(2_FIDELITY_LOGOS)FIDELITY
ASSET MANAGER(Registered trademark)
SEMIANNUAL REPORT
MARCH 31, 1994
CONTENTS
PRESIDENT'S MESSAGE 3 Ned Johnson on investing
strategies.
PERFORMANCE 4 How the fund has done over time.
MARKET RECAP 6 An overview of the market's
performance and the factors driving
it.
FUND TALK 7 The manager's review of fund
performance, strategy, and outlook.
INVESTMENT CHANGES 11 A summary of major shifts in the
fund's investments over the last six
months.
INVESTMENTS 12 A complete list of the fund's
investments with their market value.
FINANCIAL STATEMENTS 68 Statements of assets and liabilities,
operations, and changes in net
assets, as well as financial
highlights.
NOTES 72 Footnotes to the financial
statements.
REPORT OF INDEPENDENT 77 The auditor's opinion
ACCOUNTANTS
THIS REPORT AND THE FINANCIAL STATEMENTS CONTAINED HEREIN ARE SUBMITTED FOR
THE GENERAL
INFORMATION OF THE SHAREHOLDERS OF THE FUND. THIS REPORT IS NOT AUTHORIZED
FOR
DISTRIBUTION TO PROSPECTIVE INVESTORS IN THE FUND UNLESS PRECEDED OR
ACCOMPANIED BY
AN EFFECTIVE PROSPECTUS. NEITHER THE FUND NOR FIDELITY DISTRIBUTORS
CORPORATION IS A
BANK, AND FUND SHARES ARE NOT BACKED OR GUARANTEED BY ANY BANK OR INSURED
BY THE
FDIC.
PRESIDENT'S MESSAGE
DEAR SHAREHOLDER:
The first few months of 1994 were an unsettling time for many investors.
After three years of almost consistently strong market conditions, stock
and bond prices fell in March. Investors disagree about whether these
declines represent only short-term corrections or signal the beginning of
longer market downturns. One can collect statistics to support either
opinion, but of course, nobody knows for sure what will happen in the
months ahead.
We do know, however, that market declines are a normal part of investing.
That's why I thought this might be a good time to review three basic
investment principals that have proven helpful to successful investors in
every market cycle.
First, take a long-term perspective. If you can afford to leave your money
invested throughout the inevitable ups and downs of the markets, you'll
greatly reduce your vulnerability to any single decline.
Second, you can further manage risk by diversifying your investments. The
Asset Manager funds are already diversified because they invest in stocks,
bonds, and cash equivalents, both here and abroad. You can increase your
diversification by investing in a number of different stock funds, or in
different investment categories, such as bonds. But you should always keep
any money you'll need in the near future in a stable investment, such as a
money market fund.
Finally, it makes good sense to follow a regular investment plan, investing
a set amount of money at the same time each month or quarter. That way, you
can avoid getting caught up in the excitement of a rapidly-rising market -
and won't end up buying all your shares at market highs. This strategy
won't protect you from a loss in continuously declining markets, but it
should help you lower the cost of your purchases.
If you have questions, please call us at 1-800-544-8888. We would be happy
to send you a Fidelity FundMatch kit, which can help you determine the mix
of investments that is right for you. You might also find it convenient to
set up a regular investment plan using the Fidelity Automatic Account
Builder.
We look forward to hearing from you.
Best regards,
Edward C. Johnson 3d
PERFORMANCE: THE BOTTOM LINE
There are several ways to evaluate a fund's historical performance. You can
look at the total percentage change in value, the average annual percentage
change, or the growth of a hypothetical $10,000 investment. Each
performance figure includes changes in a fund's share price, plus
reinvestment of any dividends (or income) and capital gains (the profits
the fund earns when it sells stocks that have grown in value).
CUMULATIVE TOTAL RETURNS
PERIODS ENDED MARCH 31, 1994 PAST 6 PAST 1 PAST 5 LIFE OF
MONTHS YEAR YEARS FUND
Asset Manager 1.98% 10.53% 92.72% 99.27%
S&P 500(Registered trademark) -1.55% 1.47% 77.23% 90.46%
Average Flexible Portfolio Fund -1.35% 4.00% 65.95% n/a
Consumer Price Index 1.45% 2.51% 20.36% 22.16%
CUMULATIVE TOTAL RETURNS reflect the fund's actual performance over a set
period - in this case, six months, one year, five years or since the fund
began on December 28, 1988. For example, if you invested $1,000 in a fund
that had a 5% return over one year you would end up with $1,050. You can
compare the fund's returns to those of the S&P 500 - a common proxy for
the U.S. stock market. You can also compare them to the average flexible
portfolio fund, which currently reflects the performance of 114 funds
tracked by Lipper Analytical Services. Both benchmarks include reinvested
dividends and capital gains, if any, and exclude the effect of sales
charges. Comparing the fund's performance to the consumer price index helps
show how your investment did compared to inflation. (The periods covered by
the CPI numbers are the closest available match to those covered by the
fund.)
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED MARCH 31, 1994 PAST 1 PAST 5 LIFE OF
YEAR YEARS FUND
Asset Manager 10.53% 14.02% 14.01%
S&P 500 1.47% 12.13% 13.03%
Average Flexible Portfolio Fund 4.00% 10.58% n/a
Consumer Price Index 2.51% 3.78% 3.88%
AVERAGE ANNUAL TOTAL RETURNS take the fund's actual (or cumulative) return
and show you what would have happened
if the fund had performed at a constant rate each year.
$10,000 OVER LIFE OF FUND
Fidelity Asset Standard & PoorFidelity Compos
12/31/88 10000.00 10000.00 10000.00
01/31/89 10378.86 10732.00 10291.60
02/28/89 10219.34 10464.77 10200.52
03/31/89 10309.07 10708.60 10320.38
04/30/89 10578.27 11264.38 10593.04
05/31/89 10887.34 11720.59 10846.43
06/30/89 11006.98 11653.78 10999.47
07/31/89 11326.02 12706.12 11415.14
08/31/89 11355.93 12955.15 11426.55
09/30/89 11355.93 12902.04 11453.98
10/31/89 11405.78 12602.71 11519.49
11/30/89 11485.54 12859.81 11656.69
12/31/89 11527.70 13168.44 11771.16
01/31/90 11158.89 12284.84 11487.36
02/28/90 11243.19 12443.31 11560.76
03/31/90 11359.10 12773.06 11674.52
04/30/90 11169.43 12453.74 11566.76
05/31/90 11759.52 13667.97 12058.70
06/30/90 11854.35 13575.03 12133.82
07/31/90 11843.81 13531.59 12207.84
08/31/90 11443.40 12308.34 11830.25
09/30/90 11211.58 11708.92 11724.49
10/31/90 11243.19 11658.57 11808.55
11/30/90 11780.59 12411.72 12162.69
12/31/90 12147.79 12758.00 12361.92
01/31/91 12795.97 13314.25 12597.66
02/28/91 13354.75 14266.22 12913.10
03/31/91 13578.26 14611.46 13053.34
04/30/91 13790.59 14646.53 13138.97
05/31/91 14137.03 15279.26 13347.62
06/30/91 13835.29 14579.47 13174.63
07/31/91 14204.09 15258.87 13439.44
08/31/91 14528.18 15620.51 13678.66
09/30/91 14550.53 15359.65 13743.64
10/31/91 14662.28 15565.47 13865.96
11/30/91 14405.25 14938.18 13770.42
12/31/91 15019.77 16647.11 14448.89
01/31/92 15236.75 16337.47 14290.96
02/29/92 15526.05 16549.86 14382.28
03/31/92 15526.05 16227.13 14278.30
04/30/92 15743.03 16704.21 14453.92
05/31/92 15899.74 16786.06 14595.86
06/30/92 15899.74 16535.95 14602.28
07/31/92 16225.21 17212.27 14998.88
08/31/92 16152.88 16859.42 14941.28
09/30/92 16273.43 17058.36 15106.53
10/31/92 16249.32 17118.06 15046.41
11/30/92 16610.95 17701.79 15247.13
12/31/92 16934.15 17919.52 15434.06
01/31/93 17225.46 18070.05 15626.98
02/28/93 17402.78 18315.80 15844.82
03/31/93 17975.72 18702.26 16007.39
04/30/93 18052.43 18249.67 15910.07
05/31/93 18435.98 18738.76 16080.94
06/30/93 18668.09 18793.10 16251.72
07/31/93 18951.92 18717.93 16272.52
08/31/93 19493.77 19427.34 16672.83
09/30/93 19481.55 19277.75 16655.82
10/31/93 20054.16 19676.80 16827.04
11/30/93 20015.12 19489.87 16697.47
12/31/93 20877.86 19725.69 16813.02
01/31/94 21555.71 20396.37 17143.23
02/28/94 20877.86 19841.59 16817.51
03/31/94 19867.87 18976.49 16382.94
$10,000 OVER LIFE OF FUND: Let's say you invested $10,000 in Fidelity
Asset Manager on December 31, 1988, shortly after the fund started. As the
chart shows, by March 31, 1994, the value of your investment would have
grown to $19,868 - a 98.68% increase on your initial investment. For
comparison, look at how the S&P 500 did over the same period. With
dividends reinvested, the same $10,000 investment would have grown to
$18,978 - an 89.78% increase. You can also look at how the Asset
Allocation Composite Index, a hypothetical combination of unmanaged
indices, did over the same period. Reflecting the fund's neutral mix of 40%
stocks, 40% bonds, and 20% short-term instruments, this index combines
returns from the S&P 500 (89.78%), Lehman Brothers Treasury Bond Index
(64.81%), and the Salomon Brothers 3-month T-Bill Total Rate of Return
Index (33.42%). With dividends and interest, if any, reinvested, a $10,000
investment in the index would have grown to $16,384 - a 63.84% increase.
UNDERSTANDING
PERFORMANCE
How a fund did yesterday is
no guarantee of how it will do
tomorrow. The stock market,
for example, has a history of
growth in the long run and
volatility in the short run. In
turn, the share price and
return of a fund that invests in
stocks will vary. That means if
you sell your shares during a
market downturn, you might
lose money. But if you can
ride out the market's ups and
downs, you may have a gain.
(checkmark)
MARKET RECAP
A sharp correction in many of the world's stock and bond markets in early
1994 dampened returns for investors over the six months ended March 31,
1994.
STOCKS: The Standard & Poor's 500 stock index - a broad measure of the
U.S. market's overall performance - finished the six-month period with a
total return of -1.55%. U.S. stocks performed well through January 1994,
boosted by a strengthening economy, low interest rates, and low inflation.
However, stocks tumbled in February and March after the Federal Reserve
Board raised short-term interest rates for the first time in five years.
Continued poor performance from consumer non-durable stocks - including
those of most consumer products, retail, tobacco, and drug companies -
dragged down the index. Market leaders included technology stocks and
cyclicals - stocks in categories such as autos, heavy machinery, and
precious metals that are especially sensitive to changes in the economy.
Cyclicals boosted the Dow Jones Industrial Average, which returned 3.63%.
However, the NASDAQ Composite Index - which tracks over-the-counter stocks
- - - fell 2.53%. Although many foreign markets also suffered corrections in
the first quarter of 1994, the Morgan Stanley EAFE (Europe, Australia, Far
East) index rose 4.39% during the six months ended March 31. In most
emerging markets, strong gains in late 1993 helped offset downturns in
early 1994. The Morgan Stanley Emerging Markets Index was up 20.61% for the
six month period.
BONDS: Falling interest rates continued to push up U.S. bond prices through
mid-October 1993, when the yield on the benchmark 30-year Treasury bond
reached a historic low of 5.79%. Yields then moved within a narrow range
until early February 1994, when the Federal Reserve Board raised the
federal funds rate - the rate banks charge each other for overnight loans -
from 3.00% to 3.25%. That rate hike, and another in March, ignited heavy
selling in the U.S. bond market through the end of the period, as investors
feared a stronger economy might lead to higher inflation. As yields rose
sharply - the 30-year Treasury was yielding 7.18% by March 31 - prices
fell. For the six months ended March 31, the Lehman Brothers long-term
Treasury index had a total return (yield plus price change) of -7.57%. A
broader measure of the U.S. bond market, the Lehman Brothers Aggregate Bond
Index, returned -2.81% during the period. The negative effects of rising
interest rates on high-yield bonds were somewhat offset by improvements in
their credit quality due to the strengthening economy. The Salomon Brothers
Composite High Yield Index rose 1.06%. Worldwide, the falling U.S. bond
market helped trigger a correction in most foreign markets. In addition,
heavy selling by leveraged hedge funds - aggressively managed private
partnerships - helped fuel falling prices. The J.P. Morgan Emerging Market
Bond Index had a total return of -7.27% for the six-month period.
FUND TALK: THE MANAGER'S OVERVIEW
An interview with Bob Beckwitt,
Portfolio Manager of Fidelity Asset Manager
Q. BOB, HOW HAS THE FUND PERFORMED RECENTLY?
A. Better than its peers. That said, the investment climate was such that
Asset Manager's absolute performance probably disappointed many investors.
For the six months ended March 31, 1994, the fund's total return was 1.98%.
This compares to a loss of 1.35% for the average flexible portfolio fund,
according to Lipper Analytical Services. Over the last 12 months, Asset
Manager's total return was 10.53%, compared to an average of 4.00% for all
funds in that Lipper group.
Q. THAT'S WELL BELOW ASSET MANAGER'S AVERAGE ANNUAL RETURN OF 14.01% OVER
THE LIFE OF THE FUND. WHAT HAPPENED?
A. To better understand, it may help to review Asset Manager's investment
strategy. It has two parts. First, I search both inside and outside the
United States for asset classes that have the potential for attractive
intermediate and long-term returns. (By asset classes I mean mainly stocks,
bonds and cash equivalents.) Second, once I've chosen the asset classes, I
try to diversify among them. The fund's goal has two parts as well: solid
returns, but with less risk than if I were to put all the fund's eggs in
one basket. Until recently, the strategy helped the fund achieve both
goals. Lately, though, it has failed to protect the fund against losses
because neither stocks nor bonds have performed well.
Q. DOES THAT MEAN THE FUND'S STRATEGY IS FLAWED?
A. No, I still believe strongly in the long-term benefits of
diversification. The theory is simply that when you invest in many
different things, some zig while others zag, and the fund as a whole
benefits. Of course, part of the strategy involves making gradual
adjustments to the fund's mix as conditions change. At the end of March,
for example, Asset Manager was 43% invested in stocks, compared with 51%
six months ago. It was 37% in bonds, compared with 33% six months ago; and
20% in cash and short-term investments, compared with 16% six months ago.
Unfortunately, no amount of tinkering would have helped much during the
first quarter of 1994, when nearly every asset class in the world went in
one direction, and that was down. Losses ranged from approximately 5% for
the average U.S. stock to 25% for stocks traded on the Hong Kong exchange;
and from 4% for U.S. bonds to 20% for emerging market bonds. Practically
the only investors who didn't lose money after January were those who put
everything they had in cash.
Q. WHAT HURT THE FUND MOST?
A. Bonds did, especially the fund's 15% stake in emerging markets. It's
important to remember that on the whole, bonds issued in Latin America
contributed greatly to the fund's performance over the last several years.
But when U.S. interest rates shot up in early February and bond prices
fell, emerging markets suffered disproportionately. That was mostly because
emerging markets are smaller than the U.S. market, and tend to be more
volatile. Political and economic uncertainty in Mexico contributed as well.
Q. DID EUROPEAN BONDS FARE ANY BETTER?
A. Just a little bit. I had thought bonds would rally in Europe, where
inflation seemed less worrisome than in the United States and economic
growth was not so robust. European bonds averaged 7% of the fund during the
period. As it turns out, my analysis was probably correct. However, when
the Federal Reserve raised short-term interest rates at home and the cost
of financing went up, large investors who had borrowed heavily to finance
investments in European bonds began selling, and markets plunged. Since
European markets are smaller than the U.S. market, they tend to be more
volatile.
Q. DERIVATIVES HAVE BEEN IN THE NEWS A LOT LATELY. WHAT ARE DERIVATIVES AND
WHY DOES THE FUND OWN THEM?
A. There are many kinds of derivatives, but most of those I invested in are
indexed securities, or structured notes. These types of derivatives are
like customized bonds. They allow me to take advantage of potential
opportunities I might otherwise miss. For example, in Europe, short-term
interest rates fell much faster through January than long-term rates.
Because bond prices and interest rates move in opposite directions, one way
to profit from that scenario would have been to buy short-term European
bonds. But short-term bonds are not very volatile, and the potential return
would have been small. Instead I tried to enhance the fund's return by
investing in structured notes that were as volatile as long-term bonds, but
whose prices varied depending on what happened with short-term interest
rates. About 8% of the fund was in structured notes on March 31, 1994.
Q. ARE DERIVATIVES RISKY?
A. Sure they are, especially if you don't know how to use them. However,
from our perspective there are two kinds of risk associated with the fund's
use of derivatives: market risk - Fidelity's market forecast could be
wrong; and credit risk - the issuer could go bankrupt and fail to hold up
its end of the bargain. These are basically the same risks Fidelity fund
managers assume with nearly every investment they make.
Q. DID DERIVATIVES HELP OR HURT THE FUND DURING THE LAST SIX MONTHS?
A. Neither. The performance of most of the derivatives I used was tied to
the performance of various underlying assets, allowing me to isolate
specific opportunities within assets classes. As I indicated, derivatives
tied to short-term interest rates in Europe were strong performers through
January, and poor performers after that. On the other hand, as inflationary
pressures have increased, derivatives tied to commodity prices have
performed very well. The fund invested about the same amount in both kinds
of derivatives, and the net effect on performance was a small negative.
Q. HAS THE RECENT TURMOIL IN MEXICO CHANGED YOUR THINKING ABOUT THAT
COUNTRY'S INVESTMENT POTENTIAL?
A. No. I've had long-standing investments in Mexico - first, in short-term
bonds denominated in pesos, then, in longer-term bonds denominated in U.S.
dollars and, since the middle of last year, in stocks. Mexican investments
totaled 13.9% of the fund at the end of March. I had increased the fund's
stake in Mexico last summer in anticipation of passage of the North
American Free Trade Agreement, and the fund benefited as a result.
Unfortunately, the January revolt in Chipas and the March assassination of
Mexico's leading presidential candidate upset the markets, and the fund
gave back about half of its recent gains. However, I still believe in
Mexico's long-term prospects for economic reform. NAFTA's passage was a
seminal event, and its importance should not be underestimated. Despite the
short-term uncertainty in Mexico, I believe its long-term potential remains
high. Unless conditions worsen, I plan on staying invested.
Q. WHAT LED YOU TO REDUCE THE FUND'S TOTAL INVESTMENTS IN STOCKS?
A. Two things. First, stocks as an asset class were expensive when the
period started, and became more so during the last three months of 1993 and
the first month of 1994. And second, as interest rates have risen and bond
prices have fallen, bonds have begun to look more attractive by comparison.
Nevertheless, I've preserved large investments in stocks, concentrating
domestically in the technology and finance sectors. Among the fund's
largest holdings throughout the period were companies that stand to profit
from increased capital investment, including Intel, Compaq and Motorola.
That's a trend I've been betting on for a couple of years. Foreign stocks
made up more than 13% of the fund at the end of March, led by British
Petroleum, whose outlook has improved thanks to aggressive cost-cutting.
Q. WHAT'S AHEAD FOR THE FUND?
A. I think it depends on how far ahead you're willing to look. Over the
short term - meaning the next few months or so - we could well see further
drops in world markets. That shouldn't surprise anyone, given the almost
uninterrupted gains we've enjoyed since 1990. But over the next one to
three years, I think the picture should brighten. I still believe in the
long-term potential of countries in Latin America and Southeast Asia whose
economies are growing roughly twice as fast as those of the United States,
Europe and Japan. That bodes well for emerging market stocks, of course, as
company earnings grow; but also for bonds, as these countries improve their
ability to pay off debt. European bonds remain attractive for another
reason: growth on the continent is slow, unemployment is high, and
therefore inflationary pressures are minimal. I still think European
interest rates will fall, although perhaps not as fast as expected.
Overall, in terms of asset allocation, the fund is in a neutral mode for
now, with more cash and fewer stocks than at any time during the past two
years.
FUND FACTS
GOAL: high total return with
reduced risk over the long
term by allocating assets
among stocks, bonds, and
short-term instruments
anywhere in the world
START DATE: December 28, 1988
SIZE: as of March 31, 1994,
over $10 billion
MANAGER: Robert Beckwitt,
since December 1988;
Fidelity Asset Manager:
Growth, since 1991; Fidelity
Asset Manager: Income,
since 1991
(checkmark)
BOB BECKWITT ON INVESTING AND
RISK:
"I think anyone who is worried
about the recent performance
of the fund should try to
answer one simple question:
`What is your investment
horizon?' If it's less than four
years, then Asset Manager
may not be the right
investment for you. As an
alternative, you might want to
consider a more conservative
fund like Asset Manager:
Income, or maybe even a
money market fund. Asset
Manager is not designed for
investors unwilling to accept
short-term losses."
(bullet) The fund's neutral mix is
40% stocks, 40% bonds and
20% cash and short-term
investments. At the end of
the period, the fund was
positioned very close to that
mix, with 43% in stocks, 37%
in bonds and 20% in cash
and short-term investments.
Foreign investments totaled
36%. For holdings by
country, see page 67.
(bullet) So-called junk bonds -
those with credit ratings of BB
or lower - made up 11.6% of
the fund at the end of March.
Over the last several months,
they've proven less
vulnerable to rising interest
rates than domestic
investment-grade bonds.
