<PAGE>
THE INTERNATIONAL OPPORTUNITIES PORTFOLIO
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ -------------
<S> <C> <C>
COMMON STOCK (89.5%)
ARGENTINA (1.0%)
Corcemar SA (Class B) (Building Materials)(1).... 124,360 $ 541,191
Nobleza Piccardo SA (B Shares) (Food, Beverages &
Tobacco)(1).................................... 91,000 409,670
Telecom Argentina Stet - France Telecom SA (Spon.
ADR) (Telecommunication Services)(1)........... 30,140 924,921
YPF Sociedad Anonima (Spon. ADR)
(Oil-Production)(1)............................ 27,100 909,544
-------------
2,785,326
-------------
AUSTRALIA (5.9%)
Amcor Ltd. (Packaging & Containers)(1)........... 118,200 529,744
Broken Hill Proprietary Company Ltd. (Metals &
Mining)(1)..................................... 158,700 1,458,345
Capral Aluminium Ltd. (Metals & Mining)(1)....... 150,000 282,248
CSR Ltd. (Building Materials)(1)................. 366,600 1,204,041
Email Ltd. (Manufacturing)(1).................... 175,500 387,871
Fosters Brewing Group Ltd. (Food, Beverages &
Tobacco)(1).................................... 302,000 559,994
Leighton Holdings Ltd. (Construction &
Housing)(1).................................... 100,000 390,016
Mayne Nickless Ltd. (Commercial Services)(1)..... 221,577 1,153,763
National Australia Bank Ltd. (Banking)(1)........ 59,400 787,270
North Ltd. (Metals & Mining)(1).................. 860,100 2,209,868
Pacific Dunlop Ltd. (Diversified
Manufacturing)(1).............................. 200,000 410,543
Santos Ltd. (Oil-Production)(1).................. 246,000 1,018,352
Southcorp Ltd. (Food, Beverages & Tobacco)(1).... 335,100 1,034,090
Telstra Corp. Ltd. (Installment Receipts)
(Telecommunication Services)+(1)............... 201,800 379,718
WBK STRYPES Trust (Banking)(1)................... 16,300 531,787
Westpac Banking Corporation Ltd. (Banking)(1).... 337,942 2,125,030
WMC Ltd. (Metals & Mining)(1).................... 558,000 1,788,756
-------------
16,251,436
-------------
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ -------------
<S> <C> <C>
BELGIUM (1.8%)
Algemene Maatschappij voor Nijverheidskredit NV
(Financial Services)(1)........................ 26,800 $ 1,178,345
Arbed SA (Metals & Mining)(1).................... 3,660 443,545
Credit Communal Holding/ Dexia (Banking)(1)...... 11,230 1,313,098
Groupe Bruxelles Lambert SA (Multi -
Industry)(1)................................... 4,979 753,896
PetroFina SA (Oil-Production)(1)................. 3,100 1,196,894
-------------
4,885,778
-------------
BRAZIL (1.8%)
Companhia Energetica de Minas Gerais SA (Spon.
ADR Represents Non-Voting Shares)
(Telecommunications)(1)........................ 33,600 1,680,000
Companhia Paranaense de Energia - Copel
(Electric)(1).................................. 48,000,000 579,809
Makro Atacadista SA (Spon. ADR) (Retail)+(1)..... 68,600 583,100
Votorantim Celulose e Papel SA (Forest Products &
Paper)(1)...................................... 19,750,000 427,285
Votorantim Celulose e Papel SA (ADR) (Forest
Products & Paper)(1)........................... 153,700 1,690,700
-------------
4,960,894
-------------
CANADA (2.7%)
Alcan Aluminium Ltd. (Metals & Mining)(1)........ 41,500 1,116,631
Magna International Inc. (Class A) (Automotive
Supplies)(1)................................... 16,000 1,008,267
Moore Corp. Ltd. (Business & Public
Services)(1)................................... 106,200 1,663,766
National Bank of Canada (Banking)(1)............. 47,000 695,045
Petro - Canada (Oil-Production)(1)............... 51,700 922,544
Potash Corp. of Saskatchewan Inc.
(Chemicals)(1)................................. 23,800 1,872,656
-------------
7,278,909
-------------
CHILE (0.8%)
Administradora de Fondos de Pensiones Provida SA
(ADR) (Banking)(1)............................. 26,000 445,250
Banco Santander Chile SA (ADS) (Banking)(1)...... 15,700 243,350
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
20
<PAGE>
THE INTERNATIONAL OPPORTUNITIES PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
NOVEMBER 30, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ -------------
<S> <C> <C>
CHILE (CONTINUED)
Compania Cervecerias Unidas SA (ADR) (Food,
Beverages & Tobacco)(1)........................ 24,300 $ 651,544
Empresa Nacional de Electricidad SA (Spon. ADR)
(Utilities)(1)................................. 44,600 827,887
-------------
2,168,031
-------------
CHINA (0.4%)
Zhenhai Refining & Chemical Co. Ltd. (Series H)
(Chemicals)(1)................................. 2,642,900 1,042,760
-------------
CZECH REPUBLIC (0.8%)
Central European Media Enterprises Ltd. (ADR)
(Entertainment, Leisure & Media)+(1)........... 88,800 2,242,200
-------------
FINLAND (0.6%)
Rautaruukki OYJ (K Shares) (Metals &
Mining)(1)..................................... 100,000 836,604
UPM-Kymmene OYJ (Forest Products & Paper)(1)..... 32,300 693,734
-------------
1,530,338
-------------
FRANCE (6.4%)
AXA-UAP (Insurance)(1)........................... 24,065 1,746,331
Compagnie Bancaire SA (Financial Services)(1).... 194 28,984
Compagnie de Saint Gobain SA (Building
Materials)(1).................................. 3,895 529,143
Compagnie Generale des Eaux (Utilities)(1)....... 24,548 3,243,410
Elf Aquitaine SA (Oil-Services)(1)............... 10,398 1,206,512
France Telecom SA (Telecommunication
Services)+(1).................................. 39,000 1,432,238
