<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED)
APRIL 30, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
------------------------------------------------- ------------ -------------
<S> <C> <C>
COMMON STOCK (76.6%)
ARGENTINA (0.6%)
Banco de Galicia y Buenos Aires SA de CV (Spon.
ADR) (Banking)................................. 25,400 $ 439,737
PC Holdings S.A. (Spon. ADR) (Financial
Services)...................................... 9,421 144,259
Siderar Saic (Metals & Mining)................... 133,400 509,945
------------
1,093,941
------------
BRAZIL (0.8%)
Ceval Alimentos SA (Food, Beverages & Tobacco)... 731 1
Companhia Siderurgica Nacional (Metals &
Mining)........................................ 5,509 155,669
Perdigao SA (Food, Beverages & Tobacco).......... 47,234,895 57,588
Santista Alimentos SA (Food, Beverages &
Tobacco)....................................... 130,387 25,290
Seara Alimentos SA (Food, Beverages & Tobacco)... 731 0
Souza Cruz SA (Food, Beverages & Tobacco)........ 199,600 1,216,736
------------
1,455,284
------------
CHILE (2.4%)
Administradora de Fondos de Pensiones Provida SA
(Spon. ADR) (Banking).......................... 24,500 505,312
Banco Santander Chile SA (Spon. ADR) (Banking)... 39,500 585,094
Compania de Telecomunicaciones
de Chile SA (Spon. ADR) (Telecommunication
Services)...................................... 52,283 967,235
Embotelladora Andina SA (ADR) (Food, Beverages &
Tobacco)....................................... 36,900 428,962
Empresa Nacional de Electricidad SA (Spon. ADR)
(Utilities).................................... 60,028 690,322
Gener SA (Spon. ADR) (Electric).................. 1,600 21,900
Madeco SA (Spon. ADR) (Construction & Housing)... 47,824 430,416
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
------------------------------------------------- ------------ -------------
<S> <C> <C>
CHILE (CONTINUED)
Sociedad Quimica y Minera de Chile SA, Class A
(Spon. ADR) (Chemicals)........................ 1,261 $ 36,431
Sociedad Quimica y Minera de Chile SA, Class B
(Spon. ADR) (Chemicals)........................ 25,240 624,690
------------
4,290,362
------------
CHINA (0.3%)
Zhenhai Refining & Chemical Co. Ltd. Series H
(Chemicals).................................... 3,928,100 534,559
------------
COLOMBIA (0.1%)
Cementos Diamante SA (ADR) (Building
Materials)..................................... 84,700 71,148
Corporacion Financiera Del Valle SA (Spon. ADR)
(144A) (Banking)............................... 9,482 22,946
------------
94,094
------------
CROATIA (0.4%)
Pliva D.D. (GDR) (144A) (Pharmaceuticals)........ 55,860 698,250
------------
CZECH REPUBLIC (1.0%)
Ceske Energeticke Zavody AS (Electric)........... 297,500 871,426
SPT Telecom AS (Telecommunication Services)...... 48,700 907,885
------------
1,779,311
------------
EGYPT (0.5%)
MobiNil (Telecommunication Services)............. 22,800 869,191
------------
GREECE (1.3%)
Alpha Credit Bank SA (Banking)................... 12,850 709,364
Hellenic Telecommunication Organization SA (OTE)
(Telecommunications)........................... 52,261 1,175,653
</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, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
------------------------------------------------- ------------ -------------
<S> <C> <C>
GREECE (CONTINUED)
National Bank of Greece SA (Banking)............. 11,179 $ 476,920
Silver & Baryte Ores Mining Co. SA (Metals &
Mining)........................................ 1 29
------------
2,361,966
------------
HONG KONG (0.8%)
China Telecom (Hong Kong) Ltd. (Spon. ADR)
(Telecommunication Services)................... 9,899 1,452,060
------------
HUNGARY (1.8%)
Matav RT (Telecommunications).................... 290,018 1,990,224
MOL Magyar Olaj-es Gazipari RT
(Oil-Production)............................... 50,600 893,051
OTP Bank RT (Banking)............................ 7,600 337,477
------------
3,220,752
------------
INDIA (5.6%)
Apollo Hospitals Enterprise (Health Services).... 116,900 682,804
Asian Paints Ltd. (Manufacturing)................ 6,517 60,621
Bajaj Auto Ltd. (Transportation)................. 61,400 500,679
Hindalco Industries Ltd. (Spon. GDR) (Metals &
Mining)+....................................... 18,500 314,500
ICICI Ltd. (Financial Services).................. 635,650 1,942,294
ITC Ltd. (Food, Beverages & Tobacco)............. 58,900 769,009
Larsen & Toubro Ltd. (GDR) (Diversified
Manufacturing)................................. 91,300 1,250,810
Reliance Industries Ltd. (GDR) (Diversified
Manufacturing)................................. 99,200 2,544,480
Tata Engineering & Locomotive Co. Ltd. (Spon.