INVESTMENT CHANGES
TOP FIVE STOCKS AS OF MARCH 31, 1994
% OF FUND'S % OF FUND'S
INVESTMENTS INVESTMENTS IN
THESE
STOCKS 6 MONTHS
AGO
Federal National Mortgage Association 0.9 0.8
Intel Corp. 0.9 0.4
British Petroleum PLC ADR 0.8 0.4
Compaq Computer Corp. 0.7 0.6
Philip Morris Companies, Inc. 0.6 0.0
TOP FIVE FIXED-INCOME SECURITIES AS OF MARCH 31, 1994
<TABLE>
<CAPTION>
<S> <C> <C>
(BY ISSUER, EXCLUDING REPURCHASE AGREEMENTS) % OF FUND'S % OF FUND'S
INVESTMENTS INVESTMENTS IN
THESE
SECURITIES 6
MONTHS AGO
Mexican Government (various issues) 5.9 6.6
Danish Government (various issues) 4.3 4.2
Goldman Sachs Group L.P. (various 4.2 0.9
issues)
Argentina Republic (various issues) 2.6 2.8
French Government 2.4 2.9
</TABLE>
TOP FIVE COUNTRIES AS OF MARCH 31, 1994
(BY LOCATION OF ISSUER) % OF FUND'S % OF FUND'S
INVESTMENTS INVESTMENTS IN THESE
COUNTRIES 6 MONTHS
AGO
United States 63.6 52.7
Mexico 13.9 14.3
Denmark 4.3 4.3
Argentina 3.6 3.6
France 2.8 6.1
ASSET ALLOCATION
AS OF MARCH 31, 1994 * AS OF SEPTEMBER 30, 1993**
Row: 1, Col: 1, Value: 20.0
Row: 1, Col: 2, Value: 37.0
Row: 1, Col: 3, Value: 43.0
Row: 1, Col: 1, Value: 16.0
Row: 1, Col: 2, Value: 33.0
Row: 1, Col: 3, Value: 51.0
Stock class 43%
Bond class 37%
Short-term class
and other 20%
* FOREIGN
INVESTMENTS 36%
Stock class 51%
Bond class 33%
Short-term class
and other 16%
** FOREIGN
INVESTMENTS 47%
ASSET ALLOCATIONS IN THE PIE CHART REFLECT THE CATEGORIZATION OF ASSETS
DEFINED IN THE FUND'S PROSPECTUS. FINANCIAL STATEMENT CATEGORIZATIONS
CONFORM TO ACCOUNTING STANDARDS AND WILL DIFFER FROM THE PIE CHART.
INVESTMENTS MARCH 31, 1994
Showing Percentage of Total Value of Investment in Securities
COMMON STOCKS - 41.2%
VALUE (NOTE 1)
SHARES (000S)
AEROSPACE & DEFENSE - 0.4%
AEROSPACE & DEFENSE - 0.2%
Aviall, Inc. (a) 3,850 $ 58 05366B10
Boeing Co. 21,700 974 09702310
Flightsafety International, Inc. 164,900 6,142 33942310
Martin Marietta Corp. 76,900 3,384 57290010
McDonnell Douglas Corp. 10,100 1,087 58016910
Oerlikon-Buhrle Holding Ltd. (Reg.) (a) 28,600 3,118 67199092
Rolls Royce Ltd. Ord. 1,317,013 3,546 77577910
Samsung Aerospace Industries (a) 19,100 715 80399C22
Sundstrand Corp. 12,200 550 86732310
Thiokol Corp. 6,200 164 88410310
Wyman-Gordon Co. (a) 5,500 27 98308510
19,765
DEFENSE ELECTRONICS - 0.2%
E-Systems, Inc. 32,400 1,418 26915730
Litton Industries, Inc. (a) 165,100 5,056 53802110
Loral Corp. 185,500 6,956 54385910
Raytheon Co. 146,700 9,481 75511110
Watkins-Johnson Co. 31,500 791 94248610
23,702
TOTAL AEROSPACE & DEFENSE 43,467
BASIC INDUSTRIES - 2.6%
CHEMICALS & PLASTICS - 1.0%
Airgas, Inc. (a) 357,000 7,631 00936310
Akzo NV Ord. 47,400 5,469 01019910
Albemarle Corp. (a) 281,800 4,156 01265310
Bayer AG 20,500 4,573 07273010
Betz Laboratories, Inc. 9,900 497 08777910
Dongsung Chemical Industry Co. (a) 25,035 688 25799V22
du Pont (E.I.) de Nemours & Co. 36,200 1,919 26353410
Ferro Corp. 60,000 1,860 31540510
GEON 65,200 1,720 37246W10
Georgia Gulf Corp. (a) 90,300 2,291 37320020
Grace (W.R.) & Co. 340,400 14,042 38388310
Great Lakes Chemical Corp. 20,000 1,410 39056810
COMMON STOCKS - CONTINUED
VALUE (NOTE 1)
SHARES (000S)
BASIC INDUSTRIES - CONTINUED
CHEMICALS & PLASTICS - CONTINUED
Han Wha (a) 12,600 $ 167 40999B22
Hanna (M.A.) Co. 7,600 275 41052210
Hanyang Chemical Corp. (a) 18,900 198 41199E22
Hercules, Inc. 10,800 1,239 42705610
Hoechst AG Ord. 21,300 4,121 43439010
IMC Fertilizer Group, Inc. (a) 55,800 2,204 44966910
Imperial Chemical Industries PLC:
ADR 72,500 3,326 45270450
Ord. 195,824 2,295 45270440
Indo Gulf Fertilizer and Chemicals GDR (g) 780,600 2,888 45577P10
Lucky Co. Ltd. (a) 267,880 5,144 54999E22
Lyondell Petrochemical Co. 96,800 2,118 55207810
Monsanto Co. 34,700 2,698 61166210
Nalco Chemical Co. 179,200 6,115 62985310
OM Group, Inc. (a) 50,000 1,044 67087210
Oriental Chemical Industry Co. (a) 93,261 2,750 68999C22
Perez Company Class B (a) 1,657,800 10,312 71399723
Potash Corp. of Saskatchewan 5,800 146 73755L10
Reliance Industries Ltd. GDR (g) 98,800 1,877 75947010
Shinetsu Chemical 156,000 2,918 82499210
Union Carbide Corp. 255,200 5,742 90558110
Vigoro Corp. 67,200 2,066 92675410
Witco Corp. 62,700 1,944 97738510
107,843
IRON & STEEL - 0.5%
Allegheny Ludlum Industries, Inc. 84,100 1,556 01690010
Birmingham Steel Corp. 12,500 356 09125010
British Steel PLC:
ADR 138,500 2,822 11101530
Ord. 6,850,854 14,381 11101510
Chaparral Steel Company 28,300 315 15942210
Compania Siderurgica Nacional (m) 145,200 4,770 24499523
Dongkuk Steel Mill Co. (a) 6,300 205 25799S22
Geneva Steel Co. (warrants) (a) 106,125 1,008 37225212
Hyundai Pipe Co. Ltd. (a) 88,150 1,474 42399D22
Inland Steel Industries, Inc. (a) 158,300 4,769 45747210
LTV Corp. (a) 440,600 6,609 50192110
Nucor Corp. 45,200 2,740 67034610
Oregon Steel Mills, Inc. 11,000 253 68607910
COMMON STOCKS - CONTINUED
VALUE (NOTE 1)
SHARES (000S)
BASIC INDUSTRIES - CONTINUED
IRON & STEEL - CONTINUED
Steel of West Virginia, Inc. (a) 82,200 $ 1,017 85815410
Thyssen AG Ord. 29,200 4,639 88629110
USX-U.S. Steel Group 246,700 9,159 90337T10
56,073
METALS & MINING - 0.6%
Alcan Aluminium Ltd. 532,400 11,784 01371610
Alumax, Inc. (a) 143,450 3,461 02219710
Aluminum Co. of America 34,300 2,457 02224910
Castle AM & Co. 8,000 152 14841110
Cyprus Amax Minerals Co. 26,550 767 23280910
Dae Chang Industrial Co. (a) 26,460 619 23399M22
De Beers Consolidated Mines Ltd. ADR 129,900 2,712 24025330
Hindalco Industries Ltd. GDR (a)(g) 46,500 1,081 43306410
Iljin Corp. (a) 29,560 893 45199E22
Korea Tungsten Mining Co. (a) 39,850 1,491 50599S22
Noranda, Inc. 744,300 13,448 65542210
Poong San Corp. 59,250 1,064 73299522
RTZ Corp. PLC Ord. (a) 328,258 3,998 74974K50
Reynolds Metals Co. 325,300 14,923 76176310
Sam Sun Industry (a) 15,100 138 81799G22
58,988
PACKAGING & CONTAINERS - 0.1%
Carnaudmetalbox SA 44,700 1,494 20999092
Owens-Illinois, Inc. (a) 624,800 6,951 69076840
8,445
PAPER & FOREST PRODUCTS - 0.4%
Boise Cascade Corp. 26,100 594 09738310
Bowater, Inc. 131,000 2,800 10218310
Champion International Corp. 85,000 2,465 15852510
Chesapeake Corp. 35,200 805 16515910
Eagon Industrial Co. Ltd. (a) 17,250 412 27099922
Georgia-Pacific Corp. 1,900 122 37329810
International Paper Co. 55,800 3,801 46014610
Kimberly Clark de Mexico Class A 874,500 15,496 49499392
Repola OY 113,600 1,928 75999A92
Stone Consolidated Corp. (a) 150,000 1,870 86158K10
Stone Container Corp. (a) 149,900 1,986 86158910
Sung Chang Enterprise Co. (a) 16,150 1,106 82699B22
COMMON STOCKS - CONTINUED
VALUE (NOTE 1)
SHARES (000S)
BASIC INDUSTRIES - CONTINUED
PAPER & FOREST PRODUCTS - CONTINUED
Temple-Inland, Inc. 65,000 $ 2,974 87986810
Weyerhaeuser Co. 55,000 2,379 96216610
Willamette Industries, Inc. 25,000 1,188 96913310
39,926
TOTAL BASIC INDUSTRIES 271,275
CONGLOMERATES - 0.6%
Alexander & Baldwin, Inc. 91,200 2,303 01448210
Allied-Signal, Inc. 35,800 1,311 01951210
Canadian Pacific Ltd. Ord. 2,122,100 33,358 13644030
Crane Co. 12,500 313 22439910
Dial Corp. (The) 131,200 5,478 25247010
ITT Corp. 25,000 2,144 45067910
Mark IV Industries, Inc. 75,311 1,384 57038710
Suncor, Inc. 329,000 7,252 86722910
Textron, Inc. 64,800 3,499 88320310
Tomkins PLC Ord. 299,300 1,083 89003010
Tyco Laboratories, Inc. 12,500 623 90212010
United Technologies Corp. 50,900 3,162 91301710
61,910
CONSTRUCTION & REAL ESTATE - 1.5%
BUILDING MATERIALS - 0.9%
Adience, Inc. (a) 251,838 252 00690510
Armstrong World Industries, Inc. 271,600 14,666 04247610
Cementos Apasco SA de CV Class A (a) 1,503,300 11,954 15299392
Cemex SA:
Series A (Reg.) (a) 91,300 2,151 15299292
Series B 1,249,700 30,295 15299293
Chosun Refractories Co. (a) 8,480 272 28099322
Florida Rock Industries, Inc. 57,200 1,473 34114010
Holderbank Financiere AG PC (Bearer) 5,084 3,383 43479593
Lafarge Corp. 118,000 2,537 50586210
Lilly Industrial Coatings, Inc. Class A 25,000 628 53249110
Medusa Corp. 49,650 1,378 58507230
COMMON STOCKS - CONTINUED
VALUE (NOTE 1)
SHARES (000S)
CONSTRUCTION & REAL ESTATE - CONTINUED
BUILDING MATERIALS - CONTINUED
National Gypsum Co. (a) 40,000 $ 1,840 63631710
Tecumseh Products Co. Class A 114,000 5,515 87889520
Texas Industries, Inc. 45,400 1,708 88249110
Tolmex SA (a) 1,822,300 22,956 94399492
101,008
CONSTRUCTION - 0.3%
Bufete Industrial SA sponsored ADR (a) 133,600 4,542 11942H10
Centex Corp. 110,390 3,408 15231210
DR Horton, Inc. (a) 111,810 1,565 23331A10
Daelim Industrial Co. 140,040 2,516 23699F22
Dongbu Construction Co. 9,400 165 25799M22
Grupo Mexicano de Desarrollo ADR:
Class B (a) 29,800 499 40048G10
Class L (a) 120,700 2,067 40048G20
Lennar Corp. 63,000 1,953 52605710
Lucky Development Co. Ltd. (a) 14,990 314 54999822
NCI Building Systems, Inc. (a) 75,000 1,256 62885210
Pulte Corp. 186,000 5,394 74586710
Samsung Construction Co. Ltd. 6,952 256 90499J22
Schuler Homes, Inc. (a) 78,600 2,103 80818810
Standard Pacific Corp. 144,300 1,209 85375C10
Toll Brothers, Inc. (a) 25,000 347 88947810
27,594
ENGINEERING - 0.1%
EG&G, Inc. 117,700 1,927 26845710
Foster Wheeler Corp. 12,500 500 35024410
Glenayre Technologies, Inc. 12,500 463 37789910
Hanil Development Co. 116,122 2,288 41099822
Hyundai Engineering & Construction Co. Ltd. 44,000 1,870 41599122
Kyonghyang Construction Co. (a) 18,900 318 74799J22
Stone & Webster, Inc. 23,200 696 86157210
8,062
REAL ESTATE - 0.0%
Fondo Opcion SA de CV Class 2, Series B (a) 592,600 1,477 34499892
Hwa Sung Industrial Co. (a) 16,500 675 44899G22
Immeubles de France, Ste Des (a) 21,600 2,331 44999C22
Mundicenter Societe Imobile SA 49,700 1,460 62699592
5,943
COMMON STOCKS - CONTINUED
VALUE (NOTE 1)
SHARES (000S)
CONSTRUCTION & REAL ESTATE - CONTINUED
REAL ESTATE INVESTMENT TRUSTS - 0.2%
Crown American Realty Trust (SBI) 134,000 $ 1,843 22818610
Developers Diversified Realty 161,000 5,011 25159110
Equity Residential Property Trust (SBI) 12,500 376 29476L10
Federal Realty Investment Trust (SBI) 50,000 1,231 31374720
General Growth Properties, Inc. 15,000 309 37002110
Health Care Property Investors, Inc. 8,500 259 42191510
Kimco Realty Corporation 50,000 1,794 49446R10
Lend Lease Corp. Ltd. 125,600 1,502 52599292
McArthur/Glen Realty Corp. (a) 50,000 1,225 57918810
Merry Land & Investment Co., Inc. 80,000 1,680 59043810
Simon Properties Group, Inc. (a) 112,500 2,883 82880510
Vornado Realty Trust 42,900 1,502 92904210
19,615
TOTAL CONSTRUCTION & REAL ESTATE 162,222
DURABLES - 2.3%
AUTOS, TIRES, & ACCESSORIES - 1.3%
Asia Motors Co., Inc. 70,584 1,242 04499B22
Brilliance China Auto Holding Ltd. (a) 7,500 88 10999592
Chrysler Corp. 488,004 25,193 17119610
Cooper Tire & Rubber Co. 107,200 2,734 21683110
Discount Auto Parts, Inc. 155,500 3,751 25464210
Ford Motor Co. 116,900 6,868 34537010
General Motors Corp. 716,400 38,686 37044210
General Motors Corp. Class E 38,300 1,312 37044240
Genuine Parts Company 40,000 1,400 37246010
Goodyear Tire & Rubber Co. 58,900 2,385 38255010
Heung-ah Tire & Rubber Co. (a) 8,060 186 42899D22
Hyundai Motor Service Co. (a) 5,020 310 42199422
Johnson Controls, Inc. 52,200 2,871 47836610
Kia Precision Works Co. (a) 59,374 1,258 48599K22
Lonrho Ltd. Ord. 3,251,144 7,066 54337410
Magna International, Inc. Class A 6,800 319 55922240
NACCO Industries, Inc. Class A 26,800 1,353 62957910
Pirelli Tyre Holdings NV Ord. (a) 323,600 2,359 72499092
Raymond Corp. (The) (a) 71,190 1,228 75468810
COMMON STOCKS - CONTINUED
VALUE (NOTE 1)
SHARES (000S)
DURABLES - CONTINUED
AUTOS, TIRES, & ACCESSORIES - CONTINUED
Smith (A.O.) Corp.:
Class A 3,500 $ 113 83186510
Class B 173,200 5,586 83186520
Snap-on Tools Corp. 52,500 2,100 83303410
Standard Products Co. 58,100 1,895 85383610
Suzuki Motor Corp. 519,000 6,320 86958592
Tofas Turk Otomobil ADR (g) 161,000 1,530 90011010
Toyota Motor Corporation 772,000 14,816 89399999
Vickers PLC Ord. 1,601,700 4,253 92549310
137,222
CONSUMER ELECTRONICS - 0.4%
Aktiebolaget Electrolux 92,100 4,235 01019810
Fedders USA, Inc. 120,900 937 31313510
Fossil, Inc. 21,000 405 34988210
Harman International Industries, Inc. (a) 215,000 5,966 41308610
Jeewon Industrial Co. (a) 12,600 309 47299G22
Jeewon Industrial Co. (New) 3,599 80 47299G24
Matsushita Electric Industrial Co. Ltd. 862,000 14,276 57687910
Newell Co. 79,500 3,120 65119210
Sony Corp. 222,800 12,697 83569999
Universal Electronics, Inc. (a) 15,400 112 91348310
Videocon International Ltd. GDR 91,800 780 92657P93
Whirlpool Corp. 31,600 1,920 96332010
44,837
HOME FURNISHINGS - 0.2%
HON Industries, Inc. 8,100 269 43809210
Heilig-Meyers Co. 10,200 316 42289310
LADD Furniture, Inc. 460,600 4,030 50573910
Leggett & Platt, Inc. 137,400 6,011 52466010
MFI Furniture Group PLC 408,200 968 55299392
Miller (Herman), Inc. 423,800 11,655 60054410
Rowe Furniture Corp. 95,000 1,378 77952810
24,627
TEXTILES & APPAREL - 0.4%
Arvind Mills Ltd. GDR (g) 117,700 721 04334810
Burlington Industries, Inc. 186,100 2,815 12169310
Fruit of the Loom, Inc. Class A (a) 189,300 5,726 35941610
Hat Brands, Inc. (warrants) (a)(f) 90,345 1,039 41873092
Indian Rayon & Industries, Inc. GDR (g) 105,300 2,053 45435210
COMMON STOCKS - CONTINUED
VALUE (NOTE 1)
SHARES (000S)
DURABLES - CONTINUED
TEXTILES & APPAREL - CONTINUED
Interface, Inc. Class A 10,000 $ 126 45866510
Jones Apparel Group, Inc. (a) 12,500 395 48007410
Justin Industries, Inc. 111,600 1,562 48217110
Korea Moolsan Co. (a) 53,420 1,119 50599P22
Liz Claiborne, Inc. 100,000 2,362 53932010
Mohawk Industries Inc. (a) 72,500 1,976 60819010
Nam Yeung Corp. (a) 2,860 351 62999D22
Nautica Enterprises, Inc. (a) 40,000 960 63908910
Phillips-Van Heusen Corp. 7,200 251 71859210
Reebok International Ltd. 13,400 459 75811010
Shaw Industries, Inc. 95,200 1,940 82028610
Shu Kwang Corp. (a) 9,875 164 82599J22
Stride Rite Corp. 141,200 2,083 86331410
Tokyo Style Co. Ltd. 278,000 4,712 88999410
Unifi, Inc. 519,700 10,979 90467710
VF Corp. 76,100 3,805 91820410
Westpoint Stevens, Inc. Class A (a) 64,900 1,071 96123810
Youngone Corp. (a) 1,872 32 99599C22
46,701
TOTAL DURABLES 253,387
ENERGY - 3.6%
COAL - 0.0%
MAPCO, Inc. 6,900 412 56509710
Pittston Co. Minerals Group 85,000 1,551 72570120
1,963
ENERGY SERVICES - 0.6%
BJ Services Co. (a) 107,800 1,994 05548210
Baker Hughes, Inc. 107,300 1,904 05722410
Commercial Del Plata (a) 412,400 2,392 20199392
Dreco Energy Services Ltd. Class A (a) 34,500 319 26152820
Dual Drilling Co. (a) 130,000 1,154 26356410
Enterra Corp. (a) 86,900 1,695 29380510
Global Marine, Inc. (a) 631,200 2,446 37935240
Halliburton Co. 260,200 7,578 40621610
Helmerich & Payne, Inc. 23,200 603 42345210
Marine Drilling Companies, Inc. (a) 395,000 2,271 56824020
Nabors Industries, Inc. (a) 18,500 123 62956810
COMMON STOCKS - CONTINUED
VALUE (NOTE 1)
SHARES (000S)
ENERGY - CONTINUED
ENERGY SERVICES - CONTINUED
Noble Drilling Corp. (a) 100,000 $ 675 65504210
Schlumberger Ltd. 648,450 34,287 80685710
Serv-Tech, Inc. (a) 20,000 220 81753910
Smith International, Inc. (a) 41,800 444 83211010
Tidewater, Inc. 47,000 917 88642310
Tuboscope Vetco Corp. (a) 75,000 384 89860010
Weatherford International, Inc. (a) 84,900 711 94707610
Western Co. of North America (a) 16,100 167 95804340
Wheatley TXT Corp. 30,000 293 96271810
60,577
INDEPENDENT POWER - 0.0%
California Energy Co., Inc. (a) 50,000 900 13019010
Magma Power Co. (a) 4,100 132 55919410
Thermo Electron Corp. 49,600 1,928 88355610
