(2_FIDELITY_LOGOS)FIDELITY
ASSET MANAGER: GROWTH
SEMIANNUAL REPORT
MARCH 31, 1994
CONTENTS
PRESIDENT'S MESSAGE 3 Ned Johnson on investing
strategies.
PERFORMANCE 4 How the fund has done over time.
FUND TALK 6 The manager's review of fund
performance, strategy, and outlook.
INVESTMENT CHANGES 10 A summary of major shifts in the
fund's investments over the last six
months.
INVESTMENTS 11 A complete list of the fund's
investments with their market value.
FINANCIAL STATEMENTS 63 Statements of assets and liabilities,
operations, and changes in net
assets, as well as financial
highlights.
NOTES 67 Footnotes to the financial
statements.
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 securities that have grown in value). If
Fidelity had not reimbursed certain fund expenses, the fund's one year and
life of fund figures would have been lower.
CUMULATIVE TOTAL RETURNS
PERIODS ENDED MARCH 31, 1994 PAST 6 PAST 1 LIFE OF
MONTHS YEAR FUND
Asset Manager: Growth 3.27% 13.22% 45.02%
S&P 500 -1.55% 1.47% 17.01%
Average Flexible Portfolio Fund -1.35% 4.00% n/a
Consumer Price Index 1.45% 2.51% 6.74%
CUMULATIVE TOTAL RETURNS reflect the fund's actual performance over a set
period - in this case, six months, one year or since the fund began on
December 30, 1991. For example, if you invested $1,000 in a fund that had a
5% return you would end up with $1,050. You can compare the fund's total
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. Comparing the fund's performance to the consumer
price index helps show how your investment did compared to inflation.
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED MARCH 31, 1994 PAST 1 LIFE OF
YEAR FUND
Asset Manager: Growth 13.22% 17.92%
S&P 500 1.47% 7.22%
Average Flexible Portfolio Fund 4.00% n/a
Consumer Price Index 2.51% 2.94%
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 S&P 500 Fidelity Aggres
12/31/91 10000.00 10000.00 10000.00
01/31/92 10367.06 9814.00 9832.85
02/29/92 10585.31 9941.58 9928.97
03/31/92 10436.50 9747.72 9786.93
04/30/92 10466.26 10034.30 9994.02
05/31/92 10684.52 10083.47 10082.67
06/30/92 10565.47 9933.23 10030.39
07/31/92 11001.98 10339.50 10375.29
08/31/92 10823.41 10127.54 10268.06
09/30/92 11071.42 10247.04 10393.07
10/31/92 11279.76 10282.91 10372.18
11/30/92 11686.50 10633.55 10597.15
12/31/92 11907.90 10764.35 10737.36
01/31/93 12079.89 10854.77 10866.69
02/28/93 12231.65 11002.39 11029.52
03/31/93 12707.15 11234.54 11193.09
04/30/93 12747.62 10962.67 11044.56
05/31/93 13010.67 11256.47 11234.36
06/30/93 13202.89 11289.11 11332.44
07/31/93 13445.71 11243.95 11324.50
08/31/93 13992.03 11670.10 11680.72
09/30/93 13931.33 11580.24 11637.38
10/31/93 14366.37 11819.95 11808.39
11/30/93 14244.96 11707.66 11697.98
12/31/93 15041.52 11849.32 11805.19
01/31/94 15622.07 12252.20 12116.50
02/28/94 15157.63 11918.94 11825.58
03/31/94 14387.08 11399.28 11412.63
$10,000 OVER LIFE OF FUND: Let's say you invested $10,000 in Fidelity
Asset Manager: Growth on December 31, 1991, just after the fund started. As
the chart shows, by March 31, 1994, the value of your investment would have
grown to $14,387 - a 43.87% 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
$11,400 - a 14.00% increase. You can also look at how the Aggressive Asset
Allocation Composite Index, a hypothetical combination of unmanaged
indices, did over the same period. Reflecting the fund's neutral mix of 65%
stocks, 30% bonds, and 5% short-term instruments, this index combines
returns from the S&P 500 (14%), Lehman Brothers Treasury Bond Index
(15.11%), and the Salomon Brothers 3-month T-Bill Total Rate of Return
Index (7.63%). With dividends
and interest, if any, reinvested, the same $10,000 investment would have
grown to $11,413 - a 14.13% 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)
FUND TALK: THE MANAGER'S OVERVIEW
MARKET RECAP
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%.
An interview with Bob Beckwitt, Portfolio Manager of Fidelity Asset
Manager: Growth
Q. BOB, HOW HAS THE FUND PERFORMED RECENTLY?
A. Better than its peers. That said, the investment climate was such that
the absolute performance probably disappointed many investors. For the six
months ended March 31, 1994, the fund's total return was 3.27%. This
compares to a loss of 1.35% for the average flexible portfolio fund,
according to Lipper Analytical Services. Over the past 12 months, the
fund's total return was 13.22%, compared to an average of 4.00% for its
peers.
Q. HOW DID THE FUND MANAGE TO OUTPERFORM THE AVERAGE FUND IN ITS CLASS?
A. It had a lot to do with emphasizing stocks, about 55% of the fund at the
end of March, over bonds, which were about 25% of the fund. Stocks have
fallen in most markets around the world since early February but performed
quite well in the final months of 1993 and the early part of 1994. I sold
them throughout the period as prices rose; six months ago stocks were more
than 75% of the fund. But were it not for the early gains registered by
stocks, the fund might not have achieved even the modest positive return it
did for the period.
Q. WHY SUCH A SMALL POSITIVE RETURN OVERALL?
A. To better understand, it may help to review the fund'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 adjustments to
the mix as conditions change. Over the past six months, as I've already
pointed out, I significantly reduced the stock portion of the fund.
Meanwhile, the percentage of bonds in the fund has stayed about the same.
That leaves cash, which was practically nonexistent in the fund six months
ago but had reached nearly 20% by the end of March. As it happened, cash
was practically the only asset class that didn't lose ground during the
first quarter of 1994. 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.
Q. WHAT HURT THE FUND MOST?
A. Probably the fund's 17.3% stake in emerging markets, especially the bond
portion of that, which totalled about 9.2%. It's important to remember that
on the whole, bonds issued in Latin America contributed greatly to the
fund's performance over the past several years. But when U.S. interest
rates increased 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. 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 - not only stocks but
short-term bonds denominated in pesos and longer-term bonds denominated in
U.S. dollars. Mexican investments totaled 9% of the fund at the end of
March. I increased the fund's stake last summer in Mexican stocks 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. I still
believe in Mexico's long-term prospects for economic reform. Unless
conditions worsen, I plan on staying invested.
Q. DERIVATIVES HAVE BEEN IN THE NEWS A LOT LATELY. WHAT DERIVATIVES DOES
THE FUND OWN?
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 7% of the fund was in structured notes on March 31, 1994.
Q. DID DERIVATIVES HELP OR HURT THE FUND DURING THE LAST SIX MONTHS?
A. Neither. The performance of most derivatives I invested in is tied to
the performance of various underlying assets, allowing me to isolate
specific opportunities within asset classes. 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. WHERE HAVE YOU FOCUSED THE FUND'S STOCK INVESTMENTS?
A. Mainly 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. I began
buying IBM for the first time last fall, when it was selling at around $45
a share. This is a potential turnaround story, the success of which company
officials may be underestimating publicly, if only because they've
disappointed investors so often in the past. In addition, foreign stocks
were more than 19.1% of the fund at the end of March, led by Telefonos de
Mexico, a large Mexican telephone company, and 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 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, 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 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 look
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 was in a
defensive mode at the end of March, with more cash and fewer stocks than at
any time during the past two years.
FUND FACTS
GOAL: maximum total return
over the long term through
investments in stocks,
bonds, and short-term
instruments anywhere in the
world.
START DATE: December 30,
1991
SIZE: as of March 31, 1994,
over $2.6 billion
MANAGER: Robert Beckwitt,
since 1991; manager,
Fidelity Asset Manager, since
1988; Fidelity Asset Manager:
Income, since 1992
(checkmark)
BOB BECKWITT ON INVESTING AND
RISK:
"Those who were caught off
guard by the fund's volatility
during the first quarter of
1994, may want to ask
themselves a simple
question: `What is your
investment horizon?' If it's
less than seven years, then
Asset Manager: Growth may
not be the right investment for
you. As an alternative, you
might want to consider a more
conservative fund such as
Asset Manager or even Asset
Manager: Income, which
seeks to offset dramatic price
swings by providing a steady
stream of income. In any
case, none of the funds in the
Asset Manager family are
designed for investors
unwilling to accept short-term
losses."
(bullet) The fund's neutral mix is
65% stocks, 30% bonds and
5% cash and short-term
investments. At the end of the
period, the fund was
positioned more
conservatively, with 55% in
stocks, 25% in bonds and
20% in cash and short-term
investments. Foreign
investments totalled 31.1%.
(See page 62.)
(bullet) So-called junk bonds -
those with credit ratings of BB
or lower - made up 8.5% of
the fund at the end of March.
Over the past several months,
they've proven less
vulnerable to rising interest
rates than investment-grade
domestic 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
Intel Corp. 0.9 0.5
International Business Machines 0.7 0.1
Corp.
Compaq Computer Corp. 0.7 0.7
Telefonos De Mexico SA sponsored
representing shares Ord. Class L 0.7 -
ADR
Federal National Mortgage 0.7 0.4
Association
TOP FIVE INDUSTRIES AS OF MARCH 31, 1994
(STOCKS ONLY) % OF FUND'S % OF FUND'S
INVESTMENTS INVESTMENTS
IN THESE INDUSTRIES
6 MONTHS AGO
Finance 9.1 15.6
Technology 8.7 8.7
Utilities 5.7 7.0
Energy 2.8 3.8
Basic Industries 2.9 3.8
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 68.9 46.9
Mexico 9.0 4.5
Argentina 3.4 3.2
United Kingdom 2.9 6.8
Brazil 2.2 1.7
ASSET ALLOCATION
AS OF MARCH 31, 1994* AS OF SEPTEMBER 30, 1993**
Row: 1, Col: 1, Value: 20.0
Row: 1, Col: 2, Value: 25.0
Row: 1, Col: 3, Value: 55.0
Stock class 55%
Bond class 25%
Short-term class
and other 20%
* FOREIGN
INVESTMENTS 31%
Row: 1, Col: 1, Value: 0.0
Row: 1, Col: 2, Value: 25.0
Row: 1, Col: 3, Value: 75.0
Stock class 76%
Bond class 27%
Short-term class
and other (3%)
** FOREIGN
INVESTMENTS 53%
ASSET ALLOCATIONS IN THE PIE CHART REFLECT THE CATEGORIZATION OF ASSETS AS
DEFINED IN THE FUND'S PROSPECTUS. FINANCIAL STATEMENT CATEGORIZATIONS
CONFORM TO ACCOUNTING STANDARDS AND WILL DIFFER FROM THE PIE CHART.
INVESTMENTS MARCH 31, 1994 (UNAUDITED)
Showing Percentage of Total Value of Investment in Securities
COMMON STOCKS - 46.0%
SHARES VALUE (NOTE 1)
(000S)
AEROSPACE & DEFENSE - 0.3%
AEROSPACE & DEFENSE - 0.2%
Boeing Co. 11,100 $ 498 09702310
Flightsafety International, Inc. 21,400 797 33942310
Martin Marietta Corp. 33,800 1,488 57290010
McDonnell Douglas Corp. 3,400 366 58016910
Oerlikon-Buhrle Holding Ltd. (Reg.) (a) 10,900 1,188 67199092
Samsung Aerospace Industries (a) 6,800 254 80399C22
Thiokol Corp. 10,600 281 88410310
4,872
DEFENSE ELECTRONICS - 0.1%
E-Systems, Inc. 3,100 136 26915730
Litton Industries, Inc. (a) 21,700 665 53802110
Loral Corp. 41,900 1,571 54385910
Raytheon Co. 15,100 976 75511110
Watkins-Johnson Co. 6,100 153 94248610
3,501
TOTAL AEROSPACE & DEFENSE 8,373
BASIC INDUSTRIES - 2.7%
CHEMICALS & PLASTICS - 1.0%
Airgas, Inc. (a) 3,600 77 00936310
Akzo NV Ord. 9,000 1,038 01019910
Albemarle Corp. (a) 4,700 69 01265310
Bayer AG 5,356 1,195 07273010
Dongsung Chemical Industry Co. (a) 8,300 228 25799V22
du Pont (E.I.) de Nemours & Co. 20,700 1,097
GEON 3,700 98 37246W10
