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MERRILL LYNCH
GLOBAL
ALLOCATION
FUND, INC.
FUND LOGO
Quarterly Report
July 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 7/31/95
<CAPTION>
Percent of Fund's Portfolio Reference Portfolio
7/31/95 4/30/95 Percentages
<S> <C> <C> <C>
North & South American Equities* 21.3% 22.1% 36.0%
European Equities 9.7 9.6 9.6
Pacific Basin Equities 5.9 5.6 14.4
Total Equities 36.9 37.3 60.0
US Dollar Denominated Fixed-Income Securities 31.7 34.2 24.0
US Issuers 18.0 20.6 --
Non-US Issuers 13.7 13.6 --
Non-US Dollar Denominated Fixed-Income Securities 23.0 24.2 16.0
Total Fixed-Income Securities 54.7++ 58.4++ 40.0
Cash & Cash Equivalents 8.4 4.3 --
<PAGE>
<FN>
*Includes value of Stock Index Futures.
++Includes Preferred Stock.
</TABLE>
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
For the quarter ended July 31, 1995,
Merrill Lynch Global Allocation Fund,
Inc. had total investment returns of
+7.85%, +7.46%, +7.48%, and +7.68%,
for Class A, Class B, Class C and Class D
Shares, respectively. (Fund results do
not include sales charges and would be
lower if sales charges were deducted.
Complete performance information,
including average annual total returns,
can be found on pages 3--5 of this
report to shareholders.)
<PAGE>
Profits Taken in Bond Holdings
During the July quarter, we reduced the
Fund's fixed-income exposure from
58.4% of net assets to 54.7%, with a
corresponding increase in cash and
cash equivalents from 4.3% to 8.4%.
However, this is still an overweighted
position in fixed-income securities
relative to the Fund's reference port-
folio. (See "Summary of the Fund's
Overall Asset Mix" table on page 1 of
this report to shareholders.)
Since many US fixed-income invest-
ments met or exceeded our price
objectives, we took profits in some US
fixed-income holdings. We also began
to hedge part of the Fund's interest rate
exposure by selling ten-year Treasury
note futures against the portfolio's US
dollar-denominated bond holdings.
During the July quarter, international
investor sentiment regarding Mexico's
prospects improved, resulting in price
appreciation for Mexican debt. As a
result, we sold part of the Fund's
Mexican US dollar-denominated hold-
ings at a profit. In addition, we allowed
part of our peso-denominated Mexican
Cetes investments to mature as they
came due, also at an overall profit.
We continue to maintain a significant
position in European debt securities,
with almost half of our overall 21.2%
exposure at July quarter-end in German
government and state bonds. Inflation
in Germany remains under control at just
over a 2% year-over-year rate. As we have
noted in previous reports to shareholders,
the Bundesbank maintains a well-deserved
reputation as one of the most independent
central banks in the world. We believe that
inflationary pressures will continue to
be contained in Germany. At the same
time, German sovereign fixed-income
securities offer higher yields than their
US Treasury counterparts.
<PAGE>
However, although we view European
bonds as attractive investments, we
believe that the high valuations of
European currencies relative to the
US dollar warrant hedging the Fund's
European currency exposure. There-
fore, the Fund's European bond invest-
ments are largely hedged back into the
US dollar.
Equity Investment Activities
In the United States, we reduced posi-
tions in bank stocks, one of the Fund's
major sector commitments. Bank shares
have appreciated substantially as US
interest rates have declined. We still
believe that the Fund's bank share
holdings offer the potential for further
share price appreciation, but considered
it appropriate to trim these holdings
somewhat.
We increased the Fund's Japanese
equity investments very slightly during
the quarter. The Japanese stock market
has traded down for most of 1995, but
rebounded in mid-July. It is clear that
major structural problems remain for
the Japanese economy, and that many
Japanese corporations face serious
challenges, including the strong yen
which creates a competitive disadvan-
tage for Japanese-based manufacturers
that compete in world markets. We con-
tinue to invest in Japanese companies
that we believe have relatively positive
business prospects and whose shares
represent attractive values. At quarter-
end, the Fund had a 5.0% Japanese
equity exposure, which is still a signifi-
cantly underweighted position relative
to the reference portfolio. In addition,
since we believe the yen is overvalued
relative to the US dollar in terms of its
purchasing power, we continue to hedge
most of the portfolio's yen exposure
back into US dollars.
<PAGE>
In Conclusion
We thank you for your continued
investment in Merrill Lynch Global
Allocation Fund, Inc., and we look for-
ward to reviewing our outlook and
strategy with you again in our next
report to shareholders.
Sincerely,
(Arthur Zeikel)
Arthur Zeikel
President
(Bryan N. Ison)
Bryan N. Ison
Vice President and Portfolio Manager
September 6, 1995
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 8 years.
<PAGE>
*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 the Fund's Class A and Class B Shares are
presented in the "Performance Summary," "Recent Performance
Results" and "Average Annual Total Return" tables on pages 4
and 5. Data for Class C and Class D Shares are also presented
in the "Recent Performance Results" and "Aggregate Total
Return" tables on page 5.
The "Recent Performance Results" table shows investment
results before the deduction of any sales charges for Class A
and Class B Shares for the 12-month and 3-month periods
ended July 31, 1995 and for Class C and Class D Shares for the
since inception and 3-month periods ended July 31, 1995. All
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. Dividends
paid to each class of shares will vary because of the different
levels of account maintenance, distribution and transfer agency
fees applicable to each class, which are deducted from the
income available to be paid to shareholders.
PERFORMANCE DATA (concluded)
<TABLE>
Performance
Summary--
Class A Shares
<CAPTION>
Net Asset Value Capital Gains
Period Covered Beginning Ending Distributed Dividends Paid* % Change**
<S> <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--7/31/95 12.23 13.88 -- 0.167 +14.91
------ ------
Total $1.004 Total $4.843
<PAGE> Cumulative total return as of 7/31/95: +129.89%*
<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**
<S> <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--7/31/95 12.12 13.72 -- 0.107 +14.11
------ ------
Total $1.004 Total $4.159
Cumulative total return as of 7/31/95: +115.05%**
<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>
Average Annual
Total Return
% Return Without % Return With
Sales Charge Sales Charge**
Class A Shares*
Year Ended 6/30/95 + 8.88% + 3.16%
Five Years Ended 6/30/95 +13.21 +11.99
Inception (2/3/89) through 6/30/95 +13.28 +12.33
<PAGE>
[FN]
*Maximum sales charge is 5.25%.
**Assuming maximum sales charge.
% Return % Return
Without CDSC With CDSC**
Class B Shares*
Year Ended 6/30/95 + 7.75% + 3.75%
Five Years Ended 6/30/95 +12.06 +12.06
Inception (2/3/89) through 6/30/95 +12.13 +12.13
[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 6/30/95 +7.63% +6.63%
[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 6/30/95 +8.30% +2.62%
[FN]
*Maximum sales charge is 5.25%.
**Assuming maximum sales charge.
<PAGE>
<TABLE>
Recent
Performance
Results
<CAPTION>
Net Asset Value Total Return
7/31/95 4/30/95 7/31/94++ 12-Month++ 3-Month
<S> <C> <C> <C> <C> <C>
ML Global Allocation Fund, Inc. Class A Shares* $13.88 $13.03 $13.46 +10.68%(1) +7.85%(2)
ML Global Allocation Fund, Inc. Class B Shares* 13.72 12.87 13.26 + 9.56(3) +7.46(4)
ML Global Allocation Fund, Inc. Class C Shares* 13.65 12.82 12.91 +11.22(5) +7.48(6)
ML Global Allocation Fund, Inc. Class D Shares* 13.87 13.03 13.07 +11.94(7) +7.68(8)
US Stocks: Standard & Poor's 500 Index** +26.06 +9.94
Non-US Stocks: Financial Times--Actuaries World Index*** + 6.11 +3.03
US Bonds: ML Government Index GA05**** + 9.35 +4.44
Non-US Bonds: Salomon Brothers World Government Bond Index***** +23.05 +3.24
<FN>
++Investment results shown for Class C and Class D Shares
are since inception (10/21/94).
*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 $0.773 per share
ordinary income dividends and $0.140 per share capital gains
distributions.
(2)Percent change includes reinvestment of $0.167 per share
ordinary income dividends.
(3)Percent change includes reinvestment of $0.586 per share
ordinary income dividends and $0.140 per share capital gains
distributions.
(4)Percent change includes reinvestment of $0.107 per share
ordinary income dividends.
(5)Percent change includes reinvestment of $0.493 per share
ordinary income dividends and $0.140 per share capital gains
distributions.
(6)Percent change includes reinvestment of $0.125 per share
ordinary income dividends.
(7)Percent change includes reinvestment of $0.538 per share
ordinary income dividends and $0.140 per share capital gains
distributions.
(8)Percent change includes reinvestment of $0.156 per share
ordinary income dividends.
</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>
COUNTRY
Shares Percent of
Industries Held Common Stocks Cost Value Net Assets
<S> <C> <S> <C> <C> <C>
Australia
Banking 2,645,800 Westpac Banking Corp. $ 5,614,396 $ 9,873,993 0.1%
Food 7,916,000 Goodman Fielder Wattie Ltd. 8,324,587 6,610,414 0.1
Insurance 1,557,557 GIO Australia Holdings, Ltd. 2,671,589 2,935,138 0.0
Multi-Industry 1,500,000 Pacific Dunlop, Ltd. 4,092,789 3,502,860 0.1
<PAGE>
Tobacco 2,099,800 Rothmans Holdings, Ltd. 7,893,919 6,905,297 0.1
1,242,300 WD & HO Wills Holdings, Ltd. 1,389,502 1,927,925 0.0
-------------- -------------- ------
9,283,421 8,833,222 0.1
Total Common Stocks in Australia 29,986,782 31,755,627 0.4
Austria
Utilities--Electric 121,750 Oesterreichische Elektrizitats AG
(Verbund) 7,780,068 8,942,338 0.1
Total Common Stocks in Austria 7,780,068 8,942,338 0.1
Canada
Beverage 800,000 Cott Corp. (USD) 7,512,145 9,100,000 0.1
Metals 100,000 Inco Ltd. (USD) 2,132,000 3,387,500 0.0
Natural Resources 300,000 Canadian Pacific, Ltd. (USD) 3,503,161 5,362,500 0.1
440,000 Horsham Corp. (USD) 3,550,742 5,885,000 0.1
-------------- -------------- ------
7,053,903 11,247,500 0.2
Oil & Related 353,000 International Petroleum Corp. (USD) 1,000,196 1,081,063 0.0
Telecommunications 100,000 BCE Telecommunications, Inc. (USD) 3,375,484 3,112,500 0.0
Total Common Stocks in Canada 21,073,728 27,928,563 0.3
Denmark
Banking 53,500 Unidanmark A/S 1,870,730 2,769,646 0.0
Total Common Stocks in Denmark 1,870,730 2,769,646 0.0
Finland
Banking 4,194,000 Kansallis-Osake-Pankki 4,512,421 4,267,122 0.0
1,483,915 Unitas Bank Ltd. 4,285,282 4,571,890 0.1
-------------- -------------- ------
8,797,703 8,839,012 0.1
Machinery & Equipment 207,800 Rauma OY 3,747,774 4,332,682 0.1
Metals 432,500 Outokumpu OY 5,980,994 8,470,265 0.1
<PAGE>
Paper & Forest 1,500,000 Enso-Gutzeit OY 12,019,454 14,294,244 0.2
Products 274,000 Kymmene OY 8,387,432 9,161,691 0.1
539,650 Metsa-Serla OY 22,185,795 25,132,971 0.3
560,700 Repola OY S 7,792,828 12,561,180 0.1
-------------- -------------- ------
50,385,509 61,150,086 0.7
Total Common Stocks in Finland 68,911,980 82,792,045 1.0
France
Automobiles 97,650 Peugeot S.A. 13,088,388 14,048,741 0.2
Banking 86,500 Societe Generale 9,605,405 10,397,680 0.1
Multi-Industry 26,432 EuraFrance 7,223,759 8,801,072 0.1
Total Common Stocks in France 29,917,552 33,247,493 0.4
Germany
Banking 55,680 Bayerische Vereinsbank AG 1,339,965 1,658,270 0.0
Capital Goods 369,636 Kloeckner Werke AG 17,229,762 25,468,153 0.3
Chemicals 34,000 Basf AG 6,821,542 7,881,740 0.1
32,000 Bayer AG 7,646,190 8,615,474 0.1
-------------- -------------- ------
14,467,732 16,497,214 0.2
Electronics 22,000 Siemens AG 11,059,372 11,631,324 0.2
Insurance 1,430 Munchener Ruckversich 2,688,495 3,177,318 0.0
Machinery & Equipment 36,579 Mannesmann AG 9,993,612 12,225,651 0.2
Utilities--Electric 440,000 Veba Vereinigte Elektriz 16,576,809 18,317,146 0.2
Total Common Stocks in Germany 73,355,747 88,975,076 1.1
Hong Kong
Utilities--Electric 460,300 China Light & Power Co., Ltd. 550,630 2,403,376 0.0
Total Common Stocks in Hong Kong 550,630 2,403,376 0.0
Indonesia
<PAGE>
Paper & Pulp 2,060,000 Asia Pacific Resources International
Holdings Ltd. (USD) 15,467,500 19,312,500 0.2
1,715,000 Asia Pulp & Paper Company Ltd.
