<PAGE>
THE U.S. SMALL COMPANY OPPORTUNITIES PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED)
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ----------- -------------
<S> <C> <C>
COMMON STOCKS (98.4%)
BASIC INDUSTRIES (4.8%)
CHEMICALS (3.8%)
Albemarle Corp................................... 157,900 $ 3,059,312
Bush Boake Allen, Inc.+.......................... 28,300 711,037
General Chemical Group, Inc.+.................... 177,200 498,375
Geon Co.......................................... 96,100 2,907,025
Georgia Gulf Corp................................ 199,800 5,094,900
Wellman, Inc..................................... 291,000 4,637,812
------------
16,908,461
------------
FOREST PRODUCTS & PAPER (0.3%)
Universal Forest Products, Inc................... 99,000 1,522,125
------------
METALS & MINING (0.7%)
Kennametal, Inc.................................. 46,600 1,549,450
Mueller Industries, Inc.+........................ 48,800 1,756,800
------------
3,306,250
------------
TOTAL BASIC INDUSTRIES......................... 21,736,836
------------
CONSUMER GOODS & SERVICES (17.1%)
BROADCASTING & PUBLISHING (3.2%)
Entercom Communications Corp.+................... 54,200 3,099,562
Radio Unica Corp.+............................... 16,750 462,719
Scholastic Corp.+................................ 37,300 2,046,837
Spanish Broadcasting System, Inc., Class A+...... 45,700 1,450,975
Univision Communications, Inc., Class A+......... 70,300 6,151,250
World Wrestling Federation Entertainment,
Inc.+.......................................... 45,775 921,222
------------
14,132,565
------------
EDUCATION (0.9%)
DeVry, Inc.+..................................... 195,400 3,944,637
------------
ENTERTAINMENT, LEISURE & MEDIA (4.4%)
American Classic Voyages Co.+.................... 38,100 1,104,900
Anchor Gaming+................................... 68,600 3,777,287
Cinar Corp., Class B+............................ 181,900 2,489,756
Insight Communications Co., Inc.+................ 86,800 2,148,300
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ----------- -------------
<S> <C> <C>
ENTERTAINMENT, LEISURE & MEDIA (CONTINUED)
Jones Intercable, Inc., Class A+................. 23,600 $ 1,383,550
Media Metrix, Inc.+.............................. 41,750 1,544,750
Pixar, Inc.+..................................... 59,700 2,507,400
Premier Parks, Inc.+............................. 161,600 4,040,000
Steiner Leisure Ltd.+(i)......................... 17,050 282,391
Webstakes. com, Inc.+............................ 39,975 354,778
------------
19,633,112
------------
FOOD, BEVERAGES & TOBACCO (1.8%)
American Italian Pasta Co., Class A+............. 49,800 1,497,112
Keebler Foods Co.+............................... 60,000 1,653,750
Robert Mondavi Corp., Class A+................... 86,100 3,312,159
Webvan Group, Inc.+.............................. 57,700 1,424,469
------------
7,887,490
------------
HOUSEHOLD APPLIANCES & FURNISHINGS (0.2%)
Furniture Brands International, Inc.+............ 43,000 838,500
------------
RESTAURANTS & HOTELS (1.5%)
Aztar Corp.+..................................... 69,400 741,712
Papa John's International, Inc.+................. 120,500 4,326,703
Sun International Hotels Ltd.+(i)................ 33,400 630,425
Vail Resorts, Inc.+.............................. 62,900 1,081,094
------------
6,779,934
------------
RETAIL (5.1%)
AnnTaylor Stores Corp.+.......................... 75,000 3,239,062
bebe stores, inc.+............................... 78,600 2,446,425
Cost Plus, Inc.+................................. 83,050 3,072,850
eToys, Inc.+..................................... 23,200 1,452,900
Hibbett Sporting Goods, Inc.+.................... 39,300 510,900
InterTAN, Inc.+.................................. 39,600 947,925
Kenneth Cole Productions, Inc., Class A+......... 33,400 1,532,225
Linens n' Things, Inc.+.......................... 49,500 1,670,625
MSC Industrial Direct Co., Inc., Class A+........ 98,700 894,469
Steven Madden Ltd.+.............................. 163,900 2,099,969
Talbots, Inc..................................... 58,200 2,822,700
The Finish Line, Inc., Class A+.................. 74,300 492,237
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
16
<PAGE>
THE U.S. SMALL COMPANY OPPORTUNITIES PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ----------- -------------
<S> <C> <C>
RETAIL (CONTINUED)
Ticketmaster Online-CitySearch, Inc., Class B+... 29,000 $ 822,875