Grace (W.R.) & Co. 84,600 3,490 38388310
Great Lakes Chemical Corp. 5,700 402 39056810
Han Wha (a) 4,400 58 40999B22
Hanyang Chemical Corp. (a) 6,600 69 41199E22
Hercules, Inc. 8,200 941 42705610
Hoechst AG Ord. 9,900 1,915 43439010
IMC Fertilizer Group, Inc. (a) 10,100 399 44966910
Imperial Chemical Industries:
Ord. 49,307 578 45270440
PLC ADR 17,300 794 45270450
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
(000S)
BASIC INDUSTRIES - CONTINUED
CHEMICALS & PLASTICS - CONTINUED
Indo Gulf Fertilizer and Chemicals GDR (g) 293,500 $ 1,086 45577P10
Lucky Co. Ltd. (a) 93,800 1,801 54999E22
Lyondell Petrochemical Co. 30,100 658 55207810
Monsanto Co. 28,000 2,177 61166210
Nalco Chemical Co. 20,100 686 62985310
Oriental Chemical Industry Co. (a) 32,298 952 68999C22
Perez Companc Class B (a) 764,700 4,757 71399723
Potash Corp. of Saskatchewan 16,400 413 73755L10
Reliance Industries Ltd. GDR (g) 37,200 707 75947010
Shinetsu Chemical 59,000 1,104 82499210
Union Carbide Corp. 38,100 857 90558110
Vigoro Corp. 7,100 218 92675410
27,864
IRON & STEEL - 0.5%
Allegheny Ludlum Industries, Inc. 35,400 655 01690010
Birmingham Steel Corp. 6,100 174 09125010
British Steel PLC Ord. 1,778,870 3,734 11101510
Chaparral Steel Company 9,800 109 15942210
Compania Siderurgica Nacional (a) 54,655,000 1,795 24499523
Dongkuk Steel Mill Co. (a) 2,200 71 25799S22
Geneva Steel Co. (warrants) (a) 12,735 122 37225212
Hyundai Pipe Co. Ltd. (a) 31,000 519 42399D22
Inland Steel Industries, Inc. (a) 34,500 1,039 45747210
LTV Corp. (a) 40,000 600 50192110
Nucor Corp. 19,400 1,176 67034610
Steel of West Virginia, Inc. (a) 28,300 350 85815410
Thyssen AG Ord. 11,300 1,795 88629110
USX-U.S. Steel Group 38,900 1,444 90337T10
13,583
METALS & MINING - 0.5%
Alcan Aluminium Ltd. 131,500 2,911 01371610
Alumax, Inc. (a) 23,500 567 02219710
Aluminum Co. of America 3,600 258 02224910
Broken Hill Proprietary Co. Ltd. (The) 2,500 29 05599810
Dae Chang Industrial Co. (a) 9,240 216 23399M22
De Beers Consolidated Mines Ltd. ADR 24,400 509 24025330
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
(000S)
BASIC INDUSTRIES - CONTINUED
METALS & MINING - CONTINUED
Hindalco Industries Ltd. GDR (a)(g) 17,500 $ 407 43306410
Hullas Del Coto Cortes SA 20,000 477 44499192
Iljin Corp. (a) 10,270 310 45199E22
Korea Tungsten Mining Co. (a) 14,100 528 50599S22
Noranda, Inc. 204,300 3,691 65542210
Poong San Corp. 20,900 375 73299522
RTZ Corp. PLC Ord. (a) 123,578 1,506 74974K50
Reynolds Metals Co. 60,600 2,780 76176310
Sam Sun Industry (a) 5,200 47 81799G22
14,611
PACKAGING & CONTAINERS - 0.1%
Carnaudmetalbox SA 16,450 550 20999092
Owens-Illinois, Inc. (a) 98,200 1,092 69076840
1,642
PAPER & FOREST PRODUCTS - 0.6%
Abitibi-Price, Inc. 50,000 623 00368010
Bowater, Inc. 55,200 1,180 10218310
Champion International Corp. 19,600 568 15852510
Chesapeake Corp. 600 14 16515910
Eagon Industrial Co. Ltd. (a) 5,500 132 27099922
International Paper Co. 12,200 831 46014610
Kimberly Clark de Mexico 327,100 5,796 49499392
Repola 39,400 669 75999A92
Stone Consolidated Corp. (a) 60,000 748 86158K10
Sung Chang Enterprise Co. (a) 5,800 397 82699B22
Temple-Inland, Inc. 28,500 1,304 87986810
Union Camp Corp. 12,600 558 90553010
Weyerhaeuser Co. 30,800 1,332 96216610
Willamette Industries, Inc. 13,500 641 96913310
14,793
TOTAL BASIC INDUSTRIES 72,493
CONGLOMERATES - 0.6%
Alexander & Baldwin, Inc. 15,500 391 01448210
Allied-Signal, Inc. 18,600 681 01951210
Avenor, Inc. 6,500 99 05356K10
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
(000S)
CONGLOMERATES - CONTINUED
Canadian Pacific Ltd. Ord. 369,500 $ 5,808 13644030
Crane Co. 4,700 118 22439910
Dial Corp. (The) 49,700 2,075 25247010
ITT Corp. 9,600 823 45067910
Mark IV Industries, Inc. 15,000 276 57038710
Suncor, Inc. 151,800 3,346 86722910
Textron, Inc. 20,000 1,080 88320310
Tomkins PLC Ord. 112,661 408 89003010
Tyco Laboratories, Inc. 4,700 234 90212010
United Technologies Corp. 25,100 1,560 91301710
16,899
CONSTRUCTION & REAL ESTATE - 2.1%
BUILDING MATERIALS - 1.3%
Armstrong World Industries, Inc. 60,500 3,267 04247610
Cementos Apasco SA de CV (a) 567,300 4,511 15299392
Cemex SA:
Series A (Reg.) (a) 21,900 516 15299292
Series B 537,300 13,025 15299293
Chosun Refractories Co. (a) 3,110 100 28099322
Holderbank Financiere AG PC (Bearer) 1,886 1,255 43479593
Lafarge Corp. 20,000 430 50586210
Lapeyre SA (a) 11,600 691 51699192
Lilly Industrial Coatings, Inc. 10,000 251 53249110
National Gypsum Co. (a) 17,200 792 63631710
Tecumseh Products Co. Class A 21,900 1,059 87889520
Tolmex B2 SA (a) 681,600 8,586 94399492
34,483
CONSTRUCTION - 0.4%
Bufete Industrial SA sponsored ADR
representing 3 ordinary certificate Banco (a) 50,000 1,700 11942H10
Butler Manufacturing Co. (Del.) (a) 15,000 360 12365510
Centex Corp. 18,600 573 15231210
DR Horton, Inc. (a) 4,400 62 23331A10
Daelim Industrial Co. 49,060 881 23699F22
Dongbu Construction Co. 3,300 58 25799M22
Grupo Mexicano de Desarrollo ADR:
Class B (a) 10,300 173 40048G10
Class L (a) 41,800 716 40048G20
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
(000S)
CONSTRUCTION & REAL ESTATE - CONTINUED
CONSTRUCTION - CONTINUED
Jean LeFebvre Enterprise 23,171 $ 5,085 47230099
Jean LeFebvre Enterprise (warrants) (a) 2,771 98 47230095
Lennar Corp. 500 16 52605710
Lucky Development Co. Ltd. (a) 5,050 106 54999822
McAlpine (Alfred) Ord. 345,200 1,383 57999010
NCI Building Systems, Inc. (a) 66,200 1,109 62885210
Pulte Corp. 9,400 273 74586710
Samsung Construction Co. Ltd. 2,018 74 90499J22
12,667
ENGINEERING - 0.1%
EG&G, Inc. 15,000 246 26845710
Foster Wheeler Corp. 6,100 244 35024410
Glenayre Technologies, Inc. 25,600 947 37789910
Hanil Development Co. 41,406 816 41099822
Hyundai Engineering & Construction Co. Ltd. 14,000 595 41599122
Kyonghyang Construction Co. (a) 5,600 94 74799J22
2,942
REAL ESTATE - 0.1%
Fondo Opcion SA de CV (a) 145,100 362 34499892
Hwa Sung Industrial Co. (a) 5,800 237 44899G22
Immeubles de France, Ste Des (a) 6,800 734 44999C22
Mundicenter Soc Imobil SA 37,400 1,099 62699592
Stewart Enterprises, Inc. 10,500 252 86037010
2,684
REAL ESTATE INVESTMENT TRUSTS - 0.2%
Crown American Realty Trust (SBI) 25,000 344 22818610
Developers Diversified Realty 29,000 902 25159110
Equity Residential Property Trust (SBI) 4,700 142 29476L10
Federal Realty Investment Trust (SBI) 14,400 355 31374720
General Growth Properties, Inc. 3,000 62 37002110
Kimco Realty Corporation 10,300 370 49446R10
Lend Lease Corp. Ltd. 44,500 532 52599292
McArthur/Glen Realty Corp. (a) 15,500 380 57918810
Merry Land & Investment Co., Inc. 20,000 420 59043810
Simon Properties Group, Inc. (a) 13,200 337 82880510
Vornado Realty Trust 7,000 245 92904210
4,089
TOTAL CONSTRUCTION & REAL ESTATE 56,865
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
(000S)
DURABLES - 2.4%
AUTOS, TIRES, & ACCESSORIES - 1.3%
Asia Motors Co., Inc. 24,786 $ 436 04499B22
Breed Technologies, Inc. (a) 19,400 638 10670210
Chrysler Corp. 62,500 3,227 17119610
Cooper Tire & Rubber Co. 31,000 791 21683110
Cummins Engine Co., Inc. 17,100 842 23102110
Discount Auto Parts, Inc. 30,800 742 25464210
Ford Motor Co. 29,200 1,716 34537010
General Motors Corp. 157,000 8,478 37044210
Genuine Parts Company 16,200 567 37246010
Goodyear Tire & Rubber Co. (a) 43,600 1,766 38255010
Heung-ah Tire & Rubber Co. (a) 3,310 76 42899D22
Hyundai Motor Service Co. (a) 1,750 108 42199422
Kia Precision Works Co. (a) 25,908 549 48599K22
Lonrho Ltd. Ord. 1,097,465 2,385 54337410
Magna International, Inc. 2,500 117 55922240
NACCO Industries, Inc. 8,800 444 62957910
Pirelli Tyre Holdings NV Ord. (a) 120,400 878 72499092
Raymond Corp. (The) (a) 36,750 634 75468810
Smith (A.O.) Corp.:
Class A 1,300 42 83186510
Class B 15,200 490 83186520
Standard Products Co. 3,125 102 85383610
Suzuki Motor Corp. 191,000 2,326 86958592
Tofus Turk Otomobil ADR (g) 41,000 390 90011010
Toyota Motor Corporation 303,000 5,814 89399999
Vickers PLC Ord. 603,200 1,602 92549310
35,160
CONSUMER ELECTRONICS - 0.6%
Aktiebolaget Electrolux (a) 34,700 1,596 01019810
Fedders USA, Inc. (a) 43,200 335 31313510
Fossil, Inc. 7,600 146 34988210
Harman International Industries, Inc. (a) 3,600 100 41308610
Jeewon Industrial Co. (a) 4,400 108 47299G22
Jeewon Industrial Co. (New) 1,257 28 47299G24
Matsushita Electric Industrial Co. Ltd. 300,000 4,968 57687910
Newell Co. 38,500 1,511 65119210
Odetics, Inc. Class A (a) 50,000 550 67606520
Sony Corp. 84,400 4,810 83569999
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
(000S)
DURABLES - CONTINUED
CONSUMER ELECTRONICS - CONTINUED
Videocon International Ltd. GDR (a) 32,900 $ 280 92657P93
Whirlpool Corp. 13,400 814 96332010
15,246
HOME FURNISHINGS - 0.2%
HON Industries, Inc. 14,800 492 43809210
Heilig-Meyers Co. 19,500 605 42289310
LADD Furniture, Inc. 12,800 112 50573910
Leggett & Platt, Inc. 3,600 158 52466010
MFI Furniture Group PLC 204,000 484 55299392
Miller (Herman), Inc. 163,700 4,502 60054410
Rowe Furniture Corp. 9,000 131 77952810
6,484
TEXTILES & APPAREL - 0.3%
Arvind Mills Ltd. Unit (g) 28,600 175 04334810
Fruit of the Loom, Inc. (a) 29,500 892 35941610
Indian Rayon & Industries, Inc. (g) 39,600 772 45435210
Jones Apparel Group, Inc. (a) 5,600 177 48007410
Korea Moolsan Co. (a) 20,760 435 50599P22
Nam Yeung Corp. (a) 1,000 123 62999D22
Nautica Enterprises, Inc. (a) 56,200 1,349 63908910
Shu Kwang Corp. (a) 3,448 57 82599J22
Stride Rite Corp. 13,500 199 86331410
Tokyo Style Co. Ltd. 101,000 1,712 88999410
Unifi, Inc. 72,200 1,525 90467710
VF Corp. 11,500 575 91820410
Westpoint Stevens, Inc. (a) 15,600 257 96123810
Youngone Corp. (a) 728 12 99599C22
8,260
TOTAL DURABLES 65,150
ENERGY - 2.8%
COAL - 0.0%
Pittston Co. Minerals Group 3,500 64 72570120
ENERGY SERVICES - 0.5%
BJ Services Co. (a) 9,000 167 05548210
Baker Hughes, Inc. 30,600 543 05722410
Commercial Del Plata (a) 140,200 813 20199392
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
(000S)
ENERGY - CONTINUED
ENERGY SERVICES - CONTINUED
Dreco Energy Services Ltd. (a) 13,000 $ 120 26152820
Enterra Corp. (a) 15,800 308 29380510
Global Marine, Inc. (a) 100,000 388 37935240
Halliburton Co. 48,700 1,418 40621610
Input/Output, Inc. (a) 13,100 506 45765210
Marine Drilling Cos., Inc. (a) 134,100 771 56824020
Nabors Industries, Inc. (a) 50,000 331 62956810
Noble Drilling Corp. (a) 50,000 338 65504210
Schlumberger Ltd. 119,300 6,307 80685710
Serv-Tech, Inc. 7,600 84 81753910
Smith International, Inc. (a) 1,400 15 83211010
Weatherford International, Inc. (a) 45,000 377 94707610
Wheatley TXT Corp. 11,000 107 96271810
12,593
INDEPENDENT POWER - 0.0%
Thermo Electron Corp. 13,450 523 88355610
OIL & GAS - 2.3%
Amerada Hess Corp. 66,300 2,967 02355110
Ampolex Ltd. Ord. 60,200 171 03212792
Anadarko Petroleum Corp. 26,500 1,219 03251110
Anderson Exploration Ltd. (a) 4,600 114 03390110
Apache Corp. 6,400 148 03741110
Ashland Oil, Inc. 11,400 465 04454010
Atlantic Richfield Co. 3,700 352 04882510
British Petroleum PLC:
ADR 268,000 16,449 11088940
Ord. 1,528,844 7,938 11088910
Burlington Resources, Inc. 71,400 3,035 12201410
Chauvco Resources Ltd. (a) 90,800 1,271 16260010
Chevron Corp. 28,400 2,393 16675110
Cosmo Oil Company Ltd. 118,000 938 22199092
Crown Central Petroleum Corp. (a) 4,700 96 22821910
Enron Oil & Gas Co. 3,000 128 29356210
Isu Chemical Co. (a) 45,309 668 46599E22
Kerr-McGee Corp. 38,400 1,594 49238610
Louis Dreyfus Natural Gas Corp. (a) 12,700 262 54601110
Louisiana Land & Exploration Co. 33,900 1,225 54626810
Mobil Corp. 83,500 6,210 60705910
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
(000S)
ENERGY - CONTINUED
OIL & GAS - CONTINUED
Morrison Petroleums Ltd. 161,800 $ 1,052 61847310
Murphy Oil Corp. 25,100 1,004 62671710
Newfield Exploration Co. (a) 12,600 268 65129010
Noble Affiliates, Inc. 16,700 397 65489410
Pancanadian Petroleum Ltd. 16,800 489 69890020
Parker & Parsley Petroleum Co. 23,600 504 70101810
Petro-Canada 90,500 891 71644E10
Petroleum Heat & Power, Inc. 4,500 39 71660030
Poco Petroleums Ltd.(a) 169,200 1,192 73036110
