MERRILL LYNCH
GLOBAL
ALLOCATION
FUND, INC.
FUND LOGO
Annual Report
October 31, 1996
This report is not authorized for use as an offer of
sale or a solicitation of an offer to buy shares of the
Fund unless accompanied or preceded by the Fund's
current prospectus. Past performance results
shown in this report should not be considered a
representation of future performance. Investment
return and principal value of shares will fluctuate
so that shares, when redeemed, may be worth more
or less than their original cost. Statements and other
information herein are as dated and are subject
to change.
<PAGE>
Merrill Lynch
Global Allocation
Fund, Inc.
Box 9011
Princeton, NJ
08543-9011
Printed on post-consumer recycled paper
MERRILL LYNCH GLOBAL ALLOCATION FUND, INC.
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
DEAR SHAREHOLDER
<PAGE>
Fiscal Year in Review
For the 12-month period ended October
31, 1996, Merrill Lynch Global Allocation
Fund, Inc.'s Class A, Class B, Class C
and Class D Shares had total returns
of +17.81%, +16.71%, +16.68% and
+17.59%, respectively. Throughout the
year the Fund's shares registered posi-
tive total returns for each fiscal quar-
ter; returns from Class A Shares ranged
from a low of +0.4% in the July quarter
to a high of +7.8% in the January quar-
ter. (Results shown do not reflect sales
charges, and would be lower if sales
charges were included. Complete per-
formance information, including average
annual total returns, can be found on
pages 3--7 of this report to shareholders.)
During the fiscal year, the Fund paid
two distributions from net investment
income in December 1995 and July 1996.
Since the Fund had capital gains, a
capital gains distribution also was made
in December 1995.
For the fiscal year, total returns for the
Fund's shares exceeded that of the
unmanaged Reference Portfolio. For
example, the Fund's Class A Shares
outperformed the Reference Portfolio
by 4.5 percentage points. As discussed
in our July 31, 1996 report to share-
holders, the total return of this bench-
mark index is a weighted average of
the total returns of two equity and two
fixed-income indexes. As you can see in
the "Recent Performance Results" table
on page 5 of this report to share-
holders, total returns for the Fund's
shares for the fiscal year were greater
than three of the four components of
the Reference Portfolio: The Financial
<PAGE>
Times/Standard & Poor's--Actuaries
World Index (Ex-US), the Merrill Lynch
Government Bond Index GA05 and the
Salomon Brothers World Government
Bond Index (Ex-US). However, the
Fund underperformed the unmanaged
Standard & Poor's 500 Composite Index,
which had a +24.07% total return for
the fiscal year. As we have noted in
prior reports to shareholders, the Fund
has tended to underperform US equity
indexes during strong bull markets
because of its broad diversification and
significant fixed-income investments.
During the fiscal year, the Fund's per-
formance was helped by several strate-
gies. First, our large investments in
European government bonds benefited
total return as these markets were
strong performers during the fiscal
year. Especially noteworthy was the
strong performance of the so-called
non-core European bond markets, such
as Spain. We took advantage of the
appreciation of our European bond
investments and reduced or eliminated
holdings in several countries at a profit.
Our focus on US dollar-denominated
Latin American debt was also a positive
factor. After bottoming in early 1995,
these bond markets began to appreciate
in 1995 and into 1996. In addition to
significant capital appreciation, these
investments also provided a high cur-
rent yield. For example, our investment
in Republic of Argentina floating rate
notes provided a total return of approx-
imately 38% over the course of the
fiscal year. Many of these positions have
been reduced at a profit.
Emphasizing US dollar-denominated
investments also helped performance
as the US currency strengthened. We
continue to hedge most of the Fund's
investments in the Japanese yen and
Deutschemark-bloc currencies back into
the US dollar.
<PAGE>
Our investments in US financial stocks
were also helpful to the Fund's per-
formance, as reflected in the total
return for the S&P Bank Index, which
increased in excess of 45% for the fiscal
year. Once again, we chose to accept
profits and reduce holdings in a num-
ber of our US financial stocks.
The two major factors that detracted
from the Fund's relative performance
were its high cash position and the
underweighting of US stocks. US equi-
ties comprise the largest portion of the
Reference Portfolio, and they were the
strongest performers for the fiscal year.
Portfolio Matters
During the quarter ended October 31,
1996, we made modest changes to the
Fund's portfolio. Equity investments
accounted for 32.9% of net assets at
October quarter-end, compared to 34.4%
at the end of the July quarter. (Equity
investments do not include convertible
bonds which represented 8.67% of net
assets at the end of October.) Fixed-
income investments made up 42.3% of
net assets at the end of October, com-
pared to 47.7% as of the end of July.
(Please refer to the "Summary of the
Fund's Overall Asset Mix" table on
pages 40 and 41 of this report to
shareholders.)
During the October quarter, we con-
tinued to reduce the Fund's percentage
exposure to US dollar-denominated
Latin American debt and US high-yield
corporate bonds. At the same time, we
increased investments in US Treasury
notes. Now that yield spreads have
decreased, we believe that the risk/
return tradeoff has moved toward favor-
ing US Treasury issues relative to
higher-risk investments such as high-
yield corporate bonds and US dollar-
denominated Latin American debt.
<PAGE>
The Fund maintains its conservative
structure, with cash reserves represent-
ing 23.7% of net assets as of October 31
compared to 17.9% at the end of the
July quarter. We continue to find few
relatively attractive new investment
opportunities in the current environ-
ment of high valuations, and plan to
commit cash reserves to long-term
investments as better opportunities
become available.
In Conclusion
We thank you for your continued invest-
ment in Merrill Lynch Global Allocation
Fund, Inc., and we look forward to
serving your financial needs throughout
the Fund's new fiscal year and beyond.
Sincerely,
(Arthur Zeikel)
Arthur Zeikel
President
(Bryan N. Ison)
Bryan N. Ison
Vice President and Portfolio Manager
December 3, 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.
<PAGE>
* Class B Shares are subject to a maximum contingent deferred
sales charge of 4% if redeemed during the first year, decreasing
1% each year thereafter to 0% after the fourth year. In addition,
Class B Shares are subject to a distribution fee of 0.75% and
an account maintenance fee of 0.25%. These shares automati-
cally convert to Class D Shares after approximately 8 years.
(There is no initial sales charge for automatic share conversions.)
* Class C Shares are subject to a distribution fee of 0.75% and an
account maintenance fee of 0.25%. In addition, Class C Shares
are subject to a 1% contingent deferred sales charge if
redeemed within one year of purchase.
* Class D Shares incur a maximum initial sales charge of
5.25% and an account maintenance fee of 0.25% (but no distri-
bution fee).
None of the past results shown should be considered a repre-
sentation of future performance. Investment return and principal
value of shares will fluctuate so that shares, when redeemed,
may be worth more or less than their original cost. Dividends
paid to each class of shares will vary because of the different
levels of account maintenance, distribution and transfer agency
fees applicable to each class, which are deducted from the
income available to be paid to shareholders.
PERFORMANCE DATA (continued)
Total Return
Based on a $10,000
Investment
A line graph depicting the growth of an investment in the Fund's
Class A and Class B Shares compared to growth of an investment
in the Financial Times/Standard & Poor's--Actuaries World Index.
Beginning and ending values are:
2/3/89** 10/96
ML Global Allocation Fund, Inc.++--
Class A Shares* $ 9,475 $26,271
ML Global Allocation Fund, Inc.++--
Class B Shares* $10,000 $25,629
<PAGE>
Financial Times/Standard & Poor's
Actuaries World Index++++ $10,000 $18,495
10/21/94** 10/96
ML Global Allocation Fund, Inc.++--
Class C Shares* $10,000 $13,253
ML Global Allocation Fund, Inc.++--
Class D Shares* $ 9,475 $12,760
Financial Times/Standard & Poor's
Actuaries World Index++++ $10,000 $12,564
[FN]
*Assuming maximum sales charge, transaction costs and other operating
expenses, including advisory fees.
**Commencement of Operations.
++ML Global Allocation Fund, Inc. invests in a portfolio of US
and foreign issues, whose composition varies with respect to
types of securities and markets in response to changing market
and economic trends.
++++This unmanaged capitalization-weighted Index is comprised of
2,200 equities from 24 countries in 12 regions, including the
United States.
Past performance is not predictive of future performance.
Average Annual
Total Return
% Return Without % Return With
Sales Charge Sales Charge**
Class A Shares*
Year Ended 9/30/96 +16.00% + 9.91%
Five Years Ended 9/30/96 +13.59 +12.37
Inception (2/3/89) through 9/30/96 +14.07 +13.27
<PAGE>
[FN]
*Maximum sales charge is 5.25%.
**Assuming maximum sales charge.
% Return % Return
Without CDSC With CDSC**
Class B Shares*
Year Ended 9/30/96 +14.81% +10.81%
Five Years Ended 9/30/96 +12.43 +12.43
Inception (2/3/89) through 9/30/96 +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 9/30/96 +14.85% +13.85%
Inception (10/21/94) through 9/30/96 +14.90 +14.90
[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 9/30/96 +15.70% + 9.63%
Inception (10/21/94) through 9/30/96 +15.82 +12.65
[FN]
*Maximum sales charge is 5.25%.
**Assuming maximum sales charge.
<PAGE>
<TABLE>
Recent
Performance
Results
<CAPTION>
Net Asset Value Total Return
10/31/96 7/31/96 10/31/95 12-Month 3-Month
<S> <C> <C> <C> <C> <C>
ML Global Allocation Fund, Inc. Class A Shares* $15.17 $14.36 $14.21 +17.81%(1) + 5.64%(2)
ML Global Allocation Fund, Inc. Class B Shares* 14.95 14.18 14.01 +16.71(3) + 5.43(4)
ML Global Allocation Fund, Inc. Class C Shares* 14.83 14.06 13.94 +16.68(5) + 5.48(6)
ML Global Allocation Fund, Inc. Class D Shares* 15.15 14.34 14.19 +17.59(7) + 5.65(8)
US Stocks: Standard & Poor's 500 Index** +24.07 +10.85
Non-US Stocks: Financial Times/Standard & Poor's--
Actuaries World Index (Ex-US)*** +11.38 + 2.39
US Bonds: ML Government Index GA05**** + 4.47 + 3.53
Non-US Bonds: Salomon Brothers World Government Bond Index (Ex-US)***** + 5.45 + 2.18
<FN>
*Investment results shown do not reflect sales charges; results shown would be
lower if a sales charge was included.
**An unmanaged broad-based index comprised of common stocks. Total investment
returns for unmanaged indexes are based on estimates.
***An unmanaged capitalization-weighted index comprised of over 1,800 companies in
24 countries, excluding the United States.
****An unmanaged index designed to track the total return of the current coupon
five-year US Treasury bond.
*****An unmanaged market capitalization-weighted index tracking 10 government bond
indexes, excluding the United States.
(1)Percent change includes reinvestment of $1.068 per share ordinary income dividends
and $0.341 per share capital gains distributions.
(2)Percent change includes reinvestment of $0.363 per share ordinary income dividends.
(3)Percent change includes reinvestment of $0.922 per share ordinary income dividends
and $0.341 per share capital gains distributions.
(4)Percent change includes reinvestment of $0.294 per share ordinary income dividends.
(5)Percent change includes reinvestment of $0.954 per share ordinary income dividends
and $0.341 per share capital gains distributions.
(6)Percent change includes reinvestment of $0.308 per share ordinary income dividends.
(7)Percent change includes reinvestment of $1.038 per share ordinary income dividends
and $0.341 per share capital gains distributions.
(8)Percent change includes reinvestment of $0.349 per share ordinary income dividends.
</TABLE>
PERFORMANCE DATA (concluded)
<PAGE>
<TABLE>
Performance
Summary--
Class A Shares
<CAPTION>
Net Asset Value Capital Gains
Period Covered Beginning Ending Distributed Dividends Paid* % Change**
<C> <C> <C> <C> <C> <C>
2/3/89--12/31/89 $10.00 $10.76 $0.199 $0.484 +14.64%
1990 10.76 9.89 0.237 0.854 + 1.88
1991 9.89 11.05 0.196 1.409 +28.75
1992 11.05 11.53 0.038 0.816 +12.19
1993 11.53 13.23 0.194 0.508 +21.01
1994 13.23 12.23 0.140 0.605 - 2.00
1995 12.23 13.88 0.341 0.872 +23.72
1/1/96--10/31/96 13.88 15.17 -- 0.363 +12.02
------ ------
Total $1.345 Total $5.911
Cumulative total return as of 10/31/96: +177.28%**
<FN>
*Figures may include short-term capital gains distributions.
**Figures assume reinvestment of all dividends and capital gains
distributions at net asset value on the ex-dividend date, and
do not include sales charge; results would be lower if sales
charge was included.
</TABLE>
<TABLE>
Performance
Summary--
Class B Shares
<CAPTION>
Net Asset Value Capital Gains
Period Covered Beginning Ending Distributed Dividends Paid* % Change**
<C> <C> <C> <C> <C> <C>
2/3/89--12/31/89 $10.00 $10.75 $0.199 $0.392 +13.58
1990 10.75 9.88 0.237 0.741 + 0.84
1991 9.88 11.03 0.196 1.300 +27.47
1992 11.03 11.47 0.038 0.731 +11.06
1993 11.47 13.11 0.194 0.409 +19.69
1994 13.11 12.12 0.140 0.479 - 2.89
1995 12.12 13.73 0.341 0.735 +22.39
1/1/96--10/31/96 13.73 14.95 -- 0.294 +11.11
------ ------
Total $1.345 Total $5.081
Cumulative total return as of 10/31/96: +156.29%**
<PAGE>
<FN>
*Figures may include short-term capital gains distributions.
**Figures assume reinvestment of all dividends and capital gains distributions
at net asset value on the ex-dividend date, and do not reflect deduction of
any sales charge; results would be lower if sales charge was deducted.
</TABLE>
<TABLE>
Performance
Summary--
Class C Shares
<CAPTION>
Net Asset Value Capital Gains
Period Covered Beginning Ending Distributed Dividends Paid* % Change**
<C> <C> <C> <C> <C> <C>
10/21/94--12/31/94 $12.91 $12.07 $0.140 $0.368 - 2.58%
1995 12.07 13.63 0.341 0.771 +22.38
1/1/96--10/31/96 13.63 14.83 -- 0.308 +11.15
------ ------
Total $0.481 Total $1.447
Cumulative total return as of 10/31/96: +32.53%**
<FN>
*Figures may include short-term capital gains distributions.
**Figures assume reinvestment of all dividends and capital gains distributions
at net asset value on the ex-dividend date, and do not reflect deduction of
any sales charge; results would be lower if sales charge was deducted.
</TABLE>
<TABLE>
Performance
Summary--
Class D Shares
<CAPTION>
Net Asset Value Capital Gains
Period Covered Beginning Ending Distributed Dividends Paid* % Change**
<C> <C> <C> <C> <C> <C>
10/21/94--12/31/94 $13.07 $12.24 $0.140 $0.383 - 2.35%
1995 12.24 13.87 0.341 0.845 +23.29
1/1/96--10/31/96 13.87 15.15 -- 0.349 +11.85
------ ------
Total $0.481 Total $1.577
Cumulative total return as of 10/31/96: +34.66%**
<PAGE>
<FN>
*Figures may include short-term capital gains distributions.
**Figures assume reinvestment of all dividends and capital gains distributions
at net asset value on the ex-dividend date, and do not include sales charge;
results would be lower if sales charge was included.
</TABLE>
Portfolio
Abbreviations
To simplify the currency denominations of Merrill Lynch Global
Allocation Fund, Inc.'s portfolio holdings in the Schedule of
Investments, we have abbreviated the currencies according to
the list at right.
