[LOGO OF PUTNAM INVESTMENTS]
Lincoln National
Global Asset
Allocation Fund, Inc.
Annual Report
December 31, 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
Report of Ernst & Young LLP, Independent Auditors
<PAGE>
Lincoln National
Global Asset Allocation Fund, Inc.
Managed by: [LOGO OF PUTNAM INVESTMENTS]
The Fund returned 11.4% for the year ended December 31, 1999, slightly
underperforming its custom benchmark (50% S&P 500 Index; 30% Lehman Brothers
Aggregate Bond Index; 10% Morgan Stanley EAFE Index; 10% Salomon Brothers World
Government Bond Index*) return of 12.6%.
Overall, 1999 featured roaring global equity markets: the S&P 500 rose 21.1 %,
while non-U.S. markets, as measured by the Morgan Stanley International Europe,
Australia, Far East (EAFE) Index rose 27.3%. A broad recovery in economic growth
and corporate profitability, led by technology around the world, helped propel
global equities higher.
Portfolio performance was helped by very strong security selection in many of
the underlying portfolios. Performance in the international equity and small-cap
equity components was especially strong. Two factors in particular detracted
from portfolio performance during the year. The tactical asset allocation
decision to underweight equities early in the year was a drag on performance.
The allocation to value equities also hurt returns as growth stocks vastly
outperformed value stocks, and our value portfolio underperformed the value
indices.
Looking ahead, while we believe that growth may slow, we expect the U.S. economy
to remain relatively robust. Given continued U.S. economic strength and
increasingly tight labor markets, it is likely that the Fed will remain active
in early 2000 to ward off any threat of higher inflation. Technology and telecom
stocks should continue to dominate international equity markets and we maintain
our long-term commitment to these sectors despite near-term vulnerability
following their recent rapid appreciation. With valuations stretched in many
equity markets and with interest rates having risen worldwide, we favor a
conservative portfolio strategy over the next few months.
William Landes, Ph.D
Growth of $10,000 invested 1/1/90 through 12/31/99
1/1/90 12/31/99
Global Asset Allocation Fund $10,000 $31,358
Lehman Brothers Government/Corporate Bond Index $10,000 $23,825
S&P 500 Index $10,000 $70,087
Morgan Stanley EAFE Index $10,000 $21,795
Salomon Brothers World Government Bond Index $10,000 $25,441
Lehman Brothers Aggregate Bond Index $10,000 $23,877
This chart illustrates, hypothetically, that $10,000 was invested in the Global
Asset Allocation Fund on 1/1/90. As the chart shows, by December 31, 1999, the
value of the investment at net asset value, with any dividends and capital gains
reinvested, would have grown to $31,358. For comparison, look at how the Indices
did over the same period. Past performance is not indicative of future
performance. Remember, an investor cannot invest directly in an index.
Average annual return Ended
on investments 12/31/99
- ---------------------------------------------
One Year +11.36%
- ---------------------------------------------
Five Years +16.58%
- ---------------------------------------------
Ten Years +12.17%
- ---------------------------------------------
* MSCI EAFE Index consists of more than 900 securities from selected countries
in Europe, Australia and the Far East. Standard & Poor's 500 Index - Broad
based measurement of changes in stock market conditions based on average
performance of 500 widely held common stocks. Lehman Brothers Gov't/Corp Bond
Index - Measures performance of diversified, investment grade, bond issues.
Salomon Brothers World Government Bond Index - A measurement of government
bonds in ten global markets. Lehman Brothers Aggregate Bond Index - Composed
of securities from Lehman Brothers Government/Corprate Bond Index, Mortgage
Backed Securities Index, and the Asset-Backed Securities Index. An investor
cannot invest directly in the above index/indexes, which is/are unmanaged.
Global Asset Allocation Fund 1
<PAGE>
Lincoln National
Global Asset Allocation Fund, Inc.
Statement of Net Assets
December 31, 1999
<TABLE>
<CAPTION>
Investments:
Par Market
Long-Term Debt Investments: Amount Value
- ---------------------------------------------------------------------------------------
<S> <C> <C>
U.S. Government and Agency Obligations: 8.6%
Federal Home Loan Mortgage Corporation
6.00%, 7/1/06 $ 465,621 $ 448,306
8.50%, 7/1/28 374,135 385,944
6.50%, 4/1/29 359,812 339,910
Federal National Mortgage Association
5.75%, 4/15/03 620,000 602,469
6.50%, 8/15/04 4,077,000 4,027,246
7.50%, 7/1/07 190,237 190,118
6.00%, 5/15/08 1,450,000 1,357,454
6.63%, 9/15/09 855,000 831,410
7.50%, 1/1/11 129,894 131,193
7.00%, 10/1/11 636,970 632,192
5.50%, 1/1/12 516 484
7.50%, 3/1/13 647,051 653,117
6.00%, 6/1/14 367,557 349,065
5.50%, 8/15/14 328,083 304,502
8.50%, 10/1/18 104,153 106,822
7.00%, 2/25/23 321,762 283,450
8.50%, 12/1/24 311,465 320,615
6.98%, 7/1/25 34,884 35,626
8.00%, 3/1/26 40,857 41,342
8.00%, 8/1/26 697,708 705,994
8.50%, 11/1/26 457,324 470,758
8.50%, 10/1/27 128,184 131,789
6.50%, 3/1/28 713,914 674,872
6.50%, 6/1/28 376,591 355,761
6.50%, 7/1/28 113,827 107,495
6.00%, 8/1/28 315,942 289,285
6.50%, 8/1/28 459,946 434,361
6.00%, 9/1/28 39,146 35,843
6.50%, 9/1/28 554,820 523,958
6.00%, 11/1/28 29,081 26,627
6.00%, 11/1/28 81,155 74,308
Federal National Mortgage Association
Single Family #440725
6.00%, 12/1/28 946,313 866,468
Federal National Mortgage Association
Single Family #445274
6.00%, 12/1/28 741,722 679,139
Federal National Mortgage Association
Single Family #452782
6.00%, 12/1/28 1,498,645 1,372,197
Federal National Mortgage Association
Single Family #485407
6.00%, 12/1/28 379,396 358,055
Federal National Mortgage Association
Single Family #485861
6.00%, 12/1/28 412,541 388,949
Federal National Mortgage Association
Single Family #496519
6.00%, 12/1/28 547,103 516,157
Federal National Mortgage Association
Single Family #484977
6.00%, 12/1/28 987,671 931,806
6.50%, 6/1/29 603,188 568,316
6.00%, 7/1/29 1,279,009 1,171,093
8.00%, 7/1/29 32,585 32,860
6.50%, 9/1/29 114,809 108,279
8.00%, 9/1/29 245,025 247,015
7.50%, 10/1/29 48,086 47,590
8.50%, 10/1/29 150,015 153,859
7.00%, 11/1/29 1,407,571 1,361,385
Government National Mortgage Association
#143581
11.00%, 12/15/15 3,568 3,936
Government National Mortgage Association
#143928
11.00%, 12/15/15 26,586 29,327
Par Market
Amount Value
U.S. Gov't. and Agency Obligations (Cont.)
- ---------------------------------------------------------------------------------------
Government National Mortgage Association
#136179
11.00%, 12/15/15 $ 42,998 $11,147,432
Government National Mortgage Association
#266887
7.50%, 8/15/23 473,180 471,849
Government National Mortgage Association
#356681
7.50%, 9/15/23 296,291 295,365
Government National Mortgage Association
#486874
6.50%, 1/15/29 32,234 30,280
Government National Mortgage Association
#486844
6.50%, 1/15/29 159,527 149,855
Government National Mortgage Association
10.00%, 6/15/13 253,642 275,519
9.50%, 12/15/17 258,388 275,506
7.50%, 1/15/23 117,859 117,675
7.50%, 8/15/23 65,322 65,139
7.00%, 4/15/24 271,064 263,525
10.00%, 3/15/25 348,985 379,085
8.00%, 8/15/25 189,011 191,137
7.00%, 4/15/26 204,982 198,833
8.00%, 8/15/26 1,946 1,974
7.00%, 10/15/26 206,025 199,200
7.00%, 10/15/27 203,925 197,743
6.50%, 3/15/28 339,610 319,233
7.00%, 3/15/28 294,848 285,726
7.00%, 4/15/28 990,000 957,207
6.50%, 11/15/28 67,319 63,238
6.50%, 2/15/29 195,019 183,196
6.50%, 3/15/29 172,230 161,788
6.50%, 5/15/29 500,050 469,734
U.S. Treasury Note
6.13%, 12/31/01 6,370,000 6,356,428
5.88%, 11/15/04 3,120,000 3,059,788
6.00%, 8/15/09 (+) 85,000 82,401
6.13%, 8/15/29 (+) 3,485,000 3,322,652
- ---------------------------------------------------------------------------------------
42,130,255
Asset-Backed: 3.0%
- ---------------------------------------------------------------------------------------
Advanta 1997 A-7
6.63%, 1/25/29 615,000 595,661
Advanta Mortgage Loan Trust
6.69%, 4/25/17 408,096 399,907
7.05%, 5/25/21 229,188 227,946
Amres 97-3A3
6.60%, 1/25/18 33,949 33,817
Capital Equipment Receivables Trust
6.28%, 6/15/00 30,189 30,190
CCIMT 1999-5A
6.10%, 5/15/08 495,000 469,322
Chase Manhattan Bank - First Union National
Series 1999-1 Class A1
7.13%, 7/15/07 763,139 756,462
Chemical Master Credit Card Trust #19962A
5.98%, 9/15/08 660,000 625,617
Collateralized Mortgage Obligations
9.00%, 11/20/20 1,015,471 1,041,935
Commercial Mortgage Acceptance Corporation
6.57%, 12/15/30 45,000 43,348
Commercial Mortgage Asset Trust
Series 1999-C1 Class A4
6.98%, 4/17/13 260,000 247,263
Credit Suisse First Boston Mortgage Securities
Series 1999-C1 A2
7.29%, 9/15/09 190,000 187,031
Donaldson Lufkin Jenrette Commercial Mortgage
Series 1998-CG1 Class A1A
6.11%, 12/10/07 182,453 172,553
Donaldson Lufkin Jenrette Commercial Mortgage
Series 1999-CG3 Class A1A
7.12%, 9/10/09 193,319 191,990
Donaldson Lufkin Jenrette Commercial Mortgage
7.34%, 9/10/09 495,000 487,730
FHLMC
7.50%, 11/15/22 685,000 676,232
Global Asset Allocation Fund 2
<PAGE>
Par Market
Asset-Backed (Cont.) Amount Value
- ---------------------------------------------------------------------------------------
FHLMC
Series 2160 Class D
6.00%, 9/15/25 $ 959,702 $ 904,483
GE Electric Mortgage Services
Series 1996-HE2 Class A4
7.65%, 3/25/12 165,000 162,821
General Motors Acceptance Corp
Series 1999-C1 A2
6.18%, 5/15/33 170,000 154,028
Government National Mortgage Association
7.50%, 5/16/27 1,100,000 1,084,889
Green Tree Recreational
Series 1998-A A1C
6.18%, 6/15/19 445,338 437,301
Green Tree Series 1998-2 A5
6.24%, 3/18/28 870,000 854,231
Green Tree Financial 97-2 A6
7.24%, 4/15/28 540,000 518,537
Green Tree 97-B A1
6.55%, 7/15/28 381,441 381,894
GS Mortgage Securities II
6.56%, 4/13/31 200,000 183,068
Lehman Brothers Commercial Conduit Mortgage Trust
Series 1999-C1 Class A2
6.78%, 4/15/09 482,000 456,965
Lehman Brothers Commercial Conduit Mortgage Trust
Series 1999-C2 Class A1
7.11%, 10/15/32 363,476 361,361
Lehman Brothers Commercial Conduit Mortgage Trust
Series 1999-C2 Class A2
7.33%, 10/15/32 745,000 733,563
Merrill Lynch Mortgage Investors
Series 1998-C2 A1
6.22%, 2/15/30 182,672 176,792
Morgan Stanley Capital I
7.23%, 1/16/06 560,000 559,913
Morgan Stanley Capital I
Series 1998-HF1 Class A1
6.19%, 1/15/07 125,057 119,201
Mortgage Capital Funding
Series 1998-MC1 Class A1
6.42%, 6/18/07 169,011 163,813
PNC Mortgage Securities
6.60%, 7/25/27 193,704 193,947
PP&L Transition Bond Company LLC
Series 1999-1 Class A7
7.05%, 6/25/09 755,000 749,291
Standard Credit Card Master Trust
7.25%, 4/7/08 260,000 257,444
The Money Store Home Equity Trust
Series 1996-A Class A5
6.85%, 6/15/19 66,244 65,802
- ---------------------------------------------------------------------------------------
14,706,348
Aerospace & Defense: 0.3%
- ---------------------------------------------------------------------------------------
Argo-Tech
8.63%, 10/1/07 40,000 35,000
BE Aerospace
8.00%, 3/1/08 55,000 47,713
9.50%, 11/1/08 65,000 61,100
Boeing
6.63%, 2/15/38 505,000 423,026
Continental Airlines
9.50%, 12/15/01 175,000 177,625
K & F Industries
9.25%, 10/15/07 15,000 14,400
L-3 Communications
10.38%, 5/1/07 20,000 20,725
8.00%, 8/1/08 20,000 18,225
Lockheed Martin
7.25%, 5/15/06 680,000 647,405
- ---------------------------------------------------------------------------------------
1,445,219
Automobile & Auto Parts: 0.4%
- ---------------------------------------------------------------------------------------
Aftermath Tech
12.00%, 8/1/04 90,000 90,000
Chrysler
7.45%, 2/1/97 170,000 159,098
Par Market
Amount Value
Automobile & Auto Parts (Cont.)
