[LOGO OF PUTNAM INVESTMENTS]
Lincoln National
Global Asset
Allocation Fund, Inc.
Semi-Annual Report
June 30, 1999
<PAGE>
Lincoln National
Global Asset Allocation Fund, Inc.
Index
Commentary
Statement of Net Assets
Statement of Operations
Statements of Changes in Net Assets
Financial Highlights
Notes to Financial Statements
<PAGE>
Lincoln National
Global Asset Allocation Fund, Inc.
Managed by: [LOGO OF PUTNAM INVESTMENTS]
The Fund had a return of 3.5% during the six months ended June 30, 1999 while
its customized benchmark (50% S&P 500 Index; 20% Lehman Brothers Aggregate Bond
Index; 15% Morgan Stanley EAFE Index; 10% Salomon Brothers World Government Bond
Index; 5% 90 day T-Bill) returned 5.4%.
The global disinflationary environment of the past few years has led to lower
interest rates and higher stock prices. A rebound in global economic growth in
the first half of 1999 has rekindled inflation worries, excessively so, in our
opinion.
The U.S. stock market rose 12.2%, as measured by the S&P 500 Index, while
non-U.S. markets, as measured by the Morgan Stanley EAFE Index rose 4.1%. A
broad recovery in economic growth and corporate profitability in Asian markets
helped propel international equities higher.
The U.S. market's first-quarter advance was dominated by large-cap growth
stocks. In the second quarter, stronger global growth, coupled with higher
interest rates led investors to sell large-cap growth stocks in favor of
value-oriented stocks as well as mid- and small-cap stocks.
In the first quarter, European stock markets rallied with a corresponding rise
in consumer confidence. However, a weak euro further restrained EMU markets in
the second quarter. The euro has declined 12.2% against the U.S. dollar since
its launch in January. The German economy has disappointed while the economies
of France, Spain, and the Netherlands were healthier and the United Kingdom's
soft landing appeared on track.
Looking ahead, signs of accelerated global growth and higher profits favor value
over growth stocks worldwide. The U.S. stock market, although in our view
overvalued, has pockets of opportunity in small-cap and value stocks; Europe and
the emerging markets offer good opportunities but Japan does not. Global
fixed-income markets appear fairly valued.
William Landes, Ph.D
Global Asset Allocation Fund 1
<PAGE>
Lincoln National
Global Asset Allocation Fund, Inc.
Statement of Net Assets - Unaudited
June 30, 1999
Investments:
Par Market
Long-Term Debt Investments: Amount** Value
- ----------------------------------------------------------------------------
U.S. Government and Agency Obligations: 11.9%
Federal Home Loan Mortgage Corporation
8.50%, 7/1/28 $ 448,975 $ 470,582
6.50%, 4/1/29 368,259 356,291
Federal National Mortgage Association
5.75%, 4/15/03 620,000 614,133
7.50%, 7/1/07 214,372 218,860
7.00%, 1/1/08 196,635 198,048
6.00%, 5/15/08 1,450,000 1,411,066
7.00%, 2/1/09 626,185 631,273
7.50%, 1/1/11 147,102 149,952
7.00%, 3/1/11 21,129 21,301
7.00%, 10/1/11 716,391 721,540
5.50%, 1/1/12 572 544
7.50%, 3/1/13 733,021 745,390
6.00%, 2/1/13 32,178 31,122
6.00%, 5/1/13 222,288 214,994
6.00%, 9/1/13 397,910 384,356
6.00%, 10/1/13 1,661,785 1,605,180
7.00%, 10/1/13 467,620 469,519
6.00%, 12/1/13 308,272 297,772
7.00%, 2/25/23 310,727 289,473
8.50%, 12/1/24 375,018 392,832
6.98%, 7/1/25 40,637 41,679
8.00%, 3/1/26 47,944 49,367
8.00%, 8/1/26 808,743 832,753
8.50%, 11/1/26 560,112 586,892
8.50%, 10/1/27 128,773 134,568
6.50%, 2/1/28 345,168 333,950
6.50%, 6/1/28 410,359 396,894
6.50%, 7/1/28 440,329 425,743
6.50%, 7/1/28 265,659 256,859
6.50%, 7/1/28 120,946 116,939
6.50%, 8/1/28 536,002 518,247
6.50%, 8/1/28 481,985 466,019
6.50%, 9/1/28 577,508 558,378
6.50%, 2/1/29 403,517 389,898
6.50%, 2/1/29 419,511 405,221
6.50%, 6/1/29 612,930 591,669
6.50%, 6/1/29 1,006,226 971,951
6.50%, 6/1/29 551,060 532,290
Government National Mortgage Association
10.00%, 6/15/13 287,405 313,272
11.00%, 12/15/155 3,607 3,993
11.00%, 12/15/15 26,970 29,860
11.00%, 12/15/15 47,080 52,126
9.00%, 12/15/16 334,009 354,884
9.50%, 12/15/17 299,169 322,635
7.50%, 1/15/23 129,856 132,209
6.50%, 6/15/23 18,295 17,775
7.50%, 8/15/23 519,834 528,444
7.50%, 8/15/23 72,458 73,681
6.50%, 9/15/23 499,928 485,398
7.50%, 9/15/23 298,349 303,291
7.00%, 4/15/24 304,240 301,863
10.00%, 3/15/25 441,183 480,890
8.00%, 8/15/25 217,152 223,327
7.00%, 4/15/26 223,042 221,160
8.00%, 8/15/26 873,059 900,615
8.00%, 8/15/26 115,285 118,924
7.00%, 10/15/26 222,893 220,315
8.00%, 1/15/27 101,208 104,370
7.50%, 5/16/27 1,100,000 1,116,963
8.00%, 7/15/27 786,482 810,322
7.00%, 10/15/27 217,997 215,885
8.00%, 10/15/27 47,652 49,066
6.50%, 3/15/28 352,499 339,721
7.00%, 3/15/28 304,700 301,463
6.50%, 11/15/28 69,538 66,974
Par Market
U.S. Gov't. and Agency Obligations (Cont.) Amount** Value
- ----------------------------------------------------------------------------
6.50%, 1/15/29 $ 163,864 $ 157,821
6.50%, 1/15/29 33,422 32,190
6.50%, 3/15/29 175,846 169,362
Government National Mortgage Association TBA
8.00%, 5/15/29 (1,480,000) (1,520,238)
U.S. Treasury Bill (+)
4.56%, 9/16/99 3,135,000 3,104,960
U.S. Treasury Bond
6.38%, 8/15/27 160,000 163,906
6.13%, 11/15/27 2,375,000 2,357,412
5.25%, 11/15/28 1,110,000 983,100
5.25%, 2/15/29 3,415,000 3,066,293
U.S. Treasury Note
4.50%, 9/30/00 1,385,000 1,370,530
4.63%, 12/31/00 6,075,000 6,006,421
5.00%, 2/28/01 615,000 610,700
4.88%, 3/31/01 2,460,000 2,435,701
5.25%, 8/15/03 5,925,000 5,810,800
4.25%, 11/15/03 1,810,000 1,704,905
4.75%, 2/15/04 915,000 877,256
5.25%, 5/15/04 365,000 359,136
6.13%, 8/15/07 80,000 80,885
5.63%, 5/15/08 2,485,000 2,434,772
4.75%, 11/15/08 3,000,000 2,754,129
5.50%, 5/15/09 1,715,000 1,679,129
- ----------------------------------------------------------------------------
59,562,141
Asset Backed: 2.6%
- ----------------------------------------------------------------------------
Advanta 1997 A-7
6.63%, 1/25/29 615,000 608,033
Advanta Mortgage Loan Trust
6.69%, 4/25/17 595,000 592,919
7.05%, 5/25/21 422,212 424,793
Amres 97-3A3
6.60%, 1/25/18 250,050 249,737
CMAC 1997-ML1 A2
6.57%, 12/15/30 45,000 44,311
Capital Equipment Receivables Trust
6.28%, 6/15/00 123,344 123,481
Collateralized Mortgage Obligations
9.00%, 11/20/20 1,176,626 1,225,363
Commercial Mortgage Acceptance Corporation
Series 1998-C2 A1
5.80%, 3/15/06 127,655 123,047
5.80%, 9/1/30 7,565 7,292
Federal National Mortgage Association-89-71-J
8.50%, 10/25/19 755,000 790,472
First Union - Lehman Brothers - Bank of America
Series 1998-C2 Class A1
6.28%, 6/18/07 552,473 543,752
First Union - Lehman Brothers - Bank of America
Series 1998-C2 Class A2
6.56%, 11/18/08 155,000 151,537
Freddie Mac
7.50%, 11/15/22 685,000 694,673
GE Electric Mortgage Services
Series 1996-HE2 Class A4
7.65%, 3/25/12 165,000 164,723
GMAC Commercial Mortgage Securities
Series 1998-C2 A1
6.15%, 11/15/07 415,465 407,501
GMAC Commercial Mortgage Securities
Series 1999-C1 A2
6.18%, 5/15/33 725,000 687,844
General Motors Acceptance Corporation
6.42%, 5/15/31 388,180 375,731
General Motors Acceptance Corporation
Series 1999-C1 Class A1
5.83%, 5/15/33 146,516 141,380
Green Tree Recreational
Series 1998-A A1C
6.18%, 6/15/19 559,487 555,969
Greentree Series 1998-2 A5
6.24%, 3/18/28 870,000 867,043
Green Tree Financial 1997-2 A6
7.24%, 4/15/28 540,000 531,215
Greentree 97-B A1
6.55%, 7/15/28 474,713 478,998
Global Asset Allocation Fund 2
<PAGE>
Par Market
Asset Backed (Cont.) Amount** Value
- ----------------------------------------------------------------------------
Independent National Mortgage Corporation
Series 1994-V A1
8.11%, 12/25/24 $ 109,129 $ 109,164
Merrill Lynch Mortgage Investors
6.54%, 12/10/29 985,000 956,220
6.22%, 2/15/30 190,496 187,282
Morgan Stanley Capital I
7.23%, 1/16/06 560,000 564,288
Morgan Stanley Capital I
Series 1998-WF2 Class A2
6.54%, 5/15/08 155,000 151,706
Mortgage Capital Funding
Series 1998-MC1 Class A1
6.42%, 6/18/07 310,726 307,953
PBHET 97-4 A3
6.91%, 1/25/29 190,000 188,523
PNC Mortgage Securities
6.60%, 7/25/27 221,860 223,247
The Money Store Home Equity Trust
Series 1996-A Class A5
6.85%, 6/15/19 273,496 274,826
- ----------------------------------------------------------------------------
12,753,023
Aerospace & Defense: 0.3%
- ----------------------------------------------------------------------------
Aro-Tech
8.63%, 10/1/07 30,000 28,950
BE Aerospace
9.88%, 2/1/06 45,000 45,900
8.00%, 3/1/08 125,000 118,750
9.50%, 11/1/08 20,000 20,250
Boeing
6.63%, 2/15/38 505,000 452,606
Continental Airlines
9.50%, 12/15/01 175,000 182,875
Derlan Manufacturing
10.00%, 1/15/07 50,000 48,000
K & F Industries
9.25%, 10/15/07 15,000 15,469
L-3 Communications
10.38%, 5/1/07 20,000 21,200
8.00%, 8/1/08 20,000 20,025
Lockheed Martin
7.25%, 5/15/06 410,000 411,538
Sequa
9.38%, 12/15/03 5,000 5,156
- ----------------------------------------------------------------------------
1,370,719
Automobile & Auto Parts: 0.5%
- ----------------------------------------------------------------------------
Aftermarktet Tech
12.00%, 8/1/04 90,000 94,725
Argo-Tech
8.63%, 10/1/07 10,000 9,650
DaimlerChrysler
7.45%, 2/1/2097 170,000 169,363
Delphi Automotive Systems
6.13%, 5/1/04 450,000 440,438
Dura Operations 144A
9.00%, 5/1/09 40,000 38,600
Federal Mogul 144A
7.50%, 1/15/09 20,000 18,525
Federal-Mogul
7.38%, 1/15/06 250,000 235,625
Hayes Lemmerz International
8.25%, 12/15/08 70,000 66,150
Hertz
7.00%, 1/15/28 815,000 769,156
Lear
9.50%, 7/15/06 100,000 108,125
Navistar International
7.00%, 2/1/03 150,000 151,500
8.00%, 2/1/08 85,000 88,188
Newcor
9.88%, 3/1/08 100,000 93,625
Talon Automotive Group
9.63%, 5/1/08 70,000 61,600
- ----------------------------------------------------------------------------
2,345,270
Par Market
Amount** Value
- ----------------------------------------------------------------------------
Banking, Finance & Insurance: 1.9%
- ----------------------------------------------------------------------------
Aames Financial
9.13%, 11/1/03 $ 45,000 $ 33,300
Advanta
7.00%, 5/1/01 30,000 27,900
6.92%, 1/28/02 90,000 80,775
AFC Capital Trust I
8.21%, 2/3/27 425,000 435,094
Alaska Communications
9.38%, 5/15/09 210,000 205,800
Amresco
9.88%, 3/15/05 10,000 8,125
AT&T Capital
6.25%, 5/15/01 445,000 441,663
Banponce
7.13%, 5/2/02 350,000 354,375
Chevy Chase Bank
9.25%, 12/1/05 50,000 50,500
