<PAGE>
THE U.S. SMALL COMPANY OPPORTUNITIES PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED)
NOVEMBER 30, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ----------- -----------
<S> <C> <C>
COMMON STOCKS (90.3%)
BASIC INDUSTRIES (1.5%)
AGRICULTURE (0.8%)
Dekalb Genetics Corp., Class B................... 9,800 $ 380,975
Delta & Pine Land Co............................. 14,933 393,867
-----------
774,842
-----------
FOREST PRODUCTS & PAPER (0.2%)
Universal Forest Products, Inc.+................. 11,200 169,400
-----------
METALS & MINING (0.5%)
Mueller Industries, Inc.+........................ 10,000 465,625
-----------
TOTAL BASIC INDUSTRIES......................... 1,409,867
-----------
CONSUMER GOODS & SERVICES (23.9%)
APPARELS & TEXTILES (1.3%)
Ashworth, Inc.+.................................. 28,000 301,875
Genesco, Inc.+................................... 52,700 685,100
Nautica Enterprises, Inc.+....................... 8,100 227,559
-----------
1,214,534
-----------
AUTOMOTIVE (0.1%)
Sonic Automotive, Inc.+.......................... 5,100 53,550
-----------
BROADCASTING & PUBLISHING (2.4%)
Hearst-Argyle Television, Inc.+.................. 30,000 885,000
Journal Register Co.+............................ 39,000 660,562
Univision Communications, Inc.+.................. 11,100 738,844
-----------
2,284,406
-----------
EDUCATION (4.2%)
Advantage Learning Systems, Inc.+................ 12,000 278,250
Bright Horizons, Inc.+........................... 5,300 83,475
CBT Group PLC (ADR)+............................. 8,200 580,662
Children's Comprehensive Services, Inc.+......... 35,400 608,437
Computer Learning Centers, Inc.+................. 3,100 170,694
CorporateFamily Solutions, Inc.+................. 8,000 133,000
DeVry, Inc.+..................................... 18,400 492,200
Education Management Corp.+...................... 22,100 551,809
EduTrek International, Inc.+..................... 4,000 94,000
ITT Educational Services, Inc.+.................. 21,200 445,200
Youth Services International, Inc.+.............. 40,000 580,000
-----------
4,017,727
-----------
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ----------- -----------
<S> <C> <C>
ENTERTAINMENT, LEISURE & MEDIA (6.2%)
Action Performance Companies, Inc.+.............. 22,700 $ 654,044
AMF Bowling, Inc.+............................... 28,300 702,194
Ballantyne of Omaha, Inc.+....................... 30,700 564,112
Cinar Films Inc., Class B+....................... 20,000 805,000
Imax Corp.+...................................... 20,700 511,031
Premier Parks, Inc............................... 12,700 498,475
Preview Travel, Inc.+............................ 4,400 40,425
Steiner Leisure, Ltd.*+.......................... 24,100 686,850
Ticketmaster Group, Inc.+........................ 35,000 794,062
Travel Services International, Inc.+............. 28,100 612,931
-----------
5,869,124
-----------
FOOD, BEVERAGES & TOBACCO (0.6%)
American Italian Pasta Co., Class A+............. 3,000 70,875
Beringer Wine Estates Holdings, Inc., Class B+... 1,900 61,394
Suiza Foods Corp.+............................... 6,900 401,494
-----------
533,763
-----------
HEALTH & PERSONAL CARE (1.4%)
Bally Total Fitness Holding Corp.+............... 43,000 803,562
Enamelon, Inc.+.................................. 30,000 508,125
-----------
1,311,687
-----------
PERSONAL CARE (0.4%)
French Fragrances, Inc.+......................... 37,000 365,375
-----------
RESTAURANTS & HOTELS (1.3%)
Famous Dave's of America, Inc.+.................. 17,900 293,112
Friendly Ice Cream Corp.+........................ 12,000 193,125
Sun International Hotels Ltd.+................... 13,000 493,187
Vail Resorts, Inc.+.............................. 8,800 232,650
-----------
1,212,074
-----------
RETAIL (6.0%)
A.C. Moore Arts & Crafts, Inc.+.................. 17,000 257,125
CHS Electronics, Inc.+........................... 32,000 607,000
