MERRILL LYNCH
GLOBAL
ALLOCATION
FUND, INC.
FUND LOGO
Annual Report
October 31, 1995
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.
<PAGE>
Merrill Lynch
Global Allocation
Fund, Inc.
Box 9011
Princeton, NJ
08543-9011
MERRILL LYNCH GLOBAL ALLOCATION FUND, INC.
<TABLE>
Summary of
Fund's Overall
Asset Mix
As of 10/31/95
<CAPTION>
Percent of Fund's Portfolio Reference Portfolio
10/31/95 7/31/95 Percentages
<S> <C> <C> <C>
North & South American Equities 18.7%* 21.3% 36.0%
European Equities 9.0 9.7 9.6
Pacific Basin Equities 5.5 5.9 14.4
Total Equities 33.2 36.9 60.0
US Dollar Denominated Fixed-Income Securities 33.1 31.7 24.0
US Issuers 19.7 18.0 --
Non-US Issuers 13.4 13.7 --
Non-US Dollar Denominated Fixed-Income Securities 22.0 23.0 16.0
Total Fixed-Income Securities 55.1++ 54.7++ 40.0
Cash & Cash Equivalents 11.7 8.4 --
<FN>
*Includes value of Stock Index Futures.
++Includes Preferred Stock.
<PAGE>
Officers and
Directors
Arthur Zeikel, President and Director
Donald Cecil, Director
Edward H. Meyer, Director
Charles C. Reilly, Director
Richard R. West, Director
Edward D. Zinbarg, Director
Terry K. Glenn, Executive Vice President
Norman R. Harvey, Senior Vice President
Donald C. Burke, Vice President
Bryan N. Ison, Vice President and Portfolio Manager
Gerald M. Richard, Treasurer
Michael J. Hennewinkel, Secretary
Custodian
Brown Brothers Harriman & Co.
40 Water Street
Boston, Massachusetts 02109
Transfer Agent
Merrill Lynch Financial Data Services, Inc.
4800 Deer Lake Drive East
Jacksonville, Florida 32246-6484
(800) 637-3863
DEAR SHAREHOLDER
Fiscal Year in Review
For the 12 months ended October 31,
1995, Merrill Lynch Global Allocation
Fund, Inc. had total investment returns
of +14.81%, +13.54%, +13.58% and
+14.43% for Class A, Class B, Class C
and Class D Shares, respectively. (Fund
results shown do not reflect sales
charges, and would be lower if sales
charges were included. Complete
performance information, including
average annual and aggregate total
returns, can be found on pages 4--7 of
this report to shareholders.)
<PAGE>
Throughout the fiscal year, the Fund
was overweighted in fixed-income
investments and underweighted in
equities relative to its reference port-
folio. The Fund began the fiscal year with
35.4% of the portfolio in US-dollar
denominated fixed-income investments and
ended with a 33.1% weighting.(See "Summary
of Fund's Overall Asset Mix" table on
page 1 of this report to shareholders.)
This position was based on our view that
bonds offered a better risk/return tradeoff
than stocks.
As the fiscal year began, US bond prices
were depressed and were experiencing
their worst year of performance since
World War II. Investors had pushed
down bond prices and demanded
higher yields to compensate for the
perceived risk of accelerating inflation.
Business activity was sufficiently
strong to push the labor and commod-
ity markets to levels regarded by some
economists as inflationary. Specifically,
the unemployment rate had fallen
toward cyclical lows that could be
viewed as nearing "full employment,"
creating the risk that further declines
could lead to growing wage pressures.
Price indexes of crude raw materials
were experiencing sharp increases and
industrial capacity utilization was near
levels that historically had been assoc-
iated with rising inflation. In this nega-
tive environment, the Fund was able to
invest in bonds with attractive yields.
These conditions were instrumental
in influencing the Federal Reserve
Board to tighten monetary policy.
We expected that the central bank's
actions would serve to slow the econ-
omy, dampen inflationary pressures,
and reassure investors that policy-
makers were resolved to hold down
inflation, thus improving the outlook
for fixed-income investments.
<PAGE>
The Fund also stressed fixed-income
securities outside of the United States.
It began the fiscal year with 24.1% of the
portfolio in non-US denominated dollar
fixed-income securities and ended the
period with a 22.0% weighting. The largest
geographic concentration was in European
fixed-income issues, which accounted for
20.3% of net assets at fiscal year-end.
Within Europe, German bonds were the
largest investment at 9.3% of net assets.
We viewed German bonds as especially
attractive because of the country's
strong and independent central bank
and declining inflation rate. Another
area of fixed-income investment
during the fiscal year was US dollar-
denominated bonds of Latin American
issuers. These bonds offered particu-
larly attractive yields along with the
potential for capital gains. The Fund
invested in securities of Argentine,
Mexican and Brazilian issuers, pri-
marily governments and government-
related entities.
Outside of the United States, fixed-
income investments outperformed
equities during the fiscal year. The
Salomon Brothers World Government
Bond Index returned +15.19%,
substantially exceeding the return
on equities as measured by the
Financial Times/Standard & Poor's--
Actuaries World Ex-US Index return of
- -1.50%. This strength in international
bonds helped the Fund's return. How-
ever, results for the Fund's US dollar-
denominated Latin American fixed-
income investments were mixed. In the
first half of the fiscal year, results were
poor because of uncertainty regarding
the outcome of the financial crisis
stemming from the devaluation of the
Mexican peso. However, as the Mexican
peso stabilized, the Fund's Latin Ameri-
can bonds rallied sharply and showed
gains in the fiscal year's second half.
The strength of the US bond market
also helped the Fund's performance.
<PAGE>
The weakness in international equity
markets was especially pronounced in a
number of emerging equity markets.
The Fund benefited from having very
little exposure to these markets in the
fiscal year. The Fund also benefited
from its underweighting in Japanese
stocks. The Japanese stock market lost
ground during the year, despite an im-
provement in the final quarter. Japan
continues to suffer from a weak econ-
omy and is burdened by a substantial
asset quality problem in its banking
system. Highlighting the banking
problem, worried depositors fled from
some institutions as confidence in the
Japanese financial system eroded.
The Fund's performance was hindered
significantly by its sharp underweighting
in the US equity market, since the
Standard & Poor's 500 Composite Aver-
age provided a total return of +26.39%
during the Fund's fiscal year. The
Fund's cautious US stock position re-
flected our concern over the high valua-
tions accorded US stocks. The US stock
market has now reached still-higher
valuation levels based on a number of
measures such as dividend yields and
price/book value ratios. US stock prices
moved sharply higher as interest rates
fell, profits rose, and cash flowed into
equity mutual funds. The Fund's results
were also hindered by a low exposure
to the strong US technology stock sec-
tor, but results were favorably impacted
by investment emphasis on US finan-
cial stocks.
<PAGE>
Throughout the fiscal year, the Fund
consistently overweighted the US dollar
relative to the benchmark portfolio.
The US currency remains undervalued
on a purchasing power parity basis
compared to other major currencies.
The overweighting in dollars negatively
affected the Fund's results in the first
half of the fiscal year as foreign cur-
rency hedges prevented the Fund from
capturing the full benefit of its non-US
investments. However, in the last months
of the fiscal year these currency hedg-
ing strategies benefited the Fund by
preventing currency losses on a sub-
stantial portion of the Fund's non-US
investments. For the fiscal year as a
whole, the Japanese yen was very
volatile, but ended the year at a lower
dollar value than it began, rendering the
Fund's yen hedge profitable. However,
the Deutschemark hedge detracted
somewhat from results over the full
fiscal year. Over the course of the period,
the Fund's US dollar exposure remained
stable at nearly 89% of net assets.
As the US equity market and bond mar-
kets worldwide appreciated, the Fund
gradually reduced long-term invest-
ments and added to cash reserves. As of
October month-end, the Fund's cash
position was approximately 11.7% of net
assets, up from 2.5% at the beginning of
the fiscal year. The Fund's cash
reserves have risen largely because
there are relatively fewer new attrac-
tive long-term investment opportunities
available, in our view. Therefore, we
believe that it is appropriate to main-
tain a higher level of liquidity in the
Fund at this time.
Portfolio Matters
The October quarter was highlighted by
developments in the foreign currency
markets. Among the more noteworthy
events was the weakening of the Japan-
ese yen relative to the US dollar. The
latter is especially significant following
the period of extraordinary yen strength-
ening earlier this year. Japanese mone-
tary authorities apparently have
reached the conclusion that a very
strong yen is not desirable for the
country.
<PAGE>
During the October quarter, the Deutsche-
mark also depreciated relative to the
US dollar, although to a much lesser
degree than the yen. The major devel-
opment in European currency markets
was the volatility of the French franc
relative to the Deutschemark, reflecting
more tenuous relationships within the
Exchange Rate Mechanism (ERM). By
the end of October, the Franc/Deutsche-
mark exchange rate had stabilized
somewhat.
We made no significant shifts in our
investment strategy during the October
quarter. The Fund further reduced its
US stock exposure by taking profits in
bank stocks when share prices met or
exceeded our expectations. The Fund's
overall European equity exposure was
slightly unchanged at 9.0% of net
assets. Our fixed-income holdings
underwent little change during the
period, although we increased French
bond holdings with the proceeds of
German bond sales.
In Conclusion
We thank you for your investment in
Merrill Lynch Global Allocation Fund,
Inc., and we look forward to serving
your investment needs throughout the
Fund's new fiscal year and beyond.
Sincerely,
(Arthur Zeikel)
Arthur Zeikel
President
(Bryan N. Ison)
Bryan N. Ison
Vice President and Portfolio Manager
November 27, 1995
<PAGE>
PERFORMANCE DATA
About Fund
Performance
Since October 21, 1994, investors have been able to purchase
shares of the Fund through the Merrill Lynch Select Pricing SM
System, which offers four pricing alternatives:
* Class A Shares incur a maximum initial sales charge (front-
end load) of 5.25% and bear no ongoing distribution or account
maintenance fees. Class A Shares are available only to
eligible investors.
* Class B Shares are subject to a maximum contingent deferred
sales charge of 4% if redeemed during the first year, decreas-
ing 1% each year thereafter to 0% after the fourth year. In
addition, Class B Shares are subject to a distribution fee of
0.75% and an account maintenance fee of 0.25%. These shares
automatically convert to Class D Shares after approximately
8 years.
* Class C Shares are subject to a distribution fee of 0.75% and an
account maintenance fee of 0.25%. In addition, Class C Shares
are subject to a 1% contingent deferred sales charge if
redeemed within one year of purchase.
* Class D Shares incur a maximum initial sales charge of
5.25% and an account maintenance fee of 0.25% (but no distri-
bution fee).
Performance data for all of the Fund's shares are presented in
the "Total Return Based on a $10,000 Investment" graphs,
"Recent Performance Results" and "Performance Summary"
tables on pages 4--7. Data for the Fund's Class A and Class B
Shares are presented in the "Average Annual Total Return"
table on page 5. Data for the Fund's Class C and Class D Shares
are also presented in the "Aggregate Total Return" table on
page 5.
<PAGE>
The "Recent Performance Results" table on page 7 shows invest-
ment results before the deduction of any sales charges for
all of the Fund's shares for the 12-month and 3-month periods
ended October 31, 1995. Data in this table assume imposition
of the actual total expenses incurred by each class of shares
during the relevant period.
None of the past results shown should be considered a repre-
sentation 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.
Total Return
Based on a
$10,000
Investment
A line graph depicting the growth of an investment in the Fund's
Class A Shares and Class B Shares compared to the growth of an
investment in the Financial Times/Standard & Poor's--Actuaries
World Index. Beginning and ending values are:
2/3/89 10/95
ML Global Allocation Fund, Inc.++--
Class A Shares* $ 9,475 $22,300
ML Global Allocation Fund, Inc.++--
Class B Shares* $10,000 $21,960
Financial Times/Standard & Poor's--
Actuaries World Index++++ $10,000 $15,919
A line graph depicting the growth of an investment in the Fund's
Class C Shares and Class D Shares compared to the growth of an
investment in the Financial Times/Standard & Poor's--Actuaries
World Index. Beginning and ending values are:
10/21/94** 10/95
ML Global Allocation Fund, Inc.++--
Class C Shares* $10,000 $11,358
<PAGE>
ML Global Allocation Fund, Inc.++--
Class D Shares* $ 9,475 $10,851
Financial Times/Standard & Poor's--
Actuaries World Index++++ $10,000 $10,814
<FN>
*Assuming maximum sales charge, transaction costs and other
operating expenses, including advisory fees.
**Commencement of Operations.
++ML Global Allocation Fund, Inc. invests in a portfolio of
US and foreign issues, whose composition varies with respect
to types of securities and markets in response to changing
market and economic trends.
++++This unmanaged capitalization-weighted Index is comprised
of 2,200 equities from 24 countries in 12 regions,
including the United States.
Average Annual
Total Return
% Return Without % Return With
Sales Charge Sales Charge**
Class A Shares*
Year Ended 9/30/95 +14.69% + 8.67%
Five Years Ended 9/30/95 +16.56 +15.31
Inception (2/3/89) through 9/30/95 +13.78 +12.86
<FN>
*Maximum sales charge is 5.25%.
**Assuming maximum sales charge.
% Return % Return
Without CDSC With CDSC**
Class B Shares*
Year Ended 9/30/95 +13.58% + 9.58%
Five Years Ended 9/30/95 +15.36 +15.36
Inception (2/3/89) through 9/30/95 +12.63 +12.63
<PAGE>
<FN>
*Maximum contingent deferred sales charge is 4% and is reduced to 0%
after 4 years.
**Assuming payment of applicable contingent deferred sales charge.
Aggregate
Total Return
% Return % Return
Without CDSC With CDSC**
Class C Shares*
Inception (10/21/94) through
9/30/95 +14.07% +13.07%
<FN>
*Maximum contingent deferred sales charge is 1% and is reduced to 0%
after 1 year.
**Assuming payment of applicable contingent deferred sales charge.
% Return Without % Return With
Sales Charge Sales Charge**
Class D Shares*
Inception (10/21/94) through
9/30/95 +15.00% + 8.97%
<FN>
*Maximum sales charge is 5.25%.
**Assuming maximum sales charge.
<PAGE>
PERFORMANCE DATA (concluded)
</TABLE>
<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
1994 13.23 12.23 0.140 0.605 - 2.00
1/1/95--10/31/95 12.23 14.21 -- 0.167 +17.64
------ ------
Total $1.004 Total $4.843
Cumulative total return as of 10/31/95: +135.36%**
<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
1994 13.11 12.12 0.140 0.479 - 2.89
1/1/95--10/31/95 12.12 14.01 -- 0.107 +16.52
------ ------
Total $1.004 Total $4.159
Cumulative total return as of 10/31/95: +119.60%**
<PAGE>
<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>
<TABLE>
Performance
Summary--
Class C Shares
<CAPTION>
Net Asset Value Capital Gains
Period Covered Beginning Ending Distributed Dividends Paid* % Change**
<C> <C> <C> <C> <C> <C>
10/21/94--12/31/94 $12.91 $12.07 $0.140 $0.368 - 2.58%
1/1/95--10/31/95 12.07 13.94 -- 0.125 +16.58
------ ------
Total $0.140 Total $0.493
Cumulative total return as of 10/31/95: +13.58%**
<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>
<TABLE>
Performance
Summary--
Class D Shares
<CAPTION>
Net Asset Value Capital Gains
Period Covered Beginning Ending Distributed Dividends Paid* % Change**
<C> <C> <C> <C> <C> <C>
10/21/94--12/31/94 $13.07 $12.24 $0.140 $0.383 - 2.35%
1/1/95--10/31/95 12.24 14.19 -- 0.156 +17.28
------ ------
Total $0.140 Total $0.539
Cumulative total return as of 10/31/95: +14.52%**
<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>
<PAGE>
<TABLE>
Recent
Performance
Results
<CAPTION>
Net Asset Value Total Return
10/31/95 7/31/95 10/31/94 12-Month 3-Month
<S> <C> <C> <C> <C> <C>
ML Global Allocation Fund, Inc. Class A Shares* $14.21 $13.88 $13.07 +14.81%(1) +2.38%
ML Global Allocation Fund, Inc. Class B Shares* 14.01 13.72 12.91 +13.54(2) +2.11
ML Global Allocation Fund, Inc. Class C Shares* 13.94 13.65 12.91 +13.58(3) +2.12
ML Global Allocation Fund, Inc. Class D Shares* 14.19 13.87 13.08 +14.43(4) +2.31
US Stocks: Standard & Poor's 500 Index** +26.39 +4.11
Non-US Stocks: Financial Times/Standard & Poor's--Actuaries World Index*** - 1.50 -4.57
US Bonds: ML Government Index GA05**** +13.78 +2.70
Non-US Bonds: Salomon Brothers World Government Bond Index***** +15.19 -2.63
<FN>
*Investment results shown do not reflect sales charges; results shown would
be lower if a sales charge was included.
