<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED)
NOVEMBER 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ -------------
<S> <C> <C>
COMMON STOCK (96.6%)
BASIC INDUSTRIES (4.5%)
CHEMICALS (3.0%)
Crompton & Knowles Corp.......................... 7,000 $ 135,625
Cytec Industries, Inc.+.......................... 2,600 58,662
Dow Chemical Co.................................. 16,000 1,558,000
E.I. Du Pont de Nemours & Co.(s)................. 77,100 4,529,625
Georgia Gulf Corp................................ 100 1,875
Lyondell Chemical Co............................. 12,900 240,262
Monsanto Co...................................... 147,900 6,701,719
Praxair, Inc..................................... 11,100 423,881
Rohm & Haas Co................................... 27,900 974,756
Solutia, Inc..................................... 100 2,237
Union Carbide Corp............................... 9,200 411,700
-------------
15,038,342
-------------
FOREST PRODUCTS & PAPER (0.5%)
Boise Cascade Corp............................... 6,100 193,294
Bowater Inc...................................... 5,200 205,400
Champion International Corp...................... 3,100 128,844
Georgia-Pacific Group............................ 11,200 635,600
Louisiana Pacific Corp........................... 9,300 158,100
Temple-Inland, Inc............................... 6,700 359,706
Union Camp Corp.................................. 10,000 646,875
-------------
2,327,819
-------------
METALS & MINING (1.0%)
Alcan Aluminum Ltd............................... 45,300 1,206,112
Allegheny Teledyne, Inc.......................... 35,100 721,744
Aluminum Company of America (ALCOA).............. 17,900 1,326,837
Fort James Corp.................................. 21,400 837,275
Freeport - McMoran Cooper & Gold, Inc., Class
A.............................................. 9,700 122,462
Freeport - McMoRan Copper & Gold, Inc., Class
B.............................................. 1,500 19,594
Reynolds Metals Co............................... 7,400 406,075
USEC, Inc........................................ 13,000 176,312
-------------
4,816,411
-------------
TOTAL BASIC INDUSTRIES......................... 22,182,572
-------------
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ -------------
<S> <C> <C>
CONSUMER GOODS & SERVICES (21.3%)
APPARELS & TEXTILES (0.0%)
Reebok International Ltd. (ADR)+................. 6,900 $ 109,969
-------------
AUTOMOTIVE (1.1%)
Cooper Tire & Rubber Co.......................... 12,600 246,487
Dana Corp........................................ 31,800 1,240,200
Ford Motor Co.................................... 23,500 1,298,375
General Motors Corp.............................. 5,200 364,000
General Motors Corp., Class H.................... 6,500 247,000
Goodyear Tire and Rubber Co...................... 29,600 1,679,800
Lear Corp........................................ 12,800 494,400
-------------
5,570,262
-------------
BROADCASTING & PUBLISHING (2.3%)
Comcast Corp., Class A........................... 68,000 3,300,125
Gannett Co., Inc................................. 27,200 1,756,100
Knight - Ridder, Inc............................. 13,000 668,687
New York Times Company, Inc., Class A............ 38,900 1,208,331
R.R. Donnelley & Sons Co......................... 29,100 1,234,931
Tele-Communications TCI Ventures Group........... 78,900 1,560,741
Times Mirror Co., Class A........................ 1,600 93,800
Tribune Co....................................... 13,500 865,687
Washington Post Co., Class B..................... 1,800 957,937
-------------
11,646,339
-------------
ENTERTAINMENT, LEISURE & MEDIA (2.0%)
Circus Circus Enterprises, Inc.+................. 10,200 117,937
Hasbro, Inc...................................... 25,200 883,575
Hilton Hotels Corp............................... 29,400 639,450
International Game Technology.................... 25,400 585,787
Mattel, Inc...................................... 63,000 2,177,437
MGM Grand, Inc.+................................. 2,800 71,925
Mirage Resorts, Inc.+............................ 42,800 636,650
Seagram Company Ltd.............................. 80,700 2,769,019
Time Warner, Inc................................. 19,100 2,019,825
-------------
9,901,605
-------------
FOOD, BEVERAGES & TOBACCO (6.9%)
Anheuser Busch Companies, Inc.................... 20,300 1,230,687
Bestfoods........................................ 1,900 110,437
Campbell Soup Co................................. 35,100 2,005,087
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
17
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
NOVEMBER 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ -------------
