<PAGE>
THE INTERNATIONAL OPPORTUNITIES PORTFOLIO
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ -------------
<S> <C> <C>
COMMON STOCK (85.2%)
AUSTRALIA (0.5%)
North Ltd. (Metals & Mining)(s).................. 1,052,500 $ 2,067,379
------------
AUSTRIA (0.5%)
Bank Austria AG (Banking)(s)+.................... 42,732 2,259,320
------------
CANADA (0.5%)
Royal Bank of Canada (Banking)(s)................ 47,900 2,162,351
------------
CHILE (0.5%)
Enersis SA (Spon. ADR) (Electric)(s)............. 88,300 2,041,938
------------
CHINA (0.5%)
Huaneng Power International, Inc. (Spon. ADR)
(Energy Source)(s)............................. 135,000 1,434,375
Huaneng Power International, Inc., H Shares
(Energy Source)(s)............................. 3,000,000 791,869
------------
2,226,244
------------
FINLAND (1.3%)
Sampo Insurance Co. Ltd., A Shares
(Insurance)(s)................................. 56,000 1,832,542
Stora Enso OYJ, R Shares (Forest Products &
Paper)(s)...................................... 276,664 3,986,731
------------
5,819,273
------------
FRANCE (12.3%)
Axa (Insurance)(s)............................... 8,400 1,132,511
Banque Nationale de Paris (Financial
Services)(s)................................... 92,310 8,458,097
Carrefour SA (Retail)(s)......................... 25,370 4,419,255
Christian Dior SA (Retail)(s).................... 23,100 4,151,765
Coflexip SA (Oil-Services)(s)+................... 36,700 3,030,138
Compagnie de Saint-Gobain SA (Building
Materials)(s).................................. 8,935 1,520,421
Groupe Danone (Food, Beverages & Tobacco)(s)..... 8,009 1,857,183
Rhodia SA (Chemicals)(s)......................... 198,800 3,623,076
Sanofi-Synthelabo SA (Pharmaceuticals)(s)+....... 29,452 1,212,888
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ -------------
<S> <C> <C>
FRANCE (CONTINUED)
STMicroelectronics NV (Electronics)(s)........... 45,718 $ 6,214,462
Total Fina SA (Oil-Services)(s)+................. 13,050 131
Total Fina SA, B Shares (Oil-Services)(s)+....... 101,246 13,466,763
Total Fina SA, B Shares (Oil-Services)(s)........ 13,050 1,747,611
Vivendi (Utilities)(s)........................... 38,979 3,120,185
------------
53,954,486
------------
GERMANY (6.1%)
BASF AG (Chemicals)(s)........................... 26,700 1,235,320
Celanese AG (Chemicals)(s)+...................... 10,170 156,673
Entrium Direct Bankers AG (Banking)(s)+.......... 25,136 368,249
Hoechst AG (Holding Companies)(s)................ 110,700 5,038,121
Mannesmann AG (Diversified Manufacturing)(s)..... 25,000 5,195,558
Merck KGaA (Pharmaceuticals)(s).................. 36,900 1,077,474
Schering AG (Pharmaceuticals)(s)................. 62,580 7,403,822
Stinnes AG (Transport & Services)(s)+............ 38,100 740,397
VEBA AG (Utilities)(s)........................... 63,800 3,115,623
Volkswagen AG (Automotive)(s).................... 34,520 1,619,717
WWL Internet AG (Computer Software)(s)+.......... 37,647 940,080
------------
26,891,034
------------
HONG KONG (2.0%)
