<PAGE>
THE INTERNATIONAL OPPORTUNITIES PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED)
MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ -------------
<S> <C> <C>
COMMON STOCK (88.8%)
ARGENTINA (1.1%)
Nobleza Piccardo (B Shares) (Food, Beverages &
Tobacco)....................................... 91,000 $ 485,267
Telecom Argentina Stet - France Telecom S.A.
(Spon. ADR) (Telecommunication Services)....... 11,600 619,150
YPF Sociedad Anonima (Spon. ADR)
(Oil-Production)............................... 21,000 630,000
-------------
1,734,417
-------------
AUSTRALIA (6.0%)
Amcor Ltd. (Packaging & Containers).............. 60,700 402,008
Broken Hill Proprietary Company Ltd. (Metals &
Mining)........................................ 89,700 1,287,700
CSR Ltd. (Building Materials).................... 243,400 893,088
E-mail Ltd. (Manufacturing)...................... 120,500 373,343
Fosters Brewing Group Ltd. (Food, Beverages &
Tobacco)....................................... 192,000 377,092
Mayne Nickless Ltd. (Commercial Services)........ 92,900 553,030
National Australia Bank Ltd. (Banking)........... 83,400 1,192,307
North Ltd. (Metals & Mining)..................... 107,100 409,279
Rio Tinto Ltd. (Metals & Mining)................. 56,400 924,421
Santos Ltd. (Oil-Production)..................... 93,000 380,883
Southcorp Holdings Ltd. (Food, Beverages &
Tobacco)....................................... 172,100 641,953
Westpac Banking Corporation Ltd. (Banking)....... 118,942 645,582
WMC Ltd. (Metals & Mining)....................... 217,900 1,408,288
-------------
9,488,974
-------------
AUSTRIA (0.5%)
Boehler Uddeholm AG (Metals & Mining)............ 3,100 233,968
Creditanstalt-Bankverein (Banking)............... 5,600 230,872
OMV AG (Oil-Production).......................... 3,000 379,617
-------------
844,457
-------------
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ -------------
<S> <C> <C>
BELGIUM (1.9%)
Credit Communal Holding/ Dexia (Banking)......... 2,150 $ 214,622
Delhaize Le Lion (Retail)........................ 2,900 144,539
Electrabel SA (Utilities)........................ 3,450 773,047
Fortis AG (Insurance)............................ 2,350 457,160
Groupe Bruxelles Lambert SA (Financial
Services)...................................... 2,550 406,992
Kredietbank NV (Banking)......................... 1,020 420,752
PetroFina SA (Oil-Production).................... 1,550 545,837
-------------
2,962,949
-------------
BRAZIL (1.0%)
Companhia Paranaense de Energia - Copel
(Electric)..................................... 26,000,000 383,404
Electrolux do Brasil SA (ADR) (Electric)......... 36,900 315,111
Iochpe-Maxion SA (Spon. ADR) (Diversified
Manufacturing)+................................ 139,200 357,257
Makro Atacadista SA (Spon. ADR) (Retail)......... 42,600 532,500
-------------
1,588,272
-------------
CANADA (2.9%)
Alcan Aluminium Ltd. (Metals & Mining)........... 6,400 229,675
Avenor, Inc. (Forest Products & Paper)........... 9,600 187,916
BCE Inc. (Telecommunication Services)............ 21,600 569,229
Hudson's Bay Co. (Retail)........................ 7,000 150,217
Imasco, Ltd. (Food, Beverages & Tobacco)......... 20,400 572,361
Laidlaw, Inc. (Pollution Control)................ 29,100 394,515
Magna International Inc. (Class A) (Automotive
Supplies)...................................... 14,500 777,908
National Bank of Canada (Banking)................ 40,000 471,240
Noranda Inc. (Metals & Mining)................... 21,300 475,619
Petro - Canada (Oil-Production).................. 45,600 793,423
-------------
4,622,103
-------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
17
<PAGE>
THE INTERNATIONAL OPPORTUNITIES PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ -------------
<S> <C> <C>
CHILE (1.0%)
Administradora de Fondos de Pensiones Provida SA
(ADR) (Banking)................................ 16,300 $ 334,150
Compania Cervecerias Unidas SA (ADR) (Food,
Beverages & Tobacco)........................... 24,300 575,606
Empresa Nacional de Electricidad SA (Spon. ADR)
(Utilities).................................... 34,000 765,000
-------------
1,674,756
-------------
CHINA (0.3%)
Tsingtao Brewery Co. Ltd. (Series B) (Food,
Beverages & Tobacco)+.......................... 1,102,000 444,439
-------------
COLOMBIA (0.3%)
Banco Industrial Colombiano SA (ADR) (Banking)... 24,600 433,575
-------------
CZECH REPUBLIC (0.3%)
Central European Media Entertainment Ltd.
