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Previous: ASHLAND COAL INC, 10-K, 1994-03-30 |
Next: ACM GOVERNMENT OPPORTUNITY FUND INC, NSAR-A, 1994-03-30 |
MERRILL
LYNCH
GLOBAL
ALLOCATION
FUND, INC.
Quarterly Report January 31, 1994
This report is not authorized for use as an offer of sale
or a solicitation of an offer to buy shares of the Fund
unless accompanied or preceded by the Fund's current
prospectus. Past performance results shown in this report
should not be considered a representation of future
performance. Investment return and principal value
of shares will fluctuate so that shares, when redeemed,
may be worth more or less than their original cost.
Merrill Lynch
Global Allocation Fund, Inc.
Box 9011
Princeton, NJ
08543-9011
MERRILL LYNCH GLOBAL ALLOCATION FUND, INC.
Officers and
Directors
Arthur Zeikel, President and Director
Donald Cecil, Director
Edward H. Meyer, Director
Charles C. Reilly, Director
Richard R. West, Director
Terry K. Glenn, Executive Vice President
Norman R. Harvey, Senior Vice President
Donald C. Burke, Vice President
Bryan N. Ison, Vice President
Gerald M. Richard, Treasurer
Michael J. Hennewinkel, Secretary
Custodian
Brown Brothers Harriman & Co.
40 Water Street
Boston, Massachusetts 02109
<PAGE>
Transfer Agent
Financial Data Services, Inc.
4800 Deer Lake Drive East
Jacksonville, Florida 32246-6484
(800) 637-3863
DEAR SHAREHOLDER
On February 3, 1994, shortly after the close of the
January quarter, Merrill Lynch Global Allocation Fund,
Inc. marked its five-year anniversary. Since the Fund's
inception, we have utilized its fully managed global
investment mandate to seek a high total investment return
consistent with prudent risk. One measure that investment
professionals use to compare total returns on investments
of differing risk is the Sharpe ratio. The Sharpe ratio
(developed by Nobel Laureate William Sharpe) measures
investment reward per unit of risk and is calculated for
a specified time period. The higher the Sharpe ratio, the
better an investment's historical risk-adjusted performance.
For the five-year period ended February 28, 1994, Merrill Lynch
Global Allocation Fund, Inc.'s Class A and Class B Shares had Sharpe
ratios of 1.36 and 1.22, respectively, as computed by Morningstar,
Inc. Over the same time period, Morningstar's universe* of 1,784
open-end stock and bond mutual funds had an average Sharpe ratio of
0.75, indicating that the Fund's Class A and Class B Shares had a
significantly better return to risk ratio than the average fund.
In fact, the Fund's Class A and Class B Shares were in the top
10% of that group of 1,784 mutual funds ranked for total return
adjusted for risk. The unmanaged S&P 500, according to Morningstar,
had a Sharpe ratio of 0.67 for the same five-year time period.
(Past performance is not necessarily indicative of future per-
formance. Complete performance information, including average annual
total returns, can be found on pages 3 and 4 of this report to
shareholders.)
[FN]
*Morningstar's universe consists of funds which invest in
equities or fixed-income securities (or both), as well as
those which invest in the United States, internationally
(outside of the United States), and globally (both in the
United States and abroad).
<PAGE>
Portfolio Matters
The Fund continued to experience strong net cash inflows during the
January quarter. At the same time, stock and bond market prices in
general remained at levels which afforded few new attractive under-
valued investment opportunities, in our opinion. As a result, the Fund's
overall asset mix was relatively unchanged during the January
quarter. At January quarter-end, equity investments totaled 38.0% of
net assets, a modest increase from 33.6% at the end of the October
quarter. Fixed-income investments were down slightly at 37.9% of net
assets, compared to 43.3% at October quarter-end. The Fund's cash reserves
rose somewhat during the three-month period to 23.5% of net assets.
(See "Summary of the Fund's Overall Asset Mix" table on page 25 of this
report to shareholders.)
The most noteworthy shift which occurred during the quarter was the
increase in Japanese equity investments from 3.0% of net assets to 5.5%,
primarily through additional purchases of existing holdings. While the
portfolio continues to be underweighted in Japan, the decline in
Japanese share prices that occurred during the quarter created an oppor-
tunity to increase investments at more attractive valuations. For
example, we added to our position in Suzuki Motor Corp., an automobile
manufacturer with significant business in developing Asian markets
whose shares were selling at a low price/cash flow ratio, as well as
the diversified capital equipment manufacturer Mitsubishi Heavy
Industries, Inc. and the retailer Ito Yokado Co., Ltd.
We reduced the weighting in European equities during the quarter
following their strong performance. The Fund's overall European expo-
sure was reduced further by the sale of some European bond holdings for
the same reason. The Fund had an important commitment to European
bonds early in 1993, which we have gradually reduced as European bond
markets rallied strongly.
The Fund's US equity weighting rose slightly during the quarter. Share
prices of bank and financial companies sold off sharply late in 1993 as
investors became concerned that rising interest rates would negatively
impact earnings, especially for banks. Although we expected higher short-
term interest rates to follow reports of accelerating domestic economic
activity, we also believed that share prices for selected financial com-
panies overly discount this eventuality. Thus, we chose to establish
positions in good-quality regional banks whose shares were selling at
attractive price/earnings ratios, such as KeyCorp, Barnett Banks Inc. and
First Commerce Corp.
In the US fixed-income portion of the portfolio we increased investments in
the first mortgage bonds and secured lease obligations of several electric
utility companies. Prices for these bonds had fallen, and they offered
attractive yields.
In Conclusion
We thank you for your investment in Merrill Lynch Global Allocation
Fund, Inc., and we look forward to reviewing our outlook and strategy
with you again in our next report to shareholders.
<PAGE>
Sincerely,
(Arthur Zeikel)
Arthur Zeikel
President
(Bryan N. Ison)
Bryan N. Ison
Vice President and Portfolio Manager
March 14, 1994
PERFORMANCE DATA
None of the past results shown should be considered a
representation of future performance. Investment return and
principal value of Class A and Class B Shares will fluctuate
so that shares, when redeemed, may be worth more or less than
their original cost.
<TABLE>
Recent
Performance
Results*
<CAPTION>
Net Asset Value Total Return
1/31/94 10/31/93 1/31/93 12-Month 3-Month
<S> <C> <C> <C> <C> <C>
ML Global Allocation Fund, Inc. Class A Shares $13.67 $13.52 $11.79 +22.28%(1) +5.10%(2)
ML Global Allocation Fund, Inc. Class B Shares 13.54 13.38 11.71 +21.08(3) +4.80(4)
US Stocks: Standard & Poor's 500 Index** +12.85 +3.63
Non-US Stocks: Financial Times--Actuaries World Index*** +43.35 +6.32
US Bonds: ML Government Index GA05**** + 8.02 +0.60
Non-US Bonds: Salomon Brothers World Government Bond Index***** +14.06 +1.08
<FN>
*Investment results shown for the 3-month and 12-month periods are before the deduction of any sales charges.
**An unmanaged broad-based index comprised of common stocks. Total investment returns for unmanaged indexes are based on
estimates.
***An unmanaged capitalization-weighted index comprised of over 1,800 companies in 24 countries, excluding the United
States.
****An unmanaged index designed to track the total return of the current coupon five-year US Treasury bond.
*****An unmanaged market capitalization-weighted index tracking 10 government bond indexes, excluding the United States.
(1) Percent change includes reinvestment of $0.508 per share ordinary income dividends and $0.194 per share capital gains
distributions.
(2) Percent change includes reinvestment of $0.323 per share ordinary income dividends and $0.194 per share capital gains
distributions.
(3) Percent change includes reinvestment of $0.409 per share ordinary income dividends and $0.194 per share capital gains
distributions.
(4) Percent change includes reinvestment of $0.268 per share ordinary income dividends and $0.194 per share capital gains
distributions.
</TABLE>
<PAGE>
PERFORMANCE DATA (concluded)
<TABLE>
Performance
Summary--
Class A Shares
<CAPTION>
Net Asset Value Capital Gains
Period Covered Beginning Ending Distributed Dividends Paid* % Change**
<C> <C> <C> <C> <C> <C>
2/3/89--12/31/89 $10.00 $10.76 $0.199 $0.484 +14.64%
1990 10.76 9.89 0.237 0.854 + 1.88
1991 9.89 11.05 0.196 1.409 +28.75
1992 11.05 11.53 0.038 0.816 +12.19
1993 11.53 13.23 0.194 0.508 +21.01
1/1/94--1/31/94 13.23 13.67 -- -- + 3.33
------ ------
Total $0.864 Total $4.071
Cumulative total return as of 1/31/94: +110.95%**
<FN>
*Figures may include short-term capital gains distributions.
**Figures assume reinvestment of all dividends and capital gains distributions at net asset value on the ex-dividend
date, and do not include sales charge; results would be lower if sales charge was included.
</TABLE>
<TABLE>
Performance
Summary--
Class B Shares
<CAPTION>
Net Asset Value Capital Gains
Period Covered Beginning Ending Distributed Dividends Paid* % Change**
<C> <C> <C> <C> <C> <C>
2/3/89--12/31/89 $10.00 $10.75 $0.199 $0.392 +13.58%
1990 10.75 9.88 0.237 0.741 + 0.84
1991 9.88 11.03 0.196 1.300 +27.47
1992 11.03 11.47 0.038 0.731 +11.06
1993 11.47 13.11 0.194 0.409 +19.69
1/1/94--1/31/94 13.11 13.54 -- -- + 3.28
------ ------
Total $0.864 Total $3.573
Cumulative total return as of 1/31/94: +100.44%**
<FN>
*Figures may include short-term capital gains distributions.
**Figures assume reinvestment of all dividends and capital gains distributions at net asset value on the ex-dividend
date, and do not reflect deduction of any sales charge; results would be lower if sales charge was deducted.
</TABLE>
<PAGE>
Average Annual
Total Return
% Return Without % Return With
Sales Charge Sales Charge**
Class A Shares*
Year Ended 12/31/93 +21.01% +13.14%
Inception (2/3/89) through
12/31/93 +15.65 +14.07
[FN]
*Maximum sales charge is 6.5%.
**Assuming maximum sales charge.
% Return % Return
Without CDSC With CDSC**
Class B Shares*
Year Ended 12/31/93 +19.69% +15.69%
Inception (2/3/89) through
12/31/93 +14.46 +14.46
[FN]
*Maximum contingent deferred sales charge is 4% and is reduced to 0%
after 4 years.