Renaissance Energy Ltd. (a) 116,700 2,340 75966610
Royal Dutch Petroleum Co. 9,100 904 78025770
Tesoro Petroleum Corp. (a) 9,000 92 88160910
Tosco Corp. 32,700 981 89149030
Total Compagnie Francaise des Petroles 22,235 1,176 20434510
Total SA sponsored ADR 14,300 374 89151E10
Ultramar Corporation 14,800 385 90391210
Unocal Corp. 135,700 3,426 91528910
Yukong Ltd. (a) 8,200 382 98899K22
63,539
TOTAL ENERGY 76,719
FINANCE - 8.9%
BANKS - 4.0%
Akita Bank 171,000 1,194 00999692
BNP CI Ord. 3,460 155 05599996
Banacci SA de CV:
Class C 1,908,800 12,961 06399893
Class L Ord. 275,475 1,809 06399895
Banc One Corp. (a) 137,320 4,532 05943810
Banco Bilbao Vizcaya SA Ord. (Reg.) 28,500 658 05945891
Banco de Galicia Y Buenos Aires SA sponsored ADR
representing Class B shares 69,255 2,199 05953820
Banco Frances Del Rio PL (Reg.) 192,178 1,951 21199692
Banco Intercontinental Espanol 5,650 504 24699592
Banco Popular Espanol 4,200 456 05999110
BankAmerica Corp. 33,200 1,307 06605010
Bank of Boston Corp. 195,114 4,634 06071610
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
(000S)
FINANCE - CONTINUED
BANKS - CONTINUED
Bank of New York Co., Inc. 74,200 $ 3,784 06405710
Bank International Indonesia Ord. (a) 166,500 525 06199B92
BanPonce Corp. 10,000 315 06670410
Barclays PLC Ord. 318,556 2,476 06738E10
BayBanks, Inc. 10,400 567 07272310
Boram Bank (a) 51,685 741 09999322
CPR (Comp Par Reescompte) 35,527 2,919 12599592
C.S. Holdings (Bearer) (a) 3,490 1,542 17599792
Chemical Banking Corp. 149,900 5,453 16372210
Cho Hing Bank Co. Ltd. 81,700 1,011 17099E22
Citicorp (a) 245,000 9,188 17303410
Comerica, Inc. 57,200 1,451 20034010
Deutsche Bank AG 2,100 992 25152592
Financiere Bank de Suez Cie 6,744 370 31799110
First Chicago Corp. 10,700 514 31945510
First Fidelity Bancorporation 30,571 1,357 32019510
First Interstate Bancorp 48,000 3,516 32054810
First Union Corp. 67,421 2,806 33735810
Fleet Financial Group, Inc. 39,900 1,401 33891510
Grupo Financiero Bancomer SA de CV sponsored ADR (a)(g) 320,200 9,686
40048610
HSBC Holdings PLC:
Ord. 55,150 604 42199194
(Reg.) 114,696 1,278 42199195
Instituto Mobilare Italiano 263,200 2,094 45777M92
Keycorp 2,771 83 49326710
Kyung Nam Bank (a) 17,800 234 61499222
Kyungki Bank Ltd. (a) 30,800 380 61999922
Mitsui Trust and Banking 238,000 2,411 60684699
National Westminster Bank PLC Ord. 318,606 2,168 63853930
NationsBank Corp. 113,900 5,211 63858510
North Fork Bancorporation, Inc. (a) 3,600 50 65942410
Panin Bank 347,300 548 69899823
Parisienne Rees Bon (rights) (a) 33,647 254 12599597
Shawmut National Corp. 189,700 3,841 82048410
Signet Banking Corp. 71,417 2,821 82668110
Societe Generale Class A 3,538 390 83357799
Standard Chartered Bank 15,978 246 85256810
State Street Boston Corp. 6,100 220 85747310
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
(000S)
FINANCE - CONTINUED
BANKS - CONTINUED
Swiss Bank Corp. (Bearer) (a) 3,770 $ 1,084 87083610
West One Bancorp 9,600 259 95482810
Westpac Banking Corp. 533,809 1,714 96121410
Zions Bancorporation 5,600 207 98970110
109,071
CLOSED END INVESTMENT COMPANY - 0.2%
Jardine Strategic Holdings Ord. 139,000 482 47199020
Morgan Stanley India Investment Fund (a) 305,000 4,003 61745C10
4,485
CREDIT & OTHER FINANCE - 1.6%
Abbey National PLC Ord. 88,077 608 00281099
Amer Group Ltd.:
Class A 22,661 527 02351210
(rights) (a) 22,661 25 02351293
American Express Co. 230,100 6,357 02581610
Argentaria Corp. Bancaria de Espana 12,400 524 21991392
Beneficial Corp. 53,600 1,963 08172110
Brierley Investments Ltd. 8,658,300 5,794 10901410
Central Investment & Finance (a) 8,800 185 15499422
Corporacion Bancaria de Espana SA sponsored ADR (a) 9,100 192 21991310
Credit Foncier de France 1,357 286 22532792
Dean Witter Discover & Co. 38,000 1,240 24240V10
First National Finance Corporation PLC 1,323,000 1,452 33599392
First USA, Inc. 25,600 902 33743H10
GFC Financial Corp. 15,200 483 36160910
Granite Industries BHD 221,000 586 38799522
Green Tree Acceptance, Inc. 52,700 2,352 39350510
Grupo Carso SA de CV (a):
Class A-1 1,489,700 13,931 40099594
sponsored ADR 25,000 450 40048510
Gruppo Financiero Serfin sponsored ADR 190,100 4,776 40049A10
Guangdong Investments Co. Ltd. Ord. 781,000 450 40199492
Household International, Inc. 15,800 468 44181510
London American Growth Trust 708,000 567 54179599
Pusan Investment & Finance (a) 3,300 182 74699B22
Shin Han Securities Co. (a) 6,600 126 82499G92
44,426
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
(000S)
FINANCE - CONTINUED
FEDERAL SPONSORED CREDIT - 0.8%
Federal Home Loan Mortgage Corporation 71,300 $ 3,618 31340030
Federal National Mortgage Association 228,100 17,735 31358610
21,353
INSURANCE - 1.3%
ACE Ltd. 47,100 1,213 00499G92
Allstate Corp. 104,600 2,510 02000210
American Annuity Group, Inc. 62,432 546
American Bankers Insurance Group, Inc. 34,000 774 02445610
American International Group, Inc. 8,200 690 02687410
Assicurazioni Generali Spa 74,900 1,977 04542910
Assurances Generales (Reg.) 9,190 910 04557510
Capital Holding Corp. 18,200 576 14018610
Conseco, Inc. 12,100 655 20846410
Corporacion Mapfre International Reassurance (Reg.) (a) 24,800 1,106
16899192
Equitable Iowa Companies 13,100 442 29451030
Exel Ltd. 10,000 401 30161610
Fructivie SA 150 19 33099092
GAN (Groupe Des Assur. Natl.) 9,640 801 36599792
General Re Corp. 34,500 3,704 37056310
Gryphon Holdings, Inc. (a) 4,700 71 40051510
International Nederlanden Groep CV A 17,315 739 46099892
John Alden Financial Corp. 10,400 369 47783810
Legal & General Group Ltd. Ord. (a) 32,848 223 52439810
Loews Corp. 11,600 1,041 54042410
MBIA, Inc. 40,600 2,218 55262C10
NAC Re Corp. 18,000 468 62890710
Penncorp. Financial Group, Inc. 3,000 49 70809410
Phoenix Re Corp. 20,000 415 71912310
Progressive Corp. (Ohio) 21,400 623 74331510
Prudential Corp. 216,958 982 74399992
Royale Insurance Co. Ltd. 145,600 583 78074910
SAFECO Corp. 39,900 2,110 78642910
St. Paul Companies, Inc. (The) 37,800 2,939 79286010
Tokio Marine & Fire Insurance Co. Ltd. (The) 37,000 443 88909099
Torchmark Corp. 8,800 354 89102710
Travelers, Inc. (The) 79,100 2,778 89419010
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
(000S)
FINANCE - CONTINUED
INSURANCE - CONTINUED
UNUM Corp. 9,800 $ 517 90319210
USLIFE Corp. 18,800 726 91731810
Vital Forsikring Free shares 10,000 103 93999692
34,075
SAVINGS & LOANS - 0.2%
Ahmanson (H.F.) & Co. 110,700 1,868 00867710
Bankatlantic Federal Savings Bank 5,600 74 06590310
Charter One Financial Corp. 3,600 68 16090310
Eastern Bancorp 800 13 27626910
FirstFed Michigan Corp. 5,700 128 33761R10
Golden West Financial Corp. 52,800 2,026 38131710
Lakeview Savings Bank 5,100 73 51234610
Standard Federal Bank 89,100 2,495 85338910
6,745
SECURITIES INDUSTRY - 0.8%
Boram Securities Co. Ltd. (a) 22,000 422 18599622
Coryo Securities 16,520 315 22199822
Daehan Korean Blue-Chip Investment Trust (a)(g) 625,000 10,944 23699E22
Daiwa Securities 100,000 1,598 23499010
Hyundai Securities Co. Ltd. (a) 7,344 213 42699A22
Korea First Securities Co. (a) 34,618 768 50099K22
Korea Investment & Finance (a) 7,752 158 50599092
Korea Investment & Finance (New) (a) 1,511 31 50599093
Merrill Lynch & Co., Inc. 300 11 59018810
Midland Walwyn, Inc. (a) 24,700 221 59780110
Morgan Stanley Group, Inc. 24,100 1,542 61744610
Nomura Securities Co. Ltd. 171,000 3,582 65536130
PaineWebber Group, Inc. 21,600 365 69562910
Seoul Securities Co. (a) 22,440 430 83599P22
Sunkyong Securities Co. (a) 35,710 761 96199D22
21,361
TOTAL FINANCE 241,516
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
(000S)
HEALTH - 2.3%
DRUGS & PHARMACEUTICALS - 1.3%
Allergan, Inc. 90,800 $ 1,850 01849010
American Cyanamid Co. 10,800 502 02532110
Amgen, Inc. (a) 27,400 1,048 03116210
Biogen, Inc. (a) 9,300 323 09059710
Bristol-Myers Squibb Co. 8,500 439 11012210
Cellpro, Inc. (a) 15,300 360 15115610
Celtrix Laboratories, Inc. (a) 9,000 66 15118610
Cephalon, Inc. (a) 7,700 105 15670810
Chiron Corp. (a) 300 20 17004010
Elan PLC ADR (a) 37,200 1,237 28413120
Genentech, Inc. (redeemable) (a) 16,900 744 36871020
Hauser Chemical Research, Inc. (a) 38,300 306 41914130
Korea Green Cross Corp. (a) 4,444 286 50099J22
Pfizer, Inc. 108,800 5,875 71708110
Protein Design Labs, Inc. (a) 7,600 167 74369L10
Rexall Sundown, Inc. (a) 5,600 94 76164810
Rhone Poulenc Rorer, Inc. 20,300 666 76242T92
Schering AG 3,000 1,895 80658510
Schering-Plough Corp. 166,700 9,377 80660510
Warner-Lambert Co. 151,700 9,386 93448810
34,746
MEDICAL EQUIPMENT & SUPPLIES - 0.5%
Bausch & Lomb, Inc. 5,100 240 07170710
Baxter International, Inc. 52,700 1,192 07181310
Boston Scientific Corp. (a) 41,900 566 10113710
Johnson & Johnson 19,000 717 47816010
Kendall International, Inc. (a) 25,600 1,018 48875110
Lunar Corp. 4,700 59 55036210
Mallinckrodt Group, Inc. 46,200 1,478 56122610
McKesson Corp. 34,600 2,059 58155610
Medtronic, Inc. 36,700 2,936 58505510
Owens & Minor, Inc. 40,700 926 69073010
Sofamor/Danek Group, Inc. (a) 36,200 792 83400510
Thermedics, Inc. (a) 22,450 281 88390110
12,264
MEDICAL FACILITIES MANAGEMENT - 0.5%
Columbia/HCA Healthcare Corp. 197,850 7,963 19767710
HEALTHSOUTH Rehabilitation Corp. (a) 200 6 42192410
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
(000S)
HEALTH - CONTINUED
MEDICAL FACILITIES MANAGEMENT - CONTINUED
Health Management Associates, Inc. (a) 19,750 $ 600 42193310
Lincare Holdings, Inc. (a) 19,600 426 53279110
U.S. Healthcare, Inc. 95,400 3,911 91191010
United HealthCare Corp. 33,800 1,445 91058110
14,351
TOTAL HEALTH 61,361
INDUSTRIAL MACHINERY & EQUIPMENT - 1.6%
ELECTRICAL EQUIPMENT - 0.9%
Alcatel Alsthom CGE 19,535 2,275 01390492
Avid Technology, Inc. (a) 16,600 394 05367P10
General Electric Co. 52,100 5,190 36960410
General Electric Co. PLC Ord. 402,468 1,774 36963940
Grainger (W.W.), Inc. 10,100 641 38480210
ICOM, Inc. 18,000 282 44999A92
IEC Electronics Corp. (a) 4,700 60 44949L10
Il Jin Electric & Machinery (a) 4,400 103 45099G22
Itel Corp. (a) 3,700 94 46564210
Murata Manufacturing Co. Ord. 148,000 6,993 62699110
Philips Electronics (a) 96,430 2,622 71833799
Philips NV (a) 103,300 2,789 71833750
Scientific-Atlanta, Inc. 4,700 129 80865510
Siebe PLC (a) 28,935 254 82619999
Yaesu Musen Co. Ltd. 50,000 818 98499F92
24,418
INDUSTRIAL MACHINERY & EQUIPMENT - 0.6%
Bearings, Inc. 4,700 150 07400520
Briggs & Stratton Corp. 16,300 1,369 10904310
CMI Corp. Oklahoma 5,500 41 12576130
Cascade Corp. 25,000 478 14719510
Caterpillar, Inc. 48,800 5,484 14912310
Cincinnati Milacron, Inc. 7,800 182 17217210
Daewoo Heavy Industries Ltd. (a) 10,500 156 23999492
Deere & Co. 17,300 1,453 24419910
Duriron Company, Inc. 11,100 191 26684910
Finning Ltd. 93,600 1,421 31807140
Joy Technologies, Inc. (a) 39,400 473 48120610
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
(000S)
INDUSTRIAL MACHINERY & EQUIPMENT - CONTINUED
INDUSTRIAL MACHINERY & EQUIPMENT - CONTINUED
Korea Machinery Co. Ltd. (a) 22,000 $ 289 50599H22
Manitowoc Co., Inc. 19,800 549 56357110
Regal-Beloit Corp. 20,100 503 75875010
SKF AB Ord. (a) 83,700 1,497 78437530
TRINOVA Corp. 23,100 800 89667810
Tenneco, Inc. 7,200 380 88037010
Watts Industries, Inc. 12,200 287 94274910
15,703
POLLUTION CONTROL - 0.1%
American Ecology Corp. 5,100 57 02553310
Attwoods PLC:
ADR 46,100 403 04987020
Ord. 209,100 372 04987010
Harding Associates, Inc. (a) 3,500 23 41226410
OHM Corp. 5,100 83 67083910
Safety Kleen Corp. 22,100 309 78648410
Sanifill, Inc. (a) 9,000 194 80101810
Thermo Instrument Systems, Inc. (a) 5,500 160 88355910
United Waste Systems, Inc. (a) 5,500 102 91317410
WSA Waste Services, Inc. (a) 6,300 80 90291710
1,783
TOTAL INDUSTRIAL MACHINERY & EQUIPMENT 41,904
MEDIA & LEISURE - 1.6%
BROADCASTING - 0.3%
Associated Communications Corp. (a) 14,400 356 04554120
Capital Cities/ABC, Inc. 1,100 752 13985910
Capital Radio PLC 207,000 1,284 13991999
Grupo Televisa GDS (a)(g) 48,900 2,493 40049J20
Home Shopping Network, Inc. (a) 11,314 146 43735110
Scandinavian Broadcasting Corp. (a) 10,800 265 80699E92
