<PAGE>
LETTER TO THE SHAREHOLDERS OF THE JPM ADVISOR INTERNATIONAL EQUITY FUND
June 14, 1996
Dear Shareholder:
Thank you for investing in The JPM Advisor International Equity Fund. Let me
take this opportunity to welcome you to the JPM Advisor shareholder family and
to express the hope that you will wish to explore additional JPM Advisor Funds
as a way to conveniently diversify your investment portfolio and gain broad
exposure to financial opportunities in domestic and world markets.
In the months ahead, we will be sending you detailed reports on the Fund's
performance and its strategies as it pursues its investment objective -- which
is to satisfy the needs of long-term investors who wish to diversify their
portfolios through investment in an actively managed portfolio of non-U.S.
securities that seeks to outperform the MSCI EAFE Index. The first of these
reports follows and covers the period from the Fund's November 22, 1995
commencement of operations to April 30, 1996. Going forward, these reports will
be provided to you on both a semi-annual and an annual basis.
By way of introduction to the in-depth reporting we believe you deserve, we
offer and hope you will enjoy the Q&A that follows with Paul A. Quinsee, a
member of our international portfolio management team. It should be noted that
this interview pertains to The Non-U.S. Equity Portfolio, a separate investment
company in which the Fund invests all of its assets. Through its predecessor,
the Portfolio has been in operation since October 4, 1993. The performance of
the Fund will be directly related to the performance of the Portfolio.
Going forward, please be assured that we will always welcome your comments and
questions, as well as any suggestions on how we can improve your financial
reports. Please call J.P. Morgan Funds Services, toll free, at (800) JPM-3637.
Sincerely yours,
/s/ Alistair Jessiman
Alistair Jessiman
J.P. Morgan Funds Services
- --------------------------------------------------------------------------------
TABLE OF CONTENTS
LETTER TO THE SHAREHOLDERS . . . . . . . . . . . . . . . . . . . . . . . . . . 1
PORTFOLIO MANAGER Q&A. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2
FUND FACTS AND HIGHLIGHTS. . . . . . . . . . . . . . . . . . . . . . . . . . . 7
FINANCIAL STATEMENTS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9
- --------------------------------------------------------------------------------
1
<PAGE>
PORTFOLIO MANAGER Q&A
[PHOTO] Following is an interview with PAUL A. QUINSEE, who is a member of the
portfolio management team for The Non-U.S. Equity Portfolio in which
the Fund invests. Paul joined Morgan in 1992 as an international
equity portfolio manager. Previously, he worked for five years as an
equity portfolio manager with Citibank and for two years with Schroder
Capital Management in London. This interview was conducted on June 10,
1996 and reflects Paul's views on that date.
THE POSITIVE TURNAROUND FOR INTERNATIONAL EQUITY MARKETS THAT WE FORECASTED IN
THE OCTOBER 31, 1995 ANNUAL REPORT HAS NOW COME TO PASS. WHAT FACTORS DO YOU
FEEL CONTRIBUTED TO THIS ABOUT-FACE IN THE MARKETS AND WHAT IS YOUR CURRENT VIEW
ON VALUATIONS?
PAQ: We believe that several factors were at work. The first of these was that,
while there was no decline in interest rates in the U.S., interest rates have
stayed very low in Japan and continued to edge down in Europe as European
central banks have looked to offset the economic weakness there. So, falling
interest rates have definitely helped the international markets.
Another aspect that has helped has been increasing signs of an economic
recovery in Japan, which has helped that market to recover from the very sharp
losses suffered in the first half of 1995. A combination of very low interest
rates and an expansionary fiscal policy have now got the Japanese economy
growing at the fastest rate seen in the last five years -- and that of course
has helped sentiment toward the Japanese equity market.
The third aspect that we believe should be mentioned is a more favorable
currency environment for international companies. Particularly key in this
regard has been the weakness of the yen against the U.S. dollar and the weakness
of the deutsche mark against its neighboring currencies in Europe, such as the
Italian lira, the British pound sterling, and the Swedish krona. Those are all
good for companies based in Japan and Germany that are exporting. So a backup in
currencies has helped international markets in local currency terms, although
that has slightly been offset by currency losses for a U.S. dollar-referenced
investor.
Turning to your question about valuations, after the gains we have seen over
the last few quarters, international markets are not as obviously cheap as they
were. This is particularly true in the case of Japan which has now advanced by
more than 60% from the lows it reached in the middle of 1995 when the outlook
appeared very bleak indeed. However, we do feel that Japan and particularly the
European markets offer better value at this point than the U.S. We are also
convinced that, given its focus on stock selection, Morgan's active management
is likely to help the Portfolio to grow as markets reach reasonable valuations.
2
<PAGE>
WHILE WE CERTAINLY WELCOME GOOD NEWS FOR THE MARKET, WE'RE EVEN MORE PLEASED TO
NOTICE THAT THE PERFORMANCE OF THE PORTFOLIO HAS BEEN AHEAD OF THE MSCI EAFE
INDEX FOR THE PERIOD UNDER REVIEW. DO YOU INTERPRET THIS AS A SIGN THAT OUR
LONG-TERM INVESTMENT APPROACH, WHICH ATTEMPTS TO IDENTIFY STOCKS' FUNDAMENTAL
VALUE, IS BEGINNING TO REAP THE REWARDS WE HAD EXPECTED?
PAQ: Perhaps the best indication of that being true will emerge if we look at
currency management which, along with country allocation and stock selection, is
one of the three investment decisions made in the Portfolio.
For a long time, we found that the yen was overvalued. As the Japanese economy
got weaker, the Japanese current account surplus grew, so the yen became more
and more overvalued, and that decision went against us for some time.
Nevertheless, we were convinced that in terms of fundamentals it was indeed
overpriced and that we were positioned the right way. When, in an unpredictable
way, the Bank of Japan cut interest rates in the middle of last year, the yen
suddenly began to weaken. It was possible to identify that the yen was
overvalued -- calling the timing would have been difficult, but backing value
worked. The yen has since declined by more than 30% against the U.S. dollar, and
that of course has helped the Portfolio's relative performance as we have had a
below-normal weighting in the Japanese currency.
YOU DECIDED TO STRUCTURE THE PORTFOLIO FOR THE PERIOD UNDER REVIEW BY BEING
OVERWEIGHTED IN JAPAN, GERMANY, AND FRANCE, WHILE UNDERWEIGHTING HONG KONG,
SINGAPORE, AND MALAYSIA. HOW "ON TARGET" WERE THESE AND OTHER COUNTRY ALLOCATION
DECISIONS, AND HOW MUCH OF THE PORTFOLIO'S RELATIVE OUTPERFORMANCE DERIVED FROM
ITS STOCK SELECTION DECISIONS?
PAQ: As I've just discussed, currency management was the major positive
contributor to the Portfolio's overall returns versus the benchmark for the
period. On the country allocation side, results have been closer to the
benchmark recently and proved to be a neutral influence on the Portfolio's
overall results. Our overweighted position in Japan helped during the later part
of last year, although Japanese stocks, while they continued to recover in 1996,
have not particularly outpaced other markets. The emphasis on Germany and France
has been helpful this year as the French and German markets have performed very
well and overweighting them has positively contributed to overall results
relative to the benchmark. On the other hand, underweighting some of the smaller
Asian markets has not been so successful. This has been particularly true of
Malaysia, which we think is fundamentally overpriced and vulnerable to the
overheating of the local economy, but the stock market has been driven higher by
a new round of speculation. For these reasons, our decision to have the
Portfolio underweighted in Malaysia has not been particularly helpful.
Stock selection has been working well for the Portfolio recently. We have had
a good year in stock selection within the Japanese market after a more difficult
time in 1995. As the Japanese economy has been recovering and trading volume has
picked up in the equity market, our value-based trading strategy has been adding
value again as we would normally expect. Thus far, 1996 has been another good
year in stock selection in virtually all the major European markets.
3
<PAGE>
WITH INTERNATIONAL EQUITY MARKETS NOW FAIRLY PRICED IN YOUR VIEW, WHAT IS YOUR
PLANNED RELATIVE WEIGHTING OF JAPAN, WHICH HAS THE HEAVIEST WEIGHTING IN THE
MSCI EAFE INDEX?
PAQ: We've cut back positions in Japan from an overweighting at the beginning
of the year down to a marginally below normal weighting now. We don't think that
the Japanese market is particularly at risk over the near term, but we do think
that the gains we've seen since the middle of last year reflect the potential
for a corporate earnings recovery. Given that forecast, we have reduced Japanese
holdings and reallocated the funds that we have taken out of Japan to the major
European markets that we think offer better value and a better chance of
earnings surprises. If the Japanese market continues to rally and if, in
particular, domestic investors come back to the market and drive prices much
higher, then we would expect to further reduce the Portfolio's weighting of
Japan to significantly below normal.
TURNING TO EUROPE, THE PORTFOLIO'S MOST AGGRESSIVE INVESTMENT PROGRAMS HAVE BEEN
IN FRANCE AND GERMANY. WHAT IS YOUR FORECAST AND STRATEGY FOR THESE MARKETS IN
THE MONTHS AHEAD?
PAQ: While earnings in some of the markets on the periphery of Europe have
actually recovered very well over the past three years, companies in France and
Germany have had to contend with a high level of real interest rates, overvalued
currencies, and very sluggish domestic economies. It's also a typical sort of
situation in which value is created. In fact, we believe that comparing current
prices of companies in both these markets with forecasts of their long-run flow
of profits and dividends will help to demonstrate that France and Germany now
rank among the most attractive markets in the international field.
We're also encouraged that, apart from value, the companies are showing
increasing signs of moving to restructure their businesses -- a strategy which
has clearly produced substantial long-term rewards for U.S. corporations. There
have been a whole string of announcements this year concerning mergers,
acquisitions, disposals, introductory public offerings, cost-cutting programs,
etc. With regard to signs of a greater realization that shareholders matter as
well, there have been stock buybacks, dividends rising faster than earnings,
along with signs of a greater focus on realizing some value for the
shareholders, and all of that of course is encouraging. So we look to see where
there's value in these markets and we think that the sort of restructuring
programs that are in place will restore profits to levels that we are expecting
and, on that basis, in a world where most equity markets look pretty fully
valued, these Core European markets seem attractively valued. We therefore plan
to have the Portfolio continue to be overweighted in both France and Germany.
YOUR UNDERWEIGHTED STRATEGY FOR ITALY AND THE U.K. YIELDED POSITIVE RESULTS FOR
THE PORTFOLIO DURING THE PERIOD UNDER REVIEW. WHAT EFFECT ARE RESULTS IN RECENT
AND UPCOMING ELECTIONS IN THESE COUNTRIES LIKELY TO HAVE ON THE PORTFOLIO'S
INVESTMENT STRATEGY?