- ---------------------------------------------------------------------------------------
DaimlerChrysler
7.20%, 9/1/09 $ 170,000 $ 167,201
Delphi Automotive Systems
6.13%, 5/1/04 450,000 425,241
Dura Operating
9.00%, 5/1/09 40,000 37,700
Federal Mogul
7.38%, 1/15/06 40,000 37,147
7.50%, 1/15/09 20,000 18,137
Ford Motor
6.63%, 10/1/28 40,000 34,881
Hayes Lemmerz Intnational
8.25%, 12/15/08 70,000 64,400
Hertz
7.00%, 1/15/28 815,000 721,120
Lear
9.50%, 7/15/06 100,000 102,000
Navistar International
7.00%, 2/1/03 150,000 144,750
8.00%, 2/1/08 85,000 81,813
Newcor
9.88%, 3/1/08 100,000 60,000
Talon Automotive Group
9.63%, 5/1/08 70,000 42,700
- ---------------------------------------------------------------------------------------
2,186,188
Banking, Finance & Insurance: 2.0%
- ---------------------------------------------------------------------------------------
Aames Financial
9.13%, 11/1/03 45,000 29,250
Advanta
7.00%, 5/1/01 100,000 94,969
6.92%, 1/28/02 90,000 82,604
AFC Capital Trust I
8.21%, 2/3/27 425,000 397,032
Alaska Communications
9.38%, 5/15/09 210,000 203,700
Amresco
9.88%, 3/15/05 10,000 6,000
Bankamerica
5.88%, 2/15/09 475,000 423,793
Chevy Chase Bank
9.25%, 12/1/05 50,000 48,125
9.25%, 12/1/08 100,000 94,000
CIT Group
6.50%, 6/14/02 390,000 384,730
Citicorp
6.38%, 11/15/08 345,000 319,529
Colonial Capital II
8.92%, 1/15/27 35,000 31,400
Contifinancial**
7.50%, 3/15/02 110,000 13,200
8.13%, 4/1/08 70,000 8,400
Countrywide Home Loan
6.25%, 4/15/09 500,000 449,421
Delta Financial
9.50%, 8/1/04 50,000 32,500
Firstar Bank Milwaukee
6.25%, 12/1/02 170,000 166,860
Fleet Financial Group
7.38%, 12/1/09 575,000 563,706
Ford Motor Credit
5.80%, 1/12/09 265,000 235,528
7.38%, 10/28/09 455,000 450,406
General Motors Acceptance
5.80%, 4/9/01 325,000 320,406
5.75%, 11/10/03 305,000 289,942
Goldman Sachs
7.35%, 10/1/09 590,000 576,716
GS Escrow
7.13%, 8/1/05 110,000 100,031
Heller Financial
6.00%, 3/19/04 450,000 425,973
Household Finance
5.88%, 2/1/09 210,000 185,542
Imperial Credit Capital Trust I
10.25%, 6/14/02 75,000 60,375
Imperial Credit Industries
9.88%, 1/15/07 35,000 28,044
Global Asset Allocation Fund 3
<PAGE>
Par Market
Amount Value
Banking, Finance & Insurance (Cont.)
- ---------------------------------------------------------------------------------------
Merita Bank Ltd.
6.50%, 1/15/06 $ 565,000 $ 533,289
Merrill Lynch
6.00%, 2/17/09 195,000 175,080
National Westminster Bank
7.38%, 10/1/09 510,000 499,380
NationsBank
6.88%, 2/15/05 875,000 857,823
Nationwide Credit
10.25%, 1/15/08 10,000 6,100
Ocwen Capital Trust I
10.88%, 8/1/27 10,000 6,350
Ocwen Federal Bank
12.00%, 6/15/05 5,000 4,750
Ocwen Financial
11.88%, 10/1/03 5,000 4,625
Orange Cogen Funding 144A
8.18%, 3/15/22 110,000 103,939
Popular
6.40%, 8/25/00 530,000 529,586
Premium Standard Farms
11.00%, 9/17/03 20,211 18,443
Provident
7.41%, 3/15/38 190,000 158,670
Provident Capital Trust I
8.60%, 12/1/26 35,000 34,705
PRT Funding**
11.63%, 4/15/04 40,000 26,750
Resource America
12.00%, 8/1/04 50,000 42,000
Salomon Brothers
7.30%, 5/15/02 395,000 396,979
Sovereign Bancorp
10.50%, 11/15/06 60,000 61,050
Tanger Properties L.P.
8.75%, 3/11/01 100,000 99,791
Toyota Motor Credit
5.63%, 11/13/03 315,000 300,144
Webster Capital Trust I
9.36%, 1/29/27 5,000 4,756
- ---------------------------------------------------------------------------------------
9,886,392
Building & Materials: 0.1%
- ---------------------------------------------------------------------------------------
American Architectural
11.75%, 12/1/07 10,000 2,900
American Standard
7.38%, 2/1/08 125,000 115,938
Building Materials
8.00%, 12/1/08 140,000 128,100
Continental Homes Holding
10.00%, 4/15/06 35,000 35,306
D.R. Horton
8.00%, 2/1/09 50,000 46,750
NCI Building Systems
9.25%, 5/1/09 30,000 28,500
- ---------------------------------------------------------------------------------------
357,494
Cable, Media & Publishing: 0.9%
- ---------------------------------------------------------------------------------------
Acme Television/Finance
0.00%, 9/30/04 (1) 20,000 18,050
Adelphia Communications
9.88%, 3/1/07 50,000 51,313
8.38%, 2/1/08 40,000 37,300
Albritton Communications
9.75%, 11/30/07 100,000 101,250
Allbritton Communications
Series B
8.88%, 2/1/08 130,000 126,100
American Media
10.25%, 5/1/09 30,000 30,375
Benedek Communications
0.00%, 5/15/06 (1) 100,000 90,250
Century Communications
9.50%, 3/1/05 105,000 106,050
Chancellor Media
8.00%, 11/1/08 110,000 110,550
Charter Communications
8.63%, 4/1/09 170,000 157,675
Par Market
Amount Value
Cable, Media & Publishing (Cont.)