CIT Group
6.50%, 6/14/02 390,000 390,975
Citigroup
6.20%, 3/15/09 475,000 447,688
Colonial Capital II
8.92%, 1/15/27 35,000 33,075
Contifinancial
7.50%, 3/15/02 110,000 91,300
8.13%, 4/1/08 70,000 58,100
Countrywide Home Loan
6.25%, 4/15/09 500,000 465,625
Delta Financial
9.50%, 8/1/04 50,000 43,250
Dime Capital Trust I
9.33%, 5/6/27 15,000 15,394
Firstar Bank Milwaukee
6.25%, 12/1/02 170,000 169,150
General Motors Acceptance Corporation
5.80%, 4/9/01 325,000 322,969
5.75%, 11/10/03 305,000 293,944
Greenpoint Capital Trust I
9.10%, 6/1/27 15,000 15,394
Heller Financial
6.00%, 3/19/04 450,000 438,750
Household Finance
6.50%, 11/15/08 210,000 200,813
Imperial Credit Capital Trust I
10.25%, 6/14/02 75,000 60,656
Imperial Credit Industries
9.88%, 1/15/07 35,000 28,000
Lehman Brothers
6.50%, 10/1/02 265,000 260,694
6.63%, 4/1/04 230,000 225,688
Merita Bank
6.50%, 1/15/06 565,000 545,225
NationsBank
6.88%, 2/15/05 875,000 881,563
Nationwide Credit
10.25%, 1/15/08 10,000 7,100
North Fork Capital Trust I
8.70%, 12/15/26 10,000 10,813
Ocwen Capital Trust I
10.88%, 8/1/27 10,000 7,850
Ocwen Federal Bank
12.00%, 6/15/05 5,000 4,925
Ocwen Financial
11.88%, 10/1/03 5,000 4,825
Orange Cogen Funding 144A
8.18%, 3/15/22 110,000 110,550
Paine Webber Group
6.55%, 4/15/08 655,000 618,156
Popular
6.40%, 8/25/00 530,000 532,938
Premium Standard Farms
11.00%, 9/17/03 19,157 17,624
Provident
7.41%, 3/15/38 555,000 525,863
Provident Capital Trust I
8.60%, 12/1/26 35,000 36,969
Global Asset Allocation Fund 3
<PAGE>
Par Market
Banking, Finance & Insurance (Cont.) Amount** Value
- ----------------------------------------------------------------------------
Prt Funding
11.63%, 4/15/04 $ 40,000 $ 26,800
Salomon Brothers
7.30%, 5/15/02 395,000 404,875
Sovereign Capital Trust
9.00%, 4/1/27 20,000 21,450
Tanger Properties L.P.
8.75%, 3/11/01 100,000 101,875
TIG Holdings
8.13%, 4/15/05 370,000 374,625
Toyota Motor Credit
5.63%, 11/13/03 315,000 305,156
Webster Capital Trust I
9.36%, 1/29/27 5,000 5,031
- ----------------------------------------------------------------------------
9,743,210
Building & Materials: 0.1%
- ----------------------------------------------------------------------------
American Architectural
11.75%, 12/1/07 10,000 7,600
American Standard
7.38%, 2/1/08 125,000 117,813
Building Materials
8.63%, 12/15/06 5,000 4,994
8.00%, 12/1/08 40,000 37,500
Continental Homes Holding
10.00%, 4/15/06 35,000 36,881
D.R. Horton
8.00%, 2/1/09 120,000 113,400
JCAC
10.13%, 6/15/06 58,000 63,148
NCI Building 144A
9.25%, 5/1/09 30,000 30,000
- ----------------------------------------------------------------------------
411,336
Cable, Media & Publishing: 1.0%
- ----------------------------------------------------------------------------
Acme Television/Finance
0.00%, 9/30/04 20,000 16,450
Adelphia Communications
9.88%, 3/1/07 90,000 95,400
8.38%, 2/1/08 40,000 39,700
Albritton Communications
9.75%, 11/30/07 100,000 101,250
Allbritton Communications Series B
8.88%, 2/1/08 10,000 9,750
American Media 144A
10.25%, 5/1/09 30,000 30,113
Chancellor Media
8.00%, 11/1/08 180,000 176,850
Century Communications
9.50%, 3/1/05 105,000 108,938
Charter Communications 144A
8.63%, 4/1/09 370,000 356,125
Citadel Broadcasting
10.25%, 7/1/07 20,000 21,600
9.25%, 11/15/08 90,000 92,925
CSC Holdings
9.25%, 11/1/05 10,000 10,675
7.88%, 12/15/07 75,000 75,656
7.25%, 7/15/08 40,000 38,750
8.13%, 8/15/09 54,000 56,835
9.88%, 2/15/13 125,000 135,313
7.88%, 2/15/18 20,000 19,600
Diva Systems
0.00%, 3/1/08 170,000 57,588
Fox Family Worldwide
9.25%, 11/1/07 65,000 60,450
Fox/Liberty Networks LLC
8.88%, 8/15/07 50,000 51,625
Garden State Newspapers
8.75%, 10/1/09 125,000 118,750
Golden Sky Systems
12.38%, 8/1/06 50,000 56,125
Granite Broadcasting
10.38%, 5/15/05 75,000 76,875
8.88%, 5/15/08 65,000 62,725
Gray Communication System
10.63%, 10/1/06 5,000 5,213
Par Market
Cable, Media & Publishing (Cont.) Amount** Value
- ----------------------------------------------------------------------------
Jones Intercable
9.63%, 3/15/02 $ 10,000 $ 10,900
8.88%, 4/1/07 54,000 59,805
10.50%, 3/1/08 50,000 55,625
Knology Holdings
11.88%, 10/15/07 120,000 72,750
Lamar Advertising
9.63%, 12/1/06 110,000 112,475
8.63%, 9/15/07 15,000 15,075
Lenfest Communications
8.38%, 11/1/05 50,000 52,250
Logix Communications
12.25%, 6/15/08 40,000 37,650
News America Holdings
7.70%, 10/30/25 590,000 576,725
Outdoor Communications
9.25%, 8/15/07 185,000 196,331
Outdoor Systems
8.88%, 6/15/07 125,000 130,313
Pathnet
12.25%, 4/15/08 65,000 37,700
Pegasus Communications
9.75%, 12/1/06 10,000 10,288
Pegasus Media
12.50%, 7/1/05 50,000 55,000
Perry-Judd
10.63%, 12/15/07 75,000 73,875
PX Escrow
0.00%, 2/1/06 10,000 6,263
Radio One
7.00%, 5/15/04 5,000 5,250
SFX Broadcasting
10.75%, 5/15/06 82,000 90,508
SFX Entertainment
9.13%, 2/1/08 30,000 29,400
9.13%, 12/1/08 40,000 39,200
Sinclair Broadcast Group
8.75%, 12/15/07 220,000 216,150
Spanish Broadcasting System
7.50%, 6/15/02 100,000 111,375
11.00%, 3/15/04 30,000 32,625
TCI Communications
7.13%, 2/15/28 100,000 97,375
Time Warner
8.88%, 10/1/12 360,000 408,150
United International Holdings
0.00%, 2/15/08 60,000 39,900
Von Hoffman
13.50%, 5/15/09 110,955 10,462
Von Hoffman Press
10.38%, 5/15/07 40,000 41,200
Young Broadcasting
8.75%, 6/15/07 200,000 195,500
- ----------------------------------------------------------------------------
4,695,401
Chemicals: 0.2%
- ----------------------------------------------------------------------------
Geo Specialty Chemicals
10.13%, 8/1/08 30,000 28,800
Huntsman
8.33%, 7/1/07 50,000 46,563
Huntsman 144A*
9.50%, 7/1/07 10,000 9,600
10.13%, 7/1/09 130,000 130,650
ISP Holdings
9.75%, 2/15/02 45,000 45,675
Lyondell Chemicals 144A
9.63%, 5/1/07 210,000 215,775
Nova Chemicals
7.40%, 4/1/09 400,000 391,500
Pioneer Americas Acquisition
9.25%, 6/15/07 15,000 12,900
Scotts Company
8.63%, 1/15/09 50,000 49,625
Sterling Chemical Holdings
0.00%, 8/15/08 40,000 14,000
Union Carbide
6.25%, 6/15/03 220,000 215,325
- ----------------------------------------------------------------------------
1,160,413
Global Asset Allocation Fund 4
<PAGE>
Par Market
Amount** Value
- ----------------------------------------------------------------------------
Computers & Technology: 0.4%
- ----------------------------------------------------------------------------
Cellnet Data Systems
0.00%, 10/1/07 $ 170,000 $ 71,400
Concentric Network
12.75%, 12/15/07 10 10,500
Exodus Communications
11.25%, 7/1/08 10,000 10,425
Integrated Device Technology
5.50%, 6/1/02 20,000 16,025
IPC Information Systems
0.00%, 5/1/08 90,000 68,400
PSiNet
10.00%, 2/15/05 30,000 30,075
11.50%, 11/1/08 60,000 63,000
Unisys
12.00%, 4/15/03 130,000 142,025
7.88%, 4/1/08 200,000 201,500
Verio
10.38%, 4/1/05 60,000 60,750
11.25%, 12/1/08 30,000 31,500
Viasystems
9.75%, 6/1/07 75,000 65,813
WMX Technologies
7.10%, 8/1/26 990,000 1,008,563
- ----------------------------------------------------------------------------
1,779,976
Consumer Products: 0.1%
- ----------------------------------------------------------------------------
Capstar Broadcasting
0.00%, 2/1/09 85,000 71,400
French Fragrance
10.38%, 5/15/07 15,000 15,244
Home Interiors and Gifts
10.13%, 6/1/08 20,000 20,000
Iron Age
9.88%, 5/1/08 75,000 57,000
NBTY
8.63%, 9/15/07 200,000 177,250
Revlon Consumer Products
9.00%, 11/1/06 30,000 30,000
Revlon Consumer Products
8.63%, 2/1/08 200,000 187,000
Royster-Clark 144A
10.25%, 4/1/09 30,000 30,150
United Stationer Supply
12.75%, 5/1/05 7,000 7,770
William Carter Holdings 144A
12.00%, 10/1/08 25,000 25,656
William Carter
10.38%, 12/1/06 160,000 168,000
- ----------------------------------------------------------------------------
789,470
Electronics & Electrical Equipment: 0.2%
- ----------------------------------------------------------------------------
Fairchild Semiconductor
10.13%, 3/15/07 65,000 64,025
0.00%, 3/14/08 60,000 58,500
Flextronics International
8.75%, 10/15/07 20,000 20,100
HCC Industries
10.75%, 5/15/07 10,000 9,500
Northeast Optic Network
12.75%, 8/15/08 80,000 82,800
Protection One Alarm
0.00%, 6/30/05 20,000 22,600
Raytheon
6.45%, 8/15/02 515,000 515,000
Signature Brands USA
13.00%, 8/15/02 100,000 110,625
Wavetek
10.13%, 6/15/07 10,000 8,900
Zilog
9.50%, 3/1/05 45,000 39,600
- ----------------------------------------------------------------------------
931,650
Energy: 0.4%
- ----------------------------------------------------------------------------
Applied Power
8.75%, 4/1/09 20,000 19,400
Par Market
Energy (Cont.) Amount** Value
- ----------------------------------------------------------------------------
Belco Oil & Gas
8.88%, 9/15/07 $ 70,000 $ 67,900
Benton Oil and Gas
9.38%, 11/1/07 5,000 3,694
CMS Panhandle 144A
6.13%, 3/15/04 295,000 285,044
Coastal
6.95%, 6/2/28 440,000 418,000
Coda Energy Series B
10.50%, 4/1/06 65,000 66,138
Conoco
5.90%, 4/15/04 395,000 386,606
DII Group
8.50%, 9/15/07 10,000 9,800
Eagle Geophysical
10.75%, 7/15/08 35,000 20,650
Gothic Energy
0.00%, 5/1/06 10,000 3,700
Gothic Production
11.13%, 5/1/05 30,000 26,700
Gulf Canada Resources
9.63%, 7/1/05 60,000 61,650
Leviathan Gas 144A
10.38%, 6/1/09 20,000 20,550
Ocean Energy
8.38%, 7/1/08 50,000 48,625
Ocean Energy Series B
8.88%, 7/15/07 50,000 50,000
RBF Finance 144A
11.00%, 3/15/06 130,000 132,600
Seven Seas Petroleum
12.50%, 5/15/05 130,000 15,900
Snyder Oil
8.75%, 6/15/07 15,000 14,850
Statoil
6.50%, 12/1/28 295,000 266,975
Vintage Petroleum
9.75%, 6/30/09 80,000 82,000
- ----------------------------------------------------------------------------
2,000,782
Environmental Services: 0.1%
- ----------------------------------------------------------------------------
Allied Waste North America
7.63%, 1/1/06 50,000 46,625
7.88%, 1/1/09 120,000 111,450
Columbia Gas Systems
7.32%, 11/28/10 500,000 493,750
Petroleum Geo-Services
7.50%, 3/31/07 175,000 175,219
- ----------------------------------------------------------------------------
827,044
Food, Beverage & Tobacco: 0.2%
- ----------------------------------------------------------------------------
Albecca
10.75%, 8/15/08 40,000 33,600
Ameriserve Food Distributors
10.13%, 7/15/07 15,000 12,750
Aurora Foods
9.88%, 2/15/07 40,000 41,700
9.88%, 2/15/07 20,000 20,850
Doane Pet Care
9.75%, 5/15/07 105,000 108,150
Pepsi Bottling Group
7.00%, 3/1/29 350,000 329,438
