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MERRILL LYNCH
GLOBAL
ALLOCATION
FUND, INC.
FUND LOGO
Quarterly Report
July 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.
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 7/31/97
<CAPTION>
Percent of Fund's Portfolio Reference Portfolio
7/31/97 4/30/97 Percentages
<S> <C> <C> <C>
North & South American Equities 19.3%* 18.4%* 36.0%
European Equities 9.3 9.7 11.0
Pacific Basin Equities 5.4 5.4 13.0
Total Equities 34.0 33.5 60.0
US Dollar Denominated Fixed-Income Securities 34.3 36.3 24.0
US Issuers 25.7 26.9 --
Non-US Issuers 8.6 9.4 --
Non-US Dollar Denominated Fixed-Income Securities 8.1 9.6 16.0
Total Fixed-Income Securities 42.4++ 45.9++ 40.0
Cash & Cash Equivalents 23.6 20.6 --
<FN>
*Includes value of Stock Index Futures.
++Includes Preferred Stock.
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, MA 02109
Transfer Agent
Merrill Lynch Financial Data Services, Inc.
4800 Deer Lake Drive East
Jacksonville, FL 32246-6484
(800) 637-3863
DEAR SHAREHOLDER
During the quarter ended July 31, 1997, Merrill Lynch Global
Allocation Fund, Inc.'s Class A, Class B, Class C and Class D Shares
had total returns of +9.07%, +8.83%, +8.83% and +9.03%, respectively.
(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 5--6 of this report to shareholders.)
Portfolio Matters
The three-month period ended July 31, 1997 was marked by strong
equity markets in the United States and Europe; strong bond markets
in the United States, Europe and Japan; and a strong US dollar,
especially relative to the Deutschemark and other European
currencies. During the July quarter, the consensus view of the US
economy changed. Concerns regarding accelerating growth, tight labor
markets, future inflation and possible monetary policy tightening by
the Federal Reserve Board dissipated in favor of a much more
sanguine outlook for moderate economic growth with minimal inflation
and little risk of increases in short-term interest rates. This
shift in economic expectations, combined with forecasts of improved
corporate profits, created the backdrop for higher equity prices in
the United States. The unmanaged Standard & Poor's 500 Composite
Index had a +19.58% total return for the three-month period. Major
European stock markets also showed significant gains. For example,
the UK stock market rose 10.5%, the French stock market appreciated
approximately 16%, and the German stock market registered
approximately a +28% total return.
The Fund's equity exposure was little changed during the July
quarter at 34.0% of net assets, compared to 33.5% at the end of the
April 30, 1997 quarter. We continue to believe that equity markets,
particularly in the United States, offer few attractively valued new
investment opportunities. Therefore, the Fund continues to hold a
relatively small proportion of its assets in US stocks and stocks in
general. In addition to holding equities, the Fund also holds
convertible bonds and convertible preferred stocks which effectively
increase its exposure to stock markets. Convertibles made up 9.3% of
net assets at July quarter-end. In many cases, we find that
convertible securities fit well into our investment strategy. Since
a convertible bond or convertible preferred stock can be exchanged
into its underlying common stock, changes in the market value of the
underlying common stock generally affect a convertible's price.
Thus, if the price of the underlying stock increases, the price of
the convertible may rise as well, but usually less than the
underlying stock. In addition, convertible securities generally
offer a higher yield than the company's common stock. A convertible
tends to provide downside price protection as compared to its
underlying common stock, because of its typically higher yield,
seniority in the company's capital structure, and eventual maturity
in the case of bonds and fixed-term preferreds. Seniority means that
holders of convertible securities have a claim on the assets of the
issuer prior to common stockholders (but this may be subordinated to
other non-convertible securities of the same issuer). This senior
position may also help to limit the convertible's downside risk if
the price of the underlying common stock falls.
Although the Fund took some profits in US stocks during the July
quarter, subsequent appreciation of the remaining holdings largely
replaced the weighting of the stocks sold. We eliminated some of the
Fund's holdings in US healthcare stocks during the quarter,
primarily large-capitalization pharmaceuticals whose shares had
appreciated strongly this year and reached our price targets. Profit
taking also motivated sales of several of the Fund's investments in
energy and oil service stocks.
We purchased shares of several US telecommunications companies,
specifically GTE Corp., Citizens Utilities Company and General
Communication, Inc. In our view, shares of these companies were
selling at reasonable valuations, and each is positioning itself to
provide integrated local and long-distance telephone services to its
respective market.
The Fund ended the July quarter with a slightly higher European
equity exposure. One notable change in our European holdings is the
reduction in the position in Internationale Nederlanden Groep N.V.,
a long-time Fund investment. Shares of this Dutch financial services
firm have risen significantly, so we took the opportunity to sell.
We also took profits or sold other long-term holdings that performed
well, most notably in Spain.
Although the Fund's fixed-income exposure was virtually constant in
dollar terms throughout the July quarter, fixed-income investments
declined slightly as a percentage of the portfolio to 42.4% of net
assets. As noted in recent reports to shareholders, we continue to
favor higher-quality bond investments, since the yield spread of
corporate bonds relative to Treasury securities is narrow enough to
lead us to prefer the high credit quality and liquidity of Treasury
issues.
During the quarter, we purchased Treasury Inflation Protected
Securities (TIPS) for the first time. These securities were first
issued by the United States in January 1997, although other
countries, such as the United Kingdom, Canada and New Zealand, have
issued similar securities for some time. TIPS are indexed to the
Consumer Price Index (CPI), which means that their face value
increases by the same percentage amount as the CPI. Real (CPI-
adjusted) interest rates on TIPS have increased significantly since
January as investors' near-term inflationary concerns eased. As a
result, we were able to purchase both five-year and ten-year TIPS at
attractive prices.
In Europe, we took profits in some of our German government bond
holdings and purchased UK government issues. The announcement by the
new Labour government that the Bank of England will be granted
significantly greater independence, combined with higher interest
rates in the United Kingdom, caused us to favor UK bonds over German
issues.
In Asia, we continue to believe that Japanese government bonds offer
little potential return with a high level of risk. Therefore, the
Fund has no direct Japanese government bond investments. However,
the Fund owns several Japanese convertible bonds that we believe
offer a better risk/reward ratio than their underlying common
stocks.
During the quarter, we significantly reduced the portfolio's
currency hedge against declines in the Deutschemark relative to the
US dollar. With the US dollar's strong appreciation relative to
European currencies, we believe that the US currency is no longer
nearly as undervalued as has been the case for some time. When the
US dollar was more undervalued, we had protected the portfolio by
hedging a larger portion of our foreign currency exposure; this
protection is less useful as the US dollar moves into a more fairly
valued range.
In Conclusion
We thank you for your investment in Merrill Lynch Global Allocation
Fund, Inc., and we look forward to reviewing our outlook and
strategy with you again in our upcoming annual report to
shareholders.
Sincerely,
(Arthur Zeikel)
Arthur Zeikel
President
(Bryan N. Ison)
Bryan N. Ison
Vice President and
Portfolio Manager
September 12, 1997
LONG-TERM PERFORMANCE FOCUS
One way to measure Merrill Lynch Global Allocation Fund, Inc.'s
success in achieving an attractive risk/return balance is to compare
the Fund's performance relative to the components of its benchmark
index, as shown in the tables below. The left-hand table updates the
5-year results presented in the April 30, 1997 semi-annual report
and compares the 5 1/2-year average annual total returns on the
Fund's Class A Shares with those of US stocks, foreign stocks,
foreign bonds, and five-year US Treasury bonds. The right-hand table
compares the 5 1/2-year annualized volatility, or standard
deviation, of the Fund's Class A Shares with those of the component
indexes. Standard deviation measures the variability of returns and
is a generally accepted proxy for risk.
As the two tables show, compared to the benchmark components, the
Fund's Class A Shares achieved the second-highest total return for
the period shown while also experiencing the second-lowest level of
volatility. For example, the Fund experienced less than half the
volatility of US stocks while achieving an average annual total
return that was only modestly less than the US stock index. Viewed
from another perspective, the Fund's volatility over the period was
not significantly greater than that of five-year Treasury notes, but
its average annual total return was more than twice as high. The
Fund's management will continue to seek to limit the Fund's
volatility in the future, although past performance is not
predictive of future results.
5 1/2-Year Average Annual Total Return*
Highest US Stocks +17.66%
ML Global Allocation Fund--Class A Shares +14.31
Foreign Stocks + 9.31
Foreign Bonds + 8.18
Lowest Five-Year US Treasury Notes + 5.70
5 1/2-Year Annualized Volatility*
Five-Year US Treasury Notes 4.30% Lowest
ML Global Allocation Fund--Class A Shares 4.39
Foreign Bonds 7.73
US Stocks 9.31
Foreign Stocks 11.80 Highest
<FN>
*For the 5 1/2 years ended June 30, 1997. Please see pages 5--6 of
this report to shareholders for complete performance information for
all classes of shares for Merrill Lynch Global Allocation Fund, Inc.
Fund average annual total returns do not reflect sales charges, and
would be lower if sales charges were included.
US stocks are represented by the S&P 500, an unmanaged market
capitalization-weighted total return index composed of 500 widely
held stocks on the New York Stock Exchange, American Stock Exchange,
and the over-the-counter market. Foreign bonds are represented by
the Salomon Brothers Non-Dollar World Government Bond Index, an
unmanaged market capitalization-weighted index tracking 10
government bond indexes, excluding the United States. Foreign stocks
are represented by the Financial Times/S&P Actuaries World Index (ex-
US), an unmanaged market capitalization-weighted index composed of
over 1,800 companies in 24 countries, excluding the United States.
Volatility is measured by standard deviation, the annualized
variability of individual monthly returns versus average monthly
returns. Volatility is for five-year US Treasury notes with constant
maturity.
Past performance is not predictive of future results.
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. Figures shown in the "Average Annual Total
Return" tables assume reinvestment of all dividends and capital
gains distributions at net asset value on the ex-dividend date.
Investment return and principal value of shares will fluctuate so
that shares, when redeemed, may be worth more or less than their
original cost. Dividends paid to each class of shares will vary
because of the different levels of account maintenance,
distribution and transfer agency fees applicable to each class,
which are deducted from the income available to be paid to
shareholders.
Average Annual
Total Return
% Return Without % Return With
Sales Charge Sales Charge**
Class A Shares*
Year Ended 6/30/97 +18.21% +12.01%
Five Years Ended 6/30/97 +14.31 +13.08
Inception (2/3/89) through 6/30/97 +14.58 +13.85
<FN>
*Maximum sales charge is 5.25%.
