<PAGE>
- --------------------------------------------------------------------------------
T. Rowe Price
- --------------------------------------------------------------------------------
Semiannual Report
Balanced Fund
- --------------------------------------------------------------------------------
June 30, 1999
- --------------------------------------------------------------------------------
REPORT HIGHLIGHTS
================================================================================
BALANCED FUND
- -------------------------
* Solid economic growth spurred equities but troubled bond investors, who
feared a pickup in inflation.
* Your fund's 6- and 12-month gains were competitive with its Lipper peer
group but trailed a combined index portfolio.
* Cyclical and value-oriented stocks, emerging market equities, high-yield
bonds, and mortgage-backed bonds all contributed to fund performance.
* We did not make significant adjustments to the fund's asset allocation.
* Further rate increases may be coming, and we expect that market volatility
will provide some opportunities to increase our stock investments.
================================================================================
FELLOW SHAREHOLDERS
================================================================================
The first half of 1999 saw a significant shift in investor sentiment.
Stability returned to Asia and to other emerging economies, but as the U.S.
economy thrived, the threat of inflation intensified. Bonds were hurt by a
general increase in interest rates during the period, capped by an expected
increase in the federal funds target rate by the Federal Reserve on June 30.
Nonetheless, investors remained positive on the earnings outlook for many
companies and stocks posted attractive gains.
================================================================================
PERFORMANCE COMPARISON
----------------------
Periods Ended 6/30/99 6 Months 12 Months
Balanced Fund 5.57% 10.76%
Lipper Balanced Fund Index 6.17 11.54
Combined Index Portfolio * 6.76 15.21
* An unmanaged portfolio of 60% stocks (S&P500) and 40% bonds
(Lehman Brothers Aggregate Index).
================================================================================
<PAGE>
Your fund ended this period with a 5.57% gain, which contributed to a solid
10.76% performance for the full year. These results were marginally behind the
returns for the Lipper Balanced Fund Index, which focuses on the largest funds
in the balanced category, although the comparison is somewhat deceiving.
Balanced funds vary significantly in their holdings, and the Lipper Balanced
Funds Average, which tracks a larger number of funds than the index, posted
gains of 5.57% and 9.98% for the two periods. The market's shift away from
large-cap growth stocks and toward smaller and value-oriented fare in the second
quarter was good for your fund relative to the Standard & Poor's 500 Stock
Index, but not as helpful relative to our balanced fund competitors. Compared
with the S&P 500, the domestic equity component of the portfolio is smaller (in
terms of market cap) and slightly less growth oriented. Many of our competitors,
however, own somewhat smaller companies that have more pronounced value
characteristics.
Fund performance lagged the Combined Index Portfolio, an unmanaged mix of
the S&P 500 and the Lehman Brothers Aggregate Bond Index. This benchmark often
performs differently from your fund because it has little or no exposure to
international equities and high-yield bonds, which we include in the portfolio
for diversification. When these segments lag, as they did strongly at the end of
1998, the blended index does better than your fund. As has been the case for the
past several years, our international holdings performed quite well, both in
absolute terms and relative to the MSCI EAFE (Europe, Australasia, Far East)
Index, but the superb returns of U.S. stocks left most international markets in
the dust.
================================================================================
MARKET ENVIRONMENT
================================================================================
Once again this half we learned that the market environment and investor
perceptions can turn on a dime. During the prior six-month period, investors
were preoccupied with problems in Asian and Latin American economies, the rescue
of the Long-Term Capital hedge fund, global disinflation, and recession.
Investors also feared that a general slowdown in economic activity and a flood
of cheap imports due to the devaluation of foreign currencies would result in
severe pricing pressure and disinflation in the U.S., particularly in many
commodity-based industries.
================================================================================
<PAGE>
INFORMATION ON YEAR-END DISTRIBUTIONS
-------------------------------------
To help you with tax planning, we try to give you
a good idea of the per-share income and capital
gain amounts our funds may distribute near
year-end. In late October, we will provide
estimates of these amounts, which will be paid on
December 16, 1999, to shareholders of record on
December 14. These preliminary numbers will be
included in The Price Report mailing to
shareholders in late October and will also be
available on our Web site -- www.troweprice.com.
We hope that these preliminary numbers will be
useful to you in approximating the income and
capital gains taxes you may pay on distributions
to taxable accounts. If your fund distributed any
capital gains earlier in 1999, you can find the
amounts on your statements and should include them
in your tax planning calculations. Please keep in
mind that the numbers are not final and are likely
to be revised before the December 14 declaration
and record date. As the fall progresses, you may
want to check our Web site for revisions. If you
would like information on tax matters relating to
mutual funds, please visit our Web site to
download our Insights report, Tax Information for
Mutual Fund Investors, or call 1-800-225-5132 to
request a copy.
================================================================================
As the period progressed, however, the U.S. economy remained buoyant, with
GDP growth running well ahead of projections and consumer spending outpacing
earnings. This news, coupled with improvement in several emerging foreign
economies, refocused investor attention on the possibility of inflation.
Inflation concerns were aggravated by a sharp rise in oil prices as OPEC
succeeded in limiting production. Interest rates rose significantly to reflect
these fears, with the 30-year Treasury bond yield jumping from 5% to over 6%
during the period.
Yet the Fed and investors had to grapple with conflicting data. In addition
to the rise in energy prices and the strength of economic data, labor markets
were very tight and average hourly wages rose. On the other hand, productivity
continued to improve and actual inflation reports varied (the most recent
consumer price index data showed no increase). The Fed has also taken note of
the Internet's dramatic growth and its favorable effect on price competition and
efficiency. In the end, the Fed settled on a modest increase of 0.25%, which it
felt could slow the housing market and discourage consumers from fueling their
spending habits with credit.
[Interest Rate Levels chart showing: interest rates for 30-Year Treasury
Bond, 5-Year Treasury Note, and 90-day Treasury Bills, 6/30/98 through 6/30/99.]
<PAGE>
The Fed's actions quieted the markets, but not before significant shifts in
investor sentiment had taken place. Investors sold down bonds and pushed up
interest rates ahead of the rate hike, leaving Treasuries and other high-quality
bond investments either flat or in the red. Less interest rate-sensitive
segments of the bond market, in particular high-yield bonds and mortgage-backed
securities, posted the best results. Investors also bid up cyclical and
technology stocks, which should fare well in a technology-driven economic
upswing. Meanwhile, the stocks of more defensive steady-growth companies, such
as pharmaceuticals, and interest rate-sensitive stocks, such as financials,
generally struggled. Finally, overseas markets in Japan, Southeast Asia, and
Latin America rebounded significantly from their 1998 woes, but economic
weakness and a declining euro depressed results for European markets.
================================================================================
ASSET ALLOCATION
================================================================================
At the close of the second quarter, the fund's total foreign and domestic
equity exposure as a percent of assets was just slightly ahead of the 60%
weighting we consider neutral. This minor variation reflected market activity
that pushed stocks up and bonds down during the period rather than an explicit
decision to favor stocks. Consequently, our positions in Treasury and
high-quality corporate bonds faded modestly. In the short run, we will move back
to our current target range, but over the long run we intend to raise the fund's
equity target closer to 65%. We think the catalyst for this change will be
weakness in one or more equity market segments which would allow us to shift
strategies somewhat opportunistically.
[Security Diversification pie chart showing; Large-Cap 50%, International
Stocks 11%; Treasury and Agency Bonds 14%; Mortgage-backed Securities 6%;
Corporate bonds 16% and Reserves 3%]
The portfolio's international allocation has declined continually over the
past several years, from a high of about 13% to its current level near 10%. This
is primarily a result of the extraordinary relative returns of U.S. stocks and
doesn't reflect an active decision to reduce our international exposure. Our
bias at this point is to gradually raise international exposure, given that
other markets look cheaper than the U.S. and that global growth seems to be
picking up steam.
================================================================================
PORTFOLIO HIGHLIGHTS
================================================================================
Benefiting from the mid-period shift in investor sentiment, cyclical stocks
in such sectors as basic materials and energy were the best performers in the
domestic equity portfolio. The intensity of the advance in these sectors was
surprising, with many stocks generating a year's worth of gains in a matter of
weeks. This type of price reaction has become commonplace in some markets (in
particular the Internet-related companies favored by online investors), but
until April had not been seen among the more staid value stocks like utilities
and materials processors. In general, solid economic growth benefits stocks that
are unable to generate significant earnings growth on their own, such as
commodity producers. Our holdings in ALCOA, INCO, and GEORGIA PACIFIC were all
beneficiaries of the rotation.
<PAGE>
Rising oil prices, virtually the only omen of global inflation, helped push
oil stocks higher. Falling energy prices were one result of last year's global
slowdown, and the current recovery is leading to increased demand for energy and
thus higher prices. Oil service stocks outperformed the producers, as their
earnings tend to depend more on energy prices. Our holdings in service companies
SMITH INTERNATIONAL, BJ SERVICES, and HALLIBURTON benefited. BP AMOCO was our
best-performing oil stock.
Technology stocks continued their superb run. While fundamental results
have been good, investors have been willing to pay higher and higher multiples
for companies showing technological leadership in important sectors.
Semiconductor stocks, such as TEXAS INSTRUMENTS, and semiconductor capital
equipment stocks, did well. SUN MICROSYSTEMS, which produces the servers that
power much of the Internet, was also a standout. Investors have aggressively bid
up the prices of almost everything even peripherally related to the Internet. On
the other hand, INTEL, one of our largest holdings, underperformed amid concern
over falling personal computer prices.
Health care was the worst-performing major sector. Drug stocks were flat, a
victim of both the market rotation out of growth and concerns about pricing
issues. Drugs have been among the market leaders over the past few years, but
the prospect of government price controls, stealthily introduced through a
Medicare drug plan, has raised some eyebrows.
Within the international portfolio, the big story was the depreciation of
the euro, which lost about 12% of its value from its introduction on January 1
through June 30. Most of the major continental European countries are
participants in the euro, and the currency's slide either offset their market
gains or contributed to losses. Our European stocks were about flat for the six
months in dollar terms. The best European markets were the U.K. and Sweden
(neither of which are part of the monetary union associated with the euro) and
France. VODAFONE (a U.K. cellular company) and BARCLAY'S (a U.K. bank) were
strong contributors. LVMH and CHRISTIAN DIOR, French luxury goods companies,
also did very well.
Outside of Europe, the news from international markets was much better.
Japan's market rallied sharply on signs that the country is dealing more
effectively with the long-term structural problems that plague its economy.
Japan is our single largest market outside of the U.S., and stocks such as
HITACHI (an industrial products company) and KAO (in consumer products)
performed very well. Small markets in Asia were extremely strong as evidence
mounted that recovery from last year's crisis is in full swing. Stocks in
Singapore, Hong Kong, and Malaysia all advanced. Latin American stocks also
benefited from a global increase in investor confidence. Our major holdings in
Mexico and Brazil, TELEFONOS DE MEXICO and TELEBRAS (both nationwide
telecommunications companies), were good performers.
The bond market environment of the last six months was difficult for
high-quality bonds, such as U.S. Treasuries, but less so for lower-quality,
high-yield bonds. Returns were negative for both high-quality corporate bonds
and Treasuries as interest rates trended higher, with long-maturity bonds
significantly underperforming those in the intermediate range. Alternatively,
lower-quality, less-liquid issues that offered greater yield and total return
potential had a solid showing. Mortgage-backed securities were the top
investment-grade performers, outgaining Treasuries in the second quarter as
mortgage prepayments slowed in an environment of rising interest rates.
<PAGE>
================================================================================
BOND MARKET RETURNS
-------------------
Sector 3 Months 6 Months
Treasuries -0.92% -2.45%
Mortgage-Backed Securities -0.41 0.59
Corporates -1.58 -2.06
Source: Salomon Smith Barney.
================================================================================
Compared with our peer group, we kept the duration of the bond portfolio
neutral to slightly long throughout the period (duration is a measure of
interest rate sensitivity where larger, or "longer," numbers suggest greater
reactions to rate changes). The fund's longer duration hampered relative
performance. Absent a clear conviction on the near-term direction of interest
rates, we anticipate maintaining duration close to neutral over the coming
months.
================================================================================
OUTLOOK
================================================================================
We expect the U.S. economy to slow over the next six to 12 months, although
robust consumer demand will likely keep GDP growth above 3%. Consumption shows
some signs of slowing from the torrid pace of the last two quarters, but there
is little evidence of slowing in the manufacturing sector. The Federal Reserve's
move to raise interest rates by 25 basis points at the end of June suggests it
is prepared to raise rates further (despite their current "neutral" bias), but
will first wait to see if economic data continue to point toward an overheating
economy. Higher interest rates should eventually have an impact on the economy
through higher mortgage rates and higher lending rates, though possibly not
until later in the year.
We continue to take an optimistic view toward performance, but we are
keeping a wary eye on the historically significant volatility now evident in the
investment markets. We believe a well-diversified portfolio with exposure to a
variety of asset classes can help moderate volatility and expose shareholders to
gains wherever they occur in the markets.
Respectfully submitted,
/s/
Richard T. Whitney
Chairman of the Investment Advisory Committee
July 25, 1999
<PAGE>
================================================================================
PORTFOLIO HIGHLIGHTS
--------------------
LARGEST HOLDINGS
----------------
Percent of Percent of
Net Assets Net Assets
6/30/99 6/30/99
------- -------
Stocks Bonds
- ------ -----
GE 1.4% U.S. Treasury 11.5%
Lucent Technologies 0.9 Ginnie Mae 5.0
Citigroup 0.8 Fannie Mae 3.0
Sun Microsystems 0.7 Federal Home Loans 0.6
American International Group 0.7 Anheuser-Busch 0.3
AT&T 0.7 Comcast Cable 0.3
Tyco International 0.7 Atlantic Richfield 0.3
MCI WorldCom 0.7 Distribution Financial Svcs Marine 0.3
Bank of America 0.7 Quantas Airways 0.3
Intel 0.7 Sears Credit Account Master Trust 0.3
Total 8.0% Total 21.9%
Note: Table excludes reserves.
================================================================================
T. Rowe Price Balanced Fund
- ---------------------------
PERFORMANCE COMPARISON
----------------------
This chart shows the value of a hypothetical $10,000 investment in the fund
over the past 10 fiscal year periods or since inception (for funds lacking
10-year records). The result is compared with a broad-based average or index. An
index return does not reflect expenses, which have been deducted from the fund's
return.
[Balanced Fund SEC chart shown here]
AVERAGE ANNUAL COMPOUND TOTAL RETURN
------------------------------------
This table shows how the fund would have performed each year if its actual
(or cumulative) returns for the periods shown had been earned at a constant
rate.
Periods Ended 6/30/99 1 Year 3 Years 5 Years 10 Years
- --------------------- ------ ------- ------- --------
Balanced Fund 10.76% 16.58% 16.53% 13.44%
Investment return and principal value represent past performance and will
vary. Shares may be worth more or less at redemption than at original purchase.
