<PAGE>
THE EUROPEAN EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED)
MAY 31, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
------------------------------------------------- --------- ------------
<S> <C> <C>
COMMON STOCK (95.3%)
BELGIUM (0.2%)
Real Software (Computer Software)+(s)............ 203 $ 13,743
Ubizen (Computer Software)+(s)................... 268 39,518
-----------
53,261
-----------
DENMARK (0.7%)
ISS A/S (Commercial Services)+(s)................ 801 57,708
Novo Nordisk A/S (Pharmaceuticals)(s)............ 597 98,258
-----------
155,966
-----------
FINLAND (4.4%)
Helsingin Puhelin OYJ (Telecommunication
Services)(s)................................... 400 28,193
Nokia OYJ (Telecommunications-Equipment)(s)...... 15,599 807,219
Sampo Insurance Co. Ltd., A Shares
(Insurance)(s)................................. 1,342 56,005
Sonera OYJ (Telecommunication Services)(s)....... 299 15,057
Stora Enso OYJ, R Shares (Forest Products &
Paper)(s)...................................... 8,724 83,726
Tietoenator OYJ (Computer Software)(s)........... 906 35,205
-----------
1,025,405
-----------
FRANCE (15.3%)
Alcatel (Telecommunications-Equipment)(s)........ 6,822 375,169
Alstom (Machinery)(s)............................ 2,933 77,793
Aventis SA (Pharmaceuticals)(s).................. 1,585 102,452
Axa (Insurance)(s)............................... 1,775 260,085
Banque Nationale de Paris (Financial
Services)(s)................................... 2,106 188,960
Carrefour SA (Retail)(s)......................... 1,209 85,044
Castorama Dubois Investissement SA (Retail)(s)... 239 60,066
Christian Dior SA (Retail)(s).................... 270 61,347
Coface (Financial Services)(s)................... 291 26,987
Fimatex (Financial Services)+(s)................. 2,391 40,401
France Telecom SA (Telecommunication
Services)(s)................................... 1,096 159,069
Genset SA (Biotechnology)+(s).................... 412 30,490
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
------------------------------------------------- --------- ------------
<S> <C> <C>
FRANCE (CONTINUED)
Groupe Danone (Food, Beverages & Tobacco)(s)..... 657 $ 152,993
Lafarge SA (Building Materials)(s)............... 1,141 87,826
Lagardere S.C.A. (Multi - Industry)(s)........... 1,230 85,551
Louis Vuitton Moet Hennessy (Food, Beverages &
Tobacco)(s).................................... 242 98,120
Renault SA (Automotive)(s)....................... 2,736 128,135
Sanofi-Synthelabo SA (Pharmaceuticals)(s)........ 2,234 96,856
Societe Generale (Banking)(s).................... 1,980 113,570
STMicroelectronics NV (Electronics)(s)........... 1,243 73,660
Suez Lyonnaise des Eaux SA (Utilities)(s)........ 835 139,386
Total Fina Elf, B Shares (Oil-Services)+(s)...... 3,107 486,666
Usinor SA (Metals & Mining)(s)................... 3,266 39,072
Vinci (Construction & Housing)................... 1,380 60,393
Vivendi SA (Utilities)(s)........................ 4,806 512,557
-----------
3,542,648
-----------
GERMANY (11.2%)
Allianz AG (Insurance)(s)........................ 345 122,732
BASF AG (Chemicals)(s)........................... 3,852 156,645
Bayer AG (Chemicals)(s).......................... 4,092 157,107
Brokat Infosystems AG (Computer Software)+(s).... 300 32,813
Consors Discount Broker AG (Financial
Services)+(s).................................. 700 65,014
DaimlerChrysler AG (Automotive)(s)............... 1,956 105,754
Deutsche Bank AG (Banking)(s).................... 3,169 242,899
Deutsche Telekom AG (Telecommunication
