<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED)
APRIL 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------- -------------
<S> <C> <C>
COMMON STOCK (80.3%)
ARGENTINA (4.0%)
Banco de Galicia y Buenos Aires SA (ADR)
(Banking)...................................... 61,590 $ 1,422,344
Banco Frances del Rio de la Plata SA (ADR)
(Banking)...................................... 1,907 49,105
Perez Companc SA (Spon. ADR) (Oil-Services)...... 140,802 1,513,621
Telefonica de Argentina SA (Spon. ADR)
(Telecommunications)........................... 44,600 1,666,925
YPF Sociedad Anonima (Spon. ADR)
(Oil-Production)............................... 68,990 2,897,580
-------------
7,549,575
-------------
BRAZIL (2.4%)
Bompreco Supermercados do Norde SA (GDR) (144A)
(Food, Beverages & Tobacco).................... 67,399 539,192
Ceval Alimentos SA (Food, Beverages & Tobacco)... 731 0
Companhia Energetica de Minas Gerais SA (Spon.
ADR Represents Non-Voting Shares)
(Telecommunications)........................... 62,700 1,529,881
Makro Atacadista SA (Spon. GDS) (144A)
(Retail)+...................................... 148,500 1,039,500
Perdigao SA (Food, Beverages & Tobacco).......... 18,314,895 19,320
Santista Alimentos SA (Food, Beverages &
Tobacco)....................................... 130,387 37,726
Souza Cruz SA (Food, Beverages & Tobacco)........ 199,600 1,335,507
-------------
4,501,126
-------------
CHILE (4.4%)
Administradora de Fondos de Pensiones Provida SA
(ADR) (Banking)................................ 61,400 1,235,675
Banco Santander Chile SA (ADS) (Banking)......... 49,900 860,775
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------- -------------
<S> <C> <C>
CHILE (CONTINUED)
Compania de Telecomunicaciones de Chile SA (Spon.
ADR) (Telecommunication Services).............. 99,072 $ 2,619,216
Embotelladora Andina SA (ADR) (Food, Beverages &
Tobacco)....................................... 37,000 668,312
Empresa Nacional de Electricidad SA (Spon. ADR)
(Utilities).................................... 62,900 880,600
Enersis SA (ADR) (Utilities)..................... 38,088 730,813
Madeco SA (Spon. ADR) (Construction & Housing)... 53,200 492,100
Sociedad Quimica y Minera de Chile SA, Class A
(ADR) (Chemicals).............................. 1,261 43,504
Sociedad Quimica y Minera de Chile SA, Class B
(ADR) (Chemicals).............................. 21,823 804,723
-------------
8,335,718
-------------
CHINA (0.3%)
Beijing North Star Co. Ltd., Series H (Real
Estate)........................................ 3,020,300 413,088
Zhenhai Refining & Chemical Co. Ltd. Series H
(Chemicals).................................... 976,200 214,129
-------------
627,217
-------------
COLOMBIA (0.1%)
Cementos Diamante SA (ADR) (Building
Materials)..................................... 84,700 84,700
Corporacion Financiera Del Valle SA (ADR) (144A)
(Banking)...................................... 9,407 12,982
-------------
97,682
-------------
CROATIA (0.3%)
Pliva D.D. (GDR) (144A) (Pharmaceuticals)........ 31,660 501,811
-------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
16
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------- -------------