Genset SA (Biotechnology)+(1).................... 11,900 788,161
L'Air Liquide SA (Chemicals)(1).................. 11,600 1,825,429
Lagardere S.C.A. (Multi - Industry)(1)........... 25,400 731,432
PSA Peugeot Citroen (Automotive)(1).............. 8,244 931,440
Sanofi SA (Pharmaceuticals)(1)................... 11,768 1,178,098
SGS Thomson Microelectronics NV
(Electronics)+(1).............................. 16,300 1,149,437
Societe Generale (Banking)(1).................... 9,692 1,273,991
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ -------------
<S> <C> <C>
FRANCE (CONTINUED)
Total SA (Oil-Services)(1)....................... 6,843 $ 718,670
Usinor SA (Metals & Mining)(1)................... 47,026 739,226
-------------
17,522,502
-------------
GERMANY (6.2%)
AVA Allgemeine Handelsgesellschaft der
Verbraucher AG (Retail)+(1).................... 1,550 373,477
Bilfinger & Berger Bau AG (Construction &
Housing)(1).................................... 14,500 533,526
Deutsche Bank AG (Banking)(1).................... 29,800 1,910,830
Hannover Rueckversicherungs AG (Insurance)(1).... 9,140 665,875
Henkel KGaA (Chemicals)(1)....................... 9,800 550,053
Karstadt AG (Retail)(1).......................... 2,900 1,007,864
Lufthansa AG (Airlines)(1)....................... 71,100 1,350,385
Muenchener Rueckversicherungs-Gesellschaft AG
(Insurance)(1)................................. 3,950 1,233,934
SAP AG (Computer Software)(1).................... 6,900 2,006,826
Schering AG (Pharmaceuticals)(1)................. 6,180 606,147
Siemens AG (Electrical Equipment)(1)............. 57,980 3,403,859
VEBA AG (Utilities)(1)........................... 54,100 3,214,414
-------------
16,857,190
-------------
HONG KONG (1.7%)
Dickson Concepts International Ltd. (Wholesale &
International Trade)(1)........................ 326,000 611,490
Guangdong Brewery Holdings Ltd. (Food, Beverages
& Tobacco)+(1)................................. 58,000 8,253
Guangdong Kelon Electrical Holding Co. Ltd.
(Appliances & Household Durables)(1)........... 889,000 989,018
HSBC Holdings PLC (Banking)(1)................... 23,200 559,720
Hutchison Whampoa Ltd. (Multi - Industry)(1)..... 114,000 759,479
New World Development Co. Ltd. (Real
Estate)(1)..................................... 167,000 618,935
Sun Hung Kai Properties Ltd. (Real Estate)(1).... 85,000 648,746
Swire Pacific Ltd. (A Shares) (Multi -
Industry)(1)................................... 90,000 450,565
-------------
4,646,206
-------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
21
<PAGE>
THE INTERNATIONAL OPPORTUNITIES PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
NOVEMBER 30, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ -------------
<S> <C> <C>
INDIA (1.0%)
Hindalco Industries Ltd. (GDR) (Metals &
Mining)+(1).................................... 25,200 $ 567,000
Indian Petrochemicals Corp. Ltd. (GDR)
(Chemicals)(1)................................. 100,400 514,550
Larsen & Toubro Ltd. (GDR) (Diversified
Manufacturing)(1).............................. 63,100 615,225
Reliance Industries Ltd. (GDR) (Chemicals)+(1)... 73,200 569,130
Wockhardt Ltd. (GDR) (Pharmaceuticals)(1)........ 62,500 343,750
-------------
2,609,655
-------------
IRELAND (2.1%)
Allied Irish Banks PLC (Banking)(1).............. 236,500 2,069,261
CRH PLC (Building Materials)(1).................. 73,600 862,257
Elan Corp. PLC (Spon. ADR)
(Pharmaceuticals)+(1).......................... 15,000 791,250
Irish Life PLC (Insurance)(1).................... 127,600 652,833
Jefferson Smurfit Group PLC (Forest Products &
Paper)(1)...................................... 256,000 740,298
Waterford Wedgwood PLC (Household Products)(1)... 584,900 711,259
-------------
5,827,158
-------------
ITALY (2.8%)
Banco Ambrosiano Veneto SPA (Banking)(1)......... 750,000 1,108,909
ENI SPA (Oil-Services)(1)........................ 225,305 1,314,893
Fiat SPA (Automotive)(1)......................... 736,000 1,167,003
Instituto Nazionale Delle Assicurazioni
(Insurance)(1)................................. 1,103,000 1,921,258
Parmalat Finanziaria SPA (Food, Beverages &
Tobacco)(1).................................... 716,000 1,033,778
Telecom Italia SPA - RNC (Telecommunication
Services)(1)................................... 310,000 1,221,666
-------------
7,767,507
-------------
JAPAN (7.9%)
Asatsu, Inc. (Commercial Services)(1)............ 12,000 208,737
Bridgestone Corp. (Chemicals)(1)................. 22,000 477,493
Canon Sales Co., Inc. (Miscellaneous)(1)......... 37,000 507,346
Daiichi Pharmaceutical Co. Ltd.
(Pharmaceuticals)(1)........................... 49,000 587,424
DDI Corp. (Telecommunications)(1)................ 176 537,826
Ebara Corp. (Machinery)(1)....................... 63,000 700,960
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ -------------
<S> <C> <C>
JAPAN (CONTINUED)
Fanuc Ltd. (Machinery)(1)........................ 18,000 $ 676,983
Fuji Photo Film Co. Ltd. (Electronics)(1)........ 15,000 539,471
Fujitsu Ltd. (Computer Systems)(1)............... 57,000 638,668
Hitachi Ltd. (Electrical Equipment)(1)........... 53,000 375,828
Ishihara Sangyo Kaisha Ltd. (Chemicals)+(1)...... 277,000 358,119
Ito - Yokado Co. Ltd. (Retail)(1)................ 13,000 586,719
Japan Tobacco, Inc. (Food, Beverages &
Tobacco)(1).................................... 107 819,111
Matsushita Electric Industries Co. Ltd.