(ADR)++(USD) 19,722,500 21,866,250 0.3
Total Common Stocks in Indonesia 35,190,000 41,178,750 0.5
Ireland
Building & 1,065,600 CRH PLC 3,594,241 7,539,813 0.1
Construction
Miscellaneous-- 2,178,000 Waterford Wedgwood Units 1,080,827 1,971,144 0.0
Consumer Goods
Total Common Stocks in Ireland 4,675,068 9,510,957 0.1
Italy
Banking 533,400 IMI (Ordinary) 3,443,328 3,307,699 0.0
Building & 1,922,200 Filippo Fochi S.p.A. 6,101,165 823,731 0.0
Construction
Multi-Industry 9,117,595 Compagnie Industriali Riunite S.p.A.
(CIR) 7,816,550 7,843,154 0.1
Telecommunications 3,000,000 Societa Finanziaria Telefonica
S.p.A. (STET) 4,365,656 9,434,081 0.1
8,666,863 Societa Finanziaria Telefonica S.p.A.
(STET) RISP 16,268,796 21,820,089 0.3
3,958,000 Societa Italiana Esercizio Telecom
S.p.A. (S.I.P.) 3,323,376 6,846,931 0.1
3,958,000 Telecom Italia Mobile -- 4,976,185 0.1
-------------- -------------- ------
23,957,828 43,077,286 0.6
Total Common Stocks in Italy 41,318,871 55,051,870 0.7
</TABLE>
<PAGE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued) (in US dollars)
<CAPTION>
COUNTRY
Shares Percent of
Industries Held Common Stocks Cost Value Net Assets
<S> <C> <S> <C> <C> <C>
Japan
Automobiles & 1,852,000 Suzuki Motor Corp. $ 16,952,079 $ 22,718,764 0.3%
Equipment
Beverage 947,000 Chukyo Coca-Cola Bottling Co., Ltd. 11,445,563 10,326,215 0.1
508,000 Hokkaido Coca-Cola Bottling Co., Ltd. 6,924,937 7,385,734 0.1
650,000 Kinki Coca-Cola Bottling Co., Ltd. 10,324,463 9,007,269 0.1
900,000 Mikuni Coca-Cola Bottling Co., Ltd. 13,165,497 12,062,699 0.1
838,400 Sanyo Coca-Cola Bottling Co., Ltd. 12,039,227 12,855,975 0.2
-------------- -------------- ------
53,899,687 51,637,892 0.6
Capital Goods 3,808,000 Mitsubishi Heavy Industries, Ltd. 23,136,107 27,552,204 0.3
Electric 435,000 Chudenko Corp. 13,597,049 16,700,363 0.2
Construction 31,000 Taihei Dengyo Kaisha Ltd. 638,911 489,437 0.0
-------------- -------------- ------
14,235,960 17,189,800 0.2
Electrical 650,000 Kinden Corporation 13,009,801 11,812,812 0.1
Engineering
Electrical 578,000 Murata Manufacturing Co., Ltd. 18,778,882 25,341,663 0.3
Equipment 1,360,000 Sumitomo Electric Industries 15,481,185 17,455,702 0.2
-------------- -------------- ------
34,260,067 42,797,365 0.5
Insurance 2,095,000 Dai-Tokyo Fire & Marine Insurance
Co., Ltd. 13,514,192 14,682,133 0.2
665,000 Fuji Fire & Marine Insurance Co., Ltd. 3,727,641 3,663,392 0.0
2,236,000 Koa Fire & Marine Insurance Co., Ltd. 12,691,892 13,867,060 0.2
620,000 Mitsui Marine & Fire Insurance
Co., Ltd. 5,004,638 4,359,155 0.0
1,669,000 Nichido Fire & Marine Insurance Co.,
Ltd. 10,892,520 13,895,695 0.2
1,351,000 Nippon Fire & Marine Insurance Co.,
Ltd. 6,970,280 8,255,770 0.1
2,408,000 Sumitomo Marine & Fire Insurance Co.,
Ltd. 18,939,904 19,911,677 0.2
2,075,000 Tokio Marine & Fire Insurance Co.,
Ltd. 22,188,264 24,747,274 0.3
1,130,000 Yasuda Fire & Marine Insurance Co.,
Ltd. 8,101,705 7,701,045 0.1
-------------- -------------- ------
102,031,036 111,083,201 1.3
Office Equipment 1,407,000 Canon, Inc. 19,624,604 25,570,195 0.3
<PAGE>
Packaging & 901,000 Toyo Seikan Kaisha, Ltd. 23,045,380 30,906,633 0.4
Containers
Pharmaceuticals 1,061,000 Sankyo Pharmaceuticals Co., Ltd. 23,391,365 25,066,788 0.3
384,000 Taisho Pharmaceuticals Co. 7,984,458 7,153,112 0.1
-------------- -------------- ------
31,375,823 32,219,900 0.4
Restaurants 283,000 Mos Food Services, Inc. 7,699,427 7,714,675 0.1
226,000 Ohsho Food Service Corp. 5,101,983 5,082,690 0.1
-------------- -------------- ------
12,801,410 12,797,365 0.2
Retail Stores 448,000 Ito Yokado Co., Ltd. 20,618,869 24,781,463 0.3
100,000 Sangetsu Co., Ltd. 3,160,832 2,748,751 0.0
-------------- -------------- ------
23,779,701 27,530,214 0.3
Steel 250,000 Maruichi Steel Tube Ltd. 4,805,476 5,111,313 0.1
Total Common Stocks in Japan 372,957,131 418,927,658 5.0
Mexico
Foods 600,000 Grupo Industrial Maseca (ADR)++(USD) 7,107,853 6,750,000 0.1
Total Common Stocks in Mexico 7,107,853 6,750,000 0.1
Netherlands
Airlines 400,960 KLM Royal Dutch Airlines N.V. 8,407,677 15,132,522 0.2
Banking 897,150 ABN Amro Holdings N.V. 29,821,445 35,250,562 0.4
Chemicals 100,650 Akzo N.V. 9,758,201 13,269,097 0.2
217,870 European Vinyls Corp. International 9,491,849 10,461,252 0.1
-------------- -------------- ------
19,250,050 23,730,349 0.3
Electronics 500,600 Philips Electronics N.V. 16,584,619 24,683,844 0.3
Insurance 325,000 Aegon N.V. 7,013,035 11,866,680 0.1
346,700 Amev N.V. 13,640,015 19,940,739 0.2
800,965 Internationale Nederlanden Groep N.V. 30,066,279 46,482,265 0.6
-------------- -------------- ------
50,719,329 78,289,684 0.9
Miscellaneous- 10,000 Nijverdal Ten Cate V.V. 501,699 544,139 0.0
Manufacturing
<PAGE>
Transportation 229,920 Koninklijke KNP (Warrants) (a) 793,687 922,711 0.0
Total Common Stocks in the Netherlands 126,078,506 178,553,811 2.1
Spain
Banking 587,481 Banco de Santander S.A. (Ordinary) 21,323,786 25,030,767 0.3
61,775 Banco Popular Espanol S.A. 6,511,311 10,034,016 0.1
83,000 Bank Intercontinental S.A. 4,607,612 7,520,040 0.1
-------------- -------------- ------
32,442,709 42,584,823 0.5
Energy & Petroleum 212,500 Repsol S.A. (ADR)++(USD) 6,126,375 7,092,188 0.1
618,500 Repsol S.A. 18,566,656 20,936,090 0.2
-------------- -------------- ------
24,693,031 28,028,278 0.3
Financial Services 326,000 Argentaria S.A. 12,974,203 12,434,995 0.2
Insurance 30,000 Mapfre S.A. 1,130,028 1,692,489 0.0
Manufacturing 195,000 Grupo Fosforera Espanola S.A. 1,696,601 722,465 0.0
Multi-Industry 45,750 Corporacion Financiera Alba S.A. 1,611,658 2,557,932 0.0
Real Estate 236,708 Metrovacesa 5,888,465 7,574,018 0.1
Toll Roads 144,375 Autopista Espana (ACESA) 1,363,246 1,404,119 0.0
144,375 Autopista Espana (ACESA) (Rights) (f) -- 94,824 0.0
-------------- -------------- ------
1,363,246 1,498,943 0.0
Utilities--Electric 100,000 Empresa Nacional de Electricidad S.A. 3,759,956 5,346,918 0.1
591,800 Iberdrola I S.A. 3,310,030 4,868,547 0.1
-------------- -------------- ------
7,069,986 10,215,465 0.2
Total Common Stocks in Spain 88,869,927 107,309,408 1.3
Sweden
Appliances 232,464 Electrolux AB 'B' Free 11,264,721 12,266,186 0.1
<PAGE>
Automotive & 395,000 Volvo AB 8,006,793 7,843,972 0.1
Equipment
Banking 965,750 Stadshypotek AB 14,244,129 15,616,383 0.2
Electrical 120,000 ASEA AB 'B' Free 6,532,086 10,570,213 0.1
Equipment
Engineering &
Construction 186,010 Celsius Industrier AB 2,740,880 3,073,782 0.0
Industrial 200,000 SKF 'A' 3,713,376 4,397,163 0.1
458,500 SKF 'B' Free 8,471,575 10,275,603 0.1
-------------- -------------- ------
12,184,951 14,672,766 0.2
Multi-Industry 209,700 Svedala Industri AB Free 3,360,038 6,246,383 0.1
Total Common Stocks in Sweden 58,333,598 70,289,685 0.8
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued) (in US dollars)
<CAPTION>
COUNTRY
Shares Percent of
Industries Held Common Stocks Cost Value Net Assets
<S> <C> <S> <C> <C> <C>
Switzerland
Chemicals 33,040 Ciba-Geigy AG (Registered) $ 16,539,906 $ 24,538,075 0.3%
Electrical Equipment 9,335 BBC Brown Boveri & Cie (Bearer) 6,132,164 9,854,154 0.1
Financial Services 162,000 CS Holdings AG 15,391,757 14,050,732 0.2
Pharmaceuticals 1,260 Roche Holdings AG 8,104,008 8,605,387 0.1
Total Common Stocks in Switzerland 46,167,835 57,048,348 0.7
United Kingdom
Aerospace 1,377,751 Rolls Royce PLC 3,304,436 4,089,676 0.0
Automotive Parts 1,036,000 T & N PLC 2,948,994 2,868,006 0.0
Conglomerates 50,000 Hanson PLC Sponsored (ADR)++(USD) 947,577 862,500 0.0
<PAGE>
Consumer Goods 733,600 Vendome Luxury Group (Units) 4,742,278 6,057,359 0.1