PAQ: While earnings have been very depressed in the Core European markets
(creating a situation in which stocks have been somewhat undervalued), U.K.
corporate profits have done extremely well over the last four to five years,
helped by a reasonably buoyant domestic economy and by sterling's sharp decline
against other European currencies in 1992. At the same time, there's been
something of a boom in corporate activity in the U.K. that started earlier than
it did in continental Europe and which has now reached unsus-
4
<PAGE>
tainable levels, in our view. Given that we didn't see much chance of profits
surprising on the upside, that we were concerned about the durability of the
mergers and acquisitions boom in the U.K., and of course the uncertainty
regarding the upcoming elections in which the ruling Conservative Party, which
has been in power since 1979, is probably going to lose control, we've been
somewhat cautious in the U.K. market. The market has underperformed so far this
year. U.K. stocks are virtually where they were at the beginning of 1996,
compared to gains of 15% to 20% in many of the Continental markets, and that has
created some value. U.K. stocks are a much better value at this point, and we
have begun to add back to positions that are still somewhat lower than normal.
Meanwhile, the case of Italy is quite interesting. Italian stocks also
performed very badly in the first part of the year, when we began to add a
little bit to the Portfolio's allocation. Then the election results at the
beginning of April produced a surprise victory for the so-called "Olive Tree
Coalition," and we've increased the Portfolio's level of investment on signs
that stronger government would reward the country with lower bond yields, a
stronger currency, and a stronger equity market. We're still a bit skeptical
about the value of many Italian companies that have relatively poor track
records in terms of providing profits and dividends, and we don't see so many of
the signs evident, for example, in France and Germany that anything much is
being done about this. The Portfolio is less aggressively underweighted in Italy
than it was because the values are better.
HEDGING OUT OF THE YEN AND EUROPEAN CURRENCIES INTO THE U.S. DOLLAR ALSO ADDED
VALUE FOR THE PERIOD. DO YOU PLAN TO MAINTAIN THIS STRATEGY GOING FORWARD AND,
IF NOT, WHAT EXPECTED RELATIVE CURRENCY STRENGTHENINGS WILL DETERMINE FUTURE
PORTFOLIO HEDGES?
PAQ: The yen has fallen by a long way against the U.S. dollar, but it was
extraordinarily overvalued to start with. At this point, we still feel that the
yen is somewhat overpriced as interest rates in Japan are likely to remain very
low for a while, given that the authorities are going to make absolutely sure
that economic recovery really has taken hold before taking interest rates back
up to a more normal level. We would imagine that the yen will stay as one of the
weaker currencies for the time being. While we will have less aggressive hedging
at this level, a portion of the Portfolio's yen exposure is still hedged back
into the U.S. dollar.
Meanwhile, we've more recently begun to hedge a portion of the Portfolio's
European currency exposure into the U.S. dollar, also based on some
overvaluation, in particular the deutsche mark and the Swiss franc, but also
based on our view that European interest rates would tend to move down while
U.S. interest rates, if anything, would be tending to rise higher, particularly
at the longer end of the curve this year as the U.S. economy strengthens while
economies in Europe remain weak. So we have some hedges out of the European
currencies into the U.S. dollar as well. If, however, the U.S. dollar continues
to rally, then we'll be getting back to fair value against the yen fairly
quickly and then we'll be less aggressive with our hedging.
5
<PAGE>
WHILE THE PORTFOLIO'S DIVERSIFICATION OF INVESTMENT DECISIONS HAS BEEN DESIGNED
TO ENHANCE OVERALL LONG-TERM RETURNS, STOCK SELECTION BASED ON MORGAN'S IN-DEPTH
PROPRIETARY RESEARCH IS ARGUABLY THE PORTFOLIO'S GREATEST POTENTIAL SOURCE OF
ADDED VALUE. IN YOUR VIEW, WHERE DO YOU SEE PARTICULAR OPPORTUNITIES TO CONTINUE
ENHANCING VALUE FROM STOCK SELECTION?
PAQ: Stock selection has been the area in which we've been able to most
consistently add value for a long time, and this year so far has been no
different. We're very happy about the return to form of our stock pickers in
Japan, who had to contend with a very difficult market environment in 1995, and
we're still optimistic about that going forward. There's still an unusually wide
spread between the stocks our analysts find undervalued and the market as a
whole. We can be reasonably optimistic about Japanese stock picking. As the
Japanese economy and the corporate sectors recover, then we expect that our
value strategy will work well there.
In Europe, too, we had an excellent year in stock picking during 1995 that has
continued into 1996. We have a very good team of analysts in our London office
covering European companies, and with all the restructuring going on in Europe
there will be lots of opportunities to differentiate between those companies
that are leading in the process and creating interesting situations for their
shareholders and those that are not. For example, HOECHST was much quicker to
implement a program of cost-cutting than the two other large German chemical
companies and focused more aggressively on realizing value through sales or IPOs
of unrelated businesses. By recognizing this, we were able to participate in the
stock's dramatic rise over the past eighteen months. So in both Japan and Europe
we continue to see opportunities to add value through individual security
selection.
6
<PAGE>
FUND FACTS
INVESTMENT OBJECTIVE
The JPM Advisor International Equity Fund seeks seeks to provide a high total
return from a portfolio of equity securities of foreign companies. It is de-
signed for investors with a long-term investment horizon who want to diversify
their portfolios by investing in an actively managed portfolio of non-U.S.
securities that seeks to outperform the MSCI EAFE Index. As an international
investment, the Fund is subject to foreign market, political, and currency
risks.
- --------------------------------------------------------------------------------
COMMENCEMENT OF OPERATIONS
11/22/95
- --------------------------------------------------------------------------------
NET ASSETS AS OF 4/30/96
$269,612
- --------------------------------------------------------------------------------
CAPITAL GAIN PAYABLE DATE (IF APPLICABLE)
12/27/96
EXPENSE RATIO
The Fund's annualized expense ratio of 1.65% covers shareholders' expenses for
custody, tax reporting, investment advisory and shareholder services, after
reimbursement. The Fund is no-load and does not charge any sales, redemption,
or exchange fees. There are no additional charges for buying, selling, or
safekeeping Fund shares, or for wiring redemption proceeds from the Fund.
FUND HIGHLIGHTS
ALL DATA AS OF APRIL 30, 1996
PORTFOLIO ALLOCATION
(AS A PERCENTAGE OF TOTAL INVESTMENTS)
[GRAPH]
JAPAN 43.1%
UNITED KINGDOM 13.9%
FRANCE 11.0%
GERMANY 9.1%
SWITZERLAND 4.1%
UNITED STATES 3.1%
HONG KONG 2.9%
NETHERLANDS 2.8%
SPAIN 2.4%
OTHER COUNTRIES 7.6%
LARGEST COMMON
STOCK HOLDINGS % OF TOTAL INVESTMENTS
- --------------------------------------------------------------------------------
SUMITOMO BANK LTD. (JAPAN) 1.3
NOMURA SECURITIES CO. LTD. (JAPAN) 1.2
MITSUBISHI HEAVY INDUSTRIES (JAPAN) 1.1
TOYOTA MOTOR CORP. (JAPAN) 1.1
MATSUSHITA ELECTRIC INDUSTRIES
CO., LTD. (JAPAN) 1.0
7
<PAGE>
Signature Broker-Dealer Services, Inc. is the Distributor for The JPM Advisor
International Equity Fund (the "Fund").
Morgan Guaranty Trust Company of New York ("Morgan") serves as Investment
Advisor to The Non-U.S. Equity Portfolio (the "Portfolio") and makes the Fund
available solely in its capacity as services agent for customers. Investments in
the Fund are not deposits or obligations of, or guaranteed or endorsed by,
Morgan or any other bank. Shares of the Fund are not federally insured by the
Federal Deposit Insurance Corporation, the Federal Reserve Board, or any other
governmental agency. Investment return and principal value of an investment in
the Fund can fluctuate, so an investor's shares when redeemed may be worth more
or less than their original cost.
The Fund invests all of its investable assets in the Portfolio, a separately
registered investment company that is not available to the public but only to
other collective investment vehicles such as the Fund. The Portfolio invests in
foreign securities which are subject to special risks. For a discussion of these
risks and more complete information about the Fund and the other JPM Advisor
Funds, including management fees and other expenses, prospective investors
should refer to the Prospectuses for the Funds, which should be read carefully
before investing. You may obtain additional copies of the Prospectuses for the
Funds by calling the J.P. Morgan Funds Services at (800) JPM-3637.
