<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------- -------------
<S> <C> <C>
COMMON STOCK (85.1%)
ARGENTINA (1.0%)
Perez Companc SA (Spon. ADR) (Oil-Services)...... 33,542 $ 402,504
Siderar Saic (Metals & Mining)................... 216,800 815,566
Telefonica de Argentina SA (Spon. ADR)
(Telecommunications)........................... 20,100 515,062
------------
1,733,132
------------
BRAZIL (1.1%)
Ceval Alimentos SA (Food, Beverages & Tobacco)... 731 1
Companhia Energetica de Minas Gerais SA (Spon.
ADR Represents Non-Voting Shares)
(Telecommunications)........................... 39,500 565,245
Perdigao SA (Food, Beverages & Tobacco).......... 30,885,895 44,303
Santista Alimentos SA (Food, Beverages &
Tobacco)....................................... 130,387 27,386
Seara Alimentos SA (Food, Beverages & Tobacco)... 731 0
Souza Cruz SA (Food, Beverages & Tobacco)........ 199,600 1,140,110
------------
1,777,045
------------
CHILE (4.7%)
Administradora de Fondos de Pensiones Provida SA
(Spon. ADR) (Banking).......................... 51,900 895,275
Banco Santander Chile SA (Spon. ADR) (Banking)... 49,900 817,112
Compania de Telecomunicaciones de Chile SA (Spon.
ADR) (Telecommunication Services).............. 83,183 1,388,116
Embotelladora Andina SA (ADR) (Food, Beverages &
Tobacco)....................................... 36,900 599,625
Empresa Nacional de Electricidad SA (Spon. ADR)
(Utilities).................................... 60,028 765,357
Enersis SA (Spon. ADR) (Electric)................ 80,188 1,804,230
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------- -------------
<S> <C> <C>
CHILE (CONTINUED)
Madeco SA (Spon. ADR) (Construction & Housing)... 73,962 $ 730,375
Sociedad Quimica y Minera de Chile SA, Class A
(Spon. ADR) (Chemicals)........................ 1,261 34,835
Sociedad Quimica y Minera de Chile SA, Class B
(Spon. ADR) (Chemicals)........................ 25,240 733,537
------------
7,768,462
------------
CHINA (0.5%)
Zhenhai Refining & Chemical Co. Ltd. Series H
(Chemicals).................................... 3,928,100 798,814
------------
COLOMBIA (0.1%)
Cementos Diamante SA (ADR) (Building
Materials)..................................... 84,700 84,700
Corporacion Financiera Del Valle SA (Spon. ADR)
(144A) (Banking)............................... 9,407 8,278
------------
92,978
------------
CROATIA (0.4%)
Pliva D.D. (GDR) (144A) (Pharmaceuticals)........ 55,860 608,874
------------
CZECH REPUBLIC (1.7%)
Ceske Energeticke Zavody AS (Electric)........... 309,200 800,130
SPT Telecom AS (Telecommunication Services)...... 137,900 2,079,679
------------
2,879,809
------------
EGYPT (0.6%)
MobiNil (Telecommunication Services)............. 32,500 838,365
Paints & Chemicals Industry Co. (GDR) (144A)
(Chemicals).................................... 34,600 218,845
------------
1,057,210
------------
ESTONIA (0.3%)
Estonian Telecom Ltd. (GDR) (144A) (Holding
Companies)..................................... 33,200 526,220
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
18
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
OCTOBER 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------- -------------
<S> <C> <C>
GREECE (3.6%)
Alpha Credit Bank SA (Banking)................... 17,730 $ 1,355,915
Hellenic Telecommunication Organization SA (OTE)
(Telecommunications)........................... 116,791 2,474,819
National Bank of Greece SA (Banking)............. 18,785 1,346,809
Silver & Baryte Ores Mining Co. SA (Metals &
Mining)........................................ 1 39
Titan Cement Co. SA (Building Materials)......... 7,160 793,971
------------
5,971,553
------------
HUNGARY (1.3%)
Borsodchem RT (Chemicals)+....................... 3,600 107,660
Matav RT (Telecommunications).................... 177,385 1,031,796
MOL Magyar Olaj-es Gazipari RT
(Oil-Production)............................... 22,600 455,224
OTP Bank RT (Banking)............................ 12,100 549,378
------------
2,144,058
------------
INDIA (6.6%)
Asian Paints Ltd. (Manufacturing)................ 6,517 57,563
Bajaj Auto Ltd. (Transportation)................. 61,400 623,339
Hindalco Industries Ltd. (Spon. GDR) (Metals &
Mining)+....................................... 18,500 392,200
ICICI Ltd. (Financial Services).................. 768,450 1,399,113
ITC Ltd. (Food, Beverages & Tobacco)............. 58,900 944,856
Larsen & Toubro Ltd. (GDR) (Diversified
Manufacturing)................................. 163,200 3,541,440
Mahanagar Telephone Nigam Ltd. (GDR)
(Telecommunication Services)................... 37,900 315,517
Reliance Industries Ltd. (GDR) (Diversified
Manufacturing)................................. 99,200 1,222,640
Tata Engineering & Locomotive Co. Ltd. (Spon.