Environmental 940,000 Waste Management International PLC
(ADR)++(USD) 9,206,375 9,635,000 0.1
Food & Beverage 1,360,600 Grand Metropolitan PLC 8,858,753 8,186,393 0.1
35,000 Grand Metropolitan PLC (ADR)++(USD) 1,031,100 853,125 0.0
230,300 Tate & Lyle PLC 1,555,052 1,625,200 0.0
-------------- -------------- ------
11,444,905 10,664,718 0.1
Industrial--Other 1,148,000 Tomkins PLC 3,813,189 4,711,981 0.1
Insurance 773,800 Prudential Corp., PLC 3,735,406 4,117,131 0.1
Leisure & Entertainment 422,900 The Rank Organisation PLC 2,705,275 2,872,696 0.0
Oil/Integrated- 518,100 British Petroleum Company PLC (The) 3,783,528 3,925,616 0.0
International
Packaging & 1,179,300 Jefferson Smurfit Group PLC (IEP) 3,583,738 3,706,428 0.0
Containers
Pharmaceuticals 500,000 SmithKline Beecham Corp. PLC (ADR)++
(USD) 13,633,894 22,500,000 0.3
500,000 Zeneca Group PLC 4,710,464 8,917,115 0.1
-------------- -------------- ------
18,344,358 31,417,115 0.4
Retail Stores 4,300 Boots Co. PLC 28,682 37,742 0.0
Steel 1,500,000 British Steel PLC 4,081,599 4,512,564 0.1
Telecommunications 1,002,800 British Telecommunications PLC
(Ordinary) 6,088,156 6,386,629 0.1
646,300 NYNEX Cablecomms Group 1,420,036 1,344,472 0.0
290,300 Unilever Capital Corp. 4,372,100 5,946,087 0.1
84,600 Vodafone Group PLC 307,947 324,228 0.0
-------------- -------------- ------
12,188,239 14,001,416 0.2
Total Common Stocks in the
United Kingdom 84,858,579 103,479,948 1.2
United States
<PAGE>
Apparel 155,000 Authentic Fitness Corp. 2,681,739 3,041,875 0.0
860,000 Fruit of the Loom, Inc. 23,555,786 19,887,500 0.3
373,900 Liz Claiborne, Inc. 8,022,626 8,552,963 0.1
-------------- -------------- ------
34,260,151 31,482,338 0.4
Automobiles 350,000 General Motors Corp. 13,282,191 17,062,500 0.2
Automotive 438,800 Collins & Aikman Group Inc. 3,416,149 3,729,800 0.0
284,900 Snap-On, Inc. 9,013,519 11,894,575 0.2
-------------- -------------- ------
12,429,668 15,624,375 0.2
Banking 300,000 Bank of New York 7,966,376 12,037,500 0.1
319,000 Bankers Trust Co. 7,620,125 7,815,500 0.1
129,500 Banknorth Group, Inc. 1,865,422 3,787,875 0.0
571,500 Barnett Banks Inc. 23,130,906 31,718,250 0.4
40,000 CalFed Goodwill (Part. Cert.) 210,000 200,000 0.0
400,000 California Federal Bank 3,600,000 5,550,000 0.1
496,700 Charter One Financial, Inc. 9,263,048 12,790,025 0.2
110,000 Chase Manhattan Corp. 3,423,214 5,898,750 0.1
1,002,300 Chemical Banking Corp. 37,278,417 51,743,738 0.6
1,372,900 City National Corp. 9,802,109 17,847,700 0.2
1,000,000 Comerica, Inc. 26,977,513 35,000,000 0.4
450,000 CoreStates Financial Corp. 12,110,483 16,425,000 0.2
980,000 First of America Bank 36,148,556 40,302,500 0.5
200,000 First Chicago Corp. 11,904,100 12,150,000 0.1
1,250,000 First Commerce Corp. 31,823,468 37,500,000 0.5
368,500 First Union Corp. 14,959,272 18,010,438 0.2
1,466,102 KeyCorp 43,401,543 46,915,264 0.6
747,900 Mellon Bank Corp. 26,731,868 30,009,488 0.4
112,950 Mercantile Bancorp., Inc. 2,920,618 5,096,869 0.1
450,000 NBD Bancorp, Inc. 13,768,555 15,300,000 0.2
700,000 Onbancorp, Inc. 19,596,626 20,475,000 0.2
294,400 Oriental Bank and Trust 5,050,248 6,182,400 0.1
45,000 Premier Bancorp. 708,437 843,750 0.0
1,100,000 Republic New York Corp. 49,526,909 61,600,000 0.7
233,500 Roosevelt Financial Group, Inc. 3,594,043 3,590,063 0.0
450,000 Southern National Corp. 8,670,728 10,800,000 0.1
-------------- -------------- ------
412,052,584 509,590,110 6.1
Communications 185,700 Comsat Corp. 4,308,767 4,294,313 0.1
104,500 GTE Corp. 3,514,166 3,709,750 0.0
-------------- -------------- ------
7,822,933 8,004,063 0.1
Computers 170,800 Boole & Babbage, Inc. 2,202,252 5,124,000 0.1
700,000 Borland International Corp. 8,054,338 8,662,500 0.1
150,000 International Business Machines Corp. 6,506,217 16,331,250 0.2
1,100,000 Unisys Corp. 12,291,367 9,762,500 0.1
-------------- -------------- ------
29,054,174 39,880,250 0.5
Conglomerates 125,000 ADT Limited 1,434,405 1,500,000 0.0
<PAGE>
Construction & 153,800 Centex Corp. 3,880,118 4,306,400 0.1
Housing 500,000 K. Hovnanian Enterprises, Inc.
(Class A) 4,920,209 2,750,000 0.0
-------------- -------------- ------
8,800,327 7,056,400 0.1
Construction 700,000 TJ International, Inc. 12,547,379 14,525,000 0.2
Products
Electric 40,446 Great Bay Power Co. 2,549,753 313,457 0.0
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued) (in US dollars)
<CAPTION>
COUNTRY
Shares Held/ Percent of
Industries Face Amount Common Stocks Cost Value Net Assets
<S> <C> <S> <C> <C> <C>
United States
(continued)
Energy & Petroleum 163,900 Ashland Coal, Inc. $ 4,132,919 $ 4,691,637 0.1%
49,500 Cabot Oil & Gas Corp. (Class A) 529,030 693,000 0.0
34,600 Coastal Corp. 817,773 1,076,925 0.0
153,000 Coho Resources, Inc. 1,662,813 745,875 0.0
227,400 Gerrity Oil & Gas Corp. 2,934,073 852,750 0.0
130,000 Helmerich & Payne, Inc. 2,773,423 3,737,500 0.1
30,000 McMoRan Oil & Gas Co. 146,197 93,750 0.0
46,400 Mitchell Energy Development Corp.
(Class A) 675,717 788,800 0.0
174,350 Mitchell Energy Development Corp.
(Class B) 2,755,451 2,963,950 0.0
50,000 Murphy Oil Corp. 1,899,720 2,043,750 0.0
106,100 Nuevo Energy Co. 2,048,791 2,533,137 0.0
1,500,000 Occidental Petroleum Corp. 28,058,743 33,750,000 0.4
61,200 Pennzoil Co. 3,775,844 2,868,750 0.0
235,828 Plains Resources, Inc. 1,381,815 2,034,017 0.0
1,094,247 Santa Fe Energy Resources, Inc. 10,119,883 10,258,566 0.1
1,175,000 TransTexas Gas Corp. 14,200,000 17,478,125 0.2
211,514 Transamerica Refining Corp.
(Warrants) (a) 531,220 634,542 0.0
600,000 USX-Marathon Group 10,542,976 12,075,000 0.2
138,800 Unocal Corp. 3,272,336 3,903,750 0.1
-------------- -------------- ------
92,258,724 103,223,824 1.2
Engineering & 553,000 CBI Industries, Inc. 13,762,316 14,931,000 0.2
Construction
<PAGE>
Financial Services 807,800 Student Loan Marketing Association 34,901,569 43,520,225 0.5
Food & Tobacco 400,000 Philip Morris Companies, Inc. 19,617,414 28,650,000 0.4
412,462 RJR Nabisco, Inc. 11,342,727 11,394,263 0.1
-------------- -------------- ------
30,960,141 40,044,263 0.5
Healthcare 360,000 Advocat, Inc. 3,422,500 4,590,000 0.1
Services 650,000 Baxter International, Inc. 13,870,330 24,212,500 0.3
400,000 Beverly Enterprises, Inc. 4,291,401 5,650,000 0.1
110,000 Hillhaven Corp. 1,972,850 3,176,250 0.0
546,500 US Surgical Corp. 11,871,438 13,116,000 0.1
-------------- -------------- ------
35,428,519 50,744,750 0.6
Index-Related USD 40,800 Republic of Austria Stock Index Growth
Notes due 8/15/1996 432,941 647,700 0.0
Industrial 915,000 BW/IP Holdings, Inc. 15,816,387 17,385,000 0.2
157,943 Cooper Cameron Corporation 2,529,415 3,514,232 0.0
179,803 Cooper Industries, Inc. 6,534,892 6,720,137 0.1
-------------- -------------- ------
24,880,694 27,619,369 0.3
Insurance 913,400 Ace, Ltd. 20,951,269 27,059,475 0.3
245,000 Aetna Life & Casualty Co. 12,939,855 15,159,375 0.2
200,000 Alexander & Alexander Services, Inc. 3,314,197 4,600,000 0.1
510,000 American General Corp. 13,187,448 18,551,250 0.2
571,000 Horace Mann Educators, Inc. 13,654,588 14,631,875 0.2
640,200 Lincoln National Corp. 23,466,317 26,328,225 0.3
680,000 PartnerRe Holdings, Ltd. 13,404,414 17,000,000 0.2
-------------- -------------- ------
100,918,088 123,330,200 1.5
Metals 140,000 Aluminum Co. of America 4,698,667 7,962,500 0.1
132,800 Reynolds Metals Co. 5,801,771 8,300,000 0.1
-------------- -------------- ------
10,500,438 16,262,500 0.2
Multi-Industry 340,000 Loews Corp. 31,080,454 40,927,500 0.5
Natural Resources 15,000 Freeport McMoRan Copper & Gold Inc. 327,957 399,375 0.0
210,520 Freeport McMoRan Copper & Gold Inc.
