<PAGE>
THE EUROPEAN EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED)
JUNE 30, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ -------------
<S> <C> <C>
COMMON STOCK (89.6%)
BELGIUM (3.2%)
Arbed SA (Metals & Mining)....................... 15,690 $ 1,811,224
Banque Bruxelles Lambert SA (Banking)............ 4,970 1,258,053
Credit Communal Holding/Dexia (Banking).......... 23,960 2,575,949
Delhaize Le Lion (Retail)........................ 17,000 893,741
Electrabel SA (Utilities)........................ 23,200 4,975,576
Fortis AG (Insurance)............................ 17,264 3,568,053
Groupe Bruxelles Lambert SA (Multi - Industry)... 11,050 1,853,449
PetroFina SA (Oil-Production).................... 8,390 3,179,798
Solvay SA (Chemicals)............................ 2,300 1,356,328
-------------
21,472,171
-------------
FINLAND (0.9%)
Metra OY (Industrial)............................ 40,000 1,205,177
Rautaruukki OY (K Shares) (Metals & Mining)...... 174,200 1,827,769
UPM-Kymmene Corp. (Forest Products & Paper)...... 145,700 3,366,026
-------------
6,398,972
-------------
FRANCE (12.3%)
Alcatel Alsthom (Telecommunications-Equipment)... 9,198 1,153,092
AXA-UAP (Insurance).............................. 31,915 1,986,895
Canal Plus SA (Broadcasting & Publishing)........ 9,729 1,895,775
Carrefour Supermarche SA (Retail)................ 5,637 4,097,935
Christian Dior SA (Retail)....................... 13,030 2,152,825
Compagnie Bancaire SA (Financial Services)....... 10,144 1,292,061
Compagnie de Saint Gobain SA (Building
Materials)..................................... 33,281 4,858,137
Compagnie Generale de Geophysique, SA (Spon. ADR)
(Miscellaneous)+............................... 83,800 1,613,150
Compagnie Generale des Eaux (Utilities).......... 47,032 6,032,273
Credit Commercial de France SA (Banking)......... 29,100 1,234,198
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ -------------
<S> <C> <C>
FRANCE (CONTINUED)
Credit Local de France (Financial Services)...... 11,905 $ 1,159,893
Elf Aquitaine SA (Oil-Services).................. 66,700 7,202,905
Erid Beghin Say SA (Food, Beverages & Tobacco)... 14,200 2,128,451
Essilor International SA (Health Services)....... 3,600 971,906
Genset SA (ADR) (Biotechnology)+................. 88,400 1,723,800
Groupe Danone (Food, Beverages & Tobacco)........ 13,328 2,204,331
L'Air Liquide SA (Chemicals)..................... 17,368 2,760,095
Lagardere S.C.A. (Entertainment, Leisure &
Media)......................................... 49,850 1,449,410
Pathe SA (Entertainment, Leisure & Media)........ 7,500 1,489,541
Peugeot SA (Automotive).......................... 16,305 1,577,472
Pinault-Printemps-Redoute SA (Retail)............ 2,700 1,298,736
Promodes (Retail)................................ 11,070 4,316,045
Rhone-Poulenc (A Shares) (Chemicals)............. 51,875 2,120,616
Sanofi SA (Pharmaceuticals)...................... 36,935 3,623,708
Schneider SA (Electronics)....................... 20,625 1,098,888
SEITA (Food, Beverages & Tobacco)................ 71,700 2,271,562
SGS Thomson Microelectronics NV (Electronics)+... 25,077 1,981,920
Sidel SA (Machinery)............................. 21,800 1,689,509
Societe Generale (Banking)....................... 31,468 3,516,135
Synthelabo (Pharmaceuticals)..................... 19,650 2,560,452
Thomson CSF (Electronics)........................ 49,852 1,285,586
Total SA (Oil-Services).......................... 32,361 3,274,168
Union des Assurances Federales (Insurance)....... 16,260 1,913,776
Usinor Sacilor (Metals & Mining)................. 85,450 1,542,803
Valeo SA (Automotive)............................ 28,472 1,770,123
-------------
83,248,172
-------------
GERMANY (11.3%)
Allianz AG (Insurance)........................... 7,080 1,483,013
AVA Allgemeine Handelsgesellschaft der
Verbraucher AG (Retail)+....................... 5,576 1,587,169
BASF AG (Chemicals).............................. 77,540 2,867,923
Bayer AG (Chemicals)............................. 116,980 4,499,195
