<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED)
NOVEMBER 30, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ----------- -------------
<S> <C> <C>
COMMON STOCK (97.5%)
BASIC INDUSTRIES (4.4%)
CHEMICALS (2.5%)
Air Products and Chemicals, Inc.................. 2,500 $ 191,719
Albemarle Corp................................... 2,000 49,875
Crompton & Knowles Corp.......................... 3,400 90,100
Cytec Industries, Inc.+.......................... 1,700 77,775
Dow Chemical Co.................................. 8,600 849,250
E.I. Du Pont de Nemours & Co.(a)................. 38,500 2,331,656
Georgia Gulf Corp................................ 100 3,106
Lyondell Petrochemical Co........................ 5,700 144,994
Monsanto Co...................................... 5,500 240,281
PPG Industries Inc............................... 300 17,381
Praxair, Inc..................................... 5,900 259,231
Rohm & Haas Co................................... 2,300 211,456
Solutia, Inc.+................................... 4,400 100,375
Union Carbide Corp............................... 5,800 255,925
-------------
4,823,124
-------------
FOREST PRODUCTS & PAPER (0.9%)
Boise Cascade Corp............................... 6,800 229,075
Bowater Inc...................................... 1,700 76,287
Champion International Corp...................... 4,100 219,606
Georgia-Pacific Corp............................. 3,000 256,125
Mead Corp........................................ 2,400 154,950
Stone Container Corp.+........................... 2,500 31,250
Temple-Inland, Inc............................... 2,900 165,662
Union Camp Corp.................................. 1,500 90,094
Weyerhaeuser Co.................................. 8,500 448,906
-------------
1,671,955
-------------
METALS & MINING (1.0%)
Alcan Aluminum Ltd.**............................ 12,400 334,025
Allegheny Teledyne, Inc.......................... 14,100 363,075
Aluminum Company of America...................... 6,300 423,675
Freeport-McMoran Copper & Gold, Inc., Class A.... 10,100 201,369
Inco, Ltd........................................ 4,400 83,875
Phelps Dodge Corp................................ 2,400 159,000
Reynolds Metals Co............................... 3,700 210,669
UCAR International, Inc.+........................ 900 35,944
-------------
1,811,632
-------------
TOTAL BASIC INDUSTRIES......................... 8,306,711
-------------
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ----------- -------------
<S> <C> <C>
CONSUMER GOODS & SERVICES (22.7%)
APPARELS & TEXTILES (0.4%)
Nike, Inc., Class B.............................. 13,900 $ 676,756
Reebok International Ltd. (ADR)+................. 4,100 161,181
-------------
837,937
-------------
AUTOMOTIVE (1.4%)
Chrysler Corp.................................... 50,600 1,736,212
Cooper Tire & Rubber Co.......................... 5,900 132,012
Goodyear Tire and Rubber Co...................... 11,700 710,044
-------------
2,578,268
-------------
BROADCASTING & PUBLISHING (0.9%)
Comcast Corp., Class A........................... 7,100 199,022
R.R. Donnelley & Sons Co......................... 6,400 225,600
Tele-Communications Inc., Series A+.............. 20,600 471,869
Tele-Communications TCI Ventures Group+.......... 8,400 190,837
U.S. West Media Group............................ 26,500 703,906
-------------
1,791,234
-------------
ENTERTAINMENT, LEISURE & MEDIA (2.6%)
Circus Circus Enterprises, Inc.+................. 4,100 84,562
Harrah's Entertainment, Inc.+.................... 4,100 82,256
International Game Technology.................... 3,800 95,000
ITT Corp.+....................................... 5,100 386,962
MGM Grand, Inc.+................................. 2,500 97,812
Mirage Resorts, Inc.+............................ 7,800 185,250
The Walt Disney Co............................... 22,800 2,164,575
Time Warner, Inc................................. 22,600 1,316,450
Viacom, Inc., Class B+........................... 15,200 532,000
-------------
4,944,867
-------------
FOOD, BEVERAGES & TOBACCO (7.2%)
Anheuser Busch Companies, Inc.................... 19,900 859,431
Coca-Cola Co.(a)................................. 51,500 3,218,750
CPC International, Inc........................... 1,600 165,400
General Mills, Inc............................... 5,900 436,600
Heinz (H.J.) Company............................. 11,800 590,737
Hershey Foods Corp............................... 1,800 110,475
Kellogg Co....................................... 14,600 677,075
Nabisco Holdings Corp., Class A.................. 1,700 79,262
PepsiCo, Inc.(a)................................. 44,700 1,648,312
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
16
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
NOVEMBER 30, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ----------- -------------
<S> <C> <C>
FOOD, BEVERAGES & TOBACCO (CONTINUED)
Philip Morris Companies, Inc.(a)................. 63,000 $ 2,740,500
Ralston-Ralston Purina Group..................... 3,800 353,400
Sara Lee Corp.................................... 17,000 898,875
Seagram Company, Ltd.**.......................... 15,500 500,844
Unilever NV (ADR)................................ 22,500 1,306,406
-------------
13,586,067
-------------
HOUSEHOLD APPLIANCES FURNISHINGS (0.4%)
