<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
MAY 31, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
------------------------------------------------- ------------- ---------------
<S> <C> <C>
COMMON STOCKS (97.2%)
BASIC INDUSTRIES (2.2%)
CHEMICALS (1.1%)
Air Products & Chemicals, Inc.................... 134,100 $ 4,643,212
Dow Chemical Co.................................. 14,000 1,498,875
IMC Global, Inc.................................. 1,300 19,987
PPG Industries, Inc.............................. 61,900 3,067,919
Praxair, Inc..................................... 56,700 2,381,400
Rohm & Haas Co................................... 160,200 5,466,825
Solutia, Inc..................................... 43,300 525,012
--------------
17,603,230
--------------
FOREST PRODUCTS & PAPER (0.4%)
Bowater, Inc..................................... 9,800 506,537
Fort James Corp.................................. 76,400 1,728,550
Georgia-Pacific Group............................ 7,200 235,800
International Paper Co........................... 66,300 2,308,069
Smurfit-Stone Container Corp.+................... 73,000 1,035,687
Temple-Inland, Inc............................... 18,600 924,187
--------------
6,738,830
--------------
METALS & MINING (0.7%)
Alcoa, Inc....................................... 149,600 8,742,250
Allegheny Technologies, Inc...................... 38,200 861,887
Nucor Corp....................................... 29,400 1,142,925
Phelps Dodge Corp................................ 23,200 1,041,100
--------------
11,788,162
--------------
TOTAL BASIC INDUSTRIES......................... 36,130,222
--------------
CONSUMER GOODS & SERVICES (19.4%)
APPARELS & TEXTILES (0.1%)
Jones Apparel Group, Inc.+....................... 58,000 1,555,125
--------------
AUTOMOTIVE (2.0%)
Dana Corp........................................ 58,200 1,502,287
Delphi Automotive Systems Corp................... 193,100 3,487,869
Ford Motor Co.................................... 333,800 16,210,162
General Motors Corp.............................. 136,900 9,668,562
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
------------------------------------------------- ------------- ---------------
<S> <C> <C>
AUTOMOTIVE (CONTINUED)
Goodyear Tire and Rubber Co...................... 51,500 $ 1,281,062
Lear Corp.+...................................... 36,800 862,500
--------------
33,012,442
--------------
BROADCASTING & PUBLISHING (2.3%)
AT&T Corp. - Liberty Media Group, Class A........ 80,100 3,549,431
Comcast Corp., Class A+.......................... 161,500 6,116,812
Gannett Co., Inc................................. 124,700 8,074,325
Knight-Ridder, Inc............................... 43,600 2,310,800
MediaOne Group, Inc.+............................ 246,000 16,435,875
New York Times Co., Class A...................... 8,300 318,512
--------------
36,805,755
--------------
ENTERTAINMENT, LEISURE & MEDIA (3.2%)
America Online, Inc.+............................ 425,400 22,546,200
Fox Entertainment Group, Inc. , Class A+......... 56,000 1,463,000
International Game Technology+................... 41,500 1,125,687
Seagram Company Ltd.(i).......................... 164,000 7,820,750
Time Warner, Inc................................. 243,500 19,221,281
--------------
52,176,918
--------------
FOOD, BEVERAGES & TOBACCO (3.2%)
Bestfoods........................................ 82,200 5,301,900
Coca-Cola Co..................................... 138,700 7,403,112
General Mills, Inc............................... 69,200 2,746,375
H.J. Heinz Co.................................... 104,600 4,099,012
Hershey Foods Corp............................... 2,300 119,312
Kellogg Co....................................... 85,400 2,594,025
Nabisco Holdings Corp., Class A.................. 6,300 290,981
Philip Morris Companies, Inc..................... 794,100 20,745,862
Quaker Oats Co................................... 42,400 3,119,050
Ralston-Ralston Purina Group..................... 21,700 402,806
Unilever NV (ADR)(i)............................. 122,500 6,224,531
--------------
53,046,966
--------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
19
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
MAY 31, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
------------------------------------------------- ------------- ---------------
<S> <C> <C>
HOUSEHOLD PRODUCTS (1.5%)
Clorox Co........................................ 69,600 $ 2,757,900
Kimberly-Clark Corp.............................. 16,400 992,200
Procter & Gamble Co.............................. 320,500 21,313,250
--------------
25,063,350
--------------
PERSONAL CARE (0.6%)
Estee Lauder Companies, Inc., Class A............ 17,400 779,737
Gillette Co...................................... 274,100 9,148,087
--------------
9,927,824
--------------
RESTAURANTS & HOTELS (0.5%)