(Entertainment, Leisure & Media)+.............. 9,700 225,525
Tabak A.S. (Food, Beverages & Tobacco)........... 900 208,365
-------------
433,890
-------------
DENMARK (0.2%)
A/S Det Ostasiatiske Kompagni (Diversified
Manufacturing)+................................ 14,000 351,553
-------------
FINLAND (0.8%)
Nokia AB (Telecommunications-Equipment).......... 12,344 807,455
Rautaruukki OY (K Shares) (Metals & Mining)...... 50,000 476,684
-------------
1,284,139
-------------
FRANCE (6.7%)
AXA (Insurance).................................. 9,593 575,265
Canal Plus SA (Broadcasting & Publishing)........ 2,300 390,420
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ -------------
<S> <C> <C>
FRANCE (CONTINUED)
Carrefour Supermarche SA (Retail)................ 500 $ 328,908
Christian Dior SA (Retail)....................... 1,987 312,113
Compagnie de Saint Gobain SA (Building
Materials)..................................... 4,771 659,983
Compagnie de Suez SA (Financial Services)........ 4,800 245,270
Compagnie Generale des Eaux (Utilities).......... 3,927 483,932
Credit Commercial de France SA (Banking)......... 5,737 243,062
Credit Local de France (Financial Services)...... 3,190 298,431
Elf Aquitaine SA (Oil-Services).................. 7,300 731,078
Erid Beghin Say SA (Insurance)................... 3,460 485,236
L'Air Liquide SA (Chemicals)..................... 3,400 522,261
Lagardere Groupe (Entertainment, Leisure &
Media)......................................... 13,900 409,654
Peugeot SA (Automotive).......................... 4,244 420,607
Pinault-Printemps-Redoute SA (Retail)............ 1,158 486,395
Promodes (Retail)................................ 1,350 458,085
Sanofi (Pharmaceuticals)......................... 4,500 391,305
SEITA (Food, Beverages & Tobacco)................ 14,500 494,282
SGS Thomson Microelectronics NV (Electronics)+... 8,700 708,504
Societe Generale (Banking)....................... 4,100 456,149
Synthelabo (Pharmaceuticals)..................... 3,800 445,197
Thomson CSF (Electronics)........................ 9,100 259,820
Total SA (Oil-Services).......................... 6,843 627,113
Usinor Sacilor (Metals & Mining)................. 17,287 259,838
-------------
10,692,908
-------------
GERMANY (7.1%)
Allgemeine Handelsgesellschaft der Verbraucher AG
(Retail)+...................................... 1,850 574,884
Allianz AG (Insurance)........................... 3,000 635,861
Bayer AG (Chemicals)............................. 35,600 1,382,829
Bayerische Hypotheken-und Wechsel Bank AG
(Banking)...................................... 26,850 854,037
Continental AG (Automotive)...................... 12,420 282,762
Daimler Benz AG (Automotive)..................... 5,390 415,573
Deutsche Bank AG (Banking)....................... 14,600 810,654
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
18
<PAGE>
THE INTERNATIONAL OPPORTUNITIES PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ -------------
<S> <C> <C>
GERMANY (CONTINUED)
Deutsche Telekom AG (Telecommunication
Services)...................................... 44,970 $ 999,297
Fried, Krupp AG Hoesch Krupp (Machinery)......... 3,520 650,108
Lufthansa AG (Airlines).......................... 23,800 379,698
Muenchener Rueckversicherungs-Gesellschaft AG
(Insurance).................................... 275 701,382
Papierwerke Waldhof-Aschaffenburg AG (Forest
Products & Paper).............................. 2,100 365,686
Schering AG (Pharmaceuticals).................... 5,480 551,354
Siemens AG (Electrical Equipment)................ 26,900 1,519,310
VEBA AG (Utilities).............................. 22,200 1,257,369
-------------
11,380,804
-------------
GREECE (0.7%)
National Mortgage Bank of Greece (Banking)....... 7,680 519,985
Silver & Baryte Ores Mining (Metals & Mining).... 30,700 568,936
-------------
1,088,921
-------------
HONG KONG (1.3%)
Cheung Kong Holdings Ltd. (Real Estate).......... 50,000 511,387
Dickson Concepts International Ltd. (Wholesale &
International Trade)........................... 88,000 329,353
Genting International PLC (Commercial
Services)...................................... 76,000 196,080
Guangdong Investment Ltd. (Holding Companies).... 464,000 613,794
HSBC Holdings PLC (Banking)...................... 14,000 424,596
-------------
2,075,210
-------------
HUNGARY (0.4%)
Magyar Olaj ES Gas (Natural Gas)................. 19,200 361,808
Polifarb Cieszyn SA (Chemicals).................. 35,600 201,722
-------------
563,530
-------------
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ -------------
INDIA (1.2%)
Indian Petrochemicals Corp. Ltd. (GDR)
(Chemicals)+................................... 36,400 $ 427,700
Larsen & Toubro Ltd. (GDR) (Diversified
Manufacturing)................................. 28,400 375,590
Steel Authority of India Ltd. (GDR) (Metals &
Mining)........................................ 89,200 724,750
Wockhardt Ltd. (GDR) (Pharmaceuticals)........... 62,500 437,500
-------------
1,965,540
-------------
INDONESIA (1.3%)
P.T. Multi Bintang Indonesia (Food, Beverages &
Tobacco)....................................... 45,000 823,227
P.T. Niaga Bank (Banking)........................ 207,000 595,683