DM Management Co.+............................... 18,000 320,625
Insight Enterprises, Inc.+....................... 19,800 772,200
Let's Talk Cellular & Wireless, Inc.+............ 6,300 72,844
N2K, Inc.+....................................... 8,900 169,100
ONSALE, Inc.+.................................... 22,100 390,203
Party City Corp.+................................ 34,000 973,250
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
17
<PAGE>
THE U.S. SMALL COMPANY OPPORTUNITIES PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
NOVEMBER 30, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ----------- -----------
<S> <C> <C>
RETAIL (CONTINUED)
Peapod, Inc.+.................................... 10,900 $ 85,156
Petco Animal Supplies, Inc.+..................... 29,000 864,562
RDO Equipment Co.+............................... 22,300 391,644
SportsLine USA, Inc.+............................ 7,600 60,562
United Natural Foods, Inc.+...................... 20,000 475,000
USA Floral Products, Inc.+....................... 14,000 212,625
-----------
5,651,896
-----------
TOTAL CONSUMER GOODS & SERVICES................ 22,514,136
-----------
ENERGY (2.5%)
GAS EXPLORATION (1.2%)
Devon Energy Corp................................ 10,300 400,412
FX Energy, Inc.+................................. 20,200 135,087
Patterson Energy, Inc.+.......................... 15,700 573,050
-----------
1,108,549
-----------
OIL-SERVICES (1.3%)
Bayard Drilling Technologies, Inc.+.............. 3,100 56,962
Dril-Quip, Inc.+................................. 3,000 89,812
Eagle Geophysical, Inc.+......................... 3,800 61,512
IRI International Corp.+......................... 4,300 69,337
National-Oilwell, Inc.+.......................... 17,000 538,687
Transmontaigne Oil Co.+.......................... 24,100 361,500
UTI Energy Corp.+................................ 3,400 95,200
-----------
1,273,010
-----------
TOTAL ENERGY................................... 2,381,559
-----------
FINANCE (11.3%)
BANKING (2.7%)
Bank United Corp., Class A....................... 20,700 861,637
National Commerce Bancorporation................. 32,000 952,000
Prime Bancshares, Inc.+.......................... 4,000 77,625
Silicon Valley Bancshares+....................... 5,700 300,319
Webster Financial Corp........................... 6,000 377,625
-----------
2,569,206
-----------
FINANCIAL SERVICES (4.7%)
Ameritrade Holding Corp.,
Class A+....................................... 15,000 504,375
Federal Agricultural Mortgage Corp., Class C+.... 13,800 925,462
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ----------- -----------
<S> <C> <C>
FINANCIAL SERVICES (CONTINUED)
Financial Federal Corp.+......................... 29,700 $ 632,981
IMH Commercial Holdings, Inc..................... 25,000 450,000
Medallion Financial Corp......................... 30,600 652,162
Newcourt Credit Group, Inc....................... 25,000 789,055
Ocwen Financial Corp.+........................... 22,000 533,500
-----------
4,487,535
-----------
INSURANCE (2.4%)
CMAC Investment Corp............................. 7,000 363,562
Inspire Insurance Solutions, Inc.+............... 14,000 265,562
Nationwide Financial Services, Inc............... 12,800 437,600
Penn Treaty American Corp.+...................... 30,000 969,375
RenaissanceRe Holdings, Ltd.*+................... 5,000 209,375
-----------
2,245,474
-----------
REAL ESTATE INVESTMENT TRUSTS (1.5%)
Boston Properties, Inc........................... 4,000 130,500
CCA Prison Realty Trust.......................... 12,000 427,500
Equity Office Properties Trust................... 8,400 272,475
Innkeepers USA Trust............................. 35,900 576,644
-----------
1,407,119
-----------
TOTAL FINANCE.................................. 10,709,334
-----------
HEALTHCARE (19.0%)
BIOTECHNOLOGY (5.9%)
Affymetrix, Inc.+................................ 9,600 333,000