- ---------------------------------------------------------------------------------------
Citadel Broadcasting
10.25%, 7/1/07 $ 20,000 $ 21,200
9.25%, 11/15/08 90,000 91,125
CSC Holdings
9.25%, 11/1/05 10,000 10,325
7.88%, 12/15/07 75,000 74,106
7.25%, 7/15/08 40,000 37,981
8.13%, 8/15/09 54,000 54,000
8.13%, 7/15/09 100,000 99,963
9.88%, 2/15/13 125,000 131,250
7.88%, 2/15/18 20,000 19,064
Diva Systems
0.00%, 3/1/08 (1) 170,000 50,150
Fox Family Worldwide
9.25%, 11/1/07 65,000 60,288
Fox/Liberty Networks LLC
8.88%, 8/15/07 50,000 51,250
Garden State Newspapers
8.75%, 10/1/09 125,000 116,406
Golden Sky Systems
12.38%, 8/1/06 40,000 42,800
Granite Broadcasting
10.38%, 5/15/05 75,000 76,875
8.88%, 5/15/08 55,000 53,488
Jones Intercable
9.63%, 3/15/02 10,000 10,538
8.88%, 4/1/07 174,000 182,700
10.50%, 3/1/08 50,000 53,438
Knology Holdings
11.88%, 10/15/07 (1) 120,000 79,200
Lamar Media
9.63%, 12/1/06 110,000 113,575
9.25%, 8/15/07 185,000 186,850
Lenfest Communications
8.38%, 11/1/05 50,000 51,938
Logix Communications
12.25%, 6/15/08 40,000 32,000
News America Holdings
7.70%, 10/30/25 590,000 556,036
Outdoor Systems
8.88%, 6/15/07 125,000 129,688
Pegasus Communications
9.75%, 12/1/06 10,000 10,000
Pegasus Media
12.50%, 7/1/05 50,000 53,750
Perry-Judd
10.63%, 12/15/07 75,000 66,000
Radio One
7.00%, 5/15/04 (1) 5,000 5,325
SFX Broadcasting
10.75%, 5/15/06 82,000 89,483
SFX Entertainment
9.13%, 2/1/08 30,000 28,425
9.13%, 12/1/08 40,000 37,900
Sinclair Broadcast Group
8.75%, 12/15/07 220,000 206,800
TCI Communications
7.13%, 2/15/28 100,000 92,024
Time Warner
8.88%, 10/1/12 360,000 389,606
United International Holdings
0.00%, 2/15/08 (1) 110,000 70,400
United Pan Europe
10.88%, 8/1/09 130,000 132,438
Verio
11.25%, 12/1/08 30,000 31,650
Von Hoffman
13.50%, 5/15/09 11,690 10,638
10.38%, 5/15/07 40,000 39,300
Young Broadcasting
8.75%, 6/15/07 200,000 191,000
- ---------------------------------------------------------------------------------------
4,669,886
Chemicals: 0.4%
- ---------------------------------------------------------------------------------------
Dupont (EI) Nemour
6.88%, 10/15/09 750,000 729,918
Geo Specialty Chemicals
10.13%, 8/1/08 30,000 28,050
Global Asset Allocation Fund 4
<PAGE>
Par Market
Chemicals (Cont.) Amount Value
- ---------------------------------------------------------------------------------------
Huntsman
8.33%, 7/1/07 $ 50,000 $ 46,313
Huntsman 144
9.50%, 7/1/07 10,000 9,550
10.13%, 7/1/09 130,000 134,550
ISP Holdings
9.75%, 2/15/02 45,000 45,225
Lyondell Chemical
9.63%, 5/1/07 210,000 216,300
Nova Chemicals
7.40%, 4/1/09 400,000 373,841
Pioneer Americas Acquisition
9.25%, 6/15/07 15,000 11,888
Polymer Group
9.00%, 7/1/07 20,000 19,600
Scotts Company
8.63%, 1/15/09 50,000 49,000
Sterling Chemical Holdings
0.00%, 8/15/08 (1) 40,000 11,000
Union Carbide
6.25%, 6/15/03 220,000 211,261
- ---------------------------------------------------------------------------------------
1,886,496
Computers & Technology: 0.1%
- ---------------------------------------------------------------------------------------
Cellnet Data Systems**
0.00%, 10/1/07 170,000 22,100
Concentric Network
12.75%, 12/15/07 10,000 10,600
Exodus Communications
11.25%, 7/1/08 10,000 10,400
Integrated Device Technology
5.50%, 6/1/02 20,000 22,050
IPC Information Systems
0.00%, 5/1/08 (1) 90,000 69,413
Psinet 144A
10.50%, 12/1/06 30,000 30,450
Unisys
12.00%, 4/15/03 130,000 139,100
7.88%, 4/1/08 200,000 193,000
Viasystems
9.75%, 6/1/07 75,000 41,250
Williams Communications Group
10.88%, 10/1/09 130,000 136,500
- ---------------------------------------------------------------------------------------
674,863
Consumer Products: 0.2%
- ---------------------------------------------------------------------------------------
Capstar Broadcasting
0.00%, 2/1/09 (1) 85,000 75,225
Fortune Brands
7.13%, 11/1/04 285,000 281,149
French Fragrance
10.38%, 5/15/07 15,000 14,550
Home Interiors and Gifts
10.13%, 6/1/08 20,000 17,100
Iron Age
9.88%, 5/1/08 75,000 55,594
NBTY
8.63%, 9/15/07 200,000 184,500
Revlon Consumer Products
9.00%, 11/1/06 30,000 22,200
8.63%, 2/1/08 75,000 38,250
Royster - Clark 144A
10.25%, 4/1/09 30,000 27,675
United Stationer Supply
12.75%, 5/1/05 7,000 7,543
William Carter Holdings 144A
12.00%, 10/1/08 25,000 24,969
William Carter
10.38%, 12/1/06 160,000 140,200
- ---------------------------------------------------------------------------------------
888,955
Electronics & Electrical Equipment: 0.1%
- ---------------------------------------------------------------------------------------
Fairchild Semiconductor
10.13%, 3/15/07 65,000 66,300
Flextronics International
8.75%, 10/15/07 20,000 19,600
HCC Industries
10.75%, 5/15/07 10,000 5,900
Par Market
Amount Value
Electronics & Electrical Equipment (Cont.)
- ---------------------------------------------------------------------------------------
Northeast Optic Network
12.75%, 8/15/08 $ 80,000 $ 85,600
Verio
10.38%, 4/1/05 60,000 60,975
Zilog
9.50%, 3/1/05 45,000 41,850
- ---------------------------------------------------------------------------------------
280,225
Energy: 0.5%
- ---------------------------------------------------------------------------------------
Amerada Hess
7.88%, 10/1/29 420,000 408,975
Applied Power
8.75%, 4/1/09 20,000 19,600
Belco Oil & Gas
8.88%, 9/15/07 70,000 67,200
Benton Oil and Gas
9.38%, 11/1/07 5,000 3,250
Cinergy
6.13%, 4/15/04 475,000 444,170
CMS Panhandle
6.13%, 3/15/04 295,000 278,973
Coastal
6.95%, 6/2/28 440,000 381,436
Coda Energy Series B
10.50%, 4/1/06 65,000 66,463
Conoco Inc.
5.90%, 4/15/04 395,000 377,164
DII Group
8.50%, 9/15/07 10,000 9,913
Gulf Canada Resources
9.63%, 7/1/05 60,000 61,350
Leviathan Gas
10.38%, 6/1/09 20,000 20,775
Ocean Energy
8.38%, 7/1/08 50,000 49,125
Ocean Energy Series B
8.88%, 7/15/07 50,000 50,375
RBF Finance
11.00%, 3/15/06 130,000 139,425
Seven Seas Petroleum
12.50%, 5/15/05 30,000 12,075
Snyder Oil
8.75%, 6/15/07 15,000 15,113
Vintage Petroleum
9.75%, 6/30/09 80,000 82,800
- ---------------------------------------------------------------------------------------
2,488,182
Environmental Services: 0.2%
- ---------------------------------------------------------------------------------------
Allied Waste North America
7.63%, 1/1/06 30,000 27,300
7.88%, 1/1/09 120,000 106,500
Allied Waste North America 144A
10.00%, 8/1/09 160,000 143,200
Columbia Gas Systems
7.32%, 11/28/10 500,000 470,685
Petroleum Geo-Services
7.50%, 3/31/07 175,000 171,823
- ---------------------------------------------------------------------------------------
919,508
Food, Beverage & Tobacco: 0.2%
- ---------------------------------------------------------------------------------------
Albecca
10.75%, 8/15/08 40,000 27,600
Ameriserve Food Distributors**
10.13%, 7/15/07 15,000 5,400
Aurora Foods
9.88%, 2/15/07 40,000 40,800
9.88%, 2/15/07 20,000 20,400
Doane Pet Care
9.75%, 5/15/07 85,000 83,300
Pepsi Bottling Group
7.00%, 3/1/29 520,000 472,322
Samsonite Corp
0.00%, 1/0/00
10.75%, 6/15/08 60,000 51,900
Southland Corp
5.00%, 12/15/03 50,000 43,000
Triarc Consumer/Beverage
10.25%, 2/15/09 50,000 47,875
Global Asset Allocation Fund 5
<PAGE>
Par Market
Amount Value
Food, Beverage & Tobacco (Cont.)
- ---------------------------------------------------------------------------------------
Vlasic Foods International
10.25%, 7/1/09 $ 40,000 $ 38,250
- ---------------------------------------------------------------------------------------
830,847
Healthcare & Pharmaceuticals: 0.3%
- ---------------------------------------------------------------------------------------
Alaris Medical Systems
9.75%, 12/1/06 50,000 44,438
Columbia/HCA Healthcare
7.25%, 5/20/08 10,000 8,893
8.36%, 4/15/24 20,000 18,475
7.69%, 6/15/25 20,000 16,054
6.63%, 7/15/45 80,000 75,401
Conmed
9.00%, 3/15/08 30,000 27,263
Dade International
11.13%, 5/1/06 40,000 39,200
Extendicare Health
9.35%, 12/15/07 70,000 46,900
Fresenius Medical Capital Trust II
7.88%, 2/1/08 150,000 136,875
Fresenius Medical Care
9.00%, 12/1/06 190,000 182,875
Hudson Respiratory Care
9.13%, 4/15/08 40,000 32,800
ICN Pharmaceutical
9.25%, 8/15/05 70,000 69,125
8.75%, 11/15/08 30,000 27,863
Integrated Health Services**
9.50%, 9/15/07 70,000 5,600
9.25%, 1/15/08 20,000 1,600
Mariner Post Acute Network**
0.00%, 11/1/07 40,000 800
9.50%, 11/1/07 60,000 2,100
Mediq
0.00%, 6/1/09 (1) 40,000 14,000
11.00%, 6/1/08 40,000 15,600
Multicare
9.00%, 8/1/07 125,000 33,750
Paracelsus Healthcare
10.00%, 8/15/06 50,000 28,250
Philip Morris
7.50%, 4/1/04 350,000 343,258
Prime Hospitality
9.75%, 4/1/07 40,000 39,000
Rab Enterprises
10.50%, 5/1/05 60,000 42,000
Tenet Healthcare*
8.00%, 1/15/05 125,000 120,561
7.63%, 6/1/08 50,000 45,102
Triad Hospitals
11.00%, 5/15/09 40,000 41,700
- ---------------------------------------------------------------------------------------
1,459,483
Industrial Machinery: 0.2%
- ---------------------------------------------------------------------------------------
AEP Industries
9.88%, 11/15/07 15,000 14,550
Ball
7.75%, 8/1/06 40,000 39,200
8.25%, 8/1/08 80,000 78,600
Jackson Products
9.50%, 4/15/05 20,000 18,250
Lockheed Martin
8.50%, 12/1/29 545,000 545,515
Motors and Gears
10.75%, 11/15/06 40,000 38,450
Pogo Producing
8.75%, 5/15/07 5,000 4,775
Safety Components International
10.13%, 7/15/07 20,000 12,400
Tyco International Group SA
6.25%, 6/15/03 190,000 182,342
Viasystems
9.75%, 6/1/07 5,000 2,750
- ---------------------------------------------------------------------------------------
936,832
Leisure, Lodging & Entertainment: 0.3%
- ---------------------------------------------------------------------------------------
AMC Entertainment
9.50%, 3/15/09 62,000 54,560
Par Market
Amount Value
Leisure, Lodging & Entertainment (Cont.)