P.T. Pabrik Kertas Tjiwi Kimia (Metals &
Mining)........................................ 278,000 282,857
P.T. Semen Cibinong (Building Materials)......... 139,000 347,143
-------------
2,048,910
-------------
IRELAND (1.8%)
Allied Irish Banks PLC (Banking)................. 88,000 671,009
Bank of Ireland PLC (Banking).................... 12,300 132,790
CRH PLC (Building Materials)..................... 27,200 268,186
Greencore Group PLC (Food, Beverages &
Tobacco)....................................... 18,400 94,461
Irish Life PLC (Insurance)....................... 74,300 381,436
Jefferson Smurfit Group PLC (Forest Products &
Paper)......................................... 256,000 703,503
Waterford Wedgwood PLC (Household Products)...... 436,900 560,732
-------------
2,812,117
-------------
ISRAEL (0.4%)
Teva Pharmaceutical Industries Ltd. (ADR)
(Pharmaceuticals).............................. 10,300 619,931
-------------
ITALY (3.6%)
Arnoldo Mondadori Editore SPA (Entertainment,
Leisure & Media)............................... 70,700 413,719
Banca Fideuram SPA (Financial Services).......... 147,700 381,080
ENI SPA (Oil-Services)........................... 210,000 1,048,883
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
19
<PAGE>
THE INTERNATIONAL OPPORTUNITIES PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ -------------
<S> <C> <C>
ITALY (CONTINUED)
Fiat SPA (Automotive)............................ 125,000 $ 410,436
Instituto Mobiliare Italiano SPA (Financial
Services)...................................... 57,000 499,314
Instituto Nazionale Delle Assicurazioni
(Insurance).................................... 651,000 900,425
Mediolanum SPA (Insurance)....................... 48,000 482,043
Montedison SPA (Chemicals)....................... 825,000 504,714
Telecom Italia SPA (Telecommunications).......... 377,000 1,039,546
-------------
5,680,160
-------------
JAPAN (14.8%)
Asahi Bank Ltd. (Banking)........................ 60,000 391,830
Asatsu Inc. (Commercial Services)................ 10,000 326,954
Ashikaga Bank Ltd. (Banking)..................... 148,000 488,973
Bank of Tokyo - Mitsubishi (Banking)............. 42,000 728,053
Canon Sales Co. Inc. (Miscellaneous)............. 21,000 481,164
Central Glass Co. Ltd. (Diversified
Manufacturing)................................. 55,000 160,002
Cosmo Oil Co. Ltd. (Oil-Production).............. 28,000 127,109
Dai Ichi Pharmaceutical Co. Ltd.
(Pharmaceuticals).............................. 47,000 806,659
Daiken Corp. (Forest Products & Paper)........... 78,000 468,549
Daiwa Bank Ltd. (Banking)........................ 83,000 325,504
DDI Corp. (Telecommunications)................... 62 462,353
Ebara Corp. (Machinery).......................... 40,000 580,108
Fuji Bank Ltd. (Banking)......................... 17,000 218,828
Fujitsu Ltd. (Computer Systems).................. 25,000 304,643
Hitachi Ltd. (Electrical Equipment).............. 76,000 808,719
Izumi Co. Ltd. (Retail).......................... 11,000 153,866
Izumiya Co. Ltd. (Retail)........................ 32,000 516,262
Japan Synthetic Rubber (Chemicals)............... 59,000 480,992
Japan Tobacco Inc. (Food, Beverages & Tobacco)... 90 688,149
Kyocera Corp. (Electronics)...................... 12,000 863,983
Matsushita Electric Industries Co. Ltd.
(Electronics).................................. 43,000 808,118
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ -------------
JAPAN (CONTINUED)
Mitsubishi Electric Corp. Ltd. (Electrical
Equipment)..................................... 106,000 $ 600,360
Mitsubishi Heavy Industries Ltd. (Machinery)..... 80,000 575,302
Mitsui Trust & Banking Co. Ltd. (Banking)........ 106,000 796,842
Nagase & Co. Ltd. (Wholesale & International
Trade)......................................... 39,000 264,061
Nippon Express Co. Ltd. (Transport & Services)... 54,000 419,377
Nippon Oil Co. (Oil-Production).................. 18,000 91,135
Nippon Steel Corp. (Metals & Mining)............. 211,000 617,446
Nippon Telegraph & Telephone Corp.
(Telecommunications)........................... 40 381,018
Nissan Motor Co. Ltd. (Automotive)............... 136,000 900,987
Nomura Securities Co. Ltd. (Financial
Services)...................................... 48,000 568,437
NSK Ltd. (Machinery)............................. 53,000 346,572
Rengo Co. Ltd. (Forest Products & Paper)......... 22,000 123,470
Ricoh Corp. Ltd. (Electrical Equipment).......... 15,000 196,945
Sakura Bank Ltd. (Banking)....................... 101,000 604,110
Seiren Co. Ltd. (Textiles)....................... 76,000 346,314
Sekisui Chemical Co. Ltd. (Chemicals)............ 75,000 778,769
Sony Corp. (Electronics)......................... 8,000 673,475
Sumitomo Forestry Co. Ltd. (Forest Products &
Paper)......................................... 31,000 337,853
Sumitomo Realty & Development Co. Ltd. (Building
Materials)..................................... 42,000 329,786
Taisei Corp. (Construction & Housing)............ 156,000 668,017
Takashimaya Co. Ltd. (Retail).................... 11,000 143,482
The Long-Term Credit Bank of Japan Ltd.
(Banking)...................................... 70,000 228,267
Tokio Marine & Fire Insurance Co. Ltd.
