<PAGE>
THE EUROPEAN EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION SHARES VALUE
- -------------------------------- ---------- -----------
<S> <C> <C>
COMMON STOCKS (92.4%)
<CAPTION>
AUSTRIA (0.3%)
<S> <C> <C>
Boehler Uddeholm (Iron/Steel)
(A)...........................
5,000 $ 382,001
Oesterreichisch El Wirtsch,
Class A (Utilities)...........
9,300 559,190
VA Technologie AG (Industrial
Machinery)....................
7,700 977,923
-----------
1,919,114
-----------
<CAPTION>
BELGIUM (3.5%)
<S> <C> <C>
Arbed SA (Steel) (A)...........
7,690 870,122
Banque Bruxelles Lambert NPV
(Banking).....................
14,660 2,540,469
Delhaize Freres et Cie (Le
Lion) SA NPV (Retail).........
17,000 704,723
Electrabel NPV (Utilities).....
9,800 2,330,955
Fortis AG (Insurance)..........
14,464 1,757,010
Glaverbel (Building
Materials)....................
6,500 695,719
Petrofina SA NPV (Energy
Sources)......................
6,590 2,017,530
Solvay SA (Chemicals)..........
3,160 1,715,291
Tractebel Capital NPV (Multi-
Industry).....................
5,970 2,464,679
-----------
15,096,498
-----------
<CAPTION>
DENMARK (1.5%)
<S> <C> <C>
Carlsberg, Series B (Food &
Beverages)....................
22,000 1,228,276
Den Danske Bank (Banking)......
13,000 896,713
International Service System,
Series B (Business & Public
Services).....................
22,000 495,272
Novo Nordisk AS, Series B
(Health & Personal Care)......
8,000 1,095,002
Sophus Berendsen, Class B
(Multi-Industry)..............
13,000 1,463,305
Teledanmark AS, Series B
(Telecommunications)..........
22,000 1,200,540
-----------
6,379,108
-----------
<CAPTION>
FRANCE (14.7%)
<S> <C> <C>
Air Liquide (Chemicals)........
12,080 2,000,588
Alcatel Alsthom (Electrical
Equipment)....................
26,677 2,299,986
AXA (Insurance)................
43,148 2,907,666
BIC (Manufacturing)............
8,000 813,559
Bouygues (Building &
Contractors)..................
14,518 1,462,473
<CAPTION>
DESCRIPTION SHARES VALUE
- -------------------------------- ---------- -----------
FRANCE (CONTINUED)
<S> <C> <C>
Carrefour Supermarkets
(Merchandising)...............
4,385 $ 2,660,371
Cetelem (Banking)..............
6,500 1,219,828
Christian Dior SA (Retail).....
20,225 2,180,682
Compagnie Financiere de Cic
Union Europ Certe De Invest
(Banking).....................
13,070 928,805
Compagnie Financiere de
Paribas, Class A (Banking)....
2,108 115,581
Compagnie Financiere de St.
Gobain (Glass & Packaging)....
8,910 971,603
Compagnie Generale des Eaux
(Utilities)...................
28,695 2,864,812
Credit Commercial de France
(Financial Services)..........
37,400 1,908,569
Credit Local de France
(Banking).....................
18,600 1,488,912
Eridania Beghin-Say
(Insurance)...................
5,690 976,026
Groupe Danone (Food
Processing)...................
23,636 3,899,916
Havas (Business & Public
Services).....................
16,450 1,305,049
Imetal (Metals, Materials &
Paper)........................
4,874 582,252
Lafarge Coppe SA (Building &
Materials)....................
17,743 1,143,132
Lagardere Groupe (Leisure &
Tourism)......................
75,150 1,381,152
Legrand (Electrical
Equipment)....................
6,200 957,157
Lyonnaise des Eaux SA
(Utilities)...................
7,900 760,639
Peugeot SA (Automotive)........
8,830 1,164,832
Pinault Printemps Redoute SA
(Building Materials)..........
3,450 688,309
Promodes (Merchandising).......
9,380 2,204,693
Renault SA (Automotive)........
32,000 921,380
Rhone Poulenc SA, Class A
(Chemicals)...................
60,020 1,285,705
Roussel Uclaf
(Pharmaceuticals).............
7,785 1,319,492
Sanofi (Pharmaceuticals).......
30,800 1,974,294
SEITA (Beverages & Tobacco)....
28,500 1,033,030
SGS - Thomson Microelectronics
N.V. (Electrical &
Electronics) (A)..............
16,900 647,080
Sidel (Tobacco)................
4,300 1,339,963
Societe Generale (Banking).....
20,520 2,535,144
Societe Nationale Elf Aquitaine
(Energy Sources)..............
30,123 2,219,395
Sommer-Allibert (Building
Materials)....................
1,665 441,665
Synthelabo (Health & Personal
Care).........................
24,710 1,548,096
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
7
<PAGE>
THE EUROPEAN EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION SHARES VALUE
- -------------------------------- ---------- -----------
FRANCE (CONTINUED)
<S> <C> <C>
Television Francaise
(Broadcasting & Publishing)...