Services)(s)................................... 7,016 432,685
Dresdner Bank AG (Banking)(s).................... 1,950 79,570
Heidelberger Druckmaschinen AG (Machinery)(s).... 1,000 65,102
Intershop Communications AG (Computer
Software)+(s).................................. 100 40,249
Marschollek, Lautenschlaeger und Partner AG
(Financial Services)(s)........................ 186 87,713
Metro AG (Retail)(s)............................. 860 27,914
MG Technologies AG (Diversified
Manufacturing)(s).............................. 4,600 68,256
Muenchener Rueckversicherungs-Gesellschaft AG
(Insurance)(s)................................. 436 125,794
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
16
<PAGE>
THE EUROPEAN EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
MAY 31, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
------------------------------------------------- --------- ------------
<S> <C> <C>
GERMANY (CONTINUED)
PrimaCom AG (Broadcasting & Publishing)+(s)...... 934 $ 40,658
Schering AG (Pharmaceuticals)(s)................. 1,284 191,356
Siemens AG (Diversified Manufacturing)(s)........ 1,979 288,527
ThyssenKrupp AG (Diversified Manufacturing)(s)... 2,000 33,942
Veba AG (Diversified Manufacturing)(s)........... 3,732 187,586
Volkswagen AG (Automotive)(s).................... 1,170 46,711
-----------
2,599,027
-----------
IRELAND (1.2%)
CRH PLC (Building Materials)(s).................. 3,665 63,219
Fyffes PLC (Food, Beverages & Tobacco)(s)........ 1,000 1,391
Irish Life & Permanent PLC (Financial
Services)(s)................................... 10,808 84,696
Jefferson Smurfit Group PLC (Forest Products &
Paper)(s)...................................... 40,992 79,832
Trintech Group PLC (Computer Software)+(s)....... 2,202 44,722
-----------
273,860
-----------
ITALY (5.2%)
Banca Fideuram SPA (Financial Services)(s)....... 5,400 81,228
Banca Popolare di Milano (Banking)(s)............ 6,350 41,105
Bayerische Vita SPA (Insurance)(s)............... 8,400 73,071
Bipop-Carire SPA (Banking)(s).................... 9,000 81,211
Credito Emiliano SPA (Banking)(s)................ 8,480 24,300
ENI SPA (Oil-Services)(s)........................ 39,984 214,326
Fiat SPA (Automotive)(s)......................... 4,000 101,011
Mediolanum SPA (Insurance)(s).................... 3,000 45,627
Saipem SPA (Oil-Services)(s)..................... 13,700 68,100
San Paolo - IMI SPA (Banking)(s)................. 4,900 71,344
Telecom Italia Mobile SPA (Telecommunication
Services)(s)................................... 21,530 223,027
Telecom Italia SPA (Telecommunication
Services)(s)................................... 8,182 112,300
UniCredito Italiano SPA (Financial
Services)(s)................................... 13,734 60,372
-----------
1,197,022
-----------
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
------------------------------------------------- --------- ------------
<S> <C> <C>
NETHERLANDS (8.4%)
Buhrmann NV (Wholesale & International
Trade)(s)...................................... 1,736 $ 52,565
Equant NV (Computer Systems)+(s)................. 1,626 70,662
Getronics NV (Computer Systems)(s)............... 2,391 39,802
Heineken NV (Food, Beverages & Tobacco)(s)....... 1,172 59,834
ING Groep NV (Financial Services)(s)............. 4,138 246,024
Koninklijke KPN NV (Telecommunication
Services)(s)................................... 2,207 198,124
Koninklijke Numico NV (Food, Beverages &
Tobacco)(s).................................... 2,074 88,784
Koninklijke Philips Electronics NV