**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 $0.554 per share ordinary income
dividends and $0.140 per share capital gains distributions.
(2)Percent change includes reinvestment of $0.426 per share ordinary income
dividends and $0.140 per share capital gains distributions.
(3)Percent change includes reinvestment of $0.493 per share ordinary income
dividends and $0.140 per share capital gains distributions.
(4)Percent change includes reinvestment of $0.538 per share ordinary income
dividends and $0.140 per share capital gains distributions.
</TABLE>
<PAGE>
Portfolio
Abbreviations
To simplify the currency denominations
of Merrill Lynch Global Allocation Fund,
Inc.'s portfolio holdings in the Schedule
of Investments, we have abbreviated
the currencies according to the list
at right.
CAD Canadian Dollar
CHF Swiss Franc
DEM German Deutschemark
DKR Danish Kroner
ECU European Currency Unit
ESP Spanish Peseta
FRF French Franc
GBP Great Britain Pound
IEP Irish Punt
ITL Italian Lira
JPY Japanese Yen
MXN Mexican Peso
NLG Netherlands Guilder
NZD New Zealand Dollar
USD United States Dollar
<TABLE>
SCHEDULE OF INVESTMENTS (in US dollars)
<CAPTION>
Shares Value Percent of
COUNTRY Industries Held Common Stocks Cost (Note 1a) Net Assets
<S> <S> <C> <S> <C> <C> <C>
Australia Banking 2,645,800 Westpac Banking Corp. $ 5,614,396 $ 10,858,220 0.1%
Food 7,916,000 Goodman Fielder Wattie Ltd. 8,324,587 7,955,960 0.1
Insurance 1,614,136 GIO Australia Holdings, Ltd. 2,786,184 3,416,629 0.0
Multi-Industry 1,500,000 Pacific Dunlop, Ltd. 4,092,789 3,631,878 0.0
Tobacco 2,099,800 Rothmans Holdings, Ltd. 7,893,919 7,834,060 0.1
1,242,300 WD & HO Wills Holdings, Ltd. 1,389,502 1,797,186 0.0
-------------- -------------- ------
9,283,421 9,631,246 0.1
Total Common Stocks in Australia 30,101,377 35,493,933 0.3
<PAGE>
Canada Beverage 1,000,000 Cott Corp. (USD) 9,340,461 8,125,000 0.1
Metals 100,000 Inco Ltd. (USD) 2,132,000 3,437,500 0.0
Natural Resources 300,000 Canadian Pacific, Ltd. (USD) 3,503,161 4,800,000 0.1
440,000 Horsham Corp. (USD) 3,550,742 5,940,000 0.1
-------------- -------------- ------
7,053,903 10,740,000 0.2
Oil & Related 353,000 ++++International Petroleum Corp. (USD) 1,000,196 816,313 0.0
Telecommunications 100,000 BCE Telecommunications, Inc. (USD) 3,375,484 3,362,500 0.0
Total Common Stocks in Canada 22,902,044 26,481,313 0.3
Denmark Banking 53,500 Unidanmark A/S 1,870,730 2,462,002 0.0
Total Common Stocks in Denmark 1,870,730 2,462,002 0.0
Finland Banking 4,194,000 ++++Kansallis-Osake-Pankki 4,512,421 3,365,653 0.0
1,483,915 ++++Unitas Bank Ltd. 4,285,282 3,607,516 0.0
-------------- -------------- ------
8,797,703 6,973,169 0.0
Machinery & 146,200 ++++Rauma OY 2,638,513 3,195,364 0.0
Equipment
Metals 432,500 Outokumpu OY 5,980,994 6,890,519 0.1
Paper & Forest 1,500,000 Enso-Gutzeit OY 12,019,454 11,789,558 0.1
Products 353,000 Kymmene OY 10,505,815 9,664,841 0.1
539,650 Metsa Serla OY 22,185,795 20,124,788 0.2
560,700 Repola OY 'S' 7,792,828 10,878,385 0.1
-------------- -------------- ------
52,503,892 52,457,572 0.5
Total Common Stocks in Finland 69,921,102 69,516,624 0.6
France Automobiles 103,270 Peugeot S.A. 13,810,642 13,467,702 0.2
Banking 215,600 Compagnie de Suez S.A. 8,482,839 8,148,175 0.1
155,000 Compagnie Financiere de Paribas 8,115,596 8,536,186 0.1
86,500 Societe Generale 9,605,405 9,899,376 0.1
-------------- -------------- ------
26,203,840 26,583,737 0.3
<PAGE>
Industrial 82,400 Alcatel Alsthom Cie Generale
d'Electricite S.A. 8,193,087 7,044,782 0.1
67,500 ++++Compagnie de Saint-Gobain S.A. 8,118,392 8,056,608 0.1
109,700 Elf Aquitaine (Elf) S.A. 7,494,754 7,478,780 0.1
-------------- -------------- ------
23,806,233 22,580,170 0.3
Insurance 297,500 Assurances Generales de France
S.A. (AGF) 8,136,183 8,587,880 0.1
Metals/Steel 815,200 ++++Usinor-Sacilor 14,749,052 12,183,356 0.1
Multi-Industry 31,862 EuraFrance S.A. 9,052,946 10,665,241 0.1
Total Common Stocks in France 95,758,896 94,068,086 1.1
Germany Banking 55,680 Bayerische Vereinsbank AG 1,339,965 1,579,476 0.0
Capital Goods 369,636 ++++Kloeckner Werke AG 17,229,762 16,524,161 0.2
Chemicals 34,000 BASF AG 6,821,542 7,478,645 0.1
32,000 Bayer AG 7,646,190 8,528,474 0.1
-------------- -------------- ------
14,467,732 16,007,119 0.2
Electronics 22,000 Siemens AG 11,059,372 11,557,517 0.1
Machinery & 36,579 Mannesmann AG 9,993,612 12,063,675 0.1
Equipment
Utilities-- 440,000 Veba Vereinigte Elektriz 16,576,809 18,100,513 0.2
Electric
Total Common Stocks in Germany 70,667,252 75,832,461 0.8
Hong Kong Multi-Industry 1,343,500 Hutchison Whampoa Limited 7,053,220 7,403,066 0.1
Utilities-- 460,300 China Light & Power Co., Ltd. 550,630 2,453,028 0.0
Electric
Total Common Stocks in Hong Kong 7,603,850 9,856,094 0.1
Indonesia Paper & Pulp 2,060,000 ++++Asia Pacific Resources International
Holdings Ltd. (USD) 15,467,500 14,935,000 0.2
Total Common Stocks in Indonesia 15,467,500 14,935,000 0.2
<PAGE>
Ireland Building & 689,200 CRH PLC 2,349,738 4,560,398 0.1
Construction
Packaging & 1,179,300 Jefferson Smurfit Group PLC 3,583,738 3,174,897 0.0
Containers
Total Common Stocks in Ireland 5,933,476 7,735,295 0.1
Italy Banking 1,591,400 Istituto Mobiliare Italiano S.p.A.
(Ordinary) 8,921,238 8,710,547 0.1
Building & 1,922,200 ++++Filippo Fochi S.p.A. 6,101,165 603,972 0.0
Construction
Multi-Industry 9,117,595 ++++Compagnie Industriali Riunite
S.p.A. (CIR) 7,816,550 5,746,841 0.1
Telecommunications 3,000,000 Societa Finanziaria Telefonica S.p.A.
(STET) 4,365,656 8,511,909 0.1
8,666,863 Societa Finanziaria Telefonica S.p.A.
(STET) RISP 16,268,796 18,926,255 0.2
3,958,000 ++++Societa Italiana Esercizio Telecom
S.p.A. (S.I.P.) 1,927,558 6,019,204 0.1
3,958,000 Telecom Italia Mobile 1,395,818 6,653,459 0.1
-------------- -------------- ------
23,957,828 40,110,827 0.5
Total Common Stocks in Italy 46,796,781 55,172,187 0.7
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued) (in US dollars)
<CAPTION>
Shares Value Percent of
COUNTRY Industries Held Common Stocks Cost (Note 1a) Net Assets
<S> <S> <C> <S> <C> <C> <C>
Japan Automobiles & 2,042,000 Suzuki Motor Corp. $ 18,995,725 $ 20,620,196 0.2%
Equipment
Beverage 1,017,000 Chukyo Coca-Cola Bottling Co., Ltd. 12,207,036 9,870,882 0.1
565,000 Hokkaido Coca-Cola Bottling Co., Ltd. 7,764,597 6,924,020 0.1
690,000 Kinki Coca-Cola Bottling Co., Ltd. 10,868,372 8,320,588 0.1
1,041,000 Mikuni Coca-Cola Bottling Co., Ltd. 14,998,840 12,757,353 0.2
904,000 Sanyo Coca-Cola Bottling Co., Ltd. 13,028,710 12,230,588 0.1
-------------- -------------- ------
58,867,555 50,103,431 0.6
<PAGE>
Capital Goods 3,808,000 Mitsubishi Heavy Industries, Ltd. 23,136,107 29,456,000 0.3
Electrical 453,000 Chudenko Corp. 14,271,558 16,565,588 0.2
Construction 650,000 Kinden Corporation 13,009,801 11,151,961 0.1
31,000 Taihei Dengyo Kaisha Ltd. 638,911 516,667 0.0
-------------- -------------- ------
27,920,270 28,234,216 0.3
Electrical 578,000 Murata Manufacturing Co., Ltd. 18,778,882 20,343,333 0.2
Equipment 1,360,000 Sumitomo Electric Industries 15,481,185 15,733,333 0.2
-------------- -------------- ------
34,260,067 36,076,666 0.4
Insurance 2,345,000 Dai-Tokyo Fire & Marine Insurance
Co., Ltd. 15,209,869 15,104,559 0.2
665,000 Fuji Fire & Marine Insurance
Co., Ltd. 3,727,641 3,233,725 0.0
2,384,000 Koa Fire & Marine Insurance
Co., Ltd. 13,551,678 13,065,255 0.2
620,000 Mitsui Marine & Fire Insurance
Co., Ltd. 5,004,638 3,738,235 0.0
1,669,000 Nichido Fire & Marine Insurance
Co., Ltd. 10,892,520 12,517,500 0.2
1,351,000 Nippon Fire & Marine Insurance
Co., Ltd. 6,970,280 7,284,804 0.1
2,408,000 Sumitomo Marine & Fire Insurance
Co., Ltd. 18,939,904 17,233,725 0.2
2,075,000 Tokio Marine & Fire Insurance
Co., Ltd. 22,188,264 21,360,294 0.3
1,130,000 Yasuda Fire & Marine Insurance
Co., Ltd. 8,101,705 6,868,627 0.1
-------------- -------------- ------
104,586,499 100,406,724 1.3
Office Equipment 1,407,000 Canon, Inc. 19,624,604 24,139,706 0.3
Packaging & 901,000 Toyo Seikan Kaisha, Ltd. 23,045,380 25,881,667 0.3
Containers
Pharmaceuticals 1,061,000 Sankyo Pharmaceuticals Co., Ltd. 23,391,365 23,404,412 0.3
384,000 Taisho Pharmaceuticals Co. 7,984,458 6,964,706 0.1
-------------- -------------- ------
31,375,823 30,369,118 0.4
Restaurants 324,000 Mos Food Services, Inc. 8,807,909 8,131,765 0.1
270,000 ++++Ohsho Food Service Corp. 6,049,787 5,267,647 0.1
-------------- -------------- ------
14,857,696 13,399,412 0.2
<PAGE>
Retail Stores 448,000 Ito Yokado Co., Ltd. 20,618,869 24,552,157 0.3
100,000 Sangetsu Co., Ltd. 3,160,832 2,274,510 0.0
-------------- -------------- ------
23,779,701 26,826,667 0.3
Steel 250,000 Maruichi Steel Tube Ltd. 4,805,476 4,583,333 0.1
Total Common Stocks in Japan 385,254,903 390,097,136 4.7
Mexico Foods 600,000 Grupo Industrial Maseca (ADR)++ (USD) 7,107,853 5,775,000 0.1
Total Common Stocks in Mexico 7,107,853 5,775,000 0.1
Netherlands Airlines 253,060 KLM Royal Dutch Airlines N.V. 6,265,070 8,370,001 0.1
Banking 897,150 ABN AMRO Holdings N.V. 29,821,445 37,760,948 0.4
Chemicals 39,650 Akzo N.V. 4,293,427 4,523,302 0.1
218,208 European Vinyls Corp. International
N.V. 9,502,443 6,857,095 0.1
-------------- -------------- ------
13,795,870 11,380,397 0.2
Electronics 608,500 Philips Electronics N.V. 20,703,210 23,564,309 0.3
Insurance 325,000 Aegon N.V. 7,013,035 12,358,748 0.1
346,700 ++++Amev N.V. 13,640,015 21,811,814 0.3
800,965 Internationale Nederlanden Groep N.V. 30,066,279 47,848,404 0.6
-------------- -------------- ------
50,719,329 82,018,966 1.0
Miscellaneous-- 10,000 ++++Nijverdal Ten Cate N.V. 501,699 447,562 0.0
Manufacturing
Paper & Forest 229,920 ++++Koninklijke KNP (Warrants) (a) 793,687 68,602 0.0
Products
Telecommunications 97,000 ++++Koninklijke PTT Nederland N.V. 3,443,046 3,417,661 0.0
Total Common Stocks in the Netherlands 126,043,356 167,028,446 2.0
Norway Energy & Petroleum 193,100 Norsk Hydro A.S. 8,087,966 7,704,118 0.1
Total Common Stocks in Norway 8,087,966 7,704,118 0.1
Singapore Paper & Pulp 1,715,000 ++++Asia Pulp & Paper Company Ltd. (ADR)++
(USD) 19,722,500 17,578,750 0.2
Total Common Stocks in Singapore 19,722,500 17,578,750 0.2
<PAGE>
Spain Banking 326,000 Argentaria S.A. 12,974,203 11,521,607 0.1
587,481 Banco de Santander S.A. (Ordinary) 21,323,786 25,628,527 0.3
61,775 Banco Popular Espanol S.A. 6,511,311 9,822,200 0.1
83,000 ++++Bank Intercontinental S.A. 4,607,612 7,200,820 0.1
-------------- -------------- ------
45,416,912 54,173,154 0.6
Energy & 618,500 Repsol S.A. 18,566,656 18,486,531 0.2
Petroleum 212,500 Repsol S.A. (ADR)++ (USD) 6,126,375 6,295,313 0.1
-------------- -------------- ------
24,693,031 24,781,844 0.3
Insurance 30,000 Mapfre S.A. 1,130,028 1,537,515 0.0
Manufacturing 192,000 ++++Grupo Fosforera Espanola S.A. 1,670,398 928,905 0.0
Multi-Industry 45,750 Corporacion Financiera Alba S.A. 1,611,658 2,532,288 0.0
Real Estate 236,708 Metrovacesa 5,888,465 7,220,613 0.1
Toll Roads 154,000 Autopista Espana (ACESA) 1,363,246 1,439,606 0.0
Utilities-- 100,000 Empresa Nacional de Electricidad S.A. 3,759,956 4,977,450 0.1
Electric 591,800 Iberdrola I S.A. 3,310,030 4,464,584 0.1
-------------- -------------- ------
7,069,986 9,442,034 0.2
Total Common Stocks in Spain 88,843,724 102,055,959 1.2
Sweden Appliances 232,464 Electrolux AB 'B' Free 11,264,721 9,951,280 0.1
Automotive & 797,500 Volvo AB 16,028,098 17,971,188 0.2
Equipment
Banking 965,750 Stadshypotek AB 14,244,129 17,541,093 0.2
Electrical Equipment 120,000 ASEA AB 'B' Free 6,532,086 11,847,520 0.1
Industrial 200,000 SKF AB 'A' 3,713,376 3,723,076 0.0
458,500 SKF AB 'B' Free 8,471,575 8,707,927 0.1
-------------- -------------- ------
12,184,951 12,431,003 0.1
Multi-Industry 150,000 Svedala Industry AB Free 2,403,461 3,809,746 0.0
Paper & Forest 209,850 ++++Mo och Domsjo AB 12,519,310 10,691,301 0.1
Products 500,000 Stora Kopparbergs Bergslags AB 6,400,698 6,066,955 0.1
-------------- -------------- ------
18,920,008 16,758,256 0.2
Total Common Stocks in Sweden 81,577,454 90,310,086 0.9
</TABLE>
<PAGE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued) (in US dollars)
<CAPTION>
Shares Value Percent of
COUNTRY Industries Held Common Stocks Cost (Note 1a) Net Assets
<S> <S> <C> <S> <C> <C> <C>
Switzerland Chemicals 33,040 Ciba-Geigy AG (Registered) $ 16,539,906 $ 28,655,656 0.3%