<S> <C> <C>
CZECH REPUBLIC (1.5%)
Central European Media Enterprises Ltd., Class A
(Entertainment, Leisure & Media)+.............. 45,900 $ 371,503
Ceske Energeticke Zavody AS (Electric)........... 309,200 436,718
SPT Telecom AS (Telecommunication Services)...... 137,900 2,003,211
-------------
2,811,432
-------------
EGYPT (0.1%)
Paints & Chemicals Industry Co. (GDR)
(Chemicals).................................... 34,600 239,605
-------------
ESTONIA (0.4%)
Estonian Telecom Ltd. (GDR) (144A) (Holding
Companies)..................................... 33,200 702,180
-------------
GHANA (0.5%)
Pioneer Tobacco Co. (Food, Beverages &
Tobacco)+...................................... 182,479 29,903
Social Security Bank Ltd. (Banking)+............. 1,464,303 1,001,827
-------------
1,031,730
-------------
GREECE (1.9%)
Hellenic Telecommunication Organization SA (OTE)
(Telecommunications)........................... 40,201 935,088
National Bank of Greece SA (Banking)............. 17,078 1,166,996
Silver & Baryte Ores Mining (Metals & Mining).... 29,701 924,199
Titan Cement Co. SA (Building Materials)......... 7,160 554,370
-------------
3,580,653
-------------
HUNGARY (1.2%)
Borsodchem RT (Chemicals)+....................... 3,600 84,293
Matav RT (Telecommunications).................... 148,585 828,952
MOL Magyar Olaj-es Gazipari RT
(Oil-Production)............................... 37,700 840,512
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------- -------------
<S> <C> <C>
HUNGARY (CONTINUED)
OTP Bank RT (Banking)............................ 12,100 $ 510,127
Pannonplast Rt. (Chemicals)...................... 1,093 20,788
-------------
2,284,672
-------------
INDIA (3.5%)
ITC Ltd. (Food, Beverages & Tobacco)............. 58,900 1,287,358
Larsen & Toubro Ltd. (GDR) (Diversified
Manufacturing)................................. 185,300 1,714,025
Reliance Industries (GDR) (Diversified
Manufacturing)................................. 182,900 1,371,750
SIEL Ltd. (GDR)
(Multi - Industry)+............................ 19,400 12,125
SIEL Ltd. (GDR) (144A)
(Multi - Industry)+............................ 21,300 13,312
State Bank of India (GDR) (Banking)+............. 103,600 922,040
Tata Engineering & Locomotive Company Ltd. (Spon.
GDR) (Automotive).............................. 194,200 636,005
Wockhardt Ltd. (GDR) (Pharmaceuticals)........... 117,300 703,800
-------------
6,660,415
-------------
INDONESIA (1.2%)
P.T. Goodyear Indonesia (Capital Goods).......... 13,000 3,698
P.T. International Nickel Indonesia (Metals &
Mining)........................................ 1,467,200 1,043,494
P.T. Multi Bintang Indonesia (Food, Beverages &
Tobacco)....................................... 82,500 235,721
P.T. Unilever Indonesia (Food, Beverages &
Tobacco)....................................... 105 318
PT Telekomunikasi Indonesia (Spon. ADR)
(Telecommunications)........................... 112,600 985,250
-------------
2,268,481
-------------
ISRAEL (3.7%)
Bank Hapoalim Ltd. (Banking)..................... 371,600 887,880
Bank Leumi Le-Israel (Banking)................... 552,900 947,231
Bezeq Israeli Telecommunication Corp. Ltd.