Black & Decker Corp.............................. 4,800 176,400
Leggett & Platt, Inc............................. 7,000 301,000
Whirlpool Corp................................... 5,600 306,950
-------------
784,350
-------------
HOUSEHOLD PRODUCTS (2.1%)
Fort James Corp.................................. 1,100 43,037
Procter & Gamble Co.(a).......................... 47,900 3,655,369
Rubbermaid, Inc.................................. 11,000 266,750
-------------
3,965,156
-------------
MISCELLANEOUS (0.2%)
Service Corp. International...................... 11,000 402,187
-------------
PERSONAL CARE (1.2%)
Avon Products, Inc............................... 4,700 271,719
Gillette Co...................................... 21,800 2,012,412
-------------
2,284,131
-------------
RESTAURANTS & HOTELS (0.9%)
Extended Stay America, Inc.+..................... 3,800 43,700
Hilton Hotels Corp............................... 10,900 339,262
McDonald's Corp.................................. 28,400 1,377,400
Tricon Global Restaurants, Inc.+................. 10 338
-------------
1,760,700
-------------
RETAIL (5.3%)
Albertson's, Inc................................. 10,300 457,062
American Stores Co., New Shares.................. 11,400 225,862
AutoZone, Inc.+.................................. 6,300 189,000
Circuit City Stores, Inc......................... 4,100 134,531
Corporate Express, Inc.+......................... 6,700 105,316
Dayton Hudson Corp............................... 10,500 697,594
Dillard's Inc., Class A.......................... 5,500 201,094
Federated Department Stores, Inc.+............... 8,700 396,394
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ----------- -------------
<S> <C> <C>
RETAIL (CONTINUED)
Footstar, Inc.+.................................. 100 $ 3,000
General Nutrition Companies, Inc.+............... 2,900 99,144
Hasbro, Inc...................................... 4,200 122,062
Home Depot, Inc.................................. 7,200 402,750
Kroger Co.+...................................... 12,000 413,250
Lowe's Companies, Inc............................ 3,500 160,781
Mattel, Inc...................................... 21,800 873,362
May Department Stores Co......................... 3,400 182,750
Nine West Group, Inc.+........................... 1,000 27,187
Penney (J.C.) Inc................................ 9,200 591,100
Safeway, Inc.+................................... 9,800 595,350
Sears, Roebuck & Co.............................. 17,000 778,812
TJX Companies, Inc............................... 3,500 120,750
Toys 'R' Us, Inc.+............................... 12,700 433,387
Wal-Mart Stores, Inc.(a)......................... 72,700 2,903,456
-------------
10,113,994
-------------
TEXTILES (0.1%)
Fruit of the Loom, Inc., Class A+................ 5,000 116,562
-------------
TOTAL CONSUMER GOODS & SERVICES................ 43,165,453
-------------
ENERGY (8.5%)
GAS EXPLORATION (0.1%)
Anadarko Petroleum Corp.......................... 2,000 130,000
Falcon Drilling Co., Inc.+....................... 3,400 109,650
Pogo Producing Co................................ 500 15,687
-------------
255,337
-------------
OIL-PRODUCTION (7.6%)
Amoco Corp....................................... 9,800 882,000
Ashland, Inc..................................... 2,400 112,050
Atlantic Richfield Co............................ 10,000 815,000
Chevron Corp..................................... 19,100 1,531,581
Exxon Corp.(a)................................... 77,200 4,709,200
Mobil Corp....................................... 24,500 1,762,469
Occidental Petroleum Corp........................ 10,200 302,812
Royal Dutch Petroleum Co. (ADR)(a)............... 54,800 2,887,275
Texaco Inc....................................... 18,000 1,017,000
Tosco Corp....................................... 4,700 153,044
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
17
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
NOVEMBER 30, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ----------- -------------
<S> <C> <C>
OIL-PRODUCTION (CONTINUED)
Unocal Corp...................................... 7,000 $ 278,687
Valero Energy Corp............................... 1,500 47,062
-------------
14,498,180
-------------
OIL-SERVICES (0.8%)
Baker Hughes, Inc................................ 2,000 83,750
Cooper Cameron Corp.+............................ 2,400 146,250
Diamond Offshore Drilling, Inc................... 3,000 149,625
ENSCO International, Inc......................... 2,100 75,075
Input/Output, Inc.+.............................. 1,000 25,875
Noble Drilling Corp.+............................ 3,900 117,244
Schlumberger, Ltd................................ 9,500 781,969
Smith International, Inc.+....................... 1,300 83,200
-------------
1,462,988
-------------
TOTAL ENERGY................................... 16,216,505
-------------
FINANCE (15.6%)
BANKING (8.4%)
Ahmanson, (H.F.) and Co.......................... 2,200 130,900
Associated Banc - Corp........................... 1,600 79,800
Banc One Corp.................................... 17,900 919,612
BankAmerica Corp................................. 19,700 1,438,100
BankBoston Corp.................................. 4,700 418,887
Barnett Banks, Inc............................... 13,500 950,062