9,830 $ 1,053,860
Total, Class B (Energy
Sources)......................
73,165 4,937,928
Union Assurance Federal
(Insurance)...................
8,900 1,063,202
Usinor Sacilor (Metals,
Materials & Paper) (A)........
116,200 1,536,441
Valeo (Automotive).............
13,700 634,503
-----------
63,377,770
-----------
<CAPTION>
GERMANY (12.1%)
<S> <C> <C>
Allianz AG Holding
(Insurance)...................
1,791 3,490,858
Ava Allgemeine Handels-Der
Verbr (Merchandising).........
2,476 837,128
Bank Gesellschaft Berlin AG
(Banking).....................
5,570 1,419,195
BASF AG (Chemicals)............
2,200 489,997
Bayer AG (Chemicals)...........
15,744 4,154,133
Beiersdorf (Health & Personal
Care).........................
1,700 1,191,007
Bilfinger & Berger Bau AG
(Construction & Housing)......
2,760 1,044,740
Colonia Konzern AG
(Insurance)...................
1,105 924,364
Continental AG (Industrial
Components)...................
50,900 709,655
Daimler-Benz AG (Automotive)...
3,970 1,998,146
Deutsche Bank AG (Banking).....
80,135 3,796,986
Deutsche Pfandbrief Und
Hypotheken Bank (Banking).....
37,200 1,444,434
Douglas Holdings AG (Retail)...
29,900 1,054,681
Dresdner Bank AG (Banking).....
58,300 1,556,563
Heidelberg Zement (Construction
Materials)....................
875 548,972
Hoechst AG (Chemicals).........
6,400 1,735,518
Karstadt AG (Merchandising)....
1,000 407,808
Lufthansa AG
(Transportation)..............
7,500 1,032,590
Man AG (Machinery &
Engineering)..................
4,600 1,244,197
Mannesmann AG (Machinery &
Engineering)..................
3,280 1,044,250
Muenchener Rueckversicherungs-
New (Insurance) (A)...........
167 359,262
Muenchener Rueckversicherungs
(Insurance)...................
1,940 4,219,449
Preussag AG (Metals, Materials
& Paper)......................
3,100 866,574
<CAPTION>
DESCRIPTION SHARES VALUE
- -------------------------------- ---------- -----------
GERMANY (CONTINUED)
<S> <C> <C>
Rheinisch Westfalisches
Elektrizitaetswerk AG
(Utilities)...................
2,200 $ 797,490
SAP AG (Business Services).....
8,300 1,287,382
Siemens AG (Electrical &
Electronics)..................
12,472 6,825,040
Thyssen AG (Metals, Materials &
Paper) (A)....................
7,600 1,380,662
Veba AG (Energy Sources).......
63,650 2,702,185
Viag AG (Multi-Industry).......
900 360,753
Volkswagen AG (Automotive).....
9,576 3,201,568
-----------
52,125,587
-----------
<CAPTION>
IRELAND (0.4%)
<S> <C> <C>
Allied Irish Banks (Banking)...
122,300 663,780
Bank of Ireland (Banking)......
57,000 415,226
Smurfit (Jefferson) Group
(Metals, Material & Paper)....
125,000 298,191
Irish Life (Insurance).........
105,000 398,415
-----------
1,775,612
-----------
<CAPTION>
ITALY (1.4%)
<S> <C> <C>
Arnoldo Mondadori Editore SPA
(Media & Leisure).............
39,000 337,908
Assicurazioni Generali SPA
(Insurance)...................
55,000 1,331,602
Banca Popolare di Bergamo
(Banking).....................
29,000 400,819
Edison SPA (Energy Sources)....
136,000 585,747
Fiat SPA (Automotive)..........
235,000 763,542
Istituto Mobiliare Italiano
(Banking).....................
86,000 541,519
Istituto Nazionale Delle
Assicurazioni (Insurance).....
366,000 485,119
Telecom Italia Mobile
(Telecommunications)..........
120,000 211,192
Telecom Italia SPA
(Telecommunications)..........
530,000 824,305
Telecom Italia-RNC
(Telecommunications)..........
330,000 403,532
-----------
5,885,285
-----------
<CAPTION>
NETHERLANDS (8.2%)
<S> <C> <C>
ABN Amro Holdings NV
(Banking).....................
65,601 2,988,367
Aegon NV (Insurance)...........
19,402 858,442
Ahold NV (Retail)..............
18,685 762,677
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
8
<PAGE>
THE EUROPEAN EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION SHARES VALUE
- -------------------------------- ---------- -----------
NETHERLANDS (CONTINUED)
<S> <C> <C>
Akzo Nobel NV (Chemicals)......
3,400 $ 393,245
Dutch States Mines NV
(Chemicals)...................
19,000 1,562,909
Elsevier NV (Broadcasting &
Publishing)...................
88,920 1,185,822
Heineken NV (Beverages)........
3,791 672,585
Internationale Nederlanden
Groep (Insurance).............