(Electronics)(s)............................... 11,356 504,032
Lycos Europe NV (Computer Systems)+(s)........... 3,200 40,805
Randstad Holding NV (Commercial Services)(s)..... 1,300 52,444
Royal Dutch Petroleum Co. (Oil-Production)(s).... 5,664 346,837
United Pan-Europe Communications NV
(Telecommunication Services)+(s)............... 2,821 72,651
Vendex KBB NV (Retail)(s)........................ 2,303 40,793
Versatel Telecom International NV
(Telecommunication Services)+(s)............... 1,700 61,013
VNU NV (Broadcasting & Publishing)(s)............ 1,613 81,824
-----------
1,956,194
-----------
NORWAY (0.1%)
Schibsted ASA (Broadcasting & Publishing)(s)..... 1,319 25,609
-----------
PORTUGAL (0.7%)
Portugal Telecom SA (Telecommunication
Services)(s)................................... 3,440 37,325
PT Multimedia - Servicos de Telecomunicacoes
(Telecommunication Services)+(s)............... 1,100 54,934
Sonae SGPS SA (Retail)(s)........................ 600 26,097
Telecel-Communicacoes Pessoais SA
(Telecommunication Services)+(s)............... 3,300 53,250
-----------
171,606
-----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
17
<PAGE>
THE EUROPEAN EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
MAY 31, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
------------------------------------------------- --------- ------------
<S> <C> <C>
SPAIN (5.0%)
Amadeus Global Travel Distribution SA (Transport
& Services)+(s)................................ 4,200 $ 38,833
Banco Bilbao Vizcaya Argentaria SA
(Banking)(s)................................... 7,322 101,855
Banco Santander Central Hispano SA
(Banking)(s)................................... 13,178 128,444
Endesa SA (Electric)(s).......................... 11,279 232,421
Iberdrola SA (Electric)(s)....................... 4,000 50,821
Repsol YPF SA (Oil-Production)(s)................ 6,814 144,520
Telefonica SA (Telecommunication Services)+(s)... 16,696 340,640
TelePizza SA (Food, Beverages & Tobacco)+(s)..... 5,600 31,939
Union Electrica Fenosa SA (Electric)(s).......... 4,266 88,422
-----------
1,157,895
-----------
SWEDEN (5.1%)
Autoliv, Inc. (SDR) (Automotive Supplies)(s)..... 2,191 60,166
Electrolux AB, Series B (Appliances & Household
Durables)(s)................................... 2,773 46,765
ForeningsSparbanken AB (Banking)(s).............. 6,300 93,665
Hennes & Mauritz AB, B Shares (Retail)(s)........ 1,835 46,216
Modern Times Group MTG AB, B Shares (Broadcasting
& Publishing)+(s).............................. 900 40,192
OM Gruppen AB (Financial Services)(s)............ 1,400 56,385
Skandia Forsakrings AB (Insurance)(s)............ 6,004 153,214
Skandinaviska Ensklida Banken (Banking)(s)....... 5,049 54,899
Tele1 Europe Holding AB (Telecommunication
Services)+(s).................................. 2,124 25,569
Telefonaktiebolaget LM Ericsson AB, B Shares
(Telecommunications-Equipment)(s).............. 30,019 607,841
-----------
1,184,912
-----------
SWITZERLAND (9.9%)
ABB Ltd. (Holding Companies)(s).................. 1,164 143,869
Carrier 1 International SA (Telecommunication
Services)+(s).................................. 577 45,751
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
------------------------------------------------- --------- ------------
<S> <C> <C>
SWITZERLAND (CONTINUED)
Compagnie Financiere Richemont AG (Food,
Beverages & Tobacco)(s)........................ 34 $ 84,248
Credit Suisse Group (Financial Services)(s)...... 839 155,920
Fantastic Corp (Computer Software)+(s)........... 1,341 17,597