Applied Analytical Industries, Inc.+............. 20,700 262,631
ArQule, Inc.+.................................... 23,600 494,125
Arris Pharmaceutical Corp.+...................... 16,000 153,000
BioReliance Corp.+............................... 11,000 202,125
Cor Therapeutics, Inc.+.......................... 13,000 296,562
Human Genome Sciences, Inc.+..................... 11,800 482,325
IDEC Pharmaceuticals Corp.+...................... 22,000 769,312
Incyte Pharmaceuticals, Inc.+.................... 18,200 746,200
Inhale Therapeutics Systems+..................... 8,900 277,012
Millennium Pharmaceuticals, Inc.+................ 19,500 388,781
Novoste Corp.+................................... 3,200 76,500
SangStat Medical Corp.+.......................... 25,200 872,550
Synaptic Pharmaceutical Corp.+................... 8,000 100,250
Transkaryotic Therapies, Inc.+................... 3,800 132,050
-----------
5,586,423
-----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
18
<PAGE>
THE U.S. SMALL COMPANY OPPORTUNITIES PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
NOVEMBER 30, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ----------- -----------
<S> <C> <C>
HEALTH SERVICES (6.3%)
Alternative Living Services, Inc.+............... 15,000 $ 399,375
Assisted Living Concepts, Inc.+.................. 13,000 222,625
Curative Health Services, Inc.+.................. 20,000 571,250
Diagnostic Health Services, Inc.+................ 35,800 421,769
Healthcare Recoveries, Inc.+..................... 49,300 992,162
INMET Systems, Inc.+............................. 37,000 608,188
Kendle International, Inc.+...................... 31,000 478,563
MedQuist, Inc.+.................................. 30,200 798,413
Orthodontic Centers of America, Inc.+............ 31,000 561,875
Transition Systems, Inc.+........................ 44,110 923,553
-----------
5,977,773
-----------
MEDICAL SUPPLIES (2.7%)
AutoCyte, Inc.+.................................. 30,700 308,919
Closure Medical Corp.+........................... 38,000 935,750
Sabratek Corp.+.................................. 30,000 774,375
Ventana Medical Systems, Inc.+................... 33,000 505,313
-----------
2,524,357
-----------
PHARMACEUTICALS (4.1%)
Algos Pharmaceutical Corp.+...................... 17,800 460,575
Andrx Corp.+..................................... 25,000 959,375
Ascent Pediatrics, Inc.+......................... 27,500 219,141
Cell Therapeutics, Inc.+......................... 16,400 262,400
Columbia Laboratories, Inc.+..................... 31,000 426,250
Kos Pharmaceuticals, Inc.+....................... 18,000 299,250
PathoGenesis Corp.+.............................. 24,800 883,500
Zonagen, Inc.+................................... 10,600 332,244
-----------
3,842,735
-----------
TOTAL HEALTHCARE............................... 17,931,288
-----------
INDUSTRIAL PRODUCTS & SERVICES (16.0%)
COMMERCIAL SERVICES (12.0%)
ABR Information Services, Inc.+.................. 40,100 966,159
Administaff, Inc.+............................... 25,400 565,150
Applied Graphics Technologies, Inc.+............. 13,600 632,400
Aris Corp.+...................................... 17,000 417,563
BDM International, Inc.+......................... 41,000 1,200,531
Denali, Inc.+.................................... 4,400 55,138
Diamond Technology Partners,
Inc.+.......................................... 4,300 66,381
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ----------- -----------
<S> <C> <C>
COMMERCIAL SERVICES (CONTINUED)
Hospitality Worldwide Services+.................. 12,000 $ 144,000
Mac-Gray Corp.+.................................. 18,300 269,925
National Data Corp.+............................. 5,000 176,875
National Research Corp.+......................... 2,100 41,738
NCO Group, Inc.+................................. 18,000 688,500
Network Solutions, Inc. , Class A+............... 25,000 400,000
On Assignment, Inc.+............................. 29,800 674,225