Philip Morris
7.50%, 1/15/02 405,000 413,100
Samsonite Corp
10.75%, 6/15/08 60,000 48,000
Southland
5.00%, 12/15/03 50,000 43,500
Triarc Consumer/Beverage
10.25%, 2/15/09 50,000 48,375
Vlasic Foods International
10.25%, 7/1/09 40,000 39,500
- ----------------------------------------------------------------------------
1,138,963
Healthcare & Pharmaceuticals: 0.4%
- ----------------------------------------------------------------------------
Alaris Medical Systems
9.75%, 12/1/06 50,000 51,063
Global Asset Allocation Fund 5
<PAGE>
Par Market
Healthcare & Pharmaceuticals (Cont.) Amount** Value
- ----------------------------------------------------------------------------
Conmed
9.00%, 3/15/08 $ 30,000 $ 30,075
Columbia/HCA Healthcare
7.25%, 5/20/08 20,000 17,575
8.36%, 4/15/24 20,000 18,815
7.69%, 6/15/25 20,000 16,375
6.63%, 7/15/45 80,000 75,700
Dade International
11.13%, 5/1/06 40,000 43,350
Extendicare Health
9.35%, 12/15/07 100,000 75,000
Fresenius Medical Capital Trust II
7.88%, 2/1/08 50,000 46,500
Fresenius Medical Care
9.00%, 12/1/06 190,000 188,100
Hudson Respiratory Care
9.13%, 4/15/08 40,000 35,850
ICN Pharmaceuticals
9.25%, 8/15/05 70,000 70,350
Integrated Health Services
9.50%, 9/15/07 70,000 51,450
9.25%, 1/15/08 40,000 29,000
Mariner Post Acute Network
0.00%, 11/1/07 40,000 4,800
9.50%, 11/1/07 60,000 10,200
Mediq
11.00%, 6/1/08 40,000 31,800
0.00%, 6/1/09 40,000 16,350
Multicare
9.00%, 8/1/07 125,000 85,000
Paracelsus Healthcare
10.00%, 8/15/06 50,000 39,000
Philip Morris
7.50%, 4/1/04 640,000 658,400
Prime Hospitality
9.75%, 4/1/07 40,000 39,500
Rab Enterprises
10.50%, 5/1/05 60,000 36,000
Tenet Healthcare
8.00%, 1/15/05 125,000 122,500
7.63%, 6/1/08 50,000 46,750
8.13%, 12/1/08 10,000 9,650
Triad Hospitals
11.00%, 5/15/09 40,000 40,800
- ----------------------------------------------------------------------------
1,889,953
Industrial Machinery: 0.2%
- ----------------------------------------------------------------------------
AEP Industries
9.88%, 11/15/07 15,000 15,038
Ball
7.75%, 8/1/06 40,000 39,800
8.25%, 8/1/08 80,000 79,600
Ford Motor
6.63%, 10/1/28 445,000 401,613
Jackson Products
9.50%, 4/15/05 20,000 19,775
Motors and Gears
10.75%, 11/15/06 40,000 40,700
Pogo Producing
8.75%, 5/15/07 5,000 4,775
Safety Components International
10.13%, 7/15/07 20,000 18,000
Tyco International Group SA
6.25%, 6/15/03 190,000 186,438
Viasystems
9.75%, 6/1/07 5,000 4,388
- ----------------------------------------------------------------------------
810,127
Leisure, Lodging & Entertainment: 0.4%
- ----------------------------------------------------------------------------
AMC Entertainment
9.50%, 3/15/09 102,000 98,430
Boyd Gaming
9.50%, 7/15/07 50,000 50,000
Cinemark USA
9.63%, 8/1/08 50,000 49,750
Cinemark USA Series B
8.50%, 8/1/08 35,000 33,250
Par Market
Leisure, Lodging & Entertainment (Cont.) Amount** Value
- ----------------------------------------------------------------------------
Circus Circus
6.45%, 2/1/06 $ 30,000 $ 27,525
Colorado Gaming
12.00%, 6/1/03 79,350 80,342
Epic Resorts
13.00%, 6/15/05 30,000 27,825
Fitzgerald Gaming
12.25%, 12/15/04 70,000 38,500
Host Marriot 144A
8.38%, 2/15/06 20,000 19,300
Harrahs Operating
7.50%, 1/15/09 150,000 146,250
Hoeshoe Gaming 144a
8.63%, 5/15/09 60,000 58,200
Hollywood Casino
11.25%, 5/1/07 80,000 80,400
Hollywood Park
9.25%, 2/15/07 30,000 29,700
Hollywood Park Series B
9.50%, 8/1/07 60,000 59,700
Host Mar Travel Plaza
9.50%, 5/15/05 130,000 135,363
Isle of Capri/Cap
13.00%, 8/31/04 10,000 11,075
Mohegan Tribal
8.13%, 1/1/06 50,000 49,000
Mohegan Tribal Gaming
8.75%, 1/1/09 60,000 59,400
Park Place Entertainment
7.88%, 12/15/05 40,000 38,100
Players International
10.88%, 4/15/05 25,000 26,844
Premier Parks
12.00%, 8/15/03 50,000 53,000
9.25%, 4/1/06 129,000 129,645
Silver Cinemas
10.50%, 4/15/05 40,000 17,950
Six Flags Theme Parks
0.00%, 6/15/05 250,000 280,625
Starwood Hotels and Resorts
6.75%, 11/15/05 160,000 147,600
Sun International Hotels
8.63%, 12/15/07 75,000 75,375
United Artists Theatre
9.75%, 4/15/08 150,000 112,500
- ----------------------------------------------------------------------------
1,935,649
Metals & Mining: 0.1%
- ----------------------------------------------------------------------------
AK Steel
9.13%, 12/15/06 65,000 66,950
AK Steel Corp 144A
7.88%, 2/15/09 60,000 58,200
Ameristeel
8.75%, 4/15/08 50,000 49,875
Anker Coal Group
9.75%, 10/1/07 215,000 105,081
Continental Global Group
11.00%, 4/1/07 30,000 26,663
National Steel
9.88%, 3/1/09 80,000 81,600
Weirton Steel
11.38%, 7/1/04 50,000 49,000
- ----------------------------------------------------------------------------
437,369
Miscellaneous: 0.3%
- ----------------------------------------------------------------------------
Adelphia Communications
9.50%, 2/15/04 81 85
AXIA
10.75%, 7/15/08 50,000 49,438
Calair LLC/Calair Capital
8.13%, 4/1/08 240,000 228,300
Cex Holdings
9.63%, 6/1/08 40,000 37,600
Coinmach
11.75%, 11/15/05 55,000 59,950
Day International Group
9.50%, 3/15/08 50,000 46,000
Global Asset Allocation Fund 6
<PAGE>
Par Market
Miscellaneous (Cont.) Amount** Value
- ----------------------------------------------------------------------------
Decora Industries
11.00%, 5/1/05 $ 40,000 $ 37,950
Hedstrom Holdings
0.00%, 6/1/09 5,000 2,163
Iron Mountain
10.13%, 10/1/06 150,000 159,375
8.75%, 9/30/09 20,000 19,800
8.75%, 9/30/09 105,000 103,950
Lodestar Holdings
11.50%, 5/15/05 30,000 23,363
OutSourcing Solutions
11.00%, 11/1/06 20,000 19,600
Paragon Corp Holdings
9.63%, 4/1/08 20,000 11,900
Polymer Group
9.00%, 7/1/07 20,000 19,600
8.75%, 3/1/08 40,000 38,800
PP&L Capital Funding
5.90%, 10/16/00 785,000 774,707
Protection One 144A
8.13%, 1/15/09 70,000 66,500
- ----------------------------------------------------------------------------
1,699,081
Packaging & Containers: 0.1%
- ----------------------------------------------------------------------------
Huntsman Packaging
9.13%, 10/1/07 25,000 24,750
Owens-Illinois
7.15%, 5/15/05 80,000 76,400
8.10%, 5/15/07 25,000 24,938
7.35%, 5/15/08 50,000 47,563
Riverwood International
10.25%, 4/1/06 50,000 50,500
10.88%, 4/1/08 85,000 82,663
- ----------------------------------------------------------------------------
306,814
Paper & Forest Products: 0.0%
- ----------------------------------------------------------------------------
Boise Cascade
7.43%, 10/10/05 10,000 9,925
Packaging Corporation of America 144A
9.63%, 4/1/09 80,000 80,800
Republic Group
9.50%, 7/15/08 20,000 20,000
United Stationers Supply
8.38%, 4/15/08 10,000 9,625
US Office Products
9.75%, 6/15/08 60,000 38,700
- ----------------------------------------------------------------------------
159,050
Real Estate: 0.1%
- ----------------------------------------------------------------------------
Atrium
10.50%, 5/1/09 20,000 19,700
EOP Operating
6.76%, 6/15/07 450,000 429,188
HMH Properties
7.88%, 8/1/08 120,000 110,400
Toll Corp
8.13%, 2/1/09 40,000 38,000
- ----------------------------------------------------------------------------
597,288
Retail: 0.2%
- ----------------------------------------------------------------------------
Adams Outdoor Advertising
10.75%, 3/15/06 125,000 133,750
Affinity Group
11.00%, 4/1/07 115,000 115,431
FRD Acquisition
12.50%, 7/15/04 10,000 9,200
French Fragrances
10.38%, 5/15/07 10,000 10,163
Lowes
6.50%, 3/15/29 475,000 426,313
Outdoor Systems
9.38%, 10/15/06 5,000 5,313
Sealy Mattress
0.00%, 12/15/07 20,000 12,950
Sears Roebuck Acceptance
6.88%, 10/15/17 185,000 175,519
6.50%, 12/1/28 135,000 119,138
Par Market
Retail (Cont.) Amount** Value
- ----------------------------------------------------------------------------
Zale
8.50%, 10/1/07 $ 20,000 $ 20,475
- ----------------------------------------------------------------------------
1,028,252
Telecommunications: 1.1%
- ----------------------------------------------------------------------------
Allegiance Telecommunications
0.00%, 2/15/08 60,000 36,675
12.88%, 5/15/08 20,000 21,400
Birch Telecommunications
14.00%, 6/15/08 30,000 27,525
BTI Telecom
10.50%, 9/15/07 110,000 99,000
Caprock Communications
12.00%, 7/15/08 30,000 30,675
11.50%, 5/1/09 60,000 60,900
Capstar Broadcasting
9.25%, 7/1/07 50,000 51,750
Carrier One Unit
13.25%, 2/15/09 60,000 63,900
Cencall Communication
0.00%, 1/15/04 5,000 5,113
Covad Communications
0.00%, 3/15/08 45,000 24,525
12.50%, 2/15/09 120,000 115,800
Dobson Communications
11.75%, 4/15/07 55,000 58,300
DTI Holdings
0.00%, 3/1/08 200,000 74,000
Echostar DBS
9.38%, 2/1/09 160,000 163,600
Econophone
0.00%, 2/15/08 100,000 56,000
Firstworld Communication
0.00%, 4/15/08 140,000 75,950
Focal Communications
0.00%, 2/15/08 80,000 43,200
Global Crossing
9.63%, 5/15/08 200,000 213,000
GST Telecommunications
0.00%, 5/1/08 170,000 96,050
GST USA
0.00%, 12/15/05 95,000 78,375
Hyperion Telecommunication
0.00%, 4/15/03 25,000 20,563
12.25%, 9/1/04 35,000 37,013
12.00%, 11/1/07 80,000 81,200
ICG Services
0.00%, 2/15/08 180,000 113,625
0.00%, 5/1/08 185,000 103,600
Intelcom Group USA
0.00%, 5/1/06 60,000 48,000
Intermedia Communication
8.50%, 1/15/08 80,000 73,400
8.60%, 6/1/08 130,000 120,900
Intermedia Communications Series B
0.00%, 7/15/07 10,000 7,150
ITC Deltacom
11.00%, 6/1/07 23,000 24,668
KMC Telecom Holdings
0.00%, 2/15/08 145,000 77,575
13.50%, 5/15/09 70,000 70,088
L-3 Communications
8.50%, 5/15/08 30,000 29,400
Long Distance International
12.25%, 4/15/08 20,000 15,350
Level 3 Communications
9.13%, 5/1/08 150,000 148,125
MCI Worldcom
6.95%, 8/15/28 385,000 364,788
McLeodUSA
8.13%, 2/15/09 100,000 94,000
Metromedia Fiber
10.00%, 11/15/08 200,000 206,000
Nextel Communications
0.00%, 8/15/04 250,000 255,000
0.00%, 9/15/07 20,000 14,650
12.00%, 11/1/08 90,000 102,600
Global Asset Allocation Fund 7
<PAGE>
Par Market
Telecommunications (Cont.) Amount** Value
- ----------------------------------------------------------------------------
Nextel International
0.00%, 4/15/08 $ 290,000 $ 145,725
NTL
0.00%, 4/1/08 310,000 212,738
Onepoint Communications
14.50%, 6/1/08 20,000 11,100
Orbital Imaging
11.63%, 3/1/05 40,000 36,550
Price Communications Wire
9.13%, 12/15/06 110,000 111,100
Qwest Communications International
0.00%, 10/15/07 35,000 26,950
0.00%, 2/1/08 160,000 119,600
RCN
0.00%, 10/15/07 10,000 6,725
Rhythms Netconnections
0.00%, 5/15/08 80,000 41,600
Sprint Capital