2,960
OIL & GAS - 3.0%
Amerada Hess Corp. 349,900 15,658 02355110
Ampolex Ltd. Ord. 161,800 460 03212792
Anadarko Petroleum Corp. 150,900 6,941 03251110
Anderson Exploration Ltd. (a) 19,800 490 03390110
Apache Corp. 125,400 2,900 03741110
Ashland Oil, Inc. 46,300 1,887 04454010
Atlantic Richfield Co. 54,900 5,215 04882510
British Petroleum PLC:
ADR 1,417,100 86,975 11088940
Ord. 4,937,475 25,637 11088910
Burlington Resources, Inc. 433,100 18,407 12201410
Cabot Oil & Gas Corp. Class A 47,648 929 12709710
Chauvco Resources Ltd. Class A (a) 185,700 2,600 16260010
Chevron Corp. 130,000 10,952 16675110
Cosmo Oil Company Ltd. 340,000 2,703 22199092
Crown Central Petroleum Corp. Class A (a) 12,500 256 22821910
Diamond Shamrock R&M, Inc. 65,800 1,809 25274710
Enron Oil & Gas Co. 33,400 1,428 29356210
Isu Chemical Co. (a) 139,513 2,057 46599E22
Kerr-McGee Corp. 233,300 9,682 49238610
Louisiana Land & Exploration Co. 280,200 10,122 54626810
Mesa, Inc. (a) 48,100 276 59091110
Mobil Corp. 188,000 13,983 60705910
Morrison Petroleums Ltd. 563,900 3,668 61847310
COMMON STOCKS - CONTINUED
VALUE (NOTE 1)
SHARES (000S)
ENERGY - CONTINUED
OIL & GAS - CONTINUED
Murphy Oil Corp. 210,400 $ 8,416 62671710
Newfield Exploration Co. (a) 157,600 3,349 65129010
Noble Affiliates, Inc. 99,100 2,354 65489410
Norsk Hydro AS 75,000 2,391 65653150
Oryx Energy Co. 27,100 437 68763F10
Pancanadian Petroleum Ltd. 50,000 1,454 69890020
Parker & Parsley Petroleum Co. 70,100 1,498 70101810
Petro-Canada 296,200 2,917 71644E10
Petroleum Heat & Power, Inc. Class A 65,000 561 71660030
Phillips Petroleum Co. 77,100 2,053 71850710
Poco Petroleums Ltd. (a) 389,800 2,747 73036110
Renaissance Energy Ltd. (a) 452,500 9,075 75966610
Repsol SA sponsored ADR 4,600 136 76026T20
Royal Dutch Petroleum Co. 72,800 7,235 78025770
Texaco, Inc. 47,700 3,005 88169410
Tosco Corp. 307,000 9,210 89149030
Total Compagnie Francaise des Petroles Class B 64,363 3,405 20434510
Total SA sponsored ADR 170,200 4,446 89151E10
Unocal Corp. 865,800 21,861 91528910
Western Gas Resources, Inc. 60,000 1,688 95825910
Yukong Ltd. (a) 22,600 1,053 98899K22
314,326
TOTAL ENERGY 379,826
FINANCE - 8.1%
BANKS - 3.4%
Akita Bank 517,000 3,611 00999692
BNP CI Ord. 10,250 458 05599996
Banacci SA de CV:
Class C 2,676,200 18,172 06399893
Ord. Class L (a) 323,445 2,124 06399895
Banc One Corp. 734,660 24,244 05943810
Banco Bilbao Vizcaya SA Ord. (Reg.) 109,400 2,527 05945891
Banco de Galicia Y Buenos Aires SA sponsored ADR
representing Class B shares 185,170 5,879 05953820
Banco Frances Del Rio PL (Reg.) 513,852 5,216 21199692
Banco Intercontinental Espanol 20,900 1,865 24699592
Banco Popular Espanol 8,500 923 05999110
COMMON STOCKS - CONTINUED
VALUE (NOTE 1)
SHARES (000S)
FINANCE - CONTINUED
BANKS - CONTINUED
BankAmerica Corp. 228,300 $ 8,989 06605010
Bank International Indonesia Ord. (a) 464,600 1,466 06199B92
Bank of Boston Corp. 1,040,267 24,706 06071610
Bank of New York Co., Inc. 206,292 10,521 06405710
BanPonce Corp. 63,670 2,006 06670410
Barclays PLC Ord. 983,143 7,642 06738E10
Barnett Banks, Inc. 15,700 693 06805510
Boatmen's Bancshares, Inc. 58,700 1,739 09665010
Boram Bank (a) 125,018 1,792 09999322
C.S. Holdings (Bearer) (a) 10,390 4,590 17599792
Chase Manhattan Corp. (warrants) (a) 177 1 16161012
Chemical Banking Corp. 533,400 19,402 16372210
Cho Hing Bank Co. Ltd. 238,550 2,952 17099E22
Citicorp (a) 1,214,700 45,551 17303410
Comerica, Inc. 375,500 9,528 20034010
Deutsche Bank AG 7,700 3,638 25152592
Fidelity NY FSB Garden City 70,600 1,218 31633610
Financiere Bank de Suez Cie 20,094 1,102 31799110
First Alabama Bancshares, Inc. 40,700 1,272 31846410
First Chicago Corp. 52,300 2,510 31945510
First Fidelity Bancorporation 43,423 1,927 32019510
First Interstate Bancorp 76,900 5,633 32054810
First Union Corp. 355,679 14,805 33735810
Fleet Financial Group, Inc. 249,300 8,757 33891510
Grupo Financiero Bancomer SA de CV sponsored ADR,
Series C (a)(g) 856,000 25,894 40048610
HSBC Holdings:
Ord. 222,640 2,438 42199194
PLC (Reg.) 463,032 5,159 42199195
Istituto Mobiliare Italiano 658,100 5,235 45777M92
Keycorp 57,237 1,717 49326710
Kyung Nam Bank (a) 56,700 745 61499222
Kyungki Bank Ltd. (a) 88,200 1,087 61999922
Magna Group, Inc. 2,200 42 55921410
Mellon Bank Corp. 54 3 58550910
Mercantile Bancorporation, Inc. 13,800 661 58734210
Midlantic Corp. (a) 16,000 458 59780E10
Mitsui Trust and Banking 473,000 4,792 60684699
National Westminster Bank PLC Ord 846,156 5,762 63853930
NationsBank Corp. 356,200 16,296 63858510
North Fork Bancorporation, Inc. (a) 10,000 138 65942410
COMMON STOCKS - CONTINUED
VALUE (NOTE 1)
SHARES (000S)
FINANCE - CONTINUED
BANKS - CONTINUED
Norwest Corp. 48,400 $ 1,156 66938010
Panin Bank (For.) 942,200 1,487 69899823
Peoples Heritage Financial Group, Inc. (a) 31,500 327 71114710
Safra Republic Holdings SA Ord. 5,600 515 78510099
Shawmut National Corp. 1,181,700 23,929 82048410
Signet Banking Corp. 111,527 4,405 82668110
Societe Generale Class A 9,437 1,040 83357799
Standard Chartered Bank 64,502 992 85256810
State Street Boston Corp. 32,400 1,166 85747310
Swiss Bank Corp. (Bearer) (a) 11,230 3,228 87083610
Union Planters Corp. 14,400 358 90806810
West One Bancorp 37,100 1,002 95482810
Westpac Banking Corp. 539,311 1,732 96121410
Zions Bancorporation 12,500 463 98970110
359,686
CLOSED END INVESTMENT COMPANY - 0.2%
ASA Ltd. 4,000 173 00205010
Jardine Strategic Holdings Ord. 632,600 2,194 47199020
Morgan Stanley India Investment Fund (a) 1,071,000 14,057 61745C10
16,424
CREDIT & OTHER FINANCE - 1.0%
Abbey National PLC Ord. 355,569 2,453 00281099
Amer Group Ltd.:
Class A 68,550 1,593 02351210
(rights) (a) 68,550 77 02351293
American Express Co. 525,900 14,528 02581610
Argentaria Corp. Bancaria de Esp 30,500 1,288 21991392
Beneficial Corp. 152,000 5,567 08172110
Brierley Investments Ltd. 27,633,800 18,492 10901410
Central Invest & Finance (a) 22,000 463 15499422
Corporacion Bancaria de Espana SA sponsored ADR (a) 107,300 2,267
21991310
Credit Foncier de France 5,188 1,093 22532792
Dean Witter Discover & Co. 140,466 4,583 24240V10
GFC Financial Corp. 61,900 1,965 36160910
Granite Industries BHD 240,000 637 38799522
Green Tree Acceptance, Inc. 75,000 3,347 39350510
Grupo Carso SA de CV Class A-1 (a) 3,982,200 37,239 40099594
Grupo Financiero Serfin sponsored ADR CV 396,400 9,960 40049A10
COMMON STOCKS - CONTINUED
VALUE (NOTE 1)
SHARES (000S)
FINANCE - CONTINUED
CREDIT & OTHER FINANCE - CONTINUED
Guangdong Investments Co. Ltd. Ord 2,208,000 $ 1,271 40199492
Household International, Inc. 45,356 1,344 44181510
Pusan Invest & Finance (a) 6,400 352 74699B22
Shin Han Securities Co. (a) 18,900 361 82499G92
108,880
FEDERAL SPONSORED CREDIT - 1.1%
Federal Home Loan Mortgage Corporation 433,800 22,015 31340030
Federal National Mortgage Association 1,263,700 98,253 31358610
120,268
INSURANCE - 1.3%
ACE Ltd. 186,800 4,810 00499G92
Allstate Corp. 515,800 12,379 02000210
Amer Premier Underwriters, Inc. 8,500 213 02909210
American Annuity Group, Inc. 641,578 5,614
American Bankers Insurance Group, Inc. 227,600 5,178 02445610
American International Group, Inc 35,000 2,944 02687410
Assicurazioni Generali Spa 205,100 5,413 04542910
Assurances Generales (Reg.) 24,950 2,469 04557510
Capital Holding Corp. 61,300 1,939 14018610
Conseco, Inc. 4,700 254 20846410
Corporacion Mapfre International Reas (Reg.) 80,100 3,572 16899192
Exel Ltd. 24,700 991 30161610
GAN (Groupe Des Assur Natl.) 27,830 2,312 36599792
General Re Corp. 189,100 20,305 37056310
Gryphon Holdings, Inc. (a) 12,500 188 40051510
International Nederlanden Groep CVA 66,487 2,838 46099892
John Alden Financial Corp. 97,200 3,451 47783810
Legal & General Group Ltd. Ord. (a) 132,606 899 52439810
Loews Corp. 45,200 4,057 54042410
MBIA, Inc. 58,200 3,179 55262C10
NAC Re Corp. 79,500 2,067 62890710
Penncorp. Financial Group, Inc. 10,000 162 70809410
Progressive Corp. (Ohio) 88,800 2,586 74331510
Prudential Corp. 576,236 2,607 74399992
Royale Insurance Co. Ltd. 396,917 1,590 78074910
SAFECO Corp. 215,700 11,405 78642910
St. Paul Companies, Inc. (The) 236,300 18,372 79286010
Tokio Marine & Fire Insurance Co. Ltd. (The) 145,000 1,737 88909099
Torchmark Corp. 47,500 1,912 89102710
COMMON STOCKS - CONTINUED
VALUE (NOTE 1)
SHARES (000S)
FINANCE - CONTINUED
INSURANCE - CONTINUED
Travelers, Inc. (The) 315,466 $ 11,081 89419010
UNUM Corp. 75,500 3,983 90319210
140,507
SAVINGS & LOANS - 0.4%
Ahmanson (H.F.) & Co. 611,200 10,314 00867710
Anchor Bancorp Inc. (a) 100,000 1,287 03283710
Bankatlantic Federal Savings Bank 12,500 166 06590310
Charter One Financial Corp. 145,100 2,739 16090310
Crossland Federal Savings Bank (a) 100,000 3,300 22764B10
Dime Savings Bank of New York, FSB (a) 35,000 289 25432R10
Eastern Bancorp 3,500 58 27626910
FirstFed Michigan Corp. 22,500 506 33761R10
Golden West Financial Corp. 405,000 15,542 38131710
Lakeview Savings Bank 11,300 161 51234610
North Side Savings Bank 8,000 158 66248810
Roosevelt Financial Group, Inc. 61,600 2,726 77649310
Standard Federal Bank 184,800 5,174 85338910
42,420
SECURITIES INDUSTRY - 0.7%
Bear Stearns Companies, Inc. 22,900 447 07390210
Boram Securities Co. Ltd. (a) 62,370 1,198 18599622
Coryo Securities 47,080 898 22199822
Daehan Korean Blue-Chip Investment Trust (a)(g) 1,900,000 33,269
23699E22
Daiwa Securities 375,000 5,991 23499010
Franklin Resources, Inc. 14,900 605 35461310
Hyundai Securities Co. Ltd. (a) 20,400 591 42699A22
Korea First Securities Co. (a) 103,142 2,287 50099K22
Korea Investment & Finance (a) 19,665 400 50599092
Korea Investment & Finance (New) (a) 3,833 79 50599093
Merrill Lynch & Co., Inc. 700 26 59018810
Midland Walwyn Inc. (a) 65,600 587 59780110
Morgan Stanley Group, Inc. 138,800 8,883 61744610
Nomura Securities Co. Ltd. 453,000 9,488 65536130
Paine Webber Group, Inc. 83,250 1,405 69562910
Seoul Securities Co. (a) 64,198 1,233 83599P22
Sunkyong Securities Co. (a) 93,290 1,988 96199D22
69,375
TOTAL FINANCE 857,560
COMMON STOCKS - CONTINUED
VALUE (NOTE 1)
SHARES (000S)
HEALTH - 2.6%
DRUGS & PHARMACEUTICALS - 1.2%
Allergan, Inc. 461,800 $ 9,409 01849010
American Cyanamid Co. 197,800 9,198 02532110
Amgen, Inc. (a) 116,400 4,452 03116210
Biogen, Inc. (a) 34,700 1,206 09059710
Bristol-Myers Squibb Co. 91,500 4,724 11012210
Cellpro, Inc. (a) 35,000 822 15115610
Celtrix Laboratories, Inc. (a) 60,600 447 15118610
Cephalon, Inc. (a) 25,000 341 15670810
Chiron Corp. (a) 17,600 1,157 17004010
Elan PLC ADR (a) 217,700 7,238 28413120
Elan PLC Therapeutic Systems unit
(common & 1 ADR warrant) (a) 16,050 451 28413140
Forest Laboratories, Inc. (a) 64,600 2,770 34583810
Genentech, Inc. (a) 9,200 405 36871020
IVAX Corp. 48,500 1,213 46582310
Korea Green Cross Corp. (a) 12,777 822 50099J22
Mylan Laboratories, Inc. 95,000 1,663 62853010
Pfizer, Inc. 359,000 19,386 71708110
Protein Design Labs, Inc. (a) 20,000 440 74369L10
Rexall Sundown, Inc. (a) 12,500 209 76164810
Rhone Poulenc Rorer, Inc. 70,000 2,266 76242T10
Rhone Poulenc Rorer, Inc. Free shares 30,300 993 76242T92
Schering AG 8,200 5,181 80658510
Schering-Plough Corp. 389,000 21,881 80660510
Warner-Lambert Co. 422,700 26,155 93448810
122,829
MEDICAL EQUIPMENT & SUPPLIES - 0.8%
Bausch & Lomb, Inc. 95,000 4,465 07170710
Baxter International, Inc. 392,400 8,878 07181310
Becton, Dickinson & Co. 50,000 1,875 07588710
Bergen Brunswig Corp. Class A 212,400 3,558 08373910
Boston Scientific Corp. (a) 147,200 1,987 10113710
Cardinal Health, Inc. 90,700 4,172 14149Y10
Cordis Corp. (a) 65,500 2,751 21852510
Johnson & Johnson 244,300 9,222 47816010
Kendall International, Inc. (a) 86,300 3,430 48875110
Lunar Corp. 12,500 156 55036210
Mallinckrodt Group, Inc. 284,000 9,088 56122610
McKesson Corp. 190,800 11,353 58155610
Medtronic, Inc. 169,300 13,544 58505510
COMMON STOCKS - CONTINUED
VALUE (NOTE 1)
SHARES (000S)
HEALTH - CONTINUED
MEDICAL EQUIPMENT & SUPPLIES - CONTINUED
Mentor Corp. 30,600 $ 421 58718810
Owens & Minor, Inc. 143,400 3,262 69073010
Puritan Bennett Corp. 19,100 392 74629910
Sofamor/Danek Group, Inc. (a) 111,600 2,441 83400510
Spacelabs Medical, Inc. (a) 47,300 1,123 84624710
Thermedics, Inc. (a) 57,500 719 88390110
Utah Medical Products, Inc. 115,900 855 91748810
83,692
MEDICAL FACILITIES MANAGEMENT - 0.6%
Columbia/HCA Healthcare Corp. 922,515 37,131 19767710
HEALTHSOUTH Rehabilitation Corp. (a) 54,300 1,575 42192410
Health Management Associates, Inc. Class A (a) 27,950 849 42193310
Homedco Group, Inc. (a) 8,500 307 43739A10
Lincare Holdings, Inc. (a) 98,540 2,143 53279110
U.S. Healthcare, Inc. 399,450 16,377 91191010
United HealthCare Corp. 137,300 5,870 91058110
64,252
TOTAL HEALTH 270,773
INDUSTRIAL MACHINERY & EQUIPMENT - 1.5%
ELECTRICAL EQUIPMENT - 0.8%
Alcatel Alsthom CGE 52,929 6,164 01390492
General Electric Co. 212,400 21,160 36960410
General Electric PLC Ord. 1,068,680 4,709 36963940
Grainger (W.W.), Inc. 40,000 2,540 38480210
ICOM, Inc. 66,000 1,035 44999A92
IEC Electronics Corp. (a) 12,500 159 44949L10
Il Jin Electric & Machinery (a) 12,600 295 45099G22
Itel Corp. (a) 75,600 1,890 46564210
Murata Manufacturing Co. Ord. 578,000 27,309 62699110
Philips Electronics (a) 257,800 7,011 71833799
Philips NV (a) 513,200 13,857 71833750
Scientific-Atlanta, Inc. 12,500 344 80865510
Sensormatic Electronics Corp. 9,000 328 81726510
Siebe PLC (a) 116,814 1,025 82619999
87,826
COMMON STOCKS - CONTINUED
VALUE (NOTE 1)
SHARES (000S)
INDUSTRIAL MACHINERY & EQUIPMENT - CONTINUED
INDUSTRIAL MACHINERY & EQUIPMENT - 0.6%
Amtrol, Inc. 100 $ 2 03234A10
Bearings, Inc. 12,500 398 07400520
Briggs & Stratton Corp. 21,300 1,789 10904310
CMI Corp. Oklahoma Class A 15,000 112 12576130
Caterpillar, Inc. 278,300 31,274 14912310
Cincinnati Milacron, Inc. 28,700 671 17217210
Daewoo Heavy Industries Ltd. (a) 31,500 468 23999492
Deere & Co. 49,300 4,141 24419910
Duriron Company, Inc. 9,300 160 26684910
Finning Ltd. 359,200 5,452 31807140
Indresco, Inc. (a) 105,000 1,418 45590510
Joy Technologies, Inc. Class A (a) 173,100 2,077 48120610
Korea Machinery Co. Ltd. (a) 63,000 827 50599H22
Manitowoc Co., Inc. 82,200 2,281 56357110
Parker-Hannifin Corp. 50,000 1,769 70109410
Regal-Beloit Corp. 109,200 2,730 75875010
SKF AB Ord. (a) 229,200 4,099 78437530
TRINOVA Corp. 152,100 5,266 89667810
Tenneco, Inc. 30,000 1,583 88037010
Thermadyne Hldgs. Corp. 2,200 29 88343510
Watts Industries, Inc. Class A 30,200 710 94274910
67,256
POLLUTION CONTROL - 0.1%
American Ecology Corp. 15,000 169 02553310
Attwoods PLC:
ADR 343,200 3,003 04987020
Ord. 1,250,000 2,225 04987010
Harding Associates Inc. (a) 10,000 65 41226410
OHM Corp. 15,000 244 67083910
Sanifill, Inc. (a) 20,000 430 80101810
Thermo Instrument Systems, Inc. (a) 15,000 437 88355910
United Waste Systems, Inc. (a) 15,000 277 91317410
USA Waste Services, Inc. (a) 17,000 215 90291710
Zurn Industries, Inc. 46,700 1,097 98982410
8,162
TOTAL INDUSTRIAL MACHINERY & EQUIPMENT 163,244
COMMON STOCKS - CONTINUED
VALUE (NOTE 1)
SHARES (000S)
MEDIA & LEISURE - 1.5%
BROADCASTING - 0.3%
BET Holdings, Inc. Class A (a) 9,500 $ 168 08658510
CBS, Inc. 700 214 12484510
Capital Cities/ABC, Inc. 7,300 4,993 13985910
Grupo Televisa GDS (a)(g) 114,400 5,834 40049J20
Home Shopping Network, Inc. (a) 257,754 3,319 43735110
TF-1 22,800 1,870 90399999
