<PAGE>
THE INTERNATIONAL OPPORTUNITIES PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED)
MAY 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ -------------
<S> <C> <C>
COMMON STOCK (90.2%)
ARGENTINA (1.0%)
YPF Sociedad Anonima (Spon. ADR)
(Oil-Production)(s)............................ 81,880 $ 3,449,195
-------------
AUSTRALIA (1.4%)
Australia & New Zealand Banking Group Ltd.
(Banking)(s)................................... 364,400 2,649,630
North Ltd. (Metals & Mining)(s).................. 1,052,500 1,913,066
-------------
4,562,696
-------------
AUSTRIA (0.7%)
Bank Austria AG (Banking)(s)..................... 42,732 2,193,841
-------------
BELGIUM (0.5%)
PetroFina SA (Oil-Production)(s)................. 2,900 1,567,686
-------------
CANADA (0.7%)
Royal Bank of Canada (Banking)(s)................ 47,900 2,196,625
-------------
CHILE (0.4%)
Enersis SA (Spon. ADR) (Electric)(s)............. 72,600 1,424,775
-------------
DENMARK (0.9%)
Danisco A/S (Food, Beverages & Tobacco)(s)....... 59,300 2,854,125
-------------
FINLAND (2.3%)
Rautaruukki OYJ, K Shares (Metals & Mining)(s)... 481,700 2,971,660
Sampo Insurance Co. Ltd., A Shares
(Insurance)(s)................................. 56,000 1,698,073
Stora Enso OYJ, R Shares (Forest Products &
Paper)(s)...................................... 276,664 2,807,517
-------------
7,477,250
-------------
FRANCE (12.5%)
Carrefour SA (Retail)(s)......................... 23,070 3,034,580
Christian Dior SA (Retail)(s).................... 23,100 3,282,478
Compagnie de Saint Gobain SA (Building
Materials)(s).................................. 8,935 1,406,052
Compagnie Financiere de Paribas (Financial
Services)(s)................................... 42,100 4,578,106
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ -------------
<S> <C> <C>
FRANCE (CONTINUED)
Elf Aquitaine SA (Oil-Services)(s)............... 29,944 $ 4,345,800
Groupe Danone (Food, Beverages & Tobacco)(s)..... 6,209 1,713,942
Lagardere S.C.A. (Multi - Industry)(s)........... 31,783 1,244,564
Rhodia SA (Chemicals)(s)+........................ 172,500 2,941,802
Sanofi-Synthelabo SA (Pharmaceuticals)(s)........ 73,072 3,086,759
Societe Generale (Banking)(s).................... 25,853 4,709,009
STMicroelectronics NV (Electronics)(s)........... 34,459 3,999,411
Total SA, B Shares (Oil-Services)(s)............. 33,400 4,068,580
Vivendi (Utilities)(s)........................... 33,879 2,515,124
-------------
40,926,207
-------------
GERMANY (7.4%)
Bayerische Hypo-Und Vereinsbank AG
(Banking)(s)................................... 24,381 1,320,540
Hoechst AG (Holding Companies)(s)................ 101,700 4,540,663
Merck KGaA (Pharmaceuticals)(s).................. 36,900 1,271,312
Muenchener Rueckversicherungs-Gesellschaft AG
(Insurance)(s)................................. 14,684 2,518,017
Munchener Rueckversicherungs-Gesellschaft AG -
New Shares (Insurance)(s)+..................... 11,384 1,928,325
RWE AG (Utilities)(s)............................ 91,500 4,099,608
Schering AG (Pharmaceuticals)(s)................. 25,180 2,698,671
VEBA AG (Utilities)(s)........................... 92,775 5,306,262
Volkswagen AG (Automotive)(s).................... 7,520 467,062
-------------
24,150,460
-------------
HONG KONG (2.7%)
Cheung Kong Holdings Ltd. (Real Estate)(s)....... 220,000 1,787,351
Hongkong Electric Holdings Ltd. (Electric)(s).... 1,115,000 3,494,039
New World Development Co. Ltd. (Real
Estate)(s)..................................... 1,447,000 3,536,098
-------------
8,817,488
-------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
16
<PAGE>