6.90%, 5/1/19 440,000 411,400
Sprint Spectrum L.P.
0.00%, 8/15/06 60,000 54,375
Startec Global Communications
12.00%, 5/15/08 40,000 36,000
Telecommunication Techniques
9.75%, 5/15/08 30,000 30,150
Telecorp Pcs Inc 144A
0.00%, 4/15/09 60,000 33,600
Telehub Communications
0.00%, 7/31/05 30,000 21,600
Teligent
11.50%, 12/1/07 30,000 30,825
0.00%, 3/1/08 100,000 61,750
Time Warner Telecommunications LLC
9.75%, 7/15/08 150,000 154,875
Ucar Global Enterprises
12.00%, 1/15/05 30,000 31,763
US Xchange LLC
15.00%, 7/1/08 30,000 31,050
Winstar Communications
15.00%, 3/1/07 40,000 44,400
11.00%, 3/15/08 260,000 231,400
- ----------------------------------------------------------------------------
5,288,709
Textiles, Apparel & Furniture: 0.0%
- ----------------------------------------------------------------------------
Fruit Of The Loom
8.88%, 4/15/06 70,000 64,400
Galey & Lord
9.13%, 3/1/08 70,000 46,200
Guess
9.50%, 8/15/03 5,000 4,856
- ----------------------------------------------------------------------------
115,456
Transportation & Shipping: 0.3%
- ----------------------------------------------------------------------------
Aviation Sales
8.13%, 2/15/08 50,000 47,625
Burlington North Santa Fe
6.13%, 3/15/09 480,000 453,000
Continental Airlines
6.54%, 3/15/08 624,031 615,451
CSX
7.95%, 5/1/27 95,000 98,325
Johnstown America Industries
11.75%, 8/15/05 75,000 80,063
Kitty Hawk
9.95%, 11/15/04 20,000 20,000
MC Shipping
11.25%, 3/1/08 20,000 14,000
Newport News Shipbuilding
8.63%, 12/1/06 60,000 64,200
Trans World Airlines
11.50%, 12/15/04 65,000 54,600
11.38%, 3/1/06 30,000 15,450
US Air
9.63%, 9/1/03 175,000 184,406
- ----------------------------------------------------------------------------
1,647,120
Utilities: 0.3%
- ----------------------------------------------------------------------------
Arizona Public Service
6.75%, 11/15/06 315,000 311,063
Par Market
Utilities (Cont.) Amount** Value
- ----------------------------------------------------------------------------
Calpine
8.75%, 7/15/07 $ 120,000 $ 120,900
7.88%, 4/1/08 50,000 48,000
7.75%, 4/15/09 80,000 76,600
Cleveland Electric
9.50%, 5/15/05 30,000 31,688
Cleveland Electric Illuminating
6.86%, 10/1/08 70,000 68,425
CMS Energy
6.75%, 1/15/04 70,000 66,763
7.00%, 1/15/05 30,000 28,388
El Paso Electric
9.40%, 5/1/11 10,000 11,463
Jersey Central Power & Light
6.85%, 11/27/06 115,000 113,706
KN Energy
6.45%, 3/1/03 115,000 111,263
Midland Funding
10.33%, 7/23/02 26,832 28,408
Midland Funding II
11.75%, 7/23/05 80,000 88,800
Niagara Mohawk Power
9.95%, 6/1/00 50,000 50,125
7.63%, 10/1/05 30,000 30,225
Niagara Mohawk Power Series E
7.38%, 7/1/03 30,000 30,150
Northeast Utilities
8.38%, 3/1/05 27,200 27,200
Northeast Utility
8.58%, 12/1/06 12,380 12,287
Ram Energy
11.50%, 2/15/08 30,000 15,600
- ----------------------------------------------------------------------------
1,271,054
Foreign Bonds: 7.6%
- ----------------------------------------------------------------------------
Australian Government Series 909 (Australia)
7.50%, 9/15/09 2,260,000 1,641,028
Bundesobligation (German Goverment) (Germany)
Series 128
3.75%, 8/26/03 3,960,000 4,093,272
Bundesrepublic Deutschland (Germany)
5.63%, 1/4/28 3,227,100 3,442,922
4.75%, 7/4/28 310,000 291,524
Canada Government (Canada)
5.50%, 6/1/09 5,315,000 3,634,292
Cert Di Credito Del Tes (Italian Government) (Italy)
0.00%, 12/15/99 5,195,000 5,308,270
Denmark Government (Denmark)
4.00%, 2/15/01 6,200,000 864,667
French Treasury Bill (France)
4.00%, 1/12/00 6,300,000 6,563,535
Hellenic Republic (Greece)
9.20%, 3/21/02 131,800,000 445,397
6.60%, 1/15/04 256,500,000 826,733
New Zealand Government (New Zealand)
8.00%, 11/15/06 1,215,000 703,756
Quebec Province (Canada)
7.00%, 1/30/07 355,000 358,550
Realkredit Danmark (Denmark)
7.00%, 10/1/29 3,300,000 462,055
Sweden (Kingdom of) (Sweden)
10.25%, 5/5/00 3,200,000 398,964
5.50%, 4/12/02 29,000,000 3,545,032
6.00%, 2/9/05 6,800,000 855,834
United Kingdom Treasury Bond (United Kingdom)
9.75%, 8/27/02 2,450,000 4,324,217
- ----------------------------------------------------------------------------
37,760,048
Total Long-Term Debt Investments: 31.0%
(Cost $159,196,492) 154,455,368
- ----------------------------------------------------------------------------
Number
Common Stock: of Shares
- ----------------------------------------------------------------------------
Aerospace & Defense: 1.2%
- ----------------------------------------------------------------------------
Aerospatiale Matra 144A (France)* 4,280 99,006
Allied-Signal 20,730 1,305,990
Boeing 31,520 1,392,790
Career Education* 5,500 185,797
Global Asset Allocation Fund 8
<PAGE>
Number Market
Aerospace & Defense (Cont.) of Shares Value
- ----------------------------------------------------------------------------
Northrop 10,175 $ 674,730
United Technologies 33,100 2,372,856
- ----------------------------------------------------------------------------
6,031,169
Automobiles & Auto Parts: 1.3%
- ----------------------------------------------------------------------------
Bayerische Motoren Werke (BMW) AG (Germany) 392 273,557
Cooper Industries 7,960 413,920
CSX Auto* 7,000 189,000
DaimlerChrysler (Germany) 8,841 775,042
Delphi Automotive Systems 13,678 253,899
Ford Motor 23,050 1,300,884
General Motors 19,570 1,291,620
Honda Motor (Japan) 7,000 296,777
Meritor Automotive 3,916 99,858
TRW 18,660 1,023,968
Volkswagen AG (Germany) 7,526 487,383
- ----------------------------------------------------------------------------
6,405,908
Banking, Finance & Insurance: 10.2%
- ----------------------------------------------------------------------------
ABN Amro Holdings N.V. (Netherlands) 19,521 424,289
Aflac 11,700 560,138
Allied Irish Banks (Ireland) 11,740 154,924
Allied Zurich PLC (United Kingdom) 12,443 155,677
Allstate 25,160 902,615
American Express 12,900 1,678,613
American General 29,650 2,234,869
American International Group 20,747 2,428,696
Axa-UAP (France) 3,559 435,766
Bank of America 43,447 3,185,208
Bank One 38,708 2,305,545
Bank of Boston 17,465 892,898
Bank of Ireland (Ireland) 7,424 125,245
Bank of Nova Scotia (Canada) 12,684 276,962
Banque Nationale de Paris (France) 4,414 369,134
Capital One Financial 11,500 640,406
Charles River Associates* 3,200 80,300
Charter One Financial 45,705 1,269,742
Chase Manhattan 9,335 808,644
Chubb 11,065 769,018
Cigna 14,440 1,285,160
Citigroup 86,898 4,127,655
Comerica 9,400 558,713
Commonwealth Bank of Australia (Australia)* 373 5,968
Development Bank of Singapore (Singapore) 15,000 183,475
Federal National Mortgage 14,110 964,771
Fifth Third Bancorp 13,350 889,027
Financiere et Industrielle Gaz et Eaux (France) 11 591
First Pacific Company Ltd (Hong Kong) 240,000 204,158
First Security 12,800 348,400
Firstar 53,560 1,499,680
Fleet Financial Group 18,060 801,413
Gilman & Ciocia* 4,000 37,375
Goldman Sachs Group* 900 65,025
Hutchison Whampoa (Hong Kong) 17,000 153,924
ING Groep (Netherlands) 18,700 1,016,111
Investor AB - B Shares (Sweden) 22,698 254,860
Julius Baer Holding AG (Switzerland) 161 460,892
Keppel Tatlee Bank Limited (Singapore) 103,000 228,956
Lehman Brothers Holdings 23,895 1,487,464
Merrill Lynch & Company 10,940 874,516
Monte dei Paschi di Siena (Italy)* 17,700 78,774
Morgan (J.P.) 10,270 1,442,935
Morgan Stanley Dean Witter 8,000 820,000
National City 11,395 746,373
National Finance & Securities (Thailand)* 1,800 1,087
National Westminster Bank (United Kingdom) 27,600 585,609
NCO Group* 4,150 157,181
NET.B@NK * 1,600 60,700
Nextcard* 400 13,563
Nikko Securities (Japan) 170,000 1,097,272
Northern Trust 3,600 349,313
Overseas Union Bank (Singapore) 28,600 137,912
PNC Financial Group 19,740 1,137,518
Promise (Japan) 7,580 447,909
Providian Financial 9,685 905,548
Reinsurance Group of America 3,350 118,088
Schwab (Charles) 9,200 1,010,850
Shinhan Bank GDR 144A* 4,800 106,800
Number Market
Banking, Finance & Insurance (Cont.) of Shares Value
- ----------------------------------------------------------------------------
Societe Generale (France) 1,982 $ 350,579
St. Paul 28,160 895,840
Svenska Handelsbanken A Shares (Sweden) 26,076 314,364
Takefuji (Japan) 1,700 175,760
Toronto-Dominion Bank (Canada) 10,600 482,805
Travelers Property Casualty Class A 7,765 303,806
U.S. Bancorp 33,100 1,125,400
UBS AG (Switzerland) 1,214 364,004
United Overseas Bank (Singapore) 14,000 97,971
Washington Mutual 27,782 982,788
Wells Fargo 31,950 1,365,863
Yapi Ve Kredi Bankasi GDR 1,071 15,904
Zions 2,100 133,613
- ----------------------------------------------------------------------------
50,972,952
Buildings & Materials: 0.3%
- ----------------------------------------------------------------------------
Bouygues (France) 1,294 343,260
CRH (Ireland) 34,536 614,810
Hanson (United Kingdom) 2,900 25,455
Insituform Technologies Class A* 7,000 150,719
Lafarge SA (France) 4,885 466,161
- ----------------------------------------------------------------------------
1,600,405
Cable, Media & Publishing: 3.2%
- ----------------------------------------------------------------------------
AT&T - Liberty Media-A* 54,592 2,006,256
Citadel Communications* 10,300 373,053
Clear Channel Communications* 7,200 496,350
Cumulus Media* 17,500 383,906
Cunningham Graphics International* 6,100 98,744
Havas Advertising (France) 50 10,811
InterPublic Group 19,600 1,697,850
Jones Intercable* 12,000 588,750
Lamar Advertising* 7,300 298,616
McGraw-Hill 13,625 734,898
MediaOne Group* 19,900 1,480,063
Mediaset SpA (Italy) 4,700 41,932
Pegasus Communications* 6,300 248,259
Publicis (France) 620 131,549
Radio One* 7,000 324,625
SBS Broadcasting* 4,400 141,075
Sinclair Broadcasting Group* 2,200 35,888
Spanish Broadcasting System 144A 15 8,988
The News Corporation 26,368 931,120
Time Warner 35,300 2,541,600
Times Mirror 'A' 15,505 918,671
Viacom Class B* 42,900 1,887,600
WPP Group (United Kingdom) 61,048 517,060
- ----------------------------------------------------------------------------
15,897,664
Chemicals: 1.7%
- ----------------------------------------------------------------------------
Akzo Nobel (Netherlands) 18,413 777,544
Dow Chemical 9,385 1,190,722
DuPont(E.I.)deNemours 32,775 2,238,942
Hoechst AG (Germany) 24,296 1,098,896
Monsanto 28,590 1,127,518
PPG Industries 7,895 466,298
Praxair 20,100 983,644
Shin-Etsu Chemical (Japan) 3,000 100,413