(Telephone).................................... 294,200 1,144,675
Israel Chemicals Ltd. (Chemicals)................ 702,500 843,483
</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, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------- -------------
<S> <C> <C>
ISRAEL (CONTINUED)
Koor Industries Ltd. (Spon. ADR) (Multi -
Industry)...................................... 62,100 $ 1,335,150
Supersol Ltd. (Food, Beverages & Tobacco)........ 239,800 649,129
Teva Pharmaceutical Industries Ltd. (ADR)
(Pharmaceuticals).............................. 27,200 1,243,550
-------------
7,051,098
-------------
MALAYSIA (1.0%)
Commerce Asset-Holding Berhad (Banking)(f)....... 8,000 10,021
Gamuda Berhad (Construction & Housing)(f)........ 24,000 29,306
Genting Berhad (Holding Companies)(f)............ 3,000 7,579
Golden Hope Plantations Berhad (Metals &
Mining)(f)..................................... 1,216,166 834,693
IJM Corporation Berhad (Building Materials)(f)... 22,000 11,764
Industrial Oxygen, Inc. Berhad
(Agriculture)(f)............................... 65,000 32,980
Lion Corp. Berhad
(Multi - Industry)(f).......................... 458,600 115,859
London & Pacific Insurance Co. Berhad
(Insurance)(f)................................. 10,800 8,322
Malakoff Berhad (Agriculture)(f)................. 137,000 258,143
Malayan Banking Berhad (Banking)(f).............. 3,000 6,379
Malaysian Tobacco Co. Berhad (Food, Beverages &
Tobacco)(f).................................... 7,000 5,335
Nestle Berhad (Food, Beverages & Tobacco)(f)..... 149,000 473,674
Telekom Malaysia Berhad
(Telecommunications)(f)........................ 3,000 7,074
-------------
1,801,129
-------------
MEXICO (12.3%)
ALFA SA de CV
(Multi - Industry)............................. 224,000 890,934
Cemex SA de CV, B Shares (Building Materials).... 388,975 1,806,007
Empaques Ponderosa SA de CV, Series B (Forest
Products & Paper)+............................. 875,000 698,884
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------- -------------
<S> <C> <C>
MEXICO (CONTINUED)
Empresas ICA Sociedad Controladora SA de CV
(Spon. ADR) (Construction & Housing)........... 95,112 $ 624,172
Fomento Economico Mexicano SA de CV (Spon. ADR)
(Food, Beverages & Tobacco).................... 24,600 894,825
Grupo Carso SA de CV, Class A (Multi -
Industry)...................................... 203,400 980,706
Grupo Casa Autrey SA de CV (Spon. ADR) (Food,
Beverages & Tobacco)........................... 89,500 559,375
Grupo Financiero Banamex Accival SA de CV, Class
L (Banking)+................................... 6,960 16,534
Grupo Financiero Banamex Accival SA de CV, Class
B (Financial Services)......................... 683,000 1,740,813
Grupo Financiero Bancomer, SA de CV, Class B
(Financial Services)........................... 3,635,700 1,263,088
Grupo Financiero Probursa SA de CV, Class B
(Financial Services)........................... 231 29
Grupo Gigante SA DW CV, Class B (Food, Beverages
& Tobacco)..................................... 2,480,000 899,160
Grupo Iusacell SA (ADR) (Telecommunications)+.... 97,500 1,096,875
Grupo Radio Centro SA de CV (Spon. ADR)
(Broadcasting & Publishing).................... 79,500 496,875
Grupo Televisa SA (Spon. GDR)
(Telecommunications)+.......................... 54,100 2,218,100
Panamerican Beverages, Inc. (ADR) (Food,
Beverages & Tobacco)........................... 28,300 627,906
Savia SA de CV (Agriculture)..................... 33,500 772,594
Telefonos de Mexico SA de CV, Class L (Spon. ADR)
(Telecommunications)........................... 85,320 6,462,990
Tubos de Acero de Mexico SA (Manufacturing)...... 95,000 1,059,013
-------------
23,108,880
-------------
</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, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------- -------------
<S> <C> <C>
PAKISTAN (0.9%)
Hub Power Co. Ltd. (Spon. GDR) (Utilities)....... 86,900 $ 695,200
Pakistan State Oil Co. Ltd. (Oil-Production)+.... 247,441 443,514
Pakistan Telecommunications Co. Ltd.
(Telecommunication Services)................... 16,032 646,731
-------------
1,785,445
-------------
PERU (2.3%)
Banco Latinoamericano de Exportaciones Ltd.
