[LOGO OF PUTNAM INVESTMENTS]
Lincoln National
Global Asset Allocation Fund, Inc.
Semi-Annual Report
June 30,2000
<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 -1.2% (net of fees) during the six months ended June
30, 2000 while its customized benchmark (50% S&P 500 Index; 30% Lehman Brothers
Aggregate Bond Index; 10% Morgan Stanley EAFE Index; 10% Salomon Brothers World
Government Bond, non-US Index) returned 0.5%.
For the six-month period, the U.S. economy remained generally favorable, despite
three Federal Reserve Board (Fed) interest-rate hikes, growing inflation
concerns, and record levels of stock market volatility. In Europe, growth
accelerated due to vibrant exports supported by the weak euro. Japan's economic
outlook continued to improve, while other Pacific Basin economies remained
robust.
U.S. equity markets broadened and the divergence between growth and value
narrowed. The S&P 500 Index's flat performance -0.5%, masked dramatic
volatility. European equity markets were also flat, in local currency terms,
while the Japanese equity market declined. Globally, technology stocks took a
steep dive in April but firmed by the end of the period.
Global bond markets finished the period relatively unchanged, with the U.S. the
top performer. The combination of the U.S. Treasury buy-back program and higher
short-term interest rates led to a flattening yield curve. All non-Treasury
sectors lagged: mortgages turned in the best performance and high yield the
worst.
We began the period underweight equities, but returned to a neutral allocation
in April as valuations improved. Underperformance was caused primarily by
lagging U.S. large-cap growth equity and fixed-income components and the weak
euro. Strong stock selection in the U.S. large-cap value, small-cap growth, and
international equity components boosted performance.
Looking ahead, we do not foresee valuation extremes in the global equity
markets, leading us to currently recommend a neutral stock versus bond
allocation. We remain overweight the euro, a position we have held for several
months.
William Landes, Ph.D
Global Asset Allocation Fund 1
<PAGE>
Lincoln National
Global Asset Allocation Fund, Inc.
Statement of Net Assets - Unaudited
June 30, 2000
Investments:
Par Market
Long-Term Debt Investments: Amount Value
-------------------------------------------------------------------------
U.S. Government and Agency Obligations: 10.3%
-------------------------------------------------------------------------
Federal Home Loan Mortgage Corporation (Gold)
8.50%, 7/1/28 $ 339,516 $ 348,959
Federal National Mortgage Association
5.75%, 4/15/03 620,000 601,154
7.50%, 7/1/07 172,449 171,749
6.00%, 5/15/08 3,235,000 3,015,512
6.63%, 9/15/09 855,000 825,955
6.00%, 3/1/14 736,078 697,664
6.00%, 8/1/14 816,049 772,442
5.50%, 8/15/14 314,627 291,325
8.00%, 4/1/25 834,847 842,413
8.00%, 3/1/26 38,223 38,545
8.00%, 8/1/26 641,807 647,223
8.00%, 7/1/29 31,535 31,693
7.50%, 8/1/29 387,232 382,150
7.00%, 9/1/29 1,052,039 1,016,861
8.00%, 9/1/29 222,020 223,131
7.00%, 11/1/29 973,846 940,978
7.50%, 11/1/29 380,668 375,434
7.50%, 11/1/29 600,374 592,306
7.50%, 12/1/29 278,605 274,861
7.00%, 1/1/30 790,000 763,337
7.00%, 1/1/30 320,176 309,370
7.50%, 1/1/30 299,935 295,811
7.50%, 1/1/30 488,318 481,603
7.50%, 1/1/30 310,266 306,000
7.50%, 1/1/30 56,554 53,532
7.00%, 2/1/30 876,536 846,953
7.50%, 2/1/30 397,049 391,590
7.00%, 4/1/30 985,165 951,608
7.50%, 4/1/30 75,001 73,946
7.00%, 5/1/30 988,950 955,264
7.50%, 5/1/30 641,322 632,304
7.50%, 5/1/30 58,608 57,784
7.50%, 5/1/30 530,273 522,816
7.50%, 5/1/30 281,272 277,317
7.50%, 5/1/30 878,547 866,192
7.00.%, 6/1/30 994,267 960,089
7.00%, 6/1/30 389,020 375,647
7.00%, 7/1/30 (7,295,000) (7,039,675)
7.50%, 7/1/30 (385,000) (379,345)
8.00%, 7/1/30 1,550,000 1,556,297
Government National Mortgage Association
9.00%, 12/15/09 187,112 193,544
10.00%, 6/15/13 224,453 239,814
11.00%, 12/15/15 3,527 3,860
11.00%, 12/15/15 16,960 18,560
11.00%, 12/15/15 37,919 41,497
9.00%, 8/15/16 25,824 26,930
9.00%, 12/15/16 419,114 433,521
9.00%, 11/15/17 620,775 649,097
9.00%, 12/15/17 624,778 646,255
9.00%, 12/15/17 777,750 804,485
9.50%, 12/15/17 228,498 237,852
8.00%, 10/15/22 364,489 372,576
7.50%, 1/15/23 110,017 110,360
7.50%, 8/15/23 447,234 448,352
7.50%, 8/15/23 61,218 61,371
7.50%, 9/15/23 294,131 294,775
8.00%, 12/15/23 1,311,138 1,326,707
7.00%, 4/15/24 256,157 251,114
9.00%, 2/15/25 608,502 631,511
10.00%, 3/15/25 317,334 339,051
8.00%, 8/15/25 176,028 178,118
7.00%, 4/15/26 193,562 189,086
8.00%, 6/15/26 388,709 394,539
7.00%, 10/15/26 193,213 188,141
Par Market
U.S. Gov't. and Agency Obligations (Cont.) Amount Value
-------------------------------------------------------------------------
6.50%, 3/15/28 $ 325,749 $ 309,563
7.00%, 4/15/28 941,073 916,370
6.00%, 7/25/29 2,290,000 2,094,634
9.00%, 10/15/29 807,559 835,319
9.00%, 4/15/30 668,714 690,865
U.S. Treasury Note
6.13%, 12/31/01 4,520,000 4,495,990
5.88%, 11/15/04 845,000 832,345
6.50%, 2/15/10 4,975,000 5,139,683
U.S. Treasury Bond
6.50%, 11/15/26 5,060,000 5,279,796
6.13%, 11/15/27 515,000 513,552
6.13%, 8/15/29 690,000 697,937
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45,235,965
Asset Backed: 3.4%
-------------------------------------------------------------------------
Advanta 1997 A-7
6.63%, 1/25/29 615,000 588,515
Advanta Mortgage Loan Trust
7.05%, 5/25/21 57,063 56,696
Collateralized Mortgage Obligations
9.00%, 11/20/20 914,494 937,273
Commercial Mortgage Asset Trust
Series 1999-C1 Class A3
6.64%, 9/17/10 2,585,000 2,438,317
Donaldson Lufkin Jenrette Commercial Mortgage
Series 1998-CG1 Class A1A
6.11%, 12/10/07 954,280 911,778
Goldman Sachs Mortgage Securities Corporation II
Series 1998-C1 Class A2
6.62%, 10/18/30 2,203,000 2,092,100
Lehman Brothers Commercial Conduit Mortgage Trust
Series 1999-C1 Class A2
6.78%, 4/15/09 2,365,000 2,263,591
Merrill Lynch Mortgage Investors
Series 1998-C2 Class A1
6.22%, 2/15/30 1,328,641 1,285,939
Morgan Stanley Capital I
Series 1998-HF1 Class A1
6.19%, 1/15/07 104,133 100,419
Mortgage Capital Funding
Series 1998-MC1 Class A1
6.42%, 6/18/07 161,648 156,563
PECO
Series 2000-A Class A3
7.63%, 3/1/10 1,412,500 1,428,246
PNC 2000 -C1
7.61%, 2/15/10 805,000 805,880
PNC Mortgage Securities
6.60%, 7/25/27 170,492 168,804
Residential Asset Securities Corporation
Series 2000-KS2 Class AI4
7.90%, 10/25/28 670,000 670,268
Residential Asset Securities Corporation
Series 2000-KS3 Class AI4
8.04%, 9/25/28 831,000 830,922
Salomon Brothers Mortgage Securites VII
Series 2000-C1 A2
7.52%, 12/18/09 388,000 386,487
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15,121,798
Aerospace & Defense: 0.3%
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Aro-Tech
8.63%, 10/1/07 30,000 21,150
BE Aerospace
8.00%, 3/1/08 35,000 29,750
9.50%, 11/1/08 55,000 50,875
Boeing
6.63%, 2/15/38 505,000 435,138
Lockheed Martin
7.25%, 5/15/06 680,000 660,618
8.50%, 12/1/29 245,000 250,153
Sequa
9.00%, 8/1/09 10,000 9,650
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1,457,334
Global Asset Allocation Fund 2
<PAGE>
Par Market
Automobile & Auto Parts: 0.6% Amount Value
-------------------------------------------------------------------------
Aftermarket Technology
12.00%, 8/1/04 $ 90,000 $ 90,338
Argo-Tech
8.63%, 10/1/07 10,000 7,050
Chrysler
7.45%, 2/1/97 170,000 156,669
DaimlerChrysler
7.20%, 9/1/09 460,000 445,476
Delphi Automotive Systems
6.13%, 5/1/04 450,000 424,481
Dura Operating
9.00%, 5/1/09 40,000 35,000
Federal Mogul
7.38%, 1/15/06 40,000 29,120
7.75%, 7/1/06 130,000 94,653
Ford Motor
6.63%, 10/1/28 40,000 33,863
Hayes Lemmerz International
8.25%, 12/15/08 70,000 59,500
Hertz
7.00%, 1/15/28 815,000 705,453
Lear
9.50%, 7/15/06 100,000 96,500
Navistar International
7.00%, 2/1/03 150,000 144,000
8.00%, 2/1/08 85,000 78,413
Newcor
9.88%, 3/1/08 100,000 30,500
Oxford Automotive
Series D
10.13%, 6/15/07 110,000 96,250
Safety Components International**
10.13%, 7/15/07 20,000 4,100
Talon Automotive Group
9.63%, 5/1/08 70,000 31,150
Tenneco Automotive
Series B
11.63%, 10/15/09 40,000 35,800
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2,598,316
Banking, Finance & Insurance: 2.1%
-------------------------------------------------------------------------
Aames Financial
9.13%, 11/1/03 70,000 31,675
Advanta
7.00%, 5/1/01 100,000 96,445