THE INTERNATIONAL OPPORTUNITIES PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
MAY 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ -------------
<S> <C> <C>
INDIA (0.4%)
Reliance Industries Ltd. (GDR) (Chemicals)(s).... 139,700 $ 1,229,360
-------------
ITALY (0.7%)
Bayerische Vita SPA (Insurance)(s)............... 139,300 639,420
Mediaset SPA (Broadcasting & Publishing)(s)...... 198,000 1,608,632
-------------
2,248,052
-------------
JAPAN (16.6%)
Asahi Breweries Ltd. (Food, Beverages &
Tobacco)(s).................................... 119,000 1,513,847
DDI Corp. (Telecommunications)(s)................ 1,080 4,987,915
Fanuc Ltd. (Machinery)(s)........................ 84,200 3,630,872
Fujitsu Ltd. (Computer Systems)(s)............... 223,000 3,728,356
Honda Motor Co. Ltd. (Automotive)(s)............. 37,000 1,518,954
Ito-Yokado Co. Ltd. (Retail)(s).................. 37,000 2,207,995
Mitsubishi Chemical Corp. (Chemicals)(s)......... 1,310,000 3,719,003
Mitsubishi Corp. (Wholesale & International
Trade)(s)...................................... 697,000 4,240,150
Mitsui Trust & Banking Co. Ltd. (Banking)(s)..... 1,062,000 1,608,558
Rohm Co. Ltd. (Electronics)(s)................... 33,000 4,323,704
Shohkoh Fund & Co. Ltd. (Financial
Services)(s)................................... 3,800 2,126,138
Sony Corp. (Electronics)(s)...................... 30,100 2,830,127
Sumitomo Bakelite Co. Ltd. (Chemicals)(s)........ 23,000 175,137
Suzuki Motor Corp. (Automotive)(s)............... 124,000 1,761,165
Taiheiyo Cement Corp. (Building Materials)(s).... 724,000 1,935,540
Takeda Chemical Industries (Chemicals)(s)........ 86,100 3,826,824
Tostem Corp. (Construction & Housing)(s)......... 173,000 3,329,125
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ -------------
<S> <C> <C>
JAPAN (CONTINUED)
West Japan Railway Co. (Railroads)(s)............ 529 $ 2,123,531
Yamanouchi Pharmaceutical Co. Ltd.
(Pharmaceuticals)(s)........................... 128,000 4,417,811
-------------
54,004,752
-------------
MEXICO (1.1%)
Grupo Televisa SA (Spon. GDR) (Broadcasting &
Publishing)(s)+................................ 85,100 3,558,244
-------------
NETHERLANDS (7.0%)
ABN Amro Holding NV (Banking)(s)................. 156,138 3,469,269
Akzo Nobel NV (Chemicals)(s)..................... 43,500 1,810,267
ING Groep NV (Financial Services)(s)............. 27,000 1,446,865
Laurus NV (Retail)(s)............................ 156,940 3,610,163
Philips Electronics NV (Electronics)(s).......... 84,400 7,258,532
Unilever NV (Food, Beverages & Tobacco)(s)....... 4,375 291,628
Vedior NV (Business & Public Services)(s)........ 72,207 1,340,134
Vendex NV (Retail)(s)............................ 84,400 2,470,989
Wolters Kluwer NV (Broadcasting &
Publishing)(s)................................. 25,716 1,036,569
-------------
22,734,416
-------------
NEW ZEALAND (0.3%)
Fletcher Challenge Paper Division Ltd. (Forest
Products & Paper)(s)........................... 1,080,000 920,651
-------------
NORWAY (1.1%)
Sparebanken NOR (Banking)(s)..................... 99,760 1,890,964
Stolt - Nielsen SA (Spon. ADR)
(Transportation)(s)............................ 121,410 1,733,887
-------------
3,624,851
-------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
17
<PAGE>
THE INTERNATIONAL OPPORTUNITIES PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
MAY 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ -------------
<S> <C> <C>
PAKISTAN (0.0%)
Pakistan Telecommunications Corp. (GDR)
(Telecommunication Services)(s)+............... 953 $ 42,885
-------------
PHILIPPINES (0.6%)