<S> <C> <C>
FOOD, BEVERAGES & TOBACCO (CONTINUED)
Coca-Cola Co.(s)................................. 91,800 $ 6,431,737
General Mills, Inc............................... 12,100 913,550
Hershey Foods Corp............................... 11,300 759,925
Kellogg Co....................................... 10,300 377,237
Nabisco Holdings Corp., Class A.................. 3,500 139,562
PepsiCo, Inc.(s)................................. 119,500 4,623,156
Philip Morris Companies, Inc.(s)................. 200,000 11,187,500
Ralston-Ralston Purina Group..................... 29,000 1,009,562
Sara Lee Corp.................................... 30,600 1,786,275
Unilever NV (ADR)(s)............................. 52,000 4,020,250
-------------
34,594,965
-------------
HOUSEHOLD APPLIANCES & FURNISHINGS (0.4%)
Furniture Brands International, Inc.............. 5,000 127,187
Leggett & Platt, Inc............................. 37,800 857,587
Whirlpool Corp................................... 14,600 817,600
-------------
1,802,374
-------------
HOUSEHOLD PRODUCTS (1.5%)
Procter & Gamble Co.(s).......................... 85,700 7,509,462
-------------
MISCELLANEOUS (0.4%)
Service Corp. International...................... 53,200 1,988,350
-------------
PERSONAL CARE (0.4%)
Gillette Co...................................... 48,300 2,218,781
-------------
RESTAURANTS & HOTELS (0.2%)
Extended Stay America, Inc....................... 3,800 38,000
McDonald's Corp.................................. 11,500 805,719
-------------
843,719
-------------
RETAIL (6.1%)
American Stores Co............................... 46,400 1,557,300
AutoZone, Inc.................................... 27,500 828,437
Circuit City Stores, Inc......................... 14,800 535,575
CompUSA, Inc..................................... 13,400 198,487
Corporate Express, Inc........................... 8,700 50,569
Costco Companies, Inc............................ 32,300 2,027,834
Dayton Hudson Corp............................... 72,500 3,262,500
Dillard's, Inc., Class A......................... 14,400 495,000
Federated Department Stores, Inc.+............... 30,300 1,263,131
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ -------------
<S> <C> <C>
RETAIL (CONTINUED)
Footstar, Inc.+.................................. 100 $ 2,437
Gap, Inc......................................... 17,300 1,272,631
General Nutrition Companies, Inc................. 10,600 188,481
Hannaford Brothers Co............................ 6,300 294,525
Home Depot, Inc.................................. 22,200 1,104,450
J.C. Penney Company, Inc......................... 27,600 1,518,000
Kmart Corp....................................... 73,900 1,126,975
Kroger Co........................................ 17,700 939,206
Lowe's Companies, Inc............................ 16,900 714,025
May Department Stores Co......................... 17,500 1,055,469
Nine West Group, Inc.+........................... 1,000 12,500
Safeway, Inc..................................... 30,100 1,589,656
Sears, Roebuck & Co.............................. 57,300 2,718,169
TJX Companies, Inc............................... 46,500 1,191,562
Toys 'R' Us, Inc.+............................... 38,600 762,350
Wal-Mart Stores, Inc.(s)......................... 79,300 5,972,281
-------------
30,681,550
-------------
TEXTILES (0.0%)
Fruit of the Loom, Inc., Class A................. 9,200 135,700
Unifi, Inc....................................... 6,500 125,125
-------------
260,825
-------------
TOTAL CONSUMER GOODS & SERVICES................ 107,128,201
-------------
ENERGY (6.6%)
GAS EXPLORATION (0.1%)
Union Pacific Resources Group, Inc............... 38,200 427,362
-------------
OIL-PRODUCTION (6.3%)
Amoco Corp....................................... 52,600 3,100,112
Atlantic Richfield Co............................ 48,800 3,245,200
Chevron Corp..................................... 22,000 1,839,750
Exxon Corp.(s)................................... 62,600 4,698,912
Mobil Corp....................................... 76,900 6,627,819
Occidental Petroleum Corp........................ 16,200 328,050
Phillips Petroleum Co............................ 39,400 1,654,800
Royal Dutch Petroleum Co. (ADR)(s)............... 176,300 8,286,100
Texaco, Inc...................................... 3,400 195,712
Tosco Corp....................................... 25,800 674,025
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
18
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
NOVEMBER 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ -------------
<S> <C> <C>
OIL-PRODUCTION (CONTINUED)
Unocal Corp...................................... 28,000 $ 948,500
