<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------- -------------
<S> <C> <C>
COMMON STOCK (86.4%)
ARGENTINA (6.3%)
Banco de Galicia y Buenos Aires SA (ADR)
(Banking)...................................... 56,505 $ 960,585
Banco Frances del Rio de la Plata SA (ADR)
(Banking)...................................... 1,907 39,809
Corcemar SA, Class B (Building Materials)........ 226,692 1,133,799
Nobleza Piccardo SA, Class B (Food, Beverages &
Tobacco)....................................... 198,900 696,358
Perez Companc SA (Spon. ADR) (Oil-Services)...... 164,132 1,600,287
Telefonica de Argentina SA (Spon. ADR)
(Telecommunications)........................... 38,900 1,286,131
YPF Sociedad Anonima (Spon. ADR)
(Oil-Production)............................... 120,590 3,489,573
-------------
9,206,542
-------------
BRAZIL (2.4%)
Bompreco Supermercados do Norde SA (GDR) (144A)
(Food, Beverages & Tobacco).................... 67,399 404,394
Ceval Alimentos SA (Food, Beverages &
Tobacco)+...................................... 164,073,731 316,354
Makro Atacadista SA (Spon. GDS) (144A)
(Retail)....................................... 148,500 871,413
Perdigao SA (Food, Beverages & Tobacco).......... 18,314,895 16,889
Santista Alimentos SA (Food, Beverages &
Tobacco)+...................................... 7,040 4,485
Souza Cruz SA (Food, Beverages & Tobacco)........ 263,600 1,789,935
-------------
3,403,470
-------------
CHILE (6.0%)
Administradora de Fondos de Pensiones Provida SA
(ADR) (Banking)................................ 68,100 966,169
Banco Santander Chile SA (ADS) (Banking)......... 126,600 1,171,050
Compania de Telecomunicaciones de Chile SA (Spon.
ADR) (Telecommunication Services).............. 91,572 2,008,861
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------- -------------
<S> <C> <C>
CHILE (CONTINUED)
Embotelladora Andina SA (ADR) (Food, Beverages &
Tobacco)....................................... 97,400 $ 1,296,637
Enersis SA (ADR) (Utilities)..................... 63,000 1,315,125
Madeco SA (Spon. ADR) (Construction & Housing)... 53,200 412,300
Sociedad Quimica y Minera de Chile SA (ADR)
(Chemicals).................................... 44,046 1,464,529
-------------
8,634,671
-------------
CHINA (0.9%)
Beijing North Star Co. Ltd., Series H (Real
Estate)........................................ 7,460,300 1,329,134
Shanghai Erfangji Co. Ltd., Series B (Capital
Goods)+........................................ 80,452 5,310
Shanghai Tyre and Rubber Co. Ltd., Series B
(Metals & Mining)+............................. 133,279 16,793
-------------
1,351,237
-------------
COLOMBIA (0.1%)
Cementos Diamante SA (ADR) (Building
Materials)..................................... 50,700 126,750
Corporacion Financiera Del Valle SA (ADR) (144A)
(Banking)...................................... 9,407 5,879
-------------
132,629
-------------
CROATIA (0.9%)
Pliva D.D. (GDR) (144A) (Pharmaceuticals)........ 88,260 1,297,422
-------------
CZECH REPUBLIC (0.2%)
Central European Media Enterprises Ltd., Class A
(Entertainment, Leisure & Media)+.............. 50,800 319,087
-------------
</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, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------- -------------
<S> <C> <C>
EGYPT (1.2%)
Commercial International Bank of Egypt (GDR)
(144A) (Banking)............................... 91,455 $ 720,208
Paints & Chemicals Industry Co. (GDR)
(Chemicals).................................... 34,600 315,725
Suez Cement Co. (Building Materials)............. 43,300 669,081
-------------
1,705,014
-------------
GHANA (1.3%)
Guiness Ghana Ltd. (Food, Beverages & Tobacco)... 761,545 237,583
Pioneer Tobacco Co. (Food, Beverages &
Tobacco)+...................................... 1,152,500 270,894
Social Security Bank Ltd. (Banking)+............. 1,464,303 1,245,319
Unilever Ghana Ltd. (Food, Beverages &
