65,671,106
------------
SECURITY DESCRIPTION SHARES VALUE
- --------------------------------------- ------------ ------------
RIGHTS AND WARRANTS (0.0%)(1)
MALAYSIA (0.0%)(1)
London & Pacific Insurance Co. Berhad
(Expire 11/18/96) (Insurance)........ 36,000 $ 212,297
UMW Holdings Berhad (Expire 1/26/00)
(Capital Goods)+..................... 200 487
------------
212,784
------------
THAILAND (0.0%)(1)
Thai Farmers Bank Public Co Ltd.
(Expire 9/30/99) (Banking)+.......... 41,263 62,691
------------
TOTAL WARRANTS (COST $87,990)........ 275,475
------------
PRINCIPAL
AMOUNT
------------
CONVERTIBLE BONDS (3.6%)
MALAYSIA (0.9%)
Telekom Malaysia Berhad, 4.00% due
10/03/04 (Telecommunications)........ $ 7,545,000 7,889,278
------------
INDONESIA (0.1%)
P.T. Inti Indorayon Utama, 7.00% due
05/02/06 (Forest Products & Paper)... 900,000 702,000
------------
MEXICO (0.1%)
Nacional Financiera, 11.25% due
05/15/98 (Financial Services)........ 25,000 803,125
------------
SOUTH KOREA (0.7%)
Daewoo Heavy Industries Ltd., 3.00% due
12/31/01 (Capital Goods)............. 200,000 200,000
Ssangyong Cement Ltd., 3.00% due
12/31/05 (Building Materials)........ 2,800,000 3,472,000
Ssangyong Oil Refining Co. Ltd., 3.75%
due 12/31/08 (Oil-Production)........ 2,000,000 2,125,000
------------
5,797,000
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
27
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
OCTOBER 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- --------------------------------------- ------------ ------------
<S> <C> <C>
TAIWAN (1.4%)
Far Eastern Department Stores Ltd.,
3.00% due 07/06/01 (Retail).......... $ 3,383,000 $ 3,636,725
Pacific Electric Wire & Cable Co. Ltd.,
3.75% due 10/31/01 (Electrical
Equipment)........................... 300,000 404,250
Yang Ming Marine Transport Corp., 2.00%
due 10/06/01 (Transport &
Services)............................ 5,710,000 6,587,913
Yieh Loong Co. Ltd., 2.00% due 12/31/00
(Metals & Mining).................... 2,500,000 1,534,297
------------
12,163,185
------------
THAILAND (0.4%)
Siam Commercial Bank Public Co. Ltd.,
3.25% due 01/24/04 (Banking)......... 3,870,000 3,628,125
------------
TOTAL CONVERTIBLE BONDS (COST
$34,551,561)........................ 30,982,713
------------
<CAPTION>
UNITS
------------
<S> <C> <C>
UNIT TRUSTS (2.3%)
CHILE (0.1%)
Chile Fund Inc.+....................... 33,000 717,750
------------
GHANA (0.1%)
Blakeney Investors+*................... 100,000 1,003,000
------------
RUSSIA (1.9%)
New Century Holdings Ltd. (Partnership
III; Group B)+*...................... 1,800 6,186,600
New Century Holdings Ltd. (Partnership
IV; Group I)+*....................... 2,000 3,516,000
New Century Holdings Ltd. (Partnership
V; Group II)+*....................... 3,800 6,604,400
------------
16,307,000
------------
<CAPTION>
SECURITY DESCRIPTION UNITS VALUE
- --------------------------------------- ------------ ------------
<S> <C> <C>
TAIWAN (0.2%)
R.O.C. Taiwan Fund+.................... 140,000 $ 1,365,000
------------
TOTAL UNIT TRUSTS (COST
$10,649,500)........................ 19,392,750
------------
<CAPTION>
PRINCIPAL
AMOUNT
------------
<S> <C> <C>
SHORT-TERM INVESTMENTS (7.1%)
REPURCHASE AGREEMENT (7.1%)
State Street Bank and Trust, 4.75%
dated 10/31/95 due 11/01/96, proceeds
$60,437,973 (collateralized by
$48,980,000 U.S. Treasury Bond, 8.75%
due 5/1/17, valued at $61,639,371)
(cost $60,430,000)................... 60,430,000 60,430,000
------------
TOTAL INVESTMENTS (COST $863,128,247) (100.0%).......
