<PAGE>
THE EUROPEAN EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED)
JUNE 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
<S> <C> <C>
SECURITY DESCRIPTION SHARES VALUE
- ---------------------------- ------------ ------------
COMMON STOCK (92.2%)
AUSTRIA (0.1%)
Bohler Uddeholm (Metals &
Mining) .................. 4,100 $ 317,672
------------
BELGIUM (3.0%)
Arbed SA (Metals &
Mining)+ . 9,190 1,051,618
Banque Bruxelles Lambert SA
(Banking) ................ 14,660 2,732,752
Delhaize Le Lion
(Retail) ................. 17,000 854,639
Electrabel SA (Electric) ... 11,000 2,362,986
Fortis AG (Insurance) ...... 14,464 1,909,050
Generale De Banque SA
(Banking) ................ 2,590 911,448
PetroFina SA (Oil-
Production) .............. 8,390 2,653,928
Powerfin SA (Electric) ..... 3,820 523,087
Solvay SA (Chemicals) ...... 4,890 3,024,156
Tractebel (Electric) ....... 4,560 1,892,177
------------
17,915,841
------------
FINLAND (1.5%)
Metra OY (Industrial) ...... 24,000 1,074,496
Nokia AB
(Telecommunications-
Equipment) ............... 90,700 3,338,363
Rautaruukki OY (Metals &
Mining) .................. 150,300 1,090,232
Sampo Insurance Company Ltd.
(Insurance) .............. 22,000 1,273,811
UPM-Kymmene Corporation
(Forest Products &
Paper)+ .................. 85,100 1,760,285
------------
8,537,187
------------
FRANCE (18.0%)
Alcatel Alsthom
(Telecommunications-
Equipment) ............... 25,267 2,203,708
AXA (Multi - Industry) ..... 52,448 2,868,901
AXA - Non Negotiable
Certificates (Multi -
Industry)+ ............... 1,267 69,305
Banque Nationale de Paris
(Financial Services) ..... 29,852 1,047,817
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ---------------------------- ------------ ------------
<S> <C> <C>
</TABLE>
FRANCE (CONTINUED)
<TABLE>
<S> <C> <C>
BIC (Manufacturing) ........ 8,000 $ 1,135,955
Bouygues (Construction &
Housing) ................. 17,718 1,975,516
Canal Plus (Broadcasting &
Publishing) .............. 7,000 1,711,897
Carrefour Supermarche
(Retail) ................. 5,285 2,960,699
Castorama Dubois
(Retail) ................. 8,700 1,713,607
CEP Communications
(Broadcasting &
Publishing) . 13,400 1,132,265
Cetelem (Financial
Services) ................ 6,500 1,460,833
Chargeurs International SA
(Multi - Industry)+ ...... 6,060 270,859
Christian Dior SA
(Retail) ................. 37,225 4,844,662
Compagnie de Saint Gobain
(Building Materials) ..... 20,110 2,691,443
Compagnie Financiere de Cic
et de l'Union Europeenne
(Banking) ................ 13,070 926,664
Compagnie Generale des Eaux
(Water) .................. 44,365 4,955,212
Credit Commercial de France
(Banking) ................ 37,400 1,733,389
Credit Local de France
(Financial Services) ..... 35,600 2,897,464
Essilor International
(Health Services) ........ 5,305 1,502,439
Genset ADR
(Biotechnology)+ ......... 12,000 225,750
Groupe Danone (Food,
Beverages & Tobacco) ..... 43,236 6,542,397
Groupe Danone - Non
Negotiable Certificates
(Food, Beverages &
Tobacco)+ ................ 702 106,225
Havas Advertising SA
(Business & Public
Services) ................ 10,100 1,137,898
Imetal (Building
Materials) ............... 4,874 691,134
L'Air Liquide
(Chemicals) .............. 22,680 4,004,616
L'Oreal (Health & Personal
Care) .................... 7,300 2,423,365
Lafarge SA (Building
Materials) ............... 17,743 1,073,591
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
17
<PAGE>
THE EUROPEAN EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
JUNE 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ---------------------------- ------------ ------------
<S> <C> <C>
</TABLE>
FRANCE (CONTINUED)
<TABLE>
<S> <C> <C>
Lagardere Groupe
(Entertainment, Leisure &
Media) ................... 75,150 $ 1,937,108
Pathe SA (Entertainment,
Leisure & Media)+ ........ 6,060 1,421,980
Peugeot SA (Automotive) .... 21,705 2,904,912
Pinault-Printemps-Redoute SA
(Retail) ................. 6,850 2,396,394
Promodes (Retail) .......... 13,730 3,957,841
Rexel SA (Electrical
Equipment) ............... 4,690 1,295,467
Rhone-Poulenc
(Chemicals) .............. 73,020 1,919,082
Roussel Uclaf
(Pharmaceuticals) ........ 7,785 1,867,581
Sanofi (Pharmaceuticals) ... 30,800 2,308,165
Schneider SA