TF-1 7,800 640 90399999
Tele-Communications, Inc. 121,400 2,519 87924010
Time Warner, Inc. 5,600 217 88731510
8,672
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
(000S)
MEDIA & LEISURE - CONTINUED
ENTERTAINMENT - 0.0%
Granada Group 325 $ 3 38480310
Rank Organization PLC 32,950 190 75304110
Royal Carribean Cruises Ltd. 13,400 333 78015392
526
LEISURE DURABLES & TOYS - 0.3%
Brunswick Corp. 80,500 1,701 11704310
Callaway Golf Co. 125,600 4,066 13119310
Fleetwood Enterprises, Inc. 5,000 102 33909910
Mattel, Inc. 39,500 992 57708110
Outboard Marine Corp. 20,000 386 69002010
Salomon SA 2,100 766 93099292
Samick Musical Instruments (a) 3,900 73 79599L22
West Marine 25,100 464 95423510
8,550
LODGING & GAMING - 0.6%
Bally Gaming International, Inc. (warrants) (a)(f) 37,500 216 05873194
Caesars World, Inc. (a) 15,600 698 12769510
Four Seasons Hotels, Inc. 63,000 495 35100E10
Grupo Posadas SA de CV (a) 134,200 128 40048992
Grupo Situr SA de CV (a) 1,941,201 4,972 40049292
Hilton Hotels Corp. 20,500 1,168 43284810
Host Marriott Corp. 18,203 182 44107810
La Quinta Motor Inns, Inc. 152,475 4,326 50419510
Ladbroke Group PLC Ord. 515,155 1,475 50572799
Marriott International, Inc. 31,703 892 57190010
Mirage Resorts, Inc. (a) 15,000 315 60462E10
President Riverboat Casinos, Inc. (a) 15,000 251 74084810
Shangri-La Asia Ltd. (a) 150,000 221 84599M22
Station Casinos, Inc. 9,000 158 85768910
Trump Plaza Holding Associates (warrants) (a) 35 30 89817E11
Video Lottery Technologies, Inc. (a) 22,600 350 92656M10
15,877
PUBLISHING - 0.3%
American Greetings Corp. 25,600 675 02637510
Enquirer/Star Group, Inc. 16,600 270 29355410
Gannett Co., Inc. 20,200 1,063 36473010
Houghton Mifflin Co. 5,600 230 44156010
MaClean Hunter Ltd. 60,200 734 55474980
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
(000S)
MEDIA & LEISURE - CONTINUED
PUBLISHING - CONTINUED
McGraw-Hill, Inc. 5,700 $ 373 58064510
Meredith Corp. 9,800 415 58943310
Mirror Group Newspaper PLC (a) 80,300 204 60499792
News International PLC 400,000 1,573 65239910
Pearson PLC 36,942 353 70509991
Thomson Corp. 44,000 564 88490310
Times Mirror Co. 20,000 622 88736010
Torstar Corp. 69,200 1,213 89147420
8,289
RESTAURANTS - 0.1%
Bertucci's, Inc. (a) 13,900 236 08606310
Cracker Barrel Old Country Store, Inc. 5,600 150 22410010
McDonald's Corp. 27,000 1,536 58013510
Morrison Restaurants, Inc. 23,900 541 61847710
Papa Johns International, Inc. (a) 4,700 137 69881310
Royal Co. Ltd. 44,000 613 77999110
Uno Restaurant Corp. (a) 3,600 33 91490010
3,246
TOTAL MEDIA & LEISURE 45,160
NONDURABLES - 2.2%
AGRICULTURE - 0.1%
Molinos Rio de La Plata (Reg.) 176,247 2,089 60899C22
BEVERAGES - 0.6%
Bass PLC Ord. 111,520 877 06990492
Cadbury-Schweppes PLC Ord. 55,691 384 12720910
Canadaigua Wine Co. (a) 20,000 550 13721920
Coca-Cola Femsa SA de CV sponsored ADR (a) 64,700 1,771 19124110
Comp Cervecerias Unidas SA ADR 7,200 167 20442910
Dr. Pepper/Seven-Up Companies, Inc. (a) 9,500 228 25613130
Fomento Economico Mexicano SA de CV Class B 1,239,500 6,541 34441892
Grupo Embotellador de Mexico Class B ADS (g) 78,100 2,158 40048J30
Panamerican Beverages, Inc. Class A 47,500 1,645 69829W10
Scottish & Newcastle Brewers PLC 35,604 274 80987810
Whitbread Class A 178,034 1,371 96341499
15,966
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
(000S)
NONDURABLES - CONTINUED
FOODS - 0.6%
Archer-Daniels-Midland Co. 88,600 $ 2,126 03948310
Borden, Inc. 36,800 492 09959910
ConAgra, Inc. 99,400 2,659 20588710
Dean Foods Co. 37,200 1,028 24236110
Dole Food, Inc. 21,700 684 25660510
Grand Metropolitan PLC 139,212 931 38559099
Grupo Ind Maseca SA de CV (a) 831,400 1,283 57899894
Herdez SA de CV:
Class A (a) 1,292,100 1,524 42799F22
Class B (a) 10,000 13 42799F23
IBP, Inc. 127,300 2,992 44922310
Miwon Co. Ltd. 19,075 451 61299693
Miwon Co. Ltd. (New) (a) 5,026 104 61299695
Ralston Purina Co. 4,700 214 75127730
Samyang Foods Co. (a) 4,400 131 84699F22
Viscofan Envolturas Celulo SA 31,000 693 92899999
Weston George Ltd. 81,900 2,471 96114850
17,796
HOUSEHOLD PRODUCTS - 0.2%
Avon Products, Inc. 3,900 220 05430310
Hartstone Group PLC Ord. (a) 611,900 526 41722610
Neutrogena Corp. (a) 16,600 279 64124610
Orkla AS Free shares 10,400 350 39299193
Premark International, Inc. 19,400 1,397 74045910
Procter & Gamble Co. 38,100 2,043 74271810
Safeskin Corp. (a) 9,000 122 78645410
Stanhome, Inc. 10,800 383 85442510
5,320
TOBACCO - 0.7%
Empresas La Moderna SA sponsored ADR 48,200 1,132 29244910
ITC Ltd. GDR (a)(g) 17,100 338 45031810
Philip Morris Companies, Inc. 247,500 12,560 71815410
RJR Nabisco Holdings Corp. 491,600 2,827 74960K10
UST, Inc. 68,700 1,700 90291110
18,557
TOTAL NONDURABLES 59,728
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
(000S)
PRECIOUS METALS - 0.0%
American Barrick Resources Corp. 12,100 $ 305 02451E10
Free State Consolidated Gold Mines Ltd. ADR 37,200 479 35614220
Homestake Mining Co. 20,000 450 43761410
Industrias Penoles (a) 20,000 57 78899A22
1,291
RETAIL & WHOLESALE - 2.8%
APPAREL STORES - 0.4%
AnnTaylor Stores Corp. (a) 13,600 435 03611510
Burlington Coat Factory Warehouse Corp. (a) 25,800 651 12157910
Cato Corp. 9,800 159 14920510
Charming Shoppes, Inc. 37,000 449 16113310
Claire's Stores, Inc. 29,800 562 17958410
Designs, Inc. (a) 9,800 162 25057L10
Edison Brothers Stores, Inc. 11,400 335 28087510
Gap, Inc. 76,100 3,377 36476010
Lamonts Apparel, Inc. (a) 25,828 39 51362820
Limited, Inc. (The) 56,800 1,186 53271610
Ross Stores, Inc. (a) 25,800 393 77829610
Sportmart, Inc. (a) 3,600 45 84892210
TJX Companies, Inc. 128,900 3,400 87254010
11,193
DRUG STORES - 0.0%
Long Drug Stores, Inc. 4,700 157 54316210
Rite Aid Corporation 30,000 570 76775410
727
GENERAL MERCHANDISE STORES - 1.6%
Aoyama Trading Co. Ord. 52,000 2,953 03799092
Cifra SA (a) 2,874,100 7,378 17178594
Consolidated Stores Corp. (a) 80,500 1,389 21014910
Controladora Commercial Mexicana SA (a) 2,109,700 3,632 21299692
Dayton Hudson Corp. 50,900 3,715 23975310
Dillard Department Stores, Inc. 18,700 626 25406310
Federated Department Stores, Inc. (a) 196,500 4,323 31410J10
Keum Kang Dev. Industries Co. (a) 2,800 49 49299F22
Mac Frugals Bargains C/O, Inc. (a) 9,800 163 55415210
Marks & Spencer Ltd. Ord. (a) 312,783 1,893 57069710
May Department Stores Co. 41,000 1,707 57777810
Meyer (Fred), Inc. (a) 6,500 258 59309810
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
(000S)
RETAIL & WHOLESALE - CONTINUED
GENERAL MERCHANDISE STORES - CONTINUED
Midopa Co. (a) 24,970 $ 480 59899E22
Midopa Co. (New) 6,791 93 59899E23
Penney (J.C.) Co., Inc. 40,900 2,163 70816010
Proffitts, Inc. (a) 17,100 359 74292510
Sears, Roebuck & Co. 81,500 3,505 81238710
Sears Roebuck de Mexico SA (a) 366,900 5,354 81240K92
Sears Roebuck de Mexico SA de CV ADR
representing Series B-1 (a) (g) 50,600 1,483 81240K10
Value City Department Stores, Inc. (a) 27,100 407 92038710
Wal-Mart Stores, Inc. 74,700 1,933 93114210
43,863
GROCERY STORES - 0.4%
American Stores Co. 17,600 902 03009610
Argyll 75,381 283 04099210
Bruno's, Inc. 94,000 729 11688110
Food Lion, Inc. Class A 316,500 1,780 34477520
Great Atlantic & Pacific Tea Co., Inc. 15,000 367 39006410
Loblaw Companies Ltd. 32,100 563 53948110
Marukyo Corp. 25,000 779 57899792
Safeway, Inc. (a) 145,800 3,481 78651420
Stop & Shop Companies, Inc. (a) 27,700 675 86209910
Supervalu, Inc. 11,000 381 86853610
Tae Gu Department Store Co. (a) 2,268 70 90599G22
Tesco PLC Ord. (a) 360,984 1,141 88157510
Whole Foods Market, Inc. (a) 22,700 426 96683710
11,577
RETAIL & WHOLESALE, MISCELLANEOUS - 0.3%
Barnes & Noble, Inc. 4,000 96 06777410
CML Group, Inc. 24,800 412 12582010
Duty Free International, Inc. 3,600 53 26708410
Great Universal Stores PLC Ord. 49,191 441 39133420
Grupo Casa Autrey SA sponsored ADR (a) 18,000 459 40048P10
Lillian Vernon Corp. 4,700 97 53243010
Little Switzerland, Inc. (a) 27,100 183 53752810
Lowe's Companies, Inc. 40,000 1,290 54866110
Micro Warehouse, Inc. (a) 5,500 253 59501B10
North West Company, Inc. 14,200 159 66329F10
Office Depot, Inc. (a) 17,500 610 67622010
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
(000S)
RETAIL & WHOLESALE - CONTINUED
RETAIL & WHOLESALE, MISCELLANEOUS - CONTINUED
Pinault Printemps SA 1,200 $ 199 72199393
Rex Stores Corp. (a) 6,100 108 76162410
Sotheby's Holdings, Inc. 91,000 1,547 83589810
Spiegel, Inc. Class A 11,200 255 84845710
Toys "R" Us, Inc. (a) 13,000 452 89233510
Wickes PLC 722,100 1,146 96699392
7,760
TRADING COMPANIES - 0.1%
Hyundai Corp. (a) 17,600 576 40999922
Inchcape Berhad Ord. 35,205 270 45325010
Nam Sung Corp. (a) 6,864 128 63299D22
Sunkyong Ltd. (a) 3,000 92 96199C22
1,066
TOTAL RETAIL & WHOLESALE 76,186
SERVICES - 0.7%
ADVERTISING - 0.0%
Omnicom Group, Inc. 9,800 468 68191910
LEASING & RENTAL - 0.1%
Hollywood Entertainment Corp. (a) 7,600 181 43614110
Orix Corp. 34,000 1,186 68616710
1,367
PRINTING - 0.2%
Cadmus Communications Corp. 7,300 104 12758710
Moore Corporation Ltd. 21,900 410 61578510
New England Business Service, Inc. 36,500 694 64387210
Reynolds & Reynolds Co. 149,600 3,254 76169510
Wallace Computer Services, Inc. 22,500 747 93227010
5,209
SERVICES - 0.4%
Borg Warner Securities Corp. (a) 1,500 25 09973310
Devry, Inc. (a) 25,000 709 25189310
Ecolab, Inc. 17,600 361 27886510
Interim Services, Inc. 5,400 134 45868P10
Omnium Gestion Financement SA 27,884 4,242 68099792
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
(000S)
SERVICES - CONTINUED
SERVICES - CONTINUED
Pittston Co. Services Group 49,300 $ 1,097 72570110
Plantsbrook Group PLC 553,000 763 72799392
Robert Half International, Inc. (a) 4,500 138 77032310
Rural/Metro Corp. (a) 2,000 34 78174810
Service Corp. International 65,200 1,646 81756510
Supercuts, Inc. (a) 5,900 89 86805710
Western Atlas, Inc. 42,300 1,745 95767410
10,983
TOTAL SERVICES 18,027
TECHNOLOGY - 8.7%
COMMUNICATIONS EQUIPMENT - 1.2%
Cabletron Systems, Inc. (a) 77,000 8,412 12692010
Cisco Systems, Inc. (a) 395,700 13,554 17275R10
DSC Communications Corp. (a) 11,300 568 23331110
Daewoo Telecommunications 9,785 179 27999192
Ericsson (L.M.) Telephone Co. ADR 8,200 345 29482140
Network General Corp. 33,600 601 64121010
Newbridge Networks Corp. (a) 10,000 546 65090110
Wellfleet Communications, Inc. (a) 10,400 733 94949710
3Com Corp. (a) 129,000 7,208 88553510
32,146
COMPUTER SERVICES & SOFTWARE - 1.2%
Adobe Systems, Inc. 12,000 291 00724F10
BancTec, Inc. (a) 14,700 327 05978410
Ceridian Corp. (a) 27,700 644 15677T10
Cheyenne Software, Inc. (a) 61,500 1,584 16688810
Compuware Corp. (a) 66,400 2,797 20563810
Fourth Dimension Software (a) 33,000 243 35199792
Henry (Jack) & Associates, Inc. 40,000 415 42628110
Inacom Corp. (a) 37,700 584 45323G10
Informix Corp. (a) 53,000 1,100 45677910
LEGENT Corp. (a) 7,700 195 52465R10
Lotus Development Corp. (a) 77,400 5,457 54570010
MicroAge, Inc. (a) 5,100 130 59492810
Micrografx, Inc. (a) 46,100 300 59507710
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
(000S)
TECHNOLOGY - CONTINUED
COMPUTER SERVICES & SOFTWARE - CONTINUED
Microsoft Corp. (a) 140,800 $ 11,933 59491810
Oracle Systems Corp. (a) 62,200 1,998 68389X10
Progress Software Corp. (a) 4,800 221 74331210
Reuters Holdings PLC Ord. (a) 27,941 811 76132410
SHL Systemhouse, Inc. (a) 114,400 787 78424R10
SunGard Data Systems, Inc. (a) 3,600 128 86736310
Sybase, Inc. (a) 10,900 491 87113010
Systems Software Associates, Inc. 23,700 338 87183910
Viewlogic Systems, Inc. (a) 32,000 820 92672110
Wall Data, Inc. (a) 10,500 471 93204510
32,065
COMPUTERS & OFFICE EQUIPMENT - 2.6%
Amdahl Corp. 796,300 5,176 02390510
Apple Computer, Inc. 2,000 67 03783310
Canon, Inc. 197,000 3,109 13780199
Casio Computer Co. Ltd. Ord. 59,000 730 14761893
Cherry Corp. (a) 31,500 835 16454110
Compaq Computer Corp. (a) 185,600 18,142 20449310
Diebold, Inc. 65,100 2,375 25365110
Digital Equipment Corp. (a) 17,000 502 25384910
Filenet Corp. (a) 18,200 441 31686910
GBC Technologies, Inc. 30,800 397 36149F10
Guilbert 3,942 364 40199792
Hewlett-Packard Co. 60,000 4,928 42823610