Nestle SA (Food, Beverages & Tobacco)(s)......... 203 385,640
Novartis AG (Pharmaceuticals)(s)................. 219 321,717
Roche Holding AG (Pharmaceuticals)(s)............ 35 367,552
Schweizerische Lebensversicherungs-und
Rentenanstalt (Insurance)(s)................... 100 57,227
SGS Societe Generale de Surveillance Holding SA
(Commercial Services)(s)....................... 48 87,788
Swisscom AG (Telecommunication Services)(s)...... 494 172,827
The Swatch Group AG (Consumer Goods &
Services)(s)................................... 260 65,038
UBS AG (Banking)(s).............................. 1,834 246,427
Zurich Allied AG (Insurance)(s).................. 300 146,903
-----------
2,298,504
-----------
UNITED KINGDOM (27.9%)
3i Group PLC (Financial Services)(s)............. 5,400 102,188
ARM Holdings PLC (Electronics)+(s)............... 9,000 79,641
AstraZeneca Group PLC (Pharmaceuticals)(s)....... 1,604 67,565
BAE Systems PLC (Aerospace)(s)................... 14,544 91,199
Bank of Scotland (Banking)(s).................... 6,000 56,502
BG Group PLC (Gas Exploration)(s)................ 15,422 92,440
Billiton PLC (Metals & Mining)(s)................ 19,600 66,505
Bookham Technology PLC (Electronics)+(s)......... 300 14,798
BP Amoco PLC (Oil-Production)(s)................. 75,603 687,660
British Airways PLC (Airlines)(s)................ 4,000 21,644
British American Tobacco PLC (Food, Beverages &
Tobacco)(s).................................... 6,546 38,258
British Sky Broadcasting Group PLC (Broadcasting
& Publishing)+(s).............................. 6,300 115,359
British Telecommunications PLC
(Telecommunications)(s)........................ 15,845 229,504
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
18
<PAGE>
THE EUROPEAN EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
MAY 31, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
------------------------------------------------- --------- ------------
<S> <C> <C>
UNITED KINGDOM (CONTINUED)
Cable & Wireless PLC (Telecommunications)(s)..... 4,632 $ 77,200
Cadbury Schweppes PLC (Food, Beverages &
Tobacco)(s).................................... 18,268 121,514
Carlton Communications PLC (Entertainment,
Leisure & Media)(s)............................ 3,000 35,605
Celltech Group PLC (Pharmaceuticals)+(s)......... 3,000 43,587
CMG PLC (Computer Systems)(s).................... 2,400 33,686
Compass Group PLC (Food, Beverages &
Tobacco)(s).................................... 5,100 57,099
Dixons Group PLC (Retail)(s)..................... 12,981 61,412
Enterprise Oil PLC (Oil-Production)(s)........... 3,000 21,390
Glaxo Wellcome PLC (Pharmaceuticals)(s).......... 14,726 416,026
Glynwed International PLC (Diversified
Manufacturing)(s).............................. 10,921 38,199
Granada Group PLC (Consumer Goods &
Services)(s)................................... 4,000 35,456
Great Universal Stores PLC (Retail)(s)........... 9,200 57,139
Hanson PLC (Building Materials)(s)............... 11,400 80,856
Hays PLC (Commercial Services)(s)................ 9,400 52,691
Hilton Group PLC (Restaurants & Hotels)(s)....... 13,000 47,997
HSBC Holdings PLC (Financial Services)(s)........ 21,157 233,391
Imperial Chemical Industries PLC
(Chemicals)(s)................................. 4,800 38,457
Jazztel PLC (Telecommunication Services)+(s)..... 570 21,752
Kingfisher PLC (Retail)(s)....................... 6,600 60,969
Lloyds TSB Group PLC (Banking)(s)................ 29,508 319,339
Marconi PLC (Telecommunications-Equipment)(s).... 11,930 143,552