Valero Energy Corp............................... 4,500 94,500
-------------
31,693,480
-------------
OIL-SERVICES (0.2%)
Cooper Cameron Corp.+............................ 500 12,187
Diamond Offshore Drilling, Inc................... 10,600 237,175
ENSCO International Inc.......................... 21,600 206,550
Global Marine, Inc.+............................. 16,800 157,500
Input/Output, Inc.+.............................. 1,000 8,187
R&B Falcon Corp.................................. 25,100 230,606
Smith International, Inc.+....................... 4,500 108,562
-------------
960,767
-------------
TOTAL ENERGY................................... 33,081,609
-------------
FINANCE (15.6%)
BANKING (8.7%)
Associated Banc - Corp........................... 4,200 143,850
Astoria Financial Corp........................... 5,500 247,672
Bancwest Corp.................................... 200 8,650
Bank One Corp.................................... 77,900 3,997,244
BankAmerica Corp.(s)............................. 124,002 8,083,380
BankBoston Corp.................................. 12,100 503,662
Bankers Trust Corp............................... 6,600 574,200
Charter One Financial, Inc....................... 9,200 273,412
Chase Manhattan Corp............................. 27,200 1,725,500
Citigroup, Inc................................... 163,200 8,190,600
Colonial BancGroup, Inc.......................... 3,600 44,550
Compass Bancshares, Inc.......................... 4,700 175,662
Crestar Financial Corp........................... 21,400 1,420,425
Dime Bancorp, Inc................................ 17,800 472,812
First American Corp.............................. 3,500 151,594
First Union Corp................................. 68,700 4,173,525
Golden West Financial Corp....................... 4,000 378,750
GreenPoint Financial Corp........................ 6,500 247,406
Hibernia Corp., Class A.......................... 10,300 173,812
Huntington Bancshares, Inc....................... 6,400 189,800
KeyCorp.......................................... 36,000 1,104,750
Marshall & Ilsley Corp........................... 12,800 653,200
MBNA Corp........................................ 22,900 519,544
Mellon Bank Corp................................. 20,900 1,315,394
Mercantile Bancorporation, Inc................... 10,800 475,875
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ -------------
<S> <C> <C>
BANKING (CONTINUED)
Mercantile Bankshares Corp....................... 4,800 $ 168,750
National Commerce Bancorporation................. 6,600 119,625
North Fork Bancorporation, Inc................... 9,900 208,519
Pacific Century Financial Corp................... 5,700 121,838
Peoples Heritage Financial Group, Inc............ 5,900 121,503
Provident Financial Group, Inc................... 2,900 117,813
Republic New York Corp........................... 7,300 341,275
Southtrust Corp.................................. 20,200 743,613
Sovereign Bancorp, Inc........................... 16,800 215,775
Summit Bancorp................................... 400 16,725
TCF Financial Corp............................... 6,000 145,125
Union Planters Corp.............................. 13,400 638,175
Washington Federal, Inc.......................... 1,700 43,456
Washington Mutual, Inc........................... 43,700 1,694,741
Wells Fargo & Co.(s)............................. 112,900 4,064,400
Westamerica Bancorporation....................... 1,200 43,200
-------------
44,049,802
-------------
FINANCIAL SERVICES (3.4%)
American Express Co.............................. 32,600 3,262,038
Associates First Capital Corp., Class A.......... 24,700 1,923,513
Bear Stearns Companies, Inc...................... 11,000 462,000
Capital One Financial Corp....................... 3,500 385,000
CIT Group, Inc., Class A......................... 5,500 154,344
Equifax, Inc..................................... 37,000 1,535,500
Federal Home Loan Mortgage Corp.................. 17,200 1,040,600
Federal National Mortgage Association............ 46,500 3,382,875
Finova Group, Inc................................ 3,800 200,688
Household International, Inc..................... 35,200 1,377,200
Lehman Brothers Holdings, Inc.................... 8,100 404,494
Morgan Stanley, Dean Witter, Discover & Co....... 41,200 2,873,700
Ocwen Financial Corp............................. 2,300 29,900
Paine Webber Group Inc........................... 2,000 81,750
Waddell & Reed Financial, Inc., Class A.......... 1,100 26,263
-------------
17,139,865
-------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
19
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