**Assuming maximum sales charge.
% Return % Return
Without CDSC With CDSC**
Class B Shares*
Year Ended 6/30/97 +16.96% +12.96%
Five Years Ended 6/30/97 +13.14 +13.14
Inception (2/3/89) through 6/30/97 +13.42 +13.42
<FN>
*Maximum contingent deferred sales charge is 4% and is reduced to 0%
after 4 years.
**Assuming payment of applicable contingent deferred sales charge.
% Return % Return
Without CDSC With CDSC**
Class C Shares*
Year Ended 6/30/97 +17.05% +16.05%
Inception (10/21/94) through 6/30/97 +15.97 +15.97
<FN>
*Maximum contingent deferred sales charge is 1% and is reduced to 0%
after 1 year.
**Assuming payment of applicable contingent deferred sales charge.
% Return Without % Return With
Sales Charge Sales Charge**
Class D Shares*
Year Ended 6/30/97 +17.91% +11.72%
Inception (10/21/94) through 6/30/97 +16.89 +14.57
<FN>
*Maximum sales charge is 5.25%.
**Assuming maximum sales charge.
PERFORMANCE DATA (concluded)
</TABLE>
<TABLE>
Recent
Performance
Results
<CAPTION>
Net Asset Value Total Return
7/31/97 4/30/97 7/31/96 12-Month 3-Month
<S> <C> <C> <C> <C> <C>
ML Global Allocation Fund, Inc. Class A Shares* $15.92 $14.93 $14.36 +22.63%(1) + 9.07%(2)
ML Global Allocation Fund, Inc. Class B Shares* 15.70 14.69 14.18 +21.44(3) + 8.83(4)
ML Global Allocation Fund, Inc. Class C Shares* 15.54 14.55 14.06 +21.44(5) + 8.83(6)
ML Global Allocation Fund, Inc. Class D Shares* 15.90 14.90 14.34 +22.38(7) + 9.03(8)
US Stocks: Standard & Poor's 500 Index** +52.02 +19.58
Non-US Stocks: Financial Times/Standard & Poor's--
Actuaries World Index (Ex-US)*** +18.63 +14.44
US Bonds: ML Government Index GA05**** + 9.15 + 4.40
Non-US Bonds: Salomon Brothers World Government Bond Index (Ex-US)***** - 3.18 + 2.22
<FN>
*Investment results shown do not reflect sales charges; results
shown would be lower if a sales charge was included.
**An unmanaged broad-based index comprised of common stocks. Total
investment returns for unmanaged indexes are based on estimates.
***An unmanaged capitalization-weighted index comprised of over
1,800 companies in 24 countries, excluding the United States.
****An unmanaged index designed to track the total return of the
current coupon five-year US Treasury bond.
*****An unmanaged market capitalization-weighted index tracking 10
government bond indexes, excluding the United States.
(1)Percent change includes reinvestment of $0.996 per share ordinary
income dividends and $0.530 per share capital gains distributions.
(2)Percent change includes reinvestment of $0.358 per share ordinary
income dividends.
(3)Percent change includes reinvestment of $0.845 per share ordinary
income dividends and $0.530 per share capital gains distributions.
(4)Percent change includes reinvestment of $0.283 per share ordinary
income dividends.
(5)Percent change includes reinvestment of $0.859 per share ordinary
income dividends and $0.530 per share capital gains distributions.
(6)Percent change includes reinvestment of $0.291 per share ordinary
income dividends.
(7)Percent change includes reinvestment of $0.959 per share ordinary
income dividends and $0.530 per share capital gains distributions.
(8)Percent change includes reinvestment of $0.340 per share ordinary
income dividends.
</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
ECU European Currency Unit
ESP Spanish Peseta
FRF French Franc
GBP Great Britain Pound
HDK Hong Kong Dollar
ITL Italian Lira
JPY Japanese Yen
NLG Netherlands Guilder
NOK Norwegian Krone
NZD New Zealand Dollar
SEK 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 480,000 Yacimientos Petroliferos
Fiscales S.A. (ADR)++ (USD) $ 10,296,490 $ 15,540,000 0.1%
Total Common Stocks in
Argentina 10,296,490 15,540,000 0.1
Australia Banking 2,645,800 Westpac Banking Corp. 5,614,396 17,221,945 0.1
Building & 1,636,577 Lend Lease Corporation
Construction Limited 27,280,912 37,137,794 0.3
Foods 7,916,000 Goodman Fielder Wattie Ltd. 8,324,587 12,158,212 0.1
Insurance 1,614,135 GIO Australia Holdings, Ltd. 2,786,182 4,975,135 0.0
Multi-Industry 1,500,000 Pacific Dunlop, Ltd. 4,092,789 4,131,975 0.0
Tobacco 1,689,800 Rothmans Holdings, Ltd. 6,042,681 10,064,449 0.1
1,242,300 WD & HO Wills Holdings, Ltd. 1,389,502 1,849,785 0.0
--------------- --------------- ------
7,432,183 11,914,234 0.1
Total Common Stocks in
Australia 55,531,049 87,539,295 0.6
Canada Beverages 1,900,000 Cott Corp. (USD) 15,484,918 18,643,750 0.1
Metals--Non-Ferrous 100,000 Inco Ltd. (USD) 2,132,000 3,093,750 0.0
Paper 3,250,000 Repap Enterprises
Inc. (USD) 12,879,320 406,250 0.0
Specialty Retailing 280,000 Semi-Tech Corporation
(Class A) 4,108,297 796,295 0.0
Telecommunications 200,000 BCE Telecommunications, Inc.
(USD) 3,375,484 6,087,500 0.1
1,165,200 Rogers Cantel Mobile
Communications Inc. (Class B)
(CAD) 22,391,634 23,904,349 0.2
864,000 Rogers Cantel Mobile
Communications Inc. (Class B)
(USD) 14,888,350 17,820,000 0.1
4,543,700 Rogers Communications Inc. 39,359,870 35,181,699 0.3
--------------- --------------- ------
80,015,338 82,993,548 0.7
Total Common Stocks
in Canada 114,619,873 105,933,593 0.8
Finland Metals 576,930 Outokumpu OY 8,651,262 10,966,647 0.1
Paper & 1,091,956 Enso-Gutzeit OY 9,056,358 9,919,252 0.1
Forest Products 2,909,250 Metsa Serla OY 'B' 23,657,400 25,523,468 0.2
--------------- --------------- ------
703,225 UPM-Kymmene OY 13,932,754 17,069,067 0.1
46,646,512 52,511,787 0.4
Telecommunications 250,000 Nokia Corp. (ADR)++ (USD) 8,318,438 21,406,250 0.1
Equipment 186,360 Nokia OY 8,998,615 16,077,263 0.1
--------------- --------------- ------
17,317,053 37,483,513 0.2
Total Common Stocks in
Finland 72,614,827 100,961,947 0.7
France Automobiles 138,396 Peugeot S.A. 16,287,620 16,002,638 0.1
Banking 173,900 Compagnie Financiere
de Paribas S.A. 9,343,179 12,497,255 0.1
670,386 Societe Generale de
France S.A. 70,741,651 88,559,114 0.6
--------------- --------------- ------
80,084,830 101,056,369 0.7
Electronics 91,021 SGS-Thomson
Microelectronics N.V. 4,196,067 8,246,307 0.1
Energy & Petroleum 161,894 Alcatel Alsthom Cie
Generale d'Electricite S.A. 14,347,111 21,151,165 0.2
157,210 Elf Aquitaine (Elf) S.A. 11,348,994 17,949,593 0.1
--------------- --------------- ------
25,696,105 39,100,758 0.3
Engineering & 153,620 Bouygues S.A. 15,092,345 13,123,765 0.1
Construction
Foods/Food Processing 61,600 Groupe Danone S.A. 9,786,153 9,729,143 0.1
Hotel/Leisure 88,334 Accor S.A. 12,357,383 13,295,321 0.1
</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>
France Insurance 503,171 Assurances Generales de
(concluded) France S.A. (AGF) $ 16,032,715 $ 18,080,092 0.1%
314,456 Axa S.A.--UAP 19,659,982 20,572,030 0.1
--------------- --------------- ------
35,692,697 38,652,122 0.2
Metals/Steel 1,047,115 Usinor-Sacilor S.A. 15,619,849 20,884,129 0.2
Multi-Industry 35,577 EuraFrance S.A. 9,934,891 14,639,417 0.1
Retail-- 54,440 Castorama Dubois Investisse 7,307,525 6,523,446 0.0
Home Improvement
Total Common Stocks in
France 232,055,465 281,253,415 2.0
Germany Airlines 193,213 Deutsche Lufthansa AG 2,718,483 3,899,200 0.0
Automotive 27,490 Volkswagen AG 10,299,438 21,052,857 0.2
Banking 55,680 Bayerische Vereinsbank AG 1,339,965 3,063,173 0.0
Capital Goods 369,636 Kloeckner-Werke AG 17,229,762 27,482,605 0.2
Chemicals 101,451 Henkel KGaA 4,390,556 5,144,664 0.0
Engineering & 31,190 Philipp Holzmann AG 11,862,331 9,343,919 0.1
Construction
Metals/Steel 133,774 Thyssen AG 27,799,392 30,494,264 0.2
Retail 29,472 Karstadt AG 10,289,552 11,478,011 0.1
Telecommunications 197,100 Deutsche Telekom AG 3,748,649 4,680,843 0.0
Total Common Stocks in
Germany 89,678,128 116,639,536 0.8
Hong Kong Agriculture 31,924,000 C.P. Pokphand Co. Ltd.
(Ordinary) 11,031,647 9,380,922 0.1
Banking 396,982 HSBC Holdings PLC 4,021,165 13,844,632 0.1
Conglomerates 1,804,500 Hutchison Whampoa Ltd. 12,927,769 17,597,488 0.1
Total Common Stocks in
Hong Kong 27,980,581 40,823,042 0.3
Indonesia Paper & Pulp 2,669,600 Asia Pacific Resources
International Holdings Ltd.
(NY Registered Shares) (USD) 18,325,968 11,345,800 0.1
1,615,000 Asia Pulp & Paper Company Ltd.