8
<PAGE>
THE JPM ADVISOR INTERNATIONAL EQUITY FUND
STATEMENT OF ASSETS AND LIABILITIES (UNAUDITED)
APRIL 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investment in The Non-U.S. Equity Portfolio ("Portfolio"), at value $ 272,212
Receivable for Expense Reimbursement 47,150
Deferred Organization Expenses 30,652
---------
Total Assets 350,014
---------
LIABILITIES
Accrued Organization Expenses 33,596
Registration Fee Payable 17,846
Trustees' Fee Payable 10,195
Accrued Expenses 18,765
---------
Total Liabilities 80,402
---------
NET ASSETS
Applicable to 22,294 Shares of Beneficial Interest Outstanding $ 269,612
(par value $0.001, unlimited shares authorized)
---------
---------
Net Asset Value, Offering and Redemption Price Per Share $ 12.09
---------
---------
ANALYSIS OF NET ASSETS
Paid-In Capital $ 253,363
Undistributed Net Investment Income 542
Accumulated Net Realized Gain on Investment and Foreign Currency Transactions 3,022
Net Unrealized Appreciation of Investment and Foreign Currency Translations 12,685
---------
Net Assets $ 269,612
---------
---------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
9
<PAGE>
THE JPM ADVISOR INTERNATIONAL EQUITY FUND
STATEMENT OF OPERATIONS (UNAUDITED)
FOR THE PERIOD NOVEMBER 22, 1995 (COMMENCEMENT OF OPERATIONS) THROUGH APRIL 30,
1996
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME FROM PORTFOLIO
$ 1,565
Allocated Dividend Income (Net of Foreign Withholding Tax of $238)
231
Allocated Interest Income (Net of Foreign Withholding Tax of $6)
(606)
Allocated Portfolio Expenses
---------
1,190
Net Investment Income Allocated from Portfolio
FUND EXPENSES
Registration Fees $ 18,235
Trustees' Fees and Expenses 10,195
Transfer Agent Fees 6,456
Printing 4,665
Insurance 3,946
Professional Fees 3,070
Amortization of Organization Expense 2,944
Administration Fee 9
Miscellaneous 640
---------
Total Fund Expenses 50,160
Less: Reimbursement of Expenses (49,512)
---------
(648)
NET FUND EXPENSES
---------
542
NET INVESTMENT INCOME
3,024
NET REALIZED GAIN ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS
ALLOCATED FROM PORTFOLIO
12,685
NET CHANGE IN UNREALIZED APPRECIATION OF INVESTMENT AND FOREIGN
CURRENCY TRANSLATIONS ALLOCATED FROM PORTFOLIO
---------
$ 16,251
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS
---------
---------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
10
<PAGE>
THE JPM ADVISOR INTERNATIONAL EQUITY FUND
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE PERIOD
NOVEMBER 22, 1995
(COMMENCEMENT OF
OPERATIONS) THROUGH
APRIL 30, 1996
(UNAUDITED)
-------------------
<S> <C>
INCREASE IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 542
Net Realized Gain on Investment and Foreign Currency Transactions Allocated from Portfolio 3,024
Net Change in Unrealized Appreciation of Investment and Foreign Currency Translations
Allocated from Portfolio 12,685
--------
Net Increase in Net Assets Resulting from Operations 16,251
--------
DISTRIBUTIONS TO SHAREHOLDERS FROM
Net Realized Gain (2)
--------
Total Distributions to Shareholders (2)
TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST
Proceeds from Shares of Beneficial Interest Sold 345,296
Reinvestment of Dividends and Distributions 2
Cost of Shares of Beneficial Interest Redemmed (92,044)
--------
Net Increase from Transactions in Shares of Beneficial Interest 253,254
--------
Total Increase in Net Assets 269,503
NET ASSETS
Beginning of Period 109
--------
End of Period (including undistributed net investment income of $542) $ 269,612
--------
--------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
11
<PAGE>
THE JPM ADVISOR INTERNATIONAL EQUITY FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
Selected data for a share outstanding throughout the period is as follows:
<TABLE>
<CAPTION>
FOR THE PERIOD
NOVEMBER 22, 1995
(COMMENCEMENT OF
OPERATIONS) THROUGH
APRIL 30, 1996
(UNAUDITED)
--------------------
<S> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.90
------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.02
Net Realized and Unrealized Gain on Investment and Foreign Currency 1.17
------
Total from Investment Operations 1.19
------
DISTRIBUTIONS TO SHAREHOLDERS FROM
Net Realized Gain 0.00*
------
NET ASSET VALUE, END OF PERIOD $ 12.09
------
------
Total Return 10.92 %(a)
------
------
RATIOS AND SUPPLEMENTAL DATA (B)
Net Assets at end of Period (in thousands) $ 270
Ratios to Average Net Assets
Expenses 1.65 %
Net Investment Income 0.71 %
Decrease Reflected in Expense Ratio due to Expense Reimbursement 0.85 %(c)
</TABLE>
- ------------------------
(a) Not Annualized.
(b) Annualized.
(c) After consideration of certain state limitations.
* Less than $0.01
The Accompanying Notes are an Integral Part of the Financial Statements.
12
<PAGE>
THE JPM ADVISOR INTERNATIONAL EQUITY FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
APRIL 30, 1996
- --------------------------------------------------------------------------------
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
The JPM Advisor International Equity Fund (the "Fund") is a separate series of
The JPM Advisor Funds, a Massachusetts business trust (the "Trust"). The Trust
is registered under the Investment Company Act of 1940, as amended, as a
no-load, open-end management investment company. The Fund commenced operations
on November 22, 1995.
The Fund invests all of its investable assets in The Non-U.S. Equity Portfolio
(the "Portfolio"), a no-load diversified open-end management investment company
having the same investment objective as the Fund. The value of such investment
reflects the Fund's proportionate interest in the net assets of the Portfolio
(less than 1% at April 30, 1996). The performance of the Fund is directly
affected by the performance of the Portfolio. The financial statements of the
Portfolio, including the schedule of investments, are included elsewhere in this
report and should be read in conjunction with the Fund's financial statements.
The preparation of financial statements prepared 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 Fund:
a)Valuation of securities by the Portfolio is discussed in Note 1 of the
Portfolio's Notes to Financial Statements which are included elsewhere in
this report.
b)The Fund records its share of net investment income, realized and
unrealized gain and loss and adjusts its investment in the Portfolio each
day. All the net investment income and realized and unrealized gain and
loss of the Portfolio is allocated pro rata among the Fund and other
investors in the Portfolio at the time of such determination.
c)Distributions to shareholders of net investment income and net realized
capital gains, if any, are declared and paid annually.
d)The Fund incurred organization expenses in the amount of $33,596. These
costs were deferred and are being amortized on a straight-line basis over
a five-year period from the commencement of operations.
e)Each series of the Trust is treated as a separate entity for federal
income tax purposes. The Fund intends to comply with the provisions of the
Internal Revenue Code of 1986, as amended, applicable to regulated
investment companies and to distribute substantially all of its income,
including net realized capital gains, if any, within the prescribed time
periods. Accordingly, no provision for federal income or excise tax is
necessary.
f)Expenses incurred by the Trust with respect to any two or more funds in
the Trust are allocated in proportion to the net assets of each fund in
the Trust, except where allocations of direct expenses to each fund can
otherwise be made fairly. Expenses directly attributable to a fund are
charged to that fund.
13
<PAGE>
THE JPM ADVISOR INTERNATIONAL EQUITY FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1996
- --------------------------------------------------------------------------------
2. TRANSACTIONS WITH AFFILIATES
a)The Trust has retained Signature Broker-Dealer Services, Inc.
("Signature") to serve as administrator and distributor. Signature
provides administrative services necessary for the operations of the Fund,
furnishes office space and facilities required for conducting the business
of the Fund and pays the compensation of the Fund's officers affiliated
with Signature. The agreement provided for a fee to be paid to Signature
at an annual rate determined by the following schedule: 0.04% of the first
$1 billion of the aggregate average daily net assets of the Trust, as well
as two other affiliated fund families for which Signature acts as
administrator, 0.032% of the next $2 billion of such net assets, 0.024% of
the next $2 billion of such net assets, and 0.016% of such net assets in
excess of $5 billion. The daily equivalent of the fee rate is applied
daily to the net assets of the Fund. For the period November 22, 1995
(commencement of operations) through December 28, 1995, there was no fee
for these services.
Effective December 29, 1995, the Administration Agreement was amended such
that the fee charged would be equal to the Fund's proportionate share of a
complex-wide fee based on the following annual schedule: 0.03% on the
first $7 billion of the aggregate average daily net assets of the
Portfolio and the other portfolios (the "Master Portfolios") in which
series of the Trust, The JPM Institutional Funds, or The Pierpont Funds
invest and 0.01% on the aggregate average daily net assets of the Master
Portfolios in excess of $7 billion. The portion of this charge payable by
the Fund is determined by the proportionate share its net assets bear to
the total net assets of the Trust, The JPM Institutional Funds, The
Pierpont Funds and the Master Portfolios. For the period December 29,
1995, through April 30, 1996, such fees amounted to $9.
b)The Trust, on behalf of the Fund, has a Services Agreement with Morgan
Guaranty Trust Company of New York ("Morgan") under which Morgan would
receive a fee, based on the percentage described below, for overseeing
certain aspects of the administration and operation of the Fund and for
providing shareholder servicing to Fund shareholders. The Services
Agreement is also designed to provide an expense limit for certain
expenses of the Fund. If total expenses of the Fund, excluding
amortization of organization expenses, exceed the expense limit of 0.76%
of the Fund's average daily net assets, Morgan will reimburse the Fund for
the excess expense amount and receive no fee. Should such expenses be less
than the expense limit, Morgan's fee would be limited to the difference
between such expenses and the fee calculated under the Services Agreement.
For the period November 22, 1995 (commencement of operations) through
April 30, 1996, Morgan has agreed to reimburse the Fund $46,638 under the
Services Agreement.
In addition to the expenses that Morgan assumes under the Services
Agreement, Morgan has agreed to reimburse the Fund to the extent necessary
to maintain the total operating expenses of the Fund, including the
expenses allocated to the Fund from the Portfolio, at no more than 1.65%
of the average daily net assets of the Fund through December 31, 1996. For
the period from November 22, 1995 (commencement of operations) through
April 30, 1996, Morgan has agreed to reimburse the Fund $2,874 for
expenses under this agreement. Morgan, Charles Schwab & Co. ("Schwab") and
the Trust are parties to separate services and operating agreements (the
"Schwab
14
<PAGE>
THE JPM ADVISOR INTERNATIONAL EQUITY FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1996
- --------------------------------------------------------------------------------
Agreements") whereby Schwab makes Fund shares available to customers of
investment advisors and other financial intermediaries who are Schwab's
clients. In the event the Services Agreement with the Trust is terminated,
the Fund would be responsible for the ongoing payments to Schwab under the
Schwab Agreements.
c)An aggregate annual fee of $16,000 is paid to each Trustee for serving as
a Trustee of The Trust. The Trustees' Fees and Expenses shown in the
financial statements represents the Fund's allocated portion of the total
fees and expenses.
3. TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST
The Declaration of Trust permits the Trustees to issue an unlimited number of
full and fractional shares of beneficial interest of one or more series.