Pegasus Systems, Inc.+........................... 29,300 518,244
Perceptron, Inc.+................................ 9,300 206,925
Profit Recovery Group International, Inc.+....... 38,000 581,875
Romac International, Inc.+....................... 33,000 641,438
Snyder Communication, Inc.+...................... 28,600 970,613
Staffmark, Inc.+................................. 19,800 688,050
USCS International, Inc.+........................ 39,000 743,438
Vincam Group, Inc.+.............................. 19,000 692,313
-----------
11,341,481
-----------
DIVERSIFIED MANUFACTURING (0.8%)
Brady (W.H.) Co.................................. 26,000 797,875
-----------
MANUFACTURING (2.1%)
Alyn Corp.+...................................... 20,000 270,000
Miller Industries, Inc.+......................... 74,200 723,450
Monaco Coach Corp.+.............................. 15,800 398,950
National R.V. Holdings, Inc.+.................... 26,100 625,584
-----------
2,017,984
-----------
PACKAGING & CONTAINERS (0.6%)
Ivex Packaging Corp.+............................ 30,000 600,000
-----------
POLLUTION CONTROL (0.5%)
Culligan Water Technologies, Inc.+............... 10,600 475,675
Ionics, Inc.+.................................... 900 33,188
-----------
508,863
-----------
TOTAL INDUSTRIAL PRODUCTS & SERVICES........... 15,266,203
-----------
TECHNOLOGY (9.4%)
COMPUTER PERIPHERALS (1.5%)
Hypercom Corp.+.................................. 23,800 380,800
JetFax, Inc.+.................................... 36,900 260,606
Radiant Systems, Inc.+........................... 22,000 437,250
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
19
<PAGE>
THE U.S. SMALL COMPANY OPPORTUNITIES PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
NOVEMBER 30, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ----------- -----------
<S> <C> <C>
COMPUTER PERIPHERALS (CONTINUED)
SanDisk Corp.+................................... 2,800 $ 68,250
SCM Microsystems, Inc.+.......................... 10,000 259,688
-----------
1,406,594
-----------
COMPUTER SOFTWARE (3.9%)
Aspen Technologies, Inc.+........................ 19,800 753,638
Concord Communications, Inc...................... 9,800 214,375
Datastream Systems, Inc.......................... 22,400 711,200
FARO Technologies, Inc.+......................... 20,000 246,250
Harbinger Corp.+................................. 11,700 355,388
HNC Software, Inc.+.............................. 23,000 723,063
Iona Technologies PLC (ADR)+..................... 16,500 327,422
MAPICS, Inc.+.................................... 33,900 370,781
-----------
3,702,117
-----------
ELECTRICAL EQUIPMENT (1.5%)
Advanced Lighting Technologies, Inc.+............ 52,300 1,091,763
Chicago Miniature Lamp, Inc.+.................... 9,200 309,350
-----------
1,401,113
-----------
ELECTRONICS (0.2%)
Tracor, Inc.+.................................... 8,000 224,750
-----------
INFORMATION PROCESSING (0.7%)
Computer Horizons Corp.+......................... 18,000 596,250
New Era of Networks, Inc.+....................... 6,500 84,094
-----------
680,344
-----------
SEMICONDUCTORS (1.6%)
Galileo Technology Ltd.*+........................ 7,500 232,969
Parlex Corp.+.................................... 9,500 143,984
Sawtek, Inc.+.................................... 10,400 304,850
SIPEX Corp.+..................................... 25,200 796,950
-----------
1,478,753
-----------
TOTAL TECHNOLOGY............................... 8,893,671
-----------
TELECOMMUNICATIONS (2.5%)
TELECOMMUNICATION SERVICES (0.8%)
At Home Corp., Series A+......................... 10,300 211,794
Premiere Technologies, Inc.+..................... 21,000 502,688
-----------
714,482
-----------
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ----------- -----------
<S> <C> <C>
TELECOMMUNICATIONS-EQUIPMENT (1.2%)
AmeriLink Corp.+................................. 11,000 $ 277,063
Excel Switching Corp.+........................... 4,000 97,000