Electrical 9,335 BBC Brown Boveri & Cie (Bearer) 6,132,164 10,847,181 0.1
Equipment
Financial 162,000 CS Holdings AG 15,391,757 16,580,201 0.2
Services
Pharmaceuticals 1,260 Roche Holdings AG 8,104,008 9,171,519 0.1
Total Common Stocks in Switzerland 46,167,835 65,254,557 0.7
United Automotive Parts 1,036,000 Turner & Newall PLC 2,948,994 2,351,153 0.0
Kingdom
Conglomerates 50,000 Hanson PLC Sponsored (ADR)++ (USD) 947,577 775,000 0.0
Environmental 940,000 ++++Waste Management International PLC
(ADR)++ (USD) 9,206,375 9,517,500 0.1
Food & Beverage 1,360,600 Grand Metropolitan PLC 8,858,753 9,424,835 0.1
35,000 Grand Metropolitan PLC (ADR)++ (USD) 1,031,100 962,500 0.0
230,300 Tate & Lyle PLC 1,555,052 1,635,345 0.0
290,300 Unilever 4,372,100 5,642,455 0.1
-------------- -------------- ------
15,817,005 17,665,135 0.2
Industrial--Other 1,148,000 Tomkins PLC 3,813,189 4,529,827 0.1
Insurance 339,800 Prudential Corp. PLC 1,639,768 2,125,392 0.0
Oil/Integrated-- 518,100 British Petroleum Company PLC (The) 3,783,528 3,814,191 0.0
International
Pharmaceuticals 500,000 SmithKline Beecham Corp. PLC
(ADR)++ (USD) 13,633,894 25,937,500 0.3
300,000 Zeneca Group PLC 2,825,141 5,591,393 0.1
-------------- -------------- ------
16,459,035 31,528,893 0.4
Steel 1,500,000 British Steel PLC 4,081,599 3,872,698 0.0
Telecommunications 84,600 Vodafone Group PLC 307,947 349,205 0.0
Total Common Stocks in the
United Kingdom 59,005,017 76,528,994 0.8
<PAGE>
United States Apparel 155,000 Authentic Fitness Corp. 2,681,739 3,177,500 0.0
860,000 ++++Fruit of the Loom, Inc. 23,555,786 14,942,500 0.2
373,900 Liz Claiborne, Inc. 8,022,626 10,609,413 0.1
-------------- -------------- ------
34,260,151 28,729,413 0.3
Automobiles 350,000 General Motors Corp. 13,282,191 15,312,500 0.2
Automotive 438,800 ++++Collins & Aikman Group Inc. 3,416,149 3,510,400 0.0
284,900 Snap-On, Inc. 9,013,519 12,072,638 0.1
-------------- -------------- ------
12,429,668 15,583,038 0.1
Banking 300,000 Bank of New York 7,966,376 12,600,000 0.2
319,000 Bankers Trust Co. 7,620,125 7,935,125 0.1
129,500 Banknorth Group, Inc. 1,865,422 4,111,625 0.1
200,000 Barnett Banks Inc. 8,134,897 11,050,000 0.1
400,000 California Federal Bank 3,469,896 5,900,000 0.1
396,700 Charter One Financial, Inc. 7,456,798 11,206,775 0.1
800,000 Chemical Banking Corp. (c) 29,541,409 45,500,000 0.5
1,017,100 City National Corp. 7,293,719 13,476,575 0.2
1,000,000 Comerica Inc. 26,977,513 33,625,000 0.4
400,000 CoreStates Financial Corp. 10,816,733 14,550,000 0.2
707,800 First of America Bank 25,666,256 30,169,975 0.4
1,250,000 First Commerce Corp. 31,823,468 38,437,500 0.5
1,406,102 KeyCorp 41,572,512 47,455,943 0.6
707,900 Mellon Bank Corp. 25,343,868 35,483,488 0.4
450,000 NBD Bancorp, Inc. 13,768,555 17,100,000 0.2
642,900 Onbancorp, Inc. 17,898,523 18,804,825 0.2
368,000 Oriental Bank and Trust+++++ 5,050,248 5,428,000 0.1
45,000 Premier Bancorp. 708,437 922,500 0.0
1,100,000 Republic New York Corp. 49,526,909 64,487,500 0.8
71,800 Roosevelt Financial Group, Inc. 1,115,413 1,139,825 0.0
450,000 Southern National Corp. 8,670,728 11,587,500 0.1
-------------- -------------- ------
332,287,805 430,972,156 5.3
Communications 185,700 Comsat Corp. 4,308,767 3,690,788 0.0
104,500 GTE Corp. 3,514,166 4,310,625 0.1
-------------- -------------- ------
7,822,933 8,001,413 0.1
Computers 100,000 Boole & Babbage, Inc. 1,329,492 3,575,000 0.0
500,000 Borland International Corp. 5,038,547 6,750,000 0.1
100,000 International Business Machines Corp. 4,312,572 9,725,000 0.1
1,100,000 ++++Unisys Corp. 12,291,367 6,187,500 0.1
-------------- -------------- ------
22,971,978 26,237,500 0.3
<PAGE>
Conglomerates 125,000 ++++ADT Limited 1,434,405 1,750,000 0.0
Construction & 153,800 Centex Corp. 3,880,118 5,036,950 0.1
Housing 500,000 ++++K. Hovnanian Enterprises, Inc.
(Class A) 4,920,209 3,437,500 0.0
-------------- -------------- ------
8,800,327 8,474,450 0.1
Construction 700,000 TJ International, Inc. 12,547,379 12,075,000 0.1
Products
Energy & Petroleum 163,900 Ashland Coal, Inc. 4,132,919 3,892,625 0.0
49,500 Cabot Oil & Gas Corp. (Class A) 529,030 662,063 0.0
200,000 Gerrity Oil & Gas Corp. 2,532,464 725,000 0.0
130,000 Helmerich & Payne, Inc. (c) 2,773,423 3,363,750 0.0
46,400 Mitchell Energy Development Corp.
(Class A) 675,717 765,600 0.0
174,350 Mitchell Energy Development Corp.
(Class B) 2,755,451 2,833,188 0.0
50,000 Murphy Oil Corp. 1,899,720 1,893,750 0.0
106,100 ++++Nuevo Energy Co. 2,048,791 2,347,463 0.0
1,500,000 Occidental Petroleum Corp. 28,058,743 32,250,000 0.4
61,200 Pennzoil Co. 3,775,844 2,310,300 0.0
235,828 Plains Resources, Inc.+++ 1,381,815 1,621,318 0.0
1,094,247 Santa Fe Energy Resources, Inc. 10,119,883 9,711,442 0.1
211,514 ++++Transamerica Refining Corp.
(Warrants) (a) 531,220 740,299 0.0
1,170,600 ++++TransTexas Gas Corp. 14,138,400 18,144,300 0.2
600,000 USX-Marathon Group 10,542,976 10,650,000 0.1
138,800 Unocal Corp. 3,272,336 3,643,500 0.0
-------------- -------------- ------
89,168,732 95,554,598 0.8
Financial Services 737,800 Student Loan Marketing Association 31,844,221 43,437,975 0.5
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued) (in US dollars)
<CAPTION>
Shares Value Percent of
COUNTRY Industries Held Common Stocks Cost (Note 1a) Net Assets
<S> <S> <C> <S> <C> <C> <C>
United States Food & Tobacco 300,000 Philip Morris Companies, Inc. $ 14,792,859 $ 25,350,000 0.3%
(concluded) 212,462 RJR Nabisco, Inc. 5,842,716 6,533,207 0.1
-------------- -------------- ------
20,635,575 31,883,207 0.4
<PAGE>
Healthcare 360,000 ++++Advocat, Inc.+++++ 3,422,500 3,870,000 0.0
Services 600,000 Baxter International, Inc. 12,857,880 23,175,000 0.3
400,000 ++++Beverly Enterprises, Inc. 4,291,401 4,700,000 0.1
546,500 US Surgical Corp. 11,871,438 13,389,250 0.2
-------------- -------------- ------
32,443,219 45,134,250 0.6
Index-Related USD 40,800 Republic of Austria Stock Index
Growth Notes due 8/15/1996 432,941 683,400 0.0
Industrial 200,000 ++++American Standard, Inc. 6,011,000 5,350,000 0.1
915,000 BW/IP Holdings, Inc. 15,816,387 14,868,750 0.2
179,802 Cooper Industries, Inc. 6,534,892 6,068,318 0.1
-------------- -------------- ------
28,362,279 26,287,068 0.4
Insurance 913,400 Ace, Ltd. 20,951,269 31,055,600 0.4
200,000 Aetna Life & Casualty Co. 10,524,804 14,075,000 0.2
150,000 Alexander & Alexander Services, Inc. 2,461,336 3,356,250 0.0
510,000 American General Corp. 13,187,448 16,766,250 0.2
571,000 Horace Mann Educators, Inc. 13,654,588 15,202,875 0.2
640,200 Lincoln National Corp. 23,466,317 28,568,925 0.3
680,000 PartnerRe Holdings, Ltd. 13,404,414 18,020,000 0.2
-------------- -------------- ------
97,650,176 127,044,900 1.5
Metals 140,000 Aluminum Co. of America 4,698,667 7,140,000 0.1
200,000 Nucor Corporation 8,824,828 9,625,000 0.1
132,800 Reynolds Metals Co. 5,801,771 6,689,800 0.1
-------------- -------------- ------
19,325,266 23,454,800 0.3
Multi-Industry 90,000 Loews Corp. 7,934,294 13,196,250 0.2
Natural Resources 210,519 Freeport-McMoRan Copper & Gold Inc.
(Class B) 3,665,657 4,789,307 0.1
Oil Services 150,000 Arethusa (Offshore) Ltd. 1,610,522 2,906,250 0.0
149,800 ++++Atwood Oceanics, Inc. 1,238,663 2,902,375 0.0
3,614,375 Noble Drilling Corp. 25,124,880 25,300,625 0.3
-------------- -------------- ------
27,974,065 31,109,250 0.3
Pharmaceuticals/ 424,300 ++++Alteon Inc. 3,930,388 3,871,738 0.0
Biotechnology 435,000 ++++Applied Immune Sciences, Inc. 6,160,143 5,002,500 0.1
600,000 Bristol-Myers Squibb Co. 33,254,124 45,750,000 0.5
450,000 Merck & Co., Inc. 15,115,266 25,875,000 0.3
-------------- -------------- ------
58,459,921 80,499,238 0.9
<PAGE>
Pollution Control 646,900 WMX Technologies, Inc. 16,148,443 18,194,063 0.2
Publishing 175,000 Gannett Co., Inc. 8,375,486 9,515,625 0.1
301,500 New York Times Co. (Class A) 7,158,778 8,366,625 0.1
140,138 Times Mirror Co. (Class A) 3,016,629 4,064,002 0.1
-------------- -------------- ------
18,550,893 21,946,252 0.3
Real Estate 44,200 CBL & Associates Properties, Inc. 911,625 939,250 0.0
Investment Trusts 504,600 Carr Realty Corp. 10,031,714 9,587,400 0.1
500,000 First Union Real Estate Investments 3,764,840 3,562,500 0.0
661,300 Mid-America Realty Investments 6,616,640 5,207,738 0.1
100,000 Mid-Atlantic Realty Trust Co. 917,500 825,000 0.0
830,000 Prime Residential, Inc. 13,262,250 14,525,000 0.2
400,000 Taubman Centers, Inc. 3,807,537 3,850,000 0.0
-------------- -------------- ------
39,312,106 38,496,888 0.4
Restaurants 300,000 Buffets, Inc. 3,157,818 3,750,000 0.0
Retail Stores 608,500 Baker (J.), Inc. 10,187,765 3,498,875 0.0
643,200 ++++Burlington Coat Factory Warehouse 7,035,315 7,155,600 0.1
516,900 ++++Buttrey Food & Drug Stores Co.+++++ 4,084,486 3,812,138 0.0
105,000 Dayton-Hudson Corp. 6,995,242 7,218,750 0.1
1,110,000 ++++Filene's Basement Corp.+++++ 10,092,619 3,607,500 0.0
1,373,500 ++++Payless Cashways, Inc. 17,027,625 7,897,625 0.1
936,600 ++++The Vons Companies, Inc. 15,500,535 23,766,225 0.3
-------------- -------------- ------
70,923,587 56,956,713 0.6
Savings Banks 257,500 Bankers Corp. 1,552,137 4,345,313 0.1
320,000 ++++Brooklyn Bancorp, Inc. (e) 8,076,252 12,600,000 0.2
1,550,768 ++++Dime Bancorp, Inc. 10,588,158 16,476,910 0.2
196,400 Downey Savings & Loan Association 2,896,670 4,001,650 0.1
1,700,553 Glendale Federal Savings Bank 14,904,352 27,208,848 0.3
770,194 Glendale Federal Savings Bank
(Warrants) (a) -- 5,295,084 0.1
-------------- -------------- ------
38,017,569 69,927,805 1.0
Specialty Retailing 400,000 Sotheby's Holdings, Inc. (Class A) 4,879,559 5,550,000 0.1
830,000 ++++Toys 'R' Us, Inc. 20,640,978 18,156,250 0.2
-------------- -------------- ------
25,520,537 23,706,250 0.3
Telecommunications 123,057 ++++Cox Communication, Inc. 1,820,315 2,307,319 0.0
Textiles 2,825,200 ++++Burlington Industries, Inc.+++++ 37,451,653 31,430,350 0.4
<PAGE>
Utilities-- 1,250,000 Allegheny Power System, Inc. 27,315,551 32,968,750 0.4
Electric & Gas 125,000 CMS Energy Corp. 2,290,025 3,453,125 0.0
2,101,000 Centerior Energy Corp. 28,664,979 21,010,000 0.3
100,000 Consolidated Edison Company, Inc. 2,923,495 3,037,500 0.0
1,780,000 Entergy Corp. 47,516,856 50,730,000 0.6
475,000 FPL Group, Inc. 14,363,265 19,890,625 0.2
300,000 General Public Utilities Corp. 8,663,891 9,375,000 0.1
40,446 ++++Great Bay Power Corp. 2,549,753 313,456 0.0
1,500,000 Niagara Mohawk Power Corp. 23,789,306 16,125,000 0.2
844,600 Texas Utilities Co. 26,942,999 31,039,050 0.4
1,148,800 Unicom Corporation 27,549,620 37,623,200 0.4
-------------- -------------- ------
212,569,740 225,565,706 2.6
Utilities--Gas 115,650 Atmos Energy Corp. 1,445,257 2,110,612 0.0
Total Common Stocks in the
United States 1,328,651,101 1,564,601,671 18.3
Total Investments in Common Stocks 2,517,484,717 2,878,487,712 33.2
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued) (in US dollars)
<CAPTION>
Shares Value Percent of
COUNTRY Industries Held Equity Closed-End Funds Cost (Note 1a) Net Assets
<S> <S> <C> <S> <C> <C> <C>
Austria Financial Services 320,000 Austria Fund (USD) $ 2,642,432 $ 2,520,000 0.0%
Total Equity Closed-End Funds
in Austria 2,642,432 2,520,000 0.0
Ireland Financial Services 150,000 Irish Investment Fund, Inc. (USD) 1,086,041 1,687,500 0.0
Total Equity Closed-End Funds
in Ireland 1,086,041 1,687,500 0.0
Italy Financial Services 150,000 Italy Fund (USD) 1,198,520 1,125,000 0.0
Total Equity Closed-End Funds
in Italy 1,198,520 1,125,000 0.0
<PAGE>
Portugal Financial Services 39,500 ++++Capital Portugal Fund 2,052,116 3,532,470 0.0
25,600 Jakarta Growth Fund (USD) 158,080 227,200 0.0
40,000 Portugal Fund (USD) 360,368 465,000 0.0
-------------- -------------- ------
2,570,564 4,224,670 0.0
Total Equity Closed-End Funds
in Portugal 2,570,564 4,224,670 0.0
Spain Financial Services 300,100 Growth Fund of Spain, Inc. (USD) 2,630,827 3,151,050 0.0
Total Equity Closed-End Funds
in Spain 2,630,827 3,151,050 0.0
United States Financial Services 166,666 European Warrant Fund 1,363,723 1,187,495 0.0
Total Equity Closed-End Funds
in the United States 1,363,723 1,187,495 0.0
Total Investments in Equity Closed-
End Funds 11,492,107 13,895,715 0.0
Preferred Stocks
Germany Multi-Industry 45,000 R.W.E. AG 8,725,424 12,781,179 0.2
Total Preferred Stocks in Germany 8,725,424 12,781,179 0.2
New Zealand Finance 5,585,700 Brierly Investments, Ltd.
