MERRILL LYNCH
GLOBAL
ALLOCATION
FUND, INC.
FUND LOGO
Semi-Annual Report
April 30, 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.
<PAGE>
<TABLE>
Summary of
Fund's Overall
Asset Mix
As of 4/30/96
<CAPTION>
Percent of Fund's Portfolio Reference Portfolio
4/30/96 1/31/96 Percentages Asset
<S> <C> <C> <C>
North & South American Equities 18.6%* 17.5%* 36.0%
European Equities 9.2 9.0 11.0
Pacific Basin Equities 5.2 5.0 13.0
Total Equities 33.0 31.5 60.0
US Dollar Denominated Fixed-Income Securities 30.1 32.6 24.0
US Issuers 17.7 18.5 --
Non-US Issuers 12.4 14.1 --
Non-US Dollar Denominated Fixed-Income Securities 15.3 18.3 16.0
Total Fixed-Income Securities 45.4++ 50.9++ 40.0
Cash & Cash Equivalents 21.6 17.6 --
<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
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
<PAGE>
DEAR SHAREHOLDER
Merrill Lynch Global Allocation Fund,
Inc.'s net assets grew to $10.92 billion by
April 30, 1996, up from $9.56 billion at
the end of January. The growth in net
assets during the three-month period
came from three sources: a positive
investment return, positive net subscrip-
tions, and the receipt of substantially
all of Merrill Lynch Balanced Fund for
Investment and Retirement, Inc.'s assets
and liabilities. (Please refer to "Welcome
to Merrill Lynch Balanced Fund Share-
holders" section below.)
During the April quarter, the Fund's
Class A, Class B, Class C and Class D
Shares had total returns of +3.02%,
+2.77%, +2.79% and +3.02%, respec-
tively. (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.)
Portfolio Matters
Two of the more dramatic developments
during the April quarter were the
behavior of certain commodity markets--
especially grains and petroleum
products--and the performance of the
US bond market.
In particular, US grain prices continued
to rise (as they have done for over a
year now), as a combination of low
carry-over inventories, higher foreign
demand and dry weather in the Mid-
west squeezed supplies. For example,
wheat futures moved up by about 27%
during the April quarter, continuing a
rise of almost 30% over the prior nine
months. Crude oil futures also rose more
than 10% during the quarter.
<PAGE>
From the standpoint of fixed-income
investors, the outlook for the US econ-
omy changed sharply during the April
quarter, caused in part by the upward
move in some commodity prices and
the release of a number of statistics
which suggested that the US economy
was significantly stronger than had been
expected. This change in outlook was
reflected in lower bond prices and higher
yields. The yield on ten-year US Treasury
notes had fallen from over 7% in March
1995 to about 5.6% at the beginning of
the April quarter. Then, over the course
of the quarter, the yield on the ten-year
US Treasury note rose by over 1%, which
corresponds to an approximate price
decline of 7.5%. Thus the US Govern-
ment bond market experienced a very
difficult April quarter.
Although the back up in US interest
rates impeded the Fund's performance
during the April quarter, its impact was
mitigated somewhat by two factors. First,
we had implemented some hedging strat-
egies in the prior quarter to seek to
protect the Fund in the event of rising
US interest rates. Second, the broad
diversification among the Fund's fixed-
income positions also helped to shield
its net asset value as interest rates rose.
During the April quarter, we reduced
the portfolio's weighting in fixed-income
securities from 50.9% to 45.4%. A signif-
icant part of this reduction took place
in the Fund's European fixed-income
positions. The Fund took profits in both
French and Spanish government bonds.
The Fund also reduced its weightings
in US corporate bonds and US dollar-
denominated Latin American govern-
ment bonds. Despite these reductions,
the Fund continues to overweight fixed-
income securities compared to its Ref-
erence Portfolio. (Please refer to the
"Summary of the Fund's Overall Asset
Mix" chart on page 1 of this report to
shareholders.)
<PAGE>
Equity markets were largely unaffected
by the rise in interest rates. The major
equity market indexes, such as the
Standard & Poor's 500 Composite Index,
the Japanese Nikkei 225 and the Ger-
man DAX, all posted gains for the April
quarter. The unmanaged Financial
Times/Actuaries--S&P World Stock
Index rose by approximately 3.9% dur-
ing the quarter (measured in US dol-
lars), with stocks outside of the United
States performing somewhat better
than their US counterparts.
During the April quarter the Fund's
investments in equities increased mod-
estly from 31.5% of net assets to 33.0%.
We increased exposure to US stocks,
Pacific Basin stocks, and European
stocks, although the additional invest-
ments were very modest in the latter
two categories.
Shareholder subscriptions and proceeds
from fixed-income sales raised the
Fund's cash and cash reserves to 21.6%
of net assets from 17.6% of net assets
at January 31, 1996. The cash reserve
position reflects our concern about the
generally expensive level of stock mar-
ket valuations, particularly in the
United States.
Welcome to Merrill Lynch
Balanced Fund Shareholders
As we have already mentioned, Merrill
Lynch Global Allocation Fund, Inc.
welcomed a group of new shareholders
during the April quarter. On March 4,
1996, the Fund acquired substantially
all of the assets and liabilities of Merrill
Lynch Balanced Fund for Investment
and Retirement, Inc., in exchange for
which Merrill Lynch Balanced Fund
shareholders received newly issued
shares of Merrill Lynch Global Alloca-
tion Fund. The process did not affect
Merrill Lynch Global Allocation Fund
shareholders, and there was no change
in per share net asset value attribut-
able to the merger.
<PAGE>
For the benefit of our newest share-
holders, it is worthwhile to review the
Fund's investment goals and philosophy.
As stated in the Fund's prospectus:
"Merrill Lynch Global Allocation Fund
is a non-diversified mutual fund seek-
ing high total return, consistent with
prudent risk, through a fully managed
investment policy utilizing US and
foreign equity, debt and money market
securities...."
As a non-diversified fund (as defined by
the Investment Company Act of 1940),
the Fund is not limited with regard to
the proportion of assets that it may
invest in the securities of a single issuer.
That is, the Fund could be managed in
a way that would make it far more
concentrated in the securities of one or
more issuers than typical diversified
funds. However, in practice the Fund
has been very diversified. In recent
years, the Fund has typically owned
more than 500 individual securities
including stocks and bonds in more
than 20 countries.
The Fund's concentration in securities
of particular issuers varies by security
type. In general, the Fund seldom has
invested more than 1% of its assets in a
given issuer's common stock. However,
the Fund will often invest more than 1%
of assets--and sometimes more than 5%
of assets--in debt securities of one or
more sovereign (government) issuers.
<PAGE>
To seek a high total return consistent
with prudent risk, the Fund ordinarily
invests in fixed-income securities as
well as common stocks, although the
Fund is not a "balanced" fund as defined
by the Securities and Exchange Com-
mission. With a mix of equity and fixed-
income investments, shareholders
should expect returns to be derived
from income (dividends and interest)
as well as capital gains. The mix of fixed-
income securities and common stocks
has other effects. Historically the Fund's
per share net asset values have tended
to be less volatile (or variable) than
funds investing only in equities. How-
ever, this also means that the Fund
does not tend to appreciate as rapidly
as equity-only funds during strong stock
markets. (Past performance results are
not necessarily representative of future
performance.)
In practice, the Fund's fully managed
investment policy affords the Fund's
management team substantial latitude
in varying the balance of equity, debt
and cash reserves held in the portfolio
at any given time. In addition, the man-
agement team can, and does from time
to time, hedge foreign currency, stock
market and interest rate exposure using
forward contracts, futures or options.
In Conclusion
We thank our longer-term shareholders
for their continued investment and,
once again, we welcome our newest
shareholders to Merrill Lynch Global
Allocation Fund, Inc. We look forward
to serving your financial needs in the
months and years ahead.
Sincerely,
(Arthur Zeikel)
Arthur Zeikel
President
(Bryan N. Ison)
Bryan N. Ison
Vice President and Portfolio Manager
<PAGE>
June 12, 1996
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.
<PAGE>
PERFORMANCE DATA (continued)
Average Annual
Total Return
% Return Without % Return With
Sales Charge Sales Charge**
Class A Shares*
Year Ended 3/31/96 +25.59% +19.00%
Five Years Ended 3/31/96 +14.36 +13.13
Inception (2/3/89) through 3/31/96 +14.07 +13.21
[FN]
*Maximum sales charge is 5.25%.
**Assuming maximum sales charge.
% Return % Return
Without CDSC With CDSC**
Class B Shares*
Year Ended 3/31/96 +24.32% +20.32%
Five Years Ended 3/31/96 +13.20 +13.20
Inception (2/3/89) through 3/31/96 +12.91 +12.91
[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 3/31/96 +24.34% +23.34%
Inception (10/21/94) through 3/31/96 +15.64 +15.64
<PAGE>
[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 3/31/96 +25.36% +18.78%
Inception (10/21/94) through 3/31/96 +16.59 +12.32
[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--4/30/96 13.88 14.66 -- -- + 5.62
------ ------
Total $1.345 Total $5.548
Cumulative total return as of 4/30/96: +161.43%**
<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>
<PAGE>
<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--4/30/96 13.73 14.45 -- -- + 5.24
------ ------
Total $1.345 Total $4.787
Cumulative total return as of 4/30/96: +142.75%**
<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--4/30/96 13.63 14.35 -- -- + 5.28
------ ------
Total $0.481 Total $1.139
Cumulative total return as of 4/30/96: +25.53%**
<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 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--4/30/96 13.87 14.65 -- -- + 5.62
------ ------
Total $0.481 Total $1.228
Cumulative total return as of 4/30/96: +27.16%**
<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>
PERFORMANCE DATA (concluded)
<PAGE>
<TABLE>
Recent
Performance
Results
<CAPTION>
Net Asset Value Total Return
4/30/96 1/31/96 4/30/95 12-Month 3-Month
<S> <C> <C> <C> <C> <C>
ML Global Allocation Fund, Inc. Class A Shares* $14.66 $14.23 $13.03 +22.64%(1) +3.02%
ML Global Allocation Fund, Inc. Class B Shares* 14.45 14.06 12.87 +21.30(2) +2.77
ML Global Allocation Fund, Inc. Class C Shares* 14.35 13.96 12.82 +21.31(3) +2.79
ML Global Allocation Fund, Inc. Class D Shares* 14.65 14.22 13.03 +22.33(4) +3.02
US Stocks: Standard & Poor's 500 Index** +30.16 +3.39
Non-US Stocks: Financial Times/Standard & Poor's--
Actuaries World Index*** +11.81 +5.25
US Bonds: ML Government Index GA05**** + 7.41 -3.35
Non-US Bonds: Salomon Brothers World Government Bond Index***** + 0.34 +0.33
<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 $0.735 per share ordinary income
dividends and $0.341 per share capital gains distributions.
(3)Percent change includes reinvestment of $0.771 per share ordinary income
dividends and $0.341 per share capital gains distributions.
(4)Percent change includes reinvestment of $0.845 per share ordinary income
dividends and $0.341 per share capital gains distributions.
</TABLE>
PORTFOLIO INFORMATION
Worldwide
Investments
As of 4/30/96
<PAGE>
Ten Largest Industries Percent of
(Equity Investments) Net Assets
Banking 6.8%
Insurance 3.8
Utilities--Electric & Gas 1.9
Telecommunications 1.4
Energy & Petroleum 1.3
Paper & Forest Products 0.9
Pharmaceuticals/Biotechnology 0.9
Oil Services 0.8
Retail Stores 0.7
Real Estate Investment Trusts 0.7
Ten Largest Holdings Percent of
(Equity Investments) Net Assets
Republic New York Corp. 0.6%
Internationale Nederlanden Groep N.V. 0.5
Key Corp 0.5
Noble Drilling Corp. 0.5
Bristol-Myers Squibb Co. 0.5
Chase Manhattan Corporation 0.4
Entergy Corp. 0.4
Comerica, Inc. 0.4
First Commerce Corp. 0.4
Ace, Ltd. 0.4
Percent Breakdown of Stocks
& Fixed-Income Securities by Percent of
Country Net Assets
United States* 55.0%
Germany 10.0
Argentina 5.1
Japan 4.6
France 3.1
United Kingdom 2.7
Spain 2.6
Canada* 2.5
Mexico* 2.4
Brazil 1.7
Netherlands 1.4
Italy 1.4
<PAGE>
Percent Breakdown of Stocks
& Fixed-Income Securities by Percent of
Country (concluded) Net Assets
Sweden 1.2%
Switzerland 0.9
Finland 0.8
Australia 0.8
Singapore 0.6
Hong Kong 0.3
Portugal 0.2
Norway 0.2
Indonesia 0.2
South Africa 0.1
Korea 0.1
------
Total 97.9%
======
[FN]
*Includes investments in short-term securities.
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 below and at right.
CAD Canadian Dollar
CHF Swiss Franc
DEM German Deutschemark
DKR Danish Krone
ECU European Currency Unit
ESP Spanish Peseta
FRF French Franc
GBP Great Britain Pound
HKD Hong Kong Dollar
ITL Italian Lira
JPY Japanese Yen
MXN Mexican Peso
NLG Netherlands Guilder
NOK Norwegian Krone
NZD New Zealand Dollar
USD United States Dollar
ZAR South Africa, Rand
<PAGE>
<TABLE>
SCHEDULE OF INVESTMENTS (in US dollars)
<CAPTION>
Shares Value Percent of
COUNTRY Industries Held Common Stocks Cost (Note 1a) Net Assets
<S> <S> <C> <S> <C> <C> <C>
Australia Banking 2,645,800 Westpac Banking Corp. $ 5,614,396 $ 12,843,745 0.2%
Food 7,916,000 Goodman Fielder Wattie Ltd. 8,324,587 7,834,703 0.1
Insurance 1,614,135 GIO Australia Holdings, Ltd. 2,786,182 3,740,314 0.0
Multi-Industry 1,500,000 Pacific Dunlop, Ltd. 4,092,789 3,652,575 0.0
Tobacco 2,099,800 Rothmans Holdings, Ltd. 7,893,919 10,193,248 0.1
1,242,300 WD & HO Wills Holdings, Ltd. 1,389,502 2,098,027 0.0
-------------- --------------- ------
9,283,421 12,291,275 0.1
Total Common Stocks in Australia 30,101,375 40,362,612 0.4
Brazil Telecommunications 35,000 Telecomunicacoes Brasileiras S.A.--
Telebras PN (ADR)++ (USD) 1,953,385 1,894,375 0.0
Total Common Stocks in Brazil 1,953,385 1,894,375 0.0
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued) (in US dollars)
<CAPTION>
Shares Value Percent of
COUNTRY Industries Held Common Stocks Cost (Note 1a) Net Assets
<S> <S> <C> <S> <C> <C> <C>
Canada Automobile Parts 55,000 Magna International Inc. (USD) $ 2,005,798 $ 2,550,625 0.0%
Beverage 1,575,000 Cott Corp. (USD) 13,029,196 12,796,875 0.1
Metals-- 100,000 Inco Ltd. (USD) 2,132,000 3,362,500 0.0
Non-Ferrous
Natural Resources 300,000 Canadian Pacific, Ltd. (USD) 3,503,161 6,112,500 0.1
440,000 Horsham Corp. (USD) 3,550,742 6,215,000 0.1
-------------- --------------- ------
7,053,903 12,327,500 0.2
Oil--Related 1,360,000 ++++Enermark Income Fund 5,996,120 6,395,768 0.1
353,000 ++++International Petroleum Corp. (USD) 1,000,196 1,059,000 0.0
-------------- --------------- ------
6,996,316 7,454,768 0.1
<PAGE>
Specialty 280,000 Semi-Tech Corporation 4,108,297 1,645,970 0.0
Retailing
Telecommuni- 100,000 BCE Telecommunications, Inc. (USD) 3,375,484 3,937,500 0.0
cations 950,000 ++++Rogers Communications Inc. 8,912,911 9,493,717 0.1
-------------- --------------- ------
12,288,395 13,431,217 0.1
Transport 148,800 Canadian National Railway Company (USD) 1,785,600 2,827,200 0.0
Road/Rail
Total Common Stocks in Canada 49,399,505 56,396,655 0.5
Denmark Banking 53,500 Unidanmark A/S 1,870,730 2,380,392 0.0
Total Common Stocks in Denmark 1,870,730 2,380,392 0.0
Finland Machinery & 146,200 Rauma OY 2,638,513 2,656,645 0.0
Equipment
Metals 366,700 Outokumpu OY 5,258,735 6,421,112 0.1
Paper & Forest 1,500,000 Enso-Gutzeit OY 12,019,454 11,924,919 0.1
Products 443,000 Kymmene OY 12,741,476 11,910,176 0.1
2,698,250 Metsa-Serla OY 22,185,794 19,668,007 0.2
730,700 Repola OY 'S' 10,805,943 14,152,899 0.1
-------------- --------------- ------
57,752,667 57,656,001 0.5
Telecommuni- 400,000 Nokia Corp. (ADR)++ (USD) 13,268,063 14,550,000 0.1
cations 186,360 Nokia OY 8,998,615 6,653,515 0.1
Equipment -------------- --------------- ------
22,266,678 21,203,515 0.2
Total Common Stocks in Finland 87,916,593 87,937,273 0.8
France Automobiles 103,270 Peugeot S.A. 13,810,642 14,395,393 0.1
Banking 215,600 Compagnie de Suez S.A. 8,482,839 8,912,049 0.1
155,000 Compagnie Financiere de Paribas 8,115,596 9,947,292 0.1
66,386 Societe Generale 7,515,928 7,690,240 0.1
-------------- --------------- ------
24,114,363 26,549,581 0.3
Engineering & 109,290 Bouygues S.A. 11,049,834 11,077,758 0.1
Construction
<PAGE>
Foods/Food 61,600 Groupe Danone S.A. 9,786,153 9,288,464 0.1
Products
Industrial 113,700 Alcatel Alsthom Cie Generale
d'Electricite S.A. 10,964,472 10,668,636 0.1
55,305 Compagnie de Saint-Gobain S.A. 6,386,504 6,609,479 0.0
-------------- --------------- ------
17,350,976 17,278,115 0.1
Insurance 338,825 Assurances Generales de France S.A. (AGF) 9,356,914 9,230,275 0.1
Metals/Steel 565,700 ++++Usinor-Sacilor 10,184,315 8,732,062 0.1
Multi-Industry 33,455 EuraFrance S.A. 9,052,946 12,840,726 0.1
Total Common Stocks in France 104,706,143 109,392,374 1.0
Germany Banking 55,680 Bayerische Vereinsbank AG 1,339,965 1,634,442 0.0
113,150 Deutsche Bank AG 5,493,743 5,415,405 0.0
79,063 Deutsche Bank AG (Warrants) (a) 1,300,792 1,289,351 0.0
-------------- --------------- ------
8,134,500 8,339,198 0.0
Capital Goods 369,636 ++++Kloeckner-Werke AG 17,229,762 12,441,760 0.1
Chemicals 32,000 Bayer AG 10,542,728 10,290,933 0.1
20,395 ++++Hoechst AG 6,797,383 6,818,289 0.1
-------------- --------------- ------
17,340,111 17,109,222 0.2
Engineering & 30,480 Holzmann AG 11,661,385 9,821,996 0.1
Construction
Machinery & 25,099 Mannesmann AG 6,857,204 8,562,803 0.1
Equipment
Retail 27,715 Karstadt AG 10,815,610 10,337,532 0.1
Total Common Stocks in Germany 72,038,572 66,612,511 0.6
Hong Kong Banking 286,378 HSBC Holdings PLC 1,750,973 4,275,956 0.0
Multi-Industry 889,500 Hutchison Whampoa Limited 4,867,725 5,519,488 0.0
Real Estate 787,000 Cheung Kong Holdings Limited 5,692,469 5,621,065 0.1
Total Common Stocks in Hong Kong 12,311,167 15,416,509 0.1
<PAGE>
Indonesia Paper & Pulp 2,597,600 ++++Asia Pacific Resources International
Holdings Ltd. (USD) 17,989,368 18,507,900 0.1
1,715,000 ++++Asia Pulp & Paper Company Ltd. (ADR)++
(USD) 19,722,500 20,580,000 0.2
-------------- --------------- ------
37,711,868 39,087,900 0.3
Tobacco 33,000 PT Hanjaya Mandala Sampoerna 184,062 364,856 0.0
Total Common Stocks in Indonesia 37,895,930 39,452,756 0.3
Ireland Packaging & 1,179,300 ++++Jefferson Smurfit Group PLC 3,583,738 3,152,509 0.0
Containers
Total Common Stocks in Ireland 3,583,738 3,152,509 0.0
Italy Automobiles 4,400,000 Fiat S.p.A. 13,202,205 14,969,620 0.1
Banking 1,733,400 Istituto Mobiliare Italiano S.p.A.