International Business Machines Corp. 368,400 20,078 45920010
International Imaging Materials, Inc. (a) 35,700 602 45968C10
Media Vision Technology, Inc. (a) 55,300 532 58445H10
Merisel, Inc. (a) 37,000 671 58984910
Netframe Systems, Inc. (a) 10,700 161 64110610
Radius, Inc. (a) 52,400 445 75047010
SCI Systems, Inc. (a) 87,800 1,405 78389010
Seagate Technology (a) 33,100 770 81180410
Silicon Graphics, Inc. (a) 23,400 559 82705610
Sun Microsystems, Inc. (a) 37,300 1,021 86681010
SynOptics Communications, Inc. (a) 22,700 460 87160910
Syquest Technology, Inc. (a) 54,100 594 87166010
Tandem Computers, Inc. (a) 20,000 283 87537010
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
(000S)
TECHNOLOGY - CONTINUED
COMPUTERS & OFFICE EQUIPMENT - CONTINUED
Tech Data Corp. (a) 15,100 $ 547 87823710
Tricord Systems, Inc. (a) 76,300 1,125 89612110
Xerox Corp. 39,900 3,810 98412110
70,129
ELECTRONIC INSTRUMENTS - 0.4%
Applied Materials, Inc. (a) 83,200 3,702 03822210
Electro Scientific Industries, Inc. (a) 35,000 420 28522910
KLA Instruments Corp. (a) 36,000 1,287 48248010
Lam Research Corp. (a) 44,200 1,370 51280710
Megatest Corp. (a) 26,100 476 58495810
Tektronix, Inc. 9,000 275 87913110
Teradyne, Inc. (a) 115,500 2,917 88077010
Varian Associates, Inc. 14,600 496 92220410
10,943
ELECTRONICS - 3.2%
Advanced Micro Devices, Inc. (a) 248,200 7,663 00790310
Anthem Electronics, Inc. (a) 18,700 556 03673210
Atmel Corp. (a) 39,900 1,686 04951310
Daewoo Electronics Components Co. (a) 7,086 126 23799E22
GTI Corp. (a) 15,000 193 36236010
Hitachi, Ltd. 453,000 4,104 43357810
Intel Corp. 359,900 24,293 45814010
LSI Logic Corp. (a) 107,900 2,158 50216110
Maxim Integrated Products, Inc. (a) 14,900 749 57772K10
Micron Technology, Inc. 82,700 6,905 59511210
Molex, Inc. 25,300 835 60855420
Motorola, Inc. 164,600 16,666 62007610
National Semiconductor Corp. (a) 41,500 872 63764010
Samsung Electronics Co. Ltd.:
GDR representing common (a)(g) 1,517 58 79605060
GDS (g) 32,200 1,465 79605020
Solectron Corp. (a) 33,600 1,012 83418210
Texas Instruments, Inc. 201,400 15,558 88250810
Toshiba Corp. 323,000 2,319 89149310
87,218
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
(000S)
TECHNOLOGY - CONTINUED
PHOTOGRAPHIC EQUIPMENT - 0.1%
Fuji Photo Film Co. Ltd. 55,000 $ 1,227 35958610
Polaroid Corp. 34,900 1,112 73109510
2,339
TOTAL TECHNOLOGY 234,840
TRANSPORTATION - 1.2%
AIR TRANSPORTATION - 0.3%
AMR Corp. (a) 49,200 2,804 00176510
Comair Holdings, Inc. 46,000 989 19978910
Delta Air Lines, Inc. 1,100 50 24736110
Korean Air (a) 35,190 968 52299522
Mesa Airlines, Inc. (a) 29,400 603 59048110
SkyWest, Inc. 21,100 733 83087910
UAL Corp. (a) 22,700 2,894 90254910
9,041
RAILROADS - 0.8%
Burlington Northern, Inc. 43,500 2,588 12189710
CSX Corp. 58,200 4,772 12640810
Chicago & North Western Holdings Corp. (a) 46,100 1,118 16715510
Conrail, Inc. 10,700 618 20836810
Florida East Coast Industries, Inc. 7,400 472 34063210
Illinois Central Corp. 69,500 2,346 45184110
Santa Fe Pacific Corp. 165,900 3,775 80218310
Southern Pacific Rail Corp. (a) 64,000 1,344 84358410
Trinity Industries, Inc. 29,350 1,115 89652210
Union Pacific Corp. 15,300 868 90781810
Wisconsin Central Transportation Corp. (a) 23,600 1,658 97659210
20,674
SHIPPING - 0.1%
Bergesen Group Class B 20,000 426 08399011
Great Eastern Shipping Co. Ltd. GDR 30,000 360 39099823
Han Jin Transportation Co. (a) 15,862 405 40999722
Ned Lloyd Groep NV (a) 41,500 1,391 63983210
Transportacion Maritima Mexicana SA de CV
representing L shares (a) 69,700 575 89386820
3,157
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
(000S)
TRANSPORTATION - CONTINUED
TRUCKING & FREIGHT - 0.0%
MS Carriers, Inc. (a) 3,600 $ 81 55353310
Roadway Services, Inc. 6,100 413 76974810
494
TOTAL TRANSPORTATION 33,366
UTILITIES - 5.1%
CELLULAR - 0.4%
Cencall Communications Corp. (a) 36,800 865 15129710
Dial Page, Inc. 16,300 738 25247P10
IDB Communications Group, Inc. 41,300 676 44935510
Nextel Communications, Inc. (a) 3,400 133 65332V10
Pactel Corp. (a) 31,500 650 69525210
Premier Page Co. (a) 18,000 169 74058E10
Rogers Cantel Mobile Communications, Inc. (non-vtg.) (a) 54,000 1,332
77510210
Security Services Ord. 160,000 1,792 81499010
Vodafone Group:
PLC (a) 273,160 2,091 92857T92
PLC sponsored ADR 41,400 3,203 92857T10
11,649
ELECTRIC UTILITY - 2.0%
American Electric Power Co., Inc. 65,800 2,023 02553710
Baltimore Gas & Electric Co. 45,400 1,050 05916510
Carolina Power & Light Co. 18,000 468 14414110
Centerior Energy Corp. 137,400 1,511 15188310
Central & South West Corp. (a) 29,000 718 15235710
Central Costanera SA ADR (a) (g) 38,200 1,165 15324M10
Commonwealth Edison Co. 29,200 734 20279510
Consolidated Edison Co. of New York, Inc. 37,900 1,104 20911110
DQE, Inc. 8,400 263 23329J10
Detroit Edison Company 41,100 1,089 25084710
Dominion Resources, Inc. (Va.) 17,600 704 25747010
Duke Power Co. 11,000 397 26439910
Entergy Corp. 205,365 6,520 29364G10
FPL Group, Inc. 18,700 619 30257110
Fuerzas Electricas Cataluna Class A 69,600 521 35899E22
General Public Utilities Corp. 88,900 2,545 37055010
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
(000S)
UTILITIES - CONTINUED
ELECTRIC UTILITY - CONTINUED
Hong Kong Electric Holdings Ord. 1,946,500 $ 5,365 43858010
Houston Industries, Inc. 32,100 1,140 44216110
Iberdrola SA 70,940 517 45499892
Illinois Power Co. 50,600 1,025 45209210
Korea Electric Power Corp. 152,000 4,520 50099B92
Long Island Lighting Co. 36,000 783 54267110
NIPSCO Industries, Inc. 50,600 1,531 62914010
New England Electric Systems 16,300 593 64400110
Niagara Mohawk Power Corp. 77,500 1,385 65352210
Northern States Power Co. (Minn.) 9,800 401 66577210
Ohio Edison Co. 36,800 699 67734710
PSI Resources, Inc. 22,100 517 69363210
Pacific Gas & Electric Co. 48,600 1,414 69430810
PacifiCorp. 54,400 959 69511410
Peco Energy Co. 117,600 3,263 69330410
Pinnacle West Capital Corp. 17,100 342 72348410
Public Service Co. of New Mexico (a) 10,600 139 74449910
Public Service Enterprise Group, Inc. 37,600 1,048 74457310
SCEcorp 49,100 810 78388210
Scottish Hydro-Electric PLC Ord. 45,491 259 81013395
Scottish Power PLC 101,651 624 81013T96
Sierra Pacific Resources 4,700 87 82642510
Southern Co. 54,800 1,048 84258710
Texas Utilities Co. 13,986 523 88284810
Union Electric Co. 12,700 448 90654810
Veba Vereinigte Elektrizetaets & Bergwerks AG Ord. 7,800 2,264
92239110
Verbund Gesellschaft 1,700 97 92299999
53,232
GAS - 0.2%
Arkla, Inc. 50,000 338 04123710
Coastal Corp. (The) 700 21 19044110
Columbia Gas System, Inc. (The) (a) 30,900 807 19764810
Enron Corp. 5,100 156 29356110
Panhandle Eastern Corp. 132,300 2,778 69846210
Sonat, Inc. 6,600 183 83541510
Tejas Gas Corp. (Del.) (a) 10,000 500 87907510
Westcoat Energy, Inc. 39,200 655 95751D10
Williams Companies, Inc. 34,100 818 96945710
6,256
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
(000S)
UTILITIES - CONTINUED
TELEPHONE SERVICES - 2.5%
ALC Communications Corp. (a) 20,500 $ 682 00157530
Ameritech Corp. 84,200 3,210 03095410
BellSouth Corp. 29,400 1,698 07986010
British Telecommunications PLC Ord. (a) 696,763 4,062 11102110
C-TEC Corp. (a) 20,000 570 12650410
Cable & Wireless PLC Ord. 250,404 1,694 12699910
Comsat Corp. 20,000 523 20564D10
LDDS Communications, Inc. 32,562 781 50182L10
MFS Communications, Inc. 10,000 289 55272T10
NYNEX Corp. 10,900 376 67076810
Pacific Telesis Group 26,200 1,379 69489010
SIP Spa 2,045,700 6,083 78401792
Southwestern Bell Corp. 90,700 3,662 84533310
Sprint Corporation 145,800 4,994 85206110
Telebras ON 100,000,000 3,493 95499795
Telecom Argentina Stet France 680,300 3,776 90899992
Telefonica Argentina 368,800 2,315 87999D92
Telefonos de Mexico SA sponsored
representing shares Ord. Class L 297,000 17,894 87940378
Telesp PN 23,700,000 9,342 87999B93
66,823
WATER - 0.0%
Generale des Eaux 1,685 767 37099210
TOTAL UTILITIES 138,727
TOTAL COMMON STOCKS
(Cost $1,209,222) 1,248,605
PREFERRED STOCKS - 1.1%
CONVERTIBLE PREFERRED STOCKS - 0.2%
BASIC INDUSTRIES - 0.1%
METALS & MINING - 0.1%
Alumax, Inc. $4.00 3,533 390 02219720
Cyprus Amax Minerals Co. $4.00 7,066 489 23280920
Reynolds Metals Co. $3.31 Prides 26,000 1,274 76176350
2,153
PREFERRED STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
(000S)
CONVERTIBLE PREFERRED STOCKS - CONTINUED
DURABLES - 0.0%
AUTOS, TIRES, & ACCESSORIES - 0.0%
Chrysler Corp. $4.625 (g) 1,800 $ 259 17119670
Ford Motor Co. (Del.) $4.20 6,400 628 34537020
887
ENERGY - 0.0%
OIL & GAS - 0.0%
Unocal Corp. $3.50 (g) 21,200 1,102 91528920
NONDURABLES - 0.1%
TOBACCO - 0.1%
RJR Nabisco Holdings Corp. depositary shares
representing 1/4 share 223,300 1,368 74960K40
TECHNOLOGY - 0.0%
COMPUTER SERVICES & SOFTWARE - 0.0%
Ceridian Corp. (a) 6,800 401 15677T40
TRANSPORTATION - 0.0%
AIR TRANSPORTATION - 0.0%
AMR Corp. $3.00 (a)(g) 22,100 961 00176588
TRUCKING & FREIGHT - 0.0%
TNT Ltd. 8% 9,000 15 93599293
TOTAL TRANSPORTATION 976
TOTAL CONVERTIBLE PREFERRED STOCKS 6,887
NONCONVERTIBLE PREFERRED STOCKS - 0.9%
BASIC INDUSTRIES - 0.1%
CHEMICALS & PLASTICS - 0.1%
Henkel KGAA 3,400 1,281 42509392
PREFERRED STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
(000S)
NONCONVERTIBLE PREFERRED STOCKS - CONTINUED
BASIC INDUSTRIES - CONTINUED
IRON & STEEL - 0.0%
Dongbu Steel Co. Ltd. (a) 15,400 $ 405 25799L23
Geneva Steel Co. 14% exchangeable (a) 4,500 576 37225240
981
TOTAL BASIC INDUSTRIES 2,262
CONSTRUCTION & REAL ESTATE - 0.0%
CONSTRUCTION - 0.0%
Dongbu Construction 1,100 16 25799M23
DURABLES - 0.0%
AUTOS, TIRES, & ACCESSORIES - 0.0%
Hyundai Motor Service Co. (a) 2,821 153 42199424
FINANCE - 0.2%
CREDIT & OTHER FINANCE - 0.0%
Tong Yang Securities (a) 36,495 728 93999B23
INSURANCE - 0.1%
SAI (Sta Assicur Industriale) Risp 305,600 1,942 78399192
SAVINGS & LOANS - 0.1%
California Federal Bank 10.625% (a) 16,500 1,666 13020950
TOTAL FINANCE 4,336
UTILITIES - 0.6%
TELEPHONE SERVICES - 0.6%
Stet Societa Finanziaria Telefonica Spa 5,320,000 16,160 85982592
TOTAL NONCONVERTIBLE PREFERRED STOCKS 22,927
TOTAL PREFERRED STOCKS
(Cost $21,993) 29,814
CORPORATE BONDS - 10.1%
MOODY'S RATINGS (D) PRINCIPAL VALUE (NOTE 1)
AMOUNT (C) (000S) (000S)
CONVERTIBLE BONDS - 0.8%
BASIC INDUSTRIES - 0.0%
IRON & STEEL - 0.0%
Sterlite Industries 3 1/2%, 6/30/99 - $ 330 $ 370 8597379A
PAPER & FOREST PRODUCTS - 0.0%
Stone Consolidated Corp. 8%, 12/31/03 - CAD 840 789 86158KAA
TOTAL BASIC INDUSTRIES 1,159
DURABLES - 0.1%
TEXTILES & APPAREL - 0.1%
Alpargatas SAIC 9%, 3/15/98 (g) - 1,500 1,380 020545AA
Shinwon Corp. euro 0.50%, 12/31/08 - 180 203 98499DAA
1,583
FINANCE - 0.7%
CREDIT & OTHER FINANCE - 0.7%
Industrial Credit & Investment Corp. 2 1/2%,
4/3/00 (g) - 685 593 456052AA
Scici Ltd. euro 3 1/2%, 4/1/04 (g) - 330 384 79599KAA
Siderurgica Brasileiras SA inflation indexed
6%, 8/15/99 - BRC 114,277 15,908 82599PAA
16,885
INVESTMENT COMPANIES - 0.0%
PIV Investment Finance Cayman Ltd. 4 1/2%,
12/1/00 (g) - 530 434 693393AA
TOTAL FINANCE 17,319
INDUSTRIAL MACHINERY & EQUIPMENT - 0.0%
ELECTRICAL EQUIPMENT - 0.0%
Daewoo Electric 3 1/2%, 12/31/07 - 500 830 23899CAB
NONDURABLES - 0.0%
BEVERAGES - 0.0%
Jinro Ltd. euro 0.25%, 9/30/09 - 180 170 732994AA
CORPORATE BONDS - CONTINUED
MOODY'S RATINGS (D) PRINCIPAL VALUE (NOTE 1)
AMOUNT (C) (000S) (000S)
CONVERTIBLE BONDS - CONTINUED
RETAIL & WHOLESALE - 0.0%
GROCERY STORES - 0.0%
Kroger Co. 6 3/8%, 12/1/99 B3 $ 100 $ 133 501044BE
TRADING COMPANIES - 0.0%
Daewoo Corp. euro 0.25%, 12/31/08 - 135 154 23799BAB
TOTAL RETAIL & WHOLESALE 287
TECHNOLOGY - 0.0%
COMMUNICATIONS EQUIPMENT - 0.0%
Ericsson (L.M.) Telephone Co. 4 1/4%,
6/30/00 - 19 30 294821AA
COMPUTERS & OFFICE EQUIPMENT - 0.0%
Tae Il Media Co. Ltd. 0.50%, 12/31/98 - CHF 100 66 90799KAA
Unisys Corp. 8 1/4%, 8/1/00 B2 150 214 909214AX
280
TOTAL TECHNOLOGY 310
TOTAL CONVERTIBLE BONDS 21,658
NONCONVERTIBLE BONDS - 9.3%
AEROSPACE & DEFENSE - 0.0%
DEFENSE ELECTRONICS - 0.0%
Tracor, Inc. 10 7/8%, 8/15/01 B2 350 354 892349AC
BASIC INDUSTRIES - 1.1%
CHEMICALS & PLASTICS - 0.4%
Agricultural Mineral & Chemicals Corp.