Transactions in shares of beneficial interest of the Fund were as follows:
<TABLE>
<CAPTION>
FOR THE PERIOD NOVEMBER 22, 1995
(COMMENCEMENT OF OPERATIONS)
THROUGH APRIL 30, 1996
---------------------------------
<S> <C>
Shares of beneficial interest sold 30,104
Shares of beneficial interest redeemed (7,820)
-------
Net increase 22,284
-------
-------
</TABLE>
15
<PAGE>
The Non-U.S. Equity Portfolio
Semi-Annual Report April 30, 1996
(unaudited)
(The following pages should be read in conjunction
with The JPM Advisor International Equity Fund
Semi-Annual Financial Statements)
16
<PAGE>
THE NON-U.S. EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED)
APRIL 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION SHARES VALUE
- --------------------------------------------------------------------------- ----------- ------------
<S> <C> <C>
COMMON STOCKS (89.1%)
AUSTRALIA (1.6%)
Broken Hill Proprietary Co. Ltd. (Energy Sources)........................ 221,105 $ 3,405,694
CRA Ltd. (Metals, Materials & Paper)..................................... 69,700 1,131,137
CSR Ltd. (Multi-Industry)................................................ 217,000 783,150
National Australia Bank Ltd. (Banking)................................... 211,405 1,898,253
News Corporation Ltd. (Publishing)....................................... 280,630 1,646,060
North Broken Hill Peko Ltd. (Metals, Materials & Paper).................. 211,500 636,915
Rothmans Holdings Ltd. (Beverages & Tobacco)............................. 95,000 461,620
Santos Ltd. (Energy Sources)............................................. 164,000 585,426
Southcorp Holdings Ltd. (Food & Household Products)...................... 651,800 1,773,222
TNT Ltd. (Transportation) (A)............................................ 511,700 679,947
Western Mining Corp. Holdings Ltd. (Metals & Mining)..................... 127,100 927,398
------------
13,928,822
------------
BELGIUM (0.9%)
Arbed NPV (Metal, Materials & Paper) (A)................................. 4,300 468,014
Banque Bruxelles Lambert (Banking)....................................... 2,800 527,766
Electrabel NPV (Utilities)............................................... 4,835 1,083,173
Fortis AG NPV (Insurance)................................................ 5,900 732,024
Generale De Banque SA (Banking).......................................... 4,200 1,479,343
Petrofina SA NPV (Energy Sources)........................................ 3,800 1,122,612
Solvay and Cie Ord NPV (Chemicals)....................................... 2,100 1,237,784
Tractebel Capital NPV (Multi-Industry)................................... 3,200 1,299,740
------------
7,950,456
------------
FRANCE (10.7%)
Air Liquide (Chemicals).................................................. 19,290 3,498,717
Alcatel Alsthom (Electrical & Electronics)............................... 36,893 3,463,309
AXA (Multi-Industry)..................................................... 47,227 2,808,737
Banque Nationale de Paris (Banking)...................................... 38,800 1,617,313
Bouygues (Engineering & Construction).................................... 21,287 2,158,663
Carrefour Supermarkets (Merchandising)................................... 4,440 3,463,062
Castorama Dubois Investissments (Merchandising).......................... 8,630 1,648,611
Cetelem (Financial Services)............................................. 7,700 1,649,428
Chargeurs (Leisure & Tourism)............................................ 3,900 1,035,806
Christian Dior SA (Retail)............................................... 24,175 3,217,338
Compagnie Financiere de Cic Union Europ Certe de Invest (Banking)........ 14,777 1,027,542
Compagnie Financiere de St. Gobain (Glass & Packaging)................... 21,065 2,518,623
Compagnie Generale des Eaux (Utilities).................................. 43,139 4,682,927
Credit Commercial de France (Financial Services)......................... 36,400 1,820,306
Credit Local de France (Financial Services).............................. 15,000 1,182,412
Erid Beghin Say (Insurance).............................................. 7,900 1,286,369
Essilor International (Health & Personal Care)........................... 8,382 2,117,710
Groupe Danone (Food Processing).......................................... 29,419 4,438,027
Havas (Business & Public Services)....................................... 13,000 1,471,472
Lafarge Coppe SA (Building Materials).................................... 19,848 1,268,983
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
17
<PAGE>
THE NON-U.S. EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION SHARES VALUE
- --------------------------------------------------------------------------- ----------- ------------
FRANCE (CONTINUED)
<S> <C> <C>
LaGardere Groupe (Leisure & Tourism)..................................... 69,480 $ 1,861,432
Peugeot SA (Automotive).................................................. 12,250 1,708,379
Pinault Printemps Redouto (Building Materials)........................... 7,410 2,245,702
Promodes (Merchandising)................................................. 12,560 3,602,692
Renault SA (Automotive).................................................. 57,820 1,750,081
Rhone Poulenc SA, Class A (Chemicals).................................... 92,804 2,222,795
Roussel Uclaf (Pharmaceuticals).......................................... 4,536 1,067,164
Sanofi (Pharmaceuticals)................................................. 32,780 2,640,317
Schneider (Technology)................................................... 34,300 1,595,371
Seb AG (Food & Household Products)....................................... 5,000 840,234
SEITA (Beverages & Tobacco).............................................. 79,900 3,071,220
SGS -- Thomson Microelectronics N.V. (Electrical & Electronics) (A)...... 30,000 1,427,818
Sidel (Technology)....................................................... 7,200 1,710,601
Sita (Telecommunications)................................................ 4,300 930,245
Societe Generale (Banking)............................................... 18,458 2,139,178
Societe Nationale Elf Aquitaine (Energy Sources)......................... 71,053 5,274,288
Sommer-Allibert (Building Materials)..................................... 2,260 644,326
Synthelabo (Health & Personal Care)...................................... 24,365 1,897,100
Television Francaise (Broadcasting & Publishing)......................... 14,480 1,566,274
Total SA, Class B (Energy Sources)....................................... 74,015 5,013,794
Union Assurance Federal (Insurance)...................................... 17,880 2,168,893
Usinor Sacilor (Metals, Materials & Paper) (A)........................... 97,800 1,510,318
Valeo (Automotive)....................................................... 21,700 1,202,126
------------
94,465,703
------------
GERMANY (8.1%)
Allianz Holdings AG (Insurance).......................................... 2,256 3,869,059
Ava Allgemeine Handels-Der Verbr (Merchandising)......................... 4,790 1,180,695
Bank Gesellschaft Berlin AG (Banking).................................... 4,600 943,385
BASF AG (Chemicals)...................................................... 9,900 2,698,498
Bayer AG (Chemicals)..................................................... 22,505 7,234,966
Beiersdorf AG (Health & Personal Care)................................... 2,613 2,198,061
Bilfinger & Berger Bau AG (Construction & Housing)....................... 6,125 2,314,569
Colonia Konzern AG (Insurance)........................................... 1,545 1,057,860
Continental AG (Industrial Components)................................... 140,570 2,424,537
Daimler-Benz AG (Automobiles)............................................ 5,308 2,902,315
Deutsche Bank AG (Banking) (A)........................................... 89,900 4,301,191
Deutsche Pfandbrief Und Hypotheken Bank (Banking)........................ 65,500 2,229,576
Douglas Holding AG (Retail).............................................. 19,000 628,163
Dresdner Bank AG (Banking)............................................... 114,600 2,878,601
Henkel KGAA (Chemicals).................................................. 5,200 1,990,453
Karstadt AG (Merchandising).............................................. 600 223,721
Lufthansa AG (Transportation)............................................ 10,670 1,689,366
Man AG (Machinery & Engineering)......................................... 5,445 1,453,283
Mannesmann AG (Machinery & Engineering).................................. 4,385 1,495,484
Munchener Ruckversicherungs (Insurance).................................. 2,792 5,061,401
Rheinisch Westfalisches Elekt AG (Utilities)............................. 55,000 2,137,566
SAP AG (Computer Software)............................................... 3,300 427,155
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
18
<PAGE>
THE NON-U.S. EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION SHARES VALUE
- --------------------------------------------------------------------------- ----------- ------------
GERMANY (CONTINUED)
<S> <C> <C>
Siemens AG (Electrical & Electronics).................................... 14,865 $ 8,125,965
Thyssen AG (Metals, Materials & Paper)................................... 14,400 2,605,770
Veba AG (Energy Sources)................................................. 81,950 4,066,719
Volkswagen AG (Automotive)............................................... 14,780 5,093,660
------------
71,232,019
------------
HONG KONG (2.8%)
Cheung Kong Holdings (Building & Contractors)............................ 218,000 1,557,095
Henderson Land Development Co. (Building & Contractors).................. 600,000 4,304,974
Hong Kong Electric Holdings Ltd. (Utilities)............................. 703,500 2,237,306
Hong Kong Telecommunications Ltd. (Telecommunications)................... 1,583,200 3,018,937
HSBC Holdings PLC (Banking).............................................. 213,200 3,183,431
Hutchison Whampoa Ltd. (Multi-Industry).................................. 353,000 2,190,495
New World Development Co. Ltd. (Real Estate)............................. 110,000 493,456
Sing Tao Holdings (Broadcasting & Publishing)............................ 1,218,000 720,385
Sun Hung Kai Properties Ltd. (Real Estate)............................... 186,000 1,773,378
Swire Pacific Ltd. (Transportation)...................................... 387,500 3,306,297
Television Broadcasts Ltd. (Broadcasting & Publishing)................... 452,000 1,811,450
Tingyi Cayman Island Holdings (Food Processing) (A)...................... 1,310,000 364,113
------------
24,961,317
------------
IRELAND (0.3%)
Allied Irish Banks PLC (Banking)......................................... 53,000 275,581
Bank of Ireland (Banking)................................................ 150,000 1,080,282
CRH (Building & Contractors)............................................. 51,000 457,537
Irish Life (Insurance)................................................... 140,000 543,245
Smurfit (Jefferson) Group (Metals, Material & Paper)..................... 235,000 632,842
------------
2,989,487
------------
ITALY (0.8%)
Assicurazioni Generali SPA (Insurance)................................... 86,000 2,140,981
Ente Nazionale Idrocarburi SPA (Energy Sources) (A)...................... 136,00 586,745
Fiat SPA (Automotive) (A)................................................ 483,000 1,643,894
Istituto Mobiliare Italiano (Banking) (A)................................ 172,00 1,363,192
Telekom Italia SPA (Telecommunications).................................. 669,00 1,361,892
------------
7,096,704
------------
JAPAN (38.3%)
Achilles Corp. (Tire and Rubber)......................................... 170,000 766,003
Aichi Corp. (Machinery & Engineering).................................... 90,000 1,022,420
Alps Electric Co. Ltd. (Technology)...................................... 105,000 1,232,918
Asahi Bank Ltd. (Banking)................................................ 581,000 7,487,721
Asahi Glass Co. Ltd. (Metals, Materials & Paper)......................... 130,000 1,576,111
Asatsu Inc. (Commerical Services)........................................ 25,000 1,097,836
Bank of Kyoto (Banking).................................................. 102,000 688,429
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
19
<PAGE>
THE NON-U.S. EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION SHARES VALUE
- --------------------------------------------------------------------------- ----------- ------------
JAPAN (CONTINUED)
<S> <C> <C>
Bridgestone Corp. (Metals, Material & Paper)............................. 45,000 $ 833,401
Canon Sales Co. Ltd. (Transport & Trade Services)........................ 85,000 2,377,532