(Banking)...................................... 58,000 1,848,750
Cementos Norte Pacasmayo SA, Class T (Building
Materials)..................................... 516,428 583,276
Compania de Minas Buenaventura SA (Spon. ADR)
(Metals & Mining).............................. 43,800 706,275
Creditcorp Ltd. (Financial Services)............. 55,700 563,963
Telefonica del Peru SA (ADR) (Telecommunication
Services)...................................... 47,400 713,963
-------------
4,416,227
-------------
PHILIPPINES (2.0%)
Ayala Corp. (Multi - Industry)................... 2,752,000 995,165
First Philippine Holdings Corp., Class B (Multi -
Industry)...................................... 774,840 703,032
Philippine Commercial International Bank
(Banking)...................................... 107,250 705,150
Philippine Long Distance Telephone Co. (ADR)
(Telecommunications)........................... 39,604 1,277,229
-------------
3,680,576
-------------
POLAND (3.1%)
Bank Slaski SA (Banking)......................... 4,630 209,717
Elektrim Spolka Akcyjna SA (Electrical
Equipment)..................................... 177,384 2,109,705
KGHM Polska Miedz SA (Metals & Mining)........... 111,510 694,139
Telekomunikacja Polska SA (GDR) (144A)
(Telecommunication Services)................... 352,100 2,191,823
Wielkopolski Bank Kredytowy SA (Banking)......... 33,418 182,655
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------- -------------
<S> <C> <C>
POLAND (CONTINUED)
Wielkopolski Bank Kredytowy SA (Banking)......... 35,500 $ 194,021
Zyweic SA (Food, Beverages & Tobacco)............ 2,809 292,852
-------------
5,874,912
-------------
RUSSIA (0.6%)
Surgutneftegaz (Spon. ADR) (Oil-Production)...... 131,200 1,023,360
Vimpel-Communications (Spon. ADR)
(Telecommunication Services)+.................. 1,900 31,350
-------------
1,054,710
-------------
SLOVAKIA (0.3%)
Slovakofarma AS (Pharmaceuticals)................ 12,700 526,857
-------------
SOUTH AFRICA (11.2%)
Anglo-American Corp. of South Africa Ltd. (Multi
- Industry).................................... 17,800 912,695
AngloGold Ltd. (Metals & Mining)................. 30,100 1,420,104
Billiton PLC (Metals & Mining)................... 587,400 1,987,079
BOE Ltd. (Financial Services).................... 2,126,900 2,107,966
De Beers Consolidated Mines Ltd. (Centenary
Linked Units) (Metals & Mining)................ 77,000 1,917,324
Edgars Stores Ltd. (Retail)...................... 109,525 557,104
Highveld Steel & Vanadium Corp. Ltd. (Metals &
Mining)........................................ 321,803 975,266
Iscor Ltd. (Metals & Mining)..................... 6,672,100 2,164,158
Liberty Life Association of Africa Ltd.
(Insurance).................................... 126,911 1,829,545
Sanlam Ltd. (Financial Services)................. 1,225,500 1,204,553
Sappi Ltd. (Forest Products & Paper)+............ 155,000 1,115,968
Sasol Ltd. (Oil-Production)...................... 172,100 1,181,289
South African Breweries PLC (Food, Beverages &
Tobacco)....................................... 163,564 1,353,132
Standard Bank Investment Corp. Ltd. (Banking).... 285,100 864,033
Wooltru Ltd. (Metals & Mining)................... 750,030 1,443,703
-------------
21,033,919
-------------
</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, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------- -------------
<S> <C> <C>
SOUTH KOREA (8.7%)
Daehan City Gas Co. (Gas-Pipelines).............. 42,500 $ 1,582,401
Daewoo Heavy Industries (Transport & Services)... 12,574 55,545
Hansol Paper Co. Ltd. (GDS) (Forest Products &
Paper)......................................... 3,038 25,576
Hanwha Chemical Corp. (Chemicals)+............... 249,071 2,041,251
Housing & Commercial Bank, Korea (GDR)
(Banking)...................................... 80,155 1,945,763
Korea Electric Power Corp. (Electric)............ 114,096 3,283,301
Korea Mobile Telecommunications
(Telecommunications)........................... 1,400 1,465,127
Medison Company Ltd. (Holding Companies)......... 162,797 1,821,849
Samsung Corp. (GDR) (144A) (Electronics)+........ 3,048 21,427
Samsung Electronics Co. Ltd. (GDR)(144A)
(Electronics)+................................. 9,824 436,186
Samsung Fire & Marine Insurance (Insurance)...... 4,307 1,993,204
SK Telecom Co. Ltd. (Telecommunication
Services)(f)................................... 126,000 1,748,250
-------------
16,419,880
-------------
TAIWAN (4.4%)
Asia Cement Corp. (Building Materials)........... 743,600 695,867
Asia Cement Corp. (GDS) (Building Materials)..... 53,008 490,324
China Steel Corp. (Spon. ADR) (Metals &
Mining)........................................ 39,816 630,088
China Steel Corp. (Spon. GDR) (Metals &
Mining)........................................ 741,000 589,192
Evergreen Marine Corp. (Spon. GDR) (Transport &
Services)...................................... 119,806 1,785,109
President Enterprises Corp. (GDR) (144A) (Food,
Beverages & Tobacco)+.......................... 97,738 904,077
Siliconware Precision Industries Co. (GDR)
(Semiconductors)+.............................. 79,768 887,419
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------- -------------
<S> <C> <C>
TAIWAN (CONTINUED)
Taiwan Semiconductor Manufacturing Co. Ltd.
