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Previous: ADT LIMITED, DEFA14A, 1997-03-24 |
Next: KOGER EQUITY INC, 10-K, 1997-03-24 |
MERRILL LYNCH
GLOBAL
ALLOCATION
FUND, INC.
FUND LOGO
Quarterly Report
January 31, 1997
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.
<TABLE>
Summary of
Fund's Overall
Asset Mix
As of 1/31/97
<CAPTION>
Percent of Fund's Portfolio Reference Portfolio
1/31/97 10/31/96 Percentages
<S> <C> <C> <C>
North & South American Equities 18.1% 19.0%* 36.0%
European Equities 9.3 9.4 11.0
Pacific Basin Equities 4.9 4.5 13.0
Total Equities 32.3* 32.9 60.0
US Dollar Denominated Fixed-Income Securities 29.5 29.9 24.0
US Issuers 19.8 19.2 --
Non-US Issuers 9.7 10.7 --
Non-US Dollar Denominated Fixed-Income Securities 11.3 12.4 16.0
Total Fixed-Income Securities 40.8++ 42.3++ 40.0
Cash & Cash Equivalents 26.9 24.8 --
<FN>
*Includes value of Stock Index Futures.
++Includes Preferred Stock.
</TABLE>
<PAGE>
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
During the quarter ended January 31, 1997, Merrill Lynch Global
Allocation Fund, Inc.'s Class A, Class B, Class C and Class D Shares
had total returns of +5.58%, +5.26%, +5.21% and +5.45%,
respectively. Noteworthy developments during the January quarter
included the ongoing strength of the US stock market and the US
dollar, especially relative to the yen and the Deutschemark. At the
same time, many stock and bond markets outside of the United States
turned in positive results in local currency terms; however, these
returns became negative when they were translated into US dollars.
Although the Fund's continued underweighting in US stocks hindered
its relative performance, its significant hedging of foreign
currency exposure back into US dollars protected the portfolio from
currency losses on foreign security holdings to a large degree. As a
result, the Fund outperformed the unmanaged Reference Portfolio for
the January quarter by 1.95 percentage points. (As discussed in past
reports to shareholders, the total return of this benchmark index is
a weighted average of the total returns of two equity and two fixed-
income indexes which are shown on page 6.)
<PAGE>
We are very pleased to note that the net asset value of the Fund's
Class A Shares closed the January quarter at an all-time high, after
the December distribution to shareholders is added back into the
share price. (Fund results do not reflect sales charges, and would
be lower if sales charges were included. Complete performance
information, including average annual total returns, can be found on
pages 4--6 of this report to shareholders.)
Portfolio Matters
During the January quarter, Japan was one of the worst performers
among large global equity markets. Shareholders may remember that
the Japanese stock market peaked in December 1989, when the Nikkei
225 Average reached 38,915.87. By the beginning of the January 31,
1997 quarter, the Japanese stock market index had fallen to
20,633.1, and declined 16.1% further during the period to a low of
17,303.7 before rebounding to end the quarter at 18,330.
In December 1989, the Japanese stock market, as measured by the
Financial Times/Standard & Poor's--Actuaries Index, made up 41.5% of
world equity market capitalization, while the US stock market
accounted for 31.0%. In contrast, by the end of 1996, the United
States constituted 44.4% of world equity market capitalization, and
Japan, 17.9%. In other words, the size of the Japanese stock market
relative to the USmarket declined 70% between 1989 and 1996.
Merrill Lynch Global Allocation Fund, Inc. has been underweighted in
Japan since the Fund's inception in early 1989. During the January
quarter, we brought the Fund's Japanese equity exposure close to the
Reference Portfolio weighting of 7.1%. During the quarter, the Fund
purchased both common stock of individual Japanese companies as well
as Nikkei 225 stock index futures contracts. When the Fund purchases
futures contracts, it is obligated to set aside or segregate
sufficient collateral to ensure that it is not leveraged. Thus, the
purchase of Nikkei 225 stock index futures, combined with setting
aside the cash collateral, essentially replicates an investment in a
portfolio comprised of stocks in the Nikkei 225 index. By purchasing
futures contracts instead of individual stocks, we seek to reduce
market impact and transaction costs. At a later date, we anticipate
that we will sell these stock index futures as we identify further
attractive opportunities in individual Japanese stocks.
<PAGE>
We have become more optimistic on Japan's prospects for several
reasons. First, Japanese interest rates are very low and have been
low for some time. We believe that this will ultimately spur
economic activity and corporate profits growth, making stocks
relatively attractive compared to money market alternatives. Second,
as we have noted, the yen has declined significantly relative to the
US dollar in the past 18 months. During the years when the yen was
strong, Japanese export-oriented firms found themselves increasingly
at a competitive disadvantage in world markets relative to non-
Japanese companies. A weaker yen tends to make Japanese exports more
competitive and exporters more profitable. Finally, the Japanese
economy seems to be out of recession and into a period of slow
growth.
In the United States, interest rates rose during the January quarter
as bond prices peaked in early December. Interest rates, as measured
by the 30-year Treasury bond, rose from 6.68% to 6.79%. During the
quarter, we modestly decreased the Fund's bond exposure from 42.3%
to 40.8%. At the same time, the composition of the Fund's bond
investments shifted somewhat. We increased holdings in US Government
and agency securities and decreased investments in US corporate
bonds, particularly in the high-yield sector. In addition, we took
profits in some Latin American bonds. These activities served to
upgrade the quality of our bond holdings. We believe this strategy
to be appropriate since yield spreads between lower credit quality
issues and higher-quality issues such as US Treasury securities have
narrowed significantly.
At the end of the January quarter, the Fund's cash and cash reserves
accounted for 26.9% of net assets, an increase from 24.8% at the end
of the October quarter. As has been the case for some time, we
continue to have difficulty identifying new investment opportunities
that meet our valuation criteria.
Fund's Risk-Adjusted
Performance Highlighted
We are pleased to report to shareholders that Merrill Lynch Global
Allocation Fund's Class A Shares were cited as among the "Best Funds
for the Long Haul" and rated #8 among 294 global equity funds, based
on their overall performance index (OPI) of 72.3, as computed by
Kanon Bloch Carre, and reported in the February 3, 1997 issue of US
News & World Report. This is the fourth consecutive time that the
Fund was mentioned by US News & World Report in its periodic survey
of mutual funds. (Results were not provided for the Fund's Class B,
Class C or Class D Shares.)
The OPI measured the risk-adjusted relative performance of funds for
the past one-, three-, five- and ten-year periods ended December 31,
1996, and the ratings cited are based on unrounded overall OPIs. The
OPI also takes into account:
<PAGE>
* A fund's performance during down markets (using the 1990 bear market
and 1994 downturn).
* Downside volatility (for the five years ended December 31, 1996).
* Overall volatility (measured by calculating the monthly average of a
fund's total return for the three years ended December 31, 1996 and
calculating how much the actual month-by-month return varied from
that average).
* Expense ratio.
In addition, Merrill Lynch Global Allocation Fund's Class B Shares
were cited favorably by Morningstar Inc. in a January 17, 1997
report. Also, based on Morningstar data, the Fund's Class B Shares
were cited for their superior risk-adjusted total returns over the
past five years in the February 3, 1997 issue of Business Week.
(Ratings were not provided for the Fund's Class A, Class C or Class
D Shares.) The Fund was also mentioned in the February 9, 1997 issue
of The New York Times in an article entitled "Looking Abroad? It
Still Pays to Diversify." The Fund was highlighted in a chart, "Some
Stellar Performers," based on a Morningstar study that compared the
risk-adjusted performance of a variety of global and international
mutual funds.
The results shown in these articles for Merrill Lynch Global
Allocation Fund do not reflect the relevant sales charges, and would
be lower if sales charges were included. Past performance is not
predictive of future results.
In Conclusion
We thank you for your investment in Merrill Lynch Global Allocation
Fund, Inc., and we look forward to reviewing our outlook with you
again in our next report to shareholders.
Sincerely,
(Arthur Zeikel)
Arthur Zeikel
President
<PAGE>
(Bryan N. Ison)
Bryan N. Ison
Vice President and Portfolio Manager
February 28, 1997
PERFORMANCE DATA
About Fund
Performance
Investors are able to purchase shares of the Fund through the
Merrill Lynch Select Pricing SM System, which offers four pricing
alternatives:
* Class A Shares incur a maximum initial sales charge (front-end
load) of 5.25% and bear no ongoing distribution or account
maintenance fees. Class A Shares are available only to eligible
investors.
* Class B Shares are subject to a maximum contingent deferred sales
charge of 4% if redeemed during the first year, decreasing 1% each
year thereafter to 0% after the fourth year. In addition, Class B
Shares are subject to a distribution fee of 0.75% and an account
maintenance fee of 0.25%. These shares automatically 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 distribution fee).
None of the past results shown should 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. Dividends paid to each class
of shares will vary because of the different levels of account
maintenance, distribution and transfer agency fees applicable to
each class, which are deducted from the income available to be paid
to shareholders.
<PAGE>
Average Annual
Total Return
% Return Without % Return With
Sales Charge Sales Charge**
Class A Shares*
Year Ended 12/31/96 +16.19% +10.09%
Five Years Ended 12/31/96 +13.85 +12.63
Inception (2/3/89) through 12/31/96 +14.29 +13.52
[FN]
*Maximum sales charge is 5.25%.
**Assuming maximum sales charge.
% Return % Return
Without CDSC With CDSC**
Class B Shares*
Year Ended 12/31/96 +14.95% +10.95%
Five Years Ended 12/31/96 +12.67 +12.67
Inception (2/3/89) through 12/31/96 +13.13 +13.13
[FN]
*Maximum contingent deferred sales charge is 4% and is reduced to 0%
after 4 years.
**Assuming payment of applicable contingent deferred sales charge.
% Return % Return
Without CDSC With CDSC**
Class C Shares*
Year Ended 12/31/96 +15.01% +14.01%
Inception (10/21/94) through 12/31/96 +15.47 +15.47
[FN]
*Maximum contingent deferred sales charge is 1% and is reduced to 0%
after 1 year.
**Assuming payment of applicable contingent deferred sales
charge.
<PAGE>
% Return Without % Return With
Sales Charge Sales Charge**
Class D Shares*
Year Ended 12/31/96 +15.96% + 9.87%
Inception (10/21/94) through 12/31/96 +16.42 +13.59
[FN]
*Maximum sales charge is 5.25%.
**Assuming maximum sales charge.
<TABLE>
Performance
Summary--
Class A Shares
<CAPTION>
Net Asset Value Capital Gains
Period Covered Beginning Ending Distributed Dividends Paid* % Change**
<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
1996 13.88 14.55 0.530 1.001 +16.19
1/1/97--1/31/97 14.55 14.81 -- -- + 1.79
------ ------
Total $1.875 Total $6.549
Cumulative total return as of 1/31/97: +192.74%**
<FN>
*Figures may include short-term capital gains distributions.
**Figures assume reinvestment of all dividends and capital gains
distributions at net asset value on the ex-dividend date, and do not
include sales charge; results would be lower if sales charge was
included.
</TABLE>
<PAGE>
<TABLE>
Performance
Summary--
Class B Shares
<CAPTION>
Net Asset Value Capital Gains
Period Covered Beginning Ending Distributed Dividends Paid* % Change**
<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
1996 13.73 14.36 0.530 0.855 +14.95
1/1/97--1/31/97 14.36 14.61 -- -- + 1.74
------ ------
Total $1.875 Total $5.642
Cumulative total return as of 1/31/97: +169.77%**
<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
1996 13.63 14.23 0.530 0.876 +15.01
1/1/97--1/31/97 14.23 14.47 -- -- + 1.69
------ ------
Total $1.011 Total $2.015
Cumulative total return as of 1/31/97: +39.43%**
<FN>
*Figures may include short-term capital gains distributions.
**Figures assume reinvestment of all dividends and capital
gains distributions at net asset value on the ex-dividend
date, and do not reflect deduction of any sales charge;
results would be lower if sales charge was deducted.
</TABLE>
<PAGE>
PERFORMANCE DATA (concluded)
<TABLE>
Performance
Summary--
Class D Shares
<CAPTION>
Net Asset Value Capital Gains
Period Covered Beginning Ending Distributed Dividends Paid* % Change**
<C> <C> <C> <C> <C> <C>
10/21/94--12/31/94 $13.07 $12.24 $0.140 $0.383 - 2.35%
1995 12.24 13.87 0.341 0.845 +23.29
1996 13.87 14.54 0.530 0.968 +15.96
1/1/97--1/31/97 14.54 14.79 -- -- + 1.72
------ ------
Total $1.011 Total $2.196
Cumulative total return as of 1/31/97: +42.00%**
<FN>
*Figures may include short-term capital gains distributions.
**Figures assume reinvestment of all dividends and capital gains
distributions at net asset value on the ex-dividend date, and do not
include sales charge; results would be lower if sales charge was
included.
</TABLE>
<TABLE>
Recent
Performance
Results
<CAPTION>
Net Asset Value Total Return
1/31/97 10/31/96 1/31/96 12-Month 3-Month
<S> <C> <C> <C> <C> <C>
ML Global Allocation Fund, Inc. Class A Shares* $14.81 $15.17 $14.23 +15.36%(1) + 5.58%(2)
ML Global Allocation Fund, Inc. Class B Shares* 14.61 14.95 14.06 +14.21(3) + 5.26(4)
ML Global Allocation Fund, Inc. Class C Shares* 14.47 14.83 13.96 +14.18(5) + 5.21(6)
ML Global Allocation Fund, Inc. Class D Shares* 14.79 15.15 14.22 +15.05(7) + 5.45(8)
US Stocks: Standard & Poor's 500 Index** +26.35 +12.03
Non-US Stocks: Financial Times/Standard & Poor's--
Actuaries World Index (Ex-US)*** + 2.15 - 0.90
US Bonds: ML Government Index GA05**** + 1.54 + 0.71
Non-US Bonds: Salomon Brothers World Government Bond Index (Ex-US)***** + 2.11 - 3.65
<PAGE>
<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 $1.001 per share ordinary
income dividends and $0.530 per share capital gains distributions.