Marriott International, Inc. - Class A........... 51,100 1,852,375
McDonald's Corp.................................. 89,200 3,194,475
Starwood Hotels & Resorts Worldwide, Inc......... 81,700 2,415,256
--------------
7,462,106
--------------
RETAIL (6.0%)
Abercrombie & Fitch Co., Class A+................ 9,300 91,256
Circuit City Stores-Circuit City Group........... 25,200 1,255,275
Federated Department Stores, Inc.+............... 81,000 3,118,500
Gap, Inc......................................... 266,100 9,330,131
Hasbro, Inc...................................... 37,900 620,612
Home Depot, Inc.................................. 221,400 10,807,087
J.C. Penney, Inc................................. 67,000 1,214,375
Kmart Corp.+..................................... 98,800 839,800
Kroger Co.+...................................... 246,800 4,905,150
Limited, Inc..................................... 120,200 2,899,825
Lowe's Companies, Inc............................ 94,600 4,404,812
Mattel, Inc...................................... 154,700 2,098,119
May Department Stores Co......................... 103,700 3,117,481
Safeway, Inc.+................................... 27,900 1,286,887
Sears, Roebuck & Co.............................. 85,700 3,165,544
Target Corp...................................... 142,700 8,945,506
TJX Companies, Inc............................... 109,100 2,359,287
Wal-Mart Stores, Inc............................. 647,300 37,300,662
--------------
97,760,309
--------------
TOTAL CONSUMER GOODS &
SERVICES..................................................... 316,810,795
--------------
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
------------------------------------------------- ------------- ---------------
<S> <C> <C>
ENERGY (6.3%)
GAS EXPLORATION (0.1%)
Union Pacific Resources Group, Inc............... 88,600 $ 2,098,712
--------------
GAS-PIPELINES (0.1%)
Dynegy, Inc. - Class A........................... 25,900 1,997,537
--------------
OIL-PRODUCTION (5.8%)
Chevron Corp..................................... 111,200 10,279,050
Conoco, Inc. - Class B........................... 47,100 1,342,350
Devon Energy Corp................................ 10,400 622,050
Exxon Mobil Corp................................. 595,900 49,645,919
Royal Dutch Petroleum Co. (ADR)(i)............... 374,500 23,382,844
Texaco, Inc...................................... 96,600 5,548,462
Tosco Corp....................................... 61,200 1,874,250
Ultramar Diamond Shamrock Corp.+................. 23,500 609,531
Valero Energy Corp............................... 24,400 713,700
--------------
94,018,156
--------------
OIL-SERVICES (0.3%)
Baker Hughes, Inc................................ 54,300 1,968,375
Cooper Cameron Corp.+............................ 9,000 627,750
Global Marine, Inc.+............................. 67,400 1,908,262
--------------
4,504,387
--------------
TOTAL ENERGY................................... 102,618,792
--------------
FINANCE (14.0%)
BANKING (6.4%)
AmSouth Bancorporation........................... 12,500 225,781
Bank of America Corp............................. 124,000 6,889,750
Bank One Corp.................................... 225,300 7,448,981
Banknorth Group Inc.............................. 16,900 235,544
Charter One Financial, Inc....................... 56,000 1,274,000
Chase Manhattan Corp............................. 53,800 4,018,187
Citigroup, Inc................................... 410,000 25,496,875
Comerica, Inc.................................... 35,400 1,792,125
Compass Bancshares, Inc.......................... 19,400 392,850
Dime Bancorp, Inc................................ 43,200 788,400
First Tennessee National Corp.................... 29,500 604,750
First Union Corp................................. 275,600 9,697,675
Firstar Corp..................................... 146,800 3,752,575
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
20
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
MAY 31, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
------------------------------------------------- ------------- ---------------
<S> <C> <C>
BANKING (CONTINUED)
FleetBoston Financial Corp....................... 206,600 $ 7,812,062
Golden West Financial Corp....................... 35,900 1,498,825
GreenPoint Financial Corp........................ 31,300 653,387
Hibernia Corp., Class A.......................... 35,100 451,912
KeyCorp.......................................... 118,800 2,494,800
Marshall & Ilsley Corp........................... 28,400 1,377,400
Mercantile Bankshares Corp....................... 14,800 490,250
North Fork Bancorporation, Inc................... 39,400 652,562
Pacific Century Financial Corp................... 10,400 234,000
PNC Bank Corp.................................... 81,600 4,110,600
Regions Financial Corp........................... 46,500 1,052,062