CAD Canadian Dollar
CHF Swiss Franc
DEM German Deutschemark
DKR Danish Krone
ECU European Currency Unit
ESP Spanish Peseta
FRF French Franc
GBP Great Britain Pound
ITL Italian Lira
JPY Japanese Yen
NLG Netherlands Guilder
NOK Norwegian Krone
NZD New Zealand Dollar
SKR Swedish Kroner
USD United States Dollar
<TABLE>
SCHEDULE OF INVESTMENTS (in US dollars)
<CAPTION>
Shares Value Percent of
COUNTRY Industries Held Common Stocks Cost (Note 1a) Net Assets
<S> <S> <C> <S> <C> <C> <C>
Argentina Oil--Related 600,000 Yacimientos Petroliferos Fiscales
S.A. (ADR)++ (USD) $ 12,973,690 $ 13,650,000 0.1%
Total Common Stocks in Argentina 12,973,690 13,650,000 0.1
<PAGE>
Australia Banking 2,645,800 Westpac Banking Corp. 5,614,396 15,096,935 0.1
Foods 7,916,000 Goodman Fielder Wattie Ltd. 8,324,587 9,284,676 0.1
Insurance 1,614,135 GIO Australia Holdings, Ltd. 2,786,182 4,157,406 0.1
Multi-Industry 1,500,000 Pacific Dunlop, Ltd. 4,092,789 3,328,500 0.0
Tobacco 2,099,800 Rothmans Holdings, Ltd. 7,893,919 13,479,141 0.1
1,242,300 ++++WD & HO Wills Holdings, Ltd. 1,389,502 2,018,272 0.0
--------------- --------------- ------
9,283,421 15,497,413 0.1
Total Common Stocks in Australia 30,101,375 47,364,930 0.4
</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>
Brazil Telecommunications 35,000 Telecomunicacoes Brasileiras S.A.--
Telebras PN (ADR)++ (USD) $ 1,953,385 $ 2,607,500 0.0%
Total Common Stocks in Brazil 1,953,385 2,607,500 0.0
Canada Beverages 1,828,600 Cott Corp. (USD) 14,957,451 13,028,775 0.1
Metals--Non-Ferrous 100,000 Inco Ltd. (USD) 2,132,000 3,175,000 0.1
Natural Resources 200,000 Canadian Pacific, Ltd. (USD) 2,278,861 5,050,000 0.0
440,000 Horsham Corp. (USD) 3,550,742 7,590,000 0.1
--------------- --------------- ------
5,829,603 12,640,000 0.1
Oil--Related 353,000 ++++International Petroleum Corp. (USD) 1,000,196 1,544,375 0.0
Paper 3,250,000 ++++Repap Enterprises Inc. 12,879,320 12,593,750 0.1
Specialty Retailing 280,000 Semi-Tech Corporation (Class A) 4,108,297 1,023,193 0.0
Telecommunications 100,000 BCE Telecommunications, Inc. (USD) 3,375,484 4,600,000 0.0
4,200,000 ++++Rogers Communications Inc. 37,036,561 33,828,026 0.3
--------------- --------------- ------
40,412,045 38,428,026 0.3
Total Common Stocks in Canada 81,318,912 82,433,119 0.7
<PAGE>
Denmark Banking 53,500 Unidanmark A/S 1,870,730 2,466,965 0.0
Total Common Stocks in Denmark 1,870,730 2,466,965 0.0
Finland Metals 366,700 Outokumpu OY 5,258,735 6,193,436 0.1
Paper & Forest 1,500,000 ++++Enso-Gutzeit OY 12,019,454 11,756,524 0.1
Products 2,909,250 Metsa-Serla OY 'B' 23,657,400 20,232,563 0.1
1,112,722 ++++UPM-Kymmene OY (o) 20,695,413 22,601,321 0.2
--------------- --------------- ------
56,372,267 54,590,408 0.4
Telecommunications 350,000 Nokia Corp. (ADR)++ (USD) 11,590,063 16,231,250 0.1
Equipment 186,360 Nokia OY 8,998,615 8,615,663 0.1
--------------- --------------- ------
20,588,678 24,846,913 0.2
Total Common Stocks in Finland 82,219,680 85,630,757 0.7
France Automobiles 94,304 Peugeot S.A. 11,413,010 9,840,642 0.1
Banking 215,600 Compagnie de Suez S.A. 8,482,839 9,290,411 0.1
173,900 Compagnie Financiere de Paribas S.A. 9,343,179 11,201,124 0.1
351,386 Societe Generale 38,014,799 37,905,495 0.3
--------------- --------------- ------
55,840,817 58,397,030 0.5
Electronics 245,690 ++++SGS-Thomson Microelectronics N.V. 11,523,824 13,030,546 0.1
Engineering & 119,340 Bouygues S.A. 12,009,424 11,705,497 0.1
Construction
Foods/Food 61,600 Groupe Danone S.A. 9,786,153 8,441,991 0.1
Processing
Industrial 113,700 Alcatel Alsthom Cie Generale
d'Electricite S.A. 10,964,472 9,705,392 0.1
196,400 Elf Aquitaine (Elf) S.A. 14,173,233 15,718,767 0.1
--------------- --------------- ------
25,137,705 25,424,159 0.2
Insurance 473,125 Assurances Generales de France
S.A. (AGF) 12,930,023 13,968,294 0.1
Metals/Steel 1,038,723 Usinor-Sacilor S.A. 15,498,579 15,424,868 0.1
Multi-Industry 33,455 EuraFrance S.A. 9,052,946 14,638,773 0.1
Total Common Stocks in France 163,192,481 170,871,800 1.4
<PAGE>
Germany Automotive 58,500 Volkswagen AG 21,917,683 23,052,425 0.2
Banking 55,680 Bayerische Vereinsbank AG 1,339,965 2,095,682 0.0
113,150 Deutsche Bank AG 5,287,453 5,245,087 0.0
223,500 Deutsche Bank AG (Warrants) (a) 1,916,447 1,211,222 0.0
--------------- --------------- ------
8,543,865 8,551,991 0.0
Capital Goods 369,636 ++++Kloeckner-Werke AG 17,229,762 12,898,540 0.1
Chemicals 291,530 Bayer AG 10,121,411 11,024,616 0.1
101,451 Henkel KGaA 4,390,556 4,512,360 0.0
203,950 Hoechst AG 6,797,383 7,676,262 0.1
--------------- --------------- ------
21,309,350 23,213,238 0.2
Engineering & 30,480 Philipp Holzmann AG 11,661,385 7,554,028 0.1
Construction
Retail 27,715 Karstadt AG 10,815,610 10,116,314 0.1
Total Common Stocks in Germany 91,477,655 85,386,536 0.7
Hong Kong Agriculture 36,108,000 C.P. Pokphand Co. Ltd. (Ordinary) 12,675,471 12,025,881 0.1
Banking 290,123 HSBC Holdings PLC 1,815,621 5,910,156 0.0
Multi-Industry 889,500 Hutchison Whampoa Ltd. 4,867,725 6,212,637 0.1
Real Estate 817,000 Cheung Kong Holdings Ltd. 5,904,073 6,551,639 0.1
Transportation-- 215,000 ++++Guangshen Railway Company Ltd. (ADR)++
Railway (USD) 4,085,000 4,004,375 0.0
Total Common Stocks in Hong Kong 29,347,890 34,704,688 0.3
Indonesia Paper & Pulp 2,669,600 ++++Asia Pacific Resources International
Holdings Ltd. (ADR)++ (USD)+++++++ 18,325,968 14,682,800 0.1
1,715,000 ++++Asia Pulp & Paper Company Ltd. (ADR)++
(USD)+++++++ 19,722,500 16,935,625 0.2
--------------- --------------- ------
38,048,468 31,618,425 0.3
Total Common Stocks in Indonesia 38,048,468 31,618,425 0.3
<PAGE>
Italy Banking 1,813,400 Istituto Mobiliare Italiano S.p.A.
(Ordinary) 13,339,979 14,361,018 0.1
Building & 931,597 ++++Filippo Fochi S.p.A. 2,918,176 68,830 0.0
Construction
Insurance 10,785,989 Istituto Nazionale della Assicurazioni
(INA) S.p.A. 15,495,280 14,906,423 0.1
97,000 ++++Mediolanum S.p.A. 747,016 962,065 0.0
--------------- --------------- ------
16,242,296 15,868,488 0.1
Multi-Industry 9,117,595 ++++Compagnie Industriali Riunite
S.p.A. (CIR) 7,816,550 4,312,498 0.0
27,176,500 ++++MontEdison S.p.A. 22,271,980 17,784,213 0.2
--------------- --------------- ------
30,088,530 22,096,711 0.2
Oil--Related 3,968,900 Ente Nazionale Idrocarburi S.p.A. 17,038,269 19,021,082 0.2
Telecommunications 3,000,000 Societa Finanziaria Telefonica S.p.A.
(STET) 4,365,656 10,370,077 0.1
8,666,863 Societa Finanziaria Telefonica S.p.A.
(STET) RISP 16,268,796 23,097,913 0.2
3,958,000 Telecom Italia Mobile S.p.A. 1,395,818 8,185,454 0.1
3,958,000 Telecom Italia S.p.A. 7,779,466 8,825,147 0.1
--------------- --------------- ------
29,809,736 50,478,591 0.5
Total Common Stocks in Italy 109,436,986 121,894,720 1.1
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued) (in US dollars)
<CAPTION>
Shares Value Percent of
COUNTRY Industries Held Common Stocks Cost (Note 1a) Net Assets
<S> <S> <C> <S> <C> <C> <C>
Japan Automobiles & 2,092,000 Suzuki Motor Corp. $ 19,599,205 $ 21,333,802 0.2%
Equipment
Beverages 1,017,000 Chukyo Coca-Cola Bottling Co., Ltd. 12,207,036 9,834,725 0.1
565,000 Hokkaido Coca-Cola Bottling Co., Ltd. 7,764,597 7,152,527 0.1
690,000 Kinki Coca-Cola Bottling Co., Ltd. 10,868,372 9,038,242 0.1
1,041,000 Mikuni Coca-Cola Bottling Co., Ltd. 14,998,840 13,727,473 0.1
904,000 Sanyo Coca-Cola Bottling Co., Ltd. 13,028,710 12,397,714 0.1
--------------- --------------- ------
58,867,555 52,150,681 0.5
<PAGE>
Capital Goods 3,868,000 Mitsubishi Heavy Industries, Ltd. 23,624,404 29,753,846 0.3
Chemicals 215,000 Shin-Etsu Chemical Co., Ltd. 4,188,896 3,685,714 0.0
Electrical 453,000 Chudenko Corp. 14,271,558 13,898,637 0.1
Construction 777,000 Kinden Corporation 13,982,160 10,860,923 0.1
34,000 Taihei Dengyo Kaisha Ltd. 637,020 427,429 0.0
--------------- --------------- ------
28,890,738 25,186,989 0.2
Electrical Equipment 77,000 Advantest Corporation 3,441,308 2,910,769 0.0
593,000 Murata Manufacturing Co., Ltd. 19,275,913 19,080,264 0.2
75,000 Tokyo Electron Limited 2,928,405 1,931,868 0.0
--------------- --------------- ------
25,645,626 23,922,901 0.2
Financial Services 360,000 Nomura Securities Co., Ltd. 7,080,991 5,949,890 0.1
Industrial 28,000 Miura Kogyo Co., Ltd. 466,635 428,308 0.0
13,200 Nitto Kohki Co., Ltd. 489,424 434,004 0.0
--------------- --------------- ------
956,059 862,312 0.0
Insurance 2,497,000 Dai-Tokyo Fire & Marine Insurance
Co., Ltd. 16,307,882 15,607,622 0.1
665,000 Fuji Fire & Marine Insurance
Co., Ltd. 3,727,641 3,022,462 0.0
2,384,000 Koa Fire & Marine Insurance
Co., Ltd. 13,551,678 13,979,147 0.1
620,000 Mitsui Marine & Fire Insurance
Co., Ltd. 5,004,638 4,033,407 0.0
1,804,000 Nichido Fire & Marine Insurance
Co., Ltd. 11,275,948 11,260,132 0.1
1,351,000 Nippon Fire & Marine Insurance
Co., Ltd. 6,970,280 7,126,154 0.1
2,408,000 Sumitomo Marine & Fire Insurance
Co., Ltd. 18,939,904 17,274,092 0.1
2,368,000 Tokio Marine & Fire Insurance
Co., Ltd. 25,707,953 26,021,978 0.2
1,130,000 Yasuda Fire & Marine Insurance
Co., Ltd. 8,101,705 7,182,330 0.1
--------------- --------------- ------
109,587,629 105,507,324 0.8
<PAGE>
Office Equipment 1,612,000 Canon, Inc. 23,455,745 30,893,714 0.3
Packaging & 912,000 Toyo Seikan Kaisha, Ltd. 23,384,016 28,863,297 0.2
Containers
Pharmaceuticals 1,061,000 Sankyo Pharmaceuticals Co., Ltd. 23,391,365 26,303,473 0.2
384,000 Taisho Pharmaceuticals Co. 7,984,458 7,629,363 0.1
--------------- --------------- ------
31,375,823 33,932,836 0.3
Restaurants 356,000 Mos Food Services, Inc. 8,797,607 7,448,615 0.1
310,000 Ohsho Food Service Corp. 6,834,314 5,423,297 0.0
--------------- --------------- ------
15,631,921 12,871,912 0.1
Retail Stores 460,000 Ito Yokado Co., Ltd. 21,319,319 22,969,670 0.2
100,000 Sangetsu Co., Ltd. 3,160,832 2,136,264 0.0
--------------- --------------- ------
24,480,151 25,105,934 0.2
Steel 266,000 Maruichi Steel Tube Ltd. 5,107,698 4,396,308 0.0
Total Common Stocks in Japan 401,876,457 404,417,460 3.4
Mexico Conglomerates 433,800 Grupo Carso, S.A. de C.V.
(ADR)++ (USD) 3,832,850 3,904,200 0.0
Finance 6,054 Grupo Financiero Inbursa, S.A. de C.V.
(ADR)++ (USD) 121,464 96,869 0.0
Foods 700,000 Grupo Industrial Maseca (ADR)++ (USD) 7,969,925 12,775,000 0.2
Telecommunications 433,800 ++++Global Telecommunications Solutions,
Inc. (ADR)++ (USD) 2,060,550 1,952,100 0.0
Total Common Stocks in Mexico 13,984,789 18,728,169 0.2
Netherlands Airlines 156,260 KLM Royal Dutch Airlines N.V. 4,486,455 3,721,573 0.0
Chemicals 117,720 Akzo N.V. 14,550,083 14,837,314 0.1
288,070 European Vinyls Corp.
International N.V. 11,384,340 7,964,678 0.1
--------------- --------------- ------
25,934,423 22,801,992 0.2
Computer Software 111,200 Getronics N.V. 1,347,831 2,733,620 0.0
Electronics 475,125 Philips Electronics N.V. 17,151,017 16,749,676 0.2
Distribution
<PAGE> Forest Products 385,900 Koninklijke KNP N.V. 9,018,462 8,508,318 0.1
Insurance 202,000 Aegon N.V. 4,358,871 10,276,838 0.1
480,937 Fortis Amev N.V. (j) 7,946,583 14,374,524 0.1
1,766,537 Internationale Nederlanden Groep N.V. 27,430,540 55,090,377 0.5
--------------- --------------- ------
39,735,994 79,741,739 0.7
Miscellaneous-- 10,000 Nijverdal Ten Cate N.V. 501,699 488,121 0.0
Manufacturing
Telecommunications 100,000 Royal PTT Nederland N.V. 3,450,311 3,619,643 0.0
Total Common Stocks in the Netherlands 101,626,192 138,364,682 1.2
Norway Banking 4,785,400 Christiania Bank Og Kreditkasse 10,697,335 13,133,096 0.1
2,434,000 Den Norske Bank ASA 7,189,721 8,092,212 0.1
--------------- --------------- ------
17,887,056 21,225,308 0.2
Multi-Industry 201,900 Orkla A.S. (Class A) 10,201,072 12,918,358 0.1
Total Common Stocks in Norway 28,088,128 34,143,666 0.3
Portugal Banking 152,400 Espirito Santo Financial Holdings S.A.
(ADR)++ (USD) 1,851,275 1,847,850 0.0
Total Common Stocks in Portugal 1,851,275 1,847,850 0.0
Spain Banking 326,000 Argentaria S.A. 12,974,203 12,786,319 0.1
166,022 Banco Central Hispanoamericano S.A. 3,302,502 3,880,966 0.0
527,481 Banco de Santander S.A. (Ordinary) 19,029,577 27,102,295 0.2
83,000 Bank Intercontinental S.A. 4,607,612 9,955,052 0.1
--------------- --------------- ------
39,913,894 53,724,632 0.4
Energy & Petroleum 212,500 Repsol S.A. (ADR)++ (USD) 6,126,375 6,932,813 0.1
Engineering & 54,450 Fomento de Construciones y
Construction Contratas S.A. 4,508,276 4,425,024 0.0
Insurance 30,000 Mapfre S.A. 1,130,028 1,482,586 0.0
3,388 Mapfre S.A. (New Shares) 142,730 167,433 0.0
--------------- --------------- ------
1,272,758 1,650,019 0.0
<PAGE>
Manufacturing 173,000 ++++Grupo Fosforera Espanola S.A. 1,501,871 488,547 0.0
Multi-Industry 45,750 Corporacion Financiera Alba S.A. 1,611,658 3,875,902 0.0
Real Estate 236,708 Immobiliaria Metropolitana Vasco
Central S.A. 5,888,465 8,262,869 0.1
Toll Roads 154,000 Autopista Concesionaria Espanola S.A.
(ACESA) 1,363,246 1,769,768 0.0
Utilities--Electric 177,525 Empresa Nacional de Electricidad S.A.