Vans, Inc.+...................................... 63,300 755,644
------------
22,760,806
------------
TOTAL CONSUMER GOODS & SERVICES................ 75,977,044
------------
ENERGY (2.0%)
GAS EXPLORATION (0.7%)
Devon Energy Corp................................ 82,600 2,911,650
------------
OIL-PRODUCTION (0.2%)
Spinnaker Exploration Co.+....................... 66,700 983,825
OIL-SERVICES (1.1%)
Cooper Cameron Corp.+............................ 36,700 1,573,512
National-Oilwell, Inc.+.......................... 140,700 2,004,975
Smith International, Inc.+....................... 38,800 1,547,150
------------
5,125,637
------------
TOTAL ENERGY................................... 9,021,112
------------
FINANCE (5.7%)
BANKING (2.8%)
AMCORE Financial, Inc............................ 17,700 446,925
Bank United Corp., Class A....................... 75,400 2,686,125
Centura Banks, Inc............................... 8,800 409,200
City National Corp............................... 32,900 1,186,456
Colonial BancGroup, Inc.......................... 26,900 307,669
Columbia Banking System, Inc.+................... 7,100 116,262
Commercial Federal Corp.......................... 43,500 791,156
Hamilton Bancorp, Inc.+.......................... 31,300 602,525
Independent Bank Corp............................ 41,395 693,366
National Commerce Bancorporation................. 121,800 3,075,450
Pacific Century Financial Corp................... 21,700 425,862
Sterling Bancshares, Inc......................... 91,700 1,174,906
Webster Financial Corp........................... 22,100 588,412
West Coast Bancorp............................... 11,730 173,017
------------
12,677,331
------------
FINANCIAL SERVICES (2.1%)
Allied Capital Corp.............................. 79,300 1,605,825
BlackRock, Inc.+................................. 37,700 692,737
Financial Federal Corp.+......................... 118,500 2,451,469
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ----------- -------------
<S> <C> <C>
FINANCIAL SERVICES (CONTINUED)
Gabelli Asset Management, Inc., Class A+......... 75,500 $ 1,311,812
Heller Financial, Inc............................ 92,200 2,039,925
Wit Capital Group, Inc.+......................... 52,900 1,031,550
------------
9,133,318
------------
INSURANCE (0.6%)
Fremont General Corp............................. 87,700 443,981
RenaissanceRe Holdings Ltd.(i)................... 50,700 2,113,556
------------
2,557,537
------------
REAL ESTATE INVESTMENT TRUSTS (0.2%)
IndyMac Mortgage Holdings, Inc................... 63,700 704,681
------------
TOTAL FINANCE.................................. 25,072,867
------------
HEALTH CARE (11.9%)
BIOTECHNOLOGY (5.5%)
Affymetrix, Inc.+................................ 35,700 3,498,600
Human Genome Sciences, Inc.+..................... 97,200 10,886,400
IDEC Pharmaceuticals Corp.+...................... 16,900 2,142,075
Millennium Pharmaceuticals, Inc.+................ 52,700 5,130,016
SangStat Medical Corp.+.......................... 114,000 2,686,125
------------
24,343,216
------------
HEALTH SERVICES (2.3%)
Allscripts, Inc.+................................ 121,475 4,388,284
CareInsite, Inc.+................................ 37,800 1,979,775
MedQuist, Inc.+.................................. 143,700 4,095,450
------------
10,463,509
------------
MEDICAL SUPPLIES (1.8%)
CONMED Corp.+.................................... 12,700 320,675
Cyberonics, Inc.+................................ 89,900 1,567,631
IDEXX Laboratories, Inc.+........................ 103,200 1,909,200
MedImmune, Inc.+................................. 16,575 1,992,108
Ocular Sciences, Inc.+........................... 22,100 410,231
Respironics, Inc.+............................... 27,900 221,456
Summit Technology, Inc.+......................... 81,600 1,565,700
------------
7,987,001
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
17
<PAGE>
THE U.S. SMALL COMPANY OPPORTUNITIES PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ----------- -------------
<S> <C> <C>
PHARMACEUTICALS (2.3%)
BioCryst Pharmaceuticals, Inc.+.................. 42,500 $ 1,094,375
Gilead Sciences, Inc............................. 11,700 561,600
ILEX Oncology, Inc.+............................. 26,350 457,831
Ligand Pharmaceuticals, Inc., Class B+........... 210,000 2,415,000
Symyx Technologies, Inc.+........................ 30,100 1,038,450
Triangle Pharmaceuticals, Inc.+.................. 63,600 1,248,150
