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Previous: TOYOTA MOTOR CREDIT CORP, 424B3, 1996-09-25 |
Next: HIGH INCOME ADVANTAGE TRUST II, N-30D, 1996-09-25 |
MERRILL LYNCH
GLOBAL
ALLOCATION
FUND, INC.
FUND LOGO
Quarterly Report
July 31, 1996
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. Statements and other
information herein are as dated and are subject
to change.
<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 7/31/96
<CAPTION>
Percent of Fund's Portfolio Reference Portfolio
7/31/96 4/30/96 Percentages
<S> <C> <C> <C>
North & South American Equities 19.4%* 18.6%* 36.0%
European Equities 10.1 9.2 11.0
Pacific Basin Equities 4.9 5.2 13.0
Total Equities 34.4 33.0 60.0
US Dollar Denominated Fixed-Income Securities 34.2 30.1 24.0
US Issuers 21.6 17.7 --
Non-US Issuers 12.6 12.4 --
Non-US Dollar Denominated Fixed-Income Securities 13.5 15.3 16.0
Total Fixed-Income Securities 47.7++ 45.4++ 40.0
Cash & Cash Equivalents 17.9 21.6 --
<FN>
*Includes value of Stock Index Futures.
++Includes Preferred Stock.
<PAGE>
DEAR SHAREHOLDER
The three-month period ended July 31,
1996 was one of the more volatile
quarters experienced by global equity
markets in recent years. For example,
in the United States, from its closing
high price to its closing low price
during the quarter, the unmanaged
Standard & Poor's 500 Composite
Index (S&P 500) declined 7.64%. The
volatility exhibited by the US stock
market during the July quarter was
also seen in foreign stock markets.
From its closing peak price to its clos-
ing trough price, the unmanaged
Financial Times/Standard & Poor's--
Actuaries World Index (excluding
US stocks) declined 6.18% during the
quarter. Fixed-income markets were
also volatile during the July quarter,
as measured by the yield of the 30-
year US Treasury bond. The long bond's
yield began the quarter at 6.91%,
reached a low of 6.80% during the
quarter and subsequently rose to a
high of 7.20% before closing the period
at 6.97%.
In comparison, when adjusted for a
July dividend distribution, Merrill Lynch
Global Allocation Fund, Inc.'s Class A
Shares declined 2.1% from their intra-
quarter high on July 1 to their intra-
quarter low on July 16. For the quarter
ended July 31, 1996, the Fund's Class A,
Class B, Class C and Class D Shares had
total returns of +0.40%, +0.14%, +0.09%
and +0.24%, respectively. The Fund's
relatively low volatility during this tur-
bulent period is attributable to its high
degree of diversification, our value-
oriented investment strategy, and the
relatively high cash position (17.9% of
net assets at July quarter-end). (Fund
results do not reflect sales charges, and
would be lower if sales charges were
included. Complete performance information,
including average annual total returns,
can be found on pages 4--6 of this report
to shareholders.)
<PAGE>
Investment Strategy
We made modest changes to the Fund's
portfolio during the July quarter. By
taking advantage of share price weak-
ness, we increased the equity exposure
from 33.0% of net assets to 34.4%. This
increase was accomplished primarily
through the purchase of stocks in the
United States and Europe. The Fund's
fixed-income exposure also increased
modestly, rising to 47.7% of net
assets from 45.4%. The increases
in equity and fixed-income invest-
ments corresponded to a reduction in
cash reserves from 21.6% of net assets
to 17.9%. The increases in equity and
fixed-income investments occurred
primarily through additions to existing
holdings.
There were no significant changes in
the Fund's currency hedging strategies
during the July quarter. The Fund's
Japanese yen and European currency
exposures remain largely hedged back
into US dollars.
About the Reference Portfolio
In our last report to shareholders, we
reviewed the Fund's investment objec-
tive and strategy for the benefit of our
newest shareholders who had previously
owned shares of Merrill Lynch Balanced
Fund for Investment and Retirement,
Inc. In this letter to shareholders, we
will review a concept that may be
unfamiliar to many new shareholders:
the Reference Portfolio.
In each report to shareholders, we com-
pare the Fund's composition to that of
the Reference Portfolio in the chart
"Summary of the Fund's Overall Asset
Mix" (see page 1 of this report to
shareholders). The Reference Portfolio's
composition is 60% equities and 40%
fixed income. We further break down
the Reference Portfolio's composition
into 60% US investments and 40% non-US
investments. Therefore, the Reference
Portfolio's weightings are: 36% US
stocks, 24% US bonds, 24% non-US
stocks, and 16% non-US bonds.
<PAGE>
In practice, the Fund's actual asset allo-
cation among stocks, bonds and cash
reserves can and does vary significantly
from that of the Reference Portfolio,
based on our assessments of the rela-
tive value and relative risk of each asset
class. For example, as of July 31, 1996,
the Fund's weighting in US and foreign
equities was approximately 34.4% of
net assets, compared to the Reference
Portfolio's 60% allocation, and 47.7% in
US and non-US bonds, compared to the
Reference Portfolio's 40% allocation.
The underweighting in stocks relative
to the Reference Portfolio reflects our
view that equity securities are current-
ly expensive and offer a relatively
unattractive risk/return tradeoff. Fur-
thermore, as of July 31, 1996, the Fund
had 17.9 in cash reserves, while the
Reference Portfolio does not include a
cash reserves component.
For performance comparisons, the
unmanaged indexes we use for the
Reference Portfolio are:
* The S&P 500 for US stocks. This
unmanaged, broad-based index is com-
prised of primarily US common stocks.
* The Financial Times/Standard & Poor's--
Actuaries World Index (excluding US
stocks) for non-US stocks. This unman-
aged capitalization-weighted index is
comprised of over 1,800 companies
in 24 countries.
* The Merrill Lynch Government Index
GA05 for US bonds. This unmanaged
index is designed to track the total
return of the current coupon five-year
US Treasury bond.
* The Salomon Brothers World Govern-
ment Bond Index for non-US bonds.
This unmanaged capitalization-weighted
index tracks 10 government bond
indexes, excluding the United States.
<PAGE>
Periodically, we measure the Fund's
performance relative to the overall
Reference Portfolio, since our goal is to
meet or exceed the Reference Portfolio's
performance over the longer term. In
the "Recent Performance Results" table
(see page 6 of this report to share-
holders), we provide the performance
results for each component of the
Reference Portfolio for the most recent
three-month and 12-month periods.
In Conclusion
We thank you for your investment in
Merrill Lynch Global Allocation Fund,
Inc., and we look forward to reviewing
the Fund's fiscal year results with you
in our upcoming annual report to
shareholders.
Sincerely,
(Arthur Zeikel)
Arthur Zeikel
President
(Bryan N. Ison)
Bryan N. Ison
Vice President and Portfolio Manager
September 10, 1996
Fund Management Recognized
We are pleased to report that Bryan N.
Ison was recognized as one of the top
five fund managers for "Asset Allocation
Funds," and as one of the "Top 100
Fund Managers," for his management
of Merrill Lynch Global Allocation
Fund, Inc., as rated by Barron's in its
July 22, 1996 issue.
<PAGE>
In commenting on the Barron's article,
Mr. Ison noted: "I am very pleased with
this recognition. More importantly, our
shareholders should recognize that
there is a dedicated and talented team
of more than a dozen investment
professionals involved in the manage-
ment of Merrill Lynch Global
Allocation Fund."
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
Dennis W. Stattman, Vice President
Gerald M. Richard, Treasurer
James W. Harshaw, 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
PERFORMANCE DATA
About Fund
Performance
Investors are able to purchase shares of the Fund through the
Merrill Lynch Select Pricing SM System, which offers four
pricing alternatives:
<PAGE>
* 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, decreasing
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 automati-
cally convert to Class D Shares after approximately 8 years.
(There is no initial sales charge for automatic share conversions.)
* 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).
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.
Average Annual
Total Return
% Return Without % Return With
Sales Charge Sales Charge**
Class A Shares*
Year Ended 6/30/96 +19.46% +13.19%
Five Years Ended 6/30/96 +14.71 +13.48
Inception (2/3/89)
through 6/30/96 +14.10 +13.27
<FN>
*Maximum sales charge is 5.25%.
**Assuming maximum sales charge.
<PAGE>
% Return % Return
Without CDSC With CDSC**
Class B Shares*
Year Ended 6/30/96 +18.31% +14.31%
Five Years Ended 6/30/96 +13.56 +13.56
Inception (2/3/89)
through 6/30/96 +12.95 +12.95
<FN>
*Maximum contingent deferred sales charge is 4% and is reduced to 0%
after 4 years.
**Assuming payment of applicable contingent deferred sales charge.
% Return % Return
Without CDSC With CDSC**
Class C Shares*
Year Ended 6/30/96 +18.25% +17.25%
Inception (10/21/94)
through 6/30/96 +15.31 +15.31
<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*
Year Ended 6/30/96 +19.17% +12.92%
Inception (10/21/94)
through 6/30/96 +16.27 +12.62
<FN>
*Maximum sales charge is 5.25%.
**Assuming maximum sales charge.
<PAGE>
</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
1995 12.23 13.88 0.341 0.872 +23.72
1/1/96-7/31/96 13.88 14.36 -- 0.363 + 6.04
------ ------
Total $1.345 Total $5.911
Cumulative total return as of 7/31/96: +162.47%**
<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
1995 12.12 13.73 0.341 0.735 +22.39
1/1/96-7/31/96 13.73 14.18 -- 0.294 + 5.39
------ ------
Total $1.345 Total $5.081
Cumulative total return as of 7/31/96: +143.09%**
<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%
1995 12.07 13.63 0.341 0.771 +22.38
1/1/96-7/31/96 13.63 14.06 -- 0.308 + 5.38
------ ------
Total $0.481 Total $1.447
Cumulative total return as of 7/31/96: +25.65%**
<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>
PERFORMANCE DATA (concluded)
<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%
1995 12.24 13.87 0.341 0.845 +23.29
1/1/96-7/31/96 13.87 14.34 -- 0.349 + 5.87
------ ------
Total $0.481 Total $1.577
Cumulative total return as of 7/31/96: +27.46%**
<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 include sales
charge; results would be lower if sales charge was included.
</TABLE>
<TABLE>
Recent
Performance
Results
Net Asset Value Total Return
7/31/96 4/30/96 7/31/95 12-Month 3-Month
<S> <C> <C> <C> <C> <C>
ML Global Allocation Fund, Inc. Class A Shares* $14.36 $14.66 $13.88 +14.17%(1) +0.40%(2)
ML Global Allocation Fund, Inc. Class B Shares* 14.18 14.45 13.72 +13.04(3) +0.14(4)
ML Global Allocation Fund, Inc. Class C Shares* 14.06 14.35 13.65 +12.97(5) +0.09(6)
ML Global Allocation Fund, Inc. Class D Shares* 14.34 14.65 13.87 +13.87(7) +0.24(8)
US Stocks: Standard & Poor's 500 Index** +16.52 -1.61
Non-US Stocks: Financial Times/Standard & Poor's--
Actuaries World Index*** + 3.81 -4.34
US Bonds: ML Government Index GA05**** + 3.63 +0.75
Non-US Bonds: Salomon Brothers World Government Bond Index***** + 0.49 +3.39
<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 $1.068 per share ordinary income
dividends and $0.341 per share capital gains distributions.
(2)Percent change includes reinvestment of $0.363 per share ordinary income
dividends.
(3)Percent change includes reinvestment of $0.922 per share ordinary income
dividends and $0.341 per share capital gains distributions.
(4)Percent change includes reinvestment of $0.294 per share ordinary income
dividends.
(5)Percent change includes reinvestment of $0.954 per share ordinary income
dividends and $0.341 per share capital gains distributions.
(6)Percent change includes reinvestment of $0.308 per share ordinary income
dividends.
(7)Percent change includes reinvestment of $1.038 per share ordinary income
dividends and $0.341 per share capital gains distributions.
(8)Percent change includes reinvestment of $0.349 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
list at right.
