<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED)
APRIL 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ -------------
<S> <C> <C>
COMMON STOCK (83.4%)
ARGENTINA (5.1%)
Banco de Galicia y Buenos Aires SA (ADR)
(Banking)...................................... 56,505 $ 1,382,607
Banco Frances del Rio de la Plata SA (ADR)
(Banking)...................................... 1,907 55,422
Capex SA (Utilities)............................. 74,310 406,524
Corcemar SA, Class B (Building Materials)........ 226,692 1,360,315
Molinos Rio de la Plata SA (Food, Beverages &
Tobacco)....................................... 366,747 843,619
Nobleza Piccardo SA, Class B (Food, Beverages &
Tobacco)....................................... 198,900 1,004,566
Perez Companc SA (Spon. ADR) (Oil-Services)...... 119,012 1,398,391
Quilmes Industrial SA (Registered) (Spon. ADR)
(Food, Beverages & Tobacco).................... 38,750 337,125
Telefonica de Argentina SA (Spon. ADR)
(Telecommunications)........................... 71,300 2,749,506
YPF Sociedad Anonima (Spon. ADR)
(Oil-Production)............................... 193,800 6,758,775
-------------
16,296,850
-------------
BRAZIL (5.9%)
Bompreco Supermercados do Norde SA (GDR) (144A)
(Food, Beverages & Tobacco).................... 47,799 860,382
Ceval Alimentos SA (Food, Beverages & Tobacco)... 241,693,731 1,003,519
Companhia de Saneamento Basico do Estado de Sao
Paulo (Utilities).............................. 19,888,000 4,519,925
Makro Atacadista SA (Spon. GDS) (144A)
(Retail)+...................................... 148,500 1,622,556
Perdigao SA (Food, Beverages & Tobacco).......... 18,314,000 28,815
Santista Alimentos SA (Food, Beverages &
Tobacco)....................................... 689,653 578,720
Souza Cruz SA (Food, Beverages & Tobacco)........ 263,600 2,154,387
Telecomunicacoes Brasileiras SA
(Telecommunication Services)................... 80,702,000 8,006,578
-------------
18,774,882
-------------
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ -------------
<S> <C> <C>
CHILE (4.5%)
Administradora de Fondos de Pensiones Provida SA
(ADR) (Banking)................................ 106,000 $ 1,894,750
Banco Santander Chile SA (ADS) (Banking)......... 126,600 1,772,400
Compania Cervecerias Unidas SA (ADR) (Food,
Beverages & Tobacco)........................... 84,500 2,318,469
Compania de Telecomunicaciones de Chile SA (Spon.
ADR) (Telecommunication Services).............. 86,125 2,158,508
Embotelladora Andina SA (ADR) (Food, Beverages &
Tobacco)....................................... 97,400 2,197,587
Enersis SA (ADR) (Utilities)..................... 45,300 1,333,519
Madeco SA (Spon. ADR) (Construction & Housing)... 53,200 851,200
Sociedad Quimica y Minera de Chile SA (ADR)
(Chemicals).................................... 44,046 1,913,248
-------------
14,439,681
-------------
CHINA (0.5%)
Beijing North Star Co. Ltd., Series H (Real
Estate)........................................ 2,356,000 699,556
Luoyang Glass Co. Ltd., Series H (Building
Materials)+.................................... 1,206,000 79,403
Shanghai Erfangji Co. Ltd., Series B (Capital
Goods)+........................................ 80,452 7,241
Shanghai Tyre and Rubber Co. Ltd., Series B
(Metals & Mining).............................. 1,332,790 285,217
Tsingtao Brewery Co. Ltd., Series B (Food,
Beverages & Tobacco)+.......................... 2,772,000 540,368
-------------
1,611,785
-------------
COLOMBIA (0.4%)
Banco de Colombia SA (GDR)(144A) (Banking)....... 103,400 464,266
Cementos Diamante SA (ADR) (Building
Materials)..................................... 103,900 921,593
Corporacion Financiera Del Valle SA (ADR) (144A)
(Banking)...................................... 9,407 25,870
-------------
1,411,729
-------------
</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, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ -------------
<S> <C> <C>
CROATIA (0.5%)
Pliva D.D. (GDR) (144A) (Pharmaceuticals)........ 88,260 $ 1,597,506
-------------
CZECH REPUBLIC (1.6%)
Central European Media Enterprises Ltd. (Class A)
(Entertainment, Leisure & Media)+.............. 50,800 1,420,812
Cokoladovny AS (Food, Beverages & Tobacco)....... 14,900 2,380,014
Elektrarny Opatovice AS (Telecommunications)..... 12,600 1,320,282
-------------
5,121,108
-------------
ECUADOR (0.2%)
La Cemento Nacional CA (GDS) (144A) (Building
Materials)..................................... 4,240 712,320
-------------
EGYPT (0.5%)
Commercial International Bank of Egypt (GDR)
(144A) (Banking)+.............................. 70,350 1,188,915
Paints & Chemicals Industry Co. (GDR)
(Chemicals).................................... 34,600 398,765
-------------
1,587,680
-------------
GABON (0.3%)
Elf Gabon SA (Oil-Production).................... 5,200 890,032
-------------
GHANA (1.0%)
Guinness Ghana Ltd. (Food, Beverages &
Tobacco)+...................................... 761,545 432,826
Pioneer Tobacco Co. (Food, Beverages &
Tobacco)+...................................... 1,175,500 424,647
Social Security Bank Ltd. (Banking)+............. 1,464,303 2,269,744
Unilever Ghana Ltd. (Food, Beverages &
Tobacco)+...................................... 185,700 199,892
-------------
3,327,109
-------------
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ -------------