GDR) (Automotive).............................. 194,200 582,600
United Breweries Ltd. (Food, Beverages &
Tobacco)....................................... 265,700 416,892
Wockhardt Life Sciences Ltd. (GDR)
(Pharmaceuticals).............................. 73,500 91,875
Wockhardt Ltd. (GDR) (Pharmaceuticals)(f)........ 73,500 740,766
------------
9,897,330
------------
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
------------------------------------------------- ------------ -------------
<S> <C> <C>
INDONESIA (1.9%)
P.T. Indosat (ADR) (Telecommunication Services).. 39,000 $ 519,187
P.T. International Nickel Indonesia (Metals &
Mining)........................................ 1,193,700 1,182,403
P.T. Unilever Indonesia (Food, Beverages &
Tobacco)....................................... 148,605 1,650,125
------------
3,351,715
------------
ISRAEL (6.4%)
Bank Hapoalim Ltd. (Banking)..................... 439,223 1,350,367
Bank Leumi Le-Israel (Banking)................... 647,800 1,409,063
Bezeq Israeli Telecommunication Corp. Ltd.
(Telephone).................................... 337,300 1,791,580
Check Point Software Technologies Ltd. (Computer
Software)...................................... 11,600 2,006,800
Delta-Galil Industries Ltd. (Manufacturing)...... 21,986 448,816
ECI Telecom Ltd. (Telecommunications-
Equipment)..................................... 21,200 589,625
Israel Chemicals Ltd. (Chemicals)................ 702,500 852,085
Koor Industries Ltd. (Spon. ADR)
(Multi-Industry)............................... 43,600 763,000
Teva Pharmaceutical Industries Ltd. (ADR)
(Pharmaceuticals).............................. 49,400 2,173,600
------------
11,384,936
------------
MALAYSIA (1.1%)
Gamuda Berhad (Construction & Housing)........... 84,000 111,632
Genting Berhad (Holding Companies)............... 69,000 277,816
IJM Corp. Berhad (Building Materials)............ 92,000 89,095
Industrial Oxygen, Inc. Berhad (Agriculture)..... 282,000 207,789
Malakoff Berhad (Agriculture).................... 102,000 263,053
Malayan Banking Berhad (Banking)................. 106,000 440,737
</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, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
------------------------------------------------- ------------ -------------
<S> <C> <C>
MALAYSIA (CONTINUED)
Nestle Berhad (Food, Beverages & Tobacco)........ 92,000 $ 440,632
Telekom Malaysia Berhad (Telecommunications)..... 52,000 180,632
------------
2,011,386
------------
MEXICO (13.4%)
ALFA SA de CV (Multi - Industry)................. 286,000 903,861
Cementos Pacasmayo SAA (Building Materials)...... 1,225,184 440,232
Cemex SA de CV (Spon. ADR) (Building
Materials)..................................... 64,743 1,416,253
Cemex SA de CV, B Shares (Building Materials).... 2 9
Cifra SA de CV (Retail).......................... 984,400 2,274,468
Controladora Comercial Mexicana SA de CV (Food,
Beverages & Tobacco)........................... 1,099,100 1,155,903
Empaques Ponderosa SA de CV, Series B (Forest
Products & Paper)+............................. 875,000 488,925
Empresas ICA Sociedad Controladora SA de CV
(Spon. ADR) (Construction & Housing)........... 155,128 358,733
Fomento Economico Mexicano SA de CV (Spon. ADR)
(Food, Beverages & Tobacco).................... 24,600 1,014,750
Grupo Carso SA de CV, Class A (Multi-Industry)... 201,100 683,614
Grupo Financiero Banamex Accival, SA de CV, Class
O (Financial Services)......................... 416,600 1,504,690
Grupo Financiero Bancomer, SA de CV, Class O
(Financial Services)........................... 1,561,000 709,734
Grupo Financiero Probursa SA de CV, Class B
(Financial Services)........................... 231 24
Grupo Giagante SA de CV (Food, Beverages &
Tobacco)....................................... 443,333 682,884