(Endesa) 8,449,066 10,875,983 0.1
591,800 Iberdrola I S.A. 3,310,030 6,290,312 0.1
--------------- --------------- ------
11,759,096 17,166,295 0.2
Total Common Stocks in Spain 73,945,639 98,295,869 0.8
</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 $ 12,956,952 0.1%
Automotive & 43,916 Scania AB (Warrants) (a) 60,444 41,465 0.0
Equipment
Banking 624,309 Sparbanken Sverige AB (Class A) 7,147,870 9,887,784 0.1
400,245 Stadshypotek AB 5,908,034 10,514,317 0.1
--------------- --------------- ------
13,055,904 20,402,101 0.2
Financial Services 43,916 Investor AB (B Shares) 1,083,977 1,772,290 0.0
Industrial 200,000 SKF AB 'A' 3,713,376 4,370,669 0.0
Insurance 447,335 Skandia Forsakring AB Free 10,636,443 12,568,843 0.1
Metals/Steel 550,800 Avesta Sheffield AB 5,089,653 5,536,100 0.1
Multi-Industry 349,005 Svedala Industri AB Free 4,583,190 5,474,380 0.0
Paper & Forest 609,900 Mo och Domsjo AB (Class B) 16,502,175 16,811,376 0.2
Products
1,110,275 Stora Kopparbergs Bergslags AB 13,078,920 14,541,026 0.1
--------------- --------------- ------
29,581,095 31,352,402 0.3
<PAGE>
Pharmaceutical-- 349,700 Astra AB 'A' Free 15,134,947 16,083,058 0.2
Prescription
Real Estate 83,000 Tornet Fastighets AB 550,422 1,055,433 0.0
Total Common Stocks in Sweden 94,754,172 111,613,693 1.0
Switzerland Chemicals 20,047 Ciba-Geigy AG (Registered) 11,156,861 24,784,166 0.2
Conglomerates 301,993 Oerlikon-Buehrle Holding Ltd. 32,057,825 29,913,949 0.3
Electronic Components 69,850 Societe Suisse pour la Microelectronique
et l'Horlogerie AG (Registered) 9,809,595 9,844,668 0.1
Financial Services 205,911 CS Holdings AG (Registered) 21,126,362 20,641,785 0.2
Pharmaceuticals 2,630 Sandoz AG (Registered) 2,847,980 3,051,000 0.0
Photographic Services 12,273 Fotolabo S.A. 5,097,333 4,814,088 0.0
Total Common Stocks in Switzerland 82,095,956 93,049,656 0.8
United Beverages 1,451,980 Cadbury Schweppes PLC 11,384,259 12,068,750 0.1
Kingdom
Chemicals 1,470,000 Inspec Group PLC 4,431,923 5,188,691 0.0
Computers 405,654 Misys PLC 5,011,176 5,988,019 0.1
Conglomerates 50,000 Hanson PLC (ADR)++ (USD) 580,001 318,750 0.0
9,636,600 Hanson PLC (Ordinary) 15,568,156 12,696,664 0.1
--------------- --------------- ------
16,148,157 13,015,414 0.1
Consumer--Goods 1,117,550 Unilever Capital Corp. PLC 21,408,324 23,467,886 0.2
Environmental 940,000 ++++Waste Management International PLC
(ADR)++ (USD) 9,206,375 8,577,500 0.1
Food & Beverage 2,568,645 Grand Metropolitan PLC 16,811,528 19,365,762 0.2
35,000 Grand Metropolitan PLC (ADR)++ (USD) 1,031,100 1,071,875 0.0
631,110 Matthew Clark PLC 6,157,510 3,141,283 0.0
2,604,000 Tesco PLC 11,166,028 14,083,591 0.1
--------------- --------------- ------
35,166,166 37,662,511 0.3
<PAGE>
Insurance 1,200,000 Prudential Corp. PLC 7,670,325 9,056,909 0.1
Pharmaceuticals 912,400 Glaxo Wellcome PLC 11,999,915 14,277,137 0.1
Retail/Food 7,217,320 Asda Group PLC 13,279,197 13,794,139 0.1
Steel 1,500,000 British Steel PLC 4,081,599 4,166,129 0.0
Telecommunications 1,750,000 Cable & Wireless International PLC 11,412,098 13,919,630 0.1
Tobacco 963,660 ++++Imperial Tobacco Group PLC 6,391,138 5,635,124 0.0
12,500 ++++Imperial Tobacco Group PLC (ADR)++
(USD) 238,391 143,750 0.0
--------------- --------------- ------
6,629,529 5,778,874 0.0
Utilities--Water 1,703,000 Southwest Water PLC 13,068,875 16,094,280 0.1
Total Common Stocks in the
United Kingdom 170,897,918 183,055,869 1.4
United States Apparel 860,000 ++++Fruit of the Loom, Inc. 23,555,786 31,282,500 0.3
100,000 Liz Claiborne, Inc. 2,016,276 4,225,000 0.0
--------------- --------------- ------
25,572,062 35,507,500 0.3
Automobiles 165,308 Ford Motor Company 4,906,268 5,165,875 0.0
350,000 General Motors Corp. 13,282,191 18,856,250 0.2
--------------- --------------- ------
18,188,459 24,022,125 0.2
Automotive 588,800 ++++Collins & Aikman Group Inc. 4,337,565 3,532,800 0.0
Banking 300,000 Bank of New York Company, Inc. (The) 3,992,662 9,937,500 0.1
319,000 Bankers Trust Co. 7,620,125 8,174,375 0.1
129,500 Banknorth Group, Inc. 1,865,422 4,467,750 0.0
400,000 Barnett Banks Inc. 8,134,897 15,250,000 0.0
400,000 Charter One Financial, Inc. 8,614,401 17,350,000 0.1
500,000 Chase Manhattan Corporation
(New) (c) (e) 18,301,364 42,875,000 0.4
707,100 CoreStates Financial Corp. 22,202,461 34,382,738 0.3
450,000 First Chicago NBD Corporation 13,768,555 22,950,000 0.2
1,250,000 First Commerce Corp. 31,823,468 44,375,000 0.4
375,000 First of America Bank 13,449,625 20,390,625 0.2
1,306,102 KeyCorp 38,550,870 60,897,006 0.5
807,900 Mellon Bank Corp. 30,483,478 52,614,488 0.4
500,000 Onbancorp, Inc. 13,615,887 18,187,500 0.2
441,600 Oriental Bank and Trust+++++++ 5,050,248 8,280,000 0.1
1,100,000 Republic New York Corp. 49,526,909 83,875,000 0.7
500,000 Roosevelt Financial Group, Inc. 8,121,946 8,625,000 0.1
450,000 Southern National Corp. 8,670,728 15,581,250 0.1
--------------- --------------- ------
283,793,046 468,213,232 3.9
<PAGE>
Broadcast--Media 450,000 ++++CAI Wireless Systems Inc. 1,964,997 1,575,000 0.0
Business Data 1,136,400 ++++Information Resources, Inc. 13,553,605 14,205,000 0.1
Systems
Chemicals 50,000 du Pont (E.I.) de Nemours & Co. 3,466,125 4,637,500 0.0
141,237 ++++Millennium Chemicals Inc. 5,430,534 2,860,038 0.0
--------------- --------------- ------
8,896,659 7,497,538 0.0
Computer Software 100,000 ++++Progress Software Corporation 1,560,000 1,537,500 0.0
Computer Software 240,000 Electronic Data Systems Corp. 9,927,011 10,800,000 0.1
Services
Computers 200,000 ++++Bay Networks Inc. 3,962,000 4,050,000 0.0
150,000 Boole & Babbage, Inc. 1,329,492 4,500,000 0.1
2,400,000 ++++Borland International Corp.+++++++ 33,535,053 12,150,000 0.1
1,200,000 ++++Stratus Computer, Inc.+++++++ 23,632,111 26,850,000 0.2
1,100,000 ++++Unisys Corp. 12,291,367 6,875,000 0.1
--------------- --------------- ------
74,750,023 54,425,000 0.5
Construction & 153,800 Centex Corp. 3,880,118 4,633,225 0.1
Housing 500,000 ++++K. Hovnanian Enterprises, Inc.
(Class A) 4,920,209 3,000,000 0.0
--------------- --------------- ------
8,800,327 7,633,225 0.1
Construction 700,000 TJ International, Inc. 12,547,379 13,300,000 0.1
Products
Consumer-- 400,000 ++++Department 56, Inc. 8,951,325 8,800,000 0.1
Miscellaneous
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued) (in US dollars)
<CAPTION>
Shares Value Percent of
COUNTRY Industries Held Common Stocks Cost (Note 1a) Net Assets
<S> <S> <C> <S> <C> <C> <C>
United States Electronics 88,600 Harris Corp. $ 5,200,236 $ 5,548,575 0.1%
(continued) 711,200 ++++MEMC Electronic Materials, Inc. 14,904,748 13,779,500 0.1
1,200,000 ++++Silicon Valley Group, Inc. 21,598,334 19,950,000 0.2
250,000 ++++Tencor Instruments 4,838,940 4,718,750 0.0
150,000 Texas Instruments, Inc. 6,217,287 7,218,750 0.1
200,000 ++++VLSI Technology, Inc. 2,203,726 3,425,000 0.0
--------------- --------------- ------
54,963,271 54,640,575 0.5
<PAGE>
Energy & Petroleum 163,900 Ashland Coal, Inc. 4,132,919 3,872,137 0.0
49,500 Cabot Oil & Gas Corp. (Class A) 529,030 767,250 0.0
175,000 Chevron Corp. 9,028,140 11,506,250 0.1
130,000 Helmerich & Payne, Inc. (c) 2,773,423 7,036,250 0.1
46,400 Mitchell Energy Development Corp.
(Class A) 675,717 916,400 0.0
174,350 Mitchell Energy Development Corp.
(Class B) 2,755,451 3,617,763 0.0
125,000 Mobil Oil Corp. 9,757,153 14,593,750 0.1
50,000 Murphy Oil Corp. 1,899,720 2,468,750 0.0
106,100 ++++Nuevo Energy Co. 2,048,791 5,291,738 0.1
1,500,000 Occidental Petroleum Corp. 28,058,743 36,750,000 0.3
61,200 Pennzoil Co. 3,775,844 3,121,200 0.0
235,828 ++++Plains Resources, Inc. 1,381,815 3,301,592 0.0
1,094,247 ++++Santa Fe Energy Resources, Inc. 10,119,883 15,593,020 0.1
211,514 ++++Transamerica Refining Corp.
(Warrants) (a) 531,220 423,028 0.0
1,750,000 ++++TransTexas Gas Corp. 20,397,690 23,187,500 0.2
600,000 USX-Marathon Group 10,542,976 13,125,000 0.1
138,800 Unocal Corp. 3,272,336 5,083,550 0.1
--------------- --------------- ------
111,680,851 150,655,178 1.2
Financial Services 350,000 Student Loan Marketing Association 14,540,800 28,962,500 0.2
Food & Tobacco 184,900 Philip Morris Companies, Inc. 9,231,602 17,126,363 0.1
212,462 RJR Nabisco, Inc. 5,842,716 6,134,840 0.1
--------------- --------------- ------
15,074,318 23,261,203 0.2
Gaming 1,235,000 ++++Scientific Games Holdings Corp. 27,568,304 27,941,875 0.2
Healthcare Services 360,000 ++++Advocat, Inc.+++++++ 3,422,500 2,430,000 0.0
90,000 Allegiance Corporation 760,858 1,687,500 0.0
450,000 Baxter International, Inc. 9,088,023 18,731,250 0.2
1,644,200 ++++Beverly Enterprises, Inc. 17,698,104 20,346,975 0.2
1,589,100 ++++Community Psychiatric Centers 13,254,793 14,103,262 0.1
700,000 ++++Humana, Inc. 13,206,455 12,775,000 0.1
435,600 United Healthcare Corporation 14,094,605 16,498,350 0.1
196,500 US Surgical Corp. 3,287,430 8,228,438 0.1
--------------- --------------- ------
74,812,768 94,800,775 0.8
Home Appliances 230,000 Singer Co. 6,382,382 4,398,750 0.0
Hotel/Leisure 114,000 ++++ITT Corp. 4,221,738 4,788,000 0.0
<PAGE>
Industrial 200,000 ++++American Standard, Inc. 6,011,000 7,525,000 0.1
15,000 ++++Bar Technologies Ltd. (Warrants) (a) 838,256 825,000 0.0
915,000 BW/IP Holdings, Inc. 15,816,387 12,352,500 0.1
179,802 Cooper Industries, Inc. 6,534,892 7,237,031 0.1
75,000 Crane Co. 2,691,213 3,487,500 0.0
150,000 Millipore Corporation 5,280,930 5,250,000 0.0
--------------- --------------- ------
37,172,678 36,677,031 0.3
Insurance 800,000 ACE, Ltd. 20,685,921 43,800,000 0.4
340,000 Aetna Inc. (l) 18,752,639 22,737,500 0.2
150,000 Alexander & Alexander Services, Inc. 2,461,336 2,287,500 0.0
510,000 American General Corp. 13,187,448 18,997,500 0.1
571,000 Horace Mann Educators, Inc. 13,654,588 19,556,750 0.2
114,000 ITT Hartford Group Inc. 4,188,594 7,182,000 0.0
640,200 Lincoln National Corp. 23,466,317 31,049,700 0.3
350,000 PartnerRe Holdings, Ltd. 6,790,237 10,018,750 0.1
1,289,500 ++++Risk Capital Holdings Inc. 23,395,906 23,049,813 0.2
--------------- --------------- ------
126,582,986 178,679,513 1.5
Machinery-- 50,000 York International Corp. (New) 2,252,358 2,418,750 0.0
Diversified
Machinery/ 166,800 AGCO Corp. 3,363,402 4,232,550 0.0
Agricultural
Manufacturing 200,000 ITT Industries Inc. 4,175,065 4,650,000 0.0
Metals 305,000 Aluminum Co. of America 13,814,815 17,880,625 0.1
1,350,000 Lukens Inc.+++++++ 25,689,657 18,562,500 0.2
220,700 ++++National Steel Corp. 1,968,085 1,903,538 0.0
200,000 Nucor Corporation 8,824,828 9,475,000 0.1
132,800 Reynolds Metals Co. 5,801,771 7,470,000 0.1
--------------- --------------- ------
56,099,156 55,291,663 0.5
Multi-Industry 180,000 Loews Corp. 7,934,294 14,872,500 0.1
Multimedia & 512,800 ++++U S West Media Group 7,933,766 8,012,500 0.1
Telecommunications
Natural Resources 210,519 Freeport-McMoRan Copper & Gold Inc.
(Class B) 3,665,657 6,394,515 0.1
Oil Services 100,000 ++++Diamond Offshore Drilling Inc. 5,150,000 6,087,500 0.1
260,000 Halliburton Company 7,813,589 14,722,500 0.1
3,000,000 ++++Noble Drilling Corp. 20,058,552 55,875,000 0.5
100,000 Tidewater Inc. 3,404,066 4,375,000 0.0
150,000 ++++Western Atlas, Inc. 9,013,408 10,406,250 0.1
--------------- --------------- ------
45,439,615 91,466,250 0.8
<PAGE>
Pharmaceuticals/ 21,600 ++++Alteon, Inc. 169,431 170,100 0.0
Biotechnology 150,000 American Home Products Corporation 6,263,569 9,187,500 0.1
350,000 Bristol-Myers Squibb Co. 18,929,586 37,012,500 0.3
450,000 Merck & Co., Inc. 17,543,253 33,356,250 0.3
500,000 SmithKline Beecham Corp. PLC (ADR)++ 11,603,072 31,312,500 0.3
--------------- --------------- ------
54,508,911 111,038,850 1.0
Photography 160,000 Eastman Kodak Co. 8,746,145 12,760,000 0.1
Pollution Control 646,900 WMX Technologies, Inc. 16,148,443 22,237,188 0.2
Publishing 175,000 Gannett Co., Inc. 8,375,486 13,278,125 0.1
301,500 New York Times Co. (Class A) 7,158,778 10,891,688 0.1
--------------- --------------- ------
15,534,264 24,169,813 0.2
Real Estate 830,000 Ambassador Apartments Inc. 13,262,250 16,807,500 0.1
Investment Trusts 300,000 CarrAmerica Realty Corp. (p) 5,880,781 7,537,500 0.1
475,000 First Union Real Estate Investments 3,570,053 3,562,500 0.0
661,300 Mid-America Realty Investments+++++++ 6,616,640 6,199,688 0.1
100,000 Mid-Atlantic Realty Trust Co. 917,500 1,012,500 0.0
1,251,325 Prime Retail, Inc.+++++++ 13,982,561 14,546,653 0.1
400,000 Taubman Centers, Inc. 3,807,537 4,500,000 0.1
--------------- --------------- ------
48,037,322 54,166,341 0.5
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued) (in US dollars)
<CAPTION>
Shares Value Percent of
COUNTRY Industries Held Common Stocks Cost (Note 1a) Net Assets
<S> <S> <C> <S> <C> <C> <C>
United States Restaurants 500,000 ++++Buffets, Inc. $ 5,071,633 $ 5,500,000 0.0%
(concluded) 1,000,000 Darden Restaurants Inc. 7,811,638 8,375,000 0.1
--------------- --------------- ------
12,883,271 13,875,000 0.1
Retail Stores 608,500 Baker (J.), Inc. 10,187,765 3,194,625 0.0
443,200 ++++Burlington Coat Factory Warehouse 4,846,377 5,429,200 0.1
516,900 ++++Buttrey Food & Drug Stores Co.+++++++ 4,084,486 4,135,200 0.0
60,000 Dayton-Hudson Corp. 1,306,978 2,077,500 0.0
1,110,000 ++++Filene's Basement Corp.+++++++ 10,092,619 4,578,750 0.1
700,000 The Limited, Inc. 12,951,591 12,862,500 0.1
1,373,500 ++++Payless Cashways, Inc. 17,027,625 2,575,313 0.0
--------------- --------------- ------
60,497,441 34,853,088 0.3
<PAGE>
Savings Banks 257,500 Bankers Corp. 1,552,137 4,956,875 0.0
1,400,000 ++++Dime Bancorp, Inc. 9,542,668 20,825,000 0.2
206,220 Downey Savings & Loan Association 2,896,670 5,361,720 0.0
1,822,700 ++++Glendale Federal Savings Bank 18,883,707 33,492,112 0.3
770,194 ++++Glendale Federal Savings Bank
(Warrants) (a) -- 6,450,375 0.1
--------------- --------------- ------
32,875,182 71,086,082 0.6
Specialty Retailing 400,000 Sotheby's Holdings, Inc. (Class A) 4,879,559 6,800,000 0.0
1,030,000 Toys 'R' Us, Inc. 25,002,909 34,891,250 0.3
--------------- --------------- ------
29,882,468 41,691,250 0.3
Telecommunications 27,750 ++++American Telecasting Inc.
(Warrants) (a) -- 388,500 0.0
185,700 Comsat Corp. 4,308,767 4,363,950 0.0
800,000 ++++DSC Communications Corp. 12,249,518 11,100,000 0.1
104,500 GTE Corp. 3,514,166 4,402,063 0.1
884,700 ++++Geotek Communications, Inc. 9,078,786 6,414,075 0.1
3,000,000 ++++Geotek Communications, Inc.