857,277,470
OTHER ASSETS IN EXCESS OF LIABILITIES (0.0%).........
2,081,298
------------
NET ASSETS (100.0%).................................. $859,358,768
------------
------------
</TABLE>
- ------------------------------
Note: Based on the cost of investments of $864,745,112 for Federal Income Tax
purposes at October 31, 1996 the aggregate gross unrealized appreciation and
depreciation was $115,341,129 and $122,808,771 respectively, resulting in net
unrealized depreciation of $7,467,642.
+ - Non-income producing securities.
* - Restricted securities. See Note 4.
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.
RDC - Russian Depositary Certificate.
144A - Securities restricted for resale to Qualified Institutional Buyers.
The Accompanying Notes are an Integral Part of the Financial Statements.
28
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
OCTOBER 31, 1996
- --------------------------------------------------------------------------------
INDUSTRY DIVERSIFICATION
<TABLE>
<CAPTION>
PERCENT OF
PORTFOLIO
-----------
<S> <C>
Banking............................................................................................... 15.80%
Telecommunications.................................................................................... 14.55%
Food, Beverages & Tobacco............................................................................. 12.69%
Metals & Mining....................................................................................... 10.13%
Building Materials.................................................................................... 5.98%
Multi-Industry........................................................................................ 5.41%
Chemicals............................................................................................. 4.61%
Oil-Production........................................................................................ 4.38%
Entertainment, Leisure & Media........................................................................ 3.41%
Transport & Services.................................................................................. 2.57%
Automotive............................................................................................ 2.32%
Unit Trusts........................................................................................... 2.26%
Electric.............................................................................................. 2.19%
Oil-Services.......................................................................................... 1.97%
Retail................................................................................................ 1.86%
Forest Products & Paper............................................................................... 1.20%
Financial Services.................................................................................... 1.04%
Pharmaceuticals....................................................................................... 0.99%
Capital Goods......................................................................................... 0.87%
Semiconductors........................................................................................ 0.83%
Utilities............................................................................................. 0.80%
Real Estate........................................................................................... 0.77%
Electronics........................................................................................... 0.71%
Insurance............................................................................................. 0.51%
Natural Gas........................................................................................... 0.40%
Textiles.............................................................................................. 0.38%
Household Appliances Furnishings...................................................................... 0.35%
Health Services....................................................................................... 0.28%
Construction & Housing................................................................................ 0.24%
Agriculture........................................................................................... 0.15%
Electrical Equipment.................................................................................. 0.14%
Wholesale & International Trade....................................................................... 0.12%
Health & Personal Care................................................................................ 0.06%
Transportation........................................................................................ 0.02%
Packaging & Containers................................................................................ 0.01%
-----------
100.00%
-----------
-----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
29
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
OCTOBER 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments at Value (Cost
$802,698,247) $796,847,470
Repurchase Agreement (Cost $60,430,000) 60,430,000
Foreign Currency at Value (Cost
$13,001,163) 13,232,543
Receivable for Investments Sold 1,944,107
Dividends Receivable 1,070,968
Interest Receivable 372,778
Deferred Organization Expenses 3,356
Prepaid Trustees' Fees and Expenses 2,354
Prepaid Expenses and Other Assets 5,294
-----------
Total Assets 873,908,870
-----------
LIABILITIES
Payable for Investments Purchased 13,367,199
Advisory Fee Payable 733,156
Custody Fee Payable 296,052
Payable to Custodian 39,609
