<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
MAY 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ----------- -------------
<S> <C> <C>
COMMON STOCK (98.2%)
BASIC INDUSTRIES (5.1%)
AGRICULTURE (0.1%)
Pioneer Hi-Bred $ 350,175
International, Inc............................. 9,200
-------------
CHEMICALS (3.4%)
Albemarle Corp................................... 2,000 48,625
Crompton & Knowles Corp.......................... 3,400 91,587
Cytec Industries, Inc.+.......................... 2,000 98,000
Dow Chemical Co.................................. 11,200 1,085,000
E.I. Du Pont de Nemours & Co.(s)................. 55,800 4,296,600
Georgia Gulf Corp................................ 100 2,506
Lyondell Petrochemical Co........................ 3,500 109,156
Monsanto Co...................................... 72,500 4,014,687
Nalco Chemical Co................................ 1,800 67,500
Rohm & Haas Co................................... 3,000 329,625
Solutia, Inc..................................... 5,500 150,906
Union Carbide Corp............................... 6,700 334,581
-------------
10,628,773
-------------
FOREST PRODUCTS & PAPER (0.8%)
Boise Cascade Corp............................... 6,100 203,587
Bowater Inc...................................... 3,200 162,000
Champion International Corp...................... 8,100 388,800
Georgia-Pacific Corp............................. 8,500 545,594
Louisiana Pacific Corp........................... 10,100 201,369
Mead Corp........................................ 9,200 286,350
Stone Container Corp.+........................... 19,400 344,350
Temple-Inland, Inc............................... 5,100 299,625
-------------
2,431,675
-------------
METALS & MINING (0.8%)
Alcan Aluminum Ltd............................... 19,200 547,200
Allegheny Teledyne, Inc.......................... 15,100 351,075
Aluminum Company of America (ALCOA).............. 14,200 985,125
Freeport - McMoran Copper & Gold, Inc., Class 156,550
A.............................................. 10,100
Freeport - McMoran Copper & Gold, Inc., Class 26,800
B.............................................. 1,600
Nucor Corp....................................... 1,500 77,250
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ----------- -------------
<S> <C> <C>
METALS & MINING (CONTINUED)
Phelps Dodge Corp................................ 1,500 $ 91,500
Reynolds Metals Co............................... 5,900 342,200
-------------
2,577,700
-------------
TOTAL BASIC INDUSTRIES......................... 15,988,323
-------------
CONSUMER GOODS & SERVICES (23.2%)
APPARELS & TEXTILES (0.2%)
Nike, Inc., Class B.............................. 7,200 331,200
Reebok International Ltd. 192,625
(ADR)+......................................... 6,700
-------------
523,825
-------------
AUTOMOTIVE (2.0%)
Chrysler Corp.................................... 59,500 3,309,650
Cooper Tire & Rubber Co.......................... 12,300 291,356
Dana Corp........................................ 4,400 229,350
Echlin, Inc...................................... 14,900 707,750
General Motors Corp.............................. 1,600 115,100
Goodyear Tire and Rubber Co...................... 16,400 1,178,750
Lear Corp.+...................................... 7,200 384,300
-------------
6,216,256
-------------
BROADCASTING & PUBLISHING (1.4%)
Comcast Corp., Class A........................... 36,000 1,234,125
Cox Communications, Inc., 222,806
Class A+....................................... 5,100
Gannett Company, Inc............................. 2,800 184,625
R.R. Donnelley & Sons Co......................... 14,700 661,500
Tele-Communications TCI Ventures Group+.......... 40,200 699,731
Times Mirror Co., Class A........................ 7,700 492,800
Tribune Co....................................... 300 20,062
U.S. West Media Group+........................... 14,200 526,287
Washington Post Co., Class B..................... 900 486,225
-------------
4,528,161
-------------
ENTERTAINMENT, LEISURE & MEDIA (2.8%)
Circus Circus Enterprises, Inc.+................. 9,900 175,725
Hasbro, Inc...................................... 14,700 562,275
International Game Technology.................... 11,400 281,437
Mattel, Inc...................................... 31,900 1,208,212
MGM Grand, Inc.+................................. 6,000 199,125
Mirage Resorts, Inc.+............................ 18,000 374,625
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
20
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
MAY 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ----------- -------------
<S> <C> <C>
ENTERTAINMENT, LEISURE & MEDIA (CONTINUED)
Seagram Company Ltd.............................. 35,600 $ 1,564,175
Time Warner, Inc................................. 55,200 4,295,250
Viacom, Inc., Class B+........................... 4,400 242,000