(2)Percent change includes reinvestment of $0.638 per share ordinary
income dividends and $0.530 per share capital gains distributions.
(3)Percent change includes reinvestment of $0.855 per share ordinary
income dividends and $0.530 per share capital gains distributions.
(4)Percent change includes reinvestment of $0.561 per share ordinary
income dividends and $0.530 per share capital gains distributions.
(5)Percent change includes reinvestment of $0.876 per share ordinary
income dividends and $0.530 per share capital gains distributions.
(6)Percent change includes reinvestment of $0.568 per share ordinary
income dividends and $0.530 per share capital gains distributions.
(7)Percent change includes reinvestment of $0.968 per share ordinary
income dividends and $0.530 per share capital gains distributions.
(8)Percent change includes reinvestment of $0.619 per share ordinary
income dividends and $0.530 per share capital gains distributions.
</TABLE>
Portfolio
Abbreviations
To simplify the currency denominations of Merrill Lynch Global
Allocation Fund, Inc.'s portfolio holdings in the Schedule of
Investments, we have abbreviated the currencies according to the
list at right.
<PAGE>
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 Percent of
COUNTRY Industries Held Common Stocks Cost Value Net Assets
<S> <S> <C> <S> <C> <C> <C>
Argentina Oil--Related 600,000 Yacimientos Petroliferos
Fiscales S.A. (ADR)++ (USD) $ 12,973,690 $ 16,725,000 0.1%
Total Common Stocks in
Argentina 12,973,690 16,725,000 0.1
Australia Banking 2,645,800 Westpac Banking Corp. 5,614,396 15,114,794 0.1
Building & 2,286,577 Lend Lease Corporation Limited 38,116,084 39,449,181 0.4
Construction
Foods 7,916,000 Goodman Fielder Wattie Ltd. 8,324,587 9,647,388 0.1
Insurance 1,614,135 GIO Australia Holdings, Ltd. 2,786,182 4,106,485 0.0
Multi-Industry 1,500,000 Pacific Dunlop, Ltd. 4,092,789 3,610,458 0.0
Tobacco 2,099,800 Rothmans Holdings, Ltd. 7,893,919 14,218,823 0.1
1,242,300 WD & HO Wills Holdings, Ltd. 1,389,502 2,261,561 0.0
--------------- --------------- ------
9,283,421 16,480,384 0.1
Total Common Stocks in
Australia 68,217,459 88,408,690 0.7
Brazil Telecommunications 35,000 Telecomunicacoes Brasileiras
S.A.--Telebras PN (ADR)++ (USD) 1,953,385 3,053,750 0.0
Total Common Stocks in Brazil 1,953,385 3,053,750 0.0
<PAGE>
Canada Beverages 1,900,000 Cott Corp. (USD) 15,484,918 15,675,000 0.1
Metals--Non-Ferrous 100,000 Inco Ltd. (USD) 2,132,000 3,387,500 0.0
Multi-Industry 100,000 Canadian Pacific, Ltd. (USD) 1,116,420 2,712,500 0.0
Oil--Related 353,000 International Petroleum Corp.
(USD) 1,000,196 1,875,313 0.0
Paper 3,250,000 Repap Enterprises Inc. 12,879,320 5,382,813 0.1
Specialty Retailing 280,000 Semi-Tech Corporation (Class A) 4,108,297 592,516 0.0
Telecommunications 100,000 BCE Telecommunications, Inc.
(USD) 3,375,484 5,037,500 0.0
587,900 Rogers Cantel Mobile
Communications Inc. 11,306,266 11,960,544 0.1
4,443,700 Rogers Communications Inc. 38,715,406 31,674,725 0.3
--------------- --------------- ------
53,397,156 48,672,769 0.4
Total Common Stocks in Canada 90,118,307 78,298,411 0.6
Denmark Banking 53,500 Unidanmark A/S 1,870,730 2,911,378 0.0
Total Common Stocks in Denmark 1,870,730 2,911,378 0.0
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued) (in US dollars)
<CAPTION>
Shares Percent of
COUNTRY Industries Held Common Stocks Cost Value Net Assets
<S> <S> <C> <S> <C> <C> <C>
Finland Metals 366,700 Outokumpu OY $ 5,258,735 $ 5,934,994 0.1%
Paper & Forest 1,500,000 Enso-Gutzeit OY 12,019,454 12,046,465 0.1
Products 2,909,250 Metsa Serla OY 'B' 23,657,400 21,218,434 0.2
776,492 UPM-Kymmene OY 15,467,454 15,192,269 0.1
--------------- --------------- ------
51,144,308 48,457,168 0.4
Telecommunications 250,000 Nokia Corp. (ADR)++ (USD) 8,318,438 16,718,750 0.1
Equipment 186,360 Nokia OY 8,998,615 12,408,474 0.1
--------------- --------------- ------
17,317,053 29,127,224 0.2
Total Common Stocks in Finland 73,720,096 83,519,386 0.7
<PAGE>
France Automobiles 94,304 Peugeot S.A. 11,413,010 10,112,527 0.1
Banking 215,600 Compagnie de Suez S.A. 8,482,839 10,234,177 0.1
173,900 Compagnie Financiere de
Paribas S.A. 9,343,179 11,896,269 0.1
697,886 Societe Generale 73,835,653 80,263,200 0.6
--------------- --------------- ------
91,661,671 102,393,646 0.8
Electronics 91,021 SGS-Thomson Microelectronics
N.V. 4,196,067 6,517,959 0.0
Engineering & 119,340 Bouygues S.A. 12,009,424 11,718,195 0.1
Construction
Foods/Food Processing 61,600 Groupe Danone S.A. 9,786,153 9,524,051 0.1
Industrial 217,404 Alcatel Alsthom Cie Generale
d'Electricite S.A. 19,730,017 21,543,832 0.2
196,400 Elf Aquitaine (Elf) S.A. 14,173,233 19,071,754 0.1
--------------- --------------- ------
33,903,250 40,615,586 0.3
Insurance 271,145 Assurances Generales de
France S.A. (AGF) 7,406,170 8,639,376 0.1
Metals/Steel 1,038,723 Usinor-Sacilor S.A. 15,498,579 14,763,766 0.1
Multi-Industry 33,455 EuraFrance S.A. 9,052,946 14,204,763 0.1
Total Common Stocks in France 194,927,270 218,489,869 1.7
Germany Automotive 44,362 Volkswagen AG 16,620,722 20,824,306 0.2
Banking 55,680 Bayerische Vereinsbank AG 1,339,965 2,110,687 0.0
113,150 Deutsche Bank AG 5,287,453 5,642,995 0.0
--------------- --------------- ------
6,627,418 7,753,682 0.0
Capital Goods 369,636 Kloeckner-Werke AG 17,229,762 19,855,920 0.2
Chemicals 51,451 Henkel KGaA 2,280,226 2,531,407 0.0
Engineering & 30,480 Philipp Holzmann AG 11,661,385 7,777,219 0.1
Construction
<PAGE>
Insurance 13,558 Allianz AG Holding 23,994,954 25,200,897 0.2
Manufacturing 83,134 Thyssen AG 15,302,076 15,822,965 0.1
Retail 27,715 Karstadt AG 10,815,610 8,458,979 0.1
Telecommunications 197,100 Deutsche Telekom AG 3,748,649 3,681,638 0.0
Total Common Stocks in Germany 108,280,802 111,907,013 0.9
Hong Kong Agriculture 35,938,000 C.P. Pokphand Co. Ltd.
(Ordinary) 12,604,198 14,377,983 0.1
Banking 390,123 HSBC Holdings PLC 3,858,650 9,037,501 0.1
Multi-Industry 889,500 Hutchison Whampoa Ltd. 4,867,725 6,715,590 0.0
Real Estate 817,000 Cheung Kong Holdings Ltd. 5,904,073 7,618,023 0.1
Total Common Stocks in
Hong Kong 27,234,646 37,749,097 0.3
Indonesia Paper & Pulp 2,669,600 Asia Pacific Resources
International Holdings Ltd.
(ADR)++ (USD) 18,325,968 14,349,100 0.1
1,715,000 Asia Pulp & Paper Company Ltd.
(ADR)++ (USD) 19,722,500 19,722,500 0.2
Total Common Stocks in
Indonesia 38,048,468 34,071,600 0.3
Italy Banking 1,813,400 Istituto Mobiliare Italiano
S.p.A. (Ordinary) 13,339,979 17,664,814 0.1
Insurance 10,785,989 Istituto Nazionale della
Assicurazioni (INA) S.p.A. 15,495,280 14,890,380 0.1
97,000 Mediolanum S.p.A. 747,016 902,773 0.0
--------------- --------------- ------
16,242,296 15,793,153 0.1
Multi-Industry 9,117,595 Compagnie Industriali Riunite
S.p.A. (CIR) 7,816,550 7,071,411 0.1
27,176,500 MontEdison S.p.A. 22,271,980 22,021,784 0.2
30,088,530 29,093,195 0.3
Oil--Related 1,580,547 Ente Nazionale Idrocarburi
S.p.A. 7,440,374 8,816,230 0.1
<PAGE>
Publishing 3,000,000 Seat S.p.A. 1,088,139 1,155,922 0.0
8,666,863 Seat S.p.A.--RISP 2,411,987 2,188,629 0.0
--------------- --------------- ------
3,500,126 3,344,551 0.0
Telecommunications 3,000,000 Societa Finanziara Telefonica
S.p.A. (STET) 4,365,655 14,807,346 0.1
8,666,863 Societa Finanziaria Telefonica
S.p.A. (STET) RISP 16,268,795 34,039,364 0.3
3,958,000 Telecom Italia Mobile S.p.A. 1,395,818 11,763,244 0.1
3,958,000 Telecom Italia S.p.A. 7,779,466 11,431,712 0.1
--------------- --------------- ------
29,809,734 72,041,666 0.6
Total Common Stocks in Italy 100,421,039 146,753,609 1.2
Japan Automobiles & 3,282,000 Suzuki Motor Corp. 30,510,247 31,141,089 0.3
Equipment
Beverages 1,064,000 Chukyo Coca-Cola Bottling
Co., Ltd. 12,588,736 8,682,310 0.1
565,000 Hokkaido Coca-Cola Bottling
Co., Ltd. 7,764,597 6,899,340 0.0
722,000 Kinki Coca-Cola Bottling
Co., Ltd. 11,225,806 8,220,792 0.1
1,243,000 Mikuni Coca-Cola Bottling
Co., Ltd. 17,391,669 13,332,508 0.1
947,000 Sanyo Coca-Cola Bottling
Co., Ltd. 13,573,916 12,267,244 0.1
--------------- --------------- ------
62,544,724 49,402,194 0.4
Capital Goods 3,868,000 Mitsubishi Heavy Industries,
Inc. 23,624,404 27,861,089 0.2
Chemicals 157,000 Shin-Etsu Chemical Co., Ltd. 3,056,555 2,875,743 0.0
Electrical 922,000 Chudenko Corp. 27,466,554 25,332,178 0.2
Construction 1,266,000 Kinden Corporation 20,107,928 15,877,228 0.1
34,000 Taihei Dengyo Kaisha Ltd. 637,020 276,601 0.0
--------------- --------------- ------
48,211,502 41,486,007 0.3
Electrical Equipment 593,000 Murata Manufacturing Co., Ltd. 19,275,913 18,396,700 0.2
Financial Services 360,000 Nomura Securities Co., Ltd. 7,080,991 4,603,960 0.0
</TABLE>
<PAGE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued) (in US dollars)
<CAPTION>
Shares Percent of
COUNTRY Industries Held Common Stocks Cost Value Net Assets
<S> <S> <C> <S> <C> <C> <C>
Japan Industrial 28,000 Miura Kogyo Co., Ltd. $ 466,635 $ 332,673 0.0%
(concluded) 13,200 Nitto Kohki Co., Ltd. 489,424 398,614 0.0
--------------- --------------- ------
956,059 731,287 0.0
Insurance 2,536,000 Dai-Tokyo Fire & Marine
Insurance Co., Ltd. 16,465,472 10,608,515 0.1
1,329,000 Fuji Fire & Marine
Insurance Co., Ltd. 6,214,393 4,671,238 0.0
4,039,000 Koa Fire & Marine
Insurance Co., Ltd. 20,916,709 16,562,566 0.1
765,000 Mitsui Marine & Fire
Insurance Co., Ltd. 5,730,161 4,109,035 0.0
3,234,000 Nichido Fire & Marine
Insurance Co., Ltd. 19,081,985 18,091,188 0.2
3,728,000 Nippon Fire & Marine
Insurance Co., Ltd. 16,261,797 13,810,825 0.1
4,571,000 Sumitomo Marine & Fire
Insurance Co., Ltd. 31,384,704 26,211,592 0.2
2,368,000 Tokio Marine & Fire
Insurance Co., Ltd. 25,707,953 21,491,749 0.2
4,028,000 Yasuda Fire & Marine
Insurance Co., Ltd. 21,487,246 17,780,363 0.1
--------------- --------------- ------
163,250,420 133,337,071 1.0
Office Equipment 1,612,000 Canon, Inc. 23,455,745 34,181,848 0.3
Packaging & 912,000 Toyo Seikan Kaisha, Ltd. 23,384,016 23,627,723 0.2
Containers
Pharmaceuticals 1,061,000 Sankyo Pharmaceuticals Co.,
Ltd. 23,391,365 27,663,036 0.2
384,000 Taisho Pharmaceuticals Co. 7,984,458 8,744,554 0.1
--------------- --------------- ------
31,375,823 36,407,590 0.3
Restaurants 356,000 Mos Food Services, Inc. 8,797,607 5,903,960 0.1
310,000 Ohsho Food Service Corp. 6,834,314 4,476,073 0.0
--------------- --------------- ------
15,631,921 10,380,033 0.1
<PAGE>
Retail Stores 460,000 Ito Yokado Co., Ltd. 21,319,319 21,330,033 0.2
100,000 Sangetsu Co., Ltd. 3,160,832 1,856,436 0.0
--------------- --------------- ------
24,480,151 23,186,469 0.2
Steel 266,000 Maruichi Steel Tube Ltd. 5,107,698 4,082,178 0.0
Total Common Stocks in Japan 481,946,169 441,700,981 3.5
Mexico Conglomerates 433,800 Grupo Carso, S.A. de C.V.