6.92%, 1/28/02 90,000 84,044
Alaska Communications
9.38%, 5/15/09 210,000 194,775
Amresco
Series 97-A
10.00%, 3/15/04 6,000 3,060
Amresco
9.88%, 3/15/05 70,000 35,700
Associates Corporation
6.25%, 11/1/08 480,000 430,978
Bank United
8.88%, 5/1/07 10,000 8,950
Bankamerica
5.88%, 2/15/09 440,000 389,244
Chevy Chase Bank
9.25%, 12/1/05 50,000 47,375
9.25%, 12/1/08 100,000 87,500
Citigroup
6.63%, 1/15/28 185,000 157,633
Colonial Capital II
8.92%, 1/15/27 35,000 29,369
Conseco Finance
8.80%, 4/1/27 60,000 25,500
Contifinancial**
7.50%, 3/15/02 110,000 13,750
8.13%, 4/1/08 70,000 8,750
Delta Financial
9.50%, 8/1/04 75,000 34,125
Finova Capital
7.25%, 11/8/04 150,000 132,248
First Union
8.04%, 12/1/26 440,000 387,785
Par Market
Banking, Finance & Insurance (Cont.) Amount Value
-------------------------------------------------------------------------
First Union National Bank
7.88%, 2/15/10 $235,000 $ 231,378
Firstar Bank Milwaukee
6.25%, 12/1/02 170,000 165,795
Fleet Financial Group
7.38%, 12/1/09 560,000 540,704
Ford Motor Credit
5.80%, 1/12/09 265,000 230,903
7.38%, 10/28/09 455,000 441,359
General Motors Acceptance
5.48%, 12/16/02 105,000 100,510
5.63%, 1/15/03 130,000 124,689
5.75%, 11/10/03 305,000 289,501
Goldman Sachs
7.35%, 10/1/09 590,000 566,442
GS Escrow
7.13%, 8/1/05 110,000 98,275
Heller Financial
6.00%, 3/19/04 450,000 421,844
Household Finance
8.00%, 5/9/05 510,000 514,547
Imperial Credit Capital Trust I
10.25%, 6/14/02 75,000 57,563
Imperial Credit Industries
9.88%, 1/15/07 35,000 24,588
Merita Bank
6.50%, 1/15/06 175,000 165,710
Merrill Lynch
6.00%, 2/17/09 195,000 172,810
National Westminster Bank
7.38%, 10/1/09 510,000 495,663
NationsBank
6.88%, 2/15/05 875,000 854,857
Nationwide Credit
10.25%, 1/15/08 29,000 20,445
Ocwen Capital Trust I
10.88%, 8/1/27 10,000 5,350
Ocwen Federal Bank
12.00%, 6/15/05 5,000 4,675
Ocwen Financial
11.88%, 10/1/03 5,000 4,575
Popular
6.40%, 8/25/00 530,000 529,649
Provident Capital Trust I
8.60%, 12/1/26 35,000 29,310
PRT Funding**
11.63%, 4/15/04 40,000 26,700
Radnor Holdings
10.00%, 12/1/03 10,000 9,000
Resource America
12.00%, 8/1/04 50,000 43,500
Salomon Brothers
7.30%, 5/15/02 395,000 394,593
Sovereign Bancorp
10.50%, 11/15/06 60,000 59,550
Sprint Capital
6.88%, 11/15/28 440,000 381,718
Webster Capital Trust I
9.36%, 1/29/27 5,000 4,426
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9,209,535
Building & Materials: 0.1%
-------------------------------------------------------------------------
American Standard
7.13%, 2/15/03 125,000 119,688
Building Materials
8.00%, 12/1/08 140,000 110,600
Continental Homes Holding
10.00%, 4/15/06 35,000 34,738
Dayton Superior
13.00%, 6/15/09 60,000 59,400
MDC Holdings
8.38%, 2/1/08 10,000 8,900
NCI Building Systems
9.25%, 5/1/09 30,000 28,350
Toll Brothers
8.13%, 2/1/09 40,000 36,200
Global Asset Allocation Fund 3
<PAGE>
Par Market
Building & Materials (Cont.) Amount Value
-------------------------------------------------------------------------
Webb
9.38%, 5/1/09 $ 30,000 $ 25,050
10.25%, 2/15/10 20,000 17,450
Wheel-Pitts
9.25%, 11/15/07 40,000 30,800
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471,176
Cable, Media & Publishing: 0.7%
-------------------------------------------------------------------------
Acme Television/Finance
0.00%, 9/30/04 (1) 100,000 96,000
Adelphia Communications
9.88%, 3/1/07 100,000 96,250
7.88%, 5/1/09 105,000 88,988
Allbritton Communications
Series B
8.88%, 2/1/08 90,000 83,363
Benedek Communications
0.00%, 5/15/06 (1) 100,000 70,500
Capstar Broadcasting
9.25%, 7/1/07 150,000 153,750
0.00%, 2/1/09 (1) 85,000 78,625
Capstar Broadcasting PIK
12.00%, 7/1/09 31,400 36,346
Chancellor Media
8.00%, 11/1/08 110,000 110,963
Charter Communications
8.63%, 4/1/09 250,000 220,938
Citadel Broadcasting
10.25%, 7/1/07 10,000 10,163
9.25%, 11/15/08 30,000 29,250
Classic Cable
9.38%, 8/1/09 60,000 52,650
CSC Holdings
9.88%, 2/15/13 125,000 128,750
Diva Systems
0.00%, 3/1/08 (1) 170,000 90,950
Fox Family Worldwide
9.25%, 11/1/07 65,000 58,825
Garden State Newspapers
8.75%, 10/1/09 125,000 111,250
Golden Sky Systems
12.38%, 8/1/06 (1) 50,000 54,750
Granite Broadcasting
10.38%, 5/15/05 69,000 65,895
Knology Holdings (1)
11.88%, 10/15/07 73,000 39,785
Lamar Media
9.25%, 8/15/07 185,000 181,300
Logix Communication Enterprises
12.25%, 6/15/08 40,000 16,000
News America Holdings
7.70%, 10/30/25 590,000 528,826
Pegasus Communications
9.75%, 12/1/06 10,000 9,675
Pegasus Media
12.50%, 7/1/05 50,000 53,500
Perry-Judd
10.63%, 12/15/07 75,000 63,375
Radio One
7.00%, 5/15/04 5,000 5,425
SFX Entertainment
9.13%, 2/1/08 30,000 30,300
9.13%, 12/1/08 40,000 40,400
Spectrasite Holdings
0.00%, 4/15/09 (1) 10,000 5,900
TCI Communications
7.13%, 2/15/28 100,000 90,982
Telewest
9.88%, 2/1/10 130,000 121,550
Telewest 144A
0.00%, 2/1/10 (1) 80,000 43,000
Telewest Communications
0.00%, 10/1/07 (1) 30,000 28,575
United International Holdings
0.00%, 2/15/08 (1) 110,000 77,550
United Pan Europe
10.88%, 8/1/09 130,000 115,050
Par Market
Cable, Media & Publishing (Cont.) Amount Value
-------------------------------------------------------------------------
Verio
11.25%, 12/1/08 $ 30,000 $ 33,825
Von Hoffman
10.38%, 5/15/07 (1) 40,000 37,850
13.5%, 5/15/09 13,321 11,989
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3,173,063
Chemicals: 0.4%
-------------------------------------------------------------------------
Borden Chemical &Plastics
9.50%, 5/1/05 10,000 9,050
Dupont (EI) Nemour
6.88%, 10/15/09 750,000 730,626
Geo Specialty Chemicals
10.13%, 8/1/08 30,000 25,950
Huntsman
9.38%, 7/1/07 50,000 45,250
9.50%, 7/1/07 50,000 45,750
Huntsman 144A
9.50%, 7/1/07 10,000 9,150
Huntsman ICI Chemicals
10.13%, 7/1/09 130,000 131,625
0.00%, 12/31/09 120,000 40,200
ISP Holdings
9.75%, 2/15/02 45,000 43,988
Lyondell Chemical
9.63%, 5/1/07 160,000 158,000
9.88%, 5/1/07 30,000 29,700
10.88%, 5/1/09 120,000 119,700
Pioneer Americas Acquisition
9.25%, 6/15/07 15,000 9,975
Sterling Chemicals
12.38%, 7/15/06 50,000 51,000
Sterling Chemical Holdings
0.00%, 8/15/08 (1) 40,000 16,200
Texas Petrochemical
Series B
11.13%, 7/1/06 20,000 17,100
Union Carbide
6.25%, 6/15/03 220,000 214,248
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1,697,512
Computers & Technology: 0.3%
-------------------------------------------------------------------------
360Networks
13.00%, 5/1/08 140,000 140,700
Amazon.com
0.00%, 5/1/08(1) 110,000 59,950
Cellnet Data Systems
0.00%, 10/1/07 170,000 13,388
Concentric Network
12.75%, 12/15/07 10,000 10,600
Exodus Communications
10.75%, 12/15/09 30,000 29,100
International Business Machines
6.50%, 1/15/28 865,000 783,614
IPC Information Systems
0.00%, 5/1/08 (1) 90,000 81,450
Northpoint Communications
12.88%, 2/15/10 90,000 65,250
Unisys
7.88%, 4/1/08 200,000 188,000
Verio
10.63%, 11/15/09 30,000 33,413
-------------------------------------------------------------------------
1,405,465
Consumer Products: 0.4%
-------------------------------------------------------------------------
Carter Holdings
12.00%, 10/1/08 25,000 23,375
Fortune Brands
7.13%, 11/1/04 285,000 280,873
French Fragrance
10.38%, 5/15/07 15,000 14,475
Home Interiors & Gifts
10.13%, 6/1/08 60,000 34,500
Iron Age
9.88%, 5/1/08 75,000 49,875
NBTY
8.63%, 9/15/07 200,000 171,500
Global Asset Allocation Fund 4
<PAGE>
Par Market
Consumer Products (Cont.) Amount Value
-------------------------------------------------------------------------
Procter & Gamble
6.88%, 9/15/09 $660,000 $ 644,263
Revlon Consumer Products
9.00%, 11/1/06 30,000 21,750
8.63%, 2/1/08 75,000 38,250
Royster Clark
10.25%, 4/1/09 30,000 24,600
William Carter
10.38%, 12/1/06 160,000 153,600
-------------------------------------------------------------------------
1,457,061
Electronics & Electrical Equipment: 0.2%
-------------------------------------------------------------------------
Amkor Technologies
9.25%, 5/1/06 30,000 29,738
Fairchild Semiconductor
10.13%, 3/15/07 65,000 65,975
Flextronics International
8.75%, 10/15/07 60,000 57,000
HCC Industries
10.75%, 5/15/07 40,000 17,000
Northeast Optic Network
12.75%, 8/15/08 70,000 67,200
Raytheon
8.30%, 3/1/10 435,000 444,195
Viasystems
9.75%, 6/1/07 75,000 65,250
Zilog
9.50%, 3/1/05 45,000 38,025
-------------------------------------------------------------------------
784,383
Energy: 0.5%
-------------------------------------------------------------------------