Tobacco)+...................................... 185,700 152,374
-------------
1,906,170
-------------
GREECE (4.6%)
Hellenic Telecommunication Organization SA (OTE)
(Telecommunications)........................... 42,111 957,352
National Bank of Greece SA (Banking)............. 18,696 2,656,468
Silver & Baryte Ores Mining (Metals & Mining).... 43,824 1,606,526
Titan Cement Co. SA (Building Materials)......... 23,330 1,441,982
-------------
6,662,328
-------------
HONG KONG (1.0%)
Concord Land Development Co. Ltd. (Real
Estate)........................................ 400 76
Yue Yuen Industrial Holdings Ltd. (Retail)....... 818,000 1,457,357
-------------
1,457,433
-------------
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------- -------------
<S> <C> <C>
HUNGARY (1.8%)
Matav RT (Telecommunications).................... 238,768 $ 1,237,302
MOL Magyar Olaj-es Gazipari RT
(Oil-Production)............................... 32,200 719,997
OTP Bank RT (Banking)............................ 18,600 659,865
-------------
2,617,164
-------------
INDIA (4.4%)
ITC Ltd. (Food, Beverages & Tobacco)............. 116,000 1,916,275
Larsen & Toubro Ltd. (GDR) (Diversified
Manufacturing)................................. 185,300 1,250,775
Reliance Industries (GDR) (Diversified
Manufacturing)................................. 182,900 932,790
SIEL Ltd. (GDR) (Multi-Industry)+................ 19,400 14,550
SIEL Ltd. (GDR) (144A) (Multi-Industry)+......... 21,300 15,975
State Bank of India (GDR) (Banking).............. 199,700 1,612,577
Wockhardt Ltd. (GDR) (Pharmaceuticals)........... 117,300 674,475
-------------
6,417,417
-------------
INDONESIA (1.2%)
P.T. Goodyear Indonesia (Capital Goods).......... 13,000 2,566
P.T. International Nickel Indonesia (Metals &
Mining)........................................ 1,467,200 424,727
P.T. Multi Bintang Indonesia (Food, Beverages &
Tobacco)....................................... 82,500 542,778
P.T. Surya Toto Indonesia (Capital Goods)........ 220,500 36,993
P.T. Unilever Indonesia (Food, Beverages &
Tobacco)....................................... 105 242
PT Telekomunikasi Indonesia (Spon. ADR)
(Telecommunications)........................... 156,100 780,500
-------------
1,787,806
-------------
</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, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------- -------------
<S> <C> <C>
ISRAEL (3.7%)
Bank Hapoalim Ltd. (Banking)..................... 371,600 $ 672,185
Bank Leumi Le-Israel (Banking)................... 552,900 704,231
Israel Chemicals Ltd. (Chemicals)................ 1,332,300 1,167,631
Koor Industries Ltd. (Spon. ADR)
(Multi-Industry)............................... 86,400 1,398,600
Teva Pharmaceutical Industries Ltd. (ADR)
(Pharmaceuticals).............................. 37,500 1,475,391
-------------
5,418,038
-------------
MALAYSIA (0.9%)
Antah Holdings Berhad (Multi-Industry)(f)........ 200 20
Box Pak Berhad (Packaging & Containers)(f)....... 896 273
Golden Hope Plantations Berhad (Metals &
Mining)(f)..................................... 1,240,166 532,165
Lion Corp. Berhad (Multi-Industry)(f)............ 458,600 60,810
London & Pacific Insurance Co. Berhad
(Insurance)(f)................................. 10,800 7,996
Malaysian Tobacco Co. Berhad (Food, Beverages &
Tobacco)(f).................................... 133,000 37,476
Matsushita Electric Co. Berhad
(Electronics)(f)............................... 400 832
Nestle Berhad (Food, Beverages & Tobacco)(f)..... 285,000 682,337
UMW Holdings Berhad (Holding Companies)(f)+...... 200 73
-------------
1,321,982
-------------
MEXICO (11.2%)
Cemex SA de CV (Building Materials).............. 13,790 32,831
Cemex SA de CV, B Shares (Building Materials).... 459,675 1,280,570
Empaques Ponderosa SA de CV, Series B (Forest
Products & Paper)+............................. 1,023,000 527,533
