<PAGE>
THE INTERNATIONAL OPPORTUNITIES PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED)
MAY 31, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
------------------------------------------------- ----------- -------------
<S> <C> <C>
COMMON STOCK (89.3%)
AUSTRALIA (2.4%)
Santos Ltd. (Oil-Production)(s).................. 1,443,506 $ 3,705,732
Southern Pacific Petroleum NL
(Oil-Services)+(s)............................. 1,636,411 1,913,767
WMC Ltd. (Metals & Mining)(s).................... 1,727,400 7,082,448
------------
12,701,947
------------
AUSTRIA (0.4%)
Bank Austria AG (Banking)(s)..................... 50,489 2,383,279
------------
CANADA (0.6%)
Royal Bank of Canada (Banking)(s)................ 56,600 2,942,051
------------
CHINA (0.6%)
Huaneng Power International, Inc. (Spon. ADR)
(Energy Source)(s)............................. 270,000 2,683,124
Huaneng Power International, Inc., H Shares
(Energy Source)(s)............................. 3,000,000 746,920
------------
3,430,044
------------
FINLAND (1.2%)
Sampo Insurance Co. Ltd., A Shares
(Insurance)(s)................................. 66,400 2,771,028
Stora Enso OYJ, R Shares (Forest Products &
Paper)(s)...................................... 367,164 3,523,764
------------
6,294,792
------------
FRANCE (17.6%)
Alcatel (Telecommunications-Equipment)(s)........ 283,000 15,563,294
Banque Nationale de Paris (Financial
Services)(s)................................... 115,810 10,391,002
Carrefour SA (Retail)(s)......................... 59,940 4,216,312
Christian Dior SA (Retail)(s).................... 27,500 6,248,261
Coflexip SA (Oil-Services)+(s)................... 57,697 6,709,825
Compagnie de Saint- Gobain (Building
Materials)+(s)................................. 10,570 1,465,469
Groupe Danone (Food, Beverages & Tobacco)(s)..... 9,489 2,209,671
Rhodia SA (Chemicals)(s)......................... 335,900 5,544,858
Sidel SA (Machinery)+(s)......................... 50,000 3,361,773
STMicroelectronics NV (Electronics)(s)........... 65,460 3,879,156
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
------------------------------------------------- ----------- -------------
<S> <C> <C>
FRANCE (CONTINUED)
Suez Lyonnaise des Eaux SA (Utilities)(s)........ 58,500 $ 9,765,371
Total Fina Elf SA (Oil-Services)+(s)............. 13,050 121
Total Fina Elf, B Shares (Oil-Services)+(s)...... 117,346 18,380,543
Vivendi SA (Utilities)(s)........................ 53,711 5,728,244
------------
93,463,900
------------
GERMANY (2.8%)
BASF AG (Chemicals)(s)........................... 31,500 1,280,975
Marschollek, Lautenschlaeger und Partner AG
(Financial Services)(s)........................ 4,000 1,886,303
Merck KGaA (Pharmaceuticals)(s).................. 44,100 1,359,849
Schering AG (Pharmaceuticals)(s)................. 39,680 5,913,545
Stinnes AG (Transport & Services)+(s)............ 40,400 760,568
Veba AG (Diversified Manufacturing)(s)........... 75,600 3,799,981
------------
15,001,221
------------
HONG KONG (2.4%)
Guoco Group Ltd. (Financial Services)(s)......... 403,000 801,656
Hongkong Electric Holdings Ltd. (Electric)(s).... 2,525,100 8,458,048
Hutchison Whampoa Ltd. (Multi - Industry)........ 324,700 3,750,385
i-CABLE Communications Ltd. (Telecommunication
Services)+(s).................................. 2,000 757
------------
13,010,846
------------
INDIA (0.7%)
Reliance Industries Ltd. (GDR) (Diversified
Manufacturing)(s).............................. 148,100 3,628,450
------------
IRELAND (0.1%)
Greencore Group PLC (Food, Beverages &
Tobacco)(s).................................... 293,600 789,613
------------