Applied Power
8.75%, 4/1/09 20,000 20,800
Belco Oil & Gas
8.88%, 9/15/07 70,000 65,100
Benton Oil & Gas
9.38%, 11/1/07 5,000 3,150
CMS Panhandle
6.13%, 3/15/04 295,000 276,527
Coda Energy
Series B
10.50%, 4/1/06 65,000 65,731
Conoco
5.90%, 4/15/04 175,000 166,842
Giant Industries
9.00%, 9/1/07 30,000 27,375
Gulf Canada Resources
9.63%, 7/1/05 60,000 61,350
HS Resources
9.25%, 11/15/06 70,000 68,425
Leviathan Gas
10.38%, 6/1/09 40,000 40,600
Nuevo Energy
9.50%, 6/1/08 20,000 19,850
Ocean Energy
8.38%, 7/1/08 50,000 48,750
Ocean Energy Series B
8.88%, 7/15/07 50,000 50,000
Parker Drilling
5.50%, 8/1/04 55,000 45,238
9.75%, 11/15/06 10,000 9,725
Phillips Petroleum
8.5%, 5/25/05 500,000 517,942
Pioneer National
9.63%, 4/1/10 40,000 41,370
RBF Finance
11.00%, 3/15/06 90,000 96,863
11.38%, 3/15/09 80,000 87,200
Seven Seas Petroleum
12.50%, 5/15/05 30,000 6,150
Snyder Oil
8.75%, 6/15/07 15,000 15,150
Stone Energy
8.75%, 9/15/07 20,000 19,100
Union Pacific Resources
7.30%, 4/15/09 420,000 405,979
Vintage Petroleum
9.75%, 6/30/09 80,000 81,800
-------------------------------------------------------------------------
2,241,017
Par Market
Environmental Services: 0.2% Amount Value
-------------------------------------------------------------------------
Allied Waste North America
7.63%, 1/1/06 $ 30,000 $ 26,400
7.88%, 1/1/09 50,000 42,875
10.00%, 8/1/09 160,000 134,400
Azurix Corp 144A
10.38%, 2/15/07 40,000 38,800
Columbia Gas Systems
7.32%, 11/28/10 500,000 483,390
Petroleum Geo-Services
7.50%, 3/31/07 175,000 167,016
-------------------------------------------------------------------------
892,881
Food, Beverage & Tobacco: 0.1%
-------------------------------------------------------------------------
AEP Industries
9.88%, 11/15/07 30,000 26,700
Albecca
10.75%, 8/15/08 40,000 33,900
Aurora Foods
9.88%, 2/15/07 40,000 23,400
9.88%, 2/15/07 20,000 11,700
Doane Pet Care
9.75%, 5/15/07 45,000 38,700
Rab Enterprises
10.50%, 5/1/05 60,000 39,975
Samsonite
10.75%, 6/15/08 60,000 50,400
Southland
5.00%, 12/15/03 50,000 43,563
Triarc Consumer Products
10.25%, 2/15/09 (1) 50,000 48,625
Vlasic Foods International
10.25%, 7/1/09 75,000 26,625
-------------------------------------------------------------------------
343,588
Healthcare & Pharmaceuticals: 0.2%
-------------------------------------------------------------------------
Alaris Medical Systems
9.75%, 12/1/06 50,000 33,250
Bio-Rad Laboratories
Series 144A
11.63%, 2/15/07 30,000 31,050
Columbia/HCA Healthcare
6.91%, 6/15/05 50,000 45,722
7.00%, 7/1/07 20,000 17,730
7.25%, 5/20/08 20,000 17,837
8.36%, 4/15/24 20,000 18,143
7.69%, 6/15/25 20,000 15,840
6.63%, 7/15/45 80,000 76,448
Conmed
9.00%, 3/15/08 30,000 27,525
Dade International
11.13%, 5/1/06 40,000 19,000
Extendicare Health
9.35%, 12/15/07 70,000 29,750
Fresenius Medical Care
9.00%, 12/1/06 120,000 114,300
Hanger Orthopedic Group
11.25%, 6/15/09 30,000 26,250
Hudson Respiratory Care
9.13%, 4/15/08 40,000 28,200
ICN Pharmaceutical
9.25%, 8/15/05 70,000 69,650
8.75%, 11/15/08 30,000 29,700
Integrated Health Services**
9.50%, 9/15/07 70,000 1,750
9.25%, 1/15/08 20,000 500
Mariner Post Acute Network**
0.00%, 11/1/07 40,000 600
9.50%, 11/1/07 60,000 900
Mediq**
11.00%, 6/1/08 40,000 4,200
0.00%, 6/1/09 (1) 40,000 2,200
Paracelsus Healthcare**
10.00%, 8/15/06 50,000 11,250
Tenet Healthcare
7.63%, 6/1/08 50,000 46,063
Triad Hospitals
11.00%, 5/15/09 90,000 92,475
760,333
Global Asset Allocation Fund 5
<PAGE>
Par Market
Industrial Machinery: 0.1% Amount Value
-------------------------------------------------------------------------
Ball
8.25%, 8/1/08 $ 80,000 $ 75,600
Decrane Aircraft
12.00%, 9/30/08 30,000 26,663
LTV
11.75%, 11/15/09 100,000 84,500
Motors & Gears
10.75%, 11/15/06 80,000 77,400
Tyco International Group SA
6.25%, 6/15/03 190,000 180,996
Viasystems
9.75%, 6/1/07 55,000 47,850
-------------------------------------------------------------------------
493,009
Leisure, Lodging & Entertainment: 0.3%
-------------------------------------------------------------------------
AMC Entertainment
9.50%, 3/15/09 132,000 62,040
Ameristar Casino
Series B
10.50%, 8/1/04 20,000 20,200
Boyd Gaming
9.50%, 7/15/07 50,000 48,250
Cinemark USA
9.63%, 8/1/08 20,000 10,500
Cinemark USA
Series B
8.50%, 8/1/08 35,000 17,675
Epic Resorts
13.00%, 6/15/05 30,000 13,650
Fitzgerald Gaming**
12.25%, 12/15/04 70,000 38,850
Harrahs Operating
7.50%, 1/15/09 150,000 139,338
Hollywood Casino
11.25%, 5/1/07 160,000 164,400
Hollywood Park
9.25%, 2/15/07 30,000 30,000
Hollywood Park
Series B
9.50%, 8/1/07 60,000 60,000
Host Marriot
8.38%, 2/15/06 20,000 18,700
Isle of Capri
8.75%, 4/15/09 60,000 55,800
Isle of Capri/Cap
13.00%, 8/31/04 10,000 10,925
Lennar Corp 144A
9.95%, 5/1/10 60,000 59,400
Mohegan Tribal
8.13%, 1/1/06 30,000 28,650
Mohegan Tribal Gaming
8.75%, 1/1/09 60,000 57,300
Park Place Entertainment
7.88%, 12/15/05 20,000 18,850
Premier Parks
9.25%, 4/1/06 129,000 121,905
9.75%, 6/15/07 100,000 97,125
SBarro
11.00%, 9/15/09 40,000 41,100
Starwood Hotels & Resorts
6.75%, 11/15/05 110,000 99,606
Trump-Atlantic City
11.25%, 5/1/06 300,000 213,000
Venetian Casino
12.25%, 11/15/04 70,000 71,050
-------------------------------------------------------------------------
1,498,314
Metals & Mining: 0.1%
-------------------------------------------------------------------------
AK Steel
7.88%, 2/15/09 60,000 53,550
Anker Coal Group PIK
14.25%, 9/1/07 184,255 79,690
Continental Global Group
11.00%, 4/1/07 30,000 8,775
Kaiser Aluminum & Chemical
12.75%, 2/1/03 75,000 68,625
National Steel
9.88%, 3/1/09 110,000 92,400
-------------------------------------------------------------------------
Par Market
Metals & Mining (Cont.) Amount Value
-------------------------------------------------------------------------
Oregon Steel Mills
11.00%, 6/15/03 $ 30,000 $ 20,250
WCI Steel
10.00%, 12/1/04 40,000 37,400
WHX
10.50%, 4/15/05 50,000 39,250
-------------------------------------------------------------------------
399,940
Miscellaneous: 0.4%
-------------------------------------------------------------------------
Axia
10.75%, 7/15/08 50,000 39,250
Blount
13.00%, 8/1/09 80,000 82,000
Calair LLC/Calair Capital
8.13%, 4/1/08 240,000 217,800
Coinmach
11.75%, 11/15/05 100,000 96,500
Day International Group
9.50%, 3/15/08 50,000 42,000
Iron Mountain
8.75%, 9/30/09 20,000 18,500
8.75%, 9/30/09 65,000 60,125
8.25%, 7/1/11 100,000 88,000
Lodestar Holdings
11.50%, 5/15/05 50,000 10,250
OutSourcing Solutions
11.00%, 11/1/06 20,000 17,500
PP&L Capital Funding
5.90%, 10/16/00 785,000 782,745
Polymer Group
8.75%, 3/1/08 40,000 33,400
Premium Standard Farms
11.00%, 9/17/03 20,211 18,392
Tekni-Plex
12.75%, 6/15/10 90,000 90,450
-------------------------------------------------------------------------
1,596,912
Packaging & Containers: 0.1%
-------------------------------------------------------------------------
Gaylord Container
9.38%, 6/15/07 30,000 23,550
9.88%, 2/15/08 30,000 19,650
Huntsman Packaging Unit
13.00%, 6/1/10 100,000 103,500
Owens-Illinois
7.15%, 5/15/05 80,000 72,560
8.10%, 5/15/07 25,000 23,125
7.35%, 5/15/08 50,000 43,610
Riverwood International
10.25%, 4/1/06 50,000 48,250
10.88%, 4/1/08 125,000 110,625
Stone Container
10.75%, 10/1/02 75,000 76,406
12.58%, 8/1/16 25,000 25,875
-------------------------------------------------------------------------
547,151
Paper & Forest Products: 0.2%
-------------------------------------------------------------------------
Boise Cascade
7.43%, 10/10/05 10,000 9,456
Georgia-Pacific
7.75%, 11/15/29 15,000 13,679
International Paper
8.13%, 7/8/05 590,000 595,809
Packaging Corporation of America
9.63%, 4/1/09 30,000 29,925
Republic Group
9.50%, 7/15/08 20,000 16,700
-------------------------------------------------------------------------
665,569
Real Estate: 0.0%
-------------------------------------------------------------------------
Atrium
10.5%, 5/1/09 20,000 16,950
HMH Properties
7.88%, 8/1/08 175,000 157,938
Pinnacle Holdings
0.00%, 3/15/08 (1) 30,000 20,850
-------------------------------------------------------------------------
195,738
Global Asset Allocation Fund 6
<PAGE>
Par Market
Retail: 0.2% Amount Value
-------------------------------------------------------------------------
Adams Outdoor Advertising
10.75%, 3/15/06 $ 65,000 $ 66,950
Affinity Group
11.00%, 4/1/07 115,000 102,925