</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, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ -------------
<S> <C> <C>
GERMANY (CONTINUED)
Bayerische Hypotheken-und Wechsel Bank AG
(Banking)...................................... 189,126 $ 5,660,102
Bilfinger & Berger Bau AG (Construction &
Housing)....................................... 49,390 2,012,408
Continental AG (Automotive)...................... 228,060 5,667,033
Deutsche Bank AG (Banking)....................... 3,300 192,978
Deutsche Telekom AG (Utilities).................. 249,429 6,011,945
Douglas Holding AG (Retail)...................... 52,890 2,109,488
Dresdner Bank AG (Banking)....................... 135,280 4,681,334
Fried, Krupp AG Hoesch Krupp (Multi -
Industry)...................................... 22,540 4,410,898
Hannover Rueckversicherungs AG (Insurance)....... 24,469 1,699,105
Henkel KGaA (Chemicals).......................... 35,779 1,899,279
Lufthansa AG (Airlines).......................... 111,380 2,138,071
Muenchener Rueckversicherungs-Gesellschaft AG
(Insurance).................................... 2,327 6,530,162
Papierwerke Waldhof-Aschaffenburg AG (Forest
Products & Paper).............................. 8,350 1,427,978
SAP AG (Computer Software)....................... 29,020 5,828,868
Schering AG (Pharmaceuticals).................... 22,000 2,352,723
Siemens AG (Electrical Equipment)(1)............. 118,690 7,053,148
SKW Trostberg AG (Chemicals)..................... 86,600 2,927,197
VEBA AG (Utilities)(1)........................... 62,350 3,506,560
-------------
76,546,577
-------------
IRELAND (1.8%)
Allied Irish Banks PLC (Banking)................. 306,100 2,342,641
Bank of Ireland PLC (Banking).................... 172,800 1,889,989
CRH PLC (Building Materials)..................... 151,000 1,576,379
Elan Corp. PLC (Spon. ADR) (Pharmaceuticals)+.... 49,900 2,257,975
Greencore Group PLC (Food, Beverages &
Tobacco)....................................... 127,300 624,150
Irish Life PLC (Insurance)....................... 319,000 1,636,240
Jefferson Smurfit Group PLC (Forest Products &
Paper)......................................... 645,000 1,868,265
-------------
12,195,639
-------------
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ -------------
ITALY (5.8%)
Arnoldo Mondadori Editore SPA (Entertainment,
Leisure & Media)............................... 118,000 $ 681,023
Assicurazioni Generali SPA (Insurance)........... 99,000 1,797,884
Banca Fideuram SPA (Financial Services).......... 540,000 1,762,974
Banca Popolare di Bergamo Credito Varesino SPA
(Banking)...................................... 95,000 1,404,202
Edison SPA (Utilities)........................... 368,000 1,828,645
ENI SPA (Oil-Services)........................... 1,637,000 9,260,138
Fiat SPA (Automotive)............................ 787,000 2,830,702
Instituto Mobiliare Italiano SPA (Financial
Services)...................................... 117,000 1,052,072
Instituto Nazionale Delle Assicurazioni
(Insurance).................................... 2,195,000 3,341,199
Mediaset SPA (Broadcasting & Publishing)......... 392,000 1,662,227
Mediolanum SPA (Financial Services).............. 159,000 1,791,378
Montedison SPA (Multi - Industry)................ 3,254,000 2,145,747
Parmalat Finanziaria SPA (Food, Beverages &
Tobacco)....................................... 1,206,000 1,704,631
Stet Societa' Finanziaria Telefonica SPA
(Telecommunication Services)................... 447,000 1,549,985
Telecom Italia Mobile SPA (Telecommunication
Services)...................................... 1,440,000 2,572,789
Telecom Italia SPA (Telecommunications).......... 1,282,000 4,110,085
-------------
39,495,681
-------------
NETHERLANDS (5.9%)
Aegon NV (Insurance)............................. 32,384 2,264,359
Dutch State Mines NV (Chemicals)................. 13,457 1,341,358
Heineken NV (Food, Beverages & Tobacco).......... 5,800 991,670
ING Groep NV (Financial Services)................ 148,371 6,853,174
Koninklijke Hoogovens NV (Metals & Mining)....... 21,300 1,189,299