Grupo Iusacell SA (ADR) (Telecommunications)..... 106,882 1,703,432
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
------------------------------------------------- ------------ -------------
<S> <C> <C>
MEXICO (CONTINUED)
Grupo Modelo SA de CV (Series C) (Food, Beverages
& Tobacco)..................................... 215,000 $ 452,223
Grupo Televisa SA de CV (Spon. GDR) (Broadcasting
& Publishing)+................................. 26,100 1,655,719
Panamerican Beverages, Inc. (ADR) (Food,
Beverages & Tobacco)........................... 45,000 739,687
Telefonos de Mexico SA de CV, Class L (Spon. ADR)
(Telecommunications)........................... 110,158 6,478,667
Tubos de Acero de Mexico SA (Manufacturing)...... 76,640 1,123,527
------------
23,787,335
------------
PAKISTAN (1.0%)
Hub Power Co. Ltd. (Spon. GDR) (Utilities)....... 90,800 1,112,300
Pakistan Telecommunications Corp. (Spon. GDR)
(144A) (Telecommunication Services)............ 10,707 606,766
------------
1,719,066
------------
PERU (0.4%)
Compania de Minas Buenaventura SA (Spon. ADR)
(Metals & Mining).............................. 43,800 755,550
------------
PHILIPPINES (0.3%)
First Philippine Holdings Corp.
(Multi-Industry)............................... 413,740 240,517
Manila Electric Co., Class B (Electric).......... 155,518 278,753
------------
519,270
------------
POLAND (1.8%)
Bank Slaski SA (Banking)......................... 4,630 279,611
Elektrim Spolka Akcyjna SA (Electrical
Equipment)..................................... 39,384 493,307
KGHM Polska Miedz SA (Metals & Mining)........... 55,600 365,621
Polski Koncern Naftowy SA (GDR)
(Oil-Production)............................... 38,200 381,072
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
22
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
------------------------------------------------- ------------ -------------
<S> <C> <C>
POLAND (CONTINUED)
Polski Koncern Naftowy SA (GDR) (144A) (Oil-
Production).................................... 37,300 $ 373,000
Telekomunikacja Polska SA (GDR) (144A)
(Telecommunication Services)................... 176,200 1,292,674
------------
3,185,285
------------
RUSSIA (1.4%)
Lukoil Holding (Spon. ADR) (Oil-Production)...... 19,221 1,158,642
Surgutneftegaz (Spon. ADR) (Oil-Production)...... 30,719 466,161
Vimpel-Communications (Spon. ADR)
(Telecommunication Services)................... 25,600 857,600
------------
2,482,403
------------
SLOVAKIA (0.3%)
Slovakofarma AS (Pharmaceuticals)................ 12,700 503,725
------------
SOUTH AFRICA (10.8%)
ABSA Group Ltd. (Banking)........................ 18,000 63,722
Anglo American PLC (Metals & Mining)+............ 14,900 631,648
AngloGold Ltd. (Metals & Mining)................. 16,517 628,569
Billiton PLC (Metals & Mining)................... 302,700 1,160,882
BOE Ltd. (Financial Services).................... 2,809,200 2,245,868
DataTec Ltd. (Computer Systems).................. 36,800 267,607
De Beers Consolidated Mines Ltd. (Centenary
Linked Units) (Metals & Mining)................ 80,700 1,654,591
Dimension Data Holdings Ltd. (Computer
Systems)....................................... 125,200 821,801
FirstRand Ltd. (Financial Services).............. 982,300 1,159,142
Gold Fields Ltd. (Metals & Mining)............... 125,800 408,231
Highveld Steel & Vanadium Corp. Ltd. (Metals &
Mining)........................................ 250,703 647,142
Iscor Ltd. (Metals & Mining)..................... 492,720 1,090,169
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
------------------------------------------------- ------------ -------------
<S> <C> <C>
SOUTH AFRICA (CONTINUED)
JD Group Ltd. (Retail)........................... 154,200 $ 1,039,448
Liberty Life Association of Africa Ltd.