Federated Department Stores
8.50%, 6/15/03 475,000 483,219
FRD Acquisition
12.50%, 7/15/04 10,000 3,750
French Fragrances
10.38%, 5/15/07 10,000 9,450
SAKS
8.25%, 11/15/08 90,000 79,881
Sealy Mattress
0.00%, 12/15/07 (1) 20,000 14,500
Sears Roebuck Acceptance
6.88%, 10/15/17 255,000 219,394
Tricon Global Restaurant
7.65%, 5/15/08 30,000 26,701
-------------------------------------------------------------------------
1,006,770
Telecommunications: 1.0%
-------------------------------------------------------------------------
Adelphia Communications PIK
9.50%, 2/15/04 81 79
AMSC Acquistion
12.25%, 4/1/08 20,000 15,700
Arch Communications
13.75%, 4/15/08 10,000 8,100
Birch Telecom
14.00%, 6/15/08 30,000 30,225
BTI Telecom
10.50%, 9/15/07 110,000 84,288
Call-Net Enterprises
9.38%, 5/15/09 180,000 111,600
Carrier1 International
13.25%, 2/15/09 60,000 58,650
Covad Communications Group
12.50%, 2/15/09 90,000 72,450
12.00%, 2/15/10 20,000 15,700
Crown Castle International
10.75%, 8/1/11 60,000 61,125
Dobson Communications
10.88%, 7/1/10 100,000 101,000
Dobson Sygnet
12.25%, 12/15/08 50,000 53,500
Echostar DBS
9.38%, 2/1/09 160,000 154,400
Exodus Communications 144A
11.63%, 7/15/10 120,000 120,900
Fairchild Semiconductor
10.38%, 10/1/07 40,000 40,900
Firstworld Communication
0.00%, 4/15/08 (1) 140,000 63,700
Flag Limited
8.25%, 1/30/08 30,000 26,850
Focal Communications
11.88%, 1/15/10 30,000 30,300
0.00%, 2/15/08 (1) 125,000 85,000
Global Crossing
9.63%, 5/15/08 160,000 156,000
Globix
12.50%, 2/1/10 50,000 41,250
Golden Sky DBS (1)
13.50%, 3/1/07 25,000 17,000
GTE
6.94%, 4/15/28 120,000 106,278
Hyperion Telecommunications
12.25%, 9/1/04 35,000 35,525
ICG Services
0.00%, 2/15/08 (1) 60,000 31,500
0.00%, 5/1/08 (1) 165,000 84,975
Intelcom Group USA
0.00%, 5/1/06 (1) 60,000 49,950
IPCS
0.00%, 7/15/10 (1) 60,000 30,466
KMC Telecom Holdings
0.00%, 2/15/08 (1) 205,000 97,375
13.50%, 5/15/09 70,000 61,950
Par Market
Telecommunications (Cont.) Amount Value
-------------------------------------------------------------------------
Level 3 Communications
10.38%, 5/1/07 $ 20,000 $ 20,450
11.00%, 3/15/08 20,000 19,900
9.13%, 5/1/08 150,000 135,375
8.50%, 5/15/08 30,000 27,750
8.00%, 8/1/08 20,000 17,750
Long Distance International
12.25%, 4/15/08 10,000 5,500
Loral Space & Communication LTD
9.50%, 1/15/06 30,000 21,900
MGC Communications/MPower Communications
13.00%, 4/1/10 50,000 47,250
Mcleodusa
8.13%, 2/15/09 180,000 162,900
Metrocall
11.00%, 9/15/08 20,000 14,100
Metromedia Fiber
10.00%, 11/15/08 180,000 178,200
Nextel Communications
12.00%, 11/1/08 90,000 96,075
9.38%, 11/15/09 180,000 172,800
Nextel International
0.00%, 4/15/08 (1) 290,000 189,950
Nextel Partners 144A
11.00%, 3/15/10 10,000 10,000
Nextlink Communications
10.50%, 12/1/09 80,000 78,800
NTL
0.00%, 4/1/08 (1) 150,000 94,125
Onepoint Communications
14.50%, 6/1/08 20,000 10,100
Orbital Imaging
11.63%, 3/1/05 40,000 18,500
Price Communications Wireless
9.13%, 12/15/06 60,000 60,900
Psinet
11.00%, 8/1/09 30,000 27,900
RCN
10.13%, 1/15/10 40,000 33,500
SBA Communications
0.00%, 3/1/08 (1) 50,000 35,500
Spectrasite Holdings
0.00%, 3/15/10 (1) 20,000 11,000
Spectrasite Holdings
Series B
0.00%, 3/15/10 (1) 30,000 16,500
Sprint Capital
6.90%, 5/1/19 440,000 391,519
Startec Global Communications
12.00%, 5/15/08 40,000 32,200
Telecommunication Techniques
9.75%, 5/15/08 30,000 27,150
Telecorp PCS
0.00%, 4/15/09 (1) 30,000 19,725
Telehub Communications
0.00%, 7/31/05 (1) 30,000 6,150
Time Warner Telecommunications LLC
9.75%, 7/15/08 40,000 38,900
Ubiquitel Operat
0.00%, 4/15/10 (1) 130,000 75,888
US Unwired
0.00%, 11/1/09 (1) 60,000 32,850
US Xchange LLC
15.00%, 7/1/08 30,000 32,925
Viatel
11.25%, 4/15/08 109,000 81,205
Viatel 144A
11.50%, 3/15/09 68,000 52,020
Voicestream Wire
10.38%, 11/15/09 120,000 124,800
Winstar Communications 144A
0.00%, 4/15/10 (1) 90,000 42,300
12.75%, 4/15/10 74,000 69,375
World Access
Series B
13.25%, 1/15/08 75,000 67,219
-------------------------------------------------------------------------
4,447,687
Global Asset Allocation Fund 7
<PAGE>
Par Market
Textiles, Apparel & Furniture: 0.0% Amount Value
-------------------------------------------------------------------------
Galey & Lord
9.13%, 3/1/08 $ 70,000 $ 31,500
Guess
9.50%, 8/15/03 (1) 5,000 5,025
Levi Strauss 144A
6.80%, 11/1/03 10,000 8,200
Westpoint Stevens
7.88%, 6/15/05 70,000 58,800
-------------------------------------------------------------------------
103,525
Transportation & Shipping: 0.3%
-------------------------------------------------------------------------
Continental Airlines
8.00%, 12/15/05 10,000 9,250
6.54%, 3/15/08 611,509 576,452
Kitty Hawk**
9.95%, 11/15/04 20,000 8,000
Northwest Airlines
7.63%, 3/15/05 30,000 26,550
Union Pacific
7.38%, 9/15/09 545,000 524,349
US Air
9.63%, 9/1/03 175,000 168,219
-------------------------------------------------------------------------
1,312,820
Utilities: 0.4%
-------------------------------------------------------------------------
Arizona Public Service
6.75%, 11/15/06 315,000 296,433
Calpine
10.50%, 5/15/06 140,000 146,300
8.75%, 7/15/07 120,000 117,150
7.75%, 4/15/09 80,000 75,800
Cleveland Electric
9.50%, 5/15/05 30,000 30,581
CMS Energy
6.75%, 1/15/04 70,000 64,854
7.00%, 1/15/05 130,000 119,812
Jersey Central Power & Light
6.85%, 11/27/06 115,000 109,590
KN Energy
6.45%, 3/1/03 320,000 310,444
Midland Funding
10.33%, 7/23/02 20,459 20,945
13.25%, 7/23/06 100,000 119,125
Midland Funding II
11.75%, 7/23/05 80,000 85,300
Northeast Utilities
8.38%, 3/1/05 22,400 21,818
8.58%, 12/1/06 11,205 10,913
NRG Northeast Generating 144A
8.07%, 12/15/04 390,000 391,941
Ram Energy
11.50%, 2/15/08 30,000 14,888
-------------------------------------------------------------------------
1,935,894
Par
Foreign Bonds: 8.9% Amount***
-------------------------------------------------------------------------
Australian Government (Australia)
6.75%, 11/15/06 4,875,000 3,012,868
Bundesrepublic Deutschland (Germany)
5.63%, 1/4/28 3,427,100 3,313,712
Bundesrepublic Deutschland (Germany)
Series 98
4.75%, 7/4/28 310,000 264,410
Bundesschatzanweisungen (Germany)
Series 99
3.00%, 3/16/01 5,000,000 4,714,531
Deutschland Republic (Germany)
6.75%, 7/15/04 325,000 328,612
Government of Canada (Canada)
4.50%, 6/1/01 13,025,000 8,709,011
Kingdom of Denmark (Denmark)
6.00%, 11/15/09 3,130,000 408,797
Province of Ontario (Canada)
5.50%, 10/1/08 475,000 426,265
Quebec Province (Canada)
5.75%, 2/15/09 255,000 228,582
Republic of Germany (Germany)
4.50%, 3/15/02 13,000,000 12,319,208
Par Market
Foreign Bonds (Cont.) Amount Value
-------------------------------------------------------------------------
Sweden (Kingdom of) (Sweden)
5.50%, 4/12/02 $13,500,000 $ 1,542,586
United Kingdom Treasury Bond (United Kingdom)
9.75%, 8/27/02 1,730,000 2,807,334
9.00%, 10/13/08 500,000 934,216
-------------------------------------------------------------------------
39,010,132
Total Long-Term Debt Investments: 31.8%
(Cost $144,038,710) 140,062,888
-------------------------------------------------------------------------
Number
Common Stock: of Shares
-------------------------------------------------------------------------
Aerospace & Defense: 0.3%
-------------------------------------------------------------------------
Boeing 16,485 689,279
Career Education* 2,900 140,650
Honeywell International 8,455 284,828
United Technologies 3,950 232,556
-------------------------------------------------------------------------
1,347,313
Automobiles & Auto Parts: 0.1%
-------------------------------------------------------------------------
Bayerische Motoren Werke (BMW) (Germany) 14,968 455,795
Meritor Automotive 3,916 43,076
-------------------------------------------------------------------------
498,871
Banking, Finance & Insurance: 8.1%
-------------------------------------------------------------------------
Alleanza Assicurazioni (Italy) 300 3,995
Allianz AG (Germany) 724 257,308
American Express 48,500 2,528,063
American General 11,650 710,650
American International Group 35,200 4,136,000
Associates First Capital Class A 12,100 269,981
Axa-UAP (France) 4,394 692,095
Banca Intesta (Italy) 23,400 104,764
Banco Bilbao Vizcaya Argentaria (Spain) 8,730 130,422
Bank One 37,433 994,314
Bank of America 33,477 1,439,511
Bank of New York 1,700 79,050
Bank of Nova Scotia (Canada) 8,815 216,279