</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, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ -------------
<S> <C> <C>
NETHERLANDS (CONTINUED)
Koninklijke PTT Nederland NV
(Telecommunications)........................... 33,320 $ 1,309,453
Moeara Enim Petroleum MIJ NV (Oil-Services)...... 900 1,570,952
Moeara Enim Petroleum MIJ NV (New shares)
(Oil-Services)................................. 130 2,952,552
Philips Electronics NV (Electronics)............. 60,620 4,350,062
PolyGram NV (Entertainment, Leisure & Media)..... 13,600 714,941
Royal Dutch Petroleum Co. (Oil-Services)......... 175,760 9,158,829
Unilever NV (Food, Beverages & Tobacco).......... 27,740 5,850,069
Wolters Kluwer NV (Broadcasting & Publishing).... 13,988 1,706,270
-------------
40,252,988
-------------
NORWAY (1.9%)
Kvaerner ASA (Series B) (Capital Goods).......... 57,000 3,192,276
Norsk Hydro ASA (Oil-Services)................... 110,000 5,995,250
Nycomed ASA (Series B) (Medical Supplies)........ 71,800 1,029,806
Storebrand ASA (A Shares) (Insurance)+........... 480,000 2,865,262
-------------
13,082,594
-------------
PORTUGAL (0.8%)
Banco Comercial Portugues SA (Banking)........... 169,003 3,195,665
Banco Espirito Santo e Comercial de Lisboa SA
(Banking)...................................... 7,260 164,743
Banco Totta & Acores SA (Registered B)
(Banking)...................................... 113,400 1,897,203
Cimpor Cimentos de Portugal SA (Building
Materials)..................................... 5,820 135,808
Electricidade de Portugal SA (Electric).......... 12,300 226,003
-------------
5,619,422
-------------
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ -------------
SPAIN (2.3%)
Acerinox SA (Metals & Mining).................... 3,700 $ 694,615
Banco Bilbao Vizcaya SA (Banking)................ 41,000 3,336,981
Banco Popular Espanol SA (Banking)............... 7,940 1,948,962
Fuerzas Electric de Cataluna SA (Electric)....... 107,441 1,026,413
Hidroelectrica del Cantabrico SA (Electric)...... 38,600 1,569,510
Iberdrola SA (Electric).......................... 294,900 3,729,610
Repsol SA (Gas Exploration)...................... 53,600 2,270,537
Vallehermoso SA (Real Estate).................... 27,000 729,754
-------------
15,306,382
-------------
SWEDEN (2.3%)
Astra AB (B Shares) (Pharmaceuticals)............ 46,594 822,526
Autoliv, Inc. (SDR) (Automotive Supplies)+....... 26,610 1,023,808
Avesta Sheffield AB (Metals & Mining)............ 89,000 1,030,149
Ericsson AB (B Shares) (Telecommunications-
Equipment)..................................... 100,000 3,937,985
Incentive AB (B Shares) (Pharmaceuticals)........ 31,800 2,907,591
Scania AB (B Shares) (Automotive)................ 50,800 1,550,467
SKF AB (A Shares) (Capital Goods)................ 30,000 746,859
SKF AB (B Shares) (Capital Goods)................ 49,000 1,267,398
Svenska Handelsbanken (Banking).................. 70,000 2,226,999
-------------
15,513,782
-------------
SWITZERLAND (8.2%)
ABB AG (Machinery)............................... 530 803,443
Bell AG (Food, Beverages & Tobacco).............. 2,825 1,042,528
Georg Fischer AG (Automotive Supplies)........... 1,110 1,545,632
Holderbank Financiere Glaris AG (Building
Materials)..................................... 1,446 1,367,791
</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, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ -------------
<S> <C> <C>
SWITZERLAND (CONTINUED)
Julius Baer Holdings AG (Banking)................ 1,270 $ 1,947,011
Liechtenstein Global Trust AG (Banking).......... 3,920 2,406,558
Nestle SA (Food, Beverages & Tobacco)............ 4,200 5,548,719
Novartis AG (Pharmaceuticals).................... 10,490 16,794,362
Roche Holding AG (Pharmaceuticals)............... 1,029 9,320,537
Schweizerische Rueckversicherungs-Gesellschaft
(Insurance).................................... 2,328 3,297,541
Schweizerischer Bankverein (Banking)+............ 9,300 2,491,100
Societe Generale de Surveillance Holding SA
(Commercial Services).......................... 2,800 1,104,366