46,300 3,093,014
Koninklijke KNP NV (Metals,
Material & Paper).............
33,000 847,261
Koninklijke PTT Nederland
(Telecommunications)..........
60,000 2,179,847
Moeara Enim Petroleum (Energy
Sources)......................
1,000 1,208,949
Philips Electronics (Appliances
& Household Durables).........
51,070 1,845,865
Royal Dutch Petroleum (Energy
Sources)......................
92,840 12,971,102
Unilever NV (Food & Household
Products).....................
28,599 4,018,866
Wolters Kluwer (Media &
Leisure)......................
9,200 870,294
-----------
35,459,245
-----------
<CAPTION>
NORWAY (2.7%)
<S> <C> <C>
Aker AS, Series B (Building
Materials)....................
50,000 607,821
Hafslund Nycomed, Series B
(Health & Personal Care)......
65,000 1,647,037
Kvaerner AS, Series B
(Machinery & Engineering).....
40,000 1,338,785
Norsk Hydro AS (Energy
Sources)......................
130,000 5,459,339
Norske Skogsindustrier, Series
B (Paper).....................
25,000 690,706
Orkla AS, A Free
(Multi-Industry)..............
3,400 169,085
Orkla AS, B Free
(Multi-Industry)..............
37,000 1,764,102
-----------
11,676,875
-----------
<CAPTION>
PORTUGAL (0.0%)
<S> <C> <C>
Banco Espirito Santo e Com de
Lisboa (Banking)..............
7,260 109,719
Cimpor Cimentos de Portugal
(Construction Materials)......
5,820 96,394
-----------
206,113
-----------
<CAPTION>
DESCRIPTION SHARES VALUE
- -------------------------------- ---------- -----------
SPAIN (3.4%)
<S> <C> <C>
Banco Intercontinental Espanol
(Banking).....................
5,000 $ 486,397
Banco Pastor (Banking).........
14,100 743,941
Banco Popular Espanol
(Banking).....................
14,836 2,736,037
Ebro Agricolas Compania de
Alimentacion SA (Food
Processing)...................
50,500 528,730
Empresa Nacional de Electric
(Utilities)...................
32,800 1,857,675
Fomento de Construcciones y
Contra (Construction &
Housing)......................
4,520 346,546
Fuerzas Electric de Cataluna
SA, Series A (Utilities)......
163,700 1,167,358
Iberdrola SA (Utilities).......
230,000 2,104,699
Repsol SA (Energy Sources).....
71,570 2,345,348
Telefonica de Espana
(Telecommunications)..........
85,075 1,178,285
Telefonica de Espana ADR
(Telecommunications)..........
17,200 720,251
Vallehermoso SA (Real
Estate).......................
24,300 451,744
-----------
14,667,011
-----------
<CAPTION>
SWEDEN (1.2%)
<S> <C> <C>
Astra AB (Healthcare)..........
35,000 1,386,358
Ericsson (IM) Telephon
(Technology)..................
39,600 775,336
Investor AB (Multi-Industry)...
20,000 659,668
Nordbanken AB (Banking) (A)....
9,000 155,881
S.K.F. AB (Capital Goods)......
40,000 756,058
Stadshypotek AB (Banking)......
45,000 901,396
Svenska Cellulosa AB (Metals,
Materials & Paper)............
33,000 511,921
-----------
5,146,618
-----------
<CAPTION>
SWITZERLAND (10.3%)
<S> <C> <C>
Baer Holdings AG (Banking).....
600 668,401
BBC AG Brown Boveri & Cie
(Machinery & Engineering).....
830 964,196
Bil GT Gruppe AG (Banking).....
1,800 1,061,118
Ciba Geigy AG (Chemicals)......
8,497 7,476,771
Compagnie Financiere Richemont
AG, Series A (Insurance)......
960 1,439,792
CS Holding (Banking)...........
32,275 3,308,642
Fischer (Georg) AG (Industrial
Machinery)....................
910 1,183,355
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
9
<PAGE>
THE EUROPEAN EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION SHARES VALUE
- -------------------------------- ---------- -----------
SWITZERLAND (CONTINUED)
<S> <C> <C>
Holderbank Financiere Glarus
(Building Materials)..........
1,227 $ 941,391
Nestle SA (Food & Household
Products).....................
4,740 5,243,381
Roche Holdings Genusscheine AG
(Health & Personal Care)......
877 6,937,690
Sandoz AG (Health & Personal
Care).........................
4,690 4,293,576
Schweiz Ruckversicherungs
Gesellschaft (Insurance)......
890 1,035,440
Schweizerischer
Bankgesellschaft (Banking)....
1,600 1,733,853
Schweizerischer Bankverein
(Banking).....................
7,750 3,164,499
SMH AG Neuenburg (Consumer
Products).....................
1,125 672,952
Societe Generale de
Surveillance Holdings - B
(Business Services)...........
370 734,547
Societe Generale de
Surveillance Holdings - R
(Business Services)...........
2,800 958,821
Swissair-Schweiz Luftverkehr
(Transportation) (A)..........