(9% Convertible) 3,515,477 3,980,884 0.1
Total Preferred Stocks in New Zealand 3,515,477 3,980,884 0.1
Norway Financial Services 175,000 A/S Eksportfinans (8.70%) (USD) 4,377,500 4,571,875 0.1
Total Preferred Stocks in Norway 4,377,500 4,571,875 0.1
Spain Banking 225,000 Santander Overseas Bank (8%, Series D)
(USD) 5,463,250 5,568,750 0.1
Total Preferred Stocks in Spain 5,463,250 5,568,750 0.1
<PAGE>
United Engineering 750,000 AMEC PLC (6.50% Convertible) 968,501 747,259 0.0
Kingdom
Retail Stores 545,000 ++++Signet Group (Convertible)
(ADR)++ (USD) 2,194,907 4,223,750 0.1
Total Preferred Stocks in the
United Kingdom 3,163,408 4,971,009 0.1
United States Automobiles & 20,000 Ford Motor Co. (8.40% Convertible,
Equipment Series A) 1,000,000 1,880,000 0.0
Banking 55,000 California Federal Bank (10.625%) 5,500,000 6,022,500 0.1
100,000 First Nationwide Bank (11.50%) 10,000,000 11,400,000 0.1
100,000 Fourth Financial Corp. (Convertible,
Class A) 2,500,000 3,200,000 0.0
130,300 Marine Midland Banks, Inc. (Adjustable
Rate, Series A) 5,219,925 5,847,212 0.1
100,000 Onbancorp, Inc. (6.75% Convertible,
Series B) 2,668,750 2,650,000 0.0
-------------- -------------- ------
25,888,675 29,119,712 0.3
Energy & 150,000 ++++Grant Tensor Corp. (9.75% Convertible) 1,853,375 2,250,000 0.0
Petroleum 64,219 Santa Fe Energy Resources, Inc. (7%) 954,075 1,163,969 0.0
460,000 Santa Fe Energy Resources, Inc.
(Convertible, Class A) 4,082,500 4,485,000 0.1
-------------- -------------- ------
6,889,950 7,898,969 0.1
Health Care 1,080,000 US Surgical Corp. (Convertible) 24,354,000 31,185,000 0.4
Homebuilding & 165,800 Beazer Homes USA, Inc. (Exchangable,
Construction Series A) 4,145,000 4,621,675 0.1
Natural Resources 85,000 Alumax Inc. (Convertible, Series A) 7,240,312 10,561,250 0.1
150,000 Cyprus Amax Minerals Co. (Convertible,
Series A) 9,188,313 9,000,000 0.1
348,700 Freeport-McMoRan Copper & Gold, Inc.
(Convertible) 7,918,834 8,325,212 0.1
219,000 Freeport-McMoRan Inc.
(Convertible--Gold) 7,703,330 7,336,500 0.1
-------------- -------------- ------
32,050,789 35,222,962 0.4
Oil Service 447,200 Noble Drilling Corp. (Convertible) 10,745,382 10,732,800 0.1
Paper & Forest 200,000 Boise Cascade Corp. (Convertible,
Products Series G) 4,225,000 6,100,000 0.1
288,200 James River Corp. of Virginia
(9% Convertible, Series P) 4,971,450 8,790,100 0.1
-------------- -------------- ------
9,196,450 14,890,100 0.2
<PAGE>
Publishing 59,862 Times Mirror Company (Convertible,
Series B) 1,340,838 1,444,171 0.0
Real Estate 728,000 Catellus Development Corp.
(7.25% Convertible Exchangeable,
Series B) 33,521,250 27,664,000 0.3
Real Estate 666,000 National Health Investors, Inc.
Investment (8.50% Convertible) 16,650,000 18,065,250 0.2
Trusts 585,000 Prime Retail, Inc. (8.50% Convertible,
Series B) 10,456,875 10,749,375 0.1
835,500 Prime Retail, Inc. (10.50%) 19,316,161 16,292,250 0.2
-------------- -------------- ------
46,423,036 45,106,875 0.5
Savings Banks 619,900 Glendale Federal Savings Bank
(8.75% Convertible, Series E) 15,070,337 26,113,287 0.3
Total Preferred Stocks in the
United States 210,625,707 235,879,551 2.7
Total Investments in Preferred Stocks 235,870,766 267,753,248 3.3
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued) (in US dollars)
<CAPTION>
Currency Face Value Percent of
COUNTRY Industries Denomination Amount Fixed-Income Securities Cost (Note 1a) Net Assets
<S> <S> <S> <C> <S> <C> <C> <C>
Argentina Banking USD 22,000,000 Banco de Galicia y Buenos Aires S.A.
de C.V., 9% due 11/01/2003 $ 21,506,460 $ 16,610,000 0.2%
Banco Rio de la Plata:
USD 47,500,000 (Class 3), 8.50% due 7/15/1998 47,908,125 44,531,250 0.5
USD 56,000,000 8.75% due 12/15/2003 47,165,825 42,910,000 0.5
-------------- -------------- ------
116,580,410 104,051,250 1.2
<PAGE>
Government Republic of Argentina:
Obliga- USD 145,000,000 Discount Notes, 6.875% due
tions 3/31/2023 105,765,218 81,743,750 1.0
USD 165,000,000 Floating Rate Bonds, Series L,
6.812% due 3/31/2005 86,090,000 97,968,750 1.2
USD 22,500,000 Global Bonds, 8.375% due 12/20/2003 16,943,750 16,368,750 0.2
USD 324,000,000 Par Bonds, 5% due 3/31/2023 163,326,307 154,305,000 1.8
-------------- -------------- ------
372,125,275 350,386,250 4.2
Total Fixed-Income Securities in
Argentina 488,705,685 454,437,500 5.4
Australia Building & USD 26,410,000 Lend Lease Finance International,
Construction 4.75% due 6/01/2003 28,765,793 30,899,700 0.4
Food USD 14,000,000 Burns, Philp & Company Ltd.,
Processing Convertible Bonds, 5.50% due 4/30/2004 11,976,950 11,900,000 0.1
Total Fixed-Income Securities
in Australia 40,742,743 42,799,700 0.5
Brazil Government USD 35,000,000 Brazil Exit Bonds, 6% due 9/15/2013 19,572,768 17,762,500 0.2
Obligations Republic of Brazil:
USD 37,050,000 6.687% due 1/01/2001 (d) 28,959,563 31,677,750 0.4
USD 5,000,000 Discount Notes, 6.812% due 4/15/2024 3,100,000 2,968,750 0.0
USD 200,000,000 Par Z-L Step Up, 4.25% due 4/15/2024 77,492,950 97,000,000 1.1
-------------- -------------- ------
129,125,281 149,409,000 1.7
Media/ USD 15,000,000 Abril S.A., 12% due 10/25/2003 15,030,000 14,981,250 0.2
Publishing
Total Fixed-Income Securities
in Brazil 144,155,281 164,390,250 1.9
Canada Cable CAD 7,545,000 Rogers Cablesystem Inc., 9.65% due
1/15/2014 4,397,424 4,850,960 0.1
Hotel/ USD 23,500,000 Four Seasons Hotel, Inc., 9.125% due
Leisure 7/01/2000+++ 23,401,875 22,971,250 0.3
Industria USD 77,000,000 International Semi-Tech Micro-
electronics Inc., 11.50% due
8/15/2003 (b) 45,133,076 39,847,500 0.5
<PAGE>
Oil & Mark Resources Inc., Convertible
Related Bonds:
CAD 7,250,000 7% due 4/15/2002 5,052,564 4,701,826 0.1
CAD 1,250,000 8% due 11/30/2004 943,556 866,567 0.0
CAD 14,500,000 Talisman Energy Inc. (Ex-Warrants),
8.50% due 12/01/2000 11,040,982 10,754,752 0.1
-------------- -------------- ------
17,037,102 16,323,145 0.2
Paper & CAD 2,000,000 Macmillan Bloedel Limited,
Forest Convertible Bonds, 5% due 5/01/2007 1,024,416 1,177,786 0.0
Products
Real Olympia & York Inc.+++:
Estate CAD 57,194,000 Series 1, 10.70% due 11/04/1995 29,626,733 29,097,954 0.3
CAD 34,000,000 Series 2, 11% due 11/04/1998 18,060,242 17,297,801 0.2
-------------- -------------- ------
47,686,975 46,395,755 0.5
Resources CAD 52,000,000 Sherritt, Inc., 11% due 3/31/2004 37,605,634 39,440,924 0.5
USD 32,500,000 Sifto Canada, Inc., 8.50% due
7/15/2000 32,375,188 30,468,750 0.4
-------------- -------------- ------
69,980,822 69,909,674 0.9
Total Fixed-Income Securities
in Canada 208,661,690 201,476,070 2.5
France Auto- FRF 5,500 Peugeot, Convertible Bonds, 2% due
mobiles 1/01/2001 992,341 1,088,852 0.0
Banking FRF 58,000 Societe Generale, Convertible Bonds
(New), 3.50% due 1/01/2000 7,499,838 8,632,613 0.1
Government ECU 2,000,000 Credit Local de France, 8.683% due
Obligations 10/16/2001 (b) 1,696,399 1,682,925 0.0
Government of France:
FRF 285,000,000 7.75% due 10/25/2005 58,508,973 60,156,618 0.7
FRF 832,000,000 8.50% due 10/25/2019 160,403,364 180,912,519 2.1
ECU 151,000,000 8.25% due 4/25/2022 173,488,921 195,134,057 2.3
-------------- -------------- ------
394,097,657 437,886,119 5.1
Industrial FRF 30,000 Alcatel Alsthom, Convertible Bonds,
2.50% due 1/01/2004 3,926,887 4,627,843 0.1
Insurance FRF 35,500 Finaxa, Convertible Bonds, 3% due
1/01/2001 9,060,172 10,436,687 0.1
Multi- FRF 8,713 Compagnie Generale des Eaux,
Industry Convertible Bonds, 6% due 1/01/1998 4,859,722 5,743,855 0.1
Total Fixed-Income Securities
in France 420,436,617 468,415,969 5.5
<PAGE>
Germany Banking DEM 2,310,000 Commerzbank AG, Floating Rate
Convertible Bonds, 2% due 6/15/2001 1,556,456 2,311,973 0.0
Government DEM 275,000,000 Bundesrepublic Deutscheland, 7.75% due
Obligations 10/01/2004 200,300,000 209,656,179 2.5
DEM 137,000,000 Treuhandanstalt, 7.50% due 9/09/2004 88,369,351 104,066,558 1.2
-------------- -------------- ------
288,669,351 313,722,737 3.7
Government DEM 64,000,000 Baden-Wuerttemberg, 6.20% due
Obligations 11/22/2013 37,148,769 44,282,460 0.5
--Regional DEM 57,500,000 Freie Hansestadt Hamburg, 6.08% due
11/29/2018 33,152,404 39,539,436 0.5
DEM 168,000,000 Land Hessen, 6% due 11/29/2013 96,916,825 114,626,993 1.3
DEM 110,000,000 Mecklenberg Vorpommern, 6.15% due
6/16/2023 61,012,437 73,291,572 0.9
DEM 134,950,000 Nordrhein-Westfalen, 6.125% due
12/21/2018 77,420,913 92,797,338 1.1
Rheinland-Pfalz:
DEM 33,000,000 5.75% due 2/24/2014 18,324,663 22,046,199 0.3
DEM 64,000,000 6.08% due 11/29/2018 36,935,547 43,781,321 0.5
DEM 47,000,000 Sachsen-Anhalt, 6% due 1/10/2014 26,915,615 31,783,884 0.4
-------------- -------------- ------
387,827,173 462,149,203 5.5
Industrial USD 1,000,000 Siemens Corp. (with Warrants), 8% due
6/24/2002 (a) 1,318,750 1,360,200 0.0
Utilities USD 5,875,000 Veba International Finance (Warrants),
--Electric 6% due 4/06/2000 (a) 7,083,300 10,535,050 0.1
Total Fixed-Income Securities
in Germany 686,455,030 790,079,163 9.3
Hong Kong Industrial USD 11,300,000 Johnson Electric Holdings Ltd.,
Convertible Bonds, 4.50% due 11/05/2000 10,093,905 10,113,500 0.1%
Retail USD 11,500,000 Dairy Farm International Holdings Ltd.
