<PAGE>
LETTER TO THE SHAREHOLDERS OF THE JPM ADVISOR EMERGING MARKETS EQUITY FUND
June 14, 1996
Dear Shareholder:
Thank you for investing in The JPM Advisor Emerging Markets 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 provide long-term investors who wish to diversify their portfolios with a
vehicle that will add exposure to the world's rapidly growing emerging markets.
The first of these reports follows and covers the short period from the Fund's
November 22, 1995 inception 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 Alejandro
Baez-Sacasa, a member of our portfolio management team. It should be noted
that this interview pertains to The Emerging Markets Equity Portfolio, a
separate investment company in which the Fund invests all of its assets,
which has been in operation since November 15, 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 FUND FACTS AND HIGHLIGHTS.... 6
PORTFOLIO MANAGER Q&A........ 2 FINANCIAL STATEMENTS......... 8
- --------------------------------------------------------------------------------
1
<PAGE>
PORTFOLIO MANAGER Q&A
[PHOTOGRAPH] Following is an interview with ALEJANDRO BAEZ-SACASA, who is a
member of the portfolio management team for The Emerging Markets
Equity Portfolio in which the Fund invests. Alejandro joined
Morgan Private Banking in 1982. Before moving to the Emerging
Markets equities team in 1995, he spent ten years managing
international balanced portfolios for private clients. This
interview was conducted on June 7, 1996 and reflects Alejanro's
views on that date.
THE PERIOD UNDER REVIEW SAW A MAJOR TURNAROUND FOR THE WORLD'S EMERGING MARKETS
- -- UNDOUBTEDLY WELCOME NEWS FOR OUR PATIENT SHAREHOLDERS. IN YOUR VIEW, WHAT
WERE THE UNDERLYING FACTORS FOR THE IMPRESSIVE RECOVERIES THAT TOOK PLACE IN
LATIN AMERICA, ASIA, AND EUROPE'S EMERGING MARKETS?
ABS: In our view, the two main issues that dominated emerging markets during
1995 and were largely responsible for their disappointing performance throughout
most of that year were the devaluation of the Mexican peso and an increase in
political tensions around the world. We believe that the turnaround seen during
the six months ending April 30, 1996 came on the back of increased investor
confidence that political difficulties were being resolved, signals of an
acceleration of GDP growth throughout the emerging economies, and the attractive
valuations that could be found in most markets following the 1995 downturn.
One key indication of resurgent investor confidence was the fact that the
world's emerging economies received record inflows of capital throughout the
latter stages of 1995 -- this despite the Mexican crisis. We also started to
witness signals of an acceleration of GDP growth in Eastern Europe and Latin
America, as well as a recognition by investors that certain markets had become
attractive. Eastern European markets, for example, were selling at 6 to 7 times
their prospective 1996 earnings, well below the levels found in more developed
markets. The Latin American governments most affected by the Mexican peso crisis
did not change their economic policies and maintained fiscal and monetary
discipline despite the high social cost that this implied, giving renewed
confidence to international and domestic investors.
WE OFTEN SPEAK OF THE NEED FOR INVESTORS TO FOCUS ON LONG-TERM VALUE --
PARTICULARLY IN THESE MARKETS. HOW WELL DID THE PORTFOLIO'S COMMITMENT TO
UNCOVERING LONG-TERM VALUE SUCCEED DURING THE PERIOD AND WHICH PARTS OF OUR
COUNTRY ALLOCATION AND STOCK SELECTION STRATEGY WORKED BEST IN YOUR VIEW?
ABS: The key to our success during this period was the fact that neither of the
Portfolio's investment decisions detracted from overall returns, which of course
set the stage for the Portfolio's relative outperformance. Stock selection, for
example, made a slightly positive contribution overall while our country
allocation decisions were neutral relative to the benchmark for the period. In
terms of country allocation, the Portfolio added value for shareholders in
Israel, Taiwan, Turkey, and South Africa. The positive effect of these decisions
was, however, moderated by negative results in Argentina, Korea, Malaysia, and
Mexico. And while it was positive overall, the Portfolio's greatest success in
stock selection for the period came in Chile, Mexico, Malaysia, Thailand, and
the Czech Republic.
2
<PAGE>
WHAT FACTORS DO YOU THINK WERE AT WORK IN THE MARKETS IN WHICH THE PORTFOLIO
OUT- AND UNDERPERFORMED? AND COULD YOU PLEASE PROVIDE ONE OR TWO RECENT EXAMPLES
OF HOW MORGAN'S PROPRIETARY RESEARCH AIMS AT ACHIEVING SUCCESS IN THE
PORTFOLIO'S COUNTRY ALLOCATION?
ABS: If we take South Africa, for example, a market in which the Portfolio
outperformed for the period under review, and which was responsible for most of
the Portfolio's added value from country selection, the Portfolio was
overweighted in the first two months of the period. Later on, however, we turned
less positive after visiting the country and therefore decided to pursue an
underweighted investment strategy in South Africa for two reasons. The first of
these were concerns about valuations of that market relative to other markets in
the emerging markets universe and, second, the likelihood that South Africa's
political situation would become unstable if President Mandela's health removed
him from the government. Our underweighted strategy paid off after the South
African market experienced a good January and February, but then was challenged
by a depreciating currency and a decline in the price of gold in late February
and early March.
Taiwan provides another example of our success in country allocation during
the period. We decided to overweight the Portfolio in Taiwan shortly after
China's provocative naval exercises in the Taiwan straits caused the market to
sell off considerably. By the beginning of this year, however, valuations in
Taiwan stocks had dropped to ten-year lows in terms of price-to-earnings ratios.
We took this as a signal to begin overweighting Taiwanese stocks in relative
terms -- a decision that has been rewarded as this market has outperformed the
MSCI Emerging Markets Free Index on a year-to-date basis.
Far less successful has been our decision to have the Portfolio underweighted
in Malaysia, a market which rallied throughout the period under review. While
some of our momentum-driven competitors might believe that this was a reason to
increase their allocation to Malaysia, we are more comfortable with
maintaining our underweighting there, despite the Portfolio's recent
underperformance. The reason for this is Morgan's focus on long-term fundamental
value as the determining factor in country allocation decisions. Our analysis
indicates that Malaysian stock prices are currently expensive is historical
terms, that its economy is overheated, and it is experiencing a large current
account deficit. Given this environment, we believe that now is not the time to
increase the Portfolio's exposure to Malaysia. Indeed, we expect to add value
there through our underweighting in the months to come as we believe that
Malaysia is likely to underperform the Index.
THE PORTFOLIO SEEKS TO ADD VALUE FOR SHAREHOLDERS THROUGH INFORMED STOCK
SELECTION. WHERE WAS THIS DECISION STRONGEST AND ARE WE STANDING FIRM WITH THE
STOCKS THAT PROVIDED DISAPPOINTING RETURNS FOR THE PERIOD?
ABS: As I've said before, we managed to marginally add to the Portfolio's
overall returns for the period through our stock selection decisions. We believe
that our stock selection worked better in relative terms in Asia and Eastern
Europe because those markets were more inclined to focus on long-term value, and
were therefore more in sync with our own stock selection process. Stock
selection proved more difficult for us in Latin America because of the fact that
investors were focusing on liquidity and momentum rather than value in the wake
of the Mexican peso crisis. Although clearly out of sync in Latin America over
this short term, our analysis indicates that stocks in this region are now being
increasingly priced in accordance with long-term fundamentals -- a situation
that we believe is likely to benefit our stock selection there in the months
ahead.
3
<PAGE>
INFORMED INVESTORS UNDERSTAND THE LONG-TERM BENEFITS OF A GLOBALLY DIVERSIFIED
PORTFOLIO THAT INCLUDES AN EXPOSURE TO THE WORLD'S EMERGING MARKETS. HAVING SAID
THAT, HOWEVER, DO YOU AND YOUR TEAM THINK THAT CURRENT VALUATIONS MAKE EMERGING
MARKETS A PARTICULARLY ATTRACTIVE INVESTMENT AT THIS TIME IN GLOBAL TERMS?
ABS: Our analysis indicates that emerging markets equities are now reasonably
priced when viewed in the context of their five-year average price-to-earnings
ratios, and that they are selling at a small discount relative to U.S. stocks,
as measured by the S&P 500, and a somewhat larger discount to EAFE (i.e., non-
U.S.) stocks. However, when you factor in prospective GDP growth, or what
investors pay for growth, our view is that emerging markets equities are indeed
attractive going forward. The five-year historical price-to-earnings
average is 18 times earnings for this asset class, while emerging markets
equities are currently selling at 17 times earnings. While this price, of
course, cannot be seen as a deep discount relative to historical valuations, we
believe that emerging markets equities can be viewed as fairly attractive both
in terms of their own historical pricing and relative to U.S. and EAFE stocks
when they are considered on a price-to-earnings per unit of growth basis.