================================================================================
<PAGE>
T. Rowe Price Balanced Fund
- --------------------------- Unaudited
For a share outstanding throughout each period
FINANCIAL HIGHLIGHTS
- --------------------
6 Months Year
Ended Ended
6/30/99 12/31/98 12/31/97 12/31/96 12/31/95 12/31/94
NET ASSET VALUE
Beginning of period $ 18.59 $ 16.54 $ 14.48 $ 13.22 $ 11.14 $ 12.02
- -------------------------------------------------------------------------------
Investment activities
Net investment income 0.27 0.53 0.53 0.51 0.48 0.43
Net realized and
unrealized gain (loss) 0.76 2.07 2.18 1.38 2.24 (0.68)
- -------------------------------------------------------------------------------
Total from
investment activities 1.03 2.60 2.71 1.89 2.72 (0.25)
- -------------------------------------------------------------------------------
Distributions
Net investment income (0.27) (0.52) (0.53) (0.50) (0.47) (0.43)
Net realized gain - (0.03) (0.12) (0.13) (0.17) (0.20)
- -------------------------------------------------------------------------------
Total distributions (0.27) (0.55) (0.65) (0.63) (0.64) (0.63)
- -------------------------------------------------------------------------------
NET ASSET VALUE
End of period $ 19.35 $ 18.59 $ 16.54 $ 14.48 $ 13.22 $ 11.14
Ratios/Supplemental=Data=======================================================
Total return* 5.57% 15.97% 18.97% 14.57% 24.88% (2.05)%
- -------------------------------------------------------------------------------
Ratio of total expenses
to average net assets 0.78%+ 0.78% 0.81% 0.87% 0.95% 1.00%
- -------------------------------------------------------------------------------
Ratio of net investment
income to average
net assets 2.88%+ 3.04% 3.36% 3.70% 3.87% 3.72%
- -------------------------------------------------------------------------------
Portfolio turnover rate 27.4%+ 12.5% 15.5% 22.3% 12.6% 33.3%
- -------------------------------------------------------------------------------
Net assets, end of
period (in millions) $ 2,044 $ 1,650 $ 1,219 $ 876 $ 608 $ 392
- -------------------------------------------------------------------------------
* Total return reflects the rate that an investor would have earned on an
investment in the fund during each period, assuming reinvestment of all
distributions.
+ Annualized
The accompanying notes are an integral part of these financial statements.
================================================================================
<PAGE>
T. Rowe Price Balanced Fund
- ---------------------------
Unaudited June 30, 1999
PORTFOLIO OF INVESTMENTS
- ------------------------
<TABLE>
<CAPTION>
<S> <C> <C>
Shares/Par Value
In thousands
COMMON=STOCKS=AND=RIGHTS==60.7%==============================================================
FINANCIAL==10.2%=============================================================================
Bank and Trust 5.0%
Abbey National (GBP) 124,000 $ 2,329
- ---------------------------------------------------------------------------------------------
Australia & New Zealand Banking ADR 21,500 798
- ---------------------------------------------------------------------------------------------
Banca Commerciale Italiana (EUR) 210,000 1,533
- ---------------------------------------------------------------------------------------------
Banco de Bilbao Vizcaya ADR 180,000 2,633
- ---------------------------------------------------------------------------------------------
Banco Frances del Rio de la Plata ADR 34,500 656
- ---------------------------------------------------------------------------------------------
Bank of America 191,637 14,049
- ---------------------------------------------------------------------------------------------
Bank of New York 100,000 3,669
- ---------------------------------------------------------------------------------------------
Bank One 143,397 8,541
- ---------------------------------------------------------------------------------------------
BankBoston 65,300 3,339
- ---------------------------------------------------------------------------------------------
Bankgesellschaft Berlin (EUR) * 57,000 787
- ---------------------------------------------------------------------------------------------
Barclay's (GBP) 101,278 2,945
- ---------------------------------------------------------------------------------------------
Chase Manhattan 110,080 9,536
- ---------------------------------------------------------------------------------------------
Deutsche Bank (EUR) 18,700 1,140
- ---------------------------------------------------------------------------------------------
Development Bank of Singapore (SGD) 35,200 430
- ---------------------------------------------------------------------------------------------
Dresdner Bank (EUR) * 20,200 789
- ---------------------------------------------------------------------------------------------
First Union 101,919 4,790
- ---------------------------------------------------------------------------------------------
Grupo Financiero Bancomer ADR (144a) 20,000 145
- ---------------------------------------------------------------------------------------------
HSBC Holdings (GBP) 114,364 4,052
- ---------------------------------------------------------------------------------------------
KBC Bancassurance Holding (EUR) 25,000 1,482
- ---------------------------------------------------------------------------------------------
KeyCorp 100,000 3,213
- ---------------------------------------------------------------------------------------------
Mediobanca (EUR) 125,100 1,309
- ---------------------------------------------------------------------------------------------
<PAGE>
Mellon Bank 155,000 5,638
- ---------------------------------------------------------------------------------------------
Mercantile Bancorporation 14,300 817
- ---------------------------------------------------------------------------------------------
Overseas Chinese Bank (SGD) 32,200 269
- ---------------------------------------------------------------------------------------------
Regions Financial 36,400 1,392
- ---------------------------------------------------------------------------------------------
Societe Generale (EUR) 11,790 2,077
- ---------------------------------------------------------------------------------------------
State Street 25,000 2,134
- ---------------------------------------------------------------------------------------------
Svenska Handelsbanken (SEK) * 78,000 937
- ---------------------------------------------------------------------------------------------
U.S. Bancorp 128,952 4,384
- ---------------------------------------------------------------------------------------------
UBS (CHF) 16,089 4,801
- ---------------------------------------------------------------------------------------------
Washington Federal 24,742 554
- ---------------------------------------------------------------------------------------------
Washington Mutual 60,000 2,123
- ---------------------------------------------------------------------------------------------
Wells Fargo 180,000 $ 7,695
- ---------------------------------------------------------------------------------------------
Westpac Bank (AUD) 90,000 583
- ---------------------------------------------------------------------------------------------
101,569
- ---------------------------------------------------------------------------------------------
Insurance 2.2%
ACE Limited 160,000 4,520
- ---------------------------------------------------------------------------------------------
American General 48,000 3,618
- ---------------------------------------------------------------------------------------------
American International Group 121,725 14,249
- ---------------------------------------------------------------------------------------------
Conseco 31,213 950
- ---------------------------------------------------------------------------------------------
Horace Mann Educators 20,400 555
- ---------------------------------------------------------------------------------------------
Marsh & McLennan 6,900 521
- ---------------------------------------------------------------------------------------------
Medical Assurance * 30,027 848
- ---------------------------------------------------------------------------------------------
MGIC Investment 23,200 1,128
- ---------------------------------------------------------------------------------------------
Progressive 4,200 609
- ---------------------------------------------------------------------------------------------
St. Paul Companies 86,000 2,736
- ---------------------------------------------------------------------------------------------
Sumitomo Marine & Fire Insurance (JPY) 175,000 1,056
<PAGE>
- ---------------------------------------------------------------------------------------------
Torchmark 78,600 2,682
- ---------------------------------------------------------------------------------------------
Transamerica 34,800 2,610
- ---------------------------------------------------------------------------------------------
UNUM 100,000 5,475
- ---------------------------------------------------------------------------------------------
XL Capital (Class A) 50,000 2,825
- ---------------------------------------------------------------------------------------------
44,382
- ---------------------------------------------------------------------------------------------
Financial Services 3.0%
A.G. Edwards 20,212 652
- ---------------------------------------------------------------------------------------------
AMBAC 22,200 1,268
- ---------------------------------------------------------------------------------------------
American Express 52,600 6,844
- ---------------------------------------------------------------------------------------------
Associates First Capital (Class A) 90,938 4,030
- ---------------------------------------------------------------------------------------------
AXA (EUR) 20,600 2,512
- ---------------------------------------------------------------------------------------------
Citigroup 327,034 15,534
- ---------------------------------------------------------------------------------------------
Countrywide Credit 63,925 2,733
- ---------------------------------------------------------------------------------------------
Fannie Mae 78,000 5,333
- ---------------------------------------------------------------------------------------------
Freddie Mac 48,600 2,819
- ---------------------------------------------------------------------------------------------
Goldman Sachs Group * 25,000 1,806
- ---------------------------------------------------------------------------------------------
Household International 72,000 3,411
- ---------------------------------------------------------------------------------------------
ING Groep (EUR) 51,674 2,797
- ---------------------------------------------------------------------------------------------
Medaphis * 14,600 84
- ---------------------------------------------------------------------------------------------
Morgan Stanley Dean Witter 69,800 7,154
- ---------------------------------------------------------------------------------------------
Pearson (GBP) 150,000 3,048
- ---------------------------------------------------------------------------------------------
Unidanmark (Class A) (DKK) 20,000 $ 1,331
- ---------------------------------------------------------------------------------------------
Waddell & Reed Financial (Class A) 4,472 123
- ---------------------------------------------------------------------------------------------
Waddell & Reed Financial (Class B) 19,249 520
- ---------------------------------------------------------------------------------------------
61,999
- ---------------------------------------------------------------------------------------------
Total Financial 207,950
- ---------------------------------------------------------------------------------------------
<PAGE>
UTILITIES==6.3%==============================================================================
Telephone 4.7%
ALLTEL 80,000 5,720
- ---------------------------------------------------------------------------------------------
Ameritech 150,000 11,025
- ---------------------------------------------------------------------------------------------
AT&T * 254,963 14,230
- ---------------------------------------------------------------------------------------------
Bell Atlantic 118,600 7,754
- ---------------------------------------------------------------------------------------------
BellSouth 204,000 9,563
- ---------------------------------------------------------------------------------------------
British Telecommunications ADR 21,600 3,699
- ---------------------------------------------------------------------------------------------
Compania de Telecomunicaciones de Chile
(Class A) ADR 17,000 421
- ---------------------------------------------------------------------------------------------
COMSAT 4,900 159
- ---------------------------------------------------------------------------------------------
GTE 113,800 8,620
- ---------------------------------------------------------------------------------------------
Hong Kong Telecommunications ADR 37,288 1,004
- ---------------------------------------------------------------------------------------------
Nippon Telegraph & Telephone (JPY) 168 1,958
- ---------------------------------------------------------------------------------------------
SBC Communications 189,340 10,982
- ---------------------------------------------------------------------------------------------
Sprint * 101,800 5,376
- ---------------------------------------------------------------------------------------------
Telebras ADR 20,000 1
- ---------------------------------------------------------------------------------------------
Telebras ADR 20,000 1,804
- ---------------------------------------------------------------------------------------------
Telecom Corporation of New Zealand (NZD) 520,000 2,230
- ---------------------------------------------------------------------------------------------
Telecom Italia (EUR) 317,220 3,296
- ---------------------------------------------------------------------------------------------
Telecom Italia Mobile (EUR) * 571,000 3,408
- ---------------------------------------------------------------------------------------------
Telefonica de Espana ADR * 12,484 1,837
- ---------------------------------------------------------------------------------------------
Telefonos de Mexico (Class L) ADR 30,000 2,424
- ---------------------------------------------------------------------------------------------
Telekom Malaysia (MYR) 200 1
- ---------------------------------------------------------------------------------------------
U S West 20,546 1,207
- ---------------------------------------------------------------------------------------------
96,719
- ---------------------------------------------------------------------------------------------
<PAGE>
Electric Utilities 1.6%
Consolidated Edison 48,200 2,181
- ---------------------------------------------------------------------------------------------
Duke Energy 30,115 1,638
- ---------------------------------------------------------------------------------------------
Edison International 104,000 2,782
- ---------------------------------------------------------------------------------------------
Electrabel (EUR) 3,100 $ 1,000
- ---------------------------------------------------------------------------------------------
Empresa Nacional de Electricidad Chile ADR 13,300 161
- ---------------------------------------------------------------------------------------------
Endesa ADR 48,800 1,037
- ---------------------------------------------------------------------------------------------
Entergy 73,000 2,281
- ---------------------------------------------------------------------------------------------
FirstEnergy 75,000 2,325
- ---------------------------------------------------------------------------------------------
FPL Group 25,600 1,398
- ---------------------------------------------------------------------------------------------
GPU 75,000 3,164
- ---------------------------------------------------------------------------------------------
Hong Kong Electric (HKD) 200,000 642
- ---------------------------------------------------------------------------------------------
Niagara Mohawk * 102,500 1,647
- ---------------------------------------------------------------------------------------------
PECO Energy 66,000 2,764
- ---------------------------------------------------------------------------------------------
PG&E 67,800 2,204
- ---------------------------------------------------------------------------------------------
Public Service of New Mexico 50,000 994
- ---------------------------------------------------------------------------------------------
Texas Utilities 39,899 1,646
- ---------------------------------------------------------------------------------------------
Unicom 68,600 2,645
- ---------------------------------------------------------------------------------------------
Veba (EUR) 29,700 1,745
- ---------------------------------------------------------------------------------------------
32,254
- ---------------------------------------------------------------------------------------------
Total Utilities 128,973
- ---------------------------------------------------------------------------------------------
CONSUMER=NONDURABLES==11.1%==================================================================
Cosmetics 0.3%
Gillette 45,174 1,852
- ---------------------------------------------------------------------------------------------
International Flavors & Fragrances 11,700 519
- ---------------------------------------------------------------------------------------------
Kao (JPY) 161,000 4,525
- ---------------------------------------------------------------------------------------------
Revlon (Class A) * 1,800 55
- ---------------------------------------------------------------------------------------------
6,951
- ---------------------------------------------------------------------------------------------
<PAGE>
Beverages 1.2%
Anheuser-Busch 64,000 4,540
- ---------------------------------------------------------------------------------------------
Coca-Cola 92,600 5,788
- ---------------------------------------------------------------------------------------------
Diageo ADR 27,043 1,163
- ---------------------------------------------------------------------------------------------
LVMH (EUR) * 9,541 2,792
- ---------------------------------------------------------------------------------------------
LVMH (EUR) * 9,541 279
- ---------------------------------------------------------------------------------------------
PepsiCo 204,000 7,892
- ---------------------------------------------------------------------------------------------
Starbucks * 48,800 1,828
- ---------------------------------------------------------------------------------------------
24,282
- ---------------------------------------------------------------------------------------------
Food Processing 1.9%
Agribrands International * 2,320 92
- ---------------------------------------------------------------------------------------------
Archer Daniels Midland 70,741 $ 1,092
- ---------------------------------------------------------------------------------------------
Bestfoods 65,800 3,257
- ---------------------------------------------------------------------------------------------
Cadbury Schweppes ADR 63,172 1,682
- ---------------------------------------------------------------------------------------------
Carrefour (EUR) * 12,000 1,763
- ---------------------------------------------------------------------------------------------
ConAgra 53,400 1,422
- ---------------------------------------------------------------------------------------------
Corn Products International 8,225 250
- ---------------------------------------------------------------------------------------------
CSM (EUR) 17,000 849
- ---------------------------------------------------------------------------------------------
Danisco (DKK) * 16,000 721
- ---------------------------------------------------------------------------------------------
Earthgrains 5,120 132
- ---------------------------------------------------------------------------------------------
Eridania Beghin-Say (EUR) 8,100 1,161
- ---------------------------------------------------------------------------------------------
General Mills 57,500 4,621
- ---------------------------------------------------------------------------------------------
Heinz 77,000 3,860
- ---------------------------------------------------------------------------------------------
Hershey Foods 30,000 1,781
- ---------------------------------------------------------------------------------------------
McCormick 10,300 325
- ---------------------------------------------------------------------------------------------
Nestle (CHF) 1,724 3,105
- ---------------------------------------------------------------------------------------------
<PAGE>
Quaker Oats 80,000 5,310
- ---------------------------------------------------------------------------------------------
Ralston Purina 69,612 2,119
- ---------------------------------------------------------------------------------------------
Sara Lee 165,800 3,762
- ---------------------------------------------------------------------------------------------
Unilever NV 14,285 996
- ---------------------------------------------------------------------------------------------
Universal Foods 14,200 300