(Electronics)(1)............................... 39,000 608,110
Mitsubishi Estate Co. Ltd. (Real Estate)(1)...... 54,000 626,210
Mitsubishi Motors Corp. (Automotive)(1).......... 139,000 477,038
Mitsui Mining & Smelting Co. Ltd. (Metals &
Mining)(1)..................................... 170,000 704,642
Mitsui Trust & Banking Co. Ltd. (Banking)(1)..... 134,000 225,739
Nippon Steel Corp. (Metals & Mining)(1).......... 417,000 771,103
Nishimatsu Construction Co. Ltd. (Construction &
Housing)(1).................................... 116,000 466,272
Nissan Motor Co. Ltd. (Automotive)(1)............ 119,000 517,493
Nomura Securities Co. Ltd. (Financial
Services)(1)................................... 48,000 594,241
Promise Co. Ltd. (Financial Services)(1)......... 16,500 911,459
Ricoh Co. Ltd. (Electrical Equipment)(1)......... 56,000 675,730
Secom Co. Ltd. (Electronics)(1).................. 11,000 689,520
Sekisui Chemical Co. Ltd. (Chemicals)(1)......... 71,000 516,819
Sony Corp. (Electronics)(1)...................... 9,000 768,658
TDK Corp. (Electronics)(1)....................... 10,000 814,887
The Bank of Tokyo - Mitsubishi Ltd.
(Banking)(1)................................... 56,000 811,753
Tokio Marine & Fire Insurance Co. Ltd.
(Insurance)(1)................................. 38,000 360,274
Tostem Corp. (Construction & Housing)(1)......... 33,000 374,927
Toyota Motor Corp. Ltd. (Automotive)(1).......... 60,000 1,730,069
West Japan Railway Co. (Railroads)(1)............ 202 664,760
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
22
<PAGE>
THE INTERNATIONAL OPPORTUNITIES PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
NOVEMBER 30, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ -------------
<S> <C> <C>
JAPAN (CONTINUED)
Xebio Co. Ltd. (Retail)(1)....................... 22,200 $ 267,879
Yamanouchi Pharmaceutical Co. Ltd.
(Pharmaceuticals)(1)........................... 46,000 1,117,336
-------------
21,709,604
-------------
MEXICO (1.3%)
Cemex SA de CV (Building Materials)+(1).......... 81,600 403,501
Cemex SA de CV (Spon. ADR) (B Shares) (Building
Materials)+(1)................................. 65,800 653,229
Empresas ICA Sociedad Controladora SA de CV
(Spon. ADR) (Construction & Housing)(1)........ 22,700 351,850
Pan-American Beverages Inc. (ADR) (Food,
Beverages & Tobacco)(1)........................ 21,000 719,250
Telefonos de Mexico SA de CV (Spon. ADR) (Class
L) (Telecommunications)(1)..................... 27,646 1,368,477
-------------
3,496,307
-------------
NETHERLANDS (3.7%)
Aegon NV (Insurance)(1).......................... 19,627 1,673,470
Dutch State Mines NV (Chemicals)(1).............. 5,000 456,500
Koninklijke Ahold NV (Retail)(1)................. 50,300 1,341,029
Philips Electronics NV (Electronics)(1).......... 29,050 1,918,692
Royal Dutch Petroleum Co. (Oil-Services)(1)...... 84,160 4,381,677
Unilever NV (Food, Beverages & Tobacco)(1)....... 8,160 474,507
-------------
10,245,875
-------------
NEW ZEALAND (2.2%)
Brierley Investments Ltd. (Financial
Services)(1)................................... 780,000 553,233
Carter Holt Harvey Ltd. (Forest Products &
Paper)(1)...................................... 300,100 434,960
Fletcher Challenge Building Division Ltd.
(Building Materials)(1)........................ 306,600 894,435
Fletcher Challenge Paper Division Ltd. (Forest
Products & Paper)(1)........................... 337,200 430,500
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ -------------
<S> <C> <C>
NEW ZEALAND (CONTINUED)
Lion Nathan Ltd. (Food, Beverages &
Tobacco)(1).................................... 405,200 $ 959,657
Telecom Corp. of New Zealand Ltd.
(Telecommunications)(1)........................ 524,200 2,689,898
-------------
5,962,683
-------------
NORWAY (2.1%)
Kvaerner ASA (Series B) (Capital Goods)(1)....... 34,400 1,568,904
Norsk Hydro ASA (Oil-Services)(1)................ 18,000 927,309
Nycomed Amersham PLC (Biotechnology)+(1)......... 66,014 2,157,088
Storebrand ASA (A Shares) (Insurance)+(1)........ 154,441 1,050,112
-------------
5,703,413
-------------
PAKISTAN (0.4%)
Fauji Fertilizer Co. Ltd. (Chemicals)+(1)........ 250,000 516,975
Hub Power Co. (GDR) (Utilities)+(1).............. 22,200 677,100
-------------
1,194,075
-------------
PERU (0.6%)
Cementos Lima, SA (Spon. ADR) (Building
Materials)(1).................................. 38,900 758,550
Telefonica del Peru SA (Class B)
(Telecommunication Services)(1)................ 377,600 785,151
-------------
1,543,701
-------------
PHILIPPINES (0.1%)
Philippine Long Distance Telephone Co. (ADR)
(Telecommunications)(1)........................ 15,843 392,114
-------------
PORTUGAL (0.5%)
Banco Comercial Portugues SA (Banking)(1)........ 40,000 843,460
Portugal Telecom SA (ADR)
(Telecommunications)(1)........................ 12,800 587,200
-------------
1,430,660
-------------
RUSSIA (2.0%)
AO Mosenergo (Spon. ADR) (Electric)+(1).......... 30,100 1,076,075
AO Tatneft (Spon. ADR) (144A)
(Oil-Production)(1)............................ 17,700 2,239,050
Lukoil Holding (Spon. ADR) (Oil-Production)(1)... 29,000 2,211,250
-------------
5,526,375
-------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
23
<PAGE>
THE INTERNATIONAL OPPORTUNITIES PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
NOVEMBER 30, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ -------------
<S> <C> <C>
SINGAPORE (2.6%)
City Developments Ltd. (Real Estate)(1).......... 198,000 $ 975,992
Fraser & Neave Ltd. (Food, Beverages &
Tobacco)(1).................................... 165,000 823,688
Keppel Telecom & Transport (Transport &
Services)(1)................................... 407,000 299,014
Osprey Maritime Ltd. (Transport & Services)(1)... 803,000 862,230
Sembawang Marine & Logistics Ltd. (Transport &
Services)(1)................................... 190,000 458,138
Singapore Airlines Ltd. (Airlines)(1)............ 201,000 1,312,626
United Overseas Bank Ltd. (Banking)(1)........... 308,000 1,837,325
Wong's Circuits Holdings Ltd.