<S> <C> <C>
GREECE (3.1%)
Hellenic Bottling Co. SA (Food, Beverages &
Tobacco)....................................... 104,224 $ 3,878,009
Hellenic Telecommunication Organization SA (OTE)
(Telecommunications)........................... 37,900 1,084,768
National Mortgage Bank of Greece (Banking)....... 41,523 3,156,035
Papastratos Cigarettes SA (Food, Beverages &
Tobacco)....................................... 3,830 73,081
Silver & Baryte Ores Mining (Metals & Mining).... 36,520 1,528,417
-------------
9,720,310
-------------
HONG KONG (0.8%)
Concord Land Development Co. Ltd. (Real
Estate)........................................ 84,400 29,691
Yue Yuen Industrial Holdings Ltd. (Retail)....... 1,227,000 2,368,129
-------------
2,397,820
-------------
HUNGARY (1.8%)
EGIS RT (Pharmaceuticals)........................ 17,200 896,874
Matav RT (Telecommunications).................... 213,468 1,246,676
MOL Magyar Olaj-es Gazipari RT
(Oil-Production)............................... 51,400 1,561,821
OTP Bank RT (Banking)............................ 39,600 1,877,177
-------------
5,582,548
-------------
INDIA (7.2%)
Bajaj Auto Ltd. (GDR) (Automotive)............... 32,200 611,800
EIH Ltd. (GDR) (Restaurants & Hotels)............ 125,350 1,504,200
ITC Ltd. (Food, Beverages & Tobacco)............. 267,800 5,315,203
Larsen & Toubro Ltd. (GDR) (Diversified
Manufacturing)................................. 185,300 2,404,267
Raymond Ltd. (GDR) (Textiles).................... 74,650 475,894
Reliance Industries Ltd. (GDR) (Chemicals)....... 489,900 4,470,337
SIEL Ltd. (GDR) (Multi - Industry)+.............. 116,400 174,600
SIEL Ltd. (GDR) (144A) (Multi - Industry)+....... 127,800 191,700
</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, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ -------------
<S> <C> <C>
INDIA (CONTINUED)
Steel Authority of India Ltd. (GDR) (Metals &
Mining)........................................ 204,400 $ 894,250
Tata Engineering & Locomotive Company Limited
(Spon. GDR) (Automotive)....................... 721,900 5,161,585
Videocon International Ltd. (GDS) (144A)
(Entertainment, Leisure & Media)............... 489,200 1,051,780
Wockhardt Ltd. (GDR) (Pharmaceuticals)........... 117,300 630,487
-------------
22,886,103
-------------
INDONESIA (0.8%)
P.T. Fastfood Indonesia (Food, Beverages &
Tobacco)....................................... 81,500 8,327
P.T. Goodyear Indonesia (Capital Goods).......... 13,000 2,616
P.T. Indorama Synthetic (Textiles)............... 267,500 68,738
P.T. International Nickel Indonesia (Metals &
Mining)........................................ 1,467,200 1,453,570
P.T. Modern Photo Film Co. (Wholesale &
International Trade)........................... 311,500 54,970
P.T. Multi Bintang Indonesia (Food, Beverages &
Tobacco)....................................... 82,500 408,668
P.T. Pakuwon Jati (Real Estate).................. 4,480,000 208,049
P.T. Surya Toto Indonesia (Capital Goods)........ 371,500 111,565
P.T. Unilever Indonesia (Food, Beverages &
Tobacco)....................................... 19,605 106,826
-------------
2,423,329
-------------
ISRAEL (3.1%)
Bank Hapoalim Ltd. (Banking)..................... 371,600 996,247
Bank Leumi Le-Israel (Banking)................... 1,124,500 2,052,335
Israel Chemicals Ltd. (Chemicals)................ 1,853,700 2,232,114
Koor Industries Ltd. (Spon. ADR) (Multi -
Industry)...................................... 118,800 3,014,550
Teva Pharmaceutical Industries Ltd. (ADR)
(Pharmaceuticals).............................. 37,500 1,598,437
-------------
9,893,683
-------------
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ -------------
<S> <C> <C>
MALAYSIA (2.8%)
Antah Holdings Berhad (Multi - Industry)......... 200 $ 41
Box Pak Berhad (Packaging & Containers).......... 896 420
Golden Hope Plantations Berhad (Metals &
Mining)........................................ 1,240,166 1,531,965
Lion Corp. Berhad (Multi - Industry)............. 473,600 124,098
London & Pacific Insurance Co. Berhad
(Insurance).................................... 15,000 21,357
Malaysian Airline System Berhad (Airlines)....... 297,000 235,852
Malaysian Assurance Alliance Berhad
(Insurance).................................... 566,000 983,687
Malaysian Tobacco Co. Berhad (Food, Beverages &
Tobacco)....................................... 133,000 72,901
Matsushita Electric Co. Berhad (Electronics)..... 400 1,476
Nestle Berhad (Food, Beverages & Tobacco)........ 285,000 1,531,680
Nylex Berhad (Chemicals)......................... 267,000 132,072
Perlis Plantations Berhad (Transport &
Services)...................................... 462,000 648,527
Shell Refining Co. Berhad (Oil-Production)....... 411,500 819,697
Telekom Malaysia Berhad (Telecommunications)..... 986,000 2,952,718
UMW Holdings Berhad (Holding Companies).......... 200 180
-------------
9,056,671
-------------
MEXICO (10.0%)
Cemex SA de CV (Building Materials).............. 521,675 3,133,909
Desc SA de CV, Class B (Multi - Industry)........ 35,700 248,106
Empaques Ponderosa SA de CV, Series B (Forest
Products & Paper)+............................. 1,995,000 1,574,468
Empresas ICA Sociedad Controladora SA de CV
(Spon. ADR) (Construction & Housing)........... 95,112 1,182,955