(Electronics) ............ 49,750 2,609,221
SEITA (Food, Beverages &
Tobacco) ................. 49,700 2,278,360
SGS - Thomson
Microelectronics NV
(Electronics)+ ........... 16,900 594,182
Sidel, SA (Machinery) ...... 9,900 2,517,264
Societe Generale
(Banking) ................ 35,320 3,883,212
Societe Industrielle de
Transports Automobiles SA
(Sita) (Pollution
Control) ................. 6,500 1,604,770
Sommer Allibert (Diversified
Manufacturing) ........... 3,305 839,717
Synthelabo
(Pharmaceuticals) ........ 24,710 2,087,930
Television Francaise 1
(Broadcasting &
Publishing) . 15,430 1,762,370
Total SA (Oil-Services) .... 119,515 8,863,644
Union des Assurances
Federales (Insurance) .... 17,960 2,215,307
Usinor Sacilor (Metals &
Mining) .................. 116,200 1,675,933
Valeo SA (Automotive) ...... 29,400 1,573,341
------------
106,821,392
------------
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ---------------------------- ------------ ------------
<S> <C> <C>
GERMANY (13.3%)
Allgemeine
Handelsgesellschaft der
Verbraucher AG
(Retail) ................. 4,306 $ 1,329,589
Allianz AG Holding
(Insurance) .............. 2,131 3,689,009
Bankgesellschaft Berlin AG
(Banking) ................ 7,170 1,523,839
BASF AG (Chemicals) ........ 27,300 7,801,850
Bayer AG (Chemicals) ....... 121,240 4,281,245
Beiersdorf AG (Health &
Personal Care) ........... 2,590 2,552,329
Bilfinger & Berger Bau AG
(Construction &
Housing) ................. 7,460 3,146,441
Colonia Konzern AG
(Insurance) .............. 2,425 1,959,578
Continental AG
(Automotive) . 133,990 2,174,278
Daimler-Benz AG
(Automotive) ............. 5,250 2,809,287
Deutsche Bank AG
(Banking) ................ 99,935 4,727,111
Deutsche Lufthansa AG
(Transportation) ......... 11,700 1,652,609
Deutsche Pfandbrief &
Hypothekenbank AG
(Banking) ................ 55,900 2,210,823
Douglas Holding AG
(Retail) ................. 29,900 1,192,355
Dresdner Bank AG
(Banking) ................ 160,500 4,033,222
Fried, Krupp AG Hoesch Krupp
(Machinery) .............. 17,785 2,734,106
Karstadt AG (Retail) ....... 1,000 404,365
MAN AG (Automotive) ........ 5,800 1,443,390
Mannesmann AG
(Machinery) .............. 5,180 1,790,034
Munchener
Rueckversicherungs-
Gesellschaft
(Insurance) .............. 3,407 7,028,254
RWE AG (Oil-Services) ...... 23,000 896,042
SAP AG (Computer Software) . 22,850 3,385,154
Siemens AG (Electrical
Equipment)+ .............. 140,800 7,520,364
VEBA AG (Oil-Services) ..... 96,450 5,124,310
Volkswagen AG
(Automotive) ............. 9,576 3,557,644
------------
78,967,228
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
18
<PAGE>
THE EUROPEAN EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
JUNE 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ---------------------------- ------------ ------------
<S> <C> <C>
IRELAND (1.5%)
Allied Irish Banks PLC
(Banking) ................ 227,300 $ 1,191,062
Bank of Ireland PLC
(Banking) ................ 246,000 1,677,141
CRH PLC (Building
Materials) ............... 151,000 1,519,772
Greencore Group PLC (Food,
Beverages & Tobacco) ..... 326,000 1,713,462
Irish Life PLC
(Insurance) .............. 319,000 1,268,969
Jefferson Smurfit Group PLC
(Forest Products &
Paper) ................... 645,000 1,741,436
------------
9,111,842
------------
ITALY (4.4%)
Arnoldo Mondadori Editore
SPA (Entertainment,
Leisure & Media) ......... 199,000 1,505,854
Assicurazioni Generali
(Insurance) .............. 166,000 3,827,977
Banca Fideuram SPA
(Financial Services) ..... 503,000 1,089,376
Banca Populare di Bergamo
(Banking) ................ 81,000 1,233,797
ENI SPA (Oil-Services) ..... 644,000 3,211,701
Fiat SPA (Automotive) ...... 756,000 2,532,410
Instituto Mobiliare Italiano
SPA (Financial
Services) ................ 108,000 901,790
Instituto Nazionale Delle
Assicurazioni
(Insurance) .............. 1,031,000 1,536,797
Mediolanum SPA
(Insurance)+ ............. 53,000 527,251
Montedison SPA
(Chemicals)+ ............. 2,525,000 1,467,611
Olivetti & C SPA (Computer
Software)+ ............... 2,375,000 1,281,271
Parmalat Finanziaria SPA
(Agriculture) ............ 968,000 1,300,811
Telecom Italia
(Telecommunications) ..... 933,000 1,609,827
Telecom Italia Mobile SPA
(Telecommunications) ..... 647,000 1,445,562