(Semiconductors)+(1)........................... 360,000 504,000
-------------
7,073,013
-------------
SOUTH AFRICA (1.1%)
Billiton PLC (Metals & Mining)+(1)............... 509,300 1,258,426
JD Group Ltd. (Retail)(1)........................ 365 2,510
South Africa Breweries Ltd. (Food, Beverages &
Tobacco)(1).................................... 75,700 1,854,880
-------------
3,115,816
-------------
SOUTH KOREA (1.0%)
Korea Electric Power Corp. (ADR) (Electric)(1)... 129,600 1,174,500
Pohang Iron & Steel Co. Ltd. (ADR) (Metals &
Mining)(1)..................................... 28,500 475,594
Samsung Electronics Co. Ltd. (GDR represents 1/2
non-voting preferred share) (144A)
(Electronics)(1)............................... 32,940 293,989
Samsung Electronics Co. Ltd. (GDR represents 1/2
voting common share)(144A) (Electronics)+(1)... 33,214 730,708
-------------
2,674,791
-------------
SPAIN (3.1%)
Banco Bilbao Vizcaya SA (Banking)(1)............. 80,300 2,425,827
Iberdrola SA (Electric)(1)....................... 382,100 4,881,143
Repsol SA (Gas Exploration)(1)................... 18,200 787,192
Vallehermoso SA (Real Estate)(1)................. 14,562 427,217
-------------
8,521,379
-------------
SWEDEN (3.8%)
Autoliv, Inc. (SDR) (Automotive Supplies)(1)..... 91,600 3,499,817
Incentive AB (B Shares) (Pharmaceuticals)(1)..... 29,854 2,667,961
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ -------------
<S> <C> <C>
SWEDEN (CONTINUED)
Skandia Forsakrings AB (Insurance)(1)............ 60,520 $ 3,190,224
SKF AB (A Shares) (Capital Goods)(1)............. 43,200 973,556
-------------
10,331,558
-------------
SWITZERLAND (5.0%)
ABB AG (Machinery)(1)............................ 950 1,264,055
Ciba Specialty Chemicals AG (Chemicals)+(1)...... 15,000 1,596,596
Nestle SA (Food, Beverages & Tobacco)(1)......... 2,890 4,252,835
Novartis AG (Pharmaceuticals)(1)................. 748 1,195,172
Roche Holding AG (Pharmaceuticals)(1)............ 214 1,915,313
Union Bank of Switzerland (Banking)(1)........... 2,633 3,351,990
-------------
13,575,961
-------------
TAIWAN (0.8%)
Asia Cement Corp. (GDS) (Building
Materials)(1).................................. 30,122 351,672
Asustek Computer Inc. (GDR) (Computer
Peripherals)+(1)............................... 68,800 1,130,900
Yageo Corp. (GDR) (Electronics)+(1).............. 64,600 718,675
-------------
2,201,247
-------------
THAILAND (0.5%)
Bangkok Bank Public Co. Ltd. (Banking)(1)........ 166,700 496,993
Banpu Public Co. Ltd. (Metals & Mining)(1)....... 89,000 477,614
Siam Cement Public Co. Ltd. (Building
Materials)(1).................................. 47,400 372,134
-------------
1,346,741
-------------
TURKEY (1.1%)
Koc Holding AS (Multi - Industry)(1)............. 12,897,000 3,065,926
-------------
UNITED KINGDOM (13.4%)
Allied Colloids Group PLC (Chemicals)(1)......... 291,300 822,061
Bass PLC (Food, Beverages & Tobacco)(1).......... 65,800 942,309
BAT Industries PLC (Food, Beverages &
Tobacco)(1).................................... 94,200 844,328
Billiton PLC (Metals & Mining)+(1)............... 249,600 613,968
British Airways PLC (Airlines)(1)................ 60,400 546,462
British Petroleum Co. PLC (Oil-Services)(1)...... 147,384 2,011,333
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
24
<PAGE>
THE INTERNATIONAL OPPORTUNITIES PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
NOVEMBER 30, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ -------------
<S> <C> <C>
UNITED KINGDOM (CONTINUED)
Cadbury Schweppes PLC (Food, Beverages &
Tobacco)(1).................................... 115,000 $ 1,191,575
General Cable PLC (Broadcasting &
Publishing)+(1)................................ 85,100 139,075
Glaxo Wellcome PLC (Pharmaceuticals)(1).......... 85,500 1,872,656
Glynwed International PLC (Metals & Mining)(1)... 206,300 802,897
Great Universal Stores PLC (Retail)(1)........... 115,300 1,350,090
Guardian Royal Exchange PLC (Insurance)(1)....... 80,600 387,016
Guinness PLC (Food, Beverages & Tobacco)(1)...... 111,600 1,009,688
HSBC Holdings PLC (75p) (Banking)(1)............. 73,300 1,863,553
Hyder PLC (Water)(1)............................. 92,300 1,460,212
Kingfisher PLC (Retail)(1)....................... 57,400 789,134
Lloyds TSB Group PLC (Banking)(1)................ 149,100 1,695,626
Lucas Varity PLC (Automotive Supplies)(1)........ 299,800 959,696
MEPC PLC (Real Estate)(1)........................ 105,700 950,966
Norwich Union PLC (Insurance)+(1)................ 168,648 1,017,215
Nycomed Amersham PLC (Biotechnology)(1).......... 22,000 741,312
Prudential Corp. PLC (Insurance)(1).............. 38,000 408,463
Racal Electronic PLC (Telecommunications-
Equipment)(1).................................. 260,600 950,563
Rank Group PLC (Entertainment, Leisure &
Media)(1)...................................... 133,300 775,937
Reed International PLC (Broadcasting &
Publishing)(1)................................. 92,900 986,846
RMC Group PLC (Building Materials)(1)............ 59,200 893,672
Royal Bank of Scotland Group PLC (Banking)(1).... 220,000 2,524,168
Sainsbury (J.) PLC (Retail)(1)................... 155,400 1,275,054
Scottish Power PLC (Electric)(1)................. 232,900 1,883,472
Shell Transport & Trading Co.