**Assuming payment of applicable contingent deferred sales charge.
<TABLE>
SCHEDULE OF INVESTMENTS (in US dollars)
<CAPTION>
Shares Percent of
Industries Held Common Stocks, Notes & Warrants Cost Value Net Assets
<S> <S> <C> <S> <C> <C> <C>
Australia Banking 2,595,293 Westpac Banking Corp. $ 5,448,334 $ 10,117,490 0.2%
Food 6,500,000 Goodman Fielder Wattie Ltd. 6,989,431 8,154,744 0.1
Insurance 1,056,611 GIO Australia Holdings Ltd. 1,490,674 2,516,391 0.0
Tobacco 1,768,300 Rothmans Holdings, Ltd. 7,303,733 8,021,575 0.1
1,242,300 WD & HO Wills Holdings, Ltd. 2,092,022 3,610,223 0.1
------------ ------------ ------
9,395,755 11,631,798 0.2
Utilities 37,254 Australian Gas & Light Co. 115,666 116,185 0.0
Total Common Stocks in Australia 23,439,860 32,536,608 0.5
<PAGE>
Austria Utilities--Electric 29,150 Oesterreichische Elektrizitats AG (Verbund) 1,223,237 1,784,499 0.0
Total Common Stocks in Austria 1,223,237 1,784,499 0.0
Belgium Mining 83,000 Union Miniere N.V. 4,909,493 6,519,357 0.1
Total Common Stocks in Belgium 4,909,493 6,519,357 0.1
Canada Natural Resources 300,000 Canadian Pacific, Ltd. 3,503,161 5,550,000 0.1
Oil & Related 353,000 International Petroleum Corp. 1,000,196 386,111 0.0
Telecommunications 100,000 BCE Telecommunications, Inc. 3,375,484 3,625,000 0.1
Total Common Stocks in Canada 7,878,841 9,561,111 0.2
Finland Metals 175,000 Outokumpu OY 1,920,901 2,738,728 0.0
Paper & Forest Products 325,000 Repola OY S 3,891,635 6,762,013 0.1
Total Common Stocks in Finland 5,812,536 9,500,741 0.1
France Automobiles 38,300 Peugeot S.A. 3,966,996 5,652,945 0.1
Banking 53,900 Compagnie Financiere de Paribas 4,269,897 4,935,664 0.1
86,500 Societe Generale 9,605,405 11,434,749 0.2
------------ ------------ ------
13,875,302 16,370,413 0.3
Capital Goods 27,695 Compagnie de Fives--Lille 1,444,568 2,700,122 0.0
Insurance 53,860 GAN S.A. (Registered) 3,637,238 4,859,069 0.1
Multi-Industry 14,905 EuraFrance 4,256,713 6,264,237 0.1
14,905 EuraFrance (Rights) (e) 0 315,356 0.0
------------ ------------ ------
4,256,713 6,579,593 0.1
Oil & Related 65,000 Societe Nationale Elf Aquitaine 4,402,248 4,661,561 0.1
Retail 50,000 Pinault--Printemps Group 6,380,119 8,632,363 0.1
Utilities 26,128 Compagnie Generale des Eaux 11,466,525 12,842,876 0.2
Total Common Stocks in France 49,429,709 62,298,942 1.0
</TABLE>
<PAGE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued) (in US dollars)
<CAPTION>
Shares Percent of
Industries Held Common Stocks, Notes & Warrants Cost Value Net Assets
<S> <S> <C> <S> <C> <C> <C>
Germany Automobiles 40,670 Volkswagen of America, Inc. $ 9,584,143 $ 10,335,157 0.1%
Banking 4,400 Bayerische Vereinsbank AG 1,036,492 1,380,293 0.0
4,400 Bayerische Vereinsbank AG (Rights) (d) 0 18,328 0.0
38,900 Deutsche Bank AG 18,544,907 18,729,216 0.3
------------ ------------ ------
19,581,399 20,127,837 0.3
Capital Goods 369,636 Kloeckner Werke AG 17,229,762 26,185,647 0.4
Chemicals 89,650 Bayer AG 15,407,964 19,032,275 0.3
Construction 6,330 Hochtief AG 3,965,302 4,535,197 0.1
Multi-Industry 57,600 Veba AG 14,765,678 16,993,737 0.3
Pharmaceuticals 21,950 Schering AG 11,893,453 14,099,454 0.2
Steel 85,000 Thyssen AG 10,329,445 12,790,290 0.2
Total Common Stocks in Germany 102,757,146 124,099,594 1.9
Hong Kong Telecommunications 1,180,000 Hong Kong Telecommunications Ltd. 754,179 2,459,925 0.0
Utilities--Electric 676,800 China Light & Power Co., Ltd. 841,166 4,162,631 0.1
Total Common Stocks in Hong Kong 1,595,345 6,622,556 0.1
Ireland Building & Construction 1,065,600 CRH PLC 3,594,241 6,143,397 0.1
Miscellaneous-- 2,178,000 Waterford Wedgewood Units 1,080,827 1,538,184 0.0
Consumer Goods
Total Common Stocks in Ireland 4,675,068 7,681,581 0.1
Italy Multi-Industry 9,295,795 Compagnie Industriali Riunite S.p.A. (CIR) 7,392,425 12,370,632 0.2
21,200,000 Montedison S.p.A. 12,288,951 14,631,470 0.2
------------ ------------ ------
19,681,376 27,002,102 0.4
Paper & Forest Products 842,700 Cartiere Burgo S.p.A. 2,405,720 5,468,043 0.1
<PAGE>
Telecommunications 3,000,000 Societa Finanziaria Telefonica S.p.A. (STET) 4,365,656 8,361,599 0.1
11,181,363 Societa Finanziaria Telefonica S.p.A.
(STET) RISP 20,700,047 25,274,728 0.4
7,458,000 Societa Italiana Esercizio Telecom S.p.A.
(S.I.P.) 6,820,816 19,093,184 0.3
------------ ------------ ------
31,886,519 52,729,511 0.8
Total Common Stocks in Italy 53,973,615 85,199,656 1.3
Japan Automobiles & Equipment 2,223,000 Suzuki Motor Corp. 19,200,748 25,558,775 0.4
397,000 Toyoda Automatic Loom Works, Ltd. 4,589,043 5,659,952 0.1
295,000 Toyota Motor Corp. 4,030,746 5,318,249 0.1
------------ ------------ ------
27,820,537 36,536,976 0.6
Beverage 310,000 Chukyo Coca-Cola Bottling Co., Ltd. 3,892,222 3,991,906 0.1
284,000 Hokkaido Coca-Cola Bottling Co., Ltd. 3,496,769 4,336,277 0.1
423,000 Kinki Coca-Cola Bottling Co., Ltd. 6,836,980 7,158,940 0.1
245,000 Mikuni Coca-Cola Bottling Co., Ltd. 3,943,827 4,011,221 0.1
408,000 Sanyo Coca-Cola Bottling Co., Ltd. 6,054,493 6,567,329 0.1
------------ ------------ ------
24,224,291 26,065,673 0.5
Capital Goods 3,608,000 Mitsubishi Heavy Industries America, Inc. 21,963,469 23,595,364 0.4
Electrical Engineering 410,000 Chudenko Corp. 13,428,175 14,481,236 0.2
247,000 Kyudenko Corp. 3,730,824 4,202,999 0.1
------------ ------------ ------
17,158,999 18,684,235 0.3
Electronics 1,141,000 Canon, Inc. 14,706,779 17,316,501 0.3
189,000 Hitachi, Ltd. 1,899,032 1,573,262 0.0
100,000 Kyocera Corp. 2,680,297 6,328,182 0.1
1,413,000 Matsushita Electric Industrial Co., Ltd. 17,136,557 22,484,272 0.3
415,000 Murata Manufacturing Co., Ltd. 13,871,658 16,795,438 0.3
1,360,000 Sumitomo Electric Industries 15,481,185 20,264,901 0.3
------------ ------------ ------
65,775,508 84,762,556 1.3
Engineering & 29,000 Taihei Dengyo Industries 657,632 752,208 0.0
Construction
Insurance 1,112,000 Dai-Tokyo Fire & Marine Insurance Co., Ltd. 6,505,779 7,875,644 0.1
665,000 Fuji Fire & Marine Insurance Co., Ltd. 3,727,641 4,012,509 0.1
1,322,000 Koa Fire & Marine Insurance Co., Ltd. 6,884,434 8,876,564 0.1
1,182,000 Nichido Fire & Marine Insurance Co., Ltd. 6,863,646 8,349,669 0.1
1,295,000 Nippon Fire & Marine Insurance Co., Ltd. 6,665,367 9,124,080 0.2
1,775,000 Sumitomo Marine & Fire Insurance Co., Ltd. 13,830,866 14,938,604 0.2
1,625,000 Tokio Marine & Fire Insurance Co., Ltd. 17,355,002 19,580,114 0.3
------------ ------------ ------
61,832,735 72,757,184 1.1
<PAGE>
Metals 751,000 Toyo Seikan Kaisha, Ltd. 18,417,114 22,449,871 0.3
Pharmaceuticals 865,000 Sankyo Co. Ltd. 21,123,949 21,083,977 0.3
384,000 Taisho Pharmaceuticals Co. 7,984,458 7,523,179 0.1
------------ ------------ ------
29,108,407 28,607,156 0.4
Photography 659,000 Fuji Photo Film Co., Ltd. 14,995,088 15,941,593 0.2
Retail Stores 448,000 Ito Yokado Co., Ltd. 20,618,869 24,724,062 0.4
100,000 Sangetsu Co., Ltd. 3,160,832 3,577,999 0.0
------------ ------------ ------
23,779,701 28,302,061 0.4
Steel 10,000 Maruichi Steel Tube Ltd. 153,093 168,322 0.0
Total Common Stocks in Japan 305,886,574 358,623,199 5.5
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued) (in US dollars)
<CAPTION>
Shares Percent of
Industries Held Common Stocks, Notes & Warrants Cost Value Net Assets
<S> <S> <C> <S> <C> <C> <C>
Nether- Airlines 901,000 KLM Royal Dutch Airlines $ 17,486,458 $ 21,901,231 0.3%
lands
Banking 296,150 ABN Amro Holding N.V. 9,100,038 10,949,956 0.2
Beverage 23,283 Heineken Holdings Inc. 2,129,208 2,484,714 0.0
23,237 Heineken N.V. 2,268,817 2,801,548 0.0
------------ ------------ ------
4,398,025 5,286,262 0.0
Chemicals 113,650 Akzo N.V. 10,208,263 12,268,372 0.2
Electronics 236,000 Phillips N.V. 5,607,212 5,930,256 0.1
Insurance 155,000 Aegon N.V. 8,361,695 8,457,436 0.1
250,400 Amev N.V. 9,528,450 11,004,759 0.2
385,965 Internationale Nederlanden Groep N.V. 12,885,006 17,873,148 0.3
------------ ------------ ------
30,775,151 37,335,343 0.6
Mining 187,550 Dutch State Mining N.V. 9,481,185 10,387,385 0.2
Miscellaneous-- 10,000 Nijverdal Ten Cate N.V. 501,699 491,282 0.0
Manufacturing
Paper & Forest Products 300,720 Koninklijke KNP 5,008,146 7,803,298 0.1
Total Common Stocks in the Netherlands 92,566,177 112,353,385 1.7
<PAGE>
New Paper & Forest Products 164,330 Carter Holt Harvey, Ltd. 166,358 380,557 0.0
Zealand
Total Common Stocks in New Zealand 166,358 380,557 0.0
Portugal Banking 535,020 Banco Comercial Portugues (ADR)++ 6,569,463 8,694,075 0.1
Total Common Stocks in Portugal 6,569,463 8,694,075 0.1
South Automobiles & Equipment 31,542 Kia Motors (GDS)++++ 1,017,000 1,174,940 0.0
Korea
Total Common Stocks in South Korea 1,017,000 1,174,940 0.0
Spain Banking 61,775 Banco Popular Espanol 6,511,311 7,640,998 0.1