Vertex Pharmaceuticals, Inc.+.................... 76,700 2,037,344
Vical, Inc.+..................................... 54,600 1,184,137
------------
10,036,887
------------
TOTAL HEALTH CARE.............................. 52,830,613
------------
INDUSTRIAL PRODUCTS & SERVICES (2.7%)
CAPITAL GOODS (0.1%)
Milacron, Inc.................................... 29,500 429,594
------------
COMMERCIAL SERVICES (0.1%)
Central Parking Corp.+........................... 26,400 683,100
------------
CONSTRUCTION & HOUSING (0.7%)
Dycom Industries, Inc.+.......................... 66,600 2,680,650
MasTec, Inc.+.................................... 12,600 518,962
------------
3,199,612
------------
DIVERSIFIED MANUFACTURING (1.1%)
Gentek, Inc...................................... 232,500 2,717,344
Olin Corp........................................ 119,800 2,148,912
------------
4,866,256
------------
MACHINERY (0.7%)
AGCO Corp........................................ 63,500 805,656
CNH Global N.V.(i)............................... 155,100 2,122,931
------------
2,928,587
------------
TOTAL INDUSTRIAL PRODUCTS & SERVICES........... 12,107,149
------------
TECHNOLOGY (43.2%)
AEROSPACE (0.8%)
L-3 Communications Holdings, Inc.+............... 83,900 3,460,875
------------
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ----------- -------------
<S> <C> <C>
COMPUTER PERIPHERALS (1.3%)
Creative Technology Ltd.......................... 65,000 $ 942,500
In Focus Systems, Inc.+.......................... 43,500 908,062
JNI Corp.+....................................... 8,500 666,187
Radiant Systems, Inc.+........................... 127,900 3,165,525
------------
5,682,274
------------
COMPUTER SOFTWARE (13.6%)
3DO Co.+......................................... 175,500 1,661,766
Actuate Software Corp.+.......................... 63,100 3,849,100
Aether Systems, Inc.+............................ 8,725 663,100
Akamai Technologies, Inc.+....................... 11,900 2,820,300
AppNet, Inc.+.................................... 86,900 4,323,275
Art Technology Group, Inc.+...................... 30,400 1,930,400
Aspen Technologies, Inc.+........................ 192,900 3,640,987
CacheFlow, Inc.+................................. 8,425 1,276,387
CBT Group Public Ltd. Co., (Spon. ADR)+(i)....... 48,100 1,178,450
Digital Impact, Inc.+............................ 13,575 731,353
Digital Island, Inc.+............................ 8,400 392,700
E. piphany, Inc.+................................ 4,400 745,525
Exchange Applications, Inc.+..................... 63,500 3,857,625
Interleaf, Inc.+................................. 10,800 396,225
Liberate Technologies, Inc.+..................... 54,400 6,942,800
Manugistics Group, Inc.+......................... 59,200 991,600
MAPICS, Inc.+.................................... 27,500 261,250
Mediaplex, Inc.+................................. 21,825 742,050
Metasolv Software, Inc.+......................... 8,375 516,633
MicroStrategy, Inc.+............................. 69,100 8,464,750
Mission Critical Software, Inc.+................. 53,100 2,907,225
National Information Consortium, Inc.+........... 73,700 1,943,837
NetZero, Inc.+................................... 22,800 484,500
nFront, Inc.+.................................... 45,400 888,139
OpenTV Corp.+.................................... 7,825 604,481
PC-Tel, Inc.+.................................... 34,100 1,257,438
Private Business, Inc.+.......................... 18,000 54,563
Quest Software, Inc.+............................ 4,300 322,500
Quintus Corp.+................................... 15,625 867,188
Retek, Inc.+..................................... 25,225 1,710,570
SalesLogix Corp.+................................ 88,300 2,538,625
WebTrends Corp.+................................. 22,800 1,312,425
------------
60,277,767
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
18
<PAGE>
THE U.S. SMALL COMPANY OPPORTUNITIES PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ----------- -------------
<S> <C> <C>
COMPUTER SYSTEMS (1.2%)
Cobalt Networks, Inc.+........................... 6,600 $ 1,114,163
National Computer Systems, Inc................... 36,700 1,408,363
Pinnacle Systems, Inc.+.......................... 71,900 2,372,700
SonicWALL, Inc.+................................. 9,125 311,962
------------
5,207,188
------------
ELECTRONICS (1.4%)
Alteon Websystems, Inc.+......................... 7,400 714,100
Finisar Corp.+................................... 9,025 1,040,131