(Ordinary) 9,714,574 13,732,796 0.1
Building & 1,922,200 ++++Filippo Fochi S.p.A. 6,101,165 478,963 0.0
Construction
Multi-Industry 9,117,595 ++++Compagnie Industriali Riunite
S.p.A. (CIR) 7,816,550 6,174,825 0.1
33,125,000 ++++MontEdison S.p.A. 20,252,760 20,020,988 0.2
-------------- --------------- ------
28,069,310 26,195,813 0.3
Oil & Related 2,830,800 Ente Nazionale Idrocarburi S.p.A. 11,074,616 12,208,195 0.1
Telecommuni- 3,000,000 Societa Finanziaria Telefonica S.p.A.
cations (STET) 4,365,656 10,120,306 0.1
8,666,863 Societa Finanziaria Telefonica S.p.A.
(STET) RISP 16,268,796 22,675,367 0.2
3,958,000 Telecom Italia S.p.A. 1,927,558 8,054,224 0.1
3,958,000 Telecom Italia Mobile S.p.A. 1,395,818 8,724,356 0.1
-------------- --------------- ------
23,957,828 49,574,253 0.5
Total Common Stocks in Italy 92,119,698 117,159,640 1.1
</TABLE>
<PAGE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued) (in US dollars)
<CAPTION>
Shares Value Percent of
COUNTRY Industries Held Common Stocks Cost (Note 1a) Net Assets
<S> <S> <C> <S> <C> <C> <C>
Japan Automobiles & 2,092,000 Suzuki Motor Corp. $ 19,599,205 $ 26,612,721 0.2%
Equipment
Beverage 1,017,000 Chukyo Coca-Cola Bottling Co., Ltd. 12,207,036 11,770,158 0.1
565,000 Hokkaido Coca-Cola Bottling Co., Ltd. 7,764,597 7,944,046 0.1
690,000 Kinki Coca-Cola Bottling Co., Ltd. 10,868,372 10,229,555 0.1
1,041,000 Mikuni Coca-Cola Bottling Co., Ltd. 14,998,840 16,030,703 0.2
904,000 Sanyo Coca-Cola Bottling Co., Ltd. 13,028,710 13,488,666 0.1
-------------- --------------- ------
58,867,555 59,463,128 0.6
Capital Goods 3,868,000 Mitsubishi Heavy Industries, Ltd. 23,624,404 34,554,873 0.3
Chemicals 215,250 Shin-Etsu Chemical Co., Ltd. 4,193,777 4,714,706 0.0
Electrical 453,000 Chudenko Corp. 14,271,558 15,988,235 0.1
Construction 777,700 Kinden Corporation 13,994,737 12,496,758 0.1
34,100 Taihei Dengyo Kaisha Ltd. 638,911 547,948 0.0
-------------- --------------- ------
28,905,206 29,032,941 0.2
Electrical 77,000 Advantest Corporation 3,441,308 3,822,382 0.0
Equipment 593,000 Murata Manufacturing Co., Ltd. 19,275,913 23,028,025 0.2
-------------- --------------- ------
22,717,221 26,850,407 0.2
Financial 360,000 Nomura Securities Co., Ltd. 7,080,991 7,850,789 0.1
Services
Industrial 28,000 Miura Kogyo Co., Ltd. 466,635 522,238 0.0
13,200 Nitto Kohki Co., Ltd. 489,424 530,273 0.0
-------------- --------------- ------
956,059 1,052,511 0.0
Insurance 2,497,000 Dai-Tokyo Fire & Marine Insurance
Co., Ltd. 16,307,882 19,632,080 0.2
665,000 Fuji Fire & Marine Insurance Co., Ltd. 3,727,641 3,899,044 0.0
2,384,000 Koa Fire & Marine Insurance Co., Ltd. 13,551,678 16,394,988 0.2
620,000 Mitsui Marine & Fire Insurance
Co., Ltd. 5,004,638 5,260,067 0.1
1,804,950 Nichido Fire & Marine Insurance
Co., Ltd. 11,285,484 15,192,310 0.1
1,351,000 Nippon Fire & Marine Insurance
Co., Ltd. 6,970,280 9,885,366 0.1
2,408,000 Sumitomo Marine & Fire Insurance
Co., Ltd. 18,939,904 22,939,914 0.2
2,368,000 Tokio Marine & Fire Insurance Co., Ltd. 25,707,953 32,615,208 0.3
1,130,000 Yasuda Fire & Marine Insurance
Co., Ltd. 8,101,705 8,916,786 0.1
-------------- --------------- ------
109,597,165 134,735,763 1.3
<PAGE>
Office 1,612,000 Canon, Inc. 23,455,745 32,070,397 0.3
Equipment
Packaging & 912,000 Toyo Seikan Kaisha, Ltd. 23,384,016 32,362,697 0.3
Containers
Pharma- 1,061,000 Sankyo Pharmaceuticals Co., Ltd. 23,391,365 25,776,566 0.2
ceuticals 384,000 Taisho Pharmaceuticals Co. 7,984,458 8,410,904 0.1
-------------- --------------- ------
31,375,823 34,187,470 0.3
Restaurants 356,400 Mos Food Services, Inc. 8,807,909 9,204,017 0.1
310,000 Ohsho Food Service Corp. 6,834,314 5,633,668 0.1
-------------- --------------- ------
15,642,223 14,837,685 0.2
Retail Stores 460,000 Ito Yokado Co., Ltd. 21,319,319 27,146,820 0.3
100,000 Sangetsu Co., Ltd. 3,160,832 2,486,848 0.0
-------------- --------------- ------
24,480,151 29,633,668 0.3
Retailing 75,000 Tokyo Electron Limited 2,928,405 2,790,531 0.0
Steel 266,000 Maruichi Steel Tube Ltd. 5,107,698 5,622,764 0.1
Total Common Stocks in Japan 401,915,644 476,373,051 4.4
Mexico Conglomerates 433,800 ++++Grupo Carso, S.A. de C.V. (ADR)++
(USD)+++ 3,832,850 6,615,450 0.1
Foods 700,000 Grupo Industrial Maseca (ADR)++ (USD) 7,969,925 10,237,500 0.1
Total Common Stocks in Mexico 11,802,775 16,852,950 0.2
Nether- Airlines 156,260 KLM Royal Dutch Airlines N.V. 4,486,455 5,235,070 0.0
lands
Banking 399,265 ++++ABN AMRO Holdings N.V. 13,262,105 20,634,391 0.2
Chemicals 288,070 European Vinyls Corp. International N.V. 11,384,340 10,322,382 0.1
Computer Software 112,800 Getronics N.V. 4,941,210 7,821,010 0.1
<PAGE>
Forest Products 385,900 Koninklijke KNP N.V. 9,018,462 9,196,125 0.1
Insurance 202,000 ++++Aegon N.V. 4,358,871 9,603,915 0.1
202,565 Amev N.V. 8,390,111 14,446,167 0.1
706,615 Internationale Nederlanden Groep N.V. 27,430,540 54,469,012 0.5
-------------- --------------- ------
40,179,522 78,519,094 0.7
Miscellaneous-- 10,000 Nijverdal Ten Cate N.V. 501,699 418,924 0.0
Manufacturing
Telecommuni- 498,000 Koninklijke PTT Nederland N.V. 17,932,150 18,657,228 0.2
cations
Total Common Stocks in the Netherlands 101,705,943 150,804,224 1.4
Norway Banking 4,785,400 Christiania Bank Og Kreditkasse 10,697,335 10,402,569 0.1
Energy & 193,100 Norsk Hydro A.S. 8,087,966 8,791,549 0.1
Petroleum
Total Common Stocks in Norway 18,785,301 19,194,118 0.2
Portugal Banking 354,300 Espirito Santo Financial Holdings S.A.
(ADR)++ (USD) 4,675,168 4,163,025 0.0
Total Common Stocks in Portugal 4,675,168 4,163,025 0.0
Spain Banking 326,000 Argentaria S.A. 12,974,203 13,167,843 0.1
587,481 Banco de Santander S.A. (Ordinary) 21,323,786 27,231,472 0.3
61,775 Banco Popular Espanol S.A. 6,511,311 10,213,467 0.1
83,000 Bank Intercontinental S.A. 4,607,612 8,710,118 0.1
-------------- --------------- ------
45,416,912 59,322,900 0.6
Energy & 312,300 Repsol S.A. 10,139,012 11,426,506 0.1
Petroleum 212,500 Repsol S.A. (ADR)++ (USD) 6,126,375 7,862,500 0.1
-------------- --------------- ------
16,265,387 19,289,006 0.2
Engineering & 54,450 Fomento de Construciones y Con-
Construction tratas S.A. 4,508,276 4,633,588 0.0
Insurance 30,000 Mapfre S.A. 1,130,028 1,505,882 0.0
Manufacturing 189,724 ++++Grupo Fosforera Espanola S.A. 1,650,493 647,294 0.0
<PAGE>
Multi-Industry 45,750 Corporacion Financiera Alba S.A. 1,611,658 3,602,588 0.0
Real Estate 236,708 Immobiliaria Metropolitana Vasco
Central S.A. 5,888,465 7,751,027 0.1
Toll Roads 154,000 Autopistas Concesionaria Espanola S.A. 1,363,246 1,606,431 0.0
Utilities-- 100,000 Empresa Nacional de Electricidad S.A. 3,759,956 6,266,667 0.1
Electric 591,800 Iberdrola I S.A. 3,310,030 5,778,753 0.0
-------------- --------------- ------
7,069,986 12,045,420 0.1
Total Common Stocks in Spain 84,904,451 110,404,136 1.0
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued) (in US dollars)
<CAPTION>
Shares Value Percent of
COUNTRY Industries Held Common Stocks Cost (Note 1a) Net Assets
<S> <S> <C> <S> <C> <C> <C>
Sweden Appliances 232,464 Electrolux AB 'B' Free $ 11,264,721 $ 11,705,343 0.1%
Automotive & 499,300 Volvo AB 9,983,476 11,431,265 0.1
Equipment
Banking 830,000 Sparbanken Sverige AB 8,697,641 9,348,498 0.1
815,055 Stadshypotek AB 12,032,174 17,760,327 0.2
-------------- --------------- ------
20,729,815 27,108,825 0.3
Industrial 200,000 SKF AB 'A' 3,713,376 4,549,470 0.0
329,350 SKF AB 'B' Free 6,043,609 7,661,558 0.1
-------------- --------------- ------
9,756,985 12,211,028 0.1
Insurance 287,335 Skandia Forsakring AB Free 6,553,411 6,557,262 0.0
Metals--Steel 550,800 Avesta Sheffield AB 5,089,653 5,676,678 0.1
Multi-Industry 329,530 Svedala Industri AB Free 7,118,695 11,789,722 0.1
Paper & Forest 304,950 Mo och Domsjo AB (Class B) 16,502,175 16,208,326 0.2
Products 1,110,275 Stora Kopparbergs Bergslags AB 13,078,920 14,957,327 0.1
-------------- --------------- ------
29,581,095 31,165,653 0.3
<PAGE>
Real Estate 830,000 ++++Tornet Fastighets AB 550,422 549,912 0.0
Total Common Stocks in Sweden 100,628,273 118,195,688 1.1
Switzer- Chemicals 20,047 Ciba-Geigy AG (Registered) 11,156,861 23,184,372 0.3
land
Conglomerates 201,430 ++++Oerlikon-Buehrle Holding Ltd. 21,718,821 21,500,955 0.2
Electrical 84,390 Societe Suisse pour la Micro-
Components electronique et l'Horlogerie AG 11,851,563 12,529,815 0.1
Pharmaceuticals 2,630 Sandoz AG (Registered) 2,847,980 2,862,183 0.0
Total Common Stocks in Switzerland 47,575,225 60,077,325 0.6
United Conglomerates 5,361,600 Hanson PLC (Ordinary) 16,086,979 15,822,280 0.1
Kingdom 50,000 Hanson PLC Sponsored (ADR)++ (USD) 947,577 756,250 0.0
-------------- --------------- ------
17,034,556 16,578,530 0.1
Environmental 940,000 ++++Waste Management International PLC
(ADR)++ (USD) 9,206,375 10,692,500 0.1
Food & 1,360,600 Grand Metropolitan PLC 8,858,753 8,909,002 0.1
Beverage 35,000 Grand Metropolitan PLC (ADR)++ (USD) 1,031,100 931,875 0.0
-------------- --------------- ------
9,889,853 9,840,877 0.1
Industrial-- 556,000 Tomkins PLC 1,848,100 2,287,902 0.0
Other
Insurance 339,800 Prudential Corp. PLC 1,639,768 2,327,021 0.0
Office Equipment 150,000 Danka Business Systems PLC (ADR)++ (USD) 3,374,019 7,181,250 0.1
Pharmaceuticals 500,000 SmithKline Beecham Corp. PLC (ADR)++
(USD) 11,603,072 27,000,000 0.3
Steel 1,500,000 British Steel PLC 4,081,599 4,482,873 0.0
Telecommuni- 2,540,400 British Telecommunications PLC
cations (Ordinary) 14,345,287 13,925,380 0.1
888,800 Unilever Capital Corp. 16,412,323 16,217,818 0.2
-------------- --------------- ------
30,757,610 30,143,198 0.3
Utilities--Gas 2,724,400 British Gas PLC 10,258,501 9,651,039 0.1
<PAGE>
Utilities-- 1,703,000 Southwest Water PLC 13,068,875 17,468,172 0.2
Water
Total Common Stocks in the
United Kingdom 112,762,328 137,653,362 1.3
United Apparel 860,000 ++++Fruit of the Loom, Inc. 23,555,786 22,682,500 0.2
States 100,000 Liz Claiborne, Inc. 2,016,276 3,637,500 0.0
-------------- --------------- ------
25,572,062 26,320,000 0.2
Automobiles 215,308 Ford Motor Company 5,671,871 7,724,175 0.1
350,000 General Motors Corp. 13,282,191 18,987,500 0.2
-------------- --------------- ------
18,954,062 26,711,675 0.3
Automotive 588,800 ++++Collins & Aikman Group Inc. 4,337,565 4,121,600 0.0
Banking 400,000 Bank of New York Company, Inc. (The) 11,435,717 19,400,000 0.2
15,000 Bank of New York Company, Inc. (The)
(Warrants) (a) 168,750 532,500 0.0
125,000 BankAmerica Corp. 6,382,828 9,468,750 0.1
319,000 Bankers Trust Co. 7,620,125 8,014,875 0.1
129,500 Banknorth Group, Inc. 1,865,422 4,467,750 0.0
200,000 Barnett Banks Inc. 8,134,897 12,675,000 0.1
400,000 California Federal Bank 3,417,496 7,150,000 0.1
500,000 Charter One Financial, Inc. 10,785,850 17,437,500 0.2
700,000 Chase Manhattan Corporation (New) (c) (e) 25,795,309 48,212,500 0.4
1,017,100 City National Corp. 7,293,719 14,366,538 0.1
1,000,000 Comerica Inc. 26,977,513 43,500,000 0.4
400,000 CoreStates Financial Corp. 10,816,733 15,600,000 0.1
450,000 First Chicago NBD Corporation 13,768,555 18,562,500 0.2
1,250,000 First Commerce Corp. 31,823,468 42,500,000 0.4
707,800 First of America Bank 25,666,256 32,027,950 0.3
1,406,102 KeyCorp 41,572,512 54,310,690 0.5
707,900 Mellon Bank Corp. 25,343,868 38,049,625 0.4
500,000 Onbancorp, Inc. 13,615,887 16,500,000 0.2
368,000 +++++Oriental Bank and Trust 5,050,248 6,670,000 0.1
1,100,000 Republic New York Corp. 49,526,909 65,312,500 0.6
56,800 Roosevelt Financial Group, Inc. 882,388 1,086,300 0.0
450,000 Southern National Corp. 8,670,728 12,543,750 0.1
-------------- --------------- ------
336,615,178 488,388,728 4.6
Capital Goods 135,000 United Technologies Corporation 10,853,255 14,917,500 0.1
<PAGE>
Chemicals 150,000 du Pont (E.I.) de Nemours & Co. 10,389,955 12,056,250 0.1
55,000 PPG Industries, Inc. 2,464,430 2,784,375 0.0
-------------- --------------- ------
12,854,385 14,840,625 0.1
Communications 185,700 Comsat Corp. 4,308,767 5,663,850 0.1
104,500 GTE Corp. 3,514,166 4,532,688 0.0
-------------- --------------- ------
7,822,933 10,196,538 0.1
Computer 240,000 General Motors Corp. (Class E) 9,927,011 13,530,000 0.1
Services 300,000 ++++Landmark Graphics Corp. 5,674,200 5,775,000 0.1
-------------- --------------- ------
15,601,211 19,305,000 0.2
Computer 200,000 ++++Progress Software Corporation 3,110,000 3,150,000 0.0
Software
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued) (in US dollars)
<CAPTION>
Shares Value Percent of
COUNTRY Industries Held Common Stocks Cost (Note 1a) Net Assets
<S> <S> <C> <S> <C> <C> <C>
United Computers 150,000 ++++Boole & Babbage, Inc. $ 1,329,492 $ 3,862,500 0.0%
States 400,000 Borland International Corp. 5,341,902 6,500,000 0.1
(continued) 126,900 ++++Stratus Computer, Inc. 3,357,666 3,569,063 0.0
1,100,000 ++++Unisys Corp. 12,291,367 6,600,000 0.1
-------------- --------------- ------
22,320,427 20,531,563 0.2
Construction & 153,800 Centex Corp. 3,880,118 4,152,600 0.0
Housing 500,000 ++++K. Hovnanian Enterprises, Inc.