First Philippine Holdings Corp., Class B (Multi -
Industry)(s)................................... 1,491,920 1,882,052
-------------
PORTUGAL (1.3%)
Banco Pinto & Sotto Mayor SA (Banking)(s)........ 117,519 2,334,706
Portugal Telecom SA (Telecommunications)(s)...... 39,900 1,810,644
-------------
4,145,350
-------------
RUSSIA (1.0%)
Surgutneftegaz (Spon. ADR) (Oil-Production)(s)... 464,500 3,425,688
-------------
SINGAPORE (1.2%)
Natsteel Electronics Ltd. (Electronics)(s)....... 240,300 801,128
Overseas Union Bank Ltd. (Banking)(s)............ 586,300 3,008,454
-------------
3,809,582
-------------
SOUTH AFRICA (1.8%)
Anglo American PLC (Metals & Mining)(s)+......... 33,800 1,531,359
AngloGold Ltd. (Metals & Mining)(s).............. 63,746 2,524,283
South African Breweries PLC (Food, Beverages &
Tobacco)(s)+................................... 216,308 1,737,394
-------------
5,793,036
-------------
SOUTH KOREA (0.5%)
Korea Telecom Corp. (ADR) (Telecommunication
Services)(s)+.................................. 47,719 1,518,061
-------------
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ -------------
<S> <C> <C>
SPAIN (5.6%)
Acerinox SA (Metals & Mining)(s)................. 46,500 $ 1,337,076
Actividades de Construccion y Servicios SA
(Construction & Housing)(s).................... 97,800 2,986,016
Iberdrola SA (Electric)(s)....................... 524,900 7,541,083
Indra Sistemas SA (Electronics)(s)............... 116,364 1,103,561
Telefonica SA (Telecommunications)(s)............ 108,194 5,201,667
-------------
18,169,403
-------------
SWEDEN (0.8%)
ABB AB, A Shares (Machinery)(s).................. 205,300 2,801,724
-------------
SWITZERLAND (7.7%)
Barry Callebaut AG (Food, Beverages &
Tobacco)(s).................................... 3,200 476,788
Nestle SA (Food, Beverages & Tobacco)(s)......... 2,330 4,198,055
Roche Holding AG (Pharmaceuticals)(s)............ 467 4,953,453
Schweizerische Rueckversicherungs-Gesellschaft
(Insurance)(s)................................. 2,720 5,172,104
Swisscom AG (Telecommunication Services)(s)...... 11,700 4,223,752
UBS AG (Banking)(s).............................. 16,575 4,808,678
Zurich Allied AG (Insurance)(s).................. 2,500 1,473,554
-------------
25,306,384
-------------
UNITED KINGDOM (11.6%)
Allied Zurich PLC (Insurance)(s)................. 221,200 2,819,656
Anglian Water PLC (Pollution Control)(s)......... 136,100 1,506,978
Cable & Wireless Communications PLC
(Telecommunications)(s)........................ 293,100 3,607,015
Glaxo Wellcome PLC (Pharmaceuticals)(s).......... 71,100 1,994,925
Hays PLC (Commercial Services)(s)................ 65,300 606,893
Lloyds TSB Group PLC (Banking)(s)................ 133,600 1,783,291
National Power PLC (Electric)(s)................. 176,000 1,374,859
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
18
<PAGE>
THE INTERNATIONAL OPPORTUNITIES PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
MAY 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ -------------
<S> <C> <C>
UNITED KINGDOM (CONTINUED)
Norwich Union PLC (Insurance)(s)................. 280,000 $ 1,985,373
PIC International Group PLC (Food, Beverages &
Tobacco)(s)+................................... 1,103,600 1,158,307
Railtrack Group PLC (Transportation)(s).......... 132,700 2,715,393
Royal & Sun Alliance Insurance Group PLC
(Insurance)(s)................................. 271,818 2,215,699
Schroders PLC (Banking)(s)....................... 132,800 2,751,487
Select Appointments Holdings PLC (Business &
Public Services)(s)............................ 131,500 1,611,974
Shell Transport & Trading Co.