-------------
8,902,824
-------------
FOOD, BEVERAGES & TOBACCO (6.5%)
Anheuser Busch Companies, Inc.................... 24,100 1,107,094
Bestfoods........................................ 13,600 767,550
Campbell Soup Co................................. 17,300 942,850
Coca-Cola Co.(s)................................. 48,900 3,832,537
General Mills, Inc............................... 7,900 539,175
H. J. Heinz Company.............................. 18,200 965,737
Kellogg Co....................................... 20,400 842,775
PepsiCo, Inc.(s)................................. 72,600 2,962,987
Philip Morris Companies, Inc.(s)................. 106,000 3,961,750
Ralston-Ralston Purina Group..................... 6,300 701,269
Sara Lee Corp.................................... 22,100 1,301,137
Unilever NV (ADR)................................ 31,900 2,518,106
-------------
20,442,967
-------------
HOUSEHOLD APPLIANCES & FURNISHINGS (0.4%)
Furniture Brands 147,500
International, Inc.+........................... 5,000
Leggett & Platt, Inc............................. 10,600 532,650
Whirlpool Corp................................... 7,300 498,681
-------------
1,178,831
-------------
HOUSEHOLD PRODUCTS (1.9%)
Clorox Co........................................ 2,200 183,700
Procter & Gamble Co.(s).......................... 66,900 5,615,419
Rubbermaid, Inc.................................. 7,700 251,212
-------------
6,050,331
-------------
MISCELLANEOUS (0.3%)
Service Corp. International...................... 26,400 1,079,100
-------------
PERSONAL CARE (1.0%)
Gillette Co...................................... 28,000 3,279,500
-------------
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ----------- -------------
<S> <C> <C>
RESTAURANTS & HOTELS (1.2%)
Extended Stay America, Inc.+..................... 3,800 $ 41,800
McDonald's Corp.................................. 57,500 3,773,437
-------------
3,815,237
-------------
RETAIL (5.3%)
Albertson's, Inc................................. 5,000 231,562
American Stores Co............................... 25,700 640,894
AutoZone, Inc.+.................................. 14,400 478,800
Best Buy Co., Inc.+.............................. 8,800 287,100
Circuit City Stores, Inc......................... 9,200 389,850
CompUSA, Inc.+................................... 8,800 138,600
Corporate Express, Inc.+......................... 8,700 100,866
Dayton Hudson Corp............................... 40,800 1,892,100
Dillard's, Inc., Class A......................... 9,800 412,212
Federated Department 1,020,706
Stores, Inc.+.................................. 19,700
Footstar, Inc.+.................................. 100 4,419
General Nutrition Companies, Inc.+............... 7,700 242,791
Hannaford Brothers Co............................ 3,700 163,494
Home Depot, Inc.................................. 15,100 1,186,294
Kmart Corp.+..................................... 45,600 883,500
Kroger Co.+...................................... 23,900 1,026,206
May Department Stores Co......................... 15,600 1,003,275
Nine West Group, Inc.+........................... 1,000 28,187
Safeway, Inc.+................................... 44,900 1,636,044
Sears, Roebuck & Co.............................. 36,800 2,274,700
TJX Companies, Inc............................... 15,600 729,300
Toys 'R' Us, Inc.+............................... 26,000 689,000
Wal-Mart Stores, Inc.(s)......................... 21,900 1,208,606
-------------
16,668,506
-------------
TEXTILES (0.2%)
Fruit of the Loom, Inc., Class A+................ 6,900 247,969
Unifi, Inc....................................... 6,300 245,306
-------------
493,275
-------------
TOTAL CONSUMER GOODS & SERVICES................ 73,178,813
-------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
21
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
MAY 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ----------- -------------
<S> <C> <C>
ENERGY (7.6%)
GAS EXPLORATION (0.1%)
Anadarko Petroleum Corp.......................... 1,500 $ 99,000
Union Pacific Resources 255,150
Group, Inc..................................... 12,600
-------------
354,150
-------------
OIL-PRODUCTION (6.7%)
Ashland, Inc..................................... 3,900 194,512
Atlantic Richfield Co............................ 17,000 1,340,875
Chevron Corp..................................... 34,600 2,763,675
Exxon Corp.(s)................................... 129,500 9,129,750
Mobil Corp....................................... 41,400 3,229,200
Phillips Petroleum Co............................ 13,800 690,862
Royal Dutch Petroleum Co. (ADR)(s)............... 22,400 1,255,800
Sun Company, Inc................................. 3,400 144,500
Texaco, Inc...................................... 28,600 1,651,650
Tosco Corp....................................... 7,900 250,825