(Class A) 4,920,209 3,437,500 0.0
-------------- --------------- ------
8,800,327 7,590,100 0.0
Construction 700,000 TJ International, Inc. 12,547,379 11,900,000 0.1
Products
Consumer-- 400,000 ++++Department 56, Inc. 8,951,325 9,950,000 0.1
Miscellaneous
Containers 50,000 Crown Cork & Seal Co., Inc. 1,912,840 2,356,250 0.0
Diversified 75,000 Crane Co. 2,691,213 3,112,500 0.0
Industrial
<PAGE>
Electronics 165,000 General Electric Co. 9,160,779 12,787,500 0.1
50,000 Texas Instruments, Inc. 3,771,749 2,825,000 0.0
-------------- --------------- ------
12,932,528 15,612,500 0.1
Energy & 163,900 Ashland Coal, Inc. 4,132,919 3,810,675 0.0
Petroleum 49,500 Cabot Oil & Gas Corp. (Class A) 529,029 816,750 0.0
175,000 Chevron Corp. 9,028,140 10,150,000 0.1
130,000 Helmerich & Payne, Inc. (c) 2,773,423 4,793,750 0.0
46,400 Mitchell Energy Development Corp.
(Class A) 675,717 759,800 0.0
174,350 Mitchell Energy Development Corp.
(Class B) 2,755,451 2,854,981 0.0
50,000 Murphy Oil Corp. 1,899,720 2,231,250 0.0
106,100 ++++Nuevo Energy Co. 2,048,791 2,997,325 0.0
1,500,000 Occidental Petroleum Corp. 28,058,743 38,625,000 0.4
61,200 Pennzoil Co. 3,775,844 2,708,100 0.0
235,828 ++++Plains Resources, Inc.+++ 1,381,815 2,741,501 0.0
1,094,247 Santa Fe Energy Resources, Inc. 10,119,883 13,130,964 0.1
211,514 ++++Transamerica Refining Corp.
(Warrants) (a) 531,220 475,907 0.0
1,750,000 ++++TransTexas Gas Corp. 20,397,690 17,500,000 0.2
600,000 USX-Marathon Group 10,542,976 13,200,000 0.1
138,800 Unocal Corp. 3,272,336 4,458,950 0.0
-------------- --------------- ------
101,923,697 121,254,953 0.9
Financial 447,800 Student Loan Marketing Association 18,800,852 32,801,350 0.3
Services
Food & Tobacco 200,000 Philip Morris Companies, Inc. 9,967,872 18,025,000 0.2
212,462 RJR Nabisco, Inc. 5,842,716 6,347,302 0.1
-------------- --------------- ------
15,810,588 24,372,302 0.3
Healthcare 360,000 ++++Advocat, Inc.+++++ 3,422,500 3,735,000 0.0
Services 600,000 Baxter International, Inc. 12,857,880 26,550,000 0.3
400,000 ++++Beverly Enterprises, Inc. 4,291,401 4,850,000 0.0
1,216,000 ++++Community Psychiatric Centers 10,259,163 11,248,000 0.1
400,000 ++++Humana, Inc. 8,564,795 9,850,000 0.1
546,500 US Surgical Corp. 11,871,438 20,220,500 0.2
-------------- --------------- ------
51,267,177 76,453,500 0.7
Home Appliance 230,000 Singer Co. 6,382,382 5,951,250 0.1
Hotel/Leisure 114,000 ITT Corp. 4,221,738 6,939,750 0.1
Industrial 200,000 ++++American Standard, Inc. 6,011,000 5,650,000 0.1
915,000 BW/IP Holdings, Inc. 15,816,387 18,757,500 0.2
179,802 Cooper Industries, Inc. 6,534,892 7,641,585 0.1
-------------- --------------- ------
28,362,279 32,049,085 0.4
<PAGE>
Insurance 913,400 Ace, Ltd. 20,951,269 40,189,600 0.4
340,000 Aetna Life & Casualty Co. 18,752,639 24,225,000 0.2
150,000 Alexander & Alexander Services, Inc. 2,461,336 2,831,250 0.0
155,000 Allstate Corp. 4,889,885 6,025,625 0.1
510,000 American General Corp. 13,187,448 17,913,750 0.2
571,000 Horace Mann Educators, Inc. 13,654,588 18,771,625 0.2
114,000 ITT Hartford Group Inc. 4,188,594 5,571,750 0.1
640,200 Lincoln National Corp. 23,466,317 30,889,650 0.3
100,000 National Re Corp. 3,113,128 3,550,000 0.0
550,000 PartnerRe Holdings, Ltd. 10,844,352 15,400,000 0.1
25,000 ++++Risk Capital Holdings Inc. 493,750 493,750 0.0
-------------- --------------- ------
116,003,306 165,862,000 1.6
Machinery-- 150,000 York International Corp. (New) 6,687,115 7,200,000 0.1
Diversified
Manufacturing 200,000 ITT Industries Inc. 4,175,065 5,500,000 0.1
Metals 305,000 Aluminum Co. of America 13,814,815 19,024,375 0.2
200,000 Nucor Corporation 8,824,828 11,250,000 0.1
132,800 Reynolds Metals Co. 5,801,771 7,138,000 0.1
-------------- --------------- ------
28,441,414 37,412,375 0.4
Multi-Industry 180,000 Loews Corp. 7,934,294 13,725,000 0.1
Natural Resources 210,519 Freeport-McMoRan Copper & Gold Inc.
(Class B) 3,665,657 6,920,812 0.1
Office Equipment 88,600 Harris Corp. 5,200,236 5,471,050 0.1
Oil Services 150,000 Arethusa (Offshore) Ltd. 1,610,522 6,567,000 0.1
125,000 Mobil Oil Corp. 9,757,153 14,375,000 0.1
3,614,375 Noble Drilling Corp. 25,124,880 54,215,625 0.5
-------------- --------------- ------
36,492,555 75,157,625 0.7
Pharmaceuticals/ 300,000 ++++Alteon, Inc. 2,700,000 3,787,500 0.0
Biotechnology 110,000 American Home Products Corporation 8,542,162 11,605,000 0.1
600,000 Bristol-Myers Squibb Co. 33,254,124 49,350,000 0.5
550,000 Merck & Co., Inc. 21,409,003 33,275,000 0.3
-------------- --------------- ------
65,905,289 98,017,500 0.9
Photography 160,000 Eastman Kodak Co. 8,746,145 12,240,000 0.1
<PAGE>
Pollution Control 646,900 WMX Technologies, Inc. 16,148,443 22,479,775 0.2
Publishing 175,000 Gannett Co., Inc. 8,375,486 11,965,625 0.1
301,500 New York Times Co. (Class A) 7,158,778 9,798,750 0.1
-------------- --------------- ------
15,534,264 21,764,375 0.2
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued) (in US dollars)
<CAPTION>
Shares Value Percent of
COUNTRY Industries Held Common Stocks Cost (Note 1a) Net Assets
<S> <S> <C> <S> <C> <C> <C>
United Real Estate 300,000 Carr Realty Corp. $ 5,880,781 $ 7,275,000 0.1%
States Investment Trusts 500,000 First Union Real Estate Investments 3,764,840 3,625,000 0.0
(concluded) 150,000 Meditrust 5,100,000 5,081,250 0.0
661,300 +++++Mid-America Realty Investments 6,616,640 5,455,725 0.1
100,000 Mid-Atlantic Realty Trust Co. 917,500 950,000 0.0
830,000 +++++Prime Residential, Inc. 13,262,250 15,043,750 0.1
400,000 Taubman Centers, Inc. 3,807,537 3,950,000 0.0
-------------- --------------- ------
39,349,548 41,380,725 0.3
Restaurants 300,000 ++++Buffets, Inc. 3,157,818 4,162,500 0.0
Retail Stores 608,500 Baker (J.), Inc. 10,187,765 5,780,750 0.1
443,200 ++++Burlington Coat Factory Warehouse 4,846,377 4,819,800 0.0
516,900 +++++Buttrey Food & Drug Stores Co. 4,084,486 3,812,137 0.0
40,000 Dayton-Hudson Corp. 2,634,594 3,820,000 0.0
1,110,000 +++++Filene's Basement Corp. 10,092,619 4,301,250 0.0
300,000 The Limited, Inc. 5,724,485 6,225,000 0.1
1,373,500 ++++Payless Cashways, Inc. 17,027,625 5,665,688 0.1
450,000 ++++The Vons Companies, Inc. 7,366,050 14,400,000 0.1
-------------- --------------- ------
61,964,001 48,824,625 0.4
Savings Banks 257,500 Bankers Corp. 1,552,137 4,377,500 0.0
1,550,768 ++++Dime Bancorp, Inc. 10,588,158 18,996,908 0.2
206,220 Downey Savings & Loan Association 2,896,670 4,459,508 0.0
1,500,000 Glendale Federal Savings Bank 13,099,375 26,250,000 0.2
770,194 Glendale Federal Savings Bank
(Warrants) (a) -- 6,161,552 0.1
-------------- --------------- ------
28,136,340 60,245,468 0.5
<PAGE>
Specialty 400,000 Sotheby's Holdings, Inc. (Class A) 4,879,559 5,650,000 0.1
Retailing 1,030,000 ++++Toys 'R' Us, Inc. 25,002,909 28,711,250 0.3
-------------- --------------- ------
29,882,468 34,361,250 0.4
Telecommuni- 100,000 ++++ADC Telecommunications, Inc. 3,538,774 4,150,000 0.0
cations 27,750 ++++American Telecasting Inc. (Warrants) (a) -- 1,026,750 0.0
100,000 ++++DSC Communications Corp. 4,052,678 3,125,000 0.0
3,000,000 +++Geotek Communications Inc.
(Warrants) (a) 14,200,634 14,070,000 0.1
180,000 SBC Communications Inc. 8,015,735 9,000,000 0.1
310,000 World Communications, Inc. 7,317,232 14,531,250 0.1
-------------- --------------- ------
37,125,053 45,903,000 0.3
Textiles 2,825,200 ++++Burlington Industries, Inc. 37,451,653 32,842,950 0.3
Utilities-- 4,512,285 +++++El Paso Electric Company 23,689,496 23,971,514 0.2
Electric
Utilities-- 1,250,000 Allegheny Power System, Inc. 27,315,551 36,562,500 0.4
Electric & Gas 125,000 CMS Energy Corp. 2,290,025 3,640,625 0.0
2,101,000 Centerior Energy Corp. 28,664,979 14,444,375 0.1
100,000 Consolidated Edison Company, Inc. 2,923,495 2,937,500 0.0
1,780,000 Entergy Corp. 47,516,856 47,170,000 0.4
475,000 FPL Group, Inc. 14,363,265 20,484,375 0.2
300,000 General Public Utilities Corp. 8,663,891 9,525,000 0.1
47,570 ++++Great Bay Power Corp. 2,549,753 368,668 0.0
1,500,000 Niagara Mohawk Power Corp. 23,789,306 11,250,000 0.1
844,600 Texas Utilities Co. 26,942,999 33,995,150 0.3
1,148,800 Unicom Corporation 27,549,620 31,592,000 0.3
-------------- --------------- ------
212,569,740 211,970,193 1.9
Utilities--Gas 115,650 Atmos Energy Corp. 1,445,257 2,862,338 0.0
Total Common Stocks in the
United States 1,522,350,560 1,957,101,844 17.9
Total Investments in Common Stocks 2,901,002,504 3,590,977,329 32.9
Equity Closed-End Funds
Austria Financial 320,000 ++++Austria Fund (USD) 2,642,432 2,840,000 0.0
Services
Total Equity Closed-End Funds in
Austria 2,642,432 2,840,000 0.0
<PAGE>
Indonesia Financial 25,600 Jakarta Growth Fund (USD) 158,080 240,000 0.0
Services
Total Equity Closed-End Funds in
Indonesia 158,080 240,000 0.0
Ireland Financial 150,000 Irish Investment Fund, Inc. (USD) 1,086,041 1,931,250 0.0
Services
Total Equity Closed-End Funds in
Ireland 1,086,041 1,931,250 0.0
Italy Financial 150,000 Italy Fund (USD) 1,198,520 1,312,500 0.0
Services
Total Equity Closed-End Funds in Italy 1,198,520 1,312,500 0.0
Portugal Financial 39,500 ++++Capital Portugal Fund 2,052,116 3,669,742 0.1
Services 40,000 Portugal Fund (USD) 360,368 490,000 0.0
Total Equity Closed-End Funds in
Portugal 2,412,484 4,159,742 0.1
Spain Financial 300,100 Growth Fund of Spain, Inc. (USD) 2,630,827 3,451,150 0.0
Services
Total Equity Closed-End Funds in Spain 2,630,827 3,451,150 0.0
United Financial 166,666 ++++European Warrant Fund 1,363,723 1,687,493 0.0
States Services
Total Equity Closed-End Funds in the
United States 1,363,723 1,687,493 0.0
Total Investments in Equity
Closed-End Funds 11,492,107 15,622,135 0.1
Preferred Stocks
Australia Publishing 600,000 +++++The News Corporation Ltd. (ADR)++ (USD) 10,451,056 12,225,000 0.1
Total Preferred Stocks in Australia 10,451,056 12,225,000 0.1
<PAGE>
Germany Multi-Industry 45,000 RWE AG 8,725,424 13,077,299 0.1
Total Preferred Stocks in Germany 8,725,424 13,077,299 0.1
Norway Financial 175,000 A/S Eksportfinans (8.70%) (USD) 4,377,500 4,550,000 0.0
Services
Total Preferred Stocks in Norway 4,377,500 4,550,000 0.0
New Finance 5,585,700 Brierly Investments, Ltd. (9%
Zealand Convertible) 3,515,477 4,906,836 0.0
Total Preferred Stocks in New Zealand 3,515,477 4,906,836 0.0
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued) (in US dollars)
<CAPTION>
Shares Value Percent of
COUNTRY Industries Held Preferred Stocks Cost (Note 1a) Net Assets
<S> <S> <C> <S> <C> <C> <C>
Spain Banking 225,000 Santander Overseas Bank (8%, Series D)
(USD) $ 5,463,250 $ 5,596,875 0.1%
Total Preferred Stocks in Spain 5,463,250 5,596,875 0.1
United Retail Stores 545,000 ++++Signet Group (Convertible) (ADR)++ (USD) 2,194,907 7,493,750 0.1
Kingdom
Total Preferred Stocks in the
United Kingdom 2,194,907 7,493,750 0.1
United Banking 100,000 Boatmen's Bancshares, Inc. 2,500,000 3,350,000 0.0
States 55,000 California Federal Bank (10.625%) 5,500,000 5,946,875 0.1
100,000 First Nationwide Bank (11.50%) 10,531,250 11,150,000 0.1
130,300 HSBC Americas Inc. (Series A) 5,219,925 5,488,888 0.1
100,000 Onbancorp, Inc. (6.75% Convertible,
Series B) 2,668,750 2,675,000 0.0
-------------- --------------- ------
26,419,925 28,610,763 0.3
<PAGE>
Energy & 150,000 Grant Tensor Corp. (9.75% Convertible) 1,853,375 2,868,750 0.0
Petroleum 64,219 Santa Fe Energy Resources, Inc. (7%) 954,075 1,340,572 0.0
460,000 Santa Fe Energy Resources, Inc.