- ---------------------------------------------------------------------------------------
Boyd Gaming
9.50%, 7/15/07 $ 50,000 $ 49,750
Cinemark USA Series B
8.50%, 8/1/08 35,000 30,188
Cinemark USA
9.63%, 8/1/08 50,000 46,250
Circus Circus
6.45%, 2/1/06 30,000 26,503
Epic Resorts
13.00%, 6/15/05 30,000 21,600
Fitzgerald Gaming**
12.25%, 12/15/04 70,000 38,500
Harrahs Operating
7.50%, 1/15/09 150,000 141,029
Hollywood Casino
11.25%, 5/1/07 90,000 94,050
Hollywood Park
9.25%, 2/15/07 30,000 29,775
Hollywood Park Series B
9.50%, 8/1/07 60,000 60,150
Horseshoe Gaming
8.63%, 5/15/09 40,000 38,700
Host Marriot 144A
8.38%, 2/15/06 20,000 18,925
Host Mar Travel Plaza
9.50%, 5/15/05 130,000 135,038
Isle of Capri/Cap
13.00%, 8/31/04 10,000 10,900
Mohegan Tribal
8.13%, 1/1/06 50,000 49,125
Mohegan Tribal Gaming
8.75%, 1/1/09 60,000 59,850
Park Place Entertainment
8.50%, 11/15/06 100,000 99,000
Players International
10.88%, 4/15/05 25,000 26,313
Premier Parks
9.25%, 4/1/06 129,000 127,710
9.75%, 6/15/07 100,000 100,000
Silver Cinemas
10.50%, 4/15/05 40,000 16,800
Starwood Hotels and Resorts
6.75%, 11/15/05 160,000 140,738
Sun International Hotels
8.63%, 12/15/07 35,000 32,900
Trump-Atlantic City
11.25%, 5/1/06 300,000 247,125
United Artists Theatre
9.75%, 4/15/08 150,000 30,000
- ---------------------------------------------------------------------------------------
1,725,479
Metals & Mining: 0.1%
- ---------------------------------------------------------------------------------------
AK Steel
9.13%, 12/15/06 65,000 66,625
7.88%, 2/15/09 60,000 57,150
Ameristeel
8.75%, 4/15/08 50,000 50,375
Anker Coal Group PIK
14.25%, 9/1/07 172,000 94,600
Continental Global Group
11.00%, 4/1/07 30,000 15,900
National Steel
9.88%, 3/1/09 80,000 82,200
WHX
10.50%, 4/15/05 50,000 49,000
- ---------------------------------------------------------------------------------------
415,850
Miscellaneous: 0.3%
- ---------------------------------------------------------------------------------------
Adelphia Communications PIK
9.50%, 2/15/04 81 80
Axia
10.75%, 7/15/08 50,000 45,750
Blount
13.00%, 8/1/09 80,000 84,400
Calair LLC/Calair Capital
8.13%, 4/1/08 240,000 219,590
Coinmach
11.75%, 11/15/05 50,000 51,625
Global Asset Allocation Fund 6
<PAGE>
Par Market
Miscellaneous (Cont.) Amount Value
- ---------------------------------------------------------------------------------------
Day International Group
9.50%, 3/15/08 $ 50,000 $ 40,938
Decora Industries
11.00%, 5/1/05 40,000 34,000
Iron Mountain
10.13%, 10/1/06 150,000 153,750
8.75%, 9/30/09 125,000 120,938
8.25%, 7/1/11 100,000 92,000
Lodestar Holdings
11.50%, 5/15/05 50,000 25,500
OutSourcing Solutions
11.00%, 11/1/06 20,000 19,200
Paragon Corp Holdings
9.63%, 4/1/08 20,000 6,050
Polymer Group
8.75%, 3/1/08 40,000 38,800
PP&L Capital Funding
5.90%, 10/16/00 785,000 774,962
- ---------------------------------------------------------------------------------------
1,707,583
Packaging & Containers: 0.1%
- ---------------------------------------------------------------------------------------
Huntsman Packaging
9.13%, 10/1/07 25,000 24,250
Owens-Illinois
7.15%, 5/15/05 80,000 74,344
8.10%, 5/15/07 25,000 23,958
7.35%, 5/15/08 50,000 45,407
Riverwood International
10.25%, 4/1/06 50,000 51,000
10.88%, 4/1/08 85,000 84,150
Stone Container
12.58%, 8/1/16 25,000 25,750
- ---------------------------------------------------------------------------------------
328,859
Paper & Forest Products: 0.1%
- ---------------------------------------------------------------------------------------
Boise Cascade
7.43%, 10/10/05 10,000 9,553
Georgia-Pacific
7.75%, 11/15/29 405,000 384,298
Packaging Corporation of America
9.63%, 4/1/09 80,000 82,500
Republic Group
9.50%, 7/15/08 20,000 18,975
US Office Products
9.75%, 6/15/08 60,000 32,100
- ---------------------------------------------------------------------------------------
527,426
Real Estate: 0.1%
- ---------------------------------------------------------------------------------------
Atrium
10.50%, 5/1/09 20,000 19,600
EOP Operating
6.76%, 6/15/07 450,000 414,935
HMH Properties
7.88%, 8/1/08 120,000 107,400
Toll Corp
8.13%, 2/1/09 40,000 37,100
- ---------------------------------------------------------------------------------------
579,035
Retail: 0.3%
- ---------------------------------------------------------------------------------------
Adams Outdoor Advertising
10.75%, 3/15/06 125,000 130,781
Affinity Group
11.00%, 4/1/07 115,000 111,263
Federated Department Stores
8.50%, 6/15/03 475,000 490,163
FRD Acquisition
12.50%, 7/15/04 10,000 5,100
French Fragrances
10.38%, 5/15/07 10,000 9,700
Lowes
6.50%, 3/15/29 475,000 394,425
Outdoor Systems
9.38%, 10/15/06 5,000 5,250
Sealy Mattress
0.00%, 12/15/07 (1) 20,000 14,100
Sears Roebuck Acceptance
6.88%, 10/15/17 185,000 158,554
Par Market
Retail (Cont.) Amount Value
- ---------------------------------------------------------------------------------------
Zale
8.50%, 10/1/07 $ 20,000 $ 19,875
- ---------------------------------------------------------------------------------------
1,339,211
Telecommunications: 1.1%
- ---------------------------------------------------------------------------------------
Allegiance Telecom
0.00%, 2/15/08 (1) 60,000 43,800
12.88%, 5/15/08 20,000 22,125
Birch Telecom
14.00%, 6/15/08 30,000 30,450
BTI Telecom
10.50%, 9/15/07 110,000 102,850
Carrier One Unit
13.25%, 2/15/09 60,000 61,425
Covad Communications
0.00%, 3/15/08 (1) 45,000 28,181
12.50%, 2/15/09 120,000 125,100
Caprock Communications
12.00%, 7/15/08 10,000 10,400
11.50%, 5/1/09 30,000 30,900
Capstar Broadcasting
9.25%, 7/1/07 150,000 152,063
Dobson Communications
11.75%, 4/15/07 55,000 61,738
DTI Holdings
0.00%, 3/1/08 (1) 40,000 14,000
Echostar DBS
9.38%, 2/1/09 160,000 160,800
Econophone
0.00%, 2/15/08 100,000 71,000
Exodus Communications
10.75%, 12/15/09 70,000 71,225
Firstworld Communication
0.00%, 4/15/08 (1) 140,000 76,300
Flag Limited
8.25%, 1/30/08 30,000 27,600
Focal Communications
0.00%, 2/15/08 (1) 80,000 53,000
Global Crossing
9.63%, 5/15/08 200,000 199,500
GST Network Funding
0.00%, 5/1/08 (1) 150,000 72,000
GST USA
0.00%, 12/15/05 (1) 95,000 69,825
Hyperion Telecommunication
0.00%, 4/15/03 (1) 25,000 22,313
12.25%, 9/1/04 35,000 37,713
12.00%, 11/1/07 80,000 84,600
ICG Services
0.00%, 2/15/08 (1) 180,000 90,000
0.00%, 5/1/08 (1) 165,000 82,706
Intermedia Communication
8.50%, 1/15/08 80,000 73,800
Intelcom Group USA
0.00%, 5/1/06 (1) 60,000 45,600
Intermedia Communications Series B
0.00%, 7/15/07 (1) 50,000 37,500
ITC Deltacom
11.00%, 6/1/07 23,000 24,438
KMC Telecom Holdings
0.00%, 2/15/08 (1) 145,000 78,663
13.50%, 5/15/09 70,000 69,125
L-3 Communications
8.50%, 5/15/08 30,000 28,313
Long Distance International
12.25%, 4/15/08 10,000 4,700
Level 3 Communications
9.13%, 5/1/08 150,000 141,750
MCI Worldcom
6.95%, 8/15/28 120,000 109,516
Mcleodusa
8.13%, 2/15/09 100,000 93,500
Metromedia Fiber
10.00%, 11/15/08 200,000 205,500
Nextel Communications
12.00%, 11/1/08 90,000 101,138
9.38%, 11/15/09 160,000 157,600
10.50%, 12/1/09 80,000 82,400
Global Asset Allocation Fund 7
<PAGE>
Par Market
Telecommunications (Cont.) Amount Value
- ---------------------------------------------------------------------------------------
Nextel International
0.00%, 4/15/08 (1) $ 290,000 $ 165,300
NTL Communications
0.00%, 4/1/08 (1) 310,000 216,225
NTL Communications Series B
11.50%, 10/1/08 310,000 337,125
Onepoint Communications
14.50%, 6/1/08 20,000 12,850
Orbital Imaging
11.63%, 3/1/05 40,000 26,200
Price Communication Wire
9.13%, 12/15/06 110,000 112,750
Psinet
11.00%, 8/1/09 70,000 72,450
Qwest Communications International
0.00%, 10/15/07 (1) 35,000 28,438
RCN
0.00%, 10/15/07 (1) 10,000 7,175
Rhythms Netconnections
0.00%, 5/15/08 (1) 80,000 42,800
Sprint Capital
6.90%, 5/1/19 440,000 401,554
Startec Global Communications
12.00%, 5/15/08 40,000 34,000
Telecommunication Techniques
9.75%, 5/15/08 30,000 27,600
Telecorp PCS
0.00%, 4/15/09 (1) 60,000 37,950
Telehub Communications
0.00%, 7/31/05 (1) 30,000 3,000
Teligent
11.50%, 12/1/07 30,000 29,250
0.00%, 3/1/08 (1) 50,000 29,375
Time Warner Telecommunications LLC
9.75%, 7/15/08 100,000 103,750
Ucar Global Enterprises
12.00%, 1/15/05 30,000 31,388
U.S. Unwired 144A
0.00%, 11/1/09 (1) 60,000 35,700
US Xchange LLC
15.00%, 7/1/08 30,000 25,500
Viatel
11.25%, 4/15/08 109,000 109,000
Voicestream Wire 144A
10.38%, 11/15/09 120,000 123,600
Winstar Communications
10.00%, 3/15/08 20,000 19,200
11.00%, 3/15/08 260,000 265,200
15.00%, 3/1/07 40,000 54,000
Worldwide Fiber
12.00%, 8/1/09 70,000 72,975
- ---------------------------------------------------------------------------------------
5,479,512
Textiles, Apparel & Furniture: 0.0%
- ---------------------------------------------------------------------------------------
Fruit of the Loom**
8.88%, 4/15/06 70,000 3,500
Galey & Lord
9.13%, 3/1/08 70,000 15,750
Guess
9.50%, 8/15/03 5,000 4,844
- ---------------------------------------------------------------------------------------
24,094
Transportation & Shipping: 0.4%
- ---------------------------------------------------------------------------------------
Aviation Sales
8.13%, 2/15/08 50,000 43,250
Burlington North Santa Fe
6.13%, 3/15/09 480,000 432,523
Continental Airlines
6.54%, 3/15/08 623,605 592,138
Johnstown America Industries
11.75%, 8/15/05 75,000 76,313
Kitty Hawk
9.95%, 11/15/04 20,000 19,850
Newport News Shipbuilding
8.63%, 12/1/06 60,000 59,775
Trans World Airlines
11.50%, 12/15/04 65,000 45,500
11.38%, 3/1/06 30,000 12,600
Par Market
Amount Value
Transportation & Shipping (Cont.)