750 546,164
Zurich Versicherungs
(Insurance)...................
7,000 2,093,628
-----------
44,458,217
-----------
<CAPTION>
UNITED KINGDOM (32.7%)
<S> <C> <C>
Allied Colloids Group PLC
(Chemicals)...................
738,500 1,525,400
Amersham International PLC
(Healthcare)..................
89,700 1,235,656
Argos (Retail).................
143,000 1,322,511
Argyll Group PLC (Retail)......
420,000 2,217,736
BAA (Retail)...................
98,000 741,202
Barclays Bank (Banking)........
237,000 2,716,353
Bass PLC (Food & Beverages)....
219,000 2,443,726
BAT Industries PLC (Beverage &
Tobacco)......................
544,000 4,790,309
BICC (Industrial Components)...
302,000 1,289,797
BOC Group PLC (Chemicals)......
96,800 1,354,508
BPB Industries PLC
(Construction Materials)......
248,000 1,151,607
Britannic Assurance
(Insurance)...................
129,000 1,538,624
British Gas PLC (Utilities)....
502,120 1,980,719
British Petroleum PLC (Energy
Sources)......................
461,221 3,850,074
<CAPTION>
DESCRIPTION SHARES VALUE
- -------------------------------- ---------- -----------
UNITED KINGDOM (CONTINUED)
<S> <C> <C>
British Telecommunications PLC
(Telecommunications)..........
960,000 $ 5,262,929
British Tire & Rubber PLC
(Multi-Industry)..............
722,364 3,679,692
Cable & Wireless PLC
(Telecommunications)..........
286,000 2,047,616
Caradon PLC (Building &
Contractors)..................
516,000 1,566,672
Carlton Communications PLC
(Media & Leisure).............
59,000 884,679
Chubb Security (Business
Services).....................
76,000 375,928
Courtaulds Textiles PLC
(Consumer Products)...........
119,500 659,765
Dalgety PLC (Food &
Beverages)....................
209,446 1,318,999
Forte (Leisure & Tourism)......
379,000 1,945,325
General Cable (Media &
Leisure) (A)..................
338,300 1,011,380
General Electric Co. PLC
(Electrical & Electronics)....
387,400 2,129,828
Glaxo Welcome PLC (Health &
Personal Care)................
635,500 9,030,634
Glynwed International PLC
(Metals, Materials & Paper)...
256,700 1,271,739
Granada Group PLC (Leisure &
Tourism)......................
137,000 1,372,340
Grand Metropolitan PLC (Multi-
Industry).....................
355,301 2,557,571
Guardian Royal Exchange PLC
(Insurance)...................
550,000 2,357,509
Guinness PLC (Beverages &
Tobacco)......................
323,000 2,375,221
Hanson Trust PLC (Multi-
Industry).....................
453,000 1,350,769
Hillsdown Holdings PLC (Food &
Household Products)...........
622,000 1,642,180
HSBC Holdings (Banking)........
221,000 3,451,087
Inchcape PLC (Commercial
Services).....................
219,000 846,886
Kingfisher (Merchandising).....
254,700 2,143,926
Ladbroke Group (Media &
Leisure)......................
617,000 1,403,797
Lloyds Bank PLC (Banking)......
784,160 4,037,103
Lucas Industries (Industrial
Machinery)....................
380,000 1,068,178
Marks & Spencer PLC
(Merchandising)...............
271,200 1,895,325
MEPC (Real Estate).............
319,000 1,954,426
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
10
<PAGE>
THE EUROPEAN EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DESCRIPTION SHARES VALUE
- -------------------------------- ---------- -----------
UNITED KINGDOM (CONTINUED)
<S> <C> <C>
MFI Furniture Group (Household
Products).....................
603,390 $ 1,499,338
National Grid GRP
(Utilities)(A)................
80,275 248,093
National Power (Utilities).....
63,000 439,797
National Westminster Bank PLC
(Banking).....................
250,000 2,517,860
Peninsular & Orient Steam
Navigation Company
(Transportation)..............
113,600 839,783
Pearson PLC (Multi-Industry)...
155,382 1,504,592
Racal Electronics
(Technology)..................
308,000 1,360,863
Reckitt & Colman (Health &
Personal Care)................
112,150 1,240,983
Reuters Holdings (Broadcasting
& Publishing).................
181,000 1,657,082
Rexam PLC (Metals, Materials &
Paper)........................
194,000 1,066,563
Rolls-Royce PLC (Machinery &
Engineering)..................
624,000 1,821,898
Royal Bank of Scotland PLC
(Banking).....................
311,000 2,830,346
RTZ Corp (Metals, Materials &
Paper)........................
166,865 2,425,620
Sainsbury (J.) PLC (Retail)....
355,541 2,167,260
Scottish Hydro Electric PLC
(Utilities)...................
151,000 843,058
Sears Holdings
(Merchandising)...............
978,050 1,579,705
Shell Transport & Trading Co.
(Energy Sources)..............