(Convertible, Class A) 4,082,500 5,347,500 0.1
-------------- --------------- ------
6,889,950 9,556,822 0.1
Health Care 1,080,000 US Surgical Corp. (Convertible) 24,354,000 39,555,000 0.4
Natural 85,000 Alumax Inc. (Convertible, Series A) 7,240,312 12,027,500 0.1
Resources 150,000 Cyprus Amax Minerals Co. (Convertible,
Series A) 9,188,313 9,150,000 0.1
348,700 Freeport-McMoRan Copper & Gold, Inc.
(Convertible) 7,918,834 9,894,362 0.1
219,000 Freeport-McMoRan Inc. (Convertible
--Gold) 7,703,330 7,856,625 0.0
-------------- --------------- ------
32,050,789 38,928,487 0.3
Oil Service 447,200 Noble Drilling Corp. (Convertible) 10,745,382 14,198,600 0.1
Paper & Forest 200,000 Boise Cascade Corp. (Convertible,
Products Series G) 4,225,000 7,500,000 0.1
288,200 James River Corp. of Virginia
(9% Convertible, Series P) 4,971,450 7,313,075 0.0
-------------- --------------- ------
9,196,450 14,813,075 0.1
Real Estate 728,000 +++Catellus Development Corp. (7.25%
Convertible Exchangeable, Series B) 33,521,250 37,492,000 0.4
Real Estate 835,500 National Health Investors, Inc.
Investment (8.50% Convertible) 8,750,000 10,543,750 0.1
Trusts 672,500 Prime Retail, Inc. (8.50% Convertible,
Series B) 11,955,312 11,600,625 0.1
350,000 Prime Retail, Inc. (10.50%) 19,316,161 18,589,875 0.2
-------------- --------------- ------
40,021,473 40,734,250 0.4
Savings Bank 619,900 Glendale Federal Savings Bank (8.75%
Convertible, Series E) 15,070,337 29,135,300 0.3
Total Preferred Stocks in the
United States 198,269,556 253,024,297 2.4
Total Investments in Preferred Stocks 232,997,170 300,874,057 2.8
Currency
Denomi- Face
nation Amount Fixed-Income Securities
<PAGE>
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 20,267,500 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 51,170,000 0.5
-------------- --------------- ------
116,580,410 118,937,500 1.1
Government Republic of Argentina:
Obligations USD 145,000,000 Discount Notes, 7.125% due 3/31/2023 105,887,191 99,868,750 0.9
USD 188,100,000 Floating Rate Bonds, Series L,
6.312% due 3/31/2005 106,080,975 143,661,375 1.3
USD 22,500,000 Global Bonds, 8.375% due 12/20/2003 16,943,750 19,800,000 0.2
USD 324,000,000 Par Bonds, 5.25% due 3/31/2023 163,646,583 176,580,000 1.6
-------------- --------------- ------
392,558,499 439,910,125 4.0
Total Fixed-Income Securities in
Argentina 509,138,909 558,847,625 5.1
Australia Building & USD 26,410,000 Lend Lease Finance International, 4.75%
Construction due 6/01/2003 28,765,793 34,317,154 0.3
Food USD 14,000,000 Burns, Philp & Company Ltd., Convertible
Processing Bonds, 5.50% due 4/30/2004 11,976,950 11,865,000 0.1
Total Fixed-Income Securities in
Australia 40,742,743 46,182,154 0.4
Brazil Government USD 35,000,000 Brazil Exit Bonds, 6% due 9/15/2013
Obligations Republic of Brazil: 19,647,280 20,737,500 0.2
USD 36,270,000 7.812% due 1/01/2001 (d) 28,349,887 33,277,725 0.3
USD 5,000,000 Discount Notes, 7.25% due 4/15/2024 3,100,000 3,387,500 0.0
USD 200,000,000 Par Z-L Step Up, 4.25% due 4/15/2024 77,539,922 105,000,000 1.0
-------------- --------------- ------
128,637,089 162,402,725 1.5
Media/ USD 15,000,000 +++Abril S.A., 12% due 10/25/2003 15,030,000 15,581,250 0.1
Publishing
Mining USD 11,500,000 +++Companhia Vale Do Rio Doce, 10% due
4/02/2004 11,485,878 11,643,750 0.1
Total Fixed-Income Securities in
Brazil 155,152,967 189,627,725 1.7
<PAGE>
Canada Cable/ CAD 7,545,000 Rogers Cablesystem Inc., 9.65% due
Telecommuni- 1/15/2014 4,397,424 4,643,205 0.0
cations
Hotel/ USD 21,000,000 +++Four Seasons Hotel, Inc., 9.125% due
Leisure 7/01/2000 20,917,750 20,921,250 0.2
Industrial USD 20,000,000 Crown Packaging Ltd. 10.75% due
11/01/2000 20,000,000 18,800,000 0.2
Oil & CAD 13,283,000 Talisman Energy Inc. (Ex-Warrants),
Related 8.50% due 12/01/2000 10,110,024 9,858,057 0.1
Paper & CAD 2,000,000 Macmillan Bloedel Limited, Convertible
Forest Bonds, 5% due 5/01/2007 1,024,416 1,160,996 0.0
Products
Real Estate CAD 16,501,370 First Place Tower, Inc., 8.50% due
12/15/2005 26,164,813 19,097,404 0.2
CAD 27,469,400 First Place Tower Mortgage, Inc., 9.22%
due 12/15/2005 21,522,162 20,275,562 0.2
-------------- --------------- ------
47,686,975 39,372,966 0.4
Resources CAD 35,000,000 Sherritt, Inc., 11% due 3/31/2004 25,298,446 28,032,919 0.2
USD 32,500,000 Sifto Canada, Inc., 8.50% due
7/15/2000 32,375,188 31,200,000 0.3
-------------- --------------- ------
57,673,634 59,232,919 0.5
Telecom- USD 14,500,000 Call Net Enterprise, Inc., 13.25% due
munications 12/01/2004 (b) 9,151,181 10,693,750 0.1
& Media USD 5,000,000 Rogers Communications Inc., 7.50% due
9/01/1999 3,394,000 3,490,337 0.0
-------------- --------------- ------
12,545,181 14,184,087 0.1
Textiles & USD 12,500,000 Consoltex Group, Inc., 11% due
Apparel 10/01/2003 12,530,000 11,500,000 0.1
Total Fixed-Income Securities in
Canada 186,885,404 179,664,480 1.6
</TABLE>
<PAGE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued) (in US dollars)
<CAPTION>
Currency
Denomi- Face Value Percent of
COUNTRY Industries naiton Amount Fixed-Income Securities Cost (Note 1a) 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 $ 1,107,539 0.0%
Banking ECU 2,000,000 Credit Local de France, 8.683% due
10/16/2001 (b) 1,774,171 1,739,617 0.0
FRF 58,000 Societe Generale, Convertible Bonds
(New), 3.50% due 1/01/2000 7,499,838 8,577,662 0.1
-------------- --------------- ------
9,274,009 10,317,279 0.1
Chemicals USD 10,000,000 Acetex Corporation, 9.75% due
10/01/2003 9,956,300 10,050,000 0.1
Government ECU 153,500,000 Government of France, 8.25% due
Obligations 4/25/2022 176,793,028 201,298,672 1.8
Industrial FRF 30,000 Alcatel Alsthom, Convertible Bonds,
2.50% due 1/01/2004 3,926,887 4,766,869 0.0
Insurance FRF 35,500 Finaxa, Convertible Bonds, 3% due
1/01/2001 9,060,172 10,657,882 0.1
Multi- FRF 8,713 Compagnie Generale des Eaux, Con-
Industry vertible Bonds, 6% due 1/01/1998 4,859,722 5,490,729 0.1
Total Fixed-Income Securities in
France 214,862,459 243,688,970 2.2
Germany Banking DEM 2,310,000 Commerzbank AG, Floating Rate Con-
vertible Bonds, 2% due 6/15/2001 1,556,456 2,142,740 0.0
USD 5,000,000 Landes Kredit Bank, 7.875% due
4/15/2004 4,972,067 5,244,600 0.1
-------------- --------------- ------
6,528,523 7,387,340 0.1
Building USD 41,100,000 Tarkett AG, 9% due 3/01/2002 39,413,750 41,922,000 0.4
Materials
Financial USD 5,875,000 Veba International Finance (with
Services Warrants), 6% due 4/06/2000 2,965,841 5,786,875 0.0
Government Bundesrepublic Deutscheland:
Obligations DEM 31,000,000 5.75% due 8/20/1998 22,444,131 21,030,679 0.2
DEM 130,500,000 7.375% due 1/03/2005 99,256,229 91,154,207 0.8
DEM 287,000,000 6% due 6/20/2016 174,287,465 167,070,320 1.5
DEM 357,000,000 Deutsche Bundespost, 7.75% due
10/01/2004 261,714,472 252,880,822 2.3
-------------- --------------- ------
557,702,297 532,136,028 4.8
<PAGE>
Government DEM 64,000,000 Baden-Wuerttemberg, 6.20% due
Obligations 11/22/2013 37,148,769 41,685,584 0.4
--Regional DEM 55,000,000 Freie Hansestadt Hamburg, 6.08% due
11/29/2018 31,730,765 34,926,614 0.3
DEM 168,000,000 Land Hessen, 6% due 11/29/2013 96,916,825 107,232,877 1.0
DEM 110,000,000 Mecklenberg-Vorpommern, 6.15% due
6/16/2023 61,012,437 67,915,851 0.6
DEM 134,950,000 Nordrhein-Westfalen, 6.125% due
12/21/2018 77,420,913 86,489,481 0.8
Rheinland-Pfalz:
DEM 33,000,000 5.75% due 2/24/2014 18,324,663 20,955,969 0.2
DEM 64,000,000 6.08% due 11/29/2018 36,935,547 40,892,368 0.4
DEM 47,000,000 Sachsen-Anhalt, 6% due 1/10/2014 26,915,615 29,785,062 0.3
-------------- --------------- ------
386,405,534 429,883,806 4.0
Industrial USD 1,000,000 Siemens Corp. (with Warrants), 8% due
6/24/2002 (a) 1,318,750 1,405,000 0.0
Total Fixed-Income Securities in Germany 994,334,695 1,018,521,049 9.3
Hong Kong Industrial USD 11,300,000 Johnson Electric Holdings Ltd.,
Convertible Bonds, 4.50% due 11/05/2000 10,093,904 10,339,500 0.1
Retail HKD 12,000,000 Dairy Farm International Holdings Ltd.