Globecomm Systems, Inc.+......................... 7,100 91,413
NICE - Systems Ltd.*+............................ 10,000 438,750
World Access, Inc.+.............................. 8,500 207,188
-----------
1,111,414
-----------
TELEPHONE (0.5%)
Omnipoint Corp.+................................. 23,600 499,288
-----------
TOTAL TELECOMMUNICATIONS....................... 2,325,184
-----------
TRANSPORTATION (1.1%)
AIRLINES (0.9%)
ASA Holdings, Inc................................ 29,000 860,938
-----------
TRANSPORT & SERVICES (0.2%)
C.H. Robinson Worldwide, Inc..................... 7,000 147,438
-----------
TOTAL TRANSPORTATION........................... 1,008,376
-----------
UTILITIES (3.1%)
NATURAL GAS (0.2%)
MarkWest Hydrocarbon, Inc.+...................... 11,400 223,725
-----------
TELEPHONE (2.9%)
Electric Lightwave+.............................. 15,100 242,072
ICG Communications, Inc.+........................ 16,200 377,156
Intermedia Communications, Inc.+................. 34,500 1,705,594
ITC DeltaCom, Inc.+.............................. 1,500 21,188
NEXTLINK Communications, Inc., Class A+.......... 11,700 236,559
STARTEC Global Communications Corp.+............. 11,400 183,113
-----------
2,765,682
-----------
TOTAL UTILITIES................................ 2,989,407
-----------
TOTAL COMMON STOCKS (COST $83,681,999)......... 85,429,025
-----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
20
<PAGE>
THE U.S. SMALL COMPANY OPPORTUNITIES PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
NOVEMBER 30, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ----------- -----------
<S> <C> <C>
CONVERTIBLE PREFERRED STOCKS (0.2%)
CONSUMER GOODS & SERVICES (0.2%)
ENTERTAINMENT, LEISURE & MEDIA (0.2%)
Metromedia International Group, Inc.+............ 4,100 $ 188,600
-----------
TOTAL CONVERTIBLE PREFERRED STOCKS (COST
$205,000).....................................
<CAPTION>
PRINCIPAL
AMOUNT
-----------
<S> <C> <C>
CONVERTIBLE BONDS (0.9%)
CONSUMER GOODS & SERVICES (0.8%)
ENTERTAINMENT, LEISURE & MEDIA (0.8%)
Family Golf Centers, Inc., 5.75% due 10/15/04+... $ 750,000 748,125
-----------
TELECOMMUNICATIONS (0.1%)
TELECOMMUNICATIONS (0.1%)
Tel-Save Holdings, Inc. 144A, 4.5% due
09/15/02+...................................... 134,000 144,217
-----------
TOTAL CONVERTIBLE BONDS (COST $884,643)........ 892,342
-----------
SHORT-TERM INVESTMENTS (8.2%)
OTHER INVESTMENT COMPANIES (4.6%)
Seven Seas Money Market Fund, 5.38% due
01/01/01....................................... 4,347,971 4,347,971
-----------
<CAPTION>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- ------------------------------------------------- ----------- -----------
<S> <C> <C>
U.S. TREASURY OBLIGATIONS (3.6%)
U. S. Treasury Bills, 5.15% due 01/22/98......... $ 3,400,000 $ 3,374,708
-----------
TOTAL SHORT-TERM INVESTMENTS (COST
$7,722,678)................................... 7,722,679
-----------
TOTAL INVESTMENTS (COST $92,494,320) (99.6%)..................
94,232,646
OTHER ASSETS IN EXCESS OF LIABILITIES (0.4%)..................
372,169
-----------
NET ASSETS (100.0%)........................................... $94,604,815
-----------
-----------
</TABLE>
- ------------------------------
Note: The cost of securities for Federal Income Tax purposes at November 30,
1997, was $92,692,254, the aggregate gross unrealized appreciation and
depreciation was $6,052,305 and $4,511,913, respectively, resulting in net
unrealized appreciation of $1,540,392.
* Foreign security.
+ Non-income producing security.
(ADR) - Securities whose value is determined or significantly influenced by
trading on exchanges not located in the United States or Canada. ADR, after the
name of a foreign holding, stands for American Depository Receipt, representing
ownership of foreign securities on deposit with a domestic custodian bank.
The Accompanying Notes are an Integral Part of the Financial Statements.