Charter One Financial, Inc....................... 3,700 220,150
Chase Manhattan Corp............................. 15,000 1,629,375
Citicorp......................................... 14,900 1,787,069
Compass Bancshares, Inc.......................... 3,000 120,281
Crestar Financial Corp........................... 5,900 303,112
Deposit Guaranty Corp............................ 1,300 62,725
Dime Bancorp, Inc................................ 3,900 94,575
First Chicago NBD Corp........................... 9,600 751,200
First Commerce Corp.............................. 3,300 212,025
First Empire State Corp.......................... 200 84,400
First Hawaiian, Inc.............................. 200 7,537
First Tennessee National Corp.................... 2,100 125,016
First Union Corp................................. 17,300 843,375
Firstar Corp..................................... 8,900 347,100
Fleet Financial Group, Inc....................... 8,800 581,350
Golden West Financial Corp....................... 1,800 161,325
GreenPoint Financial Corp........................ 1,400 93,275
Household International, Inc..................... 3,500 441,000
KeyCorp.......................................... 6,100 411,369
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ----------- -------------
<S> <C> <C>
BANKING (CONTINUED)
Marshall & Ilsley Corp........................... 100 $ 5,325
Mercantile Bancorporation, Inc................... 4,200 218,400
National Commerce Bancorporation................. 1,500 44,625
NationsBank Corp.(a)............................. 14,600 876,912
North Fork Bancorporation, Inc................... 2,000 60,750
Northern Trust Corp.............................. 1,700 105,772
Pacific Century Financial Corp................... 1,200 61,200
Provident Financial Group, Inc................... 1,300 59,150
Republic New York Corp........................... 1,800 195,750
Signet Banking Corp.............................. 5,200 280,475
Southtrust Corp.................................. 4,100 223,834
Sovereign Bancorp, Inc........................... 3,900 73,978
Star Banc Corp................................... 2,700 145,800
TCF Financial Corp............................... 1,400 82,775
Valley National Bancorp.......................... 1,300 45,256
Washington Federal, Inc.......................... 1,500 48,375
Washington Mutual, Inc........................... 8,100 558,900
Wells Fargo & Co................................. 2,100 645,225
-------------
15,946,122
-------------
FINANCIAL SERVICES (3.6%)
Advanta Corp., Class B........................... 600 16,238
Associates First Capital Corp., Class A.......... 1,800 115,650
Bear Stearns Companies, Inc...................... 3,800 157,700
Beneficial Corp.................................. 1,700 131,963
ContiFinancial Corp.+............................ 1,500 39,469
Edwards (A.G.), Inc.............................. 3,000 101,625
Equifax, Inc..................................... 4,000 136,500
Federal Home Loan Mortgage Corporation........... 22,600 932,250
Federal National Mortgage Association............ 34,400 1,816,750
Finova Group, Inc................................ 2,600 122,525
Green Tree Financial Corp........................ 2,300 70,438
Money Store, Inc................................. 1,800 45,113
Morgan Stanley, Dean Witter, Discover & Co....... 19,000 1,031,938
Ocwen Financial Corp.+........................... 1,800 43,650
Providian Financial Corp......................... 3,000 132,188
Travelers Group, Inc............................. 37,010 1,868,980
-------------
6,762,977
-------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
18
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
NOVEMBER 30, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ----------- -------------
<S> <C> <C>
INSURANCE (3.6%)
American General Corp............................ 7,400 $ 398,675
American International Group, Inc................ 29,600 2,984,050
CIGNA Corp....................................... 3,300 551,925
Financial Security Assurance Holdings, Ltd.*..... 1,300 57,038
Fremont General Corp............................. 1,500 69,000
Hartford Financial Services Group, Inc........... 5,200 435,500
Lincoln National Corp............................ 4,500 321,188
Marsh & McLennan Companies, Inc.................. 9,500 707,156
MBIA, Inc........................................ 3,800 238,925
Ohio Casualty Corp............................... 4,500 207,000
PMI Group, Inc................................... 1,300 84,500
St. Paul Companies, Inc.......................... 4,900 392,000
Transamerica Corp................................ 1,800 195,413
UNUM Corp........................................ 5,700 270,394
-------------
6,912,764
-------------
TOTAL FINANCE.................................. 29,621,863
-------------
HEALTH CARE (10.8%)
HEALTH SERVICES (2.0%)
Aetna Inc........................................ 10,400 783,900
Columbia / HCA Healthcare Corp.(a)............... 43,800 1,292,100
Health Care & Retirement Corp.+.................. 3,000 118,125
Health Management
Associates, Inc., Class A+..................... 100 2,450
Humana, Inc.+.................................... 14,000 310,625
Tenet Healthcare Corp.+.......................... 21,000 665,438
United Healthcare Corp........................... 13,400 697,638