(Class B) 3,665,657 5,684,040 0.1
300,000 Freeport-McMoRan, Inc. 982,417 1,500,000 0.0
-------------- -------------- ------
4,976,031 7,583,415 0.1
<PAGE>
Oil Services 375,000 Arethusa (Offshore) Ltd. 3,859,378 6,656,250 0.1
149,800 Atwood Oceanics, Inc. 1,238,663 2,733,850 0.0
3,614,375 Noble Drilling Corp. 25,124,880 23,493,437 0.3
-------------- -------------- ------
30,222,921 32,883,537 0.4
Pharmaceuticals/ 121,500 Alteon, Inc. 1,205,188 1,093,500 0.0
Biotechnology 435,000 Applied Immune Sciences, Inc. 6,160,143 3,208,125 0.0
600,000 Bristol-Myers Squibb Co. 33,254,124 41,550,000 0.5
450,000 Merck & Co., Inc. 15,115,266 23,231,250 0.3
-------------- -------------- ------
55,734,721 69,082,875 0.8
Pollution Control 646,900 WMX Technologies, Inc. 16,148,443 20,215,625 0.2
Publishing 175,000 Gannett Co., Inc. 8,375,486 9,581,250 0.1
301,500 New York Times Co. (Class A) 7,158,778 7,688,250 0.1
140,138 Times Mirror Co. (Class A) 3,016,629 4,028,967 0.1
-------------- -------------- ------
18,550,893 21,298,467 0.3
Real Estate 504,600 Carr Realty Corp. 10,031,714 9,335,100 0.1
Investment Trusts 500,000 First Union Real Estate Investments 3,764,840 3,750,000 0.0
661,300 Mid-America Realty Investments 6,616,640 5,621,050 0.1
100,000 Mid-Atlantic Realty Trust Co. 917,500 881,250 0.0
200,000 Nationwide Health Properties, Inc. 7,500,000 7,925,000 0.1
830,000 Prime Residential, Inc. 13,262,250 12,553,750 0.2
400,000 Taubman Centers, Inc. 3,807,537 3,950,000 0.1
-------------- -------------- ------
45,900,481 44,016,150 0.6
Restaurants 300,000 Buffets, Inc. 3,157,818 4,162,500 0.1
Retail Specialty 300,000 Toys R Us, Inc. 8,128,125 8,400,000 0.1
Retail Stores 608,500 Baker (J.), Inc. 10,187,765 5,932,875 0.1
643,200 Burlington Coat Factory Warehouse 7,035,315 8,281,200 0.1
516,900 Buttrey Food & Drug Stores Co. 4,084,486 3,489,075 0.0
105,000 Dayton-Hudson Corp. 6,995,242 7,940,625 0.1
100,000 Eagle Food Centers, Inc. 612,500 187,500 0.0
1,110,000 Filene's Basement Corp. 10,092,619 6,105,000 0.1
1,373,500 Payless Cashways, Inc. 17,027,625 10,129,562 0.1
1,292,800 Service Merchandise Co., Inc. 10,487,218 9,049,600 0.1
1,111,600 The Vons Companies, Inc. 18,500,110 24,733,100 0.3
-------------- -------------- ------
85,022,880 75,848,537 0.9
</TABLE>
<PAGE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued) (in US dollars)
<CAPTION>
COUNTRY
Shares Percent of
Industries Held Common Stocks Cost Value Net Assets
<S> <C> <S> <C> <C> <C>
United States
(concluded)
Savings Banks 106,000 Ahmanson (H.F.) & Co. $ 1,767,857 $ 2,371,750 0.0%
297,600 Bankers Corp. 1,688,842 5,319,600 0.1
695,000 Brooklyn Bancorp, Inc. (e) 16,888,752 23,630,000 0.3
1,700,768 Dime Bancorp, Inc. 11,647,480 18,070,660 0.2
196,400 Downey Savings & Loan Association 2,896,670 3,756,150 0.1
1,895,553 Glendale Federal Savings Bank 16,659,352 26,063,854 0.3
770,194 Glendale Federal Savings Bank
(Warrants) (a) -- 3,658,421 0.0
37,500 NS Bancorp, Inc. 300,000 1,279,687 0.0
204,000 Portsmouth Bank Shares, Inc. 1,396,014 2,499,000 0.0
-------------- -------------- ------
53,244,967 86,649,122 1.0
Specialty Retailing 400,000 Sotheby's Holdings, Inc. (Class A) 4,879,559 5,350,000 0.1
Telecommunications 123,057 Cox Communication, Inc. 1,820,315 2,491,904 0.0
Textiles 2,825,200 Burlington Industries, Inc. 37,451,653 35,315,000 0.4
Utilities-- 1,250,000 Allegheny Power System, Inc. 27,315,551 30,000,000 0.4
Electric & Gas 125,000 CMS Energy Corp. 2,290,025 3,125,000 0.0
2,486,200 Centerior Energy Corp. 35,099,397 25,794,325 0.3
150,000 Consolidated Edison Company, Inc. 4,390,815 4,350,000 0.1
1,780,000 Entergy Corp. 47,516,856 42,275,000 0.5
475,000 FPL Group, Inc. 14,363,265 18,168,750 0.2
300,000 General Public Utilities Corp. 8,663,891 8,662,500 0.1
1,757,900 Niagara Mohawk Power Corp. 28,627,702 24,610,600 0.3
844,600 Texas Utilities Co. 26,942,999 28,610,825 0.3
1,148,800 Unicom Corporation 27,549,620 31,879,200 0.4
-------------- -------------- ------
222,760,121 217,476,200 2.6
<PAGE>
Utilities--Gas 115,650 Atmos Energy Corp. 1,445,257 2,313,000 0.0
Total Common Stocks in the
United States 1,498,801,634 1,739,376,156 20.9
Total Investments in Common Stocks 2,597,806,219 3,066,290,755 36.7
Equity Closed-End Funds
Austria
Financial Services 320,000 Austria Fund (USD) 2,642,432 2,680,000 0.0
Total Equity Closed-End Funds in
Austria 2,642,432 2,680,000 0.0
Ireland
Financial Services 150,000 Irish Investment Fund, Inc. (USD) 1,086,041 1,743,750 0.0
Total Equity Closed-End Funds in
Ireland 1,086,041 1,743,750 0.0
Italy
Financial Services 150,000 Italy Fund (USD) 1,198,520 1,200,000 0.0
Total Equity Closed-End Funds in Italy 1,198,520 1,200,000 0.0
Portugal
Financial Services 39,500 Capital Portugal Fund 2,052,116 3,832,551 0.1
25,600 Jakarta Growth Fund (USD) 158,080 252,800 0.0
40,000 Portugal Fund (USD) 360,368 545,000 0.0
Total Equity Closed-End Funds in
Portugal 2,570,564 4,630,351 0.1
Spain
Financial Services 300,100 Growth Fund of Spain, Inc. 2,630,827 3,263,587 0.1
Total Equity Closed-End Funds in Spain 2,630,827 3,263,587 0.1
United States
<PAGE>
Financial Services 166,666 European Warrant Fund 1,363,723 1,416,661 0.0
11,700 Global Yield Fund 89,798 78,975 0.0
Total Equity Closed-End Funds in the
United States 1,453,521 1,495,636 0.0
Total Investments in Equity Closed-
End Funds 11,581,905 15,013,324 0.2
Preferred Stocks
Germany
Automobiles 70,550 Volkswagen of America, Inc. 16,036,436 17,513,679 0.2
Multi-Industry 45,000 R.W.E. AG 8,725,424 12,848,303 0.2
Total Preferred Stocks in Germany 24,761,860 30,361,982 0.4
New Zealand
Finance 5,585,700 Brierly Investments, Ltd. (9%
Convertible) 3,515,477 3,951,240 0.1
Total Preferred Stocks in New Zealand 3,515,477 3,951,240 0.1
Norway
Financial Services 175,000 A/S Eksportfinans (8.70%) (USD) 4,377,500 4,462,500 0.1
Total Preferred Stocks in Norway 4,377,500 4,462,500 0.1
Spain
Banking 225,000 Santander Overseas Bank (8%, Series D)
(USD) 5,463,250 5,484,375 0.1
Total Preferred Stocks in Spain 5,463,250 5,484,375 0.1
United Kingdom
Engineering 750,000 AMEC PLC (6.50% Convertible) 968,501 744,093 0.0
<PAGE>
Retail Stores 545,000 Signet Group (Convertible) (ADR)++
(USD) 2,194,907 3,406,250 0.0
Total Preferred Stocks in the
United Kingdom 3,163,408 4,150,343 0.0
United States
Airlines 69,400 USAir Group, Inc. (Convertible $4.375,
Series B) 3,673,689 2,264,175 0.0
Automobiles & 20,000 Ford Motor Co. (8.40% Convertible,
Equipment Series A) 1,000,000 1,902,500 0.0
Banking 75,000 California Federal Bank (10.625%) 7,500,000 7,950,000 0.1
115,000 First Nationwide Bank (11.50%) 11,500,000 12,506,250 0.2
100,000 Fourth Financial Corp. (Convertible,
Class A) 2,500,000 3,125,000 0.0
130,300 Marine Midland Banks, Inc. (Adjustable
Rate, Series A) 5,219,925 5,602,900 0.1
100,000 Onbancorp, Inc. (6.75% Convertible,
Series B) 2,668,750 2,725,000 0.0
-------------- -------------- ------
29,388,675 31,909,150 0.4
Energy & Petroleum 150,000 Grant Tensor Corp. (9.75% Convertible) 1,853,375 2,250,000 0.0
64,219 Santa Fe Energy Resources, Inc. (7%) 954,075 1,139,887 0.0
460,000 Santa Fe Energy Resources, Inc.
(Convertible, Class A) 4,082,500 4,427,500 0.1
-------------- -------------- ------
6,889,950 7,817,387 0.1
Health Care 1,080,000 US Surgical Corp. (Convertible) 24,354,000 29,160,000 0.4
Natural Resources 85,000 Alumax Inc. (Convertible, Series A) 7,240,312 12,240,000 0.1
150,000 Cyprus Amax Minerals Co. (Convertible,
Series A) 9,188,313 9,252,000 0.1
348,700 Freeport-McMoRan Copper & Gold, Inc.