Charter One Financial 50,890 1,170,470
Chase Manhattan 10,500 483,656
Cigna 17,220 1,610,070
Citigroup 50,228 3,026,237
Comerica 20,890 937,439
DBS Group Holdings (Singapore) 11,282 145,026
Federal National Mortgage 19,310 1,007,741
Fifth Third Bancorp 12,250 774,813
First Union 15,130 375,413
Firstar 30,660 645,776
Fleet Boston Financial 39,065 1,328,210
ING Groep (Netherlands) 16,311 1,102,390
Investor AB - B Shares (Sweden) 37,088 506,931
Jefferson-Pilot 6,300 355,556
Julius Baer Holding AG (Switzerland) 104 411,168
Keppel Tatlee Bank Limited (Singapore) 26,000 44,262
Merrill Lynch & Company 11,365 1,306,975
Morgan (J.P.) 7,210 794,001
Morgan Stanley Dean Witter 8,100 674,325
National City 33,775 576,286
Nikko Securities (Japan) 79,000 781,589
Nomura Securities (Japan) 5,000 122,256
Northern Trust 4,000 260,250
Overseas Chinese Banking (Singapore) 9,700 66,838
Paine Webber Group 14,300 650,650
PNC Financial Group 24,640 1,155,000
Promise (Japan) 80 6,317
Royal Bank of Scotland Group (United Kingdom) 17,700 295,097
Schwab (Charles) 26,100 877,613
State Street Bank 700 74,244
Sun Life Financial Services (Canada)* 12,400 209,111
Svenska Handelsbanken - A Shares (Sweden) 10,140 147,223
Swiss Re (Switzerland) 225 458,564
Wells Fargo 24,880 964,100
Zions Bancorp 24,200 1,110,553
-------------------------------------------------------------------------
36,018,582
Global Asset Allocation Fund 8
<PAGE>
Number Market
Buildings & Materials: 0.3% of Shares Value
-------------------------------------------------------------------------
Bouygues (France)* 794 $ 530,567
CRH (Ireland) 22,483 405,637
CSR Limited (Australia) 8,100 22,456
Insituform Technologies-Class A* 5,100 138,338
Lafarge SA (France) 3,455 268,469
-------------------------------------------------------------------------
1,365,467
Business Services: 0.5%
-------------------------------------------------------------------------
ABB (Switzerland) 1,150 137,631
ABB (Sweden) 330 38,255
Aegis Group (United Kingdom) 53,905 154,950
Daisytek International* 4,400 41,525
Hotel Reservations Network* 3,900 116,025
Invensys (United Kingdom) 40,015 149,985
Learning Tree International* 5,900 361,375
Management Network Group* 9,700 339,500
On Assignment* 6,800 207,400
ProBusiness Services* 4,600 122,188
ProsoftTraining.com* 7,900 132,819
Sumitomo (Japan) 17,300 194,468
-------------------------------------------------------------------------
1,996,121
Cable, Media & Publishing: 3.5%
-------------------------------------------------------------------------
Acme Communications* 4,000 73,000
Adelphia Communications Class A* 15,000 703,125
Asatsu-DK (Japan) 1,400 57,382
AT&T - Liberty Media Class A* 79,000 1,915,750
Carlton Communications (United Kingdom) 36,527 469,448
Citadel Communications* 5,800 202,638
Classic Communications* 1,700 15,194
Clear Channel Communications* 17,000 1,275,000
Echostar Communications - A* 7,100 235,077
EMAP (United Kingdom) 9,783 154,519
Gannett 4,600 275,138
Havas Advertising (France) 13,520 309,103
Interep National Radio Sales-Class A* 2,500 13,281
Information Holdings* 3,800 140,600
InterPublic Group 21,800 937,400
Mediaset SpA (Italy) 19,291 294,643
Omnicom Group 5,100 454,219
Pegasus Communications* 8,400 412,125
Publicis (France) 434 170,276
Radio One* 4,200 124,163
Radio One - Class D* 8,400 185,325
Regent Communications* 8,000 68,750
Salem Communications Class A* 4,400 40,838
Singapore Press Holdings (Singapore) 1,000 15,634
Spanish Broadcasting System B* 700 11,200
The Ackerley Group 5,600 65,800
The News Corporation 10,495 571,978
Time Warner 17,400 1,322,400
Tribune 21,500 752,500
Viacom Class B* 47,262 3,222,678
Wolters Kluwer (Netherlands) 11,414 303,993
WPP Group (United Kingdom) 22,321 324,018
YouthStream Media Networks* 3,400 19,125
-------------------------------------------------------------------------
15,136,320
Chemicals:1.3%
-------------------------------------------------------------------------
Akzo Nobel (Netherlands) 12,002 509,841
Avery Dennison 10,100 677,963
BOC Group (United Kingdom) 21,373 306,699
Celanese (Germany) 1 19
Clariant (Switzerland) 590 219,155
Dow Chemical 14,685 443,303
DuPont(E.I.)deNemours 14,300 625,625
Pharmacia 41,289 2,134,125
Praxair 12,300 460,481
Rohm & Haas 7,800 269,100
-------------------------------------------------------------------------
5,646,311
Computers & Technology: 9.0%
-------------------------------------------------------------------------
About.com* 900 28,350
Airgate PCS * 5,700 299,606
Allscripts* 1,900 43,700
America Online* 14,600 770,150
Number Market
Computers & Technology (Cont.) of Shares Value
-------------------------------------------------------------------------
American Superconductor * 2,100 $ 101,325
Ancor Communications* 8,300 296,855
Apple Computer* 25,600 1,340,800
Automatic Data Processing 19,800 1,060,538
Aware* 5,800 296,525
BEA Systems* 7,200 355,950
BMC Software* 14,000 510,781
Braun Consulting* 5,400 114,075
Backweb Technologies* 1,900 43,463
Black Box* 2,800 221,681
Brio Technology* 900 19,069
Brocade Communications Systems* 4,000 733,938
C-Bridge Internet Solutions* 3,800 66,025
Centillium* 2,100 144,900
Chirex* 1,600 62,200
Cisco Systems* 55,200 3,508,650
Click Commerce* 6,300 142,538
Computer Associates International 20,300 1,039,106
Comverse Technology* 6,700 623,100
Crossroads Systems* 2,700 68,175
Cybex Computer Products* 4,200 180,600
Cysive* 1,800 42,975
Dell Computer* 22,400 1,104,600
Dendrite International* 5,900 196,544
Digimarc* 2,700 103,950
Dset* 6,600 200,475
Electronic Data Systems 26,020 1,073,325
eLoyalty* 6,400 81,600
EMC* 19,800 1,523,363
Exchange Applications* 5,600 149,100
FreeShop.com* 8,900 52,844
Fujitsu (Japan) 25,400 878,338
Globix* 5,900 172,944
Gateway* 12,200 692,350
General Motors-Class H* 5,300 465,075
Hall, Kinion & Associates* 6,300 209,869
Hewlett-Packard 23,430 2,925,821
i2 Technologies* 4,700 490,048
Igen International* 1,200 19,875
Informatica* 3,200 262,200
International Business Machines 15,391 1,686,276
L90* 6,300 66,150
Lexmark International Group A* 16,900 1,136,525
Linear Technology 22,900 1,464,169
Macrovision* 4,700 300,433
Manufacturers Services* 8,100 166,556
Manugistics Group* 6,100 285,175
McAfee.com* 2,500 65,156
Microsoft* 48,500 3,880,000
Misys (United Kingdom) 14,700 121,762
Mobility Electronics* 1,100 14,300
Multex.com* 1,700 42,819
Nanometrics* 3,110 128,093
NCR* 6,070 236,351
Netegrity* 2,700 203,344
Oracle* 14,600 1,227,313
Parametric Technology* 9,700 106,700
Pilot Network Services* 3,600 53,550
Predictive Systems* 1,800 64,688
Proxicom* 2,800 134,050
Razorfish* 4,000 64,250
SeaChange International* 5,100 147,263
Seagate Technology* 5,545 304,975
Siebel Systems* 3,500 572,469
SkillSoft* 4,900 69,213
Spyglass* 700 21,919
Sun Microsystems* 16,100 1,464,094
Teradyne* 9,200 676,200
Therma-Wave* 1,000 22,313
T/R Systems* 3,600 22,950
Veritas Software* 9,975 1,127,331
Verity* 5,500 209,000
Vertel* 5,300 92,750
Yahoo* 3,000 371,625
Zamba 7,400 40,700
Zoran* 6,900 454,969
-------------------------------------------------------------------------
39,762,827
Global Asset Allocation Fund 9
<PAGE>
Number Market
Consumer Products: 2.2% of Shares Value
-------------------------------------------------------------------------
Avon Products 5,800 $ 258,100
Corning 5,900 1,592,263
Estee Lauder Class A 16,600 820,663
Kimberly-Clark 29,870 1,713,791
Shiseido (Japan) 16,000 247,244
Tyco International 107,760 5,105,130
Yankee Candle* 3,900 84,338
-------------------------------------------------------------------------
9,821,529
Consumer Services: 0.1%
-------------------------------------------------------------------------
Service International* 78,905 251,510
-------------------------------------------------------------------------
Electronics & Electrical Equipment: 7.0%
-------------------------------------------------------------------------
Act Manufacturing* 11,700 543,319
Aeroflex* 6,500 322,969
Agilent Technologies* 5,847 431,216
Alpha Industries* 3,800 167,438
Anadigics* 5,150 175,422
ARM Holdings (United Kingdom)* 5,400 57,555
ATMI* 2,600 120,900
Benchmark Electronics 2,700 98,719
Broadcom-Class A* 2,100 459,769
Chartered Semiconductor (Singapore)* 37,000 323,509
Credence Systems* 4,900 270,419
Emerson Electric 15,750 950,906
Exar* 4,800 418,500
General Electric 130,500 6,916,500