(Convertible Preferred), 6.50% due
5/10/2049 9,525,875 9,990,000 0.1
Total Fixed-Income Securities in
Hong Kong 19,619,779 20,329,500 0.2
Indonesia Paper & USD 19,500,000 APP International Finance Company B.V.,
Pulp 11.75% due 10/01/2005 19,500,000 18,866,250 0.2
RAPP International Finance Company B.V.:
USD 3,250,000 11.50% due 12/15/2000 3,220,165 3,241,875 0.0
USD 24,750,000 13.25% due 12/15/2005 24,090,165 24,811,875 0.2
Total Fixed-Income Securities in
Indonesia 46,810,330 46,920,000 0.4
Italy Government USD 5,000,000 Republic of Italy, 8.75% due 2/08/2001 5,373,050 5,365,630 0.1
Obligations
<PAGE>
Tele Softe SA-LUX:
communi- ITL
cations 11,500,000,000 Convertible Bonds, 4.25% due
7/30/1998 7,894,814 11,094,642 0.1
ITL
16,760,000,000 (Ex-Warrants), 8.75% due 3/24/1997 10,756,360 10,627,791 0.1
-------------- --------------- ------
18,651,174 21,722,433 0.2
Total Fixed-Income Securities in Italy 24,024,224 27,088,063 0.3
Japan Beverages JPY 592,000,000 Sanyo Coca-Cola Bottling Co., Ltd.,
#1 Convertible Bonds, 0.90% due
6/30/2003 5,571,794 5,696,337 0.1
JPY 100,000,000 Shikoku Coca-Cola Bottling Co., Ltd.,
#1 Convertible Bonds, 2.40% due
3/29/2002 1,036,246 1,052,128 0.0
-------------- --------------- ------
6,608,040 6,748,465 0.1
Electronics JPY 988,000,000 Matsushita Electric Works, Ltd.,
Convertible #8 Bonds, 2.70% due
5/31/2002 9,691,544 11,992,080 0.1
Insurance JPY 13,000,000 Mitsui Marine & Fire Insurance Co.,
Ltd., #3 Convertible Bonds, 0.70%
due 3/31/2003 118,211 134,166 0.0
JPY 17,000,000 Nichido Fire & Marine Insurance
Co., Ltd., #5 Convertible Bonds,
1% due 3/31/2003 162,061 175,610 0.0
-------------- --------------- ------
280,272 309,776 0.0
Total Fixed-Income Securities in Japan 16,579,856 19,050,321 0.2
Korea Energy USD 6,250,000 Ssangyong Oil Corp., 3.75% due
12/31/2008 6,681,063 6,687,500 0.1
Total Fixed-Income Securities in Korea 6,681,063 6,687,500 0.1
Mexico Government USD 111,000,000 Banco Nacional (BNCE), 7.25% due
Obligations 2/02/2004 85,671,875 91,852,500 0.8
USD 32,500,000 +++Petroleos Mexicanos, 8.625% due
12/01/2023 15,772,500 24,821,875 0.2
United Mexican States:
USD 36,434,000 8.50% due 9/15/2002 31,518,421 33,200,483 0.4
USD 55,000,000 Floating Notes, Series A, 6.765% due
12/31/2019 45,082,672 43,862,500 0.4
USD 84,612,000 Series B, (Value Recovery Rights) (f) -- -- 0.0
Total Fixed-Income Securities in Mexico 178,045,468 193,737,358 1.8
</TABLE>
<PAGE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued) (in US dollars)
<CAPTION>
Currency
Denomi- Face Value Percent of
COUNTRY Industries naiton Amount Fixed-Income Securities Cost (Note 1a) Net Assets
<S> <S> <S> <C> <S> <C> <C> <C>
New Utilities NZD 1,760,000 Natural Gas Corp. Holdings, Convertible
Zealand --Gas Bonds, 10.50% due 10/14/1997 $ 1,043,960 $ 2,488,249 0.0%
Total Fixed-Income Securities in
New Zealand 1,043,960 2,488,249 0.0
Phili- Infra- USD 10,000,000 +++CE Casecnan, 11.45% due 11/15/2005 10,000,000 9,850,000 0.1
ppines structure
Total Fixed-Income Securities in the
Philippines 10,000,000 9,850,000 0.1
Portugal Banking ECU 19,300,000 Banco Commercial Portuguese, Convertible
Bonds, 8.75% due 5/21/2002 26,468,747 24,600,243 0.2
Total Fixed-Income Securities in
Portugal 26,468,747 24,600,243 0.2
South Metals ZAR 6,300,000 Samancor Ltd., 7% due 6/30/2004 6,043,000 6,300,000 0.1
Africa
Total Fixed-Income Securities in
South Africa 6,043,000 6,300,000 0.1
Spain Government ESP
Obligations 20,000,000,000 Government of Spain, 10% due 2/28/2005 146,079,176 164,784,314 1.5
Insurance ESP 17,640,000 Mapfre, Convertible Bonds, 8.50% due
2/27/1999 142,730 153,572 0.0
Total Fixed-Income Securities in Spain 146,221,906 164,937,886 1.5
Sweden Industrial ECU 7,000,000 SKF--AB Lyons, Convertible Bonds, 8.01%
due 7/26/2002 (b) 5,717,629 5,254,760 0.1
<PAGE>
Multi- ECU 1,000,000 Investor International Placements,
Industry Convertible Bonds, 7.25% due 6/21/2001 1,001,412 1,660,688 0.0
Total Fixed-Income Securities in Sweden 6,719,041 6,915,448 0.1
Switzer- Chemicals USD 24,945,000 Ciba-Geigy Corp., Convertible Bonds,
land 6.25% due 3/15/2016 25,632,050 25,693,350 0.3
Industrial CHF 1,401,000 Ciba-Geigy AG, Convertible Bonds, 2%
due 8/09/1998 1,178,587 2,645,146 0.0
Total Fixed-Income Securities in
Switzerland 26,810,637 28,338,496 0.3
United Building GBP 3,250,000 Redland Capital PLC, Convertible Bonds,
Kingdom Materials 7.25% due 1/28/2002 5,382,804 4,661,212 0.0
Cable/ USD 15,000,000 Bell Cablemedia PLC, 11.875% due
Telecommuni- 9/15/2000 (b) 9,055,480 9,750,000 0.1
cation
Financial GBP 11,600,000 TransAtlantic Holdings PLC, Convertible
Services Bonds, 5.50% due 4/30/2009 14,179,895 14,459,330 0.1
Food & GBP 1,750,000 Allied-Lyons PLC, 6.75% due 7/07/2008 2,589,607 2,575,587 0.0
Beverage
Foods GBP 7,750,000 Tate & Lyle International, Convertible
Bonds, 5.75% due 3/21/2001 (with
Warrants) (a) 10,092,554 10,125,887 0.1
Government GBP 27,500,000 United Kingdom Treasury Gilt, 9.75% due
Obligations 8/27/2002 45,848,232 45,377,826 0.4
Industrial HIH Capital Ltd., Convertible Bonds:
USD 2,000,000 +++7.50% due 9/25/2006 1,665,000 1,480,000 0.0
USD 4,545,000 (Bearer), 7.50% due 9/25/2006 2,950,188 3,408,750 0.0
-------------- --------------- ------
4,615,188 4,888,750 0.0
Multi- GBP 4,875,000 English China Clays PLC, Convertible
Industry Bonds, 6.50% due 9/30/2003 8,364,034 6,881,999 0.1
GBP 11,375,000 Hanson PLC, 9.50% due 1/31/2006 19,508,294 17,082,975 0.2
-------------- --------------- ------
27,872,328 23,964,974 0.3
Real GBP 500,000 Land Securities PLC, Convertible Bonds,
Estate 6.75% due 12/31/2002 679,603 750,900 0.0
<PAGE>
Retail GBP 18,300,000 Sainsbury (J.) PLC, Convertible Bonds,
8.50% due 11/19/2005 33,705,906 31,674,088 0.3
Telecom- USD 20,000,000 Diamond Cable Communications Co.,
munications 11.75% due 12/15/2005 (b) 11,849,638 12,075,000 0.1
& Media USD 48,000,000 +++International Cabletel Inc., 11.46% due
2/01/2001 (b) 28,311,201 27,960,000 0.3
-------------- --------------- ------
40,160,839 40,035,000 0.4
Textiles GBP 2,000,000 Coats Viyella PLC, Series B, 6.25% due
8/09/2003 2,841,845 2,793,348 0.0
Total Fixed-Income Securities in the
United Kingdom 197,024,281 191,056,902 1.7
United Airlines USAir Pass-Through:
States USD 4,276,075 9.33% due 1/01/2006 4,169,601 3,816,397 0.0
USD 19,300,000 10.375% due 3/01/2013 17,593,625 18,817,500 0.2
USD 7,500,000 9.625% due 9/01/2003 (d) 7,495,625 7,143,750 0.1
-------------- --------------- ------
29,258,851 29,777,647 0.3
Banking USD 14,250,000 Berkley Federal Bank, 12% due 6/15/2005 14,250,000 14,463,750 0.1
USD 14,500,000 +++First Nationwide Holdings, 12.50% due
4/15/2003 14,335,135 14,862,500 0.1
USD 3,000,000 Roosevelt Financial Group, Inc., 9.50%
due 8/01/2002 3,000,000 3,000,000 0.0
-------------- --------------- ------
31,585,135 32,326,250 0.2
Building USD 15,000,000 DalTile International, Inc., 11.955%
Materials due 7/15/1998 (b) 11,234,888 12,150,000 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 13,000,000 Dell Computer Corp., 11% due 8/15/2000 13,097,188 14,040,000 0.1
Energy USD 12,374,000 Transamerican Refining Corp., 18.29%
due 2/15/2002 (b) 8,596,352 8,228,710 0.1
USD 30,000,000 TransTexas Gas Corp., 11.50% due
6/15/2002 30,000,000 29,925,000 0.3
-------------- --------------- ------
38,596,352 38,153,710 0.4
<PAGE>
Financial CHF 4,010,000 Chrysler Financial Corp., 5.75% due
Services 6/18/1996 1,914,011 3,226,344 0.0
USD 10,000,000 First City Financial Corp., Ltd., 9%
due 9/30/1997 9,927,500 10,000,000 0.1
USD 10,000,000 Ford Capital BV, 9.375% due 1/01/1998 10,037,900 10,469,800 0.1
-------------- --------------- ------
21,879,411 23,696,144 0.2
Health Care USD 7,200,000 Cetus (Chiron) Corp., Convertible
Bonds, 5.25% due 5/21/2002 5,220,250 7,200,000 0.1
USD 1,000,000 Novacare, Inc., Convertible Bonds,
5.50% due 1/15/2000 857,500 890,000 0.0
-------------- --------------- ------
6,077,750 8,090,000 0.1
Home- USD 40,000,000 +++Baldwin Builders & Contractors, 10.50%
building & due 7/18/1997 40,000,000 39,600,000 0.4
Construc- USD 31,950,000 ++++Baldwin Co., 10.375% due 8/01/2003 30,215,563 8,307,000 0.1
tion USD 37,500,000 Beazer Homes USA, Inc., 9% due
3/01/2004 35,597,000 35,062,500 0.3
USD 18,500,000 K. Hovnanian Enterprises, 9.75% due
6/01/2005 17,970,000 15,817,500 0.1
MDC Holdings Inc.:
USD 30,000,000 11.125% due 12/15/2003 28,916,500 29,100,000 0.3
USD 2,350,000 Convertible Bonds, 8.75% due
12/15/2005 2,021,000 2,426,375 0.0
USD 13,750,000 Presley Companies, Senior Notes,
12.50% due 7/01/2001 13,690,312 13,062,500 0.1
-------------- --------------- ------
168,410,375 143,375,875 1.3
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued) (in US dollars)
<CAPTION>
Currency
Denomi- Face Value Percent of
COUNTRY Industries naiton Amount Fixed-Income Securities Cost (Note 1a) Net Assets
<S> <S> <S> <C> <S> <C> <C> <C>
United Industrial USD 20,000,000 AM General Corp., 12.875% due 5/01/2002 $ 19,844,720 $ 20,600,000 0.2%
States USD 10,000,000 Easco Corp., 10% due 3/15/2001 10,005,000 10,000,000 0.1
(continued) USD 27,000,000 Envirotest Systems Corp., 9.125% due
3/15/2001 24,683,460 23,490,000 0.2
USD 28,000,000 Genmar Holdings, Inc., 13.50% due
7/15/2001 27,803,975 23,520,000 0.2
USD 77,000,000 International Semi-Tech Microelec-
tronics, Inc., 11.40% due 8/15/2003
(b) 47,703,808 45,622,500 0.4
USD 10,000,000 ++++Merisel, Inc., 12.50% due 12/31/2004 9,240,000 4,000,000 0.0
USD 30,500,000 Plastic Specialties & Technology, Inc.,
11.25% due 12/01/2003 30,540,000 29,890,000 0.3
USD 7,500,000 Portola Packaging Inc., 10.75% due
10/01/2005 7,526,250 7,725,000 0.1
-------------- --------------- ------
177,347,213 164,847,500 1.5
<PAGE>
Insurance USD 22,500,000 +++Mutual Life Insurance Co., N.Y.,
11.25% due 8/15/2024 (b) 15,689,527 17,915,625 0.2
Leisure-- USD 5,000,000 Prime Hospitality Corp., 9.25% due
Restaurant 1/15/2006 4,800,000 4,800,000 0.0
& Lodging
Merchan- USD 12,000,000 Price Club Co., Convertible Bonds,
dising 5.50% due 2/28/2012 11,213,250 12,000,000 0.1
Oil & PDV America, Inc.:
Related USD 35,000,000 7.25% due 8/01/1998 34,856,150 34,475,000 0.3
USD 10,000,000 7.75% due 8/01/2000 10,062,500 9,725,000 0.1
USD 6,000,000 USX Marathon Oil Corp., 7% due
6/15/2017 5,650,000 5,745,000 0.1
-------------- --------------- ------
50,568,650 49,945,000 0.5
Packaging & Anchor Glass Container Corp.:
Containers USD 12,328,400 +++9.91% due 7/15/1999 (b) 11,159,582 11,095,560 0.1
USD 15,000,000 10.25% due 6/30/2002 14,194,556 11,700,000 0.1
-------------- --------------- ------
25,354,138 22,795,560 0.2
Paper & USD 11,500,000 Stone Container Corp., 10.75% due
Forest 10/01/2002 11,172,500 11,528,750 0.1
Products
Real USD 23,638,075 RTC Commercial Mortgage, Class E,
Estate 8.25% due 12/25/2020 (d) 23,276,117 22,928,933 0.2
<PAGE>
Real USD 24,500,000 +++Alexander Haagen Properties Inc.,
Estate Exchangeable Debentures, 7.25% due
Investment 12/27/2003 24,348,750 22,693,125 0.2
Trusts USD 7,000,000 Centerpoint Properties Corp., Con-
vertible Bonds, 8.22% due 1/15/2004 7,000,000 8,995,000 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 0.2
LTC Properties, Inc.:
USD 10,000,000 8.25% due 1/01/1999 10,000,000 10,150,000 0.1
USD 10,000,000 8.50% due 1/01/2001 10,000,000 10,000,000 0.1
USD 12,500,000 Liberty Property Trust, Convertible
Bonds, 8% due 7/01/2001 12,500,000 13,125,000 0.1
Malan Realty Investors, Inc., Con-
vertible Bonds:
USD 27,000,000 8.50% due 7/01/2003 27,000,000 27,067,500 0.3
USD 4,750,000 9.50% due 7/15/2004 3,859,375 4,203,750 0.0
Meditrust, Convertible Bonds:
USD 5,000,000 7% due 3/01/1998 5,035,000 5,500,000 0.1
USD 12,000,000 7.50% due 3/01/2001 12,000,000 11,820,000 0.1
USD 9,415,000 8.54% due 7/01/2000 9,602,638 9,697,450 0.1
USD 5,000,000 Mid-Atlantic Realty Trust, Convertible
Bonds, 7.625% due 9/15/2003 4,875,000 4,475,000 0.0
USD 22,000,000 National Health Investors, 7.75% due
1/01/2001 22,000,000 22,770,000 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 42,000,000 Omega Healthcare Investors, Inc.,
Convertible Bonds, 8.50% due 2/01/2001 42,052,500 42,210,000 0.4
USD 5,500,000 Sizeler Property Investors, Inc.,
Convertible Bonds, 8% due 7/15/2003 5,505,000 4,620,000 0.0
-------------- --------------- ------
273,334,363 273,941,825 2.5
Resources USD 12,500,000 Freeport-McMoRan Resources, 8.75% due
2/15/2004 11,416,250 12,562,500 0.1
<PAGE>
Savings USD 21,400,000 First Federal Financial Corporation,
Bank 11.75% due 10/01/2004 21,401,250 21,293,000 0.2
Steel USD 15,000,000 +++Bar Technologies, 13.50% due 4/01/2001 14,736,600 14,850,000 0.1
USD 23,625,000 NS Group, Inc., 13.50% due 7/15/2003 (j) 22,586,036 21,557,813 0.2
-------------- --------------- ------
37,322,636 36,407,813 0.3
Super- USD 30,000,000 Eagle Food Centers Inc., 8.625% due
markets 4/15/2000 25,543,412 25,200,000 0.3
USD 4,000,000 Pueblo Xtra International Inc., 9.50%
due 8/01/2003 3,666,250 3,570,000 0.0
USD 10,000,000 TLC Beatrice International Holdings
Inc., 11.50% due 10/01/2005 10,000,000 10,125,000 0.1
-------------- --------------- ------
39,209,662 38,895,000 0.4
Telecom- USD 26,500,000 Busse Broadcasting, 11.625% due
munica- 10/15/2000 25,468,988 26,168,750 0.2
tions USD 20,000,000 CAI Wireless Systems Inc., 12.25% due
& Media 9/15/2002 20,585,000 20,900,000 0.2
USD 45,000,000 +++CS Wireless Systems, Inc., 11.723% due
3/01/2001 25,642,869 23,287,500 0.2
USD 76,000,000 +++CellNet Data Systems, Inc., 9.1479%
due 6/15/2000 (b) (h) 45,948,717 52,440,000 0.5
Geotek Communications, Inc.:
USD 20,750,000 +++12% due 2/15/2001 20,750,000 24,692,500 0.2
USD 102,000,000 19.982% due 7/15/2000 (b) 41,785,387 62,220,000 0.6
USD 33,500,000 Nextel Communications, Inc., 9.96% due
8/15/2004 (b) 24,147,520 19,346,250 0.2
USD 18,000,000 +++Nextlink Communications, 12.50% due
4/15/2006 18,000,000 18,135,000 0.2
United International Holdings,
Inc. (b):
USD 39,250,000 13.94% due 11/15/1999 (i) 23,261,703 25,512,500 0.2
USD 11,000,000 14% due 11/15/1999 6,812,304 7,150,000 0.1