Empresas ICA Sociedad Controladora SA de CV
(Spon. ADR) (Construction & Housing)........... 95,112 499,338
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------- -------------
<S> <C> <C>
MEXICO (CONTINUED)
Empresas La Moderna SA de CV (ADR) (Food,
Beverages & Tobacco)+.......................... 62,700 $ 1,496,962
Fomento Economico Mexicano SA de CV (Spon. ADR)
(Food, Beverages & Tobacco).................... 35,400 922,613
Grupo Carso SA de CV, Class A (Multi-Industry)... 246,600 852,637
Grupo Casa Autrey SA de CV (Spon. ADR) (Food,
Beverages & Tobacco)........................... 45,300 300,113
Grupo Financiero Banamex Accival SA de CV, Class
B (Banking)+................................... 812,000 842,265
Grupo Financiero Banamex Accival SA de CV, Class
L (Banking)+................................... 6,960 6,188
Grupo Financiero Bancomer SA de CV, Class B
(Financial Services)........................... 6,250,100 1,271,913
Grupo Financiero Probursa SA de CV, Class B
(Financial Services)+.......................... 231 22
Grupo Gigante SA DW CV, Class B (Food, Beverages
& Tobacco)+.................................... 2,990,000 753,207
Grupo Iusacell SA (ADR) (Telecommunications)+.... 97,500 670,313
Grupo Radio Centro SA de CV (Spon. ADR)
(Broadcasting & Publishing).................... 20,200 92,163
Grupo Televisa SA (Spon. GDR)
(Telecommunications)+.......................... 51,400 1,394,225
Panamerican Beverages, Inc. (ADR) (Food,
Beverages & Tobacco)........................... 34,600 700,650
Telefonos de Mexico SA de CV, Class L (Spon. ADR)
(Telecommunications)........................... 86,720 4,579,900
-------------
16,223,443
-------------
</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, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------- -------------
<S> <C> <C>
PAKISTAN (0.9%)
Hub Power Co. Ltd. (Spon. GDR) (Utilities)....... 86,900 $ 391,050
Pakistan State Oil Co. Ltd. (Oil-Production)+.... 206,201 222,434
Pakistan Telecom Corp (Class A)
(Telecommunications)+.......................... 1,603,200 612,696
-------------
1,226,180
-------------
PERU (1.9%)
Cementos Norte Pacasmayo SA, Class T (Building
Materials)..................................... 576,728 601,551
Compania de Minas Buenaventura SA (Spon. ADR)
(Metals & Mining).............................. 56,800 695,800
Creditcorp Ltd. (Financial Services)............. 65,558 442,517
Telefonica del Peru SA (ADR) (Telecommunication
Services)...................................... 72,900 947,700
-------------
2,687,568
-------------
PHILIPPINES (3.8%)
Ayala Land Inc., Class B (Real Estate)........... 9,021,890 2,739,066
First Philippine Holdings Corp., Class B
(Multi-Industry)............................... 774,840 403,274
Philippine Commercial International Bank
(Banking)...................................... 38,750 88,354
Philippine Long Distance Telephone Co. (ADR)
(Telecommunications)........................... 95,790 2,334,881
-------------
5,565,575
-------------
POLAND (2.4%)
Bank Slaski SA (Banking)......................... 7,200 367,796
Elektrim Spolka Akcyjna SA (Electrical
Equipment)..................................... 155,486 1,850,281
Wielkopolski Bank Kredytowy SA (Banking)......... 102,718 670,799
Zyweic SA (Food, Beverages & Tobacco)............ 3,905 529,297
-------------
3,418,173
-------------
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------- -------------
<S> <C> <C>
RUSSIA (0.2%)
Surgutneftegaz (Spon. ADR) (Oil-Production)+..... 131,200 $ 278,800
Vimpel-Communications (Spon. ADR)
(Telecommunication Services)+.................. 1,900 22,325
-------------
301,125
-------------
SLOVAKIA (0.4%)
Slovakofarma AS (Pharmaceuticals)................ 12,700 579,297
-------------
SOUTH AFRICA (9.5%)
ABSA Group Ltd. (Banking)........................ 402,600 2,188,886
Anglo-American Corp. of South Africa Ltd.