(Warrants) (a)+++ 14,200,634 7,875,000 0.1
923,200 ++++PLD Telekom Inc. 6,224,563 6,116,200 0.0
180,000 SBC Communications Inc. 8,015,735 8,752,500 0.1
--------------- --------------- ------
57,592,169 49,412,288 0.5
Textiles 2,825,200 ++++Burlington Industries, Inc. 37,451,653 32,136,650 0.3
Utilities-- 1,250,000 Allegheny Power System, Inc. 27,315,551 37,343,750 0.3
Electric & Gas 125,000 CMS Energy Corp. 2,290,025 3,953,125 0.0
2,101,000 Centerior Energy Corp. 28,664,979 20,484,750 0.2
100,000 Consolidated Edison Company, Inc. 2,923,495 2,925,000 0.0
4,512,285 ++++El Paso Electric Company 23,689,496 23,689,496 0.2
1,780,000 Entergy Corp. 47,516,856 49,840,000 0.4
475,000 FPL Group, Inc. 14,363,265 21,850,000 0.2
47,570 Great Bay Power Corp. 2,549,753 416,237 0.0
1,500,000 Niagara Mohawk Power Corp. 23,789,306 12,750,000 0.1
844,600 Texas Utilities Co. 26,942,999 34,206,300 0.3
1,148,800 Unicom Corporation 27,549,620 29,868,800 0.3
--------------- --------------- ------
227,595,345 237,327,458 2.0
<PAGE>
Utilities--Gas 115,650 Atmos Energy Corp. 1,445,257 2,746,687 0.0
Total Common Stocks in the
United States 1,679,903,738 2,150,693,743 18.0
Total Investments in Common Stocks 3,290,965,516 3,912,840,097 32.8
Equity Closed-End Funds
Austria Financial Services 320,000 ++++Austria Fund (USD) 2,642,432 2,800,000 0.0
Total Equity Closed-End Funds in Austria 2,642,432 2,800,000 0.0
Indonesia Financial Services 25,600 ++++Jakarta Growth Fund (USD) 158,080 198,400 0.0
Total Equity Closed-End Funds in Indonesia 158,080 198,400 0.0
Ireland Financial Services 150,000 ++++Irish Investment Fund, Inc. (USD) 1,086,041 2,100,000 0.0
Total Equity Closed-End Funds in Ireland 1,086,041 2,100,000 0.0
Italy Financial Services 150,000 Italy Fund (USD) 1,198,520 1,237,500 0.0
Total Equity Closed-End Funds in Italy 1,198,520 1,237,500 0.0
Portugal Financial Services 39,500 ++++Capital Portugal Fund 2,052,116 4,105,449 0.1
40,000 Portugal Fund (USD) 360,368 515,000 0.0
Total Equity Closed-End Funds in Portugal 2,412,484 4,620,449 0.1
Spain Financial Services 300,100 ++++Growth Fund of Spain, Inc. (USD) 2,630,827 3,638,712 0.0
Total Equity Closed-End Funds in Spain 2,630,827 3,638,712 0.0
United States Financial Services 166,666 ++++European Warrant Fund (USD) 1,363,723 1,770,826 0.0
Total Equity Closed-End Funds in the
United States 1,363,723 1,770,826 0.0
Total Investments in Equity
Closed-End Funds 11,492,107 16,365,887 0.1
Preferred Stocks
<PAGE>
Australia Publishing 600,000 The News Corporation Ltd. (ADR)++ (USD) 10,451,056 10,650,000 0.1
Total Preferred Stocks in Australia 10,451,056 10,650,000 0.1
Germany Chemicals 913,059 Henkel KGaA 37,778,082 41,003,476 0.3
Multi-Industry 450,000 RWE AG 8,725,424 15,286,498 0.1
Total Preferred Stocks in Germany 46,503,506 56,289,974 0.4
New Zealand Financial Services 3,085,700 Brierly Investments, Ltd. (9% Convertible) 1,988,414 2,594,623 0.0
Total Preferred Stocks in New Zealand 1,988,414 2,594,623 0.0
Norway Financial Services 175,000 A/S Eksportfinans (8.70% Convertible)
(USD) 4,377,500 4,768,750 0.0
Total Preferred Stocks in Norway 4,377,500 4,768,750 0.0
Portugal Banking 450,000 BCP International Bank, (8% Convertible)
(USD) 22,407,400 22,781,250 0.2
Total Preferred Stocks in Portugal 22,407,400 22,781,250 0.2
Spain Banking 225,000 Santander Overseas Bank (8% Convertible,
Series D) (USD) 5,463,250 5,681,250 0.1
Total Preferred Stocks in Spain 5,463,250 5,681,250 0.1
United Retail Stores 545,000 ++++Signet Group (Convertible) (ADR)++
Kingdom (USD) 2,194,907 7,698,125 0.1
Total Preferred Stocks in the
United Kingdom 2,194,907 7,698,125 0.1
</TABLE>
<PAGE>
<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>
United States Banking 100,000 Boatmen's Bancshares, Inc.
(Convertible) $ 2,500,000 $ 5,212,500 0.0%
55,000 California Federal Bank (10.625%) 5,500,000 5,940,000 0.1
229,000 HSBC Americas Inc. (Series A) 9,384,078 10,190,500 0.1
100,000 Onbancorp, Inc. (6.75% Convertible,
Series B) 2,668,750 2,875,000 0.0
--------------- --------------- ------
20,052,828 24,218,000 0.2
Cable Television 1,000,000 Diva Systems Corp. (Convertible,
Series C)++++ 8,410,000 8,892,500 0.1
Energy & Petroleum 150,000 ++++Grant Tensor Corp. (9.75% Convertible) 1,853,375 2,681,250 0.0
64,219 Santa Fe Energy Resources, Inc.
(7% Convertible) 954,075 1,565,338 0.0
460,000 Santa Fe Energy Resources, Inc.
(Convertible, Class A) 4,082,500 5,750,000 0.1
--------------- --------------- ------
6,889,950 9,996,588 0.1
Healthcare 1,080,000 US Surgical Corp. (Convertible) 24,354,000 43,200,000 0.4
Natural Resources 85,000 Alumax Inc. (Convertible, Series A) 7,240,312 11,368,750 0.1
150,000 Cyprus Amax Minerals Co. (Convertible,
Series A) 9,188,313 8,137,500 0.1
348,700 Freeport-McMoRan Copper & Gold, Inc.
(Convertible) 7,918,834 9,502,075 0.1
219,000 Freeport-McMoRan Inc.
(Convertible--Gold) 7,703,330 7,199,625 0.0
--------------- --------------- ------
32,050,789 36,207,950 0.3
Oil Services 447,200 Noble Drilling Corp. (Convertible) 10,745,382 20,906,600 0.2
Paper & Forest 200,000 Boise Cascade Corp. (Convertible,
Products Series G) 4,225,000 5,175,000 0.0
288,200 James River Corp. of Virginia
(9% Convertible, Series P) 4,971,450 8,501,900 0.1
--------------- --------------- ------
9,196,450 13,676,900 0.1
Real Estate 728,000 Catellus Development Corp.
(7.25% Exchangeable, Series B)+++ 33,521,250 38,402,000 0.3
319,200 First Union Real Estate Investments
(Convertible) 7,980,000 8,418,900 0.1
--------------- --------------- ------
41,501,250 46,820,900 0.4
<PAGE>
Real Estate 290,000 Criimi Mae Inc. (10.875% Convertible,
Investment Trusts Series B) 7,250,000 7,830,000 0.0
350,000 National Health Investors, Inc.
(8.50% Convertible) 8,750,000 10,850,000 0.1
835,500 Prime Retail, Inc. (10.50%)+++++++ 19,316,161 20,156,437 0.2
--------------- --------------- ------
35,316,161 38,836,437 0.3
Savings Banks 619,900 Glendale Federal Savings Bank
(8.75% Convertible, Series E) 15,070,337 29,987,663 0.2
Total Preferred Stocks in the
United States 203,587,147 272,743,538 2.3
Total Investments in Preferred Stocks 296,973,180 383,207,510 3.2
<CAPTION>
Currency Face
Denomination Amount Fixed-Income Securities
<S> <S> <S> <C> <S>
Argentina Banking USD 15,500,000 Banco de Galicia y Buenos Aires S.A.
de C.V., 9% due 11/01/2003 $ 15,020,750 $ 14,337,500 0.1%
Banco Rio de la Plata:
USD 42,500,000 (Class 3), 8.50% due 7/15/1998 42,868,125 42,712,500 0.4
USD 50,000,000 8.75% due 12/15/2003 41,565,950 46,312,500 0.4
--------------- --------------- ------
99,454,825 103,362,500 0.9
Government Republic of Argentina:
Obligations USD 86,240,000 Floating Rate Bonds, Series L,
6.625% due 3/31/2005 (d) 55,202,175 70,824,600 0.6
USD 145,000,000 Floating Rate Discount Notes, 6.437%
due 3/31/2023 106,073,973 104,400,000 0.8
USD 13,000,000 Global Bonds, 8.375% due 12/20/2003 8,237,000 11,537,500 0.1
USD 280,000,000 Par 'L' Bonds, 5.25% due 3/31/2023 138,411,142 166,250,000 1.4
--------------- --------------- ------
307,924,290 353,012,100 2.9
Total Fixed-Income Securities
in Argentina 407,379,115 456,374,600 3.8
Australia Building & USD 26,410,000 Lend Lease Finance International,
Construction Convertible Bonds, 4.75% due 6/01/2003 28,765,793 37,626,327 0.3
Total Fixed-Income Securities
in Australia 28,765,793 37,626,327 0.3
<PAGE>
Brazil Government USD 35,000,000 Brazil Exit Bonds, 6% due 9/15/2013 19,728,704 23,931,250 0.2
Obligations USD 30,940,000 Republic of Brazil, Floating Rate
Bonds, 6.687% due 1/01/2001 (d) 24,054,712 29,663,725 0.3
--------------- --------------- ------
43,783,416 53,594,975 0.5
Media/ USD 15,000,000 Abril S.A., 12% due 10/25/2003+++ 15,030,000 15,562,500 0.1
Publishing
Natural USD 11,500,000 Companhia Vale Do Rio Doce, 10% due
Resources 4/02/2004+++ 11,485,878 11,830,625 0.1
Total Fixed-Income Securities in Brazil 70,299,294 80,988,100 0.7
Canada Cable/ CAD 7,545,000 Rogers Cablesystem Inc., 9.65% due
Telecommuni- 1/15/2014 4,397,424 5,007,868 0.1
cations
Chemicals USD 18,800,000 Acetex Corporation, 9.75% due
10/01/2003 18,514,300 17,766,000 0.2
Hotel/ USD 21,000,000 Four Seasons Hotel, Inc., 9.125% due
Leisure 7/01/2000+++ 20,917,750 21,131,250 0.2
Paper & CAD 2,000,000 MacMillan Bloedel Limited, Convertible
Forest Bonds, 5% due 5/01/2007 1,024,416 1,237,974 0.0
Products
Real Estate CAD 16,501,370 First Place Tower, Inc., 10.28% due
12/15/2015 (s) 26,246,648 24,058,601 0.2
CAD 14,369,400 First Place Tower Mortgage, Inc.,
9.22% due 12/15/2015 11,258,329 12,055,765 0.1
--------------- --------------- ------
37,504,977 36,114,366 0.3
Natural USD 27,750,000 Sifto Canada, Inc., 8.50% due
Resources 7/15/2000 27,625,187 27,437,812 0.2
CAD 27,500,000 Viridian, Inc., 11% due 3/31/2004 (r) 19,868,804 23,789,992 0.2
--------------- --------------- ------
47,493,991 51,227,804 0.4
Telecom- CAD 5,000,000 Rogers Communications Inc.,
munications Convertible Bonds, 7.50% due
9/01/1999 3,394,000 3,616,974 0.0
Total Fixed-Income Securities
in Canada 133,246,858 136,102,236 1.2
<PAGE>
France Automobiles FRF 5,500 Peugeot S.A., Convertible Bonds, 2%
due 1/01/2001 992,341 1,168,527 0.0
Banking ECU 2,000,000 Credit Local de France, 0% due
10/16/2001 (b) 1,851,954 1,925,788 0.0
FRF 58,000 Societe Generale, Convertible Bonds,
3.50% due 1/01/2000 7,499,838 8,976,272 0.1
--------------- --------------- ------
9,351,792 10,902,060 0.1
Government ECU 123,500,000 Government of France OAT, 8.25% due
Obligations 4/25/2022 141,242,404 175,925,760 1.5
Industrial FRF 30,000 Alcatel Alsthom, Convertible Bonds,
2.50% due 1/01/2004 3,926,887 5,103,959 0.0
Insurance FRF 35,500 Finaxa, Convertible Bonds, 3% due
1/01/2001 9,060,172 11,565,057 0.1
Multi- FRF 8,713 Compagnie Generale des Eaux,
Industry Convertible Bonds, 6% due 1/01/1998 4,859,722 5,748,622 0.1
Total Fixed-Income Securities
in France 169,433,318 210,413,985 1.8
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued) (in US dollars)
<CAPTION>
Currency Face Value Percent of
COUNTRY Industries Denomination Amount Fixed-Income Securities Cost (Note 1a) Net Assets
<S> <S> <S> <C> <S> <C> <C> <C>
Germany Banking DEM 2,310,000 Commerzbank AG, Floating Rate
Convertible Bonds, 0% due
6/15/2001 (b) $ 1,556,456 $ 2,245,727 0.0%
USD 5,000,000 Landes Kredit Bank, 7.875% due
4/15/2004 4,972,067 5,350,450 0.1
--------------- --------------- ------
6,528,523 7,596,177 0.1
Building USD 41,100,000 Tarkett AG, 9% due 3/01/2002 39,413,750 42,024,750 0.3
Materials
<PAGE>
Financial USD 5,875,000 Veba International Finance
Services (with Warrants), 6% due
4/06/2000 (a) 2,965,841 5,816,250 0.0
Government Bundesrepublik Deutscheland:
Obligations DEM 31,000,000 5.75% due 8/20/1998 22,444,131 21,236,854 0.2
DEM 130,500,000 7.375% due 1/03/2005 99,256,229 94,233,230 0.8
DEM 258,000,000 6.25% due 1/04/2024 152,113,077 158,217,038 1.3
DEM 265,000,000 Deutsche Bundespost, 7.75% due
10/01/2004 197,119,542 194,104,487 1.6
--------------- --------------- ------
470,932,979 467,791,609 3.9
Government DEM 64,000,000 Baden-Wuerttemberg, 6.20% due
Obligations 11/22/2013 37,148,769 43,282,797 0.4
--Regional DEM 55,000,000 Freie Hansestadt Hamburg, 6.08% due
11/29/2018 31,730,765 36,469,169 0.3
DEM 170,500,000 Land Hessen, 6% due 11/29/2013 98,586,862 113,054,425 0.9
DEM 110,000,000 Mecklenberg-Vorpommern, 6.15% due
6/16/2023 61,012,437 70,902,782 0.6
DEM 134,950,000 Nordrhein-Westfalen, 6.125% due
12/21/2018 77,420,913 89,482,080 0.7
Rheinland-Pfalz:
DEM 33,000,000 5.75% due 2/24/2014 18,324,663 21,488,930 0.2
DEM 64,000,000 6.08% due 11/29/2018 36,935,547 42,436,851 0.4
DEM 47,000,000 Sachsen-Anhalt, 6% due 1/10/2014 26,915,615 30,512,260 0.3
--------------- --------------- ------
388,075,571 447,629,294 3.8
Industrial USD 1,000,000 Siemens Corp. (with Warrants), 8% due
6/24/2002 (a) 1,318,750 1,328,000 0.0
Total Fixed-Income Securities
in Germany 909,235,414 972,186,080 8.1
Hong Kong Industrial USD 11,300,000 Johnson Electric Holdings Ltd.,
Convertible Bonds, 4.50% due
11/05/2000 10,093,904 10,452,500 0.1
Retail USD 12,000,000 Dairy Farm International Holdings Ltd.