(ADR)++ (USD) 3,832,850 5,259,825 0.1
Finance 6,054 Grupo Financiero Inbursa, S.A.
de C.V. (ADR)++ (USD) 121,464 105,945 0.0
Foods 700,000 Grupo Industrial Maseca (ADR)++
(USD) 7,969,925 13,825,000 0.1
Telecommunications 433,800 Global Telecommunications
Solutions, Inc. (ADR)++ (USD) 2,060,550 2,494,350 0.0
Total Common Stocks in Mexico 13,984,789 21,685,120 0.2
Netherlands Airlines 156,260 KLM Royal Dutch Airlines N.V. 4,486,455 4,671,323 0.0
Chemicals 117,720 Akzo N.V. 14,550,083 16,540,178 0.1
288,070 European Vinyls Corp.
International N.V. 11,384,340 8,016,732 0.1
--------------- --------------- ------
25,934,423 24,556,910 0.2
Computer Software 111,200 Getronics N.V. 1,347,831 3,179,215 0.0
Electronics 475,125 Philips Electronics N.V. 17,151,017 19,110,365 0.2
Distribution
Forest Products 385,900 Koninklijke KNP N.V. 9,018,462 8,494,918 0.1
Insurance 1,766,537 Internationale Nederlanden
Groep N.V. 27,430,540 66,540,392 0.5
Miscellaneous-- 10,000 Nijverdal Ten Cate N.V. 501,699 471,247 0.0
Manufacturing
Telecommunications 100,000 Royal PTT Nederland N.V. 3,450,311 3,630,829 0.0
Total Common Stocks in the
Netherlands 89,320,738 130,655,199 1.0
<PAGE>
Norway Banking 4,785,400 Christiania Bank Og Kreditkasse 10,697,335 16,359,082 0.1
2,434,000 Den Norske Bank ASA 7,189,721 9,969,880 0.1
--------------- --------------- ------
17,887,056 26,328,962 0.2
Multi-Industry 96,154 Orkla A.S. (Class A) 4,858,216 7,640,201 0.1
Total Common Stocks in Norway 22,745,272 33,969,163 0.3
Portugal Telecommunications 41,000 Telecel-Comunicacaoes Pessoais,
S.A. 2,073,605 2,927,858 0.0
Total Common Stocks in Portugal 2,073,605 2,927,858 0.0
Spain Banking 326,000 Argentaria S.A. 12,974,203 13,634,266 0.1
166,022 Banco Central Hispanoamericano
S.A. 3,302,502 4,303,786 0.0
35,837 Bank Intercontinental S.A. 1,820,127 5,165,717 0.1
--------------- --------------- ------
18,096,832 23,103,769 0.2
Energy & Petroleum 212,500 Repsol S.A. (ADR)++ (USD) 6,126,375 8,420,313 0.1
Engineering & 47,786 Fomento de Construciones y
Construction Contratas S.A. 3,947,853 4,276,206 0.0
Insurance 30,000 Mapfre S.A. 1,130,028 1,756,562 0.0
3,389 Mapfre S.A. (New Shares) 142,730 196,967 0.0
--------------- --------------- ------
1,272,758 1,953,529 0.0
Manufacturing 173,000 Grupo Fosforera Espanola S.A. 1,501,871 464,061 0.0
Multi-Industry 20,750 Corporacion Financiera Alba S.A. 585,109 1,891,260 0.0
Real Estate 196,708 Immobiliaria Metropolitana
Vasco Central S.A. 4,832,169 7,092,155 0.1
Toll Roads 154,000 Autopista Concesionaria
Espanola S.A. (ACESA) 1,363,246 1,904,456 0.0
Utilities--Electric 391,800 Iberdrola I S.A. 2,221,161 4,675,721 0.0
Total Common Stocks in Spain 39,947,374 53,781,470 0.4
<PAGE>
Sweden Appliances 232,464 Electrolux AB 'B' Free 11,264,721 13,997,667 0.1
Automotive & Equipment 43,916 Scania AB (Warrants) (a) 60,444 39,726 0.0
Banking 134,297 Sparbanken Sverige AB (Class A) 1,573,742 2,132,935 0.0
Industrial 200,000 SKF AB 'A' 3,713,376 4,557,507 0.0
Insurance 447,335 Skandia Forsakring AB Free 10,636,443 12,047,056 0.1
Metals/Steel 550,800 Avesta Sheffield AB 5,089,653 5,667,136 0.1
Multi-Industry 43,916 Investor AB (B Shares) 1,083,977 1,995,410 0.0
262,083 Svedala Industri AB Free 3,441,716 4,687,293 0.0
--------------- --------------- ------
4,525,693 6,682,703 0.0
Paper & Forest 609,900 Mo och Domsjo AB (Class B) 16,502,175 16,719,858 0.2
Products 1,110,275 Stora Kopparbergs Bergslags AB 13,078,920 14,106,908 0.1
--------------- --------------- ------
29,581,095 30,826,766 0.3
Pharmaceuticals 281,132 Astra AB 'A' Free 12,167,338 13,414,416 0.1
Real Estate 83,000 Tornet Fastighets AB 550,422 1,043,117 0.0
Total Common Stocks in Sweden 79,162,927 90,409,029 0.7
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued) (in US dollars)
<CAPTION>
Shares Percent of
COUNTRY Industries Held Common Stocks Cost Value Net Assets
<S> <S> <C> <S> <C> <C> <C>
Switzerland Conglomerates 301,993 Oerlikon-Buehrle Holding Ltd. $ 32,057,825 $ 30,453,967 0.2%
Electronic Components 69,850 Societe Suisse pour la
Microelectronique et
l'Horlogerie AG (Registered) 9,809,595 10,737,658 0.1
Financial Services 305,910 CS Holdings AG (Registered) 31,107,346 31,440,153 0.3
Machinery 6,920 Saurer AG (Registered) 3,012,437 3,253,324 0.0
Photographic Services 12,273 Fotolabo S.A. 5,097,333 4,614,234 0.0
Total Common Stocks in
Switzerland 81,084,536 80,499,336 0.6
<PAGE>
United Beverages 1,451,980 Cadbury Schweppes PLC 11,384,259 10,935,950 0.1
Kingdom
Chemicals 1,470,000 Inspec Group PLC 4,431,923 4,546,453 0.0
Computers 405,654 Misys PLC 5,011,176 7,150,666 0.1
Conglomerates 50,000 Hanson PLC (ADR)++ (USD) 580,001 375,000 0.0
Consumer--Goods 1,117,550 Unilever Capital Corp. PLC 21,408,324 25,000,599 0.2
Environmental 940,000 Waste Management International
PLC (ADR)++ (USD) 9,206,375 7,167,500 0.1
Food & Beverage 840,021 Allied Domecq PLC 5,803,788 5,781,644 0.0
2,568,645 Grand Metropolitan PLC 16,811,528 19,119,998 0.2
35,000 Grand Metropolitan PLC (ADR)++
(USD) 1,031,100 1,054,375 0.0
631,110 Matthew Clark PLC 6,157,510 2,993,607 0.0
--------------- --------------- ------
29,803,926 28,949,624 0.2
Insurance 1,200,000 Prudential Corp. PLC 7,670,326 10,374,585 0.1
Pharmaceuticals 912,400 Glaxo Wellcome PLC 11,999,915 14,613,899 0.1
500,000 SmithKline Beecham Corp.
PLC (ADR)++ 11,603,072 36,125,000 0.3
--------------- --------------- ------
23,602,987 50,738,899 0.4
Retail/Food 7,217,320 Asda Group PLC 13,279,197 14,052,393 0.1
2,604,000 Tesco PLC 11,166,028 14,918,153 0.1
--------------- --------------- ------
24,445,225 28,970,546 0.2
Steel 1,500,000 British Steel PLC 4,081,599 3,593,606 0.0
Telecommunications 1,513,966 Cable & Wireless International
PLC 9,858,305 11,305,768 0.1
Tobacco 12,500 Imperial Tobacco Group PLC
(ADR)++ (USD) 238,391 160,938 0.0
Utilities--Water 1,703,000 Southwest Water PLC 13,068,875 18,404,082 0.1
Total Common Stocks in the
United Kingdom 164,791,692 207,674,216 1.6
<PAGE>
United Apparel 700,000 Fruit of the Loom, Inc. 18,572,062 28,087,500 0.2
States 100,000 Liz Claiborne, Inc. 2,016,276 4,212,500 0.0
--------------- --------------- ------
20,588,338 32,300,000 0.2
Automobiles 165,308 Ford Motor Company 4,906,268 5,310,520 0.0
150,000 General Motors Corp. 5,691,925 8,850,000 0.1
--------------- --------------- ------
10,598,193 14,160,520 0.1
Automotive 588,800 Collins & Aikman Group Inc. 4,337,565 4,563,200 0.0
Banking 300,000 Bank of New York Company,
Inc. (The) 3,992,662 10,987,500 0.1
129,500 Banknorth Group, Inc. 1,865,422 5,180,000 0.0
250,000 Barnett Banks Inc. 5,070,860 11,000,000 0.1
200,000 Charter One Financial, Inc. 4,979,052 9,025,000 0.1
707,100 CoreStates Financial Corp. 22,202,461 35,178,225 0.3
350,000 First Chicago NBD Corporation 10,902,245 19,993,750 0.2
1,173,500 First Commerce Corp. 29,836,536 46,646,625 0.4
100,000 First of America Bank 3,601,875 5,950,000 0.1
1,106,102 KeyCorp 32,526,816 57,932,092 0.5
807,900 Mellon Bank Corp. 30,483,478 60,289,538 0.5
578,000 Onbancorp, Inc. 16,284,637 21,530,500 0.2
441,600 Oriental Financial Group 9,715,200 9,604,800 0.1
905,100 Republic New York Corp. 40,558,301 80,214,488 0.6
500,000 Roosevelt Financial Group, Inc. 8,121,946 10,750,000 0.1
400,000 Southern National Corp. 7,717,728 15,500,000 0.1
--------------- --------------- ------
227,859,219 399,782,518 3.4
Business Data 1,523,700 Information Resources, Inc. 18,051,787 23,617,350 0.2
Systems
Chemicals 50,000 du Pont (E.I.) de Nemours & Co. 3,466,125 5,481,250 0.0
3,571 Millennium Chemicals Inc. 116,556 70,974 0.0
--------------- --------------- ------
3,582,681 5,552,224 0.0
Computer Software 225,000 Boole & Babbage, Inc. 1,329,492 5,681,250 0.0
2,400,000 Borland International Corp. 33,535,053 15,300,000 0.1
--------------- --------------- ------
34,864,545 20,981,250 0.1
Computer Software 240,000 Electronic Data Systems Corp. 9,927,011 11,040,000 0.1
Services
<PAGE>
Computers & 200,000 Bay Networks Inc. 3,962,000 4,350,000 0.0
Technology 1,200,000 Stratus Computer, Inc. 23,632,111 38,100,000 0.3
1,100,000 Unisys Corp. 12,291,367 7,562,500 0.1
--------------- --------------- ------
39,885,478 50,012,500 0.4
Construction & 153,800 Centex Corp. 3,880,118 5,998,200 0.1
Housing 500,000 K. Hovnanian Enterprises,
Inc. (Class A) 4,920,209 3,312,500 0.0
--------------- --------------- ------
8,800,327 9,310,700 0.1
Construction 700,000 TJ International, Inc. 12,547,379 12,950,000 0.1
Products
Consumer-- 400,000 Department 56, Inc. 8,951,325 9,250,000 0.1
Miscellaneous
Electronics 88,600 Harris Corp. 5,200,236 6,744,675 0.1
711,200 MEMC Electronic Materials, Inc. 14,904,748 19,646,900 0.2
1,200,000 Silicon Valley Group, Inc. 21,598,334 31,950,000 0.3
100,000 VLSI Technology, Inc. 1,093,772 1,650,000 0.0
--------------- --------------- ------
42,797,090 59,991,575 0.6
Energy & Petroleum 163,900 Ashland Coal, Inc. 4,132,919 4,548,225 0.0
49,500 Cabot Oil & Gas Corp. (Class A) 529,030 903,375 0.0
100,000 Chevron Corp. 5,307,000 6,637,500 0.1
46,400 Mitchell Energy Development
Corp. (Class A) 675,717 1,090,400 0.0
174,350 Mitchell Energy Development
Corp. (Class B) 2,755,451 3,944,669 0.0
125,000 Mobil Corp. 9,757,153 16,406,250 0.1
50,000 Murphy Oil Corp. 1,688,446 2,518,750 0.0
1,500,000 Occidental Petroleum Corp. 28,058,743 38,250,000 0.3
61,200 Pennzoil Co. 3,775,844 3,817,350 0.0
235,828 Plains Resources, Inc. 1,381,815 3,891,162 0.0
1,094,247 Santa Fe Energy Resources, Inc. 10,119,883 16,276,924 0.1
211,514 Transamerica Refining Corp.