Chugai Pharmaceutical Co. (Health & Personal Care)....................... 218,000 2,122,738
Chuo Trust & Banking Co. (Banking)....................................... 200,000 2,004,745
Cosmo Oil Company Ltd. (Energy Sources).................................. 600,000 3,923,572
Daido Steel Co. (Metals, Materials & Paper).............................. 500,000 2,758,910
Daiei Inc. (Retail)...................................................... 300,000 4,066,768
Dai Ichi Kangyo Bank Ltd. (Banking)...................................... 380,000 7,726,858
Daikin Industries (Machinery & Engineering).............................. 200,000 2,214,765
Dai Nippon Ink & Chemicals Inc. (Chemicals).............................. 367,000 1,993,508
Daishi Bank (Banking).................................................... 150,000 860,608
Daiwa Bank (Banking)..................................................... 1,050,000 8,169,334
Daiwa Danchi (Building & Contractors) (A)................................ 200,000 1,298,311
Daiwa House Industry Co. Ltd. (Building & Contractors)................... 100,000 1,594,249
Denki Kagaku Kogyo (Chemicals)........................................... 100,000 386,629
Dowa Mining Co. (Metals, Materials & Paper).............................. 63,000 336,797
East Japan Railway Co. (Transportation).................................. 825 4,402,562
Ebara Corp. (Capital Goods).............................................. 180,000 2,800,915
Eisai Co. Ltd. ( Health & Personal Care)................................. 52,500 1,037,455
Familymart (Retail)...................................................... 45,000 2,199,491
Fuji Denki Reiki (Retail)................................................ 115,500 1,598,784
Fuji Electric Co. Ltd. (Technology)...................................... 600,000 3,471,072
Fuji Fire & Marine (Insurance)........................................... 230,000 1,345,947
Fuji Machine Manufacturing (Capital Goods)............................... 50,000 1,641,981
Fujitsu (Technology)..................................................... 150,000 1,546,517
Fukui Bank (Banking)..................................................... 200,000 1,258,216
Gakken Co. Ltd. (Broadcasting & Publishing).............................. 270,000 1,946,034
Godo Steel (Metals, Materials & Paper) (A)............................... 150,000 1,078,266
Gunze Ltd. (Chemicals)................................................... 65,000 426,295
Hitachi Ltd. (Electrical & Electronics).................................. 680,000 7,335,456
Hitachi Plant Engineering & Construction Co. Ltd. (Capital Goods)........ 64,000 533,988
Hitachi Transport System (Transport & Trade Services).................... 107,000 1,164,470
Hokkai Can Co. Ltd. (Materials & Commodities)............................ 125,000 1,063,231
Hokkaido Takushoku Bank (Banking)........................................ 550,000 1,590,908
Honda Motor Co. Ltd. (Automotive)........................................ 180,000 4,106,862
Industrial Bank of Japan Ltd. (Banking).................................. 114,000 3,047,212
Itoham Foods Inc. (Food Processing)...................................... 250,000 2,030,997
Izumi Co. (Retail)....................................................... 60,000 1,271,581
Izumiya Co. Ltd. (Retail)................................................ 55,000 1,050,104
Japan Airport Terminals (Media & Leisure)................................ 60,000 864,904
Japan Tobacco Inc. (Beverages & Tobacco)................................. 200 1,848,184
Kagawa Bank (Banking).................................................... 100,000 1,040,558
Kaken Pharmaceutical Co. (Health & Personal Care)........................ 115,000 1,048,434
Kao Corp. (Chemicals).................................................... 100,000 1,336,496
Kawasaki Heavy Industries Ltd. (Capital Goods)........................... 200,000 1,032,921
Kawasaki Kisen Kaisha Ltd. (Transport & Trade Services) (A).............. 700,000 2,579,438
Keiyo Co. Ltd. (Retail).................................................. 65,000 905,954
Kinden Corp. (Building & Contractors).................................... 82,500 1,315,256
Kinki Nippon Railway Co. Ltd. (Transport & Trade Services)............... 154,500 1,200,584
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
20
<PAGE>
THE NON-U.S. EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION SHARES VALUE
- --------------------------------------------------------------------------- ----------- ------------
JAPAN (CONTINUED)
<S> <C> <C>
Kissei Pharmaceutical Co. (Health & Personal Care)....................... 33,000 $ 1,039,603
Kitz Corp. (Machinery & Engineering)..................................... 145,000 757,173
Kurabo Industries (Textiles & Apparel)................................... 302,000 1,320,420
Kuraray Co. (Chemicals).................................................. 70,000 808,580
Kyocera Corp. (Technology)............................................... 15,000 1,128,385
Kyowa Hakko Kogyo Co. Ltd. (Chemicals)................................... 175,000 1,720,739
Marubeni Corp. (Transport & Trade Services).............................. 500,000 2,992,797
Maruha Corp. (Fishery) (A)............................................... 180,000 704,524
Matsushita Electric Industries Co. Ltd. (Consumer Electronics)........... 500,000 8,830,423
Matsushita Refrigeration Co. (Consumer).................................. 75,000 601,423
Matsumoto Yushi Seiyaku Co. (Chemicals).................................. 44,000 924,092
Minebea Co. (Capital Goods).............................................. 250,000 2,293,523
Minolta Co. Ltd. (Consumer).............................................. 125,000 763,712
Mitsubishi Chemical Corp. (Chemicals).................................... 120,000 657,556
Mitsubishi Electric Corp. Ltd. (Electrical & Electronics)................ 400,000 3,146,494
Mitsubishi Gas Chemical Corp. (Chemicals)................................ 750,000 3,694,458
Mitsubishi Heavy Industries (Capital Goods).............................. 1,118,000 9,968,468
Mitsubishi Oil Co. (Energy Sources)...................................... 100,000 899,271
Mitsui Mining & Smelting Co. Ltd. (Metals, Materials & Paper)............ 350,000 1,603,796
Mitsui Toatsu Chemicals Inc. (Chemicals)................................. 650,000 2,879,195
Mitsui Trust & Banking Co. Ltd. (Banking)................................ 200,000 2,405,693
Mizuno Corp. (Retail).................................................... 262,000 2,626,215
Morinaga Milk Industry Co. Ltd. (Food & Household Products).............. 100,000 537,462
Nagase & Co. Ltd. (Transport & Trade Services)........................... 100,000 992,826
Nagoya Railroad Co. Ltd. (Transport & Trade Services).................... 150,000 810,490
New Oji Paper Co. (Metals, Material & Paper)............................. 150,000 1,384,706
Nichii Co. Ltd. (Merchandising).......................................... 100,000 1,603,796
Nichicon Corp. (Technology).............................................. 75,000 1,245,806
Nihon Matai Co. (Wholesale & International Trade)........................ 94,000 620,077
Nippon Credit Bank (Banking)............................................. 193,000 786,729
Nippon Express Co. Ltd. (Transport & Trade Services)..................... 200,000 2,081,116
Nippon Meat Packers Inc. (Food Processing)............................... 50,000 792,351
Nippon Paper Industries (Metal, Materials & Paper)....................... 200,000 1,462,509
Nippon Road Co. Ltd. (Building & Contractors)............................ 130,000 1,120,652
Nippon Sheet Glass Co. Ltd. (Food & Household Products).................. 225,000 1,155,592
Nippon Steel Corp. (Metals).............................................. 433,000 1,562,498
Nippon Telephone & Telegraph (Telecommunications)........................ 160 1,238,741
Nippon Zeon Co. Ltd. (Chemicals)......................................... 180,000 1,147,859
Nishimatsu Construction Co. Ltd. (Building & Contractors)................ 200,000 2,348,415
Nissan Diesel Motor Co. (Automotive)..................................... 340,000 1,911,763
Nissan Motor Co. Ltd. (Automotive)....................................... 600,000 5,063,412
Nitto Boseki Co. (Consumer) (A).......................................... 105,000 377,894
Nomura Securities Co. Ltd. (Financial Services).......................... 474,000 10,316,988
North Pacific Bank (Banking)............................................. 220,000 1,260,125
Okamura Corp. (Transportation)........................................... 140,000 1,253,634
Okumura Corp. (Building & Contractors)................................... 300,000 2,863,921
Ono Pharmaceuticals Co. (Health & Personal Care)......................... 50,000 1,885,415
Osaka Gas Co. Ltd. (Utilities)........................................... 519,000 2,075,970
Osaka Sanso Kogyo (Chemicals)............................................ 300,000 1,340,315
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
21
<PAGE>
THE NON-U.S. EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION SHARES VALUE
- --------------------------------------------------------------------------- ----------- ------------
JAPAN (CONTINUED)
<S> <C> <C>
Parco Co. (Retail)....................................................... 77,000 $ 918,841
Penta Ocean Construction (Building & Contractors)........................ 95,000 717,364
Pokka Corp. (Food & Household Products).................................. 50,000 620,516
QP Corp. (Food & Household Products)..................................... 146,000 1,477,401
Ricoh Corp. Ltd. (Electronics)........................................... 186,000 2,184,026
Rohm Co. (Electronics)................................................... 20,000 1,271,581
Ryobi Ltd. (Metals, Materials & Paper)................................... 400,000 2,195,673
Ryoyo Electro Corp. (Technology)......................................... 30,000 770,395
Sanden Corp. (Industrial Components)..................................... 50,000 371,355
San-in Godo Bank Ltd. (Banking).......................................... 100,000 849,630
Sakura Bank Ltd. (Banking)............................................... 358,000 4,203,663
Sankyo Aluminium Industry Co. Ltd. (Building & Contractors).............. 75,000 475,411
Sanwa Bank (Banking)..................................................... 200,000 4,047,675
Shikoku Electric Power Inc. (Utilities).................................. 100,000 2,453,425
Showa Aluminium Co. (Metals, Materials & Paper).......................... 120,000 674,740
Showa Denko K.K. (Chemicals) (A)......................................... 800,000 2,642,444
Snow Brand Milk Products Co. Ltd. (Food & Household Products)............ 300,000 2,173,716
Sony Corp. (Electrical & Electronics).................................... 73,000 4,738,834
Sumitomo Bank Ltd. (Banking)............................................. 520,000 11,119,650
Sumitomo Electric Industries Ltd. (Capital Goods)........................ 120,000 1,718,352
Sumitomo Forestry Co. (Engineering & Construction)....................... 200,000 3,073,942
Sumitomo Light Metal Industries (Metals, Materials & Paper).............. 150,000 608,583
Sumitomo Metal Industries (Metals, Materials & Paper).................... 2,790,000 8,949,180
Sumitomo Realty & Development Co. Ltd. (Building & Contractors).......... 150,000 1,205,711
Tadano Ltd. (Capital Goods).............................................. 100,000 964,187
Takashimaya Co. Ltd. (Retail)............................................ 200,000 3,264,870
Toa Corporation (Building & Contractors)................................. 150,000 1,051,059
Tobu Railway Co. Ltd. (Transport & Trade Services)....................... 175,000 1,209,529
Toenec Corp. (Technology)................................................ 50,000 510,733
Toho Gas Co. Ltd. (Utilities)............................................ 247,000 929,037
Tohoku Electric Power Co. Inc. (Utilities)............................... 80,000 1,985,652
Tokio Marine & Fire Insurance Co. Ltd. (The) (Insurance)................. 261,000 3,587,920
Tokyo Electric Power Co. Inc. (Utilities)................................ 135,000 3,672,978
Tokyu Land Corp. (Financial Services) (A)................................ 500,000 2,563,209
Tomen Corp. (Transport & Trade Services)................................. 500,000 2,042,930
Toppan Printing Co. Ltd. (Transport & Trade Services).................... 130,000 1,911,190
Topy Industries Co. Ltd. (Capital Goods)................................. 150,000 717,412
Toshiba Corp. (Electrical & Electronics)................................. 75,000 582,808
Tosoh Corp. (Chemicals) (A).............................................. 755,000 3,538,899