Tele-Communications, Inc. Class A (a) 758,200 15,733 87924010
Time Warner, Inc. 12,500 484 88731510
32,615
ENTERTAINMENT - 0.0%
Carnival Cruise Lines, Inc. Class A 5,200 231 14365810
Cedar Fair LP (depositary units) 9,500 319 15018510
Granada Group 1,312 11 38480310
Live Entertainment, Inc.:
$2.00 (warrant) (a)(f) 256,000 256 53803292
$2.72 (warrant) (a)(f) 244,706 245 53803293
Rank Organization PLC 133,026 765 75304110
Royal Carribean Cruises Ltd. 115,100 2,863 78015392
4,690
LEISURE DURABLES & TOYS - 0.1%
Brunswick Corp. 137,400 2,903 11704310
Callaway Golf Co. 115,400 3,736 13119310
Fleetwood Enterprises, Inc. 33,500 682 33909910
Mattel, Inc. 62,500 1,570 57708110
Outboard Marine Corp. 221,600 4,266 69002010
Salomon SA 6,100 2,225 93099292
Samick Musical Instruments (a) 12,535 235 79599L22
15,617
LODGING & GAMING - 0.5%
Bally Gaming International, Inc. (warrants) (a)(f) 149,100 857 05873194
Bally's Grand, Inc. (a) 81,947 963 05873J10
Bally's Grand, Inc. (warrants) (a) 28,618 122 05873J11
Caesars World, Inc. (a) 47,800 2,139 12769510
Four Seasons Hotels, Inc. 243,600 1,915 35100E10
Grupo Posadas SA de CV Class L (a) 593,400 565 40048992
Grupo Situr SA de CV Class B (a) 5,189,570 13,292 40049292
Hilton Hotels Corp. 55,000 3,135 43284810
Host Marriott Corp. 182,856 1,829 44107810
International Game Technology Corp. 21,500 583 45990210
COMMON STOCKS - CONTINUED
VALUE (NOTE 1)
SHARES (000S)
MEDIA & LEISURE - CONTINUED
LODGING & GAMING - CONTINUED
Ladbroke Group PLC Ord. 1,757,660 $ 5,032 50572799
La Quinta Motor Inns, Inc. 306,450 8,695 50419510
Marriott International, Inc. 72,856 2,049 57190010
Mirage Resorts, Inc. (a) 97,600 2,050 60462E10
President Riverboat Casinos, Inc. (a) 106,800 1,789 74084810
Shangri-La Asia Ltd. (a) 200,000 295 84599M22
Station Casinos, Inc. 20,000 350 85768910
Trump Plaza Holding Associates (warrants) (a) 285 242 89817E11
Video Lottery Technologies, Inc. (a) 136,700 2,119 92656M10
48,021
PUBLISHING - 0.4%
American Greetings Corp. Class A 126,300 3,331 02637510
Banta Corp. 7,100 240 06682110
Central Newspapers, Inc. Class A 70,100 1,884 15464710
Enquirer/Star Group, Inc. Class A 122,500 1,991 29355410
Gannett Co., Inc. 171,200 9,009 36473010
Houghton Mifflin Co. 17,100 701 44156010
MaClean Hunter Ltd. 159,800 1,949 55474980
McGraw-Hill, Inc. 23,800 1,556 58064510
Meredith Corp. 95,000 4,026 58943310
Mirror Group Newspaper PLC (a) 213,300 541 60499792
Pearson PLC 149,134 1,427 70509991
Scripps (E.W.) Co. Class A 75,000 1,875 81103910
Thomson Corp. 123,600 1,585 88490310
Times Mirror Co., Series A 141,100 4,392 88736010
Torstar Corp. Class B 265,400 4,651 89147420
39,158
RESTAURANTS - 0.2%
Bertucci's, Inc. (a) 64,600 1,098 08606310
Cracker Barrel Old Country Store, Inc. 27,600 739 22410010
McDonald's Corp. 184,900 10,516 58013510
Morrison Restaurants, Inc. 85,000 1,923 61847710
Papa Johns International, Inc. (a) 12,500 366 69881310
Ryan's Family Steak Houses, Inc. (a) 128,900 983 78351910
Uno Restaurant Corp. (a) 10,000 91 91490010
15,716
TOTAL MEDIA & LEISURE 155,817
COMMON STOCKS - CONTINUED
VALUE (NOTE 1)
SHARES (000S)
NONDURABLES - 2.2%
AGRICULTURE - 0.1%
Molinos Rio de La Plata (Reg.) 471,281 $ 5,585 60899C22
Pioneer Hi-Bred International, Inc. 27,500 901 72368610
6,486
BEVERAGES - 0.4%
Bass PLC Ord. 399,838 3,144 06990492
Cadbury-Schweppes PLC Ord. 224,828 1,552 12720910
Canadaigua Wine Co. Class A (a) 50,000 1,375 13721920
Coca-Cola Femsa SA de CV sponsored ADR 172,900 4,733 19124110
Comp Cervecerias Unidas SA ADR 95,000 2,209 20442910
Dr. Pepper/Seven-Up Companies, Inc. (a) 67,600 1,622 25613130
Fomento Economico Mexicano SA de CV Class B 2,171,400 11,459 34441892
Gemex (Grupo Embot) CPO GDR 208,700 5,765
Panamerican Beverages, Inc. Class A 126,200 4,370 69829W10
PepsiCo, Inc. 10,800 396 71344810
Scottish & Newcastle Brewers PLC 143,732 1,107 80987810
Whitbread Class A 663,132 5,106 96341499
42,838
FOODS - 0.6%
Archer-Daniels-Midland Co. 175,000 4,200 03948310
Borden, Inc. 363,700 4,865 09959910
ConAgra, Inc. 467,700 12,511 20588710
Dean Foods Co. 131,600 3,636 24236110
Dole Food, Inc. 146,900 4,627 25660510
Grand Metropolitan PLC 562,006 3,760 38559099
Grupo Ind Maseca SA de CV Class B (a) 3,402,100 5,248 57899894
Herdez SA de CV Class A (a) 4,419,800 5,212 42799F22
IBP, Inc. 651,600 15,313 44922310
Miwon Co. Ltd. 51,757 1,225 61299693
Miwon Co. Ltd. (New) (a) 13,639 282 61299695
Ralston Purina Co. 12,500 569 75127730
Samyang Foods Co. (a) 12,600 376 84699F22
Tyson Foods, Inc. 28,800 569 90249410
Viscofan Envolturas Celulo SA 113,300 2,534 92899999
Weston George Ltd. 211,100 6,370 96114850
71,297
HOUSEHOLD PRODUCTS - 0.2%
Avon Products, Inc. 27,400 1,548 05430310
Hartstone Group PLC Ord. (a) 2,147,800 1,848 41722610
Neutrogena Corp. (a) 40,600 680 64124610
COMMON STOCKS - CONTINUED
VALUE (NOTE 1)
SHARES (000S)
NONDURABLES - CONTINUED
HOUSEHOLD PRODUCTS - CONTINUED
Orkla AS Class A Free shares 50,000 $ 1,683 39299193
Premark International, Inc. 30,100 2,167 74045910
Procter & Gamble Co. 131,400 7,047 74271810
Safeskin Corp. (a) 20,000 270 78645410
Stanhome, Inc. 37,100 1,317 85442510
16,560
TOBACCO - 0.9%
Empresas La Moderna SA sponsored ADR 134,800 3,168 29244910
ITC Ltd. GDR (a)(g) 45,500 899 45031810
Philip Morris Companies, Inc. 1,313,800 66,675 71815410
RJR Nabisco Holdings Corp. (a) 2,419,400 13,912 74960K10
UST, Inc. 346,000 8,563 90291110
93,217
TOTAL NONDURABLES 230,398
PRECIOUS METALS - 0.1%
PRECIOUS METALS - 0.1%
Free State Consolidated Gold Mines Ltd. ADR 84,500 1,088 35614220
Hecla Mining Co. (a) 26,700 381 42270410
Homestake Mining Co. 276,500 6,221 43761410
7,690
RETAIL & WHOLESALE - 2.5%
APPAREL STORES - 0.3%
AnnTaylor Stores Corp. (a) 50,000 1,600 03611510
Burlington Coat Factory Warehouse Corp. (a) 20,000 505 12157910
Cato Corp. Class A 20,000 325 14920510
Charming Shoppes, Inc. 166,000 2,013 16113310
Claire's Stores, Inc. 83,600 1,578 17958410
Designs, Inc. (a) 20,000 330 25057L10
Edison Brothers Stores, Inc. 8,400 247 28087510
Gap, Inc. 77,700 3,448 36476010
Lamonts Apparel, Inc. (a) 213,794 321 51362820
Limited, Inc. (The) 320,000 6,680 53271610
Ross Stores, Inc. (a) 104,100 1,587 77829610
COMMON STOCKS - CONTINUED
VALUE (NOTE 1)
SHARES (000S)
RETAIL & WHOLESALE - CONTINUED
APPAREL STORES - CONTINUED
Sportmart, Inc. (a) 10,000 $ 125 84892210
TJX Companies, Inc. 614,900 16,218 87254010
34,977
DRUG STORES - 0.1%
General Nutrition Companies, Inc. (a) 27,020 669 37047F10
Long Drug Stores, Inc. 12,500 417 54316210
Rite Aid Corporation 273,900 5,204 76775410
6,290
GENERAL MERCHANDISE STORES - 1.4%
Aoyama Trading Co. Ord. 144,000 8,178 03799092
Cifra SA Class C (a) 7,682,400 19,722 17178594
Consolidated Stores Corp. (a) 200,000 3,450 21014910
Controladora Commercial Mexicana SA B-1 (a) 5,640,400 9,709 21299692
Dayton Hudson Corp. 235,800 17,213 23975310
Dillard Department Stores, Inc. Class A 115,000 3,852 25406310
Federated Department Stores, Inc. (a) 1,005,500 22,121 31410J10
Keum Kang Dev Industries Co. (a) 9,450 166 49299F22
Mac Frugals Bargains Co., Inc. (a) 28,200 469 55415210
Marks & Spencer Ltd. Ord. (a) 830,719 5,028 57069710
May Department Stores Co. (The) 62,500 2,602 57777810
Midopa Co. (a) 69,503 1,335 59899E22
Midopa Co. (New) 18,904 258 59899E23
Penney (J.C.) Co., Inc. 92,600 4,896 70816010
Proffitts, Inc. (a) 36,800 773 74292510
Sears, Roebuck & Co. 317,600 13,657 81238710
Sears Roebuck de Mexico SA 951,500 13,885 81240K92
Sears Roebuck de Mexico SA de CV ADR
representing Series B-1 shares (a)(g) 160,000 4,692 81240K10
Value City Department Stores, Inc. (a) 135,700 2,036 92038710
Wal-Mart Stores, Inc. 446,100 11,543 93114210
145,585
GROCERY STORES - 0.4%
American Stores Co. 50,200 2,573 03009610
Argyll 304,315 1,142 04099210
Bruno's, Inc. 393,200 3,047 11688110
Food Lion, Inc. Class A 1,575,300 8,861 34477520
Giant Food, Inc. Class A 70,000 1,575 37447810
Great Atlantic & Pacific Tea Co., Inc. 76,100 1,864 39006410
Kroger Co. (The) (a) 35,000 836 50104410
COMMON STOCKS - CONTINUED
VALUE (NOTE 1)
SHARES (000S)
RETAIL & WHOLESALE - CONTINUED
GROCERY STORES - CONTINUED
Loblaw Companies, Ltd. 116,700 $ 2,045 53948110
Safeway, Inc. (a) 410,400 9,798 78651420
Stop & Shop Companies, Inc. (a) 189,700 4,624 86209910
Supervalu, Inc. 1,300 45 86853610
Tae Gu Department Store Co. (a) 6,489 200 90599G22
Tesco PLC Ord. (a) 958,523 3,029 88157510
Whole Foods Market, Inc. (a) 68,800 1,290 96683710
40,929
RETAIL & WHOLESALE, MISCELLANEOUS - 0.3%
Barnes & Noble, Inc. 23,800 571 06777410
CML Group, Inc. 10,600 176 12582010
Duty Free International, Inc. 10,000 145 26708410
Fabri-Centers of America, Inc. (a) 200 3 30284610
Good Guys, Inc. (a) 225,700 3,724 38209110
Grupo Casa Autrey SA sponsored ADR (a) 79,800 2,035 40048P10
Hancock Fabrics, Inc. 61,100 558 40990010
Lillian Vernon Corp. 12,500 258 53243010
Little Switzerland, Inc. (a) 129,000 871 53752810
Lowe's Companies, Inc. 225,000 7,256 54866110
Micro Warehouse, Inc. (a) 20,000 920 59501B10
North West Company, Inc. 54,600 612 66329F10
Office Depot, Inc. (a) 28,100 980 67622010
Pinault Printemps SA 3,400 565 72199393
Rex Stores Corp. (a) 12,500 222 76162410
Sotheby's Holdings, Inc. Class A 298,600 5,076 83589810
Spiegel, Inc. Class A 27,500 626 84845710
Staples, Inc. 27,200 683 85503010
Toys "R" Us, Inc. (a) 92,300 3,207 89233510
Waban, Inc. (a) 10,700 197 92939410
Wickes PLC 1,445,100 2,294 96699392
30,979
TRADING COMPANIES - 0.0%
Hyundai Corp. (a) 45,500 1,488 40999922
Inchcape Berhad Ord. 142,125 1,090 45325010
Nam Sung Corp. (a) 19,624 367 63299D22
Sunkyong Ltd. (a) 10,000 306 96199C22
3,251
TOTAL RETAIL & WHOLESALE 262,011
COMMON STOCKS - CONTINUED
VALUE (NOTE 1)
SHARES (000S)
SERVICES - 0.5%
ADVERTISING - 0.0%
Omnicom Group, Inc. 28,200 $ 1,346 68191910
LEASING & RENTAL - 0.0%
Hollywood Entertainment Corp. (a) 20,000 477 43614110
Orix Corp. 104,000 3,627 68616710
Thorn EMI PLC Ord. 1,002 16 88519991
4,120
PRINTING - 0.2%
Cadmus Communications Corp. 20,000 285 12758710
Donnelley (R.R.) & Sons Co. 61,500 1,730 25786710
Moore Corporation Ltd. 60,500 1,131 61578510
New England Business Service, Inc. 100,000 1,900 64387210
Reynolds & Reynolds Co. Class A 295,300 6,423 76169510
Standard Register Co. 9,800 211 85388710
Wallace Computer Services, Inc. 63,800 2,121 93227010
13,801
SERVICES - 0.3%
Borg Warner Securities Corp. (a) 122,400 2,066 09973310
CPI Corp. 124,000 1,953 12590210
Chemed Corp. 25,400 826 16359610
Craig (Jenny), Inc. 74,100 472 22420610
Devry, Inc. (a) 50,000 1,419 25189310
Ecolab, Inc. 74,200 1,521 27886510
Interim Services, Inc. 21,400 532 45868P10
Jostens, Inc. 50,000 850 48108810
Kelly Services, Inc. Class A 10,800 259 48815220
Pinkertons, Inc. (a) 85,900 1,729 72342910
Pittston Company Services Group 75,500 1,680 72570110
Robert Half International, Inc. (a) 15,000 459 77032310
Service Corp. International 167,400 4,227 81756510
Supercuts, Inc. (a) 66,000 990 86805710
Town & Country Jewelry Manufacturing Corp. Class A (a) 743,292 2,137
89202710
Western Atlas, Inc. 240,100 9,904 95767410
31,024
TOTAL SERVICES 50,291
COMMON STOCKS - CONTINUED
VALUE (NOTE 1)
SHARES (000S)
TECHNOLOGY - 6.0%
COMMUNICATIONS EQUIPMENT - 0.7%
ADC Telecommunications, Inc. (a) 6,000 $ 230 00088610
Cabletron Systems, Inc. (a) 137,900 15,066 12692010
Cisco Systems, Inc. (a) 899,400 30,804 17275R10
DSC Communications Corp. (a) 155,500 7,814 23331110
Daewoo Telecommunication 27,913 512 27999192
Ericsson (L.M.) Telephone Co. Class B ADR 35,700 1,504 29482140
Network General Corp. 88,600 1,584 64121010
Newbridge Networks Corp. (a) 14,700 803 65090110
3Com Corp. (a) 91,070 5,088 88553510
Wellfleet Communications, Inc. (a) 144,600 10,194 94949710
73,599
COMPUTER SERVICES & SOFTWARE - 0.8%
Adobe Systems, Inc. 6,100 148 00724F10
CUC International, Inc. (a) 19,000 598 12654510
Ceridian Corp. (a) 67,500 1,569 15677T10
Cheyenne Software, Inc. (a) 172,650 4,446 16688810
Compuware Corp. (a) 125,000 5,266 20563810
Crosscommunications Corp. (a) 34,300 429 22757K10
Inacom Corp. (a) 50,000 775 45323G10
Informix Corp. (a) 700 14 45677910
Intelligent Electronics, Inc. 31,800 795 45815710
LEGENT Corp. (a) 25,000 637 52465R10
Lotus Development Corp. (a) 170,000 11,985 54570010
Micrografx, Inc. (a) 129,000 838 59507710
Microsoft Corp. (a) 457,300 38,756 59491810
Oracle Systems Corp. (a) 79,000 2,538 68389X10
Parametric Technology Corp. (a) 10,600 292 69917310
Recognition Equipment, Inc. (a) 7,300 88 75623110
Reuters Holdings PLC Ord. (a) 112,799 3,273 76132410
SHL Systemhouse, Inc. (a) 303,700 2,088 78424R10
Sybase, Inc. (a) 500 23 87113010
Systems Software Associates, Inc. 28,100 400 87183910
Viewlogic Systems, Inc. (a) 307,700 7,885 92672110
82,843
COMPUTERS & OFFICE EQUIPMENT - 1.9%
Amdahl Corp. 504,500 3,279 02390510
Apple Computer, Inc. 4,900 163 03783310
Canon, Inc. 522,000 8,238 13780199
Casio Computer Co. Ltd. Ord. 392,000 4,850 14761893
Cherry Corp. (a) 139,000 3,684 16454110
COMMON STOCKS - CONTINUED
VALUE (NOTE 1)
SHARES (000S)
TECHNOLOGY - CONTINUED
COMPUTERS & OFFICE EQUIPMENT - CONTINUED
Comdisco, Inc. 10,100 $ 196 20033610
Compaq Computer Corp. (a) 769,600 75,228 20449310
Conner Peripherals, Inc. (a) 12,800 194 20810810
Dell Computer Corporation (a) 8,100 204 24702510
Diebold, Inc. 155,850 5,689 25365110
EMC Corp. (a) 27,500 547 26864810
Exabyte (a) 6,400 122 30061510
Guilbert 10,974 1,013 40199792
Hewlett-Packard Co. 159,000 13,058 42823610
International Business Machines Corp. 816,200 44,483 45920010
Media Vision Technology, Inc. (a) 62,600 603 58445H10
Merisel, Inc. (a) 139,500 2,528 58984910
SCI Systems, Inc. (a) 474,900 7,598 78389010
Seagate Technology (a) 100,000 2,325 81180410
Silicon Graphics, Inc. (a) 44,500 1,062 82705610
Sun Microsystems, Inc. (a) 185,900 5,089 86681010
Symbol Technologies, Inc. (a) 10,700 206 87150810
SynOptics Communications, Inc. (a) 87,500 1,772 87160910
Tandem Computers, Inc. (a) 211,200 2,983 87537010
Tech Data Corp. (a) 37,100 1,345 87823710
Tricord Systems, Inc. (a) 128,500 1,895 89612110
Xerox Corp. 94,700 9,044 98412110
197,398
ELECTRONIC INSTRUMENTS - 0.1%
Applied Materials, Inc. (a) 48,000 2,136 03822210
KLA Instruments Corp. (a) 12,500 447 48248010
Kulicke & Soffa Industries, Inc. (a) 113,300 1,246 50124210
Lam Research Corp. (a) 43,200 1,339 51280710
Measurex Corp. 11,200 205 58343210
Megatest Corp. (a) 61,100 1,115 58495810
Tektronix, Inc. 50,000 1,525 87913110
Teradyne, Inc. (a) 144,000 3,636 88077010
Varian Associates, Inc. 58,800 1,999 92220410
13,648
ELECTRONICS - 2.4%
AMP, Inc. 53,300 3,211 03189710
Advanced Micro Devices, Inc. (a) 550,000 16,981 00790310
Anthem Electronics, Inc. (a) 230,600 6,860 03673210
Atmel Corp. (a) 42,500 1,796 04951310
Daewoo Electronics Components Co. (a) 20,038 355 23799E22
COMMON STOCKS - CONTINUED
VALUE (NOTE 1)
SHARES (000S)
TECHNOLOGY - CONTINUED
ELECTRONICS - CONTINUED
Hitachi, Ltd. 1,204,000 $ 10,908 43357810
Integrated Device Technology, Inc. (a) 89,000 2,258 45811810
Intel Corp. 1,358,800 91,719 45814010
LSI Logic Corp. (a) 161,700 3,234 50216110
Linear Technology Corp. 7,700 325 53567810
Maxim Integrated Products, Inc. (a) 102,000 5,126 57772K10
Methode Electronics, Inc. Class A 79,200 1,297 59152020
Micron Technology, Inc. 91,200 7,615 59511210
Molex, Inc. 15,100 510 60855410