(Convertible Shares) 7,918,834 8,935,437 0.1
219,000 Freeport-McMoRan Inc. (Convertible
--Gold) 7,703,330 7,692,375 0.1
-------------- -------------- ------
32,050,789 38,119,812 0.4
Oil Service 447,200 Noble Drilling Corp. (Convertible) 10,745,382 10,062,000 0.1
</TABLE>
<PAGE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued) (in US dollars)
<CAPTION>
COUNTRY
Shares Percent of
Industries Held Common Stocks Cost Value Net Assets
<S> <C> <S> <C> <C> <C>
United States
(concluded)
Paper & Forest 200,000 Boise Cascade Corp. (Convertible,
Products Series G) $ 4,225,000 $ 7,175,000 0.1%
288,200 James River Corp. of Virginia
(9% Convertible, Series P) 4,971,450 8,429,850 0.1
-------------- -------------- ------
9,196,450 15,604,850 0.2
Publishing 59,862 Times Mirror Company (Convertible,
Series B) 1,340,838 1,481,584 0.0
Real Estate 658,000 Catellus Development Corp. (7.25%
Convertible Exchangeable, Series B) 30,686,250 26,978,000 0.3
Real Estate 666,000 National Health Investors, Inc.
Investment Trusts (8.50% Convertible) 16,650,000 17,149,500 0.2
700,000 Prime Retail, Inc. (10.50%) 16,712,575 13,300,000 0.2
-------------- -------------- ------
33,362,575 30,449,500 0.4
Savings Bank 619,900 Glendale Federal Savings Bank
(8.75% Convertible, Series E) 15,070,337 23,091,275 0.3
Total Preferred Stocks in the
United States 197,758,935 218,840,233 2.6
Total Investments in Preferred Stocks 239,040,430 267,250,673 3.3
Currency Face
Denomination Amount Fixed-Income Securities
Argentina
Banking USD 22,000,000 Banco de Galicia, 9% due 11/01/2003 21,506,460 16,500,000 0.2
Banco Rio de la Plata:
USD 47,500,000 (Class 3), 8.50% due 7/15/1998 47,908,125 44,887,500 0.5
USD 56,000,000 8.75% due 12/15/2003 47,165,825 42,840,000 0.5
-------------- -------------- ------
116,580,410 104,227,500 1.2
<PAGE>
Government Republic of Argentina:
Obligations USD 145,000,000 Discount Notes, 6.875% due 3/31/2023 105,705,577 82,831,250 1.0
USD 126,000,000 Floating Rate Bonds, 7.312% due
3/31/2005, Series L 62,510,000 77,332,500 0.9
USD 22,500,000 Global Bonds, 8.375% due 12/20/2003 16,943,750 16,987,500 0.2
USD 324,000,000 Par Bonds, 5% due 3/31/2023 163,106,086 150,660,000 1.8
-------------- -------------- ------
348,265,413 327,811,250 3.9
Total Fixed-Income Securities in
Argentina 464,845,823 432,038,750 5.1
Australia
Food USD 14,000,000 Burns, Philp & Company Ltd.,
Processing Convertible Bonds, 5.50% due
4/30/2004 11,976,950 12,040,000 0.1
Industrial USD 26,410,000 Lend Lease Finance International
Corp., Ltd., Convertible Bonds,
4.75% due 6/01/2003 28,765,793 30,635,600 0.4
Total Fixed-Income Securities in
Australia 40,742,743 42,675,600 0.5
Brazil
Government USD 35,000,000 Brazil Exit Bonds, 6% due 9/15/2013 19,537,445 16,843,750 0.2
Obligations Republic of Brazil:
USD 37,050,000 4% due 1/01/2001 (d) 28,959,563 30,010,500 0.4
USD 5,000,000 Discount Notes, 6.688% due 4/15/2024 3,100,000 2,831,250 0.0
USD 150,000,000 Par Bonds, 4% due 4/15/2024
(Series YL3) 58,390,625 65,625,000 0.8
USD 60,000,000 Par Bonds, 4% due 4/15/2024
(Series YL4) 23,047,430 26,250,000 0.3
Total Fixed-Income Securities in
Brazil 133,035,063 141,560,500 1.7
Canada
Cable CAD 6,250,000 Rogers Cablesystems, 9.65% due 1/15/2014 3,588,228 3,920,496 0.0
Government CAD 20,000,000 Canadian Government Bonds, 9.50% due
Obligations 10/01/1998 15,417,349 15,288,111 0.2
CAD 2,000,000 Macmillan Bloedel Limited, Convertible
Bonds, 5% due 5/01/2007 1,024,416 1,196,207 0.0
-------------- -------------- ------
16,441,765 16,484,318 0.2
<PAGE>
Hotel/ USD 23,500,000 Four Seasons Hotel, Inc., 9.125% due
Leisure 7/01/2000 23,401,875 22,971,250 0.3
Industrial USD 23,000,000 Call Net Enterprise, Inc., 13.07% due
12/01/2004 (b) 13,186,310 14,173,750 0.2
USD 12,500,000 Consoltex Group, Inc., 11% due
10/01/2003 12,530,000 11,500,000 0.1
USD 77,000,000 International Semi-Tech Microelectronics
Inc., 11.50% due 8/15/2000 (b) 43,821,759 39,270,000 0.5
-------------- -------------- ------
69,538,069 64,943,750 0.8
Oil & Related Mark Resources Inc., Convertible Bonds:
CAD 7,250,000 7% due 4/15/2002 5,052,564 4,547,775 0.1
CAD 1,250,000 8% due 11/30/2004 943,556 866,156 0.0
CAD 14,500,000 Talisman Energy Inc. (Ex-Warrants),
8.50% due 12/01/2000 11,040,982 10,523,341 0.1
-------------- -------------- ------
17,037,102 15,937,272 0.2
Real Estate Olympia & York Inc.:
CAD 57,194,000 Series 1, 10.70% due 11/04/1995 29,626,733 25,655,952 0.3
CAD 34,000,000 Series 2, 11% due 11/04/1998 18,060,242 15,251,641 0.2
-------------- -------------- ------
47,686,975 40,907,593 0.5
Resources USD 20,000,000 Crown Packaging Ltd., 10.75% due
11/01/2000 20,000,000 19,800,000 0.2
Sherritt, Inc.:
USD 4,000,000 9.75% due 4/01/2003 4,002,187 4,050,000 0.0
CAD 63,500,000 11% due 3/31/2004 45,931,085 46,663,931 0.6
USD 2,000,000 10.50% due 3/31/2014 2,060,000 2,060,000 0.0
USD 35,500,000 Sifto Canada, Inc., 8.50% due
7/15/2000 32,375,188 30,712,500 0.4
-------------- -------------- ------
104,368,460 103,286,431 1.2
Total Fixed-Income Securities in
Canada 282,062,474 268,451,110 3.2
France
Automobiles FRF 5,500 Peugeot, Convertible Bonds, 2% due
1/01/2001 992,341 1,096,499 0.0
Banking FRF 58,000 Societe Generale, Convertible Bonds
(New), 3.50% due 1/01/2000 7,499,838 8,684,453 0.1
<PAGE>
Government ECU 2,000,000 Credit Local de France, 8.683% due
Obligations 10/16/2001 (b) 1,656,263 1,671,996 0.0
Government of France:
FRF 700,000,000 8.50% due 10/25/2019 132,737,864 155,283,548 1.9
ECU 175,000,000 8.25% due 4/25/2022 202,798,464 229,617,286 2.8
-------------- -------------- ------
337,192,591 386,572,830 4.7
Industrial FRF 30,000 Alcatel Alsthom, Convertible Bonds,
2.50% due 1/01/2004 3,926,887 4,718,127 0.1
Insurance FRF 35,500 Finaxa, Convertible Bonds, 3% due
1/01/2001 9,060,172 10,407,941 0.1
Multi-- FRF 8,713 Compagnie Generale des Eaux,
Industry Convertible Bonds, 6% due 1/01/1998 4,859,722 5,922,767 0.1
Total Fixed-Income Securities in
France 363,531,551 417,402,617 5.1
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued) (in US dollars)
<CAPTION>
COUNTRY
Currency Face Percent of
Industries Denomination Amount Fixed-Income Securities Cost Value Net Assets
<S> <S> <C> <S> <C> <C> <C>
Germany
Banking DEM 2,310,000 Commerzbank AG, Floating Rate
Convertible Bonds, 2% due 6/15/2001 $ 1,556,456 $ 2,499,421 0.0%
Government DEM 204,000,000 Bundesrepublic Deutscheland,
Obligations 7.75% due 10/01/2004 148,967,081 155,912,282 1.9
DEM 290,000,000 Treuhandanstalt, 7.50% due 9/09/2004 187,088,655 218,743,577 2.6
-------------- -------------- ------
336,055,736 374,655,859 4.5
Government DEM 64,000,000 Baden-Wuerttemberg, 6.20% due
Obligations-- 11/22/2013 37,148,769 44,351,162 0.5
Regional DEM 57,500,000 Freie Hansestadt Hamburg,
6.08% due 11/29/2018 33,152,404 38,431,823 0.5
DEM 168,000,000 Land Hessen, 6% due 11/29/2013 96,916,825 112,713,324 1.4
DEM 110,000,000 Mecklenberg Vorpommern, 6.15% due
6/16/2023 61,012,437 72,550,481 0.9
DEM 133,200,000 Nordrhein-Westfalen, 6.125% due
12/21/2018 76,238,083 90,088,587 1.1
Rheinland-Pfalz:
DEM 33,000,000 5.75% due 2/24/2014 18,324,663 21,674,387 0.3
DEM 64,000,000 6.08% due 11/29/2018 36,935,547 43,077,368 0.5
DEM 47,000,000 Sachsen-Anhalt, 6% due 1/10/2014 26,915,615 31,022,653 0.4
-------------- -------------- ------
386,644,343 453,909,785 5.6
<PAGE>
Industrial USD 1,000,000 Siemens Corp. (with Warrants),
8% due 6/24/2002 (a) 1,318,750 1,375,700 0.0
USD 41,100,000 Tarkett International, 9% due
3/01/2002 39,413,750 41,819,250 0.5
-------------- -------------- ------
40,732,500 43,194,950 0.5
Utilities-- USD 5,875,000 Veba International Finance (Warrants),
Electric 6% due 4/06/2000 (a) 7,083,300 10,545,625 0.1
Total Fixed-Income Securities in
Germany 772,072,335 884,805,640 10.7
Hong Kong
Industrial USD 9,900,000 Johnson Electric Holdings Ltd.,
Convertible Bonds, 4.50% due
11/05/2000 8,844,404 8,786,250 0.1
Retail USD 11,500,000 Dairy Farm International Holdings
Ltd., 6.50% due 5/10/2049 9,118,375 8,625,000 0.1
Total Fixed-Income Securities in
Hong Kong 17,962,779 17,411,250 0.2
Indonesia
Industrial USD 2,000,000 PT Indorayon, Convertible Bonds,
5.50% due 10/01/2002 2,363,125 2,360,000 0.0
Total Fixed-Income Securities in
Indonesia 2,363,125 2,360,000 0.0
Italy
Telecommuni- Softe SA-LUX:
cations ITL 16,760,000,000 (Ex-Warrants), 8.75% due 3/24/1997 10,756,360 10,086,841 0.1
ITL 11,500,000,000 Convertible Bonds, 4.25% due
7/30/1998 7,894,814 8,624,275 0.1
Total Fixed-Income Securities in
Italy 18,651,174 18,711,116 0.2
Japan
<PAGE>
Automobiles JPY 400,000,000 Toyota Motor Corp., Convertible Bonds,
& Equipment 1.20% due 1/28/1998 2,477,431 4,756,929 0.1
Electronics JPY 988,000,000 Matsushita Electric Works, Convertible
Bonds, 2.70% due 5/31/2002 9,691,544 12,299,500 0.2
Insurance JPY 13,000,000 Mitsui Marine & Fire Insurance Co.,
Ltd., 0.70% due 3/31/2003 118,211 135,552 0.0
JPY 8,000,000 Nichido Fire & Marine Insurance Co.,