(Oil-Services)(1).............................. 73,000 495,652
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ -------------
<S> <C> <C>
UNITED KINGDOM (CONTINUED)
United News & Media PLC (Broadcasting &
Publishing)(1)................................. 61,300 $ 771,489
Vodafone Group PLC (Telecommunications)(1)....... 284,400 1,897,463
Zeneca Group PLC (Pharmaceuticals)(1)............ 57,100 1,818,220
-------------
36,692,171
-------------
VENEZUELA (0.3%)
Compania Anonima Nacional Telefonos de Venezuela
(ADR) (Telecommunication Services)(1).......... 23,700 936,150
-------------
TOTAL COMMON STOCK (COST $255,825,811)......... 245,115,450
-------------
PREFERRED STOCK (3.0%)
AUSTRALIA (0.7%)
News Corporation Ltd. (Broadcasting &
Publishing)(1)................................. 404,400 1,970,700
-------------
AUSTRIA (0.5%)
Bank Austria AG (Banking)+(1).................... 34,932 1,435,086
-------------
BRAZIL (0.6%)
Telecomunicacoes Brasileiras SA (ADR)
(Telecommunications)(1)........................ 14,180 1,480,037
-------------
GERMANY (1.2%)
Jungheinrich AG (Machinery)(1)................... 2,300 355,987
ProSieben Media AG (Broadcasting &
Publishing)+(1)................................ 38,000 1,822,625
RWE AG (Utilities)(1)............................ 28,510 1,148,430
-------------
3,327,042
-------------
TOTAL PREFERRED STOCK (COST $7,731,607)........ 8,212,865
-------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
25
<PAGE>
THE INTERNATIONAL OPPORTUNITIES PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
NOVEMBER 30, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ -------------
<S> <C> <C>
RIGHTS (0.3%)
INDONESIA (0.0%)(2)
P.T. Matahari Putra Prima, Expiring 12/03/97
(Retail)+(1)................................... 2,620,000 $ 32,324
-------------
ITALY (0.3%)
Banco Ambrosiano Veneto SPA, Expiring 12/19/97
(right to shares & warrants) (Banking)+(1)..... 750,000 716,125
Banco Ambrosiano Veneto SPA, Expiring 12/19/97
(right to convertible bonds) (Banking)+(1)..... 750,000 92,011
-------------
808,136
-------------
TOTAL RIGHTS (COST $256,030)................... 840,460
-------------
WARRANTS (0.2%)
GERMANY (0.1%)
Muenchener Rueckversicherungs-Gesellschaft AG,
Expiring 03/13/98 (Insurance)+(1).............. 1,050 441,709
-------------
HONG KONG (0.0%)(2)
Guangdong Investment Ltd., Expiring 07/30/99
(Holding Companies)+(1)........................ 46,400 6,723
-------------
JAPAN (0.1%)
Fujitsu Ltd., Expiring 06/25/99 (Computer
Systems)+(1)................................... 37 81,175
Kyocera Corp., Expiring 01/23/98 (Electrical
Equipment)+(1)................................. 137 8,563
Shin-Etsu Chemical Co. Ltd., Expiring 08/01/00
(Chemicals)+(1)................................ 60 148,500
-------------
238,238
-------------
TOTAL WARRANTS (COST $905,957)................. 686,670
-------------
<CAPTION>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- ------------------------------------------------- ------------ -------------
<S> <C> <C>
CONVERTIBLE BONDS (0.8%)
(IN JPY)
------------
JAPAN (0.3%)
BOT Cayman Finance Ltd., 4.25% due 03/29/49
(Financial Services)........................... 70,000,000 $ 617,042
STB Cayman Capital, (144A) 0.50% due 10/01/07
(Financial Services)........................... 30,000,000 193,927
-------------
810,969
-------------
(IN DEM)
------------
POLAND (0.5%)
Elektrim Spolka Akcyjna SA (144A), 2.00% due
05/30/04 (Electronics)......................... 2,602,000 1,357,183
-------------
TOTAL CONVERTIBLE BONDS (COST $2,711,172)...... 2,168,152
-------------
SHORT-TERM INVESTMENTS (2.2%)
REPURCHASE AGREEMENT (2.0%)
State Street Bank and Trust Repurchase Agreement,
5.00% due 12/01/97, dated 11/28/97, proceeds
$5,338,223 (collateralized by U.S. Treasury
Bond, 8.125% due 08/15/19, valued at
$5,445,902) (Banking).......................... $ 5,336,000 5,336,000
-------------
U.S. TREASURY OBLIGATIONS (0.2%)
United States Treasury Bills, 5.35%* due 04/09/98
(Government Obligations)(1).................... 620,000 608,247
-------------
TOTAL SHORT-TERM INVESTMENTS (COST
$5,944,679)................................... 5,944,247
-------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
26
<PAGE>
THE INTERNATIONAL OPPORTUNITIES PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
NOVEMBER 30, 1997
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
LOCAL
SECURITY DESCRIPTION CURRENCY
------------------------- ------------ VALUE
-------------
FOREIGN CURRENCY (6.1%)
Argentine Peso..................... ARS 995 $ 995
Australian Dollar.................. AUD 486,276 332,729
Austrian Schilling................. ATS 14,613,126 1,177,138
Belgian Franc...................... BEL 34,081,195 936,553
Brazilian Real..................... BRL 10,684 9,631
British Pound...................... GBP 171,914 289,641
Czech Koruna....................... CZK 391,500 11,362
Finnish Markka..................... FIM 4,083,948 766,064
French Franc....................... FRF 61,725 10,455
German Mark........................ DEM 1,140,892 646,827
Greek Drachma...................... GRD 291,289,579 1,052,403
Hong Kong Dollar................... HKD 3,996,977 517,054
Hungarian Forint................... HUF 56,864,687 285,115
Indonesian Rupiah.................. IDR7,146,888,050 1,959,392
Irish Punt......................... IEP 10,538 15,628
Italian Lira....................... ITL 3,247,495,720 1,879,283
Japanese Yen....................... JPY 125,745 985,270
Malaysian Ringgit.................. MYR 1,006,912 288,428
Netherlands Guilder................ NLG 11 6
New Zealand Dollar................. NZD 97,679 60,244
Norwegian Krone.................... NOK 6,324,882 879,461
Peruvian New Sol................... PEN 20,191 7,418
Philippine Peso.................... PHP 2,869 82
Portuguese Escudo.................. PTE 979,921 5,438
Singapore Dollar................... SGD 2,913,865 1,829,705
South African Rand................. ZAR 58,037 11,950
Spanish Peseta..................... ESP 306,460,782 2,055,071
Swedish Krona...................... SBK 4,596,017 595,264
Thailand Baht...................... THB 484,503 12,037
Turkish Lira....................... TRL 220,806,298 1,129
------------
TOTAL FOREIGN CURRENCY
(COST $16,827,325)............................................ 16,621,773
------------
TOTAL INVESTMENTS AND FOREIGN CURRENCY (COST $290,202,581)
(102.1%)........................................................ 279,589,617
LIABILITIES IN EXCESS OF OTHER ASSETS (-2.1%)....................