Molex, Inc. 150,000 4,950 60855420
Motorola, Inc. 491,800 49,795 62007610
National Semiconductor Corp. (a) 50,000 1,050 63764010
Samsung Electronics Co. Ltd. GDR (g) 106,300 4,837 79605020
Samsung Electronics Co. Ltd. GDR representing
common (a)(g) 5,057 193 79605060
Solectron Corp. (a) 362,800 10,929 83418210
Texas Instruments, Inc. 379,600 29,324 88250810
Toshiba Corp. 928,000 6,663 89149310
Xilinx, Inc. (a) 5,000 250 98391910
260,186
PHOTOGRAPHIC EQUIPMENT - 0.1%
Fuji Photo Film Co. Ltd. 145,000 3,235 35958610
Polaroid Corp. 162,008 5,164 73109510
8,399
TOTAL TECHNOLOGY 636,073
TRANSPORTATION - 1.3%
AIR TRANSPORTATION - 0.4%
AMR Corp. (a) 246,000 14,022 00176510
Atlantic Southeast Airlines, Inc. 14,500 458 04886910
Comair Holdings, Inc. 302,000 6,493 19978910
Delta Air Lines, Inc. 82,600 3,738 24736110
Korean Air (a) 100,342 2,760 52299522
Mesa Airlines, Inc. (a) 92,500 1,896 59048110
UAL Corp. (a) 129,200 16,473 90254910
45,840
COMMON STOCKS - CONTINUED
VALUE (NOTE 1)
SHARES (000S)
TRANSPORTATION - CONTINUED
RAILROADS - 0.8%
Burlington Northern, Inc. 84,300 $ 5,016 12189710
CSX Corp. 224,800 18,434 12640810
Chicago & North Western Holdings Corp. (a) 187,200 4,540 16715510
Conrail, Inc. 37,300 2,154 20836810
Illinois Central Corp., Series A 209,600 7,074 45184110
Santa Fe Pacific Corp. 1,334,700 30,364 80218310
Southern Pacific Rail Corp. (a) 381,000 8,001 84358410
Trinity Industries, Inc. 60,600 2,303 89652210
Union Pacific Corp. 80,200 4,551 90781810
Wisconsin Central Transportation Corp. (a) 36,300 2,550 97659210
84,987
SHIPPING - 0.1%
Great Eastern Shipping Co. Ltd. GDR 86,000 1,032 39099823
Han Jin Transportation Co. (a) 45,423 1,159 40999722
Ned Lloyd (a) 113,500 3,805 63983210
Overseas Shipholding Group, Inc. 52,400 1,074 69036810
Transportacion Maritima Mexicana SA de CV ADR
representing L shares (a) 290,000 2,393 89386820
9,463
TRUCKING & FREIGHT - 0.0%
MS Carriers, Inc. (a) 10,000 225 55353310
Roadway Services, Inc. 12,500 847 76974810
Yellow Corp. 41,200 984 98550910
2,056
TOTAL TRANSPORTATION 142,346
UTILITIES - 3.9%
CELLULAR - 0.4%
Cencall Communications Corp. (a) 51,100 1,201 15129710
Dial Page, Inc. 45,000 2,036 25247P10
IDB Communications Group, Inc. 50,000 819 44935510
Nextel Communications, Inc. Class A (a) 56,800 2,229 65332V10
Pactel Corp. (a) 10,000 206 69525210
Premier Page Co. (a) 93,000 872 74058E10
Rogers Cantel Mobile Communications, Inc. Class B
(non-vtg.) (a) 143,400 3,537 77510210
COMMON STOCKS - CONTINUED
VALUE (NOTE 1)
SHARES (000S)
UTILITIES - CONTINUED
CELLULAR - CONTINUED
Vodafone Group PLC (a) 940,436 $ 7,199 92857T92
Vodafone Group PLC sponsored ADR 285,700 22,106 92857T10
40,205
ELECTRIC UTILITY - 1.9%
Allegheny Power System, Inc. 19,300 439 01741110
American Electric Power Co., Inc. 159,100 4,892 02553710
Baltimore Gas & Electric Co. 260,300 6,019 05916510
Carolina Power & Light Co. 163,400 4,248 14414110
Centerior Energy Corp. 342,700 3,770 15188310
Central & South West Corp. 134,500 3,329 15235710
Central Costanera SA ADR (a)(g) 102,100 3,114 15324M10
Central Louisiana Electric Co., Inc. 8,200 195 15389760
Cincinnati Gas & Electric Co. 16,900 406 17207010
Commonwealth Edison Co. 167,300 4,203 20279510
Consolidated Edison Co. of New York, Inc. 157,800 4,596 20911110
Detroit Edison Company 198,900 5,271 25084710
Dominion Resources, Inc. (Va.) 131,700 5,268 25747010
Duke Power Co. 66,700 2,410 26439910
Eastern Utilities Associates 187 5 27717310
Entergy Corp. 718,700 22,819 29364G10
FECSA Class A 139,300 1,042 35899E22
FPL Group, Inc. 115,200 3,816 30257110
General Public Utilities Corp. 144,700 4,142 37055010
Hawaiian Electric Industries, Inc. 9,200 298 41987010
Hong Kong Electric Holdings Ord. 4,200,500 11,578 43858010
Houston Industries, Inc. 137,700 4,888 44216110
Iberdrola SA 211,290 1,539 45499892
Idaho Power Co. 8,400 231 45138010
Illinois Power Co. 236,200 4,783 45209210
Kansas City Power & Light Co. 12,700 268 48513410
Korea Electric Power Corp. 373,800 11,115 50099B92
LG&E Energy Corp. 6,900 253 50191710
Long Island Lighting Co. 86,900 1,890 54267110
Montana Power Co. 15,100 370 61208510
NIPSCO Industries, Inc. 178,400 5,397 62914010
Nevada Power Co. 9,700 215 64142310
New England Electric Systems 23,500 855 64400110
New York State Electric & Gas Corp. 14,000 374 64984010
Niagara Mohawk Power Corp. 276,900 4,950 65352210
Northeast Utilities 21,500 508 66439710
COMMON STOCKS - CONTINUED
VALUE (NOTE 1)
SHARES (000S)
UTILITIES - CONTINUED
ELECTRIC UTILITY - CONTINUED
Northern States Power Co. (Minn.) 65,500 $ 2,677 66577210
Ohio Edison Co. 130,800 2,485 67734710
Oklahoma Gas & Electric Co. 7,200 249 67885810
PSI Resources, Inc. 251,200 5,872 69363210
Pacific Gas & Electric Co. 228,000 6,640 69430810
PacifiCorp. 261,700 4,612 69511410
Peco Energy Co. 359,000 9,962 69330410
Pinnacle West Capital Corp. 16,000 320 72348410
Portland General Corp. 14,100 247 73650610
Public Service Co. of Colorado 9,600 280 74444810
Public Service Co. of New Mexico (a) 24,400 320 74449910
Public Service Enterprise Group, Inc. 189,900 5,293 74457310
Puget Sound Power & Light Co. 13,600 308 74533210
SCE Corp 262,100 4,325 78388210
Scottish Hydro-Electric PLC Ord. 120,917 688 81013395
Scottish Power PLC 269,834 1,655 81013T96
Sierra Pacific Resources 12,500 231 82642510
Southern Co. 280,000 5,355 84258710
Texas Utilities Co. 86,500 3,233 88284810
Union Electric Co. 87,200 3,074 90654810
Veba Vereinigte Elektrizetaets & Bergwerks AG Ord. 26,700 7,748
92239110
Verbund Gesellschaft 6,300 364 92299999
195,434
GAS - 0.2%
Arkla, Inc. 204,900 1,383 04123710
Atlanta Gas Light Co. 5,700 197 04775310
Brooklyn Union Gas Co. (The) 8,900 211 11425910
Coastal Corp. (The) 49,200 1,501 19044110
Columbia Gas System, Inc. (The) (a) 111,400 2,910 19764810
Consolidated Natural Gas Co. 28,300 1,132 20961510
ENSERCH Corp. 65,000 861 29356710
El Paso Natural Gas Co. 5,500 201 28369587
Enron Corp. 10,000 305 29356110
Indiana Energy, Inc. 5,700 109 45470710
MCN Corp. 5,100 183 55267J10
National Fuel Gas Co. 9,300 279 63618010
Pacific Enterprises 35,000 709 69423210
Panhandle Eastern Corp. 205,000 4,305 69846210
Questar Corp. 7,500 227 74835610
Sonat, Inc. 141,600 3,929 83541510
COMMON STOCKS - CONTINUED
VALUE (NOTE 1)
SHARES (000S)
UTILITIES - CONTINUED
GAS - CONTINUED
Washington Gas Light Co. 4,400 $ 174 93883710
Westcoat Energy, Inc. 107,000 1,788 95751D10
Williams Companies, Inc. 175,000 4,200 96945710
24,604
TELEPHONE SERVICES - 1.4%
ALC Communications Corp. (a) 50,000 1,662 00157530
Ameritech Corp. 408,000 15,555 03095410
BellSouth Corp. 96,200 5,556 07986010
British Telecommunications PLC Ord 1,850,301 10,788 11102110
Cable & Wireless PLC Ord. 664,944 4,498 12699910
Comsat Corp., Series 1 10,800 282 20564D10
LDDS Communications, Inc. (a) 79,570 1,910 50182L10
NYNEX Corp. 30,000 1,035 67076810
Pacific Telesis Group 50,000 2,631 69489010
Rochester Telephone Corp. 8,100 348 77175810
SIP Spa 5,417,700 16,111 78401792
Southwestern Bell Corp. 488,900 19,739 84533310
Sprint Corporation 356,100 12,196 85206110
Telecom Argentina Stet France 1,818,800 10,095 90899992
Telefonica Argentina Class B 986,100 6,193 87999D92
Telefonos de Mexico SA sponsored ADR
representing shares Ord. Class L 706,600 42,573 87940378
151,172
WATER - 0.0%
Generale des Eaux 4,572 2,079 37099210
TOTAL UTILITIES 413,494
TOTAL COMMON STOCKS
(Cost $4,041,940) 4,361,784
PREFERRED STOCKS - 0.9%
CONVERTIBLE PREFERRED STOCKS - 0.3%
BASIC INDUSTRIES - 0.1%
METALS & MINING - 0.1%
Alumax, Inc., Series A. $4.00 866 96 02219720
Cyprus Amax Minerals Co., Series A, $4.00 8,533 589 23280920
PREFERRED STOCKS - CONTINUED
VALUE (NOTE 1)
SHARES (000S)
CONVERTIBLE PREFERRED STOCKS - CONTINUED
BASIC INDUSTRIES - CONTINUED
METALS & MINING - CONTINUED
Reynolds Metals Co. $3.31 Prides 137,600 $ 6,742 76176350
7,427
DURABLES - 0.0%
AUTOS, TIRES, & ACCESSORIES - 0.0%
Chrysler Corp., Series A, $4.625 (g) 3,600 519 17119670
Ford Motor Co. (Del.), Series A, $4.20 25,000 2,453 34537020
2,972
ENERGY - 0.1%
ENERGY SERVICES - 0.0%
Chiles Offshore Corp. $1.50 (a) 109,500 2,628 16888720
OIL & GAS - 0.1%
Unocal Corp. $3.50 (g) 100,000 5,200 91528920
TOTAL ENERGY 7,828
MEDIA & LEISURE - 0.0%
LODGING & GAMING - 0.0%
Bally Manufacturing Corp., Series D, $4.00
exchangeable (a) 1,157 47 05873220
NONDURABLES - 0.1%
TOBACCO - 0.1%
RJR Nabisco Holdings Corp., Series A. depositary shares
representing 1/4 share 1,170,100 7,167 74960K40
TECHNOLOGY - 0.0%
COMPUTER SERVICES & SOFTWARE - 0.0%
Ceridian Corp. (a) 30,000 1,770 15677T40
TRANSPORTATION - 0.0%
AIR TRANSPORTATION - 0.0%
AMR Corp. $3.00 (a)(g) 100,200 4,359 00176588
PREFERRED STOCKS - CONTINUED
VALUE (NOTE 1)
SHARES (000S)
CONVERTIBLE PREFERRED STOCKS - CONTINUED
TRANSPORTATION - CONTINUED
TRUCKING & FREIGHT - 0.0%
TNT Ltd. 8% 20,000 $ 32 93599293
TOTAL TRANSPORTATION 4,391
TOTAL CONVERTIBLE PREFERRED STOCKS 31,602
NONCONVERTIBLE PREFERRED STOCKS - 0.6%
BASIC INDUSTRIES - 0.1%
CHEMICALS & PLASTICS - 0.0%
Henkel KGAA 10,000 3,769 42509392
IRON & STEEL - 0.1%
Dongbu Steel Co. Ltd. (a) 44,100 1,158 25799L23
Geneva Steel Co. Series B, 14% exchangeable (a) 37,500 4,800 37225240
5,958
TOTAL BASIC INDUSTRIES 9,727
CONSTRUCTION & REAL ESTATE - 0.0%
CONSTRUCTION - 0.0%
Dongbu Construction (a) 3,100 45 25799M23
DURABLES - 0.0%
AUTOS, TIRES, & ACCESSORIES - 0.0%
Hyundai Motor Service Co. (a) 8,000 433 42199424
FINANCE - 0.1%
CREDIT & OTHER FINANCE - 0.0%
Tong Yang Securities (a) 107,222 2,139 93999B23
INSURANCE - 0.0%
SAI N/C Risp 611,500 3,886 78399192
SAVINGS & LOANS - 0.1%
California Federal Savings Bank 10 5/8%, Series B (a) 65,300 6,595
13020950
TOTAL FINANCE 12,620
PREFERRED STOCKS - CONTINUED
VALUE (NOTE 1)
SHARES (000S)
NONCONVERTIBLE PREFERRED STOCKS - CONTINUED
SERVICES - 0.0%
Town & Country Corp. exchangeable (a) 156,070 $ 1,053 89202730
UTILITIES - 0.4%
ELECTRIC UTILITY - 0.1%
Long Island Lighting Co. $7.95 237,000 5,955 54267177
Public Service Co. of New Hampshire Series A 54,000 1,418 74448283
7,373
TELEPHONE SERVICES - 0.3%
Stet Societa Finanziaria Telefonica Spa 10,925,600 33,187 85982592
TOTAL UTILITIES 40,560
TOTAL NONCONVERTIBLE PREFERRED STOCK 64,438
TOTAL PREFERRED STOCKS
(Cost $78,764) 96,040
CORPORATE BONDS - 15.5%
MOODY'S RATINGS (D) PRINCIPAL
(UNAUDITED) AMOUNT (C) (000S)
CONVERTIBLE BONDS - 0.2%
BASIC INDUSTRIES - 0.0%
IRON & STEEL - 0.0%
Sterlite Industries euro 3 1/2%, 6/30/99 - $ 880 986 8597379A
PAPER & FOREST PRODUCTS - 0.0%
Stone Consolidated Corp. 8%, 12/31/03 - 2,100 1,973 86158KAA
TOTAL BASIC INDUSTRIES 2,959
DURABLES - 0.1%
TEXTILES & APPAREL - 0.1%
Alpargatas SAIC 9%, 3/15/98 (g) - 5,000 4,600 020545AA
Shinwon Corp. euro 5%, 12/31/08 - 500 565 98499DAA
5,165
CORPORATE BONDS - CONTINUED
MOODY'S RATINGS (D) PRINCIPAL VALUE (NOTE 1)
(UNAUDITED) AMOUNT (C) (000S) (000S)
CONVERTIBLE BONDS - CONTINUED
FINANCE - 0.1%
CREDIT & OTHER FINANCE - 0.1%
Industrial Credit & Investment Corp.
2 1/2%, 4/03/00 (g) - $ 1,910 $ 1,652 456052AA
PIV Investment Cayman Ltd.
4 1/2%, 12/1/00 (g) - 1,150 943 693393AA
SCICI Ltd. euro 3 1/2%, 4/1/04 (g) - 880 1,025 79599KAA
3,620
INDUSTRIAL MACHINERY & EQUIPMENT - 0.0%
ELECTRICAL EQUIPMENT - 0.0%
Daewoo Electric euro 5%, 12/31/07 - 1,700 2,822 23899CAB
MEDIA & LEISURE - 0.0%
LODGING & GAMING - 0.0%
Bally Manufacturing Corp. 10%, 12/15/06 Caa 1,200 1,170 058732AB
NONDURABLES - 0.0%
BEVERAGES - 0.0%
Jinro Ltd. euro 1/4%, 9/30/09 - 500 471 732994AA
RETAIL & WHOLESALE - 0.0%
TRADING COMPANIES - 0.0%
Daewoo Corp. euro 1/4%, 12/31/08 - 385 439 23799BAB
TECHNOLOGY - 0.0%
COMMUNICATIONS EQUIPMENT - 0.0%
Ericsson (L.M.) Telephone Co. 4 1/4%, 6/30/00 - 121 192 294821AA
COMPUTERS & OFFICE EQUIPMENT - 0.0%
Tae Il Media Co. Ltd. 1/2%, 12/31/98 - CHF 250 165 90799KAA
Unisys Corp. 8 1/4%, 8/1/00 B2 2,000 2,850 909214AX
3,015
TOTAL TECHNOLOGY 3,207
TOTAL CONVERTIBLE BONDS 19,853
CORPORATE BONDS - CONTINUED
MOODY'S RATINGS (D) PRINCIPAL VALUE (NOTE 1)
(UNAUDITED) AMOUNT (C) (000S) (000S)
NONCONVERTIBLE BONDS - 15.3%
AEROSPACE & DEFENSE - 0.0%
DEFENSE ELECTRONICS - 0.0%
Trancor, Inc. 10 7/8%, 8/15/01 B2 $ 1,930 $ 1,949 892349AC
BASIC INDUSTRIES - 1.8%
CHEMICALS & PLASTICS - 0.7%
Agricultural Mineral & Chemicals Corp.
10 3/4%, 9/30/03 B2 2,210 2,254 008522AA
Desc (Societe De Fomento Industrial) euro:
11%, 12/15/97 - 9,263 9,865 252996AB
11%, 12/15/97 (g) - 2,290 2,439 252996AA
G-I Holdings, Inc. 0%, 10/1/98 Ba3 29,890 18,233 36172FAB
Harris Chemical Corp. 10 3/4%, 10/15/03 B3 1,470 1,492 413868AB
IMC Fertilizer Group, Inc.:
9 1/4%, 10/1/00 B3 7,500 7,275 449669AH
10 1/8, 6/15/01 B3 9,000 9,180 449669AF
Methanex Corp. 8 7/8%, 11/15/01 Ba3 2,860 2,767 59151KAA
NL Industires, Inc. 11 3/4%, 10/15/03 B1 2,550 2,639 629156AE
OSI Specialties, Inc. 9 1/4%, 10/1/02 B1 1,740 1,67 671042AA1
Sherritt Incorp. 11%, 3/31/04 BB- 3,260 2,341 824287AA
Trans Resources, Inc. 14 1/2%, 9/1/96 B2 980 1,088 893320AB
UCC Corp. 9%, 9/1/00 B1 13,040 12,714 90915TAA
UCC Investors Holding, Inc. 10 1/2%, 5/1/02 B2 3,685 3,832 90263EAB
77,790
IRON & STEEL - 0.1%
Acindar Industrial euro:
10 1/2%, 12/10/94 - 4,134 4,030 0045149A
9 1/2%, 10/23/95 - 500 487 0045149G
WCI Steel, Inc. 10 1/2%, 3/1/02 B1 2,470 2,594 92923JAB
7,111
METALS & MINING - 0.1%
Sifto Canada, Inc. 8 1/2%, 7/15/00 B1 7,365 7,034 826549AA
PAPER & FOREST PRODUCTS - 0.9%
Alto Parana (May) 12%, 3/4/95 (g) - 14,750 9,587 021999AA
Container Corp. America:
14%, 12/1/01 B3 11,730 12,903 210741AG
9 3/4%, 4/1/03 B2 4,420 4,332 210741AJ
CORPORATE BONDS - CONTINUED
MOODY'S RATINGS (D) PRINCIPAL VALUE (NOTE 1)
(UNAUDITED) AMOUNT (C) (000S) (000S)
NONCONVERTIBLE BONDS - CONTINUED
BASIC INDUSTRIES - CONTINUED
PAPER & FOREST PRODUCTS - CONTINUED
Fort Howard Paper Co.:
8 1/4%, 2/1/02 B1 $ 6,620 $ 6,090 347460AJ
9%, 2/1/06 B2 30,770 27,847 347460AK
Repap Wisconsin, Inc.
9 1/4%, 2/1/02 B1 19,820 19,027 76026LAA
9 7/8%, 5/1/06 B3 3,280 3,116 76026LAB
Stone Container Corp. 9 7/8%, 2/1/01 B1 CAD 11,260 10,303 861589AK
Valcor, Inc. 9 5/8%, 11/1/03 B1 1,200 1,152 918884AA
94,357
TOTAL BASIC INDUSTRIES 186,292
CONGLOMERATES - 0.1%
American Standard, Inc.:
9 7/8%, 6/1/01 B1 1,660 1,610 029717AH
12 3/4%, 12/31/03 B3 7,365 7,439 029717AK
Sequa Corp. 9 3/8%, 12/15/03 B3 1,670 1,586 817320AG
10,635
CONSTRUCTION & REAL ESTATE - 2.6%
BUILDING MATERIALS - 2.2%
Adience, Inc. 11%, 6/15/02 - 3,975 3,140 006905AA
Cemex SA 8 7/8%, 6/10/98 (g) Ba2 62,180 62,649 151290AG
Cemex SA and Tolmex SA de CV:
euro 8 7/8%, 6/10/98 Ba2 37,130 37,410 1512909F
10%, 11/5/99 Ba2 16,170 16,817 1512909D
Tolmex SA de CV 8 3/8%, 11/1/03 Ba2 45,485 42,301 889557AA
Triangle Pacific Corp. 10 1/2%, 8/1/03 B2 6,510 6,543 895912AC
USG Corp.:
Series B, 10 1/4%, 12/15/02 B2 8,460 8,608 903293AL
8%, 12/15/95 B3 10,400 10,400 903293AH
9%, 12/15/98 B3 9,471 9,471 903293AJ
9 1/4%, 9/15/01 (g) - 25,245 24,993 90399BAX
10 1/4%, 12/15/02 B2 13,033 13,228 903293AK
235,560
CORPORATE BONDS - CONTINUED
MOODY'S RATINGS (D) PRINCIPAL VALUE (NOTE 1)
(UNAUDITED) AMOUNT (C) (000S) (000S)
NONCONVERTIBLE BONDS - CONTINUED
CONSTRUCTION & REAL ESTATE - CONTINUED
CONSTRUCTION - 0.4%
Blount, Inc. 9%, 6/15/03 B2 $ 3,685 $ 3,704 095173AB
Empresas ICA Sociedad Controladora SA de CV
9 3/4%, 2/11/98 (g) - 4,510 4,651 292448AA
ICA euro 9 3/4%, 2/11/98 - 7,421 7,653 2924489A
Kaufman & Broad Home Corp.