(Warrants) (a) 531,220 423,028 0.0
2,000,000 TransTexas Gas Corp. 23,788,082 32,500,000 0.3
600,000 USX-Marathon Group 10,542,976 15,975,000 0.1
--------------- --------------- ------
103,044,279 147,182,633 1.0
</TABLE>
<PAGE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued) (in US dollars)
<CAPTION>
Shares Percent of
COUNTRY Industries Held Common Stocks Cost Value Net Assets
<S> <S> <C> <S> <C> <C> <C>
United States Financial Services 147,100 Student Loan Marketing
(continued) Association $ 5,610,487 $ 16,015,513 0.1%
Food & Tobacco 110,000 Philip Morris Companies, Inc. 5,608,374 13,076,250 0.1
212,462 RJR Nabisco, Inc. 5,842,716 6,958,131 0.1
--------------- --------------- ------
11,451,090 20,034,381 0.2
Forestry 14,285 Deltic Timber Corporation 211,274 351,768 0.0
Gaming 1,235,000 Scientific Games Holdings
Corp. (c) 27,568,304 28,250,625 0.2
Healthcare Services 360,000 Advocat, Inc. 3,422,500 2,925,000 0.0
90,000 Allegiance Corporation 760,858 2,306,250 0.0
450,000 Baxter International, Inc. 9,088,023 20,756,250 0.2
2,000,000 Beverly Enterprises, Inc. 22,347,806 29,000,000 0.2
700,000 Humana, Inc. 13,206,455 13,300,000 0.1
1,589,100 Transitional Hospitals Corp. 13,254,793 14,500,538 0.1
435,600 United Healthcare Corporation 14,094,605 21,235,500 0.2
196,500 US Surgical Corp. 3,287,430 7,884,563 0.1
--------------- --------------- ------
79,462,470 111,908,101 0.9
Home Appliance 230,000 Singer Co. 6,382,382 3,910,000 0.0
Hotel/Leisure 114,000 ITT Corp. 4,221,738 6,512,250 0.1
Industrial 200,000 American Standard, Inc. 6,011,000 8,125,000 0.1
915,000 BW/IP Holdings, Inc. 15,816,387 15,440,625 0.1
15,000 Bar Technologies Ltd.
(Warrants) (a) 838,256 825,000 0.0
179,802 Cooper Industries, Inc. 6,534,892 7,753,961 0.1
112,500 Crane Co. 2,691,213 3,712,500 0.0
150,000 Millipore Corporation 5,280,930 6,412,500 0.1
--------------- --------------- ------
37,172,678 42,269,586 0.4
Insurance 650,000 ACE, Ltd. 17,150,594 38,431,250 0.3
340,000 Aetna Inc. 18,752,639 26,860,000 0.2
510,000 American General Corp. 13,187,448 20,336,250 0.2
571,000 Horace Mann Educators, Inc. 13,654,588 24,410,250 0.2
114,000 ITT Hartford Group Inc. 4,188,594 8,364,750 0.1
640,200 Lincoln National Corp. 23,466,317 34,330,725 0.3
350,000 PartnerRe Holdings, Ltd. 6,790,237 12,425,000 0.1
1,627,500 Risk Capital Holdings Inc. 29,063,406 27,057,188 0.2
--------------- --------------- ------
126,253,823 192,215,413 1.6
<PAGE>
Machinery/ 166,800 AGCO Corp. 3,363,402 4,920,600 0.0
Agricultural
Manufacturing 200,000 ITT Industries Inc. 4,175,065 5,050,000 0.0
Metals 305,000 Aluminum Co. of America 13,814,815 21,045,000 0.2
1,350,000 Lukens Inc. 25,689,657 25,987,500 0.2
579,000 National Steel Corp. 5,238,111 5,645,250 0.0
200,000 Nucor Corporation 8,824,828 10,400,000 0.1
132,800 Reynolds Metals Co. 5,801,771 8,017,800 0.1
--------------- --------------- ------
59,369,182 71,095,550 0.6
Multi-Industry 160,000 Loews Corp. 7,058,865 15,820,000 0.1
Multimedia & 512,800 U S West Media Group 7,933,766 9,550,900 0.1
Telecommunications
Natural Resources 349,758 Alumax, Inc. 7,240,312 12,241,530 0.1
210,519 Freeport-McMoRan Copper &
Gold Inc. (Class B) 3,665,657 6,052,421 0.1
--------------- --------------- ------
10,905,969 18,293,951 0.2
Oil Services 100,000 Diamond Offshore Drilling Inc. 5,150,000 6,612,500 0.1
500,000 Input/Output, Inc. 8,405,720 11,875,000 0.1
3,870,125 Noble Drilling Corp. 28,502,950 84,658,984 0.7
100,000 Tidewater Inc. 3,404,066 4,700,000 0.0
150,000 Western Atlas, Inc. 9,013,408 10,181,250 0.1
--------------- --------------- ------
54,476,144 118,027,734 1.0
Pharmaceuticals/ 250,000 Alteon, Inc. 1,968,199 1,375,000 0.0
Biotechnology 150,000 American Home Products
Corporation 6,263,569 9,506,250 0.1
250,000 Bristol-Myers Squibb Co. 13,280,737 31,750,000 0.2
450,000 Merck & Co., Inc. 17,543,253 40,837,500 0.3
--------------- --------------- ------
39,055,758 83,468,750 0.6
Photography 160,000 Eastman Kodak Co. 8,746,145 13,880,000 0.1
Publishing 175,000 Gannett Co., Inc. 8,375,486 13,409,375 0.1
301,500 New York Times Co. (Class A) 7,158,778 11,570,063 0.1
--------------- --------------- ------
15,534,264 24,979,438 0.2
<PAGE>
Real Estate 730,000 Ambassador Apartments Inc. 11,662,250 17,520,000 0.1
Investment Trusts 661,300 Mid-America Realty Investments 6,616,640 7,108,975 0.1
100,000 Mid-Atlantic Realty Trust Co. 917,500 1,062,500 0.0
1,251,325 Prime Retail, Inc. 13,982,561 16,110,809 0.1
400,000 Taubman Centers, Inc. 3,807,537 5,400,000 0.0
920,000 Walden Residential Properties,
Inc. (Warrants) (a) 1,125,068 1,380,000 0.0
--------------- --------------- ------
38,111,556 48,582,284 0.3
Restaurants 1,200,000 Brinker International, Inc. 13,193,900 13,050,000 0.1
500,000 Buffets, Inc. 5,071,633 3,875,000 0.0
1,000,000 Darden Restaurants Inc. 7,811,638 7,250,000 0.1
--------------- --------------- ------
26,077,171 24,175,000 0.2
Retail Stores 608,500 Baker (J.), Inc. 10,187,765 4,107,375 0.0
443,200 Burlington Coat Factory
Warehouse 4,846,377 5,706,200 0.0
516,900 Buttrey Food & Drug Stores Co. 4,084,486 4,264,425 0.0
1,110,000 Filene's Basement Corp. 10,092,619 6,174,375 0.1
700,000 The Limited, Inc. 12,951,591 11,987,500 0.1
1,373,500 Payless Cashways, Inc. 17,027,625 2,918,688 0.0
400,000 Sotheby's Holdings, Inc.
(Class A) 4,879,559 6,800,000 0.1
1,080,000 Toys 'R' Us, Inc. (c) 26,205,784 27,000,000 0.2
--------------- --------------- ------
90,275,806 68,958,563 0.5
Savings Banks 257,500 Bankers Corp. 1,552,137 5,729,375 0.0
1,299,000 Dime Bancorp, Inc. 8,851,295 20,296,875 0.2
309,330 Downey Savings & Loan
Association 2,896,670 6,534,596 0.0
1,920,500 Glendale Federal Savings Bank 21,966,657 46,332,063 0.4
770,194 Glendale Federal Savings Bank
(Warrants)(a) 0 10,205,070 0.1
--------------- --------------- ------
35,266,759 89,097,979 0.7
</TABLE>
<PAGE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued) (in US dollars)
<CAPTION>
Shares Percent of
COUNTRY Industries Held Common Stocks Cost Value Net Assets
<S> <S> <C> <S> <C> <C> <C>
United States Telecommunications 27,750 American Telecasting Inc.
(concluded) (Warrants) (a) $ 0 $ 83,250 0.0%
1,915,000 CAI Wireless Systems Inc. 6,252,438 3,171,719 0.0
30,662 CS Wireless Systems, Inc. 123,667 307 0.0
304,000 CellNet Data Systems, Inc. 7,682,452 3,914,000 0.0
185,700 Comsat Corp. 4,308,767 5,013,900 0.0
800,000 DSC Communications Corp. 12,249,518 17,900,000 0.1
104,500 GTE Corp. 3,514,166 4,911,500 0.0
1,933,200 Geotek Communications, Inc. 15,476,598 11,840,850 0.1
3,000,000 Geotek Communications, Inc.
(Warrants) (a) 14,200,634 4,747,500 0.0
200,000 Glenayre Technologies, Inc. 4,190,871 3,800,000 0.0
1,004,400 PLD Telekom Inc. 6,692,050 7,658,550 0.1
180,000 SBC Communications Inc. 8,015,735 9,877,500 0.1
18,315 Wireless One, Inc.
(Warrants) (a) 18,315 91,575 0.0
--------------- --------------- ------
82,725,211 73,010,651 0.4
Textiles 2,825,200 Burlington Industries, Inc. 37,451,653 33,902,400 0.3
Utilities-- 1,250,000 Allegheny Power System, Inc. 27,315,551 38,281,250 0.3
Electric & Gas 115,650 Atmos Energy Corp. 1,445,257 2,631,038 0.0
47,570 BayCorp Holdings, Ltd. 2,549,753 410,291 0.0
125,000 CMS Energy Corp. 2,290,025 4,187,500 0.0
1,101,000 Centerior Energy Corp. 12,953,094 11,835,750 0.1
100,000 Consolidated Edison Company, Inc. 2,923,495 3,100,000 0.0
4,512,285 El Paso Electric Company 23,689,496 32,714,066 0.2
1,780,000 Entergy Corp. 47,516,856 47,837,500 0.4
475,000 FPL Group, Inc. 14,363,265 21,018,750 0.2
1,500,000 Niagara Mohawk Power Corp. 23,789,306 15,187,500 0.1
844,600 Texas Utilities Co. 26,942,999 34,206,300 0.3
1,148,800 Unicom Corporation 27,549,620 27,140,400 0.2
--------------- --------------- ------
213,328,717 238,550,345 1.8
Waste Disposal 646,900 WMX Technologies, Inc. 16,148,443 23,692,713 0.2
Total Common Stocks in the
United States 1,594,173,339 2,187,218,965 17.2
Total Investments in
Common Stocks 3,286,996,333 4,072,409,140 32.0
Equity Closed-End Funds
<PAGE>
Austria Financial Services 320,000 Austria Fund (USD) 2,642,432 2,920,000 0.0
Total Equity Closed-End Funds
in Austria 2,642,432 2,920,000 0.0
Europe Financial Services 166,666 European Warrant Fund (USD) 1,363,723 2,229,158 0.0
Total Equity Closed-End Funds
in Europe 1,363,723 2,229,158 0.0
Indonesia Financial Services 25,600 Jakarta Growth Fund (USD) 158,080 230,400 0.0
Total Equity Closed-End Funds
in Indonesia 158,080 230,400 0.0
Ireland Financial Services 150,000 Irish Investment Fund, Inc.(USD) 1,086,041 2,118,750 0.0
Total Equity Closed-End Funds
in Ireland 1,086,041 2,118,750 0.0
Italy Financial Services 150,000 Italy Fund (USD) 1,198,520 1,500,000 0.0
Total Equity Closed-End Funds
in Italy 1,198,520 1,500,000 0.0
Korea Financial Services 200,000 Korea Fund, Inc. (USD) 3,018,069 3,350,000 0.0
Total Equity Closed-End Funds
in Korea 3,018,069 3,350,000 0.0
Portugal Financial Services 39,500 Capital Portugal Fund 2,052,116 4,785,401 0.1
40,000 Portugal Fund (USD) 360,368 610,000 0.0
Total Equity Closed-End Funds
in Portugal 2,412,484 5,395,401 0.1
Spain Financial Services 300,100 Growth Fund of Spain, Inc. (USD) 2,630,827 3,751,250 0.1
Total Equity Closed-End Funds
in Spain 2,630,827 3,751,250 0.1
Total Investments in
Equity Closed-End Funds 14,510,176 21,494,959 0.2
Preferred Stocks
<PAGE>
Australia Publishing 600,000 The News Corporation Ltd.
(ADR)++ (USD) 10,451,056 9,900,000 0.1
Total Preferred Stocks
in Australia 10,451,056 9,900,000 0.1
Germany Chemicals 544,411 Henkel KGaA 23,019,040 27,649,246 0.2
Multi-Industry 450,000 RWE AG 8,725,424 15,492,614 0.1
Total Preferred Stocks
in Germany 31,744,464 43,141,860 0.3
Norway Financial Services 175,000 A/S Eksportfinans (8.70%
Convertible) (USD) 4,377,500 4,681,250 0.0
Total Preferred Stocks in Norway 4,377,500 4,681,250 0.0
Portugal Banking 450,000 BCP International Bank,
(8% Convertible) (USD) 22,407,400 25,762,500 0.2
Total Preferred Stocks
in Portugal 22,407,400 25,762,500 0.2
Spain Banking 225,000 Santander Overseas Bank (8%
Convertible, Series D) (USD) 5,463,250 5,737,500 0.1
Total Preferred Stocks in Spain 5,463,250 5,737,500 0.1
United Retail Stores 545,000 Signet Group (Convertible)
Kingdom (ADR)++ (USD) 2,194,907 7,902,500 0.1
Total Preferred Stocks
in the United Kingdom 2,194,907 7,902,500 0.1
United States Banking 55,000 California Federal Bank
(10.625%) 5,500,000 6,050,000 0.0
970,000 California Federal Bank
(Series A) 24,235,500 24,128,750 0.2
229,000 HSBC Americas Inc. (Series A) 9,384,078 10,305,000 0.1
100,000 Nationsbank Corp. (Convertible,
Series A) 2,500,000 6,075,000 0.1
--------------- --------------- ------
41,619,578 46,558,750 0.4
Cable Television 1,000,000 Diva Systems Corp.