MEPC PLC (Real Estate)(s)........................ 8,451 55,582
MFI Furniture Group PLC (Household
Products)(s)................................... 27,470 25,047
National Power PLC (Electric)(s)................. 8,790 48,286
Northern Foods PLC (Food, Beverages &
Tobacco)(s).................................... 15,400 26,587
Nycomed Amersham PLC (Medical Supplies)(s)....... 7,704 66,388
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
------------------------------------------------- --------- ------------
<S> <C> <C>
UNITED KINGDOM (CONTINUED)
Ocean Group PLC (Transport & Services)(s)........ 3,400 $ 61,749
Pearson PLC (Broadcasting & Publishing)(s)....... 3,100 93,417
Prudential PLC (Insurance)(s).................... 8,668 131,057
Reckitt Benckiser PLC (Household Products)(s).... 8,300 90,940
Reuters Group PLC (Broadcasting &
Publishing)(s)................................. 8,388 124,880
Royal & Sun Alliance Insurance Group PLC
(Insurance)(s)................................. 17,027 101,297
Royal Bank of Scotland Group PLC (Banking)(s).... 6,617 108,800
Sage Group PLC (Computer Software)(s)............ 7,700 74,641
ScottishPower PLC (Electric)(s).................. 11,300 89,522
Smith & Nephew PLC (Medical Supplies)(s)......... 12,300 32,726
SmithKline Beecham PLC (Pharmaceuticals)(s)...... 24,606 314,103
Standard Chartered PLC (Banking)(s).............. 5,800 74,646
Tesco PLC (Retail)(s)............................ 31,800 96,018
TI Group PLC (Diversified Manufacturing)(s)...... 7,300 40,374
Trinity Mirror PLC (Broadcasting &
Publishing)(s)................................. 3,000 23,856
Vodafone AirTouch PLC (Telecommunications)(s).... 219,152 999,123
Williams PLC (Diversified Manufacturing)(s)...... 7,000 39,761
Woolwich PLC (Financial Services)(s)............. 10,800 49,722
WPP Group PLC (Business & Public Services)(s).... 4,400 53,471
-----------
6,482,573
-----------
TOTAL COMMON STOCK (COST $17,748,587).......... 22,124,482
-----------
RIGHTS (0.1%)
NETHERLANDS (0.1%)
Koninklijke Numico NV (Food, Beverages &
Tobacco)+(s)................................... 2,074 962
Via Net.Works, Inc. (Computer Software)+(s)...... 2,078 29,388
-----------
TOTAL RIGHTS (COST $67,915).................... 30,350
-----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
19
<PAGE>
THE EUROPEAN EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
MAY 31, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
(IN USD) VALUE
--------- ------------
<S> <C> <C>
SHORT-TERM INVESTMENTS (0.9%)
U.S. TREASURY OBLIGATIONS (0.9%)
United States Treasury Bill, 5.98%(y)
due 10/12/00 (cost $215,222)(s)................ $220,000 $ 215,246
-----------
TOTAL INVESTMENTS (COST $18,031,724) (96.3%)................
22,370,078
OTHER ASSETS IN EXCESS OF LIABILITIES (3.7%)................
862,737
-----------
NET ASSETS (100.0%)......................................... $23,232,815
===========
</TABLE>
------------------------------
+ -Non-income producing security.
(s)Security is fully or partially segregated with custodian as collateral for
futures contracts or with broker as initial margin for futures contracts.
$8,579,049 of the market value has been segregated.
(y) Yield to maturity.
SDR -Swedish Depository Receipt
Note: Based on the cost of investments of $18,031,724 for federal income tax
purposes at May 31, 2000, the aggregated gross unrealized appreciation and
depreciation was $5,512,948 and $1,174,594, respectively, resulting in net
unrealized appreciation of $4,338,354.
The Accompanying Notes are an Integral Part of the Financial Statements.