(Oil-Services)(s).............................. 562,700 4,077,804
SmithKline Beecham PLC (Pharmaceuticals)(s)...... 304,800 3,968,343
Tate & Lyle PLC (Food, Beverages & Tobacco)(s)... 227,300 1,493,324
Unilever PLC (Food, Beverages & Tobacco)(s)...... 242,857 2,144,239
-------------
37,815,560
-------------
VENEZUELA (0.4%)
Compania Anonima Nacional Telefonos de Venezuela
(ADR) (Telecommunication Services)(s).......... 63,600 1,482,675
-------------
TOTAL COMMON STOCK (COST $265,417,425)......... 294,133,074
-------------
</TABLE>
<TABLE>
<S> <C> <C>
PREFERRED STOCK (3.8%)
AUSTRALIA (1.7%)
News Corp. Ltd. (Broadcasting & Publishing)(s)... 751,000 5,741,056
-------------
BRAZIL (1.1%)
Tele Norte Leste Participacoes SA (ADR)
(Telecommunication Services)(s)+............... 219,721 3,597,931
-------------
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ -------------
<S> <C> <C>
GERMANY (1.0%)
GEA AG (Manufacturing)(s)........................ 105,900 $ 2,513,577
ProSieben Media AG (Broadcasting &
Publishing)(s)................................. 95 4,068
Volkswagen AG (Automotive)(s).................... 17,500 622,139
-------------
3,139,784
-------------
SOUTH KOREA (0.0%)
Samsung Electronics Co. Ltd. (GDR)(144A)
(Electronics)(s)............................... 420 15,708
-------------
TOTAL PREFERRED STOCK (COST $10,742,137)....... 12,494,479
-------------
</TABLE>
<TABLE>
<S> <C> <C>
RIGHTS (0.0%)
SOUTH KOREA (0.0%)
Samsung Electronics Co. Ltd. (Electronics) (COST
$0)(s)+........................................ 34 269
-------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT{::}
----------------
<S> <C> <C>
CONVERTIBLE BONDS (2.5%)
JAPAN (0.3%)
Softbank Corp., 0.50% due 03/29/02 (Computer
Software)...................................... JPY 77,000,000 1,083,430
-----------
SINGAPORE (1.3%)
Finlayson Global, Zero Coupon due 02/19/04
(Airlines)+.................................... EUR 3,060,000 4,303,424
-----------
UNITED KINGDOM (0.9%)
Compass Group PLC, 5.75% due 10/05/07 (Food,
Beverages & Tobacco)........................... GBP 1,035,000 2,719,913
-----------
TOTAL CONVERTIBLE BONDS (COST $7,242,602)...... 8,106,767
-----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
19
<PAGE>
THE INTERNATIONAL OPPORTUNITIES PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
MAY 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- ------------------------------------------------- ------------ -------------
<S> <C> <C>
SHORT-TERM INVESTMENTS (1.9%)
REPURCHASE AGREEMENT (1.8%)
State Street Bank and Trust, 4.00% due 06/01/99, dated
05/28/99, proceeds $5,769,563, (collateralized by $5,700,000
U.S. Treasury Note, 6.25% due 8/31/02, valued at
5,885,250)...................................... $5,767,000 $5,767,000....
-------------
U.S. TREASURY OBLIGATIONS (0.1%)
U.S. Treasury Bills, 4.51%(y) due 07/15/99(s).... $ 540,000 $ 537,116
-------------
TOTAL SHORT-TERM INVESTMENTS (COST
$6,304,116)................................... 6,304,116
-------------
TOTAL INVESTMENTS (COST $289,706,280) (98.4%)..................
321,038,705
OTHER ASSETS IN EXCESS OF LIABILITIES (1.6%)...................
5,062,463
-------------
NET ASSETS (100.0%)............................................ $ 326,101,168
-------------
-------------
</TABLE>
- ------------------------------
Note: Based on the cost of investments of $290,323,687 for federal income tax
purposes at May 31, 1999 the aggregate gross unrealized appreciation and
depreciation was $44,360,929 and $13,645,911, respectively, resulting in net
unrealized appreciation of $30,715,018.
+ - Non-income producing security.
F - Denominated in United States Dollar unless otherwise indicated.
(s) - Security is fully or partially segregated with custodian as collateral for
futures contracts or with broker as initial margin for futures contracts.
$121,739,116 of the market value has been segregated.
(y) - Yield to maturity.
ADR - American Depository Receipt.
EUR - Euro.
GBP - British Pound.
GDR - Global Depository Receipt.
JPY - Japanese Yen.
Spon. ADR - Sponsored ADR.
Spon. GDR - Sponsored GDR.
144A - Securities restricted for resale to Qualified Institutional Buyers.
The Accompanying Notes are an Integral Part of the Financial Statements.