(Convertible, Series C) 8,410,000 9,125,000 0.1
</TABLE>
<PAGE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued) (in US dollars)
<CAPTION>
Shares Percent of
COUNTRY Industries Held Preferred Stocks Cost Value Net Assets
<S> <S> <C> <S> <C> <C> <C>
United States Energy & Petroleum 150,000 Grant Tensor Corp.
(concluded) (9.75% Convertible) $ 1,853,375 $ 168,750 0.0%
64,219 Santa Fe Energy Resources,
Inc. (7% Convertible) 954,075 1,517,174 0.0
460,000 Santa Fe Energy Resources, Inc.
(Convertible, Class A) 4,082,500 5,865,000 0.0
--------------- --------------- ------
6,889,950 7,550,924 0.0
Healthcare 1,080,000 US Surgical Corp. (Convertible) 24,354,000 42,390,000 0.3
Natural Resources 150,000 Cyprus Amax Minerals Co.
(Convertible, Series A) 9,188,313 8,253,000 0.1
348,700 Freeport-McMoRan Copper &
Gold, Inc. (Convertible) 7,918,834 9,545,662 0.1
219,000 Freeport-McMoRan Inc.
(Convertible-Gold) 7,703,330 6,953,250 0.0
--------------- --------------- ------
24,810,477 24,751,912 0.2
Paper & Forest 200,000 Boise Cascade Corp.
Products (Convertible, Series G) 4,225,000 5,625,000 0.0
288,200 James River Corp. of Virginia
(9% Convertible, Series P) 4,971,450 8,646,000 0.1
--------------- --------------- ------
9,196,450 14,271,000 0.1
Real Estate 583,000 Catellus Development Corp.
(7.25% Exchangeable, Series B) 26,271,250 40,664,250 0.3
200,000 First Union Real Estate
Investments (Convertible) 5,000,000 8,975,000 0.1
--------------- --------------- ------
31,271,250 49,639,250 0.4
<PAGE>
Real Estate Investment 290,000 Criimi Mae Inc. (10.875%
Trusts Convertible, Series B) 7,250,000 10,331,250 0.1
350,000 National Health Investors, Inc.
(8.50% Convertible) 8,750,000 12,162,500 0.1
835,500 Prime Retail, Inc. (10.50%) 19,316,161 20,469,750 0.1
920,000 Walden Residential Properties,
Inc. (9.20%, Series S) 21,874,932 23,345,000 0.2
--------------- --------------- ------
57,191,093 66,308,500 0.5
Savings Banks 619,900 Glendale Federal Savings Bank
(8.75% Convertible, Series E) 15,070,337 37,658,925 0.3
Total Preferred Stocks
in the United States 218,813,135 298,254,261 2.3
Total Investments in
Preferred Stocks 295,451,712 395,379,871 3.1
<CAPTION>
Currency Face
Denomination Amount Fixed-Income Securities
<S> <S> <S> <C> <S> <C> <C> <C>
Argentina Banking USD 10,000,000 Banco de Galicia y Buenos
Aires S.A. de C.V., 9% due
11/01/2003 9,532,500 10,025,000 0.1
Banco Rio de la Plata:
USD 50,000,000 8.75% due 12/15/2003 41,565,950 50,125,000 0.4
USD 35,000,000 (Class 3), 8.50% due
7/15/1998 35,293,750 35,481,250 0.3
--------------- --------------- ------
86,392,200 95,631,250 0.8
Government Republic of Argentina:
Obligations USD 86,240,000 Floating Rate Bonds,
Series L, 6.625% due
3/31/2005 (d) 55,202,175 77,400,400 0.6
USD 145,000,000 Floating Rate Discount
Notes, 6.375% due 3/31/2023 106,156,705 117,812,500 0.9
USD 13,000,000 Global Bonds, 8.375% due
12/20/2003 8,237,000 12,447,500 0.1
USD 280,000,000 Par 'L' Bonds, 5.25% due
3/31/2023 138,616,464 182,700,000 1.4
--------------- --------------- ------
308,212,344 390,360,400 3.0
Total Fixed-Income Securities
in Argentina 394,604,544 485,991,650 3.8
<PAGE>
Brazil Government USD 35,000,000 Brazil Exit Bonds, 6% due
Obligations 9/15/2013 19,772,539 26,250,000 0.2
USD 29,580,000 Republic of Brazil, Floating
Rate Bonds, 6.687% due
1/01/2001 (d) 22,997,362 28,952,904 0.3
--------------- --------------- ------
42,769,901 55,202,904 0.5
Media/ USD 10,000,000 Abril S.A., 12% due 10/25/2003 10,020,000 10,512,500 0.1
Publishing
Natural USD 5,000,000 Companhia Vale Do Rio Doce,
Resources 10% due 4/02/2004 4,993,860 5,200,000 0.0
Total Fixed-Income Securities
in Brazil 57,783,761 70,915,404 0.6
Canada Cable/ CAD 7,545,000 Rogers Cablesystem Inc.,
Telecom- 9.65% due 1/15/2014 4,397,424 5,364,076 0.0
munications CAD 5,000,000 Rogers Communications Inc.,
Convertible Bonds, 7.50%
due 9/01/1999 3,394,000 3,638,254 0.0
--------------- --------------- ------
7,791,424 9,002,330 0.0
Chemicals USD 18,800,000 Acetex Corporation, 9.75%
due 10/01/2003 18,514,300 18,706,000 0.2
Hotel/ USD 21,000,000 Four Seasons Hotel, Inc.,
Leisure 9.125% due 7/01/2000 20,917,750 21,525,000 0.2
Natural USD 27,750,000 Sifto Canada, Inc., 8.50%
Resources due 7/15/2000 27,625,187 28,096,875 0.2
Paper & CAD 2,000,000 MacMillan Bloedel Limited,
Forest Convertible Bonds, 5% due
Products 5/01/2007 1,024,416 1,277,101 0.0
Real Estate CAD 16,501,370 First Place Tower, Inc.,
10.28% due 12/15/2015 (e) 26,246,648 25,729,787 0.2
Total Fixed-Income Securities
in Canada 102,119,725 104,337,093 0.8
<PAGE>
France Automobiles FRF 5,500 Peugeot S.A., Convertible
Bonds, 2% due 1/01/2001 992,341 1,096,022 0.0
Banking ECU 2,000,000 Credit Local de France,
0% due 10/16/2001 (b) 1,890,573 1,859,287 0.0
FRF 58,000 Societe Generale, Convertible
Bonds, 3.50% due 1/01/2000 7,499,838 8,353,888 0.1
--------------- --------------- ------
9,390,411 10,213,175 0.1
Government ECU 113,500,000 Government of France OAT,
Obligations 8.25% due 4/25/2022 129,827,824 156,268,747 1.2
Industrial FRF 30,000 Alcatel Alsthom, Convertible
Bonds, 2.50% due 1/01/2004 3,926,887 4,858,047 0.0
Insurance FRF 35,500 Finaxa, Convertible Bonds,
3% due 1/01/2001 9,060,172 11,041,591 0.1
Multi- FRF 8,713 Compagnie Generale des Eaux,
Industry Convertible Bonds, 6% due
1/01/1998 4,859,722 5,305,004 0.1
Total Fixed-Income Securities
in France 158,057,357 188,782,586 1.5
Germany Banking DEM 2,310,000 Commerzbank AG, Floating Rate
Convertible Bonds, 0% due
6/15/2001 (b) 1,556,456 2,615,706 0.0
USD 5,000,000 Landes Kredit Bank, 7.875%
due 4/15/2004 4,972,067 5,298,400 0.0
--------------- --------------- ------
6,528,523 7,914,106 0.0
Building USD 41,100,000 Tarkett AG, 9% due 3/01/2002 39,413,750 42,127,500 0.3
Materials
Financial USD 5,875,000 Veba International Finance
Services (with Warrants), 6% due
4/06/2000 (a) 2,965,841 5,728,125 0.1
Government Bundesrepublik Deutschland:
Obligations DEM 31,000,000 5.75% due 8/20/1998 22,444,131 19,615,117 0.2
DEM 130,500,000 7.375% due 1/03/2005 99,256,229 89,004,792 0.7
DEM 258,000,000 6.25% due 1/04/2024 152,132,561 150,859,602 1.2
DEM 265,000,000 Deutsche Bundespost, 7.75%
due 10/01/2004 197,119,542 183,600,903 1.4
--------------- --------------- ------
470,952,463 443,080,414 3.5
</TABLE>
<PAGE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued) (in US dollars)
<CAPTION>
Currency Face Percent of
COUNTRY Industries Denominations Amount Fixed-Income Securities Cost Value Net Assets
<S> <S> <S> <C> <S> <C> <C> <C>
Germany Government DEM 64,000,000 Baden-Wuerttemberg, 6.20%
(concluded) Obligations-- due 11/22/2013 $ 37,148,769 $ 40,415,090 0.3%
Regional DEM 55,000,000 Freie Hansestadt Hamburg,
6.08% due 11/29/2018 31,730,765 34,177,756 0.3
DEM 170,500,000 Land Hessen, 6% due
11/29/2013 (c) 98,586,862 106,263,277 0.8
DEM 110,000,000 Mecklenberg-Vorpommern,
6.15% due 6/16/2023 (c) 61,012,437 66,408,253 0.5
DEM 134,950,000 Nordrhein-Westfalen, 6.125%
due 12/21/2018 (c) 77,420,913 84,271,670 0.7
Rheinland-Pfalz:
DEM 33,000,000 5.75% due 2/24/2014 18,324,663 20,154,133 0.2
DEM 64,000,000 6.08% due 11/29/2018 36,935,547 39,770,480 0.3
DEM 47,000,000 Sachsen-Anhalt, 6% due
1/10/2014 26,915,615 28,819,131 0.2
--------------- --------------- ------
388,075,571 420,279,790 3.3
Industrial USD 1,000,000 Siemens Capital Corp. (with
Warrants), 8% due 6/24/2002 (a) 1,318,750 1,360,100 0.0
Total Fixed-Income Securities
in Germany 909,254,898 920,490,035 7.2
Hong Kong Industrial USD 11,300,000 Johnson Electric Holdings
Ltd., Convertible Bonds,
4.50% due 11/05/2000 10,093,904 11,413,000 0.1
Retail USD 12,000,000 Dairy Farm International
Holdings Ltd. (Convertible
Preferred), 6.50% due 5/10/2049 9,525,875 8,940,000 0.1
Total Fixed-Income Securities
in Hong Kong 19,619,779 20,353,000 0.2
India Chemicals USD 11,450,000 Reliance Industries Limited,
Convertible Bonds, 3.50%
due 11/03/1999 11,808,875 12,509,125 0.1
Total Fixed-Income Securities
in India 11,808,875 12,509,125 0.1
<PAGE>
Indonesia Paper & USD 19,500,000 APP International Finance,
Forest 11.75% due 10/01/2005 19,500,000 21,157,500 0.2
Products RAPP International Finance
Company B.V.:
USD 3,250,000 11.50% due 12/15/2000 3,220,165 3,331,250 0.0
USD 24,750,000 13.25% due 12/15/2005 24,090,165 25,492,500 0.2
Total Fixed-Income Securities
in Indonesia 46,810,330 49,981,250 0.4
Italy Government USD 5,000,000 Republic of Italy, 8.75%
Obligations due 2/08/2001 5,373,050 5,443,755 0.1
USD 30,485,000 Republic of Italy/INA,
Convertible Bonds, 5% due
6/28/2001 30,341,500 30,408,787 0.2
--------------- --------------- ------
35,714,550 35,852,542 0.3
Telecommuni- Softe SA-LUX:
cations ITL 11,500,000,000 Convertible Bonds, 4.25%
due 7/30/1998 7,894,814 14,377,676 0.1
ITL 16,760,000,000 (Ex-Warrants), 8.75% due
3/24/1997 10,756,360 10,416,636 0.1
--------------- --------------- ------
18,651,174 24,794,312 0.2
Total Fixed-Income Securities
in Italy 54,365,724 60,646,854 0.5
Japan Beverages JPY 1,268,000,000 Kinki Coca-Cola Bottling Co.,
Ltd., #1 Convertible Bonds,
0.85% due 12/30/2003 11,282,608 9,938,944 0.1
JPY 1,408,000,000 Sanyo Coca-Cola Bottling Inc.,
#1 Convertible Bonds, 0.90% due
6/30/2003 12,966,065 11,268,647 0.1
JPY 100,000,000 Shikoku Coca-Cola Bottling Co.,
Ltd., #1 Convertible Bonds,
2.40% due 3/29/2002 1,036,246 917,492 0.0
--------------- --------------- ------
25,284,919 22,125,083 0.2
Capital JPY 500,000,000 Kawasaki Heavy Industries,
Goods Convertible Bonds, 0.50%
due 9/30/1998 4,566,161 4,445,132 0.0
<PAGE>
Chemicals USD 4,700,000 Shin-Etsu Chemical Co., Ltd.