Guoco Group Ltd. (Financial Services)(s)......... 380,000 1,144,927
Hongkong Electric Holdings Ltd. (Electric)(s).... 1,597,100 5,038,213
I-CABLE Communications Ltd. (Telecommunication
Services)(s)+.................................. 2,000 3,077
The Wharf (Holdings) Ltd. (Real Estate)(s)....... 960,000 2,435,094
------------
8,621,311
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
18
<PAGE>
THE INTERNATIONAL OPPORTUNITIES PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ -------------
<S> <C> <C>
INDIA (0.8%)
ICICI Ltd. (GDR) (Financial Services)(s)......... 94,569 $ 1,146,649
ICICI Ltd. (Spon. ADR) (Financial
Services)(s)+.................................. 28,431 316,295
Reliance Industries (GDR) (Diversified
Manufacturing)(s).............................. 139,700 1,882,458
------------
3,345,402
------------
IRELAND (0.3%)
Eircom PLC (Telecommunication Services)(s)....... 171,200 682,624
Greencore Group PLC (Food, Beverages &
Tobacco)(s).................................... 277,000 753,054
------------
1,435,678
------------
ITALY (2.6%)
Bayerische Vita SPA (Insurance)(s)............... 139,300 904,677
Mediaset SPA (Broadcasting & Publishing)(s)...... 198,000 2,252,818
Telecom Italia SPA - RNC (Telecommunication
Services)(s)................................... 1,040,000 5,602,342
UniCredito Italiano SPA (Financial
Services)(s)................................... 550,000 2,564,048
------------
11,323,885
------------
JAPAN (20.7%)
Asahi Breweries Ltd. (Food, Beverages &
Tobacco)(s).................................... 119,000 1,403,288
Daicel Chemical Industries Ltd. (Chemicals)(s)... 844,000 2,494,377
Fujitsu Ltd. (Computer Systems)(s)............... 280,000 9,919,261
Honda Motor Co. Ltd. (Automotive)(s)............. 37,000 1,520,771
Ito - Yokado Co. Ltd. (Retail)(s)................ 42,000 4,521,210
Mitsubishi Chemical Corp. (Chemicals)(s)......... 1,310,000 5,409,990
Mitsubishi Corp. (Wholesale & International
Trade)(s)...................................... 697,000 6,077,475
Mitsui Trust & Banking Co. Ltd. (Banking)(s)..... 1,062,000 3,273,767
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ -------------
<S> <C> <C>
JAPAN (CONTINUED)
Nippon Yusen Kabushiki Kaisha
(Transportation)(s)............................ 295,000 $ 1,192,298
Rohm Co. Ltd. (Electronics)(s)................... 33,000 8,939,078
Softbank Corp. (Computer Software)(s)............ 14,900 10,746,486
Sony Corp. (Electronics)(s)...................... 39,300 7,268,873
Suzuki Motor Corp. (Automotive)(s)............... 124,000 1,819,014
Taiheiyo Cement Corp. (Building Materials)(s).... 724,000 1,424,122
Takeda Chemical Industries (Chemicals)(s)........ 86,100 5,072,387
The Fuji Bank Ltd. (Banking)(s).................. 542,000 6,481,615
Toppan Forms Co., Ltd. (Broadcasting &
Publishing)(s)................................. 46,000 1,267,211
Tostem Corp. (Construction & Housing)(s)......... 173,000 3,106,668
West Japan Railway Co. (Railroads)(s)............ 709 2,865,557
Yamanouchi Pharmaceutical Co. Ltd.