Southtrust Corp.................................. 47,500 1,285,469
Summit Bancorp................................... 37,300 1,070,044
SunTrust Bank, Inc............................... 7,000 418,250
TCF Financial Corp............................... 23,500 615,406
U.S. Bancorp..................................... 165,500 4,303,000
U.S. Trust Corp.................................. 67,100 9,532,394
Washington Mutual, Inc........................... 123,700 3,556,375
Wilmington Trust Corp............................ 4,300 218,225
--------------
104,444,516
--------------
FINANCIAL SERVICES (4.8%)
A.G. Edwards, Inc................................ 17,700 618,394
Ameritrade Holding Corp. , Class A+.............. 33,500 381,062
Associates First Capital Corp., Class A.......... 165,600 4,543,650
AXA Financial, Inc............................... 137,300 5,346,119
Bear Stearns Companies, Inc...................... 30,400 1,197,000
Capital One Financial Corp....................... 59,500 2,811,375
Charles Schwab Corp.............................. 29,700 853,875
CIT Group, Inc., Class A......................... 62,800 1,150,025
Countrywide Credit Industries, Inc............... 27,900 857,925
E*TRADE Group, Inc.+............................. 85,300 1,327,481
Fannie Mae....................................... 185,800 11,171,225
Franklin Resources, Inc.......................... 50,000 1,500,000
Freddie Mac...................................... 180,100 8,014,450
Goldman Sachs Group, Inc......................... 118,900 8,746,581
Household International, Inc..................... 86,400 4,060,800
John Hancock Financial Services, Inc.+........... 108,700 2,425,369
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
------------------------------------------------- ------------- ---------------
<S> <C> <C>
FINANCIAL SERVICES (CONTINUED)
Lehman Brothers Holdings, Inc.................... 39,100 $ 3,018,031
Merrill Lynch & Co., Inc......................... 112,900 11,134,763
Morgan Stanley Dean Witter & Co.................. 52,900 3,805,494
Paine Webber Group, Inc.......................... 49,100 2,206,431
Providian Financial Corp......................... 5,000 444,688
TD Waterhouse Group, Inc.+....................... 105,400 1,627,113
--------------
77,241,851
--------------
INSURANCE (2.8%)
Allstate Corp.................................... 397,400 10,531,100
Ambac Financial Group, Inc....................... 33,600 1,692,600
American General Corp............................ 15,900 1,018,594
American International Group, Inc................ 61,200 6,888,825
Aon Corp......................................... 99,100 3,480,888
CIGNA Corp....................................... 58,100 5,160,006
Financial Security Assurance Holdings Ltd........ 3,000 225,375
Fremont General Corp............................. 4,800 21,000
Hartford Financial Services Group, Inc........... 85,300 5,043,363
Lincoln National Corp............................ 56,400 2,185,500
MBIA, Inc........................................ 47,700 2,757,656
MetLife, Inc..................................... 268,400 5,502,200
Torchmark Corp................................... 61,100 1,661,156
--------------
46,168,263
--------------
TOTAL FINANCE.................................. 227,854,630
--------------
HEALTH CARE (10.5%)
BIOTECHNOLOGY (0.1%)
Genzyme Corp.+................................... 16,100 914,681
Human Genome Sciences, Inc.+..................... 9,800 859,950
Incyte Pharmaceuticals, Inc.+.................... 6,100 321,775
--------------
2,096,406
--------------
HEALTH SERVICES (0.9%)
Aetna, Inc....................................... 57,400 3,831,450
HCA - The Healthcare Co.+........................ 153,300 4,139,100
Tenet Healthcare Corp............................ 123,000 3,151,875
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
21
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
MAY 31, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
------------------------------------------------- ------------- ---------------
<S> <C> <C>
HEALTH SERVICES (CONTINUED)
United Health Group, Inc......................... 23,900 $ 1,782,044
Wellpoint Health Networks, Inc.+................. 23,100 1,677,638
--------------
14,582,107
--------------
MEDICAL SUPPLIES (0.7%)
Baxter International Inc......................... 2,100 139,650
Becton, Dickinson & Co........................... 93,400 2,726,113
Boston Scientific Corp.+......................... 50,500 1,294,063
Guidant Corp.+................................... 7,300 369,563
Medtronic, Inc................................... 113,400 5,854,275
PE Corp.- PE Biosystems Group.................... 2,600 144,300
St. Jude Medical, Inc............................ 27,500 988,281
--------------
11,516,245
--------------
PHARMACEUTICALS (8.8%)
Abbott Laboratories.............................. 299,100 12,169,631
ALZA Corp.+...................................... 97,400 4,949,138