-------------
3,870,276
-------------
MEDICAL SUPPLIES (0.6%)
Bausch & Lomb, Inc............................... 3,800 150,575
Biomet, Inc...................................... 200 4,769
Boston Scientific Corp.+......................... 13,500 610,031
Perkin-Elmer Corp................................ 4,000 278,250
-------------
1,043,625
-------------
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ----------- -------------
<S> <C> <C>
PHARMACEUTICALS (8.2%)
Alza Corp.+...................................... 4,400 $ 117,425
American Home Products Corp...................... 9,800 684,775
Bristol-Myers Squibb Co.(a)...................... 41,300 3,866,713
Crescendo Pharmaceuticals Corp.+................. 200 2,275
Forest Laboratories, Inc.+....................... 2,600 116,350
Johnson & Johnson................................ 21,300 1,340,569
Merck & Company, Inc............................. 43,300 4,094,556
Pfizer, Inc...................................... 22,500 1,636,875
Schering-Plough Corp............................. 20,500 1,285,094
Warner-Lambert Co................................ 16,600 2,321,925
Watson Pharmaceuticals, Inc.+.................... 4,400 130,900
-------------
15,597,457
-------------
TOTAL HEALTH CARE.............................. 20,511,358
-------------
INDUSTRIAL PRODUCTS & SERVICES (9.7%)
AUTOMOTIVE SUPPLIES (0.3%)
Echlin, Inc...................................... 4,600 145,763
Genuine Parts Co................................. 13,400 428,800
-------------
574,563
-------------
BUILDING MATERIALS (0.1%)
Owens Corning.................................... 3,900 143,325
-------------
CAPITAL GOODS (0.4%)
Cummins Engine Company, Inc...................... 1,700 109,438
Eaton Corp....................................... 3,400 321,088
Fluor Corp....................................... 4,300 154,531
Foster Wheeler Corp.............................. 2,100 64,706
Harnischfeger Industries, Inc.................... 2,500 95,469
-------------
745,232
-------------
DIVERSIFIED MANUFACTURING (6.6%)
Aeroquip-Vickers, Inc............................ 1,100 56,169
AlliedSignal, Inc................................ 42,100 1,562,963
Coltec Industries, Inc.+......................... 2,800 65,275
Cooper Industries, Inc........................... 5,000 258,125
General Electric Co.(a).......................... 54,900 4,048,875
General Motors Corp., Class H.................... 22,800 1,527,600
Harris Corp...................................... 5,900 279,881
ITT Industries, Inc.............................. 8,800 279,400
Johnson Controls, Inc............................ 6,200 284,038
Tenneco, Inc., New Shares........................ 12,600 545,738
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
19
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
NOVEMBER 30, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ----------- -------------
<S> <C> <C>
DIVERSIFIED MANUFACTURING (CONTINUED)
Tyco International Ltd........................... 41,700 $ 1,636,725
Xerox Corp....................................... 24,300 1,887,806
-------------
12,432,595
-------------
ELECTRICAL EQUIPMENT (0.7%)
Emerson Electric Co.............................. 18,600 1,023,000
General Signal Corp.............................. 2,000 81,625
Grainger (W.W.), Inc............................. 2,600 243,425
-------------
1,348,050
-------------
ELECTRONICS (0.4%)
Rockwell International Corp...................... 15,800 770,250
-------------
MACHINERY (0.3%)
Caterpillar, Inc................................. 11,100 532,106
Ingersoll-Rand Co................................ 1,200 49,050
-------------
581,156
-------------
OIL-SERVICES (0.0%)*
Halliburton Co................................... 300 16,181
-------------
PACKAGING & CONTAINERS (0.5%)
Kimberly-Clark Corp.............................. 19,700 1,025,631
-------------
POLLUTION CONTROL (0.4%)
Waste Management, Inc............................ 33,900 834,788
-------------
TOTAL INDUSTRIAL PRODUCTS & SERVICES........... 18,471,771
-------------
TECHNOLOGY (15.4%)
AEROSPACE (1.7%)
Boeing Co........................................ 59,000 3,134,375
-------------
COMPUTER PERIPHERALS (0.4%)
EMC Corp.+....................................... 19,200 582,000
Quantum Corp.+................................... 5,200 137,963
-------------
719,963
-------------
COMPUTER SOFTWARE (2.3%)
Autodesk, Inc.................................... 700 26,884
Computer Associates International, Inc........... 13,950 726,272
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ----------- -------------
<S> <C> <C>
COMPUTER SOFTWARE (CONTINUED)
Microsoft Corp.(a)+.............................. 15,700 $ 2,221,059
Oracle Corp.+.................................... 38,100 1,268,016
Sybase, Inc.+.................................... 2,200 30,800
-------------
4,273,031
-------------
COMPUTER SYSTEMS (3.4%)
Compaq Computer Corp.+........................... 28,200 1,760,738
International Business Machines Corp.(a)......... 37,200 4,075,725
Sun Microsystems, Inc.+.......................... 15,000 539,531
-------------
6,375,994
-------------
ELECTRONICS (2.3%)
Bay Networks, Inc.+.............................. 8,000 240,500
Cabletron Systems, Inc.+......................... 6,000 138,000