(Convertible Preferred), 6.50% due
5/10/2049 9,525,875 8,130,000 0.0
Total Fixed-Income Securities
in Hong Kong 19,619,779 18,582,500 0.1
<PAGE>
India Chemicals Reliance Industries Limited:
USD 15,000,000 8.125% due 9/27/2005 14,137,500 14,925,000 0.1
USD 11,450,000 Convertible Bonds, 3.50% due
11/03/1999 11,808,875 12,022,500 0.1
--------------- --------------- ------
25,946,375 26,947,500 0.2
Total Fixed-Income Securities
in India 25,946,375 26,947,500 0.2
Indonesia Paper & USD 19,500,000 APP International Finance, 11.75%
Forest due 10/01/2005 19,500,000 20,133,750 0.2
Products RAPP International Finance
Company B.V.:
USD 3,250,000 11.50% due 12/15/2000 3,220,165 3,355,625 0.0
USD 24,750,000 13.25% due 12/15/2005 24,090,165 26,915,625 0.2
Total Fixed-Income Securities
in Indonesia 46,810,330 50,405,000 0.4
Italy Government USD 5,000,000 Republic of Italy, 8.75%
Obligations due 2/08/2001 5,373,050 5,482,820 0.0
USD 17,735,000 Republic of Italy/INA, Convertible
Bonds, 5% due 6/28/2001 17,761,250 17,735,000 0.2
--------------- --------------- ------
23,134,300 23,217,820 0.2
Telecom- Softe SA-LUX:
munica- ITL 11,500,000,000 Convertible Bonds, 4.25%
tions due 7/30/1998 7,894,814 11,341,447 0.1
ITL 16,760,000,000 (Ex-Warrants), 8.75% due 3/24/1997 10,756,360 11,056,138 0.1
--------------- --------------- ------
18,651,174 22,397,585 0.2
Total Fixed-Income Securities
in Italy 41,785,474 45,615,405 0.4
Japan Beverages JPY 1,004,000,000 Sanyo Coca-Cola Bottling Inc.,
#1 Convertible Bonds, 0.90%
due 6/30/2003 9,358,932 8,870,505 0.1
JPY 100,000,000 Shikoku Coca-Cola Bottling Co., Ltd.,
#1 Convertible Bonds, 2.40% due
3/29/2002 1,036,246 989,890 0.0
--------------- --------------- ------
10,395,178 9,860,395 0.1
<PAGE>
Chemicals USD 4,700,000 Shin-Etsu Chemical Co., Ltd.,
(with Warrants) 3.375% due
8/08/2000 (a) 4,676,500 4,688,250 0.0
Computers CHF 13,000,000 NEC Corporation, Convertible Bonds,
1% due 3/31/1999 (t) 11,909,536 11,715,896 0.1
Electronics JPY 988,000,000 Matsushita Electric Works, Ltd.,
#8 Convertible Bonds, 2.70% due
5/31/2002 9,691,544 10,422,857 0.1
Insurance JPY 13,000,000 Mitsui Marine & Fire Insurance
Co., Ltd., #3 Convertible Bonds,
0.70% due 3/31/2003 118,211 114,400 0.0
JPY 117,000,000 Nichido Fire & Marine Insurance
Co., Ltd., #5 Convertible Bonds,
1% due 3/31/2003 1,109,381 1,023,429 0.0
--------------- --------------- ------
1,227,592 1,137,829 0.0
Pharma- JPY 710,000,000 Yamanouchi Pharmaceutical Co.,
ceuticals Ltd., Convertible Bonds, 1.25%
due 3/31/2014 (t) 7,563,563 7,310,971 0.1
Total Fixed-Income Securities
in Japan 45,463,913 45,136,198 0.4
Malaysia Multi- USD 15,500,000 Renong BHD, Convertible Bonds,
Industry 2.50% due 1/15/2005 17,544,487 17,708,750 0.1
Total Fixed-Income Securities
in Malaysia 17,544,487 17,708,750 0.1
Mexico Government USD 80,000,000 Banco Nacional (BNCE), 7.25%
Obligations due 2/02/2004 57,670,000 67,600,000 0.6
USD 45,150,000 Petroleos Mexicanos, 8.625% due
12/01/2023+++ 25,007,000 35,273,437 0.3
USD 31,434,000 United Mexican States, 8.50%
due 9/15/2002 26,780,921 29,665,837 0.2
Total Fixed-Income Securities
in Mexico 109,457,921 132,539,274 1.1
New Zealand Utilities-- NZD 1,760,000 Natural Gas Corp. Holdings,
Gas Convertible Bonds, 10.50% due
10/14/1997 1,043,960 2,536,977 0.0
Total Fixed-Income Securities in
New Zealand 1,043,960 2,536,977 0.0
<PAGE>
Philippines Utilities USD 16,000,000 CE Casecnan, 11.45% due 11/15/2005 15,895,000 17,340,000 0.2
Total Fixed-Income Securities in the
Philippines 15,895,000 17,340,000 0.2
Portugal Banking ECU 19,300,000 Banco Commercial Portuguese,
Convertible Bonds, 8.75% due 5/21/2002 26,468,747 25,202,596 0.2
Total Fixed-Income Securities
in Portugal 26,468,747 25,202,596 0.2
Russia Telecom- USD 74,500,000 PLD Telekom, Inc., 0/14% due 6/01/2004
munications (b) (n) (u)+++ 56,787,864 59,182,800 0.5
USD 18,700,000 PLD Telekom, Inc., Convertible Bonds,
9% due 6/01/2006 (u)+++ 18,756,250 20,920,625 0.2
Total Fixed-Income Securities
in Russia 75,544,114 80,103,425 0.7
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued) (in US dollars)
<CAPTION>
Currency Face Value Percent of
COUNTRY Industries Denomination Amount Fixed-Income Securities Cost (Note 1a) Net Assets
<S> <S> <S> <C> <S> <C> <C> <C>
South Africa Metals USD 8,000,000 Samancor Ltd., Convertible Bonds,
7% due 6/30/2004 $ 7,683,500 $ 7,960,000 0.1%
Total Fixed-Income Securities in
South Africa 7,683,500 7,960,000 0.1
South Korea Electronics USD 5,250,000 Samsung Electronics Co., Convertible
Bonds, 0.25% due 12/31/2006+++ 5,250,000 5,656,875 0.0
Energy USD 10,540,000 Ssangyong Oil Refining, Convertible
Related Bonds, 3.75% due 12/31/2008 11,126,937 11,146,050 0.1
USD 6,795,000 Ssangyong Oil Refining, Convertible
Bonds, 3% due 12/31/2004 5,003,212 5,011,312 0.1
--------------- --------------- ------
16,130,149 16,157,362 0.2
Total Fixed-Income Securities in
South Korea 21,380,149 21,814,237 0.2
<PAGE>
Sweden Industrial ECU 7,000,000 SKF--AB Lyons, Convertible Bonds,
0% due 7/26/2002 (b) 5,984,520 5,613,184 0.1
Total Fixed-Income Securities
in Sweden 5,984,520 5,613,184 0.1
Switzerland Chemicals USD 24,945,000 Ciba-Geigy Corp., Convertible Bonds,
6.25% due 3/15/2016 25,632,050 25,132,087 0.2
Industrial CHF 1,401,000 Ciba-Geigy AG, Convertible Bonds,
2% due 8/09/1998 1,178,587 2,803,335 0.0
Total Fixed-Income Securities in
Switzerland 26,810,637 27,935,422 0.2
United Cable/Tele- USD 43,250,000 Bell Cablemedia PLC, 0/11.875% due
Kingdom communi- 9/15/2005 (b) 27,463,384 32,329,375 0.3
cations USD 23,100,000 Diamond Cable Communications Co.,
0/11.75% due 12/15/2005 (b) 14,454,393 15,159,375 0.1
USD 48,000,000 International Cabletel Inc., Series
B, 0/11.50% due 2/01/2006 (b) 29,861,740 29,160,000 0.2
--------------- --------------- ------
71,779,517 76,648,750 0.6
Financial GBP 11,600,000 TransAtlantic Holdings PLC,
Services Convertible Bonds, 5.50% due
4/30/2009 14,179,895 16,321,304 0.1
Food & GBP 1,750,000 Allied-Lyons PLC, Convertible Bonds,
Beverage 6.75% due 7/07/2008 2,589,607 2,796,735 0.0
Government GBP 20,000,000 United Kingdom Treasury Gilt, 7.75%
Obligations due 9/08/2006 30,088,910 32,727,192 0.3
Industrial HIH Capital Ltd., Convertible Bonds:
USD 4,655,000 (Bearer), 7.50% due 9/25/2006 3,031,038 3,444,700 0.0
USD 2,000,000 Convertible Bonds, 7.50% due
9/25/2006 1,665,000 1,460,000 0.0
--------------- --------------- ------
4,696,038 4,904,700 0.0
Multi- GBP 6,625,000 English China Clays PLC, Convertible
Industry Bonds, 6.50% due 9/30/2003 10,841,824 9,752,484 0.1
<PAGE>
Real Estate Land Securities PLC, Convertible
Bonds:
GBP 3,500,000 6.75% due 12/31/2002 5,301,121 5,835,427 0.1
GBP 3,750,000 9.375% due 7/31/2004 6,587,319 7,045,211 0.1
--------------- --------------- ------
11,888,440 12,880,638 0.2
Retail GBP 18,300,000 Sainsbury (J.) PLC, Convertible
Bonds, 8.50% due 11/19/2005 33,705,906 34,529,465 0.3
Telecom- USD 21,500,000 Comcast UK Cable Partners Ltd.,
munications 0/11.20% due 11/15/2007 (b) 12,904,529 13,867,500 0.1
USD 39,750,000 TeleWest Communications PLC, 0/11%
due 10/01/2007 (b) 24,527,513 25,489,687 0.2
--------------- --------------- ------
37,432,042 39,357,187 0.3
Textiles GBP 2,500,000 Coats Viyella PLC, Convertible Bonds,
Series B, 6.25% due 8/09/2003 3,535,704 3,690,349 0.0
Total Fixed-Income Securities in the
United Kingdom 220,737,883 233,608,804 1.9
United States Airlines USD 4,131,821 USAir Pass-Through, 9.33% due
1/01/2006 (d) 4,028,939 3,811,605 0.0
Banking USD 14,250,000 Berkley Federal Bank, 12% due
6/15/2005 14,250,000 15,390,000 0.1
Bio- USD 7,200,000 Cetus Corporation (Euro), Convertible
technology Bonds, 5.25% due 5/21/2002 5,220,250 6,948,000 0.1
Chemicals USD 10,000,000 Laroche Industries Inc., 13% due
8/15/2004 10,325,000 10,775,000 0.1
Energy USD 12,374,000 Transamerican Refining Corp., 0% due
2/15/2002 (b) 9,517,535 9,775,460 0.1
USD 18,000,000 TransTexas Gas Corp., 11.50% due
6/15/2002 18,000,000 19,125,000 0.2
--------------- --------------- ------
27,517,535 28,900,460 0.3
Financial USD 10,000,000 Ford Capital BV, 9.375% due 1/01/1998 10,037,900 10,379,200 0.1
Services--
Captive
Healthcare USD 42,000,000 Omega Healthcare Investors Inc.,
Convertible Bonds, 8.50% due 2/01/2001 42,052,500 43,260,000 0.3
<PAGE>
Home- Baldwin Builders & Contractors+++:
building & USD 40,000,000 10.25% due 7/18/1997 40,000,000 38,825,000 0.3
Construc- USD 7,500,000 11.25% due 7/18/1997 7,500,000 7,354,687 0.1
tion USD 31,950,000 ++++Baldwin Co., Series B, 10.375% due
8/01/2003 30,215,562 12,780,000 0.1
USD 37,500,000 Beazer Homes USA, Inc., 9% due
3/01/2004 35,597,000 34,687,500 0.3
USD 13,750,000 Presley Companies, Senior Notes,
12.50% due 7/01/2001 13,690,312 13,062,500 0.1
--------------- --------------- ------
127,002,874 106,709,687 0.9
Hospital USD 1,000,000 Novacare, Inc., Convertible Bonds,
Management 5.50% due 1/15/2000 857,500 892,500 0.0
Industrial USD 20,000,000 AM General Corp., 0/12.875% due
5/01/2002 (b) 19,844,720 19,200,000 0.1
USD 29,635,000 Brooks Fiber Properties, 0/10.875%
due 3/01/2006 (b) 16,727,028 17,336,475 0.1
USD 21,750,000 Crown Packaging Enterprises, 0/14%
due 8/01/2006 (b)+++ 8,722,869 8,613,761 0.1
USD 20,000,000 Crown Packaging Ltd., 10.75% due
11/01/2000 20,000,000 19,000,000 0.2
USD 10,000,000 Easco Corp., 10% due 3/15/2001 10,005,000 10,050,000 0.1
USD 27,000,000 Envirotest Systems Corp., 9.125% due
3/15/2001 24,683,460 24,705,000 0.2
USD 28,000,000 Genmar Holdings, Inc., 13.50% due
7/15/2001 27,803,975 27,160,000 0.2
USD 71,500,000 International Semi-Tech
Microelectronics, Inc., 0/11.50%
due 8/15/2003 (b) 46,852,840 43,436,250 0.4
--------------- --------------- ------
174,639,892 169,501,486 1.4
Leisure-- USD 20,000,000 Prime Hospitality Corp., 9.25%
Restaurant & due 1/15/2006 19,012,500 19,900,000 0.2
Lodging
Merchandis- USD 12,000,000 Price Club Co., Convertible Bonds,
ing 5.50% due 2/28/2012 11,213,250 12,210,000 0.1
Metals USD 15,000,000 Oregon Steel Mills, Inc., 11% due
6/15/2003 15,000,000 15,937,500 0.1
Oil & Related PDV America, Inc.:
USD 35,000,000 7.25% due 8/01/1998 34,856,150 34,868,750 0.3
USD 10,000,000 7.75% due 8/01/2000 10,062,500 9,937,500 0.1
USD 6,000,000 USX Marathon Oil Corp., Convertible
Bonds, 7% due 6/15/2017 5,650,000 5,760,000 0.1
--------------- --------------- ------
50,568,650 50,566,250 0.5
Oil Service USD 8,250,000 KCS Energy Inc., 11% due 1/15/2003 8,714,062 8,951,250 0.1
Real Estate USD 23,435,612 RTC Commercial Mortgage, Class C,
8.25% due 12/25/2020 (d) 23,076,754 23,084,077 0.2
</TABLE>
<PAGE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued) (in US dollars)
<CAPTION>
Currency Face Value Percent of
COUNTRY Industries Denomination Amount Fixed-Income Securities Cost (Note 1a) Net Assets
<S> <S> <S> <C> <S> <C> <C> <C>
United States Real Estate USD 24,500,000 Alexander Haagen Properties Inc.,
(concluded) Investment Exchangeable Debentures, 7.25% due
Trusts 12/27/2003+++ $ 24,348,750 $ 23,979,375 0.2%
USD 7,000,000 Centerpoint Properties Corp.,
Convertible Bonds, 8.22% due
1/15/2004 7,000,000 10,325,000 0.1
USD 10,000,000 First Nationwide Escrow, 10.625% due
10/01/2003+++ 10,000,000 10,550,000 0.1
USD 30,000,000 First Union Real Estate, 8.875% due
10/01/2003 29,756,100 27,375,000 0.2
USD 25,000,000 First Washington Realty, 8.25% due
6/27/1999+++ 25,000,000 25,437,500 0.2
Health & Retirement Properties Trust,
Convertible Bonds:
USD 40,000,000 7.250% due 10/01/2001 40,000,000 40,000,000 0.3
USD 15,000,000 7.50% due 10/01/2003 15,000,000 15,000,000 0.1
LTC Properties, Inc., Convertible
Bonds:
USD 10,000,000 8.25% due 1/01/1999 10,000,000 10,900,000 0.1
USD 10,000,000 8.50% due 1/01/2001 10,000,000 10,500,000 0.1
USD 12,500,000 8% due 7/01/2001 12,500,000 13,375,000 0.1
Malan Realty Investors, Inc.,
Convertible Bonds:
USD 27,000,000 8.50% due 7/01/2003 27,000,000 27,506,250 0.2
USD 4,750,000 9.50% due 7/15/2004 3,859,375 4,298,750 0.0
Meditrust, Convertible Bonds:
USD 5,000,000 7% due 3/01/1998 5,035,000 5,750,000 0.1
USD 9,415,000 8.54% due 7/01/2000 9,602,637 10,074,050 0.1
USD 10,000,000 7.50% due 3/01/2001 10,000,000 10,300,000 0.1
USD 5,000,000 Mid-Atlantic Realty Trust,
Convertible Bonds, 7.625% due
9/15/2003 4,875,000 4,700,000 0.0
USD 22,000,000 National Health Investors,
Convertible Bonds, 7.75% due
1/01/2001 22,000,000 23,540,000 0.2
USD 23,000,000 Nationwide Health Properties Inc.,
<PAGE> Convertible Bonds, 6.25% due
1/01/1999 22,800,000 23,000,000 0.2
USD 5,500,000 Sizeler Property Investors, Inc.,
Convertible Bonds, 8% due 7/15/2003 5,505,000 4,771,250 0.0
--------------- --------------- ------
294,281,862 301,382,175 2.4
Resources USD 12,000,000 Freeport-McMoRan Resources,
8.75% due 2/15/2004 11,116,875 12,225,000 0.1
Retail-- USD 29,500,000 ++++Coinstar Inc., 0/13% due 10/01/2006
Miscellaneous (b) (k)+++ 20,430,013 20,502,500 0.2
Savings USD 21,400,000 First Federal Financial Corporation,
Bank 11.75% due 10/01/2004 21,401,250 23,112,000 0.2
Steel USD 15,000,000 Bar Technologies Ltd., 13.50% due
4/01/2001 13,898,344 15,075,000 0.1
Telecom- USD 20,000,000 American Communications Services,
munications Inc., 0/13% due 11/01/2005 (b) 11,699,628 11,200,000 0.1
USD 28,500,000 Busse Broadcasting, 11.625% due
10/15/2000 27,478,987 28,785,000 0.3
USD 38,000,000 CAI Wireless Systems, Inc., 12.25%
due 9/15/2002 39,322,000 36,670,000 0.3
USD 59,500,000 CS Wireless Systems, Inc., 0/11.375%
due 3/01/2006 (b) (q)+++ 34,907,847 27,518,750 0.2
USD 15,500,000 Call Net Enterprise, Inc., 0/13.25%
due 12/01/2004 (b) 10,521,689 12,128,750 0.1
USD 76,000,000 CellNet Data Systems, Inc., 0/13% due
6/15/2005 (b) (h)+++ 48,829,774 58,140,000 0.5
Geotek Communications, Inc.:
USD 99,000,000 0/15% due 7/15/2005 (b) 45,958,118 62,865,000 0.5
USD 20,000,000 Convertible Bonds, 12% due
2/15/2001+++ 20,000,000 20,725,000 0.2
USD 30,000,000 Millicom International Cellular S.A.,
0/13.5% due 6/01/2006 (b)+++ 16,424,034 17,100,000 0.1
USD 38,500,000 Nextel Communications, Inc., 0/9.75%
due 8/15/2004 (b) 28,603,737 24,303,125 0.2
Teleport Communications Group Inc.:
USD 3,000,000 9.875% due 7/01/2006 3,000,000 3,060,000 0.0
USD 34,000,000 0/11.125% due 7/01/2007 (b) 20,510,380 21,760,000 0.2
United International Holdings,
Inc. (b):
USD 39,250,000 0% due 11/15/1999 (f) 24,964,747 27,475,000 0.2
USD 11,000,000 Series B, 0% due 11/15/1999 7,289,584 7,700,000 0.1
United USN Inc. (b):
USD 47,000,000 0/14% due 9/30/2003 (i)+++ 29,610,393 29,269,250 0.3
USD 35,000,000 Convertible Bonds, 0/9% due