(Insurance).................................... 150,311 1,407,884
Sanlam Ltd. (Financial Services)................. 896,075 1,090,437
Sasol Ltd. (Oil-Production)...................... 148,500 871,790
South African Breweries PLC (Food, Beverages &
Tobacco)....................................... 229,664 1,693,812
Standard Bank Investment Corp. Ltd. (Banking).... 367,696 1,355,911
Wooltru Ltd. (Metals & Mining)................... 649,772 872,177
------------
19,110,831
------------
SOUTH KOREA (7.3%)
H&CB (GDR) (Banking)............................. 74,457 1,286,245
Hansol Paper Co. Ltd. (GDS) (Forest Products &
Paper)......................................... 755 2,586
Hyundai Electronics Industries Co.
(Electronics).................................. 50,180 795,826
Kookmin Bank (Banking)........................... 75,600 817,481
Korea Electric Power Corp. (Electric)............ 117,015 3,426,887
Korea Telecom Corp. (Spon. ADR)
(Telecommunication Services)+.................. 16,209 559,210
LG Chemical Ltd. (Manufacturing)................. 28,700 659,473
Pohang Iron & Steel Co. Ltd. (Metals & Mining)... 10,600 837,379
Pohang Iron & Steel Co. Ltd. (Spon. ADR) (Metals
& Mining)...................................... 7,900 165,900
Samsung Electronics (GDR) (144A)
(Electronics)+................................. 5,210 840,113
Samsung Fire & Marine Insurance (Insurance)...... 44,142 902,919
Samsung Heavy Industries (Manufacturing)......... 69,000 245,596
SK Corp. (Oil-Services).......................... 40,900 772,115
SK Telecom Co. Ltd. (ADR) (Telecommunication
Services)...................................... 48,900 1,567,856
------------
12,879,586
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
23
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
------------------------------------------------- ------------ -------------
<S> <C> <C>
TAIWAN (7.5%)
Asia Cement Corp. (Building Materials)........... 832,832 $ 622,846
Asia Cement Corp. (GDS) (Building Materials)..... 58,960 448,096
Asustek Computer, Inc. (Computer Systems)........ 65,000 719,616
Cathay Life Insurance Co. Ltd. (Insurance)....... 371,000 896,589
China Steel Corp. (Metals & Mining).............. 1,273,050 902,179
China Steel Corp. (Spon. GDR) (Metals &
Mining)........................................ 41,806 593,227
Evergreen Marine Corp. (Transport & Services).... 860,720 674,623
Evergreen Marine Corp. (Spon. GDR) (Transport &
Services)...................................... 4,816 38,046
Nan Ya Plastic Corp. (Chemicals)................. 554,000 1,185,056
President Enterprises Corp. (GDR) (144A) (Food,
Beverages & Tobacco)........................... 107,511 739,138
Siliconware Precision Industries Co.
(Semiconductors)............................... 954,000 2,165,314
Siliconware Precision Industries Co. (GDR)
(Semiconductors)+.............................. 18,346 249,047
Taiwan Semiconductor Manufacturing Co. Ltd.
(Semiconductors)............................... 114,000 733,430
Taiwan Semiconductor Manufacturing Co. Ltd.