83,000 Bank Intercontinental S.A. 4,607,612 7,924,475 0.2
------------ ------------ ------
11,118,923 15,565,473 0.3
Energy & Petroleum 418,500 Repsol S.A. 10,048,364 14,282,971 0.2
Insurance 30,000 Mapfre S.A. 1,130,028 1,560,385 0.0
Miscellaneous 137,500 Autopista Espana (ACESA) 1,363,125 1,606,698 0.1
195,000 Grupo Fosforera Espanola S.A. 1,696,601 1,403,278 0.0
------------ ------------ ------
3,059,726 3,009,976 0.1
Multi-Industry 45,750 Corporacion Financiera Alba S.A. 1,611,658 1,867,813 0.0
Real Estate 205,148 Metrovacesa 4,967,085 8,843,216 0.2
31,560 Metrovacesa (New Shares) 921,380 1,360,442 0.0
328,980 Vallehermoso Espanola S.A. 4,126,052 6,668,672 0.1
------------ ------------ ------
10,014,517 16,872,330 0.3
Telecommunications 979,014 Telefonica Nacional de Espana S.A. 10,466,114 13,881,282 0.2
184,000 Telefonica Nacional de Espana S.A. (ADR)++ 5,492,988 7,935,000 0.1
------------ ------------ ------
15,959,102 21,816,282 0.3
Utilities--Electric 30,000 Empresa Nacional de Electricidad S.A. 815,981 1,671,535 0.0
262,100 Fuerzas Electricidad Cataluna (FECSA)
(Series A) 1,628,157 2,035,547 0.0
1,091,800 Iberdrola I S.A. 6,325,443 9,257,157 0.2
------------ ------------ ------
8,769,581 12,964,239 0.2
Total Common Stocks in Spain 61,711,899 87,939,469 1.4
<PAGE>
Sweden Electrical--Equipment 120,000 ASEA AB 'B' Free 6,532,086 8,759,124 0.2
Mining 725,725 Trelleborg 'B' Free 5,291,716 8,538,049 0.1
Multi-Industry 245,000 Svedala 3,925,653 5,454,844 0.1
Total Common Stocks in Sweden 15,749,455 22,752,017 0.4
Switzer- Banking 35,700 Schweizerischer Bankverein (Bearer) 9,737,910 12,750,872 0.2
land
Building & Construction 16,650 Holderbank Financiere Glarus AG (Bearer) 7,108,098 11,335,443 0.2
Electrical Equipment 29,800 BBC Brown Boveri & Cie (Bearer) 17,422,295 23,366,952 0.4
Insurance 2,460 Baloise Holding Insurance (Registered) 3,018,431 4,957,030 0.1
20,250 Winterthur (Registered) 7,901,693 11,153,780 0.2
------------ ------------ ------
10,920,124 16,110,810 0.3
Machinery 11,460 Sulzer Gebrueder AG (Registered) 5,277,957 7,566,815 0.1
7,400 Sulzer Gebrueder AG (Warrants) (a) 0 65,823 0.0
------------ ------------ ------
5,277,957 7,632,638 0.1
Pharmaceuticals 19,800 Ciba-Geigy AG 9,511,983 12,585,836 0.2
1,460 Sandoz AG (Part. Cert.) 2,573,492 4,265,618 0.0
6,427 Sandoz AG (Registered) 14,872,369 19,063,322 0.3
------------ ------------ ------
26,957,844 35,914,776 0.5
Total Common Stocks & Warrants
in Switzerland 77,424,228 107,111,491 1.7
United Aerospace 1,452,500 Rolls Royce PLC 3,586,733 4,030,956 0.1
Kingdom
Airlines 881,875 British Airways PLC 3,984,182 6,257,320 0.1
Banking 428,000 National Westminster Bank PLC 3,096,090 3,800,893 0.1
Beverage 980,600 Grand Metropolitan PLC 6,411,270 7,178,471 0.1
35,000 Grand Metropolitan PLC (ADR)++ 1,031,100 1,028,125 0.0
------------ ------------ ------
7,442,370 8,206,596 0.1
Conglomerates 510,000 Hanson PLC 1,999,223 2,203,347 0.0
50,000 Hanson PLC (ADR)++ 984,250 1,081,250 0.0
------------ ------------ ------
2,983,473 3,284,597 0.0
<PAGE>
Electrical Equipment 1,499,200 General Electric Co. PLC 6,894,412 7,623,940 0.1
Energy & Petroleum 45,000 British Petroleum Co. Ltd. PLC (ADR)++ 2,638,675 3,071,250 0.1
Food 825,000 Tate & Lyle PLC 4,995,657 5,544,370 0.1
350,000 United Biscuit PLC 2,086,198 1,921,628 0.0
------------ ------------ ------
7,081,855 7,465,998 0.1
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued) (in US dollars)
<CAPTION>
Shares Percent of
Industries Held Common Stocks, Notes & Warrants Cost Value Net Assets
<S> <S> <C> <S> <C> <C> <C>
United Insurance 599,000 Commercial Union Assurance Co. PLC $ 5,354,117 $ 6,262,963 0.1%
Kingdom
(concluded)Leisure 490,000 Thorn EMI PLC (Ordinary) 7,194,681 8,107,590 0.1
Multi-Industry 775,000 BTR PLC 3,942,202 4,522,426 0.1
23,484 BTR PLC (Warrants) (Exp. 1998) (a) 0 22,546 0.0
21,000 BTR PLC (Warrants) (a) 0 36,857 0.0
------------ ------------ ------
3,942,202 4,581,829 0.1
Newspaper & Publishing 110,000 Reuters Holdings PLC 2,198,582 3,283,719 0.1
Pharmaceuticals 700,000 SmithKline Beecham Corp. PLC (ADR)++ 19,423,436 20,650,000 0.3
1,000,000 Zeneca Group PLC 9,406,370 12,075,805 0.2
------------ ------------ ------
28,829,806 32,725,805 0.5
Retail Stores 658,700 Boots Co. PLC 4,480,223 5,454,400 0.1
1,000,000 Dixons Group PLC 3,779,526 3,195,213 0.0
421,500 Marks & Spencer PLC 2,531,515 2,801,054 0.0
1,050,000 Tesco PLC 3,154,083 3,480,982 0.1
------------ ------------ ------
13,945,347 14,931,649 0.2
Steel 1,500,000 British Steel PLC 1,442,449 3,206,464 0.1
Telecommunications 425,000 British Telecommunications PLC 2,570,211 2,849,815 0.0
Utilities--Gas 435,800 British Gas PLC 1,789,284 2,314,252 0.0
Waste Disposal 83,500 Attwoods PLC (ADR)++ 759,800 981,125 0.0
Total Common Stocks & Warrants
in the United Kingdom 105,734,269 122,986,761 1.9
<PAGE>
United Aerospace 56,000 Boeing Co. 2,003,133 2,422,000 0.0
States
Airlines 25,000 UAL Corp. 2,907,375 3,675,000 0.1
955,900 USAir Group Inc. 12,833,444 14,099,525 0.2
------------ ------------ ------
15,740,819 17,774,525 0.3
Apparel 860,000 Fruit of the Loom, Inc. 23,555,786 21,715,000 0.3
373,900 Liz Claiborne Inc. 8,022,626 7,758,425 0.1
------------ ------------ ------
31,578,412 29,473,425 0.4
Automobiles 110,300 General Motors Corp. 3,895,971 6,769,662 0.1
Banking 85,000 Albank Financial Corp. 971,875 1,763,750 0.0
280,500 AmSouth Bancorp. 7,624,356 8,905,875 0.1
125,000 Anchor Bancorp., Inc. 1,562,500 1,578,125 0.0
75,000 BankAmerica Corp. 3,219,677 3,487,500 0.1
129,500 Banknorth Group, Inc. 1,865,422 2,525,250 0.0
200,000 Bank of New York 10,650,626 11,275,000 0.2
476,000 Barnett Banks Inc. 19,229,053 20,111,000 0.3
598,500 Chase Manhattan Corp. 19,688,610 21,620,812 0.3
1,391 Chase Manhattan Corp. (Warrants) (a) 6,955 11,824 0.0
942,500 Chemical Banking Corp. 34,178,839 37,228,750 0.6
1,721,300 City National Corp. 12,174,108 14,200,725 0.2
1,237,500 Comerica Inc. 33,191,420 34,804,687 0.5
164,000 Continental Bank Corp. 4,305,590 5,760,500 0.1
375,000 CoreStates Financial Corp. 9,855,001 10,125,000 0.2
1,150,000 First American Bank 43,217,972 42,837,500 0.7
310,100 First Commerce Corp. 8,057,916 7,985,075 0.1
400,000 First Union Corp. 16,226,028 17,400,000 0.3
300,000 KeyCorp. 10,920,442 11,100,000 0.2
400,000 Mellon Bank Corp. 21,429,377 22,350,000 0.3
75,300 Mercantile Bancorp. 2,920,618 3,689,700 0.1
45,000 Premier Bancorp. 708,437 804,375 0.0
81,300 Republic of New York Corp. 3,903,678 4,105,650 0.1
20,000 Trustcompany Bankcorp. NY 288,320 445,000 0.0
------------ ------------ ------
266,196,820 284,116,098 4.4
Biotechnology 362,536 Applied Immune Sciences, Inc. 5,834,069 4,259,798 0.1
Computers 148,500 Boole & Babbage, Inc. 2,962,360 3,489,750 0.0
321,600 Borland International Corp. 4,836,966 4,502,400 0.1
27,200 Digital Equipment Corp. 1,553,514 822,800 0.0
300,000 International Business Machines Corp. 15,067,744 17,025,000 0.3
------------ ------------ ------
24,420,584 25,839,950 0.4
<PAGE>
Conglomerates 125,000 ADT Ltd. 1,434,405 1,250,000 0.0
20,833 ADT Ltd. (Warrants) (a) 0 23,437 0.0
------------ ------------ ------
1,434,405 1,273,437 0.0
Electronics 28,193 Texas Instruments Inc. 2,111,078 1,980,558 0.0
Energy & Petroleum 30,000 Anadarko Petroleum Corp. 570,550 1,425,000 0.0
163,900 Ashland Coal, Inc. 4,132,919 4,855,537 0.1
85,000 Brown (Tom), Inc. 366,313 998,750 0.0
49,500 Cabot Oil & Gas Corp. (Class A) 529,030 1,095,187 0.0
34,600 Coastal Corp. 817,773 1,068,275 0.0
153,000 Coho Resources, Inc. 1,662,813 650,250 0.0
130,000 Helmerich & Payne, Inc. 2,773,423 3,591,250 0.1
41,400 Mitchell Energy Development Corp. (Class A) 584,792 879,750 0.0
174,350 Mitchell Energy Development Corp. (Class B) 2,755,451 3,770,319 0.1
50,000 Murphy Oil Corp. 1,899,720 2,068,750 0.0
1,063,400 Occidental Petroleum Corp. 21,219,009 19,141,200 0.3
61,200 Pennzoil Co. 3,775,844 3,381,300 0.1
199,700 Plains Resources, Inc. 2,052,005 1,273,088 0.0
344,248 Santa Fe Energy Resources, Inc. 3,000,432 3,184,293 0.0
700,000 USX-Marathon Group 12,267,189 12,950,000 0.2
138,800 Unocal Corp. 3,272,336 4,077,250 0.1
------------ ------------ ------
61,679,599 64,410,199 1.0
Financial Services 532,800 Student Loan Marketing Association 23,566,669 26,040,600 0.4
Healthcare Services 961,200 Baxter International, Inc. 21,122,668 22,828,500 0.3
1,100,000 Beverly Enterprises, Inc. 11,307,684 14,300,000 0.2
545,700 Hillhaven Corp. 7,853,950 10,914,000 0.2
269,200 Manor Care, Inc. 5,230,692 7,503,950 0.1
30,000 Meditrust SBI 915,726 978,750 0.0
283,000 Regency Health Services, Inc. 2,378,182 3,926,625 0.1
400,000 US Surgical Corp. 10,357,852 12,750,000 0.2
------------ ------------ ------