- ---------------------------------------------------------------------------------------------
Whitman 1,100 20
- ---------------------------------------------------------------------------------------------
38,620
- ---------------------------------------------------------------------------------------------
Hospital Supplies/Hospital Management 1.0%
Abbott Laboratories 127,200 5,788
- ---------------------------------------------------------------------------------------------
Baxter International 50,000 3,031
- ---------------------------------------------------------------------------------------------
Becton, Dickinson 60,000 1,800
- ---------------------------------------------------------------------------------------------
Guidant 42,400 2,181
- ---------------------------------------------------------------------------------------------
Health Management (Class A) * 81,252 914
- ---------------------------------------------------------------------------------------------
Medtronic 48,000 3,738
- ---------------------------------------------------------------------------------------------
Millipore 900 36
- ---------------------------------------------------------------------------------------------
Smith & Nephew (GBP) 210,000 636
- ---------------------------------------------------------------------------------------------
Terumo (JPY) 75,000 1,671
- ---------------------------------------------------------------------------------------------
19,795
- ---------------------------------------------------------------------------------------------
Pharmaceuticals 4.4%
American Home Products 153,200 8,809
- ---------------------------------------------------------------------------------------------
Amgen * 25,500 1,552
- ---------------------------------------------------------------------------------------------
AstraZeneca (SEK) 40,360 1,574
- ---------------------------------------------------------------------------------------------
Bristol-Myers Squibb 168,800 $ 11,890
- ---------------------------------------------------------------------------------------------
Eli Lilly 40,000 2,865
- ---------------------------------------------------------------------------------------------
Gehe (EUR) 13,550 623
- ---------------------------------------------------------------------------------------------
Glaxo Wellcome ADR 30,400 1,721
- ---------------------------------------------------------------------------------------------
Johnson & Johnson 51,900 5,086
- ---------------------------------------------------------------------------------------------
<PAGE>
Merck 175,800 13,009
- ---------------------------------------------------------------------------------------------
Novartis (CHF) 1,626 2,373
- ---------------------------------------------------------------------------------------------
Pfizer 98,400 10,799
- ---------------------------------------------------------------------------------------------
Pharmacia & Upjohn 80,000 4,545
- ---------------------------------------------------------------------------------------------
Schering-Plough 72,600 3,848
- ---------------------------------------------------------------------------------------------
SmithKline Beecham ADR 124,800 8,245
- ---------------------------------------------------------------------------------------------
Takeda Chemical Industries (JPY) 84,000 3,896
- ---------------------------------------------------------------------------------------------
Warner-Lambert 129,000 8,949
- ---------------------------------------------------------------------------------------------
89,784
- ---------------------------------------------------------------------------------------------
Biotechnology 0.0%
Covance * 7,500 180
- ---------------------------------------------------------------------------------------------
180
- ---------------------------------------------------------------------------------------------
Health Care Services 0.6%
Aetna 52,695 4,713
- ---------------------------------------------------------------------------------------------
Altana AG (EUR) 12,000 676
- ---------------------------------------------------------------------------------------------
CIGNA 8,700 774
- ---------------------------------------------------------------------------------------------
IMS Health 28,200 881
- ---------------------------------------------------------------------------------------------
Olsten 4,118 26
- ---------------------------------------------------------------------------------------------
United HealthCare 70,600 4,421
- ---------------------------------------------------------------------------------------------
11,491
- ---------------------------------------------------------------------------------------------
Miscellaneous Consumer Products 1.7%
Arctic Cat 2,550 23
- ---------------------------------------------------------------------------------------------
Benetton Group (EUR) 446,200 879
- ---------------------------------------------------------------------------------------------
Bridgestone (JPY) 69,000 2,088
- ---------------------------------------------------------------------------------------------
Burlington Industries * 17,700 160
- ---------------------------------------------------------------------------------------------
Colgate-Palmolive 60,200 5,945
- ---------------------------------------------------------------------------------------------
Fortune Brands 40,000 1,655
- ---------------------------------------------------------------------------------------------
Fruit of the Loom (Class A) * 4,300 42
- ---------------------------------------------------------------------------------------------
Hasbro 112,500 3,143
- ---------------------------------------------------------------------------------------------
<PAGE>
Huhtamaki (EUR) 10,000 366
- ---------------------------------------------------------------------------------------------
Imperial Tobacco Group ADR 15,750 344
- ---------------------------------------------------------------------------------------------
Jones Apparel Group * 67,200 2,306
- ---------------------------------------------------------------------------------------------
Koninklijke Philips Electronics ADR 28,704 $ 2,895
- ---------------------------------------------------------------------------------------------
Kuraray (JPY) 148,000 1,781
- ---------------------------------------------------------------------------------------------
Lion Nathan (NZD) 175,000 419
- ---------------------------------------------------------------------------------------------
Liz Claiborne 1,700 62
- ---------------------------------------------------------------------------------------------
Mattel 20,000 529
- ---------------------------------------------------------------------------------------------
NIKE (Class B) 900 57
- ---------------------------------------------------------------------------------------------
Philip Morris 10,800 434
- ---------------------------------------------------------------------------------------------
PPG Industries 2,400 142
- ---------------------------------------------------------------------------------------------
Procter & Gamble 98,800 8,818
- ---------------------------------------------------------------------------------------------
Service Corp. International 74,600 1,436
- ---------------------------------------------------------------------------------------------
Textron 2,000 165
- ---------------------------------------------------------------------------------------------
Tomkins (GBP) 100,000 433
- ---------------------------------------------------------------------------------------------
Tomkins ADR 3,720 68
- ---------------------------------------------------------------------------------------------
UST 2,000 58
- ---------------------------------------------------------------------------------------------
Yue Yuen Industrial (HKD) 127,000 293
- ---------------------------------------------------------------------------------------------
34,541
- ---------------------------------------------------------------------------------------------
Total Consumer Nondurables 225,644
- ---------------------------------------------------------------------------------------------
CONSUMER=SERVICES==7.3%======================================================================
Restaurants 0.0%
Applebee's 10,600 321
- ---------------------------------------------------------------------------------------------
Darden Restaurants 6,300 137
- ---------------------------------------------------------------------------------------------
Tricon Global Restaurants * 15,040 814
- ---------------------------------------------------------------------------------------------
1,272
- ---------------------------------------------------------------------------------------------
General Merchandisers 2.3%
Costco Companies * 103,400 8,275
- ---------------------------------------------------------------------------------------------
Dayton Hudson 172,200 11,193
<PAGE>
- ---------------------------------------------------------------------------------------------
Hussmann 550 9
- ---------------------------------------------------------------------------------------------
J.C. Penney 44,000 2,137
- ---------------------------------------------------------------------------------------------
JUSCO (JPY) 67,000 1,219
- ---------------------------------------------------------------------------------------------
Marui (JPY) 53,000 876
- ---------------------------------------------------------------------------------------------
May Department Stores 77,100 3,151
- ---------------------------------------------------------------------------------------------
Pinault Printemps Redoute (EUR) 10,000 1,715
- ---------------------------------------------------------------------------------------------
Sears 40,000 1,783
- ---------------------------------------------------------------------------------------------
Tesco (GBP) 606,429 1,563
- ---------------------------------------------------------------------------------------------
TJX 176,000 5,863
- ---------------------------------------------------------------------------------------------
Wal-Mart 180,000 $ 8,685
- ---------------------------------------------------------------------------------------------
Warnaco Group (Class A) 46,100 1,233
- ---------------------------------------------------------------------------------------------
47,702
- ---------------------------------------------------------------------------------------------
Specialty Merchandisers 2.3%
Callaway Golf 13,000 190
- ---------------------------------------------------------------------------------------------
Christian Dior (EUR) 7,000 1,140
- ---------------------------------------------------------------------------------------------
Circuit City Stores 85,900 7,989
- ---------------------------------------------------------------------------------------------
CVS 50,000 2,538
- ---------------------------------------------------------------------------------------------
Federated Department Stores * 1,800 95
- ---------------------------------------------------------------------------------------------
Gymboree * 8,400 89
- ---------------------------------------------------------------------------------------------
Heilig-Meyers 4,500 31
- ---------------------------------------------------------------------------------------------
Home Depot 60,200 3,879
- ---------------------------------------------------------------------------------------------
Kohl's * 37,200 2,871
- ---------------------------------------------------------------------------------------------
Kroger * 200,000 5,588
- ---------------------------------------------------------------------------------------------
Office Depot * 48,000 1,059
- ---------------------------------------------------------------------------------------------
Omron (JPY) 68,000 1,180
- ---------------------------------------------------------------------------------------------
Payless Shoesource * 8,224 440
- ---------------------------------------------------------------------------------------------
Petrie Stores Liquidation Trust * 33,500 83
- ---------------------------------------------------------------------------------------------
Safeway * 55,200 2,732
- ---------------------------------------------------------------------------------------------
<PAGE>
Staples * 53,155 1,643
- ---------------------------------------------------------------------------------------------
The Gap 267,300 13,465
- ---------------------------------------------------------------------------------------------
Toys "R" Us * 63,300 1,310
- ---------------------------------------------------------------------------------------------
46,322
- ---------------------------------------------------------------------------------------------
Entertainment and Leisure 0.9%
Ascent Entertainment * 2,395 34
- ---------------------------------------------------------------------------------------------
Brinker * 8,775 239
- ---------------------------------------------------------------------------------------------
Buffets * 2,400 27
- ---------------------------------------------------------------------------------------------
Disney 150,417 4,635
- ---------------------------------------------------------------------------------------------
Hilton 2,300 33
- ---------------------------------------------------------------------------------------------
Hutchison Whampoa (HKD) 390,000 3,531
- ---------------------------------------------------------------------------------------------
International Game Technology 9,000 166
- ---------------------------------------------------------------------------------------------
McDonald's 60,000 2,479
- ---------------------------------------------------------------------------------------------
MediaOne Group * 50,000 3,719
- ---------------------------------------------------------------------------------------------
Park Place Entertainment * 2,300 22
- ---------------------------------------------------------------------------------------------
Reader's Digest (Class A) 35,000 1,391
- ---------------------------------------------------------------------------------------------
Sbarro * 20,700 560
- ---------------------------------------------------------------------------------------------
Sharp (JPY) 72,000 851
- ---------------------------------------------------------------------------------------------
Viacom (Class A) * 9,000 $ 397
- ---------------------------------------------------------------------------------------------
18,084
- ---------------------------------------------------------------------------------------------
Media and Communications 1.8%
A. H. Belo (Class A) 13,600 268
- ---------------------------------------------------------------------------------------------
A.C. Nielson * 4,700 142
- ---------------------------------------------------------------------------------------------
Asatsu (JPY) 54,000 1,428
- ---------------------------------------------------------------------------------------------
Banta 13,500 283
- ---------------------------------------------------------------------------------------------
CBS * 91,793 3,987
- ---------------------------------------------------------------------------------------------
Clear Channel Communications * 20,000 1,379
- ---------------------------------------------------------------------------------------------
Comcast (Class A Special) 80,000 3,075
- ---------------------------------------------------------------------------------------------
Dun & Bradstreet 14,100 500
<PAGE>
- ---------------------------------------------------------------------------------------------
Elsevier (EUR) 50,000 580
- ---------------------------------------------------------------------------------------------
France Telecom ADR 45,000 3,465
- ---------------------------------------------------------------------------------------------
Gannett 27,600 1,970
- ---------------------------------------------------------------------------------------------
Gaylord Entertainment 3,528 106
- ---------------------------------------------------------------------------------------------
McGraw-Hill 64,400 3,474
- ---------------------------------------------------------------------------------------------
Metronet Communications * 500 39
- ---------------------------------------------------------------------------------------------
Nielsen Media Research 4,700 137
- ---------------------------------------------------------------------------------------------
NTL * 11,999 1,035
- ---------------------------------------------------------------------------------------------
R.H. Donnelley 2,820 55
- ---------------------------------------------------------------------------------------------
Time Warner 122,700 9,018
- ---------------------------------------------------------------------------------------------
Tribune 20,000 1,742
- ---------------------------------------------------------------------------------------------
Vodafone ADR 20,000 3,940
- ---------------------------------------------------------------------------------------------
36,623
- ---------------------------------------------------------------------------------------------
Total Consumer Services 150,003
- ---------------------------------------------------------------------------------------------
CONSUMER=CYCLICALS==2.3%=====================================================================
Automobiles and Related 1.1%
Autoliv 21,653 655
- ---------------------------------------------------------------------------------------------
Cycle & Carriage (SGD) 50,000 288
- ---------------------------------------------------------------------------------------------
Dana 1,300 60
- ---------------------------------------------------------------------------------------------
Delphi Automotive Systems 59,968 1,113
- ---------------------------------------------------------------------------------------------
Ford Motor 114,430 6,458
- ---------------------------------------------------------------------------------------------
Gentex * 36,400 1,019
- ---------------------------------------------------------------------------------------------
Genuine Parts 81,975 2,869
- ---------------------------------------------------------------------------------------------
GM 85,800 5,663
- ---------------------------------------------------------------------------------------------
Goodyear Tire & Rubber 300 $ 18
- ---------------------------------------------------------------------------------------------
Honda ADR 30,100 2,611
- ---------------------------------------------------------------------------------------------
MIDAS 183 5
- ---------------------------------------------------------------------------------------------
Pep Boys 7,100 154
<PAGE>
- ---------------------------------------------------------------------------------------------
Superior Industries Intl 8,000 219
- ---------------------------------------------------------------------------------------------
TRW 30,000 1,646
- ---------------------------------------------------------------------------------------------
22,778
- ---------------------------------------------------------------------------------------------
Building and Real Estate 0.3%
Cheung Kong Holdings (HKD) 283,000 2,517
- ---------------------------------------------------------------------------------------------
City Developments (SGD) 50,000 320
- ---------------------------------------------------------------------------------------------
DBS Land (SGD) 600,000 1,198
- ---------------------------------------------------------------------------------------------
Interstate Hotels 5,000 21
- ---------------------------------------------------------------------------------------------
Starwood Hotels & Resorts, REIT 1,561 48
- ---------------------------------------------------------------------------------------------
Texas Industries 9,400 364
- ---------------------------------------------------------------------------------------------
USG 14,600 818
- ---------------------------------------------------------------------------------------------
Wyndham International 150,001 684
- ---------------------------------------------------------------------------------------------
5,970
- ---------------------------------------------------------------------------------------------
Miscellaneous Consumer Durables 0.9%
Black & Decker 36,000 2,272
- ---------------------------------------------------------------------------------------------
Corning 30,000 2,104
- ---------------------------------------------------------------------------------------------
Eastman Kodak 22,600 1,531
- ---------------------------------------------------------------------------------------------
Harley-Davidson 7,600 413
- ---------------------------------------------------------------------------------------------
Imation * 1,800 45
- ---------------------------------------------------------------------------------------------
Masco 99,800 2,882
- ---------------------------------------------------------------------------------------------
Ricoh (JPY) 100,000 1,377
- ---------------------------------------------------------------------------------------------
Scotts (Class A) * 10,000 476
- ---------------------------------------------------------------------------------------------
Sony (JPY) 16,000 1,726
- ---------------------------------------------------------------------------------------------
Tandy 80,000 3,910