(144A) (Semiconductors)........................ 429,694 2,764,479
Yang Ming Marine Transport (Transportation)...... 1,118,860 650,404
------------
13,382,090
------------
THAILAND (0.6%)
Advanced Info Service Public Co. Ltd.
(Telecommunications)........................... 35,500 415,728
Dhana Siam Finance and Securities Public Co. Ltd.
(Financial Services)(f)........................ 136 0
TelecomAsia Corp. Public Co. Ltd.
(Telecommunications)........................... 423,400 566,979
------------
982,707
------------
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
------------------------------------------------- ------------ -------------
<S> <C> <C>
TURKEY (4.9%)
Aksa Akrilik Kimya Sanayii AS (Textiles)......... 8,604,000 $ 605,707
Arcelik AS (Appliances & Household Durables)..... 7,917,000 673,997
Eregli Demir Ve Celik Fabrikalari AS (Metals &
Mining)........................................ 28,507,000 1,563,472
Ford Otomotive Sanayii AS (Automotive)+.......... 10,322,000 675,955
Haci Omer Sabanci Holding AS (Holding
Companies)..................................... 42,652,800 691,316
Northern Electric Telekomunikasyon AS
(Telecommunications-Equipment)................. 4,769,000 804,190
Sarkuysan Elektrolitik Bakir Sanayi ve Ticaret AS
(Manufacturing)................................ 7,500,000 291,621
Turkiye Is Bankasi (Banking)..................... 32,317,875 1,772,481
Yapi ve Kredi Bankasi AS (Banking)............... 51,697,677 1,650,439
------------
8,729,178
------------
VENEZUELA (1.9%)
C.A. La Electricidad de Caracas (Electric)....... 2,465,724 642,429
Compania Anonima Nacional Telefonos de Venezuela
(ADR) (Telecommunication Services)............. 65,000 1,885,000
Corimon CA (Chemicals)+.......................... 675 2
International Briquettes Holding, Inc. (Metals &
Mining)........................................ 36,166 81,374
Mavesa SA (Spon. ADR) (Food, Beverages &
Tobacco)....................................... 242,230 635,854
Mercantil Servicios Financieros, Class B
(Financial Services)........................... 83,000 52,220
------------
3,296,879
------------
TOTAL COMMON STOCK (COST $126,042,079)......... 135,829,042
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
24
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
------------------------------------------------- ------------ -------------
<S> <C> <C>
PREFERRED STOCK (13.1%)
BRAZIL (7.9%)
Companhia Brasileira de Distribuicao Grupo Pao de
Acucar (Spon. ADR) (Food, Beverages &
Tobacco)....................................... 28,026 $ 798,741
Companhia Cervejaria Brahma (Spon. ADR) (Food,
Beverages & Tobacco)........................... 112,359 1,741,564
Companhia Paranaense de Energia-Copel
(Utilities).................................... 18,227,000 871,388
Companhia Vale Do Rio Doce SA (Spon. ADR) (Metals
& Mining)...................................... 37,200 921,522
Copene Petroquimica do Nordeste SA (Chemicals)... 4,167,000 1,406,296
Eletropaulo Metropolitana - Electicidade de Sao
Paulo SA (Electric)............................ 3,020 174,054
Embratel Participacoes SA (ADR)
(Telecommunication Services)................... 95,309 2,144,452
Itausa-Investimentos Itau SA (Holding
Companies)..................................... 505,000 419,784
Petroleo Brasileiro SA (Oil-Production).......... 6,341,450 1,502,338
Tele Celular Sul Participacoes SA (ADR)
(Telecommunication Services)................... 16,056 620,163
Tele Nordeste Celular Participacoes SA (ADR)
(Telecommunication Services)................... 1,140 59,280
Tele Norte Leste Participacoes SA (ADR)
(Telecommunication Services)................... 99,324 1,769,209
Telemig Celular Participacoes SA (ADR)
(Telecommunication Services)................... 626 36,621
Ultrapar Participacoes SA (Spon. ADR) (Holding
Companies)..................................... 42,000 378,000
Usinas Siderurgicas de Minas Gerais SA (Spon.