Toyo Construction Co. (Building & Contractors)........................... 303,000 1,718,181
Toyo Trust & Banking Co. Ltd. (Banking).................................. 210,000 2,285,409
Tyobo Co. Ltd. (Consumer)................................................ 95,000 385,436
Toyoda Gosei Co. (Automotive)............................................ 139,000 1,180,985
Toyota Motor Corp. (Automotive).......................................... 405,000 9,240,441
Tsubakimoto Chain (Capital Goods)........................................ 200,000 1,410,958
Ube Industires Ltd. (Chemicals).......................................... 321,000 1,320,759
Uni-Charm Corp. (Merchandising).......................................... 60,000 1,695,441
Victor Co. of Japan (Consumer)........................................... 50,000 692,114
Yamazaki Baking Co. (Food & Household Products).......................... 60,000 1,225,758
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
22
<PAGE>
THE NON-U.S. EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION SHARES VALUE
- --------------------------------------------------------------------------- ----------- ------------
JAPAN (CONTINUED)
<S> <C> <C>
Yaohan Japan Corp. (Retail).............................................. 100,000 $ 913,591
Yaskawa Electric Manufacturing Co. Ltd. ( Technology) (A)................ 70,000 370,209
Yasuda Trust & Banking Co. Ltd. (Financial Services)..................... 645,000 4,273,256
Yokogawa Bridge Corp. (Metals, Materials & Paper)........................ 25,000 372,310
Yokohama Rubber Co. Ltd. (Metals, Materials & Paper)..................... 410,000 2,735,904
Zexel Corp. (Machinery & Engineering).................................... 200,000 1,477,783
------------
337,961,894
------------
MALAYSIA (0.7%)
Commerce Asset-Holdings (Financial Services)............................. 351,000 2,392,795
IOI Corporation (Metals, Materials & Paper).............................. 427,000 640,397
New Straits Times Press (Media & Leisure)................................ 205,000 1,101,560
Sime Darby Berhad (Multi-Industry)....................................... 535,000 1,480,309
Tan Chong Motor Holdings Berhad (Automotive)............................. 524,000 844,709
------------
6,459,770
------------
NETHERLANDS (2.7%)
ABN Amro Holdings (Banking).............................................. 52,130 2,694,944
Aegon NV ( Insurance).................................................... 17,500 832,275
Dutch State Mines (Chemicals)............................................ 20,700 2,111,285
Elsevier NV (Broadasting & Publishing)................................... 66,000 992,435
Heineken Holding (Food & Household Products)............................. 4,000 748,348
Internationale Nederlanden Groep (Insurance)............................. 31,300 2,413,474
Koninklijke KNP (Metals, Materials & Paper).............................. 28,450 678,178
Koninklijke PTT Nederland (Utilities).................................... 29,000 1,086,794
Moeara Enim Petroleum (Energy Sources)................................... 160 2,527,130
Royal Dutch Petroleum (Energy Sources)................................... 48,540 6,905,672
Unilever NV (Food & Household Products).................................. 20,645 2,813,182
------------
23,803,717
------------
NEW ZEALAND (0.3%)
Fletcher Challenge Paper (Metals, Materials & Paper) (A)................. 340,000 700,509
Fletcher Challenge Energy (Energy Sources) (A)........................... 170,000 364,265
Fletcher Challenge Building (Building & Contractors) (A)................. 170,000 402,793
Lion Nathan Ltd. (Food & Household Products)............................. 619,000 1,543,159
------------
3,010,726
------------
NORWAY (1.3%)
Aker AS, Series B (Building Materials)................................... 70,000 1,159,158
Hafslund Nycomed, Series B (Health & Personal Care)...................... 70,000 1,951,426
Kvaerner AS, Series B (Machinery & Engineering).......................... 50,000 1,925,599
Norsk Hydro AS (Energy Sources).......................................... 120,000 5,460,042
Orkla AS, B Free (Multi-Industry)........................................ 30,000 1,367,289
------------
11,863,514
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
23
<PAGE>
THE NON-U.S. EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION SHARES VALUE
- --------------------------------------------------------------------------- ----------- ------------
SINGAPORE (1.3%)
<S> <C> <C>
Development Bank of Singapore (Banking).................................. 125 $ 1,583
Malaysia International Shipping Corp. (Transport & Trade Services)....... 333 1,044
Natsteel Ltd. (Metals, Materials & Paper)................................ 343,000 687,966
Overseas Chinese Banking Corp. (Banking)................................. 87,000 1,194,264
Sime Darby Berhad (Multi-Industry)....................................... 499,800 1,386,387
Sime U.E.P. Properties (Building & Contractors).......................... 334,000 641,407
Singapore Airlines Ltd. (Transportation)................................. 106,600 1,076,637
Singapore Press Holdings Ltd. (Media & Leisure).......................... 64,000 1,210,836
Singapore Telecommunications (Utilities)................................. 990,000 2,436,323
United Overseas Bank (Banking)........................................... 215,000 2,094,993
United Overseas Land (Building & Contractors)............................ 359,000 748,145
------------
11,479,585
------------
SPAIN (2.3%)
Banco Intercontinental Espanol (Banking)................................. 20,100 2,111,540
Banco Pastor (Banking)................................................... 22,200 1,270,655
Banco Popular Espanol (Banking).......................................... 14,700 2,432,961
Empresa Nacional de Electric (Utilities)................................. 50,400 3,161,728
Fuerzas Electric de Cataluna SA, Series A (Utilities).................... 403,300 2,814,992
Iberdrola SA (Utilities)................................................. 183,700 1,795,667
Repsol SA (Energy Sources)............................................... 103,300 3,783,548
Telefonica de Espana (Telecommunications)................................ 175,100 3,113,878
------------
20,484,969
------------
SWITZERLAND (3.5%)
Baer Holdings AG (Banking)............................................... 490 547,229
BBC AG Brown Boveri & Cie (Machinery & Engineering)...................... 620 745,214
Ciba Geigy AG (Chemicals)................................................ 5,035 5,829,368
Compagnie Financiere Richemont AG (Food & Household Products)............ 600 877,366
CS Holding (Banking)..................................................... 5,845 529,491
Fischer (Georg) AG (Capital Goods)....................................... 820 975,065
Holderbank Financiere Glarus (Building Materials)........................ 900 678,994
Interdiscount Holding AG (Retail) (A).................................... 3,400 81,952
Liechtenstein Global Trust (Financial Services).......................... 1,250 636,733
Merkur Holding AG (Retail)............................................... 5,640 1,160,051
Nestle SA (Food & Household Products).................................... 3,965 4,399,414
Roche Holdings Genusscheine NPV (Health & Personal Care)................. 796 6,245,156
Sandoz AG (Health & Personal Care)....................................... 3,430 3,736,903
Schweizerischer Bankverein (Banking) (A)................................. 7,720 2,884,219
Societe Generale de Surveillance Holdings SA (Transport & Trade
Service)................................................................ 350 787,379
Swissair AG (Transportation) (A)......................................... 880 867,531
------------
30,982,065
------------
UNITED KINGDOM (13.5%)
Abbey National PLC (Banking)............................................. 148,000 1,261,465
Allied Colloids Group PLC (Chemicals).................................... 700,000 1,386,555
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
24
<PAGE>
THE NON-U.S. EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION SHARES VALUE
- --------------------------------------------------------------------------- ----------- ------------
UNITED KINGDOM (CONTINUED)
<S> <C> <C>
Allied Domecq PLC (Food & Household Products)............................ 261,000 $ 2,011,157
Amersham International PLC (Health & Personal Care)...................... 60,000 965,186
Argyll Group PLC (Retail)................................................ 374,000 1,863,265
Barclays Bank (Banking).................................................. 226,000 2,499,430
BAT Industries PLC (Beverages & Tobacco)................................. 407,000 3,065,936
BICC (Industrial Components)............................................. 272,000 1,416,326
BOC Group PLC (Chemicals)................................................ 111,100 1,538,795
Britannic Assurance (Insurance).......................................... 118,000 1,421,879
British Gas PLC (Utilities).............................................. 440,000 1,558,223
British Petroleum Co. Ltd. (Energy Sources).............................. 495,000 4,453,069
British Telecommunications PLC (Telecommunications)...................... 680,000 3,719,388
British Tire & Rubber PLC (Multi-Industry)............................... 579,000 2,780,312
Cable & Wireless PLC (Telecommunications)................................ 271,000 2,120,746
Caradon PLC (Building & Contractors)..................................... 509,000 1,756,753
Dalgety PLC (Food & Household Products).................................. 314,000 1,828,211
General Electric Co. PLC (Electrical & Electronics)...................... 353,000 1,899,017
Glaxo Wellcome PLC (Health & Personal Care).............................. 630,496 7,621,016
Glynwed International PLC (Metals, Materials & Paper).................... 300,200 1,660,019
Granada Group PLC (Leisure & Tourism).................................... 205,077 2,534,227
Guardian Royal Exchange PLC (Insurance).................................. 729,000 2,466,829
Guinness PLC (Beverages & Tobacco)....................................... 375,000 2,689,826
Hanson Trust PLC (Multi-Industry)........................................ 514,000 1,519,478
Hillsdown Holdings PLC (Food & Household Products)....................... 682,000 1,842,137
HSBC Holdings (Banking).................................................. 225,000 3,320,641
Inchcape PLC (Commercial Services)....................................... 303,000 1,327,671
Kingfisher (Merchandising)............................................... 218,000 1,944,793
Lloyds TSB Group (Banking)............................................... 696,450 3,328,621
Lucas Industries PLC (Capital Goods)..................................... 466,000 1,499,955
Marks & Spencer PLC (Merchandising)...................................... 329,500 2,192,876
MEPC (Real Estate)....................................................... 290,000 1,864,721
National Power (Utilities)............................................... 305,000 2,565,314
National Westminster Bank (Banking)...................................... 225,000 2,068,015
Pearson PLC (Multi-Industry)............................................. 194,000 2,043,637
Peninsular & Orient Steam Navigation Company (Transportation)............ 131,000 1,028,106
Racal Electronics (Technology)........................................... 277,000 1,434,049
Rank Organisation PLC (Media & Leisure).................................. 217,000 1,735,609
Reuters Holdings PLC (Broadcasting & Publishing)......................... 233,100 2,630,420
Rolls-Royce PLC (Machinery & Engineering)................................ 589,000 2,094,733
RTZ Corp. PLC (Metals, Materials & Paper)................................ 147,000 2,307,353
Sainsbury (J.) PLC (Retail).............................................. 437,000 2,400,090
Sears Holdings (Merchandising)........................................... 1,362,000 2,054,037
Shell Transport & Trading Co. (Energy Sources)........................... 282,000 3,709,079
Smithkline Beecham (Health & Personal Care).............................. 243,166 2,572,510
South West Water (Utilities)............................................. 217,700 2,231,229
Standard Chartered PLC (Financial Services).............................. 229,000 2,137,425
Tarmac PLC (Building Materials).......................................... 921,500 1,804,558
Thorn EMI PLC (Appliances & Household Durables).......................... 92,000 2,543,667
Tomkins (Multi-Industry)................................................. 423,000 1,739,226
Unilever PLC (Food & Household Products)................................. 70,000 1,277,311