CAD Canadian Dollar
CHF Swiss Franc
DEM German Deutschemark
DKR Danish Krone
ECU European Currency Unit
ESP Spanish Peseta
FRF French Franc
GRP Great Britain Pound
ITL Italian Lira
JPY Japanese Yen
NLG Netherlands Guilder
NOK Norwegian Krone
NZD New Zealand Dollar
USD United States Dollar
<TABLE>
SCHEDULE OF INVESTMENTS (in US dollars)
<CAPTION>
Shares Percent of
COUNTRY Industries Held Common Stocks Cost Value Net Assets
<S> <S> <C> <S> <C> <C> <C>
Argentina Oil-Related 500,000 Yacimientos Petroliferos
Fiscales S.A. (ADR)++ $ 10,882,930 $ 10,500,000 0.1%
Total Common Stocks in Argentina 10,882,930 10,500,000 0.1
Australia Banking 2,645,800 Westpac Banking Corp. 5,614,396 11,890,318 0.1
Foods 7,916,000 Goodman Fielder Wattie Ltd. 8,324,587 8,082,394 0.1
Insurance 1,614,135 GIO Australia Holdings, Ltd. 2,786,182 3,745,600 0.1
Multi-Industry 1,500,000 Pacific Dunlop, Ltd. 4,092,789 3,260,303 0.0
Tobacco 2,099,800 Rothmans Holdings, Ltd. 7,893,919 11,531,787 0.1
1,242,300 WD & HO Wills Holdings, Ltd. 1,389,502 2,162,068 0.0
--------------- --------------- ------
9,283,421 13,693,855 0.1
Total Common Stocks in Australia 30,101,375 40,672,470 0.4
<PAGE>
Brazil Telecommunications 35,000 Telecomunicacoes Brasileiras S.A.--
Telebras PN (ADR)++ (USD) 1,953,385 2,537,500 0.0
Total Common Stocks in Brazil 1,953,385 2,537,500 0.0
Canada Automobile Parts 55,000 Magna International Inc. (USD) 2,005,798 2,447,500 0.0
Beverages 1,700,000 Cott Corp. (USD) 14,074,506 13,600,000 0.1
Metals--Non-Ferrous 100,000 Inco Ltd. (USD) 2,132,000 3,075,000 0.0
Natural Resources 300,000 Canadian Pacific, Ltd. (USD) 3,503,161 6,525,000 0.1
440,000 Horsham Corp. (USD) 3,550,742 5,720,000 0.1
--------------- --------------- ------
7,053,903 12,245,000 0.2
Oil--Related 1,340,300 Enermark Income Fund (i) 5,903,179 6,291,801 0.1
353,000 International Petroleum Corp. (USD) 1,000,196 1,456,125 0.0
--------------- --------------- ------
6,903,375 7,747,926 0.1
Paper 3,250,000 Repap Enterprises Inc. 12,879,320 11,578,125 0.1
Specialty Retailing 280,000 Semi-Tech Corporation (Class A) 4,108,297 1,018,923 0.0
Telecommunications 100,000 BCE Telecommunications, Inc. (USD) 3,375,484 3,987,500 0.0
923,200 Petersburg Long Distance, Inc. 6,224,563 6,462,400 0.1
3,255,200 Rogers Communications Inc. 30,133,796 26,297,467 0.2
--------------- --------------- ------
39,733,843 36,747,367 0.3
Total Common Stocks in Canada 88,891,042 88,459,841 0.8
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued) (in US dollars)
<CAPTION>
Shares Percent of
COUNTRY Industries Held Common Stocks Cost Value Net Assets
<S> <S> <C> <S> <C> <C> <C>
Denmark Banking 53,500 Unidanmark A/S $ 1,870,730 $ 2,472,847 0.0%
Total Common Stocks in Denmark 1,870,730 2,472,847 0.0
<PAGE>
Finland Metals 366,700 Outokumpu OY 5,258,735 6,619,281 0.1
Paper & Forest 1,500,000 Enso-Gutzeit OY 12,019,454 11,933,679 0.1
Products 2,698,250 Metsa-Serla OY 'B' 22,185,795 19,241,860 0.2
1,350,900 UPM--Kymmene OY (o) 23,547,419 29,653,388 0.2
--------------- --------------- ------
57,752,668 60,828,927 0.5
Telecommunications 350,000 Nokia Corp. (ADR)++ (USD) 11,590,063 12,337,500 0.1
Equipment 186,360 Nokia OY 8,998,615 6,624,121 0.1
--------------- --------------- ------
20,588,678 18,961,621 0.2
Total Common Stocks in Finland 83,600,081 86,409,829 0.8
France Automobiles 188,581 Peugeot S.A. 24,138,461 22,791,981 0.2
Banking 215,600 Compagnie de Suez S.A. 8,482,839 7,385,837 0.1
155,000 Compagnie Financiere de Paribas 8,115,596 9,329,465 0.1
311,386 Societe Generale 33,669,676 34,331,903 0.3
--------------- --------------- ------
50,268,111 51,047,205 0.5
Engineering & 109,290 Bouygues S.A. 11,049,834 11,743,618 0.1
Construction
Foods/Food Processing 61,600 Groupe Danone S.A. 9,786,153 9,207,644 0.1
Industrial 113,700 Alcatel Alsthom Cie Generale
d'Electricite S.A. 10,964,472 9,305,313 0.1
Insurance 473,125 Assurances Generales de France
S.A. (AGF) 12,930,023 12,799,700 0.1
Metals/Steel 705,375 Usinor-Sacilor S.A. 10,712,154 9,844,904 0.1
Multi-Industry 33,455 EuraFrance S.A. 9,052,946 13,147,698 0.1
Total Common Stocks in France 138,902,154 139,888,063 1.3
<PAGE>
Germany Banking 55,680 Bayerische Vereinsbank AG 1,339,965 1,885,630 0.0
113,150 Deutsche Bank AG 5,287,453 5,732,062 0.0
223,500 Deutsche Bank AG (Warrants) (a) 1,916,447 1,943,478 0.0
--------------- --------------- ------
8,543,865 9,561,170 0.0
Capital Goods 369,636 Kloeckner-Werke AG 17,229,762 12,806,682 0.1
Chemicals 651,830 Bayer AG 22,063,285 21,919,555 0.2
101,451 Henkel KGaA 4,390,556 4,224,828 0.0
203,950 Hoechst AG 6,797,383 6,723,977 0.1
--------------- --------------- ------
33,251,224 32,868,360 0.3
Engineering & 30,480 Holzmann AG 11,661,385 7,412,935 0.1
Construction
Machinery & Equipment 25,099 Mannesmann AG 6,857,204 9,011,428 0.1
Retail 27,715 Karstadt AG 10,815,610 9,978,906 0.1
Total Common Stocks in Germany 88,359,050 81,639,481 0.7
Hong Kong Agriculture 16,787,000 C.P. Pokphand Co. Ltd. (Ordinary) 6,095,958 5,752,839 0.1
Banking 286,378 HSBC Holdings PLC 1,750,973 4,573,723 0.0
Multi-Industry 889,500 Hutchison Whampoa Limited 4,867,725 5,314,362 0.0
Real Estate 813,000 Cheung Kong Holdings Limited 5,872,254 5,545,954 0.1
Transportation-Railway 215,000 Guangshen Railway Company
Limited (ADR)++ 4,085,000 3,870,000 0.0
Total Common Stocks in Hong Kong 22,671,910 25,056,878 0.2
Indonesia Paper & Pulp 2,597,600 Asia Pacific Resources International
Holdings Ltd. (ADR)++ (USD) 17,989,368 16,559,700 0.1
1,715,000 Asia Pulp & Paper Company Ltd.
(ADR)++ (USD) 19,722,500 18,436,250 0.2
Total Common Stocks in Indonesia 37,711,868 34,995,950 0.3
<PAGE>
Italy Automobiles 4,400,000 Fiat S.p.A. 13,202,205 13,771,043 0.1
Banking 1,813,400 Istituto Mobiliare Italiano S.p.A.
(Ordinary) 13,339,979 13,608,212 0.1
Building & 1,702,047 Filippo Fochi S.p.A. 5,393,773 324,206 0.0
Construction
Insurance 10,785,989 Istituto Nazionale della Assicurazioni
(INA) S.p.A. 15,495,280 15,444,282 0.1
97,000 Mediolanum S.p.A. 747,016 936,570 0.0
--------------- --------------- ------
16,242,296 16,380,852 0.1
Multi-Industry 9,117,595 Compagnie Industriali Riunite S.p.A.
(CIR) 7,816,550 4,886,768 0.0
27,176,500 MontEdison S.p.A. 22,271,980 19,492,494 0.2
--------------- --------------- ------
30,088,530 24,379,262 0.2
Oil & Related 2,068,700 Ente Nazionale Idrocarburi S.p.A. 8,093,139 9,294,047 0.1
Telecommunications 3,000,000 Societa Finanziaria Telefonica S.p.A.
(STET) 4,365,656 9,103,628 0.1
8,666,863 Societa Finanziaria Telefonica S.p.A.
(STET) RISP 16,268,796 20,009,605 0.2
3,958,000 Telecom Italia S.p.A 7,779,466 7,474,203 0.1
3,958,000 Telecom Italia Mobile S.p.A. 1,395,818 8,267,119 0.1
--------------- --------------- ------
29,809,736 44,854,555 0.5
Total Common Stocks in Italy 116,169,658 122,612,177 1.1
Japan Automobiles & 2,092,000 Suzuki Motor Corp. 19,599,205 24,865,138 0.2
Equipment
Beverages 1,017,000 Chukyo Coca-Cola Bottling Co., Ltd. 12,207,036 11,897,520 0.1
565,000 Hokkaido Coca-Cola Bottling Co., Ltd. 7,764,597 8,248,947 0.1
690,000 Kinki Coca-Cola Bottling Co., Ltd. 10,868,372 9,428,170 0.1
1,041,000 Mikuni Coca-Cola Bottling Co., Ltd. 14,998,840 15,588,208 0.1
904,000 Sanyo Coca-Cola Bottling Co., Ltd. 13,028,710 13,367,525 0.1
--------------- --------------- ------
58,867,555 58,530,370 0.5
Capital Goods 3,868,000 Mitsubishi Heavy Industries, Ltd. 23,624,404 32,761,254 0.3
Chemicals 215,000 Shin-Etsu Chemical Co., Ltd. 4,188,896 3,802,995 0.0
Electrical 453,000 Chudenko Corp. 14,271,558 15,389,705 0.1
Construction 777,000 Kinden Corporation 13,982,160 12,289,471 0.1
34,000 Taihei Dengyo Kaisha Ltd. 637,020 521,853 0.0
--------------- --------------- ------
28,890,738 28,201,029 0.2
<PAGE>
Electrical Equipment 77,000 Advantest Corporation 3,441,308 3,005,054 0.0
593,000 Murata Manufacturing Co., Ltd. 19,275,913 21,255,873 0.2
75,000 Tokyo Electron Limited 2,928,405 2,112,775 0.0
--------------- --------------- ------
25,645,626 26,373,702 0.2
Financial Services 360,000 Nomura Securities Co., Ltd. 7,080,991 6,300,421 0.1
Industrial 28,000 Miura Kogyo Co., Ltd. 466,635 448,105 0.0
13,200 Nitto Kohki Co., Ltd. 489,424 588,039 0.0
--------------- --------------- ------
956,059 1,036,144 0.0
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued) (in US dollars)
<CAPTION>
Shares Percent of
COUNTRY Industries Held Common Stocks Cost Value Net Assets
<S> <S> <C> <S> <C> <C> <C>
Japan Insurance 2,497,000 Dai-Tokyo Fire & Marine Insurance
(concluded) Co., Ltd. $ 16,307,882 $ 17,410,061 0.2%
665,000 Fuji Fire & Marine Insurance
Co., Ltd. 3,727,641 3,547,496 0.0
2,384,000 Koa Fire & Marine Insurance
Co., Ltd. 13,551,678 14,837,248 0.1
620,000 Mitsui Marine & Fire Insurance
Co., Ltd. 5,004,638 4,595,601 0.0
1,804,000 Nichido Fire & Marine Insurance
Co., Ltd. 11,275,948 13,540,552 0.1
1,351,000 Nippon Fire & Marine Insurance
Co., Ltd. 6,970,280 8,686,355 0.1
2,408,000 Sumitomo Marine & Fire Insurance
Co., Ltd. 18,939,904 19,831,914 0.2
2,368,000 Tokio Marine & Fire Insurance
Co., Ltd. 25,707,953 29,475,339 0.3
1,130,000 Yasuda Fire & Marine Insurance
Co., Ltd. 8,101,705 7,952,831 0.1
--------------- --------------- ------
109,587,629 119,877,397 1.1
Office Equipment 1,612,000 Canon, Inc. 23,455,745 30,474,871 0.3
Packaging & 912,000 Toyo Seikan Kaisha, Ltd. 23,384,016 30,727,188 0.3
Containers
Pharmaceuticals 1,061,000 Sankyo Pharmaceuticals Co., Ltd. 23,391,365 27,505,569 0.3
384,000 Taisho Pharmaceuticals Co. 7,984,458 8,265,793 0.1
--------------- --------------- ------
31,375,823 35,771,362 0.4
<PAGE>
Restaurants 356,000 Mos Food Services, Inc. 8,797,607 8,829,200 0.1
310,000 Ohsho Food Service Corp. 6,834,314 5,802,527 0.1
--------------- --------------- ------
15,631,921 14,631,727 0.2
Retail Stores 460,000 Ito Yokado Co., Ltd. 21,319,319 26,562,471 0.2
100,000 Sangetsu Co., Ltd. 3,160,832 2,461,394 0.0
--------------- --------------- ------
24,480,151 29,023,865 0.2
Steel 266,000 Maruichi Steel Tube Ltd. 5,107,698 4,754,890 0.0
Total Common Stocks in Japan 401,876,457 447,132,353 4.0
Mexico Conglomerates 433,800 Grupo Carso, S.A. de C.V.