GDR) (Automotive).............................. 194,200 1,233,170
Wockhardt Ltd. (GDR) (Pharmaceuticals)........... 117,300 1,348,950
------------
11,078,788
------------
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------- -------------
<S> <C> <C>
INDONESIA (2.8%)
P.T. Indosat (ADR) (Telecommunication
Services)...................................... 39,000 $ 621,562
P.T. International Nickel Indonesia (Metals &
Mining)........................................ 1,467,200 1,327,465
P.T. Unilever Indonesia (Food, Beverages &
Tobacco)....................................... 260,105 2,810,654
------------
4,759,681
------------
ISRAEL (4.7%)
Bank Hapoalim Ltd. (Banking)..................... 439,223 1,044,239
Bank Leumi Le-Israel (Banking)................... 647,800 1,142,131
Bezeq Israeli Telecommunication Corp. Ltd.
(Telephone).................................... 337,300 1,374,380
ECI Telecom Ltd. (Telecommunications
Equipment)..................................... 21,200 614,800
Israel Chemicals Ltd. (Chemicals)................ 702,500 649,879
Koor Industries Ltd. (Spon. ADR) (Multi -
Industry)...................................... 62,100 1,047,937
Supersol Ltd. (Food, Beverages & Tobacco)........ 239,800 682,447
Teva Pharmaceutical Industries Ltd. (ADR)
(Pharmaceuticals).............................. 27,200 1,314,950
------------
7,870,763
------------
MALAYSIA (1.0%)
Commerce Asset-Holding Berhad (Banking).......... 52,000 114,948
Gamuda Berhad (Construction & Housing)........... 71,000 142,935
Genting Berhad (Holding Companies)............... 50,000 178,948
IJM Corp. Berhad (Building Materials)............ 154,000 115,095
Industrial Oxygen, Inc. Berhad (Agriculture)..... 348,000 183,158
Malakoff Berhad (Agriculture).................... 102,000 238,895
Malayan Banking Berhad (Banking)................. 70,000 237,632
</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, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------- -------------
<S> <C> <C>
MALAYSIA (CONTINUED)
Nestle Berhad (Food, Beverages & Tobacco)........ 82,000 $ 302,106
Telekom Malaysia Berhad (Telecommunications)..... 52,000 160,106
------------
1,673,823
------------
MEXICO (13.3%)
ALFA SA de CV (Multi - Industry)................. 230,000 881,078
Cemex SA de CV (Spon. ADR) (Building
Materials)..................................... 82,443 1,854,967
Cemex SA de CV, B Shares (Building Materials).... 2 9
Cifra SA de CV (Retail).......................... 513,200 805,561
Controladora Comercial Mexicana SA de CV (Food,
Beverages & Tobacco)........................... 1,099,100 908,260
Empaques Ponderosa SA de CV, Series B (Forest
Products & Paper)+............................. 875,000 543,212
Empresas ICA Sociedad Controladora SA de CV
(Spon. ADR) (Construction & Housing)........... 155,128 397,515
Fomento Economico Mexicano SA de CV (Spon. ADR)
(Food, Beverages & Tobacco).................... 24,600 807,188
Grupo Carso SA de CV, Class A (Multi -
Industry)...................................... 201,100 841,351
Grupo Financiero Banamex Accival, SA de CV, Class
O (Financial Services)......................... 599,600 1,497,052
Grupo Financiero Bancomer, SA de CV, Class O
(Financial Services)........................... 2,083,100 551,455
Grupo Financiero Probursa SA de CV, Class B
(Financial Services)........................... 231 24