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
25
<PAGE>
THE NON-U.S. EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION SHARES VALUE
- --------------------------------------------------------------------------- ----------- ------------
UNITED KINGDOM (CONTINUED)
<S> <C> <C>
Vodafone Group PLC (Telecommunications).................................. 718,000 $ 2,860,579
Willis Corroon Group PLC (Insurance)..................................... 367,900 844,668
Yorkshire Electricity Group (Utilities).................................. 85,000 1,044,005
Zeneca Group PLC (Health & Personal Care)................................ 64,000 1,337,335
------------
119,821,478
------------
Total Common Stocks (cost $721,817,227)................................ 788,492,226
------------
PREFERRED STOCKS (0.6%)
GERMANY (0.6%)
GEA AG (Machinery)....................................................... 4,715 1,463,522
Jungheinrich (Capital Goods)............................................. 6,730 943,548
Rheinisch Westfalisches Elekt AG (Utilities)............................. 50,300 1,461,256
SAP AG, 9.00 (Computer Software)......................................... 11,000 1,458,279
------------
Total Preferred Stocks (cost $6,015,623)............................... 5,326,605
------------
<CAPTION>
PRINCIPAL
AMOUNT
(IN FRF)
-----------
<S> <C> <C> <C>
CONVERTIBLE BONDS (4.6%)
FRANCE (0%)*
Sanofi 4.00% due 01/01/00 (Pharmaceuticals)................................... 372,500 323,699
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
(IN YEN)
------------
<S> <C> <C>
JAPAN (3.9%)
BOT Cayman Finance 4.25% due 03/31/03 (Banking)............................... 950,000,000 13,206,852
Canon Inc. 1.3% due 12/19/08 (Consumer)....................................... 111,000,000 1,478,213
Daido Hoxan Inc. 1.6% due 03/29/02 (Chemicals)................................ 30,000,000 336,511
Izumiya Co. Ltd. 0.80% due 08/31/99 (Retail).................................. 140,000,000 1,804,270
Matsushita Electric Works 2.7% due 05/31/02 (Building & Contractors).......... 75,000,000 908,579
Mitsui & Co Ltd. 1.05% due 09/30/99 (Transport & Trade Services).............. 75,000,000 810,490
NEC Corp. 1.90% due 03/30/01 (Electrical & Electronics)....................... 700,000,000 9,168,365
SXL Corp. 2.70% due 03/29/02 (Building & Contractors)......................... 60,000,000 678,749
Toyota Motor Co. 1.70% due 05/31/96 (Automotive).............................. 75,000,000 1,174,207
Toyota Motor Co. 1.2% due 01/28/98 (Automotive)............................... 300,000,000 3,528,350
Yamato Transport 3.90% due 03/30/01 (Transportation).......................... 132,000,000 1,696,128
-----------
34,790,714
-----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
26
<PAGE>
THE NON-U.S. EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
DESCRIPTION (IN USD) VALUE
- -------------------------------------------------------------------------------- ------------ -----------
<S> <C> <C>
MALAYSIA (0.2%)
Telekom Malaysia 4% due 10/30/04 (Telecommunications)......................... 1,540,000 $ 1,641,063
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
(IN CHF)
------------
<S> <C> <C>
SWITZERLAND (0.4%)
Sandoz Capital BVI Ltd. 1.25% due 10/23/02 (Financial Services)............... 1,595,000 1,720,414
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
(IN USD)
------------
<S> <C> <C>
Swiss Re Finance Bermuda 2% due 07/06/00 (Insurance).......................... 1,790,000 1,995,850
-----------
3,716,264
-----------
<CAPTION>
PRINCIPAL
AMOUNT
(IN STG)
------------
<S> <C> <C>
UNITED KINGDOM (0.1%)
BPB Industries PLC 7.25% due 08/25/08 (Building & Contractors)................ 396,000 792,193
-----------
Total Convertible Bonds (cost $37,665,016).................................. 41,263,933
-----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
------------
<S> <C> <C>
WARRANTS (0.6%)
FRANCE (0%)*
LaGardere Groupe, Expiring 12/31/96 (Leisure & Tourism) (A)................... 16,000 12,671
-----------
GERMANY (0.3%)
Alliance Holdings AG, Expiring 02/23/98 (Insurance) (A) 17,330 821,568
Veba International, Expiring 04/06/98 (Energy Sources) (A).................... 8,870 2,122,757
-----------
2,944,325
-----------
JAPAN (0.1%)
Dowa Mining Co, Expiring 12/09/97 (Metals, Materials & Paper) (A)............. 391 635,375
Maeda Corp, Expiring 02/05/97 (Building & Contractors) (A).................... 315 567,000
-----------
1,202,375
-----------
NETHERLANDS (0.1%)
Philips Electronics, Expiring 06/30/98 (Appliances & Household Durables)
(A).......................................................................... 27,800 444,760
-----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
27
<PAGE>
THE NON-U.S. EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION SHARES VALUE
- -------------------------------------------------------------------------------- ------------ -----------
SWITZERLAND (0.1%)
<S> <C> <C>
Lion Corp., Expiring 6/18/99 (Chemicals) (A).................................. 2,000 $ 449,931
-----------
Total Warrants (cost $4,566,934)............................................ 5,054,062
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
(IN US
DOLLARS)
------------
<S> <C> <C>
TIME DEPOSITS (3.1%)
UNITED STATES (3.1%)
State Street Bank & Trust Co. 4.875 % due 05/01/96 (Banking) (cost $27,177,000
)............................................................................ 27,177,000 27,177,000
-----------
TOTAL INVESTMENTS (COST $797,241,800) (98.0%) 867,313,826
OTHER ASSETS NET OF LIABILITIES (2.0%) 14,176,822
-----------
NET ASSETS (100.0%) $881,490,648
-----------
-----------
</TABLE>
(A) Non-Income-Producing Security
* Less than 0.1%
Note: For Federal Income Tax purposes, the cost of securities owned at April
30, 1996 was substantially the same as the cost of securities for
financial statement purposes.
The Accompanying Notes are an Integral Part of the Financial Statements.
28
<PAGE>
THE NON-U.S. EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1996
- --------------------------------------------------------------------------------
INDUSTRY DIVERSIFICATION
<TABLE>
<CAPTION>
PERCENT OF
TOTAL INVESTMENTS
---------------------
<S> <C>
Banking........................................................................................ 17.8%
Chemicals...................................................................................... 6.4%
Energy Sources................................................................................. 6.3%
Electrical & Electronics....................................................................... 6.0%
Metals, Materials & Paper...................................................................... 5.0%
Automotive..................................................................................... 4.8%
Utilities...................................................................................... 4.8%
Health & Personal Care......................................................................... 4.4%
Retail......................................................................................... 3.5%
Building & Contractors......................................................................... 3.3%
Financial Services............................................................................. 3.2%
Insurance...................................................................................... 3.2%
Capital Goods.................................................................................. 3.1%
Food & Household Products...................................................................... 3.1%
Transport & Trade.............................................................................. 2.4%
Merchandising.................................................................................. 2.3%
Multi-Industry................................................................................. 2.2%
Telecommunications............................................................................. 2.2%
Transportation................................................................................. 1.8%
Technology..................................................................................... 1.7%
Machinery...................................................................................... 1.6%
Beverages & Tobacco............................................................................ 1.3%
Broadcasting & Publishing...................................................................... 1.1%
Industrial Components.......................................................................... 1.0%
Miscellaneous.................................................................................. 7.5%
-----
100.0%
-----
-----
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
29
<PAGE>
THE NON-U.S. EQUITY PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES (UNAUDITED)
APRIL 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments at Value (Cost $797,241,800) $867,313,826
Cash 4,477
Foreign Currency at Value (Cost $17,103,466) 17,075,133
Receivable for Investments Sold 13,382,375
Dividends and Interest Receivable 3,717,536
Foreign Tax Reclaim Receivable 1,017,270
Unrealized Appreciation on Forward Foreign Currency Contracts 462,389
Unrealized Appreciation on Open Spot Foreign Currency Contracts 2,282
Prepaid Trustees' Fees 2,795
Prepaid Expenses 1,618
------------
Total Assets 902,979,701
------------
LIABILITIES
Payable for Investments Purchased 17,664,492
Unrealized Depreciation on Forward Foreign Currency Contracts 3,072,023
Advisory Fee Payable 589,995
Custody Fee Payable 85,657
Administrative Services Fee Payable 17,303
Administration Fee Payable 9,087
Fund Services Fee Payable 3,109
Accrued Expenses 47,387
------------
Total Liabilities 21,489,053
------------
NET ASSETS
Applicable to Investors' Beneficial Interests $881,490,648
------------
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
30
<PAGE>
THE NON-U.S. EQUITY PORTFOLIO
STATEMENT OF OPERATIONS (UNAUDITED)
FOR THE SIX MONTHS ENDED APRIL 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
$ 5,650,321
Dividends (Net of $866,267 Foreign Withholding Taxes)
1,118,324
Interest (Net of $14,094 Foreign Withholding Taxes)
------------
6,768,645
Investment Income
EXPENSES
Advisory Fee $ 2,275,697
Custodian Fees and Expenses 448,548
Administrative Fee 41,663
Professional Fees 34,250
Fund Services Fee 21,154
Administrative Services Fee 67,216
Trustees' Fees and Expenses 6,938
Printing Expenses 4,496
Miscellaneous 4,467
-------------
(2,904,429)
Total Expenses
------------
3,864,216
NET INVESTMENT INCOME
NET REALIZED GAIN ON
Investment Transactions 11,079,494
Foreign Currency Contracts and Foreign Exchange Transactions 9,429,974
-------------
20,509,468
Net Realized Gain
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) OF
Investments 78,383,012
Foreign Currency Contracts and Translations (4,430,580)
-------------
73,952,432
Net Change in Unrealized Appreciation (Depreciation)
------------
$ 98,326,116
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS
------------
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
31
<PAGE>
THE NON-U.S. EQUITY PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE SIX
MONTHS ENDED FOR THE FISCAL
APRIL 30, 1996 YEAR ENDED
(UNAUDITED) OCTOBER 31, 1995
---------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 3,864,216 $ 6,919,031
Net Realized Gain on Investments and Foreign Currency Transactions 20,509,468 15,078,850
Net Change in Unrealized Appreciation of Investments and
Foreign Currency Translations 73,952,432 (27,987,331)
---------------- -----------------
Net Increase (Decrease) in Net Assets Resulting from Operations 98,326,116 (5,989,450)
---------------- -----------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS
Contributions 228,090,206 373,795,232
Withdrawals (98,228,630) (138,078,647)
---------------- -----------------
Net Increase from Investors' Transactions 129,861,576 235,716,585
---------------- -----------------
Total Increase in Net Assets 228,187,692 229,727,135
NET ASSETS
Beginning of Period 653,302,956 423,575,821
---------------- -----------------
End of Period $ 881,490,648 $ 653,302,956
---------------- -----------------
---------------- -----------------
</TABLE>
- --------------------------------------------------------------------------------
SUPPLEMENTARY DATA
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE SIX
MONTHS ENDED FOR THE FISCAL FOR THE FISCAL
APRIL 30, 1996 YEAR ENDED YEAR ENDED
(UNAUDITED) OCTOBER 31, 1995 OCTOBER 31, 1994
---------------- ----------------- -----------------
<S> <C> <C> <C>
Ratios to Average Net Assets
Expenses 0.77%(a) 0.82% 0.95%
Net Investment Income 1.02%(a) 1.31% 0.93%
Portfolio Turnover 26%(b) 59% 56%
</TABLE>
- ------------------------
(a) Annualized.