(ADR)++ (USD) 3,832,850 3,361,950 0.1
Foods 700,000 Grupo Industrial Maseca
(ADR)++ (USD) 7,969,925 11,812,500 0.1
Insurance 433,800 Invercorporacion S.A. (ADR)++ (USD) 60,732 56,394 0.0
Telecommunications 433,800 Global Telecom (ADR)++ (USD) 2,060,550 2,440,125 0.0
Total Common Stocks in Mexico 13,924,057 17,670,969 0.2
Netherlands Airlines 156,260 KLM Royal Dutch Airlines N.V. 4,486,455 4,925,967 0.1
Chemicals 288,070 European Vinyls Corp. International
N.V. 11,384,340 8,383,958 0.1
Computer Software 211,200 Getronics N.V. 2,467,062 4,702,705 0.0
Forest Products 385,900 Koninklijke KNP N.V. 9,018,462 8,756,126 0.1
Insurance 202,000 Aegon N.V. 4,358,871 9,264,597 0.1
480,937 Fortis Amev N.V. (j) 7,946,583 13,793,437 0.1
1,766,537 Internationale Nederlanden
Groep N.V. 27,430,540 54,192,186 0.5
--------------- --------------- ------
39,735,994 77,250,220 0.7
Miscellaneous-- 10,000 Nijverdal Ten Cate N.V. 501,699 464,089 0.0
Manufacturing
Telecommunications 107,340 Royal PTT Nederland N.V. 3,904,712 3,786,484 0.0
Total Common Stocks in the
Netherlands 71,498,724 108,269,549 1.0
<PAGE>
Norway Banking 4,785,400 Christiania Bank Og Kreditkasse 10,697,335 11,574,550 0.1
2,434,000 Den Norske Bank ASA 7,189,721 7,722,130 0.0
--------------- --------------- ------
17,887,056 19,296,680 0.1
Energy & Petroleum 193,100 Norsk Hydro A.S. 8,087,966 8,340,270 0.1
Multi-Industry 201,900 Orkla A.S. (Class A) 10,201,072 10,591,267 0.1
Total Common Stocks in Norway 36,176,094 38,228,217 0.3
Portugal Banking 354,300 Espirito Santo Financial Holdings S.A.
(ADR)++ (USD) 4,675,168 4,207,313 0.0
Total Common Stocks in Portugal 4,675,168 4,207,313 0.0
Spain Banking 326,000 Argentaria S.A. 12,974,203 12,741,065 0.1
587,481 Banco de Santander S.A. (Ordinary) 21,323,786 28,291,491 0.2
4,835 Banco Popular Espanol S.A. 589,147 835,147 0.0
83,000 Bank Intercontinental S.A. 4,607,612 9,315,450 0.1
--------------- --------------- ------
39,494,748 51,183,153 0.4
Energy & Petroleum 212,500 Repsol S.A. (ADR)++ (USD) 6,126,375 7,092,188 0.1
Engineering & 54,450 Fomento de Construciones y Contratas
Construction S.A. 4,508,276 4,399,168 0.0
Insurance 30,000 Mapfre S.A. 1,130,028 1,315,769 0.0
3,318 Mapfre S.A.E. (New Shares) 142,730 145,260 0.0
1,272,758 1,461,029 0.0
Manufacturing 173,000 Grupo Fosforera Espanola S.A. 1,501,871 597,644 0.0
Multi-Industry 45,750 Corporacion Financiera Alba S.A. 1,611,658 3,772,745 0.0
Real Estate 236,708 Immobiliaria a Metropolitana Vasco
Central S.A. 5,888,465 7,885,242 0.1
Toll Roads 154,000 Autopista Concesionaria Espanola
S.A. (ACESA) 1,363,246 1,648,730 0.0
154,000 Autopista Concesionaria Espanola
S.A. (Rights) (k) -- 82,130 0.0
--------------- --------------- ------
1,363,246 1,730,860 0.0
<PAGE>
Utilities--Electric 100,000 Empresa Nacional de Electricidad
S.A. 3,759,956 5,850,513 0.1
591,800 Iberdrola I S.A. 3,310,030 5,393,704 0.1
--------------- --------------- ------
7,069,986 11,244,217 0.2
Total Common Stocks in Spain 68,837,383 89,366,246 0.8
Sweden Appliances 232,464 Electrolux AB 'B' Free 11,264,721 11,398,398 0.1
Automotive & Equipment 43,916 Scania AB (Warrants) (a) 60,444 41,206 0.0
411,300 Volvo AB 8,199,684 8,900,981 0.1
--------------- --------------- ------
8,260,128 8,942,187 0.1
Banking 1,311,400 Sparbanken Sverige AB (Class A) 14,347,955 15,777,763 0.1
815,055 Stadshypotek AB 12,032,174 18,748,806 0.2
--------------- --------------- ------
26,380,129 34,526,569 0.3
Financial Services 43,916 Investor AB (B Shares) 1,083,977 1,541,892 0.0
Industrial 200,000 SKF AB 'A' 3,713,376 4,131,481 0.0
329,350 SKF AB 'B' Free 6,043,609 7,002,887 0.1
--------------- --------------- ------
9,756,985 11,134,368 0.1
Insurance 447,335 Skandia Forsakring AB Free 10,636,443 11,136,325 0.1
Metals--Steel 550,800 Avesta Sheffield AB 5,089,653 5,168,074 0.1
Multi-Industry 349,005 Svedala Industri AB Free 4,583,190 6,179,604 0.1
Paper & Forest 609,900 Mo och Domsjo AB (Class B) 16,502,175 15,552,552 0.1
Products 1,110,275 Stora Kopparbergs Bergslags AB 13,078,920 13,946,068 0.1
--------------- --------------- ------
29,581,095 29,498,620 0.2
Real Estate 83,000 Tornet Fastighets AB 550,422 734,813 0.0
Total Common Stocks in Sweden 107,186,743 120,260,850 1.1
</TABLE>
<PAGE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued) (in US dollars)
<CAPTION>
Shares Percent of
COUNTRY Industries Held Common Stocks Cost Value Net Assets
<S> <S> <C> <S> <C> <C> <C>
Switzerland Chemicals 20,047 Ciba-Geigy AG (Registered) $ 11,156,861 $ 23,786,562 0.2%
Conglomerates 201,430 Oerlikon-Buehrle Holding Ltd. 21,718,821 18,501,420 0.2
Electronic Components 69,850 Societe Suisse pour la Micro-
electronique et l'Horlogerie
AG (SMH) 9,809,595 10,323,522 0.1
Financial Services 205,911 CS Holdings 21,126,362 21,749,951 0.2
Pharmaceuticals 2,630 Sandoz AG (Registered) 2,847,980 2,933,935 0.0
Photographic Services 12,273 Fotolabo S.A. 5,097,333 4,560,358 0.1
Total Common Stocks in Switzerland 71,756,952 81,855,748 0.8
United Beverages 2,055,650 Cadbury Schweppes PLC 16,010,161 16,235,269 0.2
Kingdom
Computers 405,654 Misys PLC 5,011,176 4,824,628 0.0
Conglomerates 9,636,600 Hanson PLC (Ordinary) 27,260,642 23,971,235 0.2
50,000 Hanson PLC Sponsored (ADR)++ (USD) 947,577 637,500 0.0
--------------- --------------- ------
28,208,219 24,608,735 0.2
Consumer--Goods 888,800 Unilever Capital Corp. PLC 16,412,323 16,996,354 0.2
Environmental 940,000 Waste Management International PLC
(ADR)++ (USD) 9,206,375 9,400,000 0.1
Food & Beverage 2,568,645 Grand Metropolitan PLC 16,811,528 17,571,278 0.2
35,000 Grand Metropolitan PLC (ADR)++ (USD) 1,031,100 953,750 0.0
429,110 Matthew Clark PLC 5,115,249 4,561,551 0.0
2,604,000 Tesco PLC 11,166,028 11,821,441 0.1
--------------- --------------- ------
34,123,905 34,908,020 0.3
Insurance 1,200,000 Prudential Corp. PLC 7,670,325 8,074,117 0.1
Pharmaceuticals 1,639,000 Glaxo Wellcome PLC 21,556,182 22,793,231 0.2
500,000 SmithKline Beecham Corp. PLC (ADR)++
(USD) 11,603,072 26,875,000 0.2
--------------- --------------- ------
33,159,254 49,668,231 0.4
<PAGE>
Steel 1,500,000 British Steel PLC 4,081,599 4,139,389 0.0
Telecommunications 4,090,800 British Telecommunications PLC
(Ordinary) 22,244,232 23,086,679 0.2
1,750,000 Cable & Wireless International PLC 11,412,098 11,073,351 0.1
--------------- --------------- ------
33,656,330 34,160,030 0.3
Utilities--Gas 4,124,400 British Gas PLC 14,243,867 12,311,433 0.1
Utilities--Water 1,703,000 Southwest Water PLC 13,068,875 18,824,821 0.2
Total Common Stocks in the
United Kingdom 214,852,409 234,151,027 2.1
United Apparel 860,000 Fruit of the Loom, Inc. 23,555,786 21,715,000 0.2
States 100,000 Liz Claiborne, Inc. 2,016,276 3,262,500 0.0
--------------- --------------- ------
25,572,062 24,977,500 0.2
Automobiles 165,308 Ford Motor Company 4,906,268 5,372,510 0.1
350,000 General Motors Corp. 13,282,191 17,062,500 0.1
--------------- --------------- ------
18,188,459 22,435,010 0.2
Automotive 588,800 Collins & Aikman Group Inc. 4,337,565 3,900,800 0.0
Banking 400,000 Bank of New York Company, Inc. (The) 11,435,717 20,600,000 0.2
15,000 Bank of New York Company, Inc. (The)
(Warrants) (a) 168,750 603,750 0.0
125,000 BankAmerica Corp. 6,382,829 9,968,750 0.1
319,000 Bankers Trust Co. 7,620,125 7,935,125 0.1
129,500 Banknorth Group, Inc. 1,865,422 4,176,375 0.0
200,000 Barnett Banks Inc. 8,134,897 12,275,000 0.1
400,000 California Federal Bank 3,417,496 9,050,000 0.1
500,000 Charter One Financial, Inc. 10,785,851 18,437,500 0.1
700,000 Chase Manhattan Corporation
(New) (c) (e) 25,795,309 48,650,000 0.4
532,500 City National Corp. 3,916,587 8,253,750 0.1
1,000,000 Comerica Inc. 26,977,513 43,875,000 0.4
707,100 CoreStates Financial Corp. 22,202,461 27,753,675 0.3
450,000 First Chicago NBD Corporation 13,768,555 17,325,000 0.1
1,250,000 First Commerce Corp. 31,823,468 43,437,500 0.4
707,800 First of America Bank 25,666,256 32,116,425 0.3
1,406,102 Key Corp. 41,572,512 54,310,690 0.5
807,900 Mellon Bank Corp. 30,483,478 42,616,725 0.4
500,000 Onbancorp, Inc. 13,615,887 16,375,000 0.2
368,000 Oriental Bank and Trust 5,050,248 7,038,000 0.1
1,100,000 Republic New York Corp. 49,526,909 69,712,500 0.6
841,700 Roosevelt Financial Group, Inc. 14,210,606 13,467,200 0.1
450,000 Southern National Corp. 8,670,728 13,162,500 0.1
--------------- --------------- ------
363,091,604 521,140,465 4.7
<PAGE>
Business Data Systems 500,000 Information Resources, Inc. 5,786,445 6,062,500 0.1
Chemicals 100,000 du Pont (E.I.) de Nemours & Co. 6,928,040 8,075,000 0.1
Communications 185,700 Comsat Corp. 4,308,767 3,574,725 0.0
104,500 GTE Corp. 3,514,166 4,310,625 0.1
--------------- --------------- ------
7,822,933 7,885,350 0.1
Computer Services 1,200,000 Landmark Graphics Corp. 20,974,200 35,250,000 0.3
Computer Software 200,000 Progress Software Corporation 3,110,000 2,700,000 0.0
Computer Software 240,000 Electronic Data Systems Corp. 9,927,011 12,690,000 0.1
Services
Computers 150,000 Boole & Babbage, Inc. 1,329,492 3,637,500 0.0
2,400,000 Borland International Corp. 33,535,053 17,700,000 0.1
1,033,200 Stratus Computer, Inc. 20,317,663 18,985,050 0.2
1,100,000 Unisys Corp. 12,291,367 6,462,500 0.1
--------------- --------------- ------
67,473,575 46,785,050 0.4
Construction & 153,800 Centex Corp. 3,880,118 4,460,200 0.1
Housing 500,000 K. Hovnanian Enterprises, Inc.
(Class A) 4,920,209 2,812,500 0.0
--------------- --------------- ------
8,800,327 7,272,700 0.1
Construction 700,000 TJ International, Inc. 12,547,379 11,200,000 0.1
Products
Consumer-- 400,000 Department 56, Inc. 8,951,325 8,750,000 0.1
Miscellaneous
Diversified 75,000 Crane Co. 2,691,213 2,737,500 0.0
Industrial
Electronics 140,000 General Electric Co. 7,811,062 11,532,500 0.1
251,900 Texas Instruments, Inc. 12,142,392 10,894,675 0.1
500,000 VLSI Technology, Inc. 5,519,196 6,125,000 0.1
--------------- --------------- ------
25,472,650 28,552,175 0.3
</TABLE>
<PAGE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued) (in US dollars)
<CAPTION>
Shares Percent of
COUNTRY Industries Held Common Stocks Cost Value Net Assets
<S> <S> <C> <S> <C> <C> <C>
United Energy & Petroleum 163,900 Ashland Coal, Inc. $ 4,132,919 $ 3,933,600 0.0%
States 49,500 Cabot Oil & Gas Corp. (Class A) 529,030 773,438 0.0
(continued) 175,000 Chevron Corp. 9,028,140 10,128,125 0.1
130,000 Helmerich & Payne, Inc. (c) 2,773,423 4,550,000 0.1
46,400 Mitchell Energy Development Corp.