Telecom Italia SPA
(Telecommunications) ..... 1,186,000 2,549,247
------------
26,021,282
------------
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ---------------------------- ------------ ------------
<S> <C> <C>
NETHERLANDS (6.3%)
ABN Amro Holdings NV
(Banking) ................ 51,800 $ 2,779,699
Aegon NV (Insurance) ....... 33,902 1,561,063
Dutch State Mines NV
(Chemicals) .............. 19,000 1,886,670
European Vinyls Corporation
Vinyls International NV
(Packaging &
Containers) .............. 30,000 931,472
ING Groep NV (Financial
Services)+ ............... 55,250 1,647,489
Konin Bijenkorf Beheer
(Retail) ................. 19,000 1,605,061
Koninklijke Hoogovens NV
(Metals & Mining) ........ 37,000 1,369,908
Koninklijke PTT Nederland NV
(Commercial Services) .... 76,200 2,883,766
Moeara Enim Petroleum MIJ -
New Shares
(Oil-Services) ........... 144 2,480,175
Moeara Enim Petrol MIJ (Oil-
Services) ................ 1,000 1,341,554
Philips Electronics NV
(Electronics) ............ 75,270 2,447,302
Royal Dutch Petroleum Co.
(Oil-Services) ........... 60,340 9,318,013
Unilever NV (Food, Beverages
& Tobacco) ............... 34,100 4,934,281
Wolters Kluwer NV
(Broadcasting &
Publishing) . 19,600 2,226,417
------------
37,412,870
------------
NORWAY (1.8%)
Aker AS, Series B
(Industrial) .............. 15,000 267,843
Hafslund AS, Series B
(Medical Supplies) ....... 50,000 315,563
Kvaerner AS, Series B
(Construction &
Housing) ................. 57,000 2,202,320
Norsk Hydro AS (Oil-
Services) ................ 121,000 5,923,035
Nycomed AS, Series B
(Medical Supplies) ....... 50,000 692,699
Uni Storebrand ASA
(Insurance)+ ............. 301,000 1,352,948
------------
10,754,408
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
19
<PAGE>
THE EUROPEAN EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
JUNE 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ---------------------------- ------------ ------------
<S> <C> <C>
PORTUGAL (0.0%)*
Banco Espirito Santo
(Banking) ................ 7,260 $ 116,479
Cimpor Cimentos de Portugal
SA (Building
Materials) ............... 5,820 120,861
------------
237,340
------------
SPAIN (5.3%)
Acerinox SA (Metals &
Mining) .................. 5,000 520,627
Banco Intercontinental
Espanol (Financial
Services) ................ 23,900 2,671,278
Banco Pastor (Banking) ..... 22,000 1,372,738
Banco Popular Espanol SA
(Banking) ................ 23,700 4,222,012
Cubiertas y Mzov SA
(Construction &
Housing) ................. 6,600 429,839
Ebro Agricolas Compania de
Alimentacion SA
(Miscellaneous) .......... 75,800 874,996
Empresa Nacional de
Electricidad
(Electric) ............... 45,300 2,823,059
Fomento de Construcciones y
Contras SA (Construction &
Housing) ................. 4,520 373,697
Fuerzas Electric de Cataluna
SA (Electric) ............ 193,700 1,578,778
Hidroelectrica del
Cantabrico SA
(Electric) ............... 28,000 974,020
Iberdrola SA (Electric) .... 365,200 3,745,688
Repsol SA (Gas
Exploration) ............. 137,900 4,791,671
Telefonica de Espana
(Telecommunications) ..... 297,500 5,476,133
Telefonica de Espana SA ADR
(Telecommunications) ..... 17,200 948,150
Vallehermoso SA (Real
Estate) .................. 24,300 479,515
------------
31,282,201
------------
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ---------------------------- ------------ ------------
<S> <C> <C>
SWEDEN (1.3%)
Astra AB, Series B
(Pharmaceuticals) ........ 43,000 $ 1,872,813
Ericsson (LM), Series B
(Telecommunications-
Equipment) ............... 65,000 1,400,804
Nordbanken AB (Banking) .... 20,000 385,805
SKF AB, Series A (Capital
Goods) ................... 50,000 1,160,430
Stadshypotek AB
(Banking) ................ 32,500 724,892
Svenska Cellulosa AB, Series
B (Forest Products &
Paper) ................... 50,000 1,028,563
Volvo AB, Series B
(Automotive) ............. 40,000 910,259
------------
7,483,566
------------
SWITZERLAND (7.6%)
ABB AG (Machinery) ......... 830 1,026,524
Ciba Geigy AG
(Pharmaceuticals) ........ 5,982 7,288,472
Compagnie Financiere
Richemont AG (Food,
Beverages & Tobacco) ..... 960 1,518,646
CS Holding AG (Banking) .... 32,275 3,068,552
Georg Fischer AG (Automotive
Supplies) ................ 1,110 1,281,478