348,000 4,601,988
Smithkline Beecham, Series A
(Health & Personal Care)......
305,000 3,363,100
Southwest Water (Utilities)....
229,000 1,845,799
Standard Chartered Bank
(Banking).....................
203,000 1,727,660
Sun Alliance Group PLC
(Insurance)...................
213,000 1,235,526
Tarmac PLC (Building
Materials)....................
842,600 1,347,846
Thorn-Emi PLC (Appliances &
Household Durables)...........
64,700 1,523,801
Tomkins (Multi-Industry).......
386,000 1,687,514
Unilever PLC (Food & Household
Products).....................
59,665 1,225,454
United Biscuits PLC (Food &
Beverages)....................
277,000 1,099,138
Vickers PLC (Machinery &
Engineering)..................
289,000 1,140,022
<CAPTION>
DESCRIPTION SHARES VALUE
- -------------------------------- ---------- -----------
UNITED KINGDOM (CONTINUED)
<S> <C> <C>
Vodafone Group PLC
(Telecommunications)..........
888,500 $ 3,187,506
Welsh Water (Business
Services).....................
111,116 1,336,533
Willis Corroon Group PLC
(Insurance)...................
531,300 1,163,431
Yorkshire Electricity Group
(Utilities)...................
106,100 1,100,711
Yorkshire Water (Business &
Public Services)..............
55,900 513,075
Zeneca Group (Health & Personal
Care).........................
57,000 1,102,556
-----------
141,044,227
-----------
TOTAL COMMON STOCKS (COST
$362,388,337).................
399,217,280
-----------
PREFERRED STOCKS (1.7%)
<CAPTION>
AUSTRIA (0.2%)
<S> <C> <C>
Creditanstalt Bank (Banking)...
13,800 765,412
Bau Holdings AG (Construction &
Housing)......................
6,190 232,774
-----------
998,186
-----------
<CAPTION>
GERMANY (1.4%)
<S> <C> <C>
Fresenius AG (Chemicals).......
6,900 654,165
GEA AG (Industrial
Machinery)....................
2,600 797,490
Henkel KGAA (Food &
Beverages)....................
3,210 1,207,246
Jungheinrich (Capital Goods)...
6,750 959,916
Rheinisch Westfalisches
Elektrizitaetswerk AG
(Utilities)...................
8,060 2,247,473
-----------
5,866,290
-----------
<CAPTION>
ITALY (0.1%)
<S> <C> <C>
Fiat SPA (Automotive)..........
225,000 410,862
-----------
TOTAL PREFERRED STOCKS
(COST $7,677,570)...............
7,275,338
-----------
<CAPTION>
PRINCIPAL
AMOUNT (IN
FRF)
----------
<S> <C> <C>
CONVERTIBLE BONDS (1.1%)
<CAPTION>
FRANCE (0.1%)
<S> <C> <C>
Sanofi 4.00% due 01/01/00
(Pharmaceuticals).............
350,000 265,377
-----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
11
<PAGE>
THE EUROPEAN EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT (IN
DESCRIPTION DEM) VALUE
- -------------------------------- ---------- -----------
GERMANY (0.0%)*
<S> <C> <C>
Commerzbank AG 8.00% due
06/01/07 (Banking)............
3,000 2,454
-----------
<CAPTION>
PRINCIPAL
AMOUNT (IN
CHF)
----------
SWITZERLAND (1.0%)
<S> <C> <C>
Sandoz Capital BVI Ltd. 1.25%
due 10/23/02 (Financial
Services).....................
2,725,000 $ 2,669,484
-----------
<CAPTION>
PRINCIPAL
AMOUNT (IN
US
DOLLARS)
----------
<S> <C> <C>
Swiss Re Finance 2.00% due
7/6/00 (Financial Services)...
1,370,000 1,630,300
-----------
TOTAL CONVERTIBLE BONDS (COST
$4,150,391)...................
4,567,615
-----------
<CAPTION>
WARRANTS
----------
WARRANTS (0.4%)
GERMANY (0.4%)
<S> <C> <C>
Allianz AG, Expiring 2/18/98
(Insurance) (A)...............
11,700 717,741
Veba International Finance,
Expiring 4/6/98 (Utilities)
(A)...........................
5,400 850,749
Volkswagen International BV,
Expiring 10/27/98 (Automotive)
(A)...........................
2,650 235,535
-----------
1,804,025
<CAPTION>
UNITED KINGDOM (0.0%)*
<S> <C> <C>
British Tire & Rubber, Expiring
11/30/97 (Multi-Industry)
(A)...........................
4,707 4,898
British Tire & Rubber, Expiring
11/26/98 (Multi-Industry)
(A)...........................
1,899 597
-----------
5,495
-----------
TOTAL WARRANTS
(COST $1,755,826)...............
1,809,520
-----------
<CAPTION>
PRINCIPAL
AMOUNT (IN
US
DESCRIPTION DOLLARS) VALUE
- -------------------------------- ---------- -----------
<S> <C> <C>
SHORT-TERM INVESTMENTS (4.1%)
EURO-DOLLAR TIME DEPOSIT (4.1%)
UNITED STATES (4.1%)
State Street Cayman Islands
(Banking) 5.25% due 1/2/96
(cost $17,593,000)............