(ADR)++ (USD) 18,572,500 21,903,438 0.1
Total Common Stocks in
Indonesia 36,898,468 33,249,238 0.2
Italy Banking 3,130,440 Istituto Bancario San
Paolo di Torino S.p.A. 19,845,879 24,110,547 0.2
1,813,400 Istituto Mobiliare Italiano
S.p.A. (Ordinary) 13,339,979 17,509,039 0.1
--------------- --------------- ------
33,185,858 41,619,586 0.3
Insurance 906,772 Assicurazioni Generali S.p.A. 16,525,125 18,573,201 0.1
6,281,552 Istituto Nazionale della
Assicurazioni (INA) S.p.A. 9,455,080 9,115,131 0.1
--------------- --------------- ------
25,980,205 27,688,332 0.2
Multi-Industry 9,117,595 Compagnie Industriali
Riunite S.p.A. (CIR) 7,816,550 6,106,384 0.0
22,261,389 MontEdison S.p.A. 18,196,087 14,312,890 0.1
--------------- --------------- ------
26,012,637 20,419,274 0.1
Publishing 3,000,000 Seat S.p.A. 1,088,139 1,073,252 0.0
8,666,863 Seat S.p.A--RISP 2,411,987 2,029,161 0.0
--------------- --------------- ------
3,500,126 3,102,413 0.0
Telecommunications 3,958,000 TIM S.p.A. 1,395,818 13,364,532 0.1
3,751,300 TIM S.p.A.--RISP 3,831,835 6,490,320 0.1
5,198,888 Telecom Italia S.p.A. 12,145,121 33,077,891 0.2
8,322,588 Telecom Italia S.p.A.--RISP 15,895,748 29,750,901 0.2
--------------- --------------- ------
33,268,522 82,683,644 0.6
Total Common Stocks in
Italy 121,947,348 175,513,249 1.2
Japan Automobiles & 3,282,000 Suzuki Motor Corp. 30,510,247 39,882,532 0.3
Equipment
Beverages 1,117,000 Chukyo Coca-Cola
Bottling Co., Ltd. 13,019,432 9,331,899 0.1
565,000 Hokkaido Coca-Cola
Bottling Co., Ltd. 7,764,597 7,056,540 0.0
790,000 Kinki Coca-Cola
Bottling Co., Ltd. 11,999,955 10,533,333 0.1
1,243,000 Mikuni Coca-Cola
Bottling Co., Ltd. 17,391,669 16,468,439 0.1
1,004,000 Sanyo Coca-Cola
Bottling Co., Ltd. 14,326,160 12,708,861 0.1
--------------- --------------- ------
64,501,813 56,099,072 0.4
Capital Goods 4,118,000 Mitsubishi Heavy
Industries, Inc. 25,214,471 29,017,131 0.2
Chemicals 34,000 Shin-Etsu Chemical Co., Ltd. 657,132 969,789 0.0
Consumer Products 50,000 Amway Japan Limited
(Premium Exchangeable
Participating Shares) (USD) 721,750 831,250 0.0
Electrical 1,088,000 Chudenko Corp. 29,272,509 24,698,059 0.2
Construction 1,386,000 Kinden Corporation 21,348,708 19,883,544 0.1
34,000 Taihei Dengyo Kaisha, Ltd. 637,020 187,072 0.0
--------------- --------------- ------
51,258,237 44,768,675 0.3
Electrical Equipment 593,000 Murata Manufacturing
Co., Ltd. 19,275,913 27,873,502 0.2
Financial Services 879,000 Nomura Securities Co., Ltd. 11,893,928 12,461,772 0.1
Industrial 28,000 Miura Kogyo Co., Ltd. 466,635 380,422 0.0
14,500 Nitto Kohki Co., Ltd. 488,740 429,494 0.0
--------------- --------------- ------
955,375 809,916 0.0
Insurance 2,897,000 Dai-Tokyo Fire & Marine
Insurance Co., Ltd. 17,990,037 16,917,502 0.1
1,780,000 Fuji Fire & Marine
Insurance Co., Ltd. 7,765,514 7,014,852 0.0
4,465,000 Koa Fire & Marine
Insurance Co., Ltd. 22,677,921 25,998,734 0.2
765,000 Mitsui Marine & Fire
Insurance Co., Ltd. 5,730,161 5,248,481 0.0
3,508,000 Nichido Fire & Marine
Insurance Co., Ltd. 20,622,267 24,541,198 0.2
4,418,000 Nippon Fire & Marine
Insurance Co., Ltd. 18,814,331 22,481,468 0.2
7,315,000 Sumitomo Marine & Fire
Insurance Co., Ltd. 46,067,731 55,865,612 0.4
2,368,000 Tokio Marine & Fire
Insurance Co., Ltd. 25,707,953 30,174,515 0.2
4,831,000 Yasuda Fire & Marine
Insurance Co., Ltd. 25,055,075 31,513,612 0.2
--------------- --------------- ------
190,430,990 219,755,974 1.5
Office Equipment 1,612,000 Canon, Inc. 23,455,745 51,420,759 0.4
Packaging & 1,003,000 Toyo Seikan Kaisha, Ltd. 23,381,176 16,843,629 0.1
Containers
Pharmaceuticals 1,061,000 Sankyo Pharmaceuticals
Co., Ltd. 23,391,365 37,873,671 0.2
384,000 Taisho Pharmaceuticals Co. 7,984,458 10,013,165 0.1
--------------- --------------- ------
31,375,823 47,886,836 0.3
Restaurants 391,000 Mos Food Services, Inc. 8,783,559 6,566,160 0.1
310,000 Ohsho Food Service Corp. 6,834,314 4,394,937 0.0
--------------- --------------- ------
15,617,873 10,961,097 0.1
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued) (in US dollars)
<CAPTION>
Shares Percent of
COUNTRY Industries Held Common Stocks Cost Value Net Assets
<S> <S> <C> <S> <C> <C> <C>
Japan Retail Stores 460,000 Ito Yokado Co., Ltd. $ 21,319,319 $ 26,202,532 0.2%
(concluded) 100,000 Sangetsu Co., Ltd. 3,160,832 1,864,979 0.0
--------------- --------------- ------
24,480,151 28,067,511 0.2
Steel 266,000 Maruichi Steel Tube Ltd. 5,107,698 4,444,557 0.0
Total Common Stocks in Japan 518,838,322 592,094,002 4.1
Mexico Conglomerates 433,800 Grupo Carso, S.A. de C.V.
(ADR)++ (USD) 3,832,850 6,886,575 0.1
Finance 6,054 Grupo Financiero Inbursa,
S.A. de C.V. (ADR)++ (USD) 121,464 139,242 0.0
Foods 700,000 Grupo Industrial Maseca
(ADR)++ (USD) 7,969,925 12,950,000 0.1
Telecommunications 433,800 Global Telecommunications
Solutions, Inc. (ADR)++ (USD) 2,060,550 3,687,300 0.0
Total Common Stocks in Mexico 13,984,789 23,663,117 0.2
Netherlands Chemicals 143,576 Akzo N.V. 17,876,528 22,280,950 0.2
288,070 European Vinyls Corp.
International N.V. 11,384,340 6,716,802 0.0
--------------- --------------- ------
29,260,868 28,997,752 0.2
Electronics 454,403 Philips Electronics N.V. 19,352,744 36,929,036 0.3
Distribution
Forest Products 585,110 Koninklijke KNP N.V. 13,194,672 13,472,928 0.1
Insurance 958,493 Internationale Nederlanden
Groep N.V. 15,908,091 46,737,662 0.3
Miscellaneous-- 10,000 Nijverdal Ten Cate N.V. 501,699 553,406 0.0
Manufacturing
Telecommunications 353,519 Royal PTT Nederland N.V. 12,931,144 14,536,143 0.1
Transportation 111,846 Koninklijke Pakhoed N.V. 4,339,539 4,057,880 0.0
Total Common Stocks in the
Netherlands 95,488,757 145,284,807 1.0
Norway Banking 4,785,400 Christiania Bank Og
Kreditkasse 10,697,335 16,900,439 0.1
2,434,000 Den Norske Bank ASA 7,189,721 10,257,772 0.1
Total Common Stocks in Norway 17,887,056 27,158,211 0.2
Portugal Banking 606,407 Banco Comerciale Portugues 8,623,735 11,582,210 0.1
Telecommunications 41,000 Telecel-Comunicacaoes
Pessoais, S.A. 2,073,605 3,215,903 0.0
Total Common Stocks in
Portugal 10,697,340 14,798,113 0.1
Spain Banking 86,000 Corporacion Bancaria de
Espana S.A. (Argentaria) 3,351,129 4,758,674 0.0
Banking & Financial 703,975 Banco Bilbao Vizcaya S.A. (n) 14,588,389 18,409,768 0.1
Energy & Petroleum 212,500 Repsol S.A. (ADR)++ (USD) 6,126,375 8,553,125 0.1
Insurance 33,389 Mapfre S.A. 1,272,758 1,871,214 0.0
Manufacturing 173,000 Grupo Fosforera Espanola S.A. 1,501,871 258,842 0.0
Utilities--Electric 141,800 Iberdrola I S.A. 793,768 1,577,486 0.0
Total Common Stocks in Spain 27,634,290 35,429,109 0.2
Sweden Appliances 232,464 Electrolux AB 'B' Free 10,207,217 17,984,480 0.1
Automotive & Equipment 43,916 Scania AB (Warrants) (a) 60,444 68,944 0.0
Industrial 119,420 SKF AB 'A' 2,217,257 3,179,614 0.0
Insurance 506,907 Skandia Forsakring AB Free 13,186,749 20,626,938 0.1
Metals/Steel 887,529 Avesta Sheffield AB 8,590,616 9,697,578 0.1
Multi-Industry 262,083 Svedala Industri AB Free 3,441,716 5,628,549 0.0
Paper & Forest Products 297,445 Mo och Domsjo AB (Class B) 7,181,896 10,459,867 0.1
642,035 Stora Kopparbergs
Bergslags AB 7,084,794 10,563,102 0.1
--------------- --------------- ------
14,266,690 21,022,969 0.2
Real Estate 83,000 Tornet Fastighets AB 550,422 1,000,716 0.0
Total Common Stocks in
Sweden 52,521,111 79,209,788 0.5