20
<PAGE>
THE INTERNATIONAL OPPORTUNITIES PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
MAY 31, 1999
- --------------------------------------------------------------------------------
INDUSTRY DIVERSIFICATION
<TABLE>
<CAPTION>
PERCENT OF
TOTAL INVESTMENT
-----------------
<S> <C>
Banking........................................... 12.6%
Pharmaceuticals................................... 7.0%
Insurance......................................... 6.3%
Electronics....................................... 6.3%
Food, Beverages & Tobacco......................... 6.3%
Telecommunications................................ 4.9%
Retail............................................ 4.5%
Electric.......................................... 4.3%
Chemicals......................................... 4.3%
Oil - Services.................................... 3.9%
Broadcasting & Publishing......................... 3.7%
Utilities......................................... 3.7%
Telecommunication Services........................ 3.4%
Metals & Mining................................... 3.2%
Automotive........................................ 2.7%
Oil - Production.................................. 2.6%
Financial Services................................ 2.5%
Machinery......................................... 2.0%
Construction & Housing............................ 2.0%
Real Estate....................................... 1.7%
Holding Companies................................. 1.4%
Transportation.................................... 1.4%
Wholesale & International Trade................... 1.3%
Computer Systems.................................. 1.2%
Forest Products & Paper........................... 1.2%
Building Materials................................ 1.0%
Multi-Industry.................................... 1.0%
Business & Public Services........................ 0.9%
Manufacturing..................................... 0.8%
Railroads......................................... 0.7%
Pollution Control................................. 0.5%
Computer Software................................. 0.3%
Comsumer Services................................. 0.2%
Government Obligations............................ 0.2%
-----------------
100.0%
-----------------
-----------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
21
<PAGE>
THE INTERNATIONAL OPPORTUNITIES PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES (UNAUDITED)
MAY 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments at Value (Cost $289,706,280 ) $321,038,705
Cash 466
Foreign Currency at Value (Cost $1,176,621) 1,163,597
Receivable for Investments Sold 48,010
Unrealized Appreciation of Forward Foreign
Currency Contracts 2,875,240
Dividends Receivable 1,783,493
Foreign Tax Reclaim Receivable 530,093
Interest Receivable 17,928
Deferred Organization Expenses 7,682
Prepaid Administration Fee 890
Prepaid Expenses and Other Assets 2,576
------------
Total Assets 327,468,680
------------
LIABILITIES
Payable for Investments Purchased 307,740
Unrealized Depreciation of Forward Foreign
Currency Contracts 489,572
Custody Fee Payable 182,634
Advisory Fee Payable 171,296
Foreign Tax Withholding Payable 156,314
Administrative Services Fee Payable 7,370
Variation Margin Payable 7,366
Organization Expenses Payable 2,538
Accrued Trustees' Fees 422
Fund Services Fee Payable 301
Accrued Expenses 41,959
------------
Total Liabilities 1,367,512
------------
NET ASSETS
Applicable to Investors' Beneficial Interests $326,101,168
------------
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
22
<PAGE>
THE INTERNATIONAL OPPORTUNITIES PORTFOLIO
STATEMENT OF OPERATIONS (UNAUDITED)
FOR THE SIX MONTHS ENDED MAY 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Dividend Income (Net of Foreign Withholding Tax
of $624,082) $ 4,131,947
Interest Income (Net of Foreign Withholding Tax
of $1,557) 253,464
-----------
Investment Income 4,385,411
EXPENSES
Advisory Fee $ 995,001
Custodian Fees and Expenses 315,758
Administrative Services Fee 43,353
Professional Fees and Expenses 26,218
Fund Services Fee 3,669
Administration Fee 2,136
Trustees' Fees and Expenses 1,959
Amortization of Organization Expense 1,396
Miscellaneous 5,085
-----------
Total Expenses 1,394,575
-----------
NET INVESTMENT INCOME 2,990,836
NET REALIZED GAIN ON
Investment Transactions 4,648,544
Futures 1,510,720
Foreign Currency Contracts and Transactions 1,188,592
-----------
Net Realized Gain 7,347,856
NET CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION) OF
Investments Transactions 18,365,506
Futures (742,418)
Foreign Currency Contracts and Translations 4,262,430
-----------
Net Change in Unrealized Appreciation 21,885,518
-----------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $32,224,210
-----------
-----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
23
<PAGE>
THE INTERNATIONAL OPPORTUNITIES PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE SIX
MONTHS ENDED FOR THE FISCAL
MAY 31, 1999 YEAR ENDED
(UNAUDITED) NOVEMBER 30, 1998
------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 2,990,836 $ 4,784,491
Net Realized Gain (Loss) on Investments, Futures
and Foreign Currency Contracts and Transactions 7,347,856 (31,808,619)
Net Change in Unrealized Appreciation of
Investments, Futures and Foreign Currency
Contracts and Translations 21,885,518 21,154,264
------------- -----------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 32,224,210 (5,869,864)
------------- -----------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS
Contributions 105,988,947 358,018,439
Withdrawals (192,369,191) (245,865,781)
------------- -----------------
Net Increase (Decrease) from Investors'
Transactions (86,380,244) 112,152,658
------------- -----------------
Total Increase (Decrease) in Net Assets (54,156,034) 106,282,794
NET ASSETS
Beginning of Period 380,257,202 273,974,408
------------- -----------------
End of Period $ 326,101,168 $ 380,257,202
------------- -----------------
------------- -----------------
</TABLE>
- --------------------------------------------------------------------------------
SUPPLEMENTARY DATA
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE PERIOD
FOR THE SIX FEBRUARY 26, 1997
MONTHS ENDED FOR THE FISCAL (COMMENCEMENT OF
MAY 31, 1999 YEAR ENDED OPERATIONS) THROUGH
(UNAUDITED) NOVEMBER 30, 1998 NOVEMBER 30, 1997
------------ ----------------- -------------------
<S> <C> <C> <C>
RATIOS TO AVERAGE NET ASSETS
Net Expenses 0.84%(a) 0.85% 0.89%(a)
Net Investment Income 1.80%(a) 1.07% 1.26%(a)
Expenses without Reimbursement 0.84%(a) 0.85% 0.92%(a)
Portfolio Turnover 35%(b) 143% 72%
</TABLE>
- ------------------------
(a) Annualized.