</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, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
------------------------------------------------- ----------- -------------
<S> <C> <C>
ITALY (0.8%)
Bayerische Vita SPA (Insurance)(s)............... 139,300 $ 1,211,754
UniCredito Italiano SPA (Financial
Services)(s)................................... 650,000 2,857,275
------------
4,069,029
------------
JAPAN (18.2%)
Dai Nippon Printing Co. Ltd. (Business & Public
Services)(s)................................... 147,000 2,507,908
Fujitsu Ltd. (Computer Systems)(s)............... 331,000 9,375,900
Honda Motor Co. Ltd. (Automotive)(s)............. 111,000 3,659,624
Mitsubishi Chemical Corp. (Chemicals)(s)......... 1,821,000 7,119,954
Mitsubishi Corp. (Wholesale & International
Trade)(s)...................................... 824,000 6,841,477
Nippon Yusen Kabushiki Kaisha
(Transportation)(s)............................ 892,000 3,843,863
Nisshin Steel Co. Ltd. (Metals & Mining)(s)...... 2,200,000 2,308,800
Paris Miki, Inc. (Retail)(s)..................... 40,302 2,672,452
Rohm Co. Ltd. (Electronics)(s)................... 39,000 12,169,956
Softbank Corp. (Computer Software)(s)............ 15,900 2,436,499
Sony Corp. (Electronics)(s)...................... 58,000 5,251,915
Taiheiyo Cement Corp. (Building Materials)(s).... 857,000 1,281,421
Takeda Chemical Industries Ltd. (Chemicals)(s)... 156,689 10,695,743
The Chuo Mitsui Trust and Banking Co. Ltd.
(Banking)(s)................................... 376,800 1,515,249
The Fuji Bank Ltd. (Banking)(s).................. 640,000 4,951,196
The Tokio Marine & Fire Insurance Co. Ltd.
(Insurance)(s)................................. 540,000 5,892,733
Toppan Printing Co. Ltd. (Broadcasting &
Publishing)(s)................................. 224,000 2,375,742
Tostem Corp. (Construction & Housing)(s)......... 204,000 3,362,898
West Japan Railway Co. (Railroads)(s)............ 840 3,549,570
Yamanouchi Pharmaceutical Co. Ltd.
(Pharmaceuticals)(s)........................... 105,000 4,788,019
------------
96,600,919
------------
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
------------------------------------------------- ----------- -------------
<S> <C> <C>
MEXICO (1.4%)
Consorcio ARA SA de CV (Construction &
Housing)+(s)................................... 1,595,000 $ 2,013,148
Grupo Televisa SA (Spon. GDR) (Broadcasting &
Publishing)+(s)................................ 101,200 5,635,575
------------
7,648,723
------------
NETHERLANDS (5.7%)
Akzo Nobel NV (Chemicals)(s)..................... 139,000 5,273,569
Equant NV (Computer Systems)+(s)................. 50,500 2,194,593
Heineken Holding NV, Class A (Food, Beverages &
Tobacco)(s).................................... 56,400 1,841,120
Koninklijke Philips Electronics NV
(Electronics)(s)............................... 409,792 18,188,487
Laurus NV (Retail)(s)............................ 188,264 1,903,067
Vedior NV (Business & Public Services)(s)........ 76,507 879,799
------------
30,280,635
------------
NORWAY (0.4%)
Stolt - Nielsen SA (Spon. ADR)
(Transportation)(s)............................ 96,810 1,911,997
------------
PHILIPPINES (0.5%)
ABS- CBN Broadcasting Corporation (Broadcasting &
Publishing)(s)................................. 2,010,000 2,050,059
First Philippine Holdings Corp. (Multi -
Industry)+(s).................................. 1,581,220 797,098
------------
2,847,157
------------
RUSSIA (1.3%)
Surgutneftegaz (Spon. ADR) (Oil-
Production)(s)................................. 481,700 6,888,310
------------
SINGAPORE (3.6%)
Chartered Semiconductor Manufacturing Ltd.
