<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ----------- ------------
<S> <C> <C>
COMMON STOCK (97.4%)
BASIC INDUSTRIES (4.9%)
AGRICULTURE (0.1%)
Pioneer Hi-Bred International,
Inc............................................ 1,500 $ 104,625
------------
CHEMICALS (2.5%)
Air Products and Chemicals, Inc.................. 300 23,325
Albemarle Corp................................... 300 5,625
Crompton & Knowles Corp.......................... 1,200 28,050
Cytec Industries, Inc.+.......................... 800 31,300
Dow Chemical Co.................................. 4,200 350,175
E.I. Du Pont De Nemours &
Co.(a)......................................... 10,000 1,088,750
Georgia Gulf Corp................................ 100 2,762
Lyondell Petrochemical Co........................ 1,400 30,800
PPG Industries Inc............................... 2,100 122,062
Rohm & Haas Co................................... 1,100 94,875
Union Carbide Corp............................... 2,200 102,850
------------
1,880,574
------------
FOREST PRODUCTS & PAPER (1.0%)
Boise Cascade Corp............................... 1,200 45,600
Bowater Inc...................................... 800 39,500
Champion International Corp...................... 2,500 123,437
James River Corp. of Virginia.................... 1,400 49,175
Louisiana Pacific Corp........................... 2,800 54,600
Mead Corp........................................ 1,400 89,250
Temple-Inland, Inc............................... 1,500 90,750
Union Camp Corp.................................. 300 15,750
Weyerhaeuser Co.................................. 4,900 244,387
------------
752,449
------------
METALS & MINING (1.3%)
Alcan Aluminum Ltd............................... 1,100 39,462
Allegheny Teledyne, Inc.......................... 4,300 110,725
Aluminum Company of America...................... 4,300 316,587
Bethlehem Steel Corp.+........................... 700 7,000
Freeport-McMoran Copper & Gold, Inc. - Class A... 4,700 130,425
Nucor Corp....................................... 2,100 123,900
Reynolds Metals Co............................... 1,600 108,600
UCAR International, Inc.+........................ 700 33,600
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ----------- ------------
<S> <C> <C>
METALS & MINING (CONTINUED)
USX-U.S. Steel Group, Inc........................ 1,500 $ 48,375
Worthington Industries, Inc...................... 2,200 40,837
------------
959,511
------------
TOTAL BASIC INDUSTRIES......................... 3,697,159
------------
CONSUMER GOODS & SERVICES (23.5%)
AUTOMOTIVE (2.0%)
Chrysler Corp.................................... 10,400 330,200
Cooper Tire & Rubber Co.......................... 1,400 31,325
Ford Motor Co.................................... 17,200 645,000
General Motors Corp.............................. 6,000 343,500
Goodyear Tire and Rubber Co...................... 3,100 181,350
Lear Corp.+...................................... 900 34,425
------------
1,565,800
------------
BROADCASTING & PUBLISHING (1.4%)
Comcast Corp. - Class A.......................... 10,100 176,119
Cox Communications, Inc. - Class A+.............. 1,000 21,875
R.R. Donnelley & Sons Co......................... 4,700 174,487
TCI Satellite Entertainment, Inc. - Class A+..... 400 3,825
Tele-Communications TCI, Series A+............... 19,000 288,562
U.S. West, Inc. Media Group+..................... 18,800 373,650
------------
1,038,518
------------
ENTERTAINMENT, LEISURE & MEDIA (2.2%)
Circus Circus Enterprises, Inc.+................. 2,500 65,000
Harrah's Entertainment, Inc.+.................... 3,000 55,875
International Game Technology.................... 3,800 67,450
ITT Corp.+....................................... 3,600 214,650
MGM Grand, Inc.+................................. 1,700 64,387
Mirage Resorts, Inc.+............................ 5,400 128,925
Time Warner Inc.................................. 15,900 739,350
Viacom, Inc. - Class B+.......................... 10,800 320,625
------------
1,656,262
------------
FOOD, BEVERAGES & TOBACCO (8.7%)
Anheuser Busch Companies, Inc.................... 10,300 441,612
Coca-Cola Co..................................... 17,400 1,187,550
CPC International, Inc........................... 1,900 163,400
General Mills, Inc............................... 3,500 221,375
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
18
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ----------- ------------
<S> <C> <C>
FOOD, BEVERAGES & TOBACCO (CONTINUED)
Heinz (H.J.) Company............................. 6,800 $ 292,400
Kellogg Co....................................... 4,300 317,125
Nabisco Holdings Corp. - Class A................. 1,100 43,587
PepsiCo, Inc.(a)................................. 32,700 1,201,725
Philip Morris Companies, Inc.(a)................. 28,200 1,240,800
Ralston Purina Co................................ 2,300 196,075
Sara Lee Corp.................................... 5,600 228,900
Seagram Company Ltd.............................. 11,500 462,875
Unilever NV (ADR)................................ 3,300 639,375
------------
6,636,799
------------
HOUSEHOLD APPLIANCES & FURNISHINGS (0.5%)