$17,593,000 17,593,000
-----------
TOTAL INVESTMENTS
(COST $393,565,124) (99.7%) (B).............
430,462,753
OTHER ASSETS NET OF LIABILITIES
(0.3%)........................
1,430,212
-----------
NET ASSETS (100.0%).............
$431,892,965
-----------
-----------
</TABLE>
- ------------------------------
ADR - ADR after the name of a foreign holdings stands for American Depository
Receipt, representing ownership of foreign securities on deposit with a
domestic custodian bank.
(A) Non-Income-Producing Security
(B) The cost of investments for Federal Income Tax purposes at December 31,
1995, was $393,955,707 the aggregate gross unrealized appreciation and
depreciation of investments was $44,884,084, and $8,377,038,
respectively, resulting in net unrealized appreciation of $36,507,046.
*Less than 0.1%
The Accompanying Notes are an Integral Part of the Financial Statements.
12
<PAGE>
THE EUROPEAN EQUITY FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INDUSTRY DIVERSIFICATION (UNAUDITED)
PERCENT OF
TOTAL
INVESTMENTS
-----------
Banking......................................................................... 17.1%
<S> <C>
Energy Sources.................................................................. 9.9%
Health & Personal Care.......................................................... 8.4%
Insurance....................................................................... 7.8%
Chemicals....................................................................... 5.6%
Utilities....................................................................... 5.1%
Multi-Industry.................................................................. 4.1%
Telecommunications.............................................................. 4.0%
Beverages & Tobacco............................................................. 3.7%
Food & Household Products....................................................... 2.8%
Merchandising................................................................... 2.7%
Retail.......................................................................... 2.6%
Metals, Materials & Paper....................................................... 2.5%
Automotive...................................................................... 2.2%
Electrical & Electronics........................................................ 2.2%
Building Materials.............................................................. 1.8%
Machinery & Engineering......................................................... 1.7%
Business Services............................................................... 1.6%
Financial Services.............................................................. 1.4%
Building & Contractors.......................................................... 1.1%
Leisure & Tourism............................................................... 1.1%
Media & Leisure................................................................. 1.1%
Food Processing................................................................. 1.0%
Broadcasting & Publishing....................................................... 0.9%
Industrial Machinery............................................................ 0.9%
Pharmaceuticals................................................................. 0.8%
Appliances & Household Durables................................................. 0.8%
Electrical Equipment............................................................ 0.7%
Transportation.................................................................. 0.6%
Technology...................................................................... 0.5%
Real Estate..................................................................... 0.5%
Industrial Components........................................................... 0.5%
Capital Goods................................................................... 0.4%
Household Products.............................................................. 0.3%
Consumer Products............................................................... 0.3%
Tobacco......................................................................... 0.3%
Glass & Packaging............................................................... 0.2%
Steel........................................................................... 0.2%
Commercial Services............................................................. 0.2%
Manufacturing................................................................... 0.2%
Paper........................................................................... 0.1%
Iron/Steel...................................................................... 0.1%
-----------
100.00%
-----------
-----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
13
<PAGE>
THE EUROPEAN EQUITY PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments, at Value (Cost $393,565,124) $430,462,753
Foreign Currency, at Value (Cost $5,192,087) 5,224,421
Cash 416
Receivable for Investments Sold 1,328,304
Dividends and Interest Receivable 780,791
Deferred Organization Expenses 28,318
-----------
Total Assets 437,825,003
-----------
LIABILITIES
Payable for Investments Purchased 5,527,640
Advisory Fee Payable 246,285
Custody Fee Payable 113,115
Administration Fee Payable 2,276
Fund Services Fee Payable 1,675
Administrative Services Fee Payable 899
Accrued Trustees' Fees and Expenses 562
Accrued Expenses and Other Liabilities 39,586
-----------
Total Liabilities 5,932,038
-----------
NET ASSETS
Applicable to Investors' Beneficial Interests $431,892,965
-----------
-----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
14
<PAGE>
THE EUROPEAN EQUITY PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE PERIOD MARCH 28, 1995 (COMMENCEMENT OF OPERATIONS) THROUGH DECEMBER 31,
1995
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
$6,145,435
Dividends (Net of $1,851,963 Foreign Withholding Taxes)
473,518
Interest (Net of $2,602 Foreign Withholding Taxes)
----------
6,618,953
Investment Income
EXPENSES
Advisory Fee $1,675,355
Custodian Fees and Expenses 405,797
Financial and Fund Accounting Services Fees 127,436
Professional Fees 53,760
Fund Services Fee 19,953
Administration Fee 15,623
Trustees' Fees and Expenses 7,776
Amortization of Organization Expenses 4,682
Printing Expense 2,999
Administrative Services Fee 899
Miscellaneous 3,926
---------
(2,318,206)