- ---------------------------------------------------------------------------------------------
Valspar 36,200 1,376
- ---------------------------------------------------------------------------------------------
York International 2,600 111
- ---------------------------------------------------------------------------------------------
18,223
- ---------------------------------------------------------------------------------------------
Total Consumer Cyclicals 46,971
- ---------------------------------------------------------------------------------------------
<PAGE>
TECHNOLOGY==8.4%=============================================================================
Electronic Components 2.5%
Altera * 76,000 2,795
- ---------------------------------------------------------------------------------------------
Analog Devices * 126,800 $ 6,364
- ---------------------------------------------------------------------------------------------
EMC * 98,600 5,423
- ---------------------------------------------------------------------------------------------
Intel 228,000 13,559
- ---------------------------------------------------------------------------------------------
Linear Technology 91,600 6,166
- ---------------------------------------------------------------------------------------------
Maxim Integrated Products * 50,000 3,325
- ---------------------------------------------------------------------------------------------
Micron Technology * 9,400 379
- ---------------------------------------------------------------------------------------------
Molex 15,257 564
- ---------------------------------------------------------------------------------------------
Motorola 40,000 3,790
- ---------------------------------------------------------------------------------------------
Texas Instruments 50,000 7,250
- ---------------------------------------------------------------------------------------------
Thermo Electron * 9,787 196
- ---------------------------------------------------------------------------------------------
Thermo Instrument Systems * 10,195 172
- ---------------------------------------------------------------------------------------------
Vicor * 12,000 257
- ---------------------------------------------------------------------------------------------
Xilinx * 25,200 1,443
- ---------------------------------------------------------------------------------------------
51,683
- ---------------------------------------------------------------------------------------------
Electronic Systems 1.2%
Applied Materials * 40,000 2,954
- ---------------------------------------------------------------------------------------------
Hewlett-Packard 128,300 12,894
- ---------------------------------------------------------------------------------------------
Honeywell 20,000 2,317
- ---------------------------------------------------------------------------------------------
KLA-Tencor * 60,000 3,891
- ---------------------------------------------------------------------------------------------
Solectron * 19,200 1,280
- ---------------------------------------------------------------------------------------------
23,336
- ---------------------------------------------------------------------------------------------
Information Processing 0.7%
Adaptec * 14,000 494
- ---------------------------------------------------------------------------------------------
Choicepoint * 1,780 119
- ---------------------------------------------------------------------------------------------
COMPAQ Computer 254,000 6,017
- ---------------------------------------------------------------------------------------------
Dell Computer * 9,600 355
- ---------------------------------------------------------------------------------------------
<PAGE>
Hitachi ADR 15,200 1,435
- ---------------------------------------------------------------------------------------------
IBM 46,800 6,049
- ---------------------------------------------------------------------------------------------
Storage Technology * 10,000 228
- ---------------------------------------------------------------------------------------------
14,697
- ---------------------------------------------------------------------------------------------
Office Automation 0.0%
Pitney Bowes 5,200 334
- ---------------------------------------------------------------------------------------------
Xerox 4,600 272
- ---------------------------------------------------------------------------------------------
606
- ---------------------------------------------------------------------------------------------
Specialized Computer 0.8%
Silicon Graphics * 14,700 241
- ---------------------------------------------------------------------------------------------
Sun Microsystems * 217,100 14,959
- ---------------------------------------------------------------------------------------------
Western Digital * 20,000 $ 130
- ---------------------------------------------------------------------------------------------
15,330
- ---------------------------------------------------------------------------------------------
Telecommunications 2.3%
Cox Communications (Class A) * 100,000 3,681
- ---------------------------------------------------------------------------------------------
LM Ericsson (Class B) ADR 108,000 3,554
- ---------------------------------------------------------------------------------------------
Lucent Technologies 277,239 18,696
- ---------------------------------------------------------------------------------------------
MCI WorldCom * 163,758 14,088
- ---------------------------------------------------------------------------------------------
Nortel Networks 4,306 374
- ---------------------------------------------------------------------------------------------
PictureTel * 8,800 70
- ---------------------------------------------------------------------------------------------
Premisys Communications * 65,000 471
- ---------------------------------------------------------------------------------------------
Sprint PCS * 50,450 2,882
- ---------------------------------------------------------------------------------------------
Tellabs * 46,400 3,137
- ---------------------------------------------------------------------------------------------
46,953
- ---------------------------------------------------------------------------------------------
Aerospace and Defense 0.9%
AlliedSignal 122,000 7,686
- ---------------------------------------------------------------------------------------------
Boeing 86,000 3,800
- ---------------------------------------------------------------------------------------------
Lockheed Martin 33,600 1,252
- ---------------------------------------------------------------------------------------------
Northrop 30,000 1,989
- ---------------------------------------------------------------------------------------------
Raytheon (Class A) 2,142 148
<PAGE>
- ---------------------------------------------------------------------------------------------
Raytheon (Class B) 500 35
- ---------------------------------------------------------------------------------------------
Trinity Industries 300 10
- ---------------------------------------------------------------------------------------------
United Technologies 48,400 3,470
- ---------------------------------------------------------------------------------------------
18,390
- ---------------------------------------------------------------------------------------------
Total Technology 170,995
- ---------------------------------------------------------------------------------------------
CAPITAL=EQUIPMENT==3.5%======================================================================
Electrical Equipment 2.8%
ABB AG (CHF) 12,562 1,183
- ---------------------------------------------------------------------------------------------
American Power Conversion * 20,600 414
- ---------------------------------------------------------------------------------------------
Canon (JPY) 55,000 1,582
- ---------------------------------------------------------------------------------------------
Emerson Electric 56,200 3,534
- ---------------------------------------------------------------------------------------------
GE 255,500 28,872
- ---------------------------------------------------------------------------------------------
Hubbell (Class A) 8,000 319
- ---------------------------------------------------------------------------------------------
Hubbell (Class B) 80,252 3,641
- ---------------------------------------------------------------------------------------------
Matsushita Electric Works (JPY) 100,000 966
- ---------------------------------------------------------------------------------------------
Mitsubishi Electric (JPY) 190,000 730
- ---------------------------------------------------------------------------------------------
Siemens (EUR) 16,900 $ 1,303
- ---------------------------------------------------------------------------------------------
Tyco International 150,067 14,219
- ---------------------------------------------------------------------------------------------
56,763
- ---------------------------------------------------------------------------------------------
Machinery 0.7%
Caterpillar 50,000 3,000
- ---------------------------------------------------------------------------------------------
Coltec Industries * 29,900 648
- ---------------------------------------------------------------------------------------------
Cooper Industries 600 31
- ---------------------------------------------------------------------------------------------
Danaher 65,600 3,813
- ---------------------------------------------------------------------------------------------
Deere 18,000 713
- ---------------------------------------------------------------------------------------------
Dover 2,400 84
- ---------------------------------------------------------------------------------------------
FMC * 42,000 2,869
- ---------------------------------------------------------------------------------------------
<PAGE>
Foster Wheeler 4,600 65
- ---------------------------------------------------------------------------------------------
GKN (GBP) 90,000 1,544
- ---------------------------------------------------------------------------------------------
Ingersoll-Rand 1,500 97
- ---------------------------------------------------------------------------------------------
Kennametal 11,400 353
- ---------------------------------------------------------------------------------------------
S I G Schweis (CHF) 2,080 1,239
- ---------------------------------------------------------------------------------------------
Stewart & Stevenson 6,300 96
- ---------------------------------------------------------------------------------------------
Teleflex 10,000 434
- ---------------------------------------------------------------------------------------------
Valmet (EUR) * 32,000 354
- ---------------------------------------------------------------------------------------------
15,340
- ---------------------------------------------------------------------------------------------
Total Capital Equipment 72,103
- ---------------------------------------------------------------------------------------------
BUSINESS=SERVICES=AND========================================================================
TRANSPORTATION==3.8%=========================================================================
Computer Service and Software 2.2%
Automatic Data Processing 70,000 3,080
- ---------------------------------------------------------------------------------------------
BMC Software * 80,000 4,318
- ---------------------------------------------------------------------------------------------
CBT Group ADR * 29,400 483
- ---------------------------------------------------------------------------------------------
Computer Associates 112,587 6,192
- ---------------------------------------------------------------------------------------------
CustomTracks * 3,625 203
- ---------------------------------------------------------------------------------------------
Electronic Arts * 7,500 406
- ---------------------------------------------------------------------------------------------
Electronic Data Systems 44,223 2,501
- ---------------------------------------------------------------------------------------------
First Data 80,000 3,915
- ---------------------------------------------------------------------------------------------
General Instrument * 1,400 60
- ---------------------------------------------------------------------------------------------
Intuit * 50,000 4,509
- ---------------------------------------------------------------------------------------------
Micro Warehouse * 5,600 99
- ---------------------------------------------------------------------------------------------
NCR * 6,718 328
- ---------------------------------------------------------------------------------------------
Novell * 45,600 $ 1,208
- ---------------------------------------------------------------------------------------------
Oracle * 213,000 7,908
- ---------------------------------------------------------------------------------------------
Parametric Technology * 262,000 3,643
- ---------------------------------------------------------------------------------------------
<PAGE>
SunGard Data Systems * 26,400 911
- ---------------------------------------------------------------------------------------------
Sybase * 7,000 77
- ---------------------------------------------------------------------------------------------
Synopsys * 95,600 5,273
- ---------------------------------------------------------------------------------------------
45,114
- ---------------------------------------------------------------------------------------------
Distribution Services 0.2%
Cardinal Health 57,939 3,716
- ---------------------------------------------------------------------------------------------
3,716
- ---------------------------------------------------------------------------------------------
Environmental 0.1%
Allied Waste Industries * 63,000 1,244
- ---------------------------------------------------------------------------------------------
1,244
- ---------------------------------------------------------------------------------------------
Transportation Services 0.1%
Landstar Systems * 40,000 1,444
- ---------------------------------------------------------------------------------------------
Mitsubishi Heavy Industries (JPY) 159,000 645
- ---------------------------------------------------------------------------------------------
2,089
- ---------------------------------------------------------------------------------------------
Miscellaneous Business Services 0.6%
British Airport Authorities (GBP) 108,371 1,044
- ---------------------------------------------------------------------------------------------
Browning-Ferris 25,000 1,075
- ---------------------------------------------------------------------------------------------
Cendant * 79,010 1,620
- ---------------------------------------------------------------------------------------------
Cintas 7,200 484
- ---------------------------------------------------------------------------------------------
Equifax 17,800 635
- ---------------------------------------------------------------------------------------------
General Semiconductor * 350 3
- ---------------------------------------------------------------------------------------------
GTECH * 4,500 106
- ---------------------------------------------------------------------------------------------
H&R Block 30,900 1,545
- ---------------------------------------------------------------------------------------------
Manpower 12,200 276
- ---------------------------------------------------------------------------------------------
Merrill 10,000 142
- ---------------------------------------------------------------------------------------------
Omnicom 26,800 2,144
- ---------------------------------------------------------------------------------------------
Paychex 63,027 2,005
- ---------------------------------------------------------------------------------------------
Waste Management 28,395 1,526
- ---------------------------------------------------------------------------------------------
12,605
- ---------------------------------------------------------------------------------------------
<PAGE>
Airlines 0.3%
AMR * 40,000 2,730
- ---------------------------------------------------------------------------------------------
KLM (EUR) 23,000 651
- ---------------------------------------------------------------------------------------------
Mesa Air Group * 17,300 130
- ---------------------------------------------------------------------------------------------
Northwest Airlines * 300 10
- ---------------------------------------------------------------------------------------------
Singapore Airlines (SGD) 40,000 $ 381
- ---------------------------------------------------------------------------------------------
UAL * 30,000 1,950
- ---------------------------------------------------------------------------------------------
5,852
- ---------------------------------------------------------------------------------------------
Railroads 0.3%
Burlington Northern Santa Fe * 75,300 2,334
- ---------------------------------------------------------------------------------------------
Canadian National Railway 163 11
- ---------------------------------------------------------------------------------------------
CSX * 22,500 1,020
- ---------------------------------------------------------------------------------------------
Norfolk Southern 63,200 1,904
- ---------------------------------------------------------------------------------------------
Union Pacific 14,000 816
- ---------------------------------------------------------------------------------------------
Wisconsin Central Transport * 20,400 381
- ---------------------------------------------------------------------------------------------
6,466
- ---------------------------------------------------------------------------------------------
Total Business Services and Transportation 77,086
- ---------------------------------------------------------------------------------------------
ENERGY==4.2%=================================================================================
Energy Services 0.9%
BJ Services * 188,200 5,540
- ---------------------------------------------------------------------------------------------
El Paso Energy 18,766 660
- ---------------------------------------------------------------------------------------------
Elf Aquitaine (EUR) 9,000 1,320
- ---------------------------------------------------------------------------------------------
Halliburton 52,742 2,387
- ---------------------------------------------------------------------------------------------
Halter Marine Group * 156 1
- ---------------------------------------------------------------------------------------------
<PAGE>
Helmerich & Payne 40,000 953
- ---------------------------------------------------------------------------------------------
Johnson Electric (HKD) 247,200 1,013
- ---------------------------------------------------------------------------------------------
Schlumberger 60,200 3,834
- ---------------------------------------------------------------------------------------------
Smith International * 18,300 795
- ---------------------------------------------------------------------------------------------
Total ADR 18,000 1,160
- ---------------------------------------------------------------------------------------------
17,663
- ---------------------------------------------------------------------------------------------
Exploration and Production 0.1%
Anadarko Petroleum 3,600 133
- ---------------------------------------------------------------------------------------------
EEX * 7,147 50
- ---------------------------------------------------------------------------------------------
Santa Fe Snyder 13,900 106
- ---------------------------------------------------------------------------------------------
Santos (AUD) 200,000 654
- ---------------------------------------------------------------------------------------------
Ultramar Diamond Shamrock 9,100 199
- ---------------------------------------------------------------------------------------------
Union Pacific Resources 11,857 193
- ---------------------------------------------------------------------------------------------
Unocal 4,400 174
- ---------------------------------------------------------------------------------------------
1,509
- ---------------------------------------------------------------------------------------------
Gas & Gas Transmission 0.2%
Enron 50,000 $ 4,087
- ---------------------------------------------------------------------------------------------
Sonat 29,000 961
- ---------------------------------------------------------------------------------------------
Tenneco 200 5
- ---------------------------------------------------------------------------------------------
5,053
- ---------------------------------------------------------------------------------------------
Integrated Petroleum - Domestic 1.0%
Amerada Hess 137,700 8,193
- ---------------------------------------------------------------------------------------------
Atlantic Richfield 64,600 5,398
- ---------------------------------------------------------------------------------------------
Kerr-McGee 600 30
- ---------------------------------------------------------------------------------------------
Phillips Petroleum 48,300 2,430
- ---------------------------------------------------------------------------------------------