Holderbank Financiere Glaris
AG (Building
Materials) ............... 1,227 980,313
Julius Baer Holdings AG
(Banking) ................ 930 1,003,083
Liechtenstein Global Trust
AG (Banking) ............. 1,800 877,248
Nestle SA (Food, Beverages &
Tobacco) ................. 4,740 5,411,664
Roche Holding AG
(Pharmaceuticals) ........ 967 7,374,331
Sandoz AG
(Pharmaceuticals) ........ 4,690 5,362,073
Schweizerische
Rueckversicherungs-
Gesellschaft
(Insurance) .............. 890 913,720
Schweizerischer Bankverein
(Banking) ................ 19,360 3,820,520
SGS-Thomson Microelectronics
NV (Electronics) ......... 370 885,358
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
20
<PAGE>
THE EUROPEAN EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
JUNE 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ---------------------------- ------------ ------------
<S> <C> <C>
</TABLE>
SWITZERLAND (CONTINUED)
<TABLE>
<S> <C> <C>
Societe Generale de
Surveillance Holding SA
(Commercial Services) .... 2,800 $ 1,230,385
Swissair AG (Airlines)+ .... 750 725,647
Zurich
Versicherungsgesellschaft
(Insurance) .............. 7,000 1,907,096
------------
44,675,110
------------
UNITED KINGDOM (28.1%)
Abbey National PLC
(Banking) ................ 267,900 2,251,985
Allied Colloids Group PLC
(Chemicals) .............. 1,102,000 2,225,976
Allied Domecq PLC (Food,
Beverages & Tobacco) ..... 356,000 2,505,784
Amersham International PLC
(Biotechnology) .......... 101,700 1,659,227
Barclays PLC (Banking) ..... 278,000 3,336,866
Bass PLC (Food, Beverages &
Tobacco) ................. 188,000 2,361,747
BAT Industries PLC (Food,
Beverages & Tobacco) ..... 570,800 4,443,418
BICC PLC (Electrical
Equipment) ............... 223,000 1,072,410
BOC Group PLC
(Chemicals) .............. 122,000 1,750,621
Britannic Assurance PLC
(Insurance) .............. 175,800 1,964,008
British Aerospace PLC
(Aerospace) .............. 154,100 2,338,139
British Airways PLC
(Airlines) . 192,000 1,649,764
British Gas PLC (Natural
Gas) ..................... 616,120 1,713,617
British Petroleum Company
PLC (Oil-Services) ....... 661,718 5,809,207
British Telecommunications
PLC (Telecommunications) . 783,500 4,212,215
BTR PLC (Multi -
Industry) ................ 991,000 3,895,737
Cable & Wireless PLC
(Telecommunications) ..... 374,000 2,472,673
Caradon PLC (Multi -
Industry) ................ 454,000 1,520,192
Courtaulds Textile PLC
(Textiles) ............... 240,000 1,338,755
Dalgety PLC (Food, Beverages
& Tobacco) ............... 165,000 903,730
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ---------------------------- ------------ ------------
<S> <C> <C>
</TABLE>
UNITED KINGDOM (CONTINUED)
<TABLE>
<S> <C> <C>
General Cable PLC
(Broadcasting &
Publishing)+ ............. 581,600 $ 1,762,197
General Electric Company PLC
(Electrical Equipment) ... 485,000 2,611,202
Glaxo Wellcome PLC
(Pharmaceuticals) ........ 764,800 10,302,969
Glynwed International PLC
(Metals & Mining) ........ 304,700 1,496,081
Guardian Royal Exchange PLC
(Insurance) .............. 727,000 2,801,441
Guinness PLC (Food,
Beverages & Tobacco) ..... 447,000 3,250,490
Hanson PLC (Multi -
Industry) ................ 601,000 1,680,902
Hillsdown Holdings PLC
(Food, Beverages &
Tobacco) ................. 975,000 2,627,502
HSBC Holdings PLC
(Banking) ................ 296,000 4,636,045
Hyder PLC (Water) .......... 197,116 2,185,301
Inchcape PLC (Commercial
Services) ................ 123,704 563,179
Kingfisher PLC (Retail) .... 254,700 2,558,544
Ladbroke Group PLC
(Entertainment, Leisure &
Media) ................... 607,000 1,683,536
Lloyds TSB Group PLC
(Banking) ................ 1,209,260 5,918,691
Lucas Industries PLC
(Automotive) ............. 377,000 1,326,799
Marks & Spencer PLC
(Retail) ................. 536,800 3,924,349
MEPC PLC (Real Estate) ..... 443,100 2,795,266
National Grid Group PLC
(Electric) ............... 394,000 1,043,797
National Power PLC
(Electric) ............... 285,000 2,302,733
National Westminster Bank
PLC (Banking) ............ 234,000 2,232,439
Pace Micro Technology PLC
(Electronics)+ ........... 137,000 400,197
Pearson PLC (Broadcasting &
Publishing) .............. 208,000 2,145,986
Peninsular & Orient Steam
Navigation Co.