Ltd., 1% due 3/31/2003 75,240 87,597 0.0
-------------- -------------- ------
193,451 223,149 0.0
Total Fixed-Income Securities in
Japan 12,362,426 17,279,578 0.3
Korea
Energy USD 6,250,000 Ssangyong Oil Corp., 3.75% due
12/31/2008 6,681,062 6,656,250 0.1
Total Fixed-Income Securities in
Korea 6,681,062 6,656,250 0.1
Mexico
Government USD 165,500,000 Banco Nacional (BNCE), 7.25% due
Obligations 2/02/2004 134,186,200 124,952,500 1.5
USD 32,500,000 Petroleos Mexicanos, 8.625% due
12/01/2023 15,772,500 22,750,000 0.3
United Mexican States:
USD 18,583,000 8.50% due 9/15/2002 15,096,445 15,609,720 0.2
USD 85,000,000 Floating Notes, Series A, 6.687%
due 12/31/2019 72,668,750 60,456,250 0.7
USD 38,000,000 Floating Notes, Series B, 6.765%
due 12/31/2019 32,676,004 27,027,500 0.3
USD 25,000,000 Par Bonds, Series B, 6.25%
due 12/31/2019 11,690,643 15,000,000 0.2
United Mexican States, Rights:
USD 130,764,000 (Series A) -- -- --
USD 83,460,000 (Series B) -- -- --
-------------- -------------- ------
282,090,542 265,795,970 3.2
Total Fixed-Income Securities in
Mexico 282,090,542 265,795,970 3.2
<PAGE>
New Zealand
Utilities NZD 2,000,000 Natural Gas Corp. Holdings,
--Gas Convertible Bonds, 10.50%
due 10/14/1997 1,186,318 2,425,320 0.0
Total Fixed-Income Securities in
New Zealand 1,186,318 2,425,320 0.0
Norway
Industrial USD 10,000,000 Wilrig AS, 11.25% due 3/15/2004 10,000,000 10,350,000 0.1
Total Fixed-Income Securities in
Norway 10,000,000 10,350,000 0.1
Portugal
Banking ECU 19,300,000 Banco Commercial Portuguese,
Convertible Bonds, 8.75% due
5/21/2002 26,468,747 27,224,001 0.3
Total Fixed-Income Securities in
Portugal 26,468,747 27,224,001 0.3
Spain
Government ESP 30,275,000,000 Government of Spain, 10% due
Obligations 2/28/2005 218,935,863 236,367,295 2.8
Total Fixed-Income Securities in
Spain 218,935,863 236,367,295 2.8
Sweden
Industrial ECU 7,000,000 SKF--AB Lyons, Convertible Bonds,
8.01% due 7/26/2002 (b) 5,313,058 5,360,166 0.1
<PAGE>
Multi- ECU 1,000,000 Investor International Placements,
Industry Convertible Bonds, 7.25% due
6/21/2001 1,001,412 1,481,098 0.0
Total Fixed-Income Securities in
Sweden 6,314,470 6,841,264 0.1
Switzerland
Chemicals USD 24,945,000 Ciba-Geigy Corp., Convertible Bonds,
6.25% due 3/15/2016 25,632,050 24,446,100 0.3
Industrial CHF 1,401,000 Ciba-Geigy AG, Convertible Bonds,
2% due 8/09/1998 1,178,587 1,673,091 0.0
Newspaper/ CHF 3,020,000 News International PLC, 5.375%
Publishing due 4/30/1996 1,115,703 2,655,662 0.0
Total Fixed-Income Securities in
Switzerland 27,926,340 28,774,853 0.3
Taiwan
Agriculture USD 750,000 President Enterprises, 8.30% due
7/22/2001 (b) 746,250 907,500 0.0
Metals USD 2,220,000 Tung Ho Steel Enterprise, Convertible
Bonds, 4% due 7/26/2001 2,243,700 2,575,200 0.0
Total Fixed-Income Securities in Taiwan 2,989,950 3,482,700 0.0
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued) (in US dollars)
<CAPTION>
COUNTRY
Currency Face Percent of
Industries Denomination Amount Fixed-Income Securities Cost Value Net Assets
<S> <S> <C> <S> <C> <C> <C>
United Kingdom
Building GBP 3,250,000 Redland Capital PLC, Convertible
Materials Bonds, 7.25% due 1/28/2002 $ 5,382,804 $ 4,888,611 0.1%
Energy GBP 29,990,000 Elf Enterprises Finance PLC,
Convertible Bonds, 8.75% due
6/27/2006 48,109,352 47,390,123 0.6
<PAGE>
Financial GBP 3,550,000 SG Warburg Group, Convertible Bonds,
Services 6.50% due 8/04/2008 5,416,350 4,828,603 0.1
GBP 11,600,000 TransAtlantic Holdings PLC, Convertible
Bonds, 5.50% due 4/30/2009 14,179,895 14,107,363 0.2
-------------- -------------- ------
19,596,245 18,935,966 0.3
Foods GBP 7,750,000 Tate & Lyle International, Convertible
Bonds, 5.75% due 3/21/2001 10,092,554 10,448,306 0.1
Food & GBP 750,000 Allied Domecq PLC, 6.75% due 7/07/2008 1,119,092 1,182,148 0.0
Beverage
Government GBP 32,000,000 U.K.T.N., Bond, 6.75% due 11/26/2004 47,194,258 46,277,784 0.6
Obligations
Industrial USD 1,890,000 HIH Capital Ltd., Convertible Bonds
(Bearer), 7.50% due 9/25/2006 1,005,400 1,379,700 0.0
USD 2,000,000 HIH Capital Ltd., Convertible Bonds,
7.50% due 9/25/2006 1,665,000 1,460,000 0.0
GBP 6,375,000 Hanson PLC, Convertible Bonds,
9.50% due 1/31/2006 11,769,997 10,354,294 0.1
-------------- -------------- ------
14,440,397 13,193,994 0.1
Multi-- GBP 4,875,000 English China Clays PLC, Convertible
Industry Bonds, 6.50% due 9/30/2003 8,364,034 7,820,477 0.1
Real Estate GBP 500,000 Land Securities PLC, Convertible Bonds,
6.75% due 12/31/2002 679,603 796,099 0.0
Retail GBP 8,350,000 Sainsbury (J.) PLC, Convertible Bonds,
8.50% due 11/19/2005 16,072,715 18,338,892 0.2
Utilities GBP 2,000,000 National Power PLC, Convertible Bonds,
6.25% due 9/23/2008 3,262,275 3,584,448 0.0
Total Fixed-Income Securities in the
United Kingdom 174,313,329 172,856,848 2.1
United States
Aerospace USD 3,500,000 Rohr Industries, Inc., Convertible
Bonds, 7.75% due 5/15/2004 3,500,000 5,425,000 0.1
<PAGE>
Airlines USD 8,500,000 UAL Corporation, Convertible Bonds,
6.375% due 2/01/2025 7,631,506 8,797,500 0.1
USAir Inc.:
USD 11,000,000 10% due 7/01/2003 8,529,375 8,827,500 0.1
USD 4,337,927 9.33% due 1/01/2006 4,229,913 3,882,445 0.1
USD 19,300,000 10.375% due 3/01/2013 17,593,625 17,852,500 0.2
USD 7,500,000 USAir Pass Thru, 9.625% due
9/01/2003 (d) 7,495,625 6,900,000 0.1
-------------- -------------- ------
45,480,044 46,259,945 0.6
Automotive USD 22,000,000 AM General Corporation, 12.875%
due 5/01/2002 21,834,060 21,120,000 0.3
Banking USD 14,250,000 Berkely Federal Bank, 12% due
6/15/2005 14,250,000 14,285,625 0.2
USD 15,000,000 First City Bancorp of Texas Inc.,
9% due 9/30/1997 14,925,000 14,925,000 0.2
USD 3,000,000 Roosevelt Financial Group, Inc.,
9.50% due 8/01/2002 3,000,000 3,005,100 0.0
-------------- -------------- ------
32,175,000 32,215,725 0.4
Building & USD 39,250,000 United International Holdings, Inc.,
Construction 43.768% due 11/15/1999 (b) 21,962,824 24,138,750 0.3
Building USD 15,000,000 DalTile International, Inc., 11.955%
Materials due 7/15/1998 (b) 10,267,050 10,312,500 0.1
Chemicals USD 10,000,000 Laroche Industries Inc., 13% due
8/15/2004 10,325,000 10,300,000 0.1
Computers USD 15,000,000 Dell Computer Corp., 11% due
8/15/2000 15,077,500 16,387,500 0.2
Energy USD 12,374,000 Transamerican Refining Corp., 18.29%
due 2/15/2002(b) 7,394,649 8,228,710 0.1
USD 33,000,000 TransTexas Gas Corp., 11.50% due
6/15/2002 33,000,000 34,072,500 0.4
-------------- -------------- ------
40,394,649 42,301,210 0.5
Financial CHF 4,010,000 Chrysler Financial Corp.,
Services 5.75% due 6/18/1996 1,914,011 3,556,638 0.0
Lomas Mortgage USA, Inc.:
USD 11,000,000 9.75% due 10/01/1997 10,465,250 8,470,000 0.1
USD 7,500,000 10.25% due 10/01/2002 7,000,000 5,512,500 0.1
USD 2,008,000 US Trails, Senior Secured Notes,
12% due 7/15/1998 1,642,685 1,365,440 0.0
-------------- -------------- ------
21,021,946 18,904,578 0.2
<PAGE>
Health Care USD 7,200,000 Cetus (Chiron) Corp., Convertible
Bonds, 5.25% due 5/21/2002 5,220,250 6,624,000 0.1
USD 8,500,000 Mediq/PRN, Senior Notes, 11.125%
due 7/01/1999 8,845,000 7,926,250 0.1
-------------- -------------- ------
14,065,250 14,550,250 0.2
Homebuilding & USD 31,950,000 Baldwin Co., 10.375% due 8/01/2003 30,215,562 18,531,000 0.2
Construction USD 37,500,000 Beazer Homes USA, Inc., 9% due
3/01/2004 35,597,000 34,406,250 0.4
USD 29,500,000 K. Hovnanian Enterprises, 9.75%
due 6/01/2005 28,874,300 23,157,500 0.3
USD 30,000,000 MDC Holdings Inc., 11.125% due
12/15/2003 28,916,500 27,375,000 0.3
USD 28,250,000 Presley Companies, Senior Notes,
12.50% due 7/01/2001 28,190,312 23,588,750 0.3
USD 10,000,000 Webb (Del E.) Corp., 9% due 2/15/2006 7,993,750 9,100,000 0.1
-------------- -------------- ------
159,787,424 136,158,500 1.6
Hospital USD 1,000,000 Novacare, Inc., Convertible Bonds,
Management 5.50% due 1/15/2000 857,500 860,000 0.0
Industrial USD 10,000,000 Easco Corp., 10% due 3/15/2001 10,005,000 10,100,000 0.1
USD 19,000,000 Envirotest Systems Corp.,
9.125% due 3/15/2001 18,412,210 15,960,000 0.2
USD 27,250,000 Genmar Holdings, Inc., 13.50% due
7/15/2001 27,127,100 27,045,625 0.3
USD 8,590,000 Hanson America, Convertible Bonds,
2.39% due 3/01/2001 6,592,268 6,786,100 0.1
USD 2,500,000 MDC Holdings, Inc., Convertible Bonds,
8.75% due 12/15/2005 2,150,000 2,600,000 0.0
USD 9,000,000 Merisel, Inc., 12.50% due 12/31/2004 9,000,000 7,920,000 0.1
USD 10,000,000 OSI Specialties Corp., 9.25% due
10/01/2003 10,000,000 10,250,000 0.1
USD 30,500,000 Plastic Specialties & Technology,
Inc., 11.25% due 12/01/2003 30,540,000 27,755,000 0.3
-------------- -------------- ------
113,826,578 108,416,725 1.2
Insurance USD 7,750,000 Horace Mann Educators, Inc.,
Convertible Bonds, 4% due
12/01/1999 (b) 7,682,500 7,682,187 0.1
USD 22,500,000 Mutual Life Insurance Co.,
11.25% due 8/15/2024 (b) 14,457,048 16,425,000 0.2
USD 12,500,000 Nacolah Holding Corp.,
9.50% due 12/01/2003 12,500,000 11,812,500 0.1
-------------- -------------- ------