USX-Marathon 140,000 4,559
- ---------------------------------------------------------------------------------------------
20,610
- ---------------------------------------------------------------------------------------------
<PAGE>
Integrated Petroleum - International 2.0%
BP Amoco ADR 79,129 8,586
- ---------------------------------------------------------------------------------------------
Chevron 41,400 3,941
- ---------------------------------------------------------------------------------------------
ENI SPA ADR 26,600 1,596
- ---------------------------------------------------------------------------------------------
Exxon 101,200 7,805
- ---------------------------------------------------------------------------------------------
Mobil 78,600 7,781
- ---------------------------------------------------------------------------------------------
Repsol ADR 72,000 1,463
- ---------------------------------------------------------------------------------------------
Royal Dutch Petroleum ADR 40,000 2,410
- ---------------------------------------------------------------------------------------------
Shell Transport & Trading ADR 36,300 1,683
- ---------------------------------------------------------------------------------------------
Texaco 80,727 5,045
- ---------------------------------------------------------------------------------------------
40,310
- ---------------------------------------------------------------------------------------------
Total Energy 85,145
- ---------------------------------------------------------------------------------------------
PROCESS=INDUSTRIES==2.6%=====================================================================
Diversified Chemicals 0.8%
Dow Chemical 30,000 3,806
- ---------------------------------------------------------------------------------------------
DuPont 137,300 9,380
- ---------------------------------------------------------------------------------------------
Hercules 1,800 71
- ---------------------------------------------------------------------------------------------
Monsanto 92,300 3,640
- ---------------------------------------------------------------------------------------------
16,897
- ---------------------------------------------------------------------------------------------
Specialty Chemicals 0.9%
3M 18,600 1,617
- ---------------------------------------------------------------------------------------------
A. Schulman 26,325 450
- ---------------------------------------------------------------------------------------------
Air Liquide (L) (EUR) 7,762 1,220
- ---------------------------------------------------------------------------------------------
<PAGE>
Akzo Nobel (EUR) 28,000 $ 1,178
- ---------------------------------------------------------------------------------------------
BASF AG (EUR) 36,200 1,599
- ---------------------------------------------------------------------------------------------
Bayer (EUR) 34,600 1,441
- ---------------------------------------------------------------------------------------------
Great Lakes Chemical 25,000 1,152
- ---------------------------------------------------------------------------------------------
Imperial Chemical ADR 31,000 1,232
- ---------------------------------------------------------------------------------------------
Lyondell Petrochemical * 7,100 146
- ---------------------------------------------------------------------------------------------
Octel * 6,250 78
- ---------------------------------------------------------------------------------------------
Pall 8,533 189
- ---------------------------------------------------------------------------------------------
Raychem 1,800 67
- ---------------------------------------------------------------------------------------------
Rohm & Haas 107,417 4,606
- ---------------------------------------------------------------------------------------------
Solutia 18,460 393
- ---------------------------------------------------------------------------------------------
Sumitomo Chemicals (JPY) 175,000 803
- ---------------------------------------------------------------------------------------------
Technip (EUR) 15,000 1,682
- ---------------------------------------------------------------------------------------------
17,853
- ---------------------------------------------------------------------------------------------
Paper and Paper Products 0.5%
Dai Nippon Printing (JPY) 67,000 1,072
- ---------------------------------------------------------------------------------------------
Fort James 87,500 3,314
- ---------------------------------------------------------------------------------------------
Kimberly-Clark 34,400 1,961
- ---------------------------------------------------------------------------------------------
Kimberly-Clark de Mexico (Class A) (MXN) 265,000 1,090
- ---------------------------------------------------------------------------------------------
Mead 30,000 1,252
- ---------------------------------------------------------------------------------------------
Sonoco Products 13,975 418
- ---------------------------------------------------------------------------------------------
Willamette Industries 24,000 1,106
- ---------------------------------------------------------------------------------------------
10,213
- ---------------------------------------------------------------------------------------------
Forest Products 0.3%
Georgia Pac Timber 19,000 480
- ---------------------------------------------------------------------------------------------
Georgia-Pacific 38,000 1,800
- ---------------------------------------------------------------------------------------------
International Paper 46,000 2,323
- ---------------------------------------------------------------------------------------------
Weyerhaeuser 12,700 873
- ---------------------------------------------------------------------------------------------
5,476
<PAGE>
- ---------------------------------------------------------------------------------------------
Building & Construction 0.1%
Blue Circle Industries (GBP) 136,612 911
- ---------------------------------------------------------------------------------------------
Del Webb 100 2
- ---------------------------------------------------------------------------------------------
Grupo Dragados (EUR) 16,200 190
- ---------------------------------------------------------------------------------------------
Hanson ADR 7,875 349
- ---------------------------------------------------------------------------------------------
Holderbank Financiere Glarus (CHF) 1,210 1,428
- ---------------------------------------------------------------------------------------------
2,880
- ---------------------------------------------------------------------------------------------
Total Process Industries 53,319
- ---------------------------------------------------------------------------------------------
BASIC=MATERIALS==0.9%========================================================================
Metals 0.7%
Alcoa 60,000 $ 3,713
- ---------------------------------------------------------------------------------------------
Anglo American Platinum (ZAR) 85,000 1,983
- ---------------------------------------------------------------------------------------------
Inco 200,000 3,600
- ---------------------------------------------------------------------------------------------
Nucor 52,000 2,467
- ---------------------------------------------------------------------------------------------
Reynolds Metals 38,000 2,242
- ---------------------------------------------------------------------------------------------
14,005
- ---------------------------------------------------------------------------------------------
Mining 0.1%
Lonrho Africa (GBP) 44,911 33
- ---------------------------------------------------------------------------------------------
Newmont Mining 60,000 1,192
- ---------------------------------------------------------------------------------------------
Rio Tinto (AUD) 40,000 655
- ---------------------------------------------------------------------------------------------
TVX Gold 200,000 200
- ---------------------------------------------------------------------------------------------
2,080
- ---------------------------------------------------------------------------------------------
Miscellaneous Materials 0.1%
Crown Cork & Seal 1,400 40
- ---------------------------------------------------------------------------------------------
Malayan Cement (MYR) 187,200 116
- ---------------------------------------------------------------------------------------------
Owens-Illinois * 78,500 2,566
- ---------------------------------------------------------------------------------------------
Williams Companies 5,661 241
- ---------------------------------------------------------------------------------------------
2,963
- ---------------------------------------------------------------------------------------------
Total Basic Materials 19,048
- ---------------------------------------------------------------------------------------------
<PAGE>
MISCELLANEOUS==0.0%==========================================================================
Conglomerates 0.0%
Berkshire Hathaway (Class B) * 136 305
- ---------------------------------------------------------------------------------------------
Orkla (Class A) (NOK) 30,000 466
- ---------------------------------------------------------------------------------------------
Total Miscellaneous 771
- ---------------------------------------------------------------------------------------------
FOREIGN==0.1%================================================================================
Europe 0.1%
AXA Colonia Konzern (EUR) 6,000 575
- ---------------------------------------------------------------------------------------------
Man AG (EUR) * 35,000 1,194
- ---------------------------------------------------------------------------------------------
1,769
- ---------------------------------------------------------------------------------------------
Other Foreign 0.0%
Bobst (CHF) 740 $ 878
- ---------------------------------------------------------------------------------------------
878
- ---------------------------------------------------------------------------------------------
Total Foreign 2,647
Total Common Stocks and Rights (Cost $683,120) 1,240,655
PREFERRED=STOCKS==0.1%=======================================================================
CSC Holdings * 10,903 1,188
Total Preferred Stocks (Cost $1,201) 1,188
CONVERTIBLE=PREFERRED=STOCKS==0.5%===========================================================
ProLogis Trust (Series B), REIT, 7.00% 225,000 5,836
- ---------------------------------------------------------------------------------------------
Reckson Associates Realty, (Series A), REIT, 7.625% 200,000 4,550
Total Convertible Preferred Stocks (Cost $10,073) 10,386
=============================================================================================
CORPORATE=BONDS==15.8%=======================================================================
Abbey National First Capital, Sub. Notes, 8.20%, 10/15/04 $ 1,205,000 1,274
- ---------------------------------------------------------------------------------------------
Adelphia Communications, Sr. Notes, 9.875%, 3/1/07 1,000,000 1,045
- ---------------------------------------------------------------------------------------------
African Development Bank, Sub. Notes
7.75%, 12/15/01 1,000,000 1,036
- ---------------------------------------------------------------------------------------------
Alaska Communications, Sr. Sub. Notes, (144a)
9.375%, 5/15/09 700,000 674
- ---------------------------------------------------------------------------------------------
Allied Holdings, Gtd. Sr. Sub. Notes, 8.625%, 10/1/07 500,000 475
- ---------------------------------------------------------------------------------------------
AMERCO, Sr. Notes, 7.85%, 5/15/03 1,000,000 988
- ---------------------------------------------------------------------------------------------
<PAGE>
American Builders & Contractors Supply, Sr. Sub. Notes
10.625%, 5/15/07 500,000 470
- ---------------------------------------------------------------------------------------------
American Portable Telecom, Gtd. Notes
(144a), Zero Coupon, 11/1/06 3,615,000 2,068
- ---------------------------------------------------------------------------------------------
Ameriserve Food Distribution, Gtd. Sr. Sub. Notes
8.875%, 10/15/06 500,000 460
- ---------------------------------------------------------------------------------------------
Ameritech Capital Funding, 6.15%, 1/15/08 2,000,000 1,912
- ---------------------------------------------------------------------------------------------
Amkor Technology, Sr. Notes, (144a), 9.25%, 5/1/06 300,000 294
- ---------------------------------------------------------------------------------------------
Anchor Advanced, Sr. Notes, 11.75%, 4/1/04 1,000,000 1,025
- ---------------------------------------------------------------------------------------------
Anheuser- Busch, 5.75%, 4/1/10 5,000,000 4,593
- ---------------------------------------------------------------------------------------------
Anheuser-Busch, 6.90%, 10/1/02 $ 2,000,000 $ 2,006
- ---------------------------------------------------------------------------------------------
APCOA, Sr. Sub. Notes, 9.25%, 3/15/08 750,000 675
- ---------------------------------------------------------------------------------------------
Applied Extrusion Technology, Sr. Notes
11.50%, 4/1/02 1,000,000 1,015
- ---------------------------------------------------------------------------------------------
Associated Materials, Sr. Sub. Notes, 9.25%, 3/1/08 1,250,000 1,250
- ---------------------------------------------------------------------------------------------
Associates, Sr. Notes, 7.50%, 4/15/02 1,300,000 1,337
- ---------------------------------------------------------------------------------------------
AT&T, 6.50%, 3/15/29 4,000,000 3,619
- ---------------------------------------------------------------------------------------------
Atlantic Richfield, Deb. Notes,
8.50%, 4/1/12 4,000,000 4,495
- ---------------------------------------------------------------------------------------------
8.75%, 3/1/32 1,570,000 1,839
- ---------------------------------------------------------------------------------------------
Atlas Air, PTC, 7.63%, 1/2/15 3,300,000 3,102
- ---------------------------------------------------------------------------------------------
Aurora Foods, Sr. Sub. Notes, 9.875%, 2/15/07 750,000 776
- ---------------------------------------------------------------------------------------------
Ball, Sr. Notes, 7.75%, 8/1/06 500,000 488
- ---------------------------------------------------------------------------------------------
Banesto Delaware, Sub. Notes, 8.25%, 7/28/02 2,000,000 2,085
- ---------------------------------------------------------------------------------------------
Bank United, 10.25%, 12/31/26 1,000,000 960
- ---------------------------------------------------------------------------------------------
BankAmerica, Sub. Notes, 6.625%, 8/1/07 3,000,000 2,929
- ---------------------------------------------------------------------------------------------
Baxter International, 7.125%, 2/1/07 1,500,000 1,513
- ---------------------------------------------------------------------------------------------
BB & T, Sr. Sub. Notes, 6.375%, 6/30/05 3,000,000 2,912
- ---------------------------------------------------------------------------------------------
BCH Cayman Islands, Sub. Notes, 7.50%, 6/15/05 1,000,000 1,021
- ---------------------------------------------------------------------------------------------
BHP Finance, Gtd. Notes, 6.69%, 3/1/06 2,000,000 1,925
- ---------------------------------------------------------------------------------------------
<PAGE>
Boeing, 8.75%, 8/15/21 2,000,000 2,306
- ---------------------------------------------------------------------------------------------
Building Materials, Sr. Notes, 7.75%, 7/15/05 1,000,000 932
- ---------------------------------------------------------------------------------------------
Burlington Northern, PTC, 7.33%, 6/23/10 865,191 884
- ---------------------------------------------------------------------------------------------
Burlington Northern Santa Fe, 7.00%, 12/15/25 2,000,000 1,890
- ---------------------------------------------------------------------------------------------
BWAY, Sr. Sub. Notes, 10.25%, 4/15/07 1,050,000 1,092
- ---------------------------------------------------------------------------------------------
Century Telephone Enterprises, Sr. Notes, 8.25%, 5/1/24 500,000 509
- ---------------------------------------------------------------------------------------------
Chase Manahattan Auto Owner Trust, 5.85%, 5/15/03 4,000,000 3,971
- ---------------------------------------------------------------------------------------------
Chattem, Sr. Sub. Notes, 12.75%, 6/15/04 1,000,000 1,087
- ---------------------------------------------------------------------------------------------
Chemical Master Credit Card Trust I
5.55%, 9/15/03 100,000 99
- ---------------------------------------------------------------------------------------------
6.23%, 4/15/05 110,000 110
- ---------------------------------------------------------------------------------------------
Chrysler Financial, 5.875%, 2/7/01 2,000,000 1,995
- ---------------------------------------------------------------------------------------------
Cinemark USA, Sr. Sub. Notes, 8.50%, 8/1/08 500,000 465
- ---------------------------------------------------------------------------------------------
Citibank Credit Card Master Trust I, Zero Coupon, 2/7/03 170,000 155
- ---------------------------------------------------------------------------------------------
Citicorp Mortgage, 6.00%, 3/25/22 21,267 21
- ---------------------------------------------------------------------------------------------
Citizens Utilities, Deb. Notes, 7.00%, 11/1/25 1,500,000 1,458
- ---------------------------------------------------------------------------------------------
Coach USA, Gtd. Sr. Sub. Notes, 9.375%, 7/1/07 750,000 784
- ---------------------------------------------------------------------------------------------
Coca Cola Bottling, 7.20%, 7/1/09 $ 5,000,000 $ 4,996
- ---------------------------------------------------------------------------------------------
Coinmach, Sr. Sub. Notes, 11.75%, 11/15/05 500,000 548
- ---------------------------------------------------------------------------------------------
Colt Telecom, Sr. Disc. Notes
STEP, 0%, 12/15/06 1,250,000 1,037
- ---------------------------------------------------------------------------------------------
Comcast Cable Communications
8.125%, 5/1/04 1,500,000 1,572
- ---------------------------------------------------------------------------------------------
8.375%, 5/1/07 4,500,000 4,802
- ---------------------------------------------------------------------------------------------
Communications & Power Industries, Sr. Sub. Notes
12.00%, 8/1/05 1,000,000 1,027
- ---------------------------------------------------------------------------------------------
Conoco, Sr. Notes, 6.95%, 4/15/29 4,000,000 3,744
- ---------------------------------------------------------------------------------------------
Consolidated Contaniner, Sr. Sub. Notes, (144a)
10.125%, 7/15/09 1,000,000 1,014
- ---------------------------------------------------------------------------------------------
Consumers Energy, 1st Mtg., 7.375%, 9/15/23 3,500,000 3,289
- ---------------------------------------------------------------------------------------------
<PAGE>
Continental Airlines, PTC, 7.206%, 6/30/04 477,929 471
- ---------------------------------------------------------------------------------------------
Corestates Home Equity Loan
5.10%, 3/15/09 129,038 128
- ---------------------------------------------------------------------------------------------
6.65%, 5/15/09 144,008 144
- ---------------------------------------------------------------------------------------------
Corporacion Andina De Fomento, 6.75%, 3/15/05 2,500,000 2,350
- ---------------------------------------------------------------------------------------------
Countrywide Funding, MTN, 6.875%, 9/15/05 860,000 850
- ---------------------------------------------------------------------------------------------
Courtyard by Marriott II, Sr. Secured Notes
10.75%, 2/1/08 500,000 510
- ---------------------------------------------------------------------------------------------
Cox Communications, Deb. Notes, 6.375%, 6/15/00 1,500,000 1,505
- ---------------------------------------------------------------------------------------------
CSX, Deb. Notes, 7.45%, 5/1/07 1,000,000 1,014
- ---------------------------------------------------------------------------------------------
Delta Airlines, Deb. Notes, 8.95%, 1/12/12 1,504,271 1,611
- ---------------------------------------------------------------------------------------------
Deutsche Financial Capital, 6.75%, 9/15/27 1,994,080 2,006
- ---------------------------------------------------------------------------------------------
Dillards, 7.13%, 8/1/18 4,000,000 3,718
- ---------------------------------------------------------------------------------------------
Distribution Financial Services Trust, 6.96%, 9/15/17 6,000,000 5,917
- ---------------------------------------------------------------------------------------------
Doane Pet Care, Sr. Sub. Notes, 9.75%, 5/15/07 1,732,000 1,775
- ---------------------------------------------------------------------------------------------
Duke Energy, 1st Ref. Mtg.