(b) Not Annualized.
The Accompanying Notes are an Integral Part of the Financial Statements.
24
<PAGE>
THE INTERNATIONAL OPPORTUNITIES PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
MAY 31, 1999
- --------------------------------------------------------------------------------
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
The International Opportunities Portfolio (the "portfolio") is one of eight
subtrusts (portfolios) comprising The Series Portfolio (the "series portfolio").
The series portfolio is registered under the Investment Company Act of 1940, as
amended, as a no-load open-end management investment company which was organized
as a trust under the laws of the State of New York on June 24, 1994. The
portfolio's investment objective is to provide a high total return from a
portfolio of equity securities of foreign companies in developed and, to a
lesser extent, developing markets. The portfolio commenced operations on
February 26, 1997. The Declaration of Trust permits the trustees to issue an
unlimited number of beneficial interests in the portfolio.
The portfolio may have elements of risk not typically associated with
investments in the United States due to concentrated investments in a limited
number of countries or regions which may vary throughout the year. Such
concentrations may subject the portfolio to additional risks resulting from
political or economic conditions in such countries or regions and the possible
imposition of adverse governmental laws or currency exchange restrictions
affecting such countries or regions which could cause the securities and their
markets to be less liquid and prices more volatile than those comparable to the
United States. The ability of the issuers of debt securities held by the
portfolio to meet their obligations may be affected by economic and political
developments in a specific industry or region.
The preparation of financial statements in accordance with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts and disclosures. Actual amounts could differ from
those estimates. The following is a summary of the significant accounting
policies of the portfolio:
a) The portfolio values securities that are listed on an exchange using
prices supplied daily by an independent pricing service that are based on
the last traded price on a national securities exchange or in the absence
of recorded trades, at the readily available mean of the bid and asked
prices on such exchange, if such exchange or market constitutes the
broadest and most representative market for the security. Securities
listed on a foreign exchange are valued at the last traded price or, in
the absence of recorded trades, at the readily available mean of the bid
and asked prices on such exchange available before the time when net
assets are valued. Independent pricing service procedures may also include
the use of prices based on yields or prices of securities of comparable
quality, coupon, maturity and type, indications as to values from dealers,
operating data, and general market conditions. Unlisted securities are
valued at the average of the quoted bid and asked prices in the
over-the-counter market provided by a principal market maker or dealer. If
prices are not supplied by the portfolio's independent pricing service or
principal market maker or dealer, such securities are priced using fair
values in accordance with procedures adopted by the portfolio's Trustees.
All short-term securities with a remaining maturity of sixty days or less
are valued using the amortized cost method.
Trading in securities on most foreign exchanges and over-the-counter
markets is normally completed before the close of the domestic market and
may also take place on days on which the domestic market is closed. If
events materially affecting the value of foreign securities occur between
the time when the exchange on which they are traded closes and the time
when the portfolio's net assets are calculated, such securities will be
valued at fair value in accordance with procedures established by and
under the general supervision of the portfolio's trustees.
25
<PAGE>
THE INTERNATIONAL OPPORTUNITIES PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
MAY 31, 1999
- --------------------------------------------------------------------------------
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) The books and records of the portfolio are maintained in U.S. dollars. The
market value of investment securities, other assets and liabilities and
foreign currency contracts are translated at the prevailing exchange rates
at the end of the period. Purchases, sales, income and expense are
translated at the exchange rates prevailing on the respective dates of
such transactions. Translation gains and losses resulting from changes in
exchange rates during the reporting period and gains and losses realized
upon settlement of foreign currency transactions are reported in the
Statement of Operations. Although the net assets of the portfolio are
presented at the exchange rates and market values prevailing at the end of
the period, the portfolio does not isolate the portion of the results of
operations arising as a result of changes in foreign exchange rates from
the fluctuations arising from changes in the market prices of securities
during the period.
c) Securities transactions are recorded on a trade date basis. Dividend
income is recorded on the ex-dividend date or as of the time that the
relevant ex-dividend date and amount become known. Interest income, which
includes the amortization of premiums and discounts, if any, is recorded
on an accrual basis. For financial and tax reporting purposes, realized
gains and losses are determined on the basis of specific lot
identification.
d) The portfolio incurred organization expenses in the amount of $14,000.