Cisco Systems, Inc.+............................. 25,500 2,198,578
Motorola, Inc.................................... 24,500 1,540,438
Sensormatic Electronics Corp..................... 1,800 29,250
Symbol Technologies, Inc......................... 3,000 117,188
-------------
4,263,954
-------------
INFORMATION PROCESSING (0.6%)
Electronic Data System Corp...................... 16,500 627,000
First Data Corp.................................. 16,800 475,650
-------------
1,102,650
-------------
SEMICONDUCTORS (3.3%)
Applied Materials, Inc.+......................... 13,800 454,969
Intel Corp.(a)................................... 61,800 4,799,156
National Semiconductor Corp.+.................... 5,400 178,875
Texas Instruments, Inc........................... 15,200 748,600
Xilinx, Inc.+.................................... 2,700 93,488
-------------
6,275,088
-------------
TELECOMMUNICATIONS (0.5%)
360 Communications Co.+.......................... 4,600 88,550
Airtouch Communications, Inc.+................... 20,200 792,850
-------------
881,400
-------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
20
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
NOVEMBER 30, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ----------- -------------
<S> <C> <C>
TELECOMMUNICATIONS-EQUIPMENT (0.9%)
Lucent Technologies, Inc......................... 21,800 $ 1,746,725
Northern Telecom, Ltd............................ 200 17,963
-------------
1,764,688
-------------
TOTAL TECHNOLOGY............................... 28,791,143
-------------
TRANSPORTATION (1.2%)
AIRLINES (0.2%)
AMR Corp.+....................................... 2,300 278,731
Southwest Airlines Co............................ 6,600 161,288
-------------
440,019
-------------
RAILROADS (1.0%)
Burlington Northern Railroad Co.................. 4,700 430,050
CSX Corp......................................... 7,600 397,575
Illinois Central Corp............................ 1,700 61,306
Norfolk Southern Corp............................ 11,400 362,663
Union Pacific Corp............................... 8,300 498,000
Wisconsin Central Transportation Corp.+.......... 1,800 54,563
-------------
1,804,157
-------------
TRUCK & FREIGHT CARRIERS (0.0%)*
Consolidated Freightways Corp.+.................. 100 1,578
Ryder System, Inc................................ 2,200 79,888
-------------
81,466
-------------
TOTAL TRANSPORTATION........................... 2,325,642
-------------
UTILITIES (9.2%)
ELECTRIC (2.7%)
Baltimore Gas & Electric Co...................... 5,700 174,919
Central & South West Corp........................ 8,200 205,000
Cinergy Corp..................................... 9,600 342,000
CMS Energy Corp.................................. 3,700 145,688
Dominion Resources, Inc.......................... 7,600 295,450
DTE Energy Co.................................... 2,900 95,156
Duke Power Co.................................... 14,700 764,400
Entergy Corp..................................... 9,800 254,800
GPU, Inc......................................... 1,900 75,050
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ----------- -------------
<S> <C> <C>
ELECTRIC (CONTINUED)
Houston Industries, Inc.......................... 11,400 $ 270,038
Illinova Corp.................................... 2,800 67,725
Kansas City Power & Light Co..................... 400 11,500
New England Electric System...................... 3,200 132,000
Northern States Power Co......................... 3,900 214,013
Potomac Electric Power Co........................ 4,600 113,850
Public Service Enterprise Group.................. 4,600 134,263
Southern Co...................................... 27,900 669,600
Teco Energy, Inc................................. 5,100 130,688
Texas Utilities Co............................... 6,600 264,000
Unicom Corp...................................... 11,000 320,375
Union Electric Co................................ 4,000 159,250
Western Resources, Inc........................... 2,500 97,656
Wisconsin Energy Corp............................ 7,000 189,000
-------------
5,126,421
-------------
GAS-PIPELINES (0.3%)
El Paso Natural Gas Co........................... 900 55,238
Enron Corp....................................... 12,200 472,750
-------------
527,988
-------------
TELEPHONE (6.2%)
AT & T Corp...................................... 5,100 284,963
Bell Atlantic Corp............................... 12,400 1,106,700
Bellsouth Corp................................... 27,700 1,516,575
GTE Corp......................................... 43,300 2,189,356
MCI Communications Corp.......................... 29,300 1,286,453
SBC Communications, Inc.......................... 41,200 2,999,875
Sprint Corp...................................... 19,500 1,141,969
WorldCom, Inc.+.................................. 41,000 1,313,281
-------------
11,839,172
-------------
WATER (0.0%)*
American Water Works Co., Inc.................... 1,900 54,506
-------------
TOTAL UTILITIES................................ 17,548,087
-------------
TOTAL COMMON STOCK (COST $171,145,662)......... 184,958,533
-------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
21
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
NOVEMBER 30, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- ------------------------------------------------- ----------- -------------