(Insurance).................................... 31,000 364,455
Tostem Corp. (Construction & Housing)............ 23,000 613,833
Toyo Tire & Rubber Co. (Automotive Supplies)..... 110,000 354,930
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
20
<PAGE>
THE INTERNATIONAL OPPORTUNITIES PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ -------------
<S> <C> <C>
JAPAN (CONTINUED)
Toyota Motor Corp. (Automotive).................. 48,000 $ 1,375,783
West Japan Railway Co. (Railroads)............... 180 673,475
-------------
23,565,319
-------------
MEXICO (1.6%)
Cemex SA de CV (Spon. ADR) (B Shares) (Building
Materials)..................................... 65,800 530,512
Cifra SA de CV (Unspon. ADR) (B Shares)
(Retail)....................................... 264,900 437,085
Empresas ICA Sociedad Controladora SA de CV
(Spon. ADR) (Construction & Housing)........... 22,700 329,150
Telefonos de Mexico SA de CV (Spon. ADR) (Class
L) (Telecommunications)........................ 27,646 1,226,791
-------------
2,523,538
-------------
NETHERLANDS (2.0%)
Aegon NV (Insurance)............................. 6,500 475,957
Heineken NV (Food, Beverages & Tobacco).......... 2,110 357,501
Koninklijke PTT Nederland NV
(Telecommunications)........................... 9,128 319,686
Philips Electronics NV (Electronics)............. 10,020 548,844
Royal Dutch Petroleum Co. (Oil-Services)......... 5,900 1,141,093
Unilever NV (Food, Beverages & Tobacco).......... 2,040 392,846
-------------
3,235,927
-------------
NEW ZEALAND (2.0%)
Brierley Investments Ltd. (Financial Services)... 325,000 303,020
Fletcher Challenge Building Division Ltd.
(Building Materials)........................... 105,000 293,697
Fletcher Challenge Paper Division Ltd. (Forest
Products & Paper).............................. 271,700 630,498
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ -------------
NEW ZEALAND (CONTINUED)
Lion Nathan Ltd. (Food, Beverages & Tobacco)..... 190,600 $ 500,220
Telecom Corporation of New Zealand
(Telecommunications)........................... 302,400 1,455,692
-------------
3,183,127
-------------
NORWAY (2.1%)
Kvaerner ASA (Series B) (Capital Goods).......... 10,800 561,729
Norsk Hydro ASA (Oil-Services)................... 18,000 900,790
Nycomed ASA (Series B) (Medical Supplies)........ 45,000 607,274
Storebrand ASA (A Shares) (Insurance)+........... 190,000 1,249,973
-------------
3,319,766
-------------
PAKISTAN (0.5%)
Adamjee Insurance Co. Ltd. (Insurance)........... 114,000 300,189
Hub Power Co. (GDR) (Utilities)+................. 22,200 512,820
-------------
813,009
-------------
PHILIPPINES (0.3%)
Ayala Land, Inc. (B Shares) (Real Estate)........ 252,500 201,043
Philippine National Bank (Banking)+.............. 42,487 280,293
-------------
481,336
-------------
POLAND (0.1%)
Przedsiebiorstwo Farmaceutyczne JELFA SA
(Pharmaceuticals)+............................. 6,400 124,212
-------------
PORTUGAL (0.3%)
Portugal Telecom SA (ADR) (Telecommunications)... 10,700 411,950
-------------
RUSSIA (0.5%)
Mosenergo (Spon. ADR) (Electric)................. 7,300 275,940
Tatneft (Spon. ADR) (144A) (Oil-Production)+..... 7,200 597,600
-------------
873,540
-------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
21
<PAGE>
THE INTERNATIONAL OPPORTUNITIES PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ -------------
<S> <C> <C>
SINGAPORE (1.4%)
Hotel Properties Ltd. (Restaurants & Hotels)..... 445,000 $ 762,667
Super Coffeemix Manufacturing Ltd. (Food,
Beverages & Tobacco)........................... 92,000 81,090
United Overseas Bank Ltd. (Banking).............. 101,000 1,038,598
Wong's Circuits Holdings Ltd.
(Semiconductors)+.............................. 194,000 345,320
-------------
2,227,675
-------------
SOUTH AFRICA (1.5%)
De Beers Consolidated Mines Ltd. (Centenary
Linked Units) (Metals & Mining)................ 14,700 514,778
Distillers Corporation (South Africa) Ltd. (Food,
Beverages & Tobacco)........................... 164,500 555,817
JD Group Ltd. (Retail)........................... 55,200 336,585
Pepkor Ltd. (Spon. ADR) (Retail)................. 35,300 387,040
Sasol Ltd. (Oil-Production)...................... 46,500 569,673
-------------
2,363,893
-------------
SOUTH KOREA (1.0%)
Korea Electric Power Corp. (ADR) (Electric)...... 18,300 331,687
Pohang Iron & Steel Co. Ltd. (ADR) (Metals &
Mining)........................................ 21,500 623,500
Samsung Electronics Co. Ltd. (GDR represents 1/2
non-voting preferred share) (144A)
(Electronics).................................. 25,040 691,104
-------------
1,646,291
-------------
SPAIN (2.4%)
Acerinox SA (Metals & Mining).................... 880 149,416
Banco Bilbao Vizcaya SA (Banking)................ 9,800 695,464
Banco Popular Espanol SA (Banking)............... 3,000 638,068
Hidroelectrica del Cantabrico SA (Electric)...... 13,700 535,486
Iberdrola SA (Electric).......................... 91,200 1,121,868
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ -------------
<S> <C> <C>
SPAIN (CONTINUED)
Repsol SA (Gas Exploration)...................... 16,000 $ 670,848
Vallehermoso SA (Real Estate).................... 500 12,648
-------------
3,823,798
-------------
SWEDEN (1.3%)
Avesta Sheffield AB (Metals & Mining)............ 55,000 601,371
Ericsson AB (B Shares) (Telecommunications-