(Pharmaceuticals)(s)........................... 136,000 5,922,590
------------
90,726,038
------------
MEXICO (1.4%)
Consorcio Ara SA de CV (Construction &
Housing)(s)+................................... 1,350,000 1,802,481
Grupo Televisa SA de CV (Spon. GDR) (Broadcasting
& Publishing)(s)+.............................. 85,100 4,153,944
------------
5,956,425
------------
NETHERLANDS (6.5%)
Akzo Nobel NV (Chemicals)(s)..................... 53,100 2,272,302
ING Groep NV (Financial Services)(s)............. 79,572 4,474,721
Koninklijke (Royal) Philips Electronics NV
(Electronics)(s)............................... 86,248 10,494,898
Laurus NV (Retail)(s)............................ 158,764 2,965,367
Unilever NV (Food, Beverages & Tobacco)(s)....... 4,375 240,962
Vedior NV (Business & Public Services)(s)........ 72,207 796,115
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
19
<PAGE>
THE INTERNATIONAL OPPORTUNITIES PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ -------------
<S> <C> <C>
NETHERLANDS (CONTINUED)
Vendex NV (Retail)(s)............................ 85,442 $ 2,254,007
Wolters Kluwer NV (Broadcasting &
Publishing)(s)................................. 161,116 4,858,677
------------
28,357,049
------------
NEW ZEALAND (0.1%)
Fletcher Challenge Paper (Forest Products &
Paper)(s)...................................... 1,080,000 644,053
------------
NORWAY (0.8%)
Sparebanken NOR (Banking)(s)+.................... 99,760 2,314,091
Stolt - Nielsen SA (Spon. ADR)
(Transportation)(s)............................ 81,910 1,233,769
------------
3,547,860
------------
PHILIPPINES (0.7%)
ABS- CBN Broadcasting Corporation (Broadcasting &
Publishing)(s)+................................ 1,700,000 1,845,119
First Philippine Holdings Corp., Class B (Multi -
Industry)(s)................................... 1,491,920 1,219,006
------------
3,064,125
------------
PORTUGAL (1.0%)
Banco Pinto & Sotto Mayor SA (Banking)(s)........ 117,519 2,520,404
Portugal Telecom SA (Telecommunication
Services)(s)................................... 219,450 2,110,190
------------
4,630,594
------------
RUSSIA (1.0%)
Surgutneftegaz (Spon. ADR) (Oil-Production)(s)... 464,500 4,296,625
------------
SINGAPORE (2.6%)
Chartered Semiconductor Manufacturing Ltd.
(Semiconductors)(s)+........................... 30,500 1,633,656
DBS Group Holdings Ltd. (Financial
Services)(s)................................... 355,414 4,611,983
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ -------------
<S> <C> <C>
SINGAPORE (CONTINUED)
Neptune Orient Lines Ltd. (Transport &
Services)(s)+.................................. 1,427,000 $ 2,123,541
Overseas Union Bank Ltd. (Banking)(s)............ 638,378 2,963,938
------------
11,333,118
------------
SOUTH AFRICA (0.5%)
South African Breweries PLC (Food, Beverages &
Tobacco)(s).................................... 216,308 2,031,723
------------
SOUTH KOREA (0.4%)
Housing & Commercial Bank (GDR) (Banking)(s)+.... 54,700 1,515,190
Samsung Electronics (GDR) (144A)
(Electronics)(s)............................... 454 47,420
------------
1,562,610
------------
SPAIN (4.5%)
Acerinox SA (Metals & Mining)(s)................. 46,500 1,430,364
Actividades de Construccion y Servicios SA
(Construction & Housing)(s).................... 97,800 2,362,390
Banco Bilbao Vizcaya SA (Banking)(s)............. 159,000 2,217,325
Banco Santander Central Hispano SA
(Banking)(s)+.................................. 400,000 4,394,073
Iberdrola SA (Electric)(s)....................... 566,600 7,895,783
Indra Sistemas SA (Electronics)(s)+.............. 116,364 1,570,023
------------
19,869,958
------------
SWEDEN (0.4%)
ForeningsSparbanken AB (Banking)(s).............. 120,000 1,849,186
------------
SWITZERLAND (7.1%)
ABB Ltd. (Electrical Equipment)(s)+.............. 36,633 3,602,524
Barry Callebaut AG (Food, Beverages &
Tobacco)(s).................................... 3,200 478,225
Nestle SA (Food, Beverages & Tobacco)(s)......... 2,980 5,361,023
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
20
<PAGE>