NOVEMBER 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ -------------
<S> <C> <C>
INSURANCE (3.5%)
Allstate Corp.................................... 91,200 $ 3,716,400
Ambac Financial Group, Inc....................... 8,800 536,800
American International Group, Inc................ 34,700 3,261,800
Aon Corp......................................... 16,400 945,050
Chubb Corp....................................... 14,200 994,888
Equitable Companies, Inc......................... 9,700 535,925
Financial Security Assurance Holdings Ltd........ 3,100 170,113
Fremont General Corp............................. 3,600 181,350
Lincoln National Corp............................ 3,400 284,538
Marsh & McLennan Companies, Inc.................. 30,900 1,797,994
MBIA, Inc........................................ 10,900 705,775
Mercury General Corp............................. 6,100 255,438
Ohio Casualty Corp............................... 1,300 52,813
PMI Group, Inc................................... 2,300 125,781
SAFECO Corp...................................... 14,500 623,047
St. Paul Companies, Inc.......................... 25,900 912,975
Torchmark Corp................................... 13,100 497,800
Transamerica Corp................................ 6,500 690,625
Travelers Property Casualty Corp., Class A....... 12,500 430,469
UNUM Corp........................................ 17,900 964,363
-------------
17,683,944
-------------
TOTAL FINANCE.................................. 78,873,611
-------------
HEALTHCARE (11.3%)
BIOTECHNOLOGY (1.0%)
Amgen, Inc....................................... 21,300 1,601,494
Genzyme Corp..................................... 36,200 1,521,531
Genzyme Molecular Oncology....................... 3,911 13,566
Immunex Corp..................................... 19,000 1,749,781
-------------
4,886,372
-------------
HEALTH SERVICES (1.2%)
Aetna, Inc....................................... 16,400 1,267,925
Columbia / HCA Healthcare Corp.(s)............... 74,300 1,829,638
HCR Manor Care, Inc.............................. 12,700 403,225
Humana, Inc.+.................................... 28,600 566,638
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ -------------
<S> <C> <C>
HEALTH SERVICES (CONTINUED)
Tenet Healthcare Corp............................ 37,000 $ 1,093,813
United Healthcare Corp........................... 22,600 1,019,825
-------------
6,181,064
-------------
MEDICAL SUPPLIES (0.8%)
Bausch & Lomb, Inc............................... 7,500 416,250
Biogen, Inc...................................... 3,100 235,406
Boston Scientific Corp........................... 23,300 1,153,350
Chiron Corp...................................... 51,800 1,173,594
Medtronic, Inc................................... 4,700 318,131
Perkin-Elmer Corp................................ 5,700 531,525
Stryker Corp..................................... 9,100 384,475
-------------
4,212,731
-------------
PHARMACEUTICALS (8.3%)
Alza Corp.+...................................... 97,500 5,094,375
American Home Products Corp...................... 158,800 8,456,100
Bristol-Myers Squibb Co.(s)...................... 92,900 11,386,056
Eli Lilly & Co................................... 2,000 179,375
Forest Laboratories, Inc.+....................... 57,100 2,662,288
Johnson & Johnson................................ 12,900 1,048,125
MedImmune, Inc................................... 16,400 1,097,775
Merck & Co., Inc................................. 29,100 4,506,863
Pfizer, Inc...................................... 22,300 2,489,238
Warner-Lambert Co................................ 50,900 3,842,950
Watson Pharmaceuticals, Inc.+.................... 14,500 781,188
-------------
41,544,333
-------------
TOTAL HEALTHCARE............................... 56,824,500
-------------
INDUSTRIAL PRODUCTS & SERVICES (10.1%)
AEROSPACE (0.2%)
Boeing Co........................................ 22,100 897,813
-------------
AUTOMOTIVE SUPPLIES (0.1%)
Genuine Parts Co................................. 21,500 708,156
-------------
BUILDING MATERIALS (0.3%)
Owens Corning.................................... 10,300 384,319
Sherwin-Williams Co.............................. 34,500 978,938
-------------
1,363,257
-------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
20
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
NOVEMBER 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ -------------
<S> <C> <C>
CAPITAL GOODS (0.1%)
Eaton Corp....................................... 9,000 $ 614,813
Foster Wheeler Corp.............................. 2,100 35,963
-------------
650,776
-------------
COMMERCIAL SERVICES (0.6%)
Cendant Corp.+................................... 155,000 2,945,000