Equipment)..................................... 8,700 306,204
Scania AB (B Shares) (Automotive)................ 30,000 830,726
SKF AB (Series B) (Metals & Mining).............. 15,000 347,430
-------------
2,085,731
-------------
SWITZERLAND (2.9%)
Georg Fischer AG (Automotive Supplies)........... 247 352,690
Liechtenstein Global Trust AG (Banking).......... 550 318,025
Nestle SA (Food, Beverages & Tobacco)............ 340 422,996
Novartis AG (Pharmaceuticals).................... 1,258 1,707,366
Roche Holding AG (Pharmaceuticals)............... 78 693,618
Union Bank of Switzerland (Banking).............. 433 475,034
Zurich Versicherungsgesellschaft (Insurance)..... 1,750 643,260
-------------
4,612,989
-------------
TAIWAN (1.0%)
Asia Cement Corp. (GDS) (Building Materials)..... 41,000 697,205
China Steel Corp. (Spon. GDR) (Metals &
Mining)........................................ 31,400 670,390
Macronix International Co. Ltd. (ADR)
(Semiconductors)+.............................. 15,000 278,437
-------------
1,646,032
-------------
THAILAND (0.6%)
Bangkok Bank Public Co. Ltd. (Banking)........... 60,300 532,342
Siam Cement Public Co. Ltd. (Building
Materials)..................................... 20,600 443,081
-------------
975,423
-------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
22
<PAGE>
THE INTERNATIONAL OPPORTUNITIES PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ -------------
<S> <C> <C>
TURKEY (0.2%)
Eregli Demir Ve Celik Fabrikalari AS (Metals &
Mining)........................................ 1,167,000 $ 157,088
Koc Holding AS (Multi - Industry)................ 248,000 52,710
Yapi Kredi Bankasi AS (Banking).................. 7,991,900 189,677
-------------
399,475
-------------
UNITED KINGDOM (11.0%)
Abbey National PLC (Banking)..................... 18,600 268,693
Allied Colloids Group PLC (Chemicals)............ 166,900 354,963
Amersham International PLC (Biotechnology)....... 9,000 204,664
BAT Industries PLC (Food, Beverages & Tobacco)... 52,400 469,352
British Airways PLC (Airlines)................... 35,400 411,192
British Petroleum Co. PLC (Oil-Services)......... 82,300 982,892
BTR PLC (Multi - Industry)....................... 92,600 301,472
Cadbury Schweppes PLC (Food, Beverages &
Tobacco)....................................... 96,400 864,253
EMI Group PLC (Entertainment, Leisure & Media)... 7,100 136,135
Flextech PLC (Broadcasting & Publishing)+........ 24,000 213,204
General Cable PLC (Broadcasting & Publishing)+... 85,100 190,736
Glaxo Wellcome PLC (Pharmaceuticals)............. 55,100 1,101,555
Glynwed International PLC (Metals & Mining)...... 101,600 443,801
Great Universal Stores PLC (Retail).............. 51,900 547,659
Guardian Royal Exchange PLC (Insurance).......... 160,600 735,676
Guinness PLC (Food, Beverages & Tobacco)......... 57,100 531,535
HSBC Holdings PLC (Banking)...................... 36,000 1,117,257
Kingfisher PLC (Retail).......................... 14,100 164,587
Lloyds TSB Group PLC (Banking)................... 54,000 543,095
Lucas Varity PLC (Automotive Supplies)........... 199,700 629,569
MEPC PLC (Real Estate)........................... 54,700 461,764
Racal Electronic PLC (Telecommunications-
Equipment)..................................... 102,900 388,876
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ -------------
<S> <C> <C>
UNITED KINGDOM (CONTINUED)
Rank Group PLC (Entertainment, Leisure &
Media)......................................... 73,400 $ 516,354
Reed International PLC (Broadcasting &
Publishing).................................... 21,600 212,379
RMC Group PLC (Building Materials)............... 29,200 436,151
Royal Bank of Scotland Group PLC (Banking)....... 88,700 873,581
Sainsbury (J.) PLC (Retail)...................... 77,200 443,310
Scottish Power PLC (Electric).................... 146,300 916,698
Sears PLC (Retail)............................... 285,100 360,312
Standard Chartered PLC (Banking)................. 12,000 190,430
United News & Media PLC (Broadcasting &
Publishing).................................... 23,000 291,241
Vodafone Group PLC (Telecommunications).......... 281,600 1,253,097
Zeneca Group PLC (Pharmaceuticals)............... 29,500 896,225
-------------
17,452,708
-------------
VENEZUELA (0.5%)
Compania Anonima Nacional Telefonos de Venezuela
(ADR) (Telecommunication Services)............. 23,700 879,863
-------------
TOTAL COMMON STOCK (COST $135,644,586)......... 141,437,157
-------------
CONVERTIBLE PREFERRED STOCK (0.2%)
PHILIPPINES (0.2%)
Philippine Long Distance Telephone Co. (GDS
represents 1 Series 2 convertible preferred
share) (Telecommunications) (cost $331,400).... 9,400 300,800
-------------
PREFERRED STOCK (3.8%)
AUSTRALIA (0.7%)
News Corporation Ltd. (Broadcasting &
Publishing).................................... 292,400 1,099,590
-------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
23
<PAGE>
THE INTERNATIONAL OPPORTUNITIES PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ -------------
<S> <C> <C>
BRAZIL (1.8%)
Companhia Acos Especiais Itabira (ADR) (Metals &
Mining)........................................ 135,000 $ 492,750
Telecomunicacoes Brasileiras SA (ADR)
(Telecommunications)........................... 14,180 1,947,977
Varig SA (Transportation)+....................... 220,000 406,550