Foundry Networks, Inc.+.......................... 12,700 2,986,088
Plexus Corp.+.................................... 37,900 1,492,313
------------
6,232,632
------------
INFORMATION PROCESSING (9.6%)
24 / 7 Media, Inc.+.............................. 122,100 6,196,576
Breakaway Solutions, Inc.+....................... 8,200 467,400
Catalina Marketing Corp.+........................ 52,700 5,022,969
CheckFree Holdings Corp.+........................ 22,400 1,471,400
Covad Communications Group, Inc.+................ 86,150 4,474,416
Diamond Technology Partners, Inc., Class A+...... 19,500 1,023,750
Expedia Inc., Class A+........................... 14,525 773,456
Go2Net, Inc.+.................................... 11,500 840,219
Internet Capital Group, Inc.+.................... 18,310 3,076,080
Management Network Group, Inc.+.................. 30,850 1,041,188
Multex.com, Inc.+................................ 73,600 2,097,600
Net Perceptions, Inc.+........................... 115,300 4,352,575
Predictive Systems, Inc.+........................ 22,900 1,031,931
Safeguard Scientifics, Inc.+..................... 25,200 2,800,350
Verio, Inc.+..................................... 133,600 4,801,250
VerticalNet, Inc.+............................... 20,000 1,752,500
Wireless Facilities, Inc.+....................... 29,700 1,603,800
------------
42,827,460
------------
SEMICONDUCTORS (15.3%)
Applied Mircro Circuits Corp.+................... 43,600 3,624,250
Asyst Technologies, Inc.+........................ 57,200 2,285,319
ATMI, Inc.+...................................... 231,800 7,055,413
Brooks Automation, Inc.+......................... 64,100 1,746,725
C-Cube Microsystems, Inc.+....................... 52,900 2,368,102
Cognex Corp.+.................................... 17,100 555,750
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ----------- -------------
<S> <C> <C>
SEMICONDUCTORS (CONTINUED)
Cymer, Inc.+..................................... 87,100 $ 3,484,000
Cypress Semiconductor Corp.+..................... 242,200 6,599,950
Electro Scientific Industries, Inc.+............. 39,600 2,314,125
Exar Corp.+...................................... 49,800 2,421,525
Fairchild Semiconductor Corp., Class A+.......... 129,930 3,638,040
Galileo Technology Ltd.+......................... 104,700 2,388,469
GaSonics International Corp.+.................... 138,800 2,134,050
hi / fn, inc.+................................... 23,500 1,034,000
Integrated Device Technology, Inc.+.............. 135,200 3,185,650
Intevac, Inc.+................................... 17,900 69,922
Lam Research Corp.+.............................. 76,900 5,969,363
LTX Corp.+....................................... 107,800 1,940,400
Metron Technology N.V.+.......................... 75,300 1,200,094
Microchip Technology, Inc.+...................... 30,300 1,920,263
MIPS Technologies, Inc., Class A+................ 66,900 2,951,963
MKS Instruments, Inc.+........................... 147,900 3,679,013
Photronics, Inc.+................................ 82,700 1,995,138
PLX Technology, Inc.+............................ 57,700 1,154,000
Rudolph Technologies, Inc.+...................... 8,925 254,363
Sage, Inc.+...................................... 7,100 177,500
Silicon Image, Inc.+............................. 43,300 1,861,900
Virata Corp.+.................................... 8,350 268,244
------------
68,277,531
------------
TOTAL TECHNOLOGY............................... 191,965,727
------------
TELECOMMUNICATIONS (11.0%)
TELECOMMUNICATION SERVICES (6.7%)
Allegiance Telecom, Inc.......................... 104,200 7,697,775
American Mobile Satellite Corp.+................. 182,100 2,856,694
CapRock Communications Corp.+.................... 152,000 3,705,000
Concentric Network Corp.+........................ 231,800 6,591,813
Illuminet Holdings, Inc.+........................ 16,400 861,000
Pac-West Telecomm, Inc.+......................... 2,180 55,590
Pacific Gateway Exchange, Inc.+.................. 68,900 1,257,425
Splitrock Services, Inc.+........................ 187,880 3,006,080
TALK.com, Inc.+.................................. 64,200 1,083,375
TeleCorp PCS, Inc., Class A+..................... 17,200 620,275
Versatel Telecom International, N.V. (ADR)+(i)... 16,100 442,750
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
19
<PAGE>
THE U.S. SMALL COMPANY OPPORTUNITIES PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ----------- -------------
<S> <C> <C>