<S> <C> <C>
FIXED INCOME SECURITIES (0.0%)*
U.S. TREASURY OBLIGATIONS (0.0%)*
U.S. TREASURY NOTES (0.0%)*
United States Treasury Notes, 6.0% due
09/30/98(a) (cost $35,155)..................... $ 35,000 $ 35,095
-------------
SHORT-TERM INVESTMENTS (2.4%)
REPURCHASE AGREEMENT (2.4%)
State Street Repurchase Agreement, dated 11/28/97
due 12/1/97, proceeds $4,425,843
(collateralized by U.S. Treasury Bonds, 8.00%,
due 11/15/21, valued at $4,515,617)............ 4,424,000 4,424,000
-------------
<CAPTION>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- ------------------------------------------------- ----------- -------------
<S> <C> <C>
U.S. TREASURY OBLIGATIONS
United States Treasury Bills, 5.10% due
01/29/98(a).................................... 200,000 198,254
United States Treasury Bills, 5.15% due
02/12/98(a).................................... 20,000 19,785
-------------
TOTAL U.S. TREASURY OBLIGATIONS................ 218,039
-------------
TOTAL SHORT-TERM INVESTMENTS (COST
$4,642,114)................................... 4,642,039
-------------
TOTAL INVESTMENTS (COST $175,822,931) (99.9%).................
189,635,667
OTHER ASSETS IN EXCESS OF LIABILITIES (0.1%)..................
100,833
-------------
NET ASSETS (100.0%)........................................... $ 189,736,500
-------------
-------------
</TABLE>
- ------------------------------
Note: For Federal Income Tax purposes, the cost of securities at November 30,
1997 was substantially the same as the cost for financial purposes.
+ Non-income producing security.
** Foreign Security
* Less than 0.1%
ADR - Securities whose value is determined or significantly influenced by
trading on exchange not located in the United States or Canada. ADR after the
name of a foreign holding stands for American Depository Receipt, representing
ownership of foreign securities on deposit with a domestic custodian bank.
(a)Security is fully or partially segregated as collateral for futures
contracts. Total market value of collateral is $5,400,771.
The Accompanying Notes are an Integral Part of the Financial Statements.
22
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES (UNAUDITED)
NOVEMBER 30, 1997
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments at Value (Cost $175,822,931 ) $189,635,667
Cash 48,618
Receivable for Investments Sold 383,032
Dividends Receivable 334,728
Deferred Organization Expenses 8,166
Receivable for Expense Reimbursement 4,574
Interest Receivable 2,201
Prepaid Expenses and Other Assets 463
------------
Total Assets 190,417,449
------------
LIABILITIES
Payable for Investments Purchased 523,856
Advisory Fee Payable 52,963
Custody Fee Payable 49,274
Organization Expenses Payable 5,500
Administrative Services Fee Payable 4,570
Accrued Trustees' Fees and Expenses 795
Variation Margin Payable 500
Fund Services Fee Payable 245
Administration Fee Payable 205
Accrued Expenses 43,041
------------
Total Liabilities 680,949
------------
NET ASSETS
Applicable to Investors' Beneficial Interests $189,736,500
------------
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
23
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
STATEMENT OF OPERATIONS (UNAUDITED)
FOR THE SIX MONTHS ENDED NOVEMBER 30, 1997
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Dividend Income (Net of Foreign Withholding Tax
of $5,749 ) $ 978,598
Interest Income 136,142
-----------
Investment Income 1,114,740
EXPENSES
Advisory Fee $212,017
Custodian Fees and Expenses 103,426
Professional Fees and Expenses 19,675
Administrative Services Fee 18,400
Printing Expenses 3,217
Fund Services Fee 2,143
Administration Fee 1,358
Amortization of Organization Expense 1,002
Trustees' Fees and Expenses 819
Registration Fees 305
Insurance Expense 166
Miscellaneous 74
--------
Total Expenses 362,602
Less: Reimbursement of Expenses (90,009)
--------
NET EXPENSES 272,593
-----------
NET INVESTMENT INCOME 842,147
NET REALIZED GAIN ON INVESTMENTS
(including $441,822 net realized gain from
futures contracts) 3,149,470
NET CHANGE IN UNREALIZED APPRECIATION OF
INVESTMENTS
(including $187,561 net unrealized depreciation
from futures contracts) 8,117,940
-----------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $12,109,557
-----------
-----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
24
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE PERIOD
DECEMBER 30,
FOR THE SIX 1996
MONTHS ENDED (COMMENCEMENT OF
NOVEMBER 30, 1997 OPERATIONS) TO
(UNAUDITED) MAY 31, 1997
----------------- ----------------
<S> <C> <C>
INCREASE IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 842,147 $ 324,603
Net Realized Gain on Investments 3,149,470 157,560
Net Change in Unrealized Appreciation of
Investments 8,117,940 5,691,580
----------------- ----------------
Net Increase in Net Assets Resulting from
Operations 12,109,557 6,173,743
----------------- ----------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS
Contributions 113,962,423 72,972,888
Withdrawals (12,883,376) (2,598,735)
----------------- ----------------
Net Increase from Investors' Transactions 101,079,047 70,374,153
----------------- ----------------
Total Increase in Net Assets 113,188,604 76,547,896
NET ASSETS
Beginning of Period 76,547,896 --
----------------- ----------------