-------------
2,847,277
-------------
GERMANY (1.3%)
CKAG Colonia Konzern AG (Insurance).............. 7,350 667,962
GEA AG (Machinery)............................... 1,510 610,884
RWE AG (Utilities)............................... 15,780 549,574
Volkswagen AG (Automotive)....................... 510 251,178
-------------
2,079,598
-------------
TOTAL PREFERRED STOCK (COST
$5,634,396)................................... 6,026,465
-------------
RIGHTS (0.0%)(1)
SOUTH KOREA (0.0%)(1)
Samsung Electronics, Expiring 07/01/97
(Electronics)+
(cost $0)...................................... 25,040 0
-------------
WARRANTS (0.3%)
GERMANY (0.3%)
Volkswagen AG, Expiring 10/27/98 (Automotive)+
(cost $420,379)................................ 1,670 562,032
-------------
<CAPTION>
PRINCIPAL
AMOUNT
------------
<S> <C> <C>
CONVERTIBLE BONDS (0.2%)
TAIWAN (0.2%)
Far Eastern Department Stores Ltd., 3.00% due
07/06/01 (Retail) (cost $249,518).............. $ 233,000 256,883
-------------
<CAPTION>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- ------------------------------------------------- ------------ -------------
<S> <C> <C>
SHORT-TERM INVESTMENTS (5.7%)
REPURCHASE AGREEMENT (5.5%)
State Street Bank and Trust Repurchase Agreement,
5.00% due 06/02/97, dated 5/30/97, proceeds
$8,819,673 (collateralized by U.S. Treasury
Note, 6.25% due 03/31/99, valued at
$8,999,019)(2)
(Banking)...................................... $ 8,816,000 $ 8,816,000
-------------
U.S. TREASURY OBLIGATIONS (0.2%)
United States Treasury Bills, 5.39% due
11/13/97(2)
(Government Obligations)....................... 350,000 341,683
-------------
TOTAL SHORT-TERM INVESTMENTS (COST
$9,157,683)................................... 9,157,683
-------------
TOTAL INVESTMENTS (COST $151,437,962) (99.0%)..................
157,741,020
OTHER ASSETS IN EXCESS OF LIABILITIES (1.0%)...................
1,600,103
-------------
NET ASSETS (100.0%)............................................ $ 159,341,123
-------------
-------------
</TABLE>
- ------------------------------
Note: Based on the cost of investments of $151,544,970 for Federal Income Tax
purposes at May 31, 1997, the aggregate gross unrealized appreciation and
depreciation was $9,079,130 and $2,883,080, respectively, resulting in net
unrealized appreciation of $6,196,050.
+ - Non-income producing securities.
1 - Less than 0.1%
2 - Security fully or partially segregated as collateral for futures contracts.
ADR - American Depository Receipt
GDR - Global Depository Receipt
GDS - Global Depository Shares
Spon. ADR - Sponsored ADR
Spon. GDR - Sponsored GDR
Unspon. ADR - Unsponsored ADR
144A - Securities restricted for resale to Qualified Institutional Buyers.
The Accompanying Notes are an Integral Part of the Financial Statements.
24
<PAGE>
THE INTERNATIONAL OPPORTUNITIES PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
MAY 31, 1997
- --------------------------------------------------------------------------------
INDUSTRY DIVERSIFICATION
<TABLE>
<CAPTION>
PERCENT OF
PORTFOLIO
-----------------
<S> <C>
Banking........................................... 18.0%
Metals & Mining................................... 7.5%
Food, Beverages & Tobacco......................... 6.1%
Insurance......................................... 5.7%
Telecommunications................................ 5.6%
Pharmaceutical.................................... 4.9%
Retail............................................ 4.3%
Automotive........................................ 3.5%
Oil - Services.................................... 3.4%
Building Materials................................ 3.1%
Chemicals......................................... 3.0%
Electronics....................................... 2.9%
Utilities......................................... 2.7%
Oil - Production.................................. 2.6%
Electric.......................................... 2.5%
Electrical Equipment.............................. 2.0%
Telecommunication Services........................ 1.9%
Forest Products & Paper........................... 1.8%
Machinery......................................... 1.8%
Financial Services................................ 1.7%
Broadcasting & Publishing......................... 1.5%
Automotive Supplies............................... 1.3%
Entertainment, Leisure & Media.................... 1.1%
Construction & Housing............................ 1.0%
Telecommunication - Equipment..................... 0.9%
Diversified Manufacturing......................... 0.8%
Real Estate....................................... 0.8%
Commercial Services............................... 0.7%
Multi-Industry.................................... 0.6%
Airlines.......................................... 0.5%
Restaurants & Hotels.............................. 0.5%
Railroads......................................... 0.4%
Gas Exploration................................... 0.4%
Semiconductors.................................... 0.4%
Hospital Supplies................................. 0.4%
Wholesale & International Trade................... 0.4%
Capital Goods..................................... 0.4%
Household Products................................ 0.4%
Miscellaneous..................................... 0.3%
Transport & Services.............................. 0.3%
Transportation.................................... 0.3%