21
<PAGE>
THE U.S. SMALL COMPANY OPPORTUNITIES PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES (UNAUDITED)
NOVEMBER 30, 1997
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments at Value (Cost $92,494,320) $94,232,646
Cash 26,801
Receivable for Investments Sold 763,719
Dividends Receivable 17,181
Interest Receivable 16,799
Deferred Organization Expenses 8,176
Prepaid Trustees' Fees 64
Prepaid Expenses and Other Assets 155
-----------
Total Assets 95,065,541
-----------
LIABILITIES
Payable for Investments Purchased 400,937
Advisory Fee Payable 45,691
Organization Expenses Payable 9,000
Administrative Services Fee Payable 2,300
Custody Fee Payable 1,251
Administration Fee Payable 195
Fund Services Fee Payable 123
Accrued Expenses 1,229
-----------
Total Liabilities 460,726
-----------
NET ASSETS
Applicable to Investors' Beneficial Interests $94,604,815
-----------
-----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
22
<PAGE>
THE U.S. SMALL COMPANY OPPORTUNITIES PORTFOLIO
STATEMENT OF OPERATIONS (UNAUDITED)
FOR THE PERIOD JUNE 16, 1997 (COMMENCEMENT OF OPERATIONS) TO NOVEMBER 30, 1997
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Dividend Income (Net of Foreign Withholding Tax
of $140) $ 51,345
Interest Income 121,809
----------
Investment Income 173,154
EXPENSES
Advisory Fee $138,858
Custodian Fees and Expenses 40,719
Professional Fees and Expenses 17,956
Administrative Services Fee 7,001
Printing Expenses 2,627
Amortization of Organization Expense 824
Fund Services Fee 761
Administration Fee 512
Registration Fees 291
Insurance Expense 44
Trustees' Fees and Expenses 44
Miscellaneous 361
--------
Total Expenses 209,998
Less: Reimbursement of Expenses (3,597)
--------
NET EXPENSES 206,401
----------
NET INVESTMENT LOSS (33,247)
NET REALIZED LOSS ON INVESTMENTS (971,784)
NET CHANGE IN UNREALIZED APPRECIATION OF
INVESTMENTS 1,738,326
----------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $ 733,295
----------
----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
23
<PAGE>
THE U.S. SMALL COMPANY OPPORTUNITIES PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE PERIOD
JUNE 16, 1997
(COMMENCEMENT OF
OPERATIONS) TO
NOVEMBER 30,
1997
(UNAUDITED)
----------------
<S> <C>
INCREASE IN NET ASSETS
FROM OPERATIONS
Net Investment Loss $ (33,247)
Net Realized Loss on Investments (971,784)
Net Change in Unrealized Appreciation of
Investments 1,738,326
----------------
Net Increase in Net Assets Resulting from
Operations 733,295
----------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS
Contributions 98,641,881
Withdrawals (4,770,361)
----------------
Net Increase from Investors' Transactions 93,871,520
----------------
Total Increase in Net Assets 94,604,815
NET ASSETS
Beginning of Period --
----------------
End of Period $ 94,604,815
----------------
----------------
</TABLE>
- --------------------------------------------------------------------------------
SUPPLEMENTARY DATA
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE PERIOD
JUNE 16, 1997
(COMMENCEMENT OF
OPERATIONS) TO
NOVEMBER 30,
1997
(UNAUDITED)
----------------
<S> <C>
RATIOS TO AVERAGE NET ASSETS
Expenses 0.89%(a)
Net Investment Loss (0.14)%(a)
Decrease Reflected in Expense Ratio due to
Expense Reimbursement 0.02%(a)
Portfolio Turnover 32%
Average Broker Commissions 0.0248
</TABLE>
- ------------------------
(a) Annualized.
The Accompanying Notes are an Integral Part of the Financial Statements.
24
<PAGE>
THE U.S. SMALL COMPANY OPPORTUNITIES PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
NOVEMBER 30, 1997
- --------------------------------------------------------------------------------
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
The U.S. Small Company Opportunities Portfolio (the "Portfolio") is one of eight
subtrusts (portfolios) comprising The Series Portfolio (the "Series Portfolio").
The Portfolio is registered under the Investment Company Act of 1940, as
amended, as a diversified, open-end management investment company which was
organized as a trust under the laws of the State of New York on June 24, 1994.
The Portfolio commenced operations on June 16, 1997. The Portfolio's investment
objective is long term capital appreciation from a portfolio of equity
securities of small companies. The Declaration of Trust permits the Trustees to
issue an unlimited number of beneficial interests in the Portfolio.