-------------
DIVERSIFIED MANUFACTURING (6.7%)
AlliedSignal, Inc................................ 100,700 4,430,800
Coltec Industries, Inc.+......................... 8,000 154,500
Cooper Industries, Inc........................... 14,700 722,138
Deere & Co....................................... 30,200 1,055,113
Eastman Kodak Co................................. 42,400 3,076,650
General Electric Co.(s).......................... 113,500 10,271,750
Harris Corp...................................... 14,600 553,888
Illinois Tool Works, Inc......................... 7,100 451,294
ITT Industries, Inc.............................. 20,300 730,800
Johnson Controls, Inc............................ 14,800 856,550
Minnesota Mining & Manufacturing Co.............. 1,500 120,469
Parker - Hannifin Corp........................... 13,400 465,650
Raytheon Co., Class A............................ 39,500 2,160,156
Tenneco, Inc..................................... 29,700 1,058,063
Tyco International Ltd........................... 108,600 7,147,238
Xerox Corp....................................... 4,700 505,250
-------------
33,760,309
-------------
ELECTRICAL EQUIPMENT (0.4%)
Caterpillar, Inc................................. 17,600 870,100
Emerson Electric Co.............................. 10,300 669,500
National Service Industries, Inc................. 4,600 177,675
W.W. Grainger, Inc............................... 12,000 507,000
-------------
2,224,275
-------------
MACHINERY (0.0%)
Ingersoll-Rand Co................................ 1,500 70,219
-------------
PACKAGING & CONTAINERS (0.6%)
Kimberly-Clark Corp.............................. 47,900 2,520,738
Smurfit-Stone Container Corp..................... 42,700 604,472
-------------
3,125,210
-------------
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ -------------
<S> <C> <C>
POLLUTION CONTROL (1.1%)
Browning-Ferris Industries, Inc.................. 31,700 $ 935,150
Waste Management, Inc............................ 104,800 4,493,300
-------------
5,428,450
-------------
TOTAL INDUSTRIAL PRODUCTS & SERVICES........... 51,173,465
-------------
TECHNOLOGY (18.3%)
COMPUTER PERIPHERALS (0.6%)
EMC Corp.(s)..................................... 40,800 2,958,000
-------------
COMPUTER SOFTWARE (3.2%)
Autodesk, Inc.................................... 2,600 94,738
BMC Software, Inc................................ 1,100 56,134
Computer Associates International, Inc........... 40,400 1,787,700
Electronic Arts, Inc.+........................... 3,500 147,547
Microsoft Corp.(s)............................... 83,800 10,226,219
Network Associates, Inc.......................... 9,300 473,428
Oracle Corp.+.................................... 75,400 2,584,806
Parametric Technology Co.+....................... 22,200 378,094
PeopleSoft, Inc.................................. 16,500 339,797
Symantec Corp.................................... 3,200 63,900
-------------
16,152,363
-------------
COMPUTER SYSTEMS (4.0%)
3Com Corp.+...................................... 28,800 1,115,100
Compaq Computer Corp............................. 112,500 3,656,250
International Business Machines Corp.(s)......... 74,900 12,358,500
Seagate Technology, Inc.......................... 16,200 477,900
Sun Microsystems, Inc.+.......................... 31,100 2,301,400
-------------
19,909,150
-------------
ELECTRONICS (2.1%)
Cisco Systems, Inc.+............................. 127,900 9,644,459
Rockwell International Corp...................... 23,900 1,169,606
Sensormatic Electronics Corp.+................... 1,800 14,625
-------------
10,828,690
-------------
INFORMATION PROCESSING (0.2%)
First Data Corp.................................. 31,600 843,325
-------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
21
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
NOVEMBER 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ -------------
<S> <C> <C>
SEMICONDUCTORS (4.0%)
Applied Materials, Inc.+......................... 10,000 $ 387,813
Intel Corp.(s)................................... 131,500 14,148,578
Motorola, Inc.................................... 42,800 2,653,600
Texas Instruments, Inc.(s)....................... 32,000 2,444,000
Xilinx, Inc.+.................................... 5,800 294,531
-------------
19,928,522
-------------
TELECOMMUNICATION SERVICES (2.1%)
MCI WorldCom, Inc.+.............................. 177,400 10,461,056
-------------
TELECOMMUNICATIONS (0.2%)
AirTouch Communications, Inc..................... 14,800 846,375
-------------
TELECOMMUNICATIONS-EQUIPMENT (1.9%)
Lucent Technologies, Inc......................... 85,200 7,332,525
Northern Telecom Ltd.(i)......................... 49,100 2,292,356