59,166,754 73,201,825 1.1
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued) (in US dollars)
<CAPTION>
Shares Percent of
Industries Held Common Stocks, Notes & Warrants Cost Value Net Assets
<S> <S> <C> <S> <C> <C> <C>
United Hospital Management 130,000 Community Psychiatric Centers $ 1,278,964 $ 2,242,500 0.0%
States 308,000 Novacare Inc. 3,852,871 4,928,000 0.1
(concluded) ------------ ------------ ------
5,131,835 7,170,500 0.1
<PAGE>
Index-Related US$ 40,800 Republic of Austria Stock Index Growth
Notes due 8/15/1996 432,941 535,500 0.0
Information Processing 785,000 Amdahl Corp. 3,465,775 5,593,125 0.1
450,000 Unisys Corp. 5,298,088 5,962,500 0.1
------------ ------------ ------
8,763,863 11,555,625 0.2
Insurance 571,000 Horace Mann Educators, Inc. 13,654,588 13,775,375 0.2
Leisure 93,700 Handleman Co. 1,044,752 1,288,375 0.0
Metals 277,500 Alcan Aluminum, Ltd. 4,669,221 6,798,750 0.1
130,000 Aluminum Co. of America 8,733,493 10,286,250 0.2
100,000 Inco Ltd. 2,132,000 2,762,500 0.0
132,800 Reynolds Metals Co. 5,801,771 7,088,200 0.1
------------ ------------ ------
21,336,485 26,935,700 0.4
Natural Resources 300,000 Freeport McMoRan Inc. 5,137,697 6,150,000 0.1
Oil Services 670,000 Arethusa (Off-Shore) Ltd. 6,809,378 7,788,750 0.1
149,800 Atwood Oceanics, Inc. 1,238,663 1,666,525 0.0
43,400 Cliffs Drilling Co. 595,425 575,050 0.0
408,000 Gerrity Oil & Gas Corp. 5,748,846 4,335,000 0.1
900,000 Noble Drilling Corp. 7,344,625 7,087,500 0.1
------------ ------------ ------
21,736,937 21,452,825 0.3
Paper & Forest Products 525,000 Boise Cascade Corp. 11,800,164 14,109,375 0.2
435,000 Bowater, Inc. 8,882,625 10,440,000 0.2
112,000 Champion International Corp. 3,318,152 3,738,000 0.1
105,400 International Paper Co. 6,715,285 7,918,175 0.1
------------ ------------ ------
30,716,226 36,205,550 0.6
Pharmaceuticals/ 600,000 ALZA Corp. 13,048,597 16,275,000 0.3
Biotechnology 121,500 Alteon Inc. 1,205,188 972,000 0.0
139,400 American Home Products Corp. 8,256,144 8,851,900 0.1
58,200 AutoImmune Inc. 385,575 421,950 0.0
400,000 Bristol-Myers Squibb Co. 22,797,751 23,150,000 0.4
173,000 Immune Response Corp. 2,272,832 2,249,000 0.0
200,000 Johnson & Johnson Co. 7,266,450 8,475,000 0.1
325,000 Lilly (Eli) & Co. 16,618,583 19,459,375 0.3
550,000 Merck & Co. 18,652,516 20,075,000 0.3
41,300 Pfizer, Inc. 2,617,082 2,669,013 0.1
780,500 Syntex Corp. 15,220,206 12,000,188 0.2
------------ ------------ ------
108,340,924 114,598,426 1.8
Pollution Control 646,900 WMX Technologies, Inc. 16,148,443 19,002,688 0.3
<PAGE>
Publishing 223,900 Jostens Inc. 4,199,326 3,974,225 0.1
301,500 New York Times Co. (Class A) 7,158,778 8,592,750 0.1
------------ ------------ ------
11,358,104 12,566,975 0.2
Real Estate 661,300 Dial REIT, Inc. 6,616,640 6,860,988 0.1
291,000 Health Equity Properties, Inc. 2,462,250 2,764,500 0.1
75,000 LTC Properties, Inc. 750,000 993,750 0.0
------------ ------------ ------
9,828,890 10,619,238 0.2
Resources 440,000 Horsham Corp. 3,550,742 6,380,000 0.1
Retail Stores 608,500 Baker (J.) Inc. 10,187,765 11,029,062 0.2
516,900 Buttrey Food & Drug Stores Co. 4,084,486 3,230,625 0.1
156,700 Dayton Hudson Corp. 10,496,970 10,303,025 0.2
910,000 Filene's Basement Corp. 8,201,994 9,213,750 0.1
342,000 Hook-SupeRx, Inc. 3,476,715 2,693,250 0.0
272,900 Payless Cashways Inc. 3,288,048 4,878,088 0.1
150,100 Safeway Inc. 1,514,367 3,077,050 0.0
660,000 Service Merchandise Co., Inc. 6,701,173 5,280,000 0.1
58,400 Smith Food & Drug Ltd. 1,147,277 1,335,900 0.0
1,002,500 The Vons Companies, Inc. 16,694,139 18,420,938 0.3
------------ ------------ ------
65,792,934 69,461,688 1.1
Savings Banks 248,000 Bankers Corp. 1,688,842 4,030,000 0.1
760,000 Crossland Federal Savings Bank 18,250,000 23,940,000 0.4
500,000 Dime Savings Bank of New York 3,417,510 4,375,000 0.1
105,200 Downey Savings & Loan Association 1,295,198 1,998,800 0.0
2,017,053 Glendale Federal Savings Bank 17,752,852 14,371,503 0.2
770,194 Glendale Federal Savings Bank (Warrants) (a) 0 1,540,388 0.0
37,500 NS Bancorp, Inc. 300,000 1,068,750 0.0
121,727 Portsmouth Bank Shares, Inc. 1,215,375 1,978,061 0.0
------------ ------------ ------
43,919,777 53,302,502 0.8
Shoes 182,300 NIKE, Inc. (Class B) 9,775,784 9,115,000 0.1
Telecommunications 104,500 GTE Corp. 3,514,166 3,592,187 0.1
Textiles 1,196,700 Burlington Industries 16,747,082 17,501,737 0.3
Tobacco 215,000 Loews Corp. 20,399,655 21,311,875 0.3
770,000 Philip Morris Cos., Inc. 37,069,235 46,392,500 0.7
------------ ------------ ------
57,468,890 67,704,375 1.0
<PAGE>
Utilities--Electric 125,000 CMS Energy Corp. 2,290,025 3,031,250 0.1
2,071,000 Centerior Energy Corp. 31,583,112 27,181,875 0.4
300,000 General Public Utilities Corp. 8,663,891 9,150,000 0.1
400,000 Long Island Lighting Co. 9,545,750 9,400,000 0.2
------------ ------------ ------
52,082,778 48,763,125 0.8
Utilities--Gas 77,100 Atmos Energy Corp. 1,445,257 2,255,175 0.0
126,900 Pacific Enterprises 2,486,131 2,855,250 0.1
40,800 South Jersey Industries, Inc. 711,756 963,900 0.0
------------ ------------ ------
4,643,144 6,074,325 0.1
Total Common Stocks, Notes & Warrants
in the United States 1,008,755,295 1,101,313,793 17.0
Total Investments in Common Stocks,
Notes & Warrants 1,931,275,568 2,269,134,332 35.0
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued) (in US dollars)
<CAPTION>
Shares Percent of
Industries Held Equity Closed-End Funds Cost Value Net Assets
<S> <S> <C> <S> <C> <C> <C>
Portugal Financial Services 39,500 Capital Portugal Fund $ 2,052,116 $ 3,231,407 0.1%
Total Equity Closed-End Funds in Portugal 2,052,116 3,231,407 0.1
United Financial Services 240,000 Austria Fund 2,017,632 2,700,000 0.0
States 166,666 European Warrant Fund 1,363,723 2,979,155 0.1
11,700 Global Yield Fund 89,798 95,063 0.0
300,100 Growth Fund of Spain, Inc. 2,630,827 3,676,225 0.1
150,000 Irish Investment Fund, Inc. 1,086,041 1,575,000 0.0
150,000 Italy Fund 1,195,520 1,856,250 0.0
25,600 Jakarta Growth Fund 158,080 323,200 0.0
40,000 Portugal Fund 360,368 615,000 0.0
------------ ------------ ------
Total Equity Closed-End Funds in the
United States 8,901,989 13,819,893 0.2
Total Investments in Equity
<PAGE> Closed-End Funds 10,954,105 17,051,300 0.3
<CAPTION>
Preferred Stocks
<S> <S> <C> <S> <C> <C> <C>
Germany Automobiles 30,150 Volkswagen of America, Inc. (Pfd.) 5,737,121 6,409,365 0.1
Multi-Industry 37,000 R.W.E. AG (Pfd.) 7,073,579 8,269,463 0.1
Total Preferred Stocks in Germany 12,810,700 14,678,828 0.2
Ireland Finance 3,532,277 CRH Capital PLC (Convertible Pfd.) 6,929,829 6,923,856 0.1
Total Preferred Stocks in Ireland 6,929,829 6,923,856 0.1
Spain Banking 225,000 Santander Overseas Bank (8% Pfd. Series D)
(ADR)++ 5,463,250 5,793,750 0.1
Total Preferred Stocks in Spain 5,463,250 5,793,750 0.1
United Engineering 750,000 AMEC PLC (6.50% Convertible Pfd.) 968,501 1,316,338 0.0
Kingdom
Retail Stores 545,000 Signet Group (Pfd.) (ADR)++ 2,194,907 4,632,500 0.1
Waste Disposal 1,700,000 Attwoods PLC (8.50% Convertible Pfd.) 2,417,796 2,907,194 0.0
Total Preferred Stocks in the
United Kingdom 5,581,204 8,856,032 0.1
United Airlines 100,000 AMR Corp. (Pfd. $3.00) 5,065,500 5,400,000 0.1
States 5,000 UAL Corp. (6.25% Convertible Pfd.) 471,875 512,500 0.0
150,000 USAir Group, Inc. (Pfd. $4.375, Series B) 7,940,250 7,912,500 0.1
------------ ------------ ------
13,477,625 13,825,000 0.2
Automobiles & Equipment 20,000 Ford Motor Co. (8.40% Convertible Pfd.,
Series A) 1,000,000 2,237,500 0.1
Banking 100,000 Fourth Financial Corp. (Convertible Pfd.,
Class A) 2,500,000 2,875,000 0.0
30,300 Marine Midland Banks, Inc. (Adj. Rate Pfd.,
Series A) 907,425 1,454,400 0.0
100,000 Onbancorp, Inc. (6.75% Convertible Pfd.,
Series B) 2,668,750 2,950,000 0.1
151,512 Riggs National Corp. (Convertible Pfd.) 3,819,050 4,318,092 0.1
------------ ------------ ------
9,895,225 11,597,492 0.2
<PAGE>
Computers 30,000 Dell Computer Corp. (Convertible Pfd.) 3,120,000 3,247,500 0.0
Energy & Petroleum 150,000 Grant Tensor Corp. (9.75% Convertible Pfd.) 1,853,375 1,443,750 0.0
64,219 Santa Fe Energy Resources, Inc. (7% Pfd.) 954,075 1,292,407 0.0
50,000 Tenneco Inc. (Convertible Pfd., Series P) 1,475,000 2,131,250 0.1
------------ ------------ ------
4,282,450 4,867,407 0.1
Energy & Related 535,700 Chiles Offshore Corp. (Convertible Pfd.) 13,357,068 12,990,725 0.2
Financial Services 175,000 A/S Eksportfinans (8.70% Pfd.) 4,377,500 4,812,500 0.1
Natural Resources 85,000 Alumax Inc. (Convertible Pfd.) 7,240,312 10,200,000 0.2
150,000 Cyprus Amax Minerals Co. (Convertible Pfd.) 9,188,313 10,687,500 0.2
20,000 Echo Bay Finance Ltd. (Pfd., Series A) 500,000 842,500 0.0
225,000 Freeport-McMoRan Copper & Gold Inc.