(Class A) 675,717 812,000 0.0
174,350 Mitchell Energy Development Corp.
(Class B) 2,755,451 3,072,919 0.0
50,000 Murphy Oil Corp. 1,899,720 2,131,250 0.0
106,100 Nuevo Energy Co. 2,048,791 3,262,575 0.0
1,500,000 Occidental Petroleum Corp. 28,058,743 33,562,500 0.3
61,200 Pennzoil Co. 3,775,844 3,006,450 0.0
235,828 Plains Resources, Inc. 1,381,815 3,036,286 0.0
1,094,247 Santa Fe Energy Resources, Inc. 10,119,883 12,447,060 0.1
211,514 Transamerica Refining Corp.
(Warrants) (a) 531,220 423,028 0.0
1,750,000 TransTexas Gas Corp. 20,397,690 15,312,500 0.2
600,000 USX-Marathon Group 10,542,976 12,300,000 0.1
138,800 Unocal Corp. 3,272,336 4,528,350 0.1
--------------- --------------- ------
101,923,698 113,280,081 1.0
Financial Services 447,800 Student Loan Marketing Association 18,800,852 32,689,400 0.3
Food & Tobacco 200,000 Philip Morris Companies, Inc. 9,967,872 20,925,000 0.2
212,462 RJR Nabisco, Inc. 5,842,716 6,533,207 0.1
--------------- --------------- ------
15,810,588 27,458,207 0.3
Healthcare Services 360,000 Advocat, Inc. 3,422,500 2,880,000 0.0
600,000 Baxter International, Inc. 12,857,880 24,975,000 0.2
400,000 Beverly Enterprises, Inc. 4,291,401 3,800,000 0.0
1,275,900 Community Psychiatric Centers 10,733,533 10,207,200 0.1
700,000 Humana, Inc. 13,206,455 11,725,000 0.1
600,000 United Healthcare Corporation 19,411,285 20,250,000 0.2
546,500 US Surgical Corp. 11,871,438 18,717,625 0.2
--------------- --------------- ------
75,794,492 92,554,825 0.8
Home Appliance 230,000 Singer Co. 6,382,382 3,996,250 0.0
Hotel/Leisure 114,000 ITT Corp. 4,221,738 6,469,500 0.1
<PAGE>
Industrial 200,000 American Standard, Inc. 6,011,000 6,425,000 0.1
915,000 BW/IP Holdings, Inc. 15,816,387 15,440,625 0.1
179,802 Cooper Industries, Inc. 6,534,892 7,079,704 0.1
--------------- --------------- ------
28,362,279 28,945,329 0.3
Insurance 1,046,800 Ace, Ltd. 26,529,566 46,059,200 0.4
340,000 Aetna Life & Casualty Co. 18,752,639 19,762,500 0.2
150,000 Alexander & Alexander
Services, Inc. 2,461,336 2,475,000 0.0
155,000 Allstate Corp. 4,889,885 6,936,250 0.1
510,000 American General Corp. 13,187,448 17,722,500 0.2
571,000 Horace Mann Educators, Inc. 13,654,588 17,843,750 0.2
114,000 ITT Hartford Group Inc. 4,188,594 6,027,750 0.0
640,200 Lincoln National Corp. 23,466,317 27,288,525 0.2
100,000 National Re Corp. 3,113,128 5,137,500 0.0
350,000 PartnerRe Holdings, Ltd. 6,790,237 9,887,500 0.1
700,000 Risk Capital Holdings Inc. 13,601,625 12,162,500 0.1
--------------- --------------- ------
130,635,363 171,302,975 1.5
Machinery-- 50,000 York International Corp. (New) 2,252,358 2,343,750 0.0
Diversified
Machinery/ 166,800 AGCO Corp. 3,363,402 3,377,700 0.0
Agricultural
Manufacturing 200,000 ITT Industries Inc. 4,175,065 4,600,000 0.1
Metals 305,000 Aluminum Co. of America 13,814,815 17,690,000 0.1
1,232,000 CasTech Aluminum Group, Inc. 19,056,938 16,324,000 0.1
301,100 Lukens Inc. 6,416,130 6,285,463 0.1
220,700 National Steel Corp. 1,968,085 2,179,413 0.0
200,000 Nucor Corporation 8,824,828 9,375,000 0.1
132,800 Reynolds Metals Co. 5,801,771 6,739,600 0.1
--------------- --------------- ------
55,882,567 58,593,476 0.5
Multi-Industry 180,000 Loews Corp. 7,934,294 14,512,500 0.1
Multimedia & 512,800 US West Media Group 7,933,766 8,845,800 0.1
Telecommunications
Natural Resources 210,519 Freeport-McMoRan Copper & Gold Inc.
(Class B) 3,665,657 6,236,625 0.1
Office Equipment 88,600 Harris Corp. 5,200,236 5,094,500 0.0
<PAGE>
Oil Services 100,000 Diamond Offshore Drilling Inc. 5,150,000 4,725,000 0.1
125,000 Mobil Oil Corp. 9,757,153 13,796,875 0.1
3,614,375 Noble Drilling Corp. 25,124,880 49,697,656 0.5
800,000 Parker Drilling Company 4,667,962 4,600,000 0.0
46,300 Tidewater Inc. 1,548,041 1,562,625 0.0
150,000 Western Atlas, Inc. 9,013,408 8,137,500 0.1
--------------- --------------- ------
55,261,444 82,519,656 0.8
Pharmaceuticals/ 180,000 American Home Products Corporation 7,298,980 10,215,000 0.1
Biotechnology 600,000 Bristol-Myers Squibb Co. 33,254,124 51,975,000 0.5
550,000 Merck & Co., Inc. 21,409,003 35,337,500 0.3
--------------- --------------- ------
61,962,107 97,527,500 0.9
Photography 160,000 Eastman Kodak Co. 8,746,145 11,940,000 0.1
Pollution Control 646,900 WMX Technologies, Inc. 16,148,443 19,164,413 0.2
Publishing 175,000 Gannett Co., Inc. 8,375,486 11,484,375 0.1
301,500 New York Times Co. (Class A) 7,158,778 8,781,188 0.1
--------------- --------------- ------
15,534,264 20,265,563 0.2
Real Estate 830,000 Ambassador Apartments Inc. 13,262,250 14,110,000 0.1
Investment Trusts 300,000 Carr Realty Corp. 5,880,781 7,200,000 0.1
500,000 First Union Real Estate Investments 3,764,840 3,312,500 0.0
150,000 Meditrust 5,100,000 5,100,000 0.1
661,300 Mid-America Realty Investments 6,616,640 5,951,700 0.1
100,000 Mid-Atlantic Realty Trust Co. 917,500 962,500 0.0
1,251,325 Prime Retail, Inc. 13,982,561 13,764,573 0.1
400,000 Taubman Centers, Inc. 3,807,537 4,200,000 0.0
--------------- --------------- ------
53,332,109 54,601,273 0.5
Restaurants 300,000 Buffets, Inc. 3,157,818 3,712,500 0.0
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued) (in US dollars)
<CAPTION>
Shares Percent of
COUNTRY Industries Held Common Stocks Cost Value Net Assets
<S> <S> <C> <S> <C> <C> <C>
United Retail Stores 608,500 Baker (J.), Inc. $ 10,187,765 $ 3,879,187 0.0%
States 443,200 Burlington Coat Factory Warehouse 4,846,377 4,709,000 0.1
(concluded) 516,900 Buttrey Food & Drug Stores Co. 4,084,486 4,005,975 0.0
60,000 Dayton-Hudson Corp. 1,306,978 1,815,000 0.0
1,110,000 Filene's Basement Corp. 10,092,619 5,688,750 0.1
600,000 The Limited, Inc. 11,171,591 11,550,000 0.1
1,373,500 Payless Cashways, Inc. 17,027,625 5,322,312 0.1
300,000 The Vons Companies, Inc. 4,919,550 11,887,500 0.1
--------------- --------------- ------
63,636,991 48,857,724 0.5
<PAGE>
Savings Banks 257,500 Bankers Corp. 1,552,137 4,538,437 0.0
1,550,768 Dime Bancorp, Inc. 10,588,158 19,190,754 0.2
206,220 Downey Savings & Loan Association 2,896,670 4,717,282 0.0
1,822,700 Glendale Federal Savings Bank 18,883,707 33,264,275 0.3
770,194 Glendale Federal Savings Bank
(Warrants) (a) -- 6,450,375 0.1
--------------- --------------- ------
33,920,672 68,161,123 0.6
Specialty 400,000 Sotheby's Holdings, Inc. (Class A) 4,879,559 5,850,000 0.1
Retailing 1,030,000 Toys 'R' Us, Inc. 25,002,909 27,166,250 0.2
--------------- --------------- ------
29,882,468 33,016,250 0.3
Telecommunications 27,750 American Telecasting Inc.
(Warrants) (a) -- 527,250 0.0
100,000 DSC Communications Corp. 4,052,678 2,975,000 0.0
627,000 Geotek Communications Inc. 6,450,760 6,113,250 0.1
3,000,000 Geotek Communications Inc.
(Warrants) (a) 14,200,634 13,875,000 0.1
180,000 SBC Communications Inc. 8,015,735 8,797,500 0.1
--------------- --------------- ------
32,719,807 32,288,000 0.3
Textiles 2,825,200 Burlington Industries, Inc. 37,451,653 38,140,200 0.3
Utilities-- 4,512,285 El Paso Electric Company 23,689,496 24,253,532 0.2
Electric
Utilities-- 1,250,000 Allegheny Power System, Inc. 27,315,551 36,562,500 0.3
Electric & Gas
125,000 CMS Energy Corp. 2,290,025 3,796,875 0.0
2,101,000 Centerior Energy Corp. 28,664,979 15,494,875 0.2
100,000 Consolidated Edison Company, Inc. 2,923,495 2,700,000 0.0
1,780,000 Entergy Corp. 47,516,856 45,390,000 0.4
475,000 FPL Group, Inc. 14,363,265 21,553,125 0.2
47,570 Great Bay Power Corp. 2,549,753 392,452 0.0
1,500,000 Niagara Mohawk Power Corp. 23,789,306 10,875,000 0.1
844,600 Texas Utilities Co. 26,942,999 35,473,200 0.3
1,148,800 Unicom Corporation 27,549,620 26,996,800 0.3
--------------- --------------- ------
203,905,849 199,234,827 1.8
<PAGE>
Utilities--Gas 115,650 Atmos Energy Corp. 1,445,257 2,472,019 0.0
Total Common Stocks in the 1,704,808,048 2,066,869,548 18.7
United States
Total Investments in Common Stocks 3,316,706,218 3,843,256,856 34.7
Equity Closed-End Funds
Austria Financial Services 320,000 Austria Fund (USD) 2,642,432 2,800,000 0.0
Total Equity Closed-End Funds
in Austria 2,642,432 2,800,000 0.0
Indonesia Financial Services 25,600 Jakarta Growth Fund (USD) 158,080 198,400 0.0
Total Equity Closed-End Funds
in Indonesia 158,080 198,400 0.0
Ireland Financial Services 150,000 Irish Investment Fund, Inc. (USD) 1,086,041 1,893,750 0.0
Total Equity Closed-End Funds
in Ireland 1,086,041 1,893,750 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 3,867,187 0.1
40,000 Portugal Fund (USD) 360,368 485,000 0.0
Total Equity Closed-End Funds
in Portugal 2,412,484 4,352,187 0.1
Spain Financial Services 300,100 Growth Fund of Spain, Inc. (USD) 2,630,827 3,301,100 0.0
Total Equity Closed-End Funds
in Spain 2,630,827 3,301,100 0.0
<PAGE>
United Financial Services 166,666 European Warrant Fund 1,363,723 1,479,161 0.0
States
Total Equity Closed-End Funds in the
United States 1,363,723 1,479,161 0.0
Total Investments in Equity
Closed-End Funds 11,492,107 15,224,598 0.1
Preferred Stocks
Australia Publishing 600,000 The News Corporation Ltd.