Switzerland Conglomerates 301,993 Oerlikon-Buehrle Holding Ltd. 32,057,825 30,799,286 0.2
Electronic Components 69,850 Societe Suisse pour la
Microelectronique et
l'Horlogerie AG (Registered) 9,809,595 9,529,205 0.1
Financial Services 77,807 CS Holdings AG (Registered) 7,789,679 10,511,674 0.1
Machinery 11,409 Saurer AG (Registered) 5,201,691 8,802,308 0.1
Pharmaceuticals 2,490 Novartis AG (Registered) 1,074,162 4,002,139 0.0
Photographic Services 12,273 Fotolabo S.A. 5,097,333 3,401,490 0.0
Total Common Stocks in
Switzerland 61,030,285 67,046,102 0.5
United Banking 884,956 National Westminster Bank PLC 9,683,612 12,537,844 0.1
Kingdom
Beverages 1,451,980 Cadbury Schweppes PLC 11,384,259 14,003,215 0.1
544,867 Guinness PLC 5,497,812 5,214,704 0.0
--------------- --------------- ------
16,882,071 19,217,919 0.1
Chemicals 988,323 Imperial Chemical
Industries PLC 12,297,983 16,194,996 0.1
1,470,000 Inspec Group PLC 4,431,923 4,304,807 0.0
--------------- --------------- ------
16,729,906 20,499,803 0.1
Computers 436,453 Misys PLC 5,613,530 10,853,364 0.1
Conglomerates 6,250 Hanson PLC (ADR)++ (USD) 353,583 158,203 0.0
Consumer--Goods 1,175,645 Unilever Capital Corp. PLC 22,970,885 33,985,687 0.2
Energy & Related 6,250 Energy Group PLC 226,417 266,406 0.0
Environmental 1,140,000 Waste Management International
PLC (ADR)++ (USD) 10,743,772 10,188,750 0.1
Food & Beverage 1,498,814 Allied Domecq PLC 10,394,260 10,715,501 0.1
650,505 Bass PLC 8,302,679 8,875,646 0.1
35,000 Grand Metropolitan PLC
(ADR)++ (USD) 1,031,100 1,400,000 0.0
631,110 Matthew Clark PLC 6,157,510 2,560,590 0.0
--------------- --------------- ------
25,885,549 23,551,737 0.2
Glass 3,451,777 Pilkington PLC 6,954,694 7,454,181 0.1
Holding Company 7,602,145 BTR PLC 28,078,103 23,568,322 0.2
Manufacturing-- 4,731,768 LucasVarity PLC 15,226,664 14,553,404 0.1
Automotive Supplies
Merchandising 1,023,673 W.H. Smith Group PLC
(Class A) 6,255,529 6,260,305 0.0
Retail Stores 6,916,758 Signet Group PLC
(ADR)++ (USD) 2,194,907 9,942,840 0.2
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued) (in US dollars)
<CAPTION>
Shares Percent of
COUNTRY Industries Held Common Stocks Cost Value Net Assets
<S> <S> <C> <S> <C> <C> <C>
United Retail/Food 8,235,525 Asda Group PLC $ 15,096,762 $ 19,266,846 0.2%
Kingdom 2,761,101 Tesco PLC 14,814,819 18,655,876 0.1
(concluded) --------------- --------------- ------
29,911,581 37,922,722 0.3
Steel 1,500,000 British Steel PLC 4,081,599 4,061,370 0.0
Telecommunications 1,598,955 Cable & Wireless
International PLC 10,985,936 16,061,567 0.1
2,290,000 Ionica PLC 10,286,966 10,864,676 0.1
917,333 Ionica PLC 4,556,654 5,837,944 0.0
1,526,667 Ionica PLC (Warrants) (a) 0 2,060,542 0.0
--------------- --------------- ------
25,829,556 34,824,729 0.2
Tobacco 411,705 Gallaher Group PLC 1,712,347 1,852,261 0.0
12,500 Imperial Tobacco Group
PLC (ADR)++ (USD) 238,391 153,906 0.0
--------------- --------------- ------
1,950,738 2,006,167 0.0
Utilities--Water 1,703,000 Southwest Water PLC 13,068,875 21,815,226 0.1
Total Common Stocks in the
United Kingdom 242,641,571 293,668,979 2.1
United Apparel 700,000 Fruit of the Loom, Inc. 18,572,062 19,162,500 0.1
States 100,000 Liz Claiborne, Inc. 2,016,276 4,787,500 0.0
--------------- --------------- ------
20,588,338 23,950,000 0.1
Automobiles 165,308 Ford Motor Company 4,906,268 6,756,965 0.1
150,000 General Motors Corp. 5,691,925 9,281,250 0.1
--------------- --------------- ------
10,598,193 16,038,215 0.2
Automotive 400,000 Collins & Aikman Group Inc. 2,792,538 4,350,000 0.0
Banking 400,000 BB&T Corporation 7,717,728 20,450,000 0.1
129,500 Banknorth Group, Inc. 1,865,422 6,280,750 0.0
707,100 CoreStates Financial Corp. 22,202,461 43,619,231 0.3
350,000 First Chicago NBD Corporation 10,902,245 26,556,250 0.2
1,100,000 First Commerce Corp. 27,923,550 57,750,000 0.4
950,000 Golden State Bancorp Inc. 13,232,157 26,956,250 0.2
770,194 Golden State Bancorp Inc.
(Warrants) (a) 0 13,382,121 0.1
900,000 KeyCorp 26,457,055 55,968,750 0.4
1,415,800 Mellon Bank Corp. 26,963,500 71,409,413 0.5
106,963 Mercantile Bancorporation Inc. 6,064,623 7,547,577 0.0
441,600 Oriental Financial Group 9,715,200 13,192,800 0.1
800,000 Republic New York Corp. 35,800,613 92,400,000 0.7
--------------- --------------- ------
188,844,554 435,513,142 3.0
Building Products 567,892 Flowserve Corporation 14,089,137 19,379,315 0.1
Business Data Systems 1,523,700 Information Resources, Inc. 18,051,787 22,855,500 0.2
Chemicals 272,500 The Geon Company 5,436,017 5,245,625 0.0
3,571 Millennium Chemicals Inc. 116,556 75,214 0.0
--------------- --------------- ------
5,552,573 5,320,839 0.0
Computer Services 240,000 Electronic Data Systems Corp. 9,927,011 10,380,000 0.1
Computer Software 225,000 Boole & Babbage, Inc. 1,329,492 5,850,000 0.0
2,400,000 Borland International Corp. 33,535,053 19,800,000 0.1
--------------- --------------- ------
34,864,545 25,650,000 0.1
Computers & 614,300 FileNet Corporation 8,153,432 10,865,431 0.1
Technology 550,000 Komag, Inc. 9,999,128 11,446,875 0.1
500,000 Stratus Computer, Inc. 9,130,512 27,250,000 0.2
1,100,000 Unisys Corp. 12,291,367 10,587,500 0.0
--------------- --------------- ------
39,574,439 60,149,806 0.4
Construction & 500,000 K. Hovnanian Enterprises,
Housing Inc. (Class A) 4,920,209 3,500,000 0.0
Construction 700,000 TJ International, Inc. 12,547,379 17,150,000 0.1
Products
Consumer-- 90,770 Ascent Entertainment
Miscellaneous Group, Inc. 631,090 1,089,240 0.0
400,000 Department 56, Inc. 8,951,325 9,575,000 0.1
--------------- --------------- ------
9,582,415 10,664,240 0.1
Containers 1,008,000 Stone Container Corporation 12,596,036 16,758,000 0.1
Electronics 1,600,000 Checkpoint Systems, Inc. 17,710,635 25,200,000 0.2
300,000 MEMC Electronic
Materials, Inc. 6,293,932 8,700,000 0.1
600,000 Silicon Graphics, Inc. 9,988,888 15,000,000 0.1
1,200,000 Silicon Valley Group, Inc. 21,598,334 37,050,000 0.2
--------------- --------------- ------
55,591,789 85,950,000 0.6
Energy & Petroleum 163,900 Arch Coal, Inc. 4,132,919 4,732,613 0.0
49,500 Cabot Oil & Gas Corp.
(Class A) 529,030 1,017,844 0.0
46,400 Mitchell Energy Development
Corp. (Class A) 675,717 1,067,200 0.0
174,350 Mitchell Energy Development
Corp. (Class B) 2,755,451 4,119,019 0.0
50,000 Murphy Oil Corp. 1,688,446 2,603,125 0.0
1,500,000 Occidental Petroleum Corp. 28,058,743 37,593,750 0.3
61,200 Pennzoil Co. 3,775,844 4,781,250 0.0
235,828 Plains Resources, Inc. 1,381,815 3,832,205 0.0
1,602,978 Santa Fe Energy
Resources, Inc. 8,529,389 13,825,685 0.1
695,700 TransTexas Gas Corp. 7,926,289 9,826,763 0.1
600,000 USX-Marathon Group 10,542,976 19,312,500 0.1
--------------- --------------- ------
69,996,619 102,711,954 0.6
Gaming 1,235,000 Scientific Games
Holdings Corp. (c) 27,568,304 22,152,813 0.2
Healthcare Services 360,000 Advocat, Inc. 3,422,500 4,455,000 0.0
90,000 Allegiance Corporation 760,858 2,812,500 0.0
450,000 Baxter International, Inc. 9,088,023 26,015,625 0.2
1,600,000 Beverly Enterprises, Inc. 18,056,405 24,600,000 0.2
700,000 Humana, Inc. 13,206,455 17,062,500 0.1
185,600 United Healthcare Corporation 6,009,630 10,579,200 0.1
1,225,740 US Surgical Corp. 27,641,430 45,505,598 0.3
--------------- --------------- ------
78,185,301 131,030,423 0.9
Industrial 200,000 American Standard, Inc. 6,011,000 9,937,500 0.1
15,000 Bar Technologies Ltd.