(5,615,209)
------------
NET ASSETS (100.0%).............................................. $273,974,408
------------
------------
</TABLE>
- ------------------------------
Note: Based on the cost of investments of $274,275,811 for federal income tax
purposes at November 30, 1997, the aggregate gross unrealized appreciation and
depreciation was $16,014,289 and $27,322,256, respectively, resulting in net
unrealized depreciation of $11,307,967.
+ - Non-income producing securities.
* - Yield to maturity.
(1) - Security fully or partially segregated with custodian as collateral for
futures contracts or with broker as initial margin for futures contracts.
(2) - Less than 0.1%
ADR - American Depository Receipt
ADS - American Depository Shares
GDR - Global Depository Receipt
GDS - Global Depository Shares
SDR - Swedish Depository Receipt
Spon. ADR - Sponsored ADR
144A - Securities restricted for resale to Qualified Institutional Buyers.
The Accompanying Notes are an Integral Part of the Financial Statements.
27
<PAGE>
THE INTERNATIONAL OPPORTUNITIES PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
NOVEMBER 30, 1997
- --------------------------------------------------------------------------------
INDUSTRY DIVERSIFICATION
<TABLE>
<CAPTION>
PERCENT OF
TOTAL INVESTMENTS
-------------------
<S> <C>
Banking......................................................................................... 14.0%
Food, Beverages & Tobacco....................................................................... 6.7%
Insurance....................................................................................... 5.6%
Metals & Mining................................................................................. 5.5%
Pharmaceuticals................................................................................. 5.4%
Chemicals....................................................................................... 4.3%
Oil-Services.................................................................................... 4.2%
Telecommunications.............................................................................. 4.0%
Electric........................................................................................ 3.6%
Electronics..................................................................................... 3.6%
Utilities....................................................................................... 3.5%
Oil-Production.................................................................................. 3.2%
Retail.......................................................................................... 2.9%
Building Materials.............................................................................. 2.8%
Multi-Industry.................................................................................. 2.2%
Broadcasting & Publishing....................................................................... 2.2%
Telecommunication Services...................................................................... 2.2%
Automotive Supplies............................................................................. 2.1%
Automotive...................................................................................... 1.8%
Electrical Equipment............................................................................ 1.7%
Forest Products & Paper......................................................................... 1.7%
Real Estate..................................................................................... 1.6%
Financial Services.............................................................................. 1.6%
Biotechnology................................................................................... 1.4%
Airlines........................................................................................ 1.2%
Entertainment, Leisure & Media.................................................................. 1.1%
Machinery....................................................................................... 1.1%
Capital Goods................................................................................... 1.0%
Construction & Housing.......................................................................... 0.8%
Computer Software............................................................................... 0.8%
Business & Public Services...................................................................... 0.6%
Transport & Services............................................................................ 0.6%
Water........................................................................................... 0.6%
Commercial Services............................................................................. 0.5%
Computer Peripherals............................................................................ 0.4%
Diversified Manufacturing....................................................................... 0.4%
Appliances & Household Durables................................................................. 0.4%
Telecommunications-Equipment.................................................................... 0.4%
Gas Exploration................................................................................. 0.3%
Computer Systems................................................................................ 0.3%
Household Products.............................................................................. 0.3%
Railroads....................................................................................... 0.3%
Wholesale & International Trade................................................................. 0.2%
Government Obligations.......................................................................... 0.2%
Packaging & Containers.......................................................................... 0.2%
Miscellaneous................................................................................... 0.2%
Semiconductors.................................................................................. 0.2%
Manufacturing................................................................................... 0.1%
Holding Companies............................................................................... 0.0%(1)
-------------------
100.0%
-------------------
-------------------
</TABLE>
- ------------------------------
(1) - Less than 0.1%
The Accompanying Notes are an Integral Part of the Financial Statements.