Union Bank of Switzerland (Banking).............. 4,500 5,154,851
Zurich Versicherungsgesellschaft (Insurance)..... 8,000 3,188,257
-------------
56,012,696
-------------
UNITED KINGDOM (32.9%)
Abbey National PLC (Banking)..................... 249,200 3,400,898
Allied Colloids Group PLC (Chemicals)............ 1,239,914 2,589,805
Allied Domecq PLC (Food, Beverages & Tobacco).... 400,000 2,875,911
Amersham International PLC (Biotechnology)....... 80,100 2,132,968
Bass PLC (Food, Beverages & Tobacco)............. 260,700 3,180,364
BAT Industries PLC (Food, Beverages & Tobacco)... 627,500 5,613,374
Britannic Assurance PLC (Insurance).............. 156,100 2,104,358
British Airways PLC (Airlines)................... 317,400 3,615,864
British Petroleum Co. PLC (Oil-Services)......... 843,017 10,480,662
British Telecommunications PLC
(Telecommunications)........................... 1,270,500 9,430,643
BTR PLC (Multi - Industry)....................... 942,800 3,224,506
Burmah Castrol PLC (Oil-Production).............. 128,800 2,177,917
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ -------------
UNITED KINGDOM (CONTINUED)
Cadbury Schweppes PLC (Food, Beverages &
Tobacco)....................................... 452,700 $ 4,038,379
Cobham PLC (Aerospace)........................... 188,500 2,266,632
Compass Group PLC (Food, Beverages & Tobacco).... 393,100 4,396,470
Courtaulds PLC (Chemicals)....................... 236,000 1,331,507
Dalgety PLC (Food, Beverages & Tobacco).......... 415,200 1,782,825
Energy Group PLC (Energy Source)................. 207,200 2,210,444
Flextech PLC (Broadcasting & Publishing)+........ 94,400 1,021,215
General Cable PLC (Broadcasting & Publishing)+... 386,600 1,048,772
General Electric Co. PLC (Electrical
Equipment)..................................... 379,800 2,269,244
Glaxo Wellcome PLC (Pharmaceuticals)(1).......... 890,000 18,404,252
Glynwed International PLC (Metals & Mining)...... 695,700 2,690,621
Great Universal Stores PLC (Retail).............. 404,000 4,098,140
Guardian Royal Exchange PLC (Insurance).......... 741,300 3,349,620
Guinness PLC (Food, Beverages & Tobacco)......... 312,600 3,059,131
Hanson PLC (Building Materials).................. 295,200 1,464,079
Hillsdown Holdings PLC (Food, Beverages &
Tobacco)....................................... 838,000 2,363,989
HSBC Holdings PLC (Banking)...................... 11,700 346,559
HSBC Holdings PLC (75p) (Banking)................ 517,000 15,905,289
Hyder PLC (Water)................................ 122,116 1,646,226
Kingfisher PLC (Retail).......................... 281,600 3,196,309
Lloyds TSB Group PLC (Banking)................... 1,204,960 12,373,414
Lucas Varity PLC (Automotive Supplies)........... 934,100 3,233,616
Medeva PLC (Pharmaceuticals)..................... 300,400 1,284,887
MEPC PLC (Real Estate)........................... 443,100 3,626,418
Norwich Union PLC (Insurance)+................... 179,083 947,792
Pilkington PLC (Building Materials).............. 897,700 2,061,779
Premier Farnell PLC (Electronics)................ 185,000 1,437,872
Prudential Corp. PLC (Insurance)................. 340,000 3,321,158
</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, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ -------------
<S> <C> <C>
UNITED KINGDOM (CONTINUED)
Racal Electronic PLC (Telecommunications-
Equipment)..................................... 644,800 $ 2,575,538
Rank Group PLC (Entertainment, Leisure &
Media)......................................... 579,300 3,668,512
Reed International PLC (Broadcasting &
Publishing).................................... 367,000 3,542,630
RMC Group PLC (Building Materials)............... 162,000 2,623,370
Rolls-Royce PLC (Aerospace)...................... 356,000 1,356,804
Royal Bank of Scotland Group PLC (Banking)....... 335,900 3,141,797
RTZ Corp. PLC (Metals & Mining).................. 142,065 2,474,333
Safeway PLC (Retail)............................. 296,500 1,714,791
Sainsbury (J.) PLC (Retail)...................... 832,841 5,045,396