American Home Products Corp...................... 329,200 17,735,650
Bristol-Myers Squibb Co.......................... 461,700 25,422,356
Eli Lilly & Co................................... 279,600 21,284,550
Forest Laboratories, Inc.+....................... 23,500 2,079,750
IDEC Pharmaceuticals Corp.+...................... 8,000 510,500
Johnson & Johnson................................ 26,500 2,371,750
Merck & Co., Inc................................. 89,800 6,701,325
Pharmacia Corp................................... 314,900 16,355,119
Schering-Plough Corp............................. 282,600 13,670,775
Warner-Lambert Co................................ 162,800 19,881,950
Watson Pharmaceuticals, Inc.+.................... 20,600 908,975
--------------
144,041,469
--------------
TOTAL HEALTH CARE.............................. 172,236,227
--------------
INDUSTRIAL PRODUCTS & SERVICES (8.7%)
AEROSPACE (1.1%)
Boeing Co........................................ 13,400 523,438
Honeywell International, Inc..................... 275,800 15,082,813
Lockheed Martin Corp............................. 47,400 1,161,300
Raytheon Co., Class A............................ 40,700 958,994
Raytheon Co., Class B............................ 12,800 300,000
--------------
18,026,545
--------------
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
------------------------------------------------- ------------- ---------------
<S> <C> <C>
BUILDING MATERIALS (0.0%)
USG Corp......................................... 16,600 $ 625,613
--------------
CAPITAL GOODS (0.2%)
Eaton Corp....................................... 28,900 2,097,056
PACCAR, Inc...................................... 27,200 1,139,000
--------------
3,236,056
--------------
COMMERCIAL SERVICES (0.3%)
Cendant Corp.+................................... 418,200 5,541,150
--------------
DIVERSIFIED MANUFACTURING (6.2%)
B.F. Goodrich Co................................. 48,200 1,711,100
Cooper Industries, Inc........................... 40,000 1,340,000
Eastman Kodak Co................................. 105,400 6,297,650
General Electric Co.(s).......................... 1,277,600 67,233,700
Ingersoll-Rand Co................................ 47,500 2,164,219
ITT Industries, Inc.............................. 30,000 1,036,875
Johnson Controls, Inc............................ 20,900 1,189,994
Rockwell International Corp...................... 65,700 2,693,700
Tyco International Ltd.(i)....................... 356,300 16,768,369
Xerox Corp....................................... 2,800 75,950
--------------
100,511,557
--------------
ELECTRICAL EQUIPMENT (0.7%)
Caterpillar, Inc................................. 120,700 4,616,775
Emerson Electric Co.............................. 107,100 6,318,900
--------------
10,935,675
--------------
POLLUTION CONTROL (0.2%)
Waste Management, Inc............................ 118,900 2,422,588
--------------
TOTAL INDUSTRIAL PRODUCTS & SERVICES........... 141,299,184
--------------
TECHNOLOGY (29.2%)
COMPUTER PERIPHERALS (1.3%)
EMC Corp.+....................................... 110,600 12,864,163
Lexmark International Group, Inc., Class A+...... 26,700 1,862,325
Quantum Corp.- DLT & Storage Systems+............ 34,900 362,088
Seagate Technology, Inc.+........................ 109,900 6,374,200
--------------
21,462,776
--------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
22
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
MAY 31, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
------------------------------------------------- ------------- ---------------
<S> <C> <C>
COMPUTER SOFTWARE (5.7%)
Adobe Systems, Inc............................... 30,100 $ 3,388,131
Autodesk, Inc.................................... 13,300 494,594
BMC Software, Inc.+.............................. 62,500 2,750,000
Citrix Systems, Inc.+............................ 58,200 3,062,775
Computer Associates International, Inc........... 164,700 8,482,050
Microsoft Corp.+................................. 929,400 58,145,588
Network Associates, Inc.+........................ 1,800 39,375
Oracle Corp.+.................................... 145,500 10,457,813
Siebel Systems, Inc.+............................ 42,000 4,914,000
Symantec Corp.+.................................. 13,300 874,475
Tibco Software, Inc.+............................ 14,200 789,875
--------------
93,398,676
--------------
COMPUTER SYSTEMS (4.3%)
Apple Computer, Inc.+............................ 34,600 2,906,400
Compaq Computer Corp............................. 235,600 6,184,500
Dell Computer Corp.+............................. 41,900 1,806,938
Hewlett-Packard Co............................... 142,400 17,105,800
International Business Machines Corp............. 85,000 9,121,563
Sun Microsystems, Inc.+.......................... 363,900 27,883,838
Veritas Software Corp.+.......................... 51,500 5,999,750