(Preferred), 6.50% due 5/10/2049 9,118,375 8,653,750 0.1
Total Fixed-Income Securities in
Hong Kong 19,212,280 18,767,250 0.2
Indonesia Industrial USD 2,000,000 PT Indorayon, Convertible Bonds,
5.50% due 10/01/2002 2,363,125 2,170,000 0.0
Total Fixed-Income Securities
in Indonesia 2,363,125 2,170,000 0.0
</TABLE>
<PAGE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued) (in US dollars)
<CAPTION>
Currency Face Value Percent of
COUNTRY Industries Denomination Amount Fixed-Income Securities Cost (Note 1a) Net Assets
<S> <S> <S> <C> <S> <C> <C> <C>
Italy Telecom- Softe SA-LUX:
munica- ITL 11,500,000,000 Convertible Bonds, 4.25% due
tions 7/30/1998 $ 7,894,814 $ 8,383,083 0.1%
ITL 16,760,000,000 (Ex-Warrants), 8.75% due 3/24/1997 10,756,360 10,151,001 0.1
Total Fixed-Income Securities in Italy 18,651,174 18,534,084 0.2
Japan Auto- JPY 400,000,000 Toyota Motor Corp., Convertible Bonds,
mobiles 1.20% due 1/28/1998 2,477,431 4,176,471 0.1
& Equipment
Elec- JPY 988,000,000 Matsushita Electric Works, Convertible
tronics Bonds, 2.70% due 5/31/2002 9,691,544 11,061,725 0.1
Insurance JPY 13,000,000 Mitsui Marine & Fire Insurance Co.,
Ltd., 0.70% due 3/31/2003 118,211 124,265 0.0
JPY 8,000,000 Nichido Fire & Marine Insurance Co.,
Ltd., 1% due 3/31/2003 75,240 78,431 0.0
-------------- -------------- ------
193,451 202,696 0.0
Total Fixed-Income Securities
in Japan 12,362,426 15,440,892 0.2
Korea Energy USD 6,250,000 Ssangyong Oil Corp., 3.75% due
12/31/2008 6,681,062 6,531,250 0.1
Total Fixed-Income Securities in Korea 6,681,062 6,531,250 0.1
<PAGE>
Mexico Government USD 165,500,000 Banco Nacional (BNCE), 7.25% due
Obligations 2/02/2004 134,186,200 120,401,250 1.4
USD 32,500,000 Petroleos Mexicanos, 8.625% due
12/01/2023+++ 15,772,500 22,343,750 0.3
United Mexican States:
USD 18,583,000 8.50% due 9/15/2002 15,096,445 15,377,432 0.2
USD 85,000,000 Floating Notes, Series A, 6.765% due
12/31/2019 72,678,394 56,843,750 0.7
USD 38,000,000 Floating Notes, Series B, 7.187% due
12/31/2019 32,685,337 25,412,500 0.3
USD 25,000,000 Par Bonds, Series B, 6.25% due
12/31/2019 11,703,858 14,656,250 0.2
United Mexican States, Rights:
USD 83,460,000 (Series A) -- -- 0.0
USD 130,764,000 (Series B) -- -- 0.0
Total Fixed-Income Securities
in Mexico 282,122,734 255,034,932 3.1
New Zealand Utilities NZD 2,000,000 Natural Gas Corp. Holdings, Convertible
--Gas Bonds, 10.50% due 10/14/1997 1,186,318 2,626,402 0.0
Total Fixed-Income Securities in
New Zealand 1,186,318 2,626,402 0.0
Portugal Banking ECU 19,300,000 Banco Commercial Portuguese, Convertible
Bonds, 8.75% due 5/21/2002 26,468,747 26,072,023 0.3
Total Fixed-Income Securities
in Portugal 26,468,747 26,072,023 0.3
Singapore Paper & USD 19,500,000 APP International Finance, 11.75% due
Forest 10/01/2005 19,500,000 19,792,500 0.2
Products
Total Fixed-Income Securities
in Singapore 19,500,000 19,792,500 0.2
South Africa Metals USD 5,000,000 Samancor Ltd., 7% due 6/30/2004 4,793,750 4,825,000 0.1
Total Fixed-Income Securities in
South Africa 4,793,750 4,825,000 0.1
Spain Government ESP 30,275,000,000 Government of Spain, 10% due 2/28/2005 218,935,863 235,919,086 2.8
Obligations
Total Fixed-Income Securities
in Spain 218,935,863 235,919,086 2.8
<PAGE>
Sweden Industrial ECU 7,000,000 SKF--AB Lyons, Convertible Bonds,
8.01% due 7/26/2002 (b) 5,450,776 5,344,794 0.1
Multi- ECU 1,000,000 Investor International Placements,
Industry Convertible Bonds, 7.25% due 6/21/2001 1,001,412 1,585,818 0.0
Total Fixed-Income Securities
in Sweden 6,452,188 6,930,612 0.1
Switzerland Chemicals USD 24,945,000 Ciba-Geigy Corp., Convertible Bonds,
6.25% due 3/15/2016+++ 25,632,050 24,945,000 0.3
Industrial CHF 1,401,000 Ciba-Geigy AG, Convertible Bonds,
2% due 8/09/1998 1,178,587 1,949,954 0.0
Newspaper/ CHF 3,020,000 News International PLC, 5.375% due
Publishing 4/30/1996 1,115,703 2,691,195 0.0
Total Fixed-Income Securities in
Switzerland 27,926,340 29,586,149 0.3
Taiwan Metals/ USD 2,220,000 Tung Ho Steel Enterprise, Convertible
Steel Bonds, 4% due 7/26/2001 2,243,700 2,597,400 0.0
Total Fixed-Income Securities
in Taiwan 2,243,700 2,597,400 0.0
United Building GBP 3,250,000 Redland Capital PLC, Convertible Bonds,
Kingdom Materials 7.25% due 1/28/2002 5,382,804 4,780,084 0.1
Energy GBP 29,990,000 Elf Enterprises Finance PLC,
Convertible Bonds, 8.75% due 6/27/2006 48,109,352 46,954,893 0.6
Financial GBP 3,550,000 SG Warburg Group, Convertible Bonds,
Services 6.50% due 8/04/2008 5,416,350 4,772,176 0.1
GBP 11,600,000 TransAtlantic Holdings PLC,
Convertible Bonds, 5.50% due 4/30/2009 14,179,895 14,584,593 0.2
-------------- -------------- ------
19,596,245 19,356,769 0.3
Food & GBP 750,000 Allied Domecq PLC, 6.75% due 7/07/2008 1,119,092 1,147,576 0.0
Beverage
Foods GBP 7,750,000 Tate & Lyle International, Convertible
Bonds, 5.75% due 3/21/2001 10,092,554 10,448,773 0.1
Government GBP 32,000,000 U.K.T.N., Bond, 6.75% due 11/26/2004 47,302,702 46,749,140 0.6
Obligations
<PAGE>
Industrial USD 2,000,000 HIH Capital Ltd., Convertible Bonds,
7.50% due 9/25/2006 1,665,000 1,440,000 0.0
USD 1,890,000 HIH Capital Ltd., Convertible Bonds
(Bearer), 7.50% due 9/25/2006+++ 1,005,400 1,379,700 0.0
-------------- -------------- ------
2,670,400 2,819,700 0.0
Multi- GBP 4,875,000 English China Clays PLC, Convertible
Industry Bonds, 6.50% due 9/30/2003 8,364,034 7,208,675 0.1
GBP 6,375,000 Hanson PLC, 9.50% due 1/31/2006 11,769,997 10,157,678 0.1
-------------- -------------- ------
20,134,031 17,366,353 0.2
Real GBP 500,000 Land Securities PLC, Convertible Bonds,
Estate 6.75% due 12/31/2002 679,603 769,004 0.0
Retail GBP 8,350,000 Sainsbury (J.) PLC, Convertible Bonds,
8.50% due 11/19/2005 16,072,715 16,506,906 0.2
Utilities GBP 2,000,000 National Power PLC, Convertible Bonds,
6.25% due 9/23/2008 3,262,275 3,597,912 0.0
Total Fixed-Income Securities in the
United Kingdom 174,421,773 170,497,110 2.1
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued) (in US dollars)
<CAPTION>
Currency Face Value Percent of
COUNTRY Industries Denomination Amount Fixed-Income Securities Cost (Note 1a) Net Assets
<S> <S> <S> <C> <S> <C> <C> <C>
United Aerospace USD 2,750,000 Rohr Industries, Inc., Convertible
States Bonds, 7.75% due 5/15/2004 $ 2,750,000 $ 3,932,500 0.1%
Airlines USAir Inc.:
USD 4,337,927 9.33% due 1/01/2006 4,229,913 3,871,600 0.0
USD 19,300,000 10.375% due 3/01/2013 17,593,625 18,528,000 0.2
USD 7,500,000 USAir Pass Thru, 9.625% due
9/01/2003 (d) 7,495,625 7,181,250 0.1
-------------- -------------- ------
29,319,163 29,580,850 0.3
Banking USD 14,250,000 Berkeley Federal Bank, 12% due
6/15/2005 14,250,000 14,570,625 0.2
USD 3,000,000 Roosevelt Financial Group, Inc.,
9.50% due 8/01/2002 3,000,000 3,005,400 0.0
-------------- -------------- ------
17,250,000 17,576,025 0.2
<PAGE>
Building & USD 39,250,000 United International Holdings, Inc.,
Construction 14% due 11/15/1999 (b) (i) 22,718,503 24,335,000 0.3
Building USD 15,000,000 DalTile International, Inc., 11.955%
Materials due 7/15/1998 (b) 10,581,301 11,325,000 0.1
USD 41,100,000 Tarkett AG, 9% due 3/01/2002 39,413,750 43,566,000 0.5
-------------- -------------- ------
49,995,051 54,891,000 0.6
Cable/ USD 15,000,000 Bell Cablemedia PLC, 11.875% due
Telecom- 9/15/2005+++ 8,549,312 9,000,000 0.1
munications
Chemicals USD 10,000,000 Laroche Industries Inc., 13% due
8/15/2004 10,325,000 10,600,000 0.1
Computers USD 15,225,000 Dell Computer Corp., 11% due 8/15/2000 15,322,187 16,823,625 0.2
Energy USD 12,374,000 Transamerican Refining Corp., 18.29%
due 2/15/2002 (b) 7,776,958 8,599,930 0.1
USD 30,000,000 TransTexas Gas Corp., 11.50% due
6/15/2002 30,000,000 31,350,000 0.4
-------------- -------------- ------
37,776,958 39,949,930 0.5
Financial CHF 4,010,000 Chrysler Financial Corp., 5.75% due
Services 6/18/1996 1,914,011 3,599,943 0.0
USD 20,000,000 First City Financial Corp., Ltd., 9%
due 9/30/1997 19,877,500 19,900,000 0.2
Lomas Mortgage USA, Inc.:
USD 11,000,000 9.75% due 10/01/1997 10,465,250 5,472,500 0.1
USD 7,500,000 10.25% due 10/01/2002 7,000,000 3,731,250 0.0
USD 2,008,000 US Trails, Senior Secured Notes, 12%
due 7/15/1998 1,642,685 1,265,040 0.0
-------------- -------------- ------
40,899,446 33,968,733 0.3
Health USD 7,200,000 Cetus (Chiron) Corp., Convertible
Care Bonds, 5.25% due 5/21/2002 5,220,250 6,840,000 0.1
USD 8,500,000 Mediq/PRN, Senior Notes, 11.125% due
7/01/1999 8,845,000 8,202,500 0.1
-------------- -------------- ------
14,065,250 15,042,500 0.2
<PAGE>
Home- USD 31,950,000 Baldwin Co., 10.375% due 8/01/2003+++ 30,215,562 14,377,500 0.2
building & USD 37,500,000 Beazer Homes USA, Inc., 9% due
Construc- 3/01/2004 35,597,000 36,000,000 0.4
tion USD 18,500,000 K. Hovnanian Enterprises, 9.75% due
6/01/2005 17,970,000 15,725,000 0.2
USD 30,000,000 MDC Holdings Inc., 11.125% due
12/15/2003 28,916,500 28,275,000 0.3
USD 28,250,000 Presley Companies, Senior Notes,
12.50% due 7/01/2001 28,190,312 22,882,500 0.3
USD 3,500,000 Webb (Del E.) Corp., 9% due 2/15/2006 2,734,375 3,246,250 0.0
-------------- -------------- ------
143,623,749 120,506,250 1.4
Hospital USD 1,000,000 Novacare, Inc., Convertible Bonds,
Management 5.50% due 1/15/2000 857,500 860,000 0.0
Industrial USD 22,000,000 AM General Corp., 12.875% due
5/01/2002 21,834,060 21,780,000 0.3
USD 10,000,000 Acetex Corporation, 9.75% due
10/01/2003+++ 9,956,300 10,275,000 0.1
USD 20,000,000 Crown Packaging Ltd., 10.75% due
11/01/2000 20,000,000 19,800,000 0.2
USD 10,000,000 Easco Corp., 10% due 3/15/2001 10,005,000 9,900,000 0.1
USD 22,000,000 Envirotest Systems Corp., 9.125% due
3/15/2001 20,517,210 17,380,000 0.2
USD 27,250,000 Genmar Holdings, Inc., 13.50% due
7/15/2001 27,127,100 26,705,000 0.3
USD 8,590,000 Hanson America, Convertible Bonds,
2.39% due 3/01/2001 6,647,976 6,914,950 0.1
USD 2,350,000 MDC Holdings, Inc., Convertible Bonds,
8.75% due 12/15/2005 2,021,000 2,350,000 0.0
USD 9,000,000 Merisel, Inc., 12.50% due 12/31/2004 9,000,000 6,750,000 0.1
USD 30,500,000 Plastic Specialties & Technology,
Inc., 11.25% due 12/01/2003 30,540,000 27,450,000 0.3
USD 7,500,000 Portola Packaging Inc., 10.75% due
10/01/2005 7,526,250 7,668,750 0.1
-------------- -------------- ------
165,174,896 156,973,700 1.8
Insurance USD 7,750,000 Horace Mann Educators, Inc.,
Convertible Bonds, 6.50% due
12/01/1999 (b) 7,682,500 7,846,875 0.1
USD 22,500,000 Mutual Life Insurance Co., N.Y.,
11.25% due 8/15/2024 (b) 14,859,187 17,662,500 0.2
USD 12,500,000 Nacolah Holding Corp., 9.50% due
12/01/2003 12,500,000 12,250,000 0.1
-------------- -------------- ------
35,041,687 37,759,375 0.4
Leisure & USD 5,000,000 Rio Hotel & Casino Inc., 10.625%
Tourism due 7/15/2005+++ 5,000,000 4,900,000 0.1
<PAGE>
Merchand- USD 12,000,000 Price Club Co., Convertible Bonds,
ising 5.50% due 2/28/2012 11,213,250 11,700,000 0.1
Oil & PDV America, Inc.:
Related USD 35,000,000 7.25% due 8/01/1998 34,856,150 33,862,500 0.4
USD 10,000,000 7.75% due 8/01/2000 10,062,500 9,550,000 0.1
USD 6,000,000 USX Marathon Oil Co., 7% due 6/15/2017 5,650,000 5,625,000 0.1
-------------- -------------- ------
50,568,650 49,037,500 0.6
Packaging USD 13,450,000 Anchor Glass Container Corp., 10.25%
& Container due 6/30/2002 12,815,164 12,037,750 0.1
Real USD 24,500,000 Alexander Haagen Properties Inc.,
Estate Exchangeable Debentures, 7.25% due
12/27/2003 24,348,750 23,213,750 0.3
USD 25,000,000 First Washington Realty, 8.25% due
6/26/1999 25,000,000 24,750,000 0.3
LTC Properties, Inc.:
USD 10,000,000 8.25% due 1/01/1999 10,000,000 10,000,000 0.1
USD 10,000,000 8.50% due 1/01/2001 10,000,000 9,950,000 0.1
USD 27,000,000 Malan Realty Investors, Inc.,
Convertible Bonds, 8.50% due 7/01/2003 27,000,000 27,675,000 0.3
USD 23,845,781 RTC Commercial Mortgage, Class E,
8.25% due 12/25/2020 (d) 23,480,642 23,070,793 0.3
-------------- -------------- ------
119,829,392 118,659,543 1.4
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued) (in US dollars)
<CAPTION>
Currency Face Value Percent of
COUNTRY Industries Denomination Amount Fixed-Income Securities Cost (Note 1a) Net Assets
<S> <S> <S> <C> <S> <C> <C> <C>
United States Real USD 7,000,000 Centerpoint Properties Corp.,
(concluded) Estate Convertible Bonds, 8.22% due 1/15/2004 $ 7,000,000 $ 8,855,000 0.1%
Investment USD 30,000,000 First Union Real Estate, 8.875% due
Trusts 10/01/2003 29,756,100 27,675,000 0.3
USD 12,500,000 Liberty Property Trust, Convertible
Bonds, 8% due 7/01/2001 12,500,000 12,812,500 0.2
Meditrust, Convertible Bonds:
USD 5,000,000 7% due 3/01/1998 5,035,000 5,562,500 0.1
USD 5,000,000 8.549% due 2/01/2000 (Series A) 5,000,000 5,250,000 0.1
USD 14,000,000 7.50% due 3/01/2001 14,000,000 14,140,000 0.2
USD 5,000,000 Mid-Atlantic Realty Trust, Convertible
Bonds, 7.625% due 9/15/2003 4,875,000 4,237,500 0.1
USD 5,000,000 National Health Investors, Inc.,
Convertible Bonds, 7.375% due 4/01/1998 5,125,000 5,475,000 0.1
USD 24,500,000 Nationwide Health Properties Inc.,
Convertible Bonds, 6.25% due 1/01/1999 24,300,000 24,377,500 0.3
USD 5,500,000 Sizeler Property Investors, Inc.,
Convertible Bonds, 8% due 7/15/2003 5,505,000 4,785,000 0.1
-------------- -------------- ------
113,096,100 113,170,000 1.6
<PAGE>
Resources USD 32,500,000 Freeport-McMoRan Resources, 8.75% due
2/15/2004 31,378,750 32,825,000 0.4
Savings USD 15,000,000 Crossland Federal Savings Bank, 9% due
Banks 9/01/2003 15,634,250 15,975,000 0.2
USD 21,400,000 First Federal Financial Corporation,
11.75% due 10/01/2004 21,401,250 21,614,000 0.3
