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Previous: ST JOSEPHS PHYSICIAN ASSOCIATES INC, NT 10-K, 1996-03-26 |
Next: SEI INTERNATIONAL TRUST, DEFS14A, 1996-03-26 |
MERRILL LYNCH
GLOBAL
ALLOCATION
FUND, INC.
FUND LOGO
Quarterly Report
January 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.
Merrill Lynch
Global Allocation
Fund, Inc.
Box 9011
Princeton, NJ
MERRILL LYNCH GLOBAL ALLOCATION FUND, INC.
<TABLE>
Summary of
Fund's Overall
Asset Mix
As of 1/31/96
<CAPTION>
Percent of Fund's Portfolio Reference Portfolio
1/31/96 10/31/95 Percentages
<S> <C> <C> <C>
North & South American Equities 17.5% *18.7% *36.0%
European Equities 9.0 9.0 9.6
Pacific Basin Equities 5.0 5.5 14.4
Total Equities 31.5 33.2 60.0
US Dollar Denominated Fixed-Income Securities 32.6 33.1 24.0
US Issuers 18.5 19.7 --
Non-US Issuers 14.1 13.4 --
Non-US Dollar Denominated Fixed-Income Securities 18.3 22.0 16.0
Total Fixed-Income Securities 50.9++ 55.1++ 40.0
Cash & Cash Equivalents 17.6 11.7 --
<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
During the quarter ended January 31,
1996, slowing economies supported
strong bond markets in the United States
and Europe. In turn, the bond market
rallies led to higher stock prices, espe-
cially in the United States, continuing a
trend that prevailed throughout 1995.
Merrill Lynch Global Allocation Fund,
Inc.'s underweighting in US stocks detrac-
ted from its performance throughout
1995 and into early 1996. We believe
that a continued underweighting in US
stocks is appropriate, given the histori-
cally high valuation levels of the US
stock market. We are also concerned
about the outlook for corporate profits,
given the recent indications of a slow-
ing US economy.
The Fund's fixed-income investments
continued to make a strongly positive
contribution to performance. Returns
from Latin American debt denominated
in US dollars and European government
bonds were especially rewarding. Inves-
tor perceptions of Latin America have
improved dramatically since the first
half of 1995. Evidence of this improved
investor outlook is Mexico's renewed
ability to borrow in the global financial
markets at attractive rates, as seen in
the United Mexican States' issue of
US $1.0 billion at 9.75% in January of
1996. The economic news in Argentina
has been even better than in Mexico.
Deposits in the Argentine banking
system had fallen precipitously following
Mexico's devaluation of the peso in
December 1994. Recently, deposits have
recovered back to the levels experienced
prior to the Mexican currency crisis.
In Europe, fixed-income markets rallied
strongly in the January quarter, con-
tinuing their strong performances of
1995. Growth in Germany and France,
Europe's core economies, has slowed
dramatically. In response, European
central banks steadily lowered short-
term interest rates throughout 1995
and into early 1996.
Portfolio Matters
The most significant shift in the Fund's
asset allocation during the January quar-
ter was the increase in cash reserves
from 11.7% of net assets to over 17.6%.
This was the result of both the liquida-
tion of securities and a decision to allow
the cash position to rise as shareholder
net subscriptions came into the Fund.
During the January quarter, the Fund
reduced positions in both fixed-income
securities and equities. The Fund's
overall fixed-income exposure decreased
to 50.9% from 55.1% at the previous
quarter-end. The largest reduction was
in the European fixed-income sector,
where the Fund took profits and
decreased the extent of its overweight-
ing relative to the Reference Portfolio
(see page 1 of this report to share-
holders for its components). Fixed-
income prices rose and yields fell
throughout most of the quarter in
France, the United Kingdom and Ger-
many, which were the three countries
that accounted for most of the reduc-
tion in the Fund's European fixed-
income exposure. Near quarter-end,
these markets began a price decline
which extended into February and
moved yields to more attractive levels.
In our opinion, softness in European
economies has left room for further
central bank interest rate reductions,
which could support European fixed-
income markets. The Fund continued
to reduce its exposure to US equities as
the market moved to record high prices.
With valuation levels expensive and
profit growth expectations deterio-
rating, the risk level in the US stock
market has increased, in our opinion.
Investors generally appear to expect
that stock and bond investments will
be as rewarding in the new year as they
were in 1995. In our view, such expecta-
tions may prove to be overly optimistic,
given the exceptionally high equity and
fixed-income investment returns of 1995.
Looking ahead, we anticipate that invest-
ment results are likely to be less robust
in 1996, and therefore believe it is
appropriate to have increased the
Fund's cash reserves.
The Fund maintained its substantial
currency overweighting in US and Cana-
dian dollars, compared to the Reference
Portfolio's 60% exposure. At January
quarter-end, the Fund held 88% in the
US and Canadian currencies, including
dollar-denominated assets and non-
dollar denominated assets that were
hedged back into US dollars. All of the
major foreign currencies moved lower
relative to the US dollar during the
quarter. With the dollar still inexpen-
sive compared to its purchasing power,
and given our expectation of lower
interest rates in Europe, we believe a
cautious approach to foreign currency
risk is still warranted.
Fund's Risk-Adjusted Performance
Highlighted
We are pleased to report to shareholders
that Merrill Lynch Global Allocation
Fund, Inc.'s Class A and Class B Shares
were cited as among the "Best Funds
for the Long Haul" and rated #2 and
#23, respectively, among 669 interna-
tional/global equity funds, based on
their overall performance indexes
(OPIs) of 78.4 and 64.6, respectively, as
computed by Kanon Bloch Carre, and
reported in the January 29, 1996 issue
of US News & World Report. The OPI
measures the risk-adjusted relative per-
formance of funds for the past one-,
three-, five- and ten-year periods ended
December 31, 1995, and the ratings
cited are based on unrounded overall
OPIs. In order to qualify for the US News
& World Report rating, a fund had to be
at least three years old on December 31,
1995, with assets of $25 million or
more on November 30; sector funds
were excluded. The OPI also takes
into account:
* A fund's performance during down
markets (using the 1990 bear market
and 1994 downturn).
* Downside volatility (for the six-year
period ended December 31, 1995).
* Overall volatility (measured by calcu-
lating the monthly average of a fund's
total return for the three years ended
December 31, 1995 and calculating how
much the actual month-by-month return
varied from that average).
* Expense ratio.
The results shown in the article for
Merrill Lynch Global Allocation Fund, Inc.
do not reflect the relevant sales charges,
and would be lower if sales charges
were included. Ratings were not pro-
vided for the Fund's Class C and Class D
Shares. For complete performance
information for all classes of shares,
including average annual total returns,
see pages 4--6 of this report to share-
holders. Past performance is not indica-
tive of future results.
In Conclusion
On March 1, 1996, Merrill Lynch Global
Allocation Fund, Inc. acquired substan-
tially all of the assets and liabilities of
Merrill Lynch Balanced Fund for Invest-
ment and Retirement, Inc., in exchange
for which Merrill Lynch Balanced Fund
shareholders will receive newly issued
shares of Merrill Lynch Global Alloca-
tion Fund, Inc. This process was a smooth
one, and we welcome the Fund's
newest shareholders.
Sincerely,
(Arthur Zeikel)
Arthur Zeikel
President
(Bryan N. Ison)
Bryan N. Ison
Vice President and Portfolio Manager
March 8, 1996
When the Fund was originally organized,
as a non-fundamental policy the Fund was
restricted from investing in companies
whose assets were located primarily in
the Republic of South Africa. As a result
of recent economic, social and political
developments in South Africa, the Board
of Directors of the Fund has since
determined to lift the restriction and
permit the Fund to make investments in
South Africa.
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:
* 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.
* 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.
PERFORMANCE DATA (continued)
Average Annual
Total Return
% Return Without % Return With
Sales Charge Sales Charge**
Class A Shares*
Year Ended 12/31/95 +23.72% +17.22%
Five Years Ended 12/31/95 +16.21 +14.96
Inception (2/3/89) through 12/31/95 +14.02 +13.13
[FN]
*Maximum sales charge is 5.25%.
**Assuming maximum sales charge.
% Return % Return
Without CDSC With CDSC**
Class B Shares*
Year Ended 12/31/95 +22.39% +18.39%
Five Years Ended 12/31/95 +15.03 +15.03
Inception (2/3/89) through 12/31/95 +12.86 +12.86
[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 12/31/95 +22.38% +21.38%
Inception (10/21/94) through 12/31/95 +15.86 +15.86
[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 12/31/95 +23.29% +16.82%
Inception (10/21/94) through 12/31/95 +16.81 +11.65
[FN]
*Maximum sales charge is 5.25%.
**Assuming maximum sales charge.
<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
1995 12.23 13.88 0.341 0.872 +23.72
1/1/96--1/31/96 13.88 14.23 -- -- + 2.52
------ ------
Total $1.345 Total $5.548
Cumulative total return as of 1/31/96: +153.76%**
<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
1995 12.12 13.73 0.341 0.735 +22.39
1/1/96--1/31/96 13.73 14.06 -- -- + 2.40
------ ------
Total $1.345 Total $4.787
Cumulative total return as of 1/31/96: +136.20%**
<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**
<S> <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--1/31/96 13.63 13.96 -- -- + 2.42
------ ------
Total $0.481 Total $1.139
Cumulative total return as of 1/31/96: +22.12%**
<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**
<S> <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--1/31/96 13.87 14.22 -- -- + 2.52
------ ------
Total $0.481 Total $1.228
Cumulative total return as of 1/31/96: +23.43%**
<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
<CAPTION>
Net Asset Value Total Return
1/31/96 10/31/95 1/31/95 12-Month 3-Month
<S> <C> <C> <C> <C> <C>
ML Global Allocation Fund, Inc. Class A Shares* $14.23 $14.21 $12.35 +25.60%(1) + 7.82%(2)
ML Global Allocation Fund, Inc. Class B Shares* 14.06 14.01 12.22 +24.30(3) + 7.56(4)
ML Global Allocation Fund, Inc. Class C Shares* 13.96 13.94 12.18 +24.21(5) + 7.52(6)
ML Global Allocation Fund, Inc. Class D Shares* 14.22 14.19 12.35 +25.27(7) + 7.78(8)
US Stocks: Standard & Poor's 500 Index** +38.63 +10.01
Non-US Stocks: Financial Times/Standard & Poor's--
Actuaries World Index*** +16.45 + 8.04
US Bonds: ML Government Index GA05**** +15.97 + 3.61
Non-US Bonds: Salomon Brothers World Government Bond Index***** +14.41 - 0.50
<FN>
*Investment results shown do not reflect sales charges;
results shown would be lower if a sales charge was
included.
**An unmanaged broad-based index comprised of common
stocks. Total investment returns for unmanaged indexes
are based on estimates.
***An unmanaged capitalization-weighted index comprised
of over 1,800 companies in 24 countries, excluding the
United States.
****An unmanaged index designed to track the total return
of the current coupon five-year US Treasury bond.