9/30/2003+++ 27,079,878 26,876,500 0.2
--------------- --------------- ------
396,200,796 415,576,375 3.5
<PAGE>
Textiles & USD 18,250,000 Texfi Industries, Inc., 8.75% due
Apparel 8/01/1999 17,930,300 16,060,000 0.1
Transpor- USD 10,625,000 Eletson Holdings Inc., 9.25% due
tation 11/15/2003 10,558,437 10,505,469 0.1
Transpor- USD 27,000,000 Teekay Shipping Corporation, 8.32%
tation-- due 2/01/2008 26,002,500 26,190,000 0.2
Shipping
Trucking USD 32,000,000 Ameritruck Distribution, 12.25% due
11/15/2005 31,563,525 31,760,000 0.3
US Govern- Federal Home Loan Mortgage Corp.,
ment & REMIC (d) (g):
Agency USD 4,910,000 1243-HP, 5.625% due 11/25/2015 4,788,017 4,839,394 0.0
Obligations USD 10,000,000 Series, 6.30% due 5/15/2008 9,210,937 9,379,687 0.1
Federal National Mortgage
Association (d):
USD 7,815,443 8% due 10/01/2024 7,462,527 7,986,367 0.1
USD 15,685,499 8% due 12/01/2024 15,408,552 16,028,541 0.1
US Treasury Notes & Bonds:
USD 341,100,000 6% due 5/31/1998 339,137,636 342,645,183 2.9
USD 100,000,000 6.125% due 8/31/1998 99,632,812 100,672,000 0.8
USD 55,000,000 7.875% due 8/15/2001 53,943,600 59,013,350 0.5
USD 25,000,000 6.25% due 2/15/2003 25,710,937 25,089,750 0.2
US Treasury STRIPS (b) (m):
USD 22,000,000 0% due 5/15/2000 17,525,317 17,856,960 0.2
USD 5,000,000 0% due 2/15/2019 1,190,741 1,085,900 0.0
--------------- --------------- ------
574,011,076 584,597,132 4.9
Utilities-- CTC Mansfield Funding Corp.,
Electric USD 5,483,000 10.25% due 3/30/2003 5,602,320 5,585,806 0.1
USD 15,000,000 Calpine Corp., Inc., 9.25%
due 2/01/2004 13,857,500 14,643,750 0.1
USD 3,000,000 Cleveland Electric Illuminating
Company Inc., First Mortgage, 9.05%
due 8/15/2001 3,093,750 3,090,000 0.0
Toledo Edison Co.:
USD 3,000,000 9.50% due 4/01/2001 3,221,250 3,150,000 0.1
USD 1,500,000 7.85% due 3/31/2003 1,296,450 1,447,500 0.0
USD 2,000,000 7.91% due 4/01/2003 1,992,500 1,932,500 0.0
--------------- --------------- ------
29,063,770 29,849,556 0.3
Total Fixed-Income Securities in the
United States 1,989,976,354 2,014,052,222 16.9
Total Investments in Fixed-Income
Securities 4,416,512,935 4,666,792,822 39.1
</TABLE>
<PAGE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued) (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>
Canada Foreign USD 1,500,000 Canadian Treasury Bill, 6.06% due
Government 11/14/1996 $ 1,105,823 $ 1,117,533 0.0%
Obligations*
United States Commercial A I Credit:
Paper* USD 20,000,000 5.35% due 11/12/1996 19,967,306 19,967,306 0.2
USD 14,025,000 5.37% due 11/12/1996 14,001,987 14,001,987 0.1
USD 20,000,000 Alcatel Alsthom Cie Generale
d'Electricite S.A., 5.24% due
12/20/1996 19,857,356 19,857,356 0.2
USD 25,000,000 AlliedSignal, Inc., 5.25% due
11/07/1996 24,978,125 24,978,125 0.2
American Express Credit Corp.:
USD 50,000,000 5.28% due 11/26/1996 49,816,667 49,816,667 0.4
USD 50,000,000 5.26% due 12/10/1996 49,715,083 49,715,083 0.4
USD 20,000,000 Ameritech Credit Corp., 5.22% due
11/13/1996 19,965,200 19,965,200 0.2
Associates Corp. of North America:
USD 20,000,000 5.26% due 12/10/1996 19,886,033 19,886,033 0.2
USD 80,000,000 5.25% due 12/20/1996 79,428,333 79,428,333 0.7
USD 50,000,000 BBV Finance (Delaware), Inc.,
5.22% due 11/12/1996 49,920,250 49,920,250 0.4
USD 50,000,000 Barclays U.S. Funding, 5.23% due
11/25/1996 49,825,667 49,825,667 0.4
CIT Group Holdings, Inc. (The):
USD 30,000,000 5.22% due 12/09/1996 29,834,700 29,834,700 0.3
USD 30,000,000 5.24% due 12/20/1996 29,786,033 29,786,033 0.2
Caisse des Depots et Consignations:
USD 21,555,000 5.37% due 11/07/1996 21,535,708 21,535,708 0.2
USD 20,000,000 5.25% due 12/06/1996 19,897,917 19,897,917 0.2
USD 60,000,000 5.24% due 12/12/1996 59,641,933 59,641,933 0.5
Cargill Inc.:
USD 50,000,000 5.23% due 11/18/1996 49,876,514 49,876,514 0.4
USD 30,000,000 5.35% due 11/18/1996 29,924,208 29,924,208 0.3
<PAGE> Ciesco, L.P.:
USD 25,000,000 5.33% due 11/15/1996 24,948,181 24,948,181 0.2
USD 20,000,000 5.28% due 12/02/1996 19,909,067 19,909,067 0.2
USD 15,000,000 5.23% due 12/13/1996 14,908,475 14,908,475 0.1
USD 30,000,000 5.25% due 12/13/1996 29,816,250 29,816,250 0.2
USD 25,000,000 Coca-Cola Company (The), 5.21% due
12/09/1996 24,862,514 24,862,514 0.2
Daimler-Benz AG:
USD 35,207,000 5.35% due 11/07/1996 35,175,607 35,175,607 0.3
USD 25,000,000 5.33% due 11/22/1996 24,922,271 24,922,271 0.2
Delaware Funding Corp.:
USD 35,000,000 5.35% due 11/08/1996 34,963,590 34,963,590 0.3
USD 45,000,000 5.26% due 11/15/1996 44,907,950 44,907,950 0.4
USD 19,934,000 5.25% due 11/22/1996 19,872,952 19,872,952 0.2
USD 50,000,000 Deutsche Bank Financial, Inc.,
5.225% due 11/20/1996 49,862,118 49,862,118 0.4
du Pont (E.I.) de Nemours & Co.:
USD 45,000,000 5.26% due 11/06/1996 44,967,125 44,967,125 0.4
USD 57,000,000 5.25% due 11/14/1996 56,891,938 56,891,938 0.5
USD 18,000,000 5.23% due 11/18/1996 17,955,545 17,955,545 0.1
USD 25,000,000 5.23% due 11/21/1996 24,927,361 24,927,361 0.2
Eiger Capital Corp.:
USD 19,074,000 5.40% due 11/08/1996 19,053,972 19,053,972 0.2
USD 32,000,000 5.28% due 11/25/1996 31,887,360 31,887,360 0.3
USD 20,000,000 5.32% due 11/25/1996 19,929,067 19,929,067 0.2
USD 100,000,000 Ford Motor Credit Co., 5.36% due
11/15/1996 99,791,556 99,791,556 0.8
USD 19,950,000 France Telecom, 5.24% due 11/07/1996 19,932,577 19,932,577 0.2
USD 71,886,000 General Motors Acceptance Corp.,
5.56% due 11/01/1996 71,886,000 71,886,000 0.6
USD 50,000,000 Goldman Sachs Group L.P., 5.40% due
11/04/1996 49,977,500 49,977,500 0.4
IBM Credit Corp.:
USD 50,000,000 5.37% due 11/19/1996 49,865,750 49,865,750 0.4
USD 50,000,000 5.24% due 12/19/1996 49,650,667 49,650,667 0.4
IBRD Discount Notes:
USD 17,940,000 5.21% due 11/21/1996 17,888,074 17,888,074 0.1
USD 72,155,000 5.18% due 12/06/1996 71,791,619 71,791,619 0.6
USD 35,000,000 International Lease Finance Corp.,
5.32% due 11/14/1996 34,932,761 34,932,761 0.3
USD 20,000,000 KFW International Finance Inc.,
5.29% due 11/12/1996 19,967,672 19,967,672 0.2
Metlife Funding Corp.:
USD 20,171,000 5.39% due 11/05/1996 20,158,920 20,158,920 0.2
USD 20,000,000 5.38% due 11/06/1996 19,985,056 19,985,056 0.2
USD 27,905,000 5.37% due 11/18/1996 27,834,238 27,834,238 0.2
USD 20,000,000 5.42% due 11/20/1996 19,942,789 19,942,789 0.2
USD 20,000,000 Monsanto Company, 5.25% due
11/04/1996 19,991,250 19,991,250 0.2
USD 20,000,000 National Australia Funding (Delaware)
<PAGE> Inc., 5.23% due 12/06/1996 19,898,306 19,898,306 0.2
USD 30,000,000 Pepsico, Inc., 5.22% due 11/06/1996 29,978,250 29,978,250 0.3
Pfizer Inc.:
USD 60,000,000 5.26% due 11/04/1996 59,973,700 59,973,700 0.5
USD 21,400,000 5.24% due 11/07/1996 21,381,311 21,381,311 0.2
Preferred Receivable Funding Corp.:
USD 22,400,000 5.26% due 11/08/1996 22,377,090 22,377,090 0.2
USD 26,000,000 5.26% due 11/14/1996 25,950,614 25,950,614 0.2
USD 30,000,000 5.25% due 11/26/1996 29,890,625 29,890,625 0.2
USD 22,675,000 5.26% due 12/03/1996 22,568,982 22,568,982 0.2
USD 30,000,000 Procter & Gamble Co., 5.22% due
12/05/1996 29,852,100 29,852,100 0.2
Sandoz Corporation:
USD 20,000,000 5.40% due 11/12/1996 19,967,000 19,967,000 0.2
USD 27,000,000 5.23% due 11/26/1996 26,901,937 26,901,937 0.2
USD 13,900,000 5.30% due 11/26/1996 13,848,840 13,848,840 0.1
USD 19,100,000 5.27% due 12/02/1996 19,013,323 19,013,323 0.1
USD 20,000,000 5.23% due 12/17/1996 19,866,344 19,866,344 0.2
Sheffield Receivables Corp.:
USD 46,900,000 5.25% due 11/19/1996 46,776,888 46,776,888 0.4
USD 45,700,000 5.25% due 11/25/1996 45,540,050 45,540,050 0.4
Siemens Corporation AG:
USD 25,000,000 5.23% due 12/12/1996 24,851,090 24,851,090 0.2
USD 50,000,000 5.22% due 12/17/1996 49,666,500 49,666,500 0.4
USD 42,000,000 Societe Generale N.A., 5.26% due
11/27/1996 41,840,447 41,840,447 0.3
USD 50,000,000 Toys 'R' Us, Inc., 5.26% due
11/05/1996 49,970,778 49,970,778 0.4
USD 12,800,000 Transamerica Corporation, 5.24% due
11/15/1996 12,773,916 12,773,916 0.1
USD 50,000,000 UBS Finance Delaware, Inc., 5.22% due
11/19/1996 49,869,500 49,869,500 0.4
</TABLE>
<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> <C> <S> <C> <C> <C>
United States Commercial Xerox Corp.:
(concluded) Paper* USD 35,000,000 5.39% due 11/08/1996 $ 34,963,318 $ 34,963,318 0.3%
(concluded) USD 30,000,000 5.35% due 11/13/1996 29,946,500 29,946,500 0.2
USD 30,000,000 5.30% due 11/26/1996 29,889,583 29,889,583 0.2
USD 26,400,000 Xerox Credit Corp., 5.37% due
11/13/1996 26,352,744 26,352,744 0.2
--------------- --------------- ------
2,575,126,528 2,575,126,528 21.6
<PAGE>
US Govern- Federal Home Loan Bank:
ment & USD 14,505,000 5.21% due 11/21/1996 14,463,016 14,463,016 0.1
Agency USD 36,000,000 5.17% due 12/02/1996 35,839,730 35,839,730 0.3
Obligations* Federal Home Loan Mortgage Corp.:
USD 40,000,000 5.19% due 11/19/1996 39,896,200 39,896,200 0.3
USD 25,000,000 5.18% due 12/11/1996 24,856,111 24,856,111 0.2
USD 30,000,000 5.17% due 12/20/1996 29,788,892 29,788,892 0.3
Federal National Mortgage
Association:
USD 38,000,000 5.20% due 11/08/1996 37,961,578 37,961,578 0.3
USD 56,000,000 5.17% due 11/18/1996 55,863,282 55,863,282 0.5
USD 10,200,000 5.18% due 11/27/1996 10,161,841 10,161,841 0.1
--------------- --------------- ------
248,830,650 248,830,650 2.1
Total Short-Term Securities in the
United States 2,823,957,178 2,823,957,178 23.7
Total Investments in Short-Term
Securities 2,825,063,001 2,825,074,711 23.7
Total Investments $10,841,006,739 11,804,281,027 98.9
Short Sales (Proceeds--$13,058,078)** =============== (12,562,286) (0.1)
Unrealized Depreciation on Forward Foreign Exchange Contracts*** (2,424,249) 0.0
Variation Margin on Futures Contracts**** (685,000) 0.0
Other Assets Less Liabilities 143,532,394 1.2
--------------- ------
Net Assets $11,932,141,886 100.0%
=============== ======
<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 on a step bond
represents the fixed rate of interest that will commence its accrual on a pre-
determined date until maturity.
(c)Security held as collateral in connection with open financial futures contracts.
(d)Subject to principal paydowns as a result of prepayments or refinancings of the
underlying mortgage instruments. As a result, the average life may be less than the
original maturity.
(e)Name changed from Chemical Banking Corp.
(f)Each $1,000 face amount contains one warrant of United International Holdings, Inc.
(g)Real Estate Mortgage Investment Conduits (REMIC).
(h)Each $1,000 face amount contains four warrants of CellNet Data Systems, Inc.
<PAGE> (i)Each $1,000 face amount contains one warrant of United USN, Inc.
(j)Name changed from Amev N.V.
(k)Each $1,000 face amount contains one warrant of Coinstar, Inc.
(l)Name changed from Aetna Life & Casualty Co.
(m)Separate Trading of Registered Interest and Principal of Securities (STRIPS).
(n)Each $1,000 face amount contains one warrant of PLD Telekom, Inc.
(o)Created as a result of the merger of Kymmene Corporation and Repola Ltd.
(p)Name changed from Carr Realty Corp.
(q)Each $1,000 face amount contains 1.1 shares of common stock of CS Wireless
Systems, Inc.
(r)Name changed from Sherritt, Inc.
(s)Each $10 face amount contains 40 shares of common stock of First Place Tower.
(t)Securities held as collateral in connection with covered short sales.
(u)Name changed from Petersburg Long Distance Inc.
++American Depositary Receipts (ADR).
++++Non-income producing security.
+++Restricted securities as to resale. The value of the Fund's investment in
restricted securities was approximately $539,620,000, representing 4.5% of
net assets.
<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 $15,562,500
Alexander Haagen Properties Inc.,
Exchangeable Debentures, 7.25% 2/13/1995--
due 12/27/2003 12/27/1995 24,348,750 23,979,375
Baldwin Builders & Contractors, 10.25%
due 7/18/1997 2/01/1996 40,000,000 38,825,000
Baldwin Builders & Contractors, 11.25%
due 7/18/1997 2/01/1996 7,500,000 7,354,687
CS Wireless Systems, Inc., 0/11.375% due 2/16/1996--
3/01/2006 6/07/1996 34,907,847 27,518,750
Catellus Development Corp. (7.25% 10/23/1993--
Exchangeable, Series B) 8/24/1995 33,521,250 38,402,000
CellNet Data Systems Inc., 0/13% due 11/16/1995--
6/15/2005 3/15/1996 48,829,774 58,140,000
Coinstar Inc., 0/13% due 10/01/2006 10/22/1996 20,430,013 20,502,500
Companhia Vale Do Rio Doce, 10% due
4/02/2004 3/5/1996 11,485,878 11,830,625
Crown Packaging Enterprises, 0/14% due
8/01/2006 8/09/1996 8,722,869 8,613,761
Diva Systems Corp. (Convertible, Series C) 7/17/1996--
8/22/1996 8,410,000 8,892,500
First Nationwide Escrow, 10.625% due
10/01/2003 9/13/1996 10,000,000 10,550,000
First Washington Realty, 8.25% due
6/27/1999 6/27/1994 25,000,000 25,437,500
<PAGE> Four Seasons Hotel, Inc., 9.125% due 6/23/1993--
7/01/2000 4/21/1994 20,917,750 21,131,250
Geotek Communications, Inc., Convertible 3/01/1996--
Bonds, 12% due 2/15/2001 9/05/1996 20,000,000 20,725,000
Geotek Communications, Inc. (Warrants) 7/31/1995 14,200,634 7,875,000
Millicom International Cellular S.A., 5/24/1996--
0/1350% due 6/01/2006 7/16/1996 16,424,034 17,100,000
PLD Telekom, Inc., 0/14% due 6/01/2004 5/24/1996--
8/09/1996 56,787,864 59,182,800
PLD Telekom, Inc., Convertible Bonds,
9% due 6/01/2006 5/24/1996--
8/09/1996 18,756,250 20,920,625
Petroleos Mexicanos, 8.625% 5/24/1996--
due 12/01/2023 8/01/1996 25,007,000 35,273,437
Samsung Electronics Co., Convertible
Bonds, 0.25% due 12/31/2006 9/17/1996 5,250,000 5,656,875
United USN Inc., 0/14% due 9/30/2003 9/30/1996 29,610,393 29,269,250
United USN Inc., Convertible, 0/9% due
9/30/2003 9/30/1996 27,079,878 26,876,500
Total $522,220,184 $539,619,935
============ ============
+++++++Investments 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
Paper & Pulp Asia Pacific Resources
International Holdings
Ltd. (ADR) $ 609,600 $ 2,858,468 ++++
Paper & Pulp Asia Pulp & Paper
Company Ltd. (ADR) 1,715,000 19,722,500 ++++
Computers Borland International
Corp. 1,900,000 28,496,506 ++++
Retail Stores Buttrey Food & Drug
Stores Co. -- -- ++++
Retail Stores Filene's Basement Corp. -- -- ++++
Metals Lukens Inc. 1,350,000 25,689,657 532,100
Real Estate Mid-America Realty
Investment Investments -- -- 581,944
Trusts
Banking Oriental Bank and Trust 73,600 -- 173,880
<PAGE> Real Estate Prime Retail, Inc. 1,251,325 13,982,561 923,608
Investment Prime Retail, Inc. (10.50%) -- -- 2,193,188
Trusts
Computers Stratus Computer, Inc. 1,200,000 23,632,111 ++++
*Commercial Paper and certain US and Foreign Government & Agency Obligations
are traded on a discount basis. The interest rates shown are the rates in
effect on October 31, 1996.