</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, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ -------------
<S> <C> <C>
MEXICO (CONTINUED)
Empresas La Moderna SA de CV (ADR) (Food,
Beverages & Tobacco)+.......................... 62,700 $ 1,257,919
Fomento Economico Mexicano SA de CV, Class B
(Food, Beverages & Tobacco).................... 257,000 1,901,118
Gruma SA de CV (Food, Beverages & Tobacco)+...... 297,168 681,879
Grupo Carso SA de CV, Class A (Multi -
Industry)...................................... 246,600 1,551,138
Grupo Casa Autrey SA de CV (Spon. ADR) (Food,
Beverages & Tobacco)........................... 45,300 600,225
Grupo Financiero Banamex Accival SA de CV, Class
B (Banking)+................................... 1,477,000 4,610,442
Grupo Financiero Banamex Accival SA de CV, Class
L (Banking)+................................... 6,960 17,790
Grupo Financiero Probursa SA de CV, Class B
(Financial Services)+.......................... 231 47
Grupo Gigante SA DW CV, Class B (Food, Beverages
& Tobacco)..................................... 2,990,000 1,313,700
Grupo Iusacell SA (ADR) (Telecommunications)+.... 97,500 1,889,062
Grupo Radio Centro SA de CV (Spon. ADR)
(Broadcasting & Publishing).................... 20,200 282,800
Pan-American Beverages Inc. (ADR) (Food,
Beverages & Tobacco)........................... 71,300 2,843,088
Sigma Alimentos SA de CV, Series B (Food,
Beverages & Tobacco)........................... 142,000 2,308,254
Telefonos de Mexico SA de CV, Class L (Spon. ADR)
(Telecommunications)........................... 114,020 6,456,383
-------------
31,853,283
-------------
MOROCCO (0.0%)*
Banque Commerciale Du Maroc (Banking)............ 85 7,044
-------------
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ -------------
<S> <C> <C>
PAKISTAN (1.6%)
Fauji Fertilizer Co. Ltd. (Chemicals)+........... 842,100 $ 1,660,504
Hub Power Co. (GDR) (Utilities).................. 86,900 2,237,675
Pakistan State Oil Co. Ltd. (Oil-Production)+.... 206,201 1,040,596
-------------
4,938,775
-------------
PERU (2.2%)
Cementos Norte Pacasmayo SA, Class T (Building
Materials)..................................... 576,728 909,109
Compania de Minas Buenaventura SA (Spon. ADR)
(Metals & Mining).............................. 56,800 880,400
Creditcorp Ltd. (Financial Services)............. 65,559 1,098,112
Luz del Sur SA (Spon. ADR) (Electric)............ 10,885 173,888
Telefonica del Peru SA (ADR) (Telecommunication
Services)...................................... 131,100 2,900,588
Telefonica del Peru SA, Class B
(Telecommunication Services)................... 441,700 973,202
-------------
6,935,299
-------------
PHILIPPINES (3.0%)
Ayala Land Inc., Class B (Real Estate)........... 12,298,590 4,824,471
First Philippine Holdings Corp., Class B (Multi -
Industry)...................................... 774,840 569,309
Philippine Commercial International Bank
(Banking)...................................... 38,750 173,723
Philippine Long Distance Telephone Co. (ADR)
(Telecommunications)........................... 132,842 3,586,734
Philippine National Bank (Banking)+.............. 183,423 367,759
Uniwide Holdings Inc. (Wholesale & International
Trade)+........................................ 5,200,100 186,504
-------------
9,708,500
-------------
POLAND (1.7%)
Bank Slaski SA (Banking)......................... 7,200 625,345
Elektrim Spolka Akcyjna SA (Electrical
Equipment)..................................... 216,486 3,218,819
</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, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ -------------
<S> <C> <C>
POLAND (CONTINUED)
Wielkopolski Bank Kredytowy SA (Banking)......... 48,518 $ 382,825
Zyweic SA (Food, Beverages & Tobacco)............ 12,662 1,248,859
-------------
5,475,848
-------------
RUSSIA (2.2%)
Lukoil Holding (Spon. ADR) (Oil-Production)...... 31,100 2,060,375
Unified Energy Systems (Spon. ADR) (Electric).... 149,593 4,786,976
Vimpel-Communications (Spon. ADR)
(Telecommunication Services)+.................. 1,900 102,600
-------------
6,949,951
-------------
SLOVAKIA (0.5%)
Slovakofarma AS (Pharmaceuticals)................ 12,700 1,523,778
-------------
SOUTH AFRICA (9.8%)
ABSA Group Ltd. (Banking)........................ 553,800 4,791,587
Anglo-American Corp. of South Africa Ltd. (Multi
- Industry).................................... 31,500 1,862,645
Billiton PLC (Metals & Mining)................... 1,041,200 2,944,547
Distillers Corporation Ltd. (Food, Beverages &
Tobacco)....................................... 237,400 446,018
Edgars Stores Ltd. (Retail)...................... 100,300 1,755,467
Engen Ltd. (Oil-Production)...................... 456,628 1,941,553
Highveld Steel & Vanadium Corp. Ltd. (Metals &
Mining)........................................ 384,203 1,215,707
Investec Group Ltd. (Financial Services)......... 17,900 863,756
Kersaf Investments Ltd. (Entertainment, Leisure &
Media)......................................... 53,959 368,156
Murray & Roberts Holdings Ltd. (Construction &
Housing)....................................... 718,200 1,335,124
Omni Media Corp. Ltd. (Entertainment, Leisure &
Media)......................................... 86,465 1,709,971
Plate Glass & Shatterprufe Industries Ltd.