(Warrants) (a) 838,256 675,000 0.0
179,802 Cooper Industries, Inc. 6,534,892 9,990,249 0.1
2,830,246 Crown Packaging Holdings Ltd. 1,433,657 28,302 0.0
--------------- --------------- ------
14,817,805 20,631,051 0.2
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued) (in US dollars)
<CAPTION>
Shares Percent of
COUNTRY Industries Held Common Stocks Cost Value Net Assets
<S> <S> <C> <S> <C> <C> <C>
United Insurance 450,000 ACE, Ltd. $ 12,568,669 $ 36,900,000 0.3%
States 510,000 American General Corp. 13,187,448 27,157,500 0.2
(continued) 114,000 The Hartford Financial
Services Group Inc. 4,188,594 9,932,250 0.1
500,000 Horace Mann Educators, Inc. 11,874,119 27,031,250 0.2
440,200 Lincoln National Corp. 15,933,668 31,309,225 0.2
350,000 PartnerRe Holdings, Ltd. 6,790,237 14,481,250 0.1
1,927,500 Risk Capital Holdings Inc. 33,900,906 39,995,625 0.3
--------------- --------------- ------
98,443,641 186,807,100 1.4
Manufacturing 200,000 ITT Industries Inc. 4,175,065 5,662,500 0.0
Metals 305,000 Aluminum Co. of America 13,814,815 26,992,500 0.2
1,350,000 Lukens Inc. 25,689,657 25,818,750 0.2
750,000 National Steel Corp. 6,785,661 11,484,375 0.1
400,000 Nucor Corporation 18,363,133 24,825,000 0.2
132,800 Reynolds Metals Co. 5,801,771 10,358,400 0.1
--------------- --------------- ------
70,455,037 99,479,025 0.8
Multi-Industry 90,000 Loews Corp. 3,984,675 9,731,250 0.1
Multimedia & 512,800 U S West Media Group 7,933,766 11,313,650 0.1
Telecommunications
Natural Resources 349,765 Alumax, Inc. 7,240,312 14,821,292 0.1
210,519 Freeport-McMoRan Copper
& Gold Inc. (Class B) 3,665,657 6,157,681 0.0
--------------- --------------- ------
10,905,969 20,978,973 0.1
Oil Services 100,000 Diamond Offshore
Drilling Inc. 5,150,000 9,325,000 0.1
3,620,125 Noble Drilling Corp. 25,969,389 101,589,758 0.7
150,000 Tidewater Inc. 5,807,066 7,575,000 0.1
150,000 Western Atlas, Inc. 9,013,408 11,934,375 0.1
--------------- --------------- ------
45,939,863 130,424,133 1.0
Paper 160,200 Boise Cascade Corporation 4,225,000 5,937,413 0.0
265,316 James River Corporation
of Virginia 4,971,450 10,927,703 0.1
--------------- --------------- ------
9,196,450 16,865,116 0.1
Petroleum 707,032 Monterey Resources, Inc. 6,627,069 10,782,237 0.1
Pharmaceuticals/ 250,000 Alteon, Inc. 1,968,199 937,500 0.0
Biotechnology 150,000 Merck & Co., Inc. 7,977,988 15,590,625 0.1
--------------- --------------- ------
9,946,187 16,528,125 0.1
Photography 160,000 Eastman Kodak Co. 8,746,145 10,720,000 0.1
Pollution Control 646,900 Waste Management Inc. 16,148,443 20,700,800 0.2
Publishing 175,000 Gannett Co., Inc. 8,375,486 17,379,688 0.1
301,500 New York Times Co. (Class A) 7,158,778 15,150,375 0.1
350,000 Reader's Digest Association,
Inc. (Class A) 8,229,300 8,728,125 0.1
--------------- --------------- ------
23,763,564 41,258,188 0.3
Real Estate 2,874,465 Catellus Development Corp. 25,291,242 58,926,533 0.4
Real Estate 730,000 Ambassador Apartments Inc. 11,272,615 17,291,875 0.1
Investment 661,300 Mid-America Realty Investments 6,444,676 6,489,006 0.1
Trusts 100,000 Mid-Atlantic Realty Trust Co. 917,500 1,200,000 0.0
1,439,825 Prime Retail, Inc. 15,462,587 19,617,616 0.1
400,000 Taubman Centers, Inc. 3,641,641 5,225,000 0.0
920,000 Walden Residential
Properties, Inc.
Warrants) (a) 1,125,068 1,265,000 0.0
--------------- --------------- ------
38,864,087 51,088,497 0.3
Restaurants 1,500,000 Brinker International, Inc. 16,515,025 23,531,250 0.2
500,000 Buffets, Inc. 5,071,633 4,859,375 0.0
2,100,000 Darden Restaurants Inc. 15,622,713 20,081,250 0.1
--------------- --------------- ------
37,209,371 48,471,875 0.3
Retail 206,500 Coinstar Inc. 311,636 2,065,000 0.0
1,100,000 Ugly Duckling Corporation 15,637,500 18,287,500 0.1
--------------- --------------- ------
15,949,136 20,352,500 0.1
Retail Stores 608,500 Baker (J.), Inc. 10,187,765 5,248,313 0.0
516,900 Buttrey Food & Drug
Stores Co. 4,084,486 5,169,000 0.0
1,110,000 Filene's Basement Corp. 10,092,619 7,006,875 0.1
700,000 The Limited, Inc. 12,951,591 15,618,750 0.1
1,373,500 Payless Cashways, Inc. 17,027,625 54,940 0.0
400,000 Sotheby's Holdings, Inc.
(Class A) 4,879,559 7,200,000 0.1
830,000 Toys 'R' Us, Inc. 19,568,284 28,271,875 0.2
--------------- --------------- ------
78,791,929 68,569,753 0.5
Savings Banks 257,500 Bankers Corp. 1,552,137 7,370,938 0.1
324,796 Downey Savings &
Loan Association 2,896,670 7,571,807 0.1
--------------- --------------- ------
4,448,807 14,942,745 0.2
Telecommunications 776,000 360 Communication Company 12,204,420 14,307,500 0.1
2,200,000 AT&T Corp. 74,332,525 80,987,500 0.6
950,000 AirTouch Communications, Inc. 21,602,982 31,290,625 0.2
27,750 American Telecasting Inc.
(Warrants) (a) 0 2,775 0.0
615,000 CAI Wireless Systems Inc. 1,607,188 615,000 0.0
32,037 CS Wireless Systems, Inc. 123,681 320 0.0
1,375,800 CellNet Data Systems, Inc. 12,252,498 17,025,525 0.1
185,700 Comsat Corp. 3,677,677 4,329,131 0.0
800,000 DSC Communications Corp. 12,249,518 23,550,000 0.2
500,000 Frontier Corporation 8,023,581 10,312,500 0.1
1,104,500 GTE Corp. 45,189,166 51,359,250 0.4
1,250,000 General Communication, Inc.
(Class A) 9,062,500 9,531,250 0.1
1,425,000 Geotek Communications, Inc. 7,910,399 6,902,344 0.0
3,000,000 Geotek Communications, Inc.
(Warrants) (a) 14,200,634 2,910,000 0.0
1,600,000 Glenayre Technologies, Inc. 21,915,406 32,200,000 0.2
400,000 Nextel Communications Inc. 5,539,867 9,625,000 0.1
1,611,800 PLD Telekom Inc. 10,028,238 9,670,800 0.1
655,000 QUALCOMM, Inc. 33,402,681 30,211,875 0.2
700,000 Telegroup Inc. 7,000,000 7,000,000 0.1
47,000 United USN Inc.
(Warrants) (a) 5,840,131 5,640,000 0.0
1,255,000 Western Wireless Corporation 15,610,218 18,825,000 0.1
18,315 Wireless One, Inc.
(Warrants) (a) 18,315 9,158 0.0
--------------- --------------- ------
321,791,625 366,305,553 2.6
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued) (in US dollars)
<CAPTION>
Shares Percent of
COUNTRY Industries Held Common Stocks Cost Value Net Assets
<S> <S> <C> <S> <C> <C> <C>
United Textiles 2,825,200 Burlington Industries,
States Inc. $ 37,451,653 $ 36,551,025 0.3%
(concluded)
Transportation 900,000 J.B. Hunt Transport
Services, Inc. 12,600,052 14,400,000 0.1
Utilities 2,452,880 Citizens Utilities Company
(Class A) 22,035,882 20,696,175 0.1
720,500 Citizens Utilities Company
(Class B) 6,617,195 6,034,188 0.0
--------------- --------------- ------
28,653,077 26,730,363 0.1
Utilities-- 1,250,000 Allegheny Power System, Inc. 27,315,551 36,640,625 0.3
Electric & Gas 115,650 Atmos Energy Corp. 1,445,257 2,782,828 0.0
47,570 BayCorp Holdings, Ltd. 2,549,753 380,560 0.0
125,000 CMS Energy Corp. 2,290,025 4,625,000 0.0
1,101,000 Centerior Energy Corp. 12,953,094 12,455,063 0.1
600,000 Central and South West
Coporation 11,570,159 12,037,500 0.1
100,000 Consolidated Edison
Company, Inc. 2,923,495 3,162,500 0.0
4,512,285 El Paso Electric Company 23,689,496 29,329,853 0.2
1,780,000 Entergy Corp. 47,516,856 48,616,250 0.3
475,000 FPL Group, Inc. 14,363,265 22,740,625 0.2
979,500 Houston Industries, Inc. 19,434,160 20,508,281 0.1
1,500,000 Niagara Mohawk Power Corp. 23,789,306 13,968,750 0.1
1,144,600 Texas Utilities Co. 36,647,663 40,561,763 0.3
1,148,800 Unicom Corporation 27,549,620 26,063,400 0.2
--------------- --------------- ------
254,037,700 273,872,998 1.9
Total Common Stocks in the
United States 1,802,043,525 2,595,598,237 18.2
Total Investments in
Common Stocks 3,604,389,275 4,831,403,780 33.8
Equity Closed-End Funds
Austria Financial Services 320,000 Austria Fund (USD) 2,642,432 3,400,000 0.0
Total Equity Closed-End Funds
in Austria 2,642,432 3,400,000 0.0
Indonesia Financial Services 25,600 Jakarta Growth Fund (USD) 158,080 244,800 0.0
Total Equity Closed-End Funds
in Indonesia 158,080 244,800 0.0
Ireland Financial Services 150,000 Irish Investment Fund,
Inc. (USD) 1,086,041 2,503,125 0.0
Total Equity Closed-End Funds
in Ireland 1,086,041 2,503,125 0.0
Italy Financial Services 150,000 Italy Fund (USD) 1,198,520 1,443,750 0.0
Total Equity Closed-End Funds
in Italy 1,198,520 1,443,750 0.0
South Korea Financial Services 125,000 The Fidelity Advisor Korea
Fund (USD) 1,088,750 1,046,875 0.0
200,000 Korea Equity Fund (USD) 1,369,598 1,250,000 0.0
1,400,528 Korea Fund, Inc. (USD) 19,847,163 19,519,859 0.2
200,000 Korean Investment Fund,
Inc. (USD) 1,561,000 1,550,000 0.0
Total Equity Closed-End Funds
in South Korea 23,866,511 23,366,734 0.2
Spain Financial Services 300,100 Growth Fund of Spain,
Inc. (USD) 2,630,827 4,388,962 0.0
Total Equity Closed-End Funds
in Spain 2,630,827 4,388,962 0.0
Total Investments in
Equity Closed-End Funds 31,582,411 35,347,371 0.2
Preferred Stocks
Australia Publishing 600,000 The News Corporation Ltd.
(ADR)++ (USD) 10,451,056 9,262,500 0.1
Total Preferred Stocks
in Australia 10,451,056 9,262,500 0.1
Austria Banking 203,400 Bank Austria Finance Inc. 6,299,188 7,239,661 0.1
Total Preferred Stocks
in Austria 6,299,188 7,239,661 0.1
Germany Chemicals 494,411 Henkel KGaA 20,929,927 27,603,425 0.2
Multi-Industry 450,000 RWE AG 8,725,424 16,103,818 0.1
Total Preferred Stocks
in Germany 29,655,351 43,707,243 0.3
New Zealand Financial Services 3,085,700 Brierly Investments, Ltd.