Administrative Services Fee Payable 23,372
Administration Fee Payable 2,227
Fund Services Fee Payable 357
Accrued Expenses 88,130
-----------
Total Liabilities 14,550,102
-----------
NET ASSETS
Applicable to Investors' Beneficial
Interests $859,358,768
-----------
-----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
30
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE FISCAL YEAR ENDED OCTOBER 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Dividend Income (Net of Foreign
Withholding Tax of $1,920,325) $15,533,339
Interest Income 2,951,479
----------
Investment Income 18,484,818
EXPENSES
Advisory Fee $7,825,873
Custodian Fees and Expenses 1,348,716
Administrative Services Fee 183,498
Professional Fees and Expenses 97,584
Administration Fee 71,970
Fund Services Fee 36,851
Trustees' Fees and Expenses 14,424
Amortization of Organization Expense 911
Miscellaneous 10,103
----------
Total Expenses 9,589,930
----------
NET INVESTMENT INCOME 8,894,888
NET REALIZED LOSS ON
Investment Transactions (7,070,634)
Foreign Currency Transactions (146,081)
----------
Net Realized Loss (7,216,715)
NET CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION) OF
Investments 41,838,536
Foreign Currency Contracts and
Translations 275,233
----------
Net Change in Unrealized
Appreciation (Depreciation) 42,113,769
----------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS $43,791,942
----------
----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
31
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE FISCAL YEAR ENDED
OCTOBER 31,
--------------------------
1996 1995
------------ ------------
<S> <C> <C>
INCREASE IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 8,894,888 $ 6,090,029
Net Realized Loss on Investment and
Foreign Currency Transactions (7,216,715) (28,967,303)
Net Change in Unrealized Appreciation
(Depreciation) of Investment and
Foreign Currency Contracts and
Translations 42,113,769 (102,424,260)
------------ ------------
Net Increase (Decrease) in Net
Assets Resulting from Operations 43,791,942 (125,301,534)
------------ ------------
TRANSACTIONS IN INVESTORS' BENEFICIAL
INTERESTS
Contributions 449,754,895 350,949,115
Withdrawals (253,675,258) (153,817,752)
------------ ------------
Net Increase from Investors'
Transactions 196,079,637 197,131,363
------------ ------------
Total Increase in Net Assets 239,871,579 71,829,829
NET ASSETS
Beginning of Fiscal Year 619,487,189 547,657,360
------------ ------------
End of Fiscal Year $859,358,768 $619,487,189
------------ ------------
------------ ------------
<CAPTION>
- -------------------------------------------------------------------
SUPPLEMENTARY DATA
- -------------------------------------------------------------------
FOR THE FOR THE PERIOD
FISCAL NOVEMBER 15,
YEAR 1993
ENDED (COMMENCEMENT
OCTOBER OF
31, OPERATIONS) TO
-------- OCTOBER 31,
1996 1995 1994
--- --- ---------------
RATIOS TO AVERAGE NET ASSETS
Expenses 1.23% 1.31% 1.36%(a)
Net Investment Income 1.14% 1.07% 0.66%(a)
Portfolio Turnover 31% 41% 27%
Average Broker Commissions .0006 -- --
</TABLE>
- ------------------------
(a)Annualized.
The Accompanying Notes are an Integral Part of the Financial Statements.
32
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
OCTOBER 31, 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 the 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
33
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
OCTOBER 31, 1996
- --------------------------------------------------------------------------------
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.
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.
e)The Portfolio intends to be treated as a partnership for federal income
tax purposes. As such, each investor in the Portfolio will be taxed on its
share of the Portfolio's ordinary income and capital gains. It is intended
that the Portfolio's assets will be managed in such a way that an investor
in the Portfolio will be able to satisfy the requirements of Subchapter M
of the Internal Revenue Code.
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
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.
34
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
OCTOBER 31, 1996
- --------------------------------------------------------------------------------
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 fiscal year ended
October 31, 1996, such fees amounted to $7,825,873.
b)The Portfolio had retained Signature Broker-Dealer Services, Inc.
("Signature") to serve as administrator and exclusive placement agent.
Under an Administration Agreement, Signature provided administrative
services necessary for the operations of the Portfolio, furnished office
space and facilities required for conducting the business of the Portfolio
and paid the compensation of the Portfolio's officers affiliated with
Signature. Until December 28, 1995, 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 was 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 was 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 (the "Master Portfolios") in which The
JPM Pierpont Funds, The JPM Institutional Funds or the JPM Advisor Funds
invest and 0.01% on the aggregate average daily net assets of the Master
Portfolios in excess of $7 billion. The portion of this charge paid by the
Portfolio was determined by the proportionate share its net assets bore to
the total net assets of The JPM Pierpont Funds, The JPM Institutional
Funds, The JPM Advisor Funds and the Master Portfolios. For the period
December 29, 1995 through July 31, 1996, such fees amounted to $60,199.