ONE OF THE IMPORTANT DEVELOPMENTS FOR THE PORTFOLIO DURING THIS PERIOD WAS
MORGAN'S DECISION TO SWITCH TO A BENCHMARK THAT, IN OUR VIEW, MORE ACCURATELY
REFLECTS THE EMERGING MARKETS UNIVERSE. WHAT WAS YOUR THINKING ON THE LONG-TERM
ADVANTAGES OF THIS MOVE, AND WHAT WOULD YOU SAY TO POSSIBLE DETRACTORS WHO MIGHT
ARGUE THAT WE HAVE SIMPLY "CHANGED HORSES IN MID-STREAM" TO FURTHER OUR OWN
ENDS?
ABS: We did indeed move from a version of The IFC Investible Index to The MSCI
Emerging Markets Free Index on January 1st of this year. Our decision, which
became final on June 30, 1995, was mainly driven by MSCI's treatment of South
Africa and Malaysia. The MSCI Emerging Markets Free Index was first to utilize a
method of accounting for cross holdings. (Cross holdings are stock of one
company in the Index owned by another company in the Index.) In the case of
South Africa, this dramatically reduced the country's weighting in the Index to
a level in line with its actual market capitalization. In Malaysia, MSCI has
selected companies which, in the context of the Index, result in a lower overall
country weight. In answer to our possible detractors, let me say that we believe
that by combining the lower weight in Malaysia with the adjusted weight in South
Africa, The MSCI Emerging Markets Free Index has arrived at a more accurate
representation of the two largest countries in the emerging markets universe.
Shareholders interested in details should note that South Africa's weighting
in The IFC Investible Index was 23.8% on June 30, 1995 versus a 14.5% weighting
on that date in The MSCI Emerging Markets Free Index. Malaysia's weighting in
The IFC Investible Index was 21.4% on June 30, 1995 versus a 17.2% weighting on
that date in The MSCI Emerging Markets Free Index.
LOOKING TO THE MONTHS AHEAD, WHICH REGIONS DO WE EXPECT TO OFFER THE MOST
ATTRACTIVE INVESTMENT OPPORTUNITIES, AND HOW DO YOU THINK THESE REGIONAL
FORECASTS WILL AFFECT THE PORTFOLIO'S COUNTRY ALLOCATIONS?
ABS: Our analysis indicates that the most attractive emerging markets are
currently found in various countries in Eastern Europe. Here we have markets
whose governments have had the courage to experiment in solving economic
problems, and whose valuations continue to be attractive at 10 to 11 times
earnings
4
<PAGE>
despite a recent runup in prices. Viewed overall, economic growth in Eastern
Europe has started to accelerate, inflation is coming down along with interest
rates, and capital inflows have been on the rise -- all creating what we regard
as a favorable environment for equities. In order to better capture the current
attractiveness of Eastern European markets, we have decided to overweight
selected countries in this region in the Portfolio while simultaneously
underweighting South Africa, Latin America and Asia.
RECENT AND UPCOMING NATIONAL ELECTIONS HAVE BEEN BIG NEWS IN THE WORLD'S
EMERGING MARKETS. IN YOUR VIEW, ARE EVENTS OF THIS KIND LIKELY TO CHANGE THE
INVESTMENT CLIMATE AND RELATIVE ATTRACTIVENESS OF RUSSIA, TAIWAN, INDIA, OR
TURKEY?
ABS: Of the countries you mentioned, we regard the Russian election, coming up
in mid-June, as the most important one we face going forward in terms of its
potential implications for investors. If the communists return to power in late
June, and they try to reverse the economic reforms that have been put in place,
in our view it is likely to create doubt and volatility within this market going
forward. We believe, however, that current valuations in the Russian market --
which is now selling at 6 to 7 times earnings -- have already "priced in" a
large portion of the added risk that may be involved. Morgan believes that
President Yeltsin is likely to be reelected in June, and that this will have a
positive effect on the market. The equity market in Russia is also betting that
Yeltsin will be reelected, having rallied almost 70% since the beginning of the
year. As to the elections in other countries you mentioned, the election in
Taiwan did serve to create an environment of attractive valuations -- but that
was true only because it represented a rejection of political and military
pressures placed upon the country by China. The Indian elections were mostly a
non-event from the market's point of view.
AS A GENERAL RULE, WOULD YOU SAY THAT EMERGING MARKETS, HOWEVER INEFFICIENT THEY
MAY APPEAR RELATIVE TO THEIR MORE DEVELOPED COUNTERPARTS, ARE NOW ABLE TO PRICE
IN POLITICAL DEVELOPMENTS RATHER QUICKLY?
ABS: Our view continues to be that the emerging markets are efficient with
regard to their ability to price in political developments. The key thing to
remember from an investment risk standpoint is that both the upside and downside
volatility of these markets tend to be greater than that seen in the developed
markets due to the limited liquidity that is prevalent in some of these markets.
WHAT OTHER FACTORS DO YOU REGARD AS KEY IN DETERMINING THE FUTURE NEAR-TERM
PERFORMANCE OF EMERGING MARKETS IN WHICH THE PORTFOLIO PARTICIPATES?
ABS: Going forward, we believe that the key factor in determining the future
course of emerging markets will continue to be the direction of U.S. interest
rates. If U.S. interest rates continue their upward trend, our view is that this
is likely to have a negative impact on the performance of emerging markets.
Another important factor to the health of emerging markets is continued
stability in Latin America, since the difficult performance of last year
originated in this area. As mentioned previously, we also believe that the
Russian election could become a source of instability for the emerging markets
if it turns out that Boris Yeltsin is not reelected.
5
<PAGE>
FUND FACTS
INVESTMENT OBJECTIVE
The JPM Advisor Emerging Markets Equity Fund seeks to provide a high total
return from a portfolio of equity securities of companies in emerging markets.
It is designed for long-term investors who want to diversify their investments
by adding exposure to the rapidly growing emerging markets. As an international
investment, the Fund is subject to foreign market, political and currency risk.
- --------------------------------------------------------------------------------
COMMENCEMENT OF OPERATIONS
11/22/95
- --------------------------------------------------------------------------------
NET ASSETS AS OF 4/30/96
$1,860,782
- --------------------------------------------------------------------------------
CAPITAL GAIN PAYABLE DATE (IF APPLICABLE)
12/27/96
- --------------------------------------------------------------------------------
EXPENSE RATIO The Fund's current annualized expense ratio of 1.95% 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
COUNTRY ALLOCATION
(PERCENTAGE OF TOTAL INVESTMENTS AND CASH)
[GRAPH]
- ASIA 44.7
LATIN AMERICA 29.7%
- EUROPE 12.9%
- AFRICA 9.7%
- CASH 3.0%
LARGEST HOLDINGS % OF PORTFOLIO
TELEFONOS DE MEXICO (MEXICO) 2.1
YPF SOCIEDAD ANONIMA (ARGENTINA) 1.5
TELEFONICA DE ARGENTINA (ARGENTINA) 1.5
TELECOMUNICACOES BRASILEIRAS (BRAZIL) 1.4
SIAM COMMERCIAL BANK PUBLIC CO. 1.4
(THAILAND)
6
<PAGE>
Signature Broker-Dealer Services, Inc. is the Distributor for The JPM Advisor
Emerging Markets Equity Fund (the "Fund").
Morgan Guaranty Trust Company of New York ("Morgan") serves as Investment
Advisor to The Emerging Markets 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, investors should refer to
the Prospectuses for the Funds, which should be read carefully before investing.
You may obtain copies of the Prospectuses for the Funds by calling the J.P.
Morgan Funds Services at (800) JPM-3637.