Black & Decker Corp.............................. 3,600 125,100
Leggett & Platt, Inc............................. 2,500 94,375
Whirlpool Corp................................... 2,800 139,650
------------
359,125
------------
HOUSEHOLD PRODUCTS (2.5%)
Procter & Gamble Co.(a).......................... 13,200 1,819,950
Rubbermaid, Inc.................................. 4,200 117,075
------------
1,937,025
------------
PERSONAL CARE (1.0%)
Avon Products, Inc............................... 2,500 159,375
Gillette Co...................................... 6,700 595,462
------------
754,837
------------
RESTAURANTS & HOTELS (0.3%)
Extended Stay America, Inc.+..................... 2,900 39,875
Hilton Hotels Corp............................... 7,400 209,050
------------
248,925
------------
RETAIL (4.8%)
Albertson's, Inc................................. 5,000 167,500
AutoZone, Inc.+.................................. 3,000 70,125
Circuit City Stores, Inc......................... 1,900 75,050
Dayton Hudson Corp............................... 1,600 77,000
Federated Department Stores,
Inc.+.......................................... 4,200 155,400
Footstar, Inc.+.................................. 100 2,225
Gap, Inc......................................... 5,500 188,375
General Nutrition Companies, Inc.+............... 1,700 39,312
Limited, Inc..................................... 4,400 89,100
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ----------- ------------
RETAIL (CONTINUED)
Lowe's Companies, Inc............................ 2,900 $ 114,187
Mattel, Inc...................................... 11,100 331,612
May Department Stores Co......................... 600 28,275
Nine West Group, Inc.+........................... 700 26,950
Nordstrom, Inc................................... 1,400 67,287
Penney (J.C.) Inc................................ 5,100 262,650
Sears, Roebuck & Co.............................. 7,800 383,175
TJX Companies, Inc............................... 1,500 72,000
Toys 'R' Us, Inc.+............................... 5,700 177,412
Wal-Mart Stores, Inc.(a)......................... 44,300 1,317,925
------------
3,645,560
------------
TEXTILES (0.1%)
Fruit of the Loom, Inc. - Class A+............... 2,600 90,675
Unifi, Inc....................................... 700 22,575
------------
113,250
------------
TOTAL CONSUMER GOODS & SERVICES................ 17,956,101
------------
ENERGY (9.7%)
GAS EXPLORATION (0.4%)
Enron Corp....................................... 6,000 244,500
Pogo Producing Co................................ 1,100 44,000
Union Pacific Resources Group, Inc............... 500 14,437
------------
302,937
------------
NATURAL GAS (0.4%)
Burlington Resources, Inc........................ 100 4,650
PanEnergy Corp................................... 6,000 280,500
------------
285,150
------------
OIL-PRODUCTION (7.4%)
Anadarko Petroleum Corp.......................... 2,000 126,000
Ashland Inc...................................... 2,400 114,900
Atlantic Richfield Co............................ 3,100 451,050
Exxon Corp.(a)................................... 41,100 2,435,175
Mobil Corp....................................... 9,500 1,328,812
Phillips Petroleum Co............................ 5,400 229,500
Royal Dutch Petroleum Co. (ADR)(a)............... 2,700 527,175
Tosco Corp....................................... 4,300 140,287
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
19
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ----------- ------------
<S> <C> <C>
OIL-PRODUCTION (CONTINUED)
Unocal Corp...................................... 5,200 $ 221,650
Valero Energy Corp............................... 1,500 53,625
------------
5,628,174
------------
OIL-SERVICES (1.5%)
Amerada Hess Corp................................ 1,400 74,900
Cooper Cameron Corp.+............................ 600 49,125
Diamond Offshore Drilling Inc.+.................. 1,100 78,237
Dresser Industries, Inc.......................... 3,500 119,875
Global Marine, Inc.+............................. 3,300 74,250
Input/Output, Inc.+.............................. 200 3,550
Noble Drilling Corp.+............................ 3,000 65,250
Schlumberger Ltd................................. 4,600 547,975
Smith International, Inc.+....................... 800 41,900
Western Atlas, Inc.+............................. 1,100 74,525
------------
1,129,587
------------
TOTAL ENERGY................................... 7,345,848
------------
FINANCE (14.3%)
BANKING (7.4%)
Ahmanson, (H.F.) and Co.......................... 1,800 73,350
Alex Brown, Inc.................................. 600 40,200
Banc One Corp.................................... 10,000 432,500
BankBoston Corp.................................. 2,400 175,200
Bankers Trust New York Corp...................... 1,200 101,550
BB+T Corp........................................ 1,700 68,000
Central Fidelity Banks, Inc...................... 900 26,269
Charter One Financial, Inc....................... 800 37,450
Chase Manhattan Corp............................. 6,700 633,150
Citicorp......................................... 2,700 308,812
CoreStates Financial Corp........................ 3,900 206,212