(9% Convertible) 1,988,414 2,620,197 0.0
Total Preferred Stocks
in New Zealand 1,988,414 2,620,197 0.0
Norway Financial Services 175,000 A/S Eksportfinans
(8.70% Convertible) (USD) 4,377,500 4,790,625 0.0
Total Preferred Stocks
in Norway 4,377,500 4,790,625 0.0
Portugal Banking 799,600 BCP International Bank
(8% Convertible) (USD) 46,101,162 54,772,600 0.4
Total Preferred Stocks
in Portugal 46,101,162 54,772,600 0.4
Spain Banking 225,000 Santander Overseas Bank
(8% Convertible, Series D)
(USD) 5,463,250 5,821,875 0.0
Total Preferred Stocks
in Spain 5,463,250 5,821,875 0.0
United Banking 55,000 California Federal Bank
States (10.625%) 5,500,000 6,108,437 0.0
870,000 California Federal Bank
(Series A) 21,735,500 22,837,500 0.2
--------------- --------------- ------
27,235,500 28,945,937 0.2
Cable Television 1,000,000 Diva Systems Corp.
(Convertible, Series C) 8,410,000 9,500,000 0.1
Communications 50,000 Adelphia Communications
Corporation (13%, Series A) 5,000,000 5,437,500 0.0
Financial Services 400,000 Crown American Realty Trust
(11%, Series A) 20,000,000 21,425,000 0.2
619,900 Golden State Bancorp Inc.
(8.75% Convertible, Series E) 15,070,337 43,702,950 0.3
--------------- --------------- ------
35,070,337 65,127,950 0.5
Natural Resources 150,000 Cyprus Amax Minerals Co.
(Convertible, Series A) 9,188,313 9,007,500 0.1
348,700 Freeport-McMoRan Copper &
Gold, Inc. (Convertible) 7,918,834 9,523,869 0.1
219,000 Freeport-McMoRan Inc.
(Convertible--Gold) 7,703,330 6,419,437 0.0
--------------- --------------- ------
24,810,477 24,950,806 0.2
Real Estate Investment 139,200 First Union Real Estate
Trusts Investments (8.40%
Convertible, Series A) 3,480,000 6,124,800 0.0
350,000 National Health Investors,
Inc. (8.50% Convertible) 8,750,000 12,075,000 0.1
790,500 Prime Retail, Inc. (10.50%) 18,191,161 19,861,312 0.2
753,000 Walden Residential
Properties, Inc.(9.20%,
Series S) 17,994,636 19,860,375 0.1
--------------- --------------- ------
48,415,797 57,921,487 0.4
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued) (in US dollars)
<CAPTION>
Shares Percent of
COUNTRY Industries Held Preferred Stocks Cost Value Net Assets
<S> <S> <C> <S> <C> <C> <C>
United Steel 2,442,500 Rouge Worthington
States Industries, Inc.
(concluded) (Convertible, Series DECS) $ 38,015,300 $ 41,522,500 0.3%
Utilities 77,600 Citizens Utilities Company
(5% Convertible) 3,398,931 3,370,750 0.0
Total Preferred Stocks
in the United States 190,356,342 236,776,930 1.7
Total Investments in
Preferred Stocks 294,692,263 364,991,631 2.6
Currency Face
Denomination Amount Fixed-Income Securities
Argentina Banking Banco Rio de la Plata:
USD 45,000,000 8.75% due 12/15/2003 36,900,950 47,193,750 0.3
USD 30,000,000 (Class 3), 8.50% due
7/15/1998 30,225,000 30,600,000 0.2
--------------- --------------- ------
67,125,950 77,793,750 0.5
Government USD 38,000,000 City of Buenos Aires,
Obligations 11.25% due 4/11/2007 37,715,000 42,370,000 0.3
Republic of Argentina (p):
USD 51,410,000 Floating Rate Bonds,
Series L, 6.75% due
3/31/2005 (d) 34,329,513 48,942,320 0.3
USD 120,000,000 Floating Rate Discount
Notes, 6.375% due
3/31/2023 86,380,941 107,856,000 0.8
--------------- --------------- ------
158,425,454 199,168,320 1.4
Total Fixed-Income
Securities in Argentina 225,551,404 276,962,070 1.9
Brazil Government USD 35,000,000 Brazil Exit Bonds, 6% due
Obligations 9/15/2013 (p) 19,863,096 28,087,500 0.3
USD 3,469,700 Republic of Brazil,
Floating Rate Bonds,
6.687% due 1/01/2001 (d) 2,367,996 3,433,268 0.0
--------------- --------------- ------
22,231,092 31,520,768 0.3
Metals USD 28,000,000 CSN Iron S.A., 9.125%
due 6/01/2007 27,160,000 27,755,000 0.2
Natural USD 5,000,000 Companhia Vale Do Rio Doce,
Resources 10% due 4/02/2004 4,993,860 5,262,500 0.0
Total Fixed-Income
Securities in Brazil 54,384,952 64,538,268 0.5
Canada Cable/Telecom- CAD 7,545,000 Rogers Cablesystem Inc.,
munications 9.65% due 1/15/2014 4,397,424 5,650,970 0.0
CAD 5,000,000 Rogers Communications
Inc., Convertible Bonds,
7.50% due 9/01/1999 3,394,000 3,563,934 0.0
--------------- --------------- ------
7,791,424 9,214,904 0.0
Chemicals USD 10,950,000 Acetex Corporation, 9.75%
due 10/01/2003 10,692,375 11,169,000 0.1
Industrial-- USD 28,000,000 Ainsworth Lumber Company,
Services 12.50% due 7/15/2007 27,226,640 27,720,000 0.2
Natural USD 10,500,000 Sifto Canada, Inc., 8.50%
Resources due 7/15/2000 10,352,688 10,670,625 0.1
Paper & Forest CAD 2,000,000 MacMillan Bloedel Limited,
Products Convertible Bonds,
5% due 5/01/2007 1,024,416 1,302,554 0.0
Real Estate CAD 16,501,370 First Place Tower, Inc.,
Convertible Bonds,
10.28% due 12/15/2015 (e) 26,246,648 37,017,329 0.3
Total Fixed-Income Securities
in Canada 83,334,191 97,094,412 0.7
Cayman Financial USD 34,000,000 APP Global Finance (V) Ltd.,
Islands Services 2% due 7/25/2000 34,000,000 33,745,000 0.2
Total Fixed-Income Securities
in the Cayman Islands 34,000,000 33,745,000 0.2
France Automobiles FRF 5,500 Peugeot S.A., Convertible
Bonds, 2% due 1/01/2001 992,341 1,024,999 0.0
Banking ECU 2,000,000 Credit Local de France, 0%
due 10/16/2001 (b) 1,960,123 1,744,652 0.0
FRF 58,000 Societe Generale de France
S.A., Convertible Bonds,
3.50% due 1/01/2000 7,499,838 7,802,397 0.1
--------------- --------------- ------
9,459,961 9,547,049 0.1
Industrial FRF 30,000 Alcatel Alsthom, Convertible
Bonds, 2.50% due 1/01/2004 3,926,887 4,796,357 0.0
Insurance FRF 35,500 Finaxa, Convertible Bonds,
3% due 1/01/2001 9,060,172 10,216,240 0.1
Total Fixed-Income
Securities in France 23,439,361 25,584,645 0.2
Germany Banking DEM 2,310,000 Commerzbank AG, Floating
Rate Convertible Bonds,
0% due 6/15/2001 (b) 1,556,456 3,665,249 0.0
USD 5,000,000 Landes Kredit Bank, 7.875%
due 4/15/2004 4,972,067 5,436,500 0.1
--------------- --------------- ------
6,528,523 9,101,749 0.1
Building USD 41,100,000 Tarkett AG, 9% due
Materials 3/01/2002 39,413,750 41,922,000 0.3
Financial USD 5,875,000 Veba International Finance
Services (with Warrants),
6% due 4/06/2000 (a) 2,965,841 5,822,125 0.0
Government Bundesrepublik Deutscheland:
Obligations DEM 31,000,000 5.75% due 8/20/1998 22,444,131 17,285,349 0.1
DEM 215,500,000 7.375% due 1/03/2005 140,126,980 132,077,237 0.9
DEM 113,000,000 6.25% due 1/04/2024 68,231,043 61,888,719 0.5
--------------- --------------- ------
230,802,154 211,251,305 1.5
Government DEM 64,000,000 Baden-Wuerttemberg, 6.20%
Obligations-- due 11/22/2013 37,148,769 36,551,010 0.3
Regional DEM 55,000,000 Freie Hansestadt Hamburg,
6.08% due 11/29/2018 31,730,765 31,021,570 0.2
DEM 170,500,000 Land Hessen, 6% due
11/29/2013 98,586,862 96,027,561 0.7
DEM 110,000,000 Mecklenberg-Vorpommern,
6.15% due 6/16/2023 (c) 61,012,437 60,455,362 0.4
DEM 134,950,000 Nordrhein-Westfalen, 6.125%
due 12/21/2018 (c) 77,420,913 76,409,676 0.5
Rheinland-Pfalz:
DEM 33,000,000 5.75% due 2/24/2014 18,324,663 18,442,181 0.1
DEM 64,000,000 6.08% due 11/29/2018 36,935,547 36,237,268 0.3
DEM 47,000,000 Sachsen-Anhalt, 6% due
1/10/2014 26,915,615 26,035,732 0.2
--------------- --------------- ------
388,075,571 381,180,360 2.7
Industrial USD 1,000,000 Siemens Capital Corp.