7
<PAGE>
THE JPM ADVISOR EMERGING MARKETS EQUITY FUND
STATEMENT OF ASSETS AND LIABILITIES (UNAUDITED)
APRIL 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investment in The Emerging Markets Equity Portfolio ("Portfolio"), at value $1,849,034
Deferred Organization Expenses 30,681
Receivable for Shares of Beneficial Interest Sold 16,500
Receivable for Expense Reimbursement 20,350
----------
Total Assets 1,916,565
----------
LIABILITIES
Organization Expenses Payable 33,628
Accrued Expenses 22,155
----------
Total Liabilities 55,783
----------
NET ASSETS
Applicable to 154,920 Shares of Beneficial Interest Outstanding $1,860,782
(par value $0.001, unlimited shares authorized)
----------
----------
Net Asset Value, Offering and Redemption Price Per Share $12.01
----------
----------
ANALYSIS OF NET ASSETS
Paid-In Capital $1,770,648
Undistributed Net Investment Income 3,251
Accumulated Net Realized Gain on Investment and Foreign Currency Transactions 268
Net Unrealized Appreciation of Investment and Foreign Currency Translations 86,615
----------
Net Assets $1,860,782
----------
----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
8
<PAGE>
THE JPM ADVISOR EMERGING MARKETS 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 ALLOCATED FROM PORTFOLIO
Allocated Dividend Income (Net of $916 Foreign Withholding Taxes) $ 9,522
Allocated Interest Income 1,323
Allocated Portfolio Expenses (4,388)
---------
Net Investment Income Allocated from Portfolio 6,457
FUND EXPENSES
Transfer Agent Fees $ 6,456
Registration Fees 5,903
Printing Expenses 4,665
Amortization of Organization Expenses 2,947
Professional Fees 2,829
Trustees' Fees and Expenses 1,459
Insurance Expense 565
Administration Fee 45
Miscellaneous 706
---------
Total Fund Expenses 25,575
Less: Reimbursement of Expenses (22,944)
---------
NET FUND EXPENSES (2,631)
---------
NET INVESTMENT INCOME 3,826
NET REALIZED GAIN ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS
ALLOCATED FROM PORTFOLIO 268
NET CHANGE IN UNREALIZED APPRECIATION OF INVESTMENT AND FOREIGN
CURRENCY TRANSLATIONS ALLOCATED FROM PORTFOLIO 86,615
---------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 90,709
---------
---------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
9
<PAGE>
THE JPM ADVISOR EMERGING MARKETS 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 $ 3,826
Net Realized Gain on Investment and Foreign Currency Transactions Allocated from
Portfolio 268
Net Change in Unrealized Appreciation of Investment and Foreign Currency Translations
Allocated from Portfolio 86,615
----------
Net Increase in Net Assets Resulting from Operations 90,709
----------
DISTRIBUTIONS TO SHAREHOLDERS FROM
Net Investment Income (575)
----------
Total Distributions to Shareholders (575)
----------
TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST
Proceeds from Shares of Beneficial Interest Sold 2,765,854
Reinvestment of Dividends and Distributions 575
Cost of Shares of Beneficial Interest Redeemed (995,884)
----------
Net Increase from Transactions in Shares of Benificial Interest 1,770,545
----------
Total Increase in Net Assets 1,860,679
NET ASSETS
Beginning of Period 103
----------
End of Period (including undistributed net investment income of $3,251) $ 1,860,782
----------
----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
10
<PAGE>
THE JPM ADVISOR EMERGING MARKETS 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 $ 10.30
------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.04
Net Realized and Unrealized Gain on Investment and Foreign Currency 1.69
------
Total from Investment Operations 1.73
------
DISTRIBUTIONS TO SHAREHOLDERS FROM
Net Investment Income (0.02)
------
NET ASSET VALUE, END OF PERIOD $ 12.01
------
------
Total Return 16.78%(a)
------
------
RATIOS AND SUPPLEMENTAL DATA
Net Assets at end of Period (in thousands) $ 1,861
Ratios to Average Net Assets (b)
Expenses 1.95%
Net Investment Income 1.06%
Decrease Reflected in Expense Ratio due to Expense Reimbursement 0.55%(c)
</TABLE>
- ------------------------
(a) Not annualized.
(b) Annualized.
(c) After consideration of certain state limitations.
The Accompanying Notes are an Integral Part of the Financial Statements.
11
<PAGE>
THE JPM ADVISOR EMERGING MARKETS EQUITY FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
APRIL 30, 1996
- --------------------------------------------------------------------------------
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
The JPM Advisor Emerging Markets 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 Emerging Markets 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 principals 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 $33,627. These
costs were deferred and are being amortized by the Fund 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.
12
<PAGE>
THE JPM ADVISOR EMERGING MARKETS 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 each
day 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 $45.
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 0.77%
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 $19,747 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 1.95%
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 $3,197 for
expenses under this agreement. Morgan, Charles Schwab & Co. ("Schwab") and
the Trust are parties to separate services and operating agreements (the
"Schwab Agreements") whereby Schwab makes Fund shares available to
customers of investment advisors and other financial
13
<PAGE>
THE JPM ADVISOR EMERGING MARKETS EQUITY FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1996
- --------------------------------------------------------------------------------
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 239,323
Reinvestment of dividends and distributions 53
Shares of beneficial interest redeemed (84,466)
-------
Net increase 154,910
-------
-------
</TABLE>
14
<PAGE>
The Emerging Markets Equity Portfolio
Semi-Annual Report April 30, 1996
(unaudited)
(The following pages should be read in conjunction
with The JPM Advisor Emerging Markets Equity Fund
Semi-Annual Financial Statements)
15
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED)
APRIL 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION SHARES VALUE
- ---------------------------------------------------------------------------------- ------------ ------------
<S> <C> <C>
COMMON STOCKS (85.2%)
ARGENTINA (6.1%)
Astra Compania Argentina De Petroleo SA (Oil - Services)........................ 1,122,340 $ 2,394,706
Banco Frances Del Rio De La Plata SA (ADR) (Banking)............................ 114,655 3,296,330
Capex SA (Utilities)............................................................ 486,000 3,588,893
Corporacion Cementeria Argentina SA (Class B) (Building Materials)*............. 413,000 1,824,616
Molinos Rio de la Plata SA (Multi-Industry)*.................................... 337,182 3,521,005
Nobleza Piccardo (Class B) (Multi-Industry)..................................... 232,688 759,322
Perez Companc SA (Oil - Services)............................................... 360,700 4,534,395
Quilmes Industrials (Quinsa) (Registered) (Food, Beverages & Tobacco)........... 93,850 1,126,200
Telefonica de Argentina SA (Utilities).......................................... 427,600 12,507,300
Transportadora De Gas Del Sur SA (ADR) (Oil - Services)......................... 299,100 3,813,524
YPF Sociedad Anonima (ADS) (Oil - Production)................................... 579,500 12,676,562
------------
50,042,853
------------
BOLIVIA (0.3%)
Compania Boliviana De Energia Electrica (Electric).............................. 61,600 2,279,200
------------
BRAZIL (2.1%)
Companhia Energetica De Minas Gerais SA (CEMIG) (Spon. ADR Rep Non-Vtg)
(Utilities)*................................................................... 176,418 4,578,479
Electrobras Centrale (Units) (Utilities)........................................ 11,382,000 2,741,675
Makro Atacadista SA (GDS) (Retail) (144A)*...................................... 300,000 2,280,000
Perdigao Commercio Industrio SA (Food, Beverages & Tobacco)..................... 44,384,895 89,467
Santa Elina Gold Corp. Inc. (Metals & Mining)*.................................. 3,300,000 6,180,887
Santista Alimentos SA (Food, Beverages & Tobacco)*.............................. 75,000 114,896
Votorantim Celulose E Papel (ADR) (Forest Products & Paper)..................... 139,250 1,357,688
------------
17,343,092
------------
CANADA (0.0%)1
Minera Rayrock, Inc. (Multiple Voting B Shares) (Metals & Mining)*.............. 6,000 5,288
Minera Rayrock, Inc. (Subsidiary Voting A Shares) (Metals & Mining)*............ 145,000 130,467
------------
135,755
------------
CHILE (2.9%)
Antofagasta Holdings plc (Multi-Industry).......................................