9 3/8%, 5/1/03 Ba3 1,200 1,188 486168AC
MDC Holdings, Inc. 11 1/8%, 12/15/03 - 2,060 2,060 552676AH
Ryland Group, Inc. 9 5/8%, 6/1/04 Ba3 3,415 3,261 783764AC
US Home Corp. 9 3/4%, 6/15/03 Ba3 18,395 18,349 911920AB
Webb (Del E.) 9%, 2/15/06 B2 1,980 1,812 947423AF
42,678
REAL ESTATE - 0.0%
Baldwin Co. 10 3/8%, 8/1/03 - 310 282 057826AC
TOTAL CONSTRUCTION & REAL ESTATE 278,520
DURABLES - 0.3%
AUTOS, TIRES, & ACCESSORIES - 0.2%
Grupo Dina (Consorcio):
euro 10 1/2%, 11/18/97 - 2,200 2,282 210996AB
10 1/2%, 11/18/97 (g) - 7,700 7,989 210996AA
Grupo Imsa SA de CV euro 8 3/4%, 7/7/98 (g) - 6,250 6,141 40048TAA
Navistar Financial Corp. 8 7/8%, 11/15/98 B2 5,490 5,407 638902AH
21,819
TEXTILES & APPAREL - 0.1%
Alpargatas SA euro 9%, 3/15/98 - 930 856 0205459A
Hat Brands, Inc. 12 5/8%, 9/15/02 - 4,910 5,278 418730AA
Westpoint Stevens Inc.:
8 3/4%, 12/15/01 B1 4,270 4,014 961238AA
9 3/8%, 12/15/05 B2 2,935 2,759 961238AB
12,907
TOTAL DURABLES 34,726
CORPORATE BONDS - CONTINUED
MOODY'S RATINGS (D) PRINCIPAL VALUE (NOTE 1)
(UNAUDITED) AMOUNT (C) (000S) (000S)
NONCONVERTIBLE BONDS - CONTINUED
ENERGY - 0.7%
ENERGY SERVICES - 0.5%
Baroid Corp. 8%, 4/15/03 Ba1 $ 5,500 $ 5,748 068277AA
Falcon Drilling, Inc. 9.75%, 1/15/01 (g) B2 7,480 7,181 305914AA
TransTexas Gas Corp. 10 1/2%, 9/1/00 B1 41,355 43,009 893895AA
55,938
INDEPENDENT POWER - 0.1%
California Energy Corp. 0%, 1/15/04 (e) Ba3 8,480 6,360 130190AC
Consolidated Hydro 0%, 7/15/03 (e) - 6,265 3,790 209349AC
10,150
OIL & GAS - 0.1%
HS Resources, Inc. 9 7/8%, 12/1/03 B1 2,740 2,671 404297AA
Mesa Capital Corp. secured 0%, 6/30/98 (e) B3 9,640 8,483 590910AF
Oryx Energy Co. 9 3/4%, 9/15/98 Ba2 2,050 2,081 68763FAA
13,235
TOTAL ENERGY 79,323
FINANCE - 2.4%
BANKS - 0.9%
Bancomer SA:
euro 8%, 7/7/98 (g) Ba2 25,815 25,428 059682AB
9%, 6/1/00 (g) - 22,500 22,500 059682AA
Bancomer SNC euro 8%, 7/7/98 - 39,010 38,425 05999KAT
Midlantic Corp. 9 1/4%, 9/1/99 Baa3 1,840 1,987 59780EAC
88,340
CREDIT & OTHER FINANCE - 0.4%
GPA Delaware, Inc.:
8 1/2%, 3/3/97 - 4,400 3,636 3619289C
8 5/8%, 1/15/99 - 3,100 2,388 3619289B
Lomas Mortgage USA, Inc. 10 1/4%, 10/1/02 Ba1 19,165 19,357 54154LAB
Secured Finance, Inc. 11.18%, 12/15/04 - 17,000 18,360 81371F9A
43,741
INSURANCE - 1.0%
American Annuity Group, Inc.:
9 1/2%, 8/15/01 Ba3 11,900 11,394 023840AB
11 1/8%, 2/01/03 B2 10,378 10,560 023840AA
CORPORATE BONDS - CONTINUED
MOODY'S RATINGS (D) PRINCIPAL VALUE (NOTE 1)
(UNAUDITED) AMOUNT (C) (000S) (000S)
NONCONVERTIBLE BONDS - CONTINUED
FINANCE - CONTINUED
INSURANCE - CONTINUED
American Financial Corp. s.f.:
12%, 9/3/99 - $ 20,326 $ 20,275 026087AR
13 1/2%, 9/14/04 - 5,895 5,895 026087BB
Americo Life, Inc. 9 1/4%, 6/1/05 - 7,365 7,010 03060NAB
Conseco, Inc. 8 1/8%, 2/15/03 Ba1 7,375 7,286 208464AD
Nacolah, Inc. 9 1/2%, 12/1/03 B1 2,840 2,698 629667AA
Penncorp Financial Group, Inc.
9 1/4%, 12/15/03 B1 3,800 3,553 708094AA
Reliance Financial Services:
9.273%, 11/1/00 - 7,560 7,560 759462AD
10.36%, 12/1/00 - 16,090 16,090 759462AF
Reliance Group:
9%, 11/15/00 Ba3 9,005 8,285 759464AG
9 3/4%, 11/15/03 B1 8,540 7,985 759464AH
108,591
SAVINGS & LOANS - 0.1%
Webster Financial Corp. 8 3/4%, 6/30/00 B1 3,685 3,777 947890AA
Western Financial Savings Bank
8 1/2%, 7/1/03 Ba3 7,500 7,216 958202FK
10,993
TOTAL FINANCE 251,665
HEALTH - 0.5%
MEDICAL FACILITIES MANAGEMENT - 0.5%
American Medical International, Inc.
9 1/2%, 4/15/06 - 5,890 5,831 027429AZ
Health South Rehabilitation Co.
9 1/2%, 4/1/01 Ba3 4,380 4,303 421924AC
Healthtrust, Inc. - The Hospital Co.:
10 3/4%, 5/1/02 B1 23,756 25,182 42221HAF
8 3/4%, 3/15/05 B1 8,890 8,446 42221HAG
Hospital Corp. America 8%, 4/15/96 Ba2 3,950 4,099 441065AS
47,861
CORPORATE BONDS - CONTINUED
MOODY'S RATINGS (D) PRINCIPAL VALUE (NOTE 1)
(UNAUDITED) AMOUNT (C) (000S) (000S)
NONCONVERTIBLE BONDS - CONTINUED
INDUSTRIAL MACHINERY & EQUIPMENT - 0.1%
ELECTRICAL EQUIPMENT - 0.1%
Panamasat LP/Panamasat Capital Corp. secured
9 3/4%, 8/1/00 Ba3 $ 1,980 $ 1,990 69830CAA
Specialty Equipment Cos., Inc.
11 3/8%, 12/1/03 B3 6,845 7,016 847497AB
9,006
INDUSTRIAL MACHINERY & EQUIPMENT - 0.0%
Thermadyne Holdings Corp.:
10 1/4%, 5/1/02 - 23 23 883435AA
10 3/4%, 11/1/03 - 32 33 883435AB
56
TOTAL INDUSTRIAL MACHINERY & EQUIPMENT 9,062
MEDIA & LEISURE - 3.7%
BROADCASTING - 1.1%
Act III Broadcasting, Inc. 9 5/8%, 12/15/03 B3 1,510 1,450 00503KAA
Continental Cablevision, Inc.:
8 5/8%, 8/15/03 Ba2 1,840 1,776 211177AF
9%, 9/1/08 Ba2 2,650 2,544 211177AG
Cook Inlet Communications Corp.
10 3/4%, 9/10/98 (g) - 14,237 14,095 2161719C
Great American TV & Radio
9 1/2%, 12/31/99 - 12,250 12,066 389990AA
Helicon Group LP/Helicon Cap Corp.
10 3/4%, 10/15/03 Caa 5,150 4,841 423265AB
Rogers Cablesystems Corp. 9.65%, 1/15/14 Ba1 CAD 3,340 2,257 775100AC
SCI Television, Inc. secured:
7 1/2%, 6/30/98 (i) - 37,316 35,823 783895AK
11%, 6/30/05 - 40,890 41,094 783895AJ
SPI Holding, Inc. reset pay-in-kind
11 1/2%, 12/1/02 - 5,575 5,185 78462GAF
121,131
ENTERTAINMENT - 0.1%
Live Entertainment, Inc. 12%, 9/15/94 (f) - 8,000 8,000 5380329B
LEISURE DURABLES & TOYS - 0.1%
Coleman Holdings 0%, 5/27/98 - 10,578 6,664 193551AC
CORPORATE BONDS - CONTINUED
MOODY'S RATINGS (D) PRINCIPAL VALUE (NOTE 1)
(UNAUDITED) AMOUNT (C) (000S) (000S)
NONCONVERTIBLE BONDS - CONTINUED
MEDIA & LEISURE - CONTINUED
LODGING & GAMING - 1.7%
Ballys Casino Holdings, 10 1/2%, 6/15/98 (g) B3 $ 36,165 $ 22,784
05873EAA
Ballys Grand, Inc. 10 3/8%, 12/15/03 (g) B2 4,920 4,846 05873JAD
Ballys Park Place Funding, Inc.
9 1/4%, 3/15/04 B1 13,110 12,192 058734AC
California Hotel Finance Corp. gtd.
11%, 12/1/02 B2 40,660 42,795 13032RAG
Embassy Suites, Inc.:
gtd. 8 3/4%, 3/15/00 (g) B1 22,145 21,702 290807AH
10 7/8%, 4/15/02 B1 17,280 18,749 290807AF
First Mexican Acceptance Corp. euro
10 3/4%, 9/15/96 - 1,900 1,939 321998AA
Fitzgeralds Gaming Corporation unit bond
(1000 bonds and 1.54 stock warrants)
13%, 3/15/96 (g) - 1,640 1,640 338270AA
GNS Finance Corporation 9 1/4%, 3/15/03 B2 2,210 2,166 361916AK
Grand Casino Resorts, Inc. gtd. 1st mtg.
12 1/2%, 2/1/00 - 8,840 9,636 385268AA
Host Marriott Corp.:
9 1/8%, 12/1/00 B1 690 677 441080AD
10 1/2%, 5/1/06 B1 14,067 14,085 441080AH
11%, 5/1/07 B1 2,100 2,108 441080AJ
Host Marriott Hospitality, Inc.:
10 5/8%, 2/1/00 B1 1,735 1,735 441080AC
11 1/4%, 7/18/05 B1 3,220 3,252 441080AG
Lady Luck Gaming Finance Corp.
10 1/2%, 3/1/01 (g) B1 4,850 4,607 505903AA
Ocean Showboat Financial 9 1/4%, 5/1/08 - 5,180 4,986 6750219A
Red Roof Inns 9 5/8%, 12/15/03 (g) B3 11,740 11,270 757005AA
Resorts International, Inc. secured pay-in-kind
15%, 4/15/94 (b) Ca 1,862 1,151 761185AH
Trump Plaza Holding Assoc. pay-in- kind
12 1/2%, 6/15/03 Caa 89 82 89817EAB
182,402
PUBLISHING - 0.5%
GACC Holding Co. 9 3/4%, 3/1/04 (f) - 34,240 33,726 3613549B
Marvel Holdings 0%, 4/15/98 B3 3,450 2,096 573845AA
News America Holdings, Inc. 8 1/2%, 2/15/05 Ba1 21,605 22,232 652478AJ
58,054
CORPORATE BONDS - CONTINUED
MOODY'S RATINGS (D) PRINCIPAL VALUE (NOTE 1)
(UNAUDITED) AMOUNT (C) (000S) (000S)
NONCONVERTIBLE BONDS - CONTINUED
MEDIA & LEISURE - CONTINUED
RESTAURANTS - 0.2%
American Restaurant Group, Inc. 12%, 9/15/98 B2 $ 630 $ 598 029309AB
Family Restaurants, Inc. 9 3/4%, 2/1/02 B1 12,750 11,985 307054AA
Flagstar Corp.:
10 7/8%, 12/1/02 B1 1,300 1,287
11 1/4%, 11/1/04 B2 4,805 4,709 338473AB
18,579
TOTAL MEDIA & LEISURE 394,830
NONDURABLES - 1.1%
BEVERAGES - 0.3%
Canandaigua Wine, Inc. 8 3/4%, 12/15/03 B1 4,675 4,348 137219AB
Dr. Pepper/Seven-Up Companies, Inc.
0%, 11/1/02 (e) B3 3,680 2,834 256131AD
Fomento Economico Mexicano SA de CV euro
9 1/2%, 7/22/97 - 7,140 7,318 3444189A
Grupo Embotellador de Mexico SA de CV:
euro 10 3/4%, 11/19/97 Ba2 9,870 10,462 40048J9A
10 3/4%, 11/19/97 (g) Ba2 800 848 40048JAA
Heileman Acquisition Corp. 9 5/8%, 1/31/04 B3 4,350 4,089 422878AA
29,899
FOODS - 0.1%
Chiquita Brands 9 1/8%, 3/1/04 B1 1,650 1,543 170032AK
Doskocil Cos., Inc. 9 3/4%, 7/15/00 B2 4,195 3,985 258486AD
Specialty Foods Corp. 10 1/4%, 8/15/01 B2 3,680 3,533 847499AC
9,061
HOUSEHOLD PRODUCTS - 0.5%
Revlon Consumer Products Corp.:
9 1/2%, 6/1/99 B2 8,810 8,149 761519AG
9 3/8%, 4/1/01 B2 16,725 14,802 761519AF
10 1/2%, 2/15/03 B3 13,680 12,244 761519AE
Revlon World Wide secured 0%, 3/15/98 B3 53,300 23,985 76154KAB
59,180
CORPORATE BONDS - CONTINUED
MOODY'S RATINGS (D) PRINCIPAL VALUE (NOTE 1)
(UNAUDITED) AMOUNT (C) (000S) (000S)
NONCONVERTIBLE BONDS - CONTINUED
NONDURABLES - CONTINUED
TOBACCO - 0.2%
Empresas La Moderna SA de CV:
euro 10 1/4%, 11/12/97 - $ 2,400 $ 2,484 2924499B
10 1/4%, 11/12/97 (g) - 15,720 16,270 292449AA
18,754
TOTAL NONDURABLES 116,894
RETAIL & WHOLESALE - 0.8%
APPAREL STORES - 0.2%
AnnTaylor, Inc. 8 3/4%, 6/15/00 B1 2,950 2,861 036117AC
Apparel Retailers, Inc. 12 3/4%, 8/15/05 Caa 7,820 4,536 037795AB
Lamonts Apparel Corp. 10 1/4%, 11/1/99 - 12,317 11,917 513628AB
19,314
DRUG STORES - 0.0%
Eckerd Jack Corp. (Del) 9 1/4%, 2/15/04 B2 1,375 1,258 278763AE
GENERAL MERCHANDISE STORES - 0.4%
Controladora Comercial Mexicana SA de CV:
euro 8 3/4%, 4/21/98 - 12,750 12,718 212996AA
8 3/4%, 4/21/98 (g) - 250 249 21238AAA
Dairy Mart 10 1/4%, 3/15/04 B3 4,920 4,736 233860AB
Hills Stores Co. 10 1/4%, 9/30/03 - 6,190 6,190 431692AA
Parisian, Inc. 9 7/8%, 7/15/03 B3 10,505 9,770 700147AB
Service Merchandise Inc. 9%, 12/15/04 Ba3 7,375 7,006 817587AC
40,669
GROCERY STORES - 0.1%
General Nutrition, Inc. 11 3/8%, 3/1/00 B3 3,219 3,501 370471AC
Penn Traffic Co. 9 5/8%, 4/15/05 B2 6,410 6,282 707832AD
Ralph's Grocery Co. 9%, 4/1/03 B2 2,415 2,318 751253AD
12,101
RETAIL & WHOLESALE, MISCELLANEOUS - 0.1%
Color Tile, Inc. 10 3/4%, 12/15/01 B2 2,385 2,349 196267AD
Finlay Fine Jewelry Corp. 10 5/8%, 5/1/03 B1 4,045 4,025 317887AA
6,374
TOTAL RETAIL & WHOLESALE 79,716
CORPORATE BONDS - CONTINUED
MOODY'S RATINGS (D) PRINCIPAL VALUE (NOTE 1)
(UNAUDITED) AMOUNT (C) (000S) (000S)
NONCONVERTIBLE BONDS - CONTINUED
SERVICES - 0.2%
ADVERTISING - 0.0%
Outdoor Systems, Inc. 10 3/4%, 8/15/03 B2 $ 4,195 $ 4,195 690057AA
PRINTING - 0.1%
Continental Graphic Corp.
11.64%, 10/31/98 (g) - 9,286 7,800 21145E9B
SERVICES - 0.1%
Town & Country Corp.:
11 1/2%, 9/15/97 B 2,863 2,806 892027AC
13%, 5/31/98 - 3,509 3,509 892027AB
6,315
TOTAL SERVICES 18,310
TECHNOLOGY - 0.2%
COMPUTERS & OFFICE EQUIPMENT - 0.1%
Unisys Corp. 9 3/4%, 9/15/96 Ba3 10,860 11,335 909214AY
ELECTRONICS - 0.1%
Berg Electronics 11 3/8%, 5/1/03 B3 1,865 1,921 083727AB
Grupo Condumex SA de CV 7 3/8%, 7/27/98 (g) - 4,000 3,770 399904AC
5,691
TOTAL TECHNOLOGY 17,026
TRANSPORTATION - 0.2%
RAILROADS - 0.1%
Southern Pacific Rail Corp. 9 3/8%, 8/15/05 Ba3 12,020 11,930 843584AA
Transtar Holding Corp. 0%, 12/15/03 (e)(g) - 8,200 4,100 89388QAA
16,030
SHIPPING - 0.1%
Eletson Holdings, Inc. 9 1/4%, 11/15/03 Ba2 1,170 1,147 286204AA
International Shipholding Corp., 9%, 7/1/03 B1 1,180 1,115 460321AA
Sea Containers Ltd. 9 1/2%, 7/1/03 Ba3 5,420 5,149 811371AD
7,411
TOTAL TRANSPORTATION 23,441
CORPORATE BONDS - CONTINUED
MOODY'S RATINGS (D) PRINCIPAL VALUE (NOTE 1)
(UNAUDITED) AMOUNT (C) (000S) (000S)
NONCONVERTIBLE BONDS - CONTINUED
UTILITIES - 0.6%
CELLULAR - 0.3%
Cencall Communications Corp. 0%, 1/15/04 Caa $ 14,770 $ 8,714 151297AB
Centennial Cell Corp. 8 7/8%, 11/1/01 - 3,320 3,088 15133VAA
Nextel Communications, Inc.
0%, 8/15/04 (e) B3 23,570 14,083 65332VAB
Paging Network, Inc. 8 7/8%, 2/1/06 B2 4,480 4,166 695542AB
30,051
ELECTRIC UTILITY - 0.0%
AES Corp. 9 3/4%, 6/15/00 Ba2 4,420 4,547 00130HAB
TELEPHONE SERVICES - 0.3%
MFS Communications 0%, 1/15/04 B3 53,730 31,567 55272TAA
TOTAL UTILITIES 66,165
TOTAL NONCONVERTIBLE BONDS 1,616,415
TOTAL CORPORATE BONDS
(Cost $1,686,910) 1,636,268
U.S. TREASURY OBLIGATIONS - 0.3%
U.S. Treasury Bills, yields at date of purchase
2.93%-3.62%, 4/7/94-7/7/94 (h)
(Cost $34,296) - 34,450 34,298 912794J8
U.S. GOVERNMENT AGENCY - COLLATERALIZED MORTGAGE OBLIGATIONS - 0.1%
Federal National Mortgage Association (j):
8 1/2%, 4/1/17 Aaa 6,957 1,774 31364HBX
8 1/2%, 8/1/22 Aaa 15,754 4,214 31364HRJ
TOTAL U.S. GOVERNMENT AGENCY - COLLATERALIZED
MORTGAGE OBLIGATIONS (Cost $15,991) 5,988
FOREIGN GOVERNMENT OBLIGATIONS - 17.2%
MOODY'S RATINGS (D) PRINCIPAL VALUE (NOTE 1)
(UNAUDITED) AMOUNT (C) (000S) (000S)
Argentina Republic:
BOCON 3 1/4%, 4/1/01 B1 $ 228,407 $ 158,272 039995AF
Brady:
euro 5%, 3/31/05 - 35,000 24,807 039995AU
euro 4%, 3/31/23 B1 135,000 70,031 039995AD
5%, 3/31/05 (g)(i) - 290 205 039995AT
4%, 3/31/23 (g) - 9,399 4,876 0401149Y
4%, 3/31/23 (g) - 39,500 20,491 0401149G
Brazil Republic IDU euro 8 3/4%, 1/1/01 B2 151,421 107,698 1057569E
Danish Government Bullet:
8%, 5/15/03 Aa1 DKK 1,252,200 204,179 249998AG
7%, 12/15/04 Aa1 DKK 1,649,500 251,791 249998AV
French Government OAT:
8 1/2%, 4/25/03 Aaa FRF 896,250 178,498 351996AQ
6 3/4%, 10/25/03 Aaa FRF 425,300 75,964 351996BC
Government of New Zealand 8%, 4/15/04 Aa3 NZD 80,400 49,561 6501629K
Mexican Government:
Adjustabonos (l):
6.70%, 5/4/94 AA- MXN 18,900 7,716 597998RV
5.20%, 6/30/94 - MXN 90,461 36,217 597998SR
4.80%, 9/1/94 AA- MXN 18,000 7,094 597998SD
Brady:
4.1875%, 12/31/19 (i) Ba3 55,800 46,105 597998QD
4.3125%, 12/31/19 (i) Ba3 40,500 33,463 597998NC
6 1/4% 12/31/19 Ba3 408,750 283,059 597998MM
Brady Discount:
4.3125%, 12/31/19 (i) Ba3 135,700 112,122 597998RJ
Cetes 0%, 6/16/94 - MXN 348,000 101,075 597998US
Morocco Trust 4 1/2%, 1/3/09 (g)(i) - 14,500 9,171 617727AA
Province of Chaco, Argentina 11 7/8%,
9/10/97 (f) - 9,700 9,724 74399JAA
Province of Cordoba, Argentina 10%, 1/28/95 - 17,000 16,788 74399HAC
Siderurgica Brasileiras SA inflation indexed
6%, 8/15/99 (l) - BRC 40,164 5,591 82599PAA
Trinidad & Tobago 9 3/4%, 11/3/00 (g) Ba2 3,000 2,876 896292AB
TOTAL FOREIGN GOVERNMENT OBLIGATIONS
(Cost $1,891,176) 1,817,374
MUNICIPAL SECURITIES - 0.0%
MOODY'S RATINGS (D) PRINCIPAL VALUE (NOTE 1)
(UNAUDITED) AMOUNT (C) (000S) (000S)
Louisiana Housing Fin. Agcy. Mtg. Rev. Taxable-
Securitized Multifam. 8.61%, 8/1/96 (b) D $ 1,500 $ 975 546265PL
Louisiana State Agricultural Financial Auth.