(b) Not Annualized
(c) Portfolio turnover for the fiscal year ended October 31, 1993, included the
portfolio activity of The Pierpont International Equity Fund, Inc. for the
period November 1, 1992 through October 3, 1993, prior to conversion when
The Pierpont International Equity Fund, Inc. contributed all of its
investable assets to the Portfolio.
The Accompanying Notes are an Integral Part of the Financial Statements.
32
<PAGE>
THE NON-U.S. EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
APRIL 30, 1996
- --------------------------------------------------------------------------------
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
The Non-U.S. 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. The Portfolio's investment
objective is to provide a high total return from a portfolio of equity
securities of foreign companies. The Portfolio commenced operations on
October 4, 1993 and received a contribution of certain assets and
liabilities, including securities, with a value of $160,213,973 on that date
from the Pierpont International Equity Fund, Inc. in exchange for a
beneficial interest in the Portfolio. At that date, net unrealized
appreciation of $11,116,204 was included in the contributed securities. The
Declaration of Trust permits the Trustees to issue an unlimited number of
beneficial interests in the Portfolio.
Investments in international markets may involve certain considerations and
risks not typically associated with investments in the United States. Future
economic and political developments in foreign 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 prepared 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
exists 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 readily available closing bid price on
such exchanges, or at the quoted bid price in the over-the-counter market.
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 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 asset value is 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.
33
<PAGE>
THE NON-U.S. EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1996
- --------------------------------------------------------------------------------
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
forward contracts stated in foreign currencies are translated at the
prevailing exchange rates at the end of the period. Purchases, sales,
income and expenses 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.
c)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 based on procedures established
by and under the general supervision of the Portfolio's Trustees and the
change in the market value is recorded by the Portfolio as unrealized
appreciation or depreciation of foreign currency translations. At April
30, 1996, the Portfolio had open foreign currency contracts as follows:
SUMMARY OF OPEN FORWARD FOREIGN CURRENCY SALE CONTRACTS
<TABLE>
<CAPTION>
U.S. DOLLAR NET UNREALIZED
VALUE AT APPRECIATION/
SALES CONTRACTS PROCEEDS 04/30/96 (DEPRECIATION)
- ------------------------------------------------------------- ------------- ------------- ---------------
<S> <C> <C> <C>
French Franc 117,210,233, expiring 07/23/96 $ 22,946,404 $ 22,719,718 $ 226,686
German Mark 21,655,860, expiring 07/23/96 14,427,622 14,191,919 235,703
Japanese Yen 9,318,493,076, expiring 07/23/96 87,007,405 90,079,428 (3,072,023)
---------------
Net Unrealized Depreciation on Forward Foreign Currency Contracts $ (2,609,634)
---------------
---------------
</TABLE>
SUMMARY OF OPEN SPOT FOREIGN CURRENCY CONTRACTS
<TABLE>
<CAPTION>
U.S. DOLLAR
VALUE AT NET UNREALIZED
PURCHASE CONTRACTS COST 04/30/96 APPRECIATION
- ------------------------------------------------------------- ------------- ------------- ---------------
<S> <C> <C> <C>
Italian Lira 662,000,000, per GBP 280,447, expiring 05/03/96 $ 420,839 $ 423,121 $ 2,282
------
------
</TABLE>
34
<PAGE>
THE NON-U.S. EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1996
- --------------------------------------------------------------------------------
d)Securities transactions are recorded on a trade date basis. Dividend
income is recorded on the ex-dividend date or at the time that the
relevant ex-dividend date and amount becomes known. Interest income, which
includes the amortization of premiums and discount, 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 intends to be treated as a partnership for federal income
tax purposes. As such, each investor in the Portfolio will be taxable 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 earns foreign
income which may be subject to foreign withholding taxes at various rates.
2. TRANSACTIONS WITH AFFILIATES
a)The Portfolio has an investment advisory agreement with Morgan Guaranty
Trust Company of New York ("Morgan"). Under the terms of the investment
advisory agreement, the Portfolio pays Morgan at an annual rate of 0.60%
of the Portfolio's average daily net assets. For the six months ended
April 30, 1996, such fees amounted to $2,275,697.
b)The Portfolio has retained Signature Broker-Dealer Services, Inc.
("Signature") to serve as administrator and exclusive placement agent.
Signature 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 Signature. The agreement provided for
a fee to be paid to Signature at an annual rate determined by the
following schedule: 0.01% of the first $1 billion of the aggregate average
daily net assets of the Portfolio and the other portfolios subject to the
Administrative Services Agreement, 0.008% of the next $2 billion of such
net assets, 0.006% of the next $2 billion of such net assets, and 0.004%
of such net assets in excess of $5 billion. The daily equivalent of the
fee rate is applied each day to the net assets of the Portfolio. For the
period November 1, 1995 through December 28, 1995, such fees amounted to
$9,619.
Effective December 29, 1995, the Administration Agreement was amended such
that the fee charged would be equal to the Portfolio's proportionate share
of a complex-wide fee based on the following annual schedule: 0.03% on the
first $7 billion of the aggregate average daily net assets of the
Portfolio and the other portfolios subject to this agreement (the "Master
Portfolios") and 0.01% on the aggregate average daily net assets of the
Master Portfolios in excess of $7 billion. The portion of this charge
payable by the Portfolio is determined by the proportionate share its net
assets bear to the total net assets of The Pierpont Funds, The JPM
Institutional Funds, The JPM Advisor Funds and the Master Portfolios. For
the period from December 29, 1995 through April 30, 1996, such fees
amounted to $32,044.
c)Until August 31, 1995, the Portfolio had a Financial and Fund Accounting
Services Agreement ("Services Agreement") with Morgan under which Morgan
received a fee, based on the percentage
35
<PAGE>
THE NON-U.S. EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1996
- --------------------------------------------------------------------------------
described below, for overseeing certain aspects of the administration and
operation of the Portfolio and was also designed to provide an expense
limit for certain expenses of the Portfolio. This fee was calculated
exclusive of the advisory fee, custody expenses, fund services fee, and
brokerage costs at 0.15% of the Portfolio's average daily net assets up to
$200 million, 0.10% of the next $200 million of average daily net assets,
and 0.05% of the next $200 million of average daily net assets and 0.03%
on any excess over $600 million. From September 1, 1995 until December 28,
1995, an interim agreement between the Portfolio and Morgan provided for
the continuation of the oversight functions that were outlined under the
Services Agreement and that Morgan should bear all of its expenses
incurred in connection with these services.
Effective December 29, 1995, the Portfolio entered into an Administrative
Services Agreement (the "Agreement") with Morgan under which Morgan is
responsible for overseeing certain aspects of the administration and
operation of the Portfolio. Under the Agreement, the Portfolio has agreed
to pay Morgan a fee equal to its proportionate share of an annual
complex-wide charge. This charge is calculated daily based on the
aggregate net assets of the Master Portfolios in accordance with the
following annual schedule: 0.06% on the first $7 billion of the Master
Portfolios' aggregate average daily net assets and 0.03% of the aggregate
average daily net assets in excess of $7 billion. The portion of this
charge payable by the Portfolio is determined by the proportionate share
that the Portfolio's net assets bear to the net assets of the Master
Portfolios and other investors in the Master Portfolios for which Morgan
provides similar services. For the period December 29, 1995 through April
30, 1996, the fee for these services amounted to $67,216.
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 $21,154 for the six months ended April 30, 1996.
e)An aggregate annual fee of $65,000 is paid to each Trustee for serving as
a Trustee of The Pierpont Funds, The JPM Institutional Funds and the
Master Portfolios. The Trustees' Fees and Expenses shown in the financial
statements represent the Portfolio's allocated portion of the total fees
and expenses. The Trustee who serves as Chairman and Chief Executive
Officer of the Portfolio also serves as Chairman of Group and received
compensation and employee benefits from Group in his role as Group's
Chairman. The allocated portion of such compensation and benefits included
in the Fund Services Fee shown in the financial statements was $2,700.
3. INVESTMENT TRANSACTIONS
Investment transactions (excluding short-term investments) for the six
months ended April 30, 1996, were as follows:
<TABLE>
<CAPTION>
COST OF PROCEEDS
PURCHASES FROM SALES
- -------------- --------------
<S> <C>
$324,131,537 $192,349,478
</TABLE>
36
<PAGE>
THE JPM ADVISOR FAMILY OF FUNDS
THE JPM ADVISOR U.S. FIXED INCOME FUND
THE JPM ADVISOR INTERNATIONAL FIXED INCOME FUND
THE JPM ADVISOR U.S. EQUITY FUND
THE JPM ADVISOR U.S. SMALL CAP EQUITY FUND
THE JPM ADVISOR INTERNATIONAL EQUITY FUND
THE JPM ADVISOR EUROPEAN EQUITY FUND
THE JPM ADVISOR JAPAN EQUITY FUND
THE JPM ADVISOR ASIA GROWTH FUND
THE JPM ADVISOR EMERGING MARKETS EQUITY FUND
FOR MORE INFORMATION ON THE JPM ADVISOR FAMILY OF FUNDS, CALL J.P. MORGAN FUNDS
SERVICES AT (800)JPM-3637.
THE JPM ADVISOR FAMILY OF FUNDS
THE
JPM ADVISOR
INTERNATIONAL EQUITY FUND
SEMI-ANNUAL REPORT
APRIL 30, 1996