-------------- -------------- ------
37,035,500 37,589,000 0.5
Steel USD 23,625,000 NS Group, Inc., 13.50% due
7/15/2003 (g) 22,545,928 19,608,750 0.2
Super- USD 41,650,000 Eagle Food Centers Inc., 8.625% due
markets 4/15/2000 37,200,837 23,740,500 0.3
USD 4,000,000 Pueblo Xtra International Inc., 9.50%
due 8/01/2003 3,666,250 3,820,000 0.0
USD 10,000,000 TLC Beatrice International Holdings
Inc., 11.50% due 10/01/2005 10,000,000 9,775,000 0.1
-------------- -------------- ------
50,867,087 37,335,500 0.4
Tele- USD 41,750,000 American Telecasting Inc., 13.308%
communi- due 8/15/2000 (b) (f)+++ 21,351,378 23,484,375 0.3
cations USD 20,500,000 Busse Broadcasting, 11.625% due
10/15/2000+++ 19,671,800 19,782,500 0.2
USD 7,000,000 CAI Wireless Systems Inc., 12.25%
due 9/15/2002 7,000,000 7,420,000 0.1
USD 19,500,000 Call Net Enterprise, Inc., 13.07%
due 12/01/2004 (b) 11,546,121 13,796,250 0.2
USD 46,500,000 CellNet Data Systems (Warrants),
9.1479% due 6/15/2005 (b) (h)+++ 25,975,588 26,272,500 0.3
USD 100,000,000 Geotek Communications Inc., 15%
due 7/15/2005 (b) (j)+++ 50,728,618 51,500,000 0.6
Nextel Communications, Inc. (b):
USD 3,000,000 11.21% due 9/01/2003 2,217,161 1,740,000 0.0
USD 33,500,000 9.96% due 8/15/2004 22,961,426 16,750,000 0.2
CAD 5,000,000 Rogers Communications Inc., 7.50%
due 9/01/1999 3,394,000 3,428,997 0.0
-------------- -------------- ------
164,846,092 164,174,622 1.9
Textiles USD 12,500,000 Consoltex Group, Inc., 11% due
& Apparel 10/01/2003 12,530,000 11,875,000 0.1
USD 23,500,000 Salant Corp., Secured, 10.50%
due 12/31/1998 23,030,000 19,622,500 0.2
USD 18,250,000 Texfi Industries, Inc., 8.75%
due 8/01/1999 17,930,300 14,873,750 0.2
-------------- -------------- ------
53,490,300 46,371,250 0.5
<PAGE>
Trans- USD 8,625,000 Eletson Holdings Inc., 9.25% due
portation 11/15/2003 8,658,437 8,495,625 0.1
USD 22,000,000 OMI Corp., 10.25% due 11/01/2003 21,910,000 19,360,000 0.2
-------------- -------------- ------
30,568,437 27,855,625 0.3
Utilities-- CTC Mansfield Funding Corp.:
Electric USD 5,500,000 10.25% due 3/30/2003 5,620,000 5,603,125 0.1
USD 5,000,000 11.125% due 9/30/2016 5,350,000 5,187,500 0.1
USD 30,000,000 California Energy Co., Inc., 10.25%
due 1/15/2004 (b) 26,526,120 26,850,000 0.3
USD 8,000,000 Calpine Corp., Inc., 9.25% due
2/01/2004 7,277,500 7,040,000 0.1
Cleveland Electric Illuminating
Company Inc., First Mortgage:
USD 5,000,000 9.30% due 7/26/1999 5,437,500 5,043,750 0.1
USD 12,500,000 9.25% due 7/29/1999 13,562,500 12,593,750 0.2
USD 3,000,000 9.05% due 8/15/2001 3,093,750 2,985,000 0.0
USD 7,500,000 7.625% due 8/01/2002 7,462,500 6,881,250 0.1
USD 5,000,000 7.375% due 6/01/2003 4,700,000 4,468,750 0.1
El Paso Funding:
USD 4,050,000 9.20% due 7/02/1997 3,286,000 2,551,500 0.0
USD 25,000,000 10.375% due 1/02/2011 21,170,000 15,750,000 0.2
USD 62,040,000 10.75% due 4/01/2013 52,996,150 39,085,200 0.5
USD 7,500,000 Public Service Company of New Mexico,
First PV Funding, 10.30% due 1/15/2014 7,137,750 7,650,000 0.1
USD 22,818,000 Public Service Company of New Mexico,
EIP Funding, 10.25% due 10/01/2012 22,818,000 23,559,585 0.3
Toledo Edison Co.:
USD 2,000,000 9.30% due 4/01/1998 2,130,000 2,007,500 0.0
USD 13,925,000 7.25% due 8/01/1999 13,925,000 13,054,687 0.2
USD 3,000,000 9.50% due 4/01/2001 3,221,250 3,030,000 0.0
USD 1,500,000 7.85% due 3/31/2003 1,296,450 1,374,375 0.0
USD 2,000,000 7.91% due 4/01/2003 1,992,500 1,832,500 0.0
-------------- -------------- ------
209,002,970 186,548,472 2.4
Total Fixed-Income Securities
in the United States 1,505,926,322 1,433,612,500 17.0
Total Investments in Fixed-Income
Securities 4,318,404,848 4,370,535,842 51.8
Short-Term Securities
<PAGE>
Canada Foreign CAD 84,700,000 Canada Treasury Bill, 6.41% due
Government 11/16/1995 62,831,628 62,948,863 0.7
Obligations*
Total Short-Term Investments in Canada 62,831,628 62,948,863 0.7
Mexico Foreign Mexican Cetes (Certificados de la
Government Tesoreria de la Federacion):
Obliga- MXN 76,000,000 49% due 12/14/1995 10,346,929 10,145,796 0.1
tions* MXN 212,150,560 24.749% due 2/22/1996 31,290,927 26,002,657 0.3
MXN 82,186,000 26.249% due 2/15/1996 12,466,938 10,156,752 0.1
MXN 18,653,450 60.149% due 2/01/1996 2,557,316 2,342,863 0.0
Total Short-Term Investments in Mexico 56,662,110 48,648,068 0.5
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (concluded) (in US dollars)
<CAPTION>
Currency Face Value Percent of
COUNTRY Industries Denomination Amount Fixed-Income Securities Cost (Note 1a) Net Assets
<S> <S> <S> <C> <S> <C> <C> <C>
United States Commer- USD 50,000,000 ABN AMRO North America Finance, Inc.,
cial 5.70% due 11/17/1995 $ 49,873,333 $ 49,873,333 0.6%
Paper* Ciesco L.P.:
USD 50,000,000 5.75% due 11/16/1995 49,880,208 49,880,208 0.6
USD 50,000,000 5.68% due 12/04/1995 49,739,667 49,739,667 0.6
USD 50,000,000 Deutsche Bank Financial, Inc., 5.70%
due 11/22/1995 49,833,750 49,833,750 0.6
du Pont (E.I.) de Nemours & Co.:
USD 50,000,000 5.67% due 11/10/1995 49,929,125 49,929,125 0.6
USD 50,000,000 5.65% due 11/22/1995 49,835,208 49,835,208 0.6
USD 36,271,000 General Electric Capital Corp., 5.85%
due 11/01/1995 36,271,000 36,271,000 0.4
Goldman Sachs Group L.P.:
USD 50,000,000 5.72% due 11/02/1995 49,992,056 49,992,056 0.6
USD 70,000,000 5.73% due 11/02/1995 69,988,858 69,988,858 0.8
Matterhorn Capital Corp.:
USD 2,332,000 5.75% due 11/01/1995 2,332,000 2,332,000 0.0
USD 26,555,000 5.72% due 11/28/1995 26,441,079 26,441,079 0.3
USD 20,000,000 Sheffield Receivables Corp., 5.75%
due 11/03/1995 19,993,611 19,993,611 0.2
USD 120,000,000 UBS Finance Delaware Inc., 5.88%
due 11/01/1995 120,000,000 120,000,000 1.4
Wal-Mart Stores, Inc.:
USD 41,000,000 5.70% due 11/28/1995 40,824,725 40,824,725 0.5
USD 50,000,000 5.67% due 12/04/1995 49,740,125 49,740,125 0.6
<PAGE>
Total Investments in United States
Commercial Paper 714,674,745 714,674,745 8.4
US USD 30,000,000 Federal Home Loan Bank, 5.63%
Government due 11/02/1995 29,995,308 29,995,308 0.4
Agency USD 50,000,000 Federal National Mortgage Association,
Obligations* 5.62% due 11/13/1995 49,906,333 49,906,333 0.6
Total Investments in US Government
Agency Obligations 79,901,641 79,901,641 1.0
Total Investments in Short-Term
Securities 914,070,124 906,173,317 10.6
Total Investments $7,997,322,562 8,436,845,834 98.9
==============
Unrealized Depreciation on Forward Foreign Exchange Contracts** (27,065,122) (0.3)
Variation Margin on Futures Contracts*** 432,750 0.0
Other Assets Less Liabilities 124,976,997 1.4
-------------- ------
Net Assets $8,535,190,459 100.0%
============== ======
<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 expiration date.
(b)Represents a zero coupon or step bond; the interest rate shown is the effective yield
at the time of purchase.
(c)Security held as collateral in connection with open futures contracts.
(d)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.
(e)Name changed from Crossland Federal Savings Bank.
(f)Each $1,000 face amount contains one warrant of American Telecasting Inc.
(g)Each $1,000 face amount contains one warrant of NS Group, Inc.
(h)Each $1,000 face amount contains four warrants of CellNet Data Systems.
(i)Each $1,000 face amount contains one warrant of United International Holdings, Inc.
(j)Each $1,000 face amount contains 30 warrants of Geotek Communications, Inc.
++American Depositary Receipts (ADR).
++++Non-income producing security.
+++Restricted securities. The value of the Fund's investment in restricted securities was
approximately $279,249,000, representing 3.3% of net assets.
<PAGE>
<CAPTION>
Acquisition Value
Issue Date Cost (Note 1a)
<S> <C> <C> <C>
Acetex Corporation, 9.75% due 10/01/2003 9/22/1995 9,956,300 10,275,000
American Telecasting Inc., 13.308% due
8/15/2000 8/07/1995 21,351,378 23,484,375
Baldwin Co., 10.375% due 8/01/2003 7/15/1993 30,215,562 14,377,500
Bell Cablemedia PLC, 11.875% due
9/15/2000 9/13/1995 8,549,312 9,000,000
Busse Broadcasting, 11.625% due
10/15/2000 10/19/1995 19,671,800 19,782,500
Cell Net Data Systems 9.1479% due
6/15/2005 6/06/1995 25,975,588 26,272,500
Ciba-Geigy Corp., Convertible Bonds,
6.25% due 3/15/2016 3/23/1993 25,632,050 24,945,000
Four Seasons Hotel, Inc., 9.125%
due 7/01/2000 6/23/1993 23,401,875 22,971,250
Geotek Communications Inc., 15%
due 7/15/2000 7/31/1995 50,728,618 51,500,000
HIH Capital Ltd., Convertible Bonds
(Bearer), 7.50% due 9/25/2006 7/23/1992 1,005,400 1,379,700
Olympia & York Inc.:
Series 1, 10.70% due 11/04/1995 8/19/1993 29,626,733 29,097,954
Series 2, 11% due 11/04/1998 8/19/1993 18,060,242 17,297,807
Petroleos Mexicanos, 8.625%
due 12/01/2023 2/28/1995 15,772,500 22,343,750
Plains Resources, Inc. 7/14/1994 1,381,815 1,621,318
Rio Hotel & Casino Inc., 10.625%
due 7/15/2005 7/18/1995 5,000,000 4,900,000
$286,329,173 $279,248,654
============ ============
+++++Investment in Companies 5% or more of whose outstanding securities are held
by the Fund (such companies are defined as "Affiliated Companies" in section
2(a)(3) of the Investment Company Act of 1940) are as follows:
<CAPTION>
Net Share Net Dividend
Industry Affiliate Activity Cost Income
<S> <S> <C> <C> <C>
Healthcare
Services Advocat, Inc. (50,000) $(475,000) --
Textiles Burlington Industries, Inc. -- -- --
Retail Stores Buttrey Food &
Drug Stores Co. -- -- --
Retail Stores Filene's Basement Corp. -- -- --
Banking Oriental Bank and Trust(1) 73,600 -- $102,598
<PAGE>
(1)Oriental Band and Trust had a 5-for-4 split.
*Commercial Paper and certain US and Foreign Government Agency Obligations
are traded on a discount basis. The interest rates shown are the rates in effect on
October 31, 1995.
**Forward Foreign Exchange Contracts as of October 31, 1995 were as follows:
<CAPTION>
Unrealized
Foreign Expiration Appreciation
Currency Sold Date (Depreciation)
<S> <C> <S> <C>
CHF 58,000,000 November 1995 $ (2,577,874)
DEM 603,000,000 November 1995 (15,209,505)
DEM 305,000,000 December 1995 (2,434,954)
DEM 170,000,000 January 1996 (1,123,327)
ECU 40,000,000 November 1995 221,720
ECU 21,000,000 December 1995 (434,007)
ECU 75,000,000 January 1996 (597,415)
ESP 10,000,000,000 November 1995 (1,150,531)
ESP 8,500,000,000 December 1995 (1,037,515)
ESP 6,000,000,000 January 1996 575,017
FRF 516,000,000 November 1995 (3,042,421)
FRF 395,000,000 December 1995 (1,577,228)
FRF 515,000,000 January 1996 (1,748,158)
GBP 87,000,000 November 1995 (1,136,088)
GBP 35,000,000 December 1995 (21,790)
NLG 153,500,000 November 1995 (2,553,909)
NLG 6,000,000 December 1995 (7,299)
JPY 15,600,000,000 November 1995 3,423,925
JPY 10,500,000,000 December 1995 2,171,176
JPY 8,000,000,000 January 1996 1,195,061
Total (USD Commitment--$2,092,687,555) Unrealized
Depreciation--Net On Forward Foreign Exchange Contracts $(27,065,122)
============
***Financial Futures Contracts purchased as of October 31, 1995 were as follows:
<PAGE>
<CAPTION>
Number of Expiration Value
Contracts Issue Date (Note 1a)
<C> <S> <S> <C>
330 Standard & Poor's 500 Index December 1995 $ (96,335,250)
400 US Treasury Notes December 1995 (44,612,500)
Total Financial Futures Contracts Purchased
(Total Contract Price--$139,435,250) $(140,947,750)
=============
See Notes to Financial Statements.
</TABLE>
<TABLE>
STATEMENT OF ASSETS AND LIABILITIES
<CAPTION>
As of October 31, 1995
<S> <S> <C> <C>
Assets: Investments, at value (identified cost--$7,997,322,562) (Note 1a) $8,436,845,834
Foreign cash (Note 1c) 50,278,102
Receivables:
Interest $113,737,861
Capital shares sold 22,871,472
Securities sold 19,725,752
Dividends 7,457,274
Variation margin (Note 1d) 432,750
Forward foreign exchange contracts (Note 1d) 203,953 164,429,062
------------
Prepaid registration fees and other assets (Note 1g) 128,947
--------------
Total assets 8,651,681,945
--------------
Liabilities: Unrealized depreciation on forward foreign exchange contracts (Note 1d) 27,065,122
Payables:
Securities purchased 57,357,061
Capital shares redeemed 9,269,931
Distributor (Note 2) 6,024,422
Investment adviser (Note 2) 5,181,615
Forward foreign exchange contracts (Note 1d) 3,079,630 80,912,659
--------------
Accrued expenses and other liabilities 8,513,705
--------------
Total liabilities 116,491,486
--------------
<PAGE>
Net Assets Net assets $8,535,190,459
==============
Net Assets Class A Shares of Common Stock, $0.10 par value, 200,000,000
Consist of: shares authorized $ 10,472,858
Class B Shares of Common Stock, $0.10 par value, 900,000,000
shares authorized 47,731,722
Class C Shares of Common Stock, $0.10 par value, 200,000,000
shares authorized 734,384
Class D Shares of Common Stock, $0.10 par value, 900,000,000
shares authorized 1,807,372
Paid-in capital in excess of par 7,638,461,949
Undistributed investment income--net 159,653,484
Undistributed realized capital gains on investments and foreign
currency transactions--net 264,914,793
Unrealized appreciation on investments and foreign currency
transactions--net 411,413,897
--------------
Net assets $8,535,190,459
==============
Net Asset Class A--Based on net assets of $1,487,805,515 and 104,728,579 shares
Value: outstanding $ 14.21
==============
Class B--Based on net assets of $6,688,498,717 and 477,317,223 shares
outstanding $ 14.01
==============
Class C--Based on net assets of $102,361,445 and 7,343,836 shares
outstanding $ 13.94
==============
Class D--Based on net assets of $256,524,782 and 18,073,722 shares
outstanding $ 14.19
==============
See Notes to Financial Statements.