THE INTERNATIONAL OPPORTUNITIES PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ -------------
<S> <C> <C>
SWITZERLAND (CONTINUED)
Roche Holding AG (Pharmaceuticals)(s)............ 467 $ 5,636,115
Schweizerische Rueckversicherungs-Gesellschaft
(Insurance)(s)................................. 2,930 5,976,461
Swisscom AG (Telecommunication Services)(s)...... 16,300 5,532,776
UBS AG (Banking)(s).............................. 16,575 4,532,153
------------
31,119,277
------------
UNITED KINGDOM (9.3%)
Allied Zurich PLC (Insurance)(s)................. 494,700 5,988,103
Anglian Water PLC (Pollution Control)(s)......... 145,000 1,532,296
British Airways PLC (Airlines)(s)................ 460,000 2,734,585
British American Tobacco PLC (Food, Beverages &
Tobacco)(s).................................... 222,000 1,394,870
Cable & Wireless PLC (Telecommunications)(s)..... 404,700 5,133,963
Glaxo Wellcome PLC (Pharmaceuticals)(s).......... 141,100 4,215,932
Lloyds TSB Group PLC (Banking)(s)................ 107,400 1,375,289
National Power PLC (Electric)(s)................. 176,000 1,128,969
Norwich Union PLC (Insurance)(s)................. 280,000 1,988,963
PIC International Group PLC (Food, Beverages &
Tobacco)(s)+................................... 1,103,600 492,157
Railtrack Group PLC (Transportation)(s).......... 132,700 2,039,539
Royal & Sun Alliance Insurance Group PLC
(Insurance)(s)................................. 271,818 1,658,100
Shell Transport & Trading Co.
(Oil-Services)(s).............................. 562,700 4,328,703
Tate & Lyle PLC (Food, Beverages & Tobacco)(s)... 227,300 1,534,062
Tesco PLC (Retail)(s)............................ 806,200 2,182,858
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ -------------
<S> <C> <C>
UNITED KINGDOM (CONTINUED)
Unilever PLC (Food, Beverages & Tobacco)(s)...... 242,857 $ 1,783,139
Woolwich PLC (Financial Services)(s)............. 188,374 1,091,334
------------
40,602,862
------------
VENEZUELA (0.3%)
Compania Anonima Nacional Telefonos de Venezuela
(ADR) (Telecommunication Services)(s).......... 63,600 1,522,425
------------
TOTAL COMMON STOCK
(COST $304,316,369)........................... 373,262,229
------------
</TABLE>
<TABLE>
<CAPTION>
CONVERTIBLE PREFERRED STOCKS (1.0%)
<S> <C> <C>
AUSTRALIA (1.0%)
National Australia Bank (Banking) (COST
$4,823,074).................................... 170,000 4,547,500
------------
</TABLE>
<TABLE>
<CAPTION>
PREFERRED STOCK (3.7%)
<S> <C> <C>
AUSTRALIA (2.1%)
News Corp. Ltd. (Broadcasting & Publishing)(s)... 1,209,800 9,397,759
------------
BRAZIL (1.4%)
Embratel Participacoes SA (ADR)
(Telecommunication Services)(s)................ 274,331 5,109,415
Tele Norte Leste Participacoes SA (ADR)
(Telecommunication Services)(s)................ 45,716 814,317
------------
5,923,732
------------
GERMANY (0.2%)
ProSieben Media AG (Broadcasting &
Publishing)(s)................................. 95 4,421
Volkswagen AG (Automotive)(s).................... 31,300 819,408
------------
823,829
------------
TOTAL PREFERRED STOCK (COST $13,238,186)....... 16,145,320
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
21
<PAGE>
THE INTERNATIONAL OPPORTUNITIES PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- ------------------------------------------------- ------------ -------------
<S> <C> <C>
CONVERTIBLE BONDS (2.3%)
CHINA (0.9%)
Huaneng Power International, 1.75% due 05/21/04
(Energy Source)................................ $ 3,800,000 $ 3,857,000
------------
NETHERLANDS (1.4%)
Telefonica Europe BV, 2.00% due 07/15/02
(Telecommunications Services).................. 2,938,000 6,243,250
------------
TOTAL CONVERTIBLE BONDS (COST $8,387,481)...... 10,100,250
------------
</TABLE>
<TABLE>
<CAPTION>
SHORT-TERM INVESTMENTS (3.2%)
<S> <C> <C>
REPURCHASE AGREEMENT (2.8%)
State Street Bank and Trust Co. Repurchase
Agreement, 4.50% dated 11/30/99 due 12/01/99,
proceeds $12,520,565 (collateralized by
$12,725,000, U.S. Treasury Note, 5.75% due
10/31/00, valued at $12,772,719)............... 12,519,000 12,519,000