Grupo Gigante SA de CV, Class B (Food,
Beverages & Tobacco)........................... 1,330,000 497,066
Grupo Iusacell SA (ADR) (Telecommunications)..... 97,082 1,152,849
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------- -------------
<S> <C> <C>
MEXICO (CONTINUED)
Grupo Modelo SA de CV (Series C) (Food, Beverages
& Tobacco)..................................... 215,000 $ 524,525
Grupo Radio Centro SA de CV (Spon. ADR)
(Broadcasting & Publishing).................... 45,200 211,875
Grupo Televisa SA (Spon. GDR) (Broadcasting &
Publishing)+................................... 50,000 2,125,000
Panamerican Beverages, Inc. (ADR) (Food,
Beverages & Tobacco)........................... 34,500 554,156
Savia SA de CV (Agriculture)..................... 25,800 551,475
Telefonos de Mexico SA de CV, Class L (Spon. ADR)
(Telecommunications)........................... 78,571 6,717,821
Tubos de Acero de Mexico SA (Manufacturing)...... 76,640 823,486
------------
22,245,925
------------
PAKISTAN (1.2%)
Hub Power Co. Ltd. (Spon. GDR) (Utilities)....... 124,600 1,027,950
Pakistan State Oil Co. Ltd. (Oil-Production)+.... 247,441 655,916
Pakistan Telecommunications Corp. (Spon. GDR)
(144A) (Telecommunications).................... 10,707 385,452
------------
2,069,318
------------
PERU (1.3%)
Banco Latinoamericano de Exportaciones Ltd.
(Banking)...................................... 35,600 852,175
Cementos Pacasmayo SAA (Building Materials)...... 1,225,184 578,206
Compania de Minas Buenaventura SA (Spon. ADR)
(Metals & Mining).............................. 43,800 744,600
------------
2,174,981
------------
PHILIPPINES (1.2%)
Equitable PCI Bank (Banking)..................... 142,350 251,727
First Philippine Holdings Corp., Class B (Multi -
Industry)...................................... 413,740 350,365
</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, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------- -------------
<S> <C> <C>
PHILIPPINES (CONTINUED)
Manila Electric Co., Class B (Electric).......... 224,913 $ 616,199
Philippine Long Distance Telephone Co. (Spon.
ADR) (Telecommunications)...................... 39,604 814,357
------------
2,032,648
------------
POLAND (1.8%)
Bank Slaski SA (Banking)......................... 4,630 252,346
Elektrim Spolka Akcyjna SA (Electrical
Equipment)..................................... 154,207 1,333,781
Telekomunikacja Polska SA (GDR) (144A)
(Telecommunication Services)................... 233,800 1,174,845
Wielkopolski Bank Kredytowy SA (Banking)......... 34,418 202,267
------------
2,963,239
------------
RUSSIA (0.4%)
Surgutneftegaz (Spon. ADR) (Oil-Production)...... 85,200 702,900
------------
SLOVAKIA (0.4%)
Slovakofarma AS (Pharmaceuticals)................ 12,700 610,951
------------
SOUTH AFRICA (12.2%)
Anglo American PLC (Metals & Mining)+............ 17,800 947,203
AngloGold Ltd. (Metals & Mining)................. 24,817 1,401,374
Billiton PLC (Metals & Mining)................... 368,400 1,606,681
BOE Ltd. (Financial Services).................... 2,471,300 2,155,586
De Beers Consolidated Mines Ltd. (Centenary
Linked Units) (Metals & Mining)................ 93,900 2,564,087
Highveld Steel & Vanadium Corp. Ltd. (Metals &
Mining)........................................ 250,703 652,762
Iscor Ltd. (Metals & Mining)..................... 5,582,200 2,162,009
Liberty Life Association of Africa Ltd.