--------------
71,008,789
--------------
ELECTRONICS (4.2%)
Cisco Systems, Inc.+(s).......................... 1,192,600 67,903,663
--------------
INFORMATION PROCESSING (0.5%)
DoubleClick, Inc.+............................... 29,600 1,250,600
Exodus Communications, Inc.+..................... 19,200 1,354,800
Yahoo, Inc.+..................................... 43,600 4,929,525
--------------
7,534,925
--------------
SEMICONDUCTORS (7.3%)
Advanced Micro Devices, Inc.+.................... 30,900 2,516,419
Altera Corp.+.................................... 32,500 2,790,938
Applied Materials, Inc.+......................... 183,900 15,355,650
Intel Corp.(s)................................... 570,400 71,121,750
Lattice Semiconductor Corp.+..................... 11,900 705,819
National Semiconductor Corp.+.................... 37,800 2,031,750
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
------------------------------------------------- ------------- ---------------
<S> <C> <C>
SEMICONDUCTORS (CONTINUED)
Texas Instruments, Inc........................... 337,400 $ 24,377,150
Xilinx, Inc.+.................................... 7,700 586,163
--------------
119,485,639
--------------
TELECOMMUNICATION SERVICES (1.6%)
Allegiance Telecom, Inc.+........................ 20,000 1,057,500
Sprint Corp. (PCS Group)+........................ 48,800 2,708,400
WorldCom, Inc.+.................................. 572,900 21,555,363
--------------
25,321,263
--------------
TELECOMMUNICATIONS-EQUIPMENT (4.3%)
JDS Uniphase Corp.+.............................. 1,100 96,800
Lucent Technologies, Inc......................... 177,600 10,189,800
Motorola, Inc.................................... 147,900 13,865,625
Nortel Networks Corp.(i)......................... 649,500 35,275,969
QualComm, Inc.+.................................. 61,400 4,075,425
Tellabs, Inc.+................................... 98,400 6,389,850
--------------
69,893,469
--------------
TOTAL TECHNOLOGY............................... 476,009,200
--------------
TRANSPORTATION (0.5%)
AIRLINES (0.1%)
Northwest Airlines Corp.+........................ 14,400 409,500
Southwest Airlines Co............................ 45,400 871,113
--------------
1,280,613
--------------
RAILROADS (0.4%)
Burlington Northern Railroad Co.................. 84,700 2,001,038
CSX Corp......................................... 39,300 854,775
Norfolk Southern Corp............................ 69,800 1,243,313
Union Pacific Resources Group, Inc............... 62,100 2,627,606
--------------
6,726,732
--------------
TOTAL TRANSPORTATION........................... 8,007,345
--------------
UTILITIES (6.4%)
ELECTRIC (1.8%)
Allegheny Energy, Inc............................ 10,900 337,219
Carolina Power & Light Co........................ 93,600 3,217,500
Central & South West Corp........................ 142,000 2,955,375
Cinergy Corp..................................... 41,000 1,091,625
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
23
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
MAY 31, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
------------------------------------------------- ------------- ---------------
<S> <C> <C>
ELECTRIC (CONTINUED)
CMS Energy Corp.................................. 40,800 $ 928,200
Dominion Resources, Inc.......................... 65,700 3,005,775
DTE Energy Co.................................... 49,200 1,700,475
Edison International............................. 76,900 1,643,738
Entergy Corp..................................... 65,000 1,885,000
FPL Group, Inc................................... 48,200 2,385,900
GPU, Inc......................................... 41,000 1,158,250
NiSource, Inc.................................... 40,600 733,338
PG&E Corp........................................ 106,100 2,751,969
Pinnacle West Capital Corp....................... 27,600 986,700
PPL Corp......................................... 53,100 1,254,488
TXU Corp......................................... 84,900 3,035,175
USEC, Inc........................................ 6,600 30,525
Wisconsin Energy Corp............................ 38,900 821,763
--------------
29,923,015
--------------
GAS-PIPELINES (0.0%)
Enron Corp....................................... 2,800 204,050
--------------
NATURAL GAS (0.4%)
Columbia Energy Group............................ 25,600 1,656,000
El Paso Energy Corp.............................. 45,000 2,317,500
Williams Companies, Inc.......................... 73,600 3,059,000
--------------
7,032,500
--------------
TELEPHONE (4.2%)
Global Crossing, Ltd.(i)+........................ 209,400 5,248,088
ALLTEL Corp...................................... 52,200 3,415,838
AT&T Corp........................................ 334,200 11,592,563
Bell Atlantic Corp............................... 147,900 7,820,213