Morgan Guaranty Trust Company of New York ("Morgan"), a wholly owned
subsidiary of J.P. Morgan & Co. Incorporated ("J.P. Morgan") has paid the
organization expenses of the portfolio. The portfolio has agreed to
reimburse Morgan for these costs which are being deferred and amortized on
a straight-line basis over a period not to exceed five years beginning
with the commencement of operations of the portfolio.
e) 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.
f) The portfolio may enter into forward and spot foreign currency contracts
to protect securities and related receivables and payables against
fluctuations in future foreign currency rates and to enhance returns. A
forward contract is an agreement to buy or sell currencies of different
countries on a specified future date at a specified rate. Risks associated
with such contracts include the movement in the value of the foreign
currency relative to the U.S. dollar and the ability of the counterparty
to perform.
The market value of the contract will fluctuate with changes in currency
exchange rates. Contracts are valued daily at the current foreign exchange
rates, and the change in the market value is recorded by the portfolio as
unrealized appreciation or depreciation of forward foreign currency
contract translations.
26
<PAGE>
THE INTERNATIONAL OPPORTUNITIES PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
MAY 31, 1999
- --------------------------------------------------------------------------------
g) Futures -- A futures contract is an agreement to purchase/sell a specified
quantity of an underlying instrument at a specified future date or to
make/receive a cash payment based on the value of a securities index. The
price at which the purchase and sale will take place is fixed when the
portfolio enters into the contract. Upon entering into such a contract,
the portfolio is required to pledge to the broker an amount of cash and/or
liquid securities equal to the minimum "initial margin" requirements of
the exchange. Pursuant to the contract, the portfolio agrees to receive
from, or pay to, the broker an amount of cash equal to the daily
fluctuation in the value of the contract. Such receipts or payments are
known as "variation margin" and are recorded by the portfolio as
unrealized gains or losses. When the contract is closed, the portfolio
records a realized gain or loss equal to the difference between the value
of the contract at the time it was opened and the value at the time when
it was closed. The portfolio invests in futures contracts for the purpose
of hedging its existing portfolio securities, or securities the portfolio
intends to purchase, against fluctuations in value caused by changes in
prevailing market interest rates or securities movements. The use of
futures transactions involves the risk of imperfect correlation in
movements in the price of futures contracts, interest rates and the
underlying hedged assets, and the possible inability of counterparties to
meet the terms of their contracts.
h) The portfolio intends to be treated as a partnership for federal income
tax purposes. As such, each investor in the portfolio will be taxed on its
share of the portfolio's ordinary income and capital gains. It is intended
that the portfolio's assets will be managed in such a way that an investor
in the portfolio will be able to satisfy the requirements of Subchapter M
of the Internal Revenue Code. The portfolio earns foreign income which may
be subject to foreign witholding taxes imposed by countries in which it
invests.
2. TRANSACTIONS WITH AFFILIATES
a) The portfolio has an Investment Advisory Agreement with J.P. Morgan
Investment Management Inc. ("JPMIM"), an affiliate of Morgan and
wholly-owned subsidiary of J.P. Morgan. Under the terms of the agreement,
the portfolio pays JPMIM at an annual rate of 0.60% of the portfolio's
average daily net assets. For the six months ended May 31, 1999, such fees
amounted to $995,001.
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 portfolio's
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 May 31, 1999, the
fee for these services amounted to $2,136.
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
27
<PAGE>
THE INTERNATIONAL OPPORTUNITIES PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
MAY 31, 1999
- --------------------------------------------------------------------------------
average daily net assets of the portfolio and the other portfolios in
which the trust and the J.P. Morgan Funds, the J.P. Morgan Institutional
Funds invest (the "master portfolios") and J.P. Morgan Series Trust in
accordance with the following annual schedule: 0.09% on the first $7
billion of their aggregate average daily net assets and 0.04% of their
aggregate average daily net assets in excess of $7 billion less the
complex-wide fees payable to FDI. The portion of this charge payable by
the portfolio is determined by the proportionate share that its net assets
bear to the net assets of the portfolio, 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 May 31,
1999, the fee for these services amounted to $43,353.