*****An unmanaged market capitalization-weighted index
tracking 10 government bond indexes, excluding the
United States.
(1)Percent change includes reinvestment of $0.872 per share
ordinary income dividends and $0.341 per share capital
gains distributions.
(2)Percent change includes reinvestment of $0.705 per share
ordinary income dividends and $0.341 per share capital
gains distributions.
(3)Percent change includes reinvestment of $0.735 per share
ordinary income dividends and $0.341 per share capital
gains distributions.
(4)Percent change includes reinvestment of $0.628 per share
ordinary income dividends and $0.341 per share capital
gains distributions.
(5)Percent change includes reinvestment of $0.771 per share
ordinary income dividends and $0.341 per share capital
gains distributions.
(6)Percent change includes reinvestment of $0.646 per share
ordinary income dividends and $0.341 per share capital
gains distributions.
(7)Percent change includes reinvestment of $0.845 per share
ordinary income dividends and $0.341 per share capital
gains distributions.
(8)Percent change includes reinvestment of $0.689 per share
ordinary income dividends and $0.341 per share capital
gains distributions.
</TABLE>
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
ITL Italian Lira
JPY Japanese Yen
MXN Mexican Peso
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>
Australia Banking 2,645,800 Westpac Banking Corp. $ 5,614,396 $ 12,658,997 0.1%
Food 7,916,000 Goodman Fielder Wattie Ltd. 8,324,587 7,951,899 0.1
Insurance 1,614,135 GIO Australia Holdings, Ltd. 2,786,182 4,083,665 0.0
Multi-Industry 1,500,000 Pacific Dunlop, Ltd. 4,092,789 3,750,264 0.0
Tobacco 2,099,800 Rothmans Holdings, Ltd. 7,893,919 8,984,152 0.1
1,242,300 WD & HO Wills Holdings, Ltd. 1,389,502 2,107,622 0.0
-------------- -------------- ------
9,283,421 11,091,774 0.1
Total Common Stocks in Australia 30,101,375 39,536,599 0.3
Canada Beverage 1,500,000 Cott Corp. (USD) 12,437,008 9,937,500 0.1
Metals--Non-Ferrous 100,000 Inco Ltd. (USD) 2,132,000 3,500,000 0.0
Natural Resources 300,000 Canadian Pacific, Ltd. (USD) 3,503,161 5,850,000 0.1
440,000 Horsham Corp. (USD) 3,550,742 5,995,000 0.1
-------------- -------------- ------
7,053,903 11,845,000 0.2
Oil & Related 353,000 International Petroleum Corp. (USD) 1,000,196 661,875 0.0
Telecommunications 100,000 BCE Telecommunications, Inc. (USD) 3,375,484 3,612,500 0.0
Transport Road/Rail 148,800 Canadian National Railway Company (USD) 1,785,600 2,622,600 0.0
Total Common Stocks in Canada 27,784,191 32,179,475 0.3
</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 $ 2,739,542 0.0%
Telecommunications 167,700 Tele Danmark A/S 8,888,675 9,256,830 0.1
Total Common Stocks in Denmark 10,759,405 11,996,372 0.1
Finland Banking 2,881,915 Unitas Bank Ltd. 8,797,703 7,531,853 0.1
Machinery & 146,200 Rauma OY 2,638,513 2,761,338 0.0
Equipment
Metals 432,500 Outokumpu OY 5,980,994 6,554,038 0.1
Paper & Forest 1,500,000 Enso-Gutzeit OY 12,019,454 9,388,795 0.1
Products 443,000 Kymmene OY 12,741,476 10,750,774 0.1
539,650 Metsa-Serla OY 22,185,795 14,814,805 0.2
730,700 Repola OY 'S' 10,805,943 12,677,684 0.1
-------------- -------------- ------
57,752,668 47,632,058 0.5
Telecommunications 250,000 Nokia Corp. (ADR)++ (USD) 8,152,500 9,343,750 0.1
Equipment 186,360 Nokia OY 8,998,615 7,264,819 0.1
-------------- -------------- ------
17,151,115 16,608,569 0.2
Total Common Stocks in Finland 92,320,993 81,087,856 0.9
France Automobiles 103,270 Peugeot S.A. 13,810,642 15,080,339 0.2
Banking 215,600 Compagnie de Suez S.A. 8,482,839 8,309,838 0.1
155,000 Compagnie Financiere de Paribas 8,115,596 8,155,659 0.1
66,386 Societe Generale 7,515,928 7,796,970 0.1
-------------- -------------- ------
24,114,363 24,262,467 0.3
Industrial 113,700 Alcatel Alsthom Cie Generale
d'Electricite S.A. 10,964,472 10,380,472 0.1
70,300 Compagnie de Saint-Gobain S.A. 8,189,990 8,793,348 0.1
109,700 Elf Aquitaine (Elf) S.A. 7,494,754 8,205,060 0.1
-------------- -------------- ------
26,649,216 27,378,880 0.3
Insurance 243,475 Assurances Generales de France S.A.
(AGF) 6,658,680 6,905,909 0.1
Metals/Steel 565,700 Usinor-Sacilor 10,184,315 8,294,039 0.1
Multi-Industry 33,455 EuraFrance S.A. 9,052,946 11,984,268 0.1
Total Common Stocks in France 90,470,162 93,905,902 1.1
Germany Banking 55,680 Bayerische Vereinsbank AG 1,339,965 1,680,016 0.0
113,150 Deutsche Bank AG 5,493,743 5,649,516 0.1
79,063 Deutsche Bank AG (Warrants) (a) 1,300,792 1,461,080 0.0
-------------- -------------- ------
8,134,500 8,790,612 0.1
Capital Goods 369,636 Kloeckner Werke AG 17,229,762 14,282,689 0.2
Chemicals 32,000 Bayer AG 7,646,190 9,569,249 0.1
20,395 Hoechst AG 5,319,071 6,023,522 0.1
-------------- -------------- ------
12,965,261 15,592,771 0.2
Machinery & Equipment 36,579 Mannesmann AG 9,993,612 12,696,091 0.1
Utilities--Electric 285,250 Veba Vereinigte Elektriz 10,750,809 12,695,456 0.1
Total Common Stocks in Germany 59,073,944 64,057,619 0.7
Hong Kong Multi-Industry 1,747,500 Hutchison Whampoa Limited 9,277,911 11,357,823 0.1
Total Common Stocks in Hong Kong 9,277,911 11,357,823 0.1
Indonesia Paper & Pulp 2,597,600 Asia Pacific Resources International
Holdings Ltd. (USD) 17,989,368 11,689,200 0.1
1,715,000 Asia Pulp & Paper Company Ltd.
(ADR)++ (USD) 19,722,500 16,721,250 0.2
-------------- -------------- ------
37,711,868 28,410,450 0.3
Total Common Stocks in Indonesia 37,711,868 28,410,450 0.3
Ireland Packaging & 1,179,300 Jefferson Smurfit Group PLC 3,583,738 2,779,740 0.0
Containers
Total Common Stocks in Ireland 3,583,738 2,779,740 0.0
Italy Automobiles 4,400,000 Fiat S.p.A. 13,202,205 14,782,068 0.2
Banking 1,733,400 Istituto Mobiliare Italiano S.p.A.
(Ordinary) 9,714,574 11,853,740 0.1
Building & 1,922,200 Filippo Fochi S.p.A. 6,101,165 458,681 0.0
Construction
Multi-Industry 9,117,595 Compagnie Industriali Riunite S.p.A.
(CIR) 7,816,550 5,192,976 0.0
17,600,000 MontEdison S.p.A. 10,800,250 11,140,430 0.1
-------------- -------------- ------
18,616,800 16,333,406 0.1
Telecommunications 3,000,000 Societa Finanziaria Telefonica
S.p.A. (STET) 4,365,656 9,400,491 0.1
8,666,863 Societa Finanziaria Telefonica
S.p.A. (STET) RISP 16,268,796 19,511,014 0.2
3,958,000 Societa Italiana Esercizio Telecom
S.p.A. (S.I.P.) 1,927,558 6,710,707 0.1
3,958,000 Telecom Italia Mobile 1,395,818 7,108,379 0.1
-------------- -------------- ------
23,957,828 42,730,591 0.5
Total Common Stocks in Italy 71,592,572 86,158,486 0.9
Japan Automobiles &
Equipment 2,042,000 Suzuki Motor Corp. 18,995,725 24,834,877 0.2
Beverage 1,017,000 Chukyo Coca-Cola Bottling Co., Ltd. 12,207,036 10,941,622 0.1
565,000 Hokkaido Coca-Cola Bottling Co., Ltd. 7,764,597 6,765,834 0.1
690,000 Kinki Coca-Cola Bottling Co., Ltd. 10,868,372 10,457,480 0.1
1,041,000 Mikuni Coca-Cola Bottling Co., Ltd. 14,998,840 14,121,527 0.2
904,000 Sanyo Coca-Cola Bottling Co., Ltd. 13,028,710 13,277,949 0.1
-------------- -------------- ------
58,867,555 55,564,412 0.6
Capital Goods 3,808,000 Mitsubishi Heavy Industries, Ltd. 23,136,107 30,245,973 0.3
Electrical 453,000 Chudenko Corp. 14,271,558 15,934,886 0.2
Construction 650,000 Kinden Corporation 13,009,801 11,249,883 0.1
31,000 Taihei Dengyo Kaisha Ltd. 638,911 469,829 0.0
-------------- -------------- ------
27,920,270 27,654,598 0.3
Electrical 578,000 Murata Manufacturing Co., Ltd. 18,778,882 20,061,559 0.2
Equipment
Insurance 2,345,000 Dai-Tokyo Fire & Marine Insurance
Co., Ltd. 15,209,869 16,782,908 0.2
665,000 Fuji Fire & Marine Insurance Co., Ltd. 3,727,641 3,421,742 0.0
2,384,000 Koa Fire & Marine Insurance Co., Ltd. 13,551,678 14,229,507 0.2
620,000 Mitsui Marine & Fire Insurance Co.,
Ltd. 5,004,638 4,570,680 0.1
1,669,000 Nichido Fire & Marine Insurance Co.,
Ltd. 10,892,520 13,131,528 0.1
1,351,000 Nippon Fire & Marine Insurance Co.,
Ltd. 6,970,280 8,531,434 0.1
2,408,000 Sumitomo Marine & Fire Insurance Co.,
Ltd. 18,939,904 20,297,577 0.2
2,075,000 Tokio Marine & Fire Insurance Co.,
Ltd. 22,188,264 26,012,723 0.3
1,130,000 Yasuda Fire & Marine Insurance Co.,
Ltd. 8,101,705 8,182,431 0.1
-------------- -------------- ------
104,586,499 115,160,530 1.3
</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 Office Equipment 1,407,000 Canon, Inc. $ 19,624,604 $ 26,589,391 0.3%