34,639,548 35,919,687 0.4
</TABLE>
<PAGE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued) (in US dollars)
<CAPTION>
COUNTRY
Currency Face Percent of
Industries Denomination Amount Fixed-Income Securities Cost Value Net Assets
<S> <S> <C> <S> <C> <C> <C>
United States
(concluded)
Leisure & USD 5,000,000 Rio Hotel & Casino Inc., 10.625%
Tourism due 7/15/2005 $ 5,000,000 $ 5,012,500 0.1%
Merchandising USD 12,000,000 Price Club Co., Convertible Bonds,
5.50% due 2/28/2012 11,213,250 11,700,000 0.1
Oil & Related USD 1,500,000 Gerrity Oil & Gas Corp., 11.75%
due 7/15/2004 1,500,000 1,342,500 0.0
PDV America, Inc.:
USD 35,000,000 7.25% due 8/01/1998 34,856,150 33,600,000 0.4
USD 10,000,000 7.75% due 8/01/2000 10,062,500 9,412,500 0.1
USD 6,000,000 USX Marathon Oil Co., 7% due
6/15/2017 5,650,000 5,505,000 0.1
-------------- -------------- ------
52,068,650 49,860,000 0.6
Real Estate USD 24,500,000 Alexander Haagen Properties Inc.,
Exchangeable Debentures, 7.25% due
12/27/2003 24,348,750 22,754,375 0.3
USD 25,000,000 First Washington Realty, 8.25%
due 6/26/1999 25,000,000 24,750,000 0.3
USD 6,500,000 LTC Properties, Inc., Convertible Bonds,
9.75% due 7/01/2004 6,500,000 9,343,750 0.1
USD 27,000,000 Malan Realty Investors, Inc.,
Convertible Bonds, 8.50% due
7/01/2003 27,000,000 27,945,000 0.3
USD 9,545,000 Phoenix Home Life-Mutual Insurance Co.,
8% due 11/25/2023 9,545,000 9,091,612 0.1
USD 23,948,889 RTC Commercial Mortgage, Class E,
8.25% due 12/25/2020 (d) 23,582,172 22,212,595 0.3
-------------- -------------- ------
115,975,922 116,097,332 1.4
<PAGE>
Real Estate USD 7,000,000 Centerpoint Properties Corp.,
Investment Convertible Bonds, 8.22% due
Trusts 1/15/2004 7,000,000 7,866,250 0.1
USD 30,000,000 First Union Real Estate, 8.875%
due 10/01/2003 29,756,100 27,225,000 0.3
USD 12,500,000 Liberty Property Trust, Convertible
Bonds, 8% due 7/01/2001 12,500,000 12,687,500 0.1
Meditrust, Convertible Bonds:
USD 6,000,000 7% due 3/01/1998 6,035,000 6,637,500 0.1
USD 5,000,000 8.549% due 2/01/2000 5,000,000 5,000,000 0.1
USD 18,500,000 7.50% due 3/01/2001 18,500,000 18,685,000 0.2
USD 5,000,000 Mid-Atlantic Realty Trust,
Convertible Bonds, 7.625% due
9/15/2003 4,875,000 4,125,000 0.1
USD 5,000,000 National Health Investors, Inc.,
Convertible Bonds, 7.375% due
4/01/1998 5,125,000 5,150,000 0.1
USD 14,500,000 Nationwide Health Properties Inc.,
Convertible Bonds, 6.25% due
1/01/1999 14,450,000 14,355,000 0.1
USD 5,500,000 Sizeler Property Investors, Inc.,
Convertible Bonds, 8% due
7/15/2003 5,505,000 4,867,500 0.1
-------------- -------------- ------
108,746,100 106,598,750 1.3
Resources USD 32,500,000 Freeport-McMoRan Resources,
8.75% due 2/15/2004 31,378,750 31,403,125 0.4
Savings Bank USD 15,000,000 Crossland Federal Savings Bank,
9% due 9/01/2003 15,634,250 15,150,000 0.2
USD 21,400,000 First Federal Financial Corporation,
11.75% due 10/01/2004 21,401,250 21,346,500 0.2
-------------- -------------- ------
37,035,500 36,496,500 0.4
Steel USD 23,625,000 NS Group, Inc., 13.50% due
7/15/2003 22,526,813 22,680,000 0.3
Supermarkets USD 39,650,000 Eagle Food Centers Inc., 8.625%
due 4/15/2000 36,095,837 18,040,750 0.2
USD 5,000,000 Pueblo Xtra International Inc.,
9.50% due 8/01/2003 4,588,750 4,500,000 0.1
-------------- -------------- ------
40,684,587 22,540,750 0.3
Telecommuni- USD 46,500,000 Cellnet Data Systems, 9.1479% due
cations 6/15/2005 (b) 25,166,686 25,691,250 0.3
USD 95,000,000 Geotek Communications Inc.,
14.975% due 7/15/2005 (b) 46,421,106 46,787,500 0.6
Nextel Communications, Inc. (b):
USD 3,000,000 11.21% due 9/01/2003 2,158,895 1,811,250 0.0
USD 33,500,000 9.96% due 8/15/2004 22,383,911 17,545,625 0.2
-------------- -------------- ------
96,130,598 91,835,625 1.1
<PAGE>
Textiles & USD 23,500,000 Salant Corp., Secured, 10.50%
Apparel due 12/31/1998 23,030,000 18,330,000 0.2
USD 18,250,000 Texfi Industries, Inc., 8.75%
due 8/01/1999 17,930,300 13,961,250 0.2
-------------- -------------- ------
40,960,300 32,291,250 0.4
Trans- USD 8,500,000 Eletson Holdings Inc., 9.25% due
portation 11/15/2003 8,537,500 8,096,250 0.1
USD 22,000,000 OMI Corp., 10.25% due 11/01/2003 21,910,000 18,920,000 0.2
-------------- -------------- ------
30,447,500 27,016,250 0.3
Trans- USD 5,000,000 AMR Corp., 6.125% due 11/01/2024 4,074,641 5,200,000 0.1
portation/
Airline
Utilities-- CTC Mansfield Funding Corp.:
Electric USD 5,500,000 10.25% due 3/30/2003 5,620,000 5,610,000 0.1
USD 12,000,000 11.125% due 9/30/2016 12,820,000 12,300,000 0.2
USD 40,000,000 California Energy Co., Inc.,
10.25% due 1/15/2004 (b) 34,517,325 34,000,000 0.4
USD 8,000,000 Calpine Corp., Inc., 9.25% due
2/01/2004 7,277,500 6,960,000 0.1
Cleveland Electric Illuminating
Company Inc., First Mortgage:
USD 5,000,000 9.30% due 7/26/1999 5,437,500 4,981,250 0.1
USD 12,500,000 9.25% due 7/29/1999 13,562,500 12,437,500 0.2
USD 3,000,000 9.05% due 8/15/2001 3,093,750 2,955,000 0.0
USD 7,500,000 7.625% due 8/01/2002 7,462,500 6,768,750 0.1
USD 5,000,000 7.375% due 6/01/2003 4,700,000 4,387,500 0.0
El Paso Funding:
USD 4,050,000 9.20% due 7/02/1997 3,286,000 2,349,000 0.0
USD 25,000,000 10.375% due 1/02/2011 21,170,000 14,500,000 0.2
USD 62,040,000 10.75% due 4/01/2013 52,996,150 35,983,200 0.4
USD 7,500,000 Public Service Company of
New Mexico, First PV Funding,
10.30% due 1/15/2014 7,137,750 7,612,500 0.1
USD 23,000,000 Public Service Company of
New Mexico, EIP Funding, 10.25%
due 10/01/2012 23,000,000 23,230,000 0.3
Toledo Edison Co.:
USD 2,000,000 9.30% due 4/01/1998 2,130,000 1,990,000 0.0
USD 15,425,000 7.25% due 8/01/1999 15,425,000 14,248,844 0.2
USD 3,000,000 9.50% due 4/01/2001 3,221,250 2,985,000 0.0
USD 1,500,000 7.85% due 3/31/2003 1,296,450 1,353,750 0.0
USD 2,000,000 7.91% due 4/01/2003 1,992,500 1,807,500 0.0
-------------- -------------- ------
226,146,175 196,459,794 2.4
<PAGE>
Total Fixed-Income Securities
in the United States 1,367,603,159 1,278,462,246 15.4
Total Investments in Fixed-Income
Securities 4,232,139,273 4,281,932,908 51.4
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (concluded) (in US dollars)
<CAPTION>
COUNTRY
Currency Face Percent of
Denomination Amount Short-Term Securities Cost Value Net Assets
<S> <S> <C> <S> <C> <C> <C>
Canada
Foreign CAD 86,217,000 Canadian Treasury Bill, 6.347%
Government due 8/24/1995 $ 63,356,530 $ 62,634,670 0.8%
Obligations*
Total Short-Term Investments in Canada 63,356,530 62,634,670 0.8
Mexico
Foreign Mexican Cetes (Certificados de
Government la Tesoreria de la Federacion):
Obligations* MXN 42,000,000 30.064% due 8/03/1995 6,290,679 6,822,422 0.1
MXN 18,653,450 60.149% due 2/01/1996 2,251,725 2,518,674 0.0
MXN 82,186,000 26.249% due 2/15/1996 11,594,050 10,962,617 0.1
MXN 212,150,560 24.749% due 2/22/1996 28,534,315 28,124,706 0.3
Total Short-Term Investments in
Mexico 48,670,769 48,428,418 0.5
United States
<PAGE>
Commercial USD 47,000,000 ABN-AMRO North America Finance, Inc.,
Paper* 5.70% due 9/01/1995 46,769,308 46,769,308 0.6
USD 50,000,000 Ciesco L.P., 5.70% due 8/23/1995 49,825,833 49,825,833 0.6
USD 40,000,000 Deutsche Bank Finance, 5.71% due
8/11/1995 39,936,556 39,936,556 0.5
Du Pont (E.I.) de Nemours & Co:
USD 50,000,000 5.69% due 8/02/1995 49,992,097 49,992,097 0.6
USD 50,000,000 5.70% due 8/22/1995 49,833,750 49,833,750 0.6
USD 18,694,000 General Electric Capital Corp.,
5.80% due 8/01/1995 18,694,000 18,694,000 0.2
USD 50,000,000 Goldman Sachs Group L.P.,
5.70% due 8/09/1995 49,936,667 49,936,667 0.6
USD 42,082,000 Sheffield Receivables Corp.,
5.87% due 8/01/1995 42,082,000 42,082,000 0.5
USD 100,000,000 UBS Finance (Delaware) Inc.,
5.88% due 8/01/1995 100,000,000 100,000,000 1.2
Total Investments in Commercial Paper 447,070,211 447,070,211 5.4
US Government USD 15,000,000 Federal Home Loan Mortgage Corporation,
Agency 5.81% due 8/02/1995 14,997,579 14,997,579 0.2
Obligations*
Total Investments in US Government
Agency Obligations 14,997,579 14,997,579 0.2
Total Short-Term Investments in the
United States 462,067,790 462,067,790 5.6
Total Investments in Short-Term
Securities 574,095,089 573,130,879 6.9
Total Investments $7,654,662,916 8,203,618,539 98.5
==============
Unrealized Depreciation on Forward Foreign Exchange Contracts** (13,880,557) (0.2)
Variation Margin on Futures Contracts*** 688,896 0.0
Other Assets Less Liabilities 137,587,677 1.7
-------------- ------
Net Assets $8,328,014,555 100.0%
============== ======
Net Asset Class A--Based on net assets of $1,472,359,175 and
Value: 106,088,337 shares outstanding $ 13.88
==============
Class B--Based on net assets of $6,568,795,317 and
478,608,156 shares outstanding $ 13.72
==============
Class C--Based on net assets of $73,766,684 and
5,403,105 shares outstanding $ 13.65
==============
Class D--Based on net assets of $213,093,379 and
15,358,550 shares outstanding $ 13.87
==============
<PAGE>
<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)Represents a pay-in-kind security.