(Transportation) ......... 113,600 854,317
Prudential Corporation PLC
(Insurance) .............. 340,000 2,144,867
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
21
<PAGE>
THE EUROPEAN EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
JUNE 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ---------------------------- ------------ ------------
<S> <C> <C>
</TABLE>
UNITED KINGDOM (CONTINUED)
<TABLE>
<S> <C> <C>
Racal Electronic PLC
(Telecommunications-
Equipment) ............... 469,000 $ 2,222,635
Rank Organisation PLC
(Entertainment, Leisure &
Media) ................... 410,000 3,169,366
Reuters Holdings
(Broadcasting &
Publishing) .............. 359,000 4,345,376
Rolls-Royce PLC
(Aerospace) .............. 624,000 2,171,841
RTZ Corp. PLC (Metals &
Mining) .................. 276,465 4,093,818
Sainsbury (J.) PLC
(Retail) ................. 608,841 3,585,408
Sears PLC (Retail) ......... 1,235,000 1,899,755
Shell Transport & Trading
Co. (Oil-Services) ....... 315,000 4,620,383
SmithKline Beecham PLC
(Pharmaceuticals) ........ 394,350 4,218,725
South West Water PLC
(Water) .................. 129,000 1,310,880
Standard Chartered PLC
(Banking) ................ 231,000 2,300,729
Tarmac PLC (Construction &
Housing) ................. 1,245,100 2,128,102
Tesco PLC (Retail) ......... 773,000 3,531,200
THORN EMI PLC
(Entertainment, Leisure &
Media) ................... 123,900 3,453,736
Tomkins PLC (Multi -
Industry) ................ 269,000 1,011,493
Unilever PLC (Food,
Beverages & Tobacco) ..... 185,000 3,679,401
Vodafone Group PLC
(Telecommunications) ..... 1,026,500 3,819,970
Zeneca Group PLC
(Pharmaceuticals) ........ 86,000 1,902,847
------------
166,140,566
------------
TOTAL COMMON STOCK (COST
$489,889,111) ........... 545,678,505
------------
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ---------------------------- ------------ ------------
<S> <C> <C>
PREFERRED STOCK (1.7%)
GERMANY (1.7%)
GEA AG (Machinery) ......... 4,300 $ 1,429,436
Henkel KGAA (Chemicals) .... 6,850 2,956,662
Jungheinrich AG
(Machinery) . 8,850 1,569,830
RWE AG (Oil-Services) ...... 130,370 4,008,383
------------
9,964,311
------------
TOTAL PREFERRED STOCK
(COST $9,326,636)........ 9,964,311
------------
RIGHTS (0.2%)
FRANCE (0.2%)
Carrefour Supermarkets
(Retail)+ ................ 5,285 1,459,817
------------
TOTAL RIGHTS
(COST $910,055)........ . 1,459,817
------------
WARRANTS (0.8%)
GERMANY (0.8%)
Allianz AG Holding, Expiring
2/23/98 (Insurance)+ ..... 15,740 801,405
Krupp Hoesch Stahl AG,
Expiring 8/1/96 (Multi -
Industry)+ ............... 3,643 344,641
Veba International Finance,
Expiring 4/6/98 (Oil-
Services)+ ............... 8,120 2,315,216
Volkswagen AG, Expiring
10/27/98 (Automotive)+ ... 10,320 1,206,828
------------
4,668,090
------------
SWITZERLAND (0.0%)*
Schweizerischer Bankverein,
Expiring 6/30/00
(Banking)+ ............... 2,300 7,534
------------
TOTAL WARRANTS (COST
$3,687,775) ............. 4,675,624
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
22
<PAGE>
THE EUROPEAN EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
JUNE 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- ---------------------------- ------------ ------------
<S> <C> <C>
CONVERTIBLE BONDS (1.1%)
(IN DEM)
GERMANY (0.0%)*
Commerzbank AG, 8.00% due
06/01/07 (Banking) ....... 3,000 $ 2,198
------------
(IN ITL)
ITALY (0.1%)
Istituto Nazionale delle
Assicurazioni, 6.50% due
06/ 28/01 (Insurance) .... 810,000,000 536,924
------------
(IN CHF)
SWITZERLAND (0.7%)
Sandoz Capital BVI. Ltd.,
1.25% due 10/23/02
(Financial Services) ..... 2,725,000 3,042,556
Swiss Re Finance Bermuda,
2.00% due 07/06/00
(Financial Services) ..... 1,370,000 1,455,625
------------
4,498,181
------------
(IN GBP)
UNITED KINGDOM (0.3%)
BPB Industries, 7.25% due
08/ 25/08 (Industrial) .... 869,000 1,689,504
------------
TOTAL CONVERTIBLE BONDS
(COST $6,170,924) ....... 6,726,807
------------
<CAPTION>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- ---------------------------- ------------ ------------
<S> <C> <C>
SHORT-TERM INVESTMENTS (3.2%)
(IN USD)
U.S. TREASURY OBLIGATIONS (0.0%)*
United States Treasury
Bills, 5.03% due
10/10/96++ ............... 110,000 $ 108,366
TIME DEPOSITS--FOREIGN (3.2%)
State Street Bank Cayman
Islands (Banking), 4.88%
due 07/01/96 ............. 18,880,000 18,880,000
------------
TOTAL SHORT-TERM
INVESTMENTS (COST
$18,988,419) ............ 18,988,366
------------
TOTAL INVESTMENTS (COST $528,972,920)
(99.2%) ................................ 587,493,430
OTHER ASSETS IN EXCESS OF LIABILITIES
(0.8%) ................................. 4,611,858
------------
NET ASSETS (100.0%) ...................... $592,105,288
------------
------------
</TABLE>
- ------------------------
* Less than 0.1%.
+ Non-Income-Producing Security.
++ These securities are segregated as collateral for
initial margin on futures contracts.
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.