28
<PAGE>
THE INTERNATIONAL OPPORTUNITIES PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
NOVEMBER 30, 1997
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments at Value (Cost $273,375,256) $262,967,844
Cash 1,204,048
Foreign Currency at Value (Cost $16,827,325) 16,621,773
Receivable for Investments Sold 3,458,148
Unrealized Appreciation of Forward Foreign
Currency Contracts 2,008,118
Dividends Receivable 295,680
Variation Margin Receivable 46,650
Interest Receivable 21,203
Receivable for Expense Reimbursement 16,260
Deferred Organization Expenses 11,876
Prepaid Expenses and Other Assets 3,369
------------
Total Assets 286,654,969
------------
LIABILITIES
Payable for Investments Purchased 11,525,529
Unrealized Depreciation of Forward Foreign
Currency Contracts 850,765
Advisory Fee Payable 132,127
Custody Fee Payable 118,100
Organization Expenses Payable 12,000
Administrative Services Fee Payable 6,651
Fund Services Fee Payable 359
Administration Fee Payable 240
Accrued Trustees' Fees and Expenses 36
Accrued Expenses 34,754
------------
Total Liabilities 12,680,561
------------
NET ASSETS
Applicable to Investors' Beneficial Interests $273,974,408
------------
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
29
<PAGE>
THE INTERNATIONAL OPPORTUNITIES PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE PERIOD FROM FEBRUARY 26, 1997 (COMMENCEMENT OF OPERATIONS) TO NOVEMBER
30, 1997
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Dividend Income (Net of Foreign Withholding Tax
of $555,695) $ 2,572,519
Interest Income 662,544
------------
Investment Income 3,235,063
EXPENSES
Advisory Fee $ 904,113
Custodian Fees and Expenses 359,981
Professional Fees and Expenses 48,935
Administrative Services Fee 46,055
Printing Expenses 7,334
Fund Services Fee 5,110
Administration Fee 3,446
Amortization of Organization Expense 2,124
Trustees' Fees and Expenses 1,733
Registration Fees 610
Insurance Expense 316
Miscellaneous 1,820
------------
Total Expenses 1,381,577
Less: Reimbursement of Expenses (42,119)
------------
NET EXPENSES 1,339,458
------------
NET INVESTMENT INCOME 1,895,605
NET REALIZED GAIN (LOSS) ON
Investment Transactions (including $37,365 net
realized loss from futures contracts) (4,661,897)
Foreign Currency Transactions 390,733
------------
Net Realized Loss (4,271,164)
NET CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION) OF
Investments (including $135,750 net unrealized
depreciation from futures contracts) (10,543,162)
Foreign Currency Contracts and Translations 976,383
------------
Net Change in Unrealized Depreciation (9,566,779)
------------
NET DECREASE IN NET ASSETS RESULTING FROM
OPERATIONS $(11,942,338)
------------
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
30
<PAGE>
THE INTERNATIONAL OPPORTUNITIES PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE PERIOD
FROM
FEBRUARY 26,
1997
(COMMENCEMENT OF
OPERATIONS) TO
NOVEMBER 30,
1997
----------------
<S> <C>
INCREASE IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 1,895,605
Net Realized Loss on Investment and Foreign
Currency Transactions (4,271,164)
Net Change in Unrealized Depreciation of
Investments and Foreign Currency Translations (9,566,779)
----------------
Net Decrease in Net Assets Resulting from
Operations (11,942,338)
----------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS
Contributions 311,281,790
Withdrawals (25,365,044)
----------------
Net Increase from Investors' Transactions 285,916,746
----------------
Total Increase in Net Assets 273,974,408
NET ASSETS
Beginning of Period --
----------------
End of Period $ 273,974,408
----------------
----------------
</TABLE>
- --------------------------------------------------------------------------------
SUPPLEMENTARY DATA
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE PERIOD
FROM
FEBRUARY 26,
1997
(COMMENCEMENT OF
OPERATIONS) TO
NOVEMBER 30,
1997
----------------
<S> <C>
RATIOS TO AVERAGE NET ASSETS
Expenses 0.89%(a)
Net Investment Income 1.26%(a)
Decrease Reflected in Expense Ratio due to
Expense Reimbursement 0.03%(a)
Portfolio Turnover 72%
Average Broker Commissions $ 0.0057
</TABLE>
- ------------------------
(a) Annualized.
The Accompanying Notes are an Integral Part of the Financial Statements.
31
<PAGE>
THE INTERNATIONAL OPPORTUNITIES PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
NOVEMBER 30, 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 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'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
32
<PAGE>
THE INTERNATIONAL OPPORTUNITIES PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
NOVEMBER 30, 1997
- --------------------------------------------------------------------------------
exchange rates prevailing on the respective dates of such transactions.
Translation gains and losses resulting from changes in exchange rates
during the reporting period and gains and losses realized upon settlement
of foreign currency transactions are reported in the Statement of
Operations.
Although the net assets of the Portfolio are presented at the exchange
rates and market values prevailing at the end of the period, the Portfolio
does not isolate the portion of the results of operations arising as a
result of changes in foreign exchange rates from the fluctuations arising
from changes in the market prices of securities during the period.
c) Securities transactions are recorded on a trade date basis. Dividend
income is recorded on the ex-dividend date or as of the time that the
relevant ex-dividend date and amount become known. Interest income, which
includes the amortization of premiums and discounts, if any, is recorded
on an accrual basis. For financial and tax reporting purposes, realized
gains and losses are determined on the basis of specific lot
identification.
d) The Portfolio may enter into forward and spot foreign currency contracts
to protect securities and related receivables and payables against
fluctuations in future foreign currency rates. A forward contract is an
agreement to buy or sell currencies of different countries on a specified
future date at a specified rate. Risks associated with such contracts
include the movement in the value of the foreign currency relative to the
U.S. dollar and the ability of the counterparty to perform.