Unocal Corp...................................... 12,500 445,312
Valero Energy Corp............................... 2,500 81,562
-------------
21,178,523
-------------
OIL-SERVICES (0.8%)
Baker Hughes, Inc................................ 8,500 306,000
Cooper Cameron Corp.+............................ 2,600 154,700
Diamond Offshore Drilling, Inc................... 3,600 172,125
Input/Output, Inc.+.............................. 1,000 22,000
R&B Falcon Corp.+................................ 8,300 238,106
Schlumberger Ltd................................. 20,800 1,623,700
-------------
2,516,631
-------------
TOTAL ENERGY................................... 24,049,304
-------------
FINANCE (17.6%)
BANKING (8.4%)
Ahmanson, (H.F.) and Co.......................... 7,400 564,250
Associated Banc - Corp........................... 2,200 109,175
Banc One Corp.................................... 14,000 771,750
BankAmerica Corp................................. 33,700 2,786,569
Bankers Trust New York Corp...................... 4,000 494,000
Charter One Financial, Inc....................... 7,400 252,987
Chase Manhattan Corp............................. 17,000 2,310,937
Citicorp......................................... 23,600 3,519,350
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ----------- -------------
<S> <C> <C>
BANKING (CONTINUED)
Colonial BancGroup, Inc.......................... 1,700 $ 55,037
Crestar Financial Corp........................... 1,600 91,900
Dime Bancorp, Inc................................ 5,100 148,856
First American Corp.............................. 2,100 97,059
First Chicago NBD Corp........................... 11,000 961,812
First Commerce Corp.............................. 8,900 685,578
First Commerical Corp............................ 5,000 344,844
First Empire State Corp.+........................ 400 203,200
First Hawaiian, Inc.............................. 200 7,550
First Tennessee National Corp.................... 7,000 221,812
First Union Corp................................. 44,700 2,472,469
Firstar Corp..................................... 6,500 238,469
Fleet Financial Group, Inc....................... 5,500 451,000
Golden West Financial Corp....................... 2,500 270,000
GreenPoint Financial Corp........................ 3,600 148,275
Huntington Bancshares, Inc....................... 7,800 254,719
KeyCorp.......................................... 19,500 739,781
Long Island Bancorp, Inc......................... 3,200 197,700
Marshall & Ilsley Corp........................... 400 21,562
MBNA Corp........................................ 20,900 662,269
Mercantile Bancorporation, Inc................... 6,000 306,750
Mercantile Bankshares Corp....................... 2,400 85,050
National Commerce Bancorporation................. 2,000 88,562
NationsBank Corp.(s)............................. 39,200 2,969,400
North Fork Bancorporation, Inc................... 1,200 28,875
Pacific Century Financial Corp................... 3,300 82,706
Peoples Heritage Financial 76,394
Group, Inc..................................... 3,400
Provident Financial Group, Inc................... 1,900 97,078
Republic New York Corp........................... 2,500 321,094
Southtrust Corp.................................. 7,800 316,144
Sovereign Bancorp, Inc........................... 7,000 124,031
Star Banc Corp................................... 3,600 219,600
TCF Financial Corp............................... 4,100 133,506
Trans Financial, Inc............................. 1,000 53,281
Union Planters Corp.............................. 3,400 198,900
Washington Federal, Inc.......................... 1,700 47,175
Washington Mutual, Inc........................... 9,200 650,612
Wells Fargo & Co................................. 3,700 1,337,550
Westamerica Bancorporation....................... 1,200 37,125
-------------
26,256,743
-------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
22
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
MAY 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ----------- -------------
<S> <C> <C>
FINANCIAL SERVICES (5.3%)
American Express Co.............................. 19,600 $ 2,011,450
Associates First Capital Corp., 1,182,037
Class A........................................ 15,800
Bear Stearns Companies, Inc...................... 5,000 271,250
Beneficial Corp.................................. 2,800 375,200
Capital One Financial Corp....................... 2,800 279,475
ContiFinancial Corp.+............................ 1,900 53,556
Edwards (A.G.), Inc.............................. 4,000 161,750
Equifax, Inc..................................... 15,200 552,900
Federal Home Loan Mortgage Corp.................. 31,000 1,410,500
Federal National Mortgage Association............ 47,500 2,844,062