(Convertible Pfd. Shares) 5,357,250 5,821,875 0.1
219,000 Freeport-McMoRan Inc. (Convertible
Pfd.--Gold) 7,703,330 8,842,125 0.1
------------ ------------ ------
29,989,205 36,394,000 0.6
Paper & Forest Products 300,000 Boise Cascade Corp. (Convertible Pfd.) 6,337,500 7,575,000 0.1
Real Estate 500,000 Catellus Development Corp. (7.25% Conv.
Exchangeable Pfd., Series B) 25,000,000 25,062,500 0.4
Savings Banks 566,600 Glendale Federal Savings Bank
(Convertible Pfd., Series E) 14,194,337 14,235,825 0.2
Utilities--Electric 12,500 Gulf States Utilities Co. (8.52% Pfd.) 1,363,750 1,293,750 0.0
Total Preferred Stocks in the
United States 126,394,660 138,139,199 2.2
Total Investments in Preferred Stocks 157,179,643 174,391,665 2.7
<CAPTION>
Face
Amount Fixed-Income Securities
<S> <S> <C> <S> <C> <C> <C>
Canada Domtar, Inc. (2):
C$ 6,763,000 10.35% due 9/01/2006 4,014,962 4,999,050 0.1
3,500,000 10% due 4/15/2011 1,938,573 2,507,920 0.0
Mark Resources Inc., Convertible Bonds (5):
7,250,000 7% due 4/15/2002 5,052,564 5,030,925 0.1
6,450,000 8% due 11/30/2004 4,867,566 4,889,312 0.1
Olympia & York Inc. (4):
57,194,000 Series 1, 10.70% due 11/04/1995 29,626,733 29,766,073 0.4
34,000,000 Series 2, 11% due 11/04/1998 18,060,242 17,694,977 0.3
14,500,000 Talisman Energy, Convertible Bonds, 8.50%
due 12/01/2000 (26) 11,040,982 11,182,871 0.2
Total Fixed-Income Securities in Canada 74,601,622 76,071,128 1.2
Denmark Dkr 200,000,000 Kingdom of Denmark, 8% due 5/15/2003 (1) 32,615,197 33,697,311 0.5
Total Fixed-Income Securities in Denmark 32,615,197 33,697,311 0.5
</TABLE>
<PAGE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued) (in US dollars)
<CAPTION>
Face Percent of
Amount Fixed-Income Securities Cost Value Net Assets
<S> <S> <C> <S> <C> <C> <C>
European ECU 9,250,000 Banco Commercial Portugues, Convertible
Currency Units Bonds, 8.75% due 5/21/2002 (3) $ 12,192,757 $ 13,577,178 0.2%
2,000,000 Credit Local de France,
5.894% due 10/16/2001 (4) (b) 1,428,645 1,435,433 0.0
25,000,000 Government of France, 8.25% due
4/25/2022 (1) 30,487,536 33,751,098 0.5
1,000,000 Investor International Placements,
Convertible Bonds, 7.25% due
6/21/2001 (4) 1,001,412 1,294,792 0.0
7,000,000 SKF--AB Lyons, Convertible Bonds,
7.356% due 7/26/2002 (5) (b) 4,532,049 4,219,236 0.1
Total Fixed-Income Securities in
European Currency Units 49,642,399 54,277,737 0.8
Finland Fmk 75,000,000 Republic of Finland, 11% due 1/15/1999 (1) 14,754,836 16,588,417 0.3
Total Fixed-Income Securities in Finland 14,754,836 16,588,417 0.3
France Frf 4,500 Compagnie Generale des Eaux, Convertible
Bonds, 6% due 1/01/1998 (7) 2,467,248 2,681,872 0.1
20,000 IBM Finance, 5.75% due 1/01/1998 (5) 1,436,923 1,465,809 0.0
Total Fixed-Income Securities in France 3,904,171 4,147,681 0.1
Germany DM 7,000,000 Bundesrepublik Deutscheland, 6.25% due
2/20/1998 (1) 3,605,437 4,181,097 0.1
2,310,000 Commerzbank AG, Floating Rate Convertible
Bonds, 0% due 6/15/2001 (3) (b) 1,556,456 2,167,325 0.0
90,000,000 Land Hessen, 6% due 11/29/2013 (43) 51,965,935 51,709,279 0.8
5,000,000 Nordrhein-Westfalen, 6.125%
due 12/21/2018 (42) 2,914,261 2,900,029 0.0
20,000,000 Sachsen-Anhalt, 6% due 1/10/2014 (42) 11,457,852 11,404,769 0.2
Total Fixed-Income Securities in Germany 71,499,941 72,362,499 1.1
Italy Softe SA-LUX (8):
Lit 6,000,000,000 4.25% due 7/30/1998 3,976,295 4,211,768 0.1
5,160,000,000 (Cum Warrants), 8.75% due 3/24/1997 (a) 3,935,572 7,229,022 0.1
10,300,000,000 (Ex-Warrants), 8.75% due 3/24/1997 (a) 6,913,371 6,030,232 0.1
Total Fixed-Income Securities in Italy 14,825,238 17,471,022 0.3
<PAGE>
Japan Yen 2,850,000,000 Glaxo Holdings PLC, Convertible Bonds,
4.30% due 9/28/1998 (9) 25,735,735 27,262,693 0.4
650,000,000 Hankyu Corp., Convertible Bonds, 1.25%
due 9/30/1998 (20) 5,829,555 5,933,821 0.1
1,090,000,000 Hokkaido Coca-Cola Bottling Co., Ltd.,
Convertible Bonds, 0.90% due 6/30/1995 (41) 11,126,237 10,025,754 0.1
1,063,000,000 Matsushita Electric Works, Convertible
Bonds, 2.70% due 5/31/2002 (23) 10,340,262 11,977,327 0.2
535,000,000 Toyota Motor Corp., Convertible Bonds,
1.20% due 1/28/1998 (10) 3,311,798 5,265,361 0.1
Total Fixed-Income Securities in Japan 56,343,587 60,464,956 0.9
New Zealand NZ$ 3,000,000 Brierly Investments Ltd., Convertible
Notes, 9.00% due 6/30/1998 1,832,476 2,247,696 0.1
2,000,000 Natural Gas Corp. Holdings, Convertible
Bonds, 10.50% due 10/14/1997 (7) 1,186,318 2,009,304 0.0
Total Fixed-Income Securities in
New Zealand 3,018,794 4,257,000 0.1
Spain Pta 605,000,000 Banco de Santander, Convertible Bonds, 9%
due 6/24/1994 (3) 4,603,421 5,765,497 0.1
Government of Spain (1):
600,000,000 11.60% due 1/15/1997 5,013,855 4,733,310 0.1
6,000,000,000 10.25% due 11/30/1998 46,766,349 47,628,073 0.7
7,500,000,000 11.30% due 1/15/2002 70,028,259 64,424,653 1.0
------------ ------------ ------
121,808,463 116,786,036 1.8
Total Fixed-Income Securities in Spain 126,411,884 122,551,533 1.9
Switzerland Chf 1,500,000 American Medical International, Inc., 5%
due 3/18/1996 (11) 493,386 1,003,250 0.0
4,010,000 Chrysler Financial Corp., 5.75%
due 6/18/1996 (4) 1,914,011 2,809,058 0.1
1,401,000 Ciba-Geigy AG, Convertible Bonds, 2%
due 8/09/1998 (1) 1,178,587 1,418,734 0.0
3,020,000 News International, 5.375% due
4/30/1996 (13) 1,115,703 2,094,886 0.0
Total Fixed-Income Securities in
Switzerland 4,701,687 7,325,928 0.1
United Kingdom Pound 3,750,000 Blue Circle, Convertible Bonds, 10.50%
Sterling due 6/21/2005 (15) 7,147,695 8,044,286 0.1
13,450,000 Elf Enterprises Finance PLC, Convertible
Bonds, 8.75% due 6/27/2006 (4) 23,198,034 21,588,689 0.3
4,875,000 English China Clays PLC, Convertible Bonds,
6.50% due 9/30/2003 (14) 8,364,034 8,190,546 0.1
5,250,000 Hanson PLC, Convertible Bonds, 9.50%
due 1/31/2006 (5) 9,953,589 9,923,162 0.2
500,000 Land Securities PLC, Convertible Bonds,
6.75% due 12/31/2002 (25) 679,603 840,056 0.0
1,000,000 RMC Capital Ltd., Convertible Bonds, 8.75%
due 5/31/2006 (14) 1,755,430 2,137,643 0.0
3,250,000 Redland Capital PLC, Convertible Bonds,
7.25% due 1/28/2002 (15) 5,382,804 5,801,637 0.1
7,600,000 Sainsbury (J) PLC, Convertible Bonds, 8.50%
due 11/19/2005 (4) 14,658,904 15,049,003 0.2
5,000,000 Tate & Lyle International, 5.75%
due 3/21/2001 (19) 6,515,103 6,994,216 0.1
Total Fixed-Income Securities in the
United Kingdom 77,655,196 78,569,238 1.1
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued) (in US dollars)
<CAPTION>
Face Percent of
Amount Fixed-Income Securities Cost Value Net Assets
<S> <S> <C> <S> <C> <C> <C>
United States US$ 3,490,000 AEGON N.V., 7% due 9/15/2001 (16) $ 4,475,299 $ 5,095,400 0.1%
ARA Group, Inc. (35):
7,490,000 12% due 4/15/2000 8,408,204 8,313,900 0.1
26,947,000 12.50% due 7/15/2001 29,785,207 29,102,760 0.4
22,500,000 Alexander Haagen Properties Inc.,
Exchangeable Debentures, 7.25% due
12/27/2003 (4) 22,500,000 22,050,009 0.3
35,000,000 Allison Engine, Inc. 10% due
12/01/2003 (5) 35,498,125 36,050,000 0.6
23,000,000 Allnet Communication Services, 9%
due 5/15/2003 (8) 22,998,272 23,690,000 0.4
3,087,500 American Medical International, Inc.,
6.50% due 5/30/1997 (11) 2,578,063 3,056,625 0.0
27,450,000 Baldwin Co., 10.375% due 8/01/2003 (14) 27,352,437 27,587,250 0.4
25,000,000 Banco de Galicia, 9% due 11/01/2003 (3) 24,895,640 25,656,250 0.4
50,000,000 Banco Rio de la Plata (Class 3), 8.50%
due 7/15/1998 (14) 50,689,375 51,750,000 0.8
319,000 Bankers Trust Co., Convertible Bonds,
7.625% due 6/01/2033 (3) 7,620,125 8,134,500 0.1
8,000,000 Best Buy Company Inc., 8.625%
due 10/01/2000 (5) 8,015,000 8,060,000 0.1
7,370,000 Boise Cascade Corp., 9.45% due
11/01/2009 (5) 8,024,087 8,070,150 0.1
34,000,000 Bridge Oil (USA), 9.50% due 8/15/2000 (12) 34,032,500 34,170,000 0.5
CTC Mansfield Funding Corp. (42):
15,000,000 10.25% due 3/30/2003 15,600,000 15,712,500 0.2
12,000,000 11.125% due 9/30/2016 12,820,000 12,930,000 0.2
<PAGE> 4,000,000 Card Establishment Services, Inc., 10%
due 10/01/2003 (4) 4,000,000 4,230,000 0.1
10,000,000 Centerpoint Properties Corp.,
Convertible Bonds, 8.22% due 1/15/2004 (4) 10,000,000 10,100,000 0.2
7,200,000 Cetus (Chiron) Corp., Convertible Bonds,
5.25% due 5/21/2002 (17) 5,220,250 7,056,000 0.1
30,000,000 Collaterized Investment Co. Notes VI, 4.50%
due 7/01/1994 (25) 30,000,000 30,000,000 0.5
1,419,300 Charter Medical Corp., 7.50%
due 3/25/2001 (18) 1,138,988 1,376,721 0.0
Ciba-Geigy Corp. (9):
4,445,000 5.50% due 10/28/1998 (Warrants) (a) 5,040,775 6,000,750 0.1
24,945,000 6.25% due 3/15/2016 25,632,050 26,129,887 0.4
Cleveland Electric Illuminating Co.