Scottish Power PLC (Electric).................... 1,000,200 6,492,070
Sears PLC (Retail)............................... 2,253,000 2,549,775
Shell Transport & Trading Co. PLC
(Oil-Services)................................. 441,300 3,011,269
SmithKline Beecham PLC (Pharmaceuticals)......... 149,350 2,747,867
Standard Chartered PLC (Banking)................. 121,800 1,856,840
Tomkins PLC (Multi - Industry)................... 594,000 2,570,346
United News & Media PLC (Broadcasting &
Publishing).................................... 350,800 4,066,422
Vickers PLC (Capital Goods)...................... 760,300 2,581,350
Vodafone Group PLC (Telecommunications).......... 1,353,800 6,601,671
Wessex Water PLC (Water)......................... 274,100 1,856,672
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ -------------
UNITED KINGDOM (CONTINUED)
Willis Corroon Group PLC (Insurance)............. 580,800 $ 1,237,281
Zeneca Group PLC (Pharmaceuticals)............... 171,000 5,652,065
-------------
223,370,708
-------------
TOTAL COMMON STOCK (COST $479,894,194)......... 608,515,784
-------------
PREFERRED STOCK (2.0%)
GERMANY (2.0%)
CKAG Colonia Konzern AG (Insurance)(1)........... 26,600 2,243,973
GEA AG (Machinery)............................... 3,010 1,167,702
Jungheinrich AG (Machinery)...................... 11,350 1,869,375
MAN AG (Capital Goods)........................... 4,890 1,240,366
RWE AG (Utilities)............................... 198,260 6,906,254
Volkswagen AG (Automotive)....................... 70 39,368
-------------
13,467,038
-------------
TOTAL PREFERRED STOCK (COST $12,415,633)....... 13,467,038
-------------
WARRANTS (1.6%)
GERMANY (1.6%)
Allianz AG, Expiring 02/23/98 (Insurance)+....... 12,190 1,157,765
Muenchener Rueckversicherungs-Gesellschaft AG,
Expiring 03/13/98 (Insurance)+................. 1,200 423,521
Veba International Finance, Expiring 04/06/98
(Utilities)+................................... 7,640 2,678,881
Volkswagen AG, Expiring 10/27/98 (Automotive)+... 14,790 6,204,464
-------------
10,464,631
-------------
TOTAL WARRANTS (COST $4,053,561)............... 10,464,631
-------------
</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, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- ------------------------------------------------- ------------ -------------
<S> <C> <C>
CONVERTIBLE BONDS (0.0%)(2)
(IN DEM)
------------
GERMANY (0.0%)(2)
Commerzbank AG, 8.00% due 06/01/07 (Banking)
(cost $2,395).................................. 3,000 $ 2,535
-------------
SHORT-TERM INVESTMENTS (5.0%)
REPURCHASE AGREEMENT (0.5%)
State Street Bank and Trust Repurchase Agreement,
5.00% due 07/01/97, dated 06/30/97, proceeds
$3,045,423 (collateralized by U.S. Treasury
Note, 5.875% due 08/15/98, valued at
$3,106,129)(1) (Banking)....................... $ 3,045,000 3,045,000
-------------
TIME DEPOSITS--FOREIGN (4.3%)
State Street Bank Cayman Islands, 5.25% due
07/01/97 (Banking)............................. 29,455,000 29,455,000
-------------
<CAPTION>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- ------------------------------------------------- ------------ -------------
<S> <C> <C>
U.S. TREASURY OBLIGATIONS (0.2%)
United States Treasury Bills, 5.30% due
11/13/97(1) (Government Obligations)........... $ 1,500,000 $ 1,470,760
-------------
TOTAL SHORT-TERM INVESTMENTS (COST
$33,970,845).................................. 33,970,760
-------------
TOTAL INVESTMENTS
(COST $530,336,628) (98.2%).................................. 666,420,748
OTHER ASSETS IN EXCESS OF
LIABILITIES (1.8%)........................................... 12,434,054
-------------
NET ASSETS (100.0%)............................................ $ 678,854,802
-------------
-------------
</TABLE>
- ------------------------------
Note: Based on the cost of investments of $531,088,833 for Federal Income Tax
purposes at June 30, 1997, the aggregate gross unrealized appreciation and
depreciation was $146,717,603 and $11,385,688, respectively, resulting in net