Total Expenses
----------
4,300,747
NET INVESTMENT INCOME
NET REALIZED GAIN (LOSS) ON
Investment Transactions 6,885,047
Foreign Currency Transactions (125,549)
---------
6,759,498
Net Realized Gain
NET CHANGE IN UNREALIZED APPRECIATION OF
Investments 36,897,629
Foreign Currency Translations 83
---------
36,897,712
Net Change in Unrealized Appreciation
----------
$47,957,957
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS
----------
----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
15
<PAGE>
THE EUROPEAN EQUITY PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
FOR THE PERIOD MARCH 28, 1995 (COMMENCEMENT OF OPERATIONS) THROUGH DECEMBER 31,
1995
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INCREASE IN NET ASSETS
FROM OPERATIONS
$ 4,300,747
Net Investment Income
6,759,498
Net Realized Gain on Investments and Foreign Currency
Transactions
36,897,712
Net Change in Unrealized Appreciation of Investments and
Foreign Currency Translations
-----------
47,957,957
Net Increase in Net Assets Resulting from Operations
-----------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS
432,918,641
Contributions
(48,983,833)
Withdrawals
-----------
383,934,808
Net Increase from Investors' Transactions
-----------
431,892,765
Total Increase in Net Assets
NET ASSETS
200
Beginning of Period
-----------
$431,892,965
End of Period
-----------
-----------
</TABLE>
- --------------------------------------------------------------------------------
SUPPLEMENTARY DATA
FOR THE PERIOD MARCH 28, 1995 (COMMENCEMENT OF OPERATIONS) THROUGH DECEMBER 31,
1995
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C>
RATIOS TO AVERAGE NET ASSETS
0.90%(a)
Expenses
1.67%(a)
Net Investment Income
36%(b)
Portfolio Turnover
</TABLE>
- ------------------------
(a) Annualized.
(b) Not Annualized.
The Accompanying Notes are an Integral Part of the Financial Statements.
16
<PAGE>
THE EUROPEAN EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 1995
- --------------------------------------------------------------------------------
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
The European Equity Portfolio (the "Portfolio"), one of three Portfolios
comprising The Series Portfolio (the "Series 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 24, 1994. The Portfolio's
investment objective is to provide a high total return from a portfolio of
equity securities of European companies. The Portfolio commenced operations on
March 28, 1995. The Declaration of Trust permits the Trustees to issue an
unlimited number of beneficial interests in the Portfolio.
Investments in European markets may involve certain considerations and risks not
typically associated with investments in the United States. Future economic and
political developments in European countries could adversely affect the
liquidity or value, or both, of such securities in which the Portfolio is
invested. The ability of the issuers of the debt securities held by the
Portfolio to meet their obligations may be affected by economic and political
developments in a specific industry or region.
The preparation of financial statements prepared in accordance with generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts and disclosures. Actual amounts
could differ from those estimates. The following is a summary of the significant
accounting policies of the Portfolio:
a)The value of each security for which readily available market quotations
exists is based on a decision as to the broadest and most representative
market for such security. The value of such security will be based either
on the last sale price on a national securities exchange, or, in the
absence of recorded sales, at the readily available closing bid price on
such exchanges, or at the quoted bid price in the over-the-counter market.
Securities listed on a foreign exchange are valued at the last quoted sale
price available before the time when net assets are valued. Unlisted
securities are valued at the average of the quoted bid and asked prices in
the over-the-counter market. Securities or other assets for which market
quotations are not readily available are valued at fair value in
accordance with procedures established by the Portfolio's Trustees. Such
procedures include the use of independent pricing services, which use
prices based upon yields or prices of securities of comparable quality,
coupon, maturity and type; indications as to values from dealers;
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 asset value is calculated, such securities will
be valued at fair value in accordance with procedures established by and
under the general supervision of the Portfolio's Trustees.
b)The books and records of the Portfolio are maintained in U.S. dollars. The
market value of investment securities, other assets and liabilities and
forward contracts stated in foreign currencies are translated at the
prevailing exchange rates at the end of the period. Purchases, sales,
income
17
<PAGE>
THE EUROPEAN EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 1995
- --------------------------------------------------------------------------------
and expense are translated at the exchange rate prevailing on the
respective dates of such transactions. Translation gains and losses
resulting from changes in exchange rates during the reporting period and
gains and losses realized upon settlement of foreign currency transactions
are reported in the Statement of Operations.
Although the net assets of the Portfolio are presented at the exchange
rates and market values prevailing at the end of the period, the Portfolio
does not isolate the portion of the results of operations arising as a
result of changes in foreign exchange rates from the fluctuations arising
from changes in the market prices of securities during the period.
c)Securities transactions are recorded on a trade date basis. Dividend
income is recorded on the ex-dividend date or 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 and payables against
fluctuations in future foreign currency rates. A forward contract is an
agreement to buy or sell currencies of different countries on a specified
future date at a specified rate. Risks associated with such contracts
include the movement in the value of the foreign currency relative to the
U.S. Dollar and the ability of the counterparty to perform.