- ---------------------------------------------------------------------------------------
Union Pacific
7.38%, 9/15/09 $ 545,000 $ 529,715
US Air
9.63%, 9/1/03 175,000 175,875
- ---------------------------------------------------------------------------------------
1,987,539
Utilities: 0.4%
- ---------------------------------------------------------------------------------------
Arizona Public Service
6.75%, 11/15/06 315,000 295,577
Calpine
10.50%, 5/15/06 140,000 147,350
8.75%, 7/15/07 120,000 120,750
7.88%, 4/1/08 50,000 48,250
7.75%, 4/15/09 80,000 76,000
Cleveland Electric Illuminating
9.50%, 5/15/05 30,000 31,167
6.86%, 10/1/08 70,000 64,298
CMS Energy
6.75%, 1/15/04 70,000 65,129
7.00%, 1/15/05 130,000 119,466
El Paso Electric
9.40%, 5/1/11 10,000 10,700
Jersey Central Power & Light
6.85%, 11/27/06 115,000 110,544
KN Energy
6.45%, 3/1/03 320,000 310,411
Midland Funding
10.33%, 7/23/02 24,130 25,337
11.75%, 7/23/05 80,000 87,500
13.25%, 7/23/06 100,000 120,125
Niagara Mohawk Power
7.63%, 10/1/05 30,000 29,769
Niagara Mohawk Power Series E
7.38%, 7/1/03 30,000 29,805
Northeast Utilities
8.38%, 3/1/05 27,200 27,016
Northeast Utility
8.58%, 12/1/06 12,380 12,268
Ram Energy
11.50%, 2/15/08 30,000 13,500
- ---------------------------------------------------------------------------------------
1,744,962
Par
Foreign Bonds: 7.8% Amount***
- ---------------------------------------------------------------------------------------
Australian Government (Australia)
8.75%, 8/15/08 2,655,000 1,948,893
Bundesrepublic Deutschland (Germany)
5.63%, 1/4/28 3,857,100 3,697,584
Bundesrepublic Deutschland (Germany)
Series 98
4.75%, 7/4/28 310,000 261,144
Bundesschatzanweisungen (Germany)
Series 99
3.00%, 3/16/01 5,000,000 4,980,921
Canada Government (Canada)
5.50%, 6/1/09 2,160,000 1,419,871
Deutschland Republic (Germany)
6.75%, 7/15/04 325,000 352,185
French Treasury Bill (France)
4.00%, 1/12/00 6,300,000 6,341,903
Government of Canada (Canada)
4.50%, 6/1/01 21,280,000 14,515,900
Province of Ontario (Canada)
5.50%, 10/1/08 475,000 423,292
Quebec Province (Canada)
7.00%, 1/30/07 355,000 347,645
5.75%, 2/15/09 255,000 226,980
Repapa New Brunswick (Canada)
10.63%, 4/15/05 90,000 83,250
Sweden (Kingdom of) (Sweden)
5.50%, 4/12/02 3,800,000 451,077
United Kingdom Treasury Bond (United Kingdom)
9.75%, 8/27/02 1,730,000 3,011,319
- ---------------------------------------------------------------------------------------
38,061,964
Total Long-Term Debt Investments: 28.5%
(Cost $145,183,170) 139,668,687
- ---------------------------------------------------------------------------------------
Global Asset Allocation Fund 8
<PAGE>
Number Market
Common Stock: of Shares Value
- ---------------------------------------------------------------------------------------
Aerospace & Defense: 0.8%
- ---------------------------------------------------------------------------------------
Boeing 30,385 $ 1,262,877
Career Education * 2,800 103,075
Honeywell International 6,755 389,679
Northrop 5,745 310,589
United Technologies 26,450 1,719,250
- ---------------------------------------------------------------------------------------
3,785,470
Automobiles & Auto Parts: 0.7%
- ---------------------------------------------------------------------------------------
Bayerische Motoren Werke (BMW) (Germany) 20,029 613,810
Cooper Industries 13,750 556,016
CSX Auto * 7,000 122,500
Ford Motor 13,765 735,567
General Motors 12,490 907,867
Meritor Automotive 3,916 75,873
TRW 13,750 714,141
- ---------------------------------------------------------------------------------------
3,725,774
Banking, Finance & Insurance: 8.4%
- ---------------------------------------------------------------------------------------
ACE Limited 8,305 138,590
Aetna 2,800 156,275
Allstate 15,290 366,960
American Express 10,600 1,762,250
American General 23,050 1,748,919
American International Group 22,708 2,455,303
Aon 9,715 388,600
Associates First Capital Class A 20,700 567,956
Axa-UAP (France) 4,428 616,788
Banca popolare di Brescia (Italy) 3,200 282,933
Bank of America 21,377 1,072,858
Bank of Ireland (Ireland) 1 7
Bank One 29,333 940,489
Banque Nationale de Paris (France) 3,374 311,052
Barclays PLC (United Kingdom) 19,048 549,317
Capital One Financial 13,300 640,894
Charles River Associates * 3,200 106,000
Charter One Financial 42,290 808,796
Cigna 10,920 879,743
Citigroup 80,528 4,474,337
Comerica 15,390 718,521
Credit Suisse Group - Reg (Switzerland) 1,945 386,606
DBS Group Holdings (Singapore) 15,282 250,494
Federal National Mortgage 13,310 831,043
Fifth Third Bancorp 17,250 1,265,180
Financiere et Industrielle Gaz et Eaux (France) 11 644
First Security 22,100 564,241
First Union 19,030 624,422
Firstar 56,660 1,196,943
Fleet Boston Financial 27,365 952,644
Fuji Bank (Japan) 42,000 408,382
Grupo Financiero Banamex Accival (Mexico) 19,200 77,003
HSBC Holdings (United Kingdom) 200 2,804
Hutchison Whampoa (Hong Kong) 10,000 145,366
ING Groep (Netherlands) 20,178 1,217,270
Investor AB - B Shares (Sweden) 57,495 811,255
Jefferson Pilot Corporation 10,200 696,150
Julius Baer Holding AG (Switzerland) 172 519,575
Keppel Tatlee Bank Limited (Singapore) 83,000 183,392
Lehman Brothers Holdings 5,750 486,953
Merrill Lynch & Company 7,365 614,978
Morgan (J.P.) 6,610 836,991
National City 27,375 648,445
National Discount Brokers * 4,100 108,138
Nikko Securities (Japan) 152,000 1,924,465
Northern Trust 6,600 352,481
Overseas Chinese Banking (Singapore) 14,700 135,041
Overseas Union Bank (Singapore) 31,519 184,516
PNC Financial Group 18,340 816,130
Promise (Japan) 4,480 228,113
Providian Financial 11,585 1,054,959
ReliaStar Financial 20,035 785,122
Societe Generale (France) 1,352 314,326
Svenska Handelsbanken A Shares (Sweden) 10,749 135,238
Travelers Property Casualty Class A 12,215 418,364
United Overseas Bank (Singapore) 14,784 130,486
U.S. Bancorp 14,565 346,829
Washington Mutual 19,052 495,352
Number Market
of Shares Value
Banking, Finance & Insurance (Cont.)
- ---------------------------------------------------------------------------------------
Wells Fargo 40,680 $ 1,644,998
Zions 7,700 455,744
- ---------------------------------------------------------------------------------------
41,237,671
Buildings & Materials: 0.5%
- ---------------------------------------------------------------------------------------
Bouygues (France) 1,520 965,306
CRH (Ireland) 31,814 685,211
Insituform Technologies Class A * 7,800 218,888
Lafarge SA (France) 4,638 539,611
- ---------------------------------------------------------------------------------------
2,409,016
Business Services: 0.5%
- ---------------------------------------------------------------------------------------
Aegis Group (United Kingdom) 88,326 324,460
Daisytek International * 7,300 170,409
Invensys (United Kingdom) 116,802 631,811
Jupiter Communications * 2,200 67,169
Learning Tree International * 5,100 142,641
Management Network Group * 5,000 163,750
NCO Group * 5,550 165,633
On Assignment * 5,900 175,341
ProBusiness Services * 8,600 309,063
ProsoftTraining.com * 8,600 89,763
Securicor (United Kingdom) 57,771 148,320
- ---------------------------------------------------------------------------------------
2,388,360
Cable, Media & Publishing: 4.5%
- ---------------------------------------------------------------------------------------
Acme Communications * 9,500 319,438
AMFM * 600 46,950
Asatsu-DK (Japan) 1,700 114,859
AT&T - Liberty Media - A * 52,392 2,973,246
Carlton Communications (United Kingdom) 69,600 683,851
CBS 22,800 1,457,775
Citadel Communications * 10,300 668,213
Classic Communications * 2,600 95,388
Clear Channel Communications 20,600 1,838,550
Cumulus Media * 17,500 887,031
Havas Advertising (France) 1,033 439,777
Interep National Radio * 4,200 54,994
InterPublic Group 29,500 1,701,781
Jones Intercable * 3,200 220,400
Lamar Advertising * 1,200 72,563
McGraw-Hill 9,125 562,328
Mediaset SpA (Italy) 51,344 797,865
Omnicom Group 6,600 660,000
Pegasus Communications * 7,000 678,125
Precision Response * 4,800 116,100
Publicis (France) 813 306,841
Radio One * 7,200 663,975
Radio Unica Communications * 3,500 102,156
Salem Communications Class A * 11,700 270,197
Spanish Broadcasting Systems * 700 21,000
The Ackerley Group 9,700 175,813
The News Corporation 24,669 943,589
Time Warner 23,600 1,709,525
Times Mirror 'A' 13,135 880,045
Viacom Class B * 39,300 2,375,194
Wink Communications * 700 42,022
WPP Group (United Kingdom) 28,841 454,053
- ---------------------------------------------------------------------------------------
22,333,644
Chemicals: 1.1%
- ---------------------------------------------------------------------------------------
Akzo Nobel (Netherlands) 13,379 670,572
Avery Dennison 2,900 211,338
Celanese (Germany) 1,270 23,519
Clariant (Switzerland) 1,081 515,279
Dow Chemical 6,895 921,344
DuPont (E.I.) deNemours 11,600 764,150
Monsanto 26,130 930,881
PPG Industries 7,295 456,393
Praxair 17,300 870,406
- ---------------------------------------------------------------------------------------
5,363,882
Computers & Technology: 10.3%
- ---------------------------------------------------------------------------------------
About.com * 3,100 277,644
Aehter Systems 1,700 122,081
Airgate PCS * 9,900 523,463
Allaire * 1,500 219,938
Allscripts * 3,200 139,400
Global Asset Allocation Fund 9
<PAGE>
Number Market
of Shares Value
Computers & Technology (Cont.)