(Insurance).................................... 144,611 1,341,378
Sanlam Ltd. (Financial Services)................. 1,049,600 1,204,171
Sappi Ltd. (Forest Products & Paper)+............ 134,900 1,117,390
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------- -------------
<S> <C> <C>
SOUTH AFRICA (CONTINUED)
Sasol Ltd. (Oil-Production)...................... 148,500 $ 1,014,965
South African Breweries Ltd. (Food, Beverages &
Tobacco)....................................... 162,064 1,418,874
Standard Bank Investment Corp. Ltd. (Banking).... 454,696 1,553,873
Wooltru Ltd. (Metals & Mining)................... 762,143 1,302,270
------------
20,442,623
------------
SOUTH KOREA (8.4%)
Daehan City Gas Co. (Gas-Pipelines).............. 35,650 1,031,309
Daewoo Heavy Industries (Transport & Services)... 12,574 20,756
Hansol Paper (Spon. GDR) (Forest Products &
Paper)......................................... 1,081 5,135
Hansol Paper Co. Ltd. (GDS) (Forest Products &
Paper)......................................... 1,748 8,303
Hanwha Chemical Corp. (Chemicals)+............... 128,771 1,164,790
Housing & Commercial Bank (GDR) (144A)
(Banking)...................................... 100,905 2,673,983
Hyundai Motor Co. Ltd. (Spon. GDR)
(Automotive)................................... 43,300 385,370
Korea Electric Power Corp. (Electric)............ 114,096 3,338,699
Korea Telecom Corp. (Spon. ADR)
(Telecommunication Services)+.................. 46,809 1,650,017
Pohang Iron & Steel Co. Ltd. (Metals & Mining)... 10,600 1,272,530
Samsung Co. Ltd. (Spon. GDR) (Electronics)+...... 3,048 24,140
Samsung Electronics (GDR) (144A)
(Electronics)+................................. 8,910 755,123
Samsung Fire & Marine Insurance (Insurance)...... 39,770 1,757,240
------------
14,087,395
------------
TAIWAN (6.7%)
Asia Cement Corp. (GDR) (144A) (Building
Materials)..................................... 832,832 655,979
Asia Cement Corp. (GDS) (Building Materials)..... 58,943 527,537
Asustek Computer Inc. (Computer Systems)......... 129,000 1,353,402
</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, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------- -------------
<S> <C> <C>
TAIWAN (CONTINUED)
Cathay Life Insurance Co. Ltd. (Insurance)....... 618,000 $ 1,596,596
China Steel Corp. (Metals & Mining).............. 1,722,050 1,323,818
China Steel Corp. (Spon. GDR) (Metals &
Mining)........................................ 41,806 703,386
Evergreen Marine Corp. (Transport & Services).... 860,720 805,399
Evergreen Marine Corp. (Spon. GDR) (Transport &
Services)...................................... 4,816 51,892
Nan Ya Plastic Corp. (Chemicals)................. 554,000 968,714
President Enterprises Corp. (GDR) (144A) (Food,
Beverages & Tobacco)........................... 107,511 698,822
Siliconware Precision Industries Co.
(Semiconductors)............................... 954,000 1,713,231
Siliconware Precision Industries Co. (GDR)
(Semiconductors)+.............................. 18,346 197,678
Yang Ming Marine Transport (Transportation)...... 1,118,860 623,939
------------
11,220,393
------------
THAILAND (1.8%)
Advanced Info Service Public Co. Ltd.
(Telecommunications)........................... 50,700 591,062
Bangkok Bank Public Co. Ltd. (Banking)........... 251,900 587,331
Banpu Public Co. Ltd. (Metals & Mining).......... 239,000 349,831
Dhana Siam Finance and Securities Public Co. Ltd.