(Automotive Supplies).......................... 61,565 1,040,994
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ -------------
<S> <C> <C>
SOUTH AFRICA (CONTINUED)
Sappi Ltd. (Forest Products & Paper)+............ 231,600 $ 1,346,586
Sasol Ltd. (Oil-Production)...................... 288,100 2,905,774
South Africa Breweries Ltd. (Food, Beverages &
Tobacco)....................................... 146,800 4,923,798
Sun International Ltd. (Entertainment, Leisure &
Media)......................................... 907,600 538,473
Trans-Natal Coal Corp. Ltd. (Metals & Mining).... 294,400 1,094,571
-------------
31,084,727
-------------
SOUTH KOREA (2.1%)
Hansol Paper Co. Ltd. (GDS) (Forest Products &
Paper)......................................... 131,362 459,767
Hanwha Chemical Corp. (Chemicals)+............... 813,396 1,594,536
Kia Motors Corp. (GDR) (144A) (Automotive)+...... 474 948
Korea Electric Power Corp. (Electric)............ 74,850 1,019,281
Korea Long Term Credit Bank (Banking)+........... 73,825 255,750
Korea Zinc Co. Ltd. (Metals & Mining)............ 43,080 390,025
Pohang Iron & Steel Co. Ltd. (Metals & Mining)... 32,560 1,751,028
Pohang Iron & Steel Co. Ltd. (ADR) (Metals &
Mining)........................................ 51,600 919,125
Samsung Corp. (GDR) (144A) (Electronics)+........ 292 201
Samsung Electronics Co. Ltd. (GDR)(144A)
(Electronics)+................................. 6,340 178,471
-------------
6,569,132
-------------
TAIWAN (3.3%)
Asia Cement Corp. (Building Materials)........... 676,000 709,323
Asia Cement Corp. (GDS) (Building Materials)..... 93,929 997,996
China Steel Corp. (GDR) (Metals & Mining)........ 125,116 1,579,590
Evergreen Marine Corp. (Spon. GDR) (Transport &
Services)...................................... 198,550 2,010,319
</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, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ -------------
<S> <C> <C>
TAIWAN (CONTINUED)
Hocheng Group Corp. (GDR) (144A) (Building
Materials)..................................... 204,955 $ 1,055,518
Microelectronics Technology Inc. (GDS)
(Telecommunications)+.......................... 25,440 120,840
Pacific Electric Wire & Cable
(Telecommunications-Equipment)+................ 377,859 355,233
President Enterprises Corp. (GDR) (144A) (Food,
Beverages & Tobacco)+.......................... 97,782 1,026,711
Siliconware Precision Industries Co. (GDR)
(Semiconductors)+.............................. 76,300 1,154,038
Yageo Corp. (GDR) (Electronics)+................. 117,920 1,400,300
-------------
10,409,868
-------------
THAILAND (2.3%)
Advanced Info Service Public Co. Ltd.
(Telecommunications)........................... 83,600 583,632
American Standard Sanitaryware Ltd. (Building
Materials)..................................... 39,100 192,088
Banpu Public Co. Ltd. (Metals & Mining).......... 74,500 512,397
Charoen Pokphand Feedmill Public Co. Ltd.
(Agriculture).................................. 210,300 240,614
Dhana Siam Finance and Securities Public Co. Ltd.
(Financial Services)+.......................... 136 47
Krung Thai Bank Public Co. Ltd. (Banking)........ 2,199,693 568,763
Sahavirya Steel Industries Public Co. Ltd.
(Metals & Mining)+............................. 1,660,900 137,424
Shinawatra Computer Public Co. Ltd. (Computer
Systems)....................................... 247,400 1,548,047
Siam Cement Public Co. Ltd. (Building
Materials)+.................................... 234,700 3,313,407
TelecomAsia Corp. Public Co. Ltd.