TELECOMMUNICATION SERVICES (CONTINUED)
Williams Communications Group, Inc.+............. 31,100 $ 927,169
WinStar Communications, Inc.+.................... 13,600 690,200
------------
29,795,146
------------
TELECOMMUNICATIONS-EQUIPMENT (4.3%)
Advanced Fibre Communications, Inc.+............. 142,300 3,957,719
Copper Mountain Networks, Inc.+.................. 21,400 1,785,563
E-Tek Dynamics, Inc.+............................ 49,975 3,748,125
Paradyne Networks, Inc.+......................... 25,800 757,875
Polycom, Inc.+................................... 90,200 5,772,800
Sycamore Networks, Inc.+......................... 15,000 3,330,000
------------
19,352,082
------------
TOTAL TELECOMMUNICATIONS....................... 49,147,228
------------
TOTAL COMMON STOCKS (COST $312,776,221)........ 437,858,576
------------
CONVERTIBLE PREFERRED STOCKS (0.0%)
ENERGY (0.0%)
GAS EXPLORATION (0.0%)
Tesoro Petroleum Corp.
(cost $222,717)................................ 15,200 193,800
------------
<CAPTION>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- ------------------------------------------------- ----------- -------------
<S> <C> <C>
SHORT-TERM INVESTMENTS (1.5%)
OTHER INVESTMENT COMPANIES (1.5%)
J.P. Morgan Institutional Prime Money Market
Fund(cost $6,621,576).......................... $6,621,576 $ 6,621,576
------------
TOTAL INVESTMENTS (COST
$319,620,514) (99.9%)....................................... 444,673,952
OTHER ASSETS IN EXCESS OF
LIABILITIES (0.1%).......................................... 409,178
------------
NET ASSETS (100.0%)........................................... $445,083,130
============
</TABLE>
- ------------------------------
Note: Based on the cost of investments of $321,442,262 for federal income tax
purposes at November 30, 1999, the aggregate gross unrealized appreciation and
depreciation was $135,523,223 and $12,291,533, respectively, resulting in net
unrealized appreciation of $123,231,690.
(i) Foreign security.
+ Non-income producing security.
ADR - American Depositary Receipt.
Spon. ADR - Sponsored ADR.
The Accompanying Notes are an Integral Part of the Financial Statements.
20
<PAGE>
THE U.S. SMALL COMPANY OPPORTUNITIES PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES (UNAUDITED)
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments at Value (Cost $319,620,514 ) $444,673,952
Receivable for Investments Sold 3,222,864
Dividends Receivable 151,136
Interest Receivable 70,499
Receivable for Expense Reimbursement 2,370
Prepaid Trustees' Fees 628
Prepaid Expenses and Other Assets 3,957
------------
Total Assets 448,125,406
------------
LIABILITIES
Payable for Investments Purchased 1,945,095
Payable to Custodian 820,580
Advisory Fee Payable 210,402
Custody Fee Payable 24,035
Administration Fee Payable 8,749
Administrative Services Fee Payable 372
Fund Services Fee Payable 228
Accrued Expenses 32,815
------------
Total Liabilities 3,042,276
------------
NET ASSETS
Applicable to Investors' Beneficial Interests $445,083,130
============
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
21
<PAGE>
THE U.S. SMALL COMPANY OPPORTUNITIES PORTFOLIO
STATEMENT OF OPERATIONS (UNAUDITED)
FOR THE SIX MONTHS ENDED NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Dividend Income (Net of Foreign Withholding Tax
of $10,423 ) $ 629,503
Interest Income 458,392
------------
Investment Income 1,087,895
EXPENSES
Advisory Fee $ 1,042,069
Custodian Fees and Expenses 69,778
Administrative Services Fee 44,108
Professional Fees and Expenses 20,726
Printing Expenses 3,250
Fund Services Fee 2,975
Administration Fee 2,019
Trustees' Fees and Expenses 1,082
Amortization of Organization Expense 607
Insurance Expense 243
Miscellaneous 49
------------
Total Expenses 1,186,906
------------
NET INVESTMENT LOSS (99,011)
NET REALIZED GAIN ON INVESTMENTS 9,066,318
NET CHANGE IN UNREALIZED APPRECIATION OF
INVESTMENTS 101,947,087
------------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $110,914,394
============
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
22
<PAGE>
THE U.S. SMALL COMPANY OPPORTUNITIES PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE SIX
MONTHS ENDED FOR THE FISCAL
NOVEMBER 30, 1999 YEAR ENDED
(UNAUDITED) MAY 31, 1999
----------------- --------------
<S> <C> <C>
INCREASE IN NET ASSETS
FROM OPERATIONS
Net Investment Loss $ (99,011) $ (137,253)
Net Realized Gain (Loss) on Investments 9,066,318 (19,297,966)
Net Change in Unrealized Appreciation of