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 1.00% of the average daily net assets of the portfolio
until further notification. For the six months ended May 31, 1999, there
was no reimbursement to the fund.
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 $3,669 for the six months ended May 31, 1999.
e) An aggregate annual fee of $75,000 is paid to each trustee for serving as
a trustee of the J.P. Morgan Funds, the J.P. Morgan Institutional Funds,
the master portfolios and J.P. Morgan Series Trust. The Trustees' Fees and
Expenses shown in the financial statements represents the portfolio's
allocated portion of the total fees and expenses. The portfolio's Chairman
and Chief Executive Officer also serves as Chairman of Group and receives
compensation and employee benefits from Group in his role as Group's
Chairman. The allocated portion of such compensation and benefits included
in the Fund Services Fee shown in the financial statements was $800.
3. INVESTMENT TRANSACTIONS
Investment transactions (excluding short-term investments) for the six months
ended May 31, 1999 were as follows:
<TABLE>
<CAPTION>
COST OF PROCEEDS
PURCHASES FROM SALES
- ----------------- ------------
<S> <C>
$112,183,897...... $183,808,270
</TABLE>
Open futures contracts at May 31, 1999 are summarized as follows:
<TABLE>
<CAPTION>
NET UNREALIZED
APPRECIATION/ PRINCIPAL AMOUNT
CONTRACTS LONG (DEPRECIATION) OF CONTRACTS
-------------- -------------- ----------------
<S> <C> <C> <C>
FTSE 100 Index, expiring June 1999............... 33 $ (199,497) $ 3,498,817
-------------- -------------- ----------------
-------------- -------------- ----------------
</TABLE>
28
<PAGE>
THE INTERNATIONAL OPPORTUNITIES PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
MAY 31, 1999
- --------------------------------------------------------------------------------
At May 31, 1999, the portfolio had open forward currency contracts as follows:
<TABLE>
<CAPTION>
U.S. DOLLAR NET UNREALIZED
CONTRACTUAL VALUE AT APPRECIATION/
PURCHASE CONTRACTS VALUE 5/31/99 (DEPRECIATION)
- ------------------------------------------------- ----------- ----------- --------------
<S> <C> <C> <C>
Australian Dollar 3,500,000, expiring
7/15/99......................................... $ 2,237,795 $ 2,288,736 $ 50,941
British Pound 2,030,000 for EUR 3,047,590,
expiring 7/15/99................................ 3,196,841 3,251,605 54,764
British Pound 11,487,035, expiring 7/15/99....... 21,816,785 21,651,263 (165,522)
Canadian Dollar 14,241,639, expiring
7/15/99......................................... 9,558,147 9,678,780 120,633
Euro 7,245,769, expiring 7/15/99................. 7,720,718 7,600,619 (120,099)
Singapore Dollar 1,750,329, expiring
7/15/99......................................... 1,026,586 1,018,844 (7,742)
Swedish Krone 42,281,227, expiring 7/15/99....... 5,081,877 4,944,173 (137,704)
</TABLE>
<TABLE>
<CAPTION>
SETTLEMENT
SALES CONTRACTS VALUE
- ------------------------------------------------- -----------
<S> <C> <C> <C>
Australian Dollar 3,426,344, expiring 7/15/99.... $ 2,182,067 $ 2,240,571 $ (58,504)
British Pound 1,500,000, expiring 7/15/99........ 2,421,780 2,402,664 19,116
Danish Krone 18,251,361, expiring 7/15/99........ 2,669,108 2,575,056 94,052
Euro 49,966,836, expiring 7/15/99................ 54,303,090 52,413,883 1,889,207
Japanese Yen 3,115,551,479, expiring 7/15/99 .... 26,216,422 25,955,754 260,668
Norwegian Krone 21,032,974, expiring 7/15/99..... 2,706,947 2,661,009 45,938
South African Rand 30,847,595, expiring
7/15/99......................................... 4,899,553 4,883,960 15,593
Swedish Krone 20,956,491, expiring 7/15/99....... 2,536,184 2,450,556 85,628
Swiss Franc 11,698,507 expiring 7/15/99.......... 7,958,167 7,719,468 238,699
--------------
NET UNREALIZED APPRECIATION OF FORWARD FOREIGN
CURRENCY CONTRACTS.............................. $ 2,385,668
--------------
--------------
</TABLE>
4. CREDIT AGREEMENT
The portfolio is party to a revolving line of credit agreement as discussed more
fully in Note 4 of the fund's Notes to the Financial Statements which are
included elsewhere in this report.
29