The Accompanying Notes are an Integral Part of the Financial Statements.
23
<PAGE>
THE EUROPEAN EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
JUNE 30, 1996
- --------------------------------------------------------------------------------
INDUSTRY DIVERSIFICATION
<TABLE>
<CAPTION>
PERCENT OF
TOTAL
INVESTMENTS
---------------
<S> <C>
Banking............................................................... 14.4%
Oil-Services.......................................................... 9.2%
Pharmaceuticals....................................................... 7.6%
Food, Beverages & Tobacco............................................. 7.2%
Insurance............................................................. 6.7%
Retail................................................................ 6.5%
Chemicals............................................................. 5.3%
Telecommunications.................................................... 3.8%
Automotive............................................................ 3.5%
Electric.............................................................. 2.9%
Financial Services.................................................... 2.7%
Broadcasting & Publishing............................................. 2.6%
Entertainment, Leisure & Media........................................ 2.2%
Electrical Equipment.................................................. 2.1%
Metals & Mining....................................................... 2.0%
Multi-Industry........................................................ 2.0%
Machinery............................................................. 1.9%
Construction & Housing................................................ 1.7%
Telecommunication-Equipment........................................... 1.6%
Water................................................................. 1.4%
Building Materials.................................................... 1.2%
Electronics........................................................... 1.2%
Health & Personal Care................................................ 0.9%
Aerospace............................................................. 0.8%
Commercial Services................................................... 0.8%
Computer Software..................................................... 0.8%
Forest Products & Paper............................................... 0.8%
Gas Exploration....................................................... 0.8%
Real Estate........................................................... 0.6%
Industrial............................................................ 0.5%
Oil-Production........................................................ 0.5%
Miscellaneous......................................................... 3.8%
---------------
100.0%
---------------
---------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
24
<PAGE>
THE EUROPEAN EQUITY PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES (UNAUDITED)
JUNE 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments at Value (Cost $528,972,920) $587,493,430
Cash 2,387,842
Foreign Currency at Value (Cost $9,469,457) 9,550,577
Receivable for Investments Sold 11,795,793
Dividends and Interest Receivable 2,119,986
Deferred Organization Expenses 25,663
Unrealized Appreciation on Open Spot Foreign Currency Contracts 1,735
Variation Margin Receivable 433
------------
Total Assets 613,375,459
------------
LIABILITIES
Payable for Investments Purchased 20,741,211
Advisory Fee Payable 307,521
Custody Fee Payable 142,339
Administrative Services Fee Payable 23,060
Administration Fee Payable 5,977
Fund Services Fee Payable 1,637
Unrealized Depreciation on Open Spot Foreign Currency Contracts 638
Accrued Trustees' Fees and Expenses 438
Accrued Expenses 47,350
------------
Total Liabilities 21,270,171
------------
NET ASSETS
Applicable to Investors' Beneficial Interests $592,105,288
------------
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
25
<PAGE>
THE EUROPEAN EQUITY PORTFOLIO
STATEMENT OF OPERATIONS (UNAUDITED)
FOR THE SIX MONTHS ENDED JUNE 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Dividends (Net of $2,536,808 Foreign Withholding Taxes) $ 8,129,554
Interest (Net of $4,909 Foreign Withholding Taxes) 555,153
-----------
Investment Income 8,684,707
EXPENSES
Advisory Fee $ 1,670,174
Custodian Fees and Expenses 380,317
Administrative Services Fee 64,388
Administration Fee 32,409
Professional Fees 30,570
Fund Services Fee 14,050
Trustees' Fees and Expenses 4,816
Amortization of Organization Expenses 2,655
Miscellaneous 4,490
-----------
Total Expenses (2,203,869)
-----------
NET INVESTMENT INCOME 6,480,838
NET REALIZED GAIN (LOSS) ON
Investment Transactions 9,489,058
Foreign Currency Transactions (40,859)
-----------
Net Realized Gain 9,448,199
NET CHANGE IN UNREALIZED APPRECIATION OF
Investments (including $636 net unrealized gains from future
contracts) 21,623,570