(ADR)++ (USD) 10,451,056 9,750,000 0.1
Total Preferred Stocks in Australia 10,451,056 9,750,000 0.1
Germany Chemicals 913,059 Henkel KGaA (Preferred) 37,778,082 36,782,880 0.3
Multi-Industry 450,000 RWE AG 8,725,424 13,191,236 0.1
Total Preferred Stocks in Germany 46,503,506 49,974,116 0.4
Norway Financial Services 175,000 A/S Eksportfinans (8.70%) (USD) 4,377,500 4,615,625 0.0
Total Preferred Stocks in Norway 4,377,500 4,615,625 0.0
Spain Banking 225,000 Santander Overseas Bank (8%, Series D)
(USD) 5,463,250 5,540,625 0.1
Total Preferred Stocks in Spain 5,463,250 5,540,625 0.1
United Retail Stores 545,000 Signet Group (Convertible)
Kindgom (ADR)++ (USD) 2,194,907 6,948,750 0.1
Total Preferred Stocks in the
United Kingdom 2,194,907 6,948,750 0.1
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued) (in US dollars)
<CAPTION>
Shares Percent of
COUNTRY Industries Held Preferred Stocks Cost Value Net Assets
<S> <S> <C> <S> <C> <C> <C>
United Banking 450,000 BCP International Bank
States (8% Convertible) $ 22,407,400 $ 21,656,250 0.2%
100,000 Boatmen's Bancshares, Inc. 2,500,000 3,425,000 0.0
55,000 California Federal Bank (10.625%) 5,500,000 5,775,000 0.1
100,000 First Nationwide Bank (11.50%) 10,531,250 10,975,000 0.1
130,300 HSBC Americas Inc. (Series A) 5,219,925 5,440,025 0.1
100,000 Onbancorp, Inc. (6.75% Convertible,
Series B) 2,668,750 2,662,500 0.0
--------------- --------------- ------
48,827,325 49,933,775 0.5
<PAGE>
Cable Television 436,900 Diva Systems Corp., (Series C) 3,674,329 3,674,329 0.0
Energy & Petroleum 150,000 Grant Tensor Corp. (9.75%
Convertible) 1,853,375 2,512,500 0.0
64,219 Santa Fe Energy Resources, Inc. (7%) 954,075 1,284,380 0.0
460,000 Santa Fe Energy Resources, Inc.
(Convertible, Class A) 4,082,500 4,715,000 0.0
--------------- --------------- ------
6,889,950 8,511,880 0.0
Health Care 1,080,000 US Surgical Corp. (Convertible) 24,354,000 36,720,000 0.3
Natural Resources 85,000 Alumax Inc. (Convertible, Series A) 7,240,312 10,752,500 0.1
150,000 Cyprus Amax Minerals Co.
(Convertible, Series A) 9,188,313 7,537,500 0.1
348,700 Freeport-McMoRan Copper & Gold,
Inc. (Convertible) 7,918,834 9,196,962 0.1
219,000 Freeport-McMoRan Inc.
(Convertible--Gold) 7,703,330 7,473,375 0.0
--------------- --------------- ------
32,050,789 34,960,337 0.3
Oil Services 447,200 Noble Drilling Corp. (Convertible) 10,745,382 15,204,800 0.1
Paper & Forest Products 200,000 Boise Cascade Corp. (Convertible,
Series G) 4,225,000 5,425,000 0.1
288,200 James River Corp. of Virginia
(9% Convertible, Series P) 4,971,450 6,988,850 0.1
--------------- --------------- ------
9,196,450 12,413,850 0.2
Real Estate 728,000 Catellus Development Corp. (7.25%
Convertible Exchangeable, Series B) 33,521,250 34,944,000 0.3
Real Estate 350,000 National Health Investors, Inc.
Investment Trusts (8.50% Convertible) 8,750,000 10,062,500 0.1
835,500 Prime Retail, Inc. (10.50%) 19,316,161 20,052,000 0.2
16,741 Prime Retail, Inc. (Convertible) 291,641 309,708 0.0
--------------- --------------- ------
28,357,802 30,424,208 0.3
Savings Banks 619,900 Glendale Federal Savings Bank (8.75%
Convertible, Series E) 15,070,337 29,910,175 0.3
Total Preferred Stocks in the
United States 212,687,614 256,697,354 2.3
Total Investments in
Preferred Stocks 281,677,833 333,526,470 3.0
<PAGE>
<CAPTION>
Currency Face
Denomination Amount Fixed-Income Securities
<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 19,470,000 0.2
Banco Rio de la Plata:
USD 47,500,000 (Class 3), 8.50% due 7/15/1998 47,908,125 47,500,000 0.4
USD 56,000,000 8.75% due 12/15/2003 47,165,825 49,420,000 0.4
--------------- --------------- ------
116,580,410 116,390,000 1.0
Government Republic of Argentina:
Obligations USD 145,000,000 Discount Notes, 6.437% due
3/31/2023 106,002,612 97,150,000 0.9
USD 183,150,000 Floating Rate Bonds, Series L,
6.312% due 3/31/2005 103,717,350 138,278,250 1.2
USD 22,500,000 Global Bonds, 8.375% due
12/20/2003 16,943,750 18,984,375 0.2
USD 324,000,000 Par Bonds, 5.25% due 3/31/2023 163,865,732 171,720,000 1.6
--------------- --------------- ------
390,529,444 426,132,625 3.9
Total Fixed-Income Securities
in Argentina 507,109,854 542,522,625 4.9
Australia Building & USD 26,410,000 Lend Lease Finance International,
Construction 4.75% due 6/01/2003 28,765,793 33,704,442 0.3
Total Fixed-Income Securities
in Australia 28,765,793 33,704,442 0.3
Brazil Government USD 35,000,000 Brazil Exit Bonds, 6% due 9/15/2013 19,686,988 21,612,500 0.2
Obligations Republic of Brazil:
USD 35,490,000 6.687% due 1/01/2001 (d) 27,740,213 33,892,950 0.3
USD 5,000,000 Discount Notes, 6.50% due 4/15/2024 3,100,000 3,506,250 0.0
USD 200,000,000 Par Z-L Step Up, 5% due 4/15/2024 77,525,218 109,250,000 1.0
--------------- --------------- ------
128,052,419 168,261,700 1.5
Media/ USD 15,000,000 Abril S.A., 12% due 10/25/2003 15,030,000 15,300,000 0.1
Publishing
Natural USD 11,500,000 Companhia Vale Do Rio Doce, 10%
Resources due 4/02/2004 11,485,878 11,428,125 0.1
Total Fixed-Income Securities
in Brazil 154,568,297 194,989,825 1.7
<PAGE>
Canada Agriculture USD 5,500,000 Viridian Inc., 10.50% due 3/31/2014 5,722,500 5,857,500 0.1
Cable/ CAD 7,545,000 Rogers Cablesystem Inc., 9.65% due
Telecommunications 1/15/2014 4,397,424 4,777,402 0.0
Chemicals USD 18,800,000 Acetex Corporation, 9.75% due
10/01/2003 18,514,300 18,142,000 0.2
Hotel/Leisure USD 21,000,000 Four Seasons Hotel, Inc., 9.125% due
7/01/2000 20,917,750 20,895,000 0.2
Natural USD 32,500,000 Sifto Canada, Inc., 8.50% due
Resources 7/15/2000 32,375,188 31,565,625 0.3
CAD 35,000,000 Viridian, Inc., 11% due 3/31/2004 25,298,446 27,829,330 0.2
--------------- --------------- ------
57,673,634 59,394,955 0.5
Paper & CAD 2,000,000 MacMillan Bloedel Limited,
Forest Products Convertible Bonds, 5% due 5/01/2007 1,024,416 1,186,317 0.0
Real Estate CAD 16,501,370 First Place Tower, Inc., 10.28% due
12/15/2015 26,246,648 19,996,202 0.2
CAD 27,469,400 First Place Tower Mortgage, Inc.,
9.22% due 12/15/2005 21,522,162 20,712,008 0.2
--------------- --------------- ------
47,768,810 40,708,210 0.4
Telecommuni- USD 5,000,000 Rogers Communications Inc., 7.50%
cations due 9/01/1999 3,394,000 3,384,279 0.0
Total Fixed-Income Securities
in Canada 159,412,834 154,345,663 1.4
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued) (in US dollars)
<CAPTION>
Currency Face Percent of
COUNTRY Industries Denomination Amount Fixed-Income Securities Cost Value Net Assets
<S> <S> <S> <C> <S> <C> <C> <C>
France Automobiles FRF 5,500 Peugeot S.A., Convertible Bonds,
2% due 1/01/2001 $ 992,341 $ 1,147,874 0.0%
Banking ECU 2,000,000 Credit Local de France, 0% due
10/16/2001 (b) 1,812,766 1,848,669 0.0
FRF 58,000 Societe Generale, Convertible Bonds
(New), 3.50% due 1/01/2000 7,499,838 8,878,439 0.1
--------------- --------------- ------
9,312,604 10,727,108 0.1
<PAGE>
Government ECU 153,500,000 Government of France, 8.25%
Obligations due 4/25/2022 176,793,028 211,672,386 1.9
Industrial FRF 30,000 Alcatel Alsthom, Convertible Bonds,
2.50% due 1/01/2004 3,926,887 4,963,882 0.0
Insurance FRF 35,500 Finaxa, Convertible Bonds, 3% due
1/01/2001 9,060,172 10,818,709 0.1
Multi- FRF 8,713 Compagnie Generale des Eaux,
Industry Convertible Bonds, 6% due
1/01/1998 4,859,722 5,718,587 0.1
Total Fixed-Income Securities
in France 204,944,754 245,048,546 2.2
Germany Banking DEM 2,310,000 Commerzbank AG, Floating Rate
Convertible Bonds, 2% due
6/15/2001 1,556,456 2,320,985 0.0
USD 5,000,000 Landes Kredit Bank, 7.875% due
4/15/2004 4,972,067 5,192,150 0.1
--------------- --------------- ------
6,528,523 7,513,135 0.1
Building USD 41,100,000 Tarkett AG, 9% due 3/01/2002 39,413,750 41,870,625 0.3
Materials
Financial USD 5,875,000 Veba International Finance (with
Services Warrants), 6% due 4/06/2000 2,965,841 5,742,812 0.1
Government Bundesrepublik Deutschland:
Obligations DEM 31,000,000 5.75% due 8/20/1998 22,444,131 21,797,802 0.2
DEM 357,000,000 7.75% due 10/01/2004 261,714,472 262,584,171 2.4
DEM 130,500,000 7.375% due 1/03/2005 99,256,229 94,656,827 0.8
DEM 100,000,000 6% due 6/20/2016 60,322,862 61,141,304 0.6
DEM 168,000,000 6.25% due 1/04/2024 97,338,651 102,557,609 0.9
--------------- --------------- ------
541,076,345 542,737,713 4.9
Government DEM 64,000,000 Baden-Wuerttemberg, 6.20% due
Obliga- 11/22/2013 37,148,769 43,260,870 0.4
tions-- DEM 55,000,000 Freie Hansestadt Hamburg, 6.08% due
Regional 11/29/2018 31,730,765 36,430,027 0.3
DEM 168,000,000 Land Hessen, 6% due 11/29/2013 96,916,825 111,277,174 1.0
DEM 110,000,000 Mecklenberg-Vorpommern, 6.15% due
6/16/2023 61,012,437 71,051,630 0.6
DEM 134,950,000 Nordrhein-Westfalen, 6.125% due
12/21/2018 77,420,913 89,386,039 0.8
Rheinland-Pfalz:
DEM 33,000,000 5.75% due 2/24/2014 18,324,663 21,521,739 0.2
DEM 64,000,000 6.08% due 11/29/2018 36,935,547 42,443,478 0.4
DEM 47,000,000 Sachsen-Anhalt, 6% due 1/10/2014 26,915,615 30,562,772 0.3
--------------- --------------- ------
386,405,534 445,933,729 4.0
<PAGE>
Industrial USD 1,000,000 Siemens Corp. (with Warrants), 8%
due 6/24/2002 (a) 1,318,750 1,317,500 0.0
Total Fixed-Income Securities
in Germany 977,708,743 1,045,115,514 9.4
Hong Kong Industrial USD 11,300,000 Johnson Electric Holdings Ltd.,
Convertible Bonds, 4.50% due
11/05/2000 10,093,904 10,085,250 0.1
Retail USD 12,000,000 Dairy Farm International Holdings
Ltd. (Preferred), 6.50% due
5/10/2049 9,525,875 8,520,000 0.1
Total Fixed-Income Securities in
Hong Kong 19,619,779 18,605,250 0.2
India Chemicals Reliance Industries Limited:
USD 11,450,000 3.50% due 11/03/1999 11,808,875 11,679,000 0.1
USD 15,000,000 8.125% due 9/27/2005 14,137,500 14,231,250 0.1
Total Fixed-Income Securities
in India 25,946,375 25,910,250 0.2
Indonesia Banking Rapp International Finance
Company B.V.:
USD 3,250,000 11.50% due 12/15/2000 3,220,165 3,363,750 0.0
USD 24,750,000 13.25% due 12/15/2005 24,090,165 27,225,000 0.3
Total Fixed-Income Securities
in Indonesia 27,310,330 30,588,750 0.3
Italy Government USD 5,000,000 Republic of Italy, 8.75% due
Obligations 2/08/2001 5,373,050 5,357,820 0.0
USD 12,735,000 Republic of Italy/INA, 5% due
6/28/2001 12,735,000 12,703,162 0.1
--------------- --------------- ------
18,108,050 18,060,982 0.1
Telecommuni- Softe SA-LUX:
cations ITL 11,500,000,000 Convertible Bonds, 4.25%
due 7/30/1998 7,894,814 10,367,199 0.1
ITL 16,760,000,000 (Ex-Warrants), 8.75%
due 3/24/1997 10,756,360 10,967,696 0.1
--------------- --------------- ------
18,651,174 21,334,895 0.2
<PAGE>
Total Fixed-Income Securities
in Italy 36,759,224 39,395,877 0.3
Japan Beverages JPY 731,000,000 Sanyo Coca-Cola Bottling Co.,
Ltd., #1 Convertible Bonds, 0.90%
due 6/30/2003 6,875,790 6,902,939 0.1
JPY 100,000,000 Shikoku Coca-Cola Bottling Co.,
Ltd., #1 Convertible Bonds, 2.40%
due 3/29/2002 1,036,246 1,038,839 0.0
--------------- --------------- ------
7,912,036 7,941,778 0.1
Computers CHF 11,500,000 NEC Corporation, 1% due 3/31/1999 10,509,753 10,418,754 0.1
Electronics JPY 988,000,000 Matsushita Electric Works, Ltd.,
#8 Convertible Bonds, 2.70% due
5/31/2002 9,691,544 10,984,970 0.1
Insurance JPY 13,000,000 Mitsui Marine & Fire Insurance
Co., Ltd., #3 Convertible Bonds,
0.70% due 3/31/2003 118,211 126,533 0.0
JPY 117,000,000 Nichido Fire & Marine Insurance
Co., Ltd., #5 Convertible Bonds,
1% due 3/31/2003 1,109,381 1,113,608 0.0
--------------- --------------- ------
1,227,592 1,240,141 0.0
Total Fixed-Income Securities
in Japan 29,340,925 30,585,643 0.3
Malaysia Multi- USD 15,500,000 Renong BHD, 2.50% due 1/15/2005 17,544,487 17,050,000 0.2
Industry
Total Fixed-Income Securities in
Malaysia 17,544,487 17,050,000 0.2
Mexico Government USD 116,000,000 Banco Nacional (BNCE), 7.25% due
Obligations 2/02/2004 89,684,375 94,105,000 0.8
USD 7,500,000 Banco Nacional (BNCE Huite), 11.25%
due 5/30/2006 7,438,275 7,425,000 0.1
USD 45,150,000 Petroleos Mexicanos, 8.625% due
12/01/2023 25,007,000 33,749,625 0.3
United Mexican States:
USD 31,434,000 8.50% due 9/15/2002 26,780,921 28,762,110 0.3
USD 62,716,000 Global Bonds, 11.50% due 5/15/2026 57,643,408 56,679,585 0.5
Total Fixed-Income Securities
in Mexico 206,553,979 220,721,320 2.0
</TABLE>
<PAGE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued) (in US dollars)
<CAPTION>
Currency Face Percent of
COUNTRY Industries Denomination Amount Fixed-Income Securities Cost Value Net Assets
<S> <S> <S> <C> <S> <C> <C> <C>
New Zealand Finance NZD 3,085,700 Brierly Investments, Ltd.