Finova Group, Inc................................ 2,600 143,812
Green Tree Financial Corp........................ 3,000 120,562
Household International, Inc..................... 4,000 541,250
Lehman Brothers Holdings, Inc.................... 4,000 283,750
Merrill Lynch & Company, Inc..................... 11,900 1,065,050
Money Store, Inc................................. 1,800 59,400
Morgan Stanley, Dean Witter, Discover & Co....... 27,500 2,146,719
Ocwen Financial Corp.+........................... 2,300 56,062
Providian Financial Corp......................... 4,400 279,950
Travelers Group, Inc............................. 45,400 2,769,400
-------------
16,608,135
-------------
INSURANCE (3.9%)
Allstate Corp.................................... 23,800 2,240,175
Ambac Financial Group, Inc....................... 4,000 218,750
American International 4,692,494
Group, Inc..................................... 37,900
Chubb Corp....................................... 200 15,912
CIGNA Corp....................................... 11,600 794,600
Financial Security Assurance Holdings Ltd........ 1,500 88,875
Fremont General Corp............................. 1,900 108,656
General Re Corp.................................. 3,400 747,575
Marsh & McLennan 849,356
Companies, Inc................................. 9,700
MBIA, Inc........................................ 5,500 410,094
Ohio Casualty Corp............................... 1,300 62,969
PMI Group, Inc................................... 1,600 120,300
SAFECO Corp...................................... 7,100 331,481
St. Paul Companies, Inc.......................... 11,000 488,125
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ----------- -------------
<S> <C> <C>
INSURANCE (CONTINUED)
Torchmark Corp................................... 100 $ 4,288
Transamerica Corp................................ 3,000 345,000
Travelers Property Casualty Corp., Class A....... 3,200 133,000
UNUM Corp........................................ 7,800 433,388
-------------
12,085,038
-------------
TOTAL FINANCE.................................. 54,949,916
-------------
HEALTHCARE (10.6%)
HEALTH SERVICES (1.4%)
Abbott Laboratories.............................. 1,700 126,119
Aetna, Inc....................................... 10,500 820,969
Columbia / HCA Healthcare Corp.(s)............... 23,800 777,963
Health Care & Retirement Corp.+.................. 3,200 123,800
Humana, Inc.+.................................... 23,600 733,075
Tenet Healthcare Corp.+.......................... 23,800 833,000
United Healthcare Corp........................... 13,700 876,800
-------------
4,291,726
-------------
MEDICAL SUPPLIES (0.8%)
Bausch & Lomb, Inc............................... 4,200 209,213
Boston Scientific Corp.+......................... 14,000 892,500
Chiron Corp.+.................................... 11,800 212,769
Medtronic, Inc................................... 16,700 928,938
Perkin-Elmer Corp................................ 4,500 308,250
-------------
2,551,670
-------------
PHARMACEUTICALS (8.4%)
Alza Corp.+...................................... 22,000 1,064,250
American Home Products Corp...................... 104,000 5,024,500
Bristol-Myers Squibb Co.(s)...................... 61,600 6,622,000
Eli Lilly & Co................................... 13,400 823,263
Forest Laboratories, Inc.+....................... 47,000 1,551,000
Johnson & Johnson................................ 36,500 2,520,781
Merck & Company, Inc............................. 15,600 1,826,175
Pfizer, Inc...................................... 16,800 1,760,850
Schering-Plough Corp............................. 2,400 200,850
Warner-Lambert Co................................ 76,400 4,875,275
Watson Pharmaceuticals, Inc.+.................... 5,900 258,125
-------------
26,527,069
-------------
TOTAL HEALTHCARE............................... 33,370,465
-------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
23
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
MAY 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ----------- -------------
<S> <C> <C>
INDUSTRIAL PRODUCTS & SERVICES (10.5%)
BUILDING MATERIALS (0.1%)
Owens Corning.................................... 5,600 $ 210,000
Sherwin-Williams Co.............................. 5,900 196,175
-------------
406,175
-------------
CAPITAL GOODS (0.2%)
Eaton Corp....................................... 4,800 431,100
Fluor Corp....................................... 4,900 233,669
Foster Wheeler Corp.............................. 2,100 53,288
-------------
718,057
-------------
DIVERSIFIED MANUFACTURING (8.1%)
AlliedSignal, Inc................................ 59,100 2,526,525
Boeing Co........................................ 102,100 4,862,513
Coltec Industries, Inc.+......................... 7,800 174,038
Cooper Industries, Inc........................... 8,000 515,000