Union Carbide 13,310 648,863
- ----------------------------------------------------------------------------
8,632,840
Computers & Technology: 6.3%
- ----------------------------------------------------------------------------
ACT Networks* 9,000 153,281
Advanced Communications Systems* 4,700 64,478
Allaire* 1,500 102,234
America Online* 7,800 861,900
Apple Computer* 11,400 528,675
Ask Jeeves 200 2,800
Aware* 4,000 184,000
Backweb Technologies* 2,100 57,225
Black Box* 4,600 230,719
Bottomline Technologies* 2,000 105,875
Brio Technology* 6,400 130,000
BroadVision* 1,800 132,638
Business Objects ADR* 6,600 242,138
Catapult Communications* 2,800 52,938
Cisco Systems* 34,000 2,189,836
Global Asset Allocation Fund 9
<PAGE>
Number Market
Computers & Technology (Cont.) of Shares Value
- ----------------------------------------------------------------------------
Clarent 700 $ 10,500
Clarify* 3,700 152,741
CMGI* 4,000 454,875
Computer Network Technology* 13,100 282,878
Comverse Technology* 7,950 599,728
Concur Technologies* 4,000 113,000
Dendrite International* 5,700 206,803
DuPont Photomasks* 2,200 105,600
Electronic Data Systems 15,115 854,942
EMC* 10,800 594,000
Emulex* 6,100 680,722
Exchange Applications* 6,200 252,844
Fujitsu (Japan) 59,000 1,187,314
Globix* 5,500 242,688
Genesys Telecommunication Laboratories 10,700 267,166
Health Care Cost Contain* 1,000 23,969
Hewlett-Packard 17,100 1,718,550
Igen International* 2,200 64,488
Informatica* 2,600 92,788
International Business Machines 33,406 4,317,726
Intervu* 2,400 91,725
Lexmark International Group A* 5,100 336,919
Micromuse* 5,300 264,006
Microsoft* 55,600 5,010,950
Mpath Interactive* 1,800 39,713
Multex.com* 2,900 75,944
Nanometrics* 7,510 59,611
NCR* 25,040 1,222,265
Net Perceptions* 2,826 61,819
NFRONT* 1,000 15,219
OneSource Information Services* 1,000 8,594
Peregrine Systems* 1,000 25,656
Pinnacle Systems* 4,600 155,250
Pitney Bowes 17,000 1,092,250
Proxicom* 300 7,659
Qlogic* 2,800 369,950
Ramp Networks* 3,700 53,072
Seagate Technology* 19,930 510,706
Security First Technologies* 2,500 112,656
Silknet Software* 1,800 72,956
Spyglass* 5,900 119,844
Starmedia Network* 400 25,650
Sun Microsystems* 21,400 1,474,594
TDK (Japan) 2,000 182,975
Unisys* 19,400 755,388
Verity* 4,400 238,288
Verticalnet* 700 73,609
Viant Services US* 200 6,963
Visual Networks* 4,900 156,647
Xerox 22,555 1,332,155
Zoran* 12,000 201,750
- ----------------------------------------------------------------------------
31,416,842
Consumer Products: 1.1%
- ----------------------------------------------------------------------------
Benesse (Japan) 1,900 206,488
Colorado Medtech* 5,400 118,463
Clorox 6,500 694,281
Estee Lauder Class A 28,200 1,413,525
Hedstrom Holdings* 303 303
Kimberly-Clark 29,050 1,655,850
Minnesota Mining & Manufacturing 10,685 928,927
Provant* 4,997 77,766
Shiseido (Japan) 36,000 539,702
- ----------------------------------------------------------------------------
5,635,305
Electronics & Electrical Equipment: 4.6%
- ----------------------------------------------------------------------------
Advantest (Japan) 3,600 395,702
Alpha Industries* 3,300 157,163
American Xtal Technology* 2,400 56,700
Anadigics* 7,200 266,175
Applied Micro Circuits* 3,200 265,800
ATMI* 8,000 237,000
Benchmark Electronics* 6,300 226,406
Canon (Japan) 9,400 270,347
Credence Systems* 7,900 291,313
Cree Research* 2,000 153,938
Daisytek International* 2,300 37,375
Number Market
Electronics & Electrical Equipment (Cont.) of Shares Value
- ----------------------------------------------------------------------------
DII Group* 12,000 $ 446,250
Emerson Electric 13,525 850,384
Etec Systems* 4,300 142,438
General Electric 38,800 4,384,400
Globespan* 2,400 94,425
Hadco* 5,600 222,600
Harmonic Lightwaves* 9,200 528,138
HI/FN* 2,500 189,609
Honeywell 4,700 544,613
Maker Communications* 400 12,350
Matsushita Elecric Industrial (Japan) 40,000 776,859
Micrel* 3,550 263,144
Motorola 40,205 3,809,424
Murata Manufacturing (Japan) 3,000 197,355
Optical Coating Laboratory 100 8,359
Photronics* 5,300 130,016
Power Integrations* 5,200 379,925
Raytheon Class A 14,905 1,026,582
Rockwell International 12,785 776,689
Rohm (Japan) 2,400 375,868
Stanford Telecommunications* 5,300 156,681
STMicroelectronics N.V. 11,324 785,603
Samsung Electronics (South Korea) 1,027 112,682
Sipex* 5,800 118,538
Smiths Industries (United Kingdom) 25,668 341,804
Solectron* 16,100 1,073,669
Sony (Japan) 6,000 647,107
Texas Instruments 4,400 638,000
Toshiba Corporation (Japan)* 64,000 456,463
Veeco Instruments* 2,800 95,463
Whirlpool 11,820 874,680
- ----------------------------------------------------------------------------
22,818,037
Energy: 3.9%
- ----------------------------------------------------------------------------
Atlantic Richfield 13,275 1,109,292
Burmah Castrol (United Kingdom) 11,651 222,190
Chevron 11,375 1,082,758
Conoco 49,855 1,389,708
Duke Energy 13,485 733,247
Elf Aquitaine (France) 7,765 1,143,633
Enron 18,900 1,545,075
Ente Nazionale Idrocarburi SpA (ENI) (Italy) 164,390 985,132
Exxon 47,287 3,647,010
Independent Energy Holdings ADR* 9,600 130,800
Mobil 12,310 1,218,690
Occidental Petroleum 45,540 962,033
Phillips Petroleum 14,480 728,525
Royal Dutch Petroleum 20,205 1,217,351
Shell Transport & Trading (United Kingdom) 84,809 636,637
Sonat 21,785 721,628
Tosco 21,305 552,598
Unocal 17,595 697,202
Williams 21,930 933,396
- ----------------------------------------------------------------------------
19,656,905
Environmental Services: 0.4%
- ----------------------------------------------------------------------------
Casella Waste Systems* 3,400 87,975
Halliburton 28,325 1,281,706
Waste Management 10,750 577,813
- ----------------------------------------------------------------------------
1,947,494
Food, Beverages & Tobacco: 2.0%
- ----------------------------------------------------------------------------
Anheuser Busch 4,950 351,141
Bass (United Kingdom) 9,891 144,051
Coca-Cola Femsa S.A. 6,326 122,566
Compagnie Financiere Richemont AG (Switzerland) 442 854,010
Diageo (United Kingdom) 66,969 698,835
Fomento Economico Mexicano ADR 5,237 208,825
General Mills 9,755 784,058
Groupe Danone (France) 1,240 320,850
Hain Food Group* 3,900 80,316
Heinz (H.J.) 8,715 436,839
Kellogg Company 14,040 463,320
Koninklijke Ahold (Netherlands) 3,061 105,816
Laurus (Netherlands) 8,192 190,771
Pepsi Bottling Group 39,875 919,617
P.F.Chang's China Bistro* 3,440 74,498
Global Asset Allocation Fund 10
<PAGE>
Number Market
Food, Beverages & Tobacco (Cont.) of Shares Value
- ----------------------------------------------------------------------------
Philip Morris 28,550 $1,147,353
Quaker Oats 12,435 825,373
Sara Lee 34,270 777,501
Tesco (United Kingdom) 247,300 642,229
The Seagram Company Ltd. 14,640 737,490
- ----------------------------------------------------------------------------
9,885,459
Healthcare & Pharmaceuticals: 5.4%
- ----------------------------------------------------------------------------
Accredo Health* 6,900 226,838
Advance Paradigm* 3,900 236,438
Albany Molecular Research* 2,800 83,650
Allergan 3,900 432,900
American Home Products 51,390 2,954,925
Amgen* 12,200 742,294
Amsurg* 6,200 47,469
Bausch & Lomb 14,045 1,074,443
Baxter International 16,895 1,024,259
Bergen Brunswig Class A 22,000 379,500
Biogen* 13,400 862,206
Bristol-Myers Squibb 20,850 1,468,622
Brookdale Living Communities* 3,700 55,153
CareMatrix* 2,500 31,016
Coulter Pharmaceuticals* 8,100 182,503
Eisai Co. Limited (Japan) 9,000 177,397
F.Y.I.* 3,900 122,363
Immunex* 1,800 229,331
Johnson & Johnson 14,600 1,430,800
Mallinckrodt 14,410 524,164
Medical Laser Systems* 2,300 144,756
Medicis Pharmaceutical Class A* 4,425 112,284
MedQuist* 10,300 450,303
Merck & Company 22,130 1,637,620
Novartis (Switzerland) 298 437,131
Osteotech* 2,400 69,075
Pediatrix Medical Group* 900 19,125
Pharmacia & Upjohn ADR 8,879 493,234
Pharmacia & Upjohn (Sweden) 50,660 2,878,121
Priority Healthcare-B* 9,450 326,911
Province Healthcare* 6,100 119,713
Rehabcare Group* 5,600 103,250
Renal Care Group* 7,425 191,890
ResMed* 4,900 162,466
Sabratek* 4,800 105,000
Sanofi-Synthelabo (France)* 9,584 408,185
Schering Plough 46,700 2,475,100
SmithKline Beecham Plc (United Kingdom) 19,787 257,243
Sunrise Assisted Living* 5,000 174,063
Tenet Healthcare* 33,870 628,712
Trimeris* 2,400 34,875
Ventana Medical Systems* 3,600 69,413
Warner-Lambert 25,700 1,782,938
Wesley Jessen VisionCare* 4,300 138,272
Xomed Surgical Products* 8,950 433,516
Yamanouchi Pharmaceutical (Japan) 20,000 765,289
- ----------------------------------------------------------------------------
26,704,756
Industrial Machinery: 0.8%
- ----------------------------------------------------------------------------
Advanced Energy Industries* 5,800 235,081
Caterpillar 8,775 526,500
Deere & Co. 18,885 748,318
Helix Technology 9,100 218,116
Mannesmann AG (Denmark) 8,996 1,350,075
Parker Hannifin 13,425 614,194
PRI Automation* 2,600 94,575
Sandvik AB - A Shares (Sweden) 2,700 59,197
Sandvik AB - B Shares (Sweden) 2,220 49,329
- ----------------------------------------------------------------------------
3,895,385
Leisure, Lodging & Entertainment: 1.2%
- ----------------------------------------------------------------------------
Carnival Cruise Lines 20,100 974,850
Cinar Films Class B* 8,800 217,250
Eastman Kodak 12,720 861,780
EMI Group (United Kingdom) 65,558 527,314
Global Vacation Group* 600 2,700
Granada Group (United Kingdom) 35,612 665,653
Grupo Televisa SA GDR* 8,543 382,833
Hasbro 26,257 733,555
MemberWorks* 1,800 52,594
Number Market
Leisure, Lodging & Entertainment (Cont.) of Shares Value
- ----------------------------------------------------------------------------
Nippon Television Network (Japan) 410 $ 169,421
Societe Television Francaise (France) 785 183,619
Steiner Leisure* 1,750 52,828
Sunterra* 12,700 177,006
Vistana 8,000 124,500
Walt Disney 22,675 698,673
- ----------------------------------------------------------------------------
5,824,576
Metals & Mining: 0.2%
- ----------------------------------------------------------------------------
Alcoa 14,255 882,028
Pohang Iron & Steel (South Korea) 250 29,738
- ----------------------------------------------------------------------------
911,766
Miscellaneous: 1.6%