Crestar Financial Corp........................... 1,900 72,200
Dime Bancorp, Inc................................ 1,800 30,600
First Chicago NBD Corp........................... 5,500 325,875
First Commerce Corp.............................. 600 27,037
First Hawaiian, Inc.............................. 200 7,087
First Tennessee National Corp.................... 1,000 45,000
First Union Corp................................. 4,700 403,612
First Virginia Banks, Inc........................ 500 28,000
Firstar Corp..................................... 2,600 77,675
Fleet Financial Group, Inc....................... 2,800 171,150
Golden West Financial Corp....................... 1,000 67,750
Great Western Financial Corp..................... 2,400 116,400
Hibernia Corp. - Class A......................... 2,200 29,150
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ----------- ------------
BANKING (CONTINUED)
Household International, Inc..................... 1,700 $ 167,025
Mercantile Bancorporation, Inc................... 1,301 76,747
NationsBank Corp.(a)............................. 13,400 788,925
North Fork Bancorporation, Inc................... 1,000 21,000
Old Kent Financial Corp.......................... 800 42,550
Pacific Century Financial Corp................... 700 32,200
PNC Bank Corp.................................... 1,200 50,250
Provident Bancorp, Inc.+......................... 400 16,000
Regions Financial Corp........................... 1,000 59,625
Republic New York Corp........................... 1,000 99,750
Signet Banking Corp.............................. 1,200 39,450
Southtrust Corp.................................. 1,700 66,300
TCF Financial Corp............................... 700 29,750
Union Planters Corp.............................. 1,100 51,975
United Carolina Bancshares, Inc.................. 1,500 66,937
Valley National Bancorp.......................... 600 16,200
Washington Federal, Inc.......................... 900 23,850
Washington Mutual, Inc........................... 2,200 122,237
Wells Fargo & Co................................. 1,500 395,250
Wilmington Trust Corp............................ 500 22,219
------------
5,692,469
------------
FINANCIAL SERVICES (2.8%)
Advanta Corp. - Class B.......................... 600 16,687
Associates First Capital Corp. - Class A......... 900 42,525
Bear Stearns Companies, Inc...................... 2,000 65,000
Beneficial Corp.................................. 1,100 70,675
Contifinancial Corp.+............................ 700 23,625
Edwards (A.G.), Inc.............................. 1,200 44,550
Federal Home Loan Mortgage Corporation........... 11,300 372,900
Federal National Mortgage Association............ 19,000 828,875
Finova Group, Inc................................ 500 37,250
First USA, Inc................................... 1,200 59,400
Money Store, Inc................................. 900 23,119
Morgan Stanley Dean Witter Discover & Co......... 3,400 140,250
Morgan Stanley Group, Inc........................ 4,500 303,750
Paine Webber Group Inc........................... 1,300 46,150
Salomon, Inc..................................... 1,900 101,887
------------
2,176,643
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
20
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ----------- ------------
<S> <C> <C>
INSURANCE (4.1%)
American General Corp............................ 4,900 $ 216,825
American International Group,
Inc............................................ 7,700 1,042,387
Chubb Corp....................................... 2,900 176,900
General Re Corporation........................... 1,400 245,350
Hartford Financial Services
Group, Inc..................................... 1,000 78,000
Lincoln National Corp............................ 2,500 152,187
Marsh & McLennan Companies, Inc.................. 1,600 210,800
MBIA, Inc........................................ 1,000 107,375
Mercury General Corp............................. 500 36,625
PMI Group, Inc................................... 800 43,900
Progressive Corp................................. 1,600 126,600
Providian Corp................................... 2,300 137,713
Safeco Corp...................................... 2,000 86,875
St. Paul Companies, Inc.......................... 1,400 100,275
Torchmark Corp................................... 1,100 72,188
Transamerica Corp................................ 1,600 145,400
Unum Corp........................................ 1,800 142,425
------------
3,121,825
------------
TOTAL FINANCE.................................. 10,990,937
------------
HEALTH CARE (10.7%)
HEALTH SERVICES (3.0%)
Aetna Inc........................................ 1,100 111,100
Apria Healthcare Group, Inc.+.................... 500 9,000
Columbia / HCA
Healthcare Corp.(a)............................ 25,200 922,950
Health Care & Retirement Corp.+.................. 2,100 71,400
Health Management
Associates, Inc. - Class A+.................... 3,500 102,375
Humana, Inc.+.................................... 7,800 176,475
Tenet Healthcare Corp.+.......................... 13,700 376,750
United Healthcare Corp........................... 8,900 502,850
------------