(Multi-Industry)............................... 31,500 1,025,323
AngloGold Ltd. (Metals & Mining)................. 32,700 1,661,277
Billiton PLC (Metals & Mining)................... 849,000 2,073,374
Edgars Stores Ltd. (Retail)...................... 103,703 466,769
Highveld Steel & Vanadium Corp. Ltd. (Metals &
Mining)........................................ 384,203 1,112,919
Investec Group Ltd. (Financial Services)......... 1,500 55,617
Kersaf Investments Ltd. (Entertainment, Leisure &
Media)......................................... 54,699 167,709
Murray & Roberts Holdings Ltd. (Construction &
Housing)....................................... 718,200 640,125
Plate Glass & Shatterprufe Industries Ltd.
(Automotive Supplies).......................... 63,678 397,289
Sappi Ltd. (Forest Products & Paper)+............ 231,600 1,155,969
Sasol Ltd. (Oil-Production)...................... 139,700 683,578
South Africa Breweries Ltd. (Food, Beverages &
Tobacco)....................................... 75,000 1,454,587
Standard Bank Investment Corp. Ltd. (Banking).... 236,381 712,113
-------------
13,795,535
-------------
</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, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------- -------------
<S> <C> <C>
SOUTH KOREA (6.5%)
Hansol Paper Co. Ltd. (Spon. GDR) (Forest
Products & Paper)+............................. 1,240 $ 3,571
Hansol Paper Co. Ltd. (GDS) (Forest Products &
Paper)+........................................ 43,703 125,865
Hanwha Chemical Corp. (Chemicals)+............... 813,396 1,710,679
Kia Motors (Spon. GDR) (144A) (Automotive)+...... 474 356
Korea Electric Power Corp. (Electric)............ 106,365 1,894,393
Korea Zinc Co. Ltd. (Metals & Mining)............ 43,080 538,720
Medison Company Ltd (Medical Supplies)........... 162,797 1,801,369
Pohang Iron & Steel Co. Ltd. (Metals &
Mining)(f)..................................... 35,899 1,972,531
Samsung Corp. (GDR) (144A) (Electronics)......... 1,502 961
Samsung Electronics Co. Ltd. (GDR)(144A)
(Electronics).................................. 41,232 936,997
Samsung Fire & Marine Insurance (Insurance)...... 2,050 512,709
-------------
9,498,151
-------------
TAIWAN (5.2%)
Asia Cement Corp. (Building Materials)........... 743,600 671,147
Asia Cement Corp. (GDS) (Building Materials)..... 53,008 490,324
China Steel Corp. (Spon. ADR) (Metals &
Mining)........................................ 61,716 868,653
Evergreen Marine Corp. (Spon. GDR) (Transport &
Services)...................................... 204,506 1,922,356
Hocheng Group Corp. (GDR) (144A) (Building
Materials)..................................... 204,955 742,962
President Enterprises Corp. (GDR) (144A) (Food,
Beverages & Tobacco)+.......................... 117,338 997,375
Siliconware Precision Industries Co. (GDR)
(Semiconductors)+.............................. 103,768 1,099,941
Yageo Corp. (Spon. GDR) (Electrical
Equipment)+.................................... 122,788 798,122
-------------
7,590,880
-------------
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------- -------------
<S> <C> <C>
THAILAND (2.7%)
Advanced Info Service Public Co. Ltd.
(Telecommunications)........................... 83,600 $ 614,306
Banpu Public Co. Ltd. (Metals & Mining).......... 74,500 202,755
Dhana Siam Finance and Securities Public Co. Ltd.
(Financial Services)+(f)....................... 136 0
Sahavirya Steel Industries Public Co. Ltd.