-------------- --------------- ------
252,402,488 279,852,500 2.6
Textiles & USD 18,250,000 +++Texfi Industries, Inc., 8.75% due
Apparel 8/01/1999 17,930,300 15,603,750 0.1
Transpor- USD 8,625,000 Eletson Holdings Inc., 9.25% due
tation 11/15/2003 8,658,437 8,258,438 0.1
USD 22,000,000 OMI Corp., 10.25% due 11/01/2003 21,910,000 20,625,000 0.2
USD 9,500,000 Teekay Shipping Corporation, 8.32%
due 2/01/2008 9,500,000 9,025,000 0.1
-------------- --------------- ------
40,068,437 37,908,438 0.4
<PAGE>
Trucking USD 30,000,000 Ameritruck Distribution, 12.25% due
11/15/2005 29,598,525 29,400,000 0.3
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued) (in US dollars)
<CAPTION>
Currency
Denomi- Face Value Percent of
COUNTRY Industries naiton Amount Fixed-Income Securities Cost (Note 1a) Net Assets
<S> <S> <S> <C> <S> <C> <C> <C>
United US Govern- Federal Home Loan Mortgage Corp.,
States ment & REMIC (k):
(con- Agency USD 4,910,000 1243-HP, 5.625% due 11/25/2015 $ 4,788,017 $ 4,754,991 0.0%
cluded) Obliga- USD 10,000,000 Series, 6.30% due 5/15/2008 9,210,938 9,014,063 0.1
tions Federal National Mortgage Association:
USD 8,315,640 8% due 10/01/2024 7,940,137 8,396,135 0.1
USD 16,608,014 8% due 12/01/2024 16,314,779 16,768,780 0.2
US Treasury Notes & Bonds:
USD 55,000,000 7.875% due 8/15/2001 53,943,600 58,454,550 0.5
USD 25,000,000 6.25% due 2/15/2003 25,710,937 24,566,500 0.2
US Treasury STRIPS (b) (g):
USD 5,000,000 6.493% due 2/15/2019 1,161,573 971,350 0.0
USD 22,000,000 5.70% due 5/15/2000 17,050,165 17,074,860 0.2
-------------- --------------- ------
136,120,146 140,001,229 1.3
Utilities-- CTC Mansfield Funding Corp.:
Electric USD 5,483,000 10.25% due 3/30/2003 5,602,320 5,510,415 0.1
USD 5,000,000 11.125% due 9/30/2016 5,350,000 5,050,000 0.1
USD 20,000,000 California Energy Co., Inc., 11.68%
due 1/15/2004 (b) 18,564,105 19,000,000 0.2
USD 8,000,000 Calpine Corp., Inc., 9.25% due
2/01/2004 7,277,500 7,280,000 0.1
Cleveland Electric Illuminating Company
Inc., First Mortgage:
USD 5,000,000 9.30% due 7/26/1999 5,437,500 5,037,500 0.0
USD 12,500,000 9.25% due 7/29/1999 13,562,500 12,578,125 0.1
USD 3,000,000 9.05% due 8/15/2001 3,093,750 2,955,000 0.0
USD 7,500,000 7.625% due 8/01/2002 7,462,500 6,778,125 0.1
USD 5,000,000 7.375% due 6/01/2003 4,700,000 4,400,000 0.0
El Paso Electric Company:
USD 7,859,000 7.25% due 2/01/1999 7,996,532 7,760,762 0.1
USD 8,733,000 7.75% due 5/01/2001 8,907,660 8,525,591 0.1
USD 12,000,000 9.40% due 5/01/2001 12,000,000 11,880,000 0.1
USD 11,657,000 8.25% due 2/01/2003 11,860,692 11,307,290 0.1
USD 2,250,000 8.90% due 2/01/2006 2,250,000 2,221,875 0.0
USD 22,654,000 Public Service Company of New Mexico,
EIP Funding, 10.25% due 10/01/2012 22,654,000 23,673,430 0.2
USD 7,500,000 Public Service Company of New Mexico,
First PV Funding, 10.30% due 1/15/2014 7,137,750 7,762,500 0.1
Toledo Edison Co.:
USD 2,000,000 9.30% due 4/01/1998 2,130,000 2,020,000 0.0
USD 13,375,000 7.25% due 8/01/1999 13,375,000 12,706,250 0.1
USD 3,000,000 9.50% due 4/01/2001 3,221,250 3,026,250 0.0
USD 1,500,000 7.85% due 3/31/2003 1,296,450 1,351,875 0.0
USD 2,000,000 7.91% due 4/01/2003 1,992,500 1,805,000 0.0
-------------- --------------- ------
165,872,009 162,629,988 1.5
<PAGE>
Total Fixed-Income Securities in the
United States 1,674,562,411 1,667,667,037 15.3
Total Investments in Fixed-Income
Securities 4,487,771,880 4,652,508,006 42.6
Short-Term Securities
Canada Foreign Canadian Treasury Bills:
Government CAD 86,953,000 4.904% due 5/16/1996 63,714,893 63,676,508 0.6
Obliga- CAD 1,500,000 6.06% due 11/14/1996 1,074,141 1,070,248 0.0
tions*
Total Short-Term Securities in
Canada 64,789,034 64,746,756 0.6
Mexico Foreign Mexican Cetes (Certificados de la
Government Tesoreria de la Federacion) (b):
Obliga- MXN 90,404,600 40% due 5/16/1996 11,866,390 11,982,847 0.1
tions* MXN 233,896,000 41% due 5/23/1996 30,323,381 30,814,432 0.3
Total Short-Term Securities in Mexico 42,189,771 42,797,279 0.4
<PAGE>
United Commercial USD 22,000,000 AlliedSignal, Inc., 5.30% due 5/20/1996 21,938,461 21,938,461 0.2
States Paper* USD 100,000,000 American Express Credit Corp., 5.28%
due 6/19/1996 99,281,333 99,281,333 0.9
Barclays U.S. Funding Corp.:
USD 50,000,000 5.30% due 5/10/1996 49,933,750 49,933,750 0.5
USD 75,000,000 5.30% due 5/14/1996 74,856,458 74,856,458 0.7
USD 75,000,000 5.31% due 5/17/1996 74,823,000 74,823,000 0.7
USD 55,000,000 Bayer Corp., 5.21% due 5/07/1996 54,952,242 54,952,242 0.5
USD 30,000,000 Bear Stearns Cos. Inc., 5.33% due
5/16/1996 29,933,375 29,933,375 0.3
Caisse des Depots et Consignations:
USD 37,000,000 5.33% due 5/14/1996 36,928,785 36,928,785 0.3
USD 53,000,000 5.36% due 5/02/1996 52,992,109 52,992,109 0.5
USD 75,000,000 5.28% due 5/20/1996 74,791,000 74,791,000 0.7
Ciesco, L.P.:
USD 17,000,000 5.30% due 5/10/1996 16,977,475 16,977,475 0.2
USD 40,000,000 5.28% due 6/11/1996 39,759,467 39,759,467 0.4
Commerzbank U.S. Finance Inc.:
USD 28,000,000 5.32% due 5/01/1996 28,000,000 28,000,000 0.3
USD 20,000,000 5.27% due 5/23/1996 19,935,589 19,935,589 0.2
USD 10,000,000 Corporate Asset Funding Co., Inc.,
5.28% due 5/13/1996 9,982,400 9,982,400 0.1
USD 15,000,000 Daimler-Benz AG, 5.31% due 5/08/1996 14,984,512 14,984,512 0.1
Delaware Funding Corp.:
USD 43,000,000 5.33% due 5/03/1996 42,987,267 42,987,267 0.4
USD 70,000,000 5.33% due 5/15/1996 69,854,906 69,854,906 0.6
USD 26,000,000 5.33% due 5/21/1996 25,923,011 25,923,011 0.2
USD 56,000,000 Dresdner U.S. Finance, Inc., 5.27%
due 5/21/1996 55,836,044 55,836,044 0.5
USD 25,000,000 du Pont (E.I.) de Nemours & Co., 5.30%
due 5/16/1996 24,944,792 24,944,792 0.2
USD 7,669,000 Ford Motor Credit Co., 5.29% due
5/01/1996 7,669,000 7,669,000 0.1
France Telecom:
USD 40,000,000 5.28% due 5/30/1996 39,829,867 39,829,867 0.4
USD 25,000,000 5.28% due 6/18/1996 24,824,000 24,824,000 0.2
USD 43,841,000 General Electric Capital Corp., 5.35%
due 5/01/1996 43,841,000 43,841,000 0.4
Glaxo Holdings PLC:
USD 14,000,000 5.33% due 5/13/1996 13,975,127 13,975,127 0.1
USD 24,000,000 5.27% due 5/22/1996 23,926,220 23,926,220 0.2
</TABLE>
<PAGE>
<TABLE>
SCHEDULE OF INVESTMENTS (concluded) (in US dollars)
<CAPTION>
Currency Face Value Percent of
COUNTRY Denomination Amount Short-Term Securities Cost (Note 1a) Net Assets
<S> <S> <S> <C> <S> <C> <C> <C>
United Commercial Goldman Sachs Group, L.P.:
States Paper* USD 70,000,000 5.30% due 5/17/1996 $ 69,835,111 $ 69,835,111 0.6%
(con- (concluded) USD 80,000,000 5.30% due 5/17/1996 79,811,556 79,811,556 0.7
cluded) USD 70,000,000 5.30% due 5/21/1996 69,793,889 69,793,889 0.6
USD 43,000,000 5.28% due 5/22/1996 42,867,560 42,867,560 0.4
USD 25,000,000 5.32% due 5/23/1996 24,918,722 24,918,722 0.2
USD 10,000,000 5.28% due 5/24/1996 9,966,267 9,966,267 0.1
USD 30,000,000 5.28% due 5/31/1996 29,868,000 29,868,000 0.3
USD 30,000,000 IBM Credit Corp., 5.29% due 6/05/1996 29,845,708 29,845,708 0.3
Matterhorn Capital Corp.:
USD 25,000,000 5.27% due 5/20/1996 24,930,465 24,930,465 0.2
USD 25,000,000 5.27% due 6/05/1996 24,871,910 24,871,910 0.2
Preferred Receivable Funding Corp.:
USD 57,000,000 5.30% due 6/06/1996 56,697,900 56,697,900 0.5
USD 34,000,000 5.30% due 6/12/1996 33,789,767 33,789,767 0.3
USD 30,000,000 Raytheon Company, 5.27% due 5/03/1996 29,991,217 29,991,217 0.3
Shell Oil Co.:
USD 25,000,000 5.30% due 5/14/1996 24,952,153 24,952,153 0.2
USD 50,000,000 5.30% due 5/17/1996 49,882,222 49,882,222 0.5
Siemens Corporation AG:
USD 18,800,000 5.27% due 5/24/1996 18,736,701 18,736,701 0.2
USD 30,000,000 5.27% due 5/31/1996 29,868,250 29,868,250 0.3
USD 25,000,000 Toys `R' Us, Inc., 5.26% due 5/30/1996 24,894,069 24,894,069 0.2
USD 25,000,000 USAA Capital Corp., 5.31% due 5/16/1996 24,944,687 24,944,687 0.2
Xerox Corp.:
USD 50,000,000 5.30% due 5/07/1996 49,955,833 49,955,833 0.5
USD 50,000,000 5.30% due 5/08/1996 49,948,472 49,948,472 0.5
USD 58,600,000 5.32% due 5/22/1996 58,418,145 58,418,145 0.5
USD 40,000,000 Xerox Credit Corp., 5.32% due 5/14/1996 39,923,156 39,923,156 0.4
-------------- --------------- ------
1,972,392,950 1,972,392,950 18.1
<PAGE>
US Govern USD 48,000,000 Federal National Mortgage Association,
-ment & 5.23% due 5/07/1996 47,958,160 47,958,160 0.4%
Agency
Obligations*
Total Short-Term Securities in the
United States 2,020,351,110 2,020,351,110 18.5
Total Investments in Short-Term
Securities 2,127,329,915 2,127,895,145 19.5
Total Investments $9,760,593,576 10,687,876,672 97.9
==============
Unrealized Appreciation on Forward Foreign Exchange Contracts** 37,995,227 0.3
Variation Margin on Futures Contracts*** 412,000 0.0
Other Assets Less Liabilities 191,155,839 1.8
--------------- ------
Net Assets $10,917,439,738 100.0%
=============== ======
<FN>
(a)Warrants entitle the Fund to purchase a predetermined number of
shares of stock/face amount of bonds at a predetermined price until
the expiration date.
(b)Represents a zero coupon or step bond; the interest rate shown is
the effective yield at the time of purchase 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)The rights may be exercised until 6/30/2003.
(g)Separate Trading of Registered Interest and Principal of Securities
(STRIPS).
(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.
(k)Real Estate Mortgage Investment Conduits (REMIC).
(j)Each $1,000 face amount contains one warrant of NS Group, Inc.
+++Restricted securities as to resale. The value of the Fund's
investment in restricted securities was approximately $453,353,000,
representing 4.2% of net assets.
<PAGE>
<CAPTION>
Acquisition Value
Issue Date(s) Cost (Note 1a)
<S> <C> <C> <C>
Abril S.A., 12% due 10/25/2003 10/18/1995--
10/19/1995 $ 15,030,000 $ 15,581,250
Alexander Haagen Properties Inc.,
Exchangeable Debentures, 7.25% 12/27/1995--
due 12/27/2003 2/13/1995 24,348,750 22,693,125
Anchor Glass Container Corp., 1/17/1996--
9.91% due 7/15/1999 4/18/1996 11,159,582 11,095,560
Baldwin Builders & Contractors,
10.50% due 7/18/1997 2/01/1996 40,000,000 39,600,000
Bar Technologies, 13.50% due
4/01/2001 3/28/1996 14,736,600 14,850,000
CE Casecnan, 11.45% due
11/15/2005 11/21/1995 10,000,000 9,850,000
CS Wireless Systems Inc., 2/16/1996--
11.723% due 3/01/2001 4/12/1996 25,642,869 23,287,500
Catellus Development Corp.
(7.25% Convertible Exchange- 10/23/1993--
able, Series B) 8/24/1995 33,521,250 37,492,000
CellNet Data Systems, Inc., 6/06/1995--
9.1479% due 6/15/2000 3/15/1996 45,948,717 52,440,000
Companhia Vale do Rio Doce, 10%
due 4/02/2004 3/25/1996 11,485,878 11,643,750
First Nationwide Holdings, 7/20/1994--
12.50% due 4/15/2003 4/12/1996 14,335,135 14,862,500
First Washington Realty, 8.25%
due 6/26/1999 6/27/1994 25,000,000 25,000,000
Four Seasons Hotel, Inc., 6/23/1993--
9.125% due 7/01/2000 4/21/1994 20,917,750 20,921,250
Geotek Communications Inc., 3/01/1996--
12% due 2/15/2001 3/04/1996 20,750,000 24,692,500
Geotek Communications Inc.
(Warrants) 7/31/1995 14,200,630 14,070,000
Grupo Carso, S.A. de C.V. (ADR) 1/15/1992--
1/24/1992 3,832,850 6,615,450
HIH Capital Ltd., Convertible
Bonds, 7.50% due 9/25/2006 7/14/1993 1,665,000 1,480,000
International Cabeltel Inc., 1/25/1996--
11.46% due 2/01/2001 1/31/1996 28,311,201 27,960,000
Mutual Life Insurance Co., N.Y.,
11.25% due 8/15/2024 8/08/1995 15,689,527 17,915,625
Nextlink Communications, 12.50%
due 4/15/2006 4/18/1996 18,000,000 18,135,000
Petroleos Mexicanos, 8.625% due 2/28/1995--
12/01/2023 3/23/1995 15,772,500 24,821,875
Plains Resources, Inc. 7/14/1994 1,381,815 2,741,501
Texfi Industries, Inc., 8.75% due 9/01/1993--
8/01/1999 1/21/1994 17,930,300 15,603,750
$429,660,354 $453,352,636
============ ============
<PAGE>
+++++Investment in Companies 5% or more of whose outstanding securities
are held by the Fund (such companies are defined as "Affiliated
Companies" in section 2(a)(3) of the Investment Company Act of
1940) are as follows:
<CAPTION>
Net Share Net Dividend
Industry Affiliate Activity Cost Income
<S> <S> <C> <C> <C>
Healthcare Advocat, Inc. -- -- --
Services
Retail Stores Buttrey Food &
Drug Stores Co. -- -- --
Utilities-- El Paso Electric Co 4,512,285 $23,689,496 --
Electric
Retail Stores Filene's Basement
Corp. -- -- --
Real Estate Mid-America Realty
Investment Investments -- -- $290,972
Trusts
Publishing News Corporation
Limited (The)
(ADR) 600,000 10,451,056 57,758
Banking Oriental Bank and
Trust -- -- 664,000
Real Estate Prime Residential,
Investment Inc. -- -- --
Trusts
*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 April 30, 1996.
**Forward Foreign Exchange Contracts as of April 30, 1996 were as follows:
<PAGE>
<CAPTION>
Unrealized
Foreign Expiration Appreciation
Currency Sold Date (Depreciation)
<S> <C> <S> <C>
CHF 40,000,000 May 1996 $ 833,545
CHF 11,000,000 June 1996 449,099
DEM 493,000,000 May 1996 15,931,759
DEM 692,000,000 June 1996 11,602,110
DEM 155,000,000 July 1996 0
DKR 10,000,000 July 1996 57,116
ECU 81,000,000 May 1996 2,114,206
ECU 55,000,000 June 1996 1,752,970
ESP 13,000,000,000 May 1996 1,822,157
ESP 7,000,000,000 June 1996 531,324
ESP 4,500,000,000 July 1996 897,630
FRF 240,000,000 May 1996 694,540
FRF 312,000,000 June 1996 1,107,226
GBP 62,000,000 May 1996 1,614,636
GBP 70,000,000 June 1996 1,040,370
JPY 19,000,000,000 May 1996 (1,964,259)
JPY 11,500,000,000 June 1996 (2,026,536)
JPY 4,000,000,000 July 1996 (1,002,640)
NLG 118,000,000 May 1996 2,209,212
NLG 37,000,000 June 1996 152,812
NOK 45,000,000 May 1996 177,950
Total Unrealized Appreciation on Forward Foreign Exchange
Contracts--Net (USD Commitment--$2,010,967,042) $37,995,227
===========
***Financial Futures Contracts sold as of April 30, 1996 were as follows:
<CAPTION>
Number of Expiration Value
Contracts Issue Date (Note 1a)
<S> <S> <S> <C>
330 Standard & Poor's 500 Index June 1996 $(108,050,250)
850 US Treasury Bonds June 1996 (91,469,531)
Total Financial Futures Contracts Sold
(Total Contract Price--$201,884,438) $(199,519,781)
=============
++American Depositary Receipts (ADR).
++++Non-income producing securities.
See Notes to Financial Statements.