The preparation of financial statements in accordance with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts and disclosures. Actual amounts could differ from
those estimates. The following is a summary of the significant accounting
policies of the Portfolio:
a) The value of each security for which readily available market quotations
exist is based on a decision as to the broadest and most representative
market for such security. The value of such security will be based either
on the last sale price on a national securities exchange or, in the
absence of recorded sales, at the average of readily available closing bid
and asked prices on such exchange. 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.
b) Securities transactions are recorded on a trade-date basis. Dividend
income is recorded on the ex-dividend date or as of the time that the
relevant ex-dividend date and amount become known. Interest income, which
includes the amortization of premiums and discounts, if any, is recorded
on an accrual basis. For financial and tax reporting purposes, realized
gains and losses are determined on the basis of specific lot
identification.
c) 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 cost of securities is substantially the
same for book and tax purposes.
d) 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
25
<PAGE>
THE U.S. SMALL COMPANY OPPORTUNITIES PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
NOVEMBER 30, 1997
- --------------------------------------------------------------------------------
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.
e) The Portfolio incurred organization expenses in the amount of $9,000.
Morgan Guaranty Trust Company of New York ("Morgan") has agreed to pay the
organization expenses of the Portfolio. The Portfolio has agreed to
reimburse Morgan for these costs which are being deferred and amortized on
a straight-line basis over a period not to exceed five years beginning
with the commencement of operations of the Portfolio.
f) 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 June 16,
1997 (commencement of operations) to November 30, 1997, such fees amounted
to $138,858.
b) The Portfolio has retained Funds Distributor, Inc. ("FDI"), a registered
broker-dealer, to serve as 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
Portfolio and certain other investment companies subject to similar
agreements with FDI. For the period June 16, 1997 (commencement of
operations) to November 30, 1997, the fee for these services amounted to
$512.
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 based on the aggregate average daily net assets of the
Portfolio and certain other portfolios for which Morgan acts as investment
advisor (the "Master Portfolios") and J.P. Morgan Series Trust in
accordance with the following annual schedule: 0.09% on the first $7
billion of their aggregate average daily net assets and 0.04% of their
aggregate average daily net assets in excess of $7 billion less the
complex-wide fees payable to FDI. The portion of this charge payable by
the Portfolio is determined by the proportionate share that its net assets
bear to the net assets of the Master Portfolios, other investors in the
Master Portfolios for which Morgan provides similar services and J.P.
Morgan Series Trust. For the period June 16, 1997 (commencement of
operations) to November 30, 1997, the fee for these services amounted to
$7,001.
26
<PAGE>
THE U.S. SMALL COMPANY OPPORTUNITIES PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
NOVEMBER 30, 1997
- --------------------------------------------------------------------------------
Morgan has agreed to reimburse the Portfolio to the extent necessary to
maintain the total operating expenses of the Portfolio at no more than
1.20% of the average daily net assets of the Portfolio through September
30, 1998. For the period June 16, 1997 (commencement of operations) to
November 30, 1997, Morgan has agreed to reimburse the Portfolio $3,597 for
expenses under this agreement.
d) The Portfolio has a Fund Services Agreement with Pierpont Group, Inc.
("Group") to assist the Trustees in exercising their overall supervisory
responsibilities for the Portfolio's affairs. The Trustees of the
Portfolio represent all the existing shareholders of Group. The
Portfolio's allocated portion of Group's costs in performing its services
amounted to $761 for the period June 16, 1997 (commencement of operations)
to November 30, 1997.
e) An aggregate annual fee of $75,000 is paid to each Trustee for serving as
a Trustee of the J.P. Morgan Funds, the J.P. Morgan Institutional Funds,
the Master Portfolios and J.P. Morgan Series Trust. The Trustees' Fees and
Expenses shown in the financial statements represents the Portfolio's
allocated portion of the total fees and expenses. The Portfolio's Chairman
and Chief Executive Officer 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 $200.
3. INVESTMENT TRANSACTIONS
Investment transactions (excluding short-term investments) for the period June
16, 1997 (commencement of operations) to November 30, 1997 were as follows:
<TABLE>
<CAPTION>
COST OF PROCEEDS
PURCHASES FROM SALES
- ----------------- ------------
<S> <C>
$16,288,780....... $101,258,611
</TABLE>
4. CREDIT AGREEMENT
The Portfolio is party to a revolving line of credit agreement as discussed more
fully in Note 4 of the Fund's Notes to the Financial Statements which are
included elsewhere in this report.
27