- ---------------------------------------------------------------------------------------
America Online 33,900 $ 2,557,331
Apple Computer 11,500 1,181,984
ASM Lithography Holdings (Netherlands) 3,140 348,576
Aware * 9,300 341,194
Backweb Technologies * 3,500 147,328
Be Free * 2,200 158,125
Black Box * 4,700 315,488
BMC Software * 16,700 1,334,434
Braun Consulting * 13,900 999,063
Brio Technology * 7,600 318,250
Business Objects ADR * 5,700 757,744
C-bridge Internet Solutions * 3,300 161,906
Cisco Systems * 31,600 3,384,163
Clarify * 2,500 316,953
Compaq Computer 15,610 422,446
Comverse Technology * 4,500 651,234
Crossroads Systems * 700 59,019
Cybex Computer Products * 4,700 192,113
CYSIVE * 1,100 79,853
Dell Computer * 26,700 1,360,866
Dendrite International * 10,200 343,613
Digimarc * 300 15,009
Dset * 13,700 512,466
E-Stamp * 4,800 106,200
Earthweb * 1,700 85,478
Ebenx * 900 40,781
Eclipsys * 8,100 207,816
Egain Communications * 400 15,000
Electronic Data Systems 27,720 1,855,508
EMC * 14,900 1,627,825
Emulex * 7,400 835,969
Exchange Applications * 6,200 343,713
Flycast Communications * 3,000 389,156
Fujitsu (Japan) 8,600 392,421
Globix * 11,400 681,150
Harris Interactive * 5,800 75,944
Hewlett-Packard 16,130 1,837,812
Igen International * 2,200 65,313
Informatica * 3,300 347,325
Inso * 3,600 116,325
International Business Machines 15,491 1,673,028
Intervu * 3,700 386,881
Keynote Systems * 2,000 145,500
Lexmark International Group A * 4,100 371,050
Macrovision * 4,700 346,625
Marketwatch.com * 3,000 110,063
McAfee.com * 3,500 159,250
Micromuse * 4,400 748,550
Microsoft * 56,400 6,582,883
Multex.com * 3,100 116,638
Nanometrics * 8,510 170,200
NCR * 22,770 862,414
Net Perceptions * 2,826 118,692
Netegrity * 5,600 318,675
OnDisplay * 200 18,075
Oracle * 17,500 1,960,547
Predictive Systems * 3,300 218,006
Proxicom * 3,900 484,453
Razorfish * 4,850 461,053
Rowecom * 8,000 366,500
SAP AG (Germany) 7 3,438
SAP AG-Vorzug (Germany) 556 338,829
SeaChange International * 10,500 370,781
Seagate Technology * 8,745 407,189
Silknet Software * 2,600 428,675
Silverstream Software * 2,400 286,725
Spyglass * 2,500 94,609
Sun Microsystems * 27,400 2,120,931
Technology Solutions * 10,900 355,272
U.S. Interactive * 3,100 132,138
Veritas Software * 4,850 694,005
Verity * 9,600 408,300
Viant Services US * 700 68,469
Worldgate Communications * 3,300 156,853
Xerox 18,545 420,740
Yahoo * 3,469 1,501,101
Zamba 6,800 117,725
Number Market
of Shares Value
Computers & Technology (Cont.)
- ---------------------------------------------------------------------------------------
Zoran * 11,900 $ 669,003
- ---------------------------------------------------------------------------------------
50,459,286
Consumer Products: 2.1%
- ---------------------------------------------------------------------------------------
Benesse (Japan) 1,600 385,410
Clorox 10,200 513,825
Corning 5,600 722,050
Estee Lauder Class A 22,500 1,134,844
Fancl (Japan) 400 107,319
Ito-Yokado,Ltd. (Japan) 7,000 760,832
Kimberly-Clark 30,770 2,007,743
Minnesota Mining & Manufacturing 6,695 655,273
Provant * 4,997 125,237
Shiseido (Japan) 35,000 510,649
Tyco International 84,560 3,287,270
- ---------------------------------------------------------------------------------------
10,210,452
Consumer Services: 0.1%
- ---------------------------------------------------------------------------------------
Service International 65,005 450,972
- ---------------------------------------------------------------------------------------
Electronics & Electrical Equipment: 7.4%
- ---------------------------------------------------------------------------------------
Act Manufacturing * 13,000 489,531
Advantest (Japan) 3,600 951,775
Alpha Industries 3,300 188,925
Anadigics * 7,400 349,881
ATMI * 4,900 161,547
Canon (Japan) 400 15,902
Credence Systems * 7,100 612,597
DII Group * 8,800 624,525
Eaton 7,785 565,386
Emerson Electric 8,950 513,506
Etec Systems * 3,100 139,500
Exar * 3,400 200,388
General Electric 35,600 5,509,100
Globespan * 1,800 116,888
Hadco * 4,300 219,300
Hon Hai Precision 144A 24,400 186,797
Intel 19,500 1,604,484
JDS Uniphase * 8,600 1,387,288
Kent Electronics Corporation * 6,800 154,700
Kyocera (Japan) 7,400 1,920,196
LTX * 14,100 318,131
Maker Communications * 9,900 424,463
Micrel * 7,100 404,700
Motorola 31,360 4,617,760
NEC (Japan) 29,000 691,456
Novadigm * 7,300 152,388
Philips Electronics (Netherlands) 8,143 1,106,396
Power Integrations * 5,500 261,078
Raytheon-Class A 11,990 297,502
Rockwell International 21,675 1,037,691
Rudolph Technologies * 2,500 83,750
Samsung Electronics (South Korea) 3,497 819,201
Sharp (Japan) 20,000 512,117
Silicon Image * 400 27,963
Sipex * 10,400 255,125
Smiths Industries (United Kingdom) 34,074 499,300
Solectron * 16,700 1,588,588
Sony (Japan) 9,500 2,818,604
STMicroelectronics N.V. 2,447 370,568
Texas Instruments 9,500 920,313
Toshiba Corporation (Japan) 87,000 664,480
TriQuint Semiconductor * 3,600 400,163
Veeco Instruments * 4,500 210,516
Whirlpool 9,745 634,034
Winbond Electronic GDR 144A 9,000 204,750
Winbond Electronic GDR 400 9,250
Xilinx * 19,400 882,094
Zygo * 2,600 52,650
- ---------------------------------------------------------------------------------------
36,177,247
Energy: 4.2%
- ---------------------------------------------------------------------------------------
Atlantic Richfield 9,085 785,853
BP Amoco (United Kingdom) 1,700 17,115
Burlington Resources 4,800 158,700
Burlington Resources (Canada) 8,900 296,605
Global Asset Allocation Fund 10
<PAGE>
Number Market
Energy (Cont.) of Shares Value
- ---------------------------------------------------------------------------------------
Chevron 8,530 $ 738,911
Conoco 60,580 1,499,355
El Paso Energy 16,985 659,230
Enron 38,600 1,712,875
Exxon Mobil 57,337 4,619,212
Independent Energy Holdings ADR * 14,800 489,788
Occidental Petroleum 34,650 749,306
Royal Dutch Petroleum ADR 38,190 2,308,108
Schlumberger Limited 11,045 621,281
Shell Transport & Trading (United Kingdom) 266,838 2,215,715
Texaco 6,120 332,393
Tosco 21,005 571,073
Total Fina SA (France) 15,363 2,048,727
Transocean Sedco Forex 2,138 72,034
Williams 20,230 618,279
- ---------------------------------------------------------------------------------------
20,514,560
Environmental Services: 0.2%
- ---------------------------------------------------------------------------------------
Halliburton 11,500 462,875
Waste Management 41,640 715,688
- ---------------------------------------------------------------------------------------
1,178,563
Food, Beverage & Tobacco: 1.7%
- ---------------------------------------------------------------------------------------
Anheuser Busch 7,200 510,300
Compagnie Financiere Richemont AG (Switzerland) 439 1,047,667
Diageo (United Kingdom) * 37,091 297,957
Diedrich Coffee * 9,300 38,653
General Mills 11,625 415,594
Groupe Danone (France) 849 199,947
Hain Food Group * 3,900 87,141
Heinz (H.J.) 14,155 563,546
Kellogg Company 20,505 631,810
Pepsi Bottling Group 37,575 622,336
PepsiCo 24,070 848,468
Philip Morris 15,015 348,160
Quaker Oats 3,990 261,844
Sara Lee 35,295 778,696
Sysco 14,800 585,525
Tesco (United Kingdom) 145,107 442,249
The Seagram Company Ltd. 14,295 642,382
- ---------------------------------------------------------------------------------------
8,322,275
Healthcare & Pharmaceuticals: 5.2%
- ---------------------------------------------------------------------------------------
Abbott Laboratories 29,100 1,056,694
Accredo Health * 6,900 212,606
Advance Paradigm * 7,000 150,719
Albany Molecular Research * 2,800 86,975
Allergan 9,600 477,600
American Home Products 32,470 1,280,536
Amgen 23,400 1,404,731
Amsurg * 6,200 40,688
Ares-Serono Group (Switzerland) 275 587,201
Arthrocare * 2,400 146,700
Aventis (France) 15,918 916,384
Bausch & Lomb 10,855 742,889
Baxter International 12,835 806,198
Biogen * 6,900 582,834
Bristol-Myers Squibb 37,430 2,402,538
Cephalon * 5,900 204,656
Elan (Ireland) * 11,194 321,622
Eisai Co. Limited (Japan) 9,000 173,170
Genetech * 3,900 524,550
Ilex Oncology * 3,900 94,819
Immunex * 5,600 613,025
Invitrogen * 7,500 449,063
Johnson & Johnson 20,500 1,909,063
Mallinckrodt 20,115 639,908
Medicis Pharmaceutical Class A * 4,425 188,339
MedQuist * 5,000 128,594
Merck & Company 18,505 1,240,992
Neurocrine Biosciences * 9,400 231,475
Osteotech * 7,200 95,850
Pharmacia & Upjohn (Sweden) 23,415 1,053,675
Priority Healthcare-B * 7,150 207,127
Province Healthcare * 8,300 159,516
Rehabcare Group * 7,200 152,100
Renal Care Group * 7,125 167,215
ResMed * 5,700 237,975
Number Market
of Shares Value
Healthcare & Pharmaceuticals (Cont.)