(Semiconductors)+(s)........................... 75,800 6,082,950
DBS Group Holdings Ltd. (Financial
Services)(s)................................... 419,414 4,186,396
Neptune Orient Lines Ltd. (Transport &
Services)+(s).................................. 2,736,500 2,068,322
</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, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
------------------------------------------------- ----------- -------------
<S> <C> <C>
SINGAPORE (CONTINUED)
Overseas Union Bank Ltd. (Banking)(s)............ 753,378 $ 2,586,314
Singapore Press Holdings Ltd. (Broadcasting &
Publishing)(s)................................. 284,000 4,276,714
------------
19,200,696
------------
SOUTH AFRICA (0.3%)
South African Breweries PLC (Food, Beverages &
Tobacco)(s).................................... 256,208 1,563,365
------------
SOUTH KOREA (0.7%)
H&CB (GDR) (Banking)(s).......................... 70,935 1,264,416
Hyundai Motor Co. Ltd. (GDR) (Automotive)(s)..... 449,000 2,323,575
Samsung Electronics (GDR) (144A)
(Electronics)(s)............................... 454 71,789
------------
3,659,780
------------
SPAIN (3.8%)
Acerinox SA (Metals & Mining)(s)................. 73,800 2,491,255
Actividades de Construccion y Servicios SA
(Construction & Housing)(s).................... 115,700 3,132,044
Banco Bilbao Vizcaya Argentaria SA
(Banking)(s)................................... 522,500 7,268,385
Banco Santander Central Hispano SA
(Banking)(s)................................... 472,500 4,605,374
Indra Sistemas SA (Electronics)+(s).............. 116,364 2,492,821
------------
19,989,879
------------
SWEDEN (1.6%)
Autoliv, Inc. (SDR) (Automotive Supplies)(s)..... 120,000 3,295,240
Skandia Forsakrings AB (Insurance)(s)............ 89,164 2,275,349
Skandinaviska Ensklida Banken (Banking)(s)....... 250,600 2,724,820
------------
8,295,409
------------
SWITZERLAND (9.9%)
ABB Ltd. (Electrical Equipment)(s)............... 43,233 5,276,412
Barry Callebaut AG (Food, Beverages &
Tobacco)(s).................................... 6,400 843,894
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
------------------------------------------------- ----------- -------------
<S> <C> <C>
SWITZERLAND (CONTINUED)
Credit Suisse Group (Financial Services)+(s)..... 34,400 $ 6,392,920
Nestle SA (Food, Beverages & Tobacco)(s)......... 4,870 9,251,563
Novartis AG (Pharmaceuticals)(s)................. 4,080 5,993,628
Roche Holding AG (Pharmaceuticals)(s)............ 600 6,300,885
Swiss Re (Insurance)+(s)......................... 3,505 6,714,298
Swisscom AG (Telecommunication Services)+(s)..... 19,300 6,752,153
UBS AG (Banking)(s).............................. 39,150 5,260,420
------------
52,786,173
------------
UNITED KINGDOM (11.5%)
Allied Zurich PLC (Insurance)(s)................. 510,500 5,723,094
British Airways PLC (Airlines)(s)................ 544,000 2,943,617
British American Tobacco PLC (Food, Beverages &
Tobacco)(s).................................... 262,300 1,533,024
Cable & Wireless PLC (Telecommunications)(s)..... 207,700 3,461,667
CGNU PLC (Insurance)(s).......................... 158,784 2,411,428
Glaxo Wellcome PLC (Pharmaceuticals)(s).......... 167,500 4,732,063
Lloyds TSB Group PLC (Banking)(s)................ 126,800 1,372,245
National Power PLC (Electric)(s)................. 187,000 1,027,242
Railtrack Group PLC (Transportation)(s).......... 157,600 1,978,834
Royal & Sun Alliance Insurance Group PLC
(Insurance)(s)................................. 996,818 5,930,248
Shell Transport & Trading Co.