GTE Corp......................................... 204,700 12,947,275
Level 3 Communications, Inc.+.................... 7,200 549,450
SBC Communications, Inc.......................... 632,100 27,614,869
--------------
69,188,296
--------------
TOTAL UTILITIES................................ 106,347,861
--------------
TOTAL COMMON STOCKS
(COST $1,428,543,392)......................... 1,587,314,256
--------------
<CAPTION>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
------------------------------------------------- ------------- ---------------
<S> <C> <C>
FIXED INCOME SECURITIES (0.2%)
U.S. TREASURY OBLIGATIONS (0.2%)
US Treasury Note, 5.38%
due 07/31/00(s) (cost $3,838,665).............. $ 3,840,000 $ 3,838,195
--------------
SHORT-TERM INVESTMENTS (2.3%)
OTHER INVESTMENT COMPANIES (2.3%)
J.P. Morgan Institutional
Prime Money Market
Fund (cost $36,831,844)*....................... 36,831,844 36,831,844
--------------
TOTAL INVESTMENTS
(COST $1,469,213,901) (99.7%)................................. 1,627,984,295
OTHER ASSETS IN EXCESS OF LIABILITIES (0.3%)....................
4,850,997
--------------
NET ASSETS (100.0%)............................................. $1,632,835,292
==============
</TABLE>
------------------------------
Note: Based on the cost of investments of $1,472,709,539 for federal income tax
purposes at May 31, 2000 the aggregate gross unrealized appreciation and
depreciation was $266,871,008 and $111,596,253, respectively, resulting in net
unrealized appreciation of $155,274,755.
+ - Non-income producing security.
(i) - Foreign security.
(s) - Security is fully or partially segregated with custodian as collateral for
futures contracts or with brokers as initial margin for futures contracts. Total
market value of securities segregated is $79,679,018.
* - Money market mutual fund registered under the Investment Company Act of
1940, as amended, and advised by J.P. Morgan Investment Management, Inc.
ADR - American Depository Receipt.
The Accompanying Notes are an Integral Part of the Financial Statements.
24
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
MAY 31, 2000
--------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments at Value (Cost $1,469,213,901 ) $1,627,984,295
Cash 1,349,989
Receivable for Investments Sold 12,378,250
Dividends Receivable 2,058,185
Interest Receivable 305,700
Deferred Organization Expenses 2,749
Prepaid Expenses and Other Assets 10,049
--------------
Total Assets 1,644,089,217
--------------
LIABILITIES
Payable for Investments Purchased 10,426,909
Advisory Fee Payable 477,746
Variation Margin Payable 150,466
Custody Fee Payable 130,279
Administrative Services Fee Payable 33,271
Administration Fee Payable 2,075
Fund Services Fee Payable 888
Accrued Trustees' Fees and Expenses 5,018
Accrued Expenses 27,273
--------------
Total Liabilities 11,253,925
--------------
NET ASSETS
Applicable to Investors' Beneficial Interests $1,632,835,292
==============
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
25
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE FISCAL YEAR ENDED MAY 31, 2000
--------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Dividend Income (Net of Foreign Withholding Tax
of $144,421) $19,379,620
Interest Income 2,212,424
-----------
Investment Income 21,592,044
EXPENSES
Advisory Fee $ 5,016,217
Administrative Services Fee 359,899
Custodian Fees and Expenses 328,573
Professional Fees and Expenses 47,786
Fund Services Fee 24,487
Trustees' Fees and Expenses 20,190
Administration Fee 13,826
Printing Expenses 8,995
Amortization of Organization Expense 1,737
Miscellaneous 1,186
-----------
Total Expenses 5,822,896
-----------
NET INVESTMENT INCOME 15,769,148
NET REALIZED GAIN ON
Investments 29,397,119
Futures Contracts (3,704,983)
-----------
Net Realized Gain 25,692,136
NET CHANGE IN UNREALIZED APPRECIATION OF
Investments 25,636,155
Futures Contracts 296,765
-----------
Net Change in Unrealized Appreciation 25,932,920
-----------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $67,394,204
===========
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
26
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE FISCAL FOR THE FISCAL
YEAR ENDED YEAR ENDED
MAY 31, 2000 MAY 31, 1999
-------------- --------------
<S> <C> <C>
INCREASE IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 15,769,148 $ 7,760,571
Net Realized Gain on Investments and Futures
Contracts 25,692,136 34,862,292
Net Change in Unrealized Appreciation of
Investments and Futures Contracts 25,932,920 97,213,895
-------------- --------------
Net Increase in Net Assets Resulting from
Operations 67,394,204 139,836,758
-------------- --------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS
Contributions 923,551,550 796,144,084
Withdrawals (486,793,918) (121,433,323)
-------------- --------------
Net Increase from Investors' Transactions 436,757,632 674,710,761
-------------- --------------