-------------
9,624,881
-------------
TOTAL TECHNOLOGY............................... 91,552,362
-------------
TRANSPORTATION (0.8%)
AIRLINES (0.0%)
AMR Corp.+....................................... 3,300 217,594
-------------
RAILROADS (0.6%)
Burlington Northern Railroad Co.................. 18,900 642,600
CSX Corp......................................... 17,300 721,194
Norfolk Southern Corp............................ 26,600 807,975
Union Pacific Corp............................... 20,100 977,363
Wisconsin Central Transportation Corp.+.......... 1,800 32,569
-------------
3,181,701
-------------
TRUCK & FREIGHT CARRIERS (0.2%)
CNF Transportation, Inc.......................... 6,600 235,538
Consolidated Freightways Corp.+.................. 100 1,256
FDX Corp......................................... 11,600 752,550
Ryder System, Inc................................ 5,600 159,950
-------------
1,149,294
-------------
TOTAL TRANSPORTATION........................... 4,548,589
-------------
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ -------------
<S> <C> <C>
UTILITIES (8.1%)
ELECTRIC (2.2%)
Allegheny Energy, Inc............................ 12,700 $ 428,625
Ameren Corp...................................... 14,000 576,625
Baltimore Gas & Electric Co...................... 15,000 460,313
Central & South West Corp........................ 57,900 1,592,250
Cinergy Corp..................................... 16,200 559,913
CMS Energy Corp.................................. 11,000 536,250
Edison International............................. 37,600 1,034,000
Entergy Corp..................................... 25,500 747,469
GPU, Inc......................................... 12,300 538,894
Illinova Corp.................................... 7,600 205,675
New England Electric System...................... 6,500 271,375
Niagara Mohawk Power Corp.+...................... 1,900 29,213
Northeast Utilities.............................. 13,700 215,775
Northern States Power Co......................... 15,500 421,406
PG&E Corp........................................ 10,400 321,750
Pinnacle West Capital Corp....................... 8,700 396,394
PP&L Resources, Inc.............................. 17,200 469,775
Teco Energy, Inc................................. 13,700 368,188
Texas Utilities Co............................... 29,300 1,305,681
Western Resources, Inc.(s)....................... 6,800 237,575
Wisconsin Energy Corp............................ 11,900 368,156
-------------
11,085,302
-------------
GAS-PIPELINES (0.5%)
Columbia Energy Group............................ 8,600 488,050
Enron Corp....................................... 34,500 1,813,406
K N Energy, Inc.................................. 4,400 192,500
-------------
2,493,956
-------------
NATURAL GAS (0.2%)
Consolidated Natural Gas Company................. 9,900 537,694
El Paso Energy Corp.............................. 12,400 423,150
-------------
960,844
-------------
TELEPHONE (5.2%)
Ameritech Corp................................... 55,900 3,025,588
AT & T Corp...................................... 134,600 8,387,263
Bell Atlantic Corp............................... 79,400 4,416,625
Cincinnati Bell, Inc............................. 11,500 362,250
Frontier Corp.................................... 24,000 723,000
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
22
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
NOVEMBER 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ -------------
<S> <C> <C>
TELEPHONE (CONTINUED)
GTE Corp......................................... 125,900 $ 7,805,800
SBC Communications, Inc.......................... 30,000 1,438,125
-------------
26,158,651
-------------
TOTAL UTILITIES................................ 40,698,753
-------------
TOTAL COMMON STOCK (COST $423,174,066)......... 486,063,662
-------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
------------
<S> <C> <C>
FIXED INCOME SECURITIES (0.2%)
U.S. TREASURY OBLIGATIONS (0.2%)
U.S. TREASURY NOTES (0.2%)
United States Treasury Notes, 6.00% due
06/30/99(s)
(cost $1,132,798).............................. $ 1,125,000 1,133,629
-------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- ------------------------------------------------- ------------ -------------
SHORT-TERM INVESTMENTS (3.4%)
<S> <C> <C>
REPURCHASE AGREEMENT (3.4%)
State Street Repurchase Agreement, dated 11/30/98
due 12/01/98, 4.00%, proceeds $17,059,895
(collateralized by U.S. Treasury Note, 8.125%,
due 8/15/21, valued at $17,400,136)
(cost $17,058,000)............................. $ 17,058,000 $ 17,058,000
-------------
TOTAL INVESTMENTS (COST $441,364,864) (100.2%).................