GSI Lumonics* 5,600 196,700
Hon Hai Precision* 5,200 48,390
Integrated Silicon Solution* 9,200 349,600
Intel 45,100 6,029,306
JDS Uniphase* 11,900 1,426,513
Keithley Instruments 2,400 209,100
Kent Electronics* 4,000 119,250
Koninklijke Philips Electronics (Netherlands) 28,124 1,326,250
Kyocera (Japan) 2,700 457,675
LSI Logic* 8,800 476,300
LTX* 11,400 398,288
MICREL* 4,900 212,844
Molecular Devices* 1,700 117,619
Motorola 14,430 419,372
NEC (Japan) 29,641 930,035
Novadigm* 4,400 86,900
Oak Technology* 3,500 75,469
Photon Dynamics* 1,500 112,031
Power Integrations* 2,500 58,906
PSi Technologies* 8,700 180,525
Rockwell International 15,275 481,163
Rohm (Japan) 100 29,209
Rudolph Technologies* 2,000 77,500
Samsung Electronics (South Korea) 2,957 978,572
SCI Systems* 12,000 470,250
Sharp (Japan) 300 5,300
Signal Technology* 5,300 132,500
Sipex* 9,600 265,800
Smiths Industries (United Kingdom) 7,196 93,137
Sony (Japan) 3,000 279,846
Texas Instruments 21,100 1,449,306
Toshiba Corporation (Japan) 22,000 248,130
Trimble Navigation Limited* 4,800 234,300
Universal Electronics* 5,300 130,181
Veeco Instruments* 3,500 256,375
Venture Manufacturing LTD (Singapore) 1,000 10,191
Williams (United Kingdom) 14,700 85,067
Xilinx* 10,900 899,931
Zygo* 1,700 154,381
-------------------------------------------------------------------------
30,769,353
Energy: 4.5%
-------------------------------------------------------------------------
Anadarko Petroleum 10,600 522,713
Apache 9,300 546,956
BP Amoco - ADR 15,800 893,688
BP Amoco (United Kingdom) 82,359 789,970
Conoco 56,680 1,246,960
Conoco Class B 31,000 761,438
El Paso Energy 13,285 676,705
Number Market
Energy (Cont.) of Shares Value
-------------------------------------------------------------------------
Enron 23,900 $ 1,541,550
Ente Nazionale Idrocarburi SpA (ENI) (Italy) 83,600 482,818
Exxon Mobil 53,737 4,218,355
Halliburton 6,700 316,156
Nisource 16,800 312,900
Royal Dutch Petroleum 41,990 2,585,009
Schlumberger Limited 3,545 264,546
Shell Transport & Trading (United Kingdom) 165,060 1,388,439
Suncor Energy (Canada) 3,642 84,188
Tosco 21,205 600,367
Total Fina Elf SA (France) 12,728 1,951,314
Williams 12,730 530,682
-------------------------------------------------------------------------
19,714,754
Environmental Services: 0.1%
-------------------------------------------------------------------------
PE Corp- PE Biosystems Group 7,400 487,475
-------------------------------------------------------------------------
Food, Beverage & Tobacco: 1.9%
-------------------------------------------------------------------------
Anheuser Busch 5,300 395,844
Coca Cola 32,200 1,849,488
Coca-Cola Enterprises 29,300 477,956
Compagnie Financiere Richemont AG (Switzerland) 262 705,808
Diageo (United Kingdom) 22,464 201,026
General Mills 14,625 559,406
Groupe Danone (France) 1,838 243,883
Hain Celestial Group* 5,200 190,775
Koninklijke Ahold (Netherlands) 8,450 248,686
Nestle SA (Switzerland) 239 478,308
PepsiCo 35,970 1,598,417
Quaker Oats 8,890 667,861
Sysco 10,900 459,163
Tesco (United Kingdom) 89,340 277,421
The Seagram Company 3,200 185,600
-------------------------------------------------------------------------
8,539,642
Healthcare & Pharmaceuticals: 7.3%
-------------------------------------------------------------------------
Abbott Laboratories 22,500 1,002,656
Accredo Health* 5,700 197,006
Albany Molecular Research* 1,600 87,100
Allergan 10,900 812,050
American Home Products 32,170 1,889,988
Amgen 17,500 1,229,375
Anesta* 11,900 296,013
Angiotech Pharmaceuticals* 3,100 129,425
Arthrocare* 2,900 154,425
AstraZeneca (United Kingdom) 8,236 384,523
Aventis (France) 11,920 856,828
Bausch & Lomb 9,055 700,631
Baxter International 31,135 2,189,180
Bristol-Myers Squibb 36,130 2,104,573
Cephalon* 3,900 233,513
Chirex 6,200 124,000
Eisai Co. Limited (Japan) 7,000 224,253
Elan - ADR* 3,500 169,531
Elan (Ireland) * 6,710 312,902
Fujisawa Pharmaceutical (Japan) 1,700 68,718
Genentech* 4,800 825,600
Idexx Laboratories* 4,200 96,075
Ilex Oncology* 2,200 77,550
Invitrogen* 4,100 308,333
Johnson & Johnson 27,500 2,801,563
Lifepoint Hospitals* 4,200 93,450
Lilly (Eli) 8,300 828,963
Mallinckrodt 22,715 986,683
Maxim Pharmaceuticals* 1,600 82,200
Medicis Pharmaceutical Cl A* 2,125 121,125
Merck & Company 27,705 2,122,896
Neurocrine Biosciences* 5,600 199,150
Orapharma* 2,400 24,000
Pfizer 91,850 4,408,800
Pinnacle Holdings* 11,900 642,600
Priority Healthcare-B* 5,150 382,709
Professional Detailing* 3,600 122,625
Province Healthcare* 9,600 346,800
Rehabcare Group* 10,200 277,950
ResMed* 6,100 163,175
Global Asset Allocation Fund 10
<PAGE>
Number Market
Healthcare & Pharmaceuticals (Cont.) of Shares Value
-------------------------------------------------------------------------
Sanofi-Synthelabo (France) 11,751 $ 559,753
Schering-Plough 51,100 2,580,550
Serono (Switzerland) 680 566,858
Sonic Innovations* 1,300 24,131
St Jude Medical 5,700 261,488
Trimeris* 1,300 90,919
-------------------------------------------------------------------------
32,162,636
Industrial Machinery: 0.5%
-------------------------------------------------------------------------
Advanced Energy Industries* 2,900 170,919
Applied Materials* 15,200 1,377,500
Caterpillar 6,000 203,250
Grainger (W.W.) 5,155 158,838
Helix Technology 6,800 265,200
Sandvik (Sweden) 6,557 137,596
-------------------------------------------------------------------------
2,313,303
Leisure, Lodging & Entertainment: 0.6%
-------------------------------------------------------------------------
Applebee's International 2,000 60,625
EMI Group (United Kingdom) 30,781 285,465
Granada Group (United Kingdom) 68,382 672,458
Grupo Televisa SA GDR* 2,200 151,663
Hasbro 18,181 273,851
Nintendo (Japan) 1,200 209,404
Nippon Television Network (Japan) 600 390,088
P.F. Chang's China Bistro* 2,240 71,540
Television Francaise (France) 5,460 380,484
-------------------------------------------------------------------------
2,495,578
Metals & Mining: 0.1%
-------------------------------------------------------------------------
Alcoa 14,400 417,600
Pohang Iron & Steel (South Korea) 250 21,741
Pohang Iron & Steel - ADR 4,000 96,000
SKF AB - A Shares (Sweden) 3,608 57,296
-------------------------------------------------------------------------
592,637
Miscellaneous: 0.1%
-------------------------------------------------------------------------
BCE INC W/I* 10,600 251,188
Kronos* 3,000 78,000
329,188
Packaging & Containers: 0.2%
-------------------------------------------------------------------------
Owens-Illinois* 16,365 191,266
Sealed Air* 6,000 314,250
Smurfit-Stone Container* 15,240 196,215
-------------------------------------------------------------------------
701,731
Paper & Forest Products: 0.2%
-------------------------------------------------------------------------
Boise Cascade 10,925 282,684
Stora Enso Oyj - A Shares (Finland) 1,544 14,149
Stora Enso Oyj - R Shares (Finland) 10,962 99,934
Weyerhaeuser 8,925 383,775
-------------------------------------------------------------------------
780,542
Real Estate: 0.2%
-------------------------------------------------------------------------
Costar Group* 5,700 142,856
Cheung Kong Holdings (Hong Kong) 45,000 497,883
-------------------------------------------------------------------------
640,739
Retail: 2.6%
-------------------------------------------------------------------------
99 Cents Only Stores* 3,382 134,857
Ameriking* 75 750
Bulgari (Italy) 10,544 140,914
Colgate-Palmolive 12,700 760,413
Cost Plus* 5,775 165,670
CVS 39,900 1,596,000
Factory 2-U Stores* 5,628 212,809
Federated Department Stores* 10,410 351,338
Home Depot 35,700 1,782,769
Kohl's* 7,400 411,625
Linens N Things* 4,200 113,925
Lowe's Companies 11,400 468,113
Radioshack 17,800 843,275
Sears, Roebuck 14,000 456,750
Staples* 14,000 215,250
Target 13,700 794,600
The Swatch Group (Switzerland) 295 76,939
Number Market
Retail (Cont.) of Shares Value
-------------------------------------------------------------------------
The Swatch Group Class B (Switzerland) 273 $ 347,055
TJX Companies New 30,300 568,125
Tuesday Morning* 2,000 21,000
Tweeter Home Entertainment Group* 4,770 144,889
Wal-Mart Stores 30,800 1,774,850
-------------------------------------------------------------------------
11,381,916
Telecommunications: 6.9%