unrealized appreciation of $135,331,915.
+ - Non-income producing securities.
1 - Security fully or partially segregated as collateral for futures contracts.
2 - Less than 0.1%
ADR - American Depository Receipt
SDR - Swedish Depository Receipt
Spon. ADR - Sponsored ADR
The Accompanying Notes are an Integral Part of the Financial Statements.
22
<PAGE>
THE EUROPEAN EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
JUNE 30, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INDUSTRY DIVERSIFICATION
PERCENT OF
PORTFOLIO
----------
<S> <C>
Banking.......................................................... 17.9%
Pharmaceuticals.................................................. 10.3%
Oil-Services..................................................... 7.9%
Insurance........................................................ 7.6%
Food, Beverages & Tobacco........................................ 7.4%
Retail........................................................... 5.0%
Utilities........................................................ 4.8%
Chemicals........................................................ 3.6%
Telecommunications............................................... 3.2%
Automotive....................................................... 2.9%
Broadcasting & Publishing........................................ 2.2%
Multi-Industry................................................... 2.1%
Building Materials............................................... 2.1%
Financial Services............................................... 2.1%
Metals & Mining.................................................. 2.0%
Electric......................................................... 2.0%
Electronics...................................................... 1.5%
Electrical Equipment............................................. 1.4%
Capital Goods.................................................... 1.4%
Entertainment, Leisure & Media................................... 1.2%
Telecommunications-Equipment..................................... 1.2%
Forest Products & Paper.......................................... 1.0%
Computer Software................................................ 0.9%
Automotive Supplies.............................................. 0.9%
Airlines......................................................... 0.9%
Machinery........................................................ 0.8%
Oil-Production................................................... 0.8%
Real Estate...................................................... 0.7%
Telecommunication Services....................................... 0.6%
Biotechnology.................................................... 0.6%
Aerospace........................................................ 0.5%
Water............................................................ 0.5%
Gas Exploration.................................................. 0.3%
Energy Sources................................................... 0.3%
Construction & Housing........................................... 0.3%
Miscellaneous.................................................... 0.2%
Government Obligations........................................... 0.2%
Industrial....................................................... 0.2%
Commercial Services.............................................. 0.2%
Hospital Supplies................................................ 0.2%
Health Services.................................................. 0.1%
----------
100.0%
----------
----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
23
<PAGE>
THE EUROPEAN EQUITY PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES (UNAUDITED)
JUNE 30, 1997
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments at Value (Cost $530,336,628) $666,420,748
Foreign Currency at Value (Cost $9,729,207) 9,669,004
Cash 902
Receivable for Investments Sold 16,143,691
Dividends Receivable 1,909,942
Deferred Organization Expenses 18,313
Interest Receivable 4,850
Prepaid Trustees' Fees 650
------------
Total Assets 694,168,100
------------
LIABILITIES