Packaging & Containers............................ 0.3%
Pollution Control................................. 0.2%
Manufacturing..................................... 0.2%
Natural Gas....................................... 0.2%
Textiles & Apparel................................ 0.2%
Government Obligations............................ 0.2%
Computers - Systems............................... 0.2%
Biotechnology..................................... 0.1%
-----------------
100.0%
-----------------
-----------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
25
<PAGE>
THE INTERNATIONAL OPPORTUNITIES PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES (UNAUDITED)
MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments at Value (Cost $151,437,962) $157,741,020
Foreign Currency at Value (Cost $9,449,763) 9,422,987
Cash 194
Receivable for Investments Sold 1,356,208
Unrealized Appreciation of Forward Foreign
Currency Contracts 116,129
Dividends Receivable 390,099
Variation Margin Receivable 18,491
Deferred Organization Expenses 13,279
Interest Receivable 8,759
Other Assets 1,497
------------
Total Assets 169,068,663
------------
LIABILITIES
Payable for Investments Purchased 8,301,623
Unrealized Depreciation of Forward Foreign
Currency Contracts 1,282,758
Advisory Fee Payable 74,739
Custody Fee Payable 32,261
Organization Expenses Payable 12,000
Administrative Services Fee Payable 3,893
Administration Fee Payable 315
Accrued Trustees' Fees and Expenses 171
Fund Services Fee Payable 89
Accrued Expenses 19,691
------------
Total Liabilities 9,727,540
------------
NET ASSETS
Applicable to Investors' Beneficial Interests $159,341,123
------------
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
26
<PAGE>
THE INTERNATIONAL OPPORTUNITIES PORTFOLIO
STATEMENT OF OPERATIONS (UNAUDITED)
FOR THE PERIOD FROM FEBRUARY 26, 1997 (COMMENCEMENT OF OPERATIONS) TO MAY 31,
1997
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Dividend Income (Net of Foreign Withholding Tax
of $210,966 ) $ 865,109
Interest Income 212,442
----------
Investment Income 1,077,551
EXPENSES
Advisory Fee $ 173,166
Custodian Fees and Expenses 47,288
Professional Fees and Expenses 16,296
Administrative Services Fee 9,010
Printing Expenses 2,489
Amortization of Organization Expenses 721
Administration Fee 706
Fund Services Fee 698
Trustees' Fees and Expenses 359
Registration Fees 207
Insurance Expense 20
Miscellaneous 678
----------
Total Expenses 251,638
Less: Reimbursement of Expenses (874)
----------
NET EXPENSES 250,764
----------
NET INVESTMENT INCOME 826,787
NET REALIZED GAIN (LOSS) ON
Investment Transactions (including $43,001 net
realized gain from futures contracts) (219,518)
Foreign Currency Transactions 749,109
----------
Net Realized Gain 529,591
NET CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION) OF
Investments (including $54,096 net unrealized
appreciation from futures contracts) 6,357,154
Foreign Currency Contracts and Translations (1,186,119)
----------
Net Change in Unrealized Appreciation 5,171,035
----------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $6,527,413
----------
----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
27
<PAGE>
THE INTERNATIONAL OPPORTUNITIES PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE PERIOD
FROM
FEBRUARY 26,
1997
(COMMENCEMENT OF
OPERATIONS) TO
MAY 31, 1997
(UNAUDITED)
----------------
<S> <C>
INCREASE IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 826,787
Net Realized Gain on Investment and Foreign
Currency Transactions 529,591
Net Change in Unrealized Appreciation of
Investments and Foreign Currency Contracts and
Translations 5,171,035
----------------
Net Increase in Net Assets Resulting from
Operations 6,527,413
----------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS
Contributions 154,663,004
Withdrawals (1,849,294)
----------------
Net Increase from Investors' Transactions 152,813,710
----------------
Total Increase in Net Assets 159,341,123
NET ASSETS
Beginning of Period --
----------------
End of Period $ 159,341,123
----------------
----------------
</TABLE>
- --------------------------------------------------------------------------------
SUPPLEMENTARY DATA
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE PERIOD
FROM
FEBRUARY 26,
1997
(COMMENCEMENT OF
OPERATIONS) TO
MAY 31, 1997
(UNAUDITED)
----------------
<S> <C>
RATIOS TO AVERAGE NET ASSETS
Expenses 0.87%(a)
Net Investment Income 2.86%(a)
Decrease Reflected in Expense Ratio due to
Expense Reimbursement 0.00%(b)
Portfolio Turnover 13%
Average Broker Commissions $ 0.0066
</TABLE>
- ------------------------
(a) Annualized.
(b) Less than 0.01%.
The Accompanying Notes are an Integral Part of the Financial Statements.
28
<PAGE>
THE INTERNATIONAL OPPORTUNITIES PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
MAY 31, 1997
- --------------------------------------------------------------------------------
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
The International Opportunities 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 foreign companies in developed and, to a lesser extent, developing
markets. The Portfolio commenced operations on February 26, 1997. The
Declaration of Trust permits the Trustees to issue an unlimited number of
beneficial interests in the Portfolio.