(Telecommunications)+.......................... 1,020,400 369,375
-------------
7,465,794
-------------
TURKEY (3.4%)
Aksigorta AS (Insurance)......................... 18,154,050 1,343,265
Arcelik AS (Appliances & Household Durables)..... 8,242,000 923,012
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ -------------
<S> <C> <C>
TURKEY (CONTINUED)
Ford Otomotive Sanayii AS (Automotive)........... 1,765,000 $ 1,270,673
Haci Omer Sabanci Holding AS (Holding
Companies)..................................... 14,709,000 1,073,649
Migros Turk AS (Food, Beverages & Tobacco)....... 996,000 975,982
Turkiye Is Bankasi (Banking)..................... 13,921,000 1,753,870
Yapi ve Kredi Bankasi AS (Banking)............... 70,397,000 3,449,108
-------------
10,789,559
-------------
VENEZUELA (1.2%)
Ceramica Carabobo CA, Class A (Spon. ADR)
(Building Materials)........................... 85,176 349,452
Ceramica Carabobo CA, Class B (Spon. ADR)
(Building Materials)........................... 21,266 116,893
Compania Anonima Nacional Telefonos de Venezuela
(ADR) (Telecommunication Services)............. 91,700 3,071,950
Corimon CA (Chemicals)+.......................... 675 8
International Briquettes Holding Ltd. (Metals &
Mining)+....................................... 36,166 289,328
-------------
3,827,631
-------------
ZIMBABWE (0.0%)*
Trans Zambezi Industries Ltd. (Holding
Companies)..................................... 4,100 615
-------------
TOTAL COMMON STOCK (COST $314,994,335)......... 265,270,950
-------------
</TABLE>
<TABLE>
<S> <C> <C>
PREFERRED STOCK (11.7%)
ARGENTINA (0.3%)
Quilmes Industrial SA (Spon. ADR) (Food,
Beverages & Tobacco)........................... 70,325 777,970
-------------
BRAZIL (10.6%)
Banco Itau SA (Banking).......................... 3,433,000 2,310,635
Ceval Participacoes SA (Food, Beverages &
Tobacco)+...................................... 23,960,000 104,719
</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, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------- -------------
<S> <C> <C>
BRAZIL (CONTINUED)
Companhia Brasileira de Distribuicao Grupo Pao de
Acucar (Food, Beverages & Tobacco)............. 53,516,000 $ 1,440,792
Companhia Brasileira de Distribuicao Grupo Pao de
Acucar (Spon. ADR) (Food, Beverages &
Tobacco)....................................... 114,000 3,035,250
Companhia Cervejaria Brahma (ADR) (Food,
Beverages & Tobacco)........................... 185,600 2,447,600
Companhia Energetica de Sao Paulo SA
(Utilities)+................................... 31,771,000 1,541,312
Companhia Hering (Holding Companies)+............ 23,960,000 25,132
Compania Paranaense de Energia-Copel
(Utilities).................................... 162,576,000 2,273,753
Copene Petroquimica do Nordeste SA, Class A
(Spon. ADR) (Chemicals)........................ 71,200 1,032,400
Copene-Petroquimica do Nordeste SA (Chemicals)... 4,167,000 1,249,351
Iochpe Maxion SA (Automotive)+................... 9,185,000 634,268
Lojas Arapua SA (Electronics).................... 173,221,000 484,526
Petrobras Distribuidora SA (Oil-Production)...... 11,429,000 202,801
Petroleo Brasileiro SA (Oil-Production).......... 22,625,000 5,735,263
Telecomunicacoes Brasileiras SA (ADR)
(Telecommunications)........................... 41,063 5,001,987
Uniao de Bancos Brasileiros SA (Spon. GDR)
(Banking)+..................................... 90,200 3,585,450
Varig SA (Airlines).............................. 54,000 127,445
Votorantim Celulose e Papel SA (Forest Products &
Paper)......................................... 39,756,000 764,526
Votorantim Celulose e Papel SA (ADR) (Forest
Products & Paper).............................. 189,250 1,797,875
-------------
33,795,085
-------------
COLOMBIA (0.2%)
Banco Ganadero SA (ADR) (Banking)................ 21,900 407,888
Bancolombia SA (Spon. ADR) (Banking)............. 12,500 189,063
-------------
596,951
-------------
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------- -------------
<S> <C> <C>
GREECE (0.0%)*
Delta Dairy SA (Food, Beverages & Tobacco)....... 697 $ 9,642
-------------
SOUTH KOREA (0.6%)
Samsung Co. Ltd. (GDR) (144A) (Electronics)+..... 3,199 2,207
Samsung Electronics Co. Ltd. (GDR) (144A)
(Electronics).................................. 179,403 2,039,812
-------------
2,042,019
-------------
TOTAL PREFERRED STOCK (COST $37,212,278)....... 37,221,667
-------------
</TABLE>
<TABLE>
<S> <C> <C>
RIGHTS (0.0%)*
BRAZIL (0.0%)*
Iochpe Maxion SA, Expiring 05/28/98
(Automotive)+(f)............................... 489,547 0
-------------
SOUTH KOREA (0.0%)*
Samsung Electronics Co. Ltd., Expiring 05/27/98
(Electronics)+(f).............................. 14,777 149,511
-------------
TAIWAN (0.0%)*
Yageo Corp., Expiring 05/18/98
(Electronics)+(f).............................. 9,128 0
-------------
THAILAND (0.0%)*
Dhana Siam Finance and Securities Public Co.
Ltd., Expiring 05/19/98 (Financial
Services)+(f).................................. 68 6
-------------
TOTAL RIGHTS
(COST $43).................................... 149,517
-------------
</TABLE>
<TABLE>
<S> <C> <C>
WARRANTS (0.0%)*
MALAYSIA (0.0%)*
UMW Holdings Berhad, Expiring 01/26/00 (Holding
Companies)+.................................... 200 31
-------------
</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, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------- -------------
<S> <C> <C>
THAILAND (0.0%)*
Dhana Siam Finance and Securities Public Co.