504,255,291
LIABILITIES IN EXCESS OF OTHER ASSETS (-0.2%)..................
(1,036,434)
-------------
NET ASSETS (100.0%)............................................ $ 503,218,857
-------------
-------------
</TABLE>
- ------------------------------
Note: The cost of investments for federal income tax purposes at November 30,
1998 was $441,899,613; the aggregate gross unrealized appreciation and
depreciation was $74,368,047 and $12,012,369 respectively, resulting in net
unrealized appreciation of $62,355,678.
+ - 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 brokers as initial margin for futures contracts. Total
market value of securities segregated is $20,613,398.
The Accompanying Notes are an Integral Part of the Financial Statements.
23
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES (UNAUDITED)
NOVEMBER 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments at Value (Cost $441,364,864 ) $504,255,291
Cash 2
Receivable for Investments Sold 1,670,223
Dividends Receivable 703,328
Interest Receivable 30,142
Deferred Organization Expenses 5,227
Prepaid Expenses and Other Assets 4,911
------------
Total Assets 506,669,124
------------
LIABILITIES
Payable for Investments Purchased 2,791,710
Variation Margin Payable 459,650
Advisory Fee Payable 139,517
Custody Fee Payable 35,069
Administrative Services Fee Payable 11,089
Administration Fee Payable 718
Fund Services Fee Payable 444
Accrued Trustees' Fees and Expenses 866
Accrued Expenses 11,204
------------
Total Liabilities 3,450,267
------------
NET ASSETS
Applicable to Investors' Beneficial Interests $503,218,857
------------
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
24
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
STATEMENT OF OPERATIONS (UNAUDITED)
FOR THE SIX MONTHS ENDED NOVEMBER 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Dividend Income (Net of Foreign Withholding Tax
of $15,166 ) $ 2,819,683
Interest Income 388,497
-----------
Investment Income 3,208,180
EXPENSES
Advisory Fee $ 703,700
Custodian Fees and Expenses 83,357
Administrative Services Fee 56,899
Professional Fees and Expenses 22,549
Fund Services Fee 5,301
Printing Expenses 4,631
Administration Fee 3,500
Trustees' Fees and Expenses 3,137
Amortization of Organization Expense 993
Insurance Expense 570
-----------
Total Expenses 884,637
-----------
NET INVESTMENT INCOME 2,323,543
NET REALIZED GAIN (LOSS) ON INVESTMENTS
Investment Transactions 8,127,946
Futures Contracts (1,434,722)
-----------
Net Realized Gain 6,693,224
NET CHANGE IN UNREALIZED APPRECIATION OF
INVESTMENTS
Investments 27,764,059
Futures Contracts 1,433,834
-----------
Net Change in Unrealized Appreciation 29,197,893
-----------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $38,214,660
-----------
-----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
25
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE SIX
MONTHS ENDED FOR THE FISCAL
NOVEMBER 30, 1998 YEAR ENDED
(UNAUDITED) MAY 31, 1998
----------------- --------------
<S> <C> <C>
INCREASE IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 2,323,543 $ 2,279,909
Net Realized Gain on Investments and Futures
Contracts 6,693,224 14,779,999
Net Change in Unrealized Appreciation of
Investments and Futures Contracts 29,197,893 29,521,206
----------------- --------------
Net Increase in Net Assets Resulting from
Operations 38,214,660 46,581,114
----------------- --------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS
Contributions 185,874,466 235,373,755
Withdrawals (35,006,206) (44,366,828)
----------------- --------------
Net Increase from Investors' Transactions 150,868,260 191,006,927
----------------- --------------
Total Increase in Net Assets 189,082,920 237,588,041
NET ASSETS
Beginning of Period 314,135,937 76,547,896
----------------- --------------
End of Period $ 503,218,857 $ 314,135,937
----------------- --------------
----------------- --------------
</TABLE>
- --------------------------------------------------------------------------------
SUPPLEMENTARY DATA