(Financial Services)(f)........................ 136 0
Shinawatra Computer Public Co. Ltd. (Computer
Systems)....................................... 113,900 469,173
Siam Cement Public Co. Ltd. (Building
Materials)+.................................... 36,100 935,232
------------
2,932,629
------------
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------- -------------
<S> <C> <C>
TURKEY (3.5%)
Aksa Akrilik Kimya Sanayii AS (Textiles)......... 8,604,000 $ 173,594
Arcelik AS (Appliances & Household Durables)..... 19,585,000 723,077
Eregli Demir Ve Celik Fabrikalari AS (Metals &
Mining)........................................ 51,559,000 1,286,911
Ford Otomotive Sanayii AS (Automotive)+.......... 33,243,000 504,761
Haci Omer Sabanci Holding AS (Holding
Companies)..................................... 17,848,000 529,014
Migros Turk AS (Food, Beverages & Tobacco)....... 1,281,000 552,879
Petrol Ofisi AS (Gas-Pipelines).................. 1,434,784 247,701
Turkiye Is Bankasi (Banking)..................... 32,317,875 638,600
Yapi ve Kredi Bankasi AS (Banking)............... 76,697,677 1,116,716
------------
5,773,253
------------
VENEZUELA (2.5%)
C.A. La Electricidad de Caracas (Electric)....... 2,465,724 929,570
Ceramica Carabobo CA, Class A (Spon. ADR)
(Building Materials)........................... 85,176 106,470
Ceramica Carabobo CA, Class B (Spon. ADR)
(Building Materials)........................... 21,266 26,583
Compania Anonima Nacional Telefonos de Venezuela
(ADR) (Telecommunication Services)............. 84,500 2,181,156
Corimon CA (Chemicals)+.......................... 675 2
International Briquettes Holding, Inc. (Metals &
Mining)........................................ 36,166 79,113
Mavesa SA (Spon. ADR) (Food, Beverages &
Tobacco)....................................... 257,230 819,921
------------
4,142,815
------------
TOTAL COMMON STOCK (COST $140,162,499)......... 142,140,280
------------
</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, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------- -------------
<S> <C> <C>
PREFERRED STOCK (8.4%)
BRAZIL (5.0%)
Compania Paranaense de Energia-Copel
(Utilities).................................... 162,576,000 $ 1,099,365
Copene Petroquimica do Nordeste SA (Chemicals)... 4,167,000 783,431
Embratel Participacoes SA (ADR)
(Telecommunication Services)................... 72,117 928,506
Petroleo Brasileiro SA (Oil-Production).......... 6,340,000 1,008,469
Tele Norte Leste Participacoes SA (ADR)
(Telecommunication Services)................... 95,443 1,610,601
Ultrapar Participacoes SA (Spon. ADR) (Holding
Companies)..................................... 42,000 467,250
Usinas Siderurgicas de Minas Gerais SA (ADR)
(Metals & Mining).............................. 276,700 913,110
Votorantim Celulose e Papel SA (ADR) (Forest
Products & Paper).............................. 101,950 1,529,250
------------
8,339,982
------------
COLOMBIA (0.4%)
Bancolombia SA (Spon. ADR) (Banking)............. 158,500 688,484
------------
GREECE (0.0%)
Delta Dairy SA (Food, Beverages & Tobacco)....... 697 25,786
------------
SOUTH KOREA (3.0%)
Samsung Corp. (Spon. GDR) (144A) (Electronics)... 3,199 19,418
Samsung Electronics (Spon. GDR) (Electronics).... 85,249 5,008,379
------------
5,027,797
------------
TOTAL PREFERRED STOCK (COST $13,514,807)....... 14,082,049
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT{::} VALUE
- ------------------------------------------------- ---------------- -------------
<S> <C> <C>
CONVERTIBLE BONDS (1.1%)
TAIWAN (1.1%)
Taiwan Semiconductor Manufacturing Co. 0.00% due
07/03/02 (Manufacturing) (cost $1,752,548)..... $ 1,200,000 $ 1,788,000
------------
</TABLE>
<TABLE>
<CAPTION>
UNITS
-------------
<S> <C> <C>
PARTNERSHIPS (1.3%)
RUSSIA (1.3%)
New Century Holdings Ltd. (Partnership III; Group
B) (f)+........................................ 800 120,000
New Century Holdings Ltd. (Partnership IV; Group
I) (f)+........................................ 900 236,700
New Century Holdings Ltd. (Partnership V; Group
I) (f)+........................................ 1,600 435,200
New Century Holdings Ltd. (Partnership X) (f)+... 2,617 1,008,068
New Century Holdings Ltd. (Partnership XIV;
Group I) (f)+.................................. 2,500 290,250
------------
TOTAL PARTNERSHIPS (COST $7,240,200)........... 2,090,218
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES
-------------
<S> <C> <C>
PRIVATE PLACEMENTS (2.2%)
INDIA (2.2%)
Aptech Ltd. Series B Participatory Notes,
04/16/02 (Computer Software)................... 103,400 2,097,055
Hindalco Industries Ltd. Participatory Notes,