10 3/4%, 9/30/03 B2 270 275 008522AA
Desc (Soc De Fomento Indust) euro 11%,
12/15/97 - 350 373 252996AB
G-I Holdings, Inc. 0%, 10/1/98 Ba3 5,290 3,227 36172FAB
Harris Chemical Corp. 10 3/4%, 10/15/03 B3 180 183 413868AB
CORPORATE BONDS - CONTINUED
MOODY'S RATINGS (D) PRINCIPAL VALUE (NOTE 1)
AMOUNT (C) (000S) (000S)
NONCONVERTIBLE BONDS - CONTINUED
BASIC INDUSTRIES - CONTINUED
CHEMICALS & PLASTICS - CONTINUED
IMC Fertilizer Group, Inc.:
10 1/8%, 6/15/01 B3 $ 1,080 $ 1,102 449669AF
9 1/4%, 10/1/00 B3 900 873 449669AH
Methanex Corp. 8 7/8%, 11/15/01 Ba3 490 474 59151KAA
NL Industires, Inc. 11 3/4%, 10/15/03 B1 320 331 629156AE
OSI Specialties, Inc. 9 1/4%, 10/1/02 B1 310 298 671042AA
Sherritt, Inc. 11%, 3/31/04 BB- 830 596 824287AA
UCC Corp. 9%, 9/1/00 B1 2,370 2,311 90915TAA
UCC Investors Holding, Inc. 10 1/2%, 5/1/02 B2 650 675 90263EAB
10,718
IRON & STEEL - 0.0%
WCI Steel, Inc. 10 1/2%, 3/1/02 B1 450 473 92923JAB
METALS & MINING - 0.0%
Sifto Canada, Inc. 8 1/2%, 7/15/00 B1 900 860 826549AA
PAPER & FOREST PRODUCTS - 0.7%
Container Corp. America:
14%, 12/1/01 B3 2,150 2,365 210741AG
9 3/4%, 4/1/03 B2 800 784 210741AJ
Fort Howard Paper Co.:
8 1/4%, 2/1/02 B1 1,590 1,463 347460AJ
9%, 2/1/06 B2 7,400 6,697 347460AK
Repap Wisconsin, Inc.:
8 1/4%, 2/1/02 B1 4,940 4,742 76026LAA
9 7/8%, 5/1/06 B1 820 779 76026LAB
Stone Container Co. 9 7/8%, 2/1/01 B1 2,730 2,498 861589AK
Valcor, Inc. 9 5/8%, 11/1/03 B1 220 211 918884AA
19,539
TOTAL BASIC INDUSTRIES 31,590
CONGLOMERATES - 0.1%
American Standard, Inc.:
9 7/8%, 6/1/01 B1 402 390 029717AH
12 3/4%, 12/31/03 B3 900 908 029717AK
Sequa Corp. 9 3/8%, 12/15/03 B3 310 295 817320AG
1,593
CORPORATE BONDS - CONTINUED
MOODY'S RATINGS (D) PRINCIPAL VALUE (NOTE 1)
AMOUNT (C) (000S) (000S)
NONCONVERTIBLE BONDS - CONTINUED
CONSTRUCTION & REAL ESTATE - 1.0%
BUILDING MATERIALS - 0.7%
Adience, Inc. 11%, 6/15/02 - $ 700 $ 553 006905AA
Cemex SA and Tolmex SA de CV euro
8 7/8%, 6/10/98 Ba2 1,440 1,451 1512909F
Cemex SA 8 7/8%, 6/10/98 (g) Ba2 960 967 151290AG
Tolmex SA de CV 8 3/8%, 11/1/03 Ba2 4,260 3,962 889557AA
Triangle Pacific Corp. 10 1/2%, 8/1/03 B2 1,020 1,025 895912AC
USG Corp.:
8%, 12/15/95 B3 1,260 1,260 903293AH
9%, 12/15/98 B3 1,080 1,080 903293AJ
9 1/4%, 9/15/01 (g) - 4,880 4,831 90399BAX
10 1/4%, 12/15/02 B2 2,750 2,791 903293AK
Series B, 10 1/4%, 12/15/02 B2 1,585 1,613 903293AL
19,533
CONSTRUCTION - 0.3%
Blount, Inc. 9%, 6/15/03 B2 625 628 095173AB
Empresas ICA Sociedad Controladora SA de CV
9 3/4%, 2/11/98 (g) - 1,700 1,753 292448AA
ICA euro 9 3/4%, 2/11/98 - 960 990 2924489A
Kaufman & Broad Home Corp.
9 3/8%, 5/1/03 Ba3 219 217 486168AC
MDC Holdings, Inc. 11 1/8%, 12/15/03 - 390 390 552676AH
Ryland Group, Inc. 9 5/8%, 6/1/04 Ba3 620 592 783764AC
U.S. Home Corp. 9 3/4%, 6/15/03 Ba3 4,160 4,150 911920AB
Webb (Del E.) 9%, 2/15/06 B2 480 439 947423AF
9,159
REAL ESTATE - 0.0%
Baldwin Co. 10 3/8%, 8/1/03 B- 60 55 057826AC
TOTAL CONSTRUCTION & REAL ESTATE 28,747
DURABLES - 0.1%
AUTOS, TIRES, & ACCESSORIES - 0.1%
Grupo Imsa SA de CV euro 8 3/4%, 7/7/98 (g) - 1,000 983 40048TAA
Navistar Financial Corp. 8 7/8%, 11/15/98 B2 1,000 985 638902AH
1,968
CORPORATE BONDS - CONTINUED
MOODY'S RATINGS (D) PRINCIPAL VALUE (NOTE 1)
AMOUNT (C) (000S) (000S)
NONCONVERTIBLE BONDS - CONTINUED
DURABLES - CONTINUED
TEXTILES & APPAREL - 0.0%
Alpargatas SA euro 9%, 3/15/98 - $ 600 $ 551 0205459A
Westpoint Stevens, Inc.:
8 3/4%, 12/15/01 B1 780 733 961238AA
9 3/8%, 12/15/05 B3 540 508 961238AB
1,792
TOTAL DURABLES 3,760
ENERGY - 0.7%
ENERGY SERVICES - 0.5%
Baroid Corp. 8%, 4/15/03 Ba1 700 732 068277AA
Falcon Drilling 9 3/4%, 1/15/01 (g) B2 1,890 1,814 305914AA
TransTexas Gas Corp. 10 1/2%, 9/1/00 B1 9,380 9,755 893895AA
12,301
INDEPENDENT POWER - 0.1%
California Energy Corp. 10 1/4%, 1/15/04 (e) Ba3 2,150 1,612 130190AC
Consolidated Hydro 0%, 7/15/03 - 1,110 672 209349AC
2,284
OIL & GAS - 0.1%
HS Resources, Inc. 9 7/8%, 12/1/03 B1 500 487 404297AA
Mesa Capital Corp. secured 0%, 6/30/98 B3 2,219 1,953 590910AF
Oryx Energy Co. 9 3/4%, 9/15/98 Ba2 380 386 68763FAA
2,826
TOTAL ENERGY 17,411
FINANCE - 1.2%
BANKS - 0.2%
Bancomer SA:
euro 8%, 7/7/98 (g) Ba2 3,000 2,954 059682AB
9% 6/1/00 (g) - 2,500 2,500 059682AA
Bancomer SNC euro 8%, 7/7/98 - 900 887 05999KAT
Midlantic Corp. 9 1/4%, 9/1/99 Baa3 225 243 59780EAC
6,584
CORPORATE BONDS - CONTINUED
MOODY'S RATINGS (D) PRINCIPAL VALUE (NOTE 1)
AMOUNT (C) (000S) (000S)
NONCONVERTIBLE BONDS - CONTINUED
FINANCE - CONTINUED
CREDIT & OTHER FINANCE - 0.4%
GPA Delaware, Inc.:
8 1/2%, 3/3/97 - $ 700 $ 578 3619289C
8 5/8%, 1/15/99 - 500 385 3619289B
Lomas Mortgage USA, Inc. 10 1/4%, 10/1/02 Ba1 3,510 3,546 54154LAB
Secured Finance, Inc. 11.18%, 12/15/04 - 5,000 5,400 81371F9A
9,909
INSURANCE - 0.6%
American Annuity Group, Inc.:
11 1/8%, 2/1/03 B2 1,000 1,022 023840AA
9 1/2%, 8/15/01 Ba3 2,125 2,034 023840AB
American Financial Corp. sinking fund:
12%, 9/3/99 - 1,590 1,586 026087AR
Series B, 12%, 9/3/99 - 560 559 026087AX
Americo Life, Inc. 9 1/4%, 6/1/05 BB+ 900 857 03060NAB
Conseco, Inc. 8 1/8% 2/15/03 Ba1 1,300 1,284 208464AD
Nacolah, Inc. 9 1/2%, 12/1/03 B1 550 523 629667AA
Penncorp Financial Group, Inc.
9 1/4%, 12/15/03 B1 650 607 708094AA
Reliance Financial Services:
9.273%, 11/1/00 BBB 1,370 1,370 759462AD
10.36%, 12/1/00 BBB 2,870 2,870 759462AF
Reliance Group:
9%, 11/15/00 Ba3 1,600 1,472 759464AG
9 3/4%, 11/15/03 B1 2,120 1,982 759464AH
16,166
SAVINGS & LOANS - 0.0%
Webster Financial Corp. 8 3/4%, 6/30/00 B1 450 461 947890AA
Western Financial Savings Bank Orange Calif.
8 1/2%, 7/1/03 Ba3 900 866 958202FK
1,327
TOTAL FINANCE 33,986
CORPORATE BONDS - CONTINUED
MOODY'S RATINGS (D) PRINCIPAL VALUE (NOTE 1)
AMOUNT (C) (000S) (000S)
NONCONVERTIBLE BONDS - CONTINUED
HEALTH - 0.4%
MEDICAL FACILITIES MANAGEMENT - 0.4%
American Medical International, Inc.
9 1/2%, 4/15/06 B $ 720 $ 713 027429AZ
HEALTHSOUTH Rehabilitation Co.
9 1/2%, 4/1/01 Ba3 1,110 1,091
Healthtrust, Inc. - The Hospital Co.:
10 3/4%, 5/1/02 B1 5,960 6,318 42221HAF
8 3/4%, 3/15/05 B1 1,580 1,500 42221HAG
9,622
INDUSTRIAL MACHINERY & EQUIPMENT - 0.1%
ELECTRICAL EQUIPMENT - 0.1%
Panamasat LP 9 3/4%, 8/1/00 Ba3 360 362 69830CAA
Specialty Equipment Cos., Inc.
11 3/8%, 12/1/03 B3 1,250 1,281 847497AB
1,643
MEDIA & LEISURE - 2.6%
BROADCASTING - 0.8%
Act III Broadcasting, Inc. 9 5/8%, 12/15/03 B3 280 269 00503KAA
Continental Cablevision, Inc.:
8 5/8%, 8/15/03 Ba2 225 217 211177AF
9%, 9/1/08 Ba2 374 359 211177AG
Cook Inlet Communications Corp.
10 3/4%, 9/10/98 (g) - 1,650 1,634 2161719C
Great America TV 9 1/2%, 12/31/99 - 2,270 2,236 389990AA
Helicon Group LP/Helicon Cablevision Corp.
10 3/4%, 10/15/03 Caa 630 592 423265AB
Rogers Cablesystems 9.65%, 1/15/14 Ba1 CAD 750 507 775100AC
SCI Television, Inc. secured:
7 1/2%, 6/30/98 (i) - 7,470 7,171 783895AK
11%, 6/30/05 - 7,996 8,035 783895AJ
SPI Holding, Inc. reset, pay-in-kind 11 1/2%,
12/1/02 - 1,060 986 78462GAF
22,006
LEISURE DURABLES & TOYS - 0.0%
Coleman Holdings 0%, 5/27/98 B 1,893 1,193 193551AC
CORPORATE BONDS - CONTINUED
MOODY'S RATINGS (D) PRINCIPAL VALUE (NOTE 1)
AMOUNT (C) (000S) (000S)
NONCONVERTIBLE BONDS - CONTINUED
MEDIA & LEISURE - CONTINUED
LODGING & GAMING - 1.2%
Ballys Casino Holdings, 10 1/2%, 6/15/98 (g) B3 $ 7,860 $ 4,952 05873EAA
Ballys Grand, Inc. 10 3/8%, 12/15/03 (g) B2 1,230 1,212 05873JAD
Ballys Park Place 9 1/2%, 3/15/04 B1 3,280 3,050 058734AC
California Hotel Finance Corp. gtd. 11%,
12/1/02 B2 7,655 8,057 13032RAG
Embassy Suites, Inc.:
gtd. 8 3/4%, 3/15/00 (g) B1 2,800 2,744 290807AH
10 7/8%, 4/15/02 B1 3,410 3,700 290807AF
Fitzgeralds Gaming Corporation 13%,
3/15/96 (1,000 bonds and
1.54 stock warrants) (g) - 410 410 338270AA
GNS Finance Corporation 9 1/4%, 3/15/03 B2 270 265 361916AK
Grand Casino Resorts, Inc. gtd. 1st mtg.
12 1/2%, 2/1/00 - 1,080 1,177 385268AA
Host Marriott Corp.:
10 5/8%, 2/1/00 B1 300 300 441080AC
10 1/2%, 5/1/00 B1 1,625 1,627 441080AH
9 1/8%, 12/1/00 B1 120 118 441080AD
11 1/4%, 7/18/05 B1 399 403 441080AG
11%, 5/1/06 B1 370 371 441080AJ
Lady Luck Gaming Finance Corp.
10 1/2%, 3/1/01 (g) B1 1,220 1,158 505903AA
Ocean Showboat Financial 9 1/4%, 5/1/08 - 630 606 6750219A
Red Roof Inns 9 5/8%, 12/15/03 (g) B3 2,760 2,650 757005AA
Showboat, Inc. 9 1/4%, 5/1/08 Ba3 300 284 825390AB
33,084
PUBLISHING - 0.4%
GACC Holding Co. 9 3/4%, 3/1/04 (f) - 7,240 7,131 3613549B
Marvel Holdings 0%, 4/15/98 B3 620 377 573845AA
News America Holdings, Inc. 8 1/2%,
12/15/05 Ba1 2,000 2,058 652478AJ
9,566
RESTAURANTS - 0.2%
American Restaurant Group, Inc.
12%, 9/15/98 B2 90 86 029309AB
Family Restaurants, Inc. 9 3/4%, 2/1/02 B1 3,110 2,923 307054AA
CORPORATE BONDS - CONTINUED
MOODY'S RATINGS (D) PRINCIPAL VALUE (NOTE 1)
AMOUNT (C) (000S) (000S)
NONCONVERTIBLE BONDS - CONTINUED
MEDIA & LEISURE - CONTINUED
RESTAURANTS - CONTINUED
Flagstar Corp.:
10 7/8%, 12/1/02 B1 $ 330 $ 327 338473AA
11 1/4%, 11/1/04 B2 1,230 1,205 338473AB
4,541
TOTAL MEDIA & LEISURE 70,390
NONDURABLES - 0.5%
BEVERAGES - 0.1%
Canandaigua Wine, Inc. 8 3/4%, 12/15/03 B1 800 744 137219AB
Dr. Pepper/Seven-Up Companies, Inc.