20
<PAGE>
THE EUROPEAN EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
MAY 31, 2000
--------------------------------------------------------------------------------
INDUSTRY DIVERSIFICATION
<TABLE>
<CAPTION>
PERCENT OF
TOTAL INVESTMENT
----------------
<S> <C>
Telecommunication Services........................ 9.3%
Pharmaceuticals................................... 9.1%
Telecommunications-Equipment...................... 8.7%
Banking........................................... 8.3%
Financial Services................................ 6.7%
Telecommunications................................ 5.9%
Insurance......................................... 5.8%
Oil - Production.................................. 5.4%
Food, Beverages & Tobacco......................... 5.2%
Oil - Services.................................... 3.5%
Diversified Manufacturing......................... 3.1%
Electronics....................................... 3.0%
Utilities......................................... 2.9%
Retail............................................ 2.8%
Broadcasting & Publishing......................... 2.5%
Electric.......................................... 2.3%
Automotive........................................ 1.7%
Chemicals......................................... 1.6%
Computer Software................................. 1.5%
Commerical Services............................... 1.1%
Building Materials................................ 1.0%
Computer Systems.................................. 0.8%
Forest Products & Paper........................... 0.7%
Machinery......................................... 0.7%
Holding Companies................................. 0.6%
Consumer Goods & Services......................... 0.5%
Household Products................................ 0.5%
Medical Supplies.................................. 0.5%
Metals & Mining................................... 0.5%
Transport & Services.............................. 0.5%
Aerospace......................................... 0.4%
Gas Exploration................................... 0.4%
Multi-Industry.................................... 0.4%
Automotive Supplies............................... 0.3%
Construction & Housing............................ 0.3%
Real Estate....................................... 0.3%
Appliances & Household Durables................... 0.2%
Business & Public Services........................ 0.2%
Entertainment, Leisure & Media.................... 0.2%
Restaurants & Hotels.............................. 0.2%
Wholesale & International Trade................... 0.2%
Airlines.......................................... 0.1%
Biotechnology..................................... 0.1%
-----
100.0%
=====
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
21
<PAGE>
THE EUROPEAN EQUITY PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES (UNAUDITED)
MAY 31, 2000
--------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments at Value (Cost $18,031,724 ) $22,370,078
Foreign Currency at Value (Cost $1,201,017 ) 1,199,177
Receivable for Investments Sold 52,850
Unrealized Appreciation of Forward Foreign Currency
Contracts 87,794
Variation Margin Receivable 37,271
Dividends Receivable 33,704
Foreign Tax Reclaim Receivable 18,365
Receivable for Expense Reimbursement 7,964
Interest Receivable 2,768
Prepaid Trustees' Fees 31
Prepaid Expenses and Other Assets 281
-----------
Total Assets 23,810,283
-----------
LIABILITIES
Payable to Custodian 350,003
Payable for Investments Purchased 87,267
Unrealized Depreciation of Forward Foreign Currency
Contracts 77,483
Advisory Fee Payable 13,299
Administrative Services Fee Payable 499
Administration Fee Payable 22
Fund Services Fee Payable 21
Accrued Expenses 48,874
-----------
Total Liabilities 577,468
-----------
NET ASSETS
Applicable to Investors' Beneficial Interests $23,232,815
===========
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
22
<PAGE>
THE EUROPEAN EQUITY PORTFOLIO
STATEMENT OF OPERATIONS (UNAUDITED)
FOR THE SIX MONTHS ENDED MAY 31, 2000
--------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Dividend Income (Net of Foreign Withholding Tax of $37,154) $245,714
Interest Income 21,330
--------
Investment Income 267,044
EXPENSES
Advisory Fee $ 86,177
Custodian Fees and Expenses 50,199
Professional Fees and Expenses 25,033
Administrative Services Fee 3,246
Amortization of Organization Expense 1,394
Fund Services Fee 224
Trustees' Fees and Expenses 120
Administration Fee 104
Miscellaneous 4,623
---------
Total Expenses 171,120
Less: Reimbursement of Expenses (37,683)
---------
NET EXPENSES 133,437
--------
NET INVESTMENT INCOME 133,607
NET REALIZED GAIN (LOSS) ON
Investments 702,102