</TABLE>
<TABLE>
STATEMENT OF OPERATIONS
<CAPTION>
For the Year Ended October 31, 1995
<S> <S> <C> <C>
Investment Interest and discount earned (net of $40,585 foreign withholding tax) $ 447,094,943
Income Dividends (net of $3,856,493 foreign withholding tax) 102,011,176
(Notes 1e & 1f): Other 501,626
--------------
Total income 549,607,745
--------------
<PAGE>
Expenses: Account maintenance and distribution fees--Class B (Note 2) 63,684,524
Investment advisory fees (Note 2) 55,558,045
Transfer agent fees--Class B (Note 2) 10,321,194
Custodian fees 3,297,038
Transfer agent fees--Class A (Note 2) 1,934,396
Printing and shareholder reports 1,098,612
Accounting services (Note 2) 611,736
Account maintenance and distribution fees--Class C (Note 2) 524,570
Account maintenance fees--Class D (Note 2) 401,709
Professional fees 270,676
Transfer agent fees--Class D (Note 2) 227,369
Registration fees (Note 1g) 133,227
Transfer agent fees--Class C (Note 2) 93,551
Directors' fees and expenses 38,977
Pricing fees 16,564
Other 107,625
--------------
Total expenses 138,319,813
--------------
Investment income--net 411,287,932
--------------
Realized & Realized gain (loss) from:
Unrealized Investments--net $ 265,092,014
Gain (Loss) on Foreign currency transactions--net (13,781,168) 251,310,846
Investments & --------------
Foreign Currency Change in unrealized appreciation/depreciation on:
Transactions--Net Investments--net 368,963,114
(Notes 1c, 1d, Foreign currency transactions--net 6,443,069 375,406,183
1f & 3): -------------- --------------
Net realized and unrealized gain on investments and foreign currency
transactions 626,717,029
--------------
Net Increase in Net Assets Resulting from Operations $1,038,004,961
==============
See Notes to Financial Statements.
</TABLE>
<TABLE>
STATEMENTS OF CHANGES IN NET ASSETS
<CAPTION>
For the Year Ended
October 31,
Increase (Decrease) in Net Assets: 1995 1994
<S> <S> <C> <C>
Operations: Investment income--net $ 411,287,932 $ 261,655,320
Realized gain on investments and foreign currency transactions--net 251,310,846 27,450,270
Change in unrealized appreciation/depreciation on investments and
foreign currency transactions--net 375,406,183 (244,977,781)
-------------- --------------
Net increase in net assets resulting from operations 1,038,004,961 44,127,809
-------------- --------------
<PAGE>
Dividends & Investment income--net:
Distributions to Class A (40,572,591) (42,294,885)
Shareholders Class B (127,353,416) (157,338,890)
(Note 1h): Class C (874,590) --
Class D (3,765,243) --
Realized gain on investments--net:
Class A (31,500,182) (16,636,230)
Class B (150,016,954) (80,810,426)
Class C (426,507) --
Class D (2,156,668) --
-------------- --------------
Net decrease in net assets resulting from dividends and distributions
to shareholders (356,666,151) (297,080,431)
-------------- --------------
Capital Share Net increase in net assets derived from capital share transactions 26,500,607 2,862,952,855
Transactions -------------- --------------
(Note 4):
Net Assets: Total increase in net assets 707,839,417 2,610,000,233
Beginning of year 7,827,351,042 5,217,350,809
-------------- --------------
End of year* $8,535,190,459 $7,827,351,042
============== ==============
<FN>
*Undistributed investment income--net (Note 1i) $ 159,653,484 $ 93,144,339
============== ==============
See Notes to Financial Statements.
</TABLE>
<TABLE>
FINANCIAL HIGHLIGHTS
<CAPTION>
The following per share data and ratios have been derived
from information provided in the financial statements. Class A
For the Year Ended October 31,
Increase (Decrease) in Net Asset Value: 1995++++ 1994 1993 1992 1991
<S> <S> <C> <C> <C> <C> <C>
Per Share Net asset value, beginning of year $ 13.07 $ 13.52 $ 11.92 $ 12.16 $ 10.37
Operating ---------- ---------- ---------- ---------- --------
Performance: Investment income--net .79 .60 .39 .36 .55
Realized and unrealized gain (loss) on
investments and foreign currency
<PAGE> transactions--net 1.04 (.31) 2.14 .89 2.24
---------- ---------- ---------- ---------- --------
Total from investment operations 1.83 .29 2.53 1.25 2.79
---------- ---------- ---------- ---------- --------
Less dividends and distributions:
Investment income--net (.39) (.51) (.81) (.89) (.45)
Realized gain on investments--net (.30) (.23) (.12) (.60) (.55)
---------- ---------- ---------- ---------- --------
Total dividends and distributions (.69) (.74) (.93) (1.49) (1.00)
---------- ---------- ---------- ---------- --------
Net asset value, end of year $ 14.21 $ 13.07 $ 13.52 $ 11.92 $ 12.16
========== ========== ========== ========== ========
Total Investment Based on net asset value per share 14.81% 2.14% 22.61% 11.78% 28.89%
Return:* ========== ========== ========== ========== ========
Ratios to Average Expenses .90% .89% .93% 1.07% 1.29%
Net Assets: ========== ========== ========== ========== ========
Investment income--net 5.98% 4.60% 3.90% 10.82% 8.96%
========== ========== ========== ========== ========
Supplemental Net assets, end of year (in thousands) $1,487,805 $1,357,906 $ 917,806 $ 245,839 $ 72,702
Data: ========== ========== ========== ========== ========
Portfolio turnover 36.78% 57.04% 50.35% 59.56% 81.21%
========== ========== ========== ========== ========
<CAPTION>
The following per share data and ratios have been derived
from information provided in the financial statements. Class B
For the Year Ended October 31,
Increase (Decrease) in Net Asset Value: 1995++++ 1994 1993 1992 1991
<S> <S> <C> <C> <C> <C> <C>
Per Share Net asset value, beginning of year $ 12.91 $ 13.38 $ 11.83 $ 12.10 $ 10.33
Operating ---------- ---------- ---------- ---------- --------
Performance: Investment income--net .65 .46 .28 .22 .44
Realized and unrealized gain (loss) on
investments and foreign currency
transactions--net 1.01 (.31) 2.11 .91 2.22
---------- ---------- ---------- ---------- --------
Total from investment operations 1.66 .15 2.39 1.13 2.66
---------- ---------- ---------- ---------- --------
Less dividends and distributions:
Investment income--net (.26) (.39) (.72) (.80) (.34)
Realized gain on investments--net (.30) (.23) (.12) (.60) (.55)
---------- ---------- ---------- ---------- --------
<PAGE> Total dividends and distributions (.56) (.62) (.84) (1.40) (.89)
---------- ---------- ---------- ---------- --------
Net asset value, end of year $ 14.01 $ 12.91 $ 13.38 $ 11.83 $ 12.10
========== ========== ========== ========== ========
Total Investment Based on net asset value per share 13.54% 1.13% 21.42% 10.64% 27.48%
Return:* ========== ========== ========== ========== ========
Ratios to Average Expenses, excluding account maintenance
Net Assets: and distribution fees .93% .91% .95% 1.09% 1.31%
========== ========== ========== ========== ========
Expenses 1.93% 1.91% 1.95% 2.09% 2.31%
========== ========== ========== ========== ========
Investment income--net 4.96% 3.58% 2.87% 11.95% 7.98%
========== ========== ========== ========== ========
Supplemental Net assets, end of year (in thousands) $6,688,499 $6,457,130 $4,299,545 $ 958,949 $161,328
Data: ========== ========== ========== ========== ========
Portfolio turnover 36.78% 57.04% 50.35% 59.56% 81.21%
========== ========== ========== ========== ========
<FN>
*Total investment returns exclude the effects of sales loads.
++++Based on average shares outstanding during the period.
See Notes to Financial Statements.
</TABLE>
<TABLE>
FINANCIAL HIGHLIGHTS (concluded)
<CAPTION>
The following per share data and ratios have been derived Class C Class D
from information provided in the financial statements. For the For the Period For the For the Period
Year Ended Oct. 21, 1994++ Year Ended Oct. 21, 1994++
Increase (Decrease) in Net Asset Value: Oct. 31, 1995++++ to Oct. 31, 1994 Oct. 31, 1995++++ to Oct. 31, 1994
<S> <S> <C> <C> <C> <C>
Per Share Net asset value, beginning
Operating of period $ 12.91 $ 12.91 $ 13.08 $ 13.07
Performance: ---------- ---------- ---------- ----------
Investment income--net .64 .01 .77 .01
Realized and unrealized gain
(loss) on investments and foreign
currency transactions--net 1.02 (.01) 1.01 --
---------- ---------- ---------- ----------
Total from investment operations 1.66 -- 1.78 .01
<PAGE> ---------- ---------- ---------- ----------
Less dividends and distributions:
Investment income--net (.33) -- (.37) --
Realized gain on investments--net (.30) -- (.30) --
---------- ---------- ---------- ----------
Total dividends and distributions (.63) -- (.67) --
---------- ---------- ---------- ----------
Net asset value, end of period $ 13.94 $ 12.91 $ 14.19 $ 13.08
========== ========== ========== ==========
Total Investment Based on net asset value per share 13.58% .00%+++ 14.43% .08%+++
Return:** ========== ========== ========== ==========
Ratios to Average Expenses, excluding account
Net Assets maintenance and distribution fees .95% 1.44%* .91% 1.44%*
========== ========== ========== ==========
Expenses 1.95% 2.44%* 1.16% 1.69%*
========== ========== ========== ==========
Investment income--net 4.80% 3.71%* 5.63% 4.46%*
========== ========== ========== ==========
Supplemental Net assets, end of period
Data: (in thousands) $ 102,361 $ 7,347 $ 256,525 $ 4,968
========== ========== ========== ==========
Portfolio turnover 36.78% 57.04% 36.78% 57.04%
========== ========== ========== ==========
<FN>
*Annualized.
**Total investment returns exclude the effects of sales loads.
+++Aggregate total investment return.
++Commencement of Operations.
++++Based on average shares outstanding during the period.
See Notes to Financial Statements.
</TABLE>
<PAGE>
NOTES TO FINANCIAL STATEMENTS
1. Significant Accounting Policies:
Merrill Lynch Global Allocation Fund, Inc. (the "Fund") is registered
under the Investment Company Act of 1940 as a non-diversified,
open-end management investment company. The Fund offers four
classes of shares under the Merrill Lynch Select Pricing SM System.
Shares of Class A and Class D are sold with a front-end sales charge.
Shares of Class B and Class C may be subject to a contingent
deferred sales charge. All classes of shares have identical voting,
dividend, liquidation and other rights and the same terms and
conditions, except that Class B, Class C and Class D Shares bear
certain expenses related to the account maintenance of such shares,
and Class B and Class C Shares also bear certain expenses related to
the distribution of such shares. Each class has exclusive voting
rights with respect to matters relating to its account maintenance
and distribution expenditures. The following is a summary of signifi-
cant accounting policies followed by the Fund.
(a) Valuation of investments--Portfolio securities which are traded on
stock exchanges are valued at the last sale price on the exchange on
which such securities are traded, as of the close of business on the
day the securities are being valued or, lacking any sales, at the last
available bid price. Securities traded in the over-the-counter market
are valued at the last available bid price prior to the time of valua-
tion. In cases where securities are traded on more than one exchange,
the securities are valued on the exchange designated by or under
the authority of the Board of Directors as the primary market.
Securities which are traded both in the over-the-counter market and
on a stock exchange are valued according to the broadest and most
representative market. Options written are valued at the last sale
price in the case of exchange-traded options or, in the case of
options traded in the over-the-counter market, the last asked price.
Options purchased are valued at the last sale price in the case of
exchange-traded options or, in the case of options traded in the
over-the-counter market, the last bid price. Short-term securities
are valued at amortized cost, which approximates market value.
Other investments, including futures contracts and related options,
are stated at market value. Securities and assets for which market
value quotations are not readily available are valued at their fair
value as determined in good faith by or under the direction of the
Fund's Board of Directors.
<PAGE>
(b) Repurchase agreements--The Fund invests in US Government
securities pursuant to repurchase agreements with a member bank
of the Federal Reserve System or a primary dealer in US Government
securities. Under such agreements, the bank or primary dealer
agrees to repurchase the security at a mutually agreed upon time
and price. The Fund takes possession of the underlying securities,
marks to market such securities and, if necessary, receives additions
to such securities daily to ensure that the contract is fully
collateralized.
(c) Foreign currency transactions--Transactions denominated in
foreign currencies are recorded at the exchange rate prevailing
when recognized. Assets and liabilities denominated in foreign
currencies are valued at the exchange rate at the end of the period.
Foreign currency transactions are the result of settling (realized)
or valuing (unrealized) receivables or payables expressed in foreign
currencies into US dollars. Realized and unrealized gains or losses
from investments include the effects of foreign exchange rates
on investments.
(d) Derivative financial instruments--The Fund may engage in
various portfolio strategies to seek to increase its return by hedging
its portfolio against adverse movements in the equity, debt, and
currency markets. Losses may arise due to changes in the value
of the contract or if the counterparty does not perform under
the contract.
* Forward foreign exchange contracts--The Fund is authorized to
enter into forward foreign exchange contracts as a hedge against
either specific transactions or portfolio positions. Such contracts
are not entered on the Fund's records. However, the effect on opera-
tions is recorded from the date the Fund enters into such contracts.
Premium or discount is amortized over the life of the contracts.
* Foreign currency options and futures--The Fund may also pur-
chase or sell listed or over-the-counter foreign currency options,
foreign currency futures and related options on foreign currency
futures as a short or long hedge against possible variations in
foreign exchange rates. Such transactions may be effected with
respect to hedges on non-US dollar denominated securities owned
by the Fund, sold by the Fund but not yet delivered, or committed
or anticipated to be purchased by the Fund.
* Options--The Fund is authorized to purchase and write covered
call and put options. When the Fund writes an option, an amount
equal to the premium received by the Fund is reflected as an asset
and an equivalent liability. The amount of the liability is subse-
quently marked to market to reflect the current value of the option
written.
<PAGE>
When a security is purchased or sold through an exercise of an
option, the related premium paid (or received) is added to (or
deducted from) the basis of the security acquired or deducted from
(or added to) the proceeds of the security sold. When an option
expires (or the Fund enters into a closing transaction), the Fund
realizes a gain or loss on the option to the extent of the premiums
received or paid (or gain or loss to the extent the cost of the closing
transaction exceeds the premium paid or received).
Written and purchased options are non-income producing
investments.
* Financial futures contracts--The Fund may purchase or sell
interest rate futures contracts and options on such futures contracts
for the purpose of hedging the market risk on existing securities or
the intended purchase of securities. Futures contracts are contracts
for delayed delivery of securities at a specific future date and at a
specific price or yield. Upon entering into a contract, the Fund
deposits and maintains as collateral such initial margin as required
by the exchange on which the transaction is effected. Pursuant to
the contract, the Fund agrees to receive from or pay to the broker
an amount of cash equal to the daily fluctuation in value of the
contract. Such receipts or payments are known as variation margin
and are recorded by the Fund as unrealized gains or losses. When
the contract is closed, the Fund records a realized gain or loss equal
to the difference between the value of the contract at the time it
was opened and the value at the time it was closed.
NOTES TO FINANCIAL STATEMENTS (continued)
(e) Income taxes--It is the Fund's policy to comply with the require-
ments of the Internal Revenue Code applicable to regulated invest-
ment companies and to distribute substantially all of its taxable
income to its shareholders. Therefore, no Federal income tax provi-
sion is required. Under the applicable foreign tax law, a withholding
tax may be imposed on interest, dividends, and capital gains at
various rates.
(f) Security transactions and investment income--Security trans-
actions are recorded on the dates the transactions are entered into
(the trade dates). Dividend income is recorded on the ex-dividend
dates except that if the ex-dividend date has passed, certain divi-
dends from foreign securities are recorded as soon as the Fund is
informed of the ex-dividend date. Interest income (including
amortization of discount) is recognized on the accrual basis.
Realized gains and losses on security transactions are determined
on the identified cost basis.
(g) Prepaid registration fees--Prepaid registration fees are charged
to expense as the related shares are issued.
<PAGE>
(h) Dividends and distributions--Dividends and distributions paid
by the Fund are recorded on the ex-dividend dates.
(i) Reclassification--Generally accepted accounting principles
require that certain components of net assets be reclassified to
reflect permanent differences between financial reporting and tax
purposes. Accordingly, current year's permanent book/tax differences
of $172,212,947 have been reclassified from undistributed net
investment income to undistributed net realized capital gains.