Agricultural Rev. 8 1/4%, 10/1/96 (b) D 5,528 3,579 546418AB
TOTAL MUNICIPAL SECURITIES
(Cost $4,941) 4,554
OTHER SECURITIES - 8.4%
INDEXED SECURITIES - 8.0%
AIG Matched Funding Corp.:
3.5862%, 9/14/94 (coupon inversely indexed to HELIBOR
and principal indexed to value of 2-year Finnish securities,
both multiplied by 6) (k) 11,875 10,925 012994AK
4.4655%, 9/16/94 (coupon inversely indexed to HELIBOR
and principal indexed to value of 3-year Finnish securities,
both multiplied by 4) (k) 3,950 3,529 012994AJ
Bankers Trust Company:
(indexed to corn price) 3.1875%, 5/6/94 3,315 2,996 0669919T
13.23%, 8/31/94 (coupon inversely indexed to HELIBOR
and principal indexed to value of 2-year Finnish securities,
both multiplied by 6) (k) 3,450 3,419 0669918F
10.515%, 9/2/94 (coupon inversely indexed to HELIBOR
and principal indexed to value of 3-year Finnish securities,
both multiplied by 4) (k) 3,750 3,426 0669918H
0%, 9/26/94 (coupon inversely indexed to CAD Banker's
Acceptance rate and principal indexed to value of 1-year
Canadian securities, both multiplied by 13) (k) 11,900 9,738 0669918M
0%, 11/3/94 (coupon inversely indexed to ITL LIBOR and
principal indexed to value of 2-year Italian securities, both
multiplied by 8) (k) 6,800 5,832 0669918X
2.0186%, 11/3/94 (coupon inversely indexed to HELIBOR
and principal indexed to value of 2-year Finnish securities,
both multiplied by 8) (k) 6,800 6,244 0669918V
2.482%, 11/4/94 (coupon inversely indexed to HELIBOR
and principal indexed to value of 2-year Finnish securities,
both multiplied by 8) (k) 3,400 3,113 0669918Y
2.322%, 11/9/94 (coupon inversely indexed to HELIBOR
and principal indexed to value of 2-year Finnish securities,
both multiplied by 8) (k) 5,250 4,694 0669919B
1.1386%, 11/14/94 (coupon inversely indexed to HELIBOR
and principal indexed to value of 2-year Finnish securities,
both multiplied by 8) (k) 3,000 2,601 0669919C
4%, 11/15/94 (indexed to 7-year U.S. swap spread
divided by .36%) 5,000 3,905 0669915T
OTHER SECURITIES - CONTINUED
PRINCIPAL
AMOUNT VALUE (NOTE 1)
(000S) (C) (000S)
INDEXED SECURITIES - CONTINUED
Bankers Trust Company - continued
0%, 11/16/94 (coupon inversely indexed to ITL LIBOR and
principal indexed to value of 2-year Italian securities, both
multiplied by 8.5) (k) $ 19,300 $ 17,659 0669919D
1.1125%, 11/16/94 (coupon inversely indexed to HELIBOR
and principal indexed to value of 2-year Finnish securities,
both multiplied by 8) (k) 9,700 8,381 0669919F
0%, 12/5/94 (coupon inversely indexed to ITL LIBOR and
principal indexed to value of 2-year Italian securities, both
multiplied by 8) (k) 6,800 6,650 0669919G
3.282%, 12/5/94 (coupon inversely indexed to HELIBOR
and principal indexed to value of 2-year Finnish securities,
both multiplied by 8) (k) 5,900 4,936 0669919H
2.17%, 12/6/94 (coupon inversely indexed to HELIBOR
and principal indexed to value of 2-year Finnish securities,
both multiplied by 8) (k) 3,000 2,510 0669919J
0%, 12/8/94 (coupon inversely indexed to ITL LIBOR and
principal indexed to value of 2-year Italian securities, both
multiplied by 8) (k) 6,700 6,750 0669919N
5.781%, 12/8/94 (coupon inversely indexed to GBP LIBOR
and principal indexed to value of 2-year United Kingdom
securities, both multiplied by 10) (k) 15,200 10,414 0669919Q
7.275%, 3/1/95 (coupon inversely indexed to JPY LIBOR
and principal indexed to value of 2-year Japanese
securities, both multiplied by 6) (k) 6,400 6,085 06699DAS
0%, 3/3/95 (coupon inversely indexed to ITL LIBOR and
principal indexed to value of 2-year Italian securities, both
multiplied by 8) (k) 17,900 16,010 06699DAP
6.75%, 3/3/95 (coupon inversely indexed to GBP LIBOR
and principal indexed to value of 1-year United Kingdom
securities, both multiplied by 10) (k) 12,100 10,469 06699DAT
10.80%, 3/3/95 (coupon inversely indexed to HELIBOR
and principal indexed to value of 2-year Finnish securities,
both multiplied by 8) (k) 14,100 10,789 06699DAQ
Citibank Nassau:
0%, 11/3/94 (coupon inversely indexed to ITL LIBOR and
principal indexed to value of 2-year Italian securities, both
multiplied by 8) (k) 17,000 14,348 223991AV
0%, 11/4/94 (coupon inversely indexed to ITL LIBOR and
principal indexed to value of 2-year Italian securities, both
multiplied by 8) (k) 9,700 8,362 223991AW
0%, 11/15/94 (coupon inversely indexed to ITL LIBOR and
principal indexed to value of 2-year Italian securities, both
multiplied by 8.5) (k) 20,000 18,052 223991BA
OTHER SECURITIES - CONTINUED
PRINCIPAL
AMOUNT VALUE (NOTE 1)
(000S) (C) (000S)
INDEXED SECURITIES - CONTINUED
Citibank Nassau - continued
0%, 12/7/94 (coupon inversely indexed to CAD Banker's
Acceptance rate and principal indexed to value of 1-year
Canadian securities, both multiplied by 13) (k) $ 2,800 $ 1,767 0669919L
0%, 12/8/94 (coupon inversely indexed to CAD Banker's
Acceptance rate and principal indexed to value of 1-year
Canadian securities, both multiplied by 13) (k) 1,900 1,164 223991BK
0%, 12/8/94 (coupon inversely indexed to ITL LIBOR and
principal indexed to value of 2-year Italian securities, both
multiplied by 8) (k) 10,000 9,869 223991BJ
7.315%, 12/8/94 (coupon inversely indexed to GBP LIBOR
and principal indexed to value of 2-year United Kingdom
securities, both multiplied by 10) (k) 13,400 9,057 223991BL
0%, 2/3/95 (coupon inversely indexed to 1-month CAD
Banker's Acceptance rate and principal indexed to value
of 4-year Canadian securities, both multiplied by 9) (k) 6,500 502
223991BV
0%, 3/3/95 (coupon inversely indexed to ITL LIBOR and
principal indexed to value of 2-year Italian securities,
both multiplied by 8) (k) 32,600 29,822 223991CC
0%, 3/3/95 (coupon inversely indexed to STIBOR and
principal indexed to 2-year Swedish securities, both
multiplied by 9) (k) 9,100 6,749 223991CB
7.775%, 3/3/95 (coupon inversely indexed to JPY LIBOR
and principal indexed to value of 2-year Japanese
securities, both multiplied by 6) (k) 20,900 20,016 223991CE
8.055%, 3/3/95 (coupon inversely indexed to GBP LIBOR
and principal indexed to value of 1-year United Kingdom
securities, both multiplied by 10) (k) 24,200 21,054 223991CF
0%, 3/7/95 (coupon inversely indexed to ITL LIBOR and
principal indexed to value of 2-year Italian securities, both
multiplied by 8) (k) 13,600 13,274 223991CH
Disney Corp. 6.9386%, 12/9/94 (inversely indexed to
6-month BP swap rate, multiplied by 10) (i) 16,700 11,460 25469HBF
du Pont (E.I.) de Nemours & Co.:
0%, 3/8/95 (coupon inversely indexed to STIBOR and
principal indexed to value of 2-year Swedish securities,
both multiplied by 9) (k) 12,800 9,304 26353L9B
7.2192%, 3/8/95 (coupon inversely indexed to GPB LIBOR
and principal indexed to value of 1-year United Kingdom
securities, both multiplied by 10) (k) 12,000 10,429 26353L9C
Emerson Electric Company 6.115%, 10/24/94 (coupon
inversely indexed to LIBOR and principal indexed to value
of 2-year United Kingdom securities, both multiplied
by 10) (k) 18,900 15,095 29101LAR
OTHER SECURITIES - CONTINUED
PRINCIPAL
AMOUNT VALUE (NOTE 1)
(000S) (C) (000S)
INDEXED SECURITIES - CONTINUED
Finnish Export Credit 4.45%, 4/15/96 (indexed to spot
minus 12-month oil futures prices, based on 30 bbl.
per $100 par) $ 12,500 $ 7,126 31899HAD
Goldman Sachs Group L.P.:
(indexed to aluminum price) 3.299%, 8/19/94 9,700 10,831 540992BA
(indexed to cattle price)
3.187% - 3.346%, 8/19/94 54,000 53,841 540992CB
(indexed to cocoa price)
3.0812% - 3.1859%, 4/20/94 1,171 1,098 540992AB
(indexed to coffee price)
3.18% - 3.1859%, 4/20/94 2,190 2,266 540992AN
(indexed to corn price)
3.1% - 3.11%, 5/6/94 17,700 15,647 540992BD
(indexed to cotton price)
3.288% - 3.346%, 8/19/94 9,820 11,158 540992BF
(indexed to crude oil price)
3.11% - 3.49%, 4/27/94 52,560 50,652 540992AV
(indexed to gold price)
3.2198% - 3.2235%, 8/19/94 8,400 8,428 540992AE
(indexed to heating oil price)
3.028% - 3.11%, 4/27/94 37,590 39,421 540992BN
(indexed to hog price)
3.215% - 3.934%, 8/19/94 27,850 27,355 540992BP
(indexed to lead price)
3.2235% - 3.683%, 8/19/94 3,246 3,053 38142T9M
(indexed to natural gas price)
3.028% - 3.069%, 4/27/94 - 5/25/94 47,902 49,509 540992BQ
(indexed to nickel price)
3.21% - 3.543%, 8/19/94 2,220 2,213 540992BX
(indexed to oil price)
3.26%, 8/18/94 5,405 5,351 540992AF
(indexed to platinum price)
3.2198% - 3.2235%, 8/19/94 1,190 1,294 540992AC
(indexed to silver price)
3.732% - 4.3%, 7/7/94 - 12/22/94 2,186 2,211 540992CP
(indexed to soybean price)
3.21% - 3.2576%, 7/5/94 18,750 18,237 38142T9K
(indexed to sugar price)
3.288%, 8/19/94 4,975 5,239 540992BK
(indexed to unleaded gasoline price)
3.1% - 3.8%, 4/27/94 - 7/14/94 67,104 67,684 540992BG
OTHER SECURITIES - CONTINUED
PRINCIPAL
AMOUNT VALUE (NOTE 1)
(000S) (C) (000S)
INDEXED SECURITIES - CONTINUED
Goldman Sachs Group L.P. - continued:
(indexed to wheat price)
3.18% - 3.61%, 7/1/94 - 8/19/94 $ 16,600 $ 15,810 540992BU
(indexed to zinc price)
3.2235% - 3.5464%, 8/19/94 5,365 4,991 38142T9N
3.5%, 8/27/94 (inversely indexed to 1-month and 12-month
CAD Banker's Acceptance rates, both multiplied by 11) 20,100 18,402
38142T9F
3.5%, 8/31/94 (inversely indexed to 1-month and 12-month
CAD Banker's Acceptance rates, both multiplied by 11) 21,000 19,150
38142T9G
0%, 9/27/94 (coupon inversely indexed to CAD Banker's
Acceptance rate and principal indexed to value of 1-year
Canadian securities, both multiplied by 13) (k) 17,900 14,338 38142T9H
ITT Corp. 3.66%, 6/27/94 (inversely indexed to 1-year SEK
swap rate, multiplied by 10) 18,900 18,915 4506799M
Morgan Guaranty Trust Co.:
cert. of dep. 0%, 6/6/94 (indexed to $482 par of Westport
Investments Ltd. sr., collateralized by Mexican govt.
securities, per $100 par) 4,603 4,528 61799FAE
cert. of dep. 0%, 2/3/95 (coupon inversely indexed to
1-month CAD Banker's Acceptance rates and principal
indexed to value of 4-year Canadian securities, both
multiplied by 9) (k) 6,500 1,180 61799KAH
Republic National Bank of New York 12.8772%, 3/17/95
(coupon inversely indexed to HELIBOR and principal
indexed to value of 2-year Finnish securities, both
multiplied by 8) (k) 9,500 7,448 7609905M
Sara Lee Corp. 0%, 11/4/94 inversely indexed to ITL LIBOR
and principal indexed to 2-year Italian securities, both
multiplied by 8) (k) 5,200 4,524 8031119V
TOTAL INDEXED SECURITIES 853,299
PURCHASED BANK DEBT - 0.4%
Empressa de Electricidad del Peru SA loan participation
0% (a) 5,000 2,025 28599BAA
Federal Republic of Brazil loan participation under Multi-Year
Deposit Facility Agreement 4.375% (i)(n) 21,750 9,951 1057569F
Federal Republic of Brazil loan participation under Res.
No. 4131 4.375% (i)(n) 6,750 3,156 1057569G
Republic of Ecuador loan participation 0% (a) 12,500 6,250 88399HAB
Republic of Ecuador loan participation thru Kidder Peabody
Emerging Markets Inc. 0%, 8/15/06 (a) 12,250 6,247 88399HAA
OTHER SECURITIES - CONTINUED
PRINCIPAL
AMOUNT VALUE (NOTE 1)
(000S) (C) (000S)
PURCHASED BANK DEBT - CONTINUED
Republic of Panama loan participation 0% (a) $ 7,250 $ 3,806 6982999A
Republic of Panama loan participation under refinancing
agreement 0% (a) 3,750 1,969 6982999B
Republic of Peru loan participation 0% (a) 4,500 1,980 7156389A
Republic of Peru loan participation refinanced under 1983
credit agreement (a) 3,750 1,725 7156389B
TOTAL PURCHASED BANK DEBT 37,109
TOTAL OTHER SECURITIES
(Cost $990,768) 890,408
COMMERCIAL PAPER - 1.6%
Banca Serfin SA:
0%, 4/6/94 MXN 9,589 2,849 065997BR
0%, 7/21/94 MXN 13,477 3,860 065997BV
Bancomer SNC:
0%, 4/21/94 MXN 49,784 14,716 05999KBK
0%, 6/23/94 MXN 107,548 31,105 05999KBQ
Banco Nacional De Mexico SA 0%, 12/8/94 MXN 221,000 60,436 0596179M
Citibank Mexico:
0%, 4/27/94 MXN 80,694 23,808 17699AAH
0%, 5/12/94 MXN 15,541 4,566 17699AAK
Nacional Financiera SNC:
0%, 5/4/94 MXN 64,990 19,129 66299CAQ
0%, 5/19/94 MXN 16,611 4,864 66299CAE
TOTAL COMMERCIAL PAPER
(Cost $175,094) 165,333
REPURCHASE AGREEMENTS - 14.8%
MATURITY
AMOUNT
(000S)
Investments in repurchase agreements,
(U.S. Treasury obligations), in a joint
trading account at 3.58% dated
3/31/94 due 4/4/94 $ 1,564,775 $ 1,564,153
TOTAL INVESTMENT IN SECURITIES - 100%
(Cost $10,484,033) $ 10,576,200
FUTURES CONTRACTS
AMOUNT IN THOUSANDS EXPIRATION UNDERLYING FACE UNREALIZED
DATE AMOUNT AT VALUE GAIN/(LOSS)
PURCHASED
450 Midcap 400 Stock Index Contracts June 1994 $ 38,779 $ (2,625)
THE VALUE OF FUTURES CONTRACTS PURCHASED AS A PERCENTAGE OF TOTAL
INVESTMENT IN SECURITIES - .4%
FORWARD FOREIGN CURRENCY CONTRACTS
AMOUNTS IN THOUSANDS SETTLEMENT UNREALIZED
DATE VALUE GAIN/(LOSS)
CONTRACTS TO BUY
2,266,995 BEF 4/25/94 $ 65,629 $ 4,224
(Payable amount $61,405)
THE VALUE OF CONTRACTS TO BUY AS A PERCENTAGE OF TOTAL INVESTMENT IN
SECURITIES --.6%
CONTRACTS TO SELL
22,402,126 BEF 4/12/94 to 5/4/94 $ 648,656 $ (34,959)
1,401,026 DKK 5/10/94 to 5/31/94 212,150 (8,627)
2,305,294 FRF 4/25/94 to 6/17/94 401,685 (9,844)
13,270 GBP 5/16/94 19,647 (340)
12,080,277 JPY 4/21/94 117,778 (8,494)
TOTAL CONTRACTS TO SELL
(Receivable amount $1,337,652) $ 1,399,916 $ (62,264)
THE VALUE OF CONTRACTS TO SELL AS A PERCENTAGE OF TOTAL INVESTMENT IN
SECURITIES - 13.2%
CURRENCY ABBREVIATIONS
BEF - Belgian franc
BRC - Brazilian cruzeiro
GBP - British pound
CAD - Canadian dollar
DKK - Danish krone
FRF - French franc
JPY - Japanese yen
MXN - Mexican peso
NZD - New Zealand dollar
CHF - Swiss franc
LEGEND
1. Non-income producing
2. Non-income producing - issuer filed for protection under the Federal
Bankruptcy Code or is in default of interest payment.
3. Principal amount is stated in United States dollars unless otherwise
noted.
4. Standard & Poor's Corporation credit ratings are used in the absence
of a rating by Moody's Investors Service, Inc.
5. Debt obligation initially issued in zero coupon form which converts to
coupon form at a specified rate and date.
6. Restricted securities - investment in securities not registered under
the Securities Act of 1933 (see Note 2 of Notes to Financial Statements).
Additional information on each holding is as follows:
ACQUISITION ACQUISITION
SECURITY DATE COST
Bally Gaming
International, Inc.
(warrants) 3/3/94 $ 1,044
GACC Holding Co. 2/3/94 -
9 3/4%, 3/1/04 3/9/94 33,652
Hat Brands, Inc. 9/2/92 -
(warrants) 2/23/94 -
Live Entertainment, Inc.:
$2.00 warrant 3/23/93 241
$2.72 warrant 3/23/93 230
12%, 9/15/94 3/23/93 8,000
Province of Chaco,
Argentina
11 7/8%, 9/10/97 3/9/94 9,965
7. Security exempt from registration under Rule 144A of the Securities Act
of 1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. At the period
end, the value of these securities amounted to $432,338,000 or 4.1% of net
assets.
8. A portion of the security was pledged to cover margin requirements for
futures contracts. At the period end, the value of securities pledged
amounted to $34,225,000.
9. The coupon rate shown on floating or adjustable rate securities
represents the rate at period end.
10. Interest Only Strips represent the right to receive the monthly
interest payments on an underlying pool of mortgage loans. These securities
are subject to the risk of accelerated principal paydowns. The principal
amount represents the notional amount on which current interest is
calculated.
11. Inverse floating rate security is a security where the coupon is
inversely indexed to a floating interest rate multiplied by a specified
factor. If the floating rate is high enough, the coupon rate may be zero or
be a negative amount that is carried forward to reduce future interest
and/or principal payments. The price may be considerably more volatile than
the price of a comparable fixed rate security.
12. Principal amount shown is original face amount and does not reflect the
inflation adjustments.
13. Share amount in thousands.
14. Partial interest payment received on the last interest payment date.
OTHER INFORMATION
The composition of long-term debt holdings as a percentage of total value
of investment in securities, is as follows (ratings are unaudited):
MOODY'S RATINGS S&P RATINGS
Aaa, Aa, A 7.2% AAA, AA, A 7.4%
Baa 0.0% BBB 0.6%
Ba 8.2% BB 6.0%
B 9.9% B 5.6%
Caa 0.2% CCC 0.0%
Ca, C 0.0% CC, C 0.0%
D 0.0%
For some foreign government obligations, FMR has assigned the ratings of
the sovereign credit of the issuing government. The percentage not rated by
either S&P or Moody's amounted to 6.8% including long-term debt
categorized as other securities. FMR has determined that unrated debt
securities that are lower quality account for 4% of the total value of
investment in securities.
Distribution of investments by country, as a percentage of total value of
investment in securities, is as follows:
United States 63.6%
Mexico 13.9
Denmark 4.3
Argentina 3.6
France 2.8
United Kingdom 2.6
Japan 1.5
Brazil 1.3
Canada 1.3
Korea 1.1
Others (individually less than 1%) 4.0
TOTAL 100.0%
INCOME TAX INFORMATION
At March 31, 1994, the aggregate cost of investment securities for income
tax purposes was $10,485,464,000. Net unrealized appreciation aggregated
$90,736,000, of which $669,573,000 related to appreciated investment
securities and $578,837,000 related to depreciated investment securities.
FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
<TABLE>
<CAPTION>
<S> <C> <C>
AMOUNTS IN THOUSANDS (EXCEPT PER-SHARE AMOUNTS) MARCH 31, 1994
ASSETS
Investment in securities, at value (including repurchase $ 10,576,200
agreements of $1,564,153) (cost $10,484,033) (Notes 1
and 2) - See accompanying schedule
Long foreign currency contracts held, at value (cost 65,629
$61,405) (Note 2)
Short foreign currency contracts (Note 2) $ (1,399,916)
Contracts held, at value
Receivable for contracts held 1,337,652 (62,264)
Receivable for investments sold 250,996
Receivable for fund shares sold 56,651
Dividends receivable 12,522
Interest receivable 96,097
Other receivables 1,121
TOTAL ASSETS 10,996,952
LIABILITIES
Payable to custodian bank 4,787
Payable for foreign currency contracts held (Note 2) 61,405
Payable for investments purchased 135,587
Payable for fund shares redeemed 170,833
Accrued management fee 6,312
Payable for daily variation on futures contracts 335
Other payables and accrued expenses 4,835
Collateral on securities loaned, at value (Note 5) 14,777
TOTAL LIABILITIES 398,871
NET ASSETS $ 10,598,081
Net Assets consist of (Note 1):
Paid in capital $ 10,344,904
Distributions in excess of net investment income (6,094)
Accumulated undistributed net realized gain (loss) on 227,769
investments
Net unrealized appreciation (depreciation) on:
Investment securities 92,167
Foreign currency contracts (58,040)
Futures contracts (2,625)
NET ASSETS, for 729,487 shares outstanding $ 10,598,081
NET ASSET VALUE, offering price and redemption price per $14.53
share ($10,598,081 (divided by) 729,487 shares)
</TABLE>
STATEMENT OF OPERATIONS
<TABLE>
<CAPTION>
<S> <C> <C>
AMOUNTS IN THOUSANDS SIX MONTHS ENDED MARCH 31, 1994
INVESTMENT INCOME $ 35,532
Dividends
Interest (including security lending fees of $206) (Note 5) 174,964
TOTAL INCOME 210,496
EXPENSES
Management fee (Note 4) $ 33,572
Transfer agent fees (Note 4) 11,306
Accounting and security lending fees (Note 4) 428
Non-interested trustees' compensation 27
Custodian fees and expenses 1,887
Registration fees 1,705
Audit 164
Legal 45
Reports to shareholders 4
Miscellaneous 54
Total expenses before reductions 49,192
Expense reductions (Note 6) (220) 48,972
NET INVESTMENT INCOME 161,524
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
(NOTES 1, 2 AND 3)
Net realized gain (loss) on:
Investment securities 339,624
Foreign currency contracts (18,411)
Futures contracts (6,538) 314,675
Change in net unrealized appreciation (depreciation) on:
Investment securities (459,269)
Foreign currency contracts (20,926)
Futures contracts (3,076) (483,271)
NET GAIN (LOSS) (168,596)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM $ (7,072)
OPERATIONS
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
<S> <C> <C>
AMOUNTS IN THOUSANDS SIX MONTHS YEAR ENDED
ENDED SEPTEMBER 30,
MARCH 31, 1993
1994
INCREASE (DECREASE) IN NET ASSETS
Operations $ 161,524 $ 201,274
Net investment income
Net realized gain (loss) on investments 314,675 187,839
Change in net unrealized appreciation (depreciation) (483,271) 463,784
on
investments
NET INCREASE (DECREASE) IN NET ASSETS RESULTING (7,072) 852,897
FROM OPERATIONS
Distributions to shareholders (182,464) (262,058)
From net investment income
In excess of net investment income (19,634) -
From net realized gain (233,668) (44,263)
TOTAL DISTRIBUTIONS (435,766) (306,321)
Share transactions 5,516,902 4,913,591
Net proceeds from sales of shares
Reinvestment of distributions 425,453 298,916
Cost of shares redeemed (2,167,534) (1,255,413)
Net increase (decrease) in net assets resulting from 3,774,821 3,957,094
share transactions
TOTAL INCREASE (DECREASE) IN NET ASSETS 3,331,983 4,503,670
NET ASSETS
Beginning of period 7,266,098 2,762,428
End of period (including under (over) distribution of net $ 10,598,081 $ 7,266,098
investment income of $(6,094) and $17,685,
respectively)
OTHER INFORMATION
Shares
Sold 358,577 347,641
Issued in reinvestment of distributions 28,186 21,714
Redeemed (142,510) (88,748)
Net increase (decrease) 244,253 280,607
</TABLE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C>
SIX MONTHS YEARS ENDED SEPTEMBER 30, DECEMBER 28,
ENDED 1988
MARCH 31, (COMMENCEMEN
T OF OPERATIONS)
TO
SEPTEMBER 30,
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C>
1994 1993 1992 1991 1990 1989
SELECTED PER-SHARE DATA
Net asset value, $ 14.97 $ 13.50 $ 13.02 $ 10.64 $ 11.39 $ 10.00
beginning of period
Income from Investment
Operations
Net investment income .25 .52 .46 .55 .58 .27
Net realized and .07# 2.01 .97 2.48 (.71) 1.12
unrealized gain (loss)
on investments
Total from investment .32 2.53 1.43 3.03 (.13) 1.39
operations
Less Distributions
From net investment (.30) (.87) (.45) (.65) (.38) -
income
In excess of net (.03) - - - - -
investment income
From net realized gain (.43) (.19) (.50) - (.24) -
Total distributions (.76) (1.06) (.95) (.65) (.62) -
Net asset value, end of $ 14.53 $ 14.97 $ 13.50 $ 13.02 $ 10.64 $ 11.39
period
TOTAL RETURN (dagger) (dagger)(dagger) 1.98% 19.71 11.84 29.78 (1.27) 13.90%
% % % %
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period $ $ $ $ $ $
(in millions) 10,598 7,266 2,762 743 346 245
Ratio of expenses to 1.05%*(diamond) 1.09 1.17 1.17 1.17% 1.58%*
average net assets % % %
Ratio of expenses to 1.06%*(diamond) 1.09 1.17 1.17 1.17% 1.58%*
average net assets % % %
before expense
reductions
Ratio of net investment 3.47%* 4.28 5.58 5.74 5.89% 5.88%*
income to average net % % %
assets
Portfolio turnover rate 107%* 98 134 134 105% 167%*
% % %
</TABLE>
* ANNUALIZED
(dagger) TOTAL RETURNS FOR PERIODS OF LESS THAN ONE YEAR ARE NOT
ANNUALIZED.
(dagger)(dagger) THE TOTAL RETURNS WOULD HAVE BEEN LOWER HAD CERTAIN
EXPENSES NOT BEEN REDUCED DURING THE PERIOD SHOWN.
(diamond) SEE NOTE 6 OF NOTES TO FINANCIAL STATEMENTS.
# THE AMOUNT SHOWN FOR A SHARE OUTSTANDING DOES NOT CORRESPOND WITH THE
AGGREGATE NET (LOSS) ON INVESTMENTS FOR THE PERIOD ENDED DUE TO THE TIMING
OF SALES AND REPURCHASES OF FUND SHARES IN RELATION TO FLUCTUATING MARKET
VALUES OF THE INVESTMENTS OF THE FUND.
NOTES TO FINANCIAL STATEMENTS
For the period ended March 31, 1994
1. SIGNIFICANT ACCOUNTING
POLICIES.
Fidelity Asset Manager (the fund) is a fund of Fidelity Charles Street
Trust (the trust) and is authorized to issue an unlimited number of shares.
The trust is registered under the Investment Company Act of 1940, as
amended (the 1940 Act), as an open-end management investment company
organized as a Massachusetts business trust. The following summarizes the
significant accounting policies of the fund:
SECURITY VALUATION. Securities for which exchange quotations are readily
available are valued at the last sale price, or if no sale price, at the
closing bid price. Securities (including restricted securities) for which
exchange quotations are not readily available (and in certain cases debt
securities which trade on an exchange), are valued primarily using
dealer-supplied valuations or at their fair value as determined in good
faith under consistently applied procedures under the general supervision
of the Board of Trustees. Short-term securities maturing within sixty days
are valued at amortized cost or original cost plus accrued interest, both
of which approximate current value.
FOREIGN CURRENCY TRANSLATION. The accounting records of the fund are
maintained in U.S. dollars. Investment securities and other assets and
liabilities denominated in a foreign currency are translated into U.S.
dollars at the current exchange rate. Purchases and sales of securities,
income receipts and expense payments are translated into U.S. dollars at
the exchange rate on the dates of the transactions.
It is not practical to identify the portion of each amount shown in the
fund's Statement of Operations under the caption "Realized and Unrealized
Gain (Loss) on Investments" that arises from changes in foreign currency
exchange rates. Investment income includes net realized and unrealized
currency gains and losses recognized between accrual and payment dates.
INCOME TAXES. As a qualified regulated investment company under Subchapter
M of the Internal Revenue Code, the fund is not subject to income taxes to
the extent that it distributes all of its taxable income for its fiscal
year. The schedule of investments includes information regarding income
taxes under the caption "Income Tax Information."
INVESTMENT INCOME. Dividend income is recorded on the ex-dividend date,
except certain dividends from foreign securities where the ex-dividend date
may have passed, are recorded as soon as the fund is informed of the
ex-dividend date. Interest income, which includes accretion of original
issue discount, is accrued as earned. Investment income is recorded net of
foreign taxes where recovery of such taxes is not assured.
1. SIGNIFICANT ACCOUNTING
POLICIES - CONTINUED
EXPENSES. Most expenses of the trust can be directly attributed to a fund.
Expenses which cannot be directly attributed are apportioned between the
funds in the trust.
DISTRIBUTIONS TO SHAREHOLDERS. Distributions are recorded on the ex-
dividend date.
Income and capital gain distributions are determined in accordance with
income tax regulations which may differ from generally accepted accounting
principles. These differences are primarily due to differing treatments for
paydown gains/losses on certain securities, futures and options
transactions, foreign currency transactions, market discount, partnerships,
non-taxable dividends and losses deferred due to wash sales. The fund also
utilized earnings and profits distributed to shareholders on redemption of
shares as a part of the dividends paid deduction for income tax purposes.
Permanent book and tax basis differences relating to shareholder
distributions will result in reclassifications to paid in capital.
Undistributed net investment income may include temporary book and tax
basis differences which will reverse in a subsequent period. Any taxable
income or gain remaining at fiscal year end is distributed in the following
year.
SECURITY TRANSACTIONS. Security transactions are accounted for as of trade
date. Gains and losses on securities sold are determined on the basis of
identified cost.
CHANGE IN ACCOUNTING FOR DISTRIBUTIONS TO SHAREHOLDERS. Effective October
1, 1993, the fund adopted Statement of Position 93-2: Determination,
Disclosure, and Financial Statement Presentation of Income, Capital Gain,
and Return of Capital Distributions by Investment Companies. As a result,
the fund changed the classification of distributions to shareholders to
better disclose the differences between financial statement amounts and
distributions determined in accordance with income tax regulations.
Accordingly, amounts as of September 30, 1993 have been reclassified to
reflect an increase in paid in capital of $14,586,000, an increase in
undistributed net investment income of $16,795,000 and a decrease in
accumulated net realized gain on investments of $31,381,000.
2. OPERATING POLICIES.
FORWARD FOREIGN CURRENCY CONTRACTS. The fund may enter into forward foreign
currency contracts. These contracts involve market risk in excess of the
amount reflected in the fund's Statement of Assets and Liabilities. The
face or contract amount in U.S. dollars reflects the total exposure the
fund has in that particular currency contract. The U.S. dollar value of
forward foreign currency contracts is determined using forward currency
exchange rates supplied by a quotation service. Losses may
2. OPERATING POLICIES -
CONTINUED
arise due to changes in the value of the foreign currency or if the
counterparty does not perform under the contract.
Purchases and sales of forward foreign currency contracts having the same
settlement date and broker are offset and presented net on the Statement of
Assets and Liabilities. Gain (loss) on the purchase or sale of forward
foreign currency contracts having the same settlement date and broker is
recognized on the date of offset, otherwise gain (loss) is recognized on
settlement date.
REPURCHASE AGREEMENTS. The fund, through its custodian, receives delivery
of the underlying securities, whose market value is required to be at least
102% of the resale price at the time of purchase. The fund's investment
adviser, Fidelity Management & Research Company (FMR), is responsible
for determining that the value of these underlying securities remains at
least equal to the resale price.
JOINT TRADING ACCOUNT. Pursuant to an Exemptive Order issued by the
Securities and Exchange Commission, the fund, along with other registered
investment companies having management contracts with FMR, may transfer
uninvested cash balances into a joint trading account. These balances are
invested in one or more repurchase agreements that are collateralized by
U.S. Treasury or Federal Agency obligations.
FUTURES CONTRACTS AND OPTIONS. The fund may invest in futures contracts and
write options. These investments involve to varying degrees, elements of
market risk and risks in excess of the amount recognized in the Statement
of Assets and Liabilities. The face or contract amounts reflect the extent
of the involvement the fund has in the particular classes of instruments.
Risks may be caused by an imperfect correlation between movements in the
price of the instruments and the price of the underlying securities and
interest rates. Risks also may arise if there is an illiquid secondary
market for the instruments, or due to the inability of counterparties to
perform.
Futures contracts are valued at the settlement price established each day
by the board of trade or exchange on which they are traded. Options traded
on an exchange are valued using the last sale price or, in the absence of a
sale, the last offering price. Options traded over-the-counter are valued
using dealer-supplied valuations.
INDEXED SECURITIES. The fund may invest in indexed securities whose value
is linked either directly or inversely to changes in foreign currencies,
interest rates, commodities, indices, or other reference instruments.
Indexed securities may be more volatile than the reference instrument
itself, but any loss is limited to the amount of the original investment.
2. OPERATING POLICIES -
CONTINUED
RESTRICTED SECURITIES. The fund is permitted to invest in privately placed
restricted securities. These securities may be resold in transactions
exempt from registration or to the public if the securities are registered.
Disposal of these securities may involve time-
consuming negotiations and expense, and prompt sale at an acceptable price
may be difficult. At the end of the period, restricted securities
(excluding 144A issues) amounted to $53,847,000 or .5% of net assets.
3. PURCHASES AND SALES OF
INVESTMENTS.
Purchases and sales of securities, other than short-term securities,
aggregated $6,127,412,000 and $4,172,911,000, respectively, of which U.S.
government and government agency obligations aggregated $2,369,000 and
$21,262,000, respectively.
The market value of futures contracts opened and closed amounted to
$1,550,534,000 and $1,527,084,000, respectively.
4. FEES AND OTHER
TRANSACTIONS WITH AFFILIATES.
MANAGEMENT FEE. As the fund's investment adviser, FMR receives a monthly
fee that is calculated on the basis of a group fee rate plus a fixed
individual fund fee rate applied to the average net assets of the fund. The
group fee rate is the weighted average of a series of rates ranging from
.31% to .52% and is based on the monthly average net assets of all the
mutual funds advised by FMR. The annual individual fund fee rate is .40%.
For the period, the management fee was equivalent to an annualized rate of
.72% of average net assets.
The Board of Trustees approved a new group fee rate schedule with rates
ranging from .2850% to .5200%. Effective November 1, 1993, FMR has
voluntarily agreed to implement this new group fee rate schedule as it
results in the same or a lower management fee.
TRANSFER AGENT FEE. Fidelity Service Co. (FSC), an affiliate of FMR, is the
fund's transfer, dividend disbursing and shareholder servicing agent. FSC
receives fees based on the type, size, number of accounts and the number of
transactions made by shareholders. FSC pays for typesetting, printing and
mailing of all shareholder reports, except proxy statements.
ACCOUNTING AND SECURITY LENDING FEES. FSC maintains the fund's accounting
records and administers the security lending program. The security lending
fee is based on the number and duration of lending transactions. The
accounting fee is based on the level of average net assets for the month
plus out-of-pocket expenses.
BROKERAGE COMMISSIONS. The fund placed a portion of its portfolio
transactions with brokerage firms which are affiliates of FMR. The
commissions paid to these affiliated firms were $1,122,000 for the period.
5. SECURITY LENDING.
The fund loaned securities to certain brokers who paid the fund negotiated
lenders' fees. These fees are included in interest income. The fund
receives U.S. Treasury obligations and/or cash as collateral against the
loaned securities, in an amount at least equal to 102% of the market value
of the loaned securities at the inception of each loan. This collateral
must be maintained at not less than 100% of the market value of the loaned
securities during the period of the loan. At period end, the value of the
securities loaned and the value of collateral amounted to $14,181,000 and
$14,777,000, respectively.
6. EXPENSE REDUCTIONS.
FMR has directed certain portfolio trades to brokers who paid a portion of
the fund's expenses. For the period, the fund's expenses were reduced by
$220,000 under this arrangement.
7. CREDIT RISK
The fund's relatively large investment in countries with limited or
developing capital markets may involve greater risks than investments in
more developed markets and the prices of such investments may be volatile.
The yields of emerging market debt obligations reflect, among other things,
perceived credit risk. The consequences of political, social or economic
changes in these markets may have disruptive effects on the market prices
of the fund's investments and the income they generate.
REPORT OF INDEPENDENT ACCOUNTANTS
To the Trustees of Fidelity Charles Street Trust and the shareholders of
Fidelity Asset Manager:
In our opinion, the accompanying statement of assets and liabilities,
including the schedule of investments (except for Moody's and Standard
& Poor's ratings), and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of Fidelity Asset Manager (a fund
of Fidelity Charles Street Trust) at March 31, 1994, the results of its
operations, the changes in its net assets and the financial highlights for
the periods indicated in conformity with generally accepted accounting
principles. These financial statements and financial highlights (hereafter
referred to as `` financial statements") are the responsibility of the
Fidelity Asset Manager's management; our responsibility is to express an
opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with generally accepted
auditing standards which require that we plan and perform the audit to
obtain reasonable assurance about whether the financial statements are free
of material misstatement. An audit includes examining, on a test basis,
evidence supporting the amounts and disclosures in the financial
statements, assessing the accounting principles used and significant
estimates made by management, and evaluating the overall financial
statement presentation. We believe that our audits, which included
confirmation of securities owned at March 31, 1994 by correspondence with
the custodian and brokers and the application of alternative auditing
procedures where confirmations from brokers were not received, provide a
reasonable basis for the opinion expressed above.
PRICE WATERHOUSE
Boston, Massachusetts
May 9, 1994
TO VISIT FIDELITY
For directions and hours,
please call 1-800-544-9797.
ARIZONA
7373 N. Scottsdale Road
Scottsdale, AZ
CALIFORNIA
851 Hamilton Avenue
Campbell, CA
527 North Brand Boulevard
Glendale, CA
19100 Von Karman Avenue
Irvine, CA
10100 Santa Monica Blvd.
Los Angeles, CA
811 Wilshire Boulevard
Los Angeles, CA
251 University Avenue
Palo Alto, CA
1760 Challenge Way
Sacramento, CA
7676 Hazard Center Drive
San Diego, CA
455 Market Street
San Francisco, CA
1400 Civic Drive
Walnut Creek, CA
COLORADO
1625 Broadway
Denver, CO
CONNECTICUT
185 Asylum Street
Hartford, CT
265 Church Street
New Haven, CT
300 Atlantic Street
Stamford, CT
DELAWARE
222 Delaware Avenue
Wilmington, DE
FLORIDA
4400 N. Federal Highway
Boca Raton, FL
2249 Galiano Street
Coral Gables, FL
4090 N. Ocean Boulevard
Ft. Lauderdale, FL
4001 Tamiami Trail, North
Naples, FL
1907 West State Road 434
Orlando, FL
2401 PGA Boulevard
Palm Beach Gardens, FL
8065 Beneva Road
Sarasota, FL
2000 66th Street, North
St. Petersburg, FL
GEORGIA
3525 Piedmont Road, N.E.
Atlanta, GA
1000 Abernathy Road
Atlanta, GA
HAWAII
700 Bishop Street
Honolulu, HI
ILLINOIS
215 East Erie Street
Chicago, IL
One North Franklin
Chicago, IL
540 Lake Cook Road
Deerfield, IL
1415 West 22nd Street
Oak Brook, IL
1700 East Golf Road
Schaumburg, IL
LOUISIANA
201 St. Charles Avenue
New Orleans, LA
MAINE
3 Canal Plaza
Portland, ME
MARYLAND
1 West Pennsylvania Ave.
Towson, MD
7401 Wisconsin Avenue
Bethesda, MD
MASSACHUSETTS
470 Boylston Street
Boston, MA
21 Congress Street
Boston, MA
25 State Street
Boston, MA
300 Granite Street
Braintree, MA
101 Cambridge Street
Burlington, MA
416 Belmont Street
Worcester, MA
MICHIGAN
280 North Woodward Ave.
Birmingham, MI
26955 Northwestern Hwy.
Southfield, MI
MINNESOTA
38 South Sixth Street
Minneapolis, MN
MISSOURI
700 West 47th Street
Kansas City, MO
200 North Broadway
St. Louis, MO
NEW JERSEY
60B South Street
Morristown, NJ
501 Route 17, South
Paramus, NJ
505 Millburn Avenue
Short Hills, NJ
NEW YORK
1050 Franklin Avenue
Garden City, NY
999 Walt Whitman Road
Melville, L.I., NY
71 Broadway
New York, NY
350 Park Avenue
New York, NY
10 Bank Street
White Plains, NY
NORTH CAROLINA
2200 West Main Street
Durham, NC
OHIO
600 Vine Street
Cincinnati, OH
1903 East Ninth Street
Cleveland, OH
28699 Chagrin Boulevard
Woodmere Village, OH
OREGON
121 S.W. Morrison Street
Portland, OR
PENNSYLVANIA
1735 Market Street
Philadelphia, PA
439 Fifth Avenue
Pittsburgh, PA
TENNESSEE
5100 Poplar Avenue
Memphis, TN
TEXAS
10000 Research Boulevard
Austin, TX
7001 Preston Road
Dallas, TX
1155 Dairy Ashford
Houston, TX
1010 Lamar Street
Houston, TX
2701 Drexel Drive
Houston, TX
400 East Las Colinas Blvd.
Irving, TX
14100 San Pedro
San Antonio, TX
UTAH
175 East 400 South Street
Salt Lake City, UT
VERMONT
199 Main Street
Burlington, VT
VIRGINIA
8180 Greensboro Drive
McLean, VA
WASHINGTON
411 108th Avenue, N.E.
Bellevue, WA
1001 Fourth Avenue
Seattle, WA
WASHINGTON, DC
1775 K Street, N.W.
Washington, DC
WISCONSIN
222 East Wisconsin Avenue
Milwaukee, WI
INVESTMENT ADVISER
Fidelity Management & Research
Company
Boston, MA
OFFICERS
Edward C. Johnson 3d, President
J. Gary Burkhead, Senior Vice President
Robert Beckwitt, Vice President
Gary L. French, Treasurer
John H. Costello, Assistant Treasurer
Arthur S. Loring, Secretary
Robert H. Morrison, Manager,
Security Transactions
BOARD OF TRUSTEES
J. Gary Burkhead
Ralph F. Cox*
Richard J. Flynn*
Edward C. Johnson 3d
E. Bradley Jones*
Donald J. Kirk*
Peter S. Lynch
Edward H. Malone*
Gerald C. McDonough*
Thomas R. Williams*
GENERAL DISTRIBUTOR
Fidelity Distributors Corporation
Boston, MA
TRANSFER AND SHAREHOLDER
SERVICING AGENT
Fidelity Service Co.
Boston, MA
CUSTODIAN
The Chase Manhattan Bank, N.A.
New York, NY
FIDELITY'S ASSET ALLOCATION FUNDS
Asset Manager
Asset Manager: Growth
Asset Manager: Income
THE FIDELITY TELEPHONE CONNECTION
MUTUAL FUND 24-HOUR SERVICE
Account Balances 1-800-544-7544
Exchanges/Redemptions 1-800-544-7777
Mutual Fund Quotes 1-800-544-8544
Account Assistance 1-800-544-6666
Product Information 1-800-544-8888
Retirement Accounts 1-800-544-4774
(8 a.m. - 9 p.m.)
TDD Service 1-800-544-0118
for the deaf and hearing impaired
(9 a.m. - 9 p.m. Eastern time)
* INDEPENDENT TRUSTEES
AUTOMATED LINES FOR QUICKEST SERVICE