- ---------------------------------------------------------------------------------------
Sanofi-Synthelabo (France) 14,062 $ 585,073
Schering-Plough 47,600 2,008,125
Tent Healthcare * 34,800 817,800
Trimeris * 2,400 56,850
Ventana Medical Systems * 3,000 74,813
Warner-Lambert 25,200 2,064,825
Wesley Jessen VisionCare * 4,300 162,325
Yamanouchi Pharmaceutical (Japan) 6,000 209,743
- ---------------------------------------------------------------------------------------
25,667,581
Industrial Machinery: 1.4%
- ---------------------------------------------------------------------------------------
Advanced Energy Industries * 5,000 246,094
Applied Materials * 10,400 1,317,225
Deere & Co. 9,360 405,990
Fuji Machine Manufacturing (Japan) 1,000 80,685
Grainger (W.W.) 11,055 528,567
Helix Technology 9,100 408,078
Mannesmann AG (Germany) 10,028 2,426,280
Parker Hannifin 18,505 949,538
PRI Automation * 3,100 207,313
Sandvik - A Shares (Sweden) 4,756 149,034
Sandvik - B Shares (Sweden) 6,010 191,509
- ---------------------------------------------------------------------------------------
6,910,313
Leisure, Lodging & Entertainment: 1.3%
- ---------------------------------------------------------------------------------------
Carnival Cruise Lines 8,100 387,281
Cinar Films Class B * 5,700 141,788
Eastman Kodak 12,620 836,075
EMI Group (United Kingdom) 62,412 608,187
Granada Group (United Kingdom) 90,178 908,609
Grupo Televisa SA GDR 7,618 519,929
Hasbro 30,762 586,401
Nippon Television Network (Japan) 690 810,771
P.F.Chang's China Bistro * 3,440 86,430
Societe Television Francaise (France) 871 455,841
Sunterra * 12,700 146,050
Tokyo Broadcasting System (Japan) 2,000 67,760
Walt Disney 28,085 821,486
- ---------------------------------------------------------------------------------------
6,376,608
Metals & Mining: 0.2%
- ---------------------------------------------------------------------------------------
Alcoa 11,600 962,800
Pohang Iron & Steel (South Korea) 250 30,961
Pohang Iron & Steel ADR 2,700 94,500
- ---------------------------------------------------------------------------------------
1,088,261
Packaging & Containers: 0.6%
- ---------------------------------------------------------------------------------------
Illinois Tool Works 10,330 697,921
Owens-Illinois * 36,065 903,879
Sealed Air * 8,500 440,406
Smurfit-Stone Container * 27,940 683,657
- ---------------------------------------------------------------------------------------
2,725,863
Paper & Forest Products: 0.7%
- ---------------------------------------------------------------------------------------
Abitibi-Consolidated (Canada) 10,200 119,435
Boise Cascade 38,525 1,560,263
Jefferson Smurfit Group (Ireland) 32,500 96,559
Stora Enso Oyj - A Shares (Finland) 2,400 42,512
Stora Enso Oyj - R Shares (Finland) 11,630 202,614
Weyerhaeuser 20,725 1,488,314
- ---------------------------------------------------------------------------------------
3,509,697
Real Estate: 0.2%
- ---------------------------------------------------------------------------------------
Cheung Kong Holdings (Hong Kong) 42,000 533,543
Costar Group * 7,200 257,850
- ---------------------------------------------------------------------------------------
791,393
Retail: 3.8%
- ---------------------------------------------------------------------------------------
99 Cents Only Stores * 4,262 163,022
Amazon.com * 5,400 411,244
Ameriking * 75 750
Costco Wholesale 2,700 246,291
Colgate-Palmolive 19,900 1,293,500
Cost Plus * 7,275 258,490
CVS Corporation 17,900 714,881
Dayton Hudson 18,100 1,329,219
Factory 2-U Stores * 9,428 270,466
Fatbrain.Com * 4,600 115,144
Global Asset Allocation Fund 11
<PAGE>
Number Market
Retail (Cont.) of Shares Value
- ---------------------------------------------------------------------------------------
Federated Department Stores * 29,110 $ 1,471,874
Home Depot 54,600 3,743,513
IGO Corporation * 6,200 55,800
K Mart 48,910 492,157
Kojima (Japan) 2,700 105,753
Linens N Things * 7,100 210,338
Rex Stores * 4,900 171,500
Rite Aid 43,300 484,419
SAKS * 30,785 479,092
Sunglass Hut International * 12,900 145,931
Tandy 23,900 1,175,581
The Swatch Group (Switzerland) 20 4,660
The Swatch Group B Shares (Switzerland) 190 218,841
TJX 52,800 1,079,100
Tuesday Morning * 3,500 63,766
Tweeter Home Entertainment Group * 11,170 395,139
Wal-Mart Stores 50,000 3,456,250
- ---------------------------------------------------------------------------------------
18,556,721
Telecommunications: 9.0%
- ---------------------------------------------------------------------------------------
Adelphia Business Solutions * 606 28,899
Alcatel (France) 220 50,484
Alltel 28,070 2,321,038
A T & T 33,162 1,682,972
BCE (Canada) 17,168 1,560,024
Bell Atlantic 24,495 1,507,973
BellSouth 28,290 1,324,326
British Telecom (United Kingdom) * 51,373 1,244,280
Cable & Wireless Communications
(United Kingdom) 5,500 78,640
Cable & Wireless Optus (Australia) 39,500 132,093
Cable & Wireless (United Kingdom) 52,600 889,251
China Telecom (Hong Kong) 278,000 1,738,059
Comcast - Special Class A 22,300 1,126,847
CTC Communications Group * 3,800 148,438
Dycom * 8,750 385,547
France Telecom SA (France) 5,361 708,439
Grupo Carso Global Telecom (Mexico) 24,066 224,531
GTE 20,845 1,470,875
Intermedia Communications * 3,900 151,125
KDD (Japan) 1,761 244,169
Korea Telecom - ADR 4,600 343,850
Lightbridge * 9,000 253,406
Lucent Technologies 32,300 2,416,444
MCI Worldcom * 11,250 596,602
Natural Microsystems * 7,700 360,697
Nextel Communications * 13,249 1,365,889
Nokia 11,972 2,274,680
Nokia Oyj (Finland) 13,635 2,470,130
Nortel Networks (Canada) 2,607 263,446
NTT Mobile Communications (Japan) 12 461,787
Omnipoint * 4,000 481,750
Pinnacle Holdings * 21,100 902,025
Powerwave Techologies * 4,100 239,209
Price Communications * 16,878 469,419
Proxim * 4,500 501,469
Qualcomm * 12,000 2,113,125
Saga Communications * 9,285 188,021
SBC Communications 78,596 3,831,555
Somera Communications * 13,300 165,003
Spectran * 5,100 143,756
Sprint 10,700 1,096,750
Tele Centro Sul Participacoes S.A. 4,797 435,328
Telecom Italia Mobile SPA (Italy) 144,874 1,617,016
Telefonaktiebolaget LM Ericsson (Sweden) 26,004 1,672,529
Telefonos De Mexico SA 7,810 878,625
Telesp Celular Participacoes S.A. 12,090 512,314
Tellabs * 4,400 282,288
Transwitch * 1,600 116,100
United Pan-Europe Communications (Netherlands) 1,520 194,285
Voicestream Wireless * 3,800 539,956
Winstar Communications * 2,300 172,931
- ---------------------------------------------------------------------------------------
44,378,395
Textiles, Apparel & Furniture: 0.4%
- ---------------------------------------------------------------------------------------
Gucci Group NV 8,090 926,305
Lear * 12,150 388,800
Number Market
of Shares Value
Textiles, Apparel & Furniture (Cont.)
- ---------------------------------------------------------------------------------------
Newell Rubbermaid 17,975 $ 521,275
Sportsline USA * 5,600 280,350
- ---------------------------------------------------------------------------------------
2,116,730
Transportation & Shipping: 0.9%
- ---------------------------------------------------------------------------------------
Burlington Northern Santa Fe 29,180 707,615
Carey International * 5,800 142,281
Cathay Pacific Airways (Hong Kong) 58,000 103,338
CSX 14,225 446,309
Delta Air Lines 9,810 488,661
Eagle USA Airfreight * 9,750 421,383
Expeditors International 8,700 379,538
FDX * 11,800 483,063
Fritz * 8,900 94,006
Southwest Airlines 66,190 1,071,451
- ---------------------------------------------------------------------------------------
4,337,645
Utilities: 2.5%
- ---------------------------------------------------------------------------------------
Cinergy 22,785 549,688
Companhia Energetica de Minas Gerais ADR 14,000 316,140
Consolidated Edison 18,080 623,760
DDI (Japan) 78 1,069,278
Dominion Resources/Virginia 16,555 649,784
Duke Energy 15,735 788,717
Edison International 27,515 720,549
Entergy 28,805 741,729
HPY Holdings (Finland) 1,223 45,851
Helsingin Puhelin Oyj (Finland) 600 49,940
Korea Electric Power ADR 16,772 280,931
Nippon Telegraph & Telephone (Japan) 51 873,929
Scottish Power (United Kingdom) 54,751 413,742
Sprint * 46,800 3,150,225
Telefonica (Spain) 26,425 659,567
Texas Utilities 17,380 618,076
Vivendi (France) 7,554 681,584
- ---------------------------------------------------------------------------------------
12,233,490
Total Common Stock: 68.7%
(Cost $224,280,268) 337,249,869
- ---------------------------------------------------------------------------------------
Preferred Stocks:
- ---------------------------------------------------------------------------------------
Ameriking 13.00% 4,390 96,584
California Federal 9.13% 4,000 90,250
Capstar Broadcasting 12.00% 314 36,110
Chevy Chase 10.38% 670 32,579
Citadel Broadcasting PIK 13.25% 503 57,342
Concentric Network 13.50% 227 22,246
CSC Holdings PIK 11.75% 561 60,889
CSC Holdings PIK 11.125% 188 21,334
Dobson Communications 12.25% 100 10,050
Dobson Communications PIK 13.00% 1,065 102,264
First Rep Cap 144A 10.50% 1,000 92,250
Global Crossing 10.50% 860 86,323
Intermedia Communications PIK 13.50% 1,100 105,600
IXC Communications 12.50% 413 45,837
Loislaw.Com 5,800 229,463
Nebco Evans Holding 11.25% 9 324
Nextel Communications 13.00% 266 27,557
Nextel Communications PIK 11.13% 180 18,180
Nextlink Communications 14.00% 798 44,687
Paxson Communications Pik 13.25% 144A 746 75,384
Paxson Communications 12.50% 70 7,140
Pohang Iron & Steel 144A 300 33,631
Public Service New Hampshire 10.60% 1,055 26,639
R&B Falcon 13.88% 500 52,750
Winstar Communications 14.25% 500 53,250
- ---------------------------------------------------------------------------------------
Total Preferred Stock: 0.3%
(Cost $1,428,254) 1,428,663
- ---------------------------------------------------------------------------------------
Warrants/Rights:
- ---------------------------------------------------------------------------------------
Anker Coal Group 4 0
Birch Telecom Warrants 30 1,650
Cellnet Data Systems 125 1,313
Diva Systems Warrants 510 4,080
DTI Holdings 310 2
Epic Resorts 30 0
Global Asset Allocation Fund 12
<PAGE>
Number Market
of Shares Value
Warrants/Rights (Cont.)
- ---------------------------------------------------------------------------------------
Firstworld Communications Warrants 140 $ 16,800
Globalstar Telecom 206 5,500
KMC Telecom Holdings 125 3,125
Knology Holdings Warrants - 221
Long Distance International Warrants 150 20
Mediq 40 0
MGC Communication Warrants 80 1,020
Onepoint Communications Warrants 20 200
Orbital Imaging 350 1,000
Pohang Iron & Steel 646 72,352
PowerTel Warrants 1,280 8,668
Startec Global 50 600
Telehub Communications 499 75
- ---------------------------------------------------------------------------------------
Total Warrants/Rights: 0.0%
(Cost $76,714) 116,626
- ---------------------------------------------------------------------------------------
Options:
- ---------------------------------------------------------------------------------------
USD call on Japanese Yen 7 2,248,810
- ---------------------------------------------------------------------------------------
Total Options: 0.5%
(Cost $1,840,973) 2,248,810
- ---------------------------------------------------------------------------------------
Total Investments: 98.0%
(Cost $372,809,379) 480,712,655
- ---------------------------------------------------------------------------------------
Other Asset over Liabilities: 2.0% 10,090,884
- ---------------------------------------------------------------------------------------
Net Assets: 100.0%
(Equivalent to $16.793 per share based on
29,226,348 shares issued and outstanding) $490,803,539
- ---------------------------------------------------------------------------------------
Components of Net Assets at December 31, 1999:
- ---------------------------------------------------------------------------------------
Common Stock, par value $.01 per share,
50,000,000 authorized shares $ 292,263
Paid in capital in excess of par value of shares issued 356,665,639
Undistributed net investment income (++) 375,166
Accumulated net realized gain on investment
transactions and futures contracts 31,586,124
Net unrealized appreciation of investments, foreign
currencies, and futures contracts 101,884,347
- ---------------------------------------------------------------------------------------
Total Net Assets $490,803,539
- ---------------------------------------------------------------------------------------
</TABLE>
* 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 13
<PAGE>
Lincoln National Global Asset Allocation Fund, Inc.