ADR) (Metals & Mining)......................... 276,700 1,151,598
------------
13,995,010
------------
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
------------------------------------------------- ------------ -------------
<S> <C> <C>
COLOMBIA (0.3%)
Bancolombia SA (Spon. ADR) (Banking)............. 158,500 $ 515,125
------------
GREECE (0.0%)
Delta Dairy SA (Food, Beverages & Tobacco)....... 836 9,753
------------
SOUTH KOREA (4.9%)
Daishin Securities Co. (Financial Services)...... 54,600 213,775
Samsung Electronics (Spon. GDR) (Electronics).... 104,064 8,418,778
------------
8,632,553
------------
TOTAL PREFERRED STOCK (COST $18,813,380)....... 23,152,441
------------
</TABLE>
<TABLE>
<CAPTION>
UNITS
------------
<S> <C> <C>
PARTNERSHIPS (2.1%)
RUSSIA (2.1%)
New Century Holdings Ltd. (Partnership III; Group
B) (f)+........................................ 800 231,200
New Century Holdings Ltd. (Partnership IV; Group
I) (f)+........................................ 900 276,300
New Century Holdings Ltd. (Partnership V; Group
I) (f)+........................................ 1,600 603,200
New Century Holdings Ltd. (Partnership X) (f)+... 2,617 2,101,451
New Century Holdings Ltd. (Partnership XIV; Group
I) (f)+........................................ 2,500 455,000
------------
TOTAL PARTNERSHIPS (COST $7,240,200)........... 3,667,151
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES
------------
<S> <C> <C>
PRIVATE PLACEMENTS (3.5%)
INDIA (3.5%)
Aptech Ltd. Series B Participatory Notes,
04/16/02 (Computer Software)................... 132,600 2,821,861
Hindalco Industries Ltd. Participatory Notes,
03/31/02 (Metals & Mining)..................... 50,000 809,200
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
25
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
------------------------------------------------- ------------ -------------
<S> <C> <C>
INDIA (CONTINUED)
Infosys Technologies Ltd. Participatory Notes,
04/07/04 (Computer Software)................... 8,200 $ 1,549,800
Mahanagar Telephone Nigam Ltd. Participatory
Notes, 04/19/02 (Telecommunication Services)... 203,000 1,040,578
------------
TOTAL PRIVATE PLACEMENTS (COST $5,595,659)..... 6,221,439
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
------------
<S> <C> <C>
SHORT-TERM INVESTMENTS (6.4%)
UNITED STATES (6.4%)
OTHER INVESTMENT COMPANIES (6.4%)
Hamilton Money Fund, 5.65%(y) due 05/01/00 (cost
$11,327,014)................................... $11,327,014 11,327,014
------------
TOTAL INVESTMENTS (COST
$169,018,332) (101.7%)....................................... 180,197,087
LIABILITIES IN EXCESS OF OTHER
ASSETS(-1.7%)................................................ (2,926,567)
------------
NET ASSETS (100.0%)............................................ $177,270,520
============
</TABLE>
------------------------------
The aggregate gross unrealized appreciation and depreciation was $38,735,442 and
$27,556,687, respectively, resulting in net unrealized appreciation of
$11,178,755.
+ - Non-income producing security.
ADR - American Depositary Receipt.
GDR - Global Depositary Receipt.
GDS - Global Depositary Shares.
Spon. ADR - Sponsored ADR.
Spon. GDR - Sponsored GDR.
144A - Securities restricted for resale to Qualified Institutional Buyers.
(f) - Fair valued security. Approximately 2.5% of the market value of the
securities have been valued at fair value. (See Note 1a and 4)
The Accompanying Notes are an Integral Part of the Financial Statements.