------------
<CAPTION>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
- ------------------------------------------------- ------------ -------------
<S> <C> <C>
U.S. TREASURY OBLIGATIONS (0.4%)
United States Treasury Bills, 5.30%(y) due
03/02/00(s).................................... $ 1,580,000 $ 1,559,246
------------
TOTAL SHORT-TERM INVESTMENTS
(COST $14,079,801)............................ 14,078,246
------------
TOTAL INVESTMENTS
(COST $344,844,911) (95.4%).................................. 418,133,545
OTHER ASSETS IN EXCESS OF
LIABILITIES (4.6%)........................................... 20,258,823
------------
NET ASSETS (100.0%)............................................ $438,392,368
============
</TABLE>
- ------------------------------
Note: Based on the cost of investments of $346,219,497 for federal income tax
purposes at November 30, 1999, the aggregate gross unrealized appreciation and
depreciation was $89,466,610 and $17,552,562, respectively, resulting in net
unrealized appreciation of $71,914,048.
+ - 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.
$155,437,924 of the market value has been segregated.
(y) Yield to maturity.
144A - Securities restricted for resale to Qualified Institutional Buyers.
ADR - American Depositary Receipt.
GDR - Global Depositary Receipt.
Spon. ADR - Sponsored ADR.
Spon. GDR - Sponsored GDR.
The Accompanying Notes are an Integral Part of the Financial Statements.
22
<PAGE>
THE INTERNATIONAL OPPORTUNITIES PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
INDUSTRY DIVERSIFICATION
<TABLE>
<CAPTION>
PERCENT OF
TOTAL INVESTMENT
----------------
<S> <C>
Banking........................................... 10.2%
Electronics....................................... 8.2%
Telecommunication Services........................ 6.6%
Pharmaceuticals................................... 6.1%
Financial Services................................ 5.7%
Broadcasting & Publishing......................... 5.6%
Oil Services...................................... 5.4%
Retail............................................ 4.9%
Chemicals......................................... 4.8%
Insurance......................................... 4.7%
Food, Beverages and Tobacco....................... 4.1%
Electric.......................................... 3.9%
Short Term Investments............................ 3.0%
Computer Software................................. 2.8%
Computer Systems.................................. 2.4%
Construction & Housing............................ 1.7%
Diversified Manufacturing......................... 1.7%
Utilities......................................... 1.5%
Energy Source..................................... 1.5%
Wholesale & International Trade................... 1.4%
Automotive........................................ 1.4%
Telecommunications................................ 1.2%
Holding Companies................................. 1.2%
Forest Products & Paper........................... 1.1%
Transportation.................................... 1.1%
Oil Production.................................... 1.0%
Electrical Equipment.............................. 0.9%
Metals & Mining................................... 0.8%
Building Materials................................ 0.7%
Railroads......................................... 0.7%
Transport & Services.............................. 0.7%
Airlines.......................................... 0.7%
Real Estate....................................... 0.6%
Semiconductors.................................... 0.4%
Government Obligations............................ 0.4%
Pollution Control................................. 0.4%
Multi-Industry.................................... 0.3%
Business & Public Services........................ 0.2%
-----
100.0%
=====
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
23
<PAGE>
THE INTERNATIONAL OPPORTUNITIES PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments at Value (Cost $344,844,911) $418,133,545
Cash 4,588,989
Foreign Currency at Value (Cost $16,922,459) 16,793,825