Futures Contracts (127,976)
Foreign Currency Transactions (113,535)
---------
Net Realized Gain 460,591
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) OF
Investments (4,265)
Futures Contracts 38,969
Foreign Currency Contracts and Translations 43,982
---------
Net Change in Unrealized Appreciation 78,686
--------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $672,884
========
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
23
<PAGE>
THE EUROPEAN EQUITY PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE SIX
MONTHS ENDED FOR THE FISCAL
MAY 31, 2000 YEAR ENDED
(UNAUDITED) NOVEMBER 30, 1999
------------ -----------------
<S> <C> <C>
DECREASE IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 133,607 $ 222,515
Net Realized Gain on Investments 460,591 440,485
Net Change in Unrealized Appreciation of Investments 78,686 2,408,676
------------ ------------
Net Increase in Net Assets Resulting from Operations 672,884 3,071,676
------------ ------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS
Contributions 22,872,546 14,558,410
Withdrawals (25,742,472) (19,480,002)
------------ ------------
Net Decrease from Investors' Transactions (2,869,926) (4,921,592)
------------ ------------
Total Decrease in Net Assets (2,197,042) (1,849,916)
NET ASSETS
Beginning of Period 25,429,857 27,279,773
------------ ------------
End of Period $ 23,232,815 $ 25,429,857
============ ============
</TABLE>
--------------------------------------------------------------------------------
SUPPLEMENTARY DATA
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE FISCAL FOR THE PERIOD
FOR THE YEAR ENDED MARCH 28, 1995
SIX MONTHS ENDED FOR THE FISCAL FOR THE ELEVEN DECEMBER 31, (COMMENCEMENT OF
MAY 31, 2000 YEAR ENDED MONTHS ENDED -------------------- OPERATIONS) THROUGH
(UNAUDITED) NOVEMBER 30, 1999 NOVEMBER 30, 1998 1997 1996 DECEMBER 31, 1995
---------------- ----------------- ----------------- -------- -------- -------------------
<S> <C> <C> <C> <C> <C> <C>
RATIOS TO AVERAGE NET
ASSETS
Net Expenses 1.00%(a) 1.00% 0.87%(a) 0.88% 0.84% 0.90%(a)
Net Investment
Income 1.01%(a) 0.89% 1.17%(a) 1.47% 1.65% 1.67%(a)
Expenses without
Reimbursement 1.28%(a) 1.59% 1.11%(a) 0.89% 0.84% 0.90%(a)
Portfolio Turnover 47%(b) 68% 99%(b) 65% 57% 36%(b)
</TABLE>
------------------------
(a) Annualized.
(b) Not Annualized.
The Accompanying Notes are an Integral Part of the Financial Statements.
24
<PAGE>
THE EUROPEAN EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
MAY 31, 2000
--------------------------------------------------------------------------------
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
The European Equity Portfolio (the "portfolio") is one of five 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 European companies. The portfolio commenced
operations on March 28, 1995. The Declaration of the 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/fund'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
25
<PAGE>
THE EUROPEAN EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
MAY 31, 2000
--------------------------------------------------------------------------------
exchange on which they are traded closes and the time when the portfolio's
net assets are calculated, such securities will be valued at fair value in
accordance with procedures established by and under the general
supervision of the portfolio's trustees.
b) The books and records of the portfolio are maintained in U.S. dollars. The
market value of investment securities, other assets and liabilities and
foreign currency contracts are translated at the prevailing exchange rates
at the end of the period. Purchases, sales, income and expenses 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) 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) 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 and spot foreign
currency translations.
f) 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
26
<PAGE>
THE EUROPEAN EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
MAY 31, 2000
--------------------------------------------------------------------------------
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.
g) The portfolio intends to be treated as a partnership for federal income
tax purposes. As such, each investor in the portfolio will be taxed on its
share of the portfolio's ordinary income and capital gains. It is intended
that the portfolio's assets will be managed in such a way that an investor
in the portfolio will be able to satisfy the requirements of Subchapter M
of the Internal Revenue Code. The portfolio earns foreign income which may
be subject to foreign withholding taxes at various rates.