(Spon. ADR) (Semiconductors)................... 27,231 $ 653,544
Taiwan Semiconductor Manufacturing Co.
(Semiconductors)............................... 270,000 912,413
Yang Ming Marine Transport (Transportation)...... 1,118,860 793,833
-------------
8,341,866
-------------
THAILAND (3.0%)
Banpu Public Co. Ltd. (Metals & Mining).......... 279,400 459,219
Cogeneration Public Co. Ltd. (Electric).......... 853,400 649,583
Dhana Siam Finance and Securities Public Co. Ltd.
(Financial Services)(f)+....................... 136 0
PTT Exploration & Production Public Co. Ltd.
(Oil-Production)............................... 77,000 709,545
Shinawatra Computer Public Co. Ltd. (Computer
Systems)....................................... 328,000 1,184,246
Siam Cement Public Co. Ltd. (Building
Materials)+.................................... 87,000 2,569,172
-------------
5,571,765
-------------
TURKEY (2.5%)
Aksa Akrilik Kimya Sanayii AS (Textiles)......... 2,693,000 60,522
Eregli Demir Ve Celik Fabrikalari AS (Metals &
Mining)........................................ 51,559,000 948,047
Ford Otomotive Sanayii AS (Automotive)+.......... 1,583,000 677,156
Migros Turk AS (Food, Beverages & Tobacco)....... 427,000 588,863
Petrol Ofisi AS (Gas-Pipelines).................. 599,500 183,723
Tupras-Turkiye Petrol Rafinerileri AS (Oil-
Production).................................... 3,343,000 260,393
Turkiye Is Bankasi (Banking)..................... 21,593,125 1,061,547
Yapi ve Kredi Bankasi AS (Banking)............... 42,609,821 1,022,894
-------------
4,803,145
-------------
</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, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------- -------------
<S> <C> <C>
VENEZUELA (2.5%)
C.A. La Electricidad de Caracas (Electric)....... 2,465,724 $ 1,025,246
Ceramica Carabobo CA, Class A (Spon. ADR)
(Building Materials)........................... 85,176 34,070
Ceramica Carabobo CA, Class B (Spon. ADR)
(Building Materials)........................... 21,266 8,506
Compania Anonima Nacional Telefonos de Venezuela
(ADR) (Telecommunication Services)............. 97,400 2,678,500
Corimon CA (Chemicals)+.......................... 675 4
International Briquettes Holding, Inc. (Metals &
Mining)........................................ 36,166 153,706
Mavesa SA (Spon. ADR) (Food, Beverages &
Tobacco)....................................... 257,230 771,690
-------------
4,671,722
-------------
ZIMBABWE (0.0%)
Trans Zambesi Industries Ltd. (Holding
Companies)+.................................... 4,100 287
-------------
TOTAL COMMON STOCK
(COST $153,342,054)........................... 151,334,715
-------------
PREFERRED STOCK (8.7%)
BRAZIL (5.6%)
Centrais Electricas Brasileiras SA (Holding
Companies)..................................... 77,022,000 1,648,185
Compania Paranaense de Energia-Copel
(Utilities).................................... 162,576,000 1,307,299
Copene Petroquimica do Nordeste SA (Chemicals)... 4,167,000 703,306
Embratel Participacoes SA (ADR)
(Telecommunication Services)................... 72,117 1,171,901
Tele Norte Leste Participacoes SA (ADR)
(Telecommunication Services)................... 99,878 1,691,684
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------- -------------
<S> <C> <C>
BRAZIL (CONTINUED)
Usinas Siderurgicas de Minas Gerais SA (Spon.