Compania Cervecerias Unidas SA (ADR) (Food, Beverages & Tobacco)................ 256,000 5,456,000
Compania Telecomunicacion Chile (Spon. ADR) (Utilities)......................... 69,700 6,360,125
Enersis SA (ADR) (Utilities).................................................... 59,900 1,782,025
Madeco SA (Metals & Mining)..................................................... 129,000 3,225,000
Sociedad Quimica Y Minera De Chile (Spon. ADR) (Chemicals)...................... 137,146 7,337,311
------------
24,160,461
------------
CHINA (0.8%)
Dongfang Electrical Machinery Co. (Series H) (Capital Goods).................... 3,200,000 786,013
Luoyang Glass Co. Ltd. (Series H) (Building Materials).......................... 3,574,000 914,842
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
16
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION SHARES VALUE
- ---------------------------------------------------------------------------------- ------------ ------------
CHINA (CONTINUED)
<S> <C> <C>
Shanghai Erfangji Co. (Series B) (Capital Goods)*............................... 161,200 $ 21,601
Shanghai Shangling Electric Appliances (Series B) (Electrical Equipment)........ 100,000 64,800
Shanghai Tyre and Rubber Co. Ltd. (Series B) (Metal & Mining)................... 3,229,990 775,198
Tsingtao Brewery (Series H) (Food, Beverages & Tobacco)......................... 6,720,000 1,846,097
Yizheng Chemical Fibre (Series H) (Chemicals)................................... 7,702,000 2,066,084
------------
6,474,635
------------
COLOMBIA (0.2%)
Banco Ganadero SA (Banking) 53,000 821,500
Banco Industrial Colombiano (ADR) (Banking)..................................... 30,400 596,600
Corp Financiera Del Valle SA (ADR) (Banking) (144A)............................. 18,815 174,037
------------
1,592,137
------------
CROATIA (0.0%)1
Pliva (GDS) (Pharmaceuticals)*.................................................. 57,800 1,856,825
------------
CZECH REPUBLIC (3.1%)
Central European Media Enterprises Ltd. (Entertainment, Leisure & Media)*....... 123,000 3,536,250
Ceska Pojistovna (Insurance)*................................................... 4,940 879,793
Cokoladovny Praha (Food, Beverages & Tobacco)*.................................. 36,100 4,747,248
Elektrarny Opatovice AS (Utilities)............................................. 30,500 4,938,102
SPT Telecom AS (Telecommunications)*............................................ 80,100 9,798,489
Synthesia (Chemicals)*.......................................................... 63,000 1,326,002
------------
25,225,884
------------
ECUADOR (0.2%)
La Cemento Nacional CA (GDR) (Construction & Housing) (144A).................... 10,240 1,576,960
------------
GHANA ( 0.1% )
Guinness Ghana Ltd. (Food, Beverages & Tobacco)................................. 1,476,596 213,958
Pioneer Tobacco Co. (Food, Beverages & Tobacco)................................. 2,848,800 224,997
Unilever Ghana Ltd. (Food, Beverages & Tobacco)................................. 450,000 223,879
------------
662,834
------------
GREECE (2.6%)
Alpha Credit Bank (Registered) (Banking)........................................ 47,287 2,364,332
Athens Medical Centre (Registered) (Health Services)............................ 190,000 1,308,723
Boutaris Wine Co. (Food, Beverages & Tobacco)*.................................. 14,400 28,044
Ergo Bank (Banking)............................................................. 45,400 2,282,081
Hellenic Bottling Co. SA (Food, Beverages & Tobacco)............................ 235,602 8,452,240
Hellenic Sugar Industry SA (Food, Beverages & Tobacco).......................... 234,850 2,200,197
Michaniki SA (Building Materials)............................................... 126,720 1,449,553
Titan Cement Co. (Registered) (Building Materials).............................. 66,000 3,044,257
------------
21,129,427
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
17
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION SHARES VALUE
- ---------------------------------------------------------------------------------- ------------ ------------
HONG KONG (1.5%)
<S> <C> <C>
Citic Pacific Ltd. (Multi-Industry)............................................. 644,000 $ 2,530,963
Guangdong Investments (Multi-Industry).......................................... 3,192,190 1,970,554
M. C. Packaging (Packaging & Containers)........................................ 2,850,000 948,743
Pacific Concord Holding (Transport & Services).................................. 10,120,000 1,870,867
World Houseware Holdings (Consumer Goods & Services)............................ 12,204,000 1,483,052
Yue Yuen Industrial Holdings (Consumer Goods & Services)........................ 14,870,000 3,614,058
------------
12,418,237
------------
HUNGARY (1.6%)
Hungarian Foreign Trade Bank Ltd. (Banking)*.................................... 17,000 1,550,598
Julius Meinl International AG (Food, Beverages & Tobacco)*...................... 16,800 560,584
Magyar Olaj Es Gaz (Oil - Production)*.......................................... 334,000 3,604,883
Pick Szeged RT (Spon. GDS) (Food, Beverages & Tobacco) (144A)................... 45,600 2,190,816
Polifarb Cieszyn SA (Chemicals)................................................. 315,914 1,660,571
Skala Coop (Munich Exchange) (Retail)*.......................................... 25,000 280,823
Skala Coop (Vienna Exchange) (Retail)*.......................................... 5,000 59,669
Wedel SA (Food, Beverages & Tobacco)............................................ 45,025 1,707,392
Zalakeramia RT (Building Materials)............................................. 29,333 1,041,320
------------
12,656,656
------------
INDIA (4.1%)
Ashok Leyland Ltd. (GDR) (Automotive)*.......................................... 267,900 3,616,650
Bajaj Auto Ltd. (GDR) (Automotive)*............................................. 156,200 5,584,150
Hindustan Development Corp. (GDR) (Multi-Industry) (144A)....................... 1,000,000 700,000
Indian Petrochemicals Corp. Ltd. (GDR) (Chemicals).............................. 395,800 7,817,050
ITC Ltd. (GDR) (Food, Beverages & Tobacco)*..................................... 421,300 3,686,375
Raymond Ltd. (GDR) (Textiles & Apparel)*........................................ 136,100 2,892,125
Shriram Industrial Enterprises (GDR) (Multi-Industry) (144A).................... 258,000 1,130,040
Shriram Industrial Enterprises (GDR) (Multi-Industry)........................... 246,900 1,081,422
Shriram Industrial Enterprises (GDR & Warrant Units) (Multi-Industry) (144A).... 1,000 12,500
Southern Petrochemical Industrial Corp. (GDS) (Chemicals)*...................... 556,500 4,368,525
Videocon International Ltd. (GDR) (Entertainment, Leisure & Media).............. 1,008,500 2,823,800
------------
33,712,637
------------
INDONESIA (4.2%)
P.T. APAC Centertex (Textiles & Apparel)*....................................... 360,000 417,271
P.T. Bakrie and Brothers (Multi-Industry)....................................... 175,000 285,478
P.T. Duta Anggada Realty (Real Estate).......................................... 4,031,000 2,682,231
P.T. Fastfood Indonesia (Food, Beverages & Tobacco)............................. 197,000 253,711
P.T. Goodyear Indonesia (Capital Goods)......................................... 100,000 113,762
P.T. Indorama Synthetic (Textiles & Apparel).................................... 180,000 583,406
P.T. Indorayon Utama (Forest Products & Paper).................................. 642,000 792,364
P.T. International Nickel Indonesia (Metals & Mining)........................... 3,555,700 8,586,168
P.T. Jakarta International Hotels and Development (Real Estate)................. 1,555,000 2,069,397
P.T. Modern Photo Film Co. (Consumer Goods & Services).......................... 377,500 1,863,659
P.T. Multi Bintang Indonesia (Multi-Industry)................................... 200,000 2,232,313
P.T. Niaga Bank (Banking)....................................................... 1,308,600 3,258,267
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
18
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION SHARES VALUE
- ---------------------------------------------------------------------------------- ------------ ------------
INDONESIA (CONTINUED)
<S> <C> <C>
P.T. Pakuwon Jati (Real Estate)................................................. 11,158,000 $ 4,550,527
P.T. Pan Brothers Textiles (Textiles & Apparel)*................................ 165,000 53,125
P.T. Putra Surya Perkasa (Building Materials)................................... 1,350,000 666,474
P.T. Surya Toto Indonesia (Metals & Mining)..................................... 900,000 1,970,445
P.T. Tempo Scan Pacific (Health & Personal Care)................................ 664,000 1,696,043
P.T. Unilever Indonesia (Consumer Goods & Services)............................. 47,605 766,365
P.T. United Tractors (Capital Goods)............................................ 500,000 971,271
------------
33,812,277
------------
ISRAEL (1.8%)
First International Bank (Banking).............................................. 9,711 1,124,360
Israel Chemicals Ltd. (Chemicals)............................................... 4,492,500 3,755,249
Koor Industries Ltd. (Multi Industry)........................................... 287,900 5,398,125
Teva Pharmaceutical Industries Ltd. (Pharmaceuticals)........................... 90,900 4,079,138
------------
14,356,872
------------
MALAYSIA (11.1%)
Antah Holdings Berhad (Multi-Industry).......................................... 235,200 320,675
Carlsberg Brewery Malaysia Berhad (Food, Beverages & Tobacco)................... 565,416 3,922,507
Cold Storage Malaysia Berhad (Retail)........................................... 74,000 127,006
Edaran Otomobil Nasional Berhad (Automotive).................................... 592,000 5,056,510
Golden Hope Plantations Berhad (Metals & Mining)................................ 3,005,166 5,374,683
Hong Leong Industries Berhad (Multi-Industry)................................... 807,000 4,368,746
Kian Joo Can Factory Berhad (Capital Goods)..................................... 814,000 4,700,417