(concluded)
Packaging 901,000 Toyo Seikan Kaisha, Ltd. 23,045,380 28,575,077 0.3
& Containers
Pharmaceuticals 1,061,000 Sankyo Pharmaceuticals Co., Ltd. 23,391,365 25,113,013 0.3
384,000 Taisho Pharmaceuticals Co. 7,984,458 7,508,280 0.1
-------------- -------------- ------
31,375,823 32,621,293 0.4
Restaurants 324,000 Mos Food Services, Inc. 8,807,909 7,699,130 0.1
270,000 Ohsho Food Service Corp. 6,049,787 5,203,480 0.0
-------------- -------------- ------
14,857,696 12,902,610 0.1
Retail Stores 448,000 Ito Yokado Co., Ltd. 20,618,869 25,524,558 0.3
100,000 Sangetsu Co., Ltd. 3,160,832 2,385,630 0.0
-------------- -------------- ------
23,779,701 27,910,188 0.3
Steel 250,000 Maruichi Steel Tube Ltd. 4,805,476 4,724,483 0.0
Total Common Stocks in Japan 369,773,718 406,844,991 4.3
Mexico Foods 700,000 Grupo Industrial Maseca (ADR)++ (USD) 7,969,925 7,612,500 0.1
Total Common Stocks in Mexico 7,969,925 7,612,500 0.1
Nether- Airlines 156,260 KLM Royal Dutch Airlines N.V. 4,486,455 4,803,093 0.1
lands
Banking 559,850 ABN AMRO Holdings N.V. 18,715,003 24,602,882 0.3
Chemicals 303,270 European Vinyls Corp. International
N.V. 12,055,364 8,557,177 0.1
Electronics 422,230 Philips Electronics N.V. 14,534,149 16,856,754 0.2
Insurance 325,000 Aegon N.V. 7,013,035 13,345,741 0.1
273,600 Amev N.V. 11,191,551 17,624,590 0.2
706,615 Internationale Nederlanden Groep N.V. 27,430,540 46,112,175 0.5
-------------- -------------- ------
45,635,126 77,082,506 0.8
Miscellaneous-- 10,000 Nijverdal Ten Cate N.V. 501,699 448,460 0.0
Manufacturing
Telecommunications 498,000 Koninklijke PTT Nederland N.V. 17,932,150 19,134,298 0.2
Total Common Stocks in the Netherlands 113,859,946 151,485,170 1.7
Norway Banking 4,785,400 Christiania Bank Og Kreditkasse 10,697,335 11,460,628 0.1
Energy & 193,100 Norsk Hydro A.S. 8,087,966 7,944,794 0.1
Petroleum
Total Common Stocks in Norway 18,785,301 19,405,422 0.2
Spain Banking 326,000 Argentaria S.A. 12,974,203 13,672,142 0.1
587,481 Banco de Santander S.A. (Ordinary) 21,323,786 28,245,180 0.3
61,775 Banco Popular Espanol S.A. 6,511,311 11,057,636 0.1
83,000 Bank Intercontinental S.A. 4,607,612 8,735,449 0.1
-------------- -------------- ------
45,416,912 61,710,407 0.6
Energy & Petroleum 618,500 Repsol S.A. 18,566,656 21,501,037 0.2
212,500 Repsol S.A. (ADR)++ (USD) 6,126,375 7,410,938 0.1
-------------- -------------- ------
24,693,031 28,911,975 0.3
Insurance 30,000 Mapfre S.A. 1,130,028 1,664,806 0.0
30,000 Mapfre S.A. (Rights) (e) -- 15,309 0.0
-------------- -------------- ------
1,130,028 1,680,115 0.0
Manufacturing 189,724 Grupo Fosforera Espanola S.A. 1,650,493 527,936 0.0
Multi-Industry 45,750 Corporacion Financiera Alba S.A. 1,611,658 2,903,604 0.0
Real Estate 236,708 Immobiliaria Metropolitana Vasco
Central S.A. 5,888,465 7,643,657 0.1
Toll Roads 154,000 Autopistas Concesionaria Espanola S.A. 1,363,246 1,608,515 0.0
Utilities--Electric 100,000 Empresa Nacional de Electricidad S.A. 3,759,956 5,501,515 0.1
591,800 Iberdrola I S.A. 3,310,030 5,544,291 0.1
-------------- -------------- ------
7,069,986 11,045,806 0.2
Total Common Stocks in Spain 88,823,819 116,032,015 1.2
Sweden Appliances 232,464 Electrolux AB 'B' Free 11,264,721 9,809,738 0.1
Automotive & 797,500 Volvo AB 16,028,098 14,931,661 0.2
Equipment
Banking 965,750 Stadshypotek AB 14,244,129 18,290,456 0.2
Electrical 120,000 ASEA AB 'B' Free 6,532,086 11,389,397 0.1
Equipment
Industrial 200,000 SKF AB 'A' 3,713,376 3,730,215 0.0
458,500 SKF AB 'B' Free 8,471,575 8,452,465 0.1
-------------- -------------- ------
12,184,951 12,182,680 0.1
Metals--Steel 550,800 Avesta Sheffield AB 5,089,653 4,521,712 0.1
Multi-Industry 329,530 Svedala Industri AB Free 7,118,695 8,542,825 0.1
Paper & Forest 304,950 Mo och Domsjo AB (Class B) 16,502,175 13,176,011 0.1
Products 1,110,275 Stora Kopparbergs Bergslags AB 13,078,920 11,912,993 0.1
-------------- -------------- ------
29,581,095 25,089,004 0.2
Total Common Stocks in Sweden 102,043,428 104,757,473 1.1
Switzer- Chemicals 18,880 Ciba-Geigy AG (Registered) 9,801,834 15,741,134 0.2
land
Electrical 9,335 BBC Brown Boveri & Cie (Bearer) 6,132,164 10,760,473 0.1
Equipment
Total Common Stocks in Switzerland 15,933,998 26,501,607 0.3
United Automotive Parts 3,585,200 Turner & Newall PLC 8,412,215 8,824,253 0.1
Kingdom
Building & 507,900 CRH PLC 1,750,299 3,877,033 0.0
Construction
Conglomerates 50,000 Hanson PLC Sponsored (ADR)++ (USD) 947,577 775,000 0.0
Electrical Equipment 1,413,000 General Electric Co. PLC (Ordinary) 7,075,747 7,745,077 0.1
Environmental 940,000 Waste Management International PLC
(ADR)++ (USD) 9,206,375 9,752,500 0.1
Food & Beverage 1,360,600 Grand Metropolitan PLC 8,858,753 9,142,552 0.1
35,000 Grand Metropolitan PLC (ADR)++ (USD) 1,031,100 936,250 0.0
230,300 Tate & Lyle PLC 1,555,052 1,641,394 0.0
-------------- -------------- ------
11,444,905 11,720,196 0.1
Industrial--Other 1,148,000 Tomkins PLC 3,813,189 4,775,737 0.1
Insurance 339,800 Prudential Corp., PLC 1,639,768 2,211,452 0.0
Pharmaceuticals 500,000 SmithKline Beecham Corp. PLC (ADR)++
(USD) 13,633,894 28,125,000 0.3
50,000 Zeneca Group PLC 469,754 973,950 0.0
-------------- -------------- ------
14,103,648 29,098,950 0.3
Steel 1,500,000 British Steel PLC 4,081,599 3,895,800 0.0
Telecommunications 84,600 Vodafone Group PLC 307,947 304,035 0.0
Total Common Stocks in the
United Kingdom 62,783,269 82,980,033 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>
United Apparel 860,000 Fruit of the Loom, Inc. $ 23,555,786 $ 21,607,500 0.2%
States 250,000 Liz Claiborne, Inc. 5,223,707 6,968,750 0.1
-------------- -------------- ------
28,779,493 28,576,250 0.3
Automobiles 65,308 Ford Motor Company 1,000,000 1,934,750 0.0
350,000 General Motors Corp. 13,282,191 18,418,750 0.2
-------------- -------------- ------
14,282,191 20,353,500 0.2
Automotive 588,800 Collins & Aikman Group Inc. 4,337,565 4,048,000 0.0
150,000 Snap-On, Inc. 4,711,013 6,581,250 0.1
-------------- -------------- ------
9,048,578 10,629,250 0.1
Banking 1 BancOne Corp. 6 9 0.0
300,000 Bank of New York 7,966,376 15,375,000 0.2
319,000 Bankers Trust Co. 7,620,125 8,134,500 0.1
129,500 Banknorth Group, Inc. 1,865,422 4,370,625 0.1
200,000 Barnett Banks Inc. 8,134,897 11,700,000 0.1
400,000 California Federal Bank 3,469,896 6,250,000 0.1
396,700 Charter One Financial, Inc. 7,456,798 12,496,050 0.1
700,000 Chemical Banking Corp. (c) 25,795,309 46,900,000 0.5
1,017,100 City National Corp. 7,293,719 13,476,575 0.1
1,000,000 Comerica Inc. 26,977,513 39,625,000 0.4
400,000 CoreStates Financial Corp. 10,816,733 16,000,000 0.2
450,000 First Chicago NBD Corporation 13,768,555 17,493,750 0.2
1,250,000 First Commerce Corp. 31,823,468 40,625,000 0.4
707,800 First of America Bank 25,666,256 30,612,350 0.3
1,406,102 KeyCorp 41,572,512 51,674,249 0.6
707,900 Mellon Bank Corp. 25,343,868 37,518,700 0.4
500,000 Onbancorp, Inc. 13,615,887 15,812,500 0.2
368,000 Oriental Bank and Trust 5,050,248 6,302,000 0.1
1,100,000 Republic New York Corp. 49,526,909 64,075,000 0.7
56,800 Roosevelt Financial Group, Inc. 882,388 979,800 0.0
450,000 Southern National Corp. 8,670,728 13,106,250 0.1
-------------- -------------- ------
323,317,613 452,527,358 4.9
Communications 185,700 Comsat Corp. 4,308,767 3,481,875 0.0
104,500 GTE Corp. 3,514,166 4,807,000 0.1
-------------- -------------- ------
7,822,933 8,288,875 0.1
Computers 150,000 Boole & Babbage, Inc. 1,329,492 3,337,500 0.0
200,000 Borland International Corp. 1,935,981 3,675,000 0.0
1,100,000 Unisys Corp. 12,291,367 8,250,000 0.1
-------------- -------------- ------
15,556,840 15,262,500 0.1
Construction 153,800 Centex Corp. 3,880,118 4,960,050 0.1
& Housing 500,000 K. Hovnanian Enterprises, Inc.
(Class A) 4,920,209 3,593,750 0.0
-------------- -------------- ------
8,800,327 8,553,800 0.1
Construction 700,000 TJ International, Inc. 12,547,379 11,375,000 0.1
Products
Energy & Petroleum 163,900 Ashland Coal, Inc. 4,132,919 3,462,388 0.0
49,500 Cabot Oil & Gas Corp. (Class A) 529,030 822,938 0.0
80,000 Gerrity Oil & Gas Corp. 856,442 240,000 0.0
130,000 Helmerich & Payne, Inc. (c) 2,773,423 4,095,000 0.0
46,400 Mitchell Energy Development Corp.