Inc. (7):
5,000,000 9.30% due 7/26/1999 5,437,500 5,437,500 0.1
12,500,000 9.25% due 7/29/1999 13,562,500 13,562,500 0.2
7,500,000 7.625% due 8/01/2002 7,462,500 7,462,500 0.1
5,000,000 7.375% due 6/01/2003 4,700,000 4,825,000 0.1
Columbia Gas System, Inc. (26):
2,000,000 9% due 8/01/1993 2,326,250 2,420,000 0.0
6,500,000 7.50% due 6/01/1997 6,808,750 7,109,375 0.1
4,700,000 10.25% due 8/01/2011 5,340,375 5,898,500 0.1
10,000,000 10.50% due 6/01/2012 11,225,000 12,400,000 0.2
5,000,000 10.15% due 11/01/2013 5,562,500 6,225,000 0.1
4,000,000 9.50% due 10/10/2019 4,310,000 4,880,000 0.1
4,000,000 Congoleum Corp., 9% due 2/01/2001 (5) 4,000,000 4,045,000 0.1
17,000,000 Consoltex Group, Inc., 11% due
10/01/2003 (5) 17,030,000 17,510,000 0.3
8,725,000 Continental Cablevision, Inc., 12.875%
due 11/01/2004 (36) 9,793,812 9,684,750 0.2
24,500,000 Crossland Federal Savings Bank, 9%
due 9/01/2003 (3) 25,071,750 25,725,000 0.4
20,000,000 Crown Packaging Ltd., 10.75%
due 11/01/2000 (5) 20,000,000 20,850,000 0.3
7,500,000 DalTile International, Inc. 10.597%
due 7/15/1998 (15) (b) 4,433,714 4,734,375 0.1
28,500,000 Dell Computer Corp., 11% due
8/15/2000 (37) 28,540,000 30,067,500 0.5
Delta Airlines, Inc. (20):
8,000,000 Series A2, 9.20% due 9/23/2014 7,370,000 8,040,000 0.1
8,000,000 10.06% due 1/02/2016 8,005,000 8,680,000 0.1
24,000,000 Dominion Textile, 8.875% due
11/01/2003 (38) 23,881,920 23,940,000 0.4
EUA Power Corp. (7):
1,000,000 Series B, 17.50% due 5/15/1993 475,000 165,000 0.0
3,157,600 Series C, 17.50% due 11/15/1992 1,915,790 521,004 0.0
30,000,000 Eagle Food Centers, 8.625%
due 4/15/2000 (33) 29,972,337 29,775,000 0.5
8,500,000 Eletson Holdings Inc., 9.25%
due 11/15/2003 (20) 8,537,500 8,797,500 0.1
El Paso Electric Co. (7):
3,050,000 9.20% due 7/21/1997 2,501,000 2,607,750 0.0
23,000,000 10.375% due 1/02/2011 19,600,000 19,780,000 0.3
59,950,000 10.75% due 4/01/2013 51,355,500 51,257,250 0.8
<PAGE> 30,000,000 First Union Real Estate, 8.875%
due 10/01/2003 (32) 29,756,100 29,850,000 0.5
22,500,000 Four Seasons Hotel, 9.125% due
7/01/2000 (6) 22,489,375 21,825,000 0.3
50,000,000 General Electric Capital Corp., 3.55%
due 1/19/1995 (4) 49,969,000 49,950,000 0.8
HIH Capital Ltd., Convertible Bonds (14):
470,000 (Bearer), 7.50% due 9/25/2006 394,800 385,400 0.0
2,000,000 7.50% due 9/25/2006 1,665,000 1,640,000 0.0
12,500,000 Harris Chemical, 9.193% due 7/15/2001
(34) (b) 10,093,050 10,906,250 0.2
7,750,000 Horace Mann Educators, Inc., Convertible
Bonds, 4% due 12/01/1999 (31) 7,682,500 7,905,000 0.1
3,550,000 Hospital Corp. of America, 6.434% due
6/01/1998 (11) (b) 2,392,186 2,698,000 0.0
77,000,000 International Semi-Tech Microelectronics
Inc., 10.284% due 8/15/2003 (14) (b) 36,523,700 41,195,000 0.6
23,000,000 K. Hovnanian Enterprises, 9.75%
due 6/01/2005 (30) 22,910,700 23,805,000 0.4
9,022,988 Kearny Street Real Estate, 4.15%
due 7/15/2000 (32) 9,040,340 9,022,988 0.1
7,500,000 LTC Properties, Convertible Bonds, 9.75%
due 7/01/2004 (25) 7,500,000 9,562,500 0.2
10,000,000 Lomas Mortgage USA, Inc., 9.75%
due 10/01/1997 (25) 10,000,000 10,450,000 0.2
25,000,000 MDC Holdings, Inc., 11.125%
due 12/15/2003 (5) 24,709,000 25,625,000 0.4
5,000,000 Marcus Cable, 11.875% due 10/01/2005 (8) 5,084,000 5,300,000 0.1
10,500,000 Mediq/PRN Senior Notes, 11.125%
due 7/01/1999 (22) 10,925,000 11,130,000 0.2
Meditrust, Convertible Bonds (25):
6,000,000 7% due 3/01/1998 6,035,000 6,360,000 0.1
3,000,000 9% due 1/01/2002 3,000,000 3,600,000 0.1
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued) (in US dollars)
<CAPTION>
Face Percent of
Amount Fixed-Income Securities Cost Value Net Assets
<S> <S> <C> <S> <C> <C> <C>
United States US$ 10,000,000 Methanex Corp., 8.875% due
11/15/2001 (5) $ 10,027,400 $ 10,475,000 0.2%
5,000,000 Mid-Atlantic Realty Trust, 7.625% due
9/15/2003 (4) 4,875,000 4,850,000 0.1
12,500,000 Nacolah Holding Corp., 9.50% due
12/01/2003 (4) 12,500,000 12,906,250 0.2
23,000,000 Nationwide Health Properties Inc., 6.25%
due 1/01/1999 (5) 23,000,000 23,460,000 0.4
5,000,000 Navistar Financial, 9.50% due
6/01/1996 (4) 4,270,000 5,212,500 0.1
12,000,000 Nextel Communications Inc., 9.668%
due 9/01/2003 (8) (b) 7,075,674 8,340,000 0.1
8,000,000 Noble Drilling Corp., 9.25%
due 10/01/2003 (12) 8,000,000 8,280,000 0.1
<PAGE> 1,000,000 Novacare, Inc., 5.50% due 1/15/2000 (11) 857,500 940,000 0.0
20,000,000 OMI Corp., 10.25% due 11/01/2003 (20) 20,000,000 20,700,000 0.3
14,000,000 OSI Specialities Corp., 9.25%
due 10/01/2003 (5) 14,000,000 14,420,000 0.2
PDV America (14):
35,000,000 7.25% due 8/01/1998 34,856,150 35,700,000 0.6
10,000,000 7.75% due 8/01/2000 10,062,500 10,387,500 0.2
4,550,000 P.T. Indorayon, 5.50% due 10/01/2002 (2) 5,278,500 5,869,500 0.1
3,900,000 P.T. Pabrik Kertas Tjiwa Kimia,
Convertible Bonds, 7.25% due
4/12/2001 (2) 2,923,000 4,056,000 0.1
21,750,000 Paracelsus Healthcare Corp., 9.875%
due 10/15/2003 (18) 21,881,875 22,293,750 0.3
45,000,000 Penn Traffic Co., 8.625% due
12/15/2003 (5) 44,876,400 45,112,500 0.7
6,500,000 Petrolera Argentina San Jorge S.A., 11%
due 2/09/1998 (26) 6,278,750 6,800,000 0.1
9,545,000 Phoenix Home Life-Mutual Insurance Co.,
8% due 11/25/2023 (31) 9,545,000 9,568,862 0.1
30,500,000 Plastic Specialties, 11.25%
due 12/01/2003 (5) 30,540,000 31,720,000 0.5
Presidio Oil Co. (26):
25,062,500 11.50% due 9/15/2000 25,683,750 25,986,680 0.4
6,750,000 14.05% due 7/15/2002 5,191,500 7,020,000 0.1
12,000,000 Price Co., Convertible Bonds, 5.50%
due 2/28/2012 (14) 11,213,250 11,790,000 0.2
8,000,000 Public Service of New Mexico, 10.30%
due 1/15/2014 (7) 8,080,000 8,100,000 0.1
23,000,000 Public Service of New Mexico, EIP
Funding, 10.25% due 10/01/2012 (7) 23,000,000 22,540,000 0.3
18,000,000 Public Service of New Mexico Lease
Obligation, First PV Funding,
Convertible Bonds, 10.15% due
1/15/1996 (7) 17,128,125 18,225,000 0.3
8,000,000 Pueblo Xtra, 9.50% due 8/01/2003 (22) 8,010,125 8,150,000 0.1
15,000,000 RJR Nabisco Holdings, Inc., 15%
due 5/15/2001 (39) (c) 17,600,000 17,025,000 0.3
24,658,990 RTC Commercial Mortgage, 8.25%
due 12/25/2000 (3) 24,281,399 24,289,105 0.4
5,000,000 Regency Health, Convertible Bonds, 6.50%
due 1/15/2003 (18) 5,000,000 6,325,000 0.1
5,000,000 Republic of Argentina, 4.312%
due 3/31/2023 (1) 3,881,250 4,350,000 0.1
Resolution Trust Co. (21) (f):
2,000,000 Class 2, 6.50% due 3/15/2003 1,931,250 1,980,000 0.0
8,000,000 Class 3, 9% due 3/15/2003 7,575,000 7,920,000 0.1
7,500,000 N2 Class 3, 8.75% due 3/15/2003 7,209,375 7,425,000 0.1
3,000,000 Roosevelt Financial Group, Inc., 9.50%
due 8/01/2002 (27) 3,000,000 3,157,500 0.0
27,882,000 Salant Corp., Secured, 10.50%
due 12/31/1998 (38) 27,324,360 27,882,000 0.4
<PAGE> 10,075,000 Sequa Corp., 9.625% due 10/15/1999 (14) 9,874,312 10,578,750 0.2
28,000,000 Sherritt Gordon Ltd., 9.75%
due 4/01/2003 (29) 28,124,375 29,190,000 0.5
5,000,000 Siemens Corp., 8% due 6/24/2002 (9) 6,536,250 7,050,000 0.1
29,500,000 Sifto Canada, Inc., 8.50% due
7/15/2000 (5) 29,571,875 30,016,250 0.5
5,500,000 Sizeler Properties, Convertible Bonds,
8% due 7/15/2003 (24) 5,505,000 5,527,500 0.1
5,000,000 Ssangyong Oil Corp., 3.75% due
12/31/2008 (12) 5,330,750 6,512,500 0.1
26,000,000 Stone Consolidated Corp., 10.25%
due 12/15/2000 (40) 26,000,000 27,105,000 0.4