(Oil-Services)(s).............................. 666,400 5,510,999
Tesco PLC (Retail)(s)............................ 954,200 2,881,142
Vodafone AirTouch PLC (Telecommunications)+(s)... 4,774,178 21,765,684
------------
61,271,287
------------
VENEZUELA (0.8%)
Compania Anonima Nacional Telefonos de Venezuela
(ADR) (Telecommunication Services)(s).......... 150,600 4,282,687
------------
TOTAL COMMON STOCK (COST $420,416,145)......... 474,942,189
------------
</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, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
------------------------------------------------- ----------- -------------
<S> <C> <C>
CONVERTIBLE PREFERRED STOCKS (1.0%)
AUSTRALIA (1.0%)
National Australia Bank (Banking)
(COST $5,588,740).............................. 201,000 $ 5,200,875
------------
PREFERRED STOCK (3.1%)
AUSTRALIA (1.5%)
News Corp. Ltd. (Broadcasting & Publishing)(s)... 814,400 7,819,243
------------
BRAZIL (1.6%)
Embratel Participacoes SA (ADR)
(Telecommunication Services)(s)................ 410,100 8,586,469
------------
TOTAL PREFERRED STOCK (COST $12,185,840)....... 16,405,712
------------
<CAPTION>
PRINCIPAL
AMOUNT
-----------
<S> <C> <C>
CONVERTIBLE BONDS (2.1%)
CHINA (0.8%)
Huaneng Power International PLC, 1.750% due
05/21/04 (Energy Source)....................... $3,800,000 4,104,000
------------
NETHERLANDS (1.3%)
Telefonica Europe BV, 2.000% due 07/15/02
(Telecommunication Services)................... 3,471,000 7,248,386
------------
TOTAL CONVERTIBLE BONDS (COST $9,798,767)...... 11,352,386
------------
SHORT-TERM INVESTMENTS (2.4%)
OTHER INVESTMENT COMPANIES (2.2%)
Hamilton Money Fund.............................. 11,597,069 11,597,070
------------
<CAPTION>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
------------------------------------------------- ----------- -------------
<S> <C> <C>
U.S. TREASURY OBLIGATIONS (0.2%)
United States Treasury Bills, 5.978%(y) due
10/12/00(s).................................... $1,010,000 $ 988,174
------------
TOTAL SHORT-TERM INVESTMENTS
(COST $12,585,335)............................ 12,585,244
------------
TOTAL INVESTMENTS
(COST $460,574,827) (97.9%)................................. 520,486,406
OTHER ASSETS IN EXCESS OF LIABILITIES (2.1%)..................
11,376,853
------------
NET ASSETS (100.0%)........................................... $531,863,259
============
</TABLE>
------------------------------
Note: The aggregate gross unrealized appreciation and depreciation was
$88,808,811 and $28,897,232, respectively, resulting in net unrealized
appreciation of $59,911,579.
+ - 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.
$191,698,228 of the market value has been segregated.
(y) - Yield to maturity.
144A - Securities restricted for resale to Qualified Institutional Buyers.
ADR - American Depository Receipt.
GDR - Global Depository Receipt.
Spon. ADR - Sponsored ADR.
Spon. GDR - Sponsored GDR.
The Accompanying Notes are an Integral Part of the Financial Statements.
19
<PAGE>
THE INTERNATIONAL OPPORTUNITIES PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
MAY 31, 2000
--------------------------------------------------------------------------------
INDUSTRY DIVERSIFICATION
<TABLE>
<CAPTION>
PERCENT OF
TOTAL INVESTMENTS
-----------------
<S> <C>
Electronics....................................... 8.8%
Banking........................................... 8.1%
Insurance......................................... 6.3%
Oil - Services.................................... 6.3%
Chemicals......................................... 5.7%
Telecommunication Services........................ 5.7%
Pharmaceuticals................................... 5.6%
Financial Services................................ 5.1%
Telecommunications................................ 4.9%
Broadcasting & Publishing......................... 4.3%
Utilities......................................... 3.7%
Food, Beverage & Tobacco.......................... 3.5%
Retail............................................ 3.4%
Telecommunications - Equipment.................... 3.0%
Short-Term........................................ 2.4%
Metals & Mining................................... 2.3%
Computer Systems.................................. 2.2%
Oil - Production.................................. 2.0%
Electric.......................................... 1.8%
Construction & Housing............................ 1.6%
Transport & Services.............................. 1.5%
Energy Source..................................... 1.4%
Wholesale & International Trade................... 1.3%
Automotive........................................ 1.2%
Semiconductors.................................... 1.2%
Electrical Equipment.............................. 1.0%