(Metals & Mining)+............................. 1,660,900 144,647
Shinawatra Computer Public Co. Ltd. (Computer
Systems)....................................... 247,400 1,185,024
Siam Cement Public Co. Ltd. (Building
Materials)+.................................... 140,300 1,756,428
-------------
3,903,160
-------------
TURKEY (2.5%)
Dogan Sirketler Grubu Holding A.S. (Holding
Companies)..................................... 68,593,000 619,250
Ford Otomotive Sanayii AS (Automotive)........... 1,583,000 351,782
Haci Omer Sabanci Holding AS (Holding
Companies)..................................... 36,772,500 555,425
Migros Turk AS (Food, Beverages & Tobacco)....... 996,000 847,302
Turkiye Is Bankasi (Banking)..................... 29,582,125 811,464
Yapi ve Kredi Bankasi AS (Banking)............... 43,471,630 490,571
-------------
3,675,794
-------------
VENEZUELA (2.3%)
Ceramica Carabobo CA, Class A (Spon. ADR)
(Building Materials)........................... 85,176 63,882
Ceramica Carabobo CA, Class B (Spon. ADR)
(Building Materials)........................... 21,266 15,950
Compania Anonima Nacional Telefonos de Venezuela
(ADR) (Telecommunication Services)............. 117,900 1,827,450
Corimon CA (Chemicals)+.......................... 675 3
</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, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------- -------------
<S> <C> <C>
VENEZUELA (CONTINUED)
International Briquettes Holding, Inc. (Metals &
Mining)+....................................... 36,166 $ 151,445
Mavesa SA (Spon. ADR) (Food, Beverages &
Tobacco)....................................... 325,225 1,300,900
-------------
3,359,630
-------------
ZIMBABWE (0.0%)
Trans Zambesi Industries Ltd. (Holding
Companies)..................................... 4,100 205
-------------
TOTAL COMMON STOCK (COST $188,699,513)......... 125,463,126
-------------
</TABLE>
<TABLE>
<S> <C> <C>
PREFERRED STOCK (9.9%)
BRAZIL (8.7%)
Companhia Brasileira de Distribuicao Grupo Pao de
Acucar (Food, Beverages & Tobacco)............. 53,516,000 897,265
Companhia Brasileira de Distribuicao Grupo Pao de
Acucar (Spon. ADR) (Food, Beverages &
Tobacco)....................................... 114,000 1,838,250
Companhia Cervejaria Brahma (ADR) (Food,
Beverages & Tobacco)........................... 92,800 893,200
Compania Paranaense de Energia-Copel
(Utilities).................................... 162,576,000 1,267,495
Copene Petroquimica do Nordeste SA (Chemicals)... 4,167,000 483,816
Iochpe Maxion SA (Automotive)+................... 8,720,000 270,474
Petroleo Brasileiro SA (Oil-Production).......... 10,189,000 1,281,238
Telecomunicacoes Brasileiras SA (ADR)
(Telecommunications)........................... 35,261 2,677,632
Usinas Siderurgicas de Minas Gerais SA (Spon.
ADR) (Metals & Mining)......................... 613,800 1,841,400
Varig SA (Airlines).............................. 54,000 58,850
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------- -------------
<S> <C> <C>
BRAZIL (CONTINUED)
Votorantim Celulose e Papel SA (Forest Products &
Paper)......................................... 29,916,000 $ 263,330
Votorantim Celulose e Papel SA (ADR) (Forest
Products & Paper).............................. 189,250 832,908
-------------
12,605,858
-------------
COLOMBIA (0.1%)
Banco Ganadero SA (ADR) (Banking)................ 21,900 157,406
Bancolombia SA (Spon. ADR) (Banking)............. 12,500 61,719
-------------
219,125
-------------
GREECE (0.0%)
Delta Dairy SA (Food, Beverages & Tobacco)....... 697 6,920
-------------
SOUTH KOREA (1.1%)
Samsung Co. Ltd. (GDR) (144A) (Electronics)+..... 3,199 2,047
Samsung Electronics Co. Ltd. (GDR) (144A)
(Electronics).................................. 179,403 1,578,746
-------------
1,580,793
-------------
TOTAL PREFERRED STOCK (COST $25,227,207)....... 14,412,696
-------------
</TABLE>
<TABLE>
<S> <C> <C>
WARRANTS (0.0%)
MALAYSIA (0.0%)
UMW Holdings Berhad, Expiring 01/26/00 (Holding
Companies)(f)+................................. 200 13
-------------
THAILAND (0.0%)
Dhana Siam Finance and Securities Public Co.