Receivable for Investments Sold 3,291,277
Unrealized Appreciation of Forward Foreign
Currency Contracts 1,255,249
Foreign Tax Reclaim Receivable 1,072,112
Dividends Receivable 465,031
Interest Receivable 25,603
Deferred Organization Expenses 5,750
Prepaid Expenses and Other Assets 2,208
------------
Total Assets 445,633,589
------------
LIABILITIES
Payable for Investments Purchased 5,918,539
Unrealized Depreciation of Forward Foreign
Currency Contracts 642,156
Variation Margin Payable 259,739
Advisory Fee Payable 212,807
Custody Fee Payable 93,275
Foreign Withholding Tax Payable 48,992
Administrative Services Fee Payable 8,855
Administration Fee Payable 378
Fund Services Fee Payable 235
Accrued Trustees' Fees and Expenses 99
Accrued Expenses 56,146
------------
Total Liabilities 7,241,221
------------
NET ASSETS
Applicable to Investors' Beneficial Interests $438,392,368
============
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
24
<PAGE>
THE INTERNATIONAL OPPORTUNITIES PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE FISCAL YEAR ENDED NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Dividend Income (Net of Foreign Withholding Tax
of $930,345) $ 6,636,197
Interest Income (Net of Foreign Withholding Tax
of $1,504) 643,427
------------
Investment Income 7,279,624
EXPENSES
Advisory Fee $ 2,133,208
Custodian Fees and Expenses 494,799
Administrative Services Fee 91,386
Professional Fees and Expenses 51,752
Fund Services Fee 6,949
Administration Fee 4,338
Trustees' Fees and Expenses 3,088
Amortization of Organization Expenses 2,147
Miscellaneous 9,795
-----------
Total Expenses 2,797,462
------------
NET INVESTMENT INCOME 4,482,162
NET REALIZED GAIN ON
Investment Transactions 27,460,443
Futures Contracts 2,846,712
Foreign Currency Contracts and Transactions 4,037,689
-----------
Net Realized Gain 34,344,844
NET CHANGE IN UNREALIZED APPRECIATION OF
Investments 60,321,714
Futures Contracts 507,940
Foreign Currency Contracts and Translations 2,335,280
-----------
Net Change in Unrealized Appreciation 63,164,934
------------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $101,991,940
============
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
25
<PAGE>
THE INTERNATIONAL OPPORTUNITIES PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE FISCAL FOR THE FISCAL
YEAR ENDED YEAR ENDED
NOVEMBER 30, 1999 NOVEMBER 30, 1998
----------------- -----------------
<S> <C> <C>
INCREASE IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 4,482,162 $ 4,784,491
Net Realized Gain (Loss) on Investments, Futures
and Foreign Currency Contracts and Transactions 34,344,844 (31,808,619)
Net Change in Unrealized Appreciation of
Investments, Futures and Foreign Currency
Contracts and Translations 63,164,934 21,154,264
---------------- ----------------
Net Increase (Decrease) in Net Assets
Resulting from Operations 101,991,940 (5,869,864)
---------------- ----------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS
Contributions 252,736,681 358,018,439
Withdrawals (296,593,455) (245,865,781)
---------------- ----------------
Net Increase (Decrease) from Investors'
Transactions (43,856,774) 112,152,658
---------------- ----------------
Total Increase in Net Assets 58,135,166 106,282,794
NET ASSETS
Beginning of Fiscal Year 380,257,202 273,974,408
---------------- ----------------
End of Fiscal Year $ 438,392,368 $ 380,257,202
================ ================
</TABLE>
- --------------------------------------------------------------------------------
SUPPLEMENTARY DATA
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE FISCAL YEAR FOR THE PERIOD
ENDED FEBRUARY 26, 1997
NOVEMBER 30, (COMMENCEMENT OF
-------------------- OPERATIONS) THROUGH
1999 1998 NOVEMBER 30, 1997
--------- --------- -------------------
<S> <C> <C> <C>
RATIOS TO AVERAGE NET ASSETS
Net Expenses 0.79% 0.85% 0.89%(a)
Net Investment Income 1.26% 1.07% 1.26%(a)
Expenses without Reimbursement 0.79% 0.85% 0.92%(a)
Portfolio Turnover 80% 143% 72%(b)
</TABLE>
- ------------------------
(a) Annualized.