</TABLE>
<PAGE>
<TABLE>
STATEMENT OF ASSETS AND LIABILITIES
<CAPTION>
As of April 30, 1996
<S> <S> <C> <C>
Assets: Investments, at value (identified cost--$9,760,593,576) (Note 1a) $10,687,876,672
Unrealized appreciation on foward foreign exchange contracts (Note 1d) 37,995,227
Cash 9,531,304
Foreign cash (Note 1c) 4,731,478
Receivables:
Interest $114,695,643
Securities sold 93,390,598
Capital shares sold 27,979,343
Dividends 13,062,176
Forward foreign exchange contracts (Note 1d) 5,092,924
Variation margin (Note 1d) 412,000 254,632,684
------------
Prepaid registration fees and other assets (Note 1g) 213,201
---------------
Total assets 10,994,980,566
---------------
Liabilities: Payables:
Securities purchased 44,641,354
Capital shares redeemed 13,144,079
Distributor (Note 2) 7,308,056
Investment adviser (Note 2) 6,352,667
Forward foreign exchange contracts (Note 1d) 192,516 71,638,672
------------
Accrued expenses and other liabilities 5,902,156
---------------
Total liabilities 77,540,828
---------------
Net Assets: Net assets $10,917,439,738
---------------
Net Assets Class A Shares of Common Stock, $0.10 par value, 200,000,000 shares authorized $ 11,840,217
Consist of: Class B Shares of Common Stock, $0.10 par value, 900,000,000 shares authorized 55,361,497
Class C Shares of Common Stock, $0.10 par value, 200,000,000 shares authorized 1,819,334
Class D Shares of Common Stock, $0.10 par value, 900,000,000 shares authorized 6,270,051
Paid-in capital in excess of par 9,568,727,162
Undistributed investment income--net 47,368,975
Undistributed realized capital gains on investments and foreign currency
transactions--net 260,481,139
Unrealized appreciation on investments and foreign currency
transactions--net 965,571,363
---------------
Net assets $10,917,439,738
===============
<PAGE>
Net Asset Class A--Based on net assets of $1,735,941,170 and 118,402,165 shares
Value: outstanding $ 14.66
===============
Class B--Based on net assets of $8,002,079,435 and 553,614,968 shares
outstanding $ 14.45
===============
Class C--Based on net assets of $261,120,521 and 18,193,344 shares
outstanding $ 14.35
===============
Class D--Based on net assets of $918,298,612 and 62,700,508 shares
outstanding $ 14.65
===============
See Notes to Financial Statements.
</TABLE>
<TABLE>
STATEMENT OF OPERATIONS
<CAPTION>
For the Six Months Ended April 30, 1996
<S> <S> <C> <C>
Investment Interest and discount earned (net of $7,492 foreign withholding tax) $ 259,948,540
Income Dividends (net of $2,256,198 foreign withholding tax) 49,451,713
(Notes 1e Other 1,758,166
& 1f): --------------
Total income 311,158,419
--------------
Expenses: Account maintenance and distribution fees--Class B (Note 2) 36,528,077
Investment advisory fees (Note 2) 32,712,155
Transfer agent fees--Class B (Note 2) 5,282,673
Custodian fees 1,417,931
Transfer agent fees--Class A (Note 2) 988,731
Account maintenance and distribution fees--Class C (Note 2) 874,625
Account maintenance fees--Class D (Note 2) 626,115
Printing and shareholder reports 541,650
Accounting services (Note 2) 331,684
Transfer agent fees--Class D (Note 2) 316,884
Professional fees 190,347
Transfer agent fees--Class C (Note 2) 135,499
Registration fees (Note 1g) 101,740
Directors' fees and expenses 19,393
Pricing fees 8,002
Other 79,739
--------------
Total expenses 80,155,245
--------------
Investment income--net 231,003,174
--------------
<PAGE>
Realized & Realized gain from:
Unrealized Investments--net $193,260,722
Gain on Foreign currency transactions--net 66,266,891 259,527,613
Investments ------------
& Foreign Change in unrealized appreciation/depreciation on:
Currency Investments--net 487,759,825
Transactions Foreign currency transactions--net 66,397,641 554,157,466
- --Net ------------ --------------
(Notes 1c, Net realized and unrealized gain on investments and foreign currency transactions 813,685,079
1d, 1f & 3): --------------
Net Increase in Net Assets Resulting from Operations $1,044,688,253
==============
See Notes to Financial Statements.
</TABLE>
<TABLE>
STATEMENTS OF CHANGES IN NET ASSETS
<CAPTION>
For the Six For the Year
Months Ended Ended
April 30, October 31,
Increase (Decrease) in Net Assets: 1996 1995
<S> <S> <C> <C>
Operations: Investment income--net $ 231,003,174 $ 411,287,932
Realized gain on investments and foreign currency transactions--net 259,527,613 251,310,846
Change in unrealized appreciation/depreciation on investments and foreign
currency transactions--net 554,157,466 375,406,183
--------------- --------------
Net increase in net assets resulting from operations 1,044,688,253 1,038,004,961
--------------- --------------
Dividends & Investment income--net:
Distributions Class A (65,070,754) (40,572,591)
to Class B (261,311,039) (127,353,416)
Shareholders Class C (4,912,150) (874,590)
(Note 1h): Class D (11,993,740) (3,765,243)
Realized gain on investments--net:
Class A (45,054,853) (31,500,182)
Class B (206,613,317) (150,016,954)
Class C (3,762,019) (426,507)
Class D (8,531,078) (2,156,668)
--------------- --------------
Net decrease in net assets resulting from dividends and distributions
to shareholders (607,248,950) (356,666,151)
--------------- --------------
<PAGE>
Capital Net increase in net assets derived from capital share transactions 1,944,809,976 26,500,607
Share --------------- --------------
Transactions
(Note 4):
Net Assets: Total increase in net assets 2,382,249,279 707,839,417
Beginning of period 8,535,190,459 7,827,351,042
--------------- --------------
End of period* $10,917,439,738 $8,535,190,459
=============== ==============
<FN>
*Undistributed investment income--net $ 47,368,975 $ 159,653,484
=============== ==============
See Notes to Financial Statements.
</TABLE>
<TABLE>
FINANCIAL HIGHLIGHTS
<CAPTION>
Class A
The following per share data and ratios have For the
been derived from information provided in the Six Months
financial statements. Ended
April 30, For the Year Ended October 31,
Increase (Decrease) in Net Asset Value: 1996++ 1995++ 1994 1993 1992
<S> <S> <C> <C> <C> <C> <C>
Per Share Net asset value, beginning of period $ 14.21 $ 13.07 $ 13.52 $ 11.92 $ 12.16
Operating ---------- ---------- ---------- ---------- ----------
Performance: Investment income--net .40 .79 .60 .39 .36
Realized and unrealized gain (loss) on investments
and foreign currency transactions--net 1.10 1.04 (.31) 2.14 .89
---------- ---------- ---------- ---------- ----------
Total from investment operations 1.50 1.83 .29 2.53 1.25
---------- ---------- ---------- ---------- ----------
Less dividends and distributions:
Investment income--net (.62) (.39) (.51) (.81) (.89)
Realized gain on investments--net (.43) (.30) (.23) (.12) (.60)
---------- ---------- ---------- ---------- ----------
Total dividends and distributions (1.05) (.69) (.74) (.93) (1.49)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 14.66 $ 14.21 $ 13.07 $ 13.52 $ 11.92
========== ========== ========== ========== ==========
<PAGE>
Total Based on net asset value per share 11.08%+++ 14.81% 2.14% 22.61% 11.78%
Investment ========== ========== ========== ========== ==========
Return:**
Ratios to Expenses .86%* .86% .89% .93% 1.07%
Average ========== ========== ========== ========== ==========
Net Assets: Investment income--net 5.62%* 5.98% 4.60% 3.90% 10.82%
========== ========== ========== ========== ==========
Supplemental Net assets, end of period (in thousands) $1,735,941 $1,487,805 $1,357,906 $ 917,806 $ 245,839
Data: ========== ========== ========== ========== ==========
Portfolio turnover 23.77% 36.78% 57.04% 50.35% 59.56%
========== ========== ========== ========== ==========
Average commission rate paid+++++ $ .0353 -- -- -- --
========== ========== ========== ========== ==========
<CAPTION>
Class B
The following per share data and ratios have For the
been derived from information provided in the Six Months
financial statements. Ended
April 30, For the Year Ended October 31,
Increase (Decrease) in Net Asset Value: 1996++ 1995++ 1994 1993 1992
<S> <S> <C> <C> <C> <C> <C>
Per Share Net asset value, beginning of period $ 14.01 $ 12.91 $ 13.38 $ 11.83 $ 12.10
Operating ---------- ---------- ---------- ---------- ----------
Performance: Investment income--net .32 .65 .46 .28 .22
Realized and unrealized gain (loss) on investments
and foreign currency transactions--net 1.09 1.01 (.31) 2.11 .91
---------- ---------- ---------- ---------- ----------
Total from investment operations 1.41 1.66 .15 2.39 1.13
---------- ---------- ---------- ---------- ----------
Less dividends and distributions:
Investment income--net (.54) (.26) (.39) (.72) (.80)
Realized gain on investments--net (.43) (.30) (.23) (.12) (.60)
---------- ---------- ---------- ---------- ----------
Total dividends and distributions (.97) (.56) (.62) (.84) (1.40)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period $ 14.45 $ 14.01 $ 12.91 $ 13.38 $ 11.83
========== ========== ========== ========== ==========
<PAGE>
Total Based on net asset value per share 10.54%+++ 13.54% 1.13% 21.42% 10.64%
Investment ========== ========== ========== ========== ==========
Return:**
Ratios to Expenses 1.88%* 1.93% 1.91% 1.95% 2.09%
Average ========== ========== ========== ========== ==========
Net Assets: Investment income--net 4.60%* 4.96% 3.58% 2.87% 11.95%
========== ========== ========== ========== ==========
Supplemental Net assets, end of period (in thousands) $8,002,079 $6,688,499 $6,457,130 $4,299,545 $ 958,949
Data: ========== ========== ========== ========== ==========
Portfolio turnover 23.77% 36.78% 57.04% 50.35% 59.56%
========== ========== ========== ========== ==========
Average commission rate paid+++++ $ .0353 -- -- -- --
========== ========== ========== ========== ==========
<FN>
*Annualized.
**Total investment returns exclude the effects of sales loads.
++Based on average shares outstanding during the period.
+++Aggregate total investment return.
+++++For fiscal years beginning on or after September 1, 1995, the
Fund is required to disclose its average commission rate per
share for purchases and sales of equity securities.
See Notes to Financial Statements.
</TABLE>
<TABLE>
FINANCIAL HIGHLIGHTS (concluded)
<CAPTION>
Class C Class D
For the For the For the For the
The following per share data and Six For the Period Six For the Period
ratios have been derived from information Months Year Oct. 21, Months Year Oct. 21,
provided in the financial statements. Ended Ended 1994++ to Ended Ended 1994++ to
April 30, Oct. 31, Oct. 31, April 30, Oct. 31, Oct. 31,
Increase (Decrease) in Net Asset Value: 1996++++ 1995++++ 1994 1996++++ 1995++++ 1994
<S> <S> <C> <C> <C> <C> <C> <C>
Per Share Net asset value, beginning of period $ 13.94 $ 12.91 $ 12.91 $ 14.19 $ 13.08 $ 13.07
Operating -------- -------- -------- -------- -------- --------
Performance: Investment income--net .32 .64 .01 .40 .77 .01
Realized and unrealized gain (loss) on
investments and foreign currency
transactions--net 1.08 1.02 (.01) 1.09 1.01 --
-------- -------- -------- -------- -------- --------
Total from investment operations 1.40 1.66 -- 1.49 1.78 .01
-------- -------- -------- -------- -------- --------
Less dividends and distributions:
Investment income--net (.56) (.33) -- (.60) (.37) --
Realized gain on investments--net (.43) (.30) -- (.43) (.30) --
-------- -------- -------- -------- -------- --------
Total dividends and distributions (.99) (.63) -- (1.03) (.67) --
-------- -------- -------- -------- -------- --------
Net asset value, end of period $ 14.35 $ 13.94 $ 12.91 $ 14.65 $ 14.19 $ 13.08
======== ======== ======== ======== ======== ========
<PAGE>
Total Based on net asset value per share 10.52%+++ 13.58% .00%+++ 11.04%+++ 14.43% .08%+++
Investment ======== ======== ======== ======== ======== ========
Return:**
Ratios to Expenses 1.89%* 1.95% 2.44%* 1.11%* 1.11% 1.69%*
Average ======== ======== ======== ======== ======== ========
Net Assets: Investment income--net 4.59%* 4.80% 3.71%* 5.39%* 5.63% 4.46%*
======== ======== ======== ======== ======== ========
Supplemental Net assets, end of period (in thousands) $261,121 $102,361 $ 7,347 $918,299 $256,525 $ 4,968
Data: ======== ======== ======== ======== ======== ========
Portfolio turnover 23.77% 36.78% 57.04% 23.77% 36.78% 57.04%
======== ======== ======== ======== ======== ========
Average commission rate paid+++++ $ .0353 -- -- $ .0353 -- --
======== ======== ======== ======== ======== ========
<FN>
*Annualized.
**Total investment returns exclude the effects of sales loads.
+++Aggregate total investment return.
+++++For fiscal years beginning on or after September 1, 1995,
the Fund is required to disclose its average commission
rate per share for purchases and sales of equity securities.
++Commencement of Operations.
++++Based on average shares outstanding during the period.
See Notes to Financial Statements.
</TABLE>
<PAGE>
NOTES TO FINANCIAL STATEMENTS
1. Significant Accounting Policies:
Merrill Lynch Global Allocation Fund, Inc. (the "Fund") is registered
under the Investment Company Act of 1940 as a non-diversified,
open-end management investment company. These unaudited
financial statements reflect all adjustments which are, in the opinion
of management, necessary to a fair statement of the results for
the interim period presented. All such adjustments are of a normal
recurring nature. The Fund offers four classes of shares under the
Merrill Lynch Select Pricing SM System. Shares of Class A and Class D
are sold with a front-end sales charge. Shares of Class B and Class C
may be subject to a contingent deferred sales charge. All classes
of shares have identical voting, dividend, liquidation and other
rights and the same terms and conditions, except that Class B,
Class C and Class D Shares bear certain expenses related to the
account maintenance of such shares, and Class B and Class C Shares
also bear certain expenses related to the distribution of such shares.
Each class has exclusive voting rights with respect to matters
relating to its account maintenance and distribution expenditures.
The following is a summary of significant accounting policies
followed by the Fund.
(a) Valuation of investments--Portfolio securities which are traded on
stock exchanges are valued at the last sale price on the exchange on
which such securities are traded, as of the close of business on the
day the securities are being valued or, lacking any sales, at the last
available bid price. Securities traded in the over-the-counter market
are valued at the last available bid price prior to the time of valua-
tion. In cases where securities are traded on more than one exchange,
the securities are valued on the exchange designated by or under
the authority of the Board of Directors as the primary market.
Securities which are traded both in the over-the-counter market and
on a stock exchange are valued according to the broadest and most
representative market. Options written are valued at the last sale
price in the case of exchange-traded options or, in the case of
options traded in the over-the-counter market, the last asked price.
Options purchased are valued at the last sale price in the case of
exchange-traded options or, in the case of options traded in the
over-the-counter market, the last bid price. Short-term securities
are valued at amortized cost, which approximates market value.
Other investments, including futures contracts and related options,
are stated at market value. Securities and assets for which market
value quotations are not readily available are valued at their fair
value as determined in good faith by or under the direction of the
Fund's Board of Directors.
(b) Repurchase agreements--The Fund invests in US Government
securities pursuant to repurchase agreements with a member bank
of the Federal Reserve System or a primary dealer in US Government
securities. Under such agreements, the bank or primary dealer
agrees to repurchase the security at a mutually agreed upon time
and price. The Fund takes possession of the underlying securities,
marks to market such securities and, if necessary, receives additions
to such securities daily to ensure that the contract is fully
collateralized.
<PAGE>
(c) Foreign currency transactions--Transactions denominated in
foreign currencies are recorded at the exchange rate prevailing
when recognized. Assets and liabilities denominated in foreign
currencies are valued at the exchange rate at the end of the period.
Foreign currency transactions are the result of settling (realized)
or valuing (unrealized) assets or liabilities expressed in foreign
currencies into US dollars. Realized and unrealized gains or losses
from investments include the effects of foreign exchange rates
on investments.
(d) Derivative financial instruments--The Fund may engage in
various portfolio strategies to seek to increase its return by hedging
its portfolio against adverse movements in the equity, debt, and
currency markets. Losses may arise due to changes in the value
of the contract or if the counterparty does not perform under
the contract.
* Forward foreign exchange contracts--The Fund is authorized to
enter into forward foreign exchange contracts as a hedge against
either specific transactions or portfolio positions. Such contracts
are not entered on the Fund's records. However, the effect on opera-
tions is recorded from the date the Fund enters into such contracts.
Premium or discount is amortized over the life of the contracts.
* Foreign currency options and futures--The Fund may also pur-
chase or sell listed or over-the-counter foreign currency options,
foreign currency futures and related options on foreign currency
futures as a short or long hedge against possible variations in
foreign exchange rates. Such transactions may be effected with
respect to hedges on non-US dollar denominated securities owned
by the Fund, sold by the Fund but not yet delivered, or committed
or anticipated to be purchased by the Fund.
* Options--The Fund is authorized to purchase and write covered
call and put options. When the Fund writes an option, an amount
equal to the premium received by the Fund is reflected as an asset
and an equivalent liability. The amount of the liability is subse-
quently marked to market to reflect the current value of the option
written.