The market value of the contract will fluctuate with changes in currency
exchange rates. Contracts are valued daily based on procedures established
by and under the general supervision of the Portfolio's Trustees and the
change in the market value is recorded by the Portfolio as unrealized
appreciation or depreciation of foreign currency translations. At November
30, 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 11/30/97 (DEPRECIATION)
- ------------------------------------------------- ------------- ----------- --------------
<S> <C> <C> <C>
German Mark 9,420,040, expiring 1/16/98.......... $ 5,440,000 $ 5,356,684 $ (83,316)
Japanese Yen 240,685,425, expiring 1/16/98....... 2,025,000 1,901,478 (123,522)
Japanese Yen 237,238,875, expiring 1/16/98....... 2,025,000 1,874,250 (150,750)
Japanese Yen 169,698,650, expiring 1/16/98....... 1,345,000 1,340,664 (4,336)
Japanese Yen 168,926,620, expiring 1/16/98....... 1,345,000 1,334,565 (10,435)
</TABLE>
33
<PAGE>
THE INTERNATIONAL OPPORTUNITIES PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
NOVEMBER 30, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
U.S. DOLLAR NET UNREALIZED
VALUE AT APPRECIATION/
SALES CONTRACTS COST/PROCEEDS 11/30/97 (DEPRECIATION)
- ------------------------------------------------- ------------- ----------- --------------
<S> <C> <C> <C>
Australian Dollar 17,831,567, expiring 1/16/98... $ 12,914,055 $12,217,327 $ 696,728
Australian Dollar 1,185,804, expiring 1/16/98.... 834,391 812,456 21,935
Belgian Franc 135,664,400, expiring 1/16/98...... 3,768,874 3,740,058 28,816
British Pound 5,023,627, expiring 1/16/98........ 8,093,968 8,444,505 (350,537)
French Franc 8,907,070, expiring 1/16/98......... 1,523,357 1,513,626 9,731
Irish Punt 411,158, expiring 1/16/98............. 603,148 609,346 (6,198)
Italian Lira 7,800,676,000, expiring 1/16/98..... 4,540,292 4,512,745 27,547
Japanese Yen 2,301,999,813, expiring 1/16/98..... 19,204,937 18,186,404 1,018,533
Japanese Yen 685,244,160, expiring 1/16/98....... 5,440,000 5,413,609 26,391
Japanese Yen 66,346,917, expiring 1/16/98........ 546,000 524,158 21,842
Norwegian Krone, 6,900,000, expiring 1/16/98..... 982,416 962,341 20,075
New Zealand Dollar 5,310,492, expiring 1/16/98... 3,406,521 3,270,001 136,520
Singapore Dollar 2,193,745, expiring 1/16/98..... 1,355,000 1,372,418 (17,418)
Singapore Dollar 4,407,070, expiring 1/16/98..... 2,750,122 2,757,086 (6,964)
Swiss Franc 7,357,000, expiring 1/16/98.......... 5,093,307 5,190,596 (97,289)
--------------
Net Unrealized Appreciation on Forward Foreign
Currency Contracts.............................. $ 1,157,353
--------------
--------------
</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
34
<PAGE>
THE INTERNATIONAL OPPORTUNITIES PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
NOVEMBER 30, 1997
- --------------------------------------------------------------------------------
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 November 30, 1997, are summarized as
follows:
<TABLE>
<CAPTION>
PRINCIPAL AMOUNT
NUMBER OF CONTRACTS OF CONTRACTS
------------------- ----------------
<S> <C> <C>
Contracts opened - long positions................ 220 $ 36,074,005
Contracts opened - short positions............... 10 1,197,249
Contracts closed - long positions................ (176) (28,104,243)
Contracts closed - short positions............... (10) (1,197,249)
------------------- ----------------
Contracts open at end of period.................. 44 $ 7,969,762
------------------- ----------------
------------------- ----------------
</TABLE>
SUMMARY OF OPEN CONTRACTS AT NOVEMBER 30, 1997
<TABLE>
<CAPTION>
NET UNREALIZED
APPRECIATION/
CONTRACTS LONG (DEPRECIATION)
-------------- --------------
<S> <C> <C>
Financial Times - Stock Exchange 100-Share Index,
expiring December 1997.......................... 9 $ (85,083)
DAX Index, expiring December 1997................ 20 56,786
Topix Index, expiring December 1997.............. 15 (107,453)
-------------- --------------
Totals........................................... 44 $ (135,750)
-------------- --------------
-------------- --------------
</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 may be subject to taxes
imposed by countries in which it invests. Such taxes are generally based
on income and/or capital gains earned. Taxes are accrued and applied to
net investment income, net realized capital gains and net unrealized
appreciation, as applicable, as the income and/or capital gains are
earned.
h) The Portfolio incurred organization expenses in the amount of $14,000.
Morgan Guaranty Trust Company of New York ("Morgan") has paid 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.
35
<PAGE>
THE INTERNATIONAL OPPORTUNITIES PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
NOVEMBER 30, 1997
- --------------------------------------------------------------------------------
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 November 30, 1997, such
fees amounted to $904,113.
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 subject to similar
agreements with FDI. For the period from February 26, 1997 (commencement
of operations) to November 30, 1997, the fee for these services amounted
to $3,446.
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 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 from February 26, 1997 (commencement of
operations) to November 30, 1997, the fee for these services amounted to
$46,055.
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 31, 1998. For the period from February 26, 1997 (commencement of
operations) to November 30, 1997, Morgan has agreed to reimburse the
Portfolio $42,119 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
36
<PAGE>
THE INTERNATIONAL OPPORTUNITIES PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
NOVEMBER 30, 1997
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the Portfolio represent all the existing shareholders of Group. The
Portfolio's allocated portion of Group's costs in performing its services
amounted to $5,110 for the period from February 26, 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. 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 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 $1,000.
3. INVESTMENT TRANSACTIONS
Investment transactions (excluding short-term investments) for the period from
February 26, 1997 (commencement of operations) to November 30, 1997 were as
follows:
<TABLE>
<CAPTION>
COST OF PROCEEDS
PURCHASES FROM SALES
-------------- --------------
<S> <C>
$ 398,850,455 $ 126,798,165
</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.
37
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
To the Trustees and Shareholders of
The International Opportunities Portfolio
In our opinion, the accompanying statement of assets and liabilities, including
the schedule of investments, and the related statements of operations and of
changes in net assets and the supplementary data present fairly, in all material
respects, the financial position of The International Opportunities Portfolio
(one of the portfolios comprising part of the Series Portfolio, hereafter
referred to as the "Portfolio") at November 30, 1997, and the results of its
operations, the changes in its net assets and the supplementary data for the
period from February 26, 1997 (commencement of operations) through November 30,
1997, in conformity with generally accepted accounting principles. These
financial statements and supplementary data (hereafter referred to as "financial
statements") are the responsibility of the Portfolio's management; our
responsibility is to express an opinion on these financial statements based on
our audit. We conducted our audit of these financial statements in accordance
with generally accepted auditing standards which require that we plan and
perform the audit to obtain reasonable assurance about whether the financial
statements are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements, assessing the accounting principles used and significant estimates
made by management, and evaluating the overall financial statement presentation.
We believe that our audit, which included confirmation of securities at November
30, 1997 by correspondence with the custodian and brokers and the application of
alternative auditing procedures where confirmations from brokers were not
received, provides a reasonable basis for the opinion expressed above.
PRICE WATERHOUSE LLP
New York, New York
January 20, 1998
38