Ltd., Expiring 12/31/02 (Financial
Services)(f)+.................................. 17 0
-------------
TOTAL WARRANTS (COST $46)...................... 13
-------------
</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, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT{::} VALUE
- ------------------------------------------------- ------------- -------------
<S> <C> <C>
CONVERTIBLE BONDS (0.6%)
SOUTH KOREA (0.0%)
Daewoo Heavy Industries Ltd., 3.00% due 12/31/01
(Capital Goods)................................ $ 85,000 $ 46,750
-------------
TAIWAN (0.6%)
Far Eastern Department Stores Ltd., 3.00% due
07/06/01 (Retail).............................. 891,000 810,810
-------------
TOTAL CONVERTIBLE BONDS (COST $1,104,288)...... 857,560
-------------
</TABLE>
<TABLE>
<CAPTION>
UNITS
-------------
<S> <C> <C>
PARTNERSHIPS (1.7%)
RUSSIA (1.7%)
New Century Holdings Ltd. (Partnership III; Group
B)(f)+......................................... 800 118,400
New Century Holdings Ltd. (Partnership IV; Group
I)(f)+......................................... 900 245,700
New Century Holdings Ltd. (Partnership V; Group
I)(f)+......................................... 1,600 403,200
New Century Holdings Ltd. (Partnership X)(f)+.... 2,617 1,203,820
New Century Holdings Ltd. (Partnership XIV; Group
I)(f)+......................................... 2,500 525,000
-------------
TOTAL PARTNERSHIPS (COST $7,240,200)........... 2,496,120
-------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT{::} VALUE
- ---------------------------- ------------- -------------
<S> <C> <C>
SHORT-TERM INVESTMENTS (0.8%)
REPURCHASE AGREEMENT (0.8%)
State Street Bank and Trust
Repurchase Agreement,
4.25% due 11/02/98, dated
10/30/98 proceeds
$1,084,384 (collateralized
by US Treasury Note, 5.50%
due 2/28/03, valued at
1,109,063) (cost
$1,084,000) (Banking)..... $ 1,084,000 $ 1,084,000
-------------
TOTAL INVESTMENTS (COST $223,355,254)
(99.4%).................................. 144,313,515
OTHER ASSETS IN EXCESS OF LIABILITIES
(0.6%)................................... 900,105
-------------
NET ASSETS (100.0%)........................ $ 145,213,620
-------------
-------------
</TABLE>
- ------------------------------
Note: Based on the cost of investments of $224,398,726 for federal income tax
purposes at October 31, 1998 the aggregate gross unrealized appreciation and
depreciation was $10,594,948 and $90,680,159, respectively, resulting in net
unrealized depreciation of $80,085,211.
+ - Non-income producing security
{::} - Denominated in USD unless otherwise indicated.
ADR - American Depositary Receipt
ADS - American Depositary Shares
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 4.0% of the market value of the
securities have been valued at fair value. (See Notes 1a and 6)
The Accompanying Notes are an Integral Part of the Financial Statements.