2,272,900
------------
MEDICAL SUPPLIES (0.4%)
Bard (C.R.), Inc................................. 1,900 60,800
Bausch & Lomb, Inc............................... 2,300 92,575
Biomet, Inc...................................... 3,600 67,275
Medtronic, Inc................................... 1,600 118,400
------------
339,050
------------
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ----------- ------------
<S> <C> <C>
PHARMACEUTICALS (7.3%)
Alza Corp.+...................................... 4,200 $ 123,900
American Home Products
Corp.(a)....................................... 17,300 1,319,125
Boston Scientific Corp.+......................... 4,300 229,513
Bristol-Myers Squibb Co.......................... 14,100 1,034,588
Forest Laboratories, Inc.+....................... 500 21,125
Johnson & Johnson................................ 2,700 161,663
Merck & Company, Inc............................. 5,400 485,325
Pfizer, Inc...................................... 4,800 493,800
Schering-Plough Corp............................. 9,900 898,425
Warner-Lambert Co................................ 7,300 735,475
Watson Pharmaceuticals, Inc.+.................... 2,100 82,556
------------
5,585,495
------------
TOTAL HEALTH CARE.............................. 8,197,445
------------
INDUSTRIAL PRODUCTS & SERVICES (9.4%)
BUILDING MATERIALS (0.2%)
Owens Corning.................................... 2,000 83,500
USG Corp.+....................................... 1,700 59,288
------------
142,788
------------
CAPITAL GOODS (0.7%)
Cummins Engine Company, Inc...................... 600 38,250
Eastman Kodak Co................................. 4,400 364,650
Eaton Corp....................................... 1,700 135,575
Foster Wheeler Corp.............................. 900 34,875
------------
573,350
------------
COMMERCIAL SERVICES (0.5%)
ADT Ltd.+........................................ 3,100 90,288
Ecolab, Inc...................................... 800 33,300
Service Corp. International...................... 7,100 250,275
------------
373,863
------------
DIVERSIFIED MANUFACTURING (5.9%)
AlliedSignal, Inc................................ 9,100 698,425
Cooper Industries, Inc........................... 2,700 137,700
General Electric Co.............................. 25,000 1,509,375
General Motors Corp. - Class H................... 11,900 655,988
ITT Industries, Inc.............................. 3,800 94,050
Johnson Controls, Inc............................ 3,100 131,363
Monsanto Co...................................... 1,000 44,000
Raychem Corp..................................... 1,400 103,775
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
21
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ----------- ------------
<S> <C> <C>
DIVERSIFIED MANUFACTURING (CONTINUED)
Tenneco, Inc. - New Shares....................... 4,500 $ 201,375
Tyco International Ltd........................... 4,600 292,100
Xerox Corp....................................... 10,100 684,275
------------
4,552,426
------------
ELECTRICAL EQUIPMENT (0.9%)
Emerson Electric Co.............................. 10,100 545,400
Grainger (W.W.), Inc............................. 1,200 96,300
National Service Industries Inc.................. 400 17,550
------------
659,250
------------
MACHINERY (0.3%)
Caterpillar, Inc................................. 1,600 156,200
Ingersoll-Rand Co................................ 1,900 103,550
------------
259,750
------------
MISCELLANEOUS (0.1%)
Fluor Corp....................................... 1,900 100,463
------------
MULTI - INDUSTRY (0.0%)*
Harnischfeger Industries, Inc.................... 700 30,013
------------
PACKAGING & CONTAINERS (0.1%)
Kimberly-Clark Corp.............................. 1,800 90,225
------------
POLLUTION CONTROL (0.7%)
Waste Management, Inc............................ 16,800 533,400
Wheelabrator Technologies, Inc................... 2,300 29,613
------------
563,013
------------
TOTAL INDUSTRIAL PRODUCTS & SERVICES........... 7,345,141
------------
TECHNOLOGY (15.5%)
AEROSPACE (2.1%)
Boeing Co........................................ 2,900 305,225
Coltec Industries, Inc.+......................... 2,800 54,950
McDonnell Douglas Corp........................... 16,300 1,049,313
Raytheon Co...................................... 3,500 167,125
------------
1,576,613
------------
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ----------- ------------
COMPUTER PERIPHERALS (0.3%)
Gateway 2000, Inc.+.............................. 1,700 $ 112,838
Quantum Corp.+................................... 1,500 58,406
Read-Rite Corp.+................................. 1,000 20,813
------------
192,057
------------
COMPUTER SOFTWARE (2.4%)
Adobe Systems, Inc............................... 400 17,913
Autodesk, Inc.................................... 700 27,256
Cabletron Systems, Inc.+......................... 2,600 109,928
Computer Associates
International, Inc............................. 5,000 273,750
Electronic Arts+................................. 1,100 35,200
Microsoft Corp.+................................. 7,600 942,875
Oracle Corp.+.................................... 9,800 457,538
------------
1,864,460