Kuala Lumpur Kepong Berhad (Metals & Mining).................................... 2,695,500 6,917,813
Land & General Berhad (Real Estate)............................................. 383,000 1,021,339
Lion Corp. Berhad (Multi-Industry).............................................. 1,086,000 2,917,791
London & Pacific Insurance Co. Berhad (Insurance)............................... 90,000 570,229
Malayan Cement Berhad (Building Materials)...................................... 349,000 867,694
Malaysia Mining Corp. Berhad (Metals & Mining).................................. 1,659,000 3,259,808
Malaysian Assurance Alliance Berhad (Insurance)................................. 493,500 2,948,648
Malaysian International Shipping Corp. Berhad (Transport & Services)............ 1,666,333 5,345,660
Malaysian Tobacco Co. Berhad (Food, Beverages & Tobacco)........................ 322,000 555,231
Matsushita Electric Co. Malaysia Berhad (Electronics)........................... 296,000 3,204,830
Nestle Malaysia Berhad (Food, Beverages & Tobacco).............................. 1,065,000 9,053,885
New Straits Times Press Berhad (Entertainment, Leisure & Media)................. 100,000 537,346
Nylex Malaysia Berhad (Chemicals)............................................... 422,000 1,726,085
Perlis Plantations Berhad (Transport & Services)................................ 1,476,000 6,214,772
Putera Capital Berhad (Real Estate)............................................. 1,000 2,326
Resorts World Berhad (Entertainment, Leisure & Media)........................... 907,000 5,492,041
Shell Refining Company Malaysia Berhad (Oil - Production)....................... 996,500 3,056,949
Sime U.E.P. Properties Berhad (Real Estate)..................................... 1,434,000 3,018,964
Sistem Televisyen Malaysia Berhad (Entertainment, Leisure & Media).............. 1,270,000 5,652,964
Tanjong Co. Berhad (Entertainment, Leisure & Media)............................. 393,000 1,497,151
UMW Holdings Berhad (Automotive)................................................ 911,200 2,996,243
------------
90,728,313
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
19
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION SHARES VALUE
- ---------------------------------------------------------------------------------- ------------ ------------
MEXICO (8.3%)
<S> <C> <C>
Cementos Mexicanos SA de CV (Class B) (Building Materials)...................... 1,431,675 $ 6,088,323
Cifra SA de CV (Class B) (Retail)*.............................................. 2,645,000 3,633,454
Cydsa SA de CV (Class A) (Registered) (Chemicals)............................... 456,720 1,164,120
Desc Sociedad de Fomento Industrial SA de CV (Class A) (Multi-Industry)*........ 268,000 1,294,289
Desc Sociedad de Fomento Industrial SA de CV (Class B) (Multi-Industry)*........ 244,000 1,214,389
Fomento Economico Mexicana SA de CV (Class B) (Food, Beverages & Tobacco)....... 1,800,000 5,408,969
Grupo Carso SA de CV (Class A) (Multi-Industry)*................................ 858,400 6,529,302
Grupo Casa Autrey S.A. de CV (Spon. ADR) (Retail)............................... 188,500 4,311,938
Grupo Embotellador De Mexico SA de CV (Class BCP) (Food, Beverages &
Tobacco)*...................................................................... 464,000 168,064
Grupo Financiero Banamex Accival SA de CV (Class B) (Banking)*.................. 632,000 1,451,493
Grupo Financiero Banamex Accival SA de CV (Class L) (Banking)*.................. 18,960 38,814
Grupo Financiero Bancomer SA de CV (Financial Services)*........................ 7,560,000 3,346,800
Grupo Financiero Probursa SA de CV (Class B) (Banking)*......................... 1,050 56
Grupo Industrial Maseca SA de CV (Class B) (Spon. ADR) (Food, Beverages &
Tobacco)....................................................................... 323,333 4,728,745
Industrias Penoles SA de CV (Class CP) (Metals & Mining)........................ 691,500 2,903,558
Kimberley Clark De Mexico SA de CV (Class A) (Forest Products & Paper).......... 273,000 4,980,759
Telefonos De Mexico SA de CV (ADR) (Utilities).................................. 200,000 334,375
Telefonos De Mexico SA de CV (ADR L Shares) (Utilities)......................... 506,320 17,214,880
Transportacion Maritima Mexicana SA de CV (ADR L Shares) (Transport &
Services)...................................................................... 349,800 2,929,575
------------
67,741,903
------------
MOROCCO (0.3%)
Banque Commerciale Du Maroc (Banking)........................................... 85 4,515
Wafa Bank (Banking)............................................................. 57,500 2,692,512
------------
2,697,027
------------
PAKISTAN (1.0%)
Hub Power Co. (GDR) (Utilities)*................................................ 235,500 5,593,125
Pakistan Telecom Corp. (GDR) (Utilities)*....................................... 28,000 2,772,000
------------
8,365,125
------------
PERU (0.7%)
Cementos Norte Pacasmayo (Class T) (Building Materials)......................... 811,058 1,267,036
Creditcorp Holdings Ltd. (Financial Services)................................... 120,416 2,047,078
Minsur SA (Class T) (Metals & Mining)*.......................................... 1 8
Telefonica del Peru SA (Utilities).............................................. 1,070,500 2,395,509
------------
5,709,631
------------
PHILIPPINES (2.5%)
Filiinvest Land Inc. (Building Materials)*...................................... 9,559,000 4,933,133
Manila Electric Co. (Class B) (Utilities)....................................... 510,000 4,757,038
Petron Corp. (Oil - Services)................................................... 9,082,675 3,906,096
Philippine Long Distance Telephone Co. (ADR) (Utilities)........................ 5,600 281,400
Philippine National Bank (Banking)*............................................. 224,190 3,342,393
RFM Corp (Food, Beverages & Tobacco)............................................ 172,065 42,097
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
20
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION SHARES VALUE
- ---------------------------------------------------------------------------------- ------------ ------------
PHILIPPINES (CONTINUED)
<S> <C> <C>
San Miguel Corp. (Class B) (Food, Beverages & Tobacco).......................... 990,000 $ 3,103,314
------------
20,365,471
------------
POLAND (0.9%)
Bank Przemyslowo-Handlowy SA (Banking).......................................... 64,160 3,276,166
Zaklady Piwowarslie w Zywcu SA (Zywiec) (Food, Beverages & Tobacco)............. 50,400 4,163,083
------------
7,439,249
------------
PORTUGAL (2.1%)
Banco Commercial Portugues SA (ADR) (Banking)................................... 30,200 345,413
Banco Commercial Portugues SA (Registered) (Banking)............................ 135,499 1,551,567
Cimpor Cimentos de Portugal SA (Building Materials)............................. 122,000 2,288,740
Corporacao Industrial Do Norte (Building Materials)............................. 92,400 2,174,881
Empresa Fabril De Maquinas Electricas S.A. (Capital Goods)...................... 82,000 758,995
Empresa Nacional De Electricas SA (Capital Goods)............................... 144,800 2,823,600
Mague-Gestao E Participacoes (Building Materials)............................... 16,576 271,531
Modelo Continente SGPS SA (Retail).............................................. 47,800 1,216,325
Portugal Telecom SA (ADR) (Telecommunications).................................. 138,000 2,984,250
Uniao Cervejaria SA (UNICER) (Registered) (Food, Beverages & Tobacco)........... 132,000 2,376,415
------------
16,791,717
------------
RUSSIA (0.5%)
Rostelekom (RDC) (Registered) (Telecommunications)*............................. 295 4,012,000
------------
SLOVAK REPUBLIC (0.6%)
Nafta AS (Natural Gas).......................................................... 45,000 3,558,316
Slovenske Lodenice AS (Capital Goods)........................................... 20,000 1,187,078
------------
4,745,394
------------
SOUTH AFRICA (8.8%)
Amalgamated Banks of South Africa (Banking)..................................... 1,399,735 6,557,709
Anglo American Corp of South Africa Ltd. (Multi-Industry)....................... 101,400 6,873,641
Anglovaal (GDR) (Multi-Industry)................................................ 172,000 5,891,000
De Beers Consolidated Mines Ltd. (Centenary Linked Units) (Metals & Mining)..... 229,000 7,298,076
Distillers Corporation of South Africa (Food, Beverages & Tobacco).............. 850,000 2,428,662
Engen Ltd. (Oil - Production)................................................... 675,800 3,799,319
Iscor Ltd. (Metals & Mining).................................................... 1,932,000 1,765,572
Kersaf Investments Ltd. (Entertainment, Leisure & Media)........................ 111,400 1,301,541
Malbak Ltd. (GDR) (Multi-Industry) (144A)....................................... 375,000 1,781,250
Omni Media Corp. Ltd. (Entertainment, Leisure & Media).......................... 209,465 3,634,578
Pepkor Ltd. (ADS) (Retail)...................................................... 500,000 5,205,500
Polifin Ltd. (Chemicals)........................................................ 104,700 199,113
Premier Group (Food, Beverages & Tobacco)....................................... 1,145,917 1,590,691
Sasol Ltd. (Oil - Production)................................................... 698,200 7,268,983
South African Breweries Ltd. (South Africa) (Food, Beverages & Tobacco)......... 65,900 1,924,855
South African Breweries Ltd. (United Kingdom) (Food, Beverages & Tobacco)....... 220,367 6,344,976
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
21
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION SHARES VALUE
- ---------------------------------------------------------------------------------- ------------ ------------
SOUTH AFRICA (CONTINUED)
<S> <C> <C>
Sun International Bophuthatswana Ltd. (Entertainment, Leisure & Media).......... 2,199,600 $ 2,809,080
Trans Natal Coal Corp. Ltd. (Metals & Mining)................................... 713,400 5,652,948