Deere & Co....................................... 7,700 399,438
Eastman Kodak Co................................. 33,600 2,398,200
General Electric Co.(s).......................... 78,900 6,578,288
Harris Corp...................................... 8,300 399,956
Illinois Tool Works, Inc......................... 3,600 237,600
ITT Industries, Inc.............................. 12,200 449,875
Johnson Controls, Inc............................ 8,700 517,650
Minnesota Mining & Manufacturing Co.............. 1,100 101,888
Parker-Hannifin Corp............................. 6,900 283,331
Raytheon Co., Class A............................ 33,700 1,796,631
Tenneco, Inc..................................... 17,500 728,438
Tyco International Ltd........................... 59,900 3,316,963
Xerox Corp....................................... 2,700 277,425
-------------
25,563,759
-------------
ELECTRICAL EQUIPMENT (1.0%)
Caterpillar, Inc................................. 22,800 1,252,575
Emerson Electric Co.............................. 22,600 1,372,950
W.W. Grainger, Inc............................... 4,200 443,363
-------------
3,068,888
-------------
ELECTRONICS (0.2%)
Rockwell International Corp...................... 10,200 561,000
Tektronix, Inc................................... 2,600 99,450
-------------
660,450
-------------
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ----------- -------------
<S> <C> <C>
PACKAGING & CONTAINERS (0.4%)
Kimberly-Clark Corp.............................. 27,600 $ 1,367,925
-------------
POLLUTION CONTROL (0.5%)
Waste Management, Inc............................ 47,400 1,540,500
-------------
TOTAL INDUSTRIAL PRODUCTS & SERVICES........... 33,325,754
-------------
TECHNOLOGY (12.8%)
COMPUTER PERIPHERALS (0.5%)
EMC Corp.(s)+.................................... 30,800 1,276,275
Quantum Corp.+................................... 7,500 164,297
-------------
1,440,572
-------------
COMPUTER SOFTWARE (2.6%)
Autodesk, Inc.................................... 2,600 110,663
Computer Associates 1,617,000
International, Inc............................. 30,800
Microsoft Corp.(s)+.............................. 49,700 4,216,734
Networks Associates, Inc.+....................... 4,300 263,509
Oracle Corp.+.................................... 60,100 1,417,984
Parametric Technology Co.+....................... 14,400 441,450
Sybase, Inc.+.................................... 2,200 17,531
Symantec Corp.+.................................. 3,100 74,013
-------------
8,158,884
-------------
COMPUTER SYSTEMS (3.3%)
3Com Corp.+...................................... 19,900 505,584
Compaq Computer Corp............................. 83,900 2,291,519
International Business Machines Corp.(s)......... 55,600 6,526,050
Silicon Graphics, Inc.+.......................... 10,600 127,200
Sun Microsystems, Inc.+.......................... 25,100 1,004,784
-------------
10,455,137
-------------
ELECTRONICS (1.7%)
AMP, Inc......................................... 9,800 372,400
Bay Networks, Inc.+.............................. 11,100 307,331
Cabletron Systems, Inc.+......................... 8,700 112,013
Cisco Systems, Inc.+............................. 59,500 4,494,109
Sensormatic Electronics Corp..................... 1,800 23,063
-------------
5,308,916
-------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
24
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
MAY 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ----------- -------------
<S> <C> <C>
INFORMATION PROCESSING (0.3%)
First Data Corp.................................. 25,800 $ 857,850
-------------
SEMICONDUCTORS (3.4%)
Applied Materials, Inc.+......................... 20,500 656,641
Intel Corp.(s)................................... 94,800 6,769,313
Motorola, Inc.................................... 34,700 1,836,931
National Semiconductor Corp.+.................... 7,300 118,625
Texas Instruments, Inc........................... 23,500 1,207,313
Xilinx, Inc.+.................................... 4,100 155,928
-------------
10,744,751
-------------
TELECOMMUNICATIONS-EQUIPMENT (1.0%)
Lucent Technologies, Inc......................... 42,200 2,993,563
Northern Telecom Ltd.(i)......................... 600 38,400
-------------
3,031,963
-------------
TOTAL TECHNOLOGY............................... 39,998,073
-------------
TRANSPORTATION (1.1%)
AIRLINES (0.1%)
AMR Corp.+....................................... 2,000 307,875
Southwest Airlines Co............................ 600 16,013
-------------
323,888
-------------
RAILROADS (0.9%)
Burlington Northern 656,700
Railroad Co.................................... 6,600
CSX Corp......................................... 13,100 623,888
Norfolk Southern Corp............................ 20,900 654,431
Union Pacific Corp............................... 14,700 711,113