------------
COMPUTER SYSTEMS (4.4%)
Apple Computer, Inc.+............................ 800 13,350
Compaq Computer Corp.+........................... 6,500 703,625
Dell Computer Corp.+............................. 2,900 326,069
EMC Corp.+....................................... 6,100 243,238
International Business
Machines Corp.(a).............................. 20,000 1,730,000
Silicon Graphics, Inc.+.......................... 3,800 71,725
Sun Microsystems, Inc.+.......................... 8,600 277,888
------------
3,365,895
------------
ELECTRONICS (2.0%)
Bay Networks, Inc.+.............................. 4,700 115,150
Cisco Systems, Inc.+............................. 16,400 1,108,025
Harris Corp...................................... 900 79,763
Perkin-Elmer Corp................................ 2,100 159,600
Sensormatic Electronics Corp..................... 1,800 28,125
Symbol Technologies, Inc......................... 1,100 34,513
------------
1,525,176
------------
INFORMATION PROCESSING (0.8%)
Electronic Data System Corp...................... 5,700 213,038
First Data Corp.................................. 10,500 420,000
------------
633,038
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
22
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ----------- ------------
<S> <C> <C>
SEMICONDUCTORS (3.4%)
Applied Materials, Inc.+......................... 300 $ 19,556
Intel Corp.(a)................................... 13,900 2,104,981
National Semiconductor Corp.+.................... 3,300 92,813
Texas Instruments, Inc........................... 4,100 368,488
------------
2,585,838
------------
TELECOMMUNICATIONS (0.1%)
360 Communications Co.+.......................... 3,600 67,950
Airtouch Communications, Inc.+................... 400 11,150
Paging Network, Inc.+............................ 2,100 15,881
------------
94,981
------------
TOTAL TECHNOLOGY............................... 11,838,058
------------
TRANSPORTATION (1.3%)
AIRLINES (0.2%)
AMR Corp.+....................................... 1,200 119,250
Comair Holdings, Inc............................. 200 5,175
Southwest Airlines Co............................ 1,900 48,925
------------
173,350
------------
RAILROADS (1.0%)
Burlington Northern Santa Fe..................... 2,100 174,300
CSX Corp......................................... 3,600 190,800
Norfolk Southern Corp............................ 1,700 165,113
Union Pacific Corp............................... 3,300 223,575
------------
753,788
------------
TRUCK & FREIGHT CARRIERS (0.1%)
CNF Transportation, Inc.......................... 600 19,350
Consolidated Freightways Corp.+.................. 100 1,231
Ryder System, Inc................................ 1,000 33,125
------------
53,706
------------
TOTAL TRANSPORTATION........................... 980,844
------------
UTILITIES (8.1%)
ELECTRIC (2.2%)
Allegheny Power Systems, Inc..................... 2,100 54,863
American Electric Power Co....................... 2,900 118,175
Baltimore Gas & Electric Co...................... 400 10,500
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ----------- ------------
<S> <C> <C>
ELECTRIC (CONTINUED)
Central & South West Corp........................ 3,500 $ 74,375
Consolidated Edison Co. of New York, Inc......... 4,100 119,413
Dominion Resources, Inc.......................... 3,300 114,263
DTE Energy Co.................................... 2,500 66,563
Entergy Corp..................................... 4,200 110,775
GPU, Inc......................................... 600 21,000
Houston Industries, Inc.......................... 3,900 80,925
Illinova Corp.................................... 1,400 30,625
New England Electric System...................... 1,100 38,088
Northeast Utilities.............................. 2,300 20,988
Northern States Power Co......................... 1,800 88,200
P P & L Resources, Inc........................... 2,800 56,350
PECO Energy Co................................... 4,000 76,000
PG&E Corp........................................ 3,700 85,563
Pinnacle West Capital Corp....................... 1,400 41,125
Potomac Electric Power Co........................ 2,100 48,300
Southern Co...................................... 11,600 246,500
Unicom Corp...................................... 3,600 81,900
Union Electric Co................................ 1,700 62,263
Wisconsin Energy Corp............................ 1,900 45,838
------------
1,692,592
------------
TELEPHONE (5.9%)
AT & T Corp...................................... 30,200 1,113,625
Bell Atlantic Corp............................... 9,500 665,000
Frontier Corp.................................... 3,800 69,825
MCI Communications Corp.......................... 16,700 641,906
NYNEX Corp....................................... 2,400 129,000
SBC Communications, Inc.......................... 12,400 725,400
Sprint Corp...................................... 10,600 518,075
WorldCom, Inc.+.................................. 21,700 644,219
------------
4,507,050
------------
TOTAL UTILITIES................................ 6,199,642
------------
TOTAL COMMON STOCK (COST $69,043,984).......... 74,551,175
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