03/31/02 (Metals & Mining)..................... 50,000 841,200
</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, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------- -------------
<S> <C> <C>
INDIA (CONTINUED)
Mahanagar Telephone Nigam Ltd. Participatory
Notes, 04/19/02 (Telecommunication Services)... 203,000 $ 816,466
------------
TOTAL PRIVATE PLACEMENTS (COST $3,848,980)..... 3,754,721
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT{::}
----------------
<S> <C> <C>
SHORT-TERM INVESTMENTS (2.0%)
REPURCHASE AGREEMENT (2.0%)
State Street Bank and Trust Co., 4.25% due
11/01/99, dated 10/29/99, proceeds $3,339,182
(collateralized by US Treasury Note, 5.50% due
03/31/03, valued at $3,408,828) (Banking)
(cost $3,338,000).............................. $ 3,338,000 3,338,000
------------
TOTAL INVESTMENTS
(COST $169,857,034) (100.1%)..................................... 167,193,268
LIABILITIES IN EXCESS OF OTHER
ASSETS (-0.1%)................................................... (139,658)
------------
NET ASSETS (100.0%)................................................ $167,053,610
============
</TABLE>
- ------------------------------
Note: Based on the cost of investments of $183,025,473 for federal income tax
purposes at October 31, 1999 the aggregate gross unrealized appreciation and
depreciation was $27,177,231 and $43,009,436, respectively, resulting in net
unrealized depreciation of $15,832,205.
+ - 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 1.3% of the market value of the
securities have been valued at fair value. (See Notes 1a and 4)
The Accompanying Notes are an Integral Part of the Financial Statements.
24
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
OCTOBER 31, 1999
- --------------------------------------------------------------------------------
INDUSTRY DIVERSIFICATION
<TABLE>
<CAPTION>
PERCENT OF
TOTAL INVESTMENTS
-----------------
<S> <C>
Agriculture....................................... 0.6%
Appliances & Household Durables................... 0.4%
Automotive........................................ 1.3%
Banking........................................... 11.8%
Broadcasting & Publishing......................... 1.4%
Building Materials................................ 3.4%
Chemicals......................................... 3.3%
Computer Software................................. 1.2%
Computer Systems.................................. 1.1%
Construction & Housing............................ 0.8%
Diversified Manufacturing......................... 2.8%
Electric.......................................... 4.5%
Electrical Equipment.............................. 0.8%
Electronics....................................... 3.5%
Financial Services................................ 4.1%
Food, Beverages & Tobacco......................... 8.0%
Forest Products & Paper........................... 1.9%
Gas - Pipelines................................... 0.8%
Holding Companies................................. 1.0%
Insurance......................................... 2.8%
Manufacturing..................................... 1.6%
Metals & Mining................................... 12.4%
Multi-Industry.................................... 1.9%
Oil Production.................................... 2.3%
Oil Services...................................... 0.2%
Partnerships...................................... 1.3%
Pharmaceuticals................................... 2.3%
Retail............................................ 0.5%
Semiconductors.................................... 1.1%
Telecommunication Services........................ 8.2%
Telecommunications................................ 8.5%
Telecommunications Equipment...................... 0.4%
Telephone......................................... 0.8%
Textiles.......................................... 0.1%
Transport & Services.............................. 0.5%
Transportation.................................... 0.7%
Utilities......................................... 1.7%
-----
100.0%
=====
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
25
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
OCTOBER 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments at Value (Cost $169,857,034 ) $167,193,268
Cash 328
Foreign Currency at Value (Cost $377,398) 371,738
Receivable for Investments Sold 515,007
Dividend and Interest Receivable 676,427
Prepaid Trustees' Fees 5,761
Prepaid Expenses and Other Assets 1,330
------------
Total Assets 168,763,859
------------
LIABILITIES
Payable for Investments Purchased 1,385,798
Advisory Fee Payable 141,358
Custody Fee Payable 78,433