Statement of Operations
Year ended December 31, 1999
Investment income:
Interest $ 10,333,476
- ----------------------------------------------------------------------------
Dividends 4,181,994
- ----------------------------------------------------------------------------
Less: Foreign withholding tax (91,819)
- ----------------------------------------------------------------------------
Total investment income 14,423,651
- ----------------------------------------------------------------------------
Expenses:
Management fees 3,493,557
- ----------------------------------------------------------------------------
Accounting fees 370,438
- ----------------------------------------------------------------------------
Custody fees 388,961
- ----------------------------------------------------------------------------
Printing and postage 121,457
- ----------------------------------------------------------------------------
Legal fees 34,662
- ----------------------------------------------------------------------------
Directors fees 4,200
- ----------------------------------------------------------------------------
Other 29,332
- ----------------------------------------------------------------------------
Total expenses 4,442,607
- ----------------------------------------------------------------------------
Net investment income 9,981,044
- ----------------------------------------------------------------------------
Net realized and unrealized gain (loss) on investments,
futures contracts, and foreign currency:
Net realized gain (loss) on:
Investment transactions 46,345,890
- ----------------------------------------------------------------------------
Futures contracts (11,177,806)
- ----------------------------------------------------------------------------
Foreign currency transactions (1,515,777)
- ----------------------------------------------------------------------------
Net realized gain on investments, futures
contracts, and foreign currency transactions 33,652,307
- ----------------------------------------------------------------------------
Net change in unrealized appreciation/depreciation of:
- ----------------------------------------------------------------------------
Investments and futures contracts 9,636,910
- ----------------------------------------------------------------------------
Foreign currency (1,385,169)
- ----------------------------------------------------------------------------
Net change in unrealized appreciation/depreciation
of investments, futures contracts, and foreign currency 8,251,741
- ----------------------------------------------------------------------------
Net realized and unrealized gain on investments, futures
contracts, and foreign currency 41,904,048
- ----------------------------------------------------------------------------
Net increase in net assets resulting from operations $51,885,092
- ----------------------------------------------------------------------------
Statements of Changes in Net Assets
<TABLE>
<CAPTION>
Year ended Year ended
12/31/99 12/31/98
-----------------------------
<S> <C> <C>
Changes from operations:
Net investment income $ 9,981,044 $ 10,912,966
- ------------------------------------------------------------------------------------
Net realized gain on investment transactions,
futures contracts, and foreign currency transactions 33,652,307 10,444,954
- ------------------------------------------------------------------------------------
Net change in unrealized appreciation /depreciation
of investments, futures contracts, and foreign currency 8,251,741 36,086,153
- ------------------------------------------------------------------------------------
Net increase in net assets
resulting from operations 51,885,092 57,444,073
- ------------------------------------------------------------------------------------
Distributions to shareholders from:
Net investment income (8,090,100) (16,888,181)
- ------------------------------------------------------------------------------------
Net realized gain on investment transactions (13,318,486) (33,708,317)
- ------------------------------------------------------------------------------------
Total distributions to shareholders (21,408,586) (50,596,498)
- ------------------------------------------------------------------------------------
Net increase (decrease) in net assets
resulting from capital share transactions (29,826,853) 45,216,416
- ------------------------------------------------------------------------------------
Total increase in net assets 649,653 52,063,991
- ------------------------------------------------------------------------------------
Net Assets, beginning of year 490,153,886 438,089,895
- ------------------------------------------------------------------------------------
Net Assets, end of year $490,803,539 $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 the year)
</TABLE>
<TABLE>
<CAPTION>
Year ended December 31,
1999 1998 1997 1996 1995
--------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of year $ 15.759 $ 15.628 $ 14.226 $ 13.391 $ 11.144
Income from investment operations:
Net investment income(2) 0.323 0.357 0.383 0.392 0.412
Net realized and unrealized gain
on investments and foreign currency 1.409 1.585 2.205 1.522 2.247
--------------------------------------------------
Total from investment operations 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 (0.432) (1.222) (1.186) (0.687) -
--------------------------------------------------
Total dividends and distributions (0.698) (1.811) (1.186) (1.079) (0.412)
--------------------------------------------------
Net asset value, end of year $ 16.793 $ 15.759 $ 15.628 $ 14.226 $ 13.391
--------------------------------------------------
Total Return(1) 11.36% 13.50% 19.47% 15.04% 23.95%
Ratios and supplemental data:
Ratio of expenses to average net assets 0.91% 0.91% 0.89% 1.00% 0.92%
Ratio of net investment income
to average net assets 2.05% 2.36% 2.77% 2.93% 3.36%
Portfolio Turnover 134.31% 133.84% 178.40% 167.33% 146.49%
Net assets, end of year (000 omitted) $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 years ended December 31, 1999 and 1998 were
based on the average shares outstanding method.
See accompanying notes to financial statements.
Global Asset Allocation Fund 15
<PAGE>
Lincoln National Global Asset Allocation Fund, Inc.
Notes to Financial Statements
December 31, 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
Security Valuation: All equity securities are valued at the last quoted 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 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. 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 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 denominated in foreign
currencies arise from changes in the value of such assets and liabilities at the
end of the period resulting from changes in exchange rates.
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
December 31, 1999.
Global Asset Allocation Fund 16
<PAGE>
Notes to Financial Statements - (Continued)
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.
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 year
ended December 31, 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 year ended December 31, 1999 and the
aggregate gross unrealized appreciation, the aggregate gross unrealized
depreciation and the net unrealized appreciation at December 31, 1999 are as
follows:
Aggregate Aggregate Gross Gross Net
Cost of Proceeds Unrealized Unrealized Unrealized
Purchases From Sales Appreciation Depreciation Appreciation
---------------------------------------------------------------------
$330,261,365 $335,064,620 $123,569,696 $(16,074,257) $107,495,439
Global Asset Allocation Fund 17
<PAGE>
Notes to Financial Statements - (Continued)
4. Supplemental Financial Instrument Information
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 December 31, 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>
19,351,840 Australian Dollar $12,556,556 February 2000 $ 164,576
(2,540,312) Australian Dollar (1,621,766) February 2000 (48,134)
(87,668) Canadian Dollar (60,746) January 2000 (424)
6,928,500 Canadian Dollar 4,753,525 February 2000 50,894
(23,392,100) Canadian Dollar (15,812,664) February 2000 (408,083)
7,653,076 Danish Kroner 1,092,895 February 2000 (55,041)
145,487 European Monetary Unit 146,559 January 2000 240
(3,969,436) European Monetary Unit (3,996,343) January 2000 3,658
36,693,400 European Monetary Unit 38,961,129 February 2000 (1,935,042)
(20,818,700) European Monetary Unit (22,126,001) February 2000 1,118,544
(67,700,000) Greek Drachma (217,008) February 2000 11,089
67,750,000 Greek Drachma 217,441 February 2000 (11,370)
(5,340,000) Hong Kong Dollar (686,640) February 2000 (233)
13,102,375 Japanese Yen 128,367 January 2000 82
(2,927,232,880) Japanese Yen (27,867,381) February 2000 (962,858)
3,454,871,030 Japanese Yen 32,744,314 February 2000 1,282,619
(109,628) Great Britain Pound (177,019) January 2000 (186)
8,089 Great Britain Pound 13,063 January 2000 (42)
(8,932,000) Great Britain Pound (14,553,542) February 2000 129,017
5,128,200 Great Britain Pound 8,234,583 February 2000 47,084
1,710,000 Norwegian Kroner 218,754 February 2000 (5,216)
160,000 New Zealand Dollar 84,709 February 2000 (1,055)
(260,000) Singapore Dollar (155,488) February 2000 (940)
7,248 Swiss Francs 4,554 January 2000 14
2,157,710 Swiss Francs 1,405,461 February 2000 (44,512)
(198,411) Swedish Krona (23,332) January 2000 (66)
(11,610,000) Swedish Krona (1,419,986) February 2000 51,614
42,364,910 Swedish Krona 5,039,372 February 2000 (46,179)
------------
$ (659,950)
============
</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 December 31, 1999 was $3,405,053. 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 December 31, 1999 were as
follows:
<TABLE>
<CAPTION>
Notional Unrealized
Contracts to Buy (Sell) Cost Amount Expiration Dates Gain (Loss)
- --------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
(145) CAC 40 Index contracts $ (8,165,271) January 2000 $ (583,547)
(40) S&P 500 Index contracts (14,303,661) March 2000 (538,339)
(28) NASDAQ 100 Index contracts (10,715,540) March 2000 (1,673,320)
515 U.S. 10 Year Treasury note contracts 50,331,508 March 2000 (963,930)
(101) Russell 2000 Index contracts (25,679,001) March 2000 (2,073,474)
(10) Gilt contracts (1,854,328) March 2000 55,391
(92) Ftse 100 Index contracts (10,079,661) March 2000 (284,840)
(64) Euro Eurobond contracts (6,760,395) March 2000 52,446
17 Euro Eurobond contracts 1,803,673 March 2000 (21,874)
7 Australian All Ords Index contracts 350,517 March 2000 10,735
(15) Australian All Ords Index contracts (752,359) March 2000 (20,766)
(16) Dax Index contracts (2,508,069) March 2000 (320,860)
48 Japan 10 Year contracts 28,863,710 March 2000 2,352,147
(78) Nikkei 225 Index contracts (7,053,361) March 2000 (137,531)
12 MIB 30 Index contracts 2,402,743 March 2000 216,181
------------
$(3,931,581)
============
</TABLE>
Global Asset Allocation Fund 18
<PAGE>
Notes to Financial Statements - (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
December 31, 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 (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>
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)
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>
7. Distributions to Shareholders
The Fund declares and distributes dividends from net investment income, if any,
semi-annually. Distributions of net realized gains, if any, are declared and
distributed annually.
Global Asset Allocation Fund 19
<PAGE>
Lincoln National Global Asset Allocation Fund, Inc.
Report of Ernst & Young LLP, Independent Auditors
To the Shareholders and Board of Directors
Lincoln National Global Asset Allocation Fund, Inc.
We have audited the accompanying statement of net assets of Lincoln National
Global Asset Allocation Fund, Inc. (the "Fund") as of December 31, 1999, and the
related statement of operations for the year then ended, the statements of
changes in net assets for each of the two years in the period then ended, and
the financial highlights for each of the five years in the period then ended.
These financial statements and financial highlights are the responsibility of
the Fund's management. Our responsibility is to express an opinion on these
financial statements and financial highlights based on our audits.
We conducted our audits in accordance with auditing standards generally accepted
in the United States. Those standards require that we plan and perform the audit
to obtain reasonable assurance about whether the financial statements and
financial highlights are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements and financial highlights. Our procedures included
confirmation of securities owned as of December 31, 1999, by correspondence with
the Fund's custodian and brokers. An audit also includes assessing the
accounting principles used and significant estimates made by management, as well
as evaluating the overall financial statement presentation. We believe that our
audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of
Lincoln National Global Asset Allocation Fund, Inc. at December 31, 1999, the
results of its operations for the year then ended, the changes in its net assets
for each of the two years in the period then ended, and its financial highlights
for each of the five years in the period then ended, in conformity with
accounting principles generally accepted in the United States.
/s/ Ernst & Young LLP
Philadelphia, Pennsylvania
February 4, 2000