Investments in foreign markets may involve certain considerations and risks not
typically associated with investments in the United States. Future economic and
political developments in foreign 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 expense are
translated at the
29
<PAGE>
THE INTERNATIONAL OPPORTUNITIES PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
MAY 31, 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 May 31,
1997, the Portfolio had open forward foreign currency contracts as
follows:
SUMMARY OF OPEN FORWARD FOREIGN CURRENCY CONTRACTS
<TABLE>
<CAPTION>
U.S. DOLLAR NET UNREALIZED
VALUE AT APPRECIATION/
PURCHASE CONTRACTS COST/PROCEEDS 5/31/97 (DEPRECIATION)
- ------------------------------------------------- ------------- ----------- --------------
<S> <C> <C> <C>
German Mark 6,658,876, expiring 7/16/97.......... $ 3,940,000 $ 3,917,205 $ (22,795)
Japanese Yen 812,899,730, expiring 7/16/97....... 6,885,000 7,023,924 138,924
</TABLE>
30
<PAGE>
THE INTERNATIONAL OPPORTUNITIES PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
MAY 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
U.S. DOLLAR NET UNREALIZED
VALUE AT APPRECIATION/
SALES CONTRACTS COST/PROCEEDS 5/31/97 (DEPRECIATION)
- ------------------------------------------------- ------------- ----------- --------------
<S> <C> <C> <C>
Australian Dollar 4,684,769, expiring 7/16/97.... $ 3,642,946 $ 3,568,413 $ 74,533
Belgian Franc 24,374,000, expiring 7/16/97....... 693,034 695,357 (2,323)
British Pound 5,073,976, expiring 7/16/97........ 8,280,236 8,296,884 (16,648)
French Franc 8,907,070, expiring 7/16/97......... 1,551,755 1,552,539 (784)
German Mark 8,696,619, expiring 7/16/97.......... 5,097,467 5,115,944 (18,477)
Irish Pound 411,158, expiring 7/16/97............ 637,896 620,171 17,725
Italian Lira 1,706,500,000, expiring 7/16/97..... 1,000,000 1,006,903 (6,903)
Japanese Yen 2,297,655,763, expiring 7/16/97..... 18,534,727 19,853,074 (1,318,347)
Malaysian Ringgit 2,700,000, expiring 7/16/97.... 1,075,372 1,072,088 3,284
New Zealand Dollar 1,744,778, expiring 7/16/97... 1,202,152 1,201,698 454
Swiss Franc 1,427,000, expiring 7/16/97.......... 1,000,000 1,015,272 (15,272)
--------------
Net Unrealized Depreciation on Forward Foreign
Currency Contracts.............................. $ (1,166,629)
--------------
--------------
</TABLE>
e)Futures -- A futures contract is an agreement to purchase/sell a specified
quantity of an underlying instrument at a specified future date or to
make/receive a cash payment based on the value of a securities index. The
price at which the purchase and sale will take place is fixed when the
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 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 period from February 26,
1997 (commencement of operations) to May 31, 1997, are summarized as
follows:
<TABLE>
<CAPTION>
PRINCIPAL AMOUNT
NUMBER OF CONTRACTS OF CONTRACTS
------------------- ----------------
<S> <C> <C>
Contracts opened................................. 46 $ 6,226,399
Contracts closed................................. (10) (899,025)
------------------- ----------------
Contracts open at end of period.................. 36 $ 5,327,374
------------------- ----------------
------------------- ----------------
</TABLE>
31
<PAGE>
THE INTERNATIONAL OPPORTUNITIES PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
MAY 31, 1997
- --------------------------------------------------------------------------------
SUMMARY OF OPEN CONTRACTS AT MAY 31, 1997
<TABLE>
<CAPTION>
NET UNREALIZED
APPRECIATION/
CONTRACTS LONG (DEPRECIATION)
-------------- --------------
<S> <C> <C>
Financial Times - Stock Exchange 100-Share
Index, expiring June 1997........................ 10 $ (25,805)
German Stock Exchange Index, expiring June
1997............................................ 6 14,733
Hang Seng Exchange Index, expiring June 1997..... 10 12,821
Tokyo Stock Exchange Index, expiring June 1997... 10 52,347
-------------- --------------
Totals........................................... 36 $ 54,096
-------------- --------------
-------------- --------------
</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 $14,000.
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.
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
0.60% of the Portfolio's average daily net assets. For the period from
February 26, 1997 (commencement of operations) to May 31, 1997, such fees
amounted to $173,166.
32
<PAGE>
THE INTERNATIONAL OPPORTUNITIES PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
MAY 31, 1997
- --------------------------------------------------------------------------------
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 Portfolio's
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
and JPM Series Trust II. For the period from February 26, 1997
(commencement of operations) to May 31, 1997, the fee for these services
amounted to $706.
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, The JPM Pierpont Funds, The JPM Institutional
Funds and JPM Series Trust. For the period from February 26, 1997
(commencement of operations) to May 31, 1997, the fee for these services
amounted to $9,010.
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 1.00% of the average daily net assets of the Portfolio through
March 30, 1998. For the period from February 26, 1997 (commencement of
operations) to May 31, 1997, Morgan has agreed to reimburse the Portfolio
$874 for expenses that exceeded this limit.
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 $698 for the period from February 26, 1997 (commencement of
operations) to 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 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 $140.
33
<PAGE>
THE INTERNATIONAL OPPORTUNITIES PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
MAY 31, 1997
- --------------------------------------------------------------------------------
3. INVESTMENT TRANSACTIONS
Investment transactions (excluding short-term investments) for the period from
February 26, 1997 (commencement of operations) to May 31, 1997 were as follows:
<TABLE>
<CAPTION>
COST OF PROCEEDS
PURCHASES FROM SALES
- ---------------------- -----------
<S> <C>
$154,796,272........... $12,253,454
</TABLE>
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