11 1/2%, 11/1/02 (e) B3 450 346 256131AD
Fomento Economico Mexicano SA de CV
euro 9 1/2%, 7/22/97 - 390 400 3444189A
Heileman Acquisition Corp. 9 5/8%, 1/31/04 B3 970 912 422878AA
2,402
FOODS - 0.1%
Chiquita Brands 9 1/8%, 3/1/04 B1 400 374 170032AK
Doskocil Cos., Inc. 9 3/4%, 7/15/00 B2 761 723 258486AD
Specialty Foods Corp. 10 1/4%, 8/15/01 B2 450 432 847499AC
1,529
HOUSEHOLD PRODUCTS - 0.3%
Revlon Consumer Products Corp.:
9 1/2%, 6/1/99 B2 1,580 1,462 761519AG
9 3/8%, 4/1/01 B2 2,930 2,593 761519AF
10 1/2%, 2/15/03 B3 2,420 2,165 761519AE
Revlon World Wide secured 0%, 3/15/98 B3 9,500 4,275 76154KAB
10,495
TOTAL NONDURABLES 14,426
RETAIL & WHOLESALE - 0.6%
APPAREL STORES - 0.1%
AnnTaylor, Inc. 8 3/4%, 6/15/00 B1 515 500 036117AC
Apparel Retailers, Inc. 12 3/4%, 8/15/05 Caa 1,400 811 037795AB
CORPORATE BONDS - CONTINUED
MOODY'S RATINGS (D) PRINCIPAL VALUE (NOTE 1)
AMOUNT (C) (000S) (000S)
NONCONVERTIBLE BONDS - CONTINUED
RETAIL & WHOLESALE - CONTINUED
APPAREL STORES - CONTINUED
Lamonts Apparel Corp. 10 1/4%, 11/1/99 - $ 1,488 $ 1,440 513628AB
2,751
DRUG STORES - 0.0%
Eckerd Jack Corp (Del.) 9 1/4%, 2/15/04 B2 250 230 278763AE
GENERAL MERCHANDISE STORES - 0.3%
Controladora Comercial Mexicana SA de CV:
euro 8 3/4%, 4/21/98 - 1,120 1,117 212996AA
8 3/4%, 4/21/98 (g) - 1,000 998 21238AAA
Dairy Mart Convenience Stores, Inc.
10 1/4%, 3/15/04 B3 1,230 1,184 233860AB
Hills Stores Co. 10 1/4%, 9/30/03 - 1,260 1,260 431692AA
Parisian, Inc. 9 7/8%, 7/15/03 B3 2,045 1,902 700147AB
Service Merchandise, Inc. 9%, 12/15/04 Ba3 1,300 1,235 817587AC
7,696
GROCERY STORES - 0.1%
General Nutrition, Inc. 11 3/8%, 3/1/00 B3 986 1,072 370471AC
Penn Traffic Co. 9 5/8%, 4/15/05 B2 1,150 1,127 707832AD
Ralph's Grocery Co. 9%, 4/1/03 B2 520 499 751253AD
2,698
RETAIL & WHOLESALE, MISCELLANEOUS - 0.1%
Color Tile, Inc. 10 3/4%, 12/15/01 B2 440 433 196267AD
Finlay Fine Jewelry Corp. 10 5/8%, 5/1/03 B1 730 726 317887AA
Musicland Group, Inc. 9%, 6/15/03 B1 260 247 627578AA
1,406
TOTAL RETAIL & WHOLESALE 14,781
SERVICES - 0.0%
ADVERTISING - 0.0%
Outdoor Systems, Inc. 10 3/4%, 8/15/03 B2 520 520 690057AA
TECHNOLOGY - 0.1%
COMPUTERS & OFFICE EQUIPMENT - 0.1%
Unisys Corp. 9 3/4%, 9/15/96 Ba3 2,000 2,088 909214AY
CORPORATE BONDS - CONTINUED
MOODY'S RATINGS (D) PRINCIPAL VALUE (NOTE 1)
AMOUNT (C) (000S) (000S)
NONCONVERTIBLE BONDS - CONTINUED
TECHNOLOGY - CONTINUED
ELECTRONICS - 0.0%
Berg Electronics 11 3/8%, 5/1/03 B3 $ 280 $ 288 083727AB
TOTAL TECHNOLOGY 2,376
TRANSPORTATION - 0.2%
RAILROADS - 0.1%
Southern Pacific Rail Corp. 9 3/8%,
8/15/05 Ba3 2,235 2,218 843584AA
Transtar Holding Corp. 13 3/8%,
12/15/03 (e)(g) - 2,050 1,025 89388QAA
3,243
SHIPPING - 0.1%
Eletson Holdings, Inc. 9 1/4%, 11/15/03 Ba2 210 206 286204AA
International Shipholding Corp. 9%, 7/1/03 B1 225 212 460321AA
Sea Containers Ltd. 9 1/2%, 7/1/03 Ba3 1,190 1,131 811371AD
1,549
TOTAL TRANSPORTATION 4,792
UTILITIES - 0.6%
CELLULAR - 0.3%
Cencall Communications Corp. 0%, 1/15/04 Caa 3,270 1,929 151297AB
Centennial Cell Corp. 8 7/8%, 11/1/01 B 570 530 15133VAA
Nextel Communications, Inc.,
9 3/4%, 8/15/04 (e) B3 5,800 3,466 65332VAB
Paging Network, Inc. 8 7/8%, 2/1/06 B2 1,010 939 695542AB
6,864
ELECTRIC UTILITY - 0.0%
AES Corp. 9 3/4%, 6/15/00 Ba2 1,250 1,286 00130HAB
CORPORATE BONDS - CONTINUED
MOODY'S RATINGS (D) PRINCIPAL VALUE (NOTE 1)
AMOUNT (C) (000S) (000S)
NONCONVERTIBLE BONDS - CONTINUED
UTILITIES - CONTINUED
TELEPHONE SERVICES - 0.3%
MFS Communications 0%, 1/15/04 B3 $ 12,985 $ 7,629 55272TAA
TOTAL UTILITIES 15,779
TOTAL NONCONVERTIBLE BONDS 251,770
TOTAL CORPORATE BONDS
(Cost $283,920) 273,428
U.S. TREASURY OBLIGATIONS - 0.4%
U.S. Treasury Bills, yields at date of purchase
2.93% to 3.62%, 4/7/94 to 7/7/94 (h)
(Cost $11,900) - 11,965 11,900
FOREIGN GOVERNMENT OBLIGATIONS - 9.1%
Argentina Republic:
BOCON 3.6875% 4/1/01 (i) B1 28,821 19,971 039995AF
Brady euro:
4 1/4%, 3/31/23 B1 83,100 43,108 039995AD
5%, 3/31/05 (g) - 123 87 039995AT
5%, 3/31/05 - 10,000 7,088 039995AU
Province of Chaco 11 7/8%, 9/10/97 (f) - 1,100 1,103 74399JAA
Brazilian Federative Republic IDU euro
8 3/4%, 1/1/01 B2 30,195 21,476 1057569E
Danish Government 7%, 12/15/04 Aa1 DKK 279,950 42,733 249998AV
French Government OAT 8 1/2%, 4/25/03 Aaa FRF 104,680 20,848 351996AQ
Mexican Government:
Brady 6 1/4%, 12/31/19 Ba3 109,750 76,002 597998MM
Cetes 0%, 6/16/94 - MXN 7,100 2,062 597998US
Minas Gerais State:
7.718%, 2/10/99 (1,000 bonds and 500
stock warrants) (g) - 1,250 1,195 602517AA
8 1/4%, 2/10/00 (1,000 bonds and 500
stock warrants) (g) - 1,500 1,419 602517AC
FOREIGN GOVERNMENT OBLIGATIONS - CONTINUED
MOODY'S RATINGS (D) PRINCIPAL VALUE (NOTE 1)
AMOUNT (C) (000S) (000S)
New Zealand Government 8%, 4/15/04 Aa3 NZD 15,000 $ 9,246 6501629K
TOTAL FOREIGN GOVERNMENT OBLIGATIONS
(Cost $270,718) 246,338
MUNICIPAL SECURITIES - 0.0%
Louisiana Agricultural Financial Authority
agricultural revenue, 8 1/4%, 10/1/96 (b) D 669 433 546418AB
Louisiana Housing Financial Agency mortgage
revenue, 8.61%, 8/1/96 (b) D 180 117 546265PL
TOTAL MUNICIPAL SECURITIES
(Cost $597) 550
OTHER SECURITIES - 7.9%
INDEXED SECURITIES - 7.0%
AIG Matched Funding Corp. note:
3.5862%, 9/14/94 (coupon inversely
indexed to HELIBOR and principal indexed
to value of 2-year Finnish securities, both
multiplied by 6) (j) 2,000 1,840 012994AK
4.4655%, 9/16/94 (coupon inversely
indexed to HELIBOR and principal indexed
to value of 3-year Finnish securities, both
multiplied by 6) (j) 700 625 012994AJ
Bankers Trust Company note:
3.1875%, 5/6/94 (indexed to corn price) 725 655 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) (j) 550 545 0669918F
10.514%, 9/2/94 (coupon inversely indexed
to HELIBOR and principal indexed to value of
3-year Finnish securities,
both multiplied by 4) (j) 600 548 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
multipied by 13) (j) 2,100 1,718 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) (j) 1,200 1,029 0669918X
OTHER SECURITIES - CONTINUED
PRINCIPAL VALUE (NOTE 1)
AMOUNT (C) (000S) (000S)
INDEXED SECURITIES- CONTINUED
Bankers Trust Company note - continued
2.0186%, 11/3/94 (coupon inversely indexed
to HELIBOR and principal indexed to value of
2-year Finnish securities,
both multiplied by 8) (j) $ 1,200 $ 1,102 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) (j) 600 549 0669918Y
2.232%, 11/9/94 (coupon inversely indexed
to HELIBOR and principal indexed to value of
2-year Finnish securities,
both multiplied by 8) (j) 900 805 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) (j) 500 434 0669919C
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) (j) 3,100 2,837 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) (j) 1,600 1,382 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) (j) 1,200 1,174 0669919G
3.282%, 12/5/94 (coupon inversely indexed
to value of HELIBOR and principal indexed to
value of 2-year Finnish securities, both multiplied
by 8) (j) 1,100 920 0669919H
2.77%, 12/6/94 (coupon inversely indexed to
HELIBOR and principal indexed to value of
2-year Finnish securities,
both multiplied by 8) (j) 500 418 0669919J
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) (j) 1,800 1,136 0669919L
3.09%, 12/7/94 (coupon inversely indexed to
HELIBOR and principal indexed to value of
2-year Finnish securities,
both multiplied by 8) (j) 700 585 0669919K
OTHER SECURITIES - CONTINUED
PRINCIPAL VALUE (NOTE 1)
AMOUNT (C) (000S) (000S)
INDEXED SECURITIES - CONTINUED
Bankers Trust Company note - continued
0%, 12/8/94 (coupon inversely indexed to
ITL LIBOR and principal indexed to value of
2-year Italian securities, both multiplied by 8) (j) $ 1,300 $ 1,310
0669919N
3.125%, 12/8/94 (coupon inversely indexed to
HELIBOR and principal indexed to value of
2-year Finnish securities, both multiplied by 8) (j) 1,100 922
0669919M
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) (j) 2,700 1,850 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) (j) 1,600 1,521 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) (j) 6,300 5,635
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) (j) 4,100 3,547 06699DAT
10.8%, 3/3/95 (coupon inversely indexed to
HELIBOR and principal indexed to value of
2-year Finnish securities,
both multiplied by 8) (j) 5,500 4,209 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) (j) 3,000 2,532 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) (j) 1,700 1,466 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) (j) 4,000 3,610 223991BA
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) (j) 1,200 735 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) (j) 2,000 1,974
223991BJ
OTHER SECURITIES - CONTINUED
PRINCIPAL VALUE (NOTE 1)
AMOUNT (C) (000S) (000S)
INDEXED SECURITIES - CONTINUED
Citibank Nassau - continued
7.315%, 12/8/94 (coupon inversely indexed to
GBP LIBOR and principal indexed to value of
2-year United Kingdom securities, both
mulitiplied by 10) (j) $ 2,400 $ 1,622 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) (j) 1,500 116 223991BV
0%, 3/3/95 (coupon inversely indexed to
ITL LIBOR and principal indexed to value of
2-year Italian securities, both mulitiplied by 8) (j) 11,600 10,612
223991CC
0%, 3/3/95 (coupon inversely indexed to
STIBOR and principal indexed to 2-year
Swedish securities, both multiplied by 9) (j) 2,300 1,706 223991CB
7.775%, 3/3/95 (coupon inversely
indexed to JPY LIBOR and principal indexed to
value of 2-year Japanese securities, both
mulitiplied by 6) (j) 5,200 4,980 223991CE
8.055%, 3/3/95 (coupon inversely indexed to
GBP LIBOR and principal indexed to
value of 1-year United Kingdom
securities, both mulitiplied by 10) (j) 8,200 7,134 223991CF
0%, 3/7/95 (coupon inversely indexed to
ITL LIBOR and principal indexed to value of
2-year Italian securities, both mulitiplied by 8) (j) 4,900 4,782
223991CH
Disney Corp. note 6.9386%, 12/9/94 (inversely indexed
to 6-month GBP swap rate, multiplied by 10) (i) 3,100 2,127 25469HBF
du Pont (E.I.) de Nemours & Co. :
7.2192%, 3 /8/95 (coupon inversely indexed
to GBP LIBOR and principal indexed to value
of 1-year United Kingdom securities, both
multiplied by 10) (j) 4,200 3,650 26353L9C
0%, 3/8/95 (coupon inversely indexed to
STIBOR and principal indexed to value of
2-year Swedish securities,
both multiplied by 9) (j) 3,200 2,326 26353L9B
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) (j) 3,300 2,636 29101LAR
Finnish Export Credit note 4.45%, 4/15/96
(indexed to spot minus 12-month oil futures
prices, based on 30 bbl. per $100 par) 2,000 1,140 31899HAD
OTHER SECURITIES - CONTINUED
PRINCIPAL VALUE (NOTE 1)
AMOUNT (C) (000S) (000S)
INDEXED SECURITIES- CONTINUED
Goldman Sachs Group, L.P. note:
(indexed to aluminum price) 3.299%, 8/19/94 $ 2,100 $ 2,345 540992BA
(indexed to cattle price)
3.187%-3.346%, 8/19/94 11,175 11,144 540992BS
(indexed to cocoa price)
3.0812%-3.1859%, 4/20/94 210 197 540992AB
(indexed to coffee price)
3.18%-3.1859%, 4/20/94 430 445 540992AN
(indexed to corn price)
3.1%-3.11%, 5/6/94 3,650 3,226 540992BD
(indexed to cotton price)
3.288%-3.346%, 8/19/94 3,050 3,373 540992BK
(indexed to crude oil price)
3.11%-3.49%, 4/27/94 11,490 11,103 540992CW
(indexed to gold price)
3.2198%-3.2235%, 8/19/94 1,400 1,405 540992AE
(indexed to heating oil price)
3.028%-3.11%, 4/27/94 7,995 8,387 540992BN
(indexed to hog price)
3.215%-3.934%, 8/19/94 6,790 6,678 540992BP
(indexed to lead price)
3.2235%-3.683%, 8/19/94 735 692 38142T9M
(indexed to natural gas price)
3.028%-3.069%, 4/27/94-5/25/94 10,730 11,068 540992BQ
(indexed to nickel price)
3.21%-3.543%, 8/19/94 510 507 540992AG
(indexed to oil price) 3.26%, 8/18/94 550 545 540992AF
(indexed to platinum price)
3.2198%-3.2235%, 8/19/94 210 229 540992AC
(indexed to silver price)
3.732%-4.3%, 7/7/94-12/22/94 563 569 540992CP
(indexed to soybean price)
3.21%-3.2576%, 7/5/94 3,500 3,405 38142T9K
(indexed to unleaded gasoline price)
3.1%-3.8%, 4/27/94-7/14/94 15,257 15,418 540992BG
(indexed to wheat price)
3.18%-3.61%, 7/1/94-8/19/94 4,130 3,934 540992CL
(indexed to zinc price)
3.2235%-3.5464%, 8/19/94 1,080 1,005 38142T9N
3 1/2%, 8/31/94 (inversely indexed to 1-month
and 12-month CAD Banker's Acceptance rates,
both multiplied by 11) (j) 4,000 3,648 38142T9G
OTHER SECURITIES - CONTINUED
PRINCIPAL VALUE (NOTE 1)
AMOUNT (C) (000S) (000S)
INDEXED SECURITIES - CONTINUED
Goldman Sachs Group, L.P. note - continued
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) (j) $ 3,000 $ 2,403 38142T9H
ITT Corp. 3.66%, 6/27/94 (inversely indexed to
1-year SEK swap rate, multiplied by 10) 1,000 1,001 4506799M
Morgan Guaranty Trust Co. cert. of dep.:
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) (j) 1,500 272 61799KAH
0%, 8/22/94 (indexed to $481 par of Westport
Investments Ltd. sr. notes, collateralized by Mexican
gov't. securities, per $100 par) 1,124 1,112 61799FAF
Republic National Bank of New York note 0%,
3/17/95 (coupon inversely indexed to HELIBOR
and principal indexed to value of 2-year
Finnish securities, both multiplied by 8) (j) 3,600 2,822 7609905M
Sara Lee Corp. 0%, 11/4/94 (inversely indexed
to ITL LIBOR and principal indexed to 2-year
Italian securities, both mulltiplied by 8) (j) 1,000 869 8031119V
188,246
PURCHASED BANK DEBT - 0.9%
Empressa de Electricidad del Peru SA loan
participation 0% (a) 2,500 1,013 28599BAA
Federal Republic of Brazil loan participation under
Multi-Year Deposit Facility Agreement 4.375% (i)(k) 10,250 4,689
1057569F
Federal Republic of Brazil loan participation under
Res. 4131 4.375% (i)(k) 3,250 1,519 1057569G
Republic of Ecuador loan participation thru
Kidder Peabody Emerging Markets Inc. 0%,
8/15/06 (a) 24,000 12,240 88399HAA
Republic of Panama loan participation 0% (a) 3,500 1,837 6982999A
Republic of Panama loan participation under
refinancing agreement 0% (a) 1,750 919 6982999B
Republic of Peru loan participation 0% (a) 2,250 990 7156389A
Republic of Peru loan participation refinanced
under 1983 credit agreement (a) 1,750 805 7156389B
24,012
TOTAL OTHER SECURITIES
(Cost $239,942) 212,258
COMMERCIAL PAPER - 0.3%
PRINCIPAL VALUE (NOTE 1)
AMOUNT (C) (000S) (000S)
Banco Nacional De Mexico SA 0%, 12/8/94 MXN 22,200 $ 6,071 0596179M
Nacional Financiera SNC 0%, 5/4/94 MXN 5,589 1,645 66299CAQ
TOTAL COMMERCIAL PAPER (Cost $8,187) 7,716
REPURCHASE AGREEMENTS - 25.1%
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 (Note 3) $ 681,677 $ 681,406
TOTAL INVESTMENT IN SECURITIES - 100%
(Cost $2,727,885) $ 2,712,015
FUTURES CONTRACTS
AMOUNT IN THOUSANDS EXPIRATION UNDERLYING FACE UNREALIZED
DATE AMOUNT AT VALUE GAIN/(LOSS)
PURCHASED
2,590 Midcap 400 Stock Index Contracts June, 1994 $ 236,716 $ (13,340)
THE VALUE OF FUTURES CONTRACTS PURCHASED AS A PERCENTAGE OF TOTAL
INVESTMENT IN SECURITIES - 8.7%
FORWARD FOREIGN CURRENCY CONTRACTS
AMOUNTS IN THOUSANDS SETTLEMENT UNREALIZED
DATE(S) VALUE GAIN/(LOSS)
CONTRACTS TO SELL
5,527,818 BEF 4/12/94 to 5/10/94 $ 160,043 $ (8,980)
310,419 DKK 5/10/94 47,030 (2,030)
448,495 FRF 5/24/94 78,165 (2,243)
3,436,192 JPY 4/21/94 33,502 (2,477)
TOTAL CONTRACTS TO SELL
(Receivable amount $303,010) $ 318,740 $ (15,730)
THE VALUE OF CONTRACTS TO SELL AS A PERCENTAGE OF TOTAL INVESTMENT IN
SECURITIES - 11.8%
CURRENCY ABBREVIATIONS
BEF - Belgian franc
BRC - Brazilain cruzeiro
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 $ 262,500
GACC Holding Co.