End of Period $ 189,736,500 $ 76,547,896
----------------- ----------------
----------------- ----------------
</TABLE>
- --------------------------------------------------------------------------------
SUPPLEMENTARY DATA
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE PERIOD
DECEMBER 30,
FOR THE 1996
SIX MONTHS ENDED (COMMENCEMENT OF
NOVEMBER 30, 1997 OPERATIONS) TO
(UNAUDITED) MAY 31, 1997
----------------- ----------------
<S> <C> <C>
RATIOS TO AVERAGE NET ASSETS
Expenses 0.45%(a) 0.45%(a)
Net Investment Income 1.39%(a) 1.54%(a)
Decrease Reflected in Expense Ratio due to
Expense Reimbursement 0.15%(a) 0.33%(a)
Portfolio Turnover 29.04%(b) 23.88%(b)
Average Broker Commissions 0.0309 0.0280
</TABLE>
- ------------------------
(a) Annualized.
(b) Not Annualized.
The Accompanying Notes are an Integral Part of the Financial Statements.
25
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
NOVEMBER 30, 1997
- --------------------------------------------------------------------------------
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
The Disciplined Equity Portfolio (the "Portfolio") is one of eight subtrusts
(portfolios) comprising The Series Portfolio (the "Series Portfolio"). The
Series Portfolio is registered under the Investment Company Act of 1940, as
amended (the "Act"), as a no-load open-end management investment company which
was organized as a trust under the laws of the State of New York on June 24,
1994. The Portfolio commenced operations on December 30, 1996. The Portfolio's
investment objective is to provide a high total return from a broadly
diversified portfolio of equity securities. The Declaration of Trust permits the
Trustees to issue an unlimited number of beneficial interests in the Portfolio.
The preparation of financial statements in accordance with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts and disclosures. Actual amounts could differ from
those estimates. The following is a summary of the significant accounting
policies of the Portfolio:
a) The value of each security for which readily available market quotations
exist is based on a decision as to the broadest and most representative
market for such security. The value of such security will be based either
on the last sale price on a national securities exchange, or, in the
absence of recorded sales, at the average of readily available closing bid
and asked prices on such exchanges. Securities listed on a foreign
exchange are valued at the last quoted sale price available before the
time when net assets are valued. Unlisted securities are valued at the
average of the quoted bid and asked prices in the over-the-counter market.
Securities or other assets for which market quotations are not readily
available are valued at fair value in accordance with procedures
established by the Portfolio's Trustees. Such procedures include the use
of independent pricing services, which use prices based upon yields or
prices of securities of comparable quality, coupon, maturity and type;
indications as to values from dealers; and general market conditions. All
portfolio securities with a remaining maturity of less than 60 days are
valued by the amortized cost method.
b) Securities transactions are recorded on a trade-date basis. Dividend
income is recorded on the ex-dividend date or as of the time that the
relevant ex-dividend date and amount become known. Interest income, which
includes the amortization of premiums and discounts, if any, is recorded
on an accrual basis. For financial and tax reporting purposes, realized
gains and losses are determined on the basis of specific lot
identification.
c) Futures -- A futures contract is an agreement to purchase/sell a specified
quantity of an underlying instrument at a specified future date or to
make/receive a cash payment based on the value of a securities index. The
price at which the purchase and sale will take place is fixed when the
Portfolio enters into the contract. Upon entering into such a contract the
Portfolio is required to pledge to the broker an amount of cash and/or
liquid securities equal to the minimum "initial margin" requirements of
the exchange. Pursuant to the contract, the Portfolio agrees to receive
from, or pay to, the broker an amount of cash equal to the daily
fluctuation in value of the contract. Such receipts or payments are known
as "variation margin" and are recorded by the Portfolio as unrealized
gains or losses. When the contract is closed, the Portfolio records a
realized gain or loss equal to the difference between the value of the
contract at the time it was opened and the value at the time when it was
closed. The Portfolio
26
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
NOVEMBER 30, 1997
- --------------------------------------------------------------------------------
invests in futures contracts for the purpose of hedging its existing
portfolio securities, or securities the Portfolio intends to purchase,
against fluctuations in value caused by changes in prevailing market
interest rates or securities movements. The use of futures transactions
involves the risk of imperfect correlation of movements in the price of
futures contracts, interest rates and the underlying hedged assets and the
possible inability of counterparties to meet the terms of their contracts.