(with Warrants), 8% due
6/24/2002 (a) 1,318,750 2,273,100 0.0
Industrial-- USD 7,500,000 Impress Metal Packaging
Services Holding Co., 9.875% due
5/29/2007 4,425,823 4,309,875 0.0
Total Fixed-Income
Securities in Germany 673,530,412 655,860,514 4.6
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued) (in US dollars)
<CAPTION>
Currency Face Percent of
COUNTRY Industries Denomination Amount Fixed-Income Securities Cost Value Net Assets
<S> <S> <S> <C> <S> <C> <C> <C>
Hong Kong Banking USD 17,500,000 Bank of East Asia,
Convertible Bonds, 2% due
7/19/2003 (n) $ 20,833,400 $ 22,181,250 0.2%
Real Estate USD 15,480,000 Hysan Development Company
Limited, Convertible
Bonds, 6.75% due
6/01/2000 (n) 18,251,050 18,150,300 0.1
USD 16,500,000 Sinoland Company Ltd.,
Convertible Bonds, 5% due
2/26/2001 (n) 16,136,875 16,417,500 0.1
--------------- --------------- ------
34,387,925 34,567,800 0.2
Total Fixed-Income
Securities in Hong Kong 55,221,325 56,749,050 0.4
India Chemicals USD 7,000,000 Indian Petrochemicals Ltd.,
2.50% due 3/11/2002
(Regulation S) 7,047,500 7,315,000 0.1
USD 16,500,000 Indian Petrochemicals Ltd.,
2.50% due 3/11/2002 16,934,062 17,242,500 0.1
Total Fixed-Income
Securities in India 23,981,562 24,557,500 0.2
Indonesia Paper & Forest USD 19,500,000 APP International Finance,
Products 11.75% due 10/01/2005 19,500,000 21,352,500 0.2
Total Fixed-Income
Securities in Indonesia 19,500,000 21,352,500 0.2
Italy Government USD 5,000,000 Republic of Italy, 8.75%
Obligations due 2/08/2001 5,373,050 5,436,335 0.0
USD 32,985,000 Republic of Italy/INA,
Convertible Bonds, 5%
due 6/28/2001 32,779,000 33,644,700 0.3
Total Fixed-Income
Securities in Italy 38,152,050 39,081,035 0.3
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 11,128,439 0.1
JPY 1,408,000,000 Sanyo Coca-Cola Bottling
Inc., #1 Convertible
Bonds, 0.90% due 6/30/2003 12,966,065 11,846,211 0.1
JPY 479,000,000 Shikoku Coca-Cola Bottling
Co., Ltd., #1 Convertible
Bonds, 2.40% due 3/29/2002 4,558,416 4,317,063 0.0
--------------- --------------- ------
28,807,089 27,291,713 0.2
Capital Goods JPY 500,000,000 Kawasaki Heavy Industries,
Convertible Bonds,
0.50% due 9/30/1998 4,566,161 4,662,447 0.0
Chemicals USD 4,700,000 Shin-Etsu Chemical Co.,
Ltd. (with Warrants),
3.375% due 8/08/2000 (a) 3,274,060 4,290,630 0.0
Shin-Etsu Chemical Co.,
Ltd., Convertible Bonds:
JPY 148,000,000 #5, 1.30% due 3/31/1999 1,577,446 2,374,245 0.0
JPY 301,000,000 #6, 0.40% due 9/30/2005 2,987,802 4,442,608 0.1
--------------- --------------- ------
7,839,308 11,107,483 0.1
Electrical JPY 1,204,000,000 Matsushita Electric Works,
Equipment Ltd., #9 Convertible
Bonds, 1% due 11/30/2005 12,091,160 13,259,241 0.1
Electronics JPY 650,000,000 Matsushita Electric
Industrial Co., Ltd.,
#5 Convertible Bonds, 1.30%
due 3/29/2002 6,133,347 8,337,553 0.1
CHF 22,900,000 NEC Corporation, Convertible
Bonds, 1% due
3/31/1999 (n) 22,217,342 27,070,530 0.2
JPY 1,489,000,000 Sony Corporation, #4
Convertible Bonds,
1.40% due 3/31/2005 (n) 14,193,354 18,596,793 0.1
--------------- --------------- ------
42,544,043 54,004,876 0.4
Insurance JPY 456,000,000 Mitsui Marine & Fire
Insurance Co., Ltd.,
#3 Convertible Bonds, 0.70%
due 3/31/2003 3,786,983 4,117,468 0.0
JPY 117,000,000 Nichido Fire & Marine
Insurance Co., Ltd.,
#5 Convertible Bonds, 1%
due 3/31/2003 1,109,381 1,036,709 0.0
Nisshin Fire & Marine
Insurance Co., Ltd.,
Convertible Bonds:
JPY 800,000,000 #1, 0.65% due 3/31/2004 6,412,341 6,345,992 0.0
JPY 1,522,000,000 #2, 0.75% due 3/31/2006 11,925,363 11,842,059 0.1
Sumitomo Marine & Fire
Insurance Co., Ltd.,
Convertible Bonds:
JPY 300,000,000 #3, 1.10% due 3/29/2002 2,522,005 3,141,772 0.0
JPY 1,527,000,000 #4, 1.20% due 3/31/2004 13,104,977 15,978,734 0.2
JPY 588,000,000 Yasuda Fire & Marine
Insurance Co., Ltd.,
#3 Convertible Bonds,
0.60% due 3/30/2001 4,903,719 5,234,937 0.0
--------------- --------------- ------
43,764,769 47,697,671 0.3
Pharmaceuticals Yamanouchi Pharmaceutical
Co., Ltd., Convertible
Bonds (n):
JPY 3,090,000,000 1.625% due 3/31/2000 32,499,967 32,986,076 0.2
JPY 690,000,000 1.25% due 3/31/2014 6,901,496 9,403,797 0.1
--------------- --------------- ------
39,401,463 42,389,873 0.3
Total Fixed-Income
Securities in Japan 179,013,993 200,413,304 1.4
Luxembourg Telecommuni- USD 20,250,000 Millicom International
cations Cellular S.A., 0/13.50%
due 6/01/2006 (b) 12,209,958 15,187,500 0.1
Total Fixed-Income
Securities in Luxembourg 12,209,958 15,187,500 0.1
Malaysia Multi-Industry USD 15,500,000 Renong BHD, Convertible
Bonds, 2.50% due 1/15/2005 17,544,487 17,825,000 0.1
Telecommuni- USD 36,000,000 Telekom Malaysia BHD, 4%
cations due 10/03/2004 32,503,025 31,590,000 0.2
Total Fixed-Income
Securities in Malaysia 50,047,512 49,415,000 0.3
Mexico Government USD 45,150,000 Petroleos Mexicanos,
Obligations 8.625% due 12/01/2023 25,007,000 42,158,812 0.3
Total Fixed-Income
Securities in Mexico 25,007,000 42,158,812 0.3
New Zealand Utilities--Gas NZD 1,760,000 Natural Gas Corp. Holdings,
Convertible Bonds,
10.50% due 10/14/1997 1,043,960 2,795,038 0.0
Total Fixed-Income
Securities in New Zealand 1,043,960 2,795,038 0.0
Philippines Utilities USD 6,000,000 CE Casecnan, 11.45% due
11/15/2005 5,895,000 6,600,000 0.1
Total Fixed-Income
Securities in the Philippines 5,895,000 6,600,000 0.1
Russia Telecommuni- USD 74,500,000 PLD Telekom, Inc., 0/14%
cations due 6/01/2004 (b) (j) 62,582,568 61,950,475 0.4
USD 18,700,000 PLD Telekom, Inc.,
Convertible Bonds, 9% due
6/01/2006 (j) 18,756,250 19,355,435 0.2
Total Fixed-Income
Securities in Russia 81,338,818 81,305,910 0.6
Singapore Industrial USD 47,500,000 Keppel Corporation Limited,
2% due 8/12/2002 47,500,000 47,500,000 0.3
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
Shipbuilding USD 5,250,000 Far East Levingston, 1.50%
due 5/02/2001 4,272,500 4,475,100 0.0
Total Fixed-Income
Securities in Singapore 61,298,375 60,915,100 0.4
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued) (in US dollars)
<CAPTION>
Currency Face Percent of
COUNTRY Industries Denomination Amount Fixed-Income Securities Cost Value Net Assets
<S> <S> <S> <C> <S> <C> <C> <C>
South Metals USD 16,250,000 Samancor Ltd., Convertible
Africa Bonds, 7% due 6/30/2004 $ 15,693,500 $ 15,437,500 0.1%
Total Fixed-Income
Securities in South Africa 15,693,500 15,437,500 0.1
South Korea Electronics USD 8,500,000 Samsung Electronics Co.,
Convertible Bonds, 0%
due 12/31/2007 (b) 8,211,250 8,372,500 0.1
Energy Ssangyong Oil Refining,
Related Convertible Bonds:
USD 10,685,000 3% due 12/31/2004 7,887,437 6,411,000 0.0
USD 16,535,000 3.75% due 12/31/2008 17,448,950 14,716,150 0.1
--------------- --------------- ------
25,336,387 21,127,150 0.1
Utilities-- USD 17,010,000 Korea Electric & Power
Electric Company, 5% due 8/01/2001 16,615,462 16,882,425 0.1
Total Fixed-Income
Securities in South Korea 50,163,099 46,382,075 0.3
Switzerland Chemicals USD 24,945,000 Ciba-Geigy Corp.,
Convertible Bonds, 6.25%
due 3/15/2016 25,632,050 25,942,800 0.2
Total Fixed-Income
Securities in Switzerland 25,632,050 25,942,800 0.2
Taiwan Industrial USD 13,800,000 GVC Corporation, 0% due
5/21/2002 (b) 13,794,000 14,973,000 0.1
Semiconductors USD 5,900,000 Taiwan Semiconductor
Manufacturing Company,
0% due 7/03/2002 (b) 5,900,000 6,357,250 0.0
Total Fixed-Income
Securities in Taiwan 19,694,000 21,330,250 0.1
United Cable/ USD 43,250,000 Bell Cablemedia PLC,
Kingdom Telecommuni- 0/11.875% due 9/15/2005 (b) 29,956,410 36,762,500 0.3
cations USD 14,000,000 Comcast UK Cable Partners
Ltd., 0/11.20% due
11/15/2007 (b) 9,144,813 10,710,000 0.1
Diamond Cable Communications
PLC (b):
USD 24,600,000 0/11.75% due 12/15/2005 16,898,216 17,035,500 0.1
USD 21,250,000 0/10.75% due 12/15/2007 12,739,156 12,643,750 0.1
USD 45,000,000 International Cabletel Inc.,
Series B, 0/11.50% due
2/01/2006 (b) 30,429,411 32,175,000 0.2
USD 19,750,000 TeleWest Communications
PLC, 0/11% due
10/01/2007 (b) 13,444,333 14,713,750 0.1
--------------- --------------- ------
112,612,339 124,040,500 0.9
Financial GBP 11,600,000 TransAtlantic Holdings
Services PLC, Convertible Bonds,
5.50% due 4/30/2009 14,179,895 19,689,260 0.1
Food & GBP 13,500,000 Allied-Lyons PLC,
Beverage Convertible Bonds, 6.75%
due 7/07/2008 21,002,665 21,644,280 0.2
Government United Kingdom Treasury Gilt:
Obligations GBP 60,000,000 10% due 9/08/2003 115,077,375 112,147,800 0.8