Multi-Industry.................................... 0.9%
Forest Products & Paper........................... 0.7%
Railroads......................................... 0.7%
Automotive Supplies............................... 0.6%
Airlines.......................................... 0.6%
Business & Public Services........................ 0.6%
Machinery......................................... 0.6%
Building Materials................................ 0.5%
Computer Software................................. 0.5%
-----
100.0%
=====
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
20
<PAGE>
THE INTERNATIONAL OPPORTUNITIES PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES (UNAUDITED)
MAY 31, 2000
--------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments at Value (Cost $460,574,827 ) $520,486,406
Foreign Currency at Value (Cost $17,906,133 ) 17,758,025
Receivable for Investments Sold 2,990,362
Unrealized Appreciation of Forward Foreign
Currency Contracts 1,530,528
Dividends Receivable 1,380,834
Foreign Tax Reclaim Receivable 1,155,836
Variation Margin Receivable 487,346
Interest Receivable 57,809
Deferred Organization Expenses 4,465
Prepaid Expenses and Other Assets 1,582
Prepaid Trustees' Fees 937
------------
Total Assets 545,854,130
------------
LIABILITIES
Payable for Investments Purchased 7,917,849
Unrealized Depreciation of Forward Foreign
Currency Contracts 3,654,440
Payable to Custodian 1,990,118
Advisory Fee Payable 265,161
Administrative Services Fee Payable 10,774
Administration Fee Payable 493
Fund Services Fee Payable 444
Accrued Expenses 151,592
------------
Total Liabilities 13,990,871
------------
NET ASSETS
Applicable to Investors' Beneficial Interests $531,863,259
============
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
21
<PAGE>
THE INTERNATIONAL OPPORTUNITIES 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 $897,423) $ 4,523,450
Interest Income 602,527
------------
Investment Income 5,125,977
EXPENSES
Advisory Fee $ 1,509,438
Custodian Fees and Expenses 243,604
Administrative Services Fee 61,578
Professional Fees and Expenses 26,159
Printing Expenses 4,365
Fund Services Fee 4,161
Administration Fee 1,949
Trustees' Fees and Expenses 1,877
Amortization of Organization Expense 1,285
Miscellaneous 722
------------
Total Expenses 1,855,138
------------
NET INVESTMENT INCOME 3,270,839
NET REALIZED GAIN ON
Investment Transactions 13,206,047
Futures Contracts 1,170,067
Foreign Currency Contracts and Transactions 1,235,167
------------
Net Realized Gain 15,611,281
NET CHANGE IN UNREALIZED DEPRECIATION OF
Investment Transactions (13,377,055)
Futures Contracts (946,354)
Foreign Currency Contracts and Translations (2,869,895)
------------
Net Change in Unrealized Depreciation (17,193,304)
------------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $ 1,688,816
============
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
22
<PAGE>
THE INTERNATIONAL OPPORTUNITIES 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>
INCREASE IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 3,270,839 $ 4,482,162
Net Realized Gain on Investments, Futures and
Foreign Currency Contracts and Transactions 15,611,281 34,344,844
Net Change in Unrealized Appreciation
(Depreciation) of Investments, Futures and
Foreign Currency Contracts and Translations (17,193,304) 63,164,934
------------- ----------------
Net Increase in Net Assets Resulting from
Operations 1,688,816 101,991,940
------------- ----------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS
Contributions 268,654,645 252,736,681
Withdrawals (176,872,570) (296,593,455)
------------- ----------------
Net Increase (Decrease) from Investors'
Transactions 91,782,075 (43,856,774)
------------- ----------------
Total Increase in Net Assets 93,470,891 58,135,166
NET ASSETS
Beginning of Period 438,392,368 380,257,202
------------- ----------------
End of Period $ 531,863,259 $ 438,392,368
============= ================
</TABLE>
--------------------------------------------------------------------------------
SUPPLEMENTARY DATA
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE FOR THE PERIOD
FOR THE SIX FISCAL YEAR ENDED FEBRUARY 26, 1997
MONTHS ENDED NOVEMBER 30, (COMMENCEMENT OF
MAY 31, 2000 ------------------- OPERATIONS) THROUGH
(UNAUDITED) 1999 1998 NOVEMBER 30, 1997
------------ --------- -------- -------------------
<S> <C> <C> <C> <C>
RATIOS TO AVERAGE NET ASSETS
Net Expenses 0.74%(a) 0.79% 0.85% 0.89%(a)
Net Investment Income 1.30%(a) 1.26% 1.07% 1.26%(a)
Expenses without Reimbursement 0.74%(a) 0.79% 0.85% 0.92%(a)
Portfolio Turnover 31%(b) 80% 143% 72%(b)
</TABLE>
------------------------
(a) Annualized.
(b) Not Annualized.
The Accompanying Notes are an Integral Part of the Financial Statements.