ADR) (Metals & Mining)......................... 613,800 $ 1,767,744
Votorantim Celulose e Papel SA (ADR) (Forest
Products & Paper).............................. 189,250 2,223,687
-------------
10,513,806
-------------
COLOMBIA (0.9%)
Banco Ganadero SA (ADR) (Banking)................ 38,600 366,700
Bancolombia SA (Spon. ADR) (Banking)............. 204,000 1,377,000
-------------
1,743,700
-------------
GREECE (0.0%)
Delta Dairy SA (Food, Beverages & Tobacco)....... 697 9,070
-------------
SOUTH KOREA (2.2%)
Samsung Co. Ltd. (GDR) (144A) (Electronics)...... 3,199 10,909
Samsung Co. Ltd. (GDR) (144A) (Electronics)...... 179,403 4,058,993
-------------
4,069,902
-------------
TOTAL PREFERRED STOCK (COST $20,293,713)....... 16,336,478
-------------
RIGHTS (0.0%)
GREECE (0.0%)
National Bank of Greece SA
(Banking) (COST $20,159)....................... 17,078 49,724
-------------
<CAPTION>
PRINCIPAL
AMOUNT
-------------
<S> <C> <C>
CONVERTIBLE BONDS (0.1%)
POLAND (0.1%)
Elektrim Spolka Akcyjna SA (144A), 2.00% due
05/30/04 (Electronics) (COST $103,841)......... 158,000 103,841
-------------
</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, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION UNITS VALUE
- ------------------------------------------------- ------------- -------------
<S> <C> <C>
PARTNERSHIPS (1.2%)
RUSSIA (1.2%)
New Century Holdings Ltd. (Partnership III; Group
B)(f)+......................................... 800 $ 139,200
New Century Holdings Ltd. (Partnership IV; Group
I)(f)+......................................... 900 243,000
New Century Holdings Ltd. (Partnership V; Group
I)(f)+......................................... 1,600 403,200
New Century Holdings Ltd. (Partnership X)(f)+.... 2,617 1,057,530
New Century Holdings Ltd. (Partnership XIV;
Group I)(f)+................................... 2,500 378,000
-------------
2,220,930
-------------
TOTAL PARTNERSHIPS (COST $7,240,200)........... 2,220,930
-------------
PRIVATE PLACEMENTS (1.8%)
INDIA (1.8%)
Aptech Ltd. Series B Participatory Notes,
04/16/02 (Computer Software)................... 103,400 1,993,655
Hindalco Industries Ltd. Participatory Notes,
03/31/02 (Metals & Mining)..................... 50,000 716,000
Mahanagar Telephone Nigam Ltd. Participatory
Notes, 04/19/02 (Telecommunication Services)... 203,000 739,123
-------------
3,448,778
-------------
TOTAL PRIVATE PLACEMENTS
(COST $3,848,980)............................. 3,448,778
-------------
<CAPTION>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- ------------------------------------------------- ------------- -------------
<S> <C> <C>
SHORT-TERM INVESTMENTS (8.6%)
REPURCHASE AGREEMENT (8.6%)
State Street Bank and Trust Co., 4.00% due
05/03/99, dated 04/30/99, proceeds $16,283,246
(collateralized by US Treasury Bond, 7.50% due
11/15/16, valued at $16,609,050) (Banking)
(COST $16,278,000)............................. $ 16,278,000 $ 16,278,000
-------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS (COST $201,126,947) (100.7%).................. 189,772,466
LIABILITIES IN EXCESS OF OTHER ASSETS (-0.7%)................... (1,281,164)
-------------
NET ASSETS (100.0%)............................................. $ 188,491,302
-------------
-------------
</TABLE>
- ------------------------------
Note: Based on the cost of investments of $202,415,758 for federal income tax
purposes at April 30, 1999 the aggregate gross unrealized appreciation and
depreciation was $26,070,729 and $38,714,021, respectively, resulting in net
unrealized depreciation of $12,643,292.