Foreign Currency Contracts and Translations 48,454
-----------
Net Change in Unrealized Appreciation 21,672,024
-----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $37,601,061
-----------
-----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
26
<PAGE>
THE EUROPEAN EQUITY PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE PERIOD
MARCH 28, 1995
FOR THE SIX (COMMENCEMENT
MONTHS ENDED OF OPERATIONS)
JUNE 30, THROUGH
1996 DECEMBER 31,
(UNAUDITED) 1995
------------ --------------
<S> <C> <C>
INCREASE IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 6,480,838 $ 4,300,747
Net Realized Gain on Investments and Foreign Currency
Transactions 9,448,199 6,759,498
Net Change in Unrealized Appreciation of Investments and
Foreign Currency Translations 21,672,024 36,897,712
------------ --------------
Net Increase in Net Assets Resulting from Operations 37,601,061 47,957,957
------------ --------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS
Contributions 173,887,337 432,918,641
Withdrawals (51,276,075) (48,983,833)
------------ --------------
Net Increase from Investors' Transactions 122,611,262 383,934,808
------------ --------------
Total Increase in Net Assets 160,212,323 431,892,765
NET ASSETS
Beginning of Period 431,892,965 200
------------ --------------
End of Period $592,105,288 $431,892,965
------------ --------------
------------ --------------
</TABLE>
- --------------------------------------------------------------------------------
SUPPLEMENTARY DATA
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE PERIOD
MARCH 28, 1995
FOR THE SIX (COMMENCEMENT OF
MONTHS ENDED OPERATIONS)
JUNE 30, 1996 THROUGH DECEMBER
(UNAUDITED) 31, 1995
--------------- -----------------
<S> <C> <C>
RATIOS TO AVERAGE NET ASSETS
Expenses 0.86%(a) 0.90%(a)
Net Investment Income 2.52%(a) 1.67%(a)
Portfolio Turnover 27%(b) 36%(b)
</TABLE>
- ------------------------
(a)Annualized.
(b)Not Annualized.
The Accompanying Notes are an Integral Part of the Financial Statements.
27
<PAGE>
THE EUROPEAN EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
JUNE 30, 1996
- --------------------------------------------------------------------------------
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
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 Series Portfolio's 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 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 exchange, 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 and expense are translated at the exchange rates prevailing on the
respective dates of such
28
<PAGE>
THE EUROPEAN EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
JUNE 30, 1996
- --------------------------------------------------------------------------------
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 June 30, 1996, the Portfolio had open foreign currency
contracts as follows:
SUMMARY OF OPEN SPOT FOREIGN CURRENCY CONTRACTS
<TABLE>
<CAPTION>
U.S. DOLLAR NET UNREALIZED
VALUE AT APPRECIATION
PURCHASE CONTRACTS COST 06/30/96 (DEPRECIATION)
- ------------------------------------------------------------- ------------ ------------ ---------------
<S> <C> <C> <C>
German Mark 140,000, for GBP 59,587, expiring 07/01/96 $ 91,976 $ 92,587 $ (611)
Spanish Peseta 580,000,000, expiring 07/01/96 4,522,064 4,523,796 1,732
SALES CONTRACTS
- -------------------------------------------------------------
German Mark 2,400, expiring 07/01/96 $ 1,570 $ 1,577 $ (7)
German Mark 18,400, expiring 07/02/96 12,091 12,088 3
British Pounds 2,600, expiring 07/02/96 4,020 4,040 (20)
------
NET UNREALIZED APPRECIATION ON OPEN SPOT FOREIGN CURRENCY
CONTRACTS $ 1,097
------
------
</TABLE>
e)Futures -- A futures contract is an agreement to purchase/sell a specified
quantity of an underlying instrument at a specified future date or to
make/receive a cash payment based on the value of a securities index. The
price at which the purchase and sale will take place is fixed when the
29
<PAGE>
THE EUROPEAN EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
JUNE 30, 1996
- --------------------------------------------------------------------------------
Portfolio enters into the contract. Upon entering into such a contract the
Portfolio is required to pledge to the broker an amount of cash and/or
securities equal to the minimum "initial margin" requirements of the
exchange. Pursuant to the contract, the Portfolio agrees to receive from
or pay to the broker an amount of cash equal to the daily fluctuation in
the value of the contract. Such receipts or payments are known as
"variation margin" and are recorded by the Portfolio as unrealized gains
or losses. When the contract is closed, the Portfolio records a realized
gain or loss equal to the difference between the value of the contract at
the time it was opened and the value at the time when it was closed. The
Portfolio invests in futures contracts solely for the purpose of hedging
its existing portfolio securities, or securities the Portfolio intends to