23
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- ------------------------------------------------- ----------- ------------
<S> <C> <C>
SHORT-TERM INVESTMENTS (1.7%)
REPURCHASE AGREEMENT (1.6%)
State Street Bank and Trust Company Repurchase
Agreement, dated 05/30/97 due 06/02/97,
proceeds $1,201,167 (collateralized by
$1,190,000 U.S. Treasury Note, 6.00%, due
05/31/98, valued at $1,226,062) (cost
$1,201,000).................................... $ 1,201,000 $ 1,201,000
------------
U.S. TREASURY OBLIGATIONS (0.1%)
United States Treasury Bills, 5.04% due 07/31/97
(a)............................................ 75,000 74,407
United States Treasury Bills, 5.08% due 07/17/97
(a)............................................ 50,000 49,682
------------
TOTAL U.S. TREASURY OBLIGATIONS................ 124,089
------------
TOTAL SHORT-TERM INVESTMENTS (COST
$1,325,045)................................... 1,325,089
------------
TOTAL INVESTMENTS (COST $70,369,029) (99.1%)..................
75,876,264
OTHER ASSETS IN EXCESS OF LIABILITIES (0.9%)..................
671,632
------------
NET ASSETS (100.0%)........................................... $ 76,547,896
------------
------------
</TABLE>
- ------------------------------
Note: For Federal Income Tax purposes, the cost of securities at May 31, 1997,
was substantially the same as the cost for financial statement purposes.
+ Non-income producing security.
* Less than 0.1%
ADR -- Securities whose value is determined or significantly influenced by
trading on exchanges not located in the United States or Canada. ADR after the
name of a foreign holding stands for American Depository Receipt, representing
ownership of foreign securities on deposit with a domestic custodian bank.
(a) Security is fully or partially segregated as collateral for futures
contracts. Total market value of collateral is $4,008,276.
The Accompanying Notes are an Integral Part of the Financial Statements.
24
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments at Value (Cost $70,369,029 ) $75,876,264
Cash 1,481,736
Receivable for Investments Sold 148,161
Dividends Receivable 148,695
Receivable for Expense Reimbursement 15,806
Variation Margin Receivable 10,200
Deferred Organization Expenses 9,168
Interest Receivable 334
-----------
Total Assets 77,690,364
-----------
LIABILITIES
Payable for Investments Purchased 1,056,352
Advisory Fee Payable 21,512
Custody Fee Payable 10,609
Organization Expenses Payable 8,000
Administrative Services Fee Payable 1,921
Accrued Trustees' Fees and Expenses 669
Administration Fee Payable 149
Fund Services Fee Payable 47
Accrued Expenses 43,209
-----------
Total Liabilities 1,142,468
-----------
NET ASSETS
Applicable to Investors' Beneficial Interests $76,547,896
-----------
-----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
25
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE PERIOD FROM DECEMBER 30, 1996 (COMMENCEMENT OF OPERATIONS) TO MAY 31,
1997
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Dividend Income (Net of Foreign Withholding Tax
of $4,054 ) $ 382,747
Interest Income 36,979
----------
Investment Income 419,726
EXPENSES
Advisory Fee $ 73,985
Professional Fees and Expenses 37,932
Custodian Fees and Expenses 37,450
Administrative Services Fee 6,614
Printing Expenses 3,667
Trustees' Fees and Expenses 876
Amortization of Organization Expense 832
Registration Fees 610
Fund Services Fee 607
Administration Fee 520
Miscellaneous 1,000
--------
Total Expenses 164,093
Less: Reimbursement of Expenses (68,970)
--------
NET EXPENSES 95,123
----------
NET INVESTMENT INCOME 324,603
NET REALIZED GAIN ON INVESTMENTS (including
$49,299 net realized loss from futures
contracts) 157,560
NET CHANGE IN UNREALIZED APPRECIATION OF
INVESTMENTS (including $184,345 net unrealized
appreciation from futures contracts) 5,691,580
----------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $6,173,743
----------
----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
26
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
FOR THE PERIOD DECEMBER 30, 1996 (COMMENCEMENT OF OPERATIONS) TO MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
INCREASE IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 324,603
Net Realized Gain on Investments 157,560
Net Change in Unrealized Appreciation of
Investments 5,691,580
-----------
Net Increase in Net Assets Resulting from
Operations 6,173,743
-----------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS
Contributions 72,972,888
Withdrawals (2,598,735)
-----------
Net Increase from Investors' Transactions 70,374,153
-----------
Total Increase in Net Assets 76,547,896
NET ASSETS
Beginning of Period --
-----------
End of Period $76,547,896
-----------
-----------
</TABLE>
- --------------------------------------------------------------------------------
SUPPLEMENTARY DATA
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
RATIOS TO AVERAGE NET ASSETS
Expenses 0.45%(a)
Net Investment Income 1.54%(a)
Decrease Reflected in Expense Ratio due to
Expense Reimbursement 0.33%(a)
Portfolio Turnover 20.47%(b)
Average Broker Commissions 0.0280
</TABLE>
- ------------------------
(a) Annualized.