**Covered Short Sales entered into as of October 31, 1996 were as follows:
<CAPTION>
Common Value
Shares Issue (Note 1i)
<C> <S> <C>
519,000 NEC Corporation $ (5,657,670)
340,000 Yamanouchi Pharmaceuticals
Co., Ltd. (6,904,616)
Total (Proceeds--$13,058,078) $(12,562,286)
============
***Forward Foreign Exchange Contracts as of October 31, 1996 were as follows:
<CAPTION>
Unrealized
Foreign Expiration Appreciation
Currency Sold Date (Depreciation)
<S> <C> <S> <C>
CHF 23,000,000 November 1996 $ (57,062)
CHF 102,000,000 December 1996 107,678
DEM 554,000,000 November 1996 5,222,430
DEM 453,000,000 December 1996 (2,757,482)
DEM 329,000,000 January 1997 (2,503,475)
DKR 10,000,000 November 1996 13,279
ECU 73,000,000 November 1996 295,220
ECU 45,000,000 December 1996 (477,950)
ESP 5,000,000,000 November 1996 300,500
ESP 1,100,000,000 December 1996 (151,702)
ESP 3,300,000,000 January 1997 (146,866)
FRF 436,000,000 November 1996 (407,065)
FRF 195,000,000 December 1996 (402,340)
FRF 149,000,000 January 1997 (235,244)
GBP 101,000,000 November 1996 (7,941,540)
GBP 51,000,000 December 1996 (2,951,697)
JPY 20,500,000,000 November 1996 7,741,457
JPY 7,000,000,000 December 1996 1,537,566
JPY 7,000,000,000 January 1997 194,240
<PAGE> NLG 112,000,000 November 1996 825,195
NLG 29,000,000 December 1996 249,313
NLG 16,000,000 January 1997 25,016
NOK 25,000,000 November 1996 (74,708)
NOK 85,000,000 December 1996 (280,950)
SKR 230,000,000 December 1996 (268,482)
SKR 235,000,000 January 1997 (279,580)
Total Unrealized Depreciation on Forward Foreign Exchange
Contracts--Net (USD Commitment--$2,092,365,033) $(2,424,249)
===========
****Financial Futures Contracts sold as of October 31, 1996 were as follows:
<CAPTION>
Number of Expiration Value
Contracts Issue Date (Note 1a)
<C> <S> <S> <S>
200 Standard & Poor's 500 Index December 1996 $70,965,000
Total Financial Futures Contracts Sold
(Total Contract Price--$68,903,125) $70,965,000
===========
See Notes to Financial Statements.
</TABLE>
<TABLE>
STATEMENT OF ASSETS AND LIABILITIES
<CAPTION>
As of October 31, 1996
<S> <S> <C> <C>
Assets: Investments, at value (identified cost--$10,841,006,739) (Note 1a) $11,804,281,027
Foreign cash (Note 1c) 2,041
Receivables:
Interest $ 110,542,497
Securities sold 60,946,101
Capital shares sold 24,212,607
Short sales (Note 1i) 13,058,078
Dividends 8,215,874
Forward foreign exchange contracts (Note 1d) 1,656,223
Principal paydowns 50,731 218,682,111
--------------
Prepaid registration fees and other assets (Note 1g) 335,952
---------------
Total assets 12,023,301,131
---------------
<PAGE>
Liabilities: Common stocks sold short, at market value (proceeds--$13,058,078) (Note 1i) 12,562,286
Unrealized depreciation on foward foreign exchange contracts (Note 1d) 2,424,249
Payables:
Securities purchased 32,779,667
Capital shares redeemed 21,222,229
Distributor (Note 2) 7,840,597
Investment adviser (Note 2) 6,720,415
Variation margin (Note 1d) 685,000
Forward foreign exchange contracts (Note 1d) 432,600 69,680,508
--------------
Accrued expenses and other liabilities 6,492,202
---------------
Total liabilities 91,159,245
---------------
Net Assets: Net assets $11,932,141,886
---------------
Net Assets Class A Shares of Common Stock, $0.10 par value, 300,000,000
Consist of: shares authorized $ 12,139,267
Class B Shares of Common Stock, $0.10 par value, 1,500,000,000
shares authorized 57,933,600
Class C Shares of Common Stock, $0.10 par value, 200,000,000
shares authorized 2,601,840
Class D Shares of Common Stock, $0.10 par value, 900,000,000
shares authorized 6,890,966
Paid-in capital in excess of par 10,184,636,288
Undistributed investment income--net 188,632,757
Undistributed realized capital gains on investments and foreign
currency transactions--net 520,067,231
Unrealized appreciation on investments and foreign currency
transactions--net 959,239,937
---------------
Net assets $11,932,141,886
===============
Net Asset Class A--Based on net assets of $1,841,974,296 and 121,392,667
Value: shares outstanding $ 15.17
===============
Class B--Based on net assets of $8,660,279,417 and 579,336,002
shares outstanding $ 14.95
===============
Class C--Based on net assets of $385,752,514 and 26,018,395
shares outstanding $ 14.83
===============
Class D--Based on net assets of $1,044,135,659 and 68,909,658
shares outstanding $ 15.15
===============
See Notes to Financial Statements.
</TABLE>
<PAGE>
<TABLE>
STATEMENT OF OPERATIONS
<CAPTION>
For the Year Ended October 31, 1996
<S> <S> <C> <C>
Investment Interest and discount earned (net of $41,161 foreign withholding tax) $ 535,209,007
Income Dividends (net of $5,677,814 foreign withholding tax) 109,844,707
(Notes 1e & 1f): Other 2,326,343
---------------
Total income 647,380,057
---------------
Expenses: Investment advisory fees (Note 2) $ 78,610,213
Account maintenance and distribution fees--Class B (Note 2) 78,009,323
Transfer agent fees--Class B (Note 2) 11,338,388
Account maintenance and distribution fees--Class C (Note 2) 2,485,555
Custodian fees 2,419,837
Transfer agent fees--Class A (Note 2) 2,111,250
Account maintenance fees--Class D (Note 2) 1,852,841
Registration fees (Note 1g) 1,207,658
Printing and shareholder reports 996,732
Transfer agent fees--Class D (Note 2) 933,561
Accounting services (Note 2) 600,636
Professional fees 469,748
Transfer agent fees--Class C (Note 2) 388,189
Directors' fees and expenses 38,593
Pricing fees 10,957
Other 113,995
---------------
Total expenses/before reimbursement 181,587,476
Reimbursement of expenses (Note 2) (7,667,135)
Total expenses/after reimbursement ---------------
173,920,341
---------------
Investment income--net 473,459,716
---------------
Realized & Realized gain from:
Unrealized Investments--net 523,862,389
Gain on Foreign currency transactions--net 130,084,847 653,947,236
Investments & ---------------
Foreign Currency Change in unrealized appreciation/depreciation on:
Transactions--Net Investments--net 523,697,433
(Notes 1c, 1d, Foreign currency transactions--net 24,128,607 547,826,040
1f & 3): --------------- ---------------
Net realized and unrealized gain on investments and foreign currency
transactions 1,201,773,276
---------------
Net Increase in Net Assets Resulting from Operations $ 1,675,232,992
===============
See Notes to Financial Statements.
</TABLE>
<PAGE>
<TABLE>
STATEMENTS OF CHANGES IN NET ASSETS
<CAPTION>
For the Year Ended October 31,
1996 1995
Increase (Decrease) in Net Assets:
<S> <S> <C> <C>
Operations: Investment income--net $ 473,459,716 $ 411,287,932
Realized gain on investments and foreign currency transactions--net 653,947,236 251,310,846
Change in unrealized appreciation/depreciation on investments
and foreign currency transactions--net 547,826,040 375,406,183
--------------- ---------------
Net increase in net assets resulting from operations 1,675,232,992 1,038,004,961
--------------- ---------------
Dividends & Investment income--net:
Distributions Class A (108,106,998) (40,572,591)
to Shareholders Class B (425,282,978) (127,353,416)
(Note 1h): Class C (11,381,642) (874,590)
Class D (34,542,355) (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 (3,762,020) (426,507)
Class D (8,531,078) (2,156,668)
--------------- ---------------
Net decrease in net assets resulting from dividends and
distributions to shareholders (843,275,241) (356,666,151)
--------------- ---------------
Capital Share Net proceeds from issuance of capital shares 2,041,810,853 26,500,607
Transactions Net proceeds from issuance of capital shares resulting from reorganization 523,182,823 --
(Note 4): --------------- ---------------
Net increase in net assets derived from capital share transactions 2,564,993,676 26,500,607
--------------- ---------------
Net Assets: Total increase in net assets 3,396,951,427 707,839,417
Beginning of year 8,535,190,459 7,827,351,042
--------------- ---------------
End of year* $11,932,141,886 $ 8,535,190,459
=============== ===============
<FN>
*Undistributed investment income--net (Note 1j) $ 188,632,757 $ 159,653,484
=============== ===============
See Notes to Financial Statements.
</TABLE>
<PAGE>
<TABLE>
FINANCIAL HIGHLIGHTS
<CAPTION>
The following per share data and ratios have been derived Class A
from information provided in the financial statements. 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 year $ 14.21 $ 13.07 $ 13.52 $ 11.92 $ 12.16
Operating ---------- ---------- ---------- ---------- --------
Performance: Investment income--net .78 .79 .60 .39 .36
Realized and unrealized gain (loss) on investments
and foreign currency transactions--net 1.59 1.04 (.31) 2.14 .89
---------- ---------- ---------- ---------- --------
Total from investment operations 2.37 1.83 .29 2.53 1.25
---------- ---------- ---------- ---------- --------
Less dividends and distributions:
Investment income--net (.98) (.39) (.51) (.81) (.89)
Realized gain on investments--net (.43) (.30) (.23) (.12) (.60)
---------- ---------- ---------- ---------- --------
Total dividends and distributions (1.41) (.69) (.74) (.93) (1.49)
---------- ---------- ---------- ---------- --------
Net asset value, end of year $ 15.17 $ 14.21 $ 13.07 $ 13.52 $ 11.92
========== ========== ========== ========== ========
Total Investment Based on net asset value per share 17.81% 14.81% 2.14% 22.61% 11.78%
Return:* ========== ========== ========== ========== ========
Ratios to Average Expenses, net of reimbursement .86% .90% .89% .93% 1.07%
Net Assets: ========== ========== ========== ========== ========
Expenses .93% .90% .89% .93% 1.07%
========== ========== ========== ========== ========
Investment income--net 5.31% 5.98% 4.60% 3.90% 10.82%
========== ========== ========== ========== ========
Supplemental Net assets, end of year (in thousands) $1,841,974 $1,487,805 $1,357,906 $ 917,806 $245,839
Data: ========== ========== ========== ========== ========
Portfolio turnover 51.26% 36.78% 57.04% 50.35% 59.56%
========== ========== ========== ========== ========
Average commission rate paid++++ $ .0048 -- -- -- --
========== ========== ========== ========== ========
<PAGE>
<CAPTION>
The following per share data and ratios have been derived Class B
from information provided in the financial statements. 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 year $ 14.01 $ 12.91 $ 13.38 $ 11.83 $ 12.10
Operating ---------- ---------- ---------- ---------- --------
Performance: Investment income--net .62 .65 .46 .28 .22
Realized and unrealized gain (loss) on investments
and foreign currency transactions--net 1.59 1.01 (.31) 2.11 .91
---------- ---------- ---------- ---------- --------
Total from investment operations 2.21 1.66 .15 2.39 1.13
---------- ---------- ---------- ---------- --------
Less dividends and distributions:
Investment income--net (.84) (.26) (.39) (.72) (.80)
Realized gain on investments--net (.43) (.30) (.23) (.12) (.60)
---------- ---------- ---------- ---------- --------
Total dividends and distributions (1.27) (.56) (.62) (.84) (1.40)
---------- ---------- ---------- ---------- --------
Net asset value, end of year $ 14.95 $ 14.01 $ 12.91 $ 13.38 $ 11.83
========== ========== ========== ========== ========
Total Investment Based on net asset value per share 16.71% 13.54% 1.13% 21.42% 10.64%
Return:* ========== ========== ========== ========== ========
Ratios to Average Expenses, net of reimbursement 1.87% 1.93% 1.91% 1.95% 2.09%
Net Assets: ========== ========== ========== ========== ========
Expenses 1.95% 1.93% 1.91% 1.95% 2.09%
========== ========== ========== ========== ========
Investment income--net 4.29% 4.96% 3.58% 2.87% 11.95%
========== ========== ========== ========== ========
Supplemental Net assets, end of year (in thousands) $8,660,279 $6,688,499 $6,457,130 $4,299,545 $958,949
Data: ========== ========== ========== ========== ========
Portfolio turnover 51.26% 36.78% 57.04% 50.35% 59.56%
========== ========== ========== ========== ========
Average commission rate paid+++ $ .0048 -- -- -- --
========== ========== ========== ========== ========
<FN>
*Total investment returns exclude the effects of sales loads.
++Based on average shares outstanding during the year.
++++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. The
"Average Commission Rate Paid" includes commissions paid in
foreign currencies, which have been converted into US
dollars using the prevailing exchange rate on the date of
the transaction. Such conversions may affect the rate shown.
See Notes to Financial Statements.
</TABLE>
<PAGE>
<TABLE>
FINANCIAL HIGHLIGHTS (concluded)
<CAPTION>
Class C Class D
For the For the
Period Period
The following per share data and ratios have been derived Oct. 21, Oct. 21,
from information provided in the financial statements. For the Year Ended 1994++ to For the Year Ended 1994++ to
October 31, Oct. 31, October 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 .61 .64 .01 .77 .77 .01
Realized and unrealized gain (loss)
on investments and foreign currency
transactions--net 1.58 1.02 (.01) 1.57 1.01 --
-------- -------- ------- ---------- -------- -------
Total from investment operations 2.19 1.66 -- 2.34 1.78 .01
-------- -------- ------- ---------- -------- -------
Less dividends and distributions:
Investment income--net (.87) (.33) -- (.95) (.37) --
Realized gain on investments--net (.43) (.30) -- (.43) (.30) --
-------- -------- ------- ---------- -------- -------
Total dividends and distributions (1.30) (.63) -- (1.38) (.67) --
-------- -------- ------- ---------- -------- -------
Net asset value, end of period $ 14.83 $ 13.94 $ 12.91 $ 15.15 $ 14.19 $ 13.08
======== ======== ======= ========== ======== =======
Total Investment Based on net asset value per share 16.68% 13.58% .00%+++ 17.59% 14.43% .08%+++
Return:** ======== ======== ======= ========== ======== =======
Ratios to Average Expenses, net of reimbursement 1.88% 1.95% 2.44%* 1.10% 1.16% 1.69%*
Net Assets: ======== ======== ======= ========== ======== =======
Expenses 1.95% 1.95% 2.44%* 1.18% 1.16% 1.69%*
======== ======== ======= ========== ======== =======
Investment income--net 4.24% 4.80% 3.71%* 5.04% 5.63% 4.46%*
======== ======== ======= ========== ======== =======
Supplemental Net assets, end of period (in thousands) $385,753 $102,361 $ 7,347 $1,044,136 $256,525 $ 4,968
Data: ======== ======== ======= ========== ======== =======
Portfolio turnover 51.26% 36.78% 57.04% 51.26% 36.78% 57.04%
======== ======== ======= ========== ======== =======
Average commission rate paid++++++ $ .0048 -- -- $ .0048 -- --
======== ======== ======= ========== ======== =======
<PAGE>
<FN>
*Annualized.
**Total investment returns exclude the effects of sales loads.
+++Aggregate total investment return.
++Commencement of Operations.
++++Based on average shares outstanding during the period.
++++++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. The "Average Commission Rate Paid" includes commissions
paid in foreign currencies, which have been converted into US dollars using
the prevailing exchange rate on the date of the transaction. Such conversions
may affect the rate shown.