(Class A) 675,717 835,200 0.0
174,350 Mitchell Energy Development Corp.
(Class B) 2,755,451 3,138,300 0.0
50,000 Murphy Oil Corp. 1,899,720 2,106,250 0.0
106,100 Nuevo Energy Co. 2,048,791 2,546,400 0.0
1,500,000 Occidental Petroleum Corp. 28,058,743 32,250,000 0.3
61,200 Pennzoil Co. 3,775,844 2,486,250 0.0
235,828 Plains Resources, Inc. 1,381,815 1,827,667 0.0
1,094,247 Santa Fe Energy Resources, Inc. 10,119,883 10,532,127 0.1
211,514 Transamerica Refining Corp. (Warrants)
(a) 531,220 423,028 0.0
1,331,600 TransTexas Gas Corp. 16,213,690 15,646,300 0.2
600,000 USX-Marathon Group 10,542,976 11,250,000 0.1
138,800 Unocal Corp. 3,272,336 4,146,650 0.0
-------------- -------------- ------
89,568,000 95,808,498 0.7
Financial Services 697,800 Student Loan Marketing Association 30,038,995 51,375,525 0.5
Food & Tobacco 200,000 Philip Morris Companies, Inc. 9,967,872 18,600,000 0.2
212,462 RJR Nabisco, Inc. 5,842,716 6,905,015 0.1
-------------- -------------- ------
15,810,588 25,505,015 0.3
Healthcare Services 360,000 Advocat, Inc. 3,422,500 4,410,000 0.1
600,000 Baxter International, Inc. 12,857,880 27,300,000 0.3
400,000 Beverly Enterprises, Inc. 4,291,401 4,800,000 0.1
546,500 US Surgical Corp. 11,871,438 12,911,063 0.1
-------------- -------------- ------
32,443,219 49,421,063 0.6
Industrial 200,000 American Standard, Inc. 6,011,000 5,825,000 0.1
915,000 BW/IP Holdings, Inc. 15,816,387 12,810,000 0.1
179,802 Cooper Industries, Inc. 6,534,892 6,765,050 0.1
-------------- -------------- ------
28,362,279 25,400,050 0.3
Insurance 913,400 Ace, Ltd. 20,951,269 40,303,775 0.4
200,000 Aetna Life & Casualty Co. 10,524,804 14,900,000 0.2
150,000 Alexander & Alexander Services, Inc. 2,461,336 2,906,250 0.0
510,000 American General Corp. 13,187,448 19,252,500 0.2
571,000 Horace Mann Educators, Inc. 13,654,588 18,914,375 0.2
640,200 Lincoln National Corp. 23,466,317 33,850,575 0.4
680,000 PartnerRe Holdings, Ltd. 13,404,414 18,785,000 0.2
-------------- -------------- ------
97,650,176 148,912,475 1.6
Metals 140,000 Aluminum Co. of America 4,698,667 7,770,000 0.1
200,000 Nucor Corporation 8,824,828 11,625,000 0.1
132,800 Reynolds Metals Co. 5,801,771 7,104,800 0.1
-------------- -------------- ------
19,325,266 26,499,800 0.3
Multi-Industry 180,000 Loews Corp. 7,934,294 14,872,500 0.1
Natural Resources 210,519 Freeport-McMoRan Copper & Gold Inc.
(Class B) 3,665,657 6,236,625 0.1
Oil Services 150,000 Arethusa (Offshore) Ltd. 1,610,522 4,875,000 0.1
149,800 Atwood Oceanics, Inc. 1,238,663 3,969,700 0.0
3,614,375 Noble Drilling Corp. 25,124,880 35,240,156 0.4
-------------- -------------- ------
27,974,065 44,084,856 0.5
</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 Pharmaceuticals/ 300,000 Alteon, Inc. $ 2,700,000 $ 4,087,500 0.0%
States Biotechnology 600,000 Bristol-Myers Squibb Co. 33,254,124 53,100,000 0.6
(concluded) 450,000 Merck & Co., Inc. 15,115,266 31,612,500 0.3
-------------- -------------- ------
51,069,390 88,800,000 0.9
Pollution Control 646,900 WMX Technologies, Inc. 16,148,443 19,326,138 0.2
Publishing 175,000 Gannett Co., Inc. 8,375,486 11,112,500 0.1
301,500 New York Times Co. (Class A) 7,158,778 8,743,500 0.1
-------------- -------------- ------
15,534,264 19,856,000 0.2
Real Estate 300,000 Carr Realty Corp. 5,880,781 7,275,000 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 5,373,063 0.1
100,000 Mid-Atlantic Realty Trust Co. 917,500 975,000 0.0
830,000 Prime Residential, Inc. 13,262,250 16,288,750 0.2
400,000 Taubman Centers, Inc. 3,807,537 3,800,000 0.0
-------------- -------------- ------
34,249,548 37,461,813 0.4
Restaurants 300,000 Buffets, Inc. 3,157,818 4,050,000 0.0
Retail Stores 608,500 Baker (J.), Inc. 10,187,765 2,700,219 0.0
443,200 Burlington Coat Factory Warehouse 4,846,377 4,321,200 0.0
516,900 Buttrey Food & Drug Stores Co. 4,084,486 3,553,688 0.0
105,000 Dayton-Hudson Corp. 6,995,242 7,848,750 0.1
1,110,000 Filene's Basement Corp. 10,092,619 2,775,000 0.0
1,373,500 Payless Cashways, Inc. 17,027,625 6,009,063 0.1
700,000 The Vons Companies, Inc. 11,464,388 20,737,500 0.2
-------------- -------------- ------
64,698,502 47,945,420 0.4
Savings Banks 257,500 Bankers Corp. 1,552,137 4,377,500 0.1
170,000 Brooklyn Bancorp, Inc. 4,551,252 6,970,000 0.1
1,550,768 Dime Bancorp, Inc. 10,588,158 18,027,678 0.2
206,220 Downey Savings & Loan Association 2,896,670 4,511,063 0.1
1,500,000 Glendale Federal Savings Bank 13,099,375 25,125,000 0.3
770,194 Glendale Federal Savings Bank
(Warrants) (a) -- 5,487,632 0.1
-------------- -------------- ------
32,687,592 64,498,873 0.9
Specialty 400,000 Sotheby's Holdings, Inc. (Class A) 4,879,559 5,950,000 0.1
Retailing 1,030,000 Toys 'R' Us, Inc. 25,002,909 22,788,750 0.2
-------------- -------------- ------
29,882,468 28,738,750 0.3
Telecommunications 27,750 American Telecasting Inc. (Warrants)
(a) -- 839,438 0.0
3,000,000 Geotek Communications Inc. (Warrants)
(a) 14,200,634 9,000,000 0.1
-------------- -------------- ------
14,200,634 9,839,438 0.1
Textiles 2,825,200 Burlington Industries, Inc. 37,451,653 36,021,300 0.3
Utilities--
Electric & Gas 1,250,000 Allegheny Power System, Inc. 27,315,551 37,812,500 0.4
125,000 CMS Energy Corp. 2,290,025 3,890,625 0.0
2,101,000 Centerior Energy Corp. 28,664,979 18,646,375 0.2
100,000 Consolidated Edison Company, Inc. 2,923,495 3,375,000 0.0
1,780,000 Entergy Corp. 47,516,856 52,732,500 0.6
475,000 FPL Group, Inc. 14,363,265 22,028,125 0.2
300,000 General Public Utilities Corp. 8,663,891 10,200,000 0.1
47,571 Great Bay Power Corp. 2,549,753 356,783 0.0
1,500,000 Niagara Mohawk Power Corp. 23,789,306 13,687,500 0.2
844,600 Texas Utilities Co. 26,942,999 34,523,025 0.4
1,148,800 Unicom Corporation 27,549,620 38,628,400 0.4
-------------- -------------- ------
212,569,740 235,880,833 2.5
Utilities--Gas 115,650 Atmos Energy Corp. 1,445,257 2,457,563 0.0
Total Common Stocks in the
United States 1,286,023,202 1,638,559,068 17.1
Total Investments in Common Stocks 2,498,672,765 3,005,648,601 31.5
Equity Closed-End Funds
Austria Financial Services 320,000 Austria Fund (USD) 2,642,432 2,920,000 0.0
Total Equity Closed-End Funds in
Austria 2,642,432 2,920,000 0.0
Ireland Financial Services 150,000 Irish Investment Fund, Inc. (USD) 1,086,041 1,931,250 0.0
Total Equity Closed-End Funds in
Ireland 1,086,041 1,931,250 0.0
Italy Financial Services 150,000 Italy Fund (USD) 1,198,520 1,237,500 0.0
Total Equity Closed-End Funds in
Italy 1,198,520 1,237,500 0.0
Portugal Financial Services 39,500 Capital Portugal Fund 2,052,116 3,567,181 0.0
25,600 Jakarta Growth Fund (USD) 158,080 265,600 0.0
40,000 Portugal Fund (USD) 360,368 495,000 0.0
Total Equity Closed-End Funds in
Portugal 2,570,564 4,327,781 0.0
Spain Financial Services 300,100 Growth Fund of Spain, Inc. (USD) 2,630,827 3,338,613 0.0
Total Equity Closed-End Funds in Spain 2,630,827 3,338,613 0.0
United Financial Services 166,666 European Warrant Fund 1,363,723 1,666,660 0.0
States
Total Equity Closed-End Funds in the
United States 1,363,723 1,666,660 0.0
Total Investments in Equity Closed-
End Funds 11,492,107 15,421,804 0.0
Preferred Stocks
Germany Multi-Industry 45,000 R.W.E. AG 8,725,424 13,381,157 0.1
Total Preferred Stocks in Germany 8,725,424 13,381,157 0.1
New Finance 5,585,700 Brierly Investments, Ltd. (9%
Zealand Convertible) 3,515,477 4,394,968 0.0
Total Common Stocks in New Zealand 3,515,477 4,394,968 0.0
Norway Financial Services 175,000 A/S Eksportfinans (8.70%) (USD) 4,377,500 4,812,500 0.1
Total Preferred Stocks in Norway 4,377,500 4,812,500 0.1
Spain Banking 225,000 Santander Overseas Bank (8%, Series D)
(USD) 5,463,250 5,737,500 0.1
Total Preferred Stocks in Spain 5,463,250 5,737,500 0.1
United Retail Stores 545,000 Signet Group (Convertible) (ADR)++ (USD) 2,194,907 5,313,750 0.1
Kingdom
Total Preferred Stocks in the
United Kingdom 2,194,907 5,313,750 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 55,000 California Federal Bank (10.625%) $ 5,500,000 $ 6,050,000 0.1%
States 75,000 First Nationwide Bank (11.50%) 7,500,000 8,681,250 0.1
100,000 Fourth Financial Corp. (Convertible,
Class A) 2,500,000 3,650,000 0.0
130,300 HSBC Americas Inc. (Series A) 5,219,925 5,896,075 0.1
100,000 Onbancorp, Inc. (6.75% Convertible,
Series B) 2,668,750 2,737,500 0.0
-------------- -------------- ------
23,388,675 27,014,825 0.3
Energy & Petroleum 150,000 Grant Tensor Corp. (9.75% Convertible) 1,853,375 2,043,750 0.0
64,219 Santa Fe Energy Resources, Inc. (7%) 954,075 1,220,161 0.0
460,000 Santa Fe Energy Resources, Inc.