(b) Not Annualized.
The Accompanying Notes are an Integral Part of the Financial Statements.
27
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
MAY 31, 1997
- --------------------------------------------------------------------------------
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
The Disciplined Equity Portfolio (the "Portfolio") is one of eight subtrusts
(portfolios) comprising The Series Portfolio (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 commenced operations on December 30, 1996. The Portfolio's
investment objective is to provide a high total return from a broadly
diversified portfolio of equity securities. The Declaration of Trust permits the
Trustees to issue an unlimited number of beneficial interests in the Portfolio.
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
exist 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 average of readily available closing bid
and asked prices on such exchanges. Securities listed on a foreign
exchange are valued at the last quoted sale price available before the
time when net assets are valued. Unlisted securities are valued at the
average of the quoted bid and asked prices in the over-the-counter market.
Securities or other assets for which market quotations are not readily
available are valued at fair value in accordance with procedures
established by the Portfolio's Trustees. Such procedures include the use
of independent pricing services, which use prices based upon yields or
prices of securities of comparable quality, coupon, maturity and type;
indications as to values from dealers; and general market conditions. All
portfolio securities with a remaining maturity of less than 60 days are
valued by the amortized cost method.
b)Securities transactions are recorded on a trade-date basis. Dividend
income is recorded on the ex-dividend date or as of the time that the
relevant ex-dividend date and amount become 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.
c)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
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
liquid 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 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
28
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
MAY 31, 1997
- --------------------------------------------------------------------------------
invests in futures contracts 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 or securities movements. The use of futures transactions
involves the risk of imperfect correlation of 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 period December 30, 1996 (commencement of
operations) to May 31, 1997 are summarized as follows:
<TABLE>
<CAPTION>
NUMBER OF PRINCIPAL AMOUNT
CONTRACTS OF CONTRACTS
--------- ----------------
<S> <C> <C>
Contracts opened................................. 16 $ 6,229,442
Contracts closed................................. (12) (4,712,587)
--------- ----------------
Contracts open at end of period.................. 4 $ 1,516,855
--------- ----------------
--------- ----------------
</TABLE>
SUMMARY OF OPEN CONTRACTS AT MAY 31, 1997
<TABLE>
<CAPTION>
NET UNREALIZED
CONTRACTS LONG APPRECIATION
-------------- --------------
<S> <C> <C>
S&P 500, expiring June 1997...................... 4 $ 184,345
-------------- --------------
Totals........................................... 4 $ 184,345
-------------- --------------
-------------- --------------
</TABLE>
d)The Portfolio intends to be treated as a partnership for federal income
tax purposes. As such, each investor in the Portfolio will be subject to
taxation 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.
e)The Portfolio's custodian takes possession of the collateral pledged for
investments in repurchase agreements on behalf of the Portfolio. It is the
policy of the Portfolio to value the underlying collateral daily on a
mark-to-market basis to determine that the value, including accrued
interest, is at least equal to the repurchase price plus accrued interest.
In the event of default of the obligation to repurchase, the Portfolio has
the right to liquidate the collateral and apply the proceeds in
satisfaction of the obligation. Under certain circumstances, in the event
of default or bankruptcy by the other party to the agreement, realization
and/or retention of the collateral or proceeds may be subject to legal
proceedings.
f)The Portfolio incurred organization expenses in the amount of $10,000.
Morgan Guaranty Trust Company of New York ("Morgan") has agreed to pay the
organization expenses of the Portfolio. The Portfolio has agreed to
reimburse Morgan for these costs which are being deferred and amortized on
a straight-line basis over a period not to exceed five years beginning
with the commencement of operations of the Portfolio.
g)Expenses incurred by the Series Portfolio with respect to any two or more
portfolios in the Series Portfolio 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.