------------
72,327,494
------------
SOUTH KOREA (3.8%)
Dong Ah Construction Industrial Co. (EDR) (Building Materials)*................. 158,224 3,480,928
Hansol Paper Co. (GDS) (Forest Products & Paper)................................ 142,188 2,950,401
Hansol Paper Co. Ltd. (GDR) (Forest Products & Paper)* (144A)................... 20,903 433,737
Hyundai Motor Co. (GDS represents 1/2 Non-voting shares) (Automotive)*.......... 144,400 2,238,200
Kia Motors Corp. (GDS) (Automotive) (144A)*..................................... 1,074 23,897
Korea Electric Power Corp. (Utilities).......................................... 40,900 1,936,567
Korea Electric Power Corp. (ADR) (Utilities).................................... 145,000 4,023,750
Korea Long Term Credit Bank (Banking)........................................... 77,100 2,418,440
Korea Zinc Co. (Metals & Mining)................................................ 30,020 752,213
Pohang Iron & Steel Co. (ADS) (Metals & Mining)................................. 125,000 3,437,500
Pohang Iron & Steel Co. (Metals & Mining)....................................... 100 9,562
Samsung Electronics Co. (GDS represents 1/2 Non-voting shares) (Electronics)
(144A)......................................................................... 107,810 4,420,210
Samsung Electronics Co. (GDS represents 1/2 Non-voting shares) (Electronics)
(144A)......................................................................... 32,491 1,234,658
Samsung Electronics Co. (GDS represents 1/2 Voting shares) (Electronics)
(144A)......................................................................... 6,147 465,635
Samsung Electronics Co. (GDS represents 1/2 Voting shares, New, RFD 3/14/95)
(144A) (Electronics)........................................................... 1,852 123,158
Samsung Engineering and Construction (GDS represents Non-Voting shares)
(Building Materials)*.......................................................... 7,699 60,630
Samsung Engineering and Construction (GDS) (Building Materials)*................ 126 945
Shinhan Bank (Banking).......................................................... 125,000 3,204,732
------------
31,215,163
------------
SRI LANKA (0.0%)1
Distilleries Co. of Sri Lanka (Food, Beverages & Tobacco)....................... 500,000 54,811
------------
TAIWAN (2.0%)
Asia Cement (GDS) (Building Materials).......................................... 133,701 2,807,721
China Steel Corp. (GDS) (Metals & Mining)....................................... 188,500 4,203,550
Hocheng Group Corp. (GDR) (Building Materials) (144A)*.......................... 354,912 4,613,856
Microelectronics Technology (GDS) (Telecommunications)*......................... 46,899 272,014
President Enterprises (GDR) (Food, Beverages & Tobacco)* (144A)................. 24,563 417,571
President Enterprises Corp. (GDR) (Food, Beverages & Tobacco)*.................. 245,772 4,178,124
------------
16,492,836
------------
THAILAND (7.3%)
Advanced Info Service Public Co. (Telecommunications)........................... 447,200 7,474,243
American Standard Sanitaryware Public Co. (Building Materials).................. 94,800 1,535,623
Bangkok Bank Public Co. Ltd. (Banking).......................................... 389,000 5,638,760
Bangkok Insurance Public Co. (Insurance)........................................ 9,800 170,778
Bangkok Rubber Public Co. Ltd. (Metals & Mining)................................ 454,300 206,916
Bumrungrad Hospital Public Co. Ltd. (Health & Personal Care).................... 493,050 497,948
Charoen Pokphand Feedmill Public Co. Ltd. (Agriculture)......................... 329,700 1,919,505
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
22
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION SHARES VALUE
- ---------------------------------------------------------------------------------- ------------ ------------
THAILAND (CONTINUED)
<S> <C> <C>
Dhana Siam Finance and Securities Public Co. (Financial Services)............... 567,768 $ 4,002,615
International Cosmetics Public Co. Ltd. (Retail)................................ 262,040 2,283,196
Krung Thai Bank Public Co. Ltd. (Banking)....................................... 304,600 1,495,907
Lanna Lignite Public Co. Ltd. (Metals & Mining)................................. 212,500 1,615,895
Oriental Hotel Public Co. Ltd. (Entertainment, Leisure & Media)................. 264,200 1,245,182
Phatra Thanakit Public Co. Ltd. (Financial Services)............................ 633,000 5,515,429
Sahavirya Steel Industries Public Co. Ltd. (Metals & Mining)*................... 1,981,000 1,863,378
Siam Cement Public Co. Ltd. (Building Materials)................................ 114,000 5,869,501
Siam Commercial Bank Public Co. (Banking)....................................... 770,700 11,354,846
Telecomasia (Telecommunications)*............................................... 583,600 1,525,500
Thai Farmers Bank Public Co. Ltd. (Banking)..................................... 330,100 3,791,373
Thai Plastic and Chemical Public Co. Ltd. (Chemicals)........................... 239,000 1,277,864
------------
59,284,459
------------
TURKEY (2.3%)
Adana Cimento Sanayii (Class A) (Building Materials)............................ 7,617,600 1,291,247
Akbank TAS (Banking)............................................................ 14,458,434 1,721,422
Akbank TAS (New shares) (Banking)............................................... 21,822,651 2,582,133
Alarko Holdings A.S. (Multi-Industry)........................................... 348,000 124,918
Aygaz A.S. (Oil - Services)..................................................... 4,263,889 878,656
Compagnie Financiere Ottomane (Financial Services).............................. 4,500 258,155
Eregli Demir Ve Celik Fabrikalari (Metals & Mining)............................. 13,475,000 1,469,006
Guney Biracilik Ve Malt Sanay (Food, Beverages & Tobacco)....................... 5,128,080 1,090,827
Mardin Cimento (Building Materials)............................................. 10,800,000 1,435,836
Migros Turk A.S. (Food, Beverages & Tobacco).................................... 4,954,800 5,665,075
Teletas Telekomunikasyon Endustri Ticaret AS (Telecommunications)*.............. 2,840,000 943,929
Turkiye Garanti Bankasi (ADR) (Banking) (144A).................................. 69,295 398,446
Turk Siemens Kablo Ve Elecktrik Sanayii (Electrical Equipment).................. 2,302,000 872,230
Yapi Ve Kredi Bankasi A.S. (Banking)............................................ 4,342,170 294,414
------------
19,026,294
------------
VENEZUELA (1.1%)
Ceramicas Carabobo CA (Spon. ADR) (Class A) (Building Materials)................ 1,408,000 1,506,560
Ceramicas Carabobo CA (Spon. ADR) (Class B) (Building Materials)................ 351,998 376,638
Mavesa CA (Spon. ADR) (Food, Beverages & Tobacco)............................... 602,829 3,251,539
Mavesa CA (Spon. ADR) (144A) (Food, Beverages & Tobacco)........................ 188,259 1,015,431
Venezolana De Prerreducidos Caroni CA (GDS) (Registered) (Metals & Mining)*..... 263,000 1,528,030
Venezolana De Pulpa Y Papel CA (Venepal) (GDS) (Class B) (Forest Products &
Paper) (144A).................................................................. 739,047 1,478,094
------------
9,156,292
------------
ZIMBABWE (0.3%)
Trans Zambezi Industries Ltd. (Multi-Industry).................................. 1,300,000 2,145,000
------------
Total Common Stocks (cost $671,891,743)....................................... 697,734,921
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
23
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION SHARES VALUE
- ---------------------------------------------------------------------------------- ------------ ------------
PREFERRED STOCKS (7.6%)
<S> <C> <C>
ARGENTINA (0.1%)
Quilmes Industrials (Quinsa) (Sponsored ADR non voting) (Food, Beverages &
Tobacco)*...................................................................... 78,325 $ 930,109
------------
BRAZIL (7.2%)
Banco Do Estado De Sao Paulo SA (BANESPA) (Banking)*............................ 215,300,000 878,817
Ceval Alimentos SA (ADR) (Food, Beverages & Tobacco)............................ 190,000 2,152,377
Cia Acos Especiais Itabira (ACESITA) (ADR) (Metals & Mining).................... 420,000 3,620,400
Companhia Energetica De Minas Gerais SA (CEMIG) (ADR) (Utilities) (144A)........ 287,547 7,462,506
Companhia Hering (Textiles & Apparel)........................................... 71,300,000 423,976
Companhia Vale Do Rio Doce SA (Spon. ADR) (Metals & Mining)..................... 387,200 7,082,895
Copene Petroquimica do Nordeote SA (Spon. ADR) (Class A) (Chemicals)............ 166,200 4,187,475
Hering Textile Companhia SA (Textiles & Apparel)*............................... 14,260,000 13,653
Iochpe Maxion SA (Automotive)*.................................................. 22,260,000 2,467,842
Perdigao Commercio Industrio SA (Food, Beverages & Tobacco)..................... 900,000,000 1,623,660
Petroleo Brasileiro SA (Oil - Production)....................................... 59,733,333 6,953,416
Refrigeracao Parana SA (ADR) (Capital Goods).................................... 251,771 3,133,768
Telecomunicacoes Brasileiras SA (Telebras) (ADR) (Telecommunications)........... 218,863 11,845,960
Telecomunicacoes de Minas Gerais SA (Telemig) (Telecommunications)*............. 48,000,000 3,923,391
Telecomunicacoes do Rio de Janeiro SA (Telerj) (Telecommunications)*............ 35,750,000 2,614,044
Viacao Aerea Riograndense SA (Varig) (Transport & Services)*.................... 130,000 353,758
------------
58,737,938
------------
GREECE (0.0%)1
Boutaris Wine Co. (Food, Beverages & Tobacco)*.................................. 25,150 44,855
Delta Dairy S.A. (Food, Beverages & Tobacco).................................... 1,417 13,043
Michaniki SA (Building Materials)............................................... 11,520 95,409
------------
153,307
------------
PHILIPPINES (0.3%)
Philippine Long Distance Telephone Co. (GDS) (Utilities)........................ 90,000 2,610,000
------------
Total Preferred Stock (cost $52,670,587)...................................... 62,431,354