25
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
OCTOBER 31, 1998
- --------------------------------------------------------------------------------
INDUSTRY DIVERSIFICATION
<TABLE>
<CAPTION>
PERCENT OF
TOTAL INVESTMENTS
-----------------
<S> <C>
Food, Beverages & Tobacco......................... 14.7%
Banking........................................... 13.1%
Telecommunications................................ 11.9%
Metals & Mining................................... 9.6%
Building Materials................................ 6.3%
Oil-Production.................................... 4.6%
Chemicals......................................... 3.6%
Telecommunication-Services........................ 3.3%
Real Estate....................................... 2.8%
Pharmaceuticals................................... 2.8%
Multi-Industry.................................... 2.6%
Retail............................................ 2.5%
Utilities......................................... 2.1%
Holding Companies................................. 2.1%
Forest Products & Paper........................... 2.0%
Electrical Equipment.............................. 1.8%
Electronics....................................... 1.8%
Partnerships...................................... 1.7%
Diversified Manufacturing......................... 1.5%
Transport & Services.............................. 1.3%
Electric.......................................... 1.3%
Financial Services................................ 1.2%
Oil-Services...................................... 1.1%
Construction & Housing............................ 1.1%
Computers-Systems................................. 0.8%
Semiconductors.................................... 0.8%
Automotive........................................ 0.7%
Insurance......................................... 0.4%
Entertainment, Leisure & Media.................... 0.3%
Capital Goods..................................... 0.1%
Broadcasting & Publishing......................... 0.1%
Airlines.......................................... 0.0%
-----------------
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
OCTOBER 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments at Value (Cost $223,355,254 ) $144,313,515
Cash 773
Foreign Currency at Value (Cost $1,220,160 ) 1,190,432
Receivable for Investments Sold 558,073
Dividend and Interest Receivable 253,399
Prepaid Trustees' Fees 5,854
Prepaid Administration Fees 949
Deferred Organization Expenses 62
Prepaid Expenses and Other Assets 2,212
------------
Total Assets 146,325,269
------------
LIABILITIES
Payable for Investments Purchased 747,579
Custody Fee Payable 208,472
Advisory Fee Payable 116,230
Administrative Services Fee Payable 3,275
Fund Services Fee Payable 115
Accrued Expenses 35,978
------------
Total Liabilities 1,111,649
------------
NET ASSETS
Applicable to Investors' Beneficial Interests $145,213,620
------------
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
27
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE FISCAL YEAR ENDED OCTOBER 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Dividend Income (Net of Withholding Tax of
$875,755 ) $ 8,902,354
Interest Income 468,843
-------------
Investment Income 9,371,197
EXPENSES
Advisory Fee $ 3,584,676
Custodian Fees and Expenses 873,548
Administrative Services Fee 106,124
Professional Fees and Expenses 55,570
Fund Services Fee 11,566
Printing Expenses 7,572
Administration Fee 7,255
Insurance Expense 3,681
Trustees' Fees and Expenses 1,939
Amortization of Organization Expenses 1,648
Miscellaneous 374
-------------
Total Expenses 4,653,953
-------------
NET INVESTMENT INCOME 4,717,244
NET REALIZED GAIN (LOSS) ON INVESTMENTS
Investment Transactions (198,864,070)
Foreign Currency Contracts and Transactions 12,168,297
-------------
Net Realized Loss (186,695,773)
NET CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION) OF
Investments 34,497,128
Foreign Currency Contracts and Translations (10,035,173)
-------------
Net Change in Unrealized Appreciation 24,461,955
-------------
NET DECREASE IN NET ASSETS RESULTING FROM
OPERATIONS $(157,516,574)
-------------
-------------
</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 FISCAL FOR THE FISCAL
YEAR ENDED YEAR ENDED
OCTOBER 31, 1998 OCTOBER 31, 1997
---------------- ----------------
<S> <C> <C>
DECREASE IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 4,717,244 $ 10,403,473
Net Realized Gain (Loss) on Investments and
Foreign Currency Contracts and Transactions (186,695,773) 57,180,706
Net Change in Unrealized Appreciation
(Depreciation) of Investments and Foreign
Currency Contracts and Translations 24,461,955 (97,850,207)
---------------- ----------------
Net Decrease in Net Assets Resulting from
Operations (157,516,574) (30,266,028)
---------------- ----------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS
Contributions 292,356,504 342,652,801
Withdrawals (786,290,579) (375,081,272)
---------------- ----------------
Net Decrease from Investors' Transactions (493,934,075) (32,428,471)
---------------- ----------------
Total Decrease in Net Assets (651,450,649) (62,694,499)
NET ASSETS
Beginning of Fiscal Year 796,664,269 859,358,768
---------------- ----------------
End of Fiscal Year $ 145,213,620 $ 796,664,269
---------------- ----------------
---------------- ----------------
</TABLE>
- --------------------------------------------------------------------------------
SUPPLEMENTARY DATA
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE PERIOD
FOR THE FISCAL YEAR ENDED NOVEMBER 15, 1993
OCTOBER 31, (COMMENCEMENT OF
------------------------- OPERATIONS) THROUGH
1998 1997 1996 1995 OCTOBER 31, 1994
---- ---- ---- ---- -------------------
<S> <C> <C> <C> <C> <C>
RATIOS TO AVERAGE NET ASSETS
Expenses 1.30% 1.20% 1.23% 1.31% 1.36%(a)
Net Investment Income 1.32% 1.10% 1.14% 1.07% 0.66%(a)
Portfolio Turnover 44% 55% 31% 41% 27%
</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
OCTOBER 31, 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 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.