Investments 101,947,087 15,587,441
---------------- -------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 110,914,394 (3,847,778)
---------------- -------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS
Contributions 119,128,605 208,622,616
Withdrawals (69,760,702) (108,552,920)
---------------- -------------
Net Increase from Investors' Transactions 49,367,903 100,069,696
---------------- -------------
Total Increase in Net Assets 160,282,297 96,221,918
NET ASSETS
Beginning of Period 284,800,833 188,578,915
---------------- -------------
End of Period $ 445,083,130 $ 284,800,833
================ =============
</TABLE>
- --------------------------------------------------------------------------------
SUPPLEMENTARY DATA
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE PERIOD
FOR THE JUNE 16, 1997
SIX MONTHS ENDED FOR THE (COMMENCEMENT OF
NOVEMBER 30, 1999 FISCAL YEAR ENDED OPERATIONS) THROUGH
(UNAUDITED) MAY 31, 1999 MAY 31, 1998
----------------- ----------------- -------------------
<S> <C> <C> <C>
RATIOS TO AVERAGE NET ASSETS
Net Expenses 0.68%(a) 0.71% 0.84%(a)
Net Investment Loss (0.06)%(a) (0.07)% (0.04)%(a)
Expenses without Reimbursement 0.68%(a) 0.71% 0.84%(a)(b)
Portfolio Turnover 65% 116% 73%
</TABLE>
- ------------------------
(a) Annualized
(b) Reimbursement was less than 0.01%
The Accompanying Notes are an Integral Part of the Financial Statements.
23
<PAGE>
THE U.S. SMALL COMPANY OPPORTUNITIES PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
The U.S. Small Company Opportunities Portfolio (the "portfolio") is one of five
subtrusts (portfolios) comprising The Series Portfolio (the "series portfolio").
The portfolio is registered under the Investment Company Act of 1940, as
amended, as a diversified, open-end management investment company which was
organized as a trust under the laws of the State of New York on June 24, 1994.
The portfolio commenced operations on June 16, 1997. The portfolio's investment
objective is to provide long-term growth from a portfolio of small company
growth stocks. 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 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 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 upon
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.
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 $9,000 which
were 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.
24
<PAGE>
THE U.S. SMALL COMPANY OPPORTUNITIES PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
e) 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 J.P. Morgan
Investment Management Inc. ("JPMIM"), an affiliate of Morgan Guaranty
Trust Company of New York ("Morgan") and a wholly owned subsidiary of J.P.
Morgan and Co. Incorporated ("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
November 30, 1999, such fees amounted to $1,045,561.
The portfolio may invest in one or more affiliated money market funds:
J.P. Morgan Institutional Prime Money Market Fund, J.P. Morgan
Institutional Tax Exempt Money Market Fund, J.P. Morgan Institutional
Federal Money Market Fund and J.P. Morgan Institutional Treasury Money
Market Fund. The Advisor has agreed to reimburse its advisory fee from the
portfolio in an amount to offset any doubling of investment advisory and
shareholder servicing fees. For the six months ended November 30, 1999,
J.P. Morgan has agreed to reimburse the portfolio $3,492 under this
agreement.
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 November 30, 1999,
the fee for these services amounted to $2,019.
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 the 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 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
November 30, 1999, the fee for these services amounted to $44,108.
25
<PAGE>
THE U.S. SMALL COMPANY OPPORTUNITIES PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
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. For the six
months ended November 30, 1999, the portfolio's allocated portion of
Group's costs in performing its services amounted to $2,975.
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 $600.
3. INVESTMENT TRANSACTIONS
Investment transactions (excluding short-term investments) for the six months
ended November 30, 1999 were as follows:
<TABLE>
<CAPTION>
COST OF PROCEEDS
PURCHASES FROM SALES
--------- -------------
<S> <C>
$ 271,680,175 $216,158,946
</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 this report.
26