+ - Non-income producing security.
ADR - American Depositary Receipt.
ADS - American Depositary Shares.
GDR - Global Depositary Receipt.
GDS - Global Depositary Shares.
Spon. ADR - Sponsored ADR.
Spon. GDR - Sponsored GDR.
Spon. GDS - Sponsored GDS.
USD - United States Dollar.
144A - Securities restricted for resale to Qualified Institutional Buyers.
(f) - Fair valued security. Approximately 3.0% 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.
22
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1999
- --------------------------------------------------------------------------------
INDUSTRY DIVERSIFICATION
<TABLE>
<CAPTION>
PERCENT OF
TOTAL INVESTMENTS
-----------------
<S> <C>
Banking........................................... 18.5%
Metals & Mining................................... 10.2%
Telecommunications................................ 9.2%
Telecommunications - Services..................... 8.6%
Food, Beverages & Tobacco......................... 6.4%
Oil - Production.................................. 3.9%
Building Materials................................ 3.6%
Financial Services................................ 3.6%
Multi - Industry.................................. 3.2%
Electric.......................................... 2.9%
Chemicals......................................... 2.6%
Electronics....................................... 2.4%
Holding Companies................................. 2.2%
Forest Products & Paper........................... 2.1%
Insurance......................................... 2.0%
Utilities......................................... 1.9%
Computers - Systems............................... 1.7%
Pharmaceuticals................................... 1.6%
Diversified Manufacturing......................... 1.6%
Transport & Services.............................. 1.4%
Broadcasting & Publishing......................... 1.4%
Semiconductors.................................... 1.3%
Partnerships...................................... 1.2%
Electrical Equipment.............................. 1.1%
Gas - Pipelines................................... 0.9%
Retail............................................ 0.8%
Oil - Services.................................... 0.8%
Automotive........................................ 0.7%
Agriculture....................................... 0.6%
Manufacturing..................................... 0.6%
Construction & Housing............................ 0.6%
Real Estate....................................... 0.2%
Entertainment, Leisure & Media.................... 0.2%
Capital Goods..................................... 0.0%
Airlines.......................................... 0.0%
-----------------
100.0%
-----------------
-----------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
23
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES (UNAUDITED)
APRIL 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments at Value (Cost $201,126,947) $189,772,466
Cash 629
Foreign Currency at Value (Cost $1,276,640) 1,267,230
Receivable for Investments Sold 710,280
Dividends Receivable 549,748
Prepaid Trustees' Fees 5,792
Interest Receivable 2,471
Prepaid Expenses and Other Assets 1,912
------------
Total Assets 192,310,528
------------
LIABILITIES
Payable for Investments Purchased 3,363,713
Custody Fee Payable 142,292
Advisory Fee Payable 133,895
Administrative Services Fee Payable 3,449
Fund Services Fee Payable 62
Accrued Foreign Capital Gains Taxes 141,644
Accrued Expenses 34,171
------------
Total Liabilities 3,819,226
------------
NET ASSETS
Applicable to Investors' Beneficial Interests $188,491,302
------------
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
24
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
STATEMENT OF OPERATIONS (UNAUDITED)
FOR THE SIX MONTHS ENDED APRIL 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Dividend Income (Net of Withholding Tax of
$197,203) $ 1,539,866
Interest Income 58,388
-----------
Investment Income 1,598,254
EXPENSES
Advisory Fee $ 714,875
Custodian Fees and Expenses 170,437
Professional Fees and Expenses 25,311
Administrative Services Fee 18,897
Fund Services Fee 1,490
Administration Fee 965
Trustees' Fees and Expenses 753
Amortization of Organization Expense 62
Miscellaneous 4,538
-----------
Total Expenses 937,328
-----------
NET INVESTMENT INCOME 660,926
NET REALIZED LOSS ON
Investment Transactions (30,317,762)