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 (CONTINUED)
OCTOBER 31, 1998
- --------------------------------------------------------------------------------
to the repurchase price plus the 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 satisfication 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 incurred organization expenses in the amount of $7,629.
Morgan Guaranty Trust Company of New York ("Morgan"), a wholly owned
subsidiary of J.P. Morgan & Co. Incorporated ("J.P. Morgan"), has agreed
to pay organization expenses of the portfolio. The portfolio has agreed to
reimburse Morgan for these costs which are being deferred and will be
amortized on a straight-line basis over a period not to exceed five years
beginning with the commencement of operations of the portfolio.
e) 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 October 31, 1998, the portfolio had no
open forward foreign currency contracts.
f) 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
31
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
OCTOBER 31, 1998
- --------------------------------------------------------------------------------
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.
2. TRANSACTIONS WITH AFFILIATES
a) Prior to October 1, 1998, the portfolio had an Investment Advisory
Agreement with Morgan. Under the terms of the agreement, the portfolio
paid Morgan at an annual rate of 1.00% of the portfolio's average daily
net assets. Effective October 1, 1998, the portfolio's Investment Advisor
is J.P. Morgan Investment Management Inc. ("JPMIM"), an affiliate of
Morgan and a wholly owned subsidiary of J.P. Morgan, and the terms of the
agreement will remain the same. For the fiscal year ended October 31,
1998, such fees amounted to $3,584,676.
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 fiscal year ended October 31, 1998,
the fee for these services amounted to $7,255.
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 JPMIM 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 fiscal year ended October 31, 1998, the fee
for these services amounted to $106,124.
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 $11,566 for the fiscal year ended October 31, 1998.
32
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
OCTOBER 31, 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 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 $2,400.
3. INVESTMENT TRANSACTIONS:
Investment transactions (excluding short-term investments) for the fiscal year
ended October 31, 1998 were as follows:
<TABLE>
<CAPTION>
COST OF PROCEEDS
PURCHASES FROM SALES
- ----------------- ------------
<S> <C>
$153,012,923...... $630,822,815
</TABLE>
4. RESTRICTED INVESTMENTS
<TABLE>
<CAPTION>
SHARES DATE ACQUIRED U.S. $ COST
------ ------------- -----------
<S> <C> <C> <C>
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 investments 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 investments at October 31, 1998 is $2,496,120 representing 1.7% of the
portfolio's net assets.
5. CREDIT AGREEMENT
The portfolio is party to a revolving line of credit 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
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
OCTOBER 31, 1998
- --------------------------------------------------------------------------------
Beginning September 1, 1998 the Malaysian government fixed the exchange rate of
its currency, the ringgit, to the U.S. dollar and implemented restrictions on
currency and stock trading. Proceeds from the sale of Malaysian securities can
not be repatriated into foreign currencies until a minimum of one year from the
initial purchase date. Additionally, proceeds from the sale of securities held
as of September 1, 1998, the date of implementation of the new exchange control
regulations may not be repatriated until September 1, 1999. At October 31, 1998,
Malaysian securities and currency (representing less than 1% of net assets) are
priced using fair values in accordance with procedures established by the
portfolio's trustees.
34
<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, 1998, 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 four 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 misstatements. 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 included
confirmation of securities at October 31, 1998 by correspondence with the
custodian and brokers, provide a reasonable basis for the opinion expressed
above.
PricewaterhouseCoopers LLP
New York, New York
December 17, 1998
35