------------
<CAPTION>
PRINCIPAL
AMOUNT
------------
<S> <C> <C>
CONVERTIBLE BONDS (1.8%)
INDONESIA (0.1%)
P.T. Inti Indorayon Utama (7% Cnv Bds, due 05/02/06) (Forest Products &
Paper)......................................................................... $ 900,000 733,500
------------
MEXICO (0.1%)
Nacional Financiera (11.25% Cnv Bds, due 05/15/98) (Financial Services)......... 25,000 862,500
------------
PORTUGAL (0.1%)
Banco Commercial Portuguese SA (8.75% Conv Bds, due 5/2/21) (Banking)........... 519,000 668,823
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
24
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
DESCRIPTION AMOUNT VALUE
- ---------------------------------------------------------------------------------- ------------ ------------
SOUTH KOREA (0.7%)
<S> <C> <C>
Daewoo Heavy Industries Ltd. (3% Cnv Bds, due 12/31/01) (Capital Goods)......... $ 200,000 $ 270,000
Ssangyong Cement Co. (3% Cnv Bds, due 12/31/05) (Building Materials)............ 2,800,000 3,500,000
Ssangyong Oil Refinery Co. (3.75% Cnv Bds, due 12/31/08) (Oil - Production)..... 2,000,000 2,165,000
------------
5,935,000
------------
TAIWAN (0.2%)
Pacific Electric Wire & Cable (3.75% Cnv Bds, due 10/31/01) (Electrical
Equipment)..................................................................... 300,000 391,500
Yieh Loong Co. (2% Cnv. Bds., due 12/31/00) (Metals & Mining)................... 2,500,000 1,551,660
------------
1,943,160
------------
THAILAND (0.6%)
Land & Houses Co. (5% Cnv Bds, due 04/29/03) (Building Materials)............... 1,450,000 1,848,750
Siam Commercial Bank Public Co. Ltd. (3.25% Cnv Bds, due 1/27/04) (Banking)..... 2,500,000 3,109,375
------------
4,958,125
------------
Total Convertible Bonds (cost $16,766,899).................................... 15,101,108
------------
<CAPTION>
Shares
------------
<S> <C> <C>
RIGHTS & WARRANTS (0.1%)*
INDIA (0.0%)1
Shriram Industrial Enterprises (Expire 04/01/96; for GDR 144A)
(Multi-Industry)............................................................... 86,000 860
------------
MALAYSIA (0.1%)
UMW Holdings Berhad (Expire 01/26/00) (Capital Goods)........................... 107,200 107,469
------------
PORTUGAL (0.0%)1
Banco Commercial Portuguese SA (Expire 5/10/96) (Banking)....................... 135,499 51,719
------------
THAILAND (0.0%)1
Bumrungrad Hospital Public Co. Ltd. (Expire 6/14/96) (Health & Personal Care)... 246,525 53,700
------------
Total Rights & Warrants (cost of $323,359).................................... 213,748
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
25
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION
- ---------------------------------------------------------------------------------- Units Value
------------ ------------
UNIT TRUSTS (1.5%)
<S> <C> <C>
CHILE (0.1%)
Chile Fund Inc.................................................................. 33,000 $ 808,500
------------
GHANA (0.1%)
Blakeney Investors*............................................................. 100,000 976,000
------------
RUSSIA (1.1%)
New Century Holdings Ltd. (Partnership III; Group B)+*.......................... 1,800 3,065,400
New Century Holdings Ltd. (Partnership IV; Group I)+*........................... 2,000 2,320,000
New Century Holdings Ltd. (Partnership V; Group II)+*........................... 3,800 3,610,000
------------
8,995,400
------------
TAIWAN (0.2%)
R.O.C. Taiwan Fund.............................................................. 140,000 1,505,000
------------
Total Unit Trusts (cost $10,649,500).......................................... 12,284,900
------------
<CAPTION>
Principal
Amount
------------
<S> <C> <C>
REPURCHASE AGREEMENT (3.0%)
State Street Bank and Trust 4.75% dated 4/30/96 due 5/1/96, proceeds $24,791,271
(collateralized by $19,715,000 U.S. Treasury Bond, 11.125% due 8/15/03, valued
at $25,284,488) (cost $24,788,000).............................................. $ 24,788,000 24,788,000
------------
TOTAL INVESTMENTS (COST $777,090,088) (99.2%)................................... 812,554,031
OTHER ASSETS NET OF LIABILITIES (0.8%).......................................... 6,177,090
------------
TOTAL NET ASSETS (100.0%)....................................................... $818,731,121
------------
------------
</TABLE>
- ------------------------------
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.
+ - Restricted securities. See Note 4.
* - Non-income producing securities.
1 - Less than .01%
ADR - American Depositary Receipt.
ADS - American Depositary Shares.
Spon. ADR - Sponsored ADR.
EDR - European Depositary Receipt.
GDR - Global Depositary Receipt.
GDS - Global Depositary Shares.
Spon. GDR - Sponsored GDR.
RDC - Russian Depositary Certificate.
RFD - Ranked for Dividend.
144A - Securities restricted for resale to Qualified Institutional Buyers.
The Accompanying Notes are an Integral Part of the Financial Statements.
26
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1996
- --------------------------------------------------------------------------------
INDUSTRY DIVERSIFICATION
<TABLE>
<CAPTION>
PERCENT OF
TOTAL INVESTMENTS
---------------------
<S> <C>
Food, Beverages & Tobacco...................................................................... 12.82%
Utilities...................................................................................... 11.08%
Metals & Mining................................................................................ 10.51%
Banking........................................................................................ 9.34%
Building Materials............................................................................. 7.14%
Multi-Industry................................................................................. 6.86%
Telecommunications............................................................................. 5.87%
Oil - Production............................................................................... 5.11%
Chemicals...................................................................................... 4.77%
Entertainment, Leisure & Media................................................................. 3.69%
Automotive..................................................................................... 2.84%
Retail......................................................................................... 2.51%
Transport & Services........................................................................... 2.16%
Financial Services............................................................................. 2.07%
Oil - Services................................................................................. 2.01%
Capital Goods.................................................................................. 1.92%
Real Estate.................................................................................... 1.73%
Forest Products & Paper........................................................................ 1.64%
Electronics.................................................................................... 1.22%
Consumer Goods & Services...................................................................... 1.00%
Pharmaceuticals................................................................................ 0.77%
Insurance...................................................................................... 0.59%
Textiles & Apparel............................................................................. 0.57%
Natural Gas.................................................................................... 0.46%
Electric....................................................................................... 0.29%
Health & Personal Care......................................................................... 0.29%
Agriculture.................................................................................... 0.25%
Construction & Housing......................................................................... 0.20%
Health Services................................................................................ 0.17%
Packaging & Containers......................................................................... 0.12%
-----
100.0%
-----
-----
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
27
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES (UNAUDITED)
APRIL 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments, at Value (Cost $752,302,088) $787,766,031
Repurchase Agreement (Cost $24,788,000) 24,788,000
Foreign Currency, at Value (Cost $5,718,079) 5,674,005
Unrealized Appreciation on Open Spot Foreign Currency Contracts 199
Receivable for Investments Sold 3,312,113
Dividends and Interest Receivable 2,648,471
Receivable for Foreign Currency Sold 436,011
Deferred Organization Expense 3,628
Prepaid Expenses 7,343
------------
Total Assets 824,635,801
------------
LIABILITIES
Payable for Investments Purchased 4,316,925
Advisory Fee Payable 762,733
Payable for Foreign Currency Purchased 436,011
Custody Fee Payable 253,852
Professional Fees Payable 55,688
Payable to Custodian 34,602
Administrative Services Fee Payable 16,183
Administration Fee Payable 8,567
Fund Services Fee Payable 2,893
Accrued Expenses & Other Liabilities 17,226
------------
Total Liabilities 5,904,680
------------
NET ASSETS
Applicable to Investors' Beneficial Interests $818,731,121
------------
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
28
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
STATEMENT OF OPERATIONS (UNAUDITED)
FOR THE SIX MONTHS ENDED APRIL 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Dividends (Net of $743,757 Foreign Withholding Taxes) $ 6,821,147
Interest 1,720,285
-----------
Investment Income 8,541,432
EXPENSES
Advisory Fee $ 3,608,169
Custodian Fees and Expenses 603,009
Administrative Services Fee 64,035
Professional Fees 47,895
Administration Fee 39,661
Fund Services Fee 19,928
Trustees' Fees and Expenses 6,985
Insurance Expense 2,950
Amortization of Organization Expense 639
Miscellaneous 7,243
-----------
Total Expenses (4,400,514)
-----------
NET INVESTMENT INCOME 4,140,918