Wisconsin Central Transportation Corp.+.......... 1,800 42,244
-------------
2,688,376
-------------
TRUCK & FREIGHT CARRIERS (0.1%)
CNF Transportation, Inc.......................... 2,800 114,975
Consolidated Freightways Corp.+.................. 100 1,481
Ryder System, Inc................................ 4,000 136,250
-------------
252,706
-------------
TOTAL TRANSPORTATION........................... 3,264,970
-------------
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ----------- -------------
<S> <C> <C>
UTILITIES (9.7%)
ELECTRIC (2.2%)
Allegheny Energy, Inc............................ 8,500 $ 238,531
Baltimore Gas & Electric Co...................... 9,200 280,025
Central & South West Corp........................ 33,900 896,231
Cinergy Corp..................................... 9,800 316,663
CMS Energy Corp.................................. 6,000 261,375
Dominion Resources, Inc.......................... 12,200 484,188
Duke Power Co.................................... 1,400 80,675
Entergy Corp..................................... 15,400 405,213
GPU, Inc......................................... 8,000 308,000
Illinova Corp.................................... 3,400 98,813
New England Electric System...................... 4,000 167,000
Northern States Power Co......................... 4,500 255,938
P P & L Resources, Inc........................... 10,100 223,463
Peco Energy Co................................... 13,900 392,675
PG&E Corp........................................ 900 28,350
Potomac Electric Power Co........................ 6,600 161,288
Southern Co...................................... 43,500 1,155,469
Teco Energy, Inc................................. 6,300 164,981
Texas Utilities Co............................... 15,400 608,300
Western Resources, Inc........................... 3,700 141,988
Wisconsin Energy Corp............................ 8,200 241,900
-------------
6,911,066
-------------
GAS-PIPELINES (0.6%)
Columbia Energy Group............................ 3,300 278,438
El Paso Natural Gas Co........................... 7,300 281,963
Enron Corp....................................... 20,500 1,027,563
K N Energy, Inc.................................. 2,400 129,900
-------------
1,717,864
-------------
NATURAL GAS (0.1%)
Consolidated Natural Gas Company................. 6,000 339,375
-------------
TELEPHONE (6.8%)
Ameritech Corp................................... 7,900 335,256
AT & T Corp...................................... 31,700 1,929,738
Bell Atlantic Corp............................... 28,800 2,638,800
Bellsouth Corp................................... 24,200 1,560,900
Cincinnati Bell, Inc............................. 9,200 292,675
Frontier Corp.................................... 10,300 313,506
GTE Corp......................................... 59,000 3,440,438
MCI Communications Corp.......................... 55,600 2,972,863
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
25
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
MAY 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ----------- -------------
<S> <C> <C>
TELEPHONE (CONTINUED)
SBC Communications, Inc.......................... 119,700 $ 4,653,338
Sprint Corp...................................... 13,000 932,750
WorldCom, Inc.+.................................. 51,100 2,326,647
-------------
21,396,911
-------------
TOTAL UTILITIES................................ 30,365,216
-------------
TOTAL COMMON STOCK (COST $273,363,804)......... 308,490,834
-------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
-----------
<S> <C> <C>
FIXED INCOME SECURITIES (0.1%)
U.S. TREASURY OBLIGATIONS (0.1%)
U.S. TREASURY NOTES (0.1%)
United States Treasury Notes; 285,624
6.0% due 09/30/98(s)
(cost $286,287)................................ $ 285,000
-------------
<CAPTION>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- ------------------------------------------------- ----------- -------------
<S> <C> <C>
SHORT-TERM INVESTMENTS (1.5%)
REPURCHASE AGREEMENT (1.5%)
State Street Repurchase Agreement, dated 05/29/98 $ 4,823,000
due 06/01/98, 5.00%, proceeds $4,825,009
(collateralized by U.S. Treasury Note, 6.5%,
due 11/15/26, valued at $4,919,963)
(cost $4,823,000).............................. $ 4,823,000
-------------
TOTAL INVESTMENTS
(COST $278,473,091) (99.8%)................................. 313,599,458
OTHER ASSETS IN EXCESS OF
LIABILITIES (0.2%).......................................... 536,479
-------------
NET ASSETS (100.0%)........................................... $ 314,135,937
-------------
-------------
</TABLE>
- ------------------------------
Note: The cost of investments for federal income tax purposes at May 31, 1998
was $278,625,016; the aggregate gross unrealized appreciation and depreciation
was $40,212,028 and $5,237,586, respectively, resulting in net unrealized
appreciation of $34,974,442.