-------------------------------------------------------------------------
Alamosa PCS Holdings* 5,700 118,988
Alltel 22,670 1,404,123
Anaren Microwave* 1,650 216,537
A T & T Wireless Group* 17,900 498,963
BCE (Canada) 2,725 64,649
Bell Atlantic* 33,595 1,707,046
Cable & Wireless (United Kingdom) 14,384 244,162
California Amplifier* 3,500 160,125
China Telecom (Hong Kong)* 92,000 811,366
Choice One Communications* 3,400 138,763
CTC Communications Group* 6,133 220,788
Dycom* 7,425 341,550
Ericsson LM - B Shares (Sweden) 28,412 562,375
France Telecom SA (France) 2,811 392,847
Grupo Carso Global Teleco (Mexico)* 52,025 147,963
GTE 16,045 998,801
Intermedia Communications* 2,200 65,450
KDD (Japan) 61 6,150
Korea Telecom - ADR 5,203 251,695
MCK Communications* 7,700 178,063
Natural Microsystems* 4,500 505,969
Net2000 Communications* 5,000 81,875
Netcom AB - B Shares(Sweden)* 1,715 126,641
Nextel Communications* 19,898 1,217,509
Nokia Oyj (Finland) 23,976 1,223,336
Nortel Networks (Canada) 12,809 889,136
Nortel Networks 52,600 3,589,950
Nokia 22,241 1,110,660
Powerwave Technologies* 3,600 158,400
Price Communications* 9,578 225,682
Proxim* 3,600 356,288
Rural Cellular - Class A* 2,400 183,750
Saga Communications* 5,185 114,070
SBA Communcations* 9,400 488,213
SBC Communications 70,396 3,044,625
Somera Communications* 8,000 109,000
Sonera Oyj (Finland) 2,440 111,220
Spectralink* 5,000 73,125
Sprint 47,500 2,422,500
Sprint PCS* 15,300 910,350
Telefonos De Mexico SA - ADR 7,334 418,955
Tellabs* 9,800 670,688
Tollgrade Communications* 4,200 556,500
Transwitch* 400 30,875
Vodafone Airtouch (United Kingdom) 406,204 1,646,983
Vodafone Group - ADR 20,000 828,750
Voicestream Wireless* 4,878 567,296
Winstar Communications* 1,650 55,894
-------------------------------------------------------------------------
30,248,644
Textiles, Apparel & Furniture: 0.1%
-------------------------------------------------------------------------
Gucci Group NV - NY Reg Shares 4,767 451,673
-------------------------------------------------------------------------
Transportation & Shipping: 0.3%
-------------------------------------------------------------------------
Burlington Northern Santa Fe 21,880 501,873
Deutsche Lufthansa AG (Denmark) 6,958 162,400
EGL* 5,300 162,975
Expeditors International 4,900 232,750
Fritz* 5,000 51,563
United Parcel Service - Class B 6,300 371,700
-------------------------------------------------------------------------
1,483,261
Utilities: 1.7%
-------------------------------------------------------------------------
Cinergy 32,185 818,706
CP&L Energy 16,700 533,356
Dominion Resources 19,965 855,999
Edison International 33,015 676,808
Entergy 36,805 1,000,636
Global Asset Allocation Fund 11
<PAGE>
Number Market
Utilities (Cont.) of Shares Value
-------------------------------------------------------------------------
Hong Kong & China Gas (Hong Kong) 8,000 $ 8,980
Hong Kong Electric (Hong Kong) 2,000 6,440
Iberdrola S.A. (Spain) 10,520 135,572
Korea Electric Power (South Korea) 4,480 139,017
Nippon Telegraph & Telephone (Japan) 88 1,169,133
Reliant Energy 24,500 724,281
Scottish Power (United Kingdom) 38,288 323,516
Telefonica (Spain)* 28,161 604,856
Telefonica - ADR* 1,941 124,358
TXU 15,480 456,660
-------------------------------------------------------------------------
7,578,318
Total Common Stock: 59.7%
(Cost $186,312,804) 262,516,241
-------------------------------------------------------------------------
Preferred Stocks:
-------------------------------------------------------------------------
Ameriking PIK 13.00% 4,679 38,602
California Federal 9.125% 4,000 84,750
Chevy Chase 10.37% 670 34,170
Citadel Broadcasting PIK 13.00% 573 58,546
Concentric Network PIK 13.00% 255 25,216
CSC Holdings PIK 11.125% 17 1,784
CSC Holdings PIK 11.75% 6 646
Dobson Communications PIK 12.25% 103 10,280
Dobson Communications PIK 13.00% 1,136 117,834
First Rep Cap 10.50% 144A 1,000 88,250
Global Crossing 10.50% 860 83,205
Intermedia Communications PIK 13.50% 1,199 116,018
Nebco Evans Holding PIK 11.25% 10 4
Nextel Communications PIK 13.00% 320 34,328
Nextel Communications PIK 11.125% 3 292
Nextlink Communications PIK 14.00% 54 2,795
Paxson Communications PIK 13.25% 746 71,839
Paxson Communications PIK 12.00% 786 78,822
Psi Net Conv Pref 900 30,713
Public Service New Hampshire 10.60% 527 13,175
R&B Falcon 13.875% 500 81,563
-------------------------------------------------------------------------
Total Preferred Stock: 0.2%
(Cost $1,042,980) 972,832
-------------------------------------------------------------------------
Warrants/Rights:
-------------------------------------------------------------------------
Anker Coal Group 4 0
Birch Telecom Warrants 30 1,650
Carrier 1 55 17,050
Cellnet Data Systems 1,708 78
Diva Systems Warrants 510 7,140
Epic Resorts 30 0
Firstworld Communications Warrants 140 9,800
Globalstar Telecom 206 7
KMC Telecom Holdings 125 3,125
Knology Holdings Warrant 1 825
Mediq 40 0
MGC Communication Warrants 80 3,001
Onepoint Communications Warrants 12 400
Orbital Imaging 350 805
Startec Global 50 140
Telehub Communications 499 15
-------------------------------------------------------------------------
Total Warrants/Rights: 0.0%
(Cost $16,962) 44,036
-------------------------------------------------------------------------
Options:
USD call on Japanese Yen 14 4,320,175
-------------------------------------------------------------------------
Total Options: 0.9%
(Cost $4,257,480) 4,320,175
-------------------------------------------------------------------------
Par
Repurchase Agreement: Amount
-------------------------------------------------------------------------
Salomon Smith Barney Repurchase
Agreement, dated 6/30/00, 6.50%,
maturing 7/3/00, collateralized by $8,655,000
U.S. Treasury Bonds, 8.875%, 8/15/27,
market value $11,373,327 $11,090,000 11,090,000
-------------------------------------------------------------------------
Par Market
Amount Value
-------------------------------------------------------------------------
Total Repurchase Agreement: 2.5%
(Cost $11,090,000) $ 11,090,000
-------------------------------------------------------------------------
Money Market Instruments:
-------------------------------------------------------------------------
General Electric Capital
6.54%, 7/17/00 (+) $6,000,000 5,982,587
-------------------------------------------------------------------------
Total Money Market Instruments: 1.3%
(Cost $5,982,587) 5,982,587
-------------------------------------------------------------------------
Total Investments: 96.4%
(Cost $352,741,523) 424,988,759
-------------------------------------------------------------------------
Other Asset over Liabilities: 3.6% 15,953,691
-------------------------------------------------------------------------
Net Assets: 100.0%
(Equivalent to $15.450 per share based on
28,539,718 shares issued and outstanding) $440,942,450
-------------------------------------------------------------------------
Components of Net Assets at June 30, 2000:
-------------------------------------------------------------------------
Common Stock, $.01 par value
50,000,000 authorized shares $ 285,397
Paid in capital in excess of par value
of shares issued 343,671,840
Undistributed net investment income (++) 1,473,750
Accumulated net realized gain on
investments and futures contracts 21,395,423
Net unrealized appreciation of investments,
foreign currencies, and futures contracts 74,116,040
-------------------------------------------------------------------------
Total Net Assets $440,942,450
-------------------------------------------------------------------------
* Non-income producing security.
** Security is currently in default.
*** Par amounts for foreign debt are expressed in local currency
ADR - American Depository Receipt
GDR - Global Depository Receipt
PIK - Pay in kind security.
(1) Step-up Bond
(+) Fully or partially pledged as collateral for open futures contracts.
(++) Undistributed net investment income includes net realized gains (losses)
on foreign curriencies. Net realized gains (losses) on foreign currencies
are treated as net investment income in accordance with provisions of the
Internal Revenue Code.
See accompanying notes to financial statements.
Global Asset Allocation Fund 12
<PAGE>
Lincoln National Global Asset Allocation Fund, Inc.