(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)The rights may be exercised until 8/08/1995.
++American Depositary Receipt (ADR).
*Commercial Paper and certain US and Foreign Government and Agency
Obligations are traded on a discount basis. The interest rates
shown are the rates in effect on July 31, 1995.
**Forward Foreign Exchange Contracts as of July 31, 1995 were as follows:
Unrealized
Foreign Expiration Appreciation
Currency Sold Date (Depreciation)
CHF 3,000,000 August 1995 $ 612
CHF 55,000,000 September 1995 (39,618)
DEM 666,500,000 August 1995 (4,764,376)
DEM 325,000,000 September 1995 (1,430,984)
DEM 155,000,000 October 1995 285,222
DKR 7,000,000 August 1995 (6,715)
ECU 123,000,000 August 1995 (2,794,730)
ECU 30,000,000 September 1995 (752,970)
FRF 335,000,000 August 1995 (2,668,862)
FRF 200,000,000 September 1995 (828,614)
FRF 310,000,000 October 1995 (942,780)
GBP 102,000,000 August 1995 (967,613)
GBP 32,000,000 September 1995 (92,480)
NLG 108,000,000 August 1995 (409,013)
NLG 55,000,000 September 1995 (251,823)
ESP 12,500,000,000 August 1995 (1,474,604)
ESP 7,000,000,000 September 1995 (812,158)
ESP 4,500,000,000 October 1995 (594,852)
JPY 5,000,000,000 August 1995 1,713,682
JPY 24,000,000,000 September 1995 2,490,897
JPY 4,000,000,000 October 1995 461,222
Total Unrealized Depreciation--Net, on
Forward Foreign Exchange Contracts
(US$ Commitment--$2,149,759,277) $(13,880,557)
============
<PAGE>
***Financial Futures Contracts purchased as of July 31, 1995 were as follows:
Number of Expiration
Contracts Issue Date Value
330 Standard & Poor's 500 Index September 1995 $(92,919,750)
700 US Treasury Notes September 1995 (76,234,375)
Total Financial Futures Contracts Purchased
(Total Contract Price--$167,728,750) $(169,154,125)
=============
PORTFOLIO CHANGES
<PAGE>
For the Quarter Ended July 31, 1995
Additions
Allied Domecq PLC, 6.75% due 7/07/2008
Authentic Fitness Corp.
Autopista Espana (ACESA) (Rights)
Berkely Federal Bank, 12% due 6/15/2005
British Petroleum Company PLC (The)
CS Holdings AG
Calfed Inc.
Cellnet Data Systems, 0% due 6/15/2000
Celsius Industrier AB
Cooper Cameron Corporation
First Chicago Corp.
First City Bancorp of Texas Inc.,
9% due 9/30/1997
Freeport McMoRan Copper & Gold Inc.
(Class B)
Geotek Communications, Inc.,
0% due 7/15/2000
Jefferson Smurfit Group PLC
Kinden Corporation
Kymmene Oy
Laroche Industries Inc., 13% due 8/15/2004
Meditrust, Convertible Bonds,
8.549% due 2/01/2000
Mos Food Services, Inc.
Nationwide Health Properties, Inc.
News International PLC,
5.375% due 4/30/1996
NS Group, Inc., 13.50% due 7/15/2003
NYNEX Cabecomms Group
Ohsho Food Service Corp.
Rauma OY
Republic of Brazil, 4% due 4/01/2014
Rio Hotel & Casino Inc., 10.625% due 7/15/2005
Roche Holdings AG
Roosevelt Financial Group, Inc.
Sherritt, Inc.:
9.75% due 4/01/2003
10.50% due 3/31/2014
T & N PLC
Telecom Italia Mobile
Toys R Us, Inc
U.K. T.N., Bond, 6.75% due 11/26/2004
Vodafone Group PLC
<PAGE>
Deletions
Albank Financial Corp.
Alcan Aluminium, Ltd.
Allison Engine, Inc., 10% due 12/01/2003
Allnet Communication Services,
9% due 5/15/2003
AutoImmune Inc.
Banco de Santander S.A. (New)
BankAmerica Corp.
Bayerische Vereinsbank AG (Rights)
Boise Cascade Corp.
Bowater, Inc.
Brown (Tom), Inc.
Bundesrepublic Deutscheland:
6.75% due 4/01/2004
7.50% due 11/11/2004
Canadian Government Bonds,
6.50% due 6/01/2004
Chase Manhattan Corp. (Warrants)
Cliffs Drilling Co.
Columbia Gas System, Inc.
7.50% due 6/01/1997
9.50% due 10/10/2019
Continental Cablevision, Inc.,
9.50% due 8/01/2013
Deluxe Corp.
Diamond Cable Communications,
13.25% due 9/30/2004
Domtar, Inc., 10.35% due 9/01/2006
EG&G, Inc.
Forte PLC
Gardner Denver Machinery, Inc.
General Electric Co. PLC (Ordinary)
Government of Spain:
10.90% due 8/30/2003
8% due 5/30/2004
Handleman Co.
Hanson PLC (Ordinary)
Hitachi, Ltd.
Hong Kong Telecommunications Ltd.
Immune Response Corp.
International Paper Co.
Marcus Cable Co. L.P., 13.50% due 8/01/2004
NWA Trust #2, Class C, 11.30% due 6/21/2014
Nestle AG
News International PLC, 5.375%
due 4/30/1996
<PAGE>
Octel Communications Corp.
Pacific Enterprises
Paging Network, Inc., 8.875% due 2/01/2006
Penn Traffic Co., 8.625% due 12/15/2003
Plains Resources, Inc. (Convertible, Series C)
Presidio Oil Co., 11.50% due 8/15/2000
Public Service Company of New Mexico,
10.15% due 10/15/2016
Ralphs Grocery Company, 10.25%
due 7/15/2002
Republic of Brazil, IDU Floating Rate Bond
Rohr Industries, Inc., 11.625% due
5/15/2003
Santa Fe Energy Resources, Inc.,
11% due 5/15/2004
Shell Transport & Trading Company PLC
Sherritt, Inc., 11% due 3/31/2004
South Jersey Industries, Inc.
Telecom Argentina S.A.,
8.375% due 10/18/2000
Telefonica de Argentina S.A.,
8.375% due 10/01/2000
Toyota Motor Corp.
UAL Corp.
United Kingdom Treasury Gilt,
8% due 6/10/2003
United Mexican States:
Floating Notes, Series C, 6.937%
due 12/31/2019
Par Bonds, Series A, 6.25% due 12/31/2019
United Mexican States, Rights (Series C)
Vista Properties, Inc., 13.75% due 10/31/2001
Waterford Wedgwood Units (Ordinary)
PORTFOLIO INFORMATION
Worldwide
Investments
As of 7/31/95
Percent Breakdown of
Stocks & Fixed-Income Percent of
Securities by Country Net Assets
United States* 38.9%
Germany 12.2
France 5.5
Argentina 5.4
Japan 5.3
Spain 4.3
Canada 4.3
Mexico* 3.5
United Kingdom 3.3
Netherlands 2.1
Brazil 1.7
Finland 1.0
Switzerland 1.0
Sweden 0.9
Italy 0.9
Australia 0.9
Indonesia 0.5
Portugal 0.4
Norway 0.2
Hong Kong 0.2
Austria 0.1
Ireland 0.1
Korea 0.1
New Zealand 0.1
Taiwan 0.0
Denmark 0.0
-----
Total 98.5%
=====
<PAGE>
<FN>
*Includes investments in short-term securities.
Ten Largest Industries Percent of
(Equity Investments) Net Assets
Banking++ 8.5%
Insurance 3.8
Utilities--Electric & Gas 2.6
Energy & Petroleum 1.5
Retail Stores 1.2
Pharmaceuticals 0.9
Financial Services 0.9
Multi-Industry 0.9
Pharmaceuticals/Biotechnology 0.8
Chemicals 0.8
<FN>
++Includes Savings Banks.
Ten Largest Industries Percent of
(Equity Investments) Net Assets
Republic New York Corp. 0.7%
Chemical Banking Corp. 0.6
KeyCorp 0.6
Internationale Nederlanden
Groep N.V. 0.6
Student Loan Marketing Association 0.5
Entergy Corp. 0.5
Bristol-Myers Squibb Co. 0.5
Loews Corp. 0.5
First of America Bank 0.5
First Commerce Corp. 0.5
</TABLE>
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