Ltd., Expiring 12/31/02 (Financial
Services)+..................................... 17 $ 1
-------------
TOTAL WARRANTS (COST $46)...................... 32
-------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT{::}
----------------
<S> <C> <C>
CONVERTIBLE BONDS (1.5%)
MEXICO (0.2%)
Telmex Prides, 11.25% due 05/15/98
(Telecommunications)........................... 10,000 570,000
-------------
SOUTH KOREA (0.0%)*
Daewoo Heavy Industries Ltd., 3.00% due 12/31/01
(Capital Goods)................................ 85,000 60,350
-------------
TAIWAN (1.0%)
Far Eastern Department Stores Ltd., 3.00% due
07/06/01 (Retail).............................. 2,130,000 1,980,900
Yageo Corp., 1.25% due 07/24/03 (Electronics).... 521,000 870,070
Yieh Loong Co. Ltd., 2.00% due 12/31/00 (Metals &
Mining)........................................ CHF 1,050,000 451,518
-------------
3,302,488
-------------
THAILAND (0.3%)
Bangkok Bank Public Co., 3.25% due 03/03/04
(Banking)...................................... 2,257,000 1,015,650
-------------
TOTAL CONVERTIBLE BONDS (COST $5,844,611)...... 4,948,488
-------------
</TABLE>
<TABLE>
<CAPTION>
SECURITY DESCRIPTION UNITS VALUE
- ------------------------------------------------- ------------- -------------
<S> <C> <C>
UNIT TRUSTS/PARTNERSHIPS (2.6%)
GHANA (0.2%)
Blakeney Investors+(f)........................... 41,300 $ 590,590
-------------
RUSSIA (2.2%)
New Century Holdings Ltd. (Partnership III; Group
B)+(f)......................................... 800 372,800
New Century Holdings Ltd. (Partnership IV; Group
I)+(f)......................................... 900 779,400
New Century Holdings Ltd. (Partnership V; Group
I)+(f)......................................... 1,600 769,600
New Century Holdings Ltd. (Partnership X)+(f).... 2,617 3,849,607
New Century Holdings Ltd. (Partnership XIV; Group
I)+(f)......................................... 2,500 1,292,500
-------------
7,063,907
-------------
TAIWAN (0.2%)
R.O.C. Taiwan Fund............................... 57,800 491,300
-------------
TOTAL UNIT TRUSTS/ PARTNERSHIPS (COST
$8,274,550)................................... 8,145,797
-------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- ------------------------------------------------- ------------- -------------
<S> <C> <C>
SHORT-TERM INVESTMENTS (0.2%)
REPURCHASE AGREEMENT (0.2%)
State Street Bank and Trust Repurchase Agreement,
5.00% due 05/01/98, dated 04/30/98, proceeds
$630,088 (collateralized by U.S. Treasury Bond,
5.75% due 11/30/02, valued at $644,963)
(Banking)...................................... 630,000 630,000
-------------
</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, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
-------------
<S> <C> <C>
TOTAL INVESTMENTS (COST $366,955,863) (99.4%)...................
$ 316,366,451
OTHER ASSETS IN EXCESS OF LIABILITIES (0.6%)....................
1,766,300
-------------
NET ASSETS (100.0%)............................................. $ 318,132,751
-------------
-------------
</TABLE>
- ------------------------------
Note: Based on the cost of investments of $367,336,445 for federal income tax
purposes at April 30, 1998, the aggregate gross unrealized appreciation and
depreciation was $44,152,973 and $95,122,967, respectively, resulting in net
unrealized depreciation of $50,969,994.
+ - Non-income producing security
* - Less than 0.1%
{::} - Denominated in USD unless otherwise indicated.
ADR - American Depositary Receipt
ADS - American Depositary Shares
CHF - Swiss Franc
GDR - Global Depositary Receipt
GDS - Global Depositary Shares
Spon. ADR - Sponsored ADR
Spon. GDR - Sponsored GDR
USD - United States Dollar
144A - Securities restricted for resale to Qualified Institutional Buyers.
(f) - Fair valued security. Approximately 2.5% of the market value of the
securities have been valued at fair value. (See Note 1a)
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, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INDUSTRY DIVERSIFICATION
PERCENT OF
TOTAL
INVESTMENTS
---------------
<S> <C>
Food, Beverages & Tobacco................................................... 17.1%
Banking..................................................................... 13.4%
Telecommunications.......................................................... 8.8%
Oil-Production.............................................................. 7.6%
Metals & Mining............................................................. 5.6%
Telecommunications-Services................................................. 5.4%
Chemicals................................................................... 5.1%
Building Materials.......................................................... 4.4%
Utilities................................................................... 4.0%
Unit Trusts/Partnerships.................................................... 2.6%
Automotive.................................................................. 2.4%
Multi-Industry.............................................................. 2.4%
Retail...................................................................... 2.4%
Pharmaceuticals............................................................. 2.0%
Electric.................................................................... 1.9%
Forest Products & Paper..................................................... 1.9%
Real Estate................................................................. 1.8%
Electronics................................................................. 1.6%
Entertainment, Leisure & Media.............................................. 1.6%
Construction & Housing...................................................... 1.1%
Electrical Equipment........................................................ 1.0%
Diversified Manufacturing................................................... 0.8%
Transport & Services........................................................ 0.8%
Insurance................................................................... 0.7%
Financial Services.......................................................... 0.6%
Restaurants & Hotels........................................................ 0.5%
Oil-Services................................................................ 0.4%
Semiconductors.............................................................. 0.4%
Appliances & Household Durables............................................. 0.3%
Automotive Supplies......................................................... 0.3%
Holding Companies........................................................... 0.3%
Textiles & Apparels......................................................... 0.2%
Agriculture................................................................. 0.1%
Airlines.................................................................... 0.1%
Broadcasting & Publishing................................................... 0.1%
Capital Goods............................................................... 0.1%
Telecommunications-Equipment................................................ 0.1%