(with Warrants), 3.375%
due 8/08/2000 (a) 4,676,500 5,005,970 0.0
Shin-Etsu Chemical Co., Ltd.,
Convertible Bonds:
JPY 103,000,000 #5, 1.30% due 3/31/1999 1,099,362 1,079,290 0.0
JPY 114,000,000 #6, 0.40% due 9/30/2005 1,082,636 1,100,495 0.0
--------------- --------------- ------
6,858,498 7,185,755 0.0
Computers CHF 32,900,000 NEC Corporation, Convertible
Bonds, 1% due 3/31/1999 (c)(n) 31,388,018 31,038,826 0.2
Electrical JPY 988,000,000 Matsushita Electric Works,
Equipment Ltd., #8 Convertible
Bonds, 2.70% due 5/31/2002 9,691,544 9,505,017 0.1
Electronics JPY 650,000,000 Matsushita Electric Industrial
Co., Ltd., #5 Convertible
Bonds, 1.30% due 3/29/2002 6,133,347 6,274,752 0.1
JPY 300,000,000 Tokyo Electron Limited, #2
Convertible Bonds, 0.90%
due 9/30/2003 (n) 3,001,237 3,141,089 0.0
--------------- --------------- ------
9,134,584 9,415,841 0.1
Insurance JPY 456,000,000 Mitsui Marine & Fire Insurance
Co., Ltd., #3 Convertible Bonds,
0.70% due 3/31/2003 3,786,983 3,465,149 0.0
JPY 117,000,000 Nichido Fire & Marine Insurance
Co., Ltd., #5 Convertible Bonds,
1% due 3/31/2003 1,109,381 898,738 0.0
Nisshin Fire & Marine Insurance
Co., Ltd. Convertible Bonds:
JPY 772,000,000 #1, 0.65% due 3/31/2004 6,212,599 5,891,914 0.1
JPY 1,258,000,000 #2, 0.75% due 3/31/2006 10,041,398 9,569,934 0.1
Sumitomo Marine & Fire Insurance
Co, Ltd. Convertible Bonds:
JPY 100,000,000 #3, 1.10% due 3/29/2002 864,315 841,584 0.0
JPY 1,065,000,000 #4, 1.20% due 3/31/2004 9,289,309 8,962,871 0.1
JPY 467,000,000 Yasuda Fire & Marine Insurance
Co., Ltd., #3 Convertible Bonds,
0.60% due 3/30/2001 3,977,567 3,699,010 0.0
--------------- --------------- ------
35,281,552 33,329,200 0.3
Pharma- JPY 2,420,000,000 Yamanouchi Pharmaceutical Co.,
ceuticals Ltd., Convertible Bonds, 1.25%
due 3/31/2014 (c)(n) 24,896,781 23,011,964 0.2
Total Fixed-Income Securities
in Japan 147,102,057 140,056,818 1.1
<PAGE>
Malaysia Multi- USD 15,500,000 Renong BHD, Convertible Bonds,
Industry 2.50% due 1/15/2005 17,544,487 18,406,250 0.1
Total Fixed-Income Securities
in Malaysia 17,544,487 18,406,250 0.1
Mexico Government USD 45,150,000 Petroleos Mexicanos, 8.625%
Obligations due 12/01/2023 25,007,000 38,095,312 0.3
USD 19,434,000 United Mexican States, 8.50%
due 9/15/2002 17,439,054 19,336,830 0.2
Total Fixed-Income Securities
in Mexico 42,446,054 57,432,142 0.5
New Zealand Financial NZD 3,085,700 Brierly Investments, Ltd.
Services (9% Convertible) 1,988,414 2,612,761 0.0
Utilities-- NZD 1,760,000 Natural Gas Corp. Holdings,
Gas Convertible Bonds, 10.50%
due 10/14/1997 1,043,960 2,762,412 0.0
Total Fixed-Income Securities
in New Zealand 3,032,374 5,375,173 0.0
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued) (in US dollars)
<CAPTION>
Currency Face Percent of
COUNTRY Industries Denominations Amount Fixed-Income Securities Cost Value Net Assets
<S> <S> <S> <C> <S> <C> <C> <C>
Philippines Utilities USD 16,000,000 CE Casecnan, 11.45% due
11/15/2005 $ 15,895,000 $ 17,200,000 0.1%
Total Fixed-Income Securities
in the Philippines 15,895,000 17,200,000 0.1
Portugal Banking ECU 19,300,000 Banco Commercial Portuguese,
Convertible Bonds, 8.75% due
5/21/2002 26,468,747 23,239,323 0.2
Total Fixed-Income Securities
in Portugal 26,468,747 23,239,323 0.2
<PAGE>
Russia Telecommuni- USD 74,500,000 PLD Telekom, Inc., 0/14% due
cations 6/01/2004 (b)(j) 58,675,486 61,902,050 0.5
USD 18,700,000 PLD Telekom, Inc., Convertible
Bonds, 9% due 6/01/2006 18,756,250 21,764,930 0.2
Total Fixed-Income Securities
in Russia 77,431,736 83,666,980 0.7
South Africa Metals USD 10,000,000 Samancor Ltd., Convertible Bonds,
7% due 6/30/2004 9,634,125 9,750,000 0.1
Total Fixed-Income Securities
in South Africa 9,634,125 9,750,000 0.1
South Korea Electronics USD 5,250,000 Samsung Electronics Co.,
Convertible Bonds, 0.25%
due 12/31/2006 5,250,000 5,853,750 0.1
Energy Ssangyong Oil Refining,
Related Convertible Bonds:
USD 6,795,000 3% due 12/31/2004 5,003,212 4,994,325 0.0
USD 10,540,000 3.75% due 12/31/2008 11,126,937 11,146,050 0.1
--------------- --------------- ------
16,130,149 16,140,375 0.1
Total Fixed-Income Securities
in South Korea 21,380,149 21,994,125 0.2
Sweden Industrial ECU 7,000,000 SKF-AB Lyons, Convertible
Bonds, 0% due 7/26/2002 (b) 6,117,031 5,288,640 0.0
Total Fixed-Income Securities
in Sweden 6,117,031 5,288,640 0.0
Switzerland Chemicals CHF 1,401,000 Ciba-Geigy AG, Convertible
Bonds, 2% due 8/09/1998 1,178,587 2,822,183 0.0
USD 24,945,000 Ciba-Geigy Corp., Convertible
Bonds, 6.25% due 3/15/2016 25,632,050 25,443,900 0.2
Total Fixed-Income Securities
in Switzerland 26,810,637 28,266,083 0.2
<PAGE>
United Cable/ USD 43,250,000 Bell Cablemedia PLC, 0/11.875%
Kingdom Telecom- due 9/15/2005 (b) 28,286,495 34,383,750 0.3
munications USD 21,500,000 Comcast UK Cable Partners Ltd.,
0/11.20% due 11/15/2007 (b) 13,292,202 15,157,500 0.1
USD 23,100,000 Diamond Cable Communications
Co., 0/11.75% due 12/15/2005 (b) 14,872,475 16,054,500 0.1
USD 45,000,000 International Cabletel Inc.,
Series B, 0/11.50%due
2/01/2006 (b) 28,785,043 29,812,500 0.2
USD 42,750,000 TeleWest Communications PLC,
11% due 10/01/2000 27,291,405 29,497,500 0.2
--------------- --------------- ------
112,527,620 124,905,750 0.9
Financial GBP 11,600,000 TransAtlantic Holdings PLC,
Services Convertible Bonds, 5.50%
due 4/30/2009 14,179,895 17,473,660 0.2
Food & GBP 1,750,000 Allied-Lyons PLC, Convertible
Beverage Bonds, 6.75% due 7/07/2008 2,589,607 2,629,102 0.0
Government GBP 20,000,000 United Kingdom Treasury Gilt,
Obligations 9.50% due 10/25/2004 37,627,645 36,136,375 0.3
Industrial USD 4,655,000 HIH Capital Ltd., Convertible
Bonds (Bearer), 7.50% due
9/25/2006 3,031,037 3,630,900 0.0
Multi- GBP 6,625,000 English China Clays PLC,
Industry Convertible Bonds, 6.50% due
9/30/2003 10,841,824 9,607,989 0.1
Real Estate Land Securities PLC,
Convertible Bonds:
GBP 3,000,000 6.75% due 12/31/2002 4,621,518 5,336,325 0.1
GBP 1,250,000 9.375% due 7/31/2004 2,202,044 2,403,750 0.0
--------------- --------------- ------
6,823,562 7,740,075 0.1
Retail GBP 21,700,000 Sainsbury (J.) PLC, Convertible
Bonds, 8.50% due 11/19/2005 39,554,901 39,294,902 0.3
Textiles GBP 2,500,000 Coats Viyella PLC, Convertible
Bonds, Series B, 6.25%
due 8/09/2003 3,535,704 3,605,625 0.0
Total Fixed-Income Securities
in the United Kingdom 230,711,795 245,024,378 1.9
<PAGE>
United States Airlines USD 4,063,514 USAir Pass-Through, 9.33%
due 1/01/2006 (d) 3,962,332 3,829,862 0.0
Banking USD 8,000,000 Bank of East Asia, Convertible
Bonds, 2% due 7/19/2003 (c)(n) 9,373,500 9,340,000 0.1
USD 14,250,000 Ocwen Federal Bank, 12% due
6/15/2005 14,250,000 15,817,500 0.1
--------------- --------------- ------
23,623,500 25,157,500 0.2
Biotech- USD 7,200,000 Cetus Corporation (Euro),
nology Convertible 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 11,050,000 0.1
Energy USD 7,374,000 Transamerican Refining Corp.,
0% due 2/15/2002 (b) 5,966,680 6,489,120 0.1
USD 16,000,000 TransTexas Gas Corp., 11.50%
due 6/15/2002 16,000,000 17,600,000 0.1
--------------- --------------- ------
21,966,680 24,089,120 0.2
Financial USD 10,000,000 Ford Capital BV, 9.375% due
Services-- 1/01/1998 10,037,900 10,296,200 0.1
Captive
Healthcare USD 42,000,000 Omega Healthcare Investors
Inc., Convertible Bonds,
8.50% due 2/01/2001 42,052,500 45,990,000 0.4
Home- Baldwin Builders & Contractors:
building & USD 43,934,573 10.25% due 7/18/1997 43,934,573 41,737,844 0.3
Construction USD 10,000,000 11.25% due 7/18/1997 10,000,000 9,700,000 0.1
USD 31,950,000 Baldwin Co., Series B, 10.375%
due 8/01/2003 30,215,562 13,738,500 0.1
USD 37,500,000 Beazer Homes USA, Inc., 9%
due 3/01/2004 35,597,000 36,750,000 0.3
USD 13,750,000 Presley Companies, Senior
Notes, 12.50% due 7/01/2001 13,690,312 13,062,500 0.1
--------------- --------------- ------
133,437,447 114,988,844 0.9
Hospital USD 1,000,000 Novacare, Inc., Convertible
Management Bonds, 5.50% due 1/15/2000 857,500 900,000 0.0
<PAGE>
Industrial USD 28,100,000 AM General Corp., 0/12.875%
due 5/01/2002 (b) 25,798,220 21,075,000 0.2
USD 21,750,000 Crown Packaging Enterprises,
0/14% due 8/01/2006 (b) 9,022,974 4,567,500 0.0
USD 20,000,000 Crown Packaging Ltd., 10.75%
due 11/01/2000 20,000,000 18,150,000 0.1
USD 10,000,000 Easco Corp., 10% due 3/15/2001 10,005,000 10,150,000 0.1
USD 7,000,000 Envirotest Systems Corp.,
9.125% due 3/15/2001 5,568,750 6,615,000 0.1
USD 29,500,000 Genmar Holdings, Inc., 13.50%
due 7/15/2001 29,264,600 28,615,000 0.2
USD 71,500,000 International Semi-Tech
Microelectronics, Inc., 0/11.50%
due 8/15/2003 (b) 48,177,286 42,185,000 0.3
--------------- --------------- ------
147,836,830 131,357,500 1.0
Leisure-- USD 2,500,000 Prime Hospitality Corp.,
Restau- 9.25% due 1/15/2006 2,368,750 2,537,500 0.0
rant &
Lodging
Oil & PDV America, Inc.:
Related USD 35,000,000 7.25% due 8/01/1998 34,856,150 35,087,500 0.3
USD 10,000,000 7.75% due 8/01/2000 10,062,500 10,125,000 0.1
USD 15,000,000 Statia Terminals, 11.75% due
11/15/2003 15,000,000 15,825,000 0.1
USD 6,000,000 USX Marathon Oil Corp.,
Convertible Bonds, 7%
due 6/15/2017 5,650,000 6,030,000 0.1
--------------- --------------- ------
65,568,650 67,067,500 0.6
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued) (in US dollars)
<CAPTION>
Currency Face Percent of
COUNTRY Industries Denominations Amount Fixed-Income Securities Cost Value Net Assets
<S> <S> <S> <C> <S> <C> <C> <C>
United States Real Estate USD 3,000,000 Hysan Development Company
(concluded) Limited, Convertible Bonds,
6.75% due 6/01/2000 (n) $ 4,075,000 $ 3,885,000 0.0%
USD 23,345,939 RTC Commercial Mortgage,
Class C, 8.25% due
12/25/2020 (d) 22,988,454 22,412,101 0.2
--------------- --------------- ------
27,063,454 26,297,101 0.2
<PAGE>
Real Estate USD 24,500,000 Alexander Haagen Properties
Investment Inc., Exchangeable
Trusts Debentures, 7.25% due 12/27/2003 24,348,750 23,489,375 0.2
USD 7,000,000 Centerpoint Properties Corp.,
Convertible Bonds, 8.22%
due 1/15/2004 7,000,000 12,180,000 0.1
USD 30,000,000 First Union Real Estate,
8.875% due 10/01/2003 29,756,100 29,400,000 0.2
USD 25,000,000 First Washington Realty, 8.25%
due 6/27/1999 25,000,000 25,343,750 0.2
Health & Retirement Properties
Trust, Convertible Bonds:
USD 40,000,000 7.25% due 10/01/2001 40,000,000 41,200,000 0.3