NOTES TO FINANCIAL STATEMENTS (continued)
<PAGE>
When a security is purchased or sold through an exercise of an
option, the related premium paid (or received) is added to (or
deducted from) the basis of the security acquired or deducted from
(or added to) the proceeds of the security sold. When an option
expires (or the Fund enters into a closing transaction), the Fund
realizes a gain or loss on the option to the extent of the premiums
received or paid (or gain or loss to the extent the cost of the closing
transaction exceeds the premium paid or received).
Written and purchased options are non-income producing
investments.
* Financial futures contracts--The Fund may purchase or sell
interest rate futures contracts and options on such futures contracts
for the purpose of hedging the market risk on existing securities or
the intended purchase of securities. Futures contracts are contracts
for delayed delivery of securities at a specific future date and at a
specific price or yield. Upon entering into a contract, the Fund
deposits and maintains as collateral such initial margin as required
by the exchange on which the transaction is effected. Pursuant to
the contract, the Fund agrees to receive from or pay to the broker
an amount of cash equal to the daily fluctuation in value of the
contract. Such receipts or payments are known as variation margin
and are recorded by the Fund as unrealized gains or losses. When
the contract is closed, the Fund records a realized gain or loss equal
to the difference between the value of the contract at the time it
was opened and the value at the time it was closed.
(e) Income taxes--It is the Fund's policy to comply with the require-
ments of the Internal Revenue Code applicable to regulated invest-
ment companies and to distribute substantially all of its taxable
income to its shareholders. Therefore, no Federal income tax provi-
sion is required. Under the applicable foreign tax law, a withholding
tax may be imposed on interest, dividends, and capital gains at
various rates.
(f) Security transactions and investment income--Security trans-
actions are recorded on the dates the transactions are entered into
(the trade dates). Dividend income is recorded on the ex-dividend
dates except that if the ex-dividend date has passed, certain divi-
dends from foreign securities are recorded as soon as the Fund is
informed of the ex-dividend date. Interest income (including
amortization of discount) is recognized on the accrual basis.
Realized gains and losses on security transactions are determined
on the identified cost basis.
(g) Prepaid registration fees--Prepaid registration fees are charged
to expense as the related shares are issued.
(h) Dividends and distributions--Dividends and distributions paid
by the Fund are recorded on the ex-dividend dates.
<PAGE>
2. Investment Advisory Agreement and Transactions
with Affiliates:
The Fund has entered into an Investment Advisory Agreement with
Merrill Lynch Asset Management, L.P. ("MLAM"). The general
partner of MLAM is Princeton Services, Inc. ("PSI"), an indirect
wholly-owned subsidiary of Merrill Lynch & Co., Inc. ("ML & Co."),
which is the limited partner. The Fund has also entered into a
Distribution Agreement and Distribution Plans with Merrill Lynch
Funds Distributor, Inc. ("MLFD" or "Distributor"), a wholly-owned
subsidiary of Merrill Lynch Group, Inc.
MLAM is responsible for the management of the Fund's portfolio
and provides the necessary personnel, facilities, equipment and
certain other services necessary to the operations of the Fund. For
such services, the Fund pays a monthly fee of 0.75%, on an annual
basis, of the average daily value of the Fund's net assets. MLAM has
agreed to waive a portion of its fee payable by the Fund so that
such fee is reduced for average daily net assets of the Fund in
excess of $2.5 billion from the annual rate of 0.75% to 0.70%, further
reduced from 0.70% to 0.65% for average daily net assets in excess of
$5 billion, further reduced from 0.65% to 0.625% for average daily net
assets in excess of $7.5 billion, and further reduced from 0.625% to
0.60% for the average daily net assets in excess of $10 billion. MLAM
has entered into a sub-advisory agreement with Merrill Lynch
Asset Management U.K., Ltd. ("MLAM U.K."), an affiliate of MLAM,
pursuant to which MLAM pays MLAM U.K. a fee computed at the
rate of 0.10% of the average daily net assets of the Fund for providing
investment advisory services to MLAM with respect to the Fund.
For the six months ended April 30, 1996, MLAM paid MLAM U.K. a
fee of $4,375,032 pursuant to such agreement. Certain of the states
in which the shares of the Fund are qualified for sale impose limita-
tions on the expenses of the Fund. The most restrictive annual
expense limitation requires that MLAM reimburse the Fund to the
extent the Fund's expenses (excluding interest, taxes, distribution
fees, brokerage fees and commissions, and extraordinary items)
exceed 2.5% of the Fund's first $30 million of average daily net
assets, 2.0% of the next $70 million of average daily net assets, and
1.5% of the average daily net assets in excess thereof. MLAM's
obligation to reimburse the Fund is limited to the amount of the
management fee. No fee payment will be made to MLAM during any
fiscal year which will cause such expenses to exceed the most
restrictive expense limitation at the time of such payment.
Pursuant to the distribution plans (the "Distribution Plans")
adopted by the Fund in accordance with Rule 12b-1 under the
Investment Company Act of 1940, the Fund pays the Distributor
ongoing account maintenance and distribution fees. The fees are
accrued daily and paid monthly at annual rates based upon the
average daily net assets of the shares as follows:
<PAGE>
Account Maintenance Fee Distribution Fee
Class B 0.25% 0.75%
Class C 0.25% 0.75%
Class D 0.25% --
Pursuant to a sub-agreement with the Distributor, Merrill Lynch,
Pierce, Fenner & Smith Inc. ("MLPF&S"), a subsidiary of ML & Co.,
also provides account maintenance and distribution services to the
Fund. The ongoing account maintenance fee compensates the
Distributor and MLPF&S for providing account maintenance services
to Class B, Class C and Class D shareholders. The ongoing distribu-
tion fee compensates the Distributor and MLPF&S for providing
shareholder and distribution-related services to Class B and
Class C shareholders.
For the six months ended April 30, 1996, MLFD earned under-
writing discounts and direct commissions and MLPF&S earned
dealer concessions on sales of the Fund's Class A and Class D
Shares as follows:
MLFD MLPF&S
Class A $ 47,658 $ 637,075
Class D $139,979 $1,970,456
For the six months ended April 30, 1996, MLPF&S received contingent
deferred sales charges of $4,346,780 and $38,516 relating to trans-
actions in Class B and Class C Shares, respectively.
In addition, MLPF&S received $106,242 in commissions on the
execution of portfolio security transactions for the Fund for the
six months ended April 30, 1996.
For the six months ended April 30, 1996 the Fund paid Merrill Lynch
Security Pricing Service, an affiliate of MLPF&S, $103 for security
price quotations to compute the net asset value of the Fund.
Merrill Lynch Financial Data Services, Inc. ("MLFDS"), a wholly-
owned subsidiary of ML & Co., is the Fund's transfer agent.
Accounting services are provided to the Fund by MLAM at cost.
<PAGE>
Certain officers and/or directors of the Fund are officers and/or
directors of MLAM, PSI, MLPF&S, MLFDS, MLFD, and/or ML & Co.
3. Investments:
Purchases and sales of investments, excluding short-term securities,
for the six months ended April 30, 1996 were $2,239,953,358 and
$1,908,765,835, respectively.
Net realized and unrealized gains (losses) as of April 30, 1996 were
as follows:
Realized Unrealized
Gains (Losses) Gains (Losses)
Long-term investments $193,262,132 $ 926,717,866
Short-term investments (1,410) 565,230
Financial futures contracts (8,632,975) 2,364,657
Forward currency transactions 3,919,836 (2,071,617)
Foreign foreign exchange contracts 70,980,030 37,995,227
------------ --------------
Total $259,527,613 $ 965,571,363
============ ==============
As of April 30, 1996, net unrealized appreciation for Federal income
tax purposes aggregated $927,283,096, of which $1,164,921,504
related to appreciated securities and $237,638,408 related to depre-
ciated securities. At April 30, 1996, the aggregate cost of invest-
ments for Federal income tax purposes was $9,760,593,576.
4. Capital Share Transactions:
Net increase in net assets derived from capital share transactions
was $1,944,809,976 and $26,500,607 for the six months ended April
30, 1996 and for the year ended October 31, 1995, respectively.
Transactions in capital shares for each class were as follows:
<PAGE>
Class A Shares for the Six Months Dollar
Ended April 30, 1996 Shares Amount
Shares sold 16,577,385 $ 238,556,690
Shares issued to shareholders in
reinvestment of dividends and
distributions 7,197,835 98,250,445
-------------- --------------
Total issued 23,775,220 336,807,135
Shares redeemed (10,101,634) (143,962,901)
-------------- --------------
Net increase 13,673,586 $ 192,844,234
============== ==============
Class A Shares for the Year Ended Dollar
October 31, 1995 Shares Amount
Shares sold 24,414,703 $ 317,656,099
Shares issued to shareholders in
reinvestment of dividends and
distributions 5,067,208 63,395,842
-------------- --------------
Total issued 29,481,911 381,051,941
Shares redeemed (28,613,955) (374,649,790)
-------------- --------------
Net increase 867,956 $ 6,402,151
============== ==============
NOTES TO FINANCIAL STATEMENTS (concluded)
Class B Shares for the
Six Months Ended Dollar
April 30, 1996 Shares Amount
Shares sold 85,287,732 $1,119,213,055
Shares issued to shareholders in
reinvestment of dividends and
distributions 30,330,458 409,764,491
-------------- --------------
Total issued 115,618,190 1,528,977,546
Shares redeemed (37,377,321) (526,080,588)
Automatic conversion of shares (1,943,124) (27,344,076)
-------------- --------------
Net increase 76,297,745 $ 975,552,882
============== ==============
<PAGE>
Class B Shares for the
Year Ended Dollar
October 31, 1995 Shares Amount
Shares sold 72,755,968 $ 948,196,109
Shares issued to shareholders in
reinvestment of dividends and
distributions 19,807,279 244,145,118
-------------- --------------
Total issued 92,563,247 1,192,341,227
Shares redeemed (113,281,364) (1,461,389,244)
Automatic conversion of shares (2,225,942) (29,811,621)
-------------- --------------
Net decrease (22,944,059) $ (298,859,638)
============== ==============
Class C Shares for the
Six Months Ended Dollar
April 30, 1996 Shares Amount
Shares sold 11,445,778 $ 159,618,791
Shares issued to shareholders in
reinvestment of dividends and
distributions 583,124 7,819,697
-------------- --------------
Total issued 12,028,902 167,438,488
Shares redeemed (1,179,394) (16,518,647)
-------------- --------------
Net increase 10,849,508 $ 150,919,841
============== ==============
Class C Shares for the
Year Ended Dollar
October 31, 1995 Shares Amount
Shares sold 7,789,395 $ 102,536,056
Shares issued to shareholders
in reinvestment of dividends
and distributions 181,498 1,150,744
-------------- --------------
Total issued 7,970,893 103,686,800
Shares redeemed (1,196,074) (15,541,838)
-------------- --------------
Net increase 6,774,819 $ 88,144,962
============== ==============
<PAGE>
Class D Shares for the Six Months Dollar
Ended April 30, 1996 Shares Amount
Shares sold 45,074,335 $ 632,781,494
Automatic conversion of shares 1,918,972 27,344,076
Shares issued to shareholders in
reinvestment of dividends and
distributions 1,340,568 18,285,351
-------------- --------------
Total issued 48,333,875 678,410,921
Shares redeemed (3,707,089) (52,917,902)
-------------- --------------
Net increase 44,626,786 $ 625,493,019
============== ==============
Class D Shares for the Year Dollar
Ended October 31, 1995 Shares Amount
Shares sold 17,949,936 $ 233,765,521
Automatic conversion of shares 2,199,761 29,811,621
Shares issued to shareholders in
reinvestment of dividends and
distributions 416,394 5,268,928
-------------- --------------
Total issued 20,566,091 268,846,070
Shares redeemed (2,872,272) (38,032,938)
-------------- --------------
Net increase 17,693,819 $ 230,813,132
============== ==============
5. Commitments:
At April 30, 1996, the Fund had entered into foreign exchange
contracts, in addition to the contracts listed on the Schedule of
Investments, under which it had agreed to purchase and sell various
foreign currency with approximate values of $25,161,000 and
$49,127,000, respectively.
<PAGE>
6. Acquisition of Merrill Lynch Balanced Fund for
Investment and Retirement, Inc.:
On March 4, 1996, Merrill Lynch Global Allocation Fund, Inc.
acquired all the net assets of Merrill Lynch Balanced Fund for
Investment and Retirement, Inc. pursuant to a plan of reorganiza-
tion. The acquisition was accomplished by a tax-free exchange of
$42,850,510 Common Stock shares of Merrill Lynch Global Allocation
Fund, Inc. Class A, 732,464; Class B, 9,028,794; Class C, 91,170;
and Class D, 32,998,082; respectively, for $53,060,748 Common Stock
shares outstanding of Merrill Lynch Balanced Fund for Investment
and Retirement, Inc. Merrill Lynch Balanced Fund for Investment and
Retirement, Inc.'s net assets on that date of $609,137,506, including
$85,653,336 of unrealized appreciation were combined with those of
Merrill Lynch Global Allocation Fund, Inc. The aggregate net assets
of Merrill Lynch Global Allocation Fund, Inc. immediately after the
acquisition amounted to $10,403,863,333.
EQUITY PORTFOLIO CHANGES
For the Quarter Ended April 30, 1996
<PAGE>
Additions
ADC Telecommunications, Inc.
Advantest Corporation
*Alco Standard Corporation
American Home Products Corporation
Bank of New York, Inc. (The) (Warrants)
BankAmerica Corp.
Boatmen's Bancshares, Inc.
*Boeing Company
Bouygues S.A.
British Gas PLC
British Telecommunications PLC (Ordinary)
Cheung Kong Holdings Limited
Chevron Corp.
*cisco Systems Inc.
*Clorox Company
*Colgate-Palmolive
Community Psychiatric Centers
*Computer Sciences Corporation
Crane Co.
Crown Company Inc.
Crown Cork & Seal Co., Inc.
DSC Communications Corp.
Danka Business Systems PLC (ADR)
Department 56, Inc.
du Pont (E.I.) de Nemours & Co.
Eastman Kodak Co.
El Paso Electric Company
Enermark Income Fund
Ente Nazionale Idrocarbari, S.p.A.
Espirito Santo Financial Holdings S.A. (ADR)
Fomento de Construciones y Contratas S.A.
General Electric Co.
General Motors Corp. (Class E)
Getronics N.V.
Groupe Danone S.A.
Grupo Carso, S.A. de C.V. (ADR)
HSBC Holdings PLC
Hanson PLC (Ordinary)
Harris Corp.
Holzmann AG
Humana, Inc.
ITT Corp.
ITT Hartford Group Inc.
ITT Industries Inc.
Karstadt AG
Koninklijke KNP N.V.
Landmark Graphics Corp.
The Limited, Inc.
Magna International Inc.
Meditrust
Miura Kogyo
Mobil Oil Corp.
National Re Corp.
Nitto Kohki Co., Ltd.
Nomura Securities Co., Ltd.
Oerlikon-Buehrle Holding Ltd.
PPG Industries, Inc.
PT Hanjaya Mandala Sampoerna
*PT Indosat Corp. (ADR)
<PAGE>
Progress Software Corporation
Risk Capital Holdings Inc.
Rogers Communications Inc.
Sampoerna
SBC Communications Inc.
Sandoz AG (Registered)
Semi-Tech Corporation
Shin-Etsu Chemical Co. Ltd.
Singer Co.
Skandia Forsakring AB Free
*SmithKline Beecham (ADR)
Societe Suisse pour la Microelectronique
et l'Horlogene AG
*Solectron Corporation
Southwest Water PLC
Sparbanken Sverige AB
Stratus Computer, Inc.
Telecomunicacoes Brasilieras S.A.--
Telebras PN (ADR)
*Teleconumikasi (ADR)
Texas Instruments, Inc.
Tokyo Electron Limited
Tornet Fastighets AB
*Tyson Foods, Inc.
Unilever Capital Corp.
*United International (Warrants)
United Technologies Corporation
World Communications, Inc.
York International Corp. (New)
Deletions
ASEA AB 'B' Free
*Alco Standard Corporation
Atwood Oceanics, Inc.
BBC Brown Boveri & Cie (Bearer)
BancOne Corp.
*Boeing Company
Brooklyn Bancorp, Inc.
CRH PLC
*cisco Systems Inc.
*Clorox Company
*Colgate-Palmolive Company
*Computer Sciences Corporation
Elf Aquitaine (Elf) S.A.
Fourth Financial Corp. (Convertible, Class A)
General Electric Co. PLC (Ordinary)
Gerrity Oil & Gas Corp.
Mapfre S.A. (Rights)
*PT Indosat Corp. (ADR)
Philips Electronics N.V.
*SmithKline Beecham (ADR)
<PAGE>
Snap-On, Inc.
*Solectron Corporation
Tate & Lyle PLC
Tele Danmark A/S
*Teleconumikasi (ADR)
*Tyson Foods, Inc.
Turner & Newall PLC
Unitas Bank Ltd.
*United International (Warrants)
Veba Vereiniste Elektriz
Vodafone Group PLC
Zeneca Group PLC
[FN]
*Added and deleted in the same quarter.