Statement of Operations - Unaudited
Six months ended June 30, 2000
Investment income:
Interest $ 5,705,974
-----------------------------------------------------------------------------
Dividends 2,628,459
-----------------------------------------------------------------------------
Less: Foreign withholding tax (102,062)
-----------------------------------------------------------------------------
Total investment income 8,232,371
-----------------------------------------------------------------------------
Expenses:
Management fees 1,616,286
-----------------------------------------------------------------------------
Accounting fees 181,573
-----------------------------------------------------------------------------
Custody fees 172,058
-----------------------------------------------------------------------------
Printing and postage 66,376
-----------------------------------------------------------------------------
Legal fees 14,254
-----------------------------------------------------------------------------
Directors fees 2,100
-----------------------------------------------------------------------------
Other 42,155
-----------------------------------------------------------------------------
Total expenses 2,094,802
-----------------------------------------------------------------------------
Net investment income 6,137,569
-----------------------------------------------------------------------------
Net realized and unrealized gain (loss) on investments,
futures contracts, and foreign currency related transactions:
Net realized gain (loss) on:
Investment transactions 30,873,189
-----------------------------------------------------------------------------
Futures contracts (10,468,001)
-----------------------------------------------------------------------------
Foreign currency transactions (5,038,985)
-----------------------------------------------------------------------------
Net realized gain on investments, futures
contracts, and foreign currency related transactions 15,366,203
-----------------------------------------------------------------------------
Net change in unrealized appreciation/depreciation of:
Investments and futures contracts (28,910,873)
-----------------------------------------------------------------------------
Foreign currency 1,142,566
-----------------------------------------------------------------------------
Net change in unrealized appreciation/depreciation of
investments, futures contracts, and foreign currency
related transactions (27,768,307)
-----------------------------------------------------------------------------
Net realized and unrealized loss on investments, futures
contracts, and foreign currency related transactions (12,402,104)
-----------------------------------------------------------------------------
Net decrease in net assets resulting from operations $(6,264,535)
-----------------------------------------------------------------------------
Statements of Changes in Net Assets
<TABLE>
<CAPTION>
Six months
ended
6/30/00 Year ended
(Unaudited) 12/31/99
-------------------------------
<S> <C> <C>
Changes from operations:
Net investment income $ 6,137,569 $ 9,981,044
------------------------------------------------------------------------------------------
Net realized gain on investment transactions,
futures contracts, and foreign currency transactions 15,366,203 33,652,307
------------------------------------------------------------------------------------------
Net change in unrealized appreciation /depreciation
of investments, futures contracts, and foreign currency (27,768,307) 8,251,741
------------------------------------------------------------------------------------------
Net increase (decrease) in net assets
resulting from operations (6,264,535) 51,885,092
------------------------------------------------------------------------------------------
Distributions to shareholders from:
Net investment income - (8,090,100)
------------------------------------------------------------------------------------------
Net realized gain on investment transactions (30,595,889) (13,318,486)
------------------------------------------------------------------------------------------
Total distributions to shareholders (30,595,889) (21,408,586)
------------------------------------------------------------------------------------------
Net decrease in net assets
resulting from capital share transactions (13,000,665) (29,826,853)
------------------------------------------------------------------------------------------
Total increase (decrease) in net assets (49,861,089) 649,653
------------------------------------------------------------------------------------------
Net Assets, beginning of period 490,803,539 490,153,886
------------------------------------------------------------------------------------------
Net Assets, end of period $440,942,450 $490,803,539
------------------------------------------------------------------------------------------
</TABLE>
See accompanying notes to financial statements.
Global Asset Allocation Fund 13
<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
6/30/00 Year ended December 31,
(Unaudited) 1999 1998 1997 1996 1995
------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 16.793 $ 15.759 $ 15.628 $ 14.226 $ 13.391 $ 11.144
Income from investment operations:
Net investment income 2 0.221 0.323 0.357 0.383 0.392 0.412
Net realized and unrealized gain (loss)
on investments and foreign currency (0.419) 1.409 1.585 2.205 1.522 2.247
------------------------------------------------------------------
Total from investment operations (0.198) 1.732 1.942 2.588 1.914 2.659
------------------------------------------------------------------
Less dividends and distributions:
Dividends from net investment income - (0.266) (0.589) - (0.392) (0.412)
Distributions from net realized gain on
investment transactions (1.145) (0.432) (1.222) (1.186) (0.687) -
------------------------------------------------------------------
Total dividends and distributions (1.145) (0.698) (1.811) (1.186) (1.079) (0.412)
------------------------------------------------------------------
Net asset value, end of period $ 15.450 $ 16.793 $ 15.759 $ 15.628 $ 14.226 $ 13.391
------------------------------------------------------------------
Total Return(1) (1.16%) 11.36% 13.50% 19.47% 15.04% 23.95%
Ratios and supplemental data:
Ratio of expenses to average net assets 0.93%(3) 0.91% 0.91% 0.89% 1.00% 0.92%
Ratio of net investment income
to average net assets 2.73%(3) 2.05% 2.36% 2.77% 2.93% 3.36%
Portfolio Turnover 87.42% 134.31% 133.84% 178.40% 167.33% 146.49%
Net assets, end of period (000 omitted) $440,942 $490,804 $490,154 $438,090 $316,051 $248,772
</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 periods ended June 30, 2000, December 31, 1999
and 1998 were based on the average shares outstanding method.
(3) Annualized
See accompanying notes to financial statements.
Global Asset Allocation Fund 14
<PAGE>
Lincoln National Global Asset Allocation Fund, Inc.
Notes to Financial Statements - Unaudited
June 30, 2000
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 the 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: All equity securities are valued at the last sales price
as of the close of the New York Stock Exchange (NYSE) on the valuation date. If
on a particular day an equity security does not trade, then the mean between the
bid and asked prices will be used. Long-term debt securities are valued by an
independent pricing service, and such prices are believed to reflect the fair
value of such securities. 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. Foreign dividends are also recorded on
the ex-dividend date or as soon after the ex-dividend date that the Fund is
aware of such dividends, net of all non-rebatable tax withholdings. Withholding
taxes on foreign interest and dividends have been provided for in accordance
with the applicable country's tax rules and rates. 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 whish 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.
Options: The fund may purchase or write options that are exchange traded to
hedge 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 risk of a 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 option during the six months ended June 30, 2000.
Global Asset Allocation Fund 15
<PAGE>
Notes to Financial Statements - Unaudited - (Continued)
Use of Estimates: The preparation of financial statements in conformity with
accounting principles generally accepted in the United States 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.
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-adviser, Putnam Investments, is paid directly by the
adviser.
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, 2000.
Certain officers and directors of the Fund are also officers or directors of the
Company 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, 2000 and the
aggregate gross unrealized appreciation, the aggregate gross unrealized
depreciation and the net unrealized appreciation at June 30, 2000 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> <C>
$359,753,329 $420,887,126 $86,519,015 $(14,271,779) $72,247,236
</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 year ended.
Purchased options that were open at June 30, 2000 were as follows:
<TABLE>
<CAPTION>
Notional Expiration Unrealized
Options Cost Amount Date Gain
------------------------------------------------------------------------
<S> <C> <C> <C> <C>
(14) USD Call on Japanese Yen $4,257,480 Sept 2000 $62,695
</TABLE>
Global Asset Allocation Fund 16
<PAGE>
Notes to Financial Statements - Unaudited - (Continued)
Forward Foreign Currency Contracts: The Fund may enter into 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, 2000 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> <C>
34,471,840 Australian Dollar $20,391,636 September 2000 $ 234,895
(4,725,712) Australian Dollar (2,782,980) September 2000 (44,692)
3,845,500 Canadian Dollar 2,610,659 September 2000 (6,136)
(15,859,100) Canadian Dollar (10,764,176) September 2000 22,947
4,459,076 Danish Kroner 565,873 September 2000 6,321
64,442,700 European Monetary Unit 61,642,234 September 2000 191,117
(25,927,900) European Monetary Unit (24,921,589) September 2000 43,536
(67,700,000) Greek Drakma (191,812) September 2000 543
67,750,000 Greek Drakma 191,141 September 2000 (717)
(5,620,000) Hong Kong Dollar (721,444) September 2000 (367)
3,150,000 Hong Kong Dollar 404,177 September 2000 191
(3,420,532,880) Japanese Yen (32,675,628) September 2000 (41,514)
3,517,900,530 Japanese Yen 33,607,642 September 2000 40,814
1,637,000 Great Britian Pound 2,497,269 September 2000 (16,824)
(3,356,800) Great Britian Pound (5,107,017) September 2000 20,665
1,710,000 Norwegian Kroner 194,818 September 2000 4,372
160,000 New Zealand Dollar 75,840 September 2000 (738)
(540,000) Singapore Dollar (315,673) September 2000 43
530,360 Swiss Francs 324,207 September 2000 3,404
(1,450,000) Swiss Francs (877,416) September 2000 (18,270)
(7,592,990) Swedish Krona (866,968) September 2000 336
--------
$439,926
========
</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, 2000 was $5,982,587. 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, 2000 were as
follows:
<TABLE>
<CAPTION>
Notional Expiration Unrealized
Contracts Cost Amount Dates Gain (Loss)
------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
(31) CAC 40 Index contracts $(1,914,049) July 2000 $9,963
17 S&P 500 Index contracts 6,334,280 September 2000 (94,855)
(9) Russell 2000 Index contracts (2,346,985) September 2000 (4,715)
139 U.S. 10 Year Treasury note contracts 13,573,312 September 2000 116,016
(23) Long Gilt contracts (3,779,481) September 2000 (178,296)
(81) Ftse 100 Index contracts (8,039,454) September 2000 249,275
(35) Euro Eurobond contracts (3,314,204) September 2000 (196,290)
16 Euro Eurobond contracts 1,571,509 September 2000 33,288
304 Australian All Ords Index contracts 14,615,368 September 2000 574,277
(10) Dax Index contracts (1,772,015) September 2000 113,397
290 Japan 10 Year contracts 3,596,444 September 2000 30,948
23 Tokyo Price Index contracts 3,403,997 September 2000 45,029
(3) MIB 30 Index contracts (680,544) September 2000 6,335
---------
$ 704,372
=========
</TABLE>
Global Asset Allocation Fund 17
<PAGE>
Notes to Financial Statements - Unaudited - (Continued)
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.
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, 2000 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 fair a price when it is necessary to liquidate such
securities.
6. Summary of Changes From Capital Share Transactions
<TABLE>
<CAPTION>
Shares Issued Upon Net Increase (Decrease)
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, 2000
(Unaudited): 161,428 $ 2,611,703 1,986,359 $30,595,889 (2,834,417) $(46,208,257) (686,630) $(13,000,665)
Year ended
December 31, 1999: 645,023 10,154,048 1,365,709 21,408,586 (3,886,646) (61,389,487) (1,875,914) (29,826,853)
</TABLE>
7. 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 18