Payable for Investments Purchased 14,242,507
Variation Margin Payable 420,198
Advisory Fee Payable 359,402
Custody Fee Payable 222,078
Administrative Services Fee Payable 17,167
Organization Expenses Payable 5,228
Administration Fee Payable 1,710
Fund Services Fee Payable 568
Accrued Expenses 44,440
------------
Total Liabilities 15,313,298
------------
NET ASSETS
Applicable to Investors' Beneficial Interests $678,854,802
------------
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
24
<PAGE>
THE EUROPEAN EQUITY PORTFOLIO
STATEMENT OF OPERATIONS (UNAUDITED)
FOR THE SIX MONTHS ENDED JUNE 30, 1997
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Dividend Income (Net of Foreign Withholding Tax
of $2,495,681) $ 8,646,999
Interest Income (Net of Foreign Withholding Tax
of $43) 798,749
-----------
Investment Income 9,445,748
EXPENSES
Advisory Fee $ 2,157,335
Custodian Fees and Expenses 518,851
Administrative Services Fee 103,914
Professional Fees and Expenses 25,418
Fund Services Fee 11,180
Administration Fee 8,210
Trustees' Fees and Expenses 5,135
Printing Expenses 3,864
Amortization of Organization Expenses 3,311
Insurance Expense 675
Miscellaneous 199
-----------
Total Expenses 2,838,092
-----------
NET INVESTMENT INCOME 6,607,656
NET REALIZED GAIN (LOSS) ON
Investment Transactions (including $2,611,029
net realized gain from futures contracts) 48,195,997
Foreign Currency Transactions (474,684)
-----------
Net Realized Gain 47,721,313
NET CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION) OF
Investments (including $225,844 net unrealized
depreciation from futures contracts) 23,874,249
Foreign Currency Contracts and Translations (61,760)
-----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
25
<PAGE>
<TABLE>
<S> <C> <C>
Net Change in Unrealized Appreciation 23,812,489
-----------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $78,141,458
-----------
-----------
</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 SIX
MONTHS ENDED FOR THE FISCAL
JUNE 30, 1997 YEAR ENDED
(UNAUDITED) DECEMBER 31, 1996
------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 6,607,656 $ 9,485,132
Net Realized Gain on Investment and Foreign
Currency Transactions 47,721,313 28,212,359
Net Change in Unrealized Appreciation of
Investments and Foreign Currency Translations 23,812,489 75,161,064
------------- -----------------
Net Increase in Net Assets Resulting from
Operations 78,141,458 112,858,555
------------- -----------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS
Contributions 118,363,590 276,685,442
Withdrawals (207,719,394) (131,367,814)
------------- -----------------
Net Increase (Decrease) from Investors'
Transactions (89,355,804) 145,317,628
------------- -----------------
Total Increase (Decrease) in Net Assets (11,214,346) 258,176,183
NET ASSETS
Beginning of Period 690,069,148 431,892,965
------------- -----------------
End of Period $ 678,854,802 $ 690,069,148
------------- -----------------
------------- -----------------
</TABLE>
- --------------------------------------------------------------------------------
SUPPLEMENTARY DATA
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE PERIOD
MARCH 28, 1995
FOR THE FOR THE FISCAL (COMMENCEMENT OF
SIX MONTHS ENDED YEAR ENDED OPERATIONS) TO
JUNE 30, 1997 DECEMBER 31, DECEMBER 31,
(UNAUDITED) 1996 1995
---------------- ---------------- ----------------
<S> <C> <C> <C>
RATIOS TO AVERAGE NET ASSETS
Expenses 0.86%(a) 0.84% 0.90%(a)
Net Investment Income 1.99%(a) 1.65% 1.67%(a)
Portfolio Turnover 33%(b) 57% 36%(b)
Average Broker Commissions $0.0270 $0.0230 --
</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, 1997
- --------------------------------------------------------------------------------
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
The European 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, 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 Declaration of the 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
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 at amortized cost.