NET REALIZED GAIN (LOSS) ON
Investment Transactions 3,011,069
Foreign Currency Transactions (5,054,319)
-----------
Net Realized Loss (2,043,250)
NET CHANGE IN UNREALIZED APPRECIATION OF
Investments 83,153,256
Foreign Currency Contracts and Translations 142,123
-----------
Net Change in Unrealized Appreciation 83,295,379
-----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $85,393,047
-----------
-----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
29
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE SIX
MONTHS ENDED FOR THE YEAR
APRIL 30, 1996 ENDED
(UNAUDITED) OCTOBER 31, 1995
--------------- -------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 4,140,918 $ 6,090,029
Net Realized Loss on Investments and Foreign Currency Transactions (2,043,250) (28,967,303)
Net Change in Unrealized Appreciation (Depreciation) of Investments and
Foreign Currency Translations 83,295,379 (102,424,260)
--------------- -------------------
Net Increase (Decrease) in Net Assets Resulting from Operations 85,393,047 (125,301,534)
--------------- -------------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTEREST
Contributions 264,400,172 350,949,115
Withdrawals (150,549,287) (153,817,752)
--------------- -------------------
Net Increase from Investors' Transactions 113,850,885 197,131,363
--------------- -------------------
Total Increase in Net Assets 199,243,932 71,829,829
NET ASSETS
Beginning of Period 619,487,189 547,657,360
--------------- -------------------
End of Period $ 818,731,121 $ 619,487,189
--------------- -------------------
--------------- -------------------
</TABLE>
- --------------------------------------------------------------------------------
SUPPLEMENTARY DATA:
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE PERIOD
FOR THE SIX NOVEMBER 15, 1993
MONTHS ENDED FOR THE YEAR (COMMENCEMENT OF
APRIL 30, 1996 ENDED OPERATIONS) THROUGH
(UNAUDITED) OCTOBER 31, 1995 OCTOBER 31, 1994
---------------- ----------------- ---------------------
<S> <C> <C> <C>
RATIO TO AVERAGE NET ASSETS
Expenses 1.22%(a) 1.31% 1.36%(a)
Net Investment Income 1.28%(a) 1.07% 0.66%(a)
Portfolio Turnover 16.13% 41.31% 27.48%
</TABLE>
- ------------------------
(a) Annualized.
The Accompanying Notes are an Integral Part of the Financial Statements.
30
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
APRIL 30, 1996
- --------------------------------------------------------------------------------
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
The Emerging Markets Equity Portfolio (the "Portfolio") is registered under the
Investment Company Act of 1940, as amended, (the "Act") as a no-load,
diversified, open-end management investment company which was organized as a
trust under the laws of the State of New York on June 16, 1993. The Portfolio
commenced operations on November 15, 1993 and received a contribution of certain
assets and liabilities, including securities, with a value of $223,722,513 on
that date from the JPM Emerging Markets Equity Fund, Ltd. in exchange for a
beneficial interest in the Portfolio. The Portfolio's investment objective is to
provide a high total return from a portfolio of equity securities of companies
in emerging markets. The Declaration of Trust permits the Trustees to issue an
unlimited number of beneficial interests in the Portfolio.
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 may 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;
operating data 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 assets are calculated, such securities will be
valued at fair value in accordance with procedures established by and
under the general supervision of the Portfolio's Trustees.
Investments in emerging markets may involve certain considerations and
risks not typically associated with investments in the Unites States.
Future economic and political developments in emerging market countries
could adversely affect the liquidity or value, or both, of such securities
in which the Portfolio is invested. The ability of the issuers of the debt
securities held by the Portfolio to meet their obligations may be affected
by economic and political developments in a specific industry or region.
b)The books and records of the Portfolio are maintained in U.S. dollars. The
market values of investment securities, other assets and liabilities and
foreign currency contracts are translated at the prevailing exchange rates
at the end of the period. Purchases, sales, income and expense are
translated at the exchange rate prevailing on the respective dates of such
transactions. Translation
31
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1996
- --------------------------------------------------------------------------------
gains and losses resulting from changes in exchange rates during the
reporting period and gains and losses realized upon settlement of foreign
currency transactions are reported in the Statement of Operations.
Since the net assets of the Portfolio are presented at the exchange rates
and market values prevailing at the end of the period, the Portfolio does
not isolate the portion of the results of operations arising as a result
of changes in foreign exchange rates from the fluctuations arising from
changes in the market prices of securities during the period.
c)Securities transactions are recorded on a trade date basis. Dividend
income is recorded on the ex-dividend date or at the time that the
relevant ex-dividend date and amount becomes known. Interest income, which
includes the amortization of premiums and discounts, if any, is recorded
on an accrual basis. For financial and tax reporting purposes, realized
gains and losses are determined on the basis of specific lot
identification.
d)The Portfolio may enter into forward and spot foreign currency contracts
to protect securities and related receivables 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 forward and spot foreign currency contract
translations. At April 30, 1996 the Portfolio had open spot foreign
currency contracts as follows:
SUMMARY OF OPEN CONTRACTS
<TABLE>
<CAPTION>
U.S. DOLLAR NET UNREALIZED
VALUE AT APPRECIATION
FOREIGN CURRENCY SALE CONTRACTS PROCEEDS 4/30/96 (DEPRECIATION)
- -------------------------------------------------------------------- --------- ----------- -----------------
<S> <C> <C> <C>
Portuguese Escudo, 21,030,320, expiring 5/3/96 $ 134,353 $ 133,785 $ 568
<CAPTION>
FOREIGN CURRENCY PURCHASE CONTRACTS COST
- -------------------------------------------------------------------- ---------
<S> <C> <C> <C>
Israeli Shekel, 495,527, expiring 5/1/96 155,386 155,134 (252)
Malaysian Ringgit, 358,289, expiring 5/3/96 143,786 143,676 (110)
South Korean Won, 1,929,600 expiring 5/3/96 2,486 2,479 (7)
-----
Net Unrealized Appreciation on Foreign
Currency Contracts $ 199
-----
-----
</TABLE>
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.
f)The Portfolio incurred organization expenses in the amount of $7,629.
These costs were deferred and are being amortized on a straight-line basis
over a five year period from the commencement of operations.
32
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1996
- --------------------------------------------------------------------------------
g)The Portfolio's custodian takes possession of the collateral pledged for
investments in repurchase agreements on behalf of the Portfolio. It is the
policy of the Portfolio to value the underlying collateral daily on a
mark-to-market basis to determine that the value, including accrued
interest, is at least equal to the repurchase price plus accrued interest.
In the event of default of the obligation to repurchase, the Portfolio has
the right to liquidate the collateral and apply the proceeds in
satisfaction of the obligation. Under certain circumstances, in the event
of default or bankruptcy by the other party to the agreement, realization
and/or retention of the collateral or proceeds may be subject to legal
proceedings.
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 1.00%
of the Portfolio's average daily net assets. For the six months ended
April 30, 1996, such fees amounted to $3,608,169.
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 fee 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
Administration 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
$6,052.
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 December 29, 1995 through April 30, 1996, such fees amounted to
$33,609.
c)Until August 31, 1995, the Portfolio had a Financial and Fund Accounting
Services Agreement ("Services Agreement") with 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
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, amortization of
organization expenses and brokerage costs at 0.03% of the Portfolio's
average daily net assets. 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.
33
<PAGE>
THE EMERGING MARKETS EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 1996
- --------------------------------------------------------------------------------
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, such fees amounted to $64,035.
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 $19,928 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 Portfolio's Chairman and Chief Executive Officer 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 $2,600.
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 FROM
PURCHASES SALES
- -------------- --------------
<S> <C>
$ 231,805,864 $ 108,894,720
- -------------- --------------
</TABLE>
4. RESTRICTED SECURITIES:
<TABLE>
<CAPTION>
SHARES DATE ACQUIRED U.S. $ COST
----------- --------------- ------------
<S> <C> <C> <C>
New Century Holdings, Ltd.:
Partnership III 1,800 4/11/94 $ 1,800,000
Partnership IV 2,000 6/16/94 $ 2,000,000
Partnership V 3,800 11/9/94 $ 3,800,000
</TABLE>
The securities shown above are restricted as to sale and have been valued at
fair value in accordance with the procedures described in Note 1a. The value
of these securities at April 30, 1996 is $8,995,400 representing 1.1% of net
assets.
34
<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
EMERGING
MARKETS EQUITY
FUND
SEMI-ANNUAL REPORT
APRIL 30, 1996