Wholesale & International Trade............................................. 0.1%
---------------
100.0%
---------------
---------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
26
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES (UNAUDITED)
APRIL 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments at Value (Cost $366,955,863 ) $316,366,451
Cash 714
Foreign Currency at Value (Cost $2,059,677 ) 2,046,612
Receivable for Investments Sold 582,213
Dividends Receivable 908,337
Interest Receivable 74,854
Prepaid Trustees' Fees 2,811
Deferred Organization Expenses 894
Prepaid Administration Fees 531
Prepaid Expenses and Other Assets 2,151
------------
Total Assets 319,985,568
------------
LIABILITIES
Payable for Investments Purchased 1,232,092
Custody Fee Payable 270,459
Advisory Fee Payable 262,714
Administrative Services Fee Payable 7,644
Accrued Foreign Capital Gains Taxes 6,085
Fund Services Fee Payable 1,025
Accrued Expenses 72,798
------------
Total Liabilities 1,852,817
------------
NET ASSETS
Applicable to Investors' Beneficial Interests $318,132,751
------------
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
27
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
STATEMENT OF OPERATIONS (UNAUDITED)
FOR THE SIX MONTHS ENDED APRIL 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Dividend Income (Net of Foreign Withholding Tax
of $364,221) $ 5,355,196
Interest Income 357,405
-------------
Investment Income 5,712,601
EXPENSES
Advisory Fee $ 2,571,540
Custodian Fees and Expenses 617,090
Administrative Services Fee 77,165
Professional Fees and Expenses 27,193
Fund Services Fee 8,484
Administration Fee 5,441
Printing Expenses 3,937
Trustees' Fees and Expenses 3,527
Insurance Expense 2,339
Amortization of Organization Expenses 816
Registration Fees 119
Miscellaneous 33,661
-------------
Total Expenses 3,351,312
-------------
NET INVESTMENT INCOME 2,361,289
NET REALIZED GAIN (LOSS)
Investment Transactions (117,972,309)
Foreign Currency Contracts and Transactions 12,415,507
-------------
Net Realized Loss (105,556,802)
NET CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION) OF
Investments 62,949,455
Foreign Currency Contracts and Translations (10,144,398)
-------------
Net Change in Unrealized Appreciation 52,805,057
-------------
NET DECREASE IN NET ASSETS RESULTING FROM
OPERATIONS $ (50,390,456)
-------------
-------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
28
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE SIX
MONTHS ENDED
APRIL 30, FOR THE FISCAL
1998 YEAR ENDED
(UNAUDITED) OCTOBER 31, 1997
------------- ----------------
<S> <C> <C>
DECREASE IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 2,361,289 $ 10,403,473
Net Realized Gain (Loss) on Investments and
Foreign Currency Contracts and Transactions (105,556,802) 57,180,706
Net Change in Unrealized Appreciation
(Depreciation) of Investments and Foreign
Currency Contracts and Translations 52,805,057 (97,850,207)
------------- ----------------
Net Decrease in Net Assets Resulting from
Operations (50,390,456) (30,266,028)
------------- ----------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS
Contributions 263,869,694 342,652,801
Withdrawals (692,010,756) (375,081,272)
------------- ----------------
Net Decrease from Investors' Transactions (428,141,062) (32,428,471)
------------- ----------------
Total Decrease in Net Assets (478,531,518) (62,694,499)
NET ASSETS
Beginning of Period 796,664,269 859,358,768
------------- ----------------
End of Period $ 318,132,751 $ 796,664,269
------------- ----------------
------------- ----------------
</TABLE>
- --------------------------------------------------------------------------------
SUPPLEMENTARY DATA
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE PERIOD
FOR THE FOR THE FISCAL YEAR NOVEMBER 15, 1993
SIX MONTHS ENDED ENDED OCTOBER 31, (COMMENCEMENT OF
APRIL 30, 1998 ------------------------ OPERATIONS) THROUGH
(UNAUDITED) 1997 1996 1995 OCTOBER 31, 1994
---------------- ------- ------- ---- -------------------
<S> <C> <C> <C> <C> <C>
RATIOS TO AVERAGE NET ASSETS
Expenses 1.30%(a) 1.20% 1.23% 1.31% 1.36%(a)
Net Investment Income 0.92%(a) 1.10% 1.14% 1.07% 0.66%(a)
Portfolio Turnover 24% 55% 31% 41% 27%
Average Broker Commissions $ 0.0005 $0.0009 $0.0006 -- --
</TABLE>
- ------------------------
(a) Annualized.
The Accompanying Notes are an Integral Part of the Financial Statements.
29
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
APRIL 30, 1998
- --------------------------------------------------------------------------------
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.
Investments in emerging markets may involve certain considerations and risks not
typically associated with investments in the United States. Future economic and
political developments in emerging market countries could adversely affect the
liquidity or value, or both, of such securities in which the portfolio is
invested. The ability of the issuers of the debt securities held by the
portfolio to meet their obligations may be affected by economic and political
developments in a specific industry or region.
The preparation of financial statements in accordance with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts and disclosures. Actual amounts could differ from
those estimates. The following is a summary of the significant accounting
policies of the portfolio:
a) The value of each security for which readily available market quotations
exist 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 average of readily available closing bid
and asked prices on such exchanges. 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 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; and general market conditions. All
short term 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.
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
30
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1998
- --------------------------------------------------------------------------------
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.
b) The books and records of the portfolio are maintained in U.S. dollars. The
market value 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 rates 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. Although 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 as of the time that the
relevant ex-dividend date and amount becomes known. Interest income, which
includes the amortization of premiums and discounts, if any, is recorded
on an accrual basis. For financial and tax reporting purposes, realized
gains and losses are determined on the basis of specific lot
identification.
d) The portfolio may enter into forward and spot foreign currency contracts
to protect securities and related receivables and payables 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 at the current foreign exchange
rates 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, 1998, the portfolio had no
open forward foreign currency contracts.