Convertible Bonds, 9% due 6/30/1998 $ 1,988,414 $ 2,807,197 0.0%
Utilities-- NZD 1,760,000 Natural Gas Corp. Holdings,
Gas Convertible Bonds, 10.50% due
10/14/1997 1,043,960 2,486,634 0.0
Total Fixed-Income Securities in
New Zealand 3,032,374 5,293,831 0.0
Philippines Utilities USD 16,000,000 CE Casecnan, 11.45% due 11/15/2005 15,895,000 16,520,000 0.2
Total Fixed-Income Securities in the
Philippines 15,895,000 16,520,000 0.2
Portugal Banking ECU 19,300,000 Banco Commercial Portuguese,
Convertible Bonds, 8.75% due
5/21/2002 26,468,747 25,611,872 0.2
Total Fixed-Income Securities in
Portugal 26,468,747 25,611,872 0.2
Russia Telecommuni- USD 71,750,000 Petersburg Long Distance Inc., 0/14%
cations due 6/01/2004(l) 52,865,196 53,812,500 0.5
USD 18,200,000 Petersburg Long Distance Inc.,
Convertible Bonds, 9% due 6/01/2006 18,200,000 20,020,000 0.2
Total Fixed-Income Securities
in Russia 71,065,196 73,832,500 0.7
South Africa Metals USD 6,300,000 Samancor Ltd., 7% due 6/30/2004 6,043,000 6,048,000 0.1
Total Fixed-Income Securities in
South Africa 6,043,000 6,048,000 0.1
<PAGE>
South Korea Energy USD 10,540,000 Ssangyong Oil Corp., 3.75% due
Related 12/31/2008 11,126,937 10,882,550 0.1
USD 1,000,000 Ssangyong Oil Refining, 3% due
12/31/2004 731,875 727,500 0.0
Total Fixed-Income Securities in
South Korea 11,858,812 11,610,050 0.1
Sweden Industrial ECU 7,000,000 SKF--AB Lyons, Convertible Bonds,
0% due 7/26/2002 5,850,058 5,537,840 0.1
Total Fixed-Income Securities
in Sweden 5,850,058 5,537,840 0.1
Switzerland Chemicals USD 24,945,000 Ciba-Geigy Corp., Convertible Bonds,
6.25% due 3/15/2016 25,632,050 24,695,550 0.2
Industrial CHF 1,401,000 Ciba-Geigy AG, Convertible Bonds, 2%
due 8/09/1998 1,178,587 2,842,710 0.0
Total Fixed-Income Securities in
Switzerland 26,810,637 27,538,260 0.2
United Building GBP 3,250,000 Redland Capital PLC, Convertible
Kingdom Materials Bonds, 7.25% due 1/28/2002 5,382,804 4,901,192 0.0
Financial GBP 11,600,000 TransAtlantic Holdings PLC,
Services Convertible Bonds, 5.50% due
4/30/2009 14,179,895 14,788,306 0.2
Food & GBP 1,750,000 Allied-Lyons PLC, 6.75% due 7/07/2008 2,589,607 2,543,878 0.0
Beverage
Government GBP 20,000,000 United Kingdom Treasury Gilt, 7.75%
Obligations due 9/08/2006 30,088,910 30,705,325 0.3
Industrial HIH Capital Ltd., Convertible Bonds:
USD 2,000,000 7.50% due 9/25/2006 1,665,000 1,460,000 0.0
USD 4,545,000 (Bearer), 7.50% due 9/25/2006 2,950,187 3,363,300 0.0
--------------- --------------- ------
4,615,187 4,823,300 0.0
Multi- GBP 6,625,000 English China Clays PLC,
Industry Convertible Bonds, 6.50% due
9/30/2003 10,841,824 9,269,899 0.1
Real Estate GBP 3,500,000 Land Securities PLC, Convertible
Bonds, 6.75% due 12/31/2002 5,301,121 5,455,054 0.1
<PAGE>
Retail GBP 18,300,000 Sainsbury (J.) PLC, Convertible
Bonds, 8.50% due 11/19/2005 33,705,906 33,643,319 0.3
Telecommuni- USD 21,500,000 Comcast UK Cable Partners Ltd.,
cations 12.04% due 11/15/2000 (b) 12,532,508 13,007,500 0.1
Textiles GBP 2,500,000 Coats Viyella PLC, Series B, 6.25%
due 8/09/2003 3,535,704 3,498,075 0.0
Total Fixed-Income Securities in the
United Kingdom 122,773,466 122,635,848 1.1
United Airlines USAir Pass-Through:
States USD 7,500,000 9.625% due 9/01/2003 (d) 7,495,625 7,218,750 0.1
USD 4,131,821 9.33% due 1/01/2006 4,028,939 3,821,935 0.0
USD 19,300,000 10.375% due 3/01/2013 17,593,625 18,914,000 0.2
--------------- --------------- ------
29,118,189 29,954,685 0.3
Banking USD 14,250,000 Berkley Federal Bank, 12% due
6/15/2005 14,250,000 14,962,500 0.1
USD 14,500,000 First Nationwide Holdings, 12.50%
due 4/15/2003 14,335,135 15,043,750 0.2
--------------- --------------- ------
28,585,135 30,006,250 0.3
Building USD 11,329,000 DalTile International, Inc., 0% due
Materials 7/15/1998 8,742,902 9,799,585 0.1
Cable/ USD 43,250,000 Bell Cablemedia PLC, 0/11.875% due
Telecommuni- 9/15/2005 26,670,476 26,923,125 0.2
cations
Chemicals USD 10,000,000 Laroche Industries Inc., 13% due
8/15/2004 10,325,000 10,600,000 0.1
Computers USD 13,000,000 Dell Computer Corp., 11% due
8/15/2000 13,097,187 14,527,500 0.1
Energy USD 12,374,000 Transamerican Refining Corp.,
0% due 2/15/2002 9,046,963 7,764,685 0.1
USD 28,000,000 TransTexas Gas Corp., 11.50% due
6/15/2002 28,000,000 27,790,000 0.2
--------------- --------------- ------
37,046,963 35,554,685 0.3
<PAGE>
Financial USD 10,000,000 Ford Capital BV, 9.375% due
Services-- 1/01/1998 10,037,900 10,386,800 0.1
Captive
Health Care USD 7,200,000 Cetus (Chiron) Corp., Convertible
Bonds, 5.25% due 5/21/2002 5,220,250 6,912,000 0.1
USD 42,000,000 Omega Healthcare Investors Inc.,
8.50% due 2/01/2001 42,052,500 42,840,000 0.4
--------------- --------------- ------
47,272,750 49,752,000 0.5
Home- Baldwin Builders & Contractors:
building & USD 40,000,000 10.25% due 7/18/1997 40,000,000 38,900,000 0.4
Construction USD 5,000,000 11.25% due 7/18/1997 5,000,000 4,912,500 0.0
USD 31,950,000 Baldwin Co., 10.375% due 8/01/2003 30,215,562 10,543,500 0.1
USD 37,500,000 Beazer Homes USA, Inc., 9% due
3/01/2004 35,597,000 34,125,000 0.3
USD 18,500,000 K. Hovanian Enterprises, 9.75% due
6/01/2005 17,970,000 15,632,500 0.1
MDC Holdings Inc.:
USD 30,000,000 11.125% due 12/15/2003 28,916,500 29,025,000 0.3
USD 2,350,000 Convertible Bonds, 8.75% due
12/15/2005 2,021,000 2,397,000 0.0
USD 13,750,000 Presley Companies, Senior Notes,
12.50% due 7/01/2001 13,690,312 12,650,000 0.1
--------------- --------------- ------
173,410,374 148,185,500 1.3
Hospital USD 1,000,000 Novacare, Inc., Convertible Bonds,
Management 5.50% due 1/15/2000 857,500 867,500 0.0
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued) (in US dollars)
<CAPTION>
Currency Face Percent of
COUNTRY Industries Denomination Amount Fixed-Income Securities Cost Value Net Assets
<S> <S> <S> <C> <S> <C> <C> <C>
United Industrial USD 20,000,000 AM General Corp., 12.875% due
States 5/01/2002 $ 19,844,720 $ 20,400,000 0.2%
(continued) USD 20,000,000 Crown Packaging Ltd., 10.75% due
11/01/2000 20,000,000 18,700,000 0.2
USD 10,000,000 Easco Corp., 10% due 3/15/2001 10,005,000 10,000,000 0.1
USD 27,000,000 Envirotest Systems Corp., 9.125%
due 3/15/2001 24,683,460 23,760,000 0.2
USD 28,000,000 Genmar Holdings, Inc., 13.50% due
7/15/2001 27,803,975 24,780,000 0.2
USD 77,000,000 International Semi-Tech
Microelectronics, Inc., 0/11.50%
due 8/15/2003 49,067,337 44,275,000 0.4
USD 8,000,000 Merisel, Inc., 12.50% due 12/31/2004 7,240,000 5,040,000 0.0
USD 30,500,000 Plastic Specialties & Technology,
Inc., 11.25% due 12/01/2003 30,540,000 30,195,000 0.3
USD 7,500,000 Portola Packaging Inc., 10.75% due
10/01/2005 7,526,250 7,725,000 0.1
--------------- --------------- ------
196,710,742 184,875,000 1.7
<PAGE>
Insurance USD 22,500,000 Mutual Life Insurance Co., N.Y.,
0/11.25% due 8/15/2024 16,129,606 20,109,375 0.2
Leisure-- USD 20,000,000 Prime Hospitality Corp., 9.25% due
Restaurant & 1/15/2006 19,012,500 19,500,000 0.2
Lodging
Medical USD 3,000,000 Maxxim Medical Inc., 10.50% due
Supplies 8/01/2006 3,000,000 3,022,500 0.0
Merchandis- USD 12,000,000 Price Club Co., Convertible Bonds,
ing 5.50% due 2/28/2012 11,213,250 12,240,000 0.1
Metals USD 23,000,000 Oregon Steel Mills, Inc., 11% due
6/15/2003 23,000,000 23,977,500 0.2
Oil & PDV America, Inc.:
Related USD 35,000,000 7.25% due 8/01/1998 34,856,150 34,606,250 0.3
USD 10,000,000 7.75% due 8/01/2000 10,062,500 9,787,500 0.1
USD 6,000,000 USX Marathon Oil Corp., Convertible
Bonds, 7% due 6/15/2017 5,650,000 5,580,000 0.1
--------------- --------------- ------
50,568,650 49,973,750 0.5
Oil Service USD 8,250,000 KCS Energy Inc., 11% due 1/15/2003 8,714,062 8,765,625 0.1
Packaging & Anchor Glass Container Corp.:
Containers USD 12,328,400 9.91% due 7/15/1999 11,159,582 10,848,992 0.1
USD 15,000,000 10.25% due 6/30/2002 14,194,556 9,000,000 0.1
--------------- --------------- ------
25,354,138 19,848,992 0.2
Paper & USD 19,500,000 Applied International Finance,
Forest 11.75% due 10/01/2005 19,500,000 19,792,500 0.2
Products USD 11,500,000 Stone Container Corp., 10.75% due
10/01/2002 11,172,500 11,672,500 0.1
--------------- --------------- ------
30,672,500 31,465,000 0.3
Real Estate USD 23,535,072 RTC Commercial Mortgage, Class E,
8.25% due 12/25/2020 (d) 23,174,691 22,623,088 0.2
<PAGE>
Real Estate USD 24,500,000 Alexander Haagen Properties Inc.,
Investment Exchangeable Debentures, 7.25% due
Trusts 12/27/2003 24,348,750 23,397,500 0.2
USD 7,000,000 Centerpoint Properties Corp.,
Convertible Bonds, 8.22%
due 1/15/2004 7,000,000 9,905,000 0.1
USD 30,000,000 First Union Real Estate, 8.875% due
10/01/2003 29,756,100 27,150,000 0.3
USD 25,000,000 First Washington Realty, 8.25% due
6/26/1999 25,000,000 25,000,000 0.2
LTC Properties, Inc., Convertible
Bonds:
USD 10,000,000 8.25% due 1/01/1999 10,000,000 10,600,000 0.1
USD 10,000,000 8.50% due 1/01/2001 10,000,000 10,300,000 0.1
USD 12,500,000 Liberty Property Trust, Convertible
Bonds, 8% due 7/01/2001 12,500,000 12,687,500 0.1
Malan Realty Investors, Inc.,
Convertible Bonds:
USD 27,000,000 8.50% due 7/01/2003 27,000,000 26,898,750 0.3
USD 4,750,000 9.50% due 7/15/2004 3,859,375 4,346,250 0.0
Meditrust, Convertible Bonds:
USD 5,000,000 7% due 3/01/1998 5,035,000 5,475,000 0.1