Futures transactions during the six months ended November 30, 1997 are
summarized as follows:
<TABLE>
<CAPTION>
PRINCIPAL AMOUNT
NUMBER OF CONTRACTS OF CONTRACTS
------------------- ----------------
<S> <C> <C>
Contracts open at beginning of period............ 4 $ 1,516,855
Contracts opened................................. 29 8,857,450
Contracts closed................................. (13) (5,596,589)
------------------- ----------------
Contracts open at end of period.................. 20 $ 4,777,716
------------------- ----------------
------------------- ----------------
</TABLE>
SUMMARY OF OPEN CONTRACTS AT NOVEMBER 30, 1997
<TABLE>
<CAPTION>
NET UNREALIZED
CONTRACTS LONG (DEPRECIATION)
-------------- --------------
<S> <C> <C>
S&P 500, expiring December 1997.................. 20 $ (3,216)
-------------- --------------
Totals........................................... 20 $ (3,216)
-------------- --------------
-------------- --------------
</TABLE>
d) The Portfolio intends to be treated as a partnership for federal income
tax purposes. As such, each investor in the Portfolio will be subject to
taxation on its share of the Portfolio's ordinary income and capital
gains. It is intended that the Portfolio's assets will be managed in such
a way that an investor in the Portfolio will be able to satisfy the
requirements of Subchapter M of the Internal Revenue Code.
e) The Portfolio's custodian takes possession of the collateral pledged for
investments in repurchase agreements on behalf of the Portfolio. It is the
policy of the Portfolio to value the underlying collateral daily on a
mark-to-market basis to determine that the value, including accrued
interest, is at least equal to the repurchase price plus accrued interest.
In the event of default of the obligation to repurchase, the Portfolio has
the right to liquidate the collateral and apply the proceeds in
satisfaction of the obligation. Under certain circumstances, in the event
of default or bankruptcy by the other party to the agreement, realization
and/or retention of the collateral or proceeds may be subject to legal
proceedings.
f) The Portfolio incurred organization expenses in the amount of $10,000.
Morgan Guaranty Trust Company of New York ("Morgan") has agreed to pay the
organization expenses of the Portfolio. The Portfolio has agreed to
reimburse Morgan for these costs which are being deferred and 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.
g) Expenses incurred by the Series Portfolio with respect to any two or more
portfolios in the Series Portfolio are allocated in proportion to the net
assets of each portfolio in the Series Portfolio, except where allocations
of direct expenses to each portfolio can otherwise be made fairly.
Expenses directly attributable to a portfolio are charged to that
portfolio.
27
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
NOVEMBER 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
0.35% of the Portfolio's average daily net assets. For the six months
ended November 30, 1997, such fees amounted to $212,017.
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
Portfolio and certain other investment companies suject to similar
agreements with FDI. For the six months ended November 30, 1997, the fee
for these services amounted to $1,358.
c) The Portfolio has an Administrative Services Agreement (the "Services
Agreement") with Morgan under which Morgan is responsible for overseeing
certain aspects of the administration and operation of the Portfolio.
Under the Services Agreement, the Portfolio had agreed to pay Morgan a fee
equal to its allocable share of an annual complex-wide charge. This charge
is calculated daily based on the aggregate average 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 the 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 paid 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 six months ended November 30, 1997, the fee
for these services amounted to $18,400.
In addition, Morgan has agreed to reimburse the Portfolio to the extent
necessary to maintain the total operating expenses of the Portfolio at no
more than 0.45% of the average daily net assets of the Portfolio through
February 28, 1998. For the six months ended November 30, 1997, Morgan has
agreed to reimburse the Portfolio $90,009 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 $2,143 for the six months ended 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. Prior to April 1, 1997,
the aggregate annual Trustee fee was $65,000. The Portfolio's Chairman and
Chief Executive Officer also serves as Chairman of Group and
28
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
NOVEMBER 30, 1997
- --------------------------------------------------------------------------------
received compensation and employee benefits from Group in his role as
Group's Chairman. The allocated portion of such compensation and benefits
included in the Fund Services Fee shown in the financial statements was
$400.
3. INVESTMENT TRANSACTIONS
Investment transactions (excluding short-term investments) for the six months
ended November 30, 1997 were as follows:
<TABLE>
<CAPTION>
COST OF PROCEEDS
PURCHASES FROM SALES
------------ -----------
<S> <C>
$134,194,780 $34,800,750
</TABLE>
4. CREDIT AGREEMENT
The Portfolio is party to a revolving line of credit agreement (the "Agreement")
as discussed more fully in Note 4 of the Fund's Notes to the Financial
Statements which are included elsewhere in the report.
29