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE PERIOD
FOR THE SIX DECEMBER 30, 1996
MONTHS ENDED FOR THE FISCAL (COMMENCEMENT OF
NOVEMBER 30, 1998 YEAR ENDED OPERATIONS) THROUGH
(UNAUDITED) MAY 31, 1998 MAY 31, 1997
----------------- -------------- -------------------
<S> <C> <C> <C>
RATIOS TO AVERAGE NET ASSETS
Net Expenses 0.44%(a) 0.45% 0.45%(a)
Net Investment Income 1.16%(a) 1.27% 1.54%(a)
Expenses without Reimbursement 0.44%(a) 0.51% 0.78%(a)
Portfolio Turnover 28.10%(b) 60.59% 20.47%(b)
</TABLE>
- ------------------------
(a) Annualized.
(b) Not Annualized.
The Accompanying Notes are an Integral Part of the Financial Statements.
26
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
NOVEMBER 30, 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, 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 $9,049.
Morgan Guaranty Trust Company of New York ("Morgan"), a wholly owned
subsidiary of J.P.Morgan & Co. Incorporated ("J.P.Morgan"), has agreed to
pay the organization expenses of the portfolio. The portfolio has agreed
27
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
NOVEMBER 30, 1998
- --------------------------------------------------------------------------------
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 November 30, 1998, the portfolio had open
futures contracts as follows:
SUMMARY OF OPEN CONTRACTS AT NOVEMBER 30, 1998
<TABLE>
<CAPTION>
NET UNREALIZED PRINCIPAL AMOUNT
CONTRACTS LONG APPRECIATION OF CONTRACTS
-------------- -------------- ----------------
<S> <C> <C> <C>
S & P 500, expiring December 1998................ 58 $ 1,520,252 $ 15,335,998
-------------- -------------- ----------------
Totals........................................... 58 $ 1,520,252 $ 15,335,998
-------------- -------------- ----------------
-------------- -------------- ----------------
</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) Prior to October 1, 1998, the portfolio had an Investment Advisory
Agreement with Morgan. Under the terms of the agreement, the portfolio
paid Morgan at an annual rate of 0.35% of the portfolio's
28
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
NOVEMBER 30, 1998
- --------------------------------------------------------------------------------
average daily net assets. Effective October 1, 1998, the portfolio's
Investment Advisor is J.P. Morgan Investment Management Inc. ("JPMIM"), an
affiliate of Morgan and a wholly owned subsidiary of J.P.Morgan, and the
terms of the agreement will remain the same. For the six months ended
November 30, 1998, such fees amounted to $703,700.
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 six months ended November 30, 1998, the fee
for these services amounted to $3,500.
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 JPMIM 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 the six months ended November 30, 1998, the fee for these services
amounted to $56,899.
In addition, J.P.Morgan has agreed to reimburse the portfolio to the
extent necessary to maintain the total operating expenses of the portfolio
at no more than 0.45% of the average daily net assets of the portfolio
through February 28, 1999. This arrangement can be changed or terminated
at any time at the option of J.P. Morgan. For the six months ended
November 30, 1998, J.P. Morgan did not have to reimburse 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 $5,301 for the six months ended November 30, 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
29
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
NOVEMBER 30, 1998
- --------------------------------------------------------------------------------
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 $1,100.
3. INVESTMENT TRANSACTIONS
Investment transactions (excluding short-term investments) for the six months
ended November 30, 1998 were as follows:
<TABLE>
<CAPTION>
COST OF PROCEEDS
PURCHASES FROM SALES
------------ ------------
<S> <C> <C>
$250,918,025 $108,389,199
</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.
30