- ----------------------------------------------------------------------------
AHL Services* 7,000 173,906
Education Management* 11,200 232,050
Invensys (United Kingdom) 32,801 155,608
LCA-Vision* 12,400 99,200
Mattel 33,025 873,098
On Assignment* 6,800 177,225
ProBusiness Services* 7,500 268,594
Securicor (United Kingdom) 41,343 363,544
Service International 60,765 1,169,726
Tyco International 47,800 4,529,050
Vedior (Netherlands) 7,106 121,352
- ----------------------------------------------------------------------------
8,163,353
Packaging & Containers: 0.5%
- ----------------------------------------------------------------------------
Owens-Illinois* 42,265 1,381,537
Sealed Air* 7,300 473,588
Smurfit-Stone Container* 44,195 907,379
- ----------------------------------------------------------------------------
2,762,504
Paper & Forest Products: 0.5%
- ----------------------------------------------------------------------------
Abitibi-Consolidated (Canada) 11,500 132,617
Boise Cascade 41,125 1,768,375
Weyerhaeuser 8,650 594,688
- ----------------------------------------------------------------------------
2,495,680
Real Estate: 0.1%
- ----------------------------------------------------------------------------
Fastighets AB Balder (Sweden) 0.1 1
Henderson Land Development (Hong Kong) 30,000 172,452
Realty Information Group* 5,200 224,575
- ----------------------------------------------------------------------------
397,028
Retail: 4.7%
- ----------------------------------------------------------------------------
99 Cents Only Stores* 4,662 232,809
Action Performance* 2,500 82,422
Amazon.com* 4,000 500,375
Ameriking* 75 3,000
Best Buy* 12,000 810,000
Coles Myer (Australia) 51,000 298,225
Colgate-Palmolive 11,800 1,165,250
Costco Companies* 20,800 1,664,650
Cost Plus* 5,850 265,809
CVS Corporation 34,242 1,750,622
David's Bridal* 8,800 137,775
Dayton Hudson 11,000 715,000
Federated Department Stores* 22,085 1,169,125
Gap 18,975 955,866
Home Depot 31,200 2,010,450
K Mart* 49,610 815,464
Linens N Things* 9,300 406,875
PJ America* 2,800 59,413
Rent-Way* 9,869 243,024
Rite Aid 46,100 1,135,213
SAKS* 24,640 711,480
Safeway* 21,300 1,054,350
Sears,Roebuck 18,725 834,433
Sunglass Hut International* 12,900 221,316
TJX 38,600 1,285,863
Tuesday Morning* 3,400 87,550
Tweeter Home Entertainment Group* 5,585 218,164
Vendex (Netherlands) 3,459 92,724
Walgreen 45,700 1,342,438
Wal-Mart Stores 59,100 2,851,575
Zany Brainy* 5,500 53,109
- ----------------------------------------------------------------------------
23,174,369
Global Asset Allocation Fund 11
<PAGE>
Number Market
of Shares Value
- ----------------------------------------------------------------------------
Telecommunications: 7.7%
- ----------------------------------------------------------------------------
Allegiance Telecom* 117 $ 6,416
Alltel 20,970 1,499,355
Ameritech 9,360 687,960
Artesyn Technologies* 11,900 264,031
A T & T 35,963 2,007,157
BCE (Canada) 20,688 1,012,872
Bell Atlantic 19,710 1,288,541
BellSouth 25,000 1,171,875
British Telecom (United Kingdom) 71,445 1,195,576
Cable & Wireless Optus (Australia)* 24,000 54,923
CChina Telecom (Hong Kong)* 309,000 858,256
Comcast - Special Class A* 16,400 630,375
Concord Communications* 1,600 71,400
Copper Mountain Networks* 300 23,138
Ditech Communications 5,700 114,356
Dycom* 8,650 484,400
France Telecom SA (France) 3,560 269,897
Grupo Carso Global Teleco (Mexico)* 26,200 166,699
GST Telecommunications* 11,600 152,613
GTE 21,245 1,607,981
Hellenic Telecommunications (Greece) 8,465 182,168
Hispanic Broadcasting* 7,200 546,075
Intermedia Communications* 3,900 116,878
Korea Telecom ADR* 6,800 272,000
Libertel (Netherlands)* 7,800 153,387
Lucent Technologies 48,100 3,243,744
MCI Worldcom* 26,400 2,271,225
Network Plus 600 12,544
Nextel Communications* 549 27,570
Nokia 12,972 1,187,749
Nokia Oyj (Finland) 8,522 749,723
Nortel Networks 10,530 914,136
Orange (United Kingdom)* 17,500 257,762
Pinnacle Holdings* 20,200 493,638
Portugal Telecom SA (Portugal) 10,768 439,666
Powerwave Technologies* 4,100 132,225
Price Communications* 14,675 220,125
Qualcomm* 7,600 1,090,838
Saga Communications* 7,428 149,489
SBC Communications 75,784 4,395,472
Sprint* 10,400 594,100
Swisscom AG (Switzerland) 1,954 738,669
Tele Centro Sul Participacoes S.A. 5,356 297,258
Telefonaktiebolaget LM Ericsson (Sweden) 31,601 1,017,791
Telefonos De Mexico SA 6,451 521,321
Telesp Celular Participacoes S.A. 12,354 330,470
Telesp Participacoes S.A. 16,986 388,555
Tellabs* 16,500 1,115,297
Transwitch* 2,100 99,422
U.S.West 15,512 911,330
Vodafone Group ADR* 5,400 1,063,800
Winstar Communications* 4,109 200,444
- ----------------------------------------------------------------------------
38,251,621
Textiles, Apparel & Furniture: 0.3%
- ----------------------------------------------------------------------------
Gucci Group N.V. 5,224 365,680
J. Jill Group* 3,900 56,672
Lear* 8,215 408,696
Nike 4,900 310,231
Sportsline USA* 4,200 150,938
- ----------------------------------------------------------------------------
1,292,217
Transportation & Shipping: 1.4%
- ----------------------------------------------------------------------------
Bombardier (Canada) 10,879 167,027
British Airways plc (United Kingdom) 46,847 322,639
Burlington Northern Santa Fe 26,230 813,130
Carey International* 5,800 143,188
Cathay Pacific Airways (Hong Kong) 191,000 292,949
Delta Air Lines 20,020 1,153,653
Eagle USA Airfreight* 9,700 410,734
Expeditors International 8,700 237,347
FDX* 16,800 911,400
Fritz* 8,900 95,953
Mesaba Holdings* 10,400 132,275
Number Market
Transportation & Shipping (Cont.) of Shares Value
- ----------------------------------------------------------------------------
Peninsular and Orient Steam (United Kingdom) 16,635 $ 250,274
Skywest 5,200 129,188
Southwest Airlines 36,980 1,151,003
TNT Post Group NV (Netherlands) 4,258 102,023
Union Pacific 9,600 559,800
- ----------------------------------------------------------------------------
6,872,583
Utilities: 2.3%
- ----------------------------------------------------------------------------
Anglian Water (United Kingdom) 18,100 200,450
Companhia Energetica de Minas Gerais ADR* 11,300 235,822
Consolidated Edison 18,380 831,695
DDI (Japan) 101 628,537
Dominion Resources/Virginia 18,055 782,007
Edison International 27,715 741,376
Entergy 29,205 912,656
Hong Kong & China Gas (Hong Kong) 3,500 5,075
Korea Electric Power (South Korea) 370 15,375
Korea Electric Power ADR 17,226 353,133
Nippon Telegraph & Telephone (Japan) 75 873,967
Scottish Power (United Kingdom) 43,058 373,186
Sprint 65,260 3,446,544
Telefonica de Espana (Singapore)* 10,817 522,946
Texas Utilities 17,680 729,300
Tokyo Electric Power (Japan) 22,800 481,438
Vivendi (France) 5,058 411,212
- ----------------------------------------------------------------------------
11,544,719
Total Common Stock: 62.9%
(Cost $221,258,841) 313,191,537
- ----------------------------------------------------------------------------
Preferred Stock:
- ----------------------------------------------------------------------------
Ameriking* 3,867 92,808
California Federal* 4,000 104,500
Capstar Broadcasting* 281 33,088
Chancellor Media* 300 33,038
Chevy Chase* 670 35,929
Citadel Broadcasting* 697 82,072
Concentric Network* 200 19,200
CSC Holdings* 546 60,606
CSC Holdings* 183 21,137
Dobson Communications* 10 9,773
Dobson Communications PIK 144A* 1,000 101,000
First Rep Cap 144A* 1,000 99,500
Global Crossing* 860 91,160
Intermedia Communications PIK* 105 104,730
IXC Communications* 32 31,277
Nebco Evans Holding* 9 360
Nextel Communications* 25 26,063
Nextel Communications PIK* 18 18,990
Nextlink Communications* 720 36,720
Paxson Communications* 70 6,405
Paxson Communications* 746 66,801
Pohang Iron & Steel* 1,400 168,966
Pohang Iron & Steel 144A* 300 36,160
Public Service New Hampshire* 1,055 26,375
R&B Falcon* 500 51,500
Spanish Broadcasting* 87 93,090
Taiwan Semiconductor 62,000 299,398
Volkswagen AG (Germany) 1,311 49,391
Winstar Communications* 50 54,250
- ----------------------------------------------------------------------------
Total Preferred Stock: 0.4%
(Cost $1,583,505) 1,854,287
- ----------------------------------------------------------------------------
Warrants/Rights:
- ----------------------------------------------------------------------------
Bouygues Rights* 1,294 3,455
Cellnet Data Systems* 1,708 1,313
Diva Systems* 510 61
DTI Holdings* 1,552 10
Epic Resorts* 30 0
Equity Office Property* 450 27
Firstworld Communications Warrants* 140 7,000
Globalstar Telecom* 206 2,750
Hyperion Telecommunications* 100 6,000
KMC Telecom Holdings* 125 3,125
Knology Holdings Warrants* 110 220
Global Asset Allocation Fund 12
<PAGE>
Number Market
Warrants/Rights (Cont.) of Shares Value
- ----------------------------------------------------------------------------
Long Distance Internationall Warrants* 301 $ 40
MGC Communication Warrants* 80 2,500
Mediq* 40 0
Onepoint Communications* 12 20
Orbital Imaging* 350 1,620
Pathnet Warrants* 65 650
PowerTel Warrants* 1,280 8,640
Rhythms Netconnections Warrants* 1,468 60,083
Startec Global* 50 40
Telehub Communications* 499 900
- ----------------------------------------------------------------------------
Total Warrants/Rights: 0.0%
(Cost $38,027) 98,454
- ----------------------------------------------------------------------------
Par
Repurchase Agreement Amount
- ----------------------------------------------------------------------------
Warburg Dillon Read Repurchase Agreement,
dated 6/30/99, 4.80%, maturing 7/1/99,
collateralized by $6,581,000 U.S. Treasury Bond,
14.00%, 11/15/01,
market value $9,677,412) $9,475,000 9,475,000
- ----------------------------------------------------------------------------
Total Repurchase Agreement: 1.9%
(Cost $9,475,000) 9,475,000
- ----------------------------------------------------------------------------
Total Investments: 96.2%
(Cost $391,551,865) 479,074,646
- ----------------------------------------------------------------------------
Other Assets Over Liabilities: 3.8% 19,005,630
- ----------------------------------------------------------------------------
Net Assets: 100.0%
(Equivalent to $15.659 per share based on
31,808,791 shares issued and outstanding) 498,080,276
- ----------------------------------------------------------------------------