(Convertible, Class A) 4,082,500 4,600,000 0.1
-------------- -------------- ------
6,889,950 7,863,911 0.1
Health Care 1,080,000 US Surgical Corp. (Convertible) 24,354,000 28,080,000 0.3
Natural Resources 85,000 Alumax Inc. (Convertible, Series A) 7,240,312 11,241,250 0.1
150,000 Cyprus Amax Minerals Co. (Convertible,
Series A) 9,188,313 9,037,500 0.1
348,700 Freeport-McMoRan Copper & Gold, Inc.
(Convertible) 7,918,834 9,589,250 0.1
219,000 Freeport-McMoRan Inc. (Convertible--
Gold) 7,703,330 8,458,875 0.1
-------------- -------------- ------
32,050,789 38,326,875 0.4
Oil Service 447,200 Noble Drilling Corp. (Convertible) 10,745,382 11,906,700 0.1
Paper & Forest 200,000 Boise Cascade Corp. (Convertible,
Products Series G) 4,225,000 6,475,000 0.1
288,200 James River Corp. of Virginia
(9% Convertible, Series P) 4,971,450 7,241,025 0.1
-------------- -------------- ------
9,196,450 13,716,025 0.2
Real Estate 728,000 Catellus Development Corp. (7.25%
Convertible Exchangeable, Series B) 33,521,250 32,760,000 0.3
Real Estate 350,000 National Health Investors, Inc. (8.50%
Investment Trusts Convertible) 8,750,000 10,456,250 0.1
672,500 Prime Retail, Inc. (8.50% Convertible,
Series B) 11,955,313 11,096,250 0.1
835,500 Prime Retail, Inc. (10.50%) 19,316,161 16,501,125 0.2
-------------- -------------- ------
40,021,474 38,053,625 0.4
Savings Banks 619,900 Glendale Federal Savings Bank (8.75%
Convertible, Series E) 15,070,337 27,275,600 0.3
Total Preferred Stocks in the
United States 195,238,307 224,997,561 2.4
Total Investments in Preferred Stocks 219,514,865 258,637,436 2.8
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 $ 19,882,500 0.2%
Banco Rio de la Plata:
USD 47,500,000 (Class 3), 8.50% due 7/15/1998 47,908,125 46,787,500 0.5
USD 56,000,000 8.75% due 12/15/2003 47,165,825 50,680,000 0.5
-------------- -------------- ------
116,580,410 117,350,000 1.2
Government Republic of Argentina:
Obligations USD 145,000,000 Discount Notes, 7.125% due 3/31/2023 105,826,202 100,050,000 1.1
USD 165,000,000 Floating Rate Bonds, Series L, 6.812%
due 3/31/2005 86,090,000 127,668,750 1.3
USD 22,500,000 Global Bonds, 8.375% due 12/20/2003 16,943,750 20,109,375 0.2
USD 324,000,000 Par Bonds, 5% due 3/31/2023 163,552,674 193,995,000 2.0
-------------- -------------- ------
372,412,626 441,823,125 4.6
Total Fixed-Income Securities in
Argentina 488,993,036 559,173,125 5.8
Australia Building & USD 26,410,000 Lend Lease Finance International, 4.75%
Construction due 6/01/2003 28,765,793 34,274,898 0.4
Food Processing USD 14,000,000 Burns, Philp & Company Ltd., Convertible
Bonds, 5.50% due 4/30/2004 11,976,950 12,180,000 0.1
Newspaper/ CHF 3,020,000 News International PLC, 5.375% due
Publishing 4/30/1996 1,115,703 2,501,694 0.0
Total Fixed-Income Securities in
Australia 41,858,446 48,956,592 0.5
Brazil Government USD 35,000,000 Brazil Exit Bonds, 6% due 9/15/2013 19,609,778 22,487,500 0.2
Obligations Republic of Brazil:
USD 36,270,000 7.812% due 1/01/2001 (d) 28,349,888 32,008,275 0.3
USD 5,000,000 Discount Notes, 7.25% due 4/15/2024 3,100,000 3,306,250 0.0
USD 200,000,000 Par Z-L Step Up, 4.25% due 4/15/2024 77,516,377 113,000,000 1.2
-------------- -------------- ------
128,576,043 170,802,025 1.7
Media/ USD 15,000,000 Abril S.A., 12% due 10/25/2003 15,030,000 15,262,500 0.2
Publishing
Total Fixed-Income Securities in Brazil 143,606,043 186,064,525 1.9
Canada Cable/ Tele- CAD 7,545,000 Rogers Cablesystem, Inc., 9.65% due
communications 1/15/2014 4,397,424 4,908,253 0.1
Hotel/Leisure USD 23,500,000 Four Seasons Hotel, Inc., 9.125% due
7/01/2000 23,401,875 23,500,000 0.2
Oil & Related Mark Resources Inc., Convertible Bonds:
CAD 7,250,000 7% due 4/15/2002 5,052,564 5,269,661 0.1
CAD 1,250,000 8% due 11/30/2004 943,556 910,834 0.0
CAD 13,508,000 Talisman Energy Inc. (Ex-Warrants),
8.50% due 12/01/2000 10,282,140 9,916,470 0.1
-------------- -------------- ------
16,278,260 16,096,965 0.2
Paper & Forest CAD 2,000,000 Macmillan Bloedel Limited, Convertible
Products Bonds, 5% due 5/01/2007 1,024,416 1,162,960 0.0
Real Estate USD 16,501,370 First Place Tower, Inc., 8.50% due
12/15/2005 26,164,813 23,988,036 0.3
USD 27,469,400 First Place Tower Mortgage, Inc., 9.22%
due 12/15/2005 21,522,162 20,784,740 0.2
-------------- -------------- ------
47,686,975 44,772,776 0.5
Resources CAD 35,000,000 Sherritt, Inc., 11% due 3/31/2004 25,298,446 27,220,526 0.3
USD 32,500,000 Sifto Canada, Inc., 8.50% due 7/15/2000 32,375,188 32,175,000 0.3
-------------- -------------- ------
57,673,634 59,395,526 0.6
Total Fixed-Income Securities in Canada 150,462,584 149,836,480 1.6
France Automobiles FRF 5,500 Peugeot, Convertible Bonds, 2% due
1/01/2001 992,341 1,113,221 0.0
Banking FRF 58,000 Societe Generale, Convertible Bonds
(New), 3.50% due 1/01/2000 7,499,838 8,628,587 0.1
Government ECU 2,000,000 Credit Local de France, 8.683% due
Obligations 10/16/2001 (b) 1,736,145 1,715,242 0.0
Government of France:
FRF 816,500,000 8.50% due 10/25/2019 157,464,169 186,471,939 2.0
ECU 153,500,000 8.25% due 4/25/2022 176,793,028 203,022,640 2.1
-------------- -------------- ------
335,993,342 391,209,821 4.1
Industrial FRF 30,000 Alcatel Alsthom, Convertible Bonds,
2.50% due 1/01/2004 3,926,887 4,726,148 0.0
Insurance FRF 35,500 Finaxa, Convertible Bonds, 3% due
1/01/2001 9,060,172 10,798,849 0.1
Multi-Industry FRF 8,713 Compagnie Generale des Eaux, Convertible
Bonds, 6% due 1/01/1998 4,859,722 5,473,127 0.1
Total Fixed-Income Securities in France 362,332,302 421,949,753 4.4
</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>
Germany Banking DEM 2,310,000 Commerzbank AG, Floating Rate
Convertible Bonds, 2% due 6/15/2001 (b) $ 1,556,456 $ 2,367,280 0.0%
Building USD 41,100,000 Tarkett AG, 9% due 3/01/2002 39,413,750 43,668,750 0.4
Materials
Government DEM 182,500,000 Bundes Obligations, 7.375% due 1/03/2005 138,375,470 135,026,208 1.4
Obligations DEM 307,000,000 Bundesrepublic Deutscheland, 7.75% due
10/01/2004 224,638,336 228,419,058 2.4
-------------- -------------- ------
363,013,806 363,445,266 3.8
Government DEM 64,000,000 Baden-Wuerttemberg, 6.20% due 11/22/2013 37,148,769 43,480,949 0.5
Obligations-- DEM 55,000,000 Freie Hansestadt Hamburg, 6.08% due
Regional 11/29/2018 31,730,765 36,996,842 0.4
DEM 168,000,000 Land Hessen, 6% due 11/29/2013 96,916,825 113,403,669 1.2
DEM 110,000,000 Mecklenberg-Vorpommern, 6.15% due
6/16/2023 61,012,437 71,886,970 0.8
DEM 134,950,000 Nordrhein-Westfalen, 6.125% due
12/21/2018 77,420,913 90,867,482 1.0
Rheinland-Pfalz:
DEM 33,000,000 5.75% due 2/24/2014 18,324,663 21,754,586 0.2
DEM 64,000,000 6.08% due 11/29/2018 36,935,547 43,029,366 0.5
DEM 47,000,000 Sachsen-Anhalt, 6% due 1/10/2014 26,915,615 31,220,684 0.3
-------------- -------------- ------
386,405,534 452,640,548 4.9
Industrial USD 1,000,000 Siemens Corp. (with Warrants), 8% due
6/24/2002 (a) 1,318,750 1,455,000 0.0
Utilities-- USD 5,875,000 Veba International Finance (Warrants),
Electric 6% due 4/06/2000 (a) 7,083,300 11,794,063 0.1
Total Fixed-Income Securities in
Germany 798,791,596 875,370,907 9.2
Hong Kong Industrial USD 11,300,000 Johnson Electric Holdings Ltd.,
Convertible Bonds, 4.50% due
11/05/2000 10,093,904 10,424,250 0.1
Retail USD 11,500,000 Dairy Farm International Holdings Ltd.