6.75%, 8/1/25 1,000,000 905
- ---------------------------------------------------------------------------------------------
7.50%, 8/1/25 1,000,000 968
- ---------------------------------------------------------------------------------------------
Dyersburg, Sr. Sub. Notes, 9.75%, 9/1/07 500,000 205
- ---------------------------------------------------------------------------------------------
Dyncorp, Sr. Sub. Notes, 9.50%, 3/1/07 900,000 893
- ---------------------------------------------------------------------------------------------
Embotelladora Andina, 7.625%, 10/1/27 2,000,000 1,619
- ---------------------------------------------------------------------------------------------
Energis, Sr. Notes, (144a), 9.75%, 6/15/09 1,000,000 1,012
- ---------------------------------------------------------------------------------------------
Energy Corporation of America, Sr. Sub. Notes
9.50%, 5/15/07 1,000,000 912
- ---------------------------------------------------------------------------------------------
Enron Oil & Gas , 6.50%, 12/1/07 $ 4,000,000 $ 3,859
- ---------------------------------------------------------------------------------------------
Equitable Resources, Deb. Notes, 7.75%, 7/15/26 2,000,000 2,084
- ---------------------------------------------------------------------------------------------
Erac USA Finance , Sr. Notes, (144a), 6.75%, 5/15/09 5,000,000 4,771
- ---------------------------------------------------------------------------------------------
Exxon Capital, Gtd. Notes, 6.50%, 7/15/99 500,000 500
- ---------------------------------------------------------------------------------------------
Eye Care Centers of America, 9.125%, 5/1/08 1,000,000 875
- ---------------------------------------------------------------------------------------------
<PAGE>
Fairfax Financial Holdings
7.75%, 12/15/03 800,000 808
- ---------------------------------------------------------------------------------------------
8.30%, 4/15/26 2,500,000 2,437
- ---------------------------------------------------------------------------------------------
Federal Express, MTN, 9.95%, 8/15/06 500,000 568
- ---------------------------------------------------------------------------------------------
Federal Home Loan Mortgage, 6.45%, 4/29/09 2,000,000 1,928
- ---------------------------------------------------------------------------------------------
First Federal Financial, 11.75%, 10/1/04 750,000 787
- ---------------------------------------------------------------------------------------------
First USA Secured Note Trust, 6.50%, 1/18/06 4,000,000 3,924
- ---------------------------------------------------------------------------------------------
Fleet Financial Group, Sub. Notes
7.625%, 12/1/99 1,100,000 1,109
- ---------------------------------------------------------------------------------------------
8.625%, 1/15/07 800,000 870
- ---------------------------------------------------------------------------------------------
Fletcher Challenge, 9.00%, 9/15/99 270,000 272
- ---------------------------------------------------------------------------------------------
Flores & Rucks, Sr. Sub. Notes, 9.75%, 10/1/06 275,000 284
- ---------------------------------------------------------------------------------------------
Food Lion, 8.05%, 4/15/27 1,900,000 2,045
- ---------------------------------------------------------------------------------------------
Ford Capital , 9.50%, 6/1/10 4,000,000 4,666
- ---------------------------------------------------------------------------------------------
Ford Motor, Deb. Notes, 7.50%, 8/1/26 2,500,000 2,500
- ---------------------------------------------------------------------------------------------
Ford Motor Credit, 8.20%, 2/15/02 170,000 177
- ---------------------------------------------------------------------------------------------
Freeport McMoRan Resources, Sr. Notes
7.00%, 2/15/08 900,000 833
- ---------------------------------------------------------------------------------------------
Fresenius Med Care Capital Trust II, 7.875%, 2/1/08 1,000,000 930
- ---------------------------------------------------------------------------------------------
Frontiervision, Sr. Notes, 11.00%, 10/15/06 1,000,000 1,092
- ---------------------------------------------------------------------------------------------
Fundy Cable, Sr. Secured 2nd Priority Notes
11.00%, 11/15/05 125,000 136
- ---------------------------------------------------------------------------------------------
General Motors, Deb. Notes, 9.625%, 12/1/00 140,000 147
- ---------------------------------------------------------------------------------------------
General Motors Acceptance, MTN, 6.75%, 6/17/02 80,000 81
- ---------------------------------------------------------------------------------------------
Global Imaging Systems, Sr. Sub. Notes
(144a), 10.75%, 2/15/07 500,000 490
- ---------------------------------------------------------------------------------------------
GMAC Commercial Mortgage, 6.42%, 8/15/08 3,000,000 2,893
- ---------------------------------------------------------------------------------------------
Green Tree Financial, 5.75%, 10/15/18 61,343 61
- ---------------------------------------------------------------------------------------------
Group Maintenance America, Sr. Sub. Notes
(144a), 9.75%, 1/15/09 1,000,000 980
- ---------------------------------------------------------------------------------------------
<PAGE>
GTE Florida, Deb. Notes, 7.41%, 12/15/23 1,000,000 969
- ---------------------------------------------------------------------------------------------
Harcourt General, Sr. Notes, 6.70%, 8/1/07 $ 1,000,000 $ 949
- ---------------------------------------------------------------------------------------------
Harrahs Operating, Sr. Sub. Notes, 7.875%, 12/15/05 1,000,000 967
- ---------------------------------------------------------------------------------------------
Hawk, Sr. Notes, 10.25%, 12/1/03 750,000 772
- ---------------------------------------------------------------------------------------------
Hayes Lemmerz International, Gtd. Notes, (144a)
8.25%, 12/15/08 1,000,000 955
- ---------------------------------------------------------------------------------------------
HCC Industries, Sr. Sub. Notes, 10.75%, 5/15/07 675,000 614
- ---------------------------------------------------------------------------------------------
Herff Jones, Sr. Sub. Notes, 11.00%, 8/15/05 1,125,000 1,198
- ---------------------------------------------------------------------------------------------
Hermes Europe Railtel, Sr. Notes, 10.375%, 1/15/09 750,000 758
- ---------------------------------------------------------------------------------------------
Hollywood Park, 9.25%, 2/15/07 700,000 690
- ---------------------------------------------------------------------------------------------
Holmes Products, Gtd. Notes, 9.875%, 11/15/07 500,000 488
- ---------------------------------------------------------------------------------------------
Horseshoe Gaming, Sr. Sub. Notes, (144a)
8.625%, 5/15/09 425,000 411
- ---------------------------------------------------------------------------------------------
Host Marriott Travel, Sr. Notes, 9.50%, 5/15/05 1,000,000 1,030
- ---------------------------------------------------------------------------------------------
Houston Lighting & Power, 1st Mtg, 7.50%, 7/1/23 3,000,000 2,971
- ---------------------------------------------------------------------------------------------
Hudson Respiratory Care, Sr. Sub. Notes
9.125%, 4/15/08 400,000 332
- ---------------------------------------------------------------------------------------------
IBM, 6.45%, 8/1/07 1,000,000 994
- ---------------------------------------------------------------------------------------------
Intermedia Communications, Sr. Notes, (144a)
Zero Coupon, 3/1/09 1,000,000 568
- ---------------------------------------------------------------------------------------------
International Bank For Reconstruction & Development
7.625%, 1/19/23 1,800,000 2,038
- ---------------------------------------------------------------------------------------------
International Home Foods, Gtd. Sr. Sub. Notes
10.375%, 11/1/06 1,000,000 1,055
- ---------------------------------------------------------------------------------------------
International Wire, Sr. Sub. Notes, 11.75%, 6/1/05 500,000 520
- ---------------------------------------------------------------------------------------------
Intertek Finance, Sr. Sub. Notes, 10.25%, 11/1/06 500,000 483
- ---------------------------------------------------------------------------------------------
Iron Mountain, Sr. Sub. Notes, 8.75%, 9/30/09 500,000 490
- ---------------------------------------------------------------------------------------------
ISG Resources, Sr. Sub. Notes, 10.00%, 4/15/08 500,000 513
- ---------------------------------------------------------------------------------------------
Isle of Capri Casinos, Sr. Sub. Notes
(144a), 8.75%, 4/15/09 1,000,000 940
- ---------------------------------------------------------------------------------------------
<PAGE>
ISP Holdings, Sr. Notes, 9.75%, 2/15/02 1,000,000 1,007
- ---------------------------------------------------------------------------------------------
IT Group, Sr. Sub. Notes, (144a), 11.25%, 4/1/09 425,000 404
- ---------------------------------------------------------------------------------------------
Jefferson Pilot Capital Trust, (144a), 8.14%, 1/15/46 1,500,000 1,491
- ---------------------------------------------------------------------------------------------
KFW International Finance, MTN, 9.14%, 6/4/01 250,000 263
- ---------------------------------------------------------------------------------------------
Kimberly-Clark, Deb. Notes, 6.375%, 1/1/28 5,000,000 4,595
- ---------------------------------------------------------------------------------------------
King Pharmaceuticals, 10.75%, 2/15/09 450,000 464
- ---------------------------------------------------------------------------------------------
Koppers Industry, Sr. Sub. Notes, 9.875%, 12/1/07 650,000 634
- ---------------------------------------------------------------------------------------------
Lehman Brothers, Sr. Sub. Notes, 6.625%, 2/15/08 $ 1,500,000 $ 1,406
- ---------------------------------------------------------------------------------------------
Lehman Brothers Holdings, 8.875%, 3/1/02 1,500,000 1,569
- ---------------------------------------------------------------------------------------------
Liberty National Bank & Trust, Sub. Notes
6.75%, 6/1/03 500,000 503
- ---------------------------------------------------------------------------------------------
LNR Property, Sr. Sub. Notes, 9.375%, 3/15/08 500,000 475
- ---------------------------------------------------------------------------------------------
Loral, Sr. Notes, 7.625%, 6/15/04 1,500,000 1,541
- ---------------------------------------------------------------------------------------------
Lyondell Chemical, Sr. Sub. Notes, (144a)
10.875%, 5/1/09 750,000 772
- ---------------------------------------------------------------------------------------------
MCI WorldCom, Sr. Notes, 6.95%, 8/15/28 4,000,000 3,791
- ---------------------------------------------------------------------------------------------
Mail Well I, 8.75%, 12/15/08 1,000,000 975
- ---------------------------------------------------------------------------------------------
McDonnell Douglas, 8.25%, 7/1/00 500,000 511
- ---------------------------------------------------------------------------------------------
Metromedia Fiber Network, Sr. Notes, (144a)
10.00%, 11/15/08 400,000 411
- ---------------------------------------------------------------------------------------------
Metronet Communications, Sr. Notes, 12.00%, 8/15/07 500,000 576
- ---------------------------------------------------------------------------------------------
ML Capital Trust, Gtd. Notes, 9.875%, 3/1/27 500,000 552
- ---------------------------------------------------------------------------------------------
Mohegan Tribal Gaming Authority, Sr. Notes, (144a)
8.125%, 1/1/06 1,000,000 982
- ---------------------------------------------------------------------------------------------
Morgan Stanley, 6.875%, 3/1/07 4,000,000 3,979
- ---------------------------------------------------------------------------------------------
Mrs. Fields, Gtd. Sr. Sub. Notes, 10.125%, 12/1/04 275,000 248
- ---------------------------------------------------------------------------------------------
Nationsbank Credit Card Master Trust (Class A)
6.00%, 12/15/05 140,000 138
- ---------------------------------------------------------------------------------------------
<PAGE>
New Jersey Bell Telephone, Deb. Notes
6.80%, 12/15/24 2,500,000 2,319
- ---------------------------------------------------------------------------------------------
News America Holdings, Gtd. Sr. Deb. Notes
9.25%, 2/1/13 3,090,000 3,471
- ---------------------------------------------------------------------------------------------
Nextel Communications, Sr. Disc. Notes, STEP
0%, 10/31/07 1,000,000 702
- ---------------------------------------------------------------------------------------------
0%, 2/15/08 250,000 172
- ---------------------------------------------------------------------------------------------
Nextlink Communications
Sr. Disc. Notes, STEP, 0%, 6/1/09 500,000 293
- ---------------------------------------------------------------------------------------------
Sr. Notes, 12.50%, 4/15/06 1,000,000 1,092
- ---------------------------------------------------------------------------------------------
NGC, Sr. Notes, 6.75%, 12/15/05 1,000,000 970
- ---------------------------------------------------------------------------------------------
Niagara Mohawk, 1st Mtg., 7.75%, 5/15/06 2,000,000 2,090
- ---------------------------------------------------------------------------------------------
Norfolk Southern, 7.80%, 5/15/27 4,000,000 4,135
- ---------------------------------------------------------------------------------------------
Northland Cable Television, Sr. Sub. Notes
10.25%, 11/15/07 1,000,000 1,045
- ---------------------------------------------------------------------------------------------
Northrop Grumman, Deb. Notes, 7.875%, 3/1/26 $ 2,000,000 $ 1,986
- ---------------------------------------------------------------------------------------------
NTL Communications, Zero Coupon, 10/1/08 750,000 514
- ---------------------------------------------------------------------------------------------
NYNEX, Deb. Notes, 9.55%, 5/1/10 1,000,000 1,121
- ---------------------------------------------------------------------------------------------
Octel, Sr. Notes, 10.00%, 5/1/06 1,000,000 1,027
- ---------------------------------------------------------------------------------------------
Oracle, Sr. Notes, 6.91%, 2/15/07 3,000,000 2,952
- ---------------------------------------------------------------------------------------------
Orange & Rockland Utilities, Deb. Notes
9.375%, 3/15/00 1,500,000 1,535
- ---------------------------------------------------------------------------------------------
Owens & Minor, Sr. Sub. Notes, 10.875%, 6/1/06 1,250,000 1,328
- ---------------------------------------------------------------------------------------------
P & L Coal Holdings, Sr. Notes, 8.875%, 5/15/08 300,000 301
- ---------------------------------------------------------------------------------------------
Pacific Bell, Deb. Notes, 7.375%, 7/15/43 4,000,000 3,917
- ---------------------------------------------------------------------------------------------
Packaging Corp. of America, Sr. Sub. Notes
(144a), 9.625%, 4/1/09 1,000,000 1,015
- ---------------------------------------------------------------------------------------------
Paine Webber, Sr. Notes, 6.55%, 4/15/08 4,000,000 3,768
- ---------------------------------------------------------------------------------------------
Panamerican Beverages, Sr. Notes, 7.25%, 7/1/09 4,000,000 3,402
- ---------------------------------------------------------------------------------------------
Paragon Corporate Holdings, Sr. Notes, 9.625%, 4/1/08 1,000,000 580
- ---------------------------------------------------------------------------------------------
<PAGE>
Park Place Entertainment, Sr. Sub. Notes
7.875%, 12/15/05 750,000 713
- ---------------------------------------------------------------------------------------------
PDVSA Finance Limited, 7.40%, 8/15/16 2,000,000 1,529
- ---------------------------------------------------------------------------------------------
Pegasus Communications, Sr. Notes, 9.625%, 10/15/05 1,000,000 990
- ---------------------------------------------------------------------------------------------
Philadelphia Electric, 1st Ref. Mtg., 5.625%, 11/1/01 3,000,000 2,956
- ---------------------------------------------------------------------------------------------
Plains Resources, Sr. Sub. Notes, 10.25%, 3/15/06 500,000 508
- ---------------------------------------------------------------------------------------------
Plastic Containers, Sr. Secured Notes, 10.00%, 12/15/06 1,000,000 1,128
- ---------------------------------------------------------------------------------------------
Premier Parks, Sr. Disc. Notes
Sr. Disc. Notes, STEP, 0%, 4/1/08 1,000,000 664
- ---------------------------------------------------------------------------------------------
Sr. Notes, 9.75%, 6/15/07 500,000 505
- ---------------------------------------------------------------------------------------------
Price Communications Wireless, 9.125%, 12/15/06 1,000,000 1,040
- ---------------------------------------------------------------------------------------------