26
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 2000
--------------------------------------------------------------------------------
INDUSTRY DIVERSIFICATION
<TABLE>
<CAPTION>
PERCENT OF
TOTAL
INVESTMENTS
----------------
<S> <C>
Agriculture....................................... 0.3%
Appliances & Household Durables................... 0.4%
Automotive........................................ 0.7%
Banking........................................... 7.8%
Broadcasting & Publishing......................... 0.9%
Building Materials................................ 1.7%
Chemicals......................................... 2.6%
Computer Software................................. 3.5%
Computer Systems.................................. 1.0%
Construction & Housing............................ 0.5%
Diversified Manufacturing......................... 2.1%
Electric.......................................... 3.0%
Electrical Equipment.............................. 0.3%
Electronics....................................... 5.6%
Financial Services................................ 11.4%
Food, Beverages & Tobacco......................... 8.1%
Forest Products & Paper........................... 0.3%
Health Services................................... 0.4%
Holding Companies................................. 1.0%
Insurance......................................... 1.8%
Manufacuring...................................... 1.6%
Metals & Mining................................... 9.7%
Multi-Industry.................................... 1.4%
Oil Production.................................... 3.1%
Oil Services...................................... 0.4%
Partnerships...................................... 2.0%
Pharmaceuticals................................... 2.3%
Retail............................................ 1.8%
Semiconductors.................................... 3.3%
Telecommunication Services........................ 9.5%
Telecommunications................................ 6.9%
Telecommunications Equipment...................... 0.8%
Telephone......................................... 1.0%
Textiles.......................................... 0.3%
Transport & Services.............................. 0.4%
Transportation.................................... 0.6%
Utilities......................................... 1.5%
-----
100.0%
=====
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
27
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES (UNAUDITED)
APRIL 30, 2000
--------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments at Value (Cost $169,018,332 ) $180,197,087
Cash 106,879
Foreign Currency at Value (Cost $5,048,798 ) 4,982,475
Dividend and Interest Receivable 543,707
Receivable for Investments Sold 290,012
Prepaid Trustees' Fees 6,211
Prepaid Expenses and Other Assets 1,893
------------
Total Assets 186,128,264
------------
LIABILITIES
Payable for Investments Purchased 8,579,112
Advisory Fee Payable 141,830
Administrative Services Fee Payable 3,435
Fund Services Fee Payable 125
Accrued Expenses 133,242
------------
Total Liabilities 8,857,744
------------
NET ASSETS
Applicable to Investors' Beneficial Interests $177,270,520
============
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
28
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
STATEMENT OF OPERATIONS (UNAUDITED)
FOR THE SIX MONTHS ENDED APRIL 30, 2000
--------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Dividend Income (Net of Foreign Witholding Tax of
$166,225) $ 1,509,721
Interest Income 100,249
-----------
Investment Income 1,609,970
EXPENSES
Advisory Fee $ 907,665
Custodian Fees and Expenses 225,931
Professional Fees and Expenses 25,725
Administrative Services Fee 22,332
Printing Expenses 3,485
Fund Services Fee 1,507
Administration Fee 781
Trustees' Fees and Expenses 661
Insurance Expense 226
Miscellaneous 913
-----------
Total Expenses 1,189,226
-----------
NET INVESTMENT INCOME 420,744
NET REALIZED GAIN (LOSS) ON INVESTMENTS
Investment Transactions (including foreign
capital gains tax of $48,288) 8,840,045
Foreign Currency Contracts and Transactions (83,369)
-----------
Net Realized Gain 8,756,676
NET CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION) OF
Investments (net of foreign capital gains tax
of $7,816) 13,875,639
Foreign Currency Contracts and Translations (68,898)
-----------
Net Change in Unrealized Appreciation 13,806,741
-----------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $22,984,161
===========
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
29
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE SIX
MONTHS ENDED FOR THE FISCAL
APRIL 30, 2000 YEAR ENDED
(UNAUDITED) OCTOBER 31, 1999
-------------- ----------------
<S> <C> <C>
INCREASE IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 420,744 $ 1,897,361
Net Realized Gain (Loss) on Investments 8,756,676 (31,028,225)
Net Change in Unrealized Appreciation of
Investments 13,806,741 76,321,203
------------ ------------
Net Increase in Net Assets Resulting from
Operations 22,984,161 47,190,339
------------ ------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS
Contributions 59,393,680 168,310,686
Withdrawals (72,160,931) (193,661,035)
------------ ------------
Net Decrease from Investors' Transactions (12,767,251) (25,350,349)
------------ ------------
Total Increase in Net Assets 10,216,910 21,839,990
NET ASSETS
Beginning of Period 167,053,610 145,213,620
------------ ------------
End of Period $177,270,520 $167,053,610
============ ============
</TABLE>
--------------------------------------------------------------------------------
SUPPLEMENTARY DATA
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE
SIX MONTHS
ENDED FOR THE FISCAL YEAR ENDED OCTOBER 31,
APRIL 30, 2000 --------------------------------------
(UNAUDITED) 1999 1998 1997 1996 1995
-------------- ------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C> <C>
RATIOS TO AVERAGE NET ASSETS
Expenses 1.31%(a) 1.30% 1.30% 1.20% 1.23% 1.31%
Net Investment Income 0.46%(a) 1.14% 1.14% 1.10% 1.14% 1.07%
Portfolio Turnover 25%(b) 87% 44% 55% 31% 41%
</TABLE>
------------------------
(a) Annualized.