The market value of the contract will fluctuate with changes in currency
exchange rates. Contracts are valued daily based on procedures established
by and under the general supervision of the Portfolio's Trustees and the
change in the market value is recorded by the Portfolio as unrealized
appreciation or depreciation of forward and spot foreign currency contract
translations. At December 31, 1995 the Portfolio did not have any open
foreign currency contracts.
e)The Portfolio intends to be treated as a partnership for federal income
tax purposes. As such, each investor in the Portfolio will be taxable on
its share of the Portfolio's ordinary income and capital gains. It is
intended that the Portfolio's assets will be managed in such a way that an
investor in the Portfolio will be able to satisfy the requirements of
Subchapter M of the Internal Revenue Code. The Portfolio earns foreign
income which may be subject to foreign withholding taxes at various rates.
f)The Portfolio incurred organization expenses in the amount of $33,000.
These costs were deferred and are being amortized on a straight-line basis
over a five year period from the commencement of operations.
2. TRANSACTIONS WITH AFFILIATES
a)The Portfolio has an investment advisory agreement with Morgan Guaranty
Trust Company of New York ("Morgan"). Under the terms of the investment
advisory agreement, the Portfolio pays Morgan at an annual rate of 0.65%
of the Portfolio's average daily net assets. For the period March 28, 1995
(commencement of operations) through December 31, 1995 such fees amounted
to $1,675,355.
18
<PAGE>
THE EUROPEAN EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 1995
- --------------------------------------------------------------------------------
b)The Portfolio has retained Signature Broker-Dealer Services, Inc.
("Signature") to serve as Administrator and exclusive placement agent.
Signature provided administrative services necessary for the operations of
the Portfolio, furnishes office space and facilities required for
conducting the business of the Portfolio and pays the compensation of the
Portfolio's officers affiliated with Signature. The agreement provided for
a fee to be paid to Signature at an annual rate determined by the
following schedule: 0.01% of the first $1 billion of the aggregate average
daily net assets of the Portfolio and the other portfolios subject to the
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 March 28, 1995 (commencement of operations) through December 28,
1995 such fees amounted to $15,146.
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 December 31, 1995 such fees amounted
to $477.
c)Until August 31, 1995, the Portfolio had a Financial and Fund Accounting
Services Agreement with Morgan under which Morgan received a fee for
overseeing certain aspects of the administration and operation of the
Portfolio and which 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 0.15% of the Portfolio's
average daily net assets up to $200 million, 0.10% of the next $200
million of average daily net assets, 0.05% of the next $200 million of
average daily net assets and 0.03% of average daily net assets thereafter.
For the period March 28, 1995 (commencement of operations) through August
31, 1995, the fee for these services amounted to $127,436. 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 prior agreement and that Morgan should bear all of
its expenses incurred in connection with these services.
Effective December 29, 1995, the Portfolio entered into an Administrative
Services Agreement 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
19
<PAGE>
THE EUROPEAN EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 1995
- --------------------------------------------------------------------------------
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 December 31, 1995, such fees amounted
to $899.
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 $19,953 for the period March 28, 1995 (commencement of
operations) through December 31, 1995.
e)An aggregate annual fee of $65,000 is paid to each Trustee for serving as
a Trustee of the Series Portfolio as well as the funds and the
corresponding Portfolios of two other affiliated series. The Trustees'
Fees and Expenses shown in the financial statements represents the
Portfolio's allocated portion of the total fees and expenses. The Trustee
who serves as Chairman and Chief Executive Officer of these Funds and
Portfolios 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 period March
28, 1995 (commencement of operations) through December 31, 1995 were as follows:
<TABLE>
<CAPTION>
COST OF PROCEEDS
PURCHASES FROM SALES
- -------------- --------------
<S> <C>
$218,027,699 $ 116,878,840
</TABLE>
20
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
To the Trustees and Investors of
The European Equity Portfolio
In our opinion, the accompanying statement of assets and liabilities, including
the schedule of investments, and the related statements of operations and of
changes in net assets and the supplementary data present fairly, in all material
respects, the financial position of The European Equity Portfolio (one of three
portfolios comprising The Series Portfolio, hereafter referred to as the
"Portfolio") at December 31, 1995, and the results of its operations, the
changes in its net assets and the supplementary data for the period March 28,
1995 (commencement of operations) through December 31, 1995, in conformity with
generally accepted accounting principles. These financial statements and
supplementary data (hereafter referred to as "financial statements") are the
responsibility of the Portfolio's management; our responsibility is to express
an opinion on these financial statements based on our audit. We conducted our
audit of these financial statements in accordance with generally accepted
auditing standards which require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements, assessing the
accounting principles used and significant estimates made by management, and
evaluating the overall financial statement presentation. We believe that our
audit, which included confirmation of securities at December 31, 1995 by
correspondence with the custodian and brokers and the application of alternative
auditing procedures where confirmations from brokers were not received, provides
a reasonable basis for the opinion expressed above.
PRICE WATERHOUSE LLP
New York, New York
February 23, 1996
21