Accrued Foreign Capital Gains Taxes 40,934
Administrative Services Fee Payable 3,556
Fund Services Fee Payable 95
Accrued Expenses 60,075
------------
Total Liabilities 1,710,249
------------
NET ASSETS
Applicable to Investors' Beneficial Interests $167,053,610
============
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
26
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE FISCAL YEAR ENDED OCTOBER 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Dividend Income (Net of Foreign Withholding Tax
of $395,190 ) $ 3,917,829
Interest Income 119,457
------------
Investment Income 4,037,286
EXPENSES
Advisory Fee $ 1,648,556
Custodian Fees and Expenses 378,569
Professional Fees and Expenses 53,460
Administrative Services Fee 42,701
Printing Expenses 8,088
Fund Services Fee 3,334
Administration Fee 2,073
Trustees' Fees and Expenses 1,561
Insurance Expense 1,092
Amortization of Organization Expense 62
Miscellaneous 429
------------
Total Expenses 2,139,925
------------
NET INVESTMENT INCOME 1,897,361
NET REALIZED LOSS ON INVESTMENTS
Investment Transactions (including foreign
capital gains tax of $125,410) (30,471,553)
Foreign Currency Contracts and Transactions (556,672)
------------
Net Realized Loss (31,028,225)
NET CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION) OF
Investments (net of foreign capital gains tax
of $40,934) 76,337,039
Foreign Currency Contracts and Translations (15,836)
------------
Net Change in Unrealized Appreciation 76,321,203
------------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $ 47,190,339
============
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
27
<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, 1999 OCTOBER 31, 1998
---------------- ----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 1,897,361 $ 4,717,244
Net Realized Loss on Investments (31,028,225) (186,695,773)
Net Change in Unrealized Appreciation of
Investments and Foreign Currency Contracts and
Translations 76,321,203 24,461,955
--------------- ---------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 47,190,339 (157,516,574)
--------------- ---------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS
Contributions 168,310,686 292,356,504
Withdrawals (193,661,035) (786,290,579)
--------------- ---------------
Net Decrease from Investors' Transactions (25,350,349) (493,934,075)
--------------- ---------------
Total Increase (Decrease) in Net Assets 21,839,990 (651,450,649)
NET ASSETS
Beginning of Fiscal Year 145,213,620 796,664,269
--------------- ---------------
End of Fiscal Year $ 167,053,610 $ 145,213,620
=============== ===============
</TABLE>
- --------------------------------------------------------------------------------
SUPPLEMENTARY DATA
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE FISCAL YEAR ENDED OCTOBER 31,
--------------------------------------
1999 1998 1997 1996 1995
------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C>
RATIOS TO AVERAGE NET ASSETS
Expenses 1.30% 1.30% 1.20% 1.23% 1.31%
Net Investment Income 1.14% 1.32% 1.10% 1.14% 1.07%
Portfolio Turnover 87% 44% 55% 31% 41%
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
28
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
OCTOBER 31, 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. 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 portfolio values securities that are listed on an exchange using
prices supplied daily by an independent pricing service that are based on
the last traded price on a national securities exchange or in the absence
of recorded trades, at the readily available mean of the bid and asked
prices on such exchange, if such exchange or market constitutes the
broadest and most representative market for the security. Securities
listed on a foreign exchange are valued at the last traded price or, in
the absence of recorded trades, at the readily available mean of the bid
and asked prices on such exchange available before the time when net
assets are valued. Independent pricing service procedures may also include
the use of prices based on yields or prices of securities of comparable
quality, coupon, maturity and type, indications as to values from dealers,
operating data, and general market conditions. Unlisted securities are
valued at the average of the quoted bid and asked price in the
over-the-counter market provided by a principal market maker or dealer. If
prices are not supplied by the portfolio's independent pricing service or
principal market maker or dealer, such securities are priced using fair
values in accordance with procedures adopted by the portfolio's trustees.