Stone Container Corp. (2):
5,000,000 12.625% due 7/15/1998 5,256,250 5,412,500 0.1
2,000,000 11.875% due 12/01/1998 2,062,500 2,150,000 0.0
5,500,000 Storer Communications Inc., 10%
due 5/15/2003 (8) 5,538,500 5,541,250 0.1
18,250,000 Texfi Industries, 8.75% due
8/01/1999 (39) 17,930,300 17,246,250 0.3
Toledo Edison Co. (42):
2,000,000 9.30% due 4/01/1998 2,130,000 2,150,000 0.0
15,425,000 7.25% due 8/01/1999 15,425,000 15,347,875 0.2
3,000,000 9.50% due 4/01/2001 3,221,250 3,255,000 0.1
2,000,000 7.91% due 4/01/2003 1,992,500 2,000,000 0.0
12,500,000 Transtexas Gas Corp., 10.50%
due 9/01/2000 (12) 12,500,000 13,312,500 0.2
2,220,000 Tung Ho Steel Enterprise, Convertible
Bonds, 4% due 7/26/2001 (24) 2,243,700 2,664,000 0.0
33,200,000 Turner Broadcasting Co., 12%
due 10/15/2001 (14) 36,849,138 35,939,000 0.6
United Mexican States Discount
Notes (1):
33,000,000 5% due 3/31/2008 30,484,375 32,422,500 0.5
17,000,000 4.187% due 12/31/2019 15,700,000 15,682,500 0.2
USAir, Inc. (28):
4,644,818 9.33% due 1/01/2006 4,529,163 4,609,982 0.1
8,000,000 10.375% due 3/01/2013 8,000,000 8,320,000 0.1
7,500,000 USAir Pass Thru, 9.625% due
9/01/2003 (28) 7,495,625 7,650,000 0.1
5,475,000 US Trails Senior Secured, 12%
due 7/15/1998 (4) 4,433,125 4,516,875 0.1
6,000,000 USX-Marathon Oil Co., 7% due
6/15/2017 (12) 5,650,000 5,670,000 0.1
5,875,000 Veba International Finance
(Warrants), 6% due 4/06/2000 (4) (a) 7,083,300 9,128,281 0.1
20,430,700 Vista Properties, 13.75%
due 10/31/2001 (25) (c) 10,734,375 7,763,666 0.1
10,000,000 Webb (Del E.) Corp., 9.75%
due 3/01/2003 (30) 10,200,000 10,150,000 0.2
-------------- ------------- ------
1,773,071,642 1,822,102,670 28.2
<PAGE>
US Government & 75,000,000 US Treasury Bonds, 10.50%
due 8/15/1995 (1) 84,257,812 82,382,850 1.3
Agency Obligations
Total Fixed-Income Securities in the
United States 1,857,329,454 1,904,485,520 29.5
Total Investments in Fixed-Income
Securities 2,387,304,006 2,452,269,970 37.9
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (concluded) (in US dollars)
<CAPTION>
Face Percent of
Amount Short-Term Securities Cost Value Net Assets
<S> <S> <C> <S> <C> <C> <C>
United States
Commercial Paper* US$ 50,000,000 American Express Co., 3.05%
due 3/03/1994 $ 49,872,917 $ 49,872,917 0.8%
11,237,000 Certificate of Deposit, Time Deposit,
3.062% due 2/28/1994 11,237,000 11,237,000 0.2
Ciesco L.P.:
50,000,000 3.18% due 2/09/1994 49,964,667 49,964,667 0.8
50,000,000 3.14% due 2/17/1994 49,930,222 49,930,222 0.8
Corporate Asset Funding, Inc.:
50,000,000 3.07% due 2/10/1994 49,961,625 49,961,625 0.8
40,000,000 3.06% due 3/07/1994 39,884,400 39,884,400 0.6
50,000,000 Daimler-Benz AG, 3.05% due 2/28/1994 49,885,625 49,885,625 0.8
du Pont (EI) de Nemours:
40,000,000 3.02% due 3/23/1994 39,832,222 39,832,222 0.6
50,000,000 3.02% due 3/25/1994 49,781,889 49,781,889 0.7
50,000,000 Federal Home Loan Bank, 3.01%
due 3/16/1994 49,820,236 49,820,236 0.7
113,463,000 General Electric Capital Corp., 3.15%
due 2/01/1994 113,463,000 113,463,000 1.8
Goldman Sachs & Co.:
50,000,000 3.15% due 2/01/1994 50,000,000 50,000,000 0.8
50,000,000 3.05% due 2/24/1994 49,902,569 49,902,569 0.8
Matterhorn Capital Corp.:
55,000,000 3.14% due 2/04/1994 54,985,608 54,985,608 0.8
44,000,000 3.06% due 2/23/1994 43,917,720 43,917,720 0.7
50,000,000 Metlife Funding, Inc., 3.05% due 3/01/1994 49,881,389 49,881,389 0.7
45,000,000 Nestle Capital Corp., 3.05% due 2/11/1994 44,962,125 44,962,125 0.7
PepsiCo., Inc.:
50,000,000 3.05% due 2/28/1994 49,885,625 49,885,625 0.8
55,000,000 3.06% due 3/04/1994 54,855,075 54,855,075 0.8
50,000,000 3.04% due 3/07/1994 49,856,444 49,856,444 0.8
Preferred Receivables Funding Corp.:
50,000,000 3.10% due 2/18/1994 49,926,806 49,926,806 0.8
50,000,000 3.07% due 2/23/1994 49,906,194 49,906,194 0.8
Sanwa Business Credit Corp.:
20,000,000 3.09% due 3/17/1994 19,924,467 19,924,467 0.3
11,000,000 3.09% due 3/22/1994 10,953,736 10,953,736 0.1
<PAGE> 50,000,000 Sheffield Receivables Corp., 3.08%
due 2/18/1994 49,927,278 49,927,278 0.8
Siemens Corp.:
50,000,000 3.04% due 2/25/1994 49,898,667 49,898,667 0.8
30,000,000 3.03% due 3/04/1994 29,921,725 29,921,725 0.4
20,015,000 USAA Capital Corp., 3.19% due 2/08/1994 20,002,585 20,002,585 0.3
Unilever Capital Corp.:
50,000,000 3.025% due 2/22/1994 49,911,771 49,911,771 0.8
20,000,000 3% due 3/01/1994 19,953,333 19,953,333 0.3
Total Investments in Commercial Paper 1,352,206,920 1,352,206,920 20.9
US Government 50,000,000 Federal Farm Credit, 3.12% due 2/07/1994 49,974,000 49,974,000 0.8
& Agency Federal National Mortgage Association:
Obligations* 50,000,000 3.10% due 2/01/1994 50,000,000 50,000,000 0.8
20,000,000 3.11% due 2/15/1994 19,975,811 19,975,811 0.3
50,000,000 3.01% due 3/18/1994 49,811,875 49,811,875 0.7
-------------- -------------- ------
119,787,686 119,787,686 1.8
Total Investments in US Government &
Agency Obligations 169,761,686 169,761,686 2.6
Total Investments in Short-Term
Securities 1,521,968,606 1,521,968,606 23.5
Total Investments $6,008,681,928 6,434,815,873 99.4
==============
Unrealized Depreciation on Forward Foreign Exchange Contracts** (8,969,296) (0.1)
Variation Margin on Stock Index Futures Contracts*** 300,000 0.1
Other Assets Less Liabilities 41,661,643 0.6
-------------- ------
Net Assets $6,467,808,220 100.0%
============== ======
Net Asset Class A--Based on net assets of $1,115,301,302
and 81,580,335 shares outstanding $ 13.67
Value: ==============
Class B--Based on net assets of $5,352,506,918
and 395,265,426 shares outstanding $ 13.54
==============
<FN>
(a) Warrants entitle the Fund to purchase a predetermined number of shares
of stock/face amount of bonds at a predetermined price until the expira-
tion date.
(b) The interest rate shown represents the yield-to-maturity on this zero
coupon issue.
(c) Represents a pay-in-kind security.
(d) The rights may be exercised until 2/10/1994.
(e) The rights may be exercised until 3/16/1994.
(f) Subject to principal paydowns as a result of prepayments or refinancings
of the underlying mortgage instruments. As a result, the average life may
be less than the original maturity.
<PAGE>
Corresponding industry groups for fixed-income securities:
(1) Government
(2) Paper & Forest Products
(3) Banking
(4) Financial
(5) Industrial
(6) Leisure
(7) Utilities--Electric
(8) Telecommunications
(9) Pharmaceutical
(10) Automobiles & Equipment
(11) Hospital Management
(12) Oil & Related
(13) Newspaper/Publishing
(14) Multi-Industry
(15) Building Materials
(16) Electrical Equipment
(17) Biotechnology
(18) Healthcare
(19) Food
(20) Transportation
(21) Asset-Backed Security
(22) Supermarkets
(23) Electronics
(24) Metals
(25) Real Estate Investment Trust
(26) Energy Related
(27) Savings Bank
(28) Airlines
(29) Resources
(30) Building & Construction
(31) Insurance
(32) Real Estate
(33) Advertising
(34) Chemicals
(35) Commercial Services
(36) Broadcasting
(37) Computers
(38) Textiles
(39) Food & Tobacco
(40) Packaging & Containers
(41) Beverages
(42) Government Regional
<PAGE>
++American Depositary Receipt (ADR).
++++Global Depositary Shares (GDS).
*Commercial Paper and US Government & Agency Obligations are traded on a
discount basis; the interest rates shown are the discount rates paid at the time
of purchase by the Fund.