(b) Not Annualized.
The Accompanying Notes are an Integral Part of the Financial Statements.
30
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
APRIL 30, 2000
--------------------------------------------------------------------------------
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 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 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 the values from
dealers, operating data, and general market conditions. Unlisted
securities are valued at the average of the quoted bid and asked prices in
the over-the-counter market provided by a principal market maker or
dealer. If prices are not supplied by the portfolios 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.
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
31
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 2000
--------------------------------------------------------------------------------
mark-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.
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 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 exchange rates
during the reporting period and gains and losses realized upon settlement
of foreign currency transactions are reported in the Statement of
Operations. Although the net assets of the portfolio are presented at the
exchange rates and market values prevailing at the end of the period, the
portfolio does not isolate the portion of the results of operations
arising as a result of changes in foreign exchange rates from the
fluctuations arising from changes in the market prices of securities
during the period.
c) Securities transactions are recorded on a trade date basis. Dividend
income is recorded on the ex-dividend date or as of the time that the
relevant ex-dividend date and amount becomes known. Interest income, which
includes the amortization of premiums and discounts, if any, is recorded
on an accrual basis. For financial and tax reporting purposes, realized
gains and losses are determined on the basis of specific lot
identification.
d) The portfolio may enter into forward and spot foreign currency contracts
to protect securities and related receivables and payables against
fluctuations in future foreign currency rates. A forward 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.
e) The portfolio intends to be treated as a partnership for federal income
tax purposes. As such, each investor in the portfolio will be taxed on its
share of the portfolio's ordinary income and capital gains. It is intended
that the portfolio's assets will be managed in such a way that an investor
in the portfolio will be able to satisfy the requirements of Subchapter M
of the Internal Revenue Code. The portfolio may be subject to taxes
imposed by countries in which it invests. Such taxes are generally based
on income and/or capital gains earned. Taxes are accrued and applied to
net investment income, net realized capital gains and net unrealized
appreciation, as applicable, as the income and/or capital gains are
earned.
32
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 2000
--------------------------------------------------------------------------------
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 portfolios average
daily net assets. For the six months ended April 30, 2000, such fees
amounted to $907,665.
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, 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, 2000, the
fee for these services amounted to $781.
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 Morgan provides similar services, and J.P.
Morgan Series Trust. For the six months ended April 30, 2000, the fee for
these services amounted to $22,332.
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 $1,507 for the six months ended April 30, 2000.
e) An aggregate annual fee of $75,000 is paid to each trustee for serving as
a trustee of the trust, 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.
33
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 2000
--------------------------------------------------------------------------------
3. INVESTMENT TRANSACTIONS
Investment transactions (excluding short-term investments) for the six months
ended April 30, 2000 were as follows:
<TABLE>
<CAPTION>
COST OF PROCEEDS
PURCHASES FROM SALES
----------- -----------
<S> <C> <C>
$45,715,960 $58,643,423
</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 11/9/94 731,000
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, 2000 is $3,667,151 representing 2.1% 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.
34