Total Increase in Net Assets 504,151,836 814,547,519
NET ASSETS
Beginning of Fiscal Year 1,128,683,456 314,135,937
-------------- --------------
End of Fiscal Year $1,632,835,292 $1,128,683,456
============== ==============
</TABLE>
--------------------------------------------------------------------------------
SUPPLEMENTARY DATA
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE PERIOD
DECEMBER 30, 1996
FOR THE FISCAL YEAR ENDED MAY 31, (COMMENCEMENT OF
---------------------------------- OPERATIONS) THROUGH
2000 1999 1998 MAY 31, 1997
---------- ---------- ---------- -------------------
<S> <C> <C> <C> <C>
RATIOS TO AVERAGE NET ASSETS
Net Expenses 0.40% 0.42% 0.45% 0.45%(a)
Net Investment Income 1.09% 1.18% 1.27% 1.54%(a)
Expenses without Reimbursement 0.40% 0.42% 0.51% 0.78%(a)
Portfolio Turnover 56.05% 50.64% 60.59% 20.47%(b)
</TABLE>
------------------------
(a) Annualized.
(b) Not Annualized.
The Accompanying Notes are an Integral Part of the Financial Statements.
27
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
MAY 31, 2000
--------------------------------------------------------------------------------
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
The Disciplined 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, 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 December 30, 1996. The portfolio's
investment objective is to provide a high total return from a broadly
diversified portfolio of equity securities. The Declaration of Trust permits the
trustees to issue an unlimited number of beneficial interests in the portfolio.
The preparation of financial statements in accordance with accounting principles
generally accepted in the United States 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 portoflio's Trustees.
All short-term securities with a remaining maturity of sixty days or less
are valued using the amortized cost method.
b) 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.
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.
28
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
MAY 31, 2000
--------------------------------------------------------------------------------
d) The portfolio incurred organization expenses in the amount of $9,049 which
are being deferred and amortized on a straight-line basis over a period
not to exceed five years beginning with the commencement of operations of
the portfolio.
e) Expenses incurred by the series portfolio with respect to any two or more
portfolios in the series portfolio are allocated in proportion to the net
assets of each portfolio in the series portfolio, except where allocations
of direct expenses to each portfolio can otherwise be made fairly.
Expenses directly attributable to a portfolio are charged to that
portfolio.
f) Futures -- A futures contract is an agreement to purchase/sell a specified
quantity of an underlying instrument at a specified future date or to
make/receive a cash payment based on the value of a securities index. The
price at which the purchase and sale will take place is fixed when the
portfolio enters into the contract. Upon entering into such a contract,
the portfolio is required to pledge to the broker an amount of cash and/or
liquid securities equal to the minimum "initial margin" requirements of
the exchange. Pursuant to the contract, the portfolio agrees to receive
from, or pay to, the broker an amount of cash equal to the daily
fluctuation in value of the contract. Such receipts or payments are known
as "variation margin" and are recorded by the portfolio as unrealized
gains or losses. When the contract is closed, the portfolio records a
realized gain or loss equal to the difference between the value of the
contract at the time it was opened and the value at the time when it was
closed. The portfolio invests in futures contracts for the purpose of
hedging its existing portfolio securities, or securities the portfolio
intends to purchase, against fluctuations in value caused by changes in
prevailing market interest rates or securities movements. The use of
futures transactions involves the risk of imperfect correlation in
movements in the price of futures contracts, interest rates and the
underlying hedged assets.
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.
2. TRANSACTIONS WITH AFFILIATES
a) Prior to October 1, 1998, the portfolio had an Investment Advisory
Agreement with Morgan Guaranty Trust Company of New York ("Morgan"). Under
the terms of the agreement, the portfolio paid Morgan at an annual rate of
0.35% of the portfolio's average daily net assets. Effective October 1,
1998, the portfolio's Investment Advisor is J.P. Morgan Investment
Management Inc. ("JPMIM"), an affiliate of Morgan and a wholly owned
subsidiary of J.P. Morgan, and the terms of the agreement will remain the
same. For the fiscal year ended May 31, 2000, such fees amounted to
$5,067,613.