All short-term securities with a remaining maturity of sixty days or less
are valued using 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.
b) The portfolio's custodian or designated subcustodians, as the case may be
under tri-party repurchase agreements, 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-
29
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
OCTOBER 31, 1999
- --------------------------------------------------------------------------------
to-market basis to determine that the value, including accrued interest,
is at least equal 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
satisfaction of the obligation. Under certain circumstances, in the event
of default or bankruptcy by the other party to the agreement, realization
and/or retention of the collateral or proceeds may be subject to legal
proceedings.
c) 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 stated in foreign currencies are translated at
the prevailing exchange rates at the end of the period when net assets are
valued. 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 the 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.
d) 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.
e) The portfolio incurred organization expenses in the amount of $7,629 which
were deferred and are being amortized on a straight-line basis over a
period not to exceed five years beginning with the commencement of
operations of the portfolio.
f) 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 currency 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, 1999, the portfolio had no
open forward foreign currency contracts.
g) The portfolio intends to be treated as a partnership for federal income
tax purposes. As such, each investor in the portfolio will be taxed on its
share of the portfolio's ordinary income and capital gains. It is intended
that the portfolio's assets will be managed in such a way that an investor
in the portfolio will be able to satisfy the requirements of Subchapter M
of the Internal Revenue Code. The portfolio may be subject to taxes
imposed by countries in which it invests. Such taxes are generally based
on income and/or capital gains earned. Taxes are accrued and applied to
net investment income, net realized capital gains and net unrealized
appreciation, as applicable, as the income and/or capital gains are
earned.
30
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
OCTOBER 31, 1999
- --------------------------------------------------------------------------------
2. TRANSACTIONS WITH AFFILIATES
a) The portfolio has an Investment Advisory Agreement with J.P. Morgan
Investment Management Inc. ("JPMIM"), a wholly owned subsidiary of J.P.
Morgan & Co. Inc. ("J.P. Morgan"). Under the terms of the Agreement, the
portfolio pays JPMIM at an annual rate of 1.00% of the portfolio's average
daily net assets. For the fiscal year ended October 31, 1999, such fees
amounted to $1,648,556.
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 to 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, 1999
the fee for these services amounted to $2,073.
c) The portfolio has an Administrative Services Agreement (the "Services
Agreement") with Morgan Guaranty Trust Company of New York ("Morgan"), a
wholly owned subsidiary of J.P. 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 JPMIM provides similar service and J.P. Morgan
Series Trust. For the fiscal year ended October 31, 1999, the fee for
these services amounted to $42,701.
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 $3,334 for the fiscal year ended October 31, 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 $600.
31
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
OCTOBER 31, 1999
- --------------------------------------------------------------------------------
3. INVESTMENT TRANSACTIONS
Investment transactions (excluding short-term investments) for the fiscal year
ended October 31, 1999 were as follows:
<TABLE>
<CAPTION>
COST OF PROCEEDS
PURCHASES FROM SALES
- --------- ------------
<S> <C>
$137,488,888 $162,924,964
</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 October 31, 1999 is $2,090,218 representing 1.3% 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.
32
<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, 1999, and 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 the each of the five years in
the period then ended, in conformity with generally accepted accounting
principles. These financial statements and supplementary data (hereafter
referred to as "financial statements") are the responsibility of the portfolio's
management; our responsibility is to express an opinion on these financial
statements based on our audits. We conducted our audits of these financial
statements in accordance with generally accepted auditing standards, which
require that we plan and perform the audit to obtain reasonable assurance about
whether the financial statements are free of material misstatement. An audit
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, and evaluating the overall
financial statement presentation. We believe that our audits, which included
confirmation of securities at October 31, 1999 by correspondence with the
custodian and brokers, provide a reasonable basis for the opinion expressed
above.
PricewaterhouseCoopers LLP
New York, New York
December 17, 1999
33