29
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
MAY 31, 1997
- --------------------------------------------------------------------------------
2. TRANSACTIONS WITH AFFILIATES
a)The Portfolio has an Investment Advisory Agreement with Morgan. Under the
terms of the agreement, the Portfolio pays Morgan at an annual rate of
0.35% of the Portfolio's average daily net assets. For the period from
December 30, 1996 (commencement of operations) to May 31, 1997, such fees
amounted to $73,985.
b)The Portfolio has retained Funds Distributor, Inc. ("FDI"), a registered
broker-dealer, to serve as the co-administrator and exclusive placement
agent. Under a Co-Administration Agreement between FDI and the Portfolio,
FDI provides administrative services necessary for the operations of the
Portfolio, furnishes office space and facilities required for conducting
the business of the Portfolio and pays the compensation of the officers
affiliated with FDI. The Portfolio has agreed to pay FDI fees equal to its
allocable share of an annual complex-wide charge of $425,000 plus FDI's
out-of-pocket expenses. The amount allocable to the Portfolio is based on
the ratio of the Portfolio's net assets to the aggregate net assets of The
JPM Pierpont Funds, The JPM Institutional Funds, the Portfolio and the
other portfolios (the "Master Portfolios") in which The JPM Pierpont Funds
and The JPM Institutional Funds invest , JPM Series Trust and JPM Series
Trust II. For the period from December 30, 1996 (commencement of
operations) to May 31, 1997, the fee for these services amounted to $520.
c)The Portfolio has an Administrative Services Agreement (the "Services
Agreement") with Morgan under which Morgan is responsible for overseeing
certain aspects of the administration and operation of the Portfolio.
Under the Services Agreement, the Portfolio had agreed to pay Morgan a fee
equal to its allocable share of an annual complex-wide charge. This charge
is calculated daily based on the aggregate net assets of the Master
Portfolios and JPM Series Trust in accordance with the following annual
schedule: 0.09% on the first $7 billion of their aggregate average daily
net assets and 0.04% of their aggregate average daily net assets in excess
of $7 billion, less the complex-wide fees payable to FDI. The portion of
this charge payable by the Portfolio is determined by the proportionate
share that its net assets bear to the total net assets of the Master
Portfolios, other investors in the Master Portfolios for which Morgan
provides similar services, The JPM Pierpont Funds, The JPM Institutional
Funds, and JPM Series Trust. For the period from December 30, 1996
(commencement of operations) to May 31, 1997, the fee for these services
amounted to $6,614.
In addition, Morgan has agreed to reimburse the Portfolio to the extent
necessary to maintain the total operating expenses of the Portfolio at no
more than 0.45% of the average daily net assets of the Portfolio through
February 28, 1998. For the period from December 30, 1996 (commencement of
operations) to May 31, 1997, Morgan has agreed to reimburse the Portfolio
$68,970 for expenses under this agreement.
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 $607 for the period from December 30, 1996 (commencement of
operations) to May 31, 1997.
30
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
MAY 31, 1997
- --------------------------------------------------------------------------------
e)An aggregate annual fee of $75,000 is paid to each Trustee for serving as
a Trustee of The JPM Pierpont Funds, The JPM Institutional Funds, the
Master Portfolios and JPM Series Trust. The Trustees' Fees and Expenses
shown in the financial statements represents the Portfolio's allocated
portion of the total fees and expenses. Prior to April 1, 1997, the
aggregate annual Trustee fee was $65,000. The Portfolio's Chairman and
Chief Executive Officer also serves as Chairman of Group and received
compensation and employee benefits from Group in his role as Group's
Chairman. The allocated portion of such compensation and benefits included
in the Fund Services Fee shown in the financial statements was $122.
3. INVESTMENT TRANSACTIONS
Investment transactions (excluding short-term investments) for the period from
December 30, 1996 (commencement of operations) to May 31, 1997 were as follows:
COST OF PROCEEDS
PURCHASES FROM SALES
----------- -----------
$78,930,434 $10,094,782
31
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
To the Trustees and Investors of
The Disciplined Equity Portfolio
In our opinion, the accompanying statement of assets and liabilities, including
the schedule of investments, and the related statements of operation and of
changes in net assets and the supplementary data present fairly, in all material
respects, the financial position of The Disciplined Equity Portfolio (one of the
portfolios comprising part of The Series Portfolio, hereafter referred to as the
"Portfolio") at May 31, 1997, and the results of its operations, the changes in
its net assets and the supplementary data for the period December 30, 1996
(commencement of operations) to May 31, 1997, 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 May 31, 1997 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
July 21, 1997
32