+ Non-income producing security.
(i) Foreign security.
ADR - American Depositary Receipt.
(s) Security is fully or partially segregated with custodian as collateral for
futures contracts or with broker as initial margin for futures contracts. Total
market value of securities segregated is $6,867,437.
The Accompanying Notes are an Integral Part of the Financial Statements.
26
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
MAY 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments at Value (Cost $278,473,091) $313,599,458
Cash 801
Receivable for Investments Sold 8,311,146
Dividends Receivable 511,893
Deferred Organization Expenses 7,171
Foreign Tax Reclaim Receivable 5,078
Interest Receivable 4,906
Receivable for Expense Reimbursement 1,371
Prepaid Trustees' Fees 140
Prepaid Expenses 185
------------
Total Assets 322,442,149
------------
LIABILITIES
Payable for Investments Purchased 8,109,088
Advisory Fee Payable 90,209
Variation Margin Payable 49,500
Custody Fee Payable 30,312
Administrative Services Fee Payable 7,477
Organization Expenses Payable 5,500
Administration Fee Payable 700
Fund Services Fee Payable 260
Accrued Expenses 13,166
------------
Total Liabilities 8,306,212
------------
NET ASSETS
Applicable to Investors' Beneficial Interests $314,135,937
------------
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
27
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE FISCAL YEAR ENDED MAY 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Dividend Income (Net of Foreign Withholding Tax
of $15,883 ) $ 2,756,106
Interest Income 332,183
-----------
Investment Income 3,088,289
EXPENSES
Advisory Fee $ 628,965
Custodian Fees and Expenses 173,227
Administrative Services Fee 53,654
Professional Fees and Expenses 44,865
Fund Services Fee 5,818
Printing Expenses 4,527
Administration Fee 3,742
Amortization of Organization Expenses 1,998
Trustees' Fees and Expenses 1,381
Insurance Expense 444
-----------
Total Expenses 918,621
Less: Reimbursement of Expenses (110,241)
-----------
NET EXPENSES 808,380
-----------
NET INVESTMENT INCOME 2,279,909
NET REALIZED GAIN ON
Investment Transactions 13,837,301
Futures Contracts 942,698
-----------
Net Realized Gain 14,779,999
NET CHANGE IN UNREALIZED
APPRECIATION/DEPRECIATION OF
Investments 29,619,133
Futures Contracts (97,927)
-----------
Net Change in Unrealized Appreciation 29,521,206
-----------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $46,581,114
-----------
-----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
28
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE PERIOD
DECEMBER 30, 1996
FOR THE FISCAL (COMMENCEMENT OF
YEAR ENDED OPERATIONS) THROUGH
MAY 31, 1998 MAY 31, 1997
-------------- -------------------
<S> <C> <C>
INCREASE IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 2,279,909 $ 324,603
Net Realized Gain on Investments and Futures
Contracts 14,779,999 157,560
Net Change in Unrealized Appreciation of
Investments and Futures Contracts 29,521,206 5,691,580
-------------- -------------------
Net Increase in Net Assets Resulting from
Operations 46,581,114 6,173,743
-------------- -------------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS
Contributions 235,373,755 72,972,888
Withdrawals (44,366,828) (2,598,735)
-------------- -------------------
Net Increase from Investors' Transactions 191,006,927 70,374,153
-------------- -------------------
Total Increase in Net Assets 237,588,041 76,547,896
NET ASSETS
Beginning of Period 76,547,896 --
-------------- -------------------
End of Period $ 314,135,937 $ 76,547,896
-------------- -------------------
-------------- -------------------
</TABLE>
- --------------------------------------------------------------------------------
SUPPLEMENTARY DATA
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE PERIOD
DECEMBER 30, 1996
FOR THE FISCAL (COMMENCEMENT OF
YEAR ENDED OPERATIONS) THROUGH
MAY 31, 1998 MAY 31, 1997
-------------- -------------------
<S> <C> <C>
RATIOS TO AVERAGE NET ASSETS
Expenses 0.45% 0.45%(a)
Net Investment Income 1.27% 1.54%(a)
Expenses without Reimbursement 0.51% 0.78%(a)
Portfolio Turnover 60.59% 20.47%(b)
</TABLE>
- ------------------------
(a) Annualized.