Components of Net Assets at June 30, 1999:
- ----------------------------------------------------------------------------
Common Stock, $.01 par value
50,000,000 authorized shares 318,088
Paid in capital in excess of par value
of shares issued 391,957,919
Undistributed net investment income 3,208,488
Accumulated net realized gain on
investments and futures contracts 21,253,227
Net unrealized appreciation of investments,
foreign currencies, and futures contracts 81,342,554
- ----------------------------------------------------------------------------
Total Net Assets $498,080,276
- ----------------------------------------------------------------------------
* Non-income producing security.
** Par amounts for foreign debt are expressed in local currency
ADR - American Depository Receipt
GDR - Global Depository Receipt
PIK - Pay in kind security.
TBA - To be announced.
(+) Fully or partially pledged as collateral for open futures contracts.
See accompanying notes to financial statements.
Global Asset Allocation Fund 13
<PAGE>
Lincoln National Global Asset Allocation Fund, Inc.
Statement of Operations - Unaudited
Six months ended June 30, 1999
Investment income:
Interest $ 5,288,483
- ------------------------------------------------------------------------------
Dividends 2,080,263
- ------------------------------------------------------------------------------
Less: Foreign withholding tax (68,203)
- ------------------------------------------------------------------------------
Total investment income 7,300,543
- ------------------------------------------------------------------------------
Expenses:
Management fees 1,754,400
- ------------------------------------------------------------------------------
Accounting fees 190,600
- ------------------------------------------------------------------------------
Custody fees 198,500
- ------------------------------------------------------------------------------
Printing and postage 109,150
- ------------------------------------------------------------------------------
Legal fees 15,400
- ------------------------------------------------------------------------------
Directors fees 2,100
- ------------------------------------------------------------------------------
Other 53,013
- ------------------------------------------------------------------------------
Total expenses 2,323,163
- ------------------------------------------------------------------------------
Net investment income 4,977,380
- ------------------------------------------------------------------------------
Net realized and unrealized gain (loss) on
investments, futures contracts, and
foreign currency related transactions:
Net realized gain (loss) on:
Investment transactions and futures contracts 23,127,938
- ------------------------------------------------------------------------------
Foreign currency transactions (766,384)
- ------------------------------------------------------------------------------
Net realized gain on investments, futures
contracts, and foreign currency related transactions 22,361,554
- ------------------------------------------------------------------------------
Net change in unrealized depreciation of:
Investments and futures contracts (11,148,160)
- ------------------------------------------------------------------------------
Foreign currency (1,141,892)
- ------------------------------------------------------------------------------
Net change in unrealized depreciation of investments,
futures contracts, and foreign currency related
transactions (12,290,052)
- ------------------------------------------------------------------------------
Net realized and unrealized gain (loss) of investments,
futures contracts, and foreign currency 10,071,502
- ------------------------------------------------------------------------------
Net increase in net assets resulting from operations $15,048,882
- ------------------------------------------------------------------------------
Statements of Changes in Net Assets
Six months
ended
6/30/99 Year ended
(Unaudited) 12/31/98
------------------------------
Changes from operations:
Net investment income $ 4,977,380 $ 10,912,966
- -------------------------------------------------------------------------
Net realized gain on investments,
futures contracts, and foreign currency 22,361,554 10,444,954
- -------------------------------------------------------------------------
Net change in unrealized appreciation /
(depreciation) of investments, futures
contracts, and foreign currency (12,290,052) 36,086,153
- -------------------------------------------------------------------------
Net increase in net assets
resulting from operations 15,048,882 57,444,073
- -------------------------------------------------------------------------
Distributions to shareholders from:
Net investment income (4,756,784) (16,888,181)
- -------------------------------------------------------------------------
Net realized gain on investments (13,318,486) (33,708,317)
- -------------------------------------------------------------------------
Total distributions to shareholders (18,075,270) (50,596,498)
- -------------------------------------------------------------------------
Net increase in net assets
resulting from capital share transactions 10,952,778 45,216,416
- -------------------------------------------------------------------------
Total increase in net assets 7,926,390 52,063,991
- -------------------------------------------------------------------------
Net Assets, beginning of period 490,153,886 438,089,895
- -------------------------------------------------------------------------
Net Assets, end of period $498,080,276 $490,153,886
- -------------------------------------------------------------------------
See accompanying notes to financial statements.
Global Asset Allocation Fund 14
<PAGE>
Lincoln National Global Asset Allocation Fund, Inc.
Financial Highlights
(Selected data for each capital share outstanding throughout each period)
<TABLE>
<CAPTION>
Six months
ended
6/30/99 Year ended December 31,
(Unaudited) 1998 1997 1996 1995 1994
----------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 15.759 $ 15.628 $ 14.226 $ 13.391 $ 11.144 $ 12.502
Income (loss) from investment operations:
Net investment income(2) 0.159 0.357 0.383 0.392 0.412 0.349
Net realized and unrealized gain (loss)
on investments and foreign currency 0.327 1.585 2.205 1.522 2.247 (0.702)
----------------------------------------------------------------
Total from investment operations 0.486 1.942 2.588 1.914 2.659 (0.353)
----------------------------------------------------------------
Less dividends and distributions:
Dividends from net investment income (0.154) (0.589) - (0.392) (0.412) (0.349)
Distributions from net realized gain on
investment transactions (0.432) (1.222) (1.186) (0.687) - (0.656)
----------------------------------------------------------------
Total dividends and distributions (0.586) (1.811) (1.186) (1.079) (0.412) (1.005)
----------------------------------------------------------------
Net asset value, end of period $ 15.659 $ 15.759 $ 15.628 $ 14.226 $ 13.391 $ 11.144
----------------------------------------------------------------
Total Return(1) 3.49% 13.50% 19.47% 15.04% 23.95% (1.82%)
Ratios and supplemental data:
Ratio of expenses to average net assets 0.95%(3) 0.91% 0.89% 1.00% 0.92% 1.06%
Ratio of net investment income
to average net assets 2.03%(3) 2.36% 2.77% 2.93% 3.36% 3.07%
Portfolio Turnover 139.61% 133.84% 178.40% 167.33% 146.49% 134.33%
Net assets, end of period (000 omitted) $498,080 $490,154 $438,090 $316,051 $248,772 $195,697
</TABLE>
(1) Total return percentages in this table are calculated on the basis
prescribed by the Securities and Exchange Commission. These percentages are
based on the underlying mutual fund shares. The total return percentages in
the table are NOT calculated on the same basis as the performance
percentages in the letter at the front of this booklet (those percentages
are based upon the change in unit value).
(2) Per share information for the year ended December 31, 1998 and six months
ended June 30, 1999, was based on the average shares outstanding method.
(3) Annualized
See accompanying notes to financial statements.
Global Asset Allocation Fund 15
<PAGE>
Lincoln National Global Asset Allocation Fund, Inc.
Notes to Financial Statements - Unaudited
June 30, 1999
The Fund: Lincoln National Global Asset Allocation, Inc. (the "Fund") is
registered as an open-end, diversified management investment company under the
Investment Company Act of 1940, as amended. The Fund's shares are sold only to
The Lincoln National Life Insurance Company and Lincoln Life & Annuity Company
of New York (the "Companies") for allocation to their variable annuity products
and variable universal life products.
The Fund's investment objective is to maximize long-term total return consistent
with preservation of capital. The Fund allocates its assets among several
categories of equity and fixed-income securities, both of U.S. and foreign
issuers.
1. Significant Accounting Policies
Investment Valuation: Portfolio securities which are traded on an exchange are
valued at the last reported sale price on the exchange or market where primarily
traded or listed or, in the absence of recent sales, at the mean between the
last reported bid and asked prices. Long-term debt investments are valued at
their mean quotations. Options traded on exchanges are valued at the last bid
price for options purchased and the last sale price for options written. Options
traded in the over-the-counter market are valued at the last asked price for
options written and the last bid price for options purchased. Financial futures
are valued at the settlement price established each day by the board of trade or
exchange on which they are traded. Forward foreign currency contracts are valued
at the forward exchange rates prevailing on the day of valuation. Other
securities and assets for which market quotations are not readily available are
valued at fair value as determined in good faith by or under the direction of
the Fund's Board of Directors. Money market instruments having less than 60 days
to maturity are stated at amortized cost, which approximates market value.