(b) Not Annualized.
The Accompanying Notes are an Integral Part of the Financial Statements.
26
<PAGE>
THE INTERNATIONAL OPPORTUNITIES PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
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
27
<PAGE>
THE INTERNATIONAL OPPORTUNITIES PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
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.
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.
28
<PAGE>
THE INTERNATIONAL OPPORTUNITIES PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
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) A futures contract is an agreement to purchase/sell a specified quantity
of an underlying instrument at a specified future date or to make/receive
a cash payment based on the value of a securities index. The price at
which the purchase and sale will take place is fixed when the portfolio
enters into the contract. Upon entering into such a contract, the
portfolio is required to pledge to the broker an amount of cash and/or
liquid securities equal to the minimum "initial margin" requirements of
the exchange. Pursuant to the contract, the portfolio agrees to receive
from, or pay to, the broker an amount of cash equal to the daily
fluctuation in the value of the contract. Such receipts or payments are
known as "variation margin" and are recorded by the portfolio as
unrealized gains or losses. When the contract is closed, the portfolio
records a realized gain or loss equal to the difference between the value
of the contract at the time it was opened and the value at the time when
it was closed. The portfolio invests in futures contracts for the purpose
of hedging its existing portfolio securities, or securities the portfolio
intends to purchase, against fluctuations in value caused by changes in
prevailing market interest rates or securities movements. The use of
futures transactions involves the risk of imperfect correlation in
movements in the price of futures contracts, interest rates and the
underlying hedged assets, and the possible inability of counterparties to
meet the terms of their contracts.
h) The portfolio intends to be treated as a partnership for federal income
tax purposes. As such, each investor in the portfolio will be taxed on its
share of the portfolio's ordinary income and capital gains. It is intended
that the portfolio's assets will be managed in such a way that an investor
in the portfolio will be able to satisfy the requirements of Subchapter M
of the Internal Revenue Code. The portfolio earns foreign income which may
be subject to foreign withholding 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 fiscal year ended November
30, 1999, such fees amounted to $2,133,208.
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
29
<PAGE>
THE INTERNATIONAL OPPORTUNITIES PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
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 November 30, 1999, the fee for these services
amounted to $4,338.
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 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 fiscal year ended November
30, 1999, the fee for these services amounted to $91,386.
In addition, J.P. Morgan has agreed to reimburse the portfolio to the
extent necessary to maintain the total operating expenses of the portfolio
at no more than 1.00% of the average daily net assets of the portfolio
through March 30, 1999. This reimbursement arrangement was terminated on
March 30, 1999 at the option of J.P. Morgan. For the fiscal year ended
November 30, 1999, there was no reimbursement to the portfolio.
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 $6,949 for the fiscal year ended November 30,
1999.
e) An aggregate annual fee of $75,000 is paid to each trustee for serving as
a trustee of the J.P. Morgan Funds, the J.P. Morgan Institutional Funds,
the master portfolios and J.P. Morgan Series Trust. The Trustees' Fees and
Expenses shown in the financial statements represents the portfolio's
allocated portion of the total fees and expenses. The portfolio's Chairman
and Chief Executive Officer also serves as Chairman of Group and receives
compensation and employee benefits from Group in his role as Group's
Chairman. The allocated portion of such compensation and benefits included
in the Fund Services Fee shown in the financial statements was $1,300.