(b) Not Annualized.
The Accompanying Notes are an Integral Part of the Financial Statements.
29
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
MAY 31, 1998
- --------------------------------------------------------------------------------
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
The Disciplined Equity Portfolio (the "portfolio") is one of seven 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
short-term portfolio securities with a remaining maturity of less than 60
days are valued by the amortized cost method.
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.
b) Securities transactions are recorded on a trade-date basis. Dividend
income is recorded on the ex-dividend date or as of the time that the
relevant ex-dividend date and amount become known. Interest income, which
includes the amortization of premiums and discounts, if any, is recorded
on an accrual basis. For financial and tax reporting purposes, realized
gains and losses are determined on the basis of specific lot
identification.
c) The portfolio 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
30
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
MAY 31, 1998
- --------------------------------------------------------------------------------
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.
d) 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.
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 value of the contract. Such receipts or payments are known
as "variation margin" and are recorded by the portfolio as unrealized
gains or losses. When the contract is closed, the portfolio records a
realized gain or loss equal to the difference between the value of the
contract at the time it was opened and the value at the time when it was
closed. The portfolio invests in futures contracts for the purpose of
hedging its existing portfolio securities, or securities the portfolio
intends to purchase, against fluctuations in value caused by changes in
prevailing market interest rates or securities movements. The use of
futures transactions involves the risk of imperfect correlation in
movements in the price of futures contracts, interest rates and the
underlying hedged assets. At May 31, 1998, the portfolio had open futures
contracts as follows:
SUMMARY OF OPEN CONTRACTS AT MAY 31, 1998
<TABLE>
<CAPTION>
NET UNREALIZED MARKET VALUE
CONTRACTS LONG APPRECIATION OF CONTRACTS
-------------- -------------- ------------
<S> <C> <C> <C>
S & P 500, expiring June 1998.................... 20 $ 86,418 $ 5,454,000
-------------- -------------- ------------
-------------- -------------- ------------
</TABLE>
f) 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.
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 fiscal year
ended May 31, 1998, such fees amounted to $628,965.
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,
31
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
MAY 31, 1998
- --------------------------------------------------------------------------------
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 fiscal year ended May 31, 1998, the fee for these services
amounted to $3,742.
c) The portfolio has an Administrative Services Agreement (the "Services
Agreement") with Morgan under which Morgan is responsible for 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 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 payable by the portfolio is
determined by the proportionate share that its net assets bear to the net
assets of the master portfolios, other investors in the master portfolios
for which Morgan provides similar services, and J.P. Morgan Series Trust.
For fiscal year ended May 31, 1998, the fee for these services amounted to
$53,654.
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
September 30, 1998. For the fiscal year ended May 31, 1998, Morgan has
agreed to reimburse the portfolio $110,241 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 $5,818 for the fiscal year ended May 31, 1998.
e) An aggregate annual fee of $75,000 is paid to each trustee for serving as
a trustee of the J.P. Morgan Funds, the J.P. Morgan Institutional Funds,
the master portfolios and J.P. Morgan Series Trust. The Trustees' Fees and
Expenses shown in the financial statements represents the portfolio's
allocated portion of the total fees and expenses. The portfolio's Chairman
and Chief Executive Officer also serves as Chairman of Group and 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 $1,200.
32
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
MAY 31, 1998
- --------------------------------------------------------------------------------
3. INVESTMENT TRANSACTIONS
Investment transactions (excluding short-term investments) for fiscal the year
ended May 31, 1998 were as follows:
<TABLE>
<CAPTION>
COST OF PROCEEDS
PURCHASES FROM SALES
--------------- ------------
<S> <C>
$ 296,773,266 $106,004,461
</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.
33
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
To the Trustees and Investors of
The Disciplined Equity 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 Disciplined Equity Portfolio (the
"Portfolio") at May 31, 1998, the results of its operations for the year then
ended, and the changes in its net assets and the supplementary data for the year
then ended and for the period December 30, 1996 (commencement of operations)
through May 31, 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 audits. We conducted our audits 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 audits, which included
confirmation of securities at May 31, 1998 by correspondence with the custodian
and brokers and the application of alternative auditing procedures where
confirmations from brokers were not received, provide a reasonable basis for the
opinion expressed above.
PricewaterhouseCoopers LLP
New York, New York
July 17, 1998
34