23
<PAGE>
THE INTERNATIONAL OPPORTUNITIES PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
MAY 31, 2000
--------------------------------------------------------------------------------
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
The International Opportunities 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 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.
24
<PAGE>
THE INTERNATIONAL OPPORTUNITIES PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
MAY 31, 2000
--------------------------------------------------------------------------------
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 $12,800.
These costs were deferred and are being amortized on a straight-line basis
over a five-year period from the commencement of operations.
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.
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
25
<PAGE>
THE INTERNATIONAL OPPORTUNITIES PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
MAY 31, 2000
--------------------------------------------------------------------------------
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. Such taxes are generally based on income and/or capital gains
earned. Taxes are accrued and applied to net investment income, net
realized capital gains and unrealized appreciation, as applicable, as the
income and/or capital gains are earned.
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"), a 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 0.60% of the
portfolio's average daily net assets. For the six months ended May 31,
2000, such fees amounted to $1,509,438.
b) The trust, on behalf of 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, 2000, the fee for these services amounted
to $1,949.
c) The trust, on behalf of 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
26
<PAGE>
THE INTERNATIONAL OPPORTUNITIES PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
MAY 31, 2000
--------------------------------------------------------------------------------
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 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, 2000, the fee for these services amounted
to $61,578.
d) The trust, on behalf of 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 $4,161 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 $800.
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>
$250,750,773..... $146,384,209
</TABLE>
Open futures contracts at May 31, 2000 are summarized as follows:
<TABLE>
<CAPTION>
NET UNREALIZED
APPRECIATION/ CURRENT MARKET VALUE
CONTRACTS LONG (DEPRECIATION) OF CONTRACTS
-------------- -------------- --------------------
<S> <C> <C> <C>
Dow Jones Euro Stoxx 50 Index, expiring June
2000............................................ 78 $ 167,212 $ 3,764,370
FTSE 100 Index, expiring June, 2000.............. 32 92,666 3,045,780
TOPIX Index, expiring June 2000.................. 30 (155,370) 4,243,325
------------- ------------- -------------------
Totals........................................... 140 $ 104,508 $ 11,053,475
============= ============= ===================
</TABLE>
27
<PAGE>
THE INTERNATIONAL OPPORTUNITIES 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/
PURCHASE CONTRACTS VALUE 5/31/00 (DEPRECIATION)
------------------ ------------ ------------ --------------
<S> <C> <C> <C>
Canadian Dollar 28,120,957, expiring 07/25/00.... $ 19,071,521 $ 18,800,952 $ (270,569)
Euro 43,439,798, expiring 07/25/00............... 40,318,768 40,436,030 117,262
Japanese Yen 4,740,803,240, expiring 07/25/00.... 45,233,852 44,488,570 (745,282)
Pound Sterling 23,375,600, expiring 07/25/00..... 36,951,062 34,976,293 (1,974,769)
Swedish Krona 48,289,503, expiring 07/25/00...... 5,556,905 5,382,220 (174,685)
</TABLE>
<TABLE>
<CAPTION>
SETTLEMENT
SALES CONTRACTS VALUE
--------------- ------------
<S> <C> <C> <C>
Australian Dollar 18,348,872, expiring
07/25/00........................................ $ 10,844,447 $ 10,478,556 $ 365,891
Euro 25,102,000, expiring 07/25/00............... 22,961,194 23,366,252 (405,058)
Euro 2,715,000, expiring 07/26/00................ 2,622,513 2,536,572 85,941
Hong Kong Dollar 83,839,973, expiring 07/25/00... 10,760,234 10,758,968 1,266
Japanese Yen 4,281,080,250, expiring 07/25/00.... 40,160,776 40,174,445 (13,669)
Pound Sterling 3,149,110, expiring 07/26/00...... 5,000,000 4,711,931 288,069
Singapore Dollar 31,245,651, expiring 07/25/00... 18,550,576 18,137,103 413,473
Swedish Krona 32,686,828, expiring 07/25/00...... 3,572,780 3,643,188 (70,408)
Swiss Franc 31,936,419, expiring 07/25/00........ 19,212,863 18,954,237 258,626
-----------
NET UNREALIZED DEPRECIATION ON FORWARD FOREIGN
CURRENCY CONTRACTS.............................. $(2,123,912)
===========
</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.
28