Foreign Currency and Transactions (325,971)
-----------
Net Realized Loss (30,643,733)
NET CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION) OF
Investments 67,545,614
Foreign Currency Contracts and Translations (33,788)
-----------
Net Change in Unrealized Appreciation 67,511,826
-----------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $37,529,019
-----------
-----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
25
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE SIX
MONTHS ENDED
APRIL 30, FOR THE FISCAL
1999 YEAR ENDED
(UNAUDITED) OCTOBER 31, 1998
------------ ----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 660,926 $ 4,717,244
Net Realized Loss on Investments and Foreign
Currency Contracts and Transactions (30,643,733) (186,695,773)
Net Change in Unrealized Appreciation of
Investments and Foreign Currency Contracts and
Translations 67,511,826 24,461,955
------------ ----------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 37,529,019 (157,516,574)
------------ ----------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS
Contributions 102,650,727 292,356,504
Withdrawals (96,902,064) (786,290,579)
------------ ----------------
Net Increase (Decrease) from Investors'
Transactions 5,748,663 (493,934,075)
------------ ----------------
Total Increase (Decrease) in Net Assets 43,277,682 (651,450,649)
NET ASSETS
Beginning of Period 145,213,620 796,664,269
------------ ----------------
End of Period $188,491,302 $ 145,213,620
------------ ----------------
------------ ----------------
</TABLE>
- --------------------------------------------------------------------------------
SUPPLEMENTARY DATA
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE PERIOD
FOR THE FOR THE FISCAL YEAR ENDED NOVEMBER 15, 1993
SIX MONTHS ENDED OCTOBER 31, (COMMENCEMENT OF
APRIL 30, 1999 --------------------------------- OPERATIONS) THROUGH
(UNAUDITED) 1998 1997 1996 1995 OCTOBER 31, 1994
------------------- ------ ------ ------ ------ ----------------------
<S> <C> <C> <C> <C> <C> <C>
RATIOS TO AVERAGE NET ASSETS
Expenses 1.31%(a) 1.30% 1.20% 1.23% 1.31% 1.36%(a)
Net Investment Income 0.92%(a) 1.32% 1.10% 1.14% 1.07% 0.66%(a)
Portfolio Turnover 52%(b) 44% 55% 31% 41% 27%
</TABLE>
- ------------------------
(a) Annualized.
(b) Not Annualized.
The Accompanying Notes are an Integral Part of the Financial Statements.
26
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
APRIL 30, 1999
- --------------------------------------------------------------------------------
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
27
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1999
- --------------------------------------------------------------------------------
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 April 30, 1999, 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
28
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1999
- --------------------------------------------------------------------------------
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
will be 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 six months ended April 30, 1999,
such fees amounted to $714,875.
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, 1999, the
fee for these services amounted to $965.
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 (formerly
JPM 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 JPMIM provides similar
services and J.P. Morgan Series Trust. For the six months ended April 30,
1999, the fee for these services amounted to $18,897.
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 $1,490 for the six months ended April 30, 1999.
29
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1999
- --------------------------------------------------------------------------------
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 $300.
3. INVESTMENT TRANSACTIONS:
Investment transactions (excluding short-term investments) for the six months
ended April 30, 1999 were as follows:
<TABLE>
<CAPTION>
COST OF PROCEEDS
PURCHASES FROM SALES
----------- ------------
<S> <C>
$74,305,885 $ 81,456,152
</TABLE>
4. RESTRICTED SECURITIES
<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 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, 1999 is $2,220,930 representing 1.2% 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.
30