Prime Credit Card Master Trust, 6.70%, 7/15/04 140,000 141
- ---------------------------------------------------------------------------------------------
Protection One Alarm
Sr. Sub. Notes, (144a), 8.125%, 1/15/09 500,000 463
- ---------------------------------------------------------------------------------------------
Gtd. Sr. Disc. Notes, 13.625%, 6/30/05 850,000 948
- ---------------------------------------------------------------------------------------------
Province of Alberta, 9.25%, 4/1/00 1,000,000 1,025
- ---------------------------------------------------------------------------------------------
PSINet, Sr. Notes, 10.00%, 2/15/05 500,000 498
- ---------------------------------------------------------------------------------------------
Quantas Airways
Sr. Notes, 7.50%, 6/30/03 1,000,000 999
- ---------------------------------------------------------------------------------------------
7.75%, 6/15/09 4,690,000 4,708
- ---------------------------------------------------------------------------------------------
Quest Diagnostics, Gtd. Sr. Sub. Notes
10.75%, 12/15/06 500,000 566
- ---------------------------------------------------------------------------------------------
R&B Falcon, Sr. Notes, 6.75%, 4/15/05 $ 3,000,000 $ 2,490
- ---------------------------------------------------------------------------------------------
Rail Car Trust, PTC, 7.75%, 6/1/04 77,403 80
- ---------------------------------------------------------------------------------------------
Repap New Brunswick, Sr. Secured 1st Priority Notes
9.00%, 6/1/04 175,000 165
- ---------------------------------------------------------------------------------------------
(144a), 11.50%, 6/1/04 525,000 524
- ---------------------------------------------------------------------------------------------
Republic Services, 7.125%, 5/15/09 5,000,000 4,897
- ---------------------------------------------------------------------------------------------
Residential Accredit, 6.75%, 7/25/28 4,000,000 3,996
- ---------------------------------------------------------------------------------------------
RSL Communications, Gtd. Sr. Notes, 9.125%, 3/1/08 500,000 459
- ---------------------------------------------------------------------------------------------
<PAGE>
Safelite Glass, Sr. Sub. Notes, 9.875%, 12/15/06 500,000 460
- ---------------------------------------------------------------------------------------------
Santander Financial, Gtd. Sub. Notes, 6.375%, 2/15/11 3,000,000 2,760
- ---------------------------------------------------------------------------------------------
Satelites Mexicanos, Sr. Notes, 10.125%, 11/1/04 500,000 403
- ---------------------------------------------------------------------------------------------
Sears Credit Account Master Trust (Class A)
6.05%, 1/16/08 5,455,000 5,436
- ---------------------------------------------------------------------------------------------
6.45%, 10/16/06 70,000 71
- ---------------------------------------------------------------------------------------------
Security Benefit Life, (144a), 8.75%, 5/15/16 3,000,000 3,004
- ---------------------------------------------------------------------------------------------
Shoppers Food Warehouse, Sr. Notes, 9.75%, 6/15/04 1,000,000 1,070
- ---------------------------------------------------------------------------------------------
Siebe, (144a)
6.50%, 1/15/10 2,000,000 1,906
- ---------------------------------------------------------------------------------------------
7.125%, 1/15/07 1,500,000 1,555
- ---------------------------------------------------------------------------------------------
Smithfield Foods, Sr. Sub. Notes, 7.625%, 2/15/08 500,000 453
- ---------------------------------------------------------------------------------------------
Sovereign Speciality, Sr. Sub. Notes, 9.50%, 8/1/07 750,000 752
- ---------------------------------------------------------------------------------------------
Speedway Motorsports, Gtd. Sr. Sub. Notes
8.50%, 8/15/07 1,000,000 1,010
- ---------------------------------------------------------------------------------------------
Stena, Sr. Notes, 10.50%, 12/15/05 500,000 500
- ---------------------------------------------------------------------------------------------
Sun Media, Sr. Sub. Notes
9.50%, 2/15/07 550,000 569
- ---------------------------------------------------------------------------------------------
9.50%, 5/15/07 650,000 673
- ---------------------------------------------------------------------------------------------
Telewest Communications, Zero Coupon, 4/15/09 750,000 495
- ---------------------------------------------------------------------------------------------
Tenneco, 6.70%, 12/15/05 1,000,000 958
- ---------------------------------------------------------------------------------------------
The Pantry, Sr. Sub. Notes, 10.25%, 10/15/07 1,000,000 1,005
- ---------------------------------------------------------------------------------------------
Time Warner, Deb. Notes, 7.48%, 1/15/08 1,400,000 1,424
- ---------------------------------------------------------------------------------------------
Transwestern Publishing, 9.625%, 11/15/07 750,000 735
- ---------------------------------------------------------------------------------------------
TravelCenters of America, Sr. Sub. Notes
10.25%, 4/1/07 1,000,000 1,000
- ---------------------------------------------------------------------------------------------
Travelers Property Casualty, Sr. Notes,
6.75%, 11/15/06 1,500,000 1,473
- ---------------------------------------------------------------------------------------------
Triad Hospitals, Sr. Sub. Notes, (144a),
11.00%, 5/15/09 525,000 534
- ---------------------------------------------------------------------------------------------
<PAGE>
TRW, MTN, 7.37%, 4/18/07 2,000,000 1,995
- ---------------------------------------------------------------------------------------------
Union Bank Switzerland, Sub. Notes, 7.25%, 7/15/06 $ 1,000,000 $ 1,013
- ---------------------------------------------------------------------------------------------
United International Holdings, Sr. Disc. Notes
STEP, 0%, 2/15/08 1,000,000 665
- ---------------------------------------------------------------------------------------------
Universal Compression, Sr. Disc. Notes
STEP, 0%, 2/15/08 500,000 314
- ---------------------------------------------------------------------------------------------
US Can, Sr. Gtd. Notes, 10.125%, 10/15/06 475,000 494
- ---------------------------------------------------------------------------------------------
UtiliCorp United, Sr. Notes, 6.875%, 10/1/04 3,000,000 2,987
- ---------------------------------------------------------------------------------------------
Venture Holdings Trust, Sr. Notes,
(144a), 11.00%, 6/1/07 1,000,000 1,010
- ---------------------------------------------------------------------------------------------
Viasystems, Sr. Sub. Notes, 9.75%, 6/1/07 500,000 438
- ---------------------------------------------------------------------------------------------
Wal-Mart, 6.75%, 5/15/02 1,000,000 1,014
- ---------------------------------------------------------------------------------------------
Wesco Distribution, 9.125%, 6/1/08 1,000,000 967
- ---------------------------------------------------------------------------------------------
Westamerica Bank, Sub. Notes, 6.99%, 9/30/03 1,500,000 1,458
- ---------------------------------------------------------------------------------------------
Westpoint Stevens, Sr. Notes, 7.875%, 6/15/08 500,000 482
- ---------------------------------------------------------------------------------------------
Willamette Industries, MTN, 7.85%, 7/1/26 1,000,000 1,040
Total Corporate Bonds (Cost $332,302) 322,510
MORTGAGE-BACKED=SECURITIES==6.5%=============================================================
Federal Home Loan Mortgage Assn.
8.00%, 3/1/17 18,022 18
- ---------------------------------------------------------------------------------------------
10.00%, 10/1/10 40,497 43
- ---------------------------------------------------------------------------------------------
10.50%, 9/1/15 15,627 17
- ---------------------------------------------------------------------------------------------
Federal National Mortgage Assn.
6.00%, 10/25/08 3,835,000 3,717
- ---------------------------------------------------------------------------------------------
6.50%, 7/25/08 - 3/1/29 15,564,881 15,136
- ---------------------------------------------------------------------------------------------
7.00%, 8/17/10 - 4/1/26 8,054,563 8,169
- ---------------------------------------------------------------------------------------------
REMIC, 7.50%, 10/25/19 14,215 14
- ---------------------------------------------------------------------------------------------
<PAGE>
Government National Mortgage Assn.
I
6.00%, 1/15 - 5/15/24 2,126,652 1,998
- ---------------------------------------------------------------------------------------------
6.50%, 9/15/23 - 5/15/29 15,494,055 14,943
- ---------------------------------------------------------------------------------------------
7.00%, 10/15/22 - 5/15/29 25,413,297 25,124
- ---------------------------------------------------------------------------------------------
7.50%, 9/15/22 - 5/15/29 34,015,138 34,416
- ---------------------------------------------------------------------------------------------
8.00%, 6/15/17 - 11/15/28 15,551,210 16,046
- ---------------------------------------------------------------------------------------------
8.50%, 3/15/05 - 2/15/25 2,283,494 2,403
- ---------------------------------------------------------------------------------------------
9.00%, 5/15/16 - 6/15/21 1,021,533 1,093
- ---------------------------------------------------------------------------------------------
9.50%, 9/15/09 - 10/15/19 665,578 720
- ---------------------------------------------------------------------------------------------
10.00%, 11/15/09 - 5/15/13 25,881 28
- ---------------------------------------------------------------------------------------------
10.50%, 5/15/15 11,409 13
- ---------------------------------------------------------------------------------------------
11.00%, 3/15/10 - 1/15/20 $ 600,150 $ 671
- ---------------------------------------------------------------------------------------------
11.50%, 3/15/10 - 3/15/16 1,001,902 1,137
- ---------------------------------------------------------------------------------------------
II
8.50%, 6/20/25 - 6/20/26 2,835,223 2,969
- ---------------------------------------------------------------------------------------------
9.50%, 8/20/22 62,518 67
- ---------------------------------------------------------------------------------------------
10.00%, 10/20/16 - 1/20/22 71,038 78
- ---------------------------------------------------------------------------------------------
GPM, I
10.75%, 12/15/17 36,727 41
- ---------------------------------------------------------------------------------------------
ARM
6.625%, 8/20/23 124,074 126
- ---------------------------------------------------------------------------------------------
Project Loan
8.875%, 2/15/30 672,976 708
- ---------------------------------------------------------------------------------------------
LB Commercial Conduit Mortgage Trust
6.78%, 4/15/09 3,500,000 3,448
- ---------------------------------------------------------------------------------------------
U.S. Department of Veteran Affairs, VR
9.557%, 3/15/25 653,811 700
Total Mortgage-Backed Securities (Cost $135,401) 133,843
<PAGE>
U.S.=GOVERNMENT=OBLIGATIONS/=================================================================
AGENCIES==13.8%==============================================================================
Federal Home Loan Banks
6.34%, 10/19/05 4,875,000 4,883
- ---------------------------------------------------------------------------------------------
6.425%, 8/14/02 6,450,000 6,458
- ---------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Assn.
6.00%, 6/15/05 21,766 22
- ---------------------------------------------------------------------------------------------
Federal National Mortgage Assn.
5.80%, 12/10/03 13,000,000 12,813
- ---------------------------------------------------------------------------------------------
6.47%, 9/25/12 3,000,000 2,931
- ---------------------------------------------------------------------------------------------
6.50%, 4/1/29 4,973,381 4,799
- ---------------------------------------------------------------------------------------------
8.45%, 7/12/99 4,000,000 4,004
- ---------------------------------------------------------------------------------------------
MTN
6.34%, 2/4/08 10,000,000 9,738
- ---------------------------------------------------------------------------------------------
6.36%, 8/16/00 270,000 273
- ---------------------------------------------------------------------------------------------
Tennessee Valley Authority
8.25%, 9/15/34 435,000 437
- ---------------------------------------------------------------------------------------------
U.S. Treasury Bonds
6.50%, 11/15/26 $ 20,750,000 $ 21,516
- ---------------------------------------------------------------------------------------------
6.75%, 8/15/26 23,000,000 24,580
- ---------------------------------------------------------------------------------------------
7.125%, 2/15/23 12,500,000 13,829
- ---------------------------------------------------------------------------------------------
7.25%, 5/15/16 10,000,000 11,010
- ---------------------------------------------------------------------------------------------
8.125%, 8/15/19 - 8/15/21 3,650,000 4,439
- ---------------------------------------------------------------------------------------------
8.75%, 5/15/20 1,000,000 1,282
- ---------------------------------------------------------------------------------------------
11.625%, 11/15/04 20,000 25
- ---------------------------------------------------------------------------------------------
11.75%, 2/15/01 200,000 219
- ---------------------------------------------------------------------------------------------
13.125%, 5/15/01 200,000 227
- ---------------------------------------------------------------------------------------------
13.875%, 5/15/11 190,000 272
- ---------------------------------------------------------------------------------------------
<PAGE>
U.S. Treasury Notes
5.25%, 1/31/01 5,000,000 4,983
- ---------------------------------------------------------------------------------------------
5.625%, 5/15/08 7,650,000 7,497
- ---------------------------------------------------------------------------------------------
6.00%, 8/15/99 11,300,000 11,317
- ---------------------------------------------------------------------------------------------
6.125%, 9/30/00 790,000 797
- ---------------------------------------------------------------------------------------------
6.25%, 2/15/03 20,500,000 20,854
- ---------------------------------------------------------------------------------------------
6.50%, 5/31/02 - 8/15/05 60,500,000 62,178
- ---------------------------------------------------------------------------------------------
7.50%, 11/15/01 1,310,000 1,362
- ---------------------------------------------------------------------------------------------
7.75%, 1/31/00 - 2/15/01 16,800,000 17,103
- ---------------------------------------------------------------------------------------------
7.875%, 11/15/04 8,150,000 8,910
- ---------------------------------------------------------------------------------------------
8.00%, 5/15/01 5,000,000 5,215
- ---------------------------------------------------------------------------------------------
8.75%, 8/15/00 12,500,000 12,952
- ---------------------------------------------------------------------------------------------
U.S. Treasury Inflation-Indexed Notes
3.625%, 7/15/02 4,150,000 4,127
- ---------------------------------------------------------------------------------------------
Total=U.S.=Government=Obligations/===========================================================
Agencies (Cost $285,112) 281,052
SHORT-TERM=INVESTMENTS==0.7%=================================================================
Certificates of Deposit 0.0%
Chase Manhattan Bank, N.A., fixed deposit
2.00%, 12/31/99 MYR 1,149,356 287
- ---------------------------------------------------------------------------------------------
287
- ---------------------------------------------------------------------------------------------
<PAGE>
Money Market Funds 0.7%
Reserve Investment Fund, 5.05% # 15,197,028 15,197
- ---------------------------------------------------------------------------------------------
15,197
Total Short-Term Investments (Cost $15,464) 15,484
=Total=Investments=in=Securities=============================================================
98.1% of Net Assets (Cost $1,462,673) $ 2,005,118
Other Assets Less Liabilities 38,673
NET ASSETS $ 2,043,791
</TABLE>
- --------------------------------------------------------------------------------
# Seven-day yield
* Non-income producing
ADR American Depository Receipt
ARM Adjustable rate mortgage
GPM Graduated payment mortgage
L Local registered shares
MTN Medium term note
PTC Pass-through Certificate
REIT Real Estate Investment Trust
REMIC Real Estate Mortgage Investment Conduit
STEP Stepped coupon note for which the interest rate will adjust on
specified future date(s)
VR Variable Rate
144a Security was purchased pursuant to Rule 144a under the Securities
Act of 1933 and may not be resold subject to that rule except to
qualified institutional buyers--total of such securities at
period-end amounts to 1.4% of net assets.