(Preferred), 6.50% due 5/10/2049 9,118,375 9,947,500 0.1
Total Fixed-Income Securities in
Hong Kong 19,212,279 20,371,750 0.2
Indonesia Banking Rapp International Finance:
USD 3,250,000 11.50% due 12/15/2000 3,220,165 3,258,125 0.0
USD 24,750,000 13.25% due 12/15/2005 24,090,165 24,811,875 0.3
-------------- -------------- ------
27,310,330 28,070,000 0.3
Paper & Forest USD 19,500,000 APP Applied Polymer Products Inc.,
Products 11.75% due 10/01/2005 19,500,000 19,256,250 0.2
USD 2,000,000 PT Indorayon, Convertible Bonds, 5.50%
due 10/01/2002 2,363,125 2,260,000 0.0
-------------- -------------- ------
21,863,125 21,516,250 0.2
Total Fixed-Income Securities in
Indonesia 49,173,455 49,596,250 0.5
Italy Telecommuni- Softe SALUX:
cations ITL 11,500,000,000 Convertible Bonds, 4.25% due 7/30/1998 7,894,814 9,171,287 0.1
ITL 16,760,000,000 (Ex-Warrants), 8.75% due 3/24/1997 10,756,360 10,366,663 0.1
-------------- -------------- ------
18,651,174 19,537,950 0.2
Total Fixed-Income Securities in Italy 18,651,174 19,537,950 0.2
Japan Automobiles & JPY 300,000,000 Toyota Motor Corp., Convertible Bonds,
Equipment 1.20% due 1/28/1998 1,859,381 3,373,562 0.0
Beverages JPY 224,000,000 Sanyo Coca-Cola Bottling Co., Ltd.,
Convertible Bonds, 0.90% due 6/30/2003 2,123,094 2,108,186 0.0
JPY 21,000,000 Shikoku Coca-Cola Bottling Co., Ltd.,
Convertible Bonds, 2.40% due
3/29/2002 (b) 215,304 216,110 0.0
-------------- -------------- ------
2,338,398 2,324,296 0.0
Electronics JPY 988,000,000 Matsushita Electric Works, Ltd.,
Convertible Bonds, 2.70% due 5/31/2002 9,691,544 11,553,934 0.1
Insurance JPY 13,000,000 Mitsui Marine & Fire Insurance Co.,
Ltd., Convertible Bonds, 0.70% due
3/31/2003 118,211 126,485 0.0
JPY 17,000,000 Nichido Fire & Marine Insurance Co.,
Ltd., Convertible Bonds, 1% due
3/31/2003 162,061 164,608 0.0
-------------- -------------- ------
280,272 291,093 0.0
Total Fixed-Income Securities in Japan 14,169,595 17,542,885 0.1
Korea Energy USD 6,250,000 Ssangyong Oil Corp., 3.75% due 12/31/2008 6,681,062 6,812,500 0.1
Total Fixed-Income Securities in Korea 6,681,062 6,812,500 0.1
Mexico Government USD 150,500,000 Banco Nacional (BNCE), 7.25% due
Obligations 2/02/2004 120,842,200 126,796,250 1.3
USD 32,500,000 Petroleos Mexicanos, 8.625% due
12/01/2023 15,772,500 26,568,750 0.3
United Mexican States:
USD 18,583,000 8.50% due 9/15/2002 15,096,445 17,235,732 0.2
USD 85,000,000 Floating Notes, Series A, 6.765% due
12/31/2019 72,689,218 63,962,500 0.7
USD 130,764,000 United Mexican States, Series B
(Rights) (j) -- -- 0.0
-------------- -------------- ------
224,400,363 234,563,232 2.5
Total Fixed-Income Securities in Mexico 224,400,363 234,563,232 2.5
New Utilities--Gas NZD 2,000,000 Natural Gas Corp. Holdings, Convertible
Zealand Bonds, 10.50% due 10/14/1997 1,186,318 2,649,650 0.0
Total Fixed-Income Securities in
New Zealand 1,186,318 2,649,650 0.0
Portugal Banking ECU 19,300,000 Banco Commercial Portuguese, Convertible
Bonds, 8.75% due 5/21/2002 26,468,747 25,702,736 0.3
Total Fixed-Income Securities in Portugal 26,468,747 25,702,736 0.3
South Metals USD 5,000,000 Samancor Ltd., 7% due 6/30/2004 4,793,750 5,100,000 0.1
Africa
Total Fixed-Income Securities in
South Africa 4,793,750 5,100,000 0.1
Spain Government ESP 30,275,000,000 Government of Spain, 10% due 2/28/2005 218,935,863 247,496,073 2.6
Obligations
Total Fixed-Income Securities in Spain 218,935,863 247,496,073 2.6
Sweden Industrial ECU 7,000,000 SKF--AB Lyons, Convertible Bonds, 8.01%
due 7/26/2002 (b) 5,587,153 5,179,020 0.1
Multi-Industry ECU 1,000,000 Investor International Placements,
Convertible Bonds, 7.25% due 6/21/2001 1,001,412 1,408,817 0.0
Total Fixed-Income Securities in Sweden 6,588,565 6,587,837 0.1
Switzerland Chemicals USD 24,945,000 Ciba-Geigy Corp., Convertible Bonds, 6.25%
due 3/15/2016 25,632,050 25,818,075 0.3
Industrial CHF 1,401,000 Ciba-Geigy AG, Convertible Bonds, 2% due
8/09/1998 1,178,587 1,886,986 0.0
Total Fixed-Income Securities in
Switzerland 26,810,637 27,705,061 0.3
</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 Building GBP 3,250,000 Redland Capital PLC, Convertible Bonds,
Kingdom Materials 7.25% due 1/28/2002 $ 5,382,804 $ 4,662,125 0.1%
(concluded)
Cable/ USD 15,000,000 Bell Cablemedia PLC, 11.875% due
Tele- 9/15/2005 (b) 8,802,244 9,900,000 0.1
communications USD 48,000,000 International Cable Inc., 11.28% due
2/01/2001 (b) 27,546,274 27,960,000 0.3
-------------- -------------- ------
36,348,518 37,860,000 0.4
Financial GBP 11,600,000 TransAtlantic Holdings PLC, Convertible
Services Bonds, 5.50% due 4/30/2009 14,179,895 13,531,110 0.1
Food & Beverage GBP 1,750,000 Allied Domecq PLC, 6.75% due 7/07/2008 2,589,607 2,622,681 0.0
Foods GBP 7,750,000 Tate & Lyle International, Convertible
Bonds, 5.75% due 3/21/2001 10,092,554 10,151,919 0.1
Government GBP 32,000,000 United Kingdom Treasury Note, 6.75% due
Obligations 11/26/2004 47,409,516 46,206,000 0.5
Industrial USD 2,000,000 HIH Capital Ltd., Convertible Bonds, 7.50%
due 9/25/2006 1,665,000 1,460,000 0.0
USD 1,890,000 HIH Capital Ltd., Convertible Bonds
(Bearer), 7.50% due 9/25/2006 1,005,400 1,379,700 0.0
-------------- -------------- ------
2,670,400 2,839,700 0.0
Multi-Industry GBP 4,875,000 English China Clays PLC, Convertible
Bonds, 6.50% due 9/30/2003 8,364,034 6,919,575 0.1
GBP 6,375,000 Hanson PLC, 9.50% due 1/31/2006 11,769,997 9,722,512 0.1
-------------- -------------- ------
20,134,031 16,642,087 0.2
Real Estate GBP 500,000 Land Securities PLC, Convertible Bonds,
6.75% due 12/31/2002 679,603 753,112 0.0
Retail GBP 8,350,000 Sainsbury (J.) PLC, Convertible Bonds,
8.50% due 11/19/2005 16,072,715 15,224,764 0.2
Utilities GBP 2,000,000 National Power PLC, Convertible Bonds,
6.25% due 9/23/2008 3,262,275 3,148,350 0.0
Total Fixed-Income Securities in the
United Kingdom 158,821,918 153,641,848 1.6
United Airlines USAir Inc.:
States USD 4,276,076 9.33% due 1/01/2006 4,169,601 3,912,609 0.0
USD 19,300,000 10.375% due 3/01/2013 17,593,625 19,010,500 0.2
USD 7,500,000 USAir Pass Thru, 9.625% due 9/01/2003 (d) 7,495,625 7,303,125 0.1
-------------- -------------- ------
29,258,851 30,226,234 0.3
Banking USD 14,250,000 Berkely Federal Bank, 12% due 6/15/2005 14,250,000 14,748,750 0.2
USD 3,000,000 Roosevelt Financial Group, Inc., 9.50%
due 8/01/2002 3,000,000 3,001,500 0.0
-------------- -------------- ------
17,250,000 17,750,250 0.2
Building USD 15,000,000 DalTile International, Inc., 11.955% due
Materials 7/15/1998 (b) 10,905,472 11,925,000 0.1
Chemicals USD 10,000,000 Laroche Industries Inc., 13% due
8/15/2004 10,325,000 10,800,000 0.1
Computers USD 15,225,000 Dell Computer Corp., 11% due 8/15/2000 15,322,187 16,975,875 0.2
Energy USD 12,374,000 Transamerican Refining Corp., 18.29% due
2/15/2002(b) 8,178,677 7,548,140 0.1
USD 30,000,000 TransTexas Gas Corp., 11.50% due
6/15/2002 30,000,000 30,675,000 0.3
-------------- -------------- ------
38,178,677 38,223,140 0.4
Financial CHF 4,010,000 Chrysler Financial Corp., 5.75% due
Services 6/18/1996 1,914,011 3,346,637 0.0
USD 20,000,000 First City Financial Corp., Ltd., 9% due
9/30/1997 19,877,500 19,975,000 0.3
USD 2,008,000 US Trails, Senior Secured Notes, 12% due
7/15/1998 1,642,685 1,345,360 0.0
-------------- -------------- ------
23,434,196 24,666,997 0.3
Health Care USD 7,200,000 Cetus (Chiron) Corp., Convertible Bonds,
5.25% due 5/21/2002 5,220,250 7,452,000 0.1
USD 8,500,000 Mediq/PRN, Senior Notes, 11.125% due
7/01/1999 8,845,000 8,797,500 0.1
USD 39,000,000 Omega Healthcare Investors, Inc.,
Convertible Bonds, 8.50% due 2/01/2001 39,000,000 39,780,000 0.4
-------------- -------------- ------
53,065,250 56,029,500 0.6
Homebuilding & USD 31,950,000 Baldwin Co., 10.375% due 8/01/2003 30,215,562 14,697,000 0.1
Construction USD 37,500,000 Beazer Homes USA, Inc., 9% due 3/01/2004 35,597,000 36,750,000 0.4
USD 18,500,000 K. Hovnanian Enterprises, 9.75% due
6/01/2005 17,970,000 16,141,250 0.2
USD 30,000,000 MDC Holdings Inc., 11.125% due
12/15/2003 28,916,500 29,212,500 0.3
USD 2,350,000 MDC Holdings, Inc., Convertible Bonds,
8.75% due 12/15/2005 2,021,000 2,397,000 0.0
USD 28,250,000 Presley Companies, Senior Notes, 12.50%
due 7/01/2001 28,190,312 24,295,000 0.3
-------------- -------------- ------
142,910,374 123,492,750 1.3
Hospital USD 1,000,000 Novacare, Inc., Convertible Bonds, 5.50%