Trading in securities on most foreign exchanges and over-the-counter
markets is normally completed before the close of the domestic market and
may also take place on days on which the domestic market is closed. If
events materially affecting the value of foreign securities occur between
the time when the exchange on which they are traded closes and the time
when the Portfolio's net assets are calculated, such securities will be
valued at fair value in accordance with procedures established by and
under the general supervision of the Portfolio's Trustees.
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 foreign currency contracts are translated at the prevailing exchange
rates at the end of the period. Purchases, sales, income and expenses are
translated at the
27
<PAGE>
THE EUROPEAN EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
JUNE 30, 1997
- --------------------------------------------------------------------------------
exchange rates prevailing on the respective dates of such transactions.
Translation gains and losses resulting from changes in exchange rates
during the reporting period and gains and losses realized upon settlement
of foreign currency transactions are reported in the Statement of
Operations.
Although the net assets of the Portfolio are presented at the exchange
rates and market values prevailing at the end of the period, the
Portfolio does not isolate the portion of the results of operations
arising as a result of changes in foreign exchange rates from the
fluctuations arising from changes in the market prices of securities
during the period.
c) Securities transactions are recorded on a trade date basis. Dividend
income is recorded on the ex-dividend date or 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.
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 foreign currency
translations. At June 30, 1997, the Portfolio had no open forward foreign
currency contracts.
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 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 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 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
28
<PAGE>
THE EUROPEAN EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
JUNE 30, 1997
- --------------------------------------------------------------------------------
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
for the six months ended June 30, 1997, are summarized as follows:
<TABLE>
<CAPTION>
NUMBER OF PRINCIPAL AMOUNT
CONTRACTS OF CONTRACTS
--------- ----------------
<S> <C> <C>
Contracts opened................................. 705 $ 106,402,181
Contracts closed................................. (563) (77,030,827)
--------- ----------------
Contracts open at end of period.................. 142 $ 29,371,354
--------- ----------------
--------- ----------------
</TABLE>
SUMMARY OF OPEN CONTRACTS AT JUNE 30, 1997
<TABLE>
<CAPTION>
NET UNREALIZED
APPRECIATION/
CONTRACTS LONG (DEPRECIATION)
-------------- --------------
<S> <C> <C>
Financial Times-Stock Exchange 100-Share Index,
expiring September 1997......................... 66 $ (393,268)
German Stock Exchange Index, expiring September
1997............................................ 76 167,424
-------------- --------------
Totals........................................... 142 $ (225,844)
-------------- --------------
-------------- --------------
</TABLE>
f) 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.
g) The Portfolio intends to be treated as a partnership for federal income
tax purposes. As such, each investor in the Portfolio will be taxed 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.
h) The Portfolio incurred organization expenses in the amount of $33,000.
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 will be
amortized on a straight-line basis over a period not to exceed five years
beginning with the commencement of operations of the Portfolio.
i) 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 EUROPEAN EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
JUNE 30, 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
0.65% of the Portfolio's average daily net assets. For the six months
ended June 30, 1997 such fees amounted to $2,157,335.
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 in which The JPM Pierpont Funds and
The JPM Institutional Funds invest (the "Master Portfolios"), JPM Series
Trust, JPM Series Trust II and certain other investment companies subject
to similar agreements with FDI. For the six months ended June 30, 1997,
the fee for these services amounted to $8,210.
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 has 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 average daily 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 its net assets bear to the net
assets of the Master Portfolios, other investors in the Master Portfolios
for which Morgan provides similar services and JPM Series Trust. For the
six months ended June 30, 1997, the fee for these services amounted to
$103,914.
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 $11,180 for the six months ended June 30, 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 also serves as Chairman of Group and receives
compensation and employee benefits from Group in his role as Group's
Chairman. The allocated portion of such compensation and benefits
included in the Fund Services Fee shown in the financial statements was
$2,300.
30
<PAGE>
THE EUROPEAN EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
JUNE 30, 1997
- --------------------------------------------------------------------------------
3. INVESTMENT TRANSACTIONS
Investment transactions (excluding short-term investments) for the six months
ended June 30, 1997 were as follows:
COST OF PROCEEDS
PURCHASES FROM SALES
------------ ------------
$213,986,877 $291,276,027
31