AUD Australian dollar
CHF Swiss franc
DKK Danish krone
EUR Euro
GBP British sterling
HKD Hong Kong dollar
JPY Japanese yen
MXN Mexican peso
MYR Malaysian ringgit
NOK Norwegian krone
NZD New Zealand dollar
SEK Swedish krona
SGD Singapore dollar
ZAR South African rand
The accompanying notes are an integral part of these financial statements.
================================================================================
<PAGE>
T. Rowe Price Balanced Fund
- ---------------------------
Unaudited June 30, 1999
STATEMENT OF ASSETS AND LIABILITIES
----------------------------------- In thousands
Assets
Investments in securities, at value (Cost $1,462,673) $ 2,005,118
Securities lending collateral 255,882
Other assets 45,119
- -------------------------------------------------------------------------------
Total assets 2,306,119
==Liabilities==================================================================
Obligation to return securities lending collateral 255,882
Other liabilities 6,446
- -------------------------------------------------------------------------------
Total liabilities 262,328
- -------------------------------------------------------------------------------
NET ASSETS $ 2,043,791
===============================================================================
Net Assets Consist of:
Accumulated net investment income - net of distributions $ 331
Accumulated net realized gain/loss - net of distributions 14,493
Net unrealized gain (loss) 542,430
Paid-in-capital applicable to 105,642,475 shares of
$0.01 par value capital stock outstanding;
1,000,000,000 shares authorized 1,486,537
- --------------------------------------------------------------------------------
NET ASSETS $ 2,043,791
- --------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE $ 19.35
The accompanying notes are an integral part of these financial statements.
================================================================================
<PAGE>
T. Rowe Price Balanced Fund
- --------------------------- Unaudited
STATEMENT OF OPERATIONS
-----------------------
In thousands
6 Months
Ended
6/30/99
==Investment=Income============================================================
Income
Interest $ 25,200
Dividend 8,482
- -------------------------------------------------------------------------------
Total income 33,682
- -------------------------------------------------------------------------------
Expenses
Investment management 4,314
Shareholder servicing 2,525
Custody and accounting 137
Prospectus and shareholder reports 132
Registration 82
Legal and audit 7
Directors 5
Miscellaneous 8
- -------------------------------------------------------------------------------
Total expenses 7,210
Expenses paid indirectly (13)
- -------------------------------------------------------------------------------
Net expenses 7,197
- -------------------------------------------------------------------------------
Net investment income 26,485
- -------------------------------------------------------------------------------
==Realized=and=Unrealized=Gain=(Loss)==========================================
Net realized gain (loss)
Securities 15,780
Foreign currency transactions (14)
- -------------------------------------------------------------------------------
Net realized gain (loss) 15,766
- -------------------------------------------------------------------------------
Change in net unrealized gain or loss
Securities 61,764
Other assets and liabilities
denominated in foreign currencies (29)
- -------------------------------------------------------------------------------
Change in net unrealized gain or loss 61,735
- -------------------------------------------------------------------------------
Net realized and unrealized gain (loss) 77,501
- -------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET
ASSETS FROM OPERATIONS $ 103,986
The accompanying notes are an integral part of these financial statements.
================================================================================
<PAGE>
T. Rowe Price Balanced Fund
- --------------------------- Unaudited
STATEMENT OF CHANGES IN NET ASSETS
----------------------------------
In thousands
6 Months Year
Ended Ended
6/30/99 12/31/98
Increase=(Decrease)=in=Net=Assets=============================================
Operations
Net investment income $ 26,485 $ 43,875
Net realized gain (loss) 15,766 1,009
Change in net unrealized gain or loss 61,735 169,955
- ------------------------------------------------------------------------------
Increase (decrease) in net assets from operations 103,986 214,839
- ------------------------------------------------------------------------------
Distributions to shareholders
Net investment income (26,721) (43,309)
Net realized gain - (3,438)
- ------------------------------------------------------------------------------
Decrease in net assets from distributions (26,721) (46,747)
- ------------------------------------------------------------------------------
Capital share transactions*
Shares sold 562,556 544,483
Distributions reinvested 25,516 44,249
Shares redeemed (271,345) (326,249)
- ------------------------------------------------------------------------------
Increase (decrease) in net assets from capital
share transactions 316,727 262,483
- ------------------------------------------------------------------------------
Net=Assets====================================================================
Increase (decrease) during period 393,992 430,575
Beginning of period 1,649,799 1,219,224
- ------------------------------------------------------------------------------
==============================================================================
End of period $ 2,043,791 $ 1,649,799
==============================================================================
*Share information
Shares sold 29,819 31,158
Distributions reinvested 1,344 2,483
Shares redeemed (14,289) (18,593)
- ------------------------------------------------------------------------------
Increase (decrease) in shares outstanding 16,874 15,048
The accompanying notes are an integral part of these financial statements.
================================================================================
<PAGE>
T. Rowe Price Balanced Fund
- ---------------------------
Unaudited June 30, 1999
NOTES TO FINANCIAL STATEMENTS
-----------------------------
================================================================================
NOTE 1 - SIGNIFICANT ACCOUNTING POLICIES
================================================================================
T. Rowe Price Balanced Fund, Inc. (the fund) is registered under the
Investment Company Act of 1940 as a diversified, open-end management investment
company and commenced operations on December 31, 1939.
The accompanying financial statements are prepared in accordance with
generally accepted accounting principles for the investment company industry;
these principles may require the use of estimates by fund management.
Valuation Equity securities listed or regularly traded on a securities
exchange are valued at the last quoted sales price on the day the valuations are
made. A security which is listed or traded on more than one exchange is valued
at the quotation on the exchange determined to be the primary market for such
security. Listed securities not traded on a particular day and securities
regularly traded in the over-the-counter market are valued at the mean of the
latest bid and asked prices. Other equity securities are valued at a price
within the limits of the latest bid and asked prices deemed by the Board of
Directors, or by persons delegated by the Board, best to reflect fair value.
Debt securities are generally traded in the over-the-counter market and are
valued at a price deemed best to reflect fair value as quoted by dealers who
make markets in these securities or by an independent pricing service.
Investments in mutual funds are valued at the closing net asset value per
share of the mutual fund on the day of valuation.
For purposes of determining the fund's net asset value per share, the U.S.
dollar value of all assets and liabilities initially expressed in foreign
currencies is determined by using the mean of the bid and offer prices of such
currencies against U.S. dollars quoted by a major bank.
Assets and liabilities for which the above valuation procedures are
inappropriate or are deemed not to reflect fair value are stated at fair value
as determined in good faith by or under the supervision of the officers of the
fund, as authorized by the Board of Directors.
Currency Translation Assets and liabilities are translated into U.S.
dollars at the prevailing exchange rate at the end of the reporting period.
Purchases and sales of securities and income and expenses are translated into
U.S. dollars at the prevailing exchange rate on the dates of such transactions.
The effect of changes in foreign exchange rates on realized and unrealized
security gains and losses is reflected as a component of such gains and losses.
<PAGE>
Premiums and Discounts Premiums and discounts on debt securities, other
than mortgage-backed securities (MBS), are amortized for both financial
reporting and tax purposes. Premiums and discounts on all MBS are recognized
upon disposition or principal repayment as gain or loss for financial reporting
purposes. For tax purposes, premiums and discounts on MBS acquired on or before
June 8, 1997, are recognized upon disposition or principal repayment as ordinary
income. For MBS acquired after June 8, 1997, premiums are recognized as gain or
loss; discounts are recognized as gain or loss, except to the extent of accrued
market discount.
Other Income and expenses are recorded on the accrual basis. Investment
transactions are accounted for on the trade date. Realized gains and losses are
reported on the identified cost basis. Dividend income and distributions to
shareholders are recorded by the fund on the ex-dividend date. Income and
capital gain distributions are determined in accordance with federal income tax
regulations and may differ from those determined in accordance with generally
accepted accounting principles. Expenses paid indirectly reflect credits earned
on daily, uninvested cash balances at the custodian, used to reduce the fund's
custody charges.
================================================================================
NOTE 2 - INVESTMENT TRANSACTIONS
================================================================================
Consistent with its investment objective, the fund engages in the following
practices to manage exposure to certain risks or enhance performance. The
investment objective, policies, program, and risk factors of the fund are
described more fully in the fund's prospectus and Statement of Additional
Information.
Securities Lending The fund lends its securities to approved brokers to
earn additional income and receives cash and U.S. government securities as
collateral against the loans. Cash collateral received is invested in a money
market pooled account by the fund's lending agent. Collateral is maintained over
the life of the loan in an amount not less than 100% of the value of loaned
securities. Although risk is mitigated by the collateral, the fund could
experience a delay in recovering its securities and a possible loss of income or
value if the borrower fails to return them. At June 30, 1999, the value of
loaned securities was $229,867,000; aggregate collateral consisted of
$255,882,000 in the securities lending collateral pool and U.S. government
securities valued at $1,006,000.
Other Purchases and sales of portfolio securities, other than short-term
and U.S. government securities, aggregated $312,201,000 and $103,063,000,
respectively, for the six months ended June 30, 1999. Purchases and sales of
U.S. government securities aggregated $215,435,000 and $142,227,000,
respectively, for the six months ended June 30, 1999.
<PAGE>
================================================================================
NOTE 3 - FEDERAL INCOME TAXES
================================================================================
No provision for federal income taxes is required since the fund intends to
continue to qualify as a regulated investment company and distribute all of its
taxable income.
At June 30, 1999, the cost of investments for federal income tax purposes
was substantially the same as for financial reporting and totaled
$1,462,673,000. Net unrealized gain aggregated $542,445,000 at period-end, of
which $584,032,000 related to appreciated investments and $41,587,000 to
depreciated investments.
================================================================================
NOTE 4 - RELATED PARTY TRANSACTIONS
================================================================================
The investment management agreement between the fund and T. Rowe Price
Associates, Inc. (the manager) provides for an annual investment management fee,
of which $774,000 was payable at June 30, 1999. The fee is computed daily and
paid monthly, and consists of an individual fund fee equal to 0.15% of average
daily net assets and a group fee. The group fee is based on the combined assets
of certain mutual funds sponsored by the manager or Rowe Price-Fleming
International, Inc. (the group). The group fee rate ranges from 0.48% for the
first $1 billion of assets to 0.30% for assets in excess of $80 billion. At June
30, 1999, and for the six months then ended, the effective annual group fee rate
was 0.32%. The fund pays a pro-rata share of the group fee based on the ratio of
its net assets to those of the group.
In addition, the fund has entered into agreements with the manager and two
wholly owned subsidiaries of the manager, pursuant to which the fund receives
certain other services. The manager computes the daily share price and maintains
the financial records of the fund. T. Rowe Price Services, Inc. is the fund's
transfer and dividend disbursing agent and provides shareholder and
administrative services to the fund. T. Rowe Price Retirement Plan Services,
Inc. provides subaccounting and recordkeeping services for certain retirement
accounts invested in the fund. The fund incurred expenses pursuant to these
related party agreements totaling approximately $2,255,000 for the six months
ended June 30, 1999, of which $413,000 was payable at period-end.
The fund may invest in the Reserve Investment Fund and Government Reserve
Investment Fund (collectively, the Reserve Funds), open-end management
investment companies managed by T. Rowe Price Associates, Inc. The Reserve Funds
are offered as cash management options only to mutual funds and other accounts
managed by T. Rowe Price and its affiliates and are not available to the public.
The Reserve Funds pay no investment management fees. Distributions from the
Reserve Funds to the fund for the six months ended June 30, 1999, totaled
$1,190,000 and are reflected as interest income in the accompanying Statement of
Operations.
================================================================================
<PAGE>
FOR YIELD, PRICE, LAST
TRANSACTION, CURRENT BALANCE,
OR TO CONDUCT TRANSACTIONS, 24
HOURS, 7 DAYS A WEEK, CALL
TELE*ACCESS [REGISTRATION
MARK:] 1-800-638-2587 toll
free
FOR ASSISTANCE WITH YOUR
EXISTING FUND ACCOUNT, CALL:
Shareholder Service Center
1-800-225-5132 toll free
410-625-6500 Baltimore area
TO OPEN A BROKERAGE ACCOUNT OR
OBTAIN INFORMATION, CALL:
1-800-638-5660 toll free
INTERNET ADDRESS:
www.troweprice.com
T. Rowe Price Associates 100
East Pratt Street Baltimore,
Maryland 21202 This report is
authorized for distribution
only to shareholders and to
others who have received a
copy of the prospectus
appropriate to the fund or
funds covered in this report.
INVESTOR CENTERS:
101 East Lombard St.
Baltimore, MD 21202
T. Rowe Price
Financial Center
10090 Red Run Blvd.
Owings Mills, MD 21117
Farragut Square
900 17th Street, N.W.
Washington, D.C. 20006
4200 West Cypress St.
10th Floor
Tampa, FL 33607
4410 ArrowsWest Drive
Colorado Springs, CO 80907
Warner Center
21800 Oxnard Street, Suite 270
Woodland Hills, CA 91367
T. Rowe Price Investment Services, Inc., Distributor. F68-051 6/30/99