Investment Transactions and Investment Income: Investment transactions are
accounted for on the trade date. Dividend income is recorded on the ex-dividend
date and interest income is recorded on the accrual basis and includes
amortization of any premium and discount. Realized gains or losses from
investment transactions are reported on an identified cost basis. Gains and
losses on premiums from expired options are recognized on the date of
expiration.
Foreign Currency Transactions: The books and records of the Fund are maintained
in U.S. dollars. All assets and liabilities denominated in a foreign currency
are translated into U.S. dollars based upon foreign exchange rates prevailing at
the end of the period. Income and expenses and purchases and sales of
investments are translated into U.S. dollars at the rate of exchange prevailing
on the respective dates of such transactions. It is not practical to isolate
that portion of both realized and unrealized gains and losses on investments in
equity securities that result from fluctuations in foreign currency exchange
rates in the statement of operations. The Fund does isolate that portion of
gains and losses on investments in debt securities which are due to changes in
the foreign exchange rate from that which are due to changes in market prices of
debt securities.
Reported net realized gains and losses on foreign currency transactions arise
from sales and maturities of forward foreign currency contracts, currency gains
and losses between the trade and settlement dates on securities transactions,
and the differences between the amounts of dividends, interest, and foreign
withholding taxes recorded on the Fund's books and the U.S. dollar equivalent of
the amounts actually received or paid. Net change in unrealized appreciation or
depreciation on translation of assets and liabilities in foreign currencies
arise from changes in the value of other assets and liabilities at the end of
the period resulting from changes in the exchange rates.
Use of Estimates: The preparation of financial statements in conformity with
generally accepted accounting principles requires management to make estimates
and assumptions that affect the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of increases and decreases in net assets
from operations during the reporting period. Actual results could differ from
those estimates.
Taxes: The Fund has complied with the special provisions of the Internal Revenue
Code for regulated investment companies. As such, the Fund is not subject to
U.S. federal income taxes to the extent that it distributes all of its taxable
income for its fiscal year.
Withholding taxes on foreign interest and dividends have been provided for in
accordance with the applicable country's tax rates.
Global Asset Allocation Fund 16
<PAGE>
Notes to Financial Statements - Unaudited - (Continued)
2. Management Fees and Other Transactions With Affiliates
Lincoln Investment Management Company (the "Advisor") and its affiliates manage
the Fund's investment portfolio and maintain its accounts and records. For these
services, the Advisor receives a management fee at an annual rate of .75% of the
first $200,000,000 of the average daily net assets of the Fund, .70% of the next
$200,000,000, and .68% of the average daily net assets of the Fund in excess of
$400,000,000. The sub-advisor, Putnam Investments, is paid directly by the
Advisor.
Delaware Service Company ("Delaware"), an affiliate of the Advisor, provides
accounting services and other administration support to the Fund. For these
services, the Fund pays Delaware a monthly fee based on average net assets,
subject to certain minimums.
If the aggregate annual expenses of the Fund, including the management fee, but
excluding taxes, interest, brokerage commissions relating to the purchase or
sale of portfolio securities and extraordinary non-recurring expenses, exceed
1.50% of the average daily net assets of the Fund, the Advisor will reimburse
the Fund in the amount of such excess. No reimbursement was due for the six
months ended June 30, 1999.
Certain officers and directors of the Fund are also officers or directors of the
Companies and receive no compensation from the Fund. The compensation of
unaffiliated directors of the Fund is borne by the Fund.
3. Investments
The cost of investments for federal income tax purposes approximates cost for
book purposes. The aggregate cost of investments purchased and the aggregate
proceeds from investments sold for the six months ended June 30, 1999 and the
aggregate gross unrealized appreciation, the aggregate gross unrealized
depreciation and the net unrealized appreciation at June 30, 1999 are as
follows:
<TABLE>
<CAPTION>
Aggregate Aggregate Gross Gross Net
Cost of Proceeds Unrealized Unrealized Unrealized
Purchases From Sales Appreciation Depreciation Appreciation
-----------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
$330,261,365 $335,064,620 $96,836,727 $(9,313,946) $87,522,781
</TABLE>
4. Supplemental Financial Instrument Information
Options: The Fund may purchase or write options that are exchange traded to
hedge fluctuation risks in the price of certain securities. When the Fund writes
a call or put option, an amount equal to the premium received is reflected as a
liability. The amount of the liability is subsequently "marked-to-market" to
reflect the current market value of the option written. The premium paid by the
Fund for the purchase of a call or put option is recorded as an investment and
subsequently "marked-to-market" to reflect the current market value of the
option purchased. The Fund is subject to the risk of an imperfect correlation
between movement in the price of the instrument and the price of the underlying
security or transaction. Risks may also arise due to illiquid secondary markets
for the instruments. The Fund did not write any options during the six months
ended June 30, 1999. Purchases options that were open at June 30, 1999 were as
follows:
<TABLE>
<CAPTION>
Notional Unrealized
Options Strike Price Cost Amount Expiration Dates Gain (Loss)
-----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
6 USD call on Japanese Yen $135.00 $ 495,055 August 1999 $(216,377)
271 USD call on Euro 90 day future 94.75 23,877 September 1999 (20,490)
6 USD call on Japanese Yen 10 year future 110.00 1,124,025 March 1999 (167,992)
---------
$(404,859)
=========
</TABLE>
Global Asset Allocation Fund 17
<PAGE>
Notes to Financial Statements - Unaudited - (Continued)
Forward Foreign Currency Contracts: The Fund may purchase or sell forward
foreign currency contracts to hedge risks of fluctuations in specific
transactions or portfolio positions. Forward foreign currency contracts obligate
the Fund to take or deliver a foreign currency at a future date at a specified
price. The realized and unrealized gain or loss on the contracts is reflected in
the accompanying financial statements. The Fund is subject to the credit risks
that the counter parties to these contracts will fail to perform; although this
risk is minimized by purchasing such agreements from financial institutions with
long standing, superior performance records. In addition, the Fund is subject to
the market risks associated with unanticipated movements in the value of a
foreign currency relative to the U.S. dollar. Forward foreign currency contracts
that were open at June 30, 1999 were as follows:
<TABLE>
<CAPTION>
Contracts to Foreign U.S. Cost Unrealized
Receive (Deliver) Currency (Proceeds) Settlement Dates Gain (Loss)
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
1,227,188) Australian Dollar $ 796,024 September 1999 $ 21,019
(5,616,000) Australian Dollar (3,677,284) September 1999 (61,764)
3,196,600 Canadian Dollar 2,167,820 September 1999 15,986
(11,807,500) Canadian Dollar (8,044,134) September 1999 (22,338)
2,770,000 Danish Kroner 388,390 September 1999 (2,693)
(1,033,924) Danish Kroner (144,970) September 1999 1,005
26,670,900 European Monetary Unit 27,769,439 September 1999 (5,632)
(57,415,820) European Monetary Unit (59,750,766) September 1999 (17,811)
271,367,200 Greek Drachma 859,433 September 1999 (1,484)
(728,920,000) Greek Drachma (2,311,488) September 1999 6,948
3,792,601,630 Japanese Yen 32,339,515 September 1999 (629,294)
(2,198,492,380) Japanese Yen (18,710,110) September 1999 328,353
2,750,000 Great Britain Pound 4,411,899 September 1999 (67,906)
(6,374,900) Great Britain Pound (10,135,250) September 1999 65,242
1,710,000 Norwegian Kroner 214,979 September 1999 1,795
4,380,000 New Zealand Dollar 2,353,090 September 1999 (14,843)
(5,537,700) New Zealand Dollar (2,913,869) September 1999 (42,411)
1,970,000 Swiss Francs 1,294,190 September 1999 (9,591)
(4,527,000) Swiss Francs (2,981,101) September 1999 29,134
78,536,970 Swedish Krona 9,105,099 September 1999 221,511
(39,854,290) Swedish Krona (4,625,920) September 1999 (106,952)
---------
$(291,726)
=========
</TABLE>
Financial Futures Contracts: The Fund may purchase or sell financial futures
contracts, which are exchange traded. The Fund bears the market risk that arises
from changes in the value of these financial instruments. The Fund deposits with
its custodian a specified amount of cash or eligible securities called "initial
margin" or "variation margin". The market value of investments pledged to cover
margin requirements for open positions at June 30, 1999 was $3,104,960. The
unrealized gain or loss on the contracts is reflected in the accompanying
financial statements. The Fund is subject to the market risks of unexpected
changes in the underlying markets and interest rates; however, such changes in
the value generally are offset by changes in the value of the items being hedged
by such contracts. Financial futures contracts open at June 30, 1999 were as
follows:
<TABLE>
<CAPTION>
Notional Unrealized
Contracts Cost Amount Expiration Dates Gain (Loss)
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
(91) CAC 40 Index Contracts $ (4,185,729) September 1999 $ (94,508)
(69) S&P 500 contracts (22,819,372) September 1999 (1,014,953)
(64) NASDAQ 100 contracts (13,501,260) September 1999 (1,392,180)
(50) Russell 2000 contracts (11,178,445) September 1999 (371,555)
110 U.S. 10 Year Treasury note contracts 12,383,449 September 1999 (152,824)
(20) Gilt contracts (3,629,311) September 1999 114,809
(76) Ftse 100 Index contracts (7,856,235) September 1999 240,428
35 Euro Euribor contracts 9,087,447 September 1999 (279,791)
(78) German 10 Year contracts (8,970,551) September 1999 57,152
18 German 10 Year contracts 2,179,525 September 1999 (122,587)
(15) Australian All Ords Index contracts (734,922) September 1999 (7,747)
(12) Dax Index contracts (1,701,239) September 1999 28,110
24 Japan 10 Year contracts 13,215,116 September 1999 (403,881)
(7) Nikkei 225 contracts (485,868) September 1999 (21,776)
(1) MIB 30 Index contracts (185,404) September 1999 4,315
-----------
$(3,416,988)
===========
</TABLE>
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
repurchase price. However, in the event of default or bankruptcy by the
counterparty to the agreement, realization of the collateral may be subject to
legal proceedings.
Global Asset Allocation Fund 18
<PAGE>
Notes to Financial Statements - Unaudited - (Continued)
5. Credit and Market Risks
The Fund invests in foreign securities. As a result, there may be additional
risks, such as the investments being subject to restrictions as to repatriation
of cash back to the United States and to political or economic uncertainties. At
June 30, 1999 the Fund did not have investments in excess of 5% of net assets in
any individual foreign country.
The Fund may invest in illiquid securities which may include securities with
contractual restrictions on resale, securities exempt from registration under
Rule 144A of the Securities Act of 1933, as amended, and other securities which
may not be readily marketable. The relative illiquidity of some of these
securities may adversely affect the Fund's ability to dispose of such securities
in a timely manner and at a fair price when it is necessary to liquidate such
securities.
6. Summary of Changes From Capital Share Transactions
<TABLE>
<CAPTION>
Shares Issued Upon Net Increase
Capital Reinvestment of Capital Shares Resulting From Capital
Shares Sold Dividends Redeemed Share Transactions
---------------------------------------------------------------------------------------------------
Shares Amount Shares Amount Shares Amount Shares Amount
---------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Six months ended
June 30, 1999 (unaudited): 540,942 $ 8,514,570 1,152,868 $18,075,270 (987,281) $(15,637,062) 706,529 $10,952,778
Year ended
December 31, 1998: 1,671,912 25,333,336 3,464,248 50,596,498 (2,066,025) (30,713,418) 3,070,135 45,216,416
</TABLE>
9. Distributions to Shareholders
The Fund declares and distributes dividends on net investment income, if any,
semi-annually. Distributions of net realized gains, if any, are declared and
distributed annually.
Global Asset Allocation Fund 19