USD 15,000,000 7.50% due 10/01/2003 15,000,000 15,450,000 0.1
LTC Properties, Inc.,
Convertible Bonds:
USD 10,000,000 8.25% due 1/01/1999 10,000,000 11,850,000 0.1
USD 10,000,000 8.50% due 1/01/2001 10,000,000 11,450,000 0.1
USD 12,500,000 8% due 7/01/2001 12,500,000 15,687,500 0.1
Malan Realty Investors, Inc.,
Convertible Bonds:
USD 27,000,000 8.50% due 7/01/2003 27,000,000 27,000,000 0.2
USD 4,750,000 9.50% due 7/15/2004 3,859,375 4,702,500 0.0
Meditrust, Convertible Bonds:
USD 9,415,000 8.54% due 7/01/2000 9,602,637 10,968,475 0.1
USD 10,000,000 7.50% due 3/01/2001 10,000,000 10,400,000 0.1
USD 5,000,000 Mid-Atlantic Realty Trust,
Convertible Bonds, 7.625% due
9/15/2003 4,875,000 4,925,000 0.0
USD 22,000,000 National Health Investors,
Convertible Bonds, 7.75% due
1/01/2001 22,000,000 26,510,000 0.2
USD 23,000,000 Nationwide Health Properties
Inc., Convertible Bonds, 6.25%
due 1/01/1999 22,800,000 23,460,000 0.2
USD 5,500,000 Sizeler Property Investors,
Inc., Convertible Bonds,
8% due 7/15/2003 5,505,000 5,060,000 0.0
--------------- --------------- ------
279,246,862 299,076,600 2.2
Resources USD 12,000,000 Freeport-McMoRan Resources,
8.75% due 2/15/2004 11,116,875 12,420,000 0.1
Retail-- USD 29,500,000 Coinstar Inc., 0/13% due
Miscellaneous 10/01/2006 (b)(k) 21,090,681 20,834,375 0.2
Savings Bank USD 21,400,000 First Federal Financial
Corporation, 11.75% due
10/01/2004 21,401,250 23,326,000 0.2
Steel USD 15,000,000 Bar Technologies Ltd., 13.50%
due 4/01/2001 13,898,344 15,600,000 0.1
<PAGE>
Telecommuni- Brooks Fiber Properties (b):
cations USD 29,635,000 0/10.875% due 3/01/2006 17,238,040 19,855,450 0.2
USD 4,750,000 0/11.875% due 11/01/2006 2,746,555 3,028,125 0.0
USD 28,500,000 Busse Broadcasting, 11.625%
due 10/15/2000 27,478,987 29,070,000 0.2
USD 15,500,000 Call Net Enterprise, Inc.,
0/13.25% due 12/01/2004 (b) 10,859,002 12,865,000 0.1
USD 76,000,000 CellNet Data Systems, Inc.,
0/13% due 6/15/2005 (b)(h) 42,768,597 52,250,000 0.4
Geotek Communications, Inc.:
USD 99,000,000 0/15% due 7/15/2005 (b) 48,074,547 63,112,500 0.5
USD 21,500,000 Convertible Bonds, 12%
due 2/15/2001 21,431,750 20,390,600 0.2
USD 25,000,000 Millicom International
Celular S.A., 0/13.50% due
6/01/2006 (b) 14,137,111 16,437,500 0.1
USD 38,500,000 Nextel Communications, Inc.,
0/9.75% due 8/15/2004 (b) 29,349,329 27,094,375 0.2
Teleport Communications
Group Inc.:
USD 3,000,000 9.875% due 7/01/2006 3,000,000 3,142,500 0.0
USD 31,250,000 0/11.125% due 7/01/2007 (b) 19,371,489 21,250,000 0.2
USD 10,000,000 Tevecap S.A., 12.625% due
11/26/2004 10,000,000 10,575,000 0.1
United International Holdings,
Inc. (b):
USD 39,250,000 0% due 11/15/1999 (f) 25,872,319 28,260,000 0.2
USD 11,000,000 Series B, 0% due 11/15/1999 7,543,932 7,920,000 0.1
United USN Inc. (b) :
USD 47,000,000 0/14% due 9/30/2003 (i) 30,646,407 29,140,000 0.2
USD 35,000,000 Convertible Bonds, 0/9%
due 9/30/2003 27,692,558 26,862,500 0.2
--------------- --------------- ------
338,210,623 371,253,550 2.9
Textiles USD 18,250,000 Texfi Industries, Inc., 8.75%
& Apparel due 8/01/1999 17,930,300 16,242,500 0.1
Trans- USD 10,625,000 Eletson Holdings Inc., 9.25%
portation/ due 11/15/2003 10,558,437 10,678,125 0.1
Shipping USD 19,250,000 Teekay Shipping Corporation,
8.32% due 2/01/2008 18,252,500 19,057,500 0.2
--------------- --------------- ------
28,810,937 29,735,625 0.3
Trucking USD 31,000,000 Ameritruck Distribution,
12.25% due 11/15/2005 30,577,575 31,387,500 0.2
<PAGE>
US Government Federal Home Loan Mortgage
& Agency Corp., REMIC (d)(g):
Obligations USD 4,910,000 1243-HP, 5.625% due 11/25/2015 4,788,017 4,822,504 0.0
USD 10,000,000 Series, 6.30% due 5/15/2008 9,210,937 9,307,812 0.1
Federal National Mortgage
Association (d):
USD 7,607,625 8% due 10/01/2024 7,264,094 7,764,495 0.1
USD 15,273,924 8% due 12/01/2024 15,004,243 15,588,872 0.1
US Treasury Notes & Bonds:
USD 341,100,000 6% due 5/31/1998 (c) 339,137,636 342,007,326 2.7
USD 150,000,000 6.125% due 8/31/1998 (c) 149,890,625 150,633,000 1.2
USD 200,000,000 5.75% due 12/31/1998 198,992,025 199,468,000 1.6
USD 55,000,000 7.875% due 8/15/2001 53,943,600 58,471,600 0.5
USD 25,000,000 6.25% due 2/15/2003 25,710,937 24,886,750 0.2
US Treasury STRIPS (b)(m):
USD 5,000,000 0% due 2/15/2019 1,205,690 1,077,200 0.0
USD 22,000,000 0% due 5/15/2000 17,778,672 18,056,940 0.1
--------------- --------------- ------
822,926,476 832,084,499 6.6
Video USD 104,025,000 CAI Wireless Systems, Inc.,
Services/ 12.25% due 9/15/2002 74,194,250 43,690,500 0.4
Telecommuni- USD 111,500,000 CS Wireless Systems, Inc.,
cations 0/11.375% due 3/01/2006 (b)(l) 53,728,944 39,582,500 0.3
People's Choice T.V. Corp. (b):
USD 3,980,000 0/13.125% due 6/01/2004 1,727,569 1,592,000 0.0
USD 40,450,000 0/13.125% due 6/01/2004 (o) 16,719,972 16,989,000 0.1
--------------- --------------- ------
146,370,735 101,854,000 0.8
Total Fixed-Income Securities
in the United States 2,225,901,451 2,224,323,776 17.5
Total Investments in
Fixed-Income Securities 4,604,900,636 4,794,030,685 37.7
</TABLE>
<PAGE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued) (in US dollars)
<CAPTION>
Currency Face Percent of
COUNTRY Denominations Amount Short-Term Securities Cost Value Net Assets
<S> <S> <S> <C> <S> <C> <C> <C>
United States Commercial USD 25,000,000 A I Credit, 5.27% due
Paper* 3/25/1997 $ 24,809,694 $ 24,809,694 0.2%
USD 25,000,000 AIG Funding Inc., 5.27%
due 3/25/1997 24,809,694 24,809,694 0.2
American Express Credit Corp.:
USD 50,000,000 5.32% due 3/07/1997 49,748,778 49,748,778 0.4
USD 50,000,000 5.31% due 3/28/1997 49,594,375 49,594,375 0.4
USD 50,000,000 Associates Corp. of North
America, 5.30% due 3/10/1997 49,727,639 49,727,639 0.4
USD 50,000,000 BBV Finance (Delaware), Inc.,
5.32% due 3/14/1997 49,697,056 49,697,056 0.4
USD 30,000,000 Bank of Montreal, 5.28% due
2/24/1997 29,898,800 29,898,800 0.2
Barclays U.S. Funding:
USD 35,000,000 5.33% due 3/04/1997 34,839,360 34,839,360 0.3
USD 15,000,000 5.31% due 3/14/1997 14,909,287 14,909,287 0.1
USD 50,000,000 5.29% due 3/25/1997 49,617,944 49,617,944 0.4
USD 25,000,000 Bayer Corp., 5.30% due
3/07/1997 24,874,861 24,874,861 0.2
USD 25,000,000 Bellsouth Corporation, 5.32%
due 3/14/1997 24,848,528 24,848,528 0.2
CIT Group Holdings, Inc. (The):
USD 30,000,000 5.41% due 2/14/1997 29,941,392 29,941,392 0.2
USD 40,000,000 5.34% due 2/20/1997 39,887,267 39,887,267 0.3
USD 40,000,000 5.33% due 2/21/1997 39,881,556 39,881,556 0.3
Caisse des Depots et
Consignations:
USD 20,000,000 5.33% due 2/04/1997 19,991,117 19,991,117 0.2
USD 20,000,000 5.32% due 2/06/1997 19,985,222 19,985,222 0.2
USD 60,000,000 5.33% due 2/10/1997 59,920,050 59,920,050 0.5
USD 20,000,000 5.31% due 3/07/1997 19,899,700 19,899,700 0.2
Cargill Inc.:
USD 25,000,000 5.32% due 3/07/1997 24,874,389 24,874,389 0.2
USD 12,967,000 5.30% due 3/10/1997 12,896,366 12,896,366 0.1
Ciesco, L.P.:
USD 45,000,000 5.43% due 2/07/1997 44,959,275 44,959,275 0.4
USD 25,000,000 5.32% due 2/19/1997 24,933,500 24,933,500 0.2
USD 10,000,000 5.30% due 3/03/1997 9,955,833 9,955,833 0.1
Daimler-Benz AG:
USD 20,000,000 5.43% due 2/14/1997 19,960,783 19,960,783 0.1
USD 30,000,000 5.30% due 3/10/1997 29,836,583 29,836,583 0.2
USD 60,000,000 Delaware Funding Corp.,
5.35% due 2/18/1997 59,848,417 59,848,417 0.5
USD 55,000,000 Disney Company (The), 5.27%
due 3/17/1997 54,645,739 54,645,739 0.4
du Pont (E.I.) de Nemours & Co:
USD 40,000,000 5.28% due 3/19/1997 39,730,133 39,730,133 0.3
USD 50,000,000 5.28% due 3/20/1997 49,655,333 49,655,333 0.4
Eiger Capital Corp.:
USD 52,000,000 5.33% due 3/14/1997 51,684,346 51,684,346 0.4
USD 50,000,000 5.30% due 3/24/1997 49,624,583 49,624,583 0.4
USD 100,000,000 Ford Motor Credit Co., 5.30%
due 3/03/1997 99,558,333 99,558,333 0.8
USD 14,150,000 France Telecom, 5.30% due
<PAGE> 2/21/1997 14,108,336 14,108,336 0.1
USD 51,994,000 General Electric Capital
Corp., 5.58% due 2/03/1997 51,977,882 51,977,882 0.4
USD 60,000,000 General Motors Acceptance
Corp., 5.40% due 2/10/1997 59,919,000 59,919,000 0.5
Glaxo Holdings PLC:
USD 17,000,000 5.30% due 2/03/1997 16,994,994 16,994,994 0.1
USD 15,000,000 5.30% due 3/24/1997 14,887,375 14,887,375 0.1
USD 50,000,000 5.30% due 3/25/1997 49,617,222 49,617,222 0.4
USD 22,000,000 5.31% due 3/27/1997 21,824,770 21,824,770 0.2
USD 50,000,000 Goldman Sachs Group L.P.,
5.33% due 3/07/1997 49,748,306 49,748,306 0.4
USD 40,000,000 IBM Credit Corp., 5.29%
due 3/21/1997 39,717,867 39,717,867 0.3
KFW International Finance Inc.:
USD 39,000,000 5.35% due 2/06/1997 38,971,021 38,971,021 0.3
USD 50,000,000 5.31% due 3/27/1997 49,601,750 49,601,750 0.4
Matterhorn Capital Corp.:
USD 40,000,000 5.30% due 3/06/1997 39,805,667 39,805,667 0.3
USD 10,000,000 5.30% due 3/11/1997 9,944,056 9,944,056 0.1
MetLife Funding Corp.:
USD 25,000,000 5.33% due 3/14/1997 24,848,243 24,848,243 0.2
USD 42,950,000 5.30% due 3/17/1997 42,671,780 42,671,780 0.2
USD 40,354,000 5.29% due 3/21/1997 40,069,370 40,069,370 0.3
Monsanto Company:
USD 47,000,000 5.30% due 3/13/1997 46,723,222 46,723,222 0.4
USD 12,600,000 5.33% due 3/13/1997 12,525,380 12,525,380 0.1
USD 50,000,000 Morgan Stanley Group, Inc.,
5.30% due 2/12/1997 49,919,028 49,919,028 0.4
National Australia Funding
(Delaware) Inc.:
USD 20,000,000 5.33% due 2/04/1997 19,991,117 19,991,117 0.2
USD 50,000,000 5.32% due 2/11/1997 49,926,111 49,926,111 0.4
USD 30,000,000 5.31% due 3/06/1997 29,853,975 29,853,975 0.2
Preferred Receivable Funding
Corp.:
USD 20,550,000 5.50% due 2/04/1997 20,540,581 20,540,581 0.2
USD 66,000,000 5.33% due 2/12/1997 65,892,512 65,892,512 0.5
USD 12,500,000 5.32% due 3/04/1997 12,442,736 12,442,736 0.1
USD 60,000,000 Procter & Gamble Co., 5.26%
due 3/19/1997 59,596,733 59,596,733 0.5
Sheffield Receivables Corp.:
USD 40,000,000 5.30% due 2/20/1997 39,888,111 39,888,111 0.3
USD 20,000,000 5.33% due 3/03/1997 19,911,167 19,911,167 0.1
USD 40,000,000 5.32% due 3/17/1997 39,739,911 39,739,911 0.3
USD 100,000,000 Shell Oil Co., 5.28% due
3/18/1997 99,340,000 99,340,000 0.8
Siemens Corporation AG:
USD 35,000,000 5.35% due 2/14/1997 34,932,382 34,932,382 0.3
USD 30,000,000 5.32% due 3/13/1997 29,822,667 29,822,667 0.2
<PAGE> USD 35,000,000 5.30% due 3/17/1997 34,773,278 34,773,278 0.3
USD 20,000,000 Transamerica Corporation,
5.28% due 2/21/1997 19,941,333 19,941,333 0.1
USD 50,000,000 UBS Finance Delaware, Inc.,