The Administration Agreement with Signature was terminated July 31,1996.
Effective August 1, 1996, certain administrative functions formerly
provided by Signature are provided by Funds Distributor, Inc. ("FDI"), a
registered broker dealer, and by Morgan. FDI also serves as the
Portfolio's exclusive placement agent. Under a Co-Administration Agreement
between FDI and the Portfolio, the Portfolio has agreed to pay FDI fees
equal to its allocable share of an annual complex-wide charge of $425,000
plus FDI's out-of-pocket expenses. The amount allocable to the Portfolio
is based on the ratio of the Portfolio's net assets to the aggregate net
assets of the JPM Pierpont Funds, The JPM Institutional Funds, The JPM
Advisor Funds and the Master Portfolios. For the period August 1, 1996
through October 31, 1996, the fee for these services amounted to $5,719.
c)Until August 31, 1995, the Portfolio had a Financial and Fund Accounting
Services Agreement with Morgan which provided that 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
35
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
OCTOBER 31, 1996
- --------------------------------------------------------------------------------
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.
Effective December 29, 1995, the Portfolio entered into an Administrative
Services Agreement (the "Services Agreement") with Morgan under which
Morgan was responsible for overseeing certain aspects of the
administration and operation of the Portfolio. Under the Services
Agreement, the Portfolio had agreed to pay Morgan a fee equal to its
proportionate share of an annual complex-wide charge. Until July 31, 1996
this charge was 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 paid by the Portfolio was
determined by the proportionate share that the Portfolio's net assets bore
to the net assets of the Master Portfolios and investors in the Master
Portfolios for which Morgan provides similar services. For the period
December 29, 1995 through July 31, 1996, such fees amounted to $114,989.
Effective August 1, 1996, the Services Agreement was amended such that the
annual complex-wide charge is calculated daily based on the aggregate net
assets of the Master Portfolios in accordance with the following annual
schedule: 0.09% on the first $7 billion of the Master Portfolios'
aggregate average daily net assets and 0.04% of the Master Portfolios'
aggregate average daily net assets in excess of $7 billion less the
complex-wide fees payable to FDI. The allocation of the Fund's portion of
this charge is described above. For the period from August 1, 1996 through
October 31, 1996, the fee for these services amounted to $68,509.
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 $36,851 for the fiscal year ended October 31, 1996.
e)An aggregate annual fee of $65,000 is paid to each Trustee for serving as
a Trustee of The JPM 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 $4,700.
36
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
OCTOBER 31, 1996
- --------------------------------------------------------------------------------
3. INVESTMENT TRANSACTIONS:
Investment transactions (excluding short-term investments) for the fiscal year
ended October 31, 1996 were as follows:
<TABLE>
<CAPTION>
COST OF PROCEEDS
PURCHASES FROM SALES
----------- -----------
<S> <C> <C>
406,600,163 228,363,813
----------- -----------
</TABLE>
4. RESTRICTED SECURITIES:
<TABLE>
<CAPTION>
DATE U.S. $
SHARES ACQUIRED COST
------- ------------ ----------
<S> <C> <C> <C>
New Century Holdings Ltd. Partnership
III................................... 1,800 4/11/94 $1,800,000
New Century Holdings Ltd. Partnership
IV.................................... 2,000 6/16/94 $2,000,000
New Century Holdings Ltd. Partnership
V..................................... 3,800 11/9/94 $3,800,000
Blakeney Investors..................... 100,000 11/1/96 $1,000,000
</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, 1996 is $17,310,000 representing 2.0% of net
assets.
37
<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, 1996, the results of its operations for the year
then ended, the changes in its net assets for each of the two years in the
period then ended and the supplementary data for each of the two years in the
period 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, 1996 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 26, 1996
38