The fund 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 fund in an
amount to offset any doubling of investment advisory and shareholder
servicing fees. For the fiscal year ended May 31, 2000, J.P.
29
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
MAY 31, 2000
--------------------------------------------------------------------------------
Morgan has agreed to reimburse the fund $51,396 under this agreement.
Interest income included in the Statement of Operations for the year ended
May 31, 2000 includes $1,209,254 of interest income from investment in
affiliated Money Market Funds.
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 fiscal year ended May 31, 2000, the fee for
these services amounted to $13,826.
c) The portfolio has an Administrative Services Agreement (the "Services
Agreement") with Morgan, under which Morgan is responsible for certain
aspects of the administration and operation of the portfolio. Under the
Services Agreement, the portfolio has agreed to pay Morgan a fee equal to
its allocable share of an annual complex-wide charge. This charge is
calculated based on the aggregate average daily net assets of the
portfolio and other portfolios for which JPMIM acts as investment advisor
(the "master portfolios") and J.P. Morgan Series Trust in accordance with
the following annual schedule: 0.09 % on the first $7 billion of their
aggregate average daily net assets and 0.04% of their aggregate average
daily net assets in excess of $7 billion, less the complex-wide fees
payable to FDI. The portion of this charge payable by the portfolio is
determined by the proportionate share that its net assets bear to the net
assets of the master portfolios, other investors in the master portfolios
for which Morgan provides similar services, and J.P. Morgan Series Trust.
For the fiscal year ended May 31, 2000, the fee for these services
amounted to $359,899.
In addition, J.P. Morgan has agreed to reimburse the portfolio to the
extent necessary to maintain the total operating expenses of the portfolio
at no more than 0.45% of the average daily net assets of the portfolio
through September 30, 2000. This arrangement can be changed or terminated
at any time at the option of J.P. Morgan. For the fiscal year ended May
31, 2000, J.P. Morgan did not reimburse 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 $24,487 for the fiscal year 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
30
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
MAY 31, 2000
--------------------------------------------------------------------------------
as Chairman of Group and received compensation and employee benefits from
Group in his role as Group's Chairman. The allocated portion of such
compensation and benefits included in the Fund Services Fee shown in the
financial statements was $4,700.
3. INVESTMENT TRANSACTIONS
Investment transactions (excluding short-term investments) for the fiscal year
ended May 31, 2000, were as follows:
<TABLE>
<CAPTION>
COST OF PROCEEDS
PURCHASES FROM SALES
-------------- ------------
<S> <C>
$1,239,716,804 $799,827,350
</TABLE>
Futures Transactions as of May 31, 2000 are summarized as follows:
SUMMARY OF OPEN CONTRACTS AT MAY 31, 2000
<TABLE>
<CAPTION>
NET UNREALIZED
APPRECIATION/ MARKET VALUE
CONTRACTS LONG (DEPRECIATION) OF CONTRACTS
-------------- -------------- ------------
<S> <C> <C> <C>
S & P 500, expiring June 2000.................... 126 $ (410,793) $44,799,300
</TABLE>
4. CREDIT AGREEMENT
The portfolio is party to a revolving line of credit agreement (the "Agreement")
as discussed more fully in Note 4 of the fund's Notes to the Financial
Statements which are included elsewhere in the report.
31
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
To the Trustees and Investors of
The Disciplined Equity Portfolio
In our opinion, the accompanying statement of assets and liabilities, including
the schedule of investments, and the related statements of operations and of
changes in net assets and the supplementary data present fairly, in all material
respects, the financial position of The Disciplined Equity Portfolio (the
"portfolio") at May 31, 2000, the results of its operations for the year then
ended, the changes in its net assets for each of the two years in the period
then ended and the supplementary data for each of the three years in the period
then ended, and for the period December 30, 1996 (commencement of operations)
through May 31, 1997, in conformity with accounting principles generally
accepted in the United States. These financial statements and supplementary data
(hereafter referred to as "financial statements") are the responsibility of the
portfolio's management; our responsibility is to express an opinion on these
financial statements based on our audits. We conducted our audits of these
financial statements in accordance with auditing standards generally accepted in
the United States, which require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements, assessing the
accounting principles used and significant estimates made by management, and
evaluating the overall financial statement presentation. We believe that our
audits, which included confirmation of securities at May 31, 2000 by
correspondence with the custodian and brokers, provide a reasonable basis for
the opinion expressed above.
PricewaterhouseCoopers LLP
New York, New York
July 14, 2000
32