9 3/4%, 3/1/04 2/3/94 $3,809,325
Province of Chaco,
Argentina 11 7/8%,
9/10/97 3/9/94 $1,130,097
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 $73,726,000 or 2.7% 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 $11,400,000.
9. The coupon rate shown on floating or adjustable rate securities
represents the rate at period end.
10. 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.
11. 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 2.7% AAA, AA, A 2.7%
Baa 0.0% BBB 0.3%
Ba 4.4% BB 4.0%
B 8.2% B 4.3%
Caa 0.1% CCC 0.2%
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 4.4% including long-term debt
categorized as other securities.
Distribution of investments by country, as a percentage of total value of
investment in securities, is as follows:
United States 68.9%
Mexico 9.0
Argentina 3.4
United Kingdom 2.9
Brazil 2.2
Japan 2.1
France 1.7
Denmark 1.6
Korea 1.6
Canada 1.5
Italy 1.0
Others (individually less than 1%) 4.1
TOTAL 100.0%
INCOME TAX INFORMATION
At March 31, 1994, the aggregate cost of investment securities for income
tax purposes was $2,728,155,000. Net unrealized depreciation aggregated
$16,140,000, of which $31,000 related to appreciated investment securities
and $16,171,000 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 (UNAUDITED)
ASSETS
Investment in securities, at value (including repurchase $ 2,712,015
agreements of $681,406) (cost $2,727,885) (Notes 1,
2 and 3) - See accompanying schedule
Short foreign currency contracts (Note 2) $ (318,740)
Contracts held, at value
Receivable for contracts held 303,010 (15,730)
Receivable for investments sold 46,930
Receivable for fund shares sold 24,267
Dividends receivable 3,357
Interest receivable 12,941
TOTAL ASSETS 2,783,780
LIABILITIES
Payable to custodian bank 600
Payable for investments purchased 34,573
Payable for fund shares redeemed 56,322
Accrued management fee 1,921
Other payables and accrued expenses 1,260
TOTAL LIABILITIES 94,676
NET ASSETS $ 2,689,104
Net Assets consist of (Note 1):
Paid in capital $ 2,662,311
Undistributed net investment income 27,552
Accumulated undistributed net realized gain (loss) on 44,181
investments
Net unrealized appreciation (depreciation) on:
Investment securities (15,870)
Foreign currency contracts (15,730)
Futures contracts (13,340)
NET ASSETS, for 197,272 shares outstanding $ 2,689,104
NET ASSET VALUE, offering price and redemption price per $13.63
share ($2,689,104 (divided by) 197,272 shares)
</TABLE>
STATEMENT OF OPERATIONS
<TABLE>
<CAPTION>
<S> <C> <C>
AMOUNTS IN THOUSANDS SIX MONTHS ENDED MARCH 31, 1994 (UNAUDITED)
INVESTMENT INCOME $ 9,021
Dividends
Interest (Note 6) 25,735
TOTAL INCOME 34,756
EXPENSES
Management fee (Note 5) $ 7,507
Transfer agent fees (Note 5) 3,070
Accounting fees and expenses (Note 5) 338
Non-interested trustees' compensation 5
Custodian fees and expenses 724
Registration fees 192
Audit 49
Legal 7
Interest (Note 7) 1
Miscellaneous 8
Total expenses before reductions 11,901
Expense reductions (Note 8) (8) 11,893
NET INVESTMENT INCOME 22,863
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
(NOTES 1, 2 AND 4)
Net realized gain (loss) on:
Investment securities 81,568
Foreign currency contracts (10,064)
Futures contracts 1,757 73,261
Change in net unrealized appreciation (depreciation) on:
Investment securities (108,069)
Foreign currency contracts 3,963
Futures contracts (15,323) (119,429)
NET GAIN (LOSS) (46,168)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM $ (23,305)
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, 1994 1993
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations $ 22,863 $ 17,089
Net investment income
Net realized gain (loss) on investments 73,261 30,742
Change in net unrealized appreciation (depreciation) (119,429) 73,340
on investments
NET INCREASE (DECREASE) IN NET ASSETS RESULTING (23,305) 121,171
FROM OPERATIONS
Distributions to shareholders (9,726) (2,495)
From net investment income
From net realized gain (55,095) (1,331)
TOTAL DISTRIBUTIONS (64,821) (3,826)
Share transactions 2,434,108 1,311,090
Net proceeds from sales of shares
Reinvestment of distributions from: 9,550 2,457
Net investment income
Net realized gain 54,337 1,314
Cost of shares redeemed (963,808) (283,579)
Net increase (decrease) in net assets resulting from 1,534,187 1,031,282
share transactions
TOTAL INCREASE (DECREASE) IN NET ASSETS 1,446,061 1,148,627
NET ASSETS
Beginning of period 1,243,043 94,416
End of period (including undistributed net investment $ 2,689,104 $ 1,243,043
income of $27,552 and $15,814, respectively)
OTHER INFORMATION
Shares
Sold 170,342 103,809
Issued in reinvestment of distributions from: 690 212
Net investment income
Net realized gain 3,923 113
Redeemed (67,927) (22,351)
Net increase (decrease) 107,028 81,783
</TABLE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
<S> <C> <C> <C>
SIX MONTHS YEAR ENDED DECEMBER 30,
ENDED SEPTEMBER 30, 1991
MARCH 31, 1993 (COMMENCEMENT
(UNAUDITED) OF
OPERATIONS) TO
SEPTEMBER 30,
1992
SELECTED PER-SHARE DATA
Net asset value, beginning of period $ 13.77 $ 11.16 $ 10.00
Income from Investment Operations
Net investment income .06 .18 .14
Net realized and unrealized gain (loss) .40(dagger)(dagger) 2.66 1.02
on investments
Total from investment operations .46 2.84 1.16
Less Distributions
From net investment income (.09) (.15) -
From net realized gain (.51) (.08) -
Total distributions (.60) (.23) -
Net asset value, end of period $ 13.63 $ 13.77 $ 11.16
TOTAL RETURN (dagger) (double dagger) 3.27% 25.83% 11.60%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period (000 omitted) $ 2,689,104 $ 1,243,043 $ 94,416
Ratio of expenses to average net assets 1.18%* 1.19% 1.64%*
**
Ratio of expenses to average net assets 1.18%* 1.29% 1.64%*
before expense reductions **
Ratio of net investment income to 2.27%* 3.02% 3.50%*
average net assets
Portfolio turnover rate 113%* 97% 693%*
</TABLE>
* ANNUALIZED
** EFFECTIVE NOVEMBER 1, 1992, FMR HAS VOLUNTARILY AGREED TO REIMBURSE THE
FUND FOR TOTAL OPERATING EXPENSES (EXCLUDING INTEREST, TAXES, BROKERAGE
COMMISSIONS AND EXTRAORDINARY EXPENSES) ABOVE AN ANNUAL RATE OF 1.20% OF
AVERAGE NET ASSETS.
(dagger) TOTAL RETURNS FOR PERIODS OF LESS THAN ONE YEAR ARE NOT
ANNUALIZED.
(double dagger) THE TOTAL RETURNS WOULD HAVE BEEN LOWER HAD THE ADVISER NOT
REIMBURSED CERTAIN EXPENSES DURING THE PERIODS FOR WHICH THE FUND WAS UNDER
REIMBURSEMENT.
(dagger)(dagger) 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 PURCHASES 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 (Unaudited)
1. SIGNIFICANT ACCOUNTING
POLICIES.
Fidelity Asset Manager: Growth (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.
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.
1. SIGNIFICANT ACCOUNTING
POLICIES - CONTINUED
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
futures and options transactions, foreign currency transactions, market
discount and losses deferred due to wash sales and futures and options. 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 $411,000, a decrease in
undistributed net investment income of $169,000 and a decrease in
accumulated net realized gain on investments of $242,000.
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 arise due to
changes in the value of the foreign currency or if the counterparty does
not perform under the contract.
2. OPERATING POLICIES -
CONTINUED
FORWARD FOREIGN CURRENCY
CONTRACTS - CONTINUED
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 (SEC), 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.
INTERFUND LENDING PROGRAM. Pursuant to an Exemptive Order issued by the
SEC, the fund, along with other registered investment companies having
management contracts with FMR, may participate in an interfund lending
program. This program provides an alternative credit facility allowing the
fund to borrow from, or lend money to, other participating funds.
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.
2. OPERATING POLICIES -
CONTINUED
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.
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 $8,450,000 or 0.3% of net assets.
3. JOINT TRADING ACCOUNT.
At the end of the period, the fund had 20% or more of its total investments
in repurchase agreements through a joint trading account. These repurchase
agreements were with entities whose creditworthiness has been reviewed and
found satisfactory by FMR. The repurchase agreements were dated March 31,
1994 and due April 4, 1994. The maturity values of the joint trading
account investments were $681,677,000 at 3.58%. The investments in
repurchase agreements through the joint trading account are summarized as
follows:
SUMMARY OF JOINT TRADING ACCOUNT
AMOUNT IN THOUSANDS
MAXIMUM
AMOUNT AGGREGATE AGGREGATE AGGREGATE
NO. OF WITH ONE PRINCIPAL MATURITY MARKET COUPON MATURITY
DEALERS DEALER AMOUNT OF AMOUNT OF VALUE OF RATES OF DATES OF
OR BANKS OR BANK AGREEMENTS AGREEMENTS COLLATERAL COLLATERAL COLLATERAL
3 7/8% - 4/7/94 -
21 19.1% $10,972,419 $10,976,786 $11,265,621 14 1/4% 8/15/23
4. PURCHASES AND SALES OF
INVESTMENTS.
Purchases and sales of securities, other than short-term securities,
aggregated $1,705,179,000 and $926,621,000, respectively.
The market value of futures contracts opened and closed amounted to
$930,184,000 and $806,382,000, respectively.
5. 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
.75% 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 FEE. FSC, an affiliate of FMR, maintains the fund's accounting
records. The 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 $291,000 for the period.
6. INTERFUND LENDING PROGRAM.
The fund participated in the interfund lending program as a lender. The
maximum loan and the average daily loan balances during the periods for
which loans were outstanding amounted to $24,687,000. The weighted average
interest rate was 3.6%. Interest earned from the interfund lending program
amounted to $2,000 and is included in interest income on the Statement of
Operations.
7. BANK BORROWINGS.
The fund is permitted to have bank borrowings for temporary or emergency
purposes to fund shareholder redemptions. The fund has established
borrowing arrangements with certain banks. Under the most restrictive
arrangement, the fund must pledge to the bank securities having a market
value in excess of 220% of the total bank borrowings. The interest rate on
the borrowings is the bank's base rate, as revised from time to time. The
maximum loan and the average daily loan balances during the periods for
which loans were outstanding amounted to $12,140,000. The weighted average
interest rate was 3.7%.
8. 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
$8,000 under this arrangement.
INVESTMENT ADVISER
Fidelity Management & Research
Company
Boston, MA
INVESTMENT SUB-ADVISERS
Fidelity Management & Research
(U.K.) Inc. (FMR U.K.)
Fidelity Management & Research
(Far East) Inc. (FMR Far East)
FMR Texas Inc. (FMR Texas)
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
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.)
Tax Reporting 1-800-544-1877
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