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. The portfolio may be subject to taxes
imposed by countries in which it invests. Such taxes are generally based
on income and/or capital gains earned. Taxes are accrued and applied to
net investment income, net realized capital gains and net unrealized
appreciation, as applicable, as the income and/or capital gains are
earned.
f) The portfolio incurred organization expenses in the amount of $7,629.
Morgan Guaranty Trust Company of New York ("Morgan") has paid the
organization expenses of the portfolio. The portfolio
31
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1998
- --------------------------------------------------------------------------------
has agreed to reimburse Morgan for these costs which are being deferred
and amortized on a straight-line basis over a period not to exceed five
years beginning with the commencement of operations of the portfolio.
2. TRANSACTIONS WITH AFFILIATES
a) The portfolio has an Investment Advisory Agreement with Morgan. Under the
terms of the 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, 1998, such fees amounted to $2,571,540.
b) The portfolio has retained Funds Distributor, Inc. ("FDI"), a registered
broker-dealer, to serve as the co-administrator and exclusive placement
agent. Under a Co-Administration Agreement between FDI and the portfolio,
FDI provides administrative services necessary for the operations of the
portfolio, furnishes office space and facilities required for conducting
the business of the portfolio and pays the compensation of the portfolio's
officers affiliated with FDI. The portfolio has agreed to pay FDI fees
equal to its allocable share of an annual complex-wide charge of $425,000
plus FDI's out-of-pocket expenses. The amount allocable to the portfolio
is based on the ratio of the portfolio's net assets to the aggregate net
assets of the portfolio and certain other investment companies subject to
similar agreements with FDI. For the six months ended April 30, 1998, the
fee for these services amounted to $5,441.
c) The portfolio has an Administrative Services Agreement (the "Services
Agreement") with Morgan under which Morgan is responsible for certain
aspects of the administration and operation of the portfolio. Under the
Services Agreement, the portfolio has agreed to pay Morgan a fee equal to
its allocable share of an annual complex-wide charge. This charge is
calculated based on the aggregate average daily net assets of the
portfolio and certain other portfolios for which Morgan acts as investment
advisor (the "master portfolios") and J.P. Morgan Series Trust in
accordance with the following annual schedule: 0.09% on the first $7
billion of the aggregate average daily net assets and 0.04% of the
aggregate average daily net assets in excess of $7 billion less the
complex-wide fees payable to FDI. The portion of this charge payable by
the portfolio is determined by the proportionate share that its net assets
bear to the net assets of the master portfolios, other investors in the
master portfolios for which Morgan provides similar services and J.P.
Morgan Series Trust. For the six months ended April 30, 1998, the fee for
these services amounted to $77,165.
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 $8,484 for the six months ended April 30, 1998.
e) An aggregate annual fee of $75,000 is paid to each trustee for serving as
a trustee of the J.P. Morgan Funds, the J.P. Morgan Institutional Funds,
the master portfolios and J.P. Morgan Series Trust. The Trustees' Fees and
Expenses shown in the financial statements represent the portfolio's
allocated portion of the total fees and expenses. The portfolio's Chairman
and Chief Executive Officer also serves as
32
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1998
- --------------------------------------------------------------------------------
Chairman of Group and receives compensation and employee benefits from
Group in his role as Group's Chairman. The allocated portion of such
compensation and benefits included in the Fund Services Fee shown in the
financial statements was $1,800.
3. INVESTMENT TRANSACTIONS:
Investment transactions (excluding short-term investments) for the six months
ended April 30, 1998 were as follows:
<TABLE>
<CAPTION>
COST OF PROCEEDS
PURCHASES FROM SALES
- ----------------- ------------
<S> <C>
$119,741,318...... $176,192,638
</TABLE>
4. RESTRICTED SECURITIES
<TABLE>
<CAPTION>
SHARES DATE ACQUIRED U.S. $ COST
------ ------------- -----------
<S> <C> <C> <C>
Blakeney Investors............................... 41,300 11/1/96 $ 413,000
New Century Holdings Ltd. Partnership III........ 800 4/11/94 $ 492,000
New Century Holdings Ltd. Partnership IV......... 900 6/16/94 $ 900,000
New Century Holdings Ltd. Partnership V.......... 1,600 11/9/94 $ 731,200
New Century Holdings Ltd. Partnership X.......... 2,617 1/21/97 $ 2,617,000
New Century Holdings Ltd. Partnership XIV........ 2,500 9/22/97 $ 2,500,000
</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, 1998 is $7,654,497 representing 2.4% of the
portfolio's net assets.
5. CREDIT AGREEMENT
The portfolio is party to a revolving line of credit agreement (the "Agreement")
as discussed more fully in Note 4 of the fund's Notes to the Financial
Statements which are included elsewhere in this report.
6. OTHER MATTERS
On January 23, 1998, the portfolio received a withdrawal request in the amount
of $381,757,617 as discussed in Note 5 of the fund's Notes to Financial
Statements which are included elsewhere in this report. This amount is included
in Withdrawals shown on the Statement of Changes in Net Assets. The withdrawal
which was made in-kind by transferring certain assets and liabilities, including
securities, directly to a non-U.S. fund resulted in a net realized loss on
transfer of the securities in the amount of $74,439,112, which is included in
Net Realized Loss on Investment Transactions in the Statement of Operations.
33