5.32% due 2/13/1997 49,911,333 49,911,333 0.4
Xerox Corp.:
USD 40,000,000 5.30% due 2/03/1997 39,988,222 39,988,222 0.3
USD 32,000,000 5.30% due 2/25/1997 31,886,933 31,886,933 0.3
USD 25,000,000 5.32% due 3/11/1997 24,859,611 24,859,611 0.2
Xerox Credit Corp.:
USD 30,000,000 5.32% due 2/13/1997 29,946,800 29,946,800 0.2
USD 23,000,000 5.30% due 3/07/1997 22,884,872 22,884,872 0.2
USD 30,000,000 5.32% due 3/11/1997 29,831,533 29,831,533 0.2
--------------- --------------- ------
2,708,823,120 2,708,823,120 21.3
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (concluded) (in US dollars)
<CAPTION>
Currency Face Percent of
COUNTRY Denominations Amount Short-Term Securities Cost Value Net Assets
<S> <S> <S> <C> <S> <C> <C> <C>
United States US Govern- USD 30,000,000 Federal Farm Credit Bank,
(concluded) ment & 5.23% due 4/01/1997 $ 29,742,858 $ 29,742,858 0.2%
Agency Federal Home Loan Bank:
Obligations* USD 24,500,000 5.26% due 2/03/1997 24,492,841 24,492,841 0.2
USD 60,000,000 5.20% due 2/13/1997 59,896,000 59,896,000 0.5
USD 50,000,000 5.20% due 3/06/1997 49,761,667 49,761,667 0.4
Federal Home Loan Mortgage
Corp.:
USD 3,161,000 5.23% due 2/10/1997 3,156,867 3,156,867 0.0
USD 60,000,000 5.22% due 2/13/1997 59,895,600 59,895,600 0.4
USD 50,000,000 5.19% due 2/19/1997 49,870,250 49,870,250 0.4
Federal National Mortgage
Association:
USD 30,000,000 5.26% due 2/03/1997 29,991,233 29,991,233 0.2
USD 10,000,000 5.29% due 2/07/1997 9,991,183 9,991,183 0.1
USD 60,000,000 5.26% due 2/10/1997 59,921,100 59,921,100 0.5
USD 61,050,000 5.27% due 2/11/1997 60,960,630 60,960,630 0.5
USD 40,000,000 5.23% due 2/14/1997 39,924,456 39,924,456 0.3
USD 10,000,000 5.26% due 2/20/1997 9,972,239 9,972,239 0.1
USD 54,000,000 5.24% due 3/04/1997 53,756,340 53,756,340 0.4
USD 40,000,000 5.19% due 3/07/1997 39,803,933 39,803,933 0.3
USD 25,000,000 Student Loan Marketing
Association, 5.22% due
3/10/1997 24,865,875 24,865,875 0.2
--------------- --------------- ------
<PAGE> 606,003,072 606,003,072 4.7
Total Investments in
Short-Term Securities 3,314,826,192 3,314,826,192 26.0
Total Investments 11,516,685,049 12,598,140,847 99.0
OPTIONS Nominal Value Premiums
WRITTEN Covered by Options Received
Call Options 100,000 Nikkei 225, expiring
Written March 1997 at 19,000 (216,907) (317,657) 0.0
250,000 Toy's 'R' Us,Inc., expiring
March 1997 at 25 (648,728) (359,375) 0.0
--------------- --------------- ------
(865,635) (677,032) 0.0
Put Options 50,000 Nikkei 225, expiring March
Written 1997 at 16,500 (185,295) (105,198) 0.0
50,000 Nikkei 225, expiring March
1997 at 16,000 (189,535) (80,445) 0.0
--------------- --------------- ------
(374,830) (185,643) 0.0
Total Options Written (1,240,465) (862,675) 0.0
Total Investments, Net of Options Written $11,515,444,584 12,597,278,172 99.0
===============
Short Sales (Proceeds--$59,512,762)** (57,314,335) (0.5)
Unrealized Appreciation on Forward Foreign Exchange Contracts*** 52,445,827 0.4
Variation Margin on Futures Contracts**** 9,421,371 0.1
Other Assets Less Liabilities 125,181,507 1.0
--------------- ------
Net Assets $12,727,012,542 100.0%
=============== ======
Net Asset Value: Class A--Based on net assets of $1,955,462,670
and 132,062,215 shares outstanding $ 14.81
===============
Class B--Based on net assets of $9,167,588,891
and 627,532,841 shares outstanding $ 14.61
===============
Class C--Based on net assets of $462,637,670 and
31,966,148 shares outstanding $ 14.47
===============
Class D--Based on net assets of $1,141,323,311 and
77,147,581 shares outstanding $ 14.79
===============
<PAGE>
<FN>
(a)Warrants entitle the Fund to purchase a predetermined number of
shares of stock/face amount of bonds at a predetermined price until
the expiration date.
(b)Represents a zero coupon or step bond. The interest rate on a
step bond represents the fixed-rate of interest that will commence
its accrual on a predetermined date until maturity.
(c)All or a portion of security held as collateral in conncection
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)Each $10 face amount contains 40 shares of First Place Tower.
(f)Each $1,000 face amount contains one warrant of United
International Holdings, Inc.
(g)Real Estate Mortgage Investment Conduits (REMIC).
(h)Each $1,000 face amount contains four warrants of CellNet Data
Systems, Inc.
(i)Each $1,000 face amount contains one warrant of United USN, Inc.
(j)Each $1,000 face amount contains one warrant of PLD Telekom, Inc.
(k)Each $1,000 face amount contains one warrant of Coinstar, Inc.
(l)Each $1,000 face amount contains 1.1 shares of common stock of CS
Wireless Systems, Inc.
(m)Separate Trading of Registered Interest and Principal of
Securities (STRIPS).
(n)Securities held as collateral in connection with covered short
sales.
(o)Each $1,000 face amount contains one warrant of People's Choice
T.V. Corp.
++American Depositary Receipts (ADR).
*Commercial Paper and certain US Government & Agency Obligations are
traded on a discount basis. The interest rates shown are the rates
in effect at January 31, 1997.
**Covered Short Sales entered into as of January 31, 1997 were as
follows:
Common
Shares Issue Value
1,610,000 Bank of East Asia $ (7,251,598)
924,000 Hysan Development (3,362,818)
2,552,000 NEC Corp. (29,899,671)
897,000 Yamanouchi Pharmaceuticals (16,800,248)
Total (Proceeds--$59,512,762) $(57,314,335)
============
***Forward Foreign Exchange Contracts as of January 31, 1997 were as
follows:
<PAGE>
Unrealized
Foreign Expiration Appreciation
Currency Sold Date (Depreciation)
CHF 23,000,000 February 1997 $ 1,326,569
CHF 50,000,000 April 1997 1,441,279
CHF 50,000,000 May 1997 (230,724)
DEM 430,000,000 February 1997 14,566,343
DEM 460,000,000 March 1997 10,472,682
DEM 125,000,000 April 1997 3,089,608
DKR 10,000,000 April 1997 56,029
ECU 30,000,000 February 1997 1,732,800
ECU 35,000,000 April 1997 476,680
ECU 40,000,000 May 1997 (112,200)
ESP 4,500,000,000 March 1997 1,532,954
FRF 80,000,000 February 1997 469,893
FRF 389,000,000 March 1997 1,141,260
FRF 345,000,000 April 1997 844,410
GBP 73,000,000 February 1997 3,421,293
GBP 78,000,000 April 1997 6,574,179
NLG 101,000,000 March 1997 2,396,222
NLG 52,000,000 May 1997 (123,925)
NOK 85,000,000 February 1997 56,351
NOK 20,000,000 March 1997 67,790
SKR 230,000,000 February 1997 1,907,666
SKR 235,000,000 April 1997 1,338,668
Total Unrealized Appreciation on Forward Foreign Exchange
Contracts--Net (USD Commitment--$1,471,918,419) $52,445,827
===========
****Financial Futures Contracts sold as of January 31, 1997 were as
follows:
Number of Expiration
Contracts Issue Exchange Date Value
100 JGB Tokyo March 1997 $104,249,175
290 Standard & Poor's
500 Index NYSE March 1997 114,187,500
Total Financial Futures Contracts Sold
(Total Contract Price--$211,211,693) $218,436,675
============
<PAGE>
Financial Futures Contracts purchased as of January 31, 1997
were as follows:
Number of Expiration
Contracts Issue Exchange Date Value
2,920 Nikkei 225 OSAKA March 1997 $441,854,785
Total Financial Futures Contracts Purchased
(Total Contracts Price--$430,849,587) $441,854,785
============
PORTFOLIO INFORMATION
Worldwide
Investments
As of 1/31/97
Percent Breakdown of Stocks &
Fixed-Income Securities by Percent of
Country Net Assets
United States* 63.0%
Germany 8.4
Japan 4.6
Argentina 3.9
United Kingdom 3.6
France 3.2
Italy 1.7
Canada 1.4
Netherlands 1.0
Switzerland 0.8
Australia 0.7
Sweden 0.7
Indonesia 0.7
Russia 0.7
Finland 0.7
Mexico 0.7
Brazil 0.6
Spain 0.6
Hong Kong 0.5
Portugal 0.5
Norway 0.3
South Korea 0.2
<PAGE>
Malaysia 0.1
Philippines 0.1
India 0.1
South Africa 0.1
Austria 0.1
New Zealand 0.0**
Denmark 0.0**
Ireland 0.0**
-----
Total 99.0%
=====
<FN>
*Includes investments in short-term securities.
**Holdings are less than 0.1%
Ten Largest Holdings Percent of
(Equity Investments) Net Assets
Noble Drilling Corp. 0.7%
Societe Generale 0.6
Republic New York Corp. 0.6
Internationale Nederlanden
Groep N.V. 0.5
Mellon Bank Corp. 0.5
Key Corp. 0.5
Entergy Corp. 0.4
First Commerce Corp. 0.4
Glendale Federal Savings Bank 0.4
US Surgical Corp. (Convertible) 0.3
Ten Largest Industries Percent of
(Equity Investments) Net Assets
Banking++ 5.6%
Insurance 3.7
Utilities--Electric & Gas 1.8
Telecommunications 1.5
Energy & Petroleum 1.1
Oil Services 1.0
Healthcare Services 0.9
Pharmaceuticals 0.8
Retail Stores 0.7
Industrial 0.7
<PAGE>
<FN>
++Includes savings banks.
COMMON STOCK PORTFOLIO CHANGES
For the Quarter Ended January 31, 1997
Additions
Allianz AG Holding
Allied Domecq PLC
Alumax, Inc.
Bank of East Asia
BayCorp Holdings, Ltd.
Brinker International, Inc.
CS Wireless Systems, Inc.
California Federal Bank (Series A)
CellNet Data Systems, Inc.
Deltic Timber Corporation
Deutsche Telekom AG
Glenayre Technologies, Inc.
Input/Output, Inc.
Korea Fund, Inc.
Lend Lease Corporation Limited
Mapfre S.A. (New Shares)
*Price/Cost Co., Inc.
*Roberts Pharmaceutical Corporation
Rogers Cantel Mobile Communications Inc.
Saurer AG (Registered)
Seat S.p.A.
Seat S.p.A.--RISP
Telecel-Communicacaoes Pessoais, S.A.
Thyssen AG
Transitional Hospitals Corp.
*Trizec Hahn Corp.
Walden Residential Properties, Inc.
(Warrants)
Wireless One, Inc. (Warrants)
*Yamanovichi Pharmaceutical Co., Ltd.
<PAGE>
Deletions
Advantest Corporation
Aegon N.V.
Alexander & Alexander Services, Inc.
Bankers Trust Co.
Banco de Santander S.A. (Ordinary)
Bayer AG
CarrAmerica Realty Corp.
Chase Manhattan Corporation (New)
Ciba-Geigy AG (Registered)
Community Psychiatric Centers
Dayton-Hudson Corp.
Deutsche Bank AG (Warrants)
Empresa Nacional de Electricidad
S.A. (Endesa)
Espirito Santo Financial Holdings
S.A. (ADR)(USD)
Filippo Fochi S.p.A.
First Union Real Estate Investments
Fortis Amev N.V.
Great Bay Power Corp.
Guangshen Railway Company Limited
(ADR)(USD)
Halliburton Company
Hanson PLC (Ordinary)
Helmerich & Payne, Inc.
Hoechst AG
Horsham Corp. (USD)
Imperial Tobacco Group PLC
Nuevo Energy Co.
*Price/Cost Co., Inc.
Progress Software Corporation
*Roberts Pharmaceutical Corporation
Sandoz AG (Registered)
Stadshypotek AB
Tencor Instruments
Texas Instruments, Inc.
Tokyo Electron Limited
*Trizec Hahn Corp.
Unocal Corp.
*Yamanovichi Pharmaceutical, Co. Ltd.
York International Corp. (New)
<FN>
*Added and deleted in the same quarter.
</TABLE>
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