USD 9,415,000 8.54% due 7/01/2000 9,602,637 9,744,525 0.1
USD 12,000,000 7.50% due 3/01/2001 12,000,000 12,000,000 0.1
USD 5,000,000 Mid-Atlantic Realty Trust,
Convertible Bonds, 7.625% due
9/15/2003 4,875,000 4,650,000 0.0
USD 22,000,000 National Health Investors, 7.75%
due 1/01/2001 22,000,000 22,000,000 0.2
USD 23,000,000 Nationwide Health Properties Inc.,
Convertible Bonds, 6.25% due
1/01/1999 22,800,000 23,115,000 0.2
USD 5,500,000 Sizeler Property Investors, Inc.,
Convertible Bonds, 8% due 7/15/2003 5,505,000 4,730,000 0.0
--------------- --------------- ------
231,281,862 231,999,525 2.1
Resources USD 15,000,000 Freeport-McMoRan Resources, 8.75%
due 2/15/2004 13,881,875 14,831,250 0.1
Savings Bank USD 21,400,000 First Federal Financial Corporation,
11.75% due 10/01/2004 21,401,250 21,614,000 0.2
Steel USD 15,000,000 Bar Technologies, 13.50% due
4/01/2001 14,736,600 15,300,000 0.1
USD 16,625,000 NS Group, Inc., 13.50% due
7/15/2003 (n) 15,908,951 16,250,937 0.2
--------------- --------------- ------
30,645,551 31,550,937 0.3
<PAGE>
Supermarkets USD 22,000,000 Eagle Food Centers Inc., 8.625% due
4/15/2000 17,507,812 20,020,000 0.2
USD 4,000,000 Pueblo Xtra International Inc.,
9.50% due 8/01/2003 3,666,250 3,530,000 0.0
--------------- --------------- ------
21,174,062 23,550,000 0.2
Telecommuni- USD 24,000,000 American Communications Services,
cations Inc., 0/13% due 11/01/2005 13,585,062 12,900,000 0.1
USD 57,475,000 Brooks Fiber Properties, 0/10.875%
due 3/01/2006 31,803,841 30,030,687 0.3
USD 26,500,000 Busse Broadcasting, 11.625% due
10/15/2000 25,468,987 26,632,500 0.2
USD 40,000,000 CAI Wireless Systems Inc., 12.25%
due 9/15/2002 41,322,000 41,400,000 0.4
USD 59,500,000 CS Wireless Systems, Inc., 0/11.375%
due 3/01/2006 33,892,741 29,898,750 0.2
USD 15,500,000 Call Net Enterprise, Inc., 0/13.25%
due 12/01/2004 10,196,287 11,470,000 0.1
USD 76,000,000 CellNet Data Systems, Inc., 0/13%
due 6/15/2000 (h) 47,366,389 54,055,000 0.5
USD 23,100,000 Diamond Cable Communications Co.,
0/11.75% due 12/15/2005 14,049,294 13,802,250 0.1
Geotek Communications, Inc.:
USD 102,000,000 0/15% due 7/15/2005 43,846,320 63,495,000 0.6
USD 20,000,000 Convertible Bonds, 12% due
2/15/2001 20,000,000 23,800,000 0.2
USD 50,000,000 International Cabletel Inc.,
Series B, 0/11.50% due 2/01/2006 30,252,700 28,375,000 0.2
USD 44,500,000 Millicom International Cellular S.A.,
0/13.50% due 6/01/2006 23,600,590 22,305,625 0.2
USD 33,500,000 Nextel Communications, Inc., 0/9.75%
due 8/15/2004 24,772,814 18,508,750 0.2
USD 18,000,000 Nextlink Communications, 12.50% due
4/15/2006 18,000,000 17,527,500 0.2
Teleport Communications Group Inc.:
USD 34,000,000 0/11.125% due 7/01/2007 19,962,690 18,615,000 0.2
USD 11,000,000 9.875% due 7/01/2006 11,000,000 10,560,000 0.1
USD 37,750,000 TeleWest Communications PLC,
0/11% due 10/01/2007 22,608,685 21,989,375 0.2
United International Holdings,
Inc. (b):
USD 39,250,000 0% due 11/15/1999 (f) 24,099,573 25,905,000 0.2
USD 11,000,000 Series B, 0% due 11/15/1999 7,047,118 7,260,000 0.1
--------------- --------------- ------
462,875,091 478,530,437 4.3
</TABLE>
<PAGE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued) (in US dollars)
<CAPTION>
Currency Face Percent of
COUNTRY Industries Denomination Amount Fixed-Income Securities Cost Value Net Assets
<S> <S> <S> <C> <S> <C> <C> <C>
United Textiles & USD 12,500,000 Consoltex Group, Inc., 11% due
States Apparel 10/01/2003 $ 12,530,000 $ 11,375,000 0.1%
(concluded) USD 18,250,000 Texfi Industries, Inc., 8.75% due
8/01/1999 17,930,300 15,512,500 0.1
--------------- --------------- ------
30,460,300 26,887,500 0.2
Transporta- USD 10,625,000 Eletson Holdings Inc., 9.25% due
tion 11/15/2003 10,558,438 10,107,032 0.1
Transporta- USD 25,000,000 Teekay Shipping Corporation, 8.32%
tion-- due 2/01/2008 24,077,500 23,625,000 0.2
Shipping
Trucking USD 32,000,000 Ameritruck Distribution, 12.25% due
11/15/2005 31,563,525 31,200,000 0.3
US Government Federal Home Loan Mortgage Corp.,
& Agency REMIC (g):
Obligations USD 4,910,000 1243-HP, 5.625% due 2/25/2015 4,788,017 4,750,425 0.0
USD 10,000,000 Series, 6.30% due 5/15/2008 9,210,937 8,946,875 0.1
Federal National Mortgage
Association:
USD 8,003,905 8% due 10/01/2024 7,642,479 8,058,892 0.1
USD 16,063,652 8% due 12/01/2024 15,780,028 16,148,950 0.1
US Treasury Notes & Bonds:
USD 100,100,000 6% due 5/31/1998 99,456,386 99,740,641 0.9
USD 55,000,000 7.875% due 8/15/2001 53,943,600 58,025,000 0.5
USD 25,000,000 6.25% due 2/15/2003 25,710,937 24,453,000 0.2
US Treasury STRIPS (b) (m):
USD 5,000,000 6.493% due 2/15/2019 1,176,072 999,950 0.0
USD 22,000,000 5.70% due 5/15/2000 17,283,888 17,272,200 0.2
--------------- --------------- ------
234,992,344 238,395,933 2.1
<PAGE>
Utilities-- CTC Mansfield Funding Corp.:
Electric USD 5,483,000 10.25% due 3/30/2003 5,602,320 5,483,000 0.1
USD 5,000,000 11.125% due 9/30/2016 5,350,000 5,012,500 0.1
USD 20,000,000 California Energy Co., Inc.,
0/10.25% due 1/15/2004 19,039,330 19,650,000 0.2
USD 15,000,000 Calpine Corp., Inc., 9.25% due
2/01/2004 13,857,500 14,062,500 0.1
Cleveland Electric Illuminating
Company Inc., First Mortgage:
USD 5,000,000 9.30% due 7/26/1999 5,437,500 5,031,250 0.0
USD 12,500,000 9.25% due 7/29/1999 13,562,500 12,562,500 0.1
USD 3,000,000 9.05% due 8/15/2001 3,093,750 2,973,750 0.0
USD 7,500,000 7.625% due 8/01/2002 7,462,500 6,900,000 0.1
USD 5,000,000 7.375% due 6/01/2003 4,700,000 4,462,500 0.0
El Paso Electric Company:
USD 7,859,000 7.25% due 2/01/1999 7,996,532 7,623,230 0.1
USD 8,733,000 7.75% due 5/01/2001 8,907,660 8,383,680 0.1
USD 12,000,000 9.40% due 5/01/2001 12,000,000 11,970,000 0.1
USD 11,657,000 8.25% due 2/01/2003 11,860,692 11,423,860 0.1
USD 2,250,000 8.90% due 2/01/2006 2,250,000 2,233,125 0.0
USD 7,500,000 Public Service Company of New
Mexico, First PV Funding, 10.30%
due 1/15/2014 7,137,750 7,781,250 0.1
USD 22,654,000 Public Service of New Mexico,
EIP Funding, 10.25% due 22,654,000 23,673,430 0.2
10/01/2012 Toledo Edison Co.:
USD 2,000,000 9.30% due 4/01/1998 2,130,000 2,017,500 0.0
USD 13,375,000 7.25% due 8/01/1999 13,375,000 12,756,406 0.1
USD 3,000,000 9.50% due 4/01/2001 3,221,250 3,018,750 0.0
USD 1,500,000 7.85% due 3/31/2003 1,296,450 1,370,625 0.0
USD 2,000,000 7.91% due 4/01/2003 1,992,500 1,837,500 0.0
--------------- --------------- ------
172,927,234 170,227,356 1.5
Total Fixed-Income Securities
in the United States 2,078,553,547 2,065,477,430 18.6
Total Investments in Fixed-Income
Securities 4,763,936,211 4,958,689,336 44.7
Short-Term Securities
Canada Foreign Canadian Treasury Bills:
Government CAD 37,850,000 4.316% due 8/22/1996 27,521,371 27,456,676 0.2
Obligations* CAD 1,500,000 6.06% due 11/14/1996 1,089,957 1,077,729 0.0
--------------- --------------- ------
28,611,328 28,534,405 0.2
<PAGE>
United Commercial USD 25,000,000 Abbott Laboratories, 5.36% due
States Paper* 9/10/1996 24,851,111 24,851,111 0.2
USD 30,000,000 5.34% due 8/15/1996 29,937,700 29,937,700 0.3
USD 25,000,000 5.34% due 8/23/1996 24,918,417 24,918,417 0.2
American Telephone & Telegraph Co.:
USD 44,000,000 5.35% due 9/12/1996 43,725,367 43,725,367 0.4
USD 25,000,000 5.34% due 9/13/1996 24,840,542 24,840,542 0.2
USD 20,000,000 BBV Finance (Delaware), Inc.,
Finance, 5.37% due 8/08/1996 19,979,117 19,979,117 0.2
USD 24,000,000 Bayer Corp., 5.38% due 9/05/1996 23,874,467 23,874,467 0.2
USD 25,000,000 Bellsouth Telecommunications Inc.,
5.34% due 8/05/1996 24,985,167 24,985,167 0.2
CIT Group Holdings, Inc. (The):
USD 16,000,000 5.29% due 8/02/1996 15,997,649 15,997,649 0.1
USD 50,000,000 5.37% due 8/27/1996 49,806,083 49,806,083 0.5
USD 30,000,000 5.38% due 9/05/1996 29,843,083 29,843,083 0.3
Caisse des Depots et Consignations:
USD 50,000,000 5.36% due 8/07/1996 49,955,333 49,955,333 0.5
USD 25,000,000 5.35% due 9/17/1996 24,825,382 24,825,382 0.2
USD 20,000,000 Canadian Wheat Board, 5.36% due
9/09/1996 19,883,867 19,883,867 0.2
Ciesco, L.P.:
USD 34,000,000 5.31% due 8/01/1996 34,000,000 34,000,000 0.3
USD 40,000,000 5.35% due 8/16/1996 39,910,833 39,910,833 0.4
USD 25,000,000 5.32% due 9/17/1996 24,826,361 24,826,361 0.2
Delaware Funding Corp.:
USD 20,290,000 5.40% due 8/15/1996 20,247,391 20,247,391 0.2
USD 35,785,000 5.33% due 9/13/1996 35,557,179 35,557,179 0.3
USD 50,000,000 Dresdner U.S. Finance, Inc.,
5.35% due 9/27/1996 49,576,458 49,576,458 0.4
du Pont (E.I.) de Nemours & Co.:
USD 20,000,000 5.29% due 8/05/1996 19,988,244 19,988,244 0.2
USD 30,000,000 5.32% due 8/06/1996 29,977,833 29,977,833 0.3
Eiger Capital Corp.:
USD 75,000,000 5.31% due 8/01/1996 75,000,000 75,000,000 0.7
USD 32,000,000 5.37% due 9/27/1996 31,727,920 31,727,920 0.3
USD 15,788,000 Ford Motor Credit Co., 5.72% due
8/01/1996 15,788,000 15,788,000 0.1
France Telecom:
USD 32,000,000 5.41% due 9/05/1996 31,831,689 31,831,689 0.3
USD 10,000,000 5.38% due 9/06/1996 9,946,200 9,946,200 0.1
</TABLE>
<PAGE>
<TABLE>
SCHEDULE OF INVESTMENTS (concluded) (in US dollars)
<CAPTION>
Currency Face Percent of
COUNTRY Denomination Amount Short-Term Securities Cost Value Net Assets
<S> <S> <S> <C> <S> <C> <C> <C>
United Commercial IBM Credit Corp.:
States Paper* USD 30,000,000 5.29% due 8/02/1996 $ 29,995,592 $ 29,995,592 0.3%
(concluded) (concluded) USD 45,000,000 5.35% due 8/15/1996 44,906,375 44,906,375 0.4
USD 50,000,000 5.34% due 9/20/1996 49,629,167 49,629,167 0.4
International Lease Finance Corp.:
USD 50,000,000 5.35% due 8/19/1996 49,866,250 49,866,250 0.5
USD 35,000,000 5.37% due 9/16/1996 34,759,842 34,759,842 0.3
KFW International Finance Inc.:
USD 20,000,000 5.35% due 8/08/1996 19,979,194 19,979,194 0.2
USD 21,000,000 5.35% due 8/19/1996 20,943,825 20,943,825 0.2
USD 20,000,000 5.38% due 9/09/1996 19,883,433 19,883,433 0.2
USD 15,000,000 5.37% due 9/16/1996 14,897,075 14,897,075 0.1
USD 24,000,000 5.36% due 9/17/1996 23,832,053 23,832,053 0.2
USD 36,000,000 Matterhorn Capital Corp., 5.39%
due 8/23/1996 35,881,420 35,881,420 0.3
USD 25,208,000 MetLife Funding Corp., 5.35% due
8/14/1996 25,159,299 25,159,299 0.2
National Australia Funding
(Delaware) Inc.:
USD 50,000,000 5.36% due 8/06/1996 49,962,778 49,962,778 0.5
USD 50,000,000 5.34% due 9/20/1996 49,629,167 49,629,167 0.4
Preferred Receivable Funding Corp.:
USD 15,345,000 5.38% due 8/01/1996 15,345,000 15,345,000 0.1
USD 15,500,000 5.40% due 8/14/1996 15,469,775 15,469,775 0.1
USD 26,000,000 5.36% due 8/21/1996 25,922,578 25,922,578 0.2
USD 23,400,000 5.40% due 8/22/1996 23,326,290 23,326,290 0.2
USD 20,000,000 5.38% due 9/10/1996 19,943,422 19,943,422 0.2
Sandoz Corporation:
USD 20,000,000 5.36% due 8/20/1996 19,916,622 19,916,622 0.2
USD 20,000,000 5.36% due 8/29/1996 19,880,444 19,880,444 0.2
Sheffield Receivables Corp.:
USD 32,320,000 5.38% due 8/01/1996 32,320,000 32,320,000 0.3
USD 50,000,000 5.38% due 8/06/1996 49,962,639 49,962,639 0.5
USD 19,204,000 5.35% due 8/16/1996 19,161,191 19,161,191 0.2
USD 50,000,000 Shell Oil Co., 5.33% due 8/14/1996 49,903,764 49,903,764 0.5
Siemens Corporation AG:
USD 10,000,000 5.35% due 8/12/1996 9,983,653 9,983,653 0.1
USD 25,000,000 5.37% due 8/28/1996 24,899,313 24,899,313 0.2
USD 50,000,000 Unilever PLC, 5.30% due 9/16/1996 49,661,389 49,661,389 0.4
USD 25,000,000 Xerox Corp., 5.39% due 9/06/1996 24,865,250 24,865,250 0.2
USD 51,000,000 Xerox Credit Corp., 5.37% due
9/10/1996 50,695,700 50,695,700 0.5
--------------- --------------- ------
1,746,383,893 1,746,383,893 15.8
<PAGE>
US Government USD 50,000,000 Federal Home Loan Bank, 5.29% due
& Agency 8/16/1996 49,889,792 49,889,792 0.5
Obligations* Federal National Mortgage
Association:
USD 12,375,000 5.30% due 8/09/1996 12,360,425 12,360,425 0.1
USD 25,000,000 5.24% due 9/09/1996 24,858,083 24,858,083 0.2
--------------- --------------- ------
87,108,300 87,108,300 0.8
Total Short-Term Securities in
the United States 1,833,492,193 1,833,492,193 16.6
Total Investments in Short-Term
Securities 1,862,103,521 1,862,026,598 16.8
Total Investments $10,235,915,890 11,012,723,858 99.3
===============
Unrealized Depreciation on Forward Foreign Exchange Contracts** (47,818,029) 0.0
Variation Margin on Futures Contracts*** (1,140,000) (0.4)
Other Assets Less Liabilities 121,709,706 1.1
--------------- ------
Net Assets $11,085,475,535 100.0%
=============== ======
Net Asset Class A--Based on net assets of $1,736,320,037 and 120,949,545 shares
Value: outstanding $ 14.36
===============
Class B--Based on net assets of $8,082,375,792 and 570,021,889 shares
outstanding $ 14.18
===============
Class C--Based on net assets of $313,706,693 and 22,307,040 shares
outstanding $ 14.06
===============
Class D--Based on net assets of $953,073,013 and 66,441,804 shares
outstanding $ 14.34
===============
<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 bond; the interest
rate shown is the effective yield at the time of
purchase by the Fund.
(c)Security held as collateral in connection with open
financial 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 Chemical Banking Corp.
(f)Each $1,000 face amount contains one warrant of
United International Holdings, Inc.
(g)Real Estate Mortgage Investment Conduits (REMIC).
(h)Each $1,000 face amount contains four warrants
of CellNet Data Systems, Inc.
(i)Formerly Mark Resources, Inc.
(j)Formerly Amev N.V.
(k)The rights may be exercised until August 12, 1996.
(l)Each $1,000 face amount contains one warrant of
Petersburg Long Distance Inc.
(m)Separate Trading of Registered Interest and
Principal of Securities.
(n)Each $1,000 face amount contains one warrant
of NS Group, Inc.
(o)Created as a result of the merger of Kymmene
Corporation and Repola Ltd.
++American Depositary Receipts (ADR).
*Commercial Paper and certain Foreign & US
Government & Agency Obligations are traded on
a discount basis. The interest rates shown are
the rates in effect on July 31, 1996.
**Forward Foreign Exchange Contracts as of
July 31, 1996 were as follows:
<PAGE>
<CAPTION>
Foreign Expiration Unrealized
Currency Sold Date Depreciation
<S> <C> <S> <C>
CHF 81,000,000 August 1996 $ (2,880,034)
CHF 24,700,000 September 1996 (1,014,302)
DEM 697,000,000 August 1996 (15,725,510)
DEM 612,000,000 September 1996 (10,368,294)
DEM 65,000,000 October 1996 (269,355)
DKR 10,000,000 September 1996 (55,681)
ECU 20,000,000 August 1996 (1,013,460)
ECU 116,000,000 September 1996 (2,938,991)
ESP 3,200,000,000 August 1996 (648,122)
ESP 5,000,000,000 September 1996 (921,136)
FRF 396,000,000 August 1996 (2,698,922)
FRF 285,500,000 September 1996 (1,467,078)
FRF 2,000,000 October 1996 (547)
GBP 92,000,000 August 1996 (1,241,927)
GBP 75,000,000 September 1996 (18,805)
JPY 12,000,000,000 August 1996 (1,018,393)
JPY 12,000,000,000 September 1996 (1,256,845)
JPY 11,000,000,000 October 1996 (1,349,035)
NLG 80,000,000 August 1996 (1,654,836)
NLG 50,000,000 September 1996 (1,032,533)
NOK 99,000,000 August 1996 (244,223)
Total Unrealized Depreciation on Forward Foreign Exchange
Contracts--Net (USD Commitment--$2,038,854,216) $(47,818,029)
============
***Financial Futures Contracts sold as of July 31, 1996 were as follows:
<CAPTION>
Number of Expiration
Contracts Issue Date Value
<C> <S> <S> <C>
200 Standard & Poor's 500 Index September 1996 $64,240,000
Total Financial Futures Contracts Sold
(Total Contract Price--$67,269,250) $64,240,000
===========
</TABLE>
<PAGE>
EQUITY PORTFOLIO CHANGES
For the Quarter Ended July 31, 1996
Additions
AGCO Corp.
Ambassador Apartments Inc.
*Associates First Capital
Autopista Concesionaria Espanola S.A. (Rights)
BCP International Bank (8% Convertible)
C.P. Pokphand Co. Ltd. (Ordinary)
CS Holdings
Cable & Wireless International PLC
Cadbury Schweppes PLC
CasTech Aluminum Group, Inc.
Den Norske Bank ASA
Diamond Offshore Drilling Inc.
Diva Systems Corp. (Series C)
Electronic Data Systems Corp.
Fotolabo S.A.
Geotek Communications, Inc.
Glaxo Wellcome PLC
Global Telecom (ADR)
Guangshen Railway Company Limited (ADR)
Henkel KGaA
Henkel KGaA (Preferred)
Information Resources, Inc.
Invercorporacion S.A. (ADR)
Investor AB (Shares)
Instituto Nazionale delle Assicurazioni
(INA) S.p.A.
Lukens Inc.
Mapfre S.A. (New Shares)
Matthew Clark PLC
Mediolanum S.p.A.
Misys PLC
National Steel Corp.
Orkla A.S. (Class A)
Parker Drilling Company
Petersburg Long Distance, Inc.
Repap Enterprises Inc.
Royal PTT Nederland N.V.
Scania AB (Warrants)
Tesco PLC
Tidewater Inc.
U S West Media Group
United Healthcare Corporation
VLSI Technology, Inc.
Western Atlas, Inc.
*Weatherford Enterra Inc.
Yacimientos Petroliferos Fiscales S.A. (ADR)
<PAGE>
Deletions
ABN AMRO Holdings N.V.
ADC Communication Telecommunications, Inc.
Alteon, Inc.
Arethusa (Offshore) Ltd.
*Associates First Capital
Brierly Investments Ltd. (9% Convertible)
Canadian National Railway Company
Compagnie de Saint-Gobain S.A.
Crown Cork & Seal Co., Inc.
Danka Business Systems PLC (ADR)
General Motors Corp. (Class E)
General Public Utilities Corp.
Jefferson Smurfit Group PLC
PPG Industries, Inc.
PT Hanjaya Mandala Sampoerna
Rauma OY
Repsol S.A.
Tomkins PLC
United Technologies Corporation
*Weatherford Enterra Inc.
World Communications, Inc.
[FN]
*Added and deleted in the same quarter.
PORTFOLIO INFORMATION
Worldwide
Investments
As of 7/31/96
Percent Breakdown of Stocks &
Fixed-Income Securities by Percent of
Country Net Assets
United States* 56.2%
Germany 10.5
Argentina 5.0
Japan 4.3
France 3.5
United Kingdom 3.3
Canada* 2.4
Mexico 2.2
Brazil 1.7
Italy 1.4
Sweden 1.2
<PAGE>
Netherlands 1.0
Switzerland 1.0
Spain 0.9
Finland 0.8
Australia 0.8
Russia 0.7
Indonesia 0.6
Hong Kong 0.4
Norway 0.3
Portugal 0.3
Philippines 0.2
Malaysia 0.2
India 0.2
South Africa 0.1
South Korea 0.1
New Zealand 0.0
Ireland 0.0
Denmark 0.0
Austria 0.0
------
Total 99.3%
======
[FN]
*Includes investments in short-term securities.
Ten Largest Holdings Percent of
(Equity Investments) Net Assets
Republic New York Corp. 0.6%
Key Corp. 0.5
International Nederlanden Groep N.V. 0.5
Bristol-Myers Squibb Co. 0.5
Noble Drilling Corp. 0.5
Chase Manhattan Corporation 0.4
Ace, Ltd. 0.4
Entergy Corp. 0.4
Comerica Inc. 0.4
First Commerce Corp. 0.4
<PAGE>
Ten Largest Industries Percent of
(Equity Investments) Net Assets
Banking 6.8%
Insurance 3.7
Utilities--Electric & Gas 1.8
Telecommunications 1.4
Energy & Petroleum 1.3
Chemicals 1.0
Savings Banks 0.9
Oil Services 0.9
Pharmaceuticals/Biotechnology 0.9
Beverages 0.8
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