**Forward foreign exchange contracts as of January 31, 1993 were as follows:
Unrealized
Expiration Appreciation
Foreign Currency Sold Date (Depreciation)
Chf 40,000,000 February 1994 $ (301,823)
Chf 32,000,000 March 1994 (114,718)
DM 12,000,000 February 1994 (49,779)
DM 101,000,000 March 1994 236,683
Dkr 100,000,000 February 1994 (124,728)
Dkr 50,000,000 March 1994 (12,530)
ECU 30,000,000 February 1994 (129,690)
Pta 15,860,000,000 February 1994 (861,072)
Frf 185,000,000 February 1994 (84,924)
Pound Sterling 28,500,000 February 1994 (396,422)
Yen 9,100,000,000 February 1994 (2,671,159)
Yen 24,200,000,000 March 1994 (4,413,975)
Nlg 20,000,000 February 1994 (8,377)
Nlg 75,000,000 March 1994 (36,782)
-------------
Total (US$ Commitment--$702,331,458) (8,969,296)
-------------
Total Unrealized Depreciation--Net On
Forward Foreign Exchange Contracts $ (8,969,296)
=============
***Financial futures contracts purchased as of January 31, 1994 were as follows:
Number of Expiration
Contracts Issue Date Value
200 Standard & Poor's 500 Index March 1994 $ 48,170,000
Total Financial Futures Contracts Purchased
(Total Contract Price--$46,456,425) $ 48,170,000
============
Financial futures contracts sold as of January 31, 1994 were as follows:
Number of Expiration
Contracts Issue Date Value
800 US Treasury Bonds March 1994 $(91,450,000)
Total Financial Futures Contracts Sold
(Total Contract Price--$90,196,875) $(91,450,000)
=============
The market value of pledged securities is $28,170,625.
<PAGE>
PORTFOLIO CHANGES
For the Quarter Ended January 31, 1994
Additions
ARA Group Inc., 12% due 4/15/2000
Aegon N.V.
Alexander Haagen Properties Inc.,
Exchangeable Debentures, 7.25%
due 12/27/2003
Allison Engine, Inc., 10% due 10/01/2003
Alumax Inc. (Convertible Pfd.)
BTR PLC (Warrants) (Exp. 1998)
Barnett Banks Inc.
Bayerische Vereinsbank AG (Rights)
Best Buy Company Inc., 8.625%
due 10/01/2000
Boise Cascade Corp., 9.45% due 11/01/2009
Borland International Corp.
Brierly Investments Ltd.
CRH Capital PLC (Convertible Pfd.)
CTC Mansfield Funding Corp.:
10.25% due 3/30/2003
11.125% due 9/30/2016
Centerpoint Properties Corp., Convertible
Bonds, 8.22% due 1/15/2004
*Chevy Chase Savings Bank,
9.25% due 12/01/2005
Cleveland Electric Illuminating Co. Inc.:
9.25% due 7/29/1999
9.30% due 7/26/1999
7.625% due 8/01/2002
7.375% due 6/01/2003
Columbia Gas System, Inc., 9% due 8/01/1994
Congoleum Corp., 9% due 2/01/2001
CoreStates Financial Corp.
Cyprus Amax Minerals Co. (Convertible Pfd.)
Dell Computer Corp.
Eletson Holdings Inc., 9.25% due 11/15/2003
El Paso Funding Corp., 9.20% due 7/21/1997
EuraFrance (Rights)
First Commerce Corp.
Freeport-McMoRan Copper & Gold Inc.
(Convertible Pfd.)
Freeport-McMoRan Inc. Convertible Pfd.
General Electric Capital Corp.,
3.55% due 1/19/1995
Gerrity Oil & Gas Corp.
Government of Spain, 10.25% due 11/30/1998
Hankyu Corp., Convertible Bonds,
1.25% due 9/30/1998
IBM Finance, 5.75% due 1/01/1998
Inco Ltd.
KeyCorp.
Land Hessen, 6% due 11/29/2013
Long Island Lighting Co.
MDC Holdings Inc., 11.125% due 12/15/2003
<PAGE>
Mark Resources Inc., Convertible Bonds:
7% due 4/15/2002
8% due 11/30/2004
Maruichi Steel Tube Ltd.
Methanex Corp., 8.875% due 11/15/2001
Metrovacesa (New Shares)
Mid-Atlantic Realty Trust, 7.625%
due 9/15/2003
Montedison S.p.A.
Murata Manufacturing Co., Ltd.
Nacola Holding, 9.50% due 12/01/2003
Nationwide Health Properties Inc.,
6.25% due 1/01/1999
Nordrhein-Westfalen, 6.125% due 12/21/2018
Outokumpu OY
Penn Traffic Co., 8.625% due 12/15/2003
Phillips N.V.
Phoenix Home Life-Mutual Insurance Co.,
8% due 11/25/2023
Public Service of New Mexico,
10.30% due 1/15/2014
Republic of New York Corp.
*Rhone Poulenc Rorer Group, Inc.
*Riggs National Bank, 8.50% due 2/01/2006
Sachsen-Anhalt, 6% due 1/10/2014
Sainsbury (J) PLC, Convertible Bonds,
8.50% due 11/19/2005
Stone Consolidated Corp.,
10.25% due 12/15/2000
Stone Container Corp.:
12.625% due 7/15/1998
11.875% due 12/01/1998
Storer Communications Inc.,
10% due 5/15/2003
Sumitomo Electric Industries
Taihei Dengyo Industries
Tesco PLC
Toledo Edison Co.,
9.30% due 4/01/1998
7.25% due 8/01/1999
9.50% due 4/01/2001
7.91% due 4/01/2003
Unisys Corp.
USAir Inc., 9.33% due 1/01/2006
The Vons Companies, Inc.
Webb (Del. E) Corp., 9.75% due 3/01/2003
<PAGE>
Deletions
Alusuisse-Lonza Holdings (Registered)
Amax Inc. (Convertible Pfd.)
Autopista Espana (ACESA) (New Shares)
BICC PLC
Bell Industries, Inc.
Big Bear Stores Co., 13.75% due 6/15/1999
Brazil Investment Bonds, 6% due 9/15/2013
Carter Holt Harvey Financial, Ltd.
(Ex-Warrants), 5.875% due 10/16/2001
Catellus Development (7.50% Pfd.)
*Chevy Chase Savings Bank,
9.25% due 12/01/2005
Christian Dior S.A.
Clark R&M Holdings, 10.50% due 2/15/2000
Cordis Corp.
Dime Savings Bank (Convertible Pfd.)
Empresa Nacional de Electricidad S.A. (ADR)
Energie Versorgung Niederoesterreich
AG (EVN)
English China Clay Group (ECC)
Espirito Santo Financial Holding Co. (ADR) EuroDisney,
S.C.A. Convertible Bonds,
6.75% due 10/01/2001
Forte PLC
Gap, Inc. (The)
Government of France, 8.50% due 4/25/2023
Government of Italy (Euro-Sterling),
10.50% due 4/28/2014
Government of Spain, 10.90% due 8/30/2003
Grand Union Co., 11.375% due 2/15/1999
Hillhaven Corp., 10.125% due 9/01/2001
Irish Life PLC
Italgas Sud S.p.A.
Jones Apparel Group N.Y.
Kroger Co. (The), 8.50% due 6/15/2003
LASMO, Convertible Bonds,
7.75% due 10/04/2005
Landis & Gyr AG
Lloyds Abbey Life PLC
Mannesmann AG
Mannesmann AG (New Shares)
Mark IV Industries, 8.75% due 4/01/2003
Matra Hachette
Metrovacesa (Rights)
NL Industries Inc., 11.75% due 10/15/2003
Nestle AG (Registered)
Norsk Hydro (ADR)
Olympia & York Capital Inc.,
Series 3, 11% due 11/04/1993
<PAGE>
Payless Cashways, 14.50% due 11/01/2000
Plaid Clothing Group, 11% due 8/01/2003
Primark Corp., 8.75% due 10/15/2000
Purina Mills, Inc., 10.25% due 9/01/2003
*Rhone Poulenc Rorer Group Inc.
*Riggs National Bank, 8.50% due 2/01/2006
Riverwood International Corp.,
10.75% due 6/15/2000
Roche Holdings, Ltd. Genusschein AG
Smurfit (Jefferson) Group
Sweetheart Cup Co., 9.625% due 9/01/2000
Telefonica Nacional de Espana,
Convertible Bonds, 4% due 7/28/2003
United Mexican States Discount Notes,
8.50% due 9/15/2002
United Mexican States (Rights)
Valassis Communications, Inc.
Wainoco Oil Corp., 12% due 8/01/2002
<FN>
*Added and deleted in the same quarter.
PORTFOLIO INFORMATION
</TABLE>
<TABLE>
Summary of
Fund's Overall
Asset Mix
As of 1/31/94
<CAPTION>
Percent of Fund's Portfolio Reference Portfolio
1/31/94 10/31/93 Percentages
<S> <C> <C> <C>
US & Canadian Equities* 19.6% 16.8% 36.0%
Japanese & Pacific Basin Equities* 6.2 3.6 14.4
European Equities 12.4 13.2 9.6
Total Equities 38.2 33.6 60.0
===== ===== =====
US/Canadian Fixed-Income Securities** 30.8 34.6 24.0
Other Fixed-Income Securities** 7.3 8.7 16.0
Total Fixed-Income Securities 38.1 43.3 40.0
===== ===== =====
US/Canadian Cash & Cash Equivalents 23.7 23.1 --
<FN>
*Includes value of Stock Index Futures.
**Does not include value of segregated securities held as collateral for Stock Index Futures.
</TABLE>
<PAGE>
PORTFOLIO INFORMATION (concluded)
Worldwide
Investments
As of 1/31/94
Percent Breakdown of
Stocks & Fixed-Income Percent of
Securities by Country Net Assets
United States* 72.4%
Japan 6.4
Spain 3.4
Germany 3.2
United Kingdom 3.1
Switzerland 1.8
Netherlands 1.7
Italy 1.6
Canada 1.4
France 1.1
European Currency Units 0.8
Denmark 0.5
Australia 0.5
Finland 0.4
Sweden 0.4
Ireland 0.2
Portugal 0.2
Hong Kong 0.1
Belgium 0.1
New Zealand 0.1
Austria 0.0
South Korea 0.0
------
Total 99.4%
======
[FN]
*Includes investments in short-term securities.
Ten Largest Industries Percent of
(Equity Investments) Net Assets
Banking 6.4%
Pharmaceuticals 3.4
Insurance 2.4
Retail Stores 1.6
Energy & Petroleum 1.4
Electronics 1.3
Telecommunications 1.4
Tobacco 1.2
Healthcare Services 1.1
Utilities--Electric 1.1
<PAGE>
Ten Largest Holdings Percent of
(Equity Investments) Net Assets
Philip Morris Cos., Inc. 0.7%
First American Bank 0.7
Chemical Banking Corp. 0.6
Comerica Inc. 0.5
Centerior Energy Corp. 0.4
Kloeckner Werke AG 0.4
Student Loan Marketing
Association 0.4
Suzuki Motor Corp. 0.4
Societa Finanziaria Telefonica
S.p.A. (STET) RISP 0.4
Ito Yokado Co., Ltd. 0.4
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