3. INVESTMENT TRANSACTIONS
Investment transactions (excluding short-term investments) for the fiscal year
ended November 30, 1999 were as follows:
<TABLE>
<CAPTION>
COST OF PROCEEDS
PURCHASES FROM SALES
- --------- ------------
<S> <C>
$ 269,889,490 $316,981,039
</TABLE>
30
<PAGE>
THE INTERNATIONAL OPPORTUNITIES PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
Open futures contracts at November 30, 1999 are summazed as follows:
<TABLE>
<CAPTION>
NET UNREALIZED
APPRECIATION/ CURRENT MARKET VALUE
CONTRACTS LONG (DEPRECIATION) OF CONTRACTS
-------------- -------------- --------------------
<S> <C> <C> <C>
Australian All Ordinary Index, expiring December
1999............................................ 9 $ (2,607) $ 433,723
CAC 40 Index, expiring December 1999............. 60 (12,805) 3,249,874
DAX Index, expiring December 1999................ 27 156,668 4,010,739
FTSE 100 Index, expiring December 1999........... 95 643,093 10,040,213
Hang Seng Index, expiring December 1999.......... 5 1,170 495,608
IBEX 35 Index, expiring December 1999............ 19 62,717 2,099,817
TOPIX Index, expring December
1999............................................ 57 202,626 9,146,695
------------- ------------- -------------------
Totals........................................... 272 $ 1,050,862 $ 29,476,669
============= ============= ===================
</TABLE>
At November 30, 1999, the portfolio had open forward currency contracts as
follows:
<TABLE>
<CAPTION>
U.S. DOLLAR NET UNREALIZED
CONTRACTUAL VALUE AT APPRECIATION/
VALUE 11/30/99 (DEPRECIATION)
----------- ----------- --------------
<S> <C> <C> <C>
PURCHASE CONTRACTS
Canadian Dollar 19,573,957, expiring 12/17/99.... $13,388,479 $13,298,284 $ (90,195)
British Pound 18,526,035, expiring 12/17/99...... 30,016,809 29,515,566 (501,243)
British Pound 2,241,125 for EUR 3,543,000,
expiring 12/17/99............................... 3,572,599 3,570,546 (2,053)
Japanese Yen 1,907,280,837, expiring 12/17/99.... 18,044,284 18,721,287 677,003
Swedish Krona 22,860,991, expiring 12/17/99...... 2,737,843 2,692,727 (45,116)
</TABLE>
31
<PAGE>
THE INTERNATIONAL OPPORTUNITIES PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
U.S. DOLLAR NET UNREALIZED
SETTLEMENT VALUE AT APPRECIATION/
VALUE 11/30/99 (DEPRECIATION)
----------- ----------- --------------
<S> <C> <C> <C>
SALES CONTRACTS
Australian Dollar 2,240,344, expiring 12/17/99... $ 1,428,668 $ 1,425,049 $ 3,619
Euro 15,194,771, expiring 12/17/99............... 15,696,350 15,321,711 374,639
Hong Kong Dollar 25,000,000, expiring 12/17/99... 3,216,427 3,218,867 (2,440)
Norwegian Krone 21,032,974, expiring 12/17/99.... 2,648,832 2,609,694 39,138
Singapore Dollar 8,503,000, expiring 12/17/99.... 5,094,667 5,070,648 24,019
Swiss Franc 8,916,031, expiring 12/17/99......... 5,752,291 5,616,569 135,722
-------------
NET UNREALIZED APPRECIATION ON FORWARD FOREIGN
CURRENCY CONTRACTS.............................. $ 613,093
=============
</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.
32
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
To the Trustees and Investors of
The International Opportunities 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 International Opportunities Portfolio
(one of the portfolios comprising part of The Series Portfolio, hereafter
referred to as the "portfolio") at November 30, 1999, and 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 two years in the period then ended and for the period February 26, 1997
(commencement of operations) through November 30, 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 November 30, 1999 by correspondence with the custodian and
brokers, provide a reasonable basis for the opinion expressed above.
PricewaterhouseCoopers LLP
New York, New York
January 14, 2000
33