These reclassifications have no effect on net assets or net asset
values per share.
2. Investment Advisory Agreement and Transactions
with Affiliates:
The Fund has entered into an Investment Advisory Agreement with
Merrill Lynch Asset Management, L.P. ("MLAM"). The general
partner of MLAM is Princeton Services, Inc. ("PSI"), an indirect
wholly-owned subsidiary of Merrill Lynch & Co., Inc. ("ML & Co."),
which is the limited partner. The Fund has also entered into a
Distribution Agreement and Distribution Plans with Merrill Lynch
Funds Distributor, Inc. ("MLFD" or "Distributor"), a wholly-owned
subsidiary of Merrill Lynch Group, Inc.
MLAM is responsible for the management of the Fund's portfolio
and provides the necessary personnel, facilities, equipment and
certain other services necessary to the operations of the Fund. For
such services, the Fund pays a monthly fee of 0.75%, on an annual
basis, of the average daily value of the Fund's net assets. MLAM
has agreed to waive a portion of its fee payable by the Fund so
that such fee is reduced for average daily net assets of the Fund
in excess of $2.5 billion from the annual rate of 0.75% to 0.70%,
further reduce from 0.70% to 0.65% for average daily net assets
in excess of $5 billion, further reduce from 0.65% to 0.625% for
average daily net assets in excess of $7.5 billion, and further
reduce from 0.625% to 0.60% for average daily net assets in
excess of $10 billion. MLAM has entered into a sub-advisory
agreement with Merrill Lynch Asset Management U.K., Ltd. ("MLAM
U.K."), an affiliate of MLAM, pursuant to which MLAM pays MLAM U.K.
a fee computed at the rate of 0.10% of the average daily net assets
of the Fund for providing investment advisory services to MLAM with
respect to the Fund. For the year ended October 31, 1995, MLAM paid
MLAM U.K. a fee of $7,391,028 pursuant to such agreement. Certain
of the states in which the shares of the Fund are qualified for sale
impose limitations on the expenses of the Fund. The most restrictive
annual expense limitation requires that MLAM reimburse the Fund
to the extent the Fund's expenses (excluding interest, taxes, distri-
bution fees, brokerage fees and commissions, and extraordinary
items) exceed 2.5% of the Fund's first $30 million of average daily
net assets, 2.0% of the next $70 million of average daily net assets,
and 1.5% of the average daily net assets in excess thereof. MLAM's
obligation to reimburse the Fund is limited to the amount of the
management fee. No fee payment will be made to MLAM during any
fiscal year which will cause such expenses to exceed the most
restrictive expense limitation at the time of such payment.
<PAGE>
Pursuant to the distribution plans ("the Distribution Plans")
adopted by the Fund in accordance with Rule 12b-1 under the
Investment Company Act of 1940, the Fund pays the Distributor
ongoing account maintenance and distribution fees. The fees are
accrued daily and paid monthly at annual rates based upon the
average daily net assets of the shares as follows:
Account Maintenance Fee Distribution Fee
Class B 0.25% 0.75%
Class C 0.25% 0.75%
Class D 0.25% --
Pursuant to a sub-agreement with the Distributor, Merrill Lynch,
Pierce, Fenner & Smith Inc. ("MLPF&S"), a subsidiary of ML & Co.,
also provides account maintenance and distribution services to the
Fund. The ongoing account maintenance fee compensates the
Distributor and MLPF&S for providing account maintenance services
to Class B, Class C and Class D shareholders. The ongoing distribu-
tion fee compensates the Distributor and MLPF&S for providing
shareholder and distribution-related services to Class B and
Class C shareholders.
For the year ended October 31, 1995, MLFD earned underwriting
discounts and direct commissions and MLPF&S earned dealer con-
cessions on sales of the Fund's Class A and Class D Shares
as follows:
MLFD MLPF&S
Class A $52,270 $ 812,370
Class D $89,085 $1,377,893
For the year ended October 31, 1995, MLPF&S received contingent
deferred sales charges of $14,179,047 and $32,676 relating to trans-
actions in Class B and Class C Shares, respectively.
In addition, MLPF&S received $157,708 in commissions on the
execution of portfolio security transactions for the Fund for the
year ended October 31, 1995.
Merrill Lynch Financial Data Services, Inc. ("MLFDS"), a wholly-
owned subsidiary of ML & Co., is the Fund's transfer agent.
Accounting services are provided to the Fund by MLAM at cost.
Certain officers and/or directors of the Fund are officers and/or
directors of MLAM, PSI, MLPF&S, MLFDS, MLFD, and/or ML & Co.
3. Investments:
Purchases and sales of investments, excluding short-term securities,
for the year ended October 31, 1995 were $2,761,369,695 and
$3,584,406,074, respectively.
Net realized and unrealized gains (losses) as of October 31, 1995 were
as follows:
Realized Unrealized
Gains Gains
(Losses) (Losses)
Long-term investments $ 283,293,007 $ 447,420,079
Short-term investments (5,110,824) (7,896,807)
Financial futures contracts (13,090,169) (1,512,500)
Forward foreign exchange contracts (49,256,462) (27,065,122)
Foreign currency transactions 35,475,294 468,247
-------------- --------------
Total $ 251,310,846 $ 411,413,897
============== ==============
As of October 31, 1995, net unrealized appreciation for Federal
income tax purposes aggregated $429,092,579, of which $792,944,037
related to appreciated securities and $363,851,458 related to de-
preciated securities. At October 31, 1995, the aggregate cost of invest-
ments for Federal income tax purposes was $8,007,753,255.
4. Capital Share Transactions:
Net increase in net assets derived from capital share transactions
was $26,500,607 and $2,862,952,855 for the years ended October 31,
1995 and October 31, 1994, respectively.
Transactions in capital shares for each class were as follows:
<PAGE>
Class A Shares for the
Year Ended Dollar
October 31, 1995 Shares Amount
Shares sold 24,414,703 $ 317,656,099
Shares issued to shareholders in
reinvestment of dividends and
distributions 5,067,208 63,395,842
------------ --------------
Total issued 29,481,911 381,051,941
Shares redeemed (28,613,955) (374,649,790)
------------ --------------
Net increase 867,956 $ 6,402,151
============ ==============
Class A Shares for the
Year Ended Dollar
October 31, 1994 Shares Amount
Shares sold 51,696,255 $ 691,831,423
Shares issued to shareholders in
reinvestment of dividends and
distributions 3,969,366 52,332,829
------------ --------------
Total issued 55,665,621 744,164,252
Shares redeemed (19,692,065) (262,792,460)
------------ --------------
Net increase 35,973,556 $ 481,371,792
============ ==============
Class B Shares for the
Year Ended Dollar
October 31, 1995 Shares Amount
Shares sold 72,755,968 $ 948,196,109
Shares issued to shareholders in
reinvestment of dividends and
distributions 19,807,279 244,145,118
------------ --------------
Total issued 92,563,247 1,192,341,227
Shares redeemed (113,281,364) (1,461,389,244)
Automatic conversion of shares (2,225,942) 29,811,621)
------------ --------------
Net decrease (22,944,059) $ (298,859,638)
============ ==============
<PAGE>
NOTES TO FINANCIAL STATEMENTS (concluded)
Class B Shares for the Year Ended Dollar
October 31, 1994 Shares Amount
Shares sold 225,442,147 $2,984,209,294
Shares issued to shareholders in
reinvestment of dividends and
distributions 16,263,879 212,326,903
------------ --------------
Total issued 241,706,026 3,196,536,197
Shares redeemed (62,873,994) (827,228,356)
------------ --------------
Net increase 178,832,032 $2,369,307,841
============ ==============
Class C Shares for the Year Dollar
Ended October 31, 1995 Shares Amount
Shares sold 7,879,395 $ 102,536,056
Shares issued to shareholders in
reinvestment of dividends and
distributions 91,498 1,150,744
------------ --------------
Total issued 7,970,893 103,686,800
Shares redeemed (1,196,074) (15,541,838)
------------ --------------
Net increase 6,774,819 $ 88,144,962
============ ==============
Class C Shares for the Period Dollar
October 21, 1994++ to October 31, 1994 Shares Amount
Shares sold 569,603 $ 7,333,052
Shares redeemed (586) (7,533)
------------ --------------
Net increase 569,017 $ 7,325,519
============ ==============
[FN]
++Commencement of Operations.
<PAGE>
Class D Shares for the Year Dollar
Ended October 31, 1995 Shares Amount
Shares sold 17,949,936 $ 233,765,521
Automatic conversion of shares 2,199,761 29,811,621
Shares issued to shareholders in
reinvestment of dividends and
distributions 416,394 5,268,928
------------ --------------
Total issued 20,566,091 268,846,070
Shares redeemed (2,872,272) (38,032,938)
------------ --------------
Net increase 17,693,819 $ 230,813,132
============ ==============
Class D Shares for the Period Dollar
October 21, 1994++ to October 31, 1994 Shares Amount
Shares sold 385,289 $ 5,017,907
Shares redeemed (5,386) (70,204)
------------ --------------
Net increase 379,903 $ 4,947,703
============ ==============
[FN]
++Commencement of Operations.
5. Commitments:
At October 31, 1995, the Fund had entered into foreign exchange
contracts, in addition to the contracts listed on the Schedule of
Investments, under which it had agreed to purchase and sell various
foreign currency with an approximate value of $7,000,000 and
$4,265,000, respectively.
<AUDIT-REPORT>
INDEPENDENT AUDITORS' REPORT
The Board of Directors and Shareholders of
Merrill Lynch Global Allocation Fund, Inc.:
We have audited the accompanying statement of assets and liabilities,
including the schedule of investments, of Merrill Lynch Global Alloca-
tion Fund, Inc. as of October 31, 1995, the related statements of opera-
tions for the year then ended and changes in net assets for each
of the years in the two-year period then ended, and the financial
highlights for each of the years in the five-year period then ended.
These financial statements and the financial highlights are the
responsibility of the Fund's management. Our responsibility is to
express an opinion on these financial statements and the financial
highlights based on our audits.
<PAGE>
We conducted our audits in accordance with generally accepted audit-
ing standards. Those standards require that we plan and perform the
audit to obtain reasonable assurance about whether the financial
statements and the financial highlights are free of material mis-
statement. An audit includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial statements.
Our procedures included confirmation of securities owned at
October 31, 1995 by correspondence with the 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, such financial statements and financial highlights
present fairly, in all material respects, the financial position of
Merrill Lynch Global Allocation Fund, Inc. as of October 31, 1995, the
results of its operations, the changes in its net assets, and the
financial highlights for the respective stated periods in conformity
with generally accepted accounting principles.
Deloitte & Touche LLP
Princeton, New Jersey
December 1, 1995
</AUDIT-REPORT>
IMPORTANT TAX INFORMATION (unaudited)
The following information summarizes all per share distributions paid
by Merrill Lynch Global Allocation Fund, Inc. during its taxable year
ended October 31, 1995:
<TABLE>
<CAPTION>
Qualifying Domestic Interest From Other Non-Qualifying Total Long-Term
Record Date Payable Date Ordinary Income Federal Obligations Ordinary Income Ordinary Income Capital Gains
<S> <C> <C> <C> <C> <C> <C>
Class A Shares:
12/13/94 12/21/94 $.072687 $.009135 $.304538 $.386360 $.140086
6/22/95 6/30/95 $.027506 $.000099 $.139639 $.167244 $ --
<PAGE>
Class B Shares:
12/13/94 12/21/94 $.060158 $.007561 $.252041 $.319760 $.140086
6/22/95 6/30/95 $.017518 $.000063 $.088935 $.106516 $ --
Class C Shares:
12/13/94 12/21/94 $.069192 $.008696 $.289896 $.367784 $.140086
6/22/95 6/30/95 $.020540 $.000074 $.104272 $.124886 $ --
Class D Shares:
12/13/94 12/21/94 $.071964 $.009044 $.301506 $.382514 $.140086
6/22/95 6/30/95 $.025623 $.000092 $.130079 $.155794 $ --
</TABLE>
The qualifying domestic ordinary income qualifies for the dividends
received deduction for corporations.
The law varies in each state as to whether and what percentage of
dividend income attributable to Federal obligations is exempt from
state income tax. We recommend that you consult your tax adviser to
determine if any portion of the dividends you received is exempt from
state income tax.
Please retain this information for your records.
EQUITY PORTFOLIO CHANGES (unaudited)
For the Quarter Ended October 31, 1995
Additions
Alcatel Alsthom Cie Generale d'Electricite S.A.
American Standard, Inc.
Assurances Generales de France S.A. (AGF)
Beazer Homes USA, Inc.
(Exchangeable, Series A)
CBL & Associates Properties, Inc.
Compagnie de Saint-Gobain S.A.
Compagnie de Suez S.A.
Compagnie Financiere de Paribas
Elf Aquitaine (Elf) S.A.
*Freeport-McMoRan, Inc.
Hutchison Whampoa Limited
Koninklijke PTT Nederland N.V.
Mo och Domsjo AB
Norsk Hydro A.S.
Nucor Corporation
Prime Retail Inc. (Preferred)
*Risk Holdings Inc.
Stora Kopparbergs Bergslags AB
*Union Pacific Resources
Usinor-Sacilor
*Vencor Inc.
<PAGE>
Deletions
Ahmanson (H.F.) & Co.
Autopista Espana (ACESA) (Rights)
Boots Co. PLC
British Telecommunications PLC (Ordinary)
CBI Industries, Inc.
CalFed Goodwill (Part. Cert.)
Celsius Industries AB
Chase Manhattan Corp.
Coastal Corp.
Coho Resources, Inc.
Cooper Cameron Corporation
Eagle Food Centers, Inc.
First Chicago Corp.
First Union Corp.
Freeport-McMoRan Copper & Gold Inc.
*Freeport-McMoRan, Inc.
Global Yield Fund
Hillhaven Corp.
McMoRan Oil & Gas Co.
Mercantile Bancorp, Inc.
Munchener Ruckversich
NS Bancorp, Inc.
NYNEX Cablecomms Group (Units)
Nationwide Health Properties, Inc.
Oesterreichische Elektrizitats AG (Verbund)
Portsmouth Bank Shares, Inc.
Rank Organisation PLC
*Risk Holdings Inc.
Rolls Royce PLC
Service Merchandise Co., Inc.
USAir Group, Inc. (Convertible $4.375,
Series B)
*Union Pacific Resources
*Vencor Inc.
Vendome Luxury Group (Units)
Volkswagon of America, Inc.
Waterford Wedgewood Units
[FN]
*Added and deleted in the same quarter.
<PAGE>
PORTFOLIO INFORMATION (unaudited)
Worldwide
Investments
As of 10/31/95
Percent Breakdown of
Stocks & Fixed-Income Percent of
Securities by Country Net Assets
United States* 47.4%
Germany 10.3
France 6.6
Argentina 5.4
Japan 4.9
Spain 4.1
Mexico* 3.7
Canada* 3.5
United Kingdom 3.0
Netherlands 2.0
Brazil 1.9
Sweden 1.0
Switzerland 1.0
Italy 0.9
Australia 0.8
Finland 0.6
Singapore 0.4
Hong Kong 0.3
Portugal 0.3
Indonesia 0.2
Norway 0.2
South Africa 0.1
New Zealand 0.1
Korea 0.1
Ireland 0.1
Taiwan 0.0
Denmark 0.0
Austria 0.0
------
Total 98.9%
======
[FN]
*Includes investments in short-term securities.
<PAGE>
Ten Largest Industries Percent of
(Equity Investments) Net Assets
Banking 7.3%
Insurance 3.9
Utilities--Electric & Gas 2.6
Energy & Petroleum 1.3
Retail Stores 1.0
Saving Banks 1.0
Real Estate Investment Trusts 0.9
Pharmaceuticals/Biotechnology 0.9
Pharmaceuticals 0.9
Paper & Forest Products 0.9
Ten Largest Industries Percent of
(Equity Investments) Net Assets
Republic New York Corp. 0.8%
Entergy Corp. 0.6
Internationale Nederlanden Groep N.V. 0.6
KeyCorp 0.6
Bristol-Myers Squibb Co. 0.5
Chemical Banking Corp. 0.5
Student Loan Marketing Association 0.5
First Commerce Corp. 0.5
ABN AMRO Holdings N.V. 0.4
Unicom Corporation 0.4