See Notes to Financial Statements.
</TABLE>
NOTES TO FINANCIAL STATEMENTS
1. Significant Accounting Policies:
Merrill Lynch Global Allocation Fund, Inc. (the "Fund") is registered
under the Investment Company Act of 1940 as a non-diversified,
open-end management investment company. The Fund offers four
classes of shares under the Merrill Lynch Select Pricing SM System.
Shares of Class A and Class D are sold with a front-end sales charge.
Shares of Class B and Class C may be subject to a contingent deferred
sales charge. All classes of shares have identical voting, dividend,
liquidation and other rights and the same terms and conditions,
except that Class B, Class C and Class D Shares bear certain expenses
related to the account maintenance of such shares, and Class B and
Class C Shares also bear certain expenses related to the distribution
of such shares. Each class has exclusive voting rights with respect
to matters relating to its account maintenance and distribution
expenditures. The following is a summary of 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.
(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.
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.
NOTES TO FINANCIAL STATEMENTS (continued)
* 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.
<PAGE>
(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.
(i) Short sales--When the Fund engages in a short sale, an amount
equal to the proceeds received by the Fund is reflected as an asset
and an equivalent liability. The amount of the liability is subsequently
marked to market to reflect the market value of the short sale. The
Fund maintains a segregated account of securities as collateral for
the short sales. The Fund is exposed to market risk based on the
amount, if any, that the market value of the stock exceeds the
market value of the securities in the segregated account.
(j) Reclassification--Generally accepted accounting principles
require that certain components of net assets be reclassified to
reflect permanent differences between financial and tax reporting.
Accordingly, current year's permanent book/tax differences of
$134,833,530 have been reclassified between undistributed net realized
capital gains and undistributed net investment income. These
reclassifications have no effect on net assets or net values
per share.
2. Investment Advisory Agreement and Transactions
with Affiliates:
The Fund has entered into an Investment Advisory Agreement with
Merrill Lynch Asset Management, L.P. ("MLAM"). The general
partner of MLAM is Princeton Services, Inc. ("PSI"), an indirect
wholly-owned subsidiary of Merrill Lynch & Co., Inc. ("ML & Co."),
which is the limited partner. The Fund has also entered into a
Distribution Agreement and Distribution Plans with Merrill Lynch
Funds Distributor, Inc. ("MLFD" or "Distributor"), a wholly-owned
subsidiary of Merrill Lynch Group, Inc.
<PAGE>
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 average daily net assets in excess of $10 billion. For the
year ended October 31, 1996, MLAM earned fees of $78,610,213, of
which $7,667,135 was voluntarily waived. MLAM has entered into a sub-
advisory agreement with Merrill Lynch Asset Management U.K., Ltd.
("MLAM U.K."), an affiliate of MLAM, pursuant to which MLAM pays MLAM
U.K. a fee computed at the rate of 0.10% of the average daily net
assets of the Fund for providing investment advisory services to MLAM
with respect to the Fund. For the year ended October 31, 1996, MLAM
paid MLAM U.K. a fee of $9,422,273 pursuant to such agreement.
Pursuant to the distribution plans (the "Distribution Plans")
adopted by the Fund in accordance with Rule 12b-1 under the
Investment Company Act of 1940, the Fund pays the Distributor
ongoing account maintenance and distribution fees. The fees are
accrued daily and paid monthly at annual rates based upon the
average daily net assets of the shares as follows:
Account Maintenance Fee Distribution Fee
Class B 0.25% 0.75%
Class C 0.25% 0.75%
Class D 0.25% --
Pursuant to a sub-agreement with the Distributor, Merrill Lynch,
Pierce, Fenner & Smith Inc. ("MLPF&S"), a subsidiary of ML & Co.,
also provides account maintenance and distribution services to the
Fund. The ongoing account maintenance fee compensates the
Distributor and MLPF&S for providing account maintenance services
to Class B, Class C and Class D shareholders. The ongoing distribu-
tion fee compensates the Distributor and MLPF&S for providing
shareholder and distribution-related services to Class B and
Class C shareholders.
<PAGE>
For the year ended October 31, 1996, MLFD earned underwriting
discounts and direct commissions and MLPF&S earned dealer con-
cessions on sales of the Fund's Class A and Class D Shares as
follows:
MLFD MLPF&S
Class A $76,760 $1,016,346
Class D $241,734 $3,413,112
For the year ended October 31, 1996, MLPF&S received contingent
deferred sales charges of $8,488,220 and $117,278 relating to trans-
actions in Class B and Class C Shares, respectively. Furthermore,
MLPF&S received contingent deferred sales charges of $19,080
relating to transactions subject to front-end sales charge waivers in
Class A Shares.
In addition, MLPF&S received $197,361 in commissions on the
execution of portfolio security transactions for the Fund for the
year ended October 31, 1996.
For the year ended October 31, 1996, the Fund paid Merrill Lynch
Security Pricing Service, an affiliate of MLPF&S, $438 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.
Certain officers and/or directors of the Fund are officers and/or
directors of MLAM, PSI, MLPF&S, MLFDS, MLFD, and/or ML & Co.
3. Investments:
Purchases and sales of investments, excluding short-term securities,
for the year ended October 31, 1996 were $4,369,726,802 and
$4,527,702,804, respectively.
Net realized and unrealized gains (losses) as of October 31, 1996 were
as follows:
<PAGE>
Realized Unrealized
Gains (Losses) Gains (Losses)
Long-term investments $537,557,780 $ 963,274,288
Short-term investments (8,976,885) --
Short sales investments -- 495,792
Financial futures contracts (4,718,506) (2,061,875)
Forward foreign exchange contracts 131,153,510 (2,424,249)
Foreign currency transactions (1,068,663) (44,019)
------------ -------------
Total $653,947,236 $ 959,239,937
============ =============
As of October 31, 1996, net unrealized appreciation for Federal income
tax purposes aggregated $944,503,495, of which $1,223,821,344
related to appreciated securities and $279,317,849 related to depre-
ciated securities. At October 31, 1996, the aggregate cost of invest-
ments for Federal income tax purposes was $10,859,777,532.
4. Capital Share Transactions:
Net increase in net assets derived from capital share transactions
was $2,564,993,676 and $26,500,607 for the years ended October 31,
1996 and October 31, 1995, respectively.
Transactions in capital shares for each class were as follows:
Class A Shares for the Year Dollar
Ended October 31, 1996 Shares Amount
Shares sold 26,663,921 $ 385,379,581
Shares issued to shareholders in
reinvestment of dividends and
distributions 9,842,522 136,704,200
Shares issued resulting from
reorganization 732,464 12,726,168
----------- --------------
Total issued 37,238,907 534,809,949
Shares redeemed (20,574,819) (298,410,953)
----------- --------------
Net increase 16,664,088 $ 236,398,996
=========== ==============
NOTES TO FINANCIAL STATEMENTS (concluded)
<PAGE>
Class A Shares for the Year Dollar
Ended October 31, 1995 Shares Amount
Shares sold 24,414,703 $ 317,656,099
Shares issued to shareholders in
reinvestment of dividends and
distributions 5,067,208 63,395,842
----------- --------------
Total issued 29,481,911 381,051,941
Shares redeemed (28,613,955) (374,649,790)
----------- --------------
Net increase 867,956 $ 6,402,151
=========== ==============
Class B Shares for the Year Dollar
Ended October 31, 1996 Shares Amount
Shares sold 132,348,586 $1,887,208,023
Shares issued to shareholders in
reinvestment of dividends and
distributions 40,325,041 553,386,648
Shares issued resulting from
reorganization 9,028,794 47,981,055
----------- --------------
Total issued 181,702,421 2,488,575,726
Shares redeemed (75,996,626) (1,087,870,352)
Automatic conversion of shares (3,687,016) (52,616,493)
----------- --------------
Net increase 102,018,779 $1,348,088,881
=========== ==============
Class B Shares for the Year Dollar
Ended 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 Year Dollar
Ended October 31, 1996 Shares Amount
Shares sold 20,590,847 $ 291,762,498
Shares issued to shareholders in
reinvestment of dividends and
distributions 987,843 13,590,987
Shares issued resulting from
reorganization 91,170 1,203,359
----------- --------------
Total issued 21,669,860 306,556,844
Shares redeemed (2,995,301) (42,705,296)
----------- --------------
Net increase 18,674,559 $ 263,851,548
=========== ==============
<PAGE>
Class C Shares for the Year Dollar
Ended October 31, 1995 Shares Amount
Shares sold 7,879,395 $ 102,536,056
Shares issued to shareholders
in reinvestment of dividends and
distributions 91,498 1,150,744
----------- --------------
Total issued 7,970,893 103,686,800
Shares redeemed (1,196,074) (15,541,838)
----------- --------------
Net increase 6,774,819 $ 88,144,962
========== ==============
Class D Shares for the Year Dollar
Ended October 31, 1996 Shares Amount
Shares sold 20,921,971 $ 291,938,712
Automatic conversion of shares 2,961,136 52,616,493
Shares issued to shareholders in
reinvestment of dividends and
distributions 2,670,340 37,606,934
Shares issued resulting from
reorganization 32,998,082 461,272,241
----------- --------------
Total issued 59,551,529 843,434,380
Shares redeemed (8,715,593) (126,780,129)
----------- --------------
Net increase 50,835,936 $ 716,654,251
=========== ==============
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
=========== ==============
<PAGE>
5. Commitments:
At October 31, 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 $1,620,000 and
$19,280,000, respectively.
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.
<AUDIT-REPORT>
INDEPENDENT AUDITORS' REPORT
The Board of Directors and Shareholders of
Merrill Lynch Global Allocation Fund, Inc.:
We have audited the accompanying statement of assets and liabilities,
including the schedule of investments, of Merrill Lynch Global Alloca-
tion Fund, Inc. as of October 31, 1996, the related statements of opera-
tions for the year then ended and changes in net assets for each
of the years in the two-year period then ended, and the financial
highlights for each of the years in the five-year period then ended.
These financial statements and the financial highlights are the
responsibility of the Fund's management. Our responsibility is to
express an opinion on these financial statements and the financial
highlights based on our audits.
We conducted our audits in accordance with generally accepted audit-
ing standards. Those standards require that we plan and perform the
audit to obtain reasonable assurance about whether the financial
statements and the financial highlights are free of material mis-
statement. An audit includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial statements.
Our procedures included confirmation of securities owned at
October 31, 1996 by correspondence with the custodian and brokers.
An audit also includes assessing the accounting principles used and
significant estimates made by management, as well as evaluating
the overall financial statement presentation. We believe that our
audits provide a reasonable basis for our opinion.
<PAGE>
In our opinion, such financial statements and financial highlights
present fairly, in all material respects, the financial position of
Merrill Lynch Global Allocation Fund, Inc. as of October 31, 1996, the
results of its operations, the changes in its net assets, and the
financial highlights for the respective stated periods in conformity
with generally accepted accounting principles.
Deloitte & Touche LLP
Princeton, New Jersey
December 10, 1996
</AUDIT-REPORT>
COMMON STOCK PORTFOLIO CHANGES (unaudited)
For the Quarter Ended October 31, 1996
Additions
Akzo N.V.
Allegiance Corporation
Alteon Inc.
Asda Group PLC
Astra AB 'A' Free
Banco Central Hispanoamericano S.A.
Bar Technologies Ltd. (Warrants)
Bay Networks Inc.
CAI Wireless Systems Inc.
Darden Restaurants Inc.
Elf Aquitaine (Elf) S.A.
Grupo Financiero Inbursa, S.A. de C.V. (ADR)
Halliburton Company
Imperial Tobacco Group PLC
Imperial Tobacco Group PLC (ADR)
Inspec Group PLC
MEMC Electronic Materials, Inc.
Millennium Chemicals Inc.
Millipore Corporation
Philips Electronics N.V.
SGS-Thomson Microelectronics N.V.
Scientific Games Holdings Corp.
Silicon Valley Group, Inc.
Tencor Instruments
Volkswagen AG
<PAGE>
Deletions
Allstate Corp.
Autopista Concesionaria Espanola S.A. (Rights)
Banco Popular Espanol S.A.
Bank of New York Company, Inc.
(The) (Warrants)
BankAmerica Corp.
British Gas PLC
British Telecommunications PLC (Ordinary)
California Federal Bank
CasTech Aluminum Group, Inc.
City National Corp.
Comercia Inc.
Enermark Income Fund
Fiat S.p.A.
General Electric Co.
Invercorporacion S.A. (ADR) (USD)
Landmark Graphics Corp.
Magna International Inc. (USD)
Mannesmann AG
Meditrust
National Re Corp.
Norsk Hydro A.S.
Parker Drilling Company
SKF AB 'B' Free
Volvo AB
The Vons Companies, Inc.
<TABLE>
PORTFOLIO INFORMATION (unaudited)
Summary of
Fund's Overall
Asset Mix
As of 10/31/96
<CAPTION>
Percent of Fund's Portfolio Reference Portfolio
10/31/96 7/31/96 Percentages
<S> <C> <C> <C>
North & South American Equities 19.0%* 19.4%* 36.0%
European Equities 9.4 10.1 11.0
Pacific Basin Equities 4.5 4.9 13.0
<PAGE>
Total Equities 32.9 34.4 60.0
US Dollar Denominated Fixed-Income Securities 29.9 34.2 24.0
US Issuers 19.2 21.6 --
Non-US Issuers 10.7 12.6 --
Non-US Dollar Denominated Fixed-Income Securities 12.4 13.5 16.0
Total Fixed-Income Securities 42.3++ 47.7++ 40.0
Cash & Cash Equivalents 24.8 17.9 --
<FN>
*Includes value of Stock Index Futures.
++Includes Preferred Stock.
</TABLE>
Percent Breakdown of Stocks
& Fixed-Income Securities by Percent of
Country Net Assets
United States* 60.9%
Germany 9.2
Argentina 3.9
Japan 3.8
United Kingdom 3.4
France 3.2
Canada* 1.9
Italy 1.5
Mexico 1.3
Netherlands 1.2
Sweden 1.1
Switzerland 1.0
Spain 0.9
Australia 0.8
Finland 0.7
Brazil 0.7
Indonesia 0.7
Russia 0.7
Portugal 0.5
Hong Kong 0.4
Norway 0.3
<PAGE>
India 0.2
South Korea 0.2
Philippines 0.2
Malaysia 0.1
South Africa 0.1
New Zealand 0.0
Austria 0.0
Denmark 0.0
Ireland 0.0
-----
Total 98.9%
=====
[FN]
*Includes investments in short-term securities.
Ten Largest Holdings Percent of
(Equity Investments) Net Assets
Republic New York Corp. 0.7%
KeyCorp. 0.5
Noble Drilling Corp. 0.5
Internationale Nederlanden Groep N.V. 0.5
Mellon Bank Corp. 0.4
Entergy Corp. 0.4
First Commerce Corp. 0.4
ACE, Ltd. 0.4
US Surgical Corp. (Convertible) 0.4
Chase Manhattan Corporation (New) 0.4
Ten Largest Industries Percent of
(Equity Investments) Net Assets
Banking 5.4%
Insurance 3.5
Utilities--Electric & Gas 2.0
Telecommunications 1.4
Energy & Petroleum 1.3
Pharmaceuticals/Biotechnology 1.0
Healthcare Services 0.8
Oil Services 0.8
Paper & Forest Products 0.7
Beverages 0.7
<PAGE>
<TABLE>
IMPORTANT TAX INFORMATION (unaudited)
The following information summarizes all per share distributions paid by Merrill
Lynch Global Allocation Fund, Inc. during its taxable year ended October 31, 1996:
<CAPTION>
Qualifying Domestic Interest From Domestic Non-Qualifying Total Long-Term
Record Date Payable Date Ordinary Income Federal Obligations Ordinary Income Ordinary Income Capital Gains
Class A Shares:
<S> <S> <C> <C> <C> <C> <C>
12/12/95 12/20/95 $.106762 $.001726 $.596667 $.705155 $.341324
7/02/96 7/11/96 $.032236 $.004067 $.326636 $.362939 $ --
Class B Shares:
12/12/95 12/20/95 $.095125 $.001538 $.531632 $.628295 $.341324
7/02/96 7/11/96 $.026094 $.003292 $.264402 $.293788 $ --
Class C Shares:
12/12/95 12/20/95 $.097782 $.001581 $.546480 $.645843 $.341324
7/02/96 7/11/96 $.027342 $.003449 $.277048 $.307839 $ --
Class D Shares:
12/12/95 12/20/95 $.104275 $.001686 $.582767 $.688728 $.341324
7/02/96 7/11/96 $.031022 $.003914 $.314339 $.349275 $ --
</TABLE>
The qualifying domestic ordinary income qualifies for the dividends received
deduction for corporations.
The law varies in each state as to whether and what percentage of dividend
income attributable to Federal obligations is exempt from state income tax.
We recommend that you consult your tax adviser to determine if any portion
of the dividends you received is exempt from state income tax.
Listed below is the percentage of total assets of the Fund invested
in Federal obligations as of the end of each quarter of the fiscal year:
Percentage of
Quarter Ended Federal Obligations*
January 31, 1996 0.50%
April 30, 1996 0.91%
July 31, 1996 2.22%
October 31, 1996 0.42%
<PAGE>
[FN]
*For purposes of this calculation, Federal obligations include U.S. Treasury
Notes, U.S. Treasury Bills, and U.S. Treasury Bonds. Also included are
obligations issued by the following agencies: Banks for Cooperatives, Federal
Intermediate Credit Banks, Federal Land Banks, Federal Home Loan Banks,
and the Student Loan Marketing Association. Repurchase agreements are
not included in this calculation.
Please retain this information for your records.