purchase, against fluctuations in value caused by changes in prevailing
market interest rates. The use of futures transactions involves the risk
of imperfect correlation in movements in the price of futures contracts,
interest rates and the underlying hedged assets, and the possible
inability of counterparties to meet the terms of their contracts. Futures
transactions during the six months ended June 30, 1996 are summarized as
follows:
<TABLE>
<CAPTION>
NUMBER PRINCIPAL AMOUNT
OF CONTRACTS OF CONTRACTS
------------- -----------------
<S> <C> <C>
Contracts opened 16 $ 2,509,639
Contracts closed 0 0
------ -----------------
Open at end of period 16 $ 2,509,639
------ -----------------
------ -----------------
</TABLE>
<TABLE>
<CAPTION>
NET UNREALIZED
CONTRACTS APPRECIATION
SUMMARY OF OPEN CONTRACTS AT JUNE 30, 1996 LONG (DEPRECIATION)
- -------------------------------------------------------- ------------- -----------------
<S> <C> <C>
Financial Times-Stock Exchange 100-Share Index,
expiring 09/01/96 8 $ (3,441 )
German Stock Exchange Index,
expiring 09/01/96 8 4,077
------ -----------------
Totals 16 $ 636
------ -----------------
------ -----------------
</TABLE>
Of the $2,387,842 held as cash at June 30, 1996, $2,386,989 is segregated
as collateral for initial margin on futures contracts.
f)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.
g)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.
30
<PAGE>
THE EUROPEAN EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
JUNE 30, 1996
- --------------------------------------------------------------------------------
h)Expenses incurred by the Series Portfolio with respect to any two or more
portfolios in the Series Portfolios are allocated in proportion to the net
assets of each portfolio in the Series Portfolio, except where allocations
of direct expenses to each portfolio can otherwise be made fairly.
Expenses directly attributable to a portfolio are charged to that
portfolio.
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 agreement,
the Portfolio pays Morgan at an annual rate of 0.65% of the Portfolio's
average daily net assets. For the six months ended June 30, 1996 such fees
amounted to $1,670,174.
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 Administration
Agreement provides for a fee to be paid to Signature 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 (the
"Master Portfolios") in which The Pierpont Funds, The JPM Institutional
Funds or The JPM Advisor 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 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 six months ended June 30, 1996 such fees
amounted to $32,409.
Effective August 1, 1996, administrative functions provided by Signature
will be provided by Funds Distributor, Inc. ("FDI"), a registered
broker-dealer, and by Morgan. FDI will also become the Portfolio's
exclusive placement agent. Under a Co-Administration Agreement between FDI
and the Portfolio, FDI's fees are to be paid by the Portfolio (see Note
2c).
c)The Portfolio has an Administrative Services Agreement (the "Services
Agreement") with Morgan under which Morgan is responsible for certain
aspects of the administration and operation of the Portfolio. Under the
Services Agreement, the Portfolio has agreed to pay Morgan a fee equal to
its 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 Master Portfolios' 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 investors
in the Master Portfolios for which Morgan provides similar services. For
the six months ended June 30, 1996 such fees amounted to $64,388.
Effective August 1, 1996, the Services Agreement will be amended such that
the aggregate complex-wide fees to be paid by the Portfolio under both the
amended Services Agreement and the Co-Administration Agreement (see Note
2b) will be calculated daily based on the aggregate
31
<PAGE>
THE EUROPEAN EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
JUNE 30, 1996
- --------------------------------------------------------------------------------
average daily net assets of the Master Portfolios in accordance with the
following annual schedule: 0.09% on the first $7 billion of the Master
Portfolios' aggregate average daily net assets and 0.04% of the Master
Portfolios' aggregate average daily net assets in excess of $7 billion.
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 $14,050 for the six months ended June 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 represents the Portfolio's allocated portion of the total fees
and expenses. The Portfolio's Chairman and Chief Executive 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 $1,800.
3. INVESTMENT TRANSACTIONS
Investment transactions (excluding short-term investments) for the six months
ended June 30, 1996 were as follows:
<TABLE>
<S> <C>
COST OF PROCEEDS FROM
PURCHASES SALES
- -------------- --------------
$ 257,572,512 $ 133,033,451
</TABLE>
32