Management due 1/15/2000 857,500 850,000 0.0
Industrial USD 22,000,000 AM General Corp., 12.875% due 5/01/2002 21,834,060 22,770,000 0.2
USD 10,000,000 Acetex Corporation, 9.75% due 10/01/2003 9,956,300 10,350,000 0.1
USD 20,000,000 Crown Packaging Ltd., 10.75% due
11/01/2000 20,000,000 19,000,000 0.2
USD 10,000,000 Easco Corp., 10% due 3/15/2001 10,005,000 10,200,000 0.1
USD 27,000,000 Envirotest Systems Corp., 9.125% due
3/15/2001 24,683,460 23,490,000 0.2
USD 27,250,000 Genmar Holdings, Inc., 13.50% due
7/15/2001 27,127,100 25,206,250 0.3
USD 8,590,000 Hanson America, Convertible Bonds, 2.39%
due 3/01/2001 6,704,735 7,129,700 0.1
USD 77,000,000 International Semi-Tech Microelectronics,
Inc., 11.40% due 8/15/2003 (b) 46,408,908 44,660,000 0.5
USD 9,000,000 Merisel, Inc., 12.50% due 12/31/2004 9,000,000 6,390,000 0.1
USD 30,500,000 Plastic Specialties & Technology, Inc.,
11.25% due 12/01/2003 30,540,000 28,212,500 0.3
USD 7,500,000 Portola Packaging Inc., 10.75% due
10/01/2005 7,526,250 7,837,500 0.1
-------------- -------------- ------
213,785,813 205,245,950 2.2
Infrastructure USD 10,000,000 CE Casecnan, 11.45% due 11/15/2005 10,000,000 10,212,500 0.1
Insurance USD 22,500,000 Mutual Life Insurance Co., N.Y., 11.25%
due 8/15/2024 (b) 15,271,384 19,603,125 0.2
Leisure-- USD 4,000,000 Prime Hospitality Corp., 9.25% due
Restaurant & 1/15/2006 3,986,960 4,000,000 0.0
Lodging
Merchandising USD 12,000,000 Price Club Co., Convertible Bonds,
5.50% due 2/28/2012 11,213,250 11,490,000 0.1
Oil & Related USD 5,000,000 KCS Energy Inc., 11% due 1/15/2003 5,000,000 5,112,500 0.0
PDV America, Inc.:
USD 35,000,000 7.25% due 8/01/1998 34,856,150 34,518,750 0.4
USD 10,000,000 7.75% due 8/01/2000 10,062,500 9,812,500 0.1
USD 6,000,000 USX Marathon Oil Co., 7% due 6/15/2017 5,650,000 5,745,000 0.1
-------------- -------------- ------
55,568,650 55,188,750 0.6
Packaging & Anchor Glass Container Corp.:
Containers USD 3,590,400 12.44% due 7/15/1999 (b) 3,339,072 3,374,976 0.0
USD 15,000,000 10.25% due 6/30/2002 14,194,556 12,750,000 0.1
-------------- -------------- ------
17,533,628 16,124,976 0.1
</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 Real Estate USD 23,743,904 RTC Commercial Mortgage, Class E,
States 8.25% due 12/25/2020 (d) $ 23,380,326 $ 23,150,307 0.2%
(concluded)
Real Estate USD 24,500,000 Alexander Haagen Properties Inc.,
Investment Trusts Exchangeable Debentures, 7.25% due
12/27/2003 24,348,750 23,948,750 0.3
USD 7,000,000 Centerpoint Properties Corp.,
Convertible Bonds, 8.22% due
1/15/2004 7,000,000 8,820,000 0.1
USD 30,000,000 First Union Real Estate, 8.875% due
10/01/2003 29,756,100 28,500,000 0.3
USD 25,000,000 First Washington Realty, 8.25% due
6/26/1999 25,000,000 25,000,000 0.3
LTC Properties, Inc.:
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 10,400,000 0.1
USD 12,500,000 Liberty Property Trust, Convertible
Bonds, 8% due 7/01/2001 12,500,000 13,125,000 0.1
USD 27,000,000 Malan Realty Investors, Inc.,
Convertible Bonds, 8.50% due
7/01/2003 27,000,000 28,350,000 0.3
Meditrust, Convertible Bonds:
USD 5,000,000 7% due 3/01/1998 5,035,000 5,625,000 0.1
USD 14,000,000 7.50% due 3/01/2001 14,000,000 14,280,000 0.2
USD 5,000,000 Series A, 8.549% due 2/01/2000 5,000,000 5,300,000 0.0
USD 5,000,000 Mid-Atlantic Realty Trust, Convertible
Bonds, 7.625% due 9/15/2003 4,875,000 4,375,000 0.0
USD 22,000,000 National Health Corp., 7.75% due
1/01/2001 22,000,000 22,660,000 0.2
USD 24,500,000 Nationwide Health Properties Inc.,
Convertible Bonds, 6.25% due 1/01/1999 24,300,000 24,745,000 0.3
USD 5,500,000 Sizeler Property Investors, Inc.,
Convertible Bonds, 8% due 7/15/2003 5,505,000 4,647,500 0.0
-------------- -------------- ------
226,319,850 230,376,250 2.4
Resources USD 32,500,000 Freeport-McMoRan Resources, 8.75% due
2/15/2004 31,378,750 33,556,250 0.4
Savings Bank USD 21,400,000 First Federal Financial Corporation,
11.75% due 10/01/2004 21,401,250 21,400,000 0.2
Steel USD 23,625,000 NS Group, Inc., 13.50% due 7/15/2003 (g) 22,565,762 21,380,625 0.2
Supermarkets USD 34,000,000 Eagle Food Centers Inc., 8.625% due
4/15/2000 29,550,837 24,140,000 0.3
USD 4,000,000 Pueblo Xtra International Inc., 9.50%
due 8/01/2003 3,666,250 3,720,000 0.0
USD 10,000,000 TLC Beatrice International Holdings
Inc., 11.50% due 10/01/2005 10,000,000 9,925,000 0.1
-------------- -------------- ------
43,217,087 37,785,000 0.4
Telecommuni- USD 25,250,000 Busse Broadcasting, 11.625% due
cations 10/15/2000 24,237,737 24,429,375 0.2
USD 7,000,000 CAI Wireless Systems Inc., 12.25% due
9/15/2002 7,000,000 7,647,500 0.1
USD 19,500,000 Call Net Enterprise, Inc., 13.07% due
12/01/2004 (b) 11,924,555 14,235,000 0.2
USD 68,500,000 CellNet Data Systems, Inc., 9.1479% due
6/15/2000 (b) (h) 39,517,317 42,298,750 0.4
USD 20,000,000 Diamond Cable Communications Co.,
11.75% due 12/15/2005 (b) 11,525,331 12,150,000 0.1
USD 106,500,000 Geotek Communications Inc., 15.82% due
7/15/2005 (b) 41,462,944 56,977,500 0.6
Nextel Communications, Inc. (b):
USD 3,000,000 11.21% due 9/01/2003 2,277,321 1,860,000 0.0
USD 33,500,000 9.96% due 8/15/2004 23,551,275 18,006,250 0.2
USD 5,000,000 Rogers Communications Inc., 7.50% due
9/01/1999 3,394,000 3,543,393 0.0
United International Holdings, Inc. (b):
USD 11,000,000 13.94% due 11/15/1999 (i) 6,588,162 7,012,500 0.1
USD 39,250,000 14% due 11/15/1999 23,507,497 25,512,500 0.3
-------------- -------------- ------
194,986,139 213,672,768 2.2
Textiles & USD 12,500,000 Consoltex Group, Inc., 11% due
Apparel 10/01/2003 12,530,000 11,500,000 0.1
USD 23,500,000 Salant Corp., Secured, 10.50% due
12/31/1998 23,030,000 19,563,750 0.2
USD 18,250,000 Texfi Industries, Inc., 8.75% due
8/01/1999 17,930,300 15,010,625 0.2
-------------- -------------- ------
53,490,300 46,074,375 0.5
Transportation USD 8,625,000 Eletson Holdings Inc., 9.25% due
11/15/2003 8,658,437 8,689,687 0.1
USD 22,000,000 OMI Corp., 10.25% due 11/01/2003 21,910,000 20,460,000 0.2
-------------- -------------- ------
30,568,437 29,149,687 0.3
Transportation-- USD 9,500,000 Teekay Shipping Corporation, 8.32% due
Shipping 2/01/2008 9,500,000 9,571,250 0.1
Trucking USD 24,000,000 Ameritruck Distribution, 12.25% due
11/15/2005 23,681,025 24,000,000 0.3
Utilities-- CTC Mansfield Funding Corp.:
Electric USD 5,500,000 10.25% due 3/30/2003 5,620,000 5,582,500 0.1
USD 5,000,000 11.125% due 9/30/2016 5,350,000 5,225,000 0.1
USD 30,000,000 California Energy Co., Inc., 10.25% due
1/15/2004 (b) 27,199,525 28,725,000 0.3
USD 8,000,000 Calpine Corp., Inc., 9.25% due 2/01/2004 7,277,500 7,320,000 0.1
Cleveland Electric Illuminating Company
Inc., First Mortgage:
USD 5,000,000 9.30% due 7/26/1999 5,437,500 5,131,250 0.0
USD 12,500,000 9.25% due 7/29/1999 13,562,500 12,812,500 0.1
USD 3,000,000 9.05% due 8/15/2001 3,093,750 3,082,500 0.0
USD 7,500,000 7.625% due 8/01/2002 7,462,500 7,162,500 0.1
USD 5,000,000 7.375% due 6/01/2003 4,700,000 4,675,000 0.1
El Paso Funding:
USD 4,050,000 9.20% due 7/02/1997 3,286,000 2,814,750 0.0
USD 25,000,000 10.375% due 1/02/2011 21,170,000 17,375,000 0.2
USD 62,040,000 10.75% due 4/01/2013 52,996,150 43,117,800 0.5
USD 22,818,000 Public Service Company of New Mexico,
EIP Funding, 10.25% due 10/01/2012 22,818,000 23,844,810 0.3
USD 7,500,000 Public Service Company of New Mexico,
First PV Funding, 10.30% due 1/15/2014 7,137,750 7,706,250 0.1
Toledo Edison Co.:
USD 2,000,000 9.30% due 4/01/1998 2,130,000 2,035,000 0.0
USD 13,375,000 7.25% due 8/01/1999 13,375,000 12,940,312 0.1
USD 3,000,000 9.50% due 4/01/2001 3,221,250 3,123,750 0.0
USD 1,500,000 7.85% due 3/31/2003 1,296,450 1,432,500 0.0
USD 2,000,000 7.91% due 4/01/2003 1,992,500 1,920,000 0.0
-------------- -------------- ------
209,126,375 196,026,422 2.1
Total Fixed-Income Securities in the
United States 1,558,482,493 1,538,947,981 16.1
Total Investments in Fixed-Income
Securities 4,320,420,226 4,597,597,135 48.1
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (concluded) (in US dollars)
<CAPTION>
Currency Face Percent of
COUNTRY Industries Denomination Amount Short-Term Securities Cost Value Net Assets
<S> <S> <S> <C> <S> <C> <C> <C>
Canada Foreign Canadian Treasury Bills:
Government CAD 85,800,000 5.25% due 2/08/1996 $ 62,356,781 $ 62,293,868 0.7%
Obligations* CAD 1,500,000 6.06% due 11/14/1996 1,058,652 1,045,137 0.0