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 wholly-owned subsidiary of
J.P. Morgan & Co. Incorporated ("J.P. Morgan"). Under the terms of the
agreement, the portfolio pays JPMIM at an annual rate of 0.65% of the
portfolio's average daily net assets. For the six months ended May 31,
2000 such fees amounted to $86,177.
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 May 31, 2000, the fee for
these services amounted to $104.
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 certain 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 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 May 31, 2000, the fee for these
services amounted to $3,246.
27
<PAGE>
THE EUROPEAN EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
MAY 31, 2000
--------------------------------------------------------------------------------
In addition, Morgan has agreed to reimburse the portfolio to the extent
necessary to maintain the total operating expenses of the portfolio at no
more than 1.00% of the average daily net assets of the portfolio through
February 28, 2001. For the six months ended May 31, 2000, Morgan has
agreed to reimburse the portfolio $35,224 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 $224 for the six months ended May 31, 2000.
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 $100.
3. INVESTMENT TRANSACTIONS
Investment transactions (excluding short-term investments) for the six months
ended May 31, 2000 were as follows:
<TABLE>
<CAPTION>
COST OF PROCEEDS
PURCHASES FROM SALES
--------- -----------
<S> <C>
$11,514,687 $13,878,737
</TABLE>
Open futures contracts at May 31, 2000 are summarized as follows:
<TABLE>
<CAPTION>
NET UNREALIZED CURRENT MARKET VALUE
CONTRACTS LONG APPRECIATION OF CONTRACTS
-------------- -------------- --------------------
<S> <C> <C> <C>
DJ Euro Stoxx 50, expiring June 2000............. 10 $ 17,559 $ 482,612
FTSE 100 Index, expiring June 2000............... 10 28,376 951,794
------------- ------------- -------------------
Totals........................................... 20 $ 45,935 $ 1,434,406
============= ============= ===================
</TABLE>
28
<PAGE>
THE EUROPEAN EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
MAY 31, 2000
--------------------------------------------------------------------------------
At May 31, 2000 the portfolio had open forward currency contracts as follows:
<TABLE>
<CAPTION>
U.S. DOLLAR NET UNREALIZED
CONTRACTUAL VALUE AT APPRECIATION/
VALUE 5/31/00 (DEPRECIATION)
----------- ----------- --------------
<S> <C> <C> <C>
PURCHASE CONTRACTS
Danish Krone 1,929,685, expiring 8/24/2000....... $ 233,618 $ 240,883 $ 7,265
Euro 2,682,845, expiring 8/24/2000............... 2,435,197 2,502,652 67,455
Euro 233,000 for CHF 362,187..................... 215,559 217,351 1,792
Norwegian Krone 765,027, expiring 8/24/2000...... 84,069 85,447 1,378
Pound Sterling 684,158, expiring 8/24/2000....... 1,018,082 1,024,348 6,266
</TABLE>
<TABLE>
<CAPTION>
SETTLEMENT
VALUE
----------
<S> <C> <C> <C>
SALES CONTRACTS
Danish Krone 1,929,685, expiring 8/24/2000....... 234,413 240,883 (6,470)
Euro 2,375,644, expiring 8/24/2000............... 2,161,069 2,216,084 (55,015)
Pound Sterling 684,158, expiring 8/24/2000....... 1,018,487 1,024,349 (5,862)
Swedish Krona 847,341, expiring 8/24/2000........ 92,890 94,664 (1,774)
Swiss Franc 451,696, expiring 8/24/2000.......... 264,108 268,832 (4,724)
-------------
Net Unrealized Appreciation on Forward Foreign
Currency Contracts.............................. $ 10,311
=============
</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