Total Short-Term Investments in Canada 63,415,433 63,339,005 0.7
Mexico Foreign Mexican Cetes (Certificados de la
Government Tesoreria de la Federacion) (b):
Obligations* MXN 18,653,450 60.149% due 2/01/1996 2,815,056 2,514,994 0.0
MXN 82,186,000 26.249% due 2/15/1996 13,203,148 10,924,860 0.1
MXN 212,150,560 24.749% due 2/22/1996 33,615,904 27,986,123 0.3
Total Short-Term Investments in Mexico 49,634,108 41,425,977 0.4
United Commercial Ciesco L.P.:
States Paper* USD 50,000,000 5.43% due 2/21/1996 49,849,167 49,849,167 0.5
USD 50,000,000 5.45% due 2/29/1996 49,788,056 49,788,056 0.5
Corporate Asset Funding Co., Inc.:
USD 40,000,000 5.42% due 2/09/1996 39,951,822 39,951,822 0.4
USD 40,700,000 5.47% due 2/21/1996 40,576,317 40,576,317 0.4
USD 50,000,000 Daimler-Benz AG, 5.35% due 3/08/1996 49,732,500 49,732,500 0.5
USD 70,000,000 Deutsche Bank Financial, Inc., 5.43%
due 2/01/1996 70,000,000 70,000,000 0.7
du Pont (E.I.) de Nemours & Co:
USD 50,000,000 5.45% due 2/07/1996 49,954,583 49,954,583 0.5
USD 50,000,000 5.34% due 3/04/1996 49,762,667 49,762,667 0.5
USD 50,000,000 5.31% due 3/20/1996 49,646,000 49,646,000 0.5
USD 140,170,000 General Electric Capital Corp., 5.90% due
2/01/1996 140,170,000 140,170,000 1.5
USD 54,800,000 International Business Machines Corp.,
5.45% due 2/08/1996 54,741,927 54,741,927 0.6
Matterhorn Capital Corp.:
USD 50,000,000 5.47% due 2/14/1996 49,901,236 49,901,236 0.5
USD 36,056,000 5.45% due 2/16/1996 35,974,123 35,974,123 0.4
Morgan Stanley Group, Inc.:
USD 50,000,000 5.45% due 2/16/1996 49,886,458 49,886,458 0.5
USD 50,000,000 5.42% due 2/27/1996 49,804,278 49,804,278 0.5
USD 50,000,000 5.40% due 2/29/1996 49,790,000 49,790,000 0.5
USD 50,000,000 PHH Corp., 5.47% due 2/08/1996 49,946,819 49,946,819 0.5
USD 50,000,000 Preferred Receivable Funding Corp., 5.48%
due 2/15/1996 49,893,444 49,893,444 0.5
USD 22,687,000 Sheffield Receivables Corp., 5.36% due
3/22/1996 22,518,108 22,518,108 0.3
USD 25,000,000 Shell Oil Co., 5.35% due 3/04/1996 24,881,111 24,881,111 0.3
USD 30,000,000 Siemens Corporation, 5.38% due 3/07/1996 29,843,083 29,843,083 0.3
Transamerica Finance Corp.:
USD 23,000,000 5.47% due 2/20/1996 22,933,600 22,933,600 0.3
USD 22,750,000 5.35% due 3/14/1996 22,608,002 22,608,002 0.3
UBS Finance Delaware Inc.:
USD 100,000,000 5.95% due 2/01/1996 100,000,000 100,000,000 1.1
USD 50,000,000 5.50% due 2/05/1996 49,969,444 49,969,444 0.5
Total Investments in Commercial Paper 1,252,122,745 1,252,122,745 13.1
US Government USD 50,000,000 Federal Home Loan Mortgage Corp., 5.36%
Agency due 2/20/1996 49,858,556 49,858,556 0.5
Obligations* USD 50,000,000 Federal National Mortgage Association,
5.38% due 2/16/1996 49,887,917 49,887,917 0.5
Total Investments in US Government
Agency Obligations 99,746,473 99,746,473 1.0
Total Investments in Short-Term
Securities 1,464,918,759 1,456,634,200 15.2
Total Investments $8,515,018,722 9,333,939,176 97.6
==============
Unrealized Appreciation on Forward Foreign Exchange Contracts** 43,910,050 0.5
Variation Margin on Futures Contracts*** (2,609,063) (0.0)
Other Assets Less Liabilities 187,306,735 1.9
-------------- ------
Net Assets $9,562,546,898 100.0%
============== ======
Net Asset Class A--Based on net assets of $1,619,717,436 and 113,861,740
Value: shares outstanding $ 14.23
==============
Class B--Based on net assets of $7,412,860,643 and 527,249,686
shares outstanding $ 14.06
==============
Class C--Based on net assets of $174,504,862 and 12,499,428
shares outstanding $ 13.96
==============
Class D--Based on net assets of $355,463,957 and 24,999,911
shares outstanding $ 14.22
==============
<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 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)The rights may be exercised until 2/22/1996.
(f)Each $1,000 face amount contains one warrant of American Telecasting Inc.
(g)Each $1,000 face amount contains one warrant of NS Group, Inc.
(h)Each $1,000 face amount contains four warrants of CellNet Data
Systems, Inc.
(i)Each $1,000 face amount contains one warrant of United International
Holdings, Inc.
(j)The rights may be exercised until 6/30/2003.
++American Depositary Receipts (ADR).
*Commercial Paper and certain US and Foreign Government Agency
Obligations are traded on a discount basis. The interest rates
shown are the rates in effect on January 31, 1996.
**Forward Foreign Exchange Contracts as of January 31, 1996 were
as follows:
<CAPTION>
Unrealized
Foreign Expiration Appreciation
Currency Sold Date (Depreciation)
<S> <C> <S> <C>
CHF 15,000,000 February 1996 $ 403,541
CHF 15,000,000 March 1996 26,706
DEM 517,000,000 February 1996 11,371,120
DEM 367,000,000 March 1996 6,712,612
DEM 230,000,000 April 1996 1,009,994
DKR 35,000,000 March 1996 --
ECU 21,000,000 February 1996 961,044
ECU 115,000,000 March 1996 4,346,740
ESP 8,500,000,000 February 1996 780,477
ESP 13,000,000,000 March 1996 3,273,893
ESP 3,000,000,000 April 1996 79,646
FRF 1,018,000,000 February 1996 5,910,555
FRF 190,000,000 March 1996 649,271
GBP 30,000,000 February 1996 938,250
GBP 35,000,000 March 1996 154,340
GBP 56,000,000 April 1996 796,584
JPY 33,500,000,000 February 1996 4,850,547
JPY 1,000,000,000 March 1996 (8,337)
NLG 104,000,000 March 1996 1,400,401
NLG 39,000,000 April 1996 70,782
NOK 45,000,000 February 1996 181,884
Total (USD Commitment--$2,023,057,125) Unrealized
Appreciation--Net on Forward Foreign Exchange Contracts $ 43,910,050
============
***Financial Futures Contracts purchased as of January 31, 1996 were as follows:
Number of Expiration
Contracts Issue Date Value
330 Standard & Poor's 500 Index March 1995 $(105,261,750)
850 US Treasury Notes March 1995 (98,238,281)
Total Financial Futures Contracts Purchased
(Total Contract Price--$200,255,475) $(203,500,031)
=============
</TABLE>
EQUITY PORTFOLIO CHANGES
For the Quarter Ended January 31, 1996
Additions
American Telecasting Inc. (Warrants)
Avesta Sheffield AB
BancOne Corp.
*British Gas (Ordinary)
Canadian National Railway Company
Christiania Bank Og Kreditkasse
Deutsche Bank AG
Deutsche Bank AG (Warrants)
Fiat S.p.A.
First Chicago NBD Corporation
Ford Motor Company
General Electric Co. PLC (Ordinary)
Geotek Communications Inc. (Warrants)
HSBC Americas Inc., Non-Convertible,
Series A
Hoechst AG
Mapfre S.A. (Rights)
MontEdison S.p.A.
Nokia Corp. (ADR)
Nokia OY
*Rohr Industries, Inc.
Tele Danmark A/S
Deletions
ADT Limited
AMEC PLC (6.50% Convertible)
Akzo N.V.
Applied Immune Sciences, Inc.
Authentic Fitness Corp.
BASF AG
Beazer Home USA, Inc. (Exchangeable,
Series A)
*British Gas (Ordinary)
British Petroleum Company PLC (The)
CBL & Associates Properties, Inc.
CS Holdings AG
China Light & Power Co., Ltd.
Cox Communication, Inc.
Ford Motor Co. (8.40% Convertible, Series A)
International Business Machines Corp.
Kansallis-Osake-Pankki
Koninklijke KNP (Warrants)
Marine Midland Banks, Inc.
(Adjustable Rate, Series A)
NBD Bancorp, Inc.
Premier Bancorp.
Roche Holdings AG
*Rohr Industries, Inc.
Siemens AG
Sumitomo Electric Industries
Times Mirror Co. (Class A)
Times Mirror Company (Convertible, Series B)
Unilever
[FN]
*Added and deleted in the same quarter.
PORTFOLIO INFORMATION
Worldwide
Investments
As of 1/31/96
Percent Breakdown of
Stocks & Fixed-Income Percent of
Securities by Country Net Assets
United States* 50.0%
Germany 10.0
Argentina 5.8
France 5.4
Japan 4.4
Spain 3.9
Mexico 3.0
Canada 2.6
United Kingdom 2.5
Brazil 1.9
Netherlands 1.7
Sweden 1.2
Italy 1.1
Australia 0.9
Finland 0.8
Switzerland 0.6
Indonesia 0.5
Norway 0.3
Hong Kong 0.3
Portugal 0.3
South Africa 0.1
New Zealand 0.1
Korea 0.1
Denmark 0.1
Ireland 0.0
Austria 0.0
-----
Total 97.6%
=====
[FN]
*Includes investments in short-term securities.
Ten Largest Industries Percent of
(Equity Investments) Net Assets
Banking 7.2%
Insurance 3.8
Utilities--Electric & Gas 2.5
Energy & Petroleum 1.2
Telecommunications 0.9
Pharmaceuticals/Biotechnology 0.9
Paper & Forest Products 0.9
Savings Banks 0.8
Retail Stores 0.8
Real Estate & Investment Trusts 0.8
Ten Largest Holdings Percent of
(Equity Investments) Net Assets
Republic New York Corp. 0.7%
Bristol-Myers Squibb Co. 0.6
Entergy Corp. 0.6
KeyCorp 0.6
Student Loan Marketing Association 0.6
Chemical Banking Corp. 0.5
Internationale Nederlanden
Groep N.V. 0.5
First Commerce Corp. 0.4
Ace, Ltd. 0.4
Comerica, Inc. 0.4
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