GBP 20,000,000 9.50% due 10/25/2004 37,627,645 37,228,816 0.2
--------------- --------------- ------
152,705,020 149,376,616 1.0
Industrial USD 4,655,000 HIH Capital Ltd.,
Convertible Bonds (Bearer),
7.50% due 9/25/2006 3,031,037 2,793,000 0.0
Multi-Industry GBP 9,375,000 English China Clays PLC,
Convertible Bonds,
6.50% due 9/30/2003 14,963,730 14,302,219 0.1
Retail GBP 13,250,000 Sainsbury (J.) PLC,
Convertible Bonds, 8.50% due
11/19/2005 24,335,092 27,692,368 0.2
Telecommuni- USD 39,000,000 Ionica PLC, 0/15% due
cations 5/01/2007 (b)(r) 19,617,026 21,840,000 0.2
Textiles GBP 2,500,000 Coats Viyella PLC, Convertible
Bonds, Series B,
6.25% due 8/09/2003 3,535,704 3,752,575 0.0
Total Fixed-Income
Securities in the
United Kingdom 365,982,508 385,130,818 2.7
United Agricultural USD 14,000,000 Sun World International,
States Inc., 11.25% due 4/15/2004 14,000,000 15,050,000 0.1
Banking USD 14,250,000 Ocwen Federal Bank, 12%
due 6/15/2005 14,250,000 15,835,312 0.1
Biotechnology USD 7,200,000 Cetus Corporation (Euro),
Convertible Bonds,
5.25% due 5/21/2002 5,220,250 7,056,000 0.1
Cable Adelphia Communications
Corporation:
USD 5,000,000 9.50% due 2/15/2004 16,000,000 16,920,000 0.1
USD 16,000,000 10.50% due 2/15/2004 4,900,000 4,750,000 0.0
USD 21,000,000 9.875% due 3/01/2007 20,238,750 21,393,750 0.2
--------------- --------------- ------
41,138,750 43,063,750 0.3
Financial USD 5,000,000 Resource America Inc.,
Services 12% due 8/01/2004 5,000,000 5,037,500 0.0
Financial USD 10,000,000 Ford Capital BV, 9.375%
Services-- due 1/01/1998 10,037,900 10,137,400 0.1
Captive
Healthcare USD 1,000,000 Novacare, Inc., Convertible
Bonds, 5.50% due 1/15/2000 857,500 945,000 0.0
Homebuilding & Baldwin Builders &
Construction Contractors:
USD 47,830,183 10.25% due 7/18/1997 47,830,183 47,830,183 0.3
USD 10,000,000 11.25% due 7/18/1997 10,000,000 10,000,000 0.1
USD 32,500,000 Beazer Homes USA, Inc.,
9% due 3/01/2004 30,597,000 32,418,750 0.2
USD 9,750,000 Presley Companies, Senior
Notes, 12.50% due 7/01/2001 9,690,312 9,652,500 0.1
--------------- --------------- ------
98,117,495 99,901,433 0.7
Industrial USD 21,750,000 Crown Packaging Enterprises,
0/14% due 8/01/2006 (b) 7,745,738 1,087,500 0.0
USD 4,500,000 GCI Inc., 9.75% due
8/01/2007 4,500,000 4,640,625 0.0
USD 32,000,000 Genmar Holdings, Inc.,
13.50% due 7/15/2001 31,654,600 31,360,000 0.2
USD 77,000,000 International Semi-Tech
Microelectronics, Inc.,
0/11.50% due 8/15/2003 (b) 53,662,318 49,857,500 0.4
USD 4,500,000 Teletrac Inc., 14% due
8/01/2007 4,500,000 4,500,000 0.0
--------------- --------------- ------
102,062,656 91,445,625 0.6
Oil & Related PDV America, Inc.:
USD 35,000,000 7.25% due 8/01/1998 34,856,150 35,245,000 0.2
USD 10,000,000 7.75% due 8/01/2000 10,062,500 10,280,000 0.1
--------------- --------------- ------
44,918,650 45,525,000 0.3
Real Estate USD 23,188,747 RTC Commercial Mortgage,
Class C, 8.25% due
12/25/2020 (d) 22,833,551 23,188,747 0.2
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued) (in US dollars)
<CAPTION>
Currency Face Percent of
COUNTRY Industries Denomination Amount Fixed-Income Securities Cost Value Net Assets
<S> <S> <S> <C> <S> <C> <C> <C>
United Real Estate USD 25,500,000 Alexander Haagen Properties
States Investment Inc., Exchangeable
(continued) Trusts Debentures, 7.25% due
12/27/2003 $ 25,291,250 $ 24,145,313 0.2%
USD 4,500,000 Capstone Capital Corp.,
6.55% due 3/14/2002 4,090,188 4,342,500 0.0
USD 7,000,000 Centerpoint Properties
Corp., Convertible Bonds,
8.22% due 1/15/2004 7,000,000 12,547,500 0.1
USD 30,000,000 First Union Real Estate,
8.875% due 10/01/2003 29,756,100 29,850,000 0.2
USD 25,000,000 First Washington Realty,
8.25% due 6/27/1999 25,000,000 25,937,500 0.2
Health & Retirement
Properties Trust,
Convertible Bonds:
USD 40,000,000 7.25% due 10/01/2001 40,000,000 40,400,000 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 10,875,000 0.1
USD 10,000,000 8.50% due 1/01/2001 10,000,000 12,112,500 0.1
USD 12,500,000 8% due 7/01/2001 12,500,000 15,875,000 0.1
USD 25,000,000 Leperq Corporate Income
Fund, Exchangeable
Secured Notes, 8% due
3/17/2004 25,000,000 26,625,000 0.2
Malan Realty Investors, Inc.,
Convertible Bonds:
USD 27,000,000 8.50% due 7/01/2003 27,000,000 27,607,500 0.2
USD 4,750,000 9.50% due 7/15/2004 3,859,375 4,750,000 0.0
Meditrust, Convertible Bonds:
USD 9,415,000 8.54% due 7/01/2000 9,602,637 11,498,069 0.1
USD 10,000,000 7.50% due 3/01/2001 10,000,000 11,450,000 0.1
USD 5,000,000 Mid-Atlantic Realty Trust,
Convertible Bonds,
7.625% due 9/15/2003 4,875,000 5,300,000 0.0
USD 22,000,000 National Health Investors,
Convertible Bonds,
7.75% due 1/01/2001 22,000,000 26,977,500 0.2
USD 23,000,000 Nationwide Health Properties
Inc., Convertible
Bonds, 6.25% due 1/01/1999 22,800,000 25,070,000 0.2
USD 42,000,000 Omega Healthcare Investors
Inc., Convertible
Bonds, 8.50% due 2/01/2001 42,052,500 47,722,500 0.3
USD 5,500,000 Sizeler Property Investors,
Inc., Convertible
Bonds, 8% due 7/15/2003 5,505,000 5,280,000 0.0
--------------- --------------- ------
351,332,050 383,815,882 2.7
Resources USD 12,000,000 Freeport-McMoRan Resources,
8.75% due 2/15/2004 11,116,875 12,510,000 0.1
Retail-- USD 29,500,000 Coinstar Inc., 0/13% due
Miscellaneous 10/01/2006 (b)(k) 22,144,334 22,272,500 0.1
Savings Bank USD 21,400,000 First Federal Financial
Corporation, 11.75% due
10/01/2004 21,401,250 24,182,000 0.2
Steel USD 10,000,000 Bar Technologies Ltd.,
13.50% due 4/01/2001 9,265,562 10,425,000 0.1
Telecommuni- Brooks Fiber Properties (b):
cations USD 11,635,000 0/10.875% due 3/01/2006 7,709,532 8,609,900 0.1
USD 10,500,000 0/11.875% due 11/01/2006 6,681,880 7,455,000 0.0
USD 15,500,000 Call Net Enterprises, Inc.,
0/13.25% due 12/01/2004 (b) 11,555,385 13,795,000 0.1
USD 76,000,000 CellNet Data Systems, Inc.,
0/13% due 6/15/2005 (b)(h) 46,484,763 52,820,000 0.3
Geotek Communications, Inc.:
USD 99,000,000 0/15% due 7/15/2005 (b) 52,524,808 62,370,000 0.4
USD 22,650,000 Convertible Bonds, 12%
due 2/15/2001 22,463,875 19,592,250 0.1
USD 45,500,000 Nextel Communications, Inc.,
0/9.75% due 8/15/2004 (b) 35,438,100 37,310,000 0.3
USD 12,500,000 Teleport Communications Group
Inc., 0/11.125% due
7/01/2007 (b) 8,178,407 9,500,000 0.1
USD 20,000,000 Unifi Communications, Inc.,
14% due 3/01/2004 (q) 20,000,000 19,500,000 0.1
United International Holdings,
Inc. (b):
USD 41,650,000 0% due 11/15/1999 (f) 29,545,462 32,903,500 0.2
USD 11,000,000 Series B, 0% due 11/15/1999 8,068,196 8,690,000 0.1
United USN, Inc. (b):
USD 47,000,000 0/14% due 9/15/2003 (i) 26,926,949 25,380,000 0.2
USD 35,000,000 Convertible Bonds, 0/9%
due 9/30/2004 28,924,586 26,250,000 0.2
Winstar Communications Inc.:
USD 32,750,000 0/14% due 10/15/2005 (b) 20,603,050 20,632,500 0.1
USD 21,000,000 14.50% due 10/15/2005 21,155,000 20,790,000 0.2
USD 10,000,000 Winstar Equipment, 12.50%
due 3/15/2004 10,000,000 10,100,000 0.1
--------------- --------------- ------
356,259,993 375,698,150 2.6
Textiles & USD 18,250,000 Texfi Industries, Inc.,
Apparel 8.75% due 8/01/1999 17,930,300 17,520,000 0.1
Trans- USD 10,625,000 Eletson Holdings Inc.,
portation-- 9.25% due 11/15/2003 10,558,437 10,810,937 0.1
Shipping USD 19,250,000 Teekay Shipping Corporation,
8.32% due 2/01/2008 18,252,500 19,731,250 0.1
--------------- --------------- ------
28,810,937 30,542,187 0.2
Trucking USD 21,000,000 Ameritruck Distribution,
12.25% due 11/15/2005 20,718,075 22,050,000 0.2
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 4,854,762 0.0
USD 10,000,000 Series, 6.30% due 5/15/2008 9,210,937 9,718,750 0.1
Federal National Mortgage
Association (d):
USD 7,236,801 8% due 10/01/2024 6,910,015 7,474,168 0.0
USD 14,487,374 8% due 12/01/2024 14,231,582 14,962,560 0.1
US Treasury Inflation
Indexed Notes:
USD 120,000,000 3.625% due 7/15/2002 119,354,400 120,149,040 0.8
USD 125,000,000 3.315% due 1/15/2007 123,217,917 124,204,400 0.9
US Treasury Notes & Bonds:
USD 341,100,000 6% due 5/31/1998 (c) 339,137,636 342,218,808 2.4
USD 150,000,000 6.125% due 8/31/1998 (c) 149,890,625 150,773,437 1.1
USD 200,000,000 5.75% due 12/31/1998 198,992,025 200,202,000 1.4
USD 750,000,000 5.875% due 2/28/1999 747,746,094 751,987,500 5.3
USD 250,000,000 5.875% due 2/15/2000 (c) 245,113,281 250,585,937 1.8
USD 55,000,000 7.875% due 8/15/2001 53,943,600 58,927,550 0.4
USD 25,000,000 6.25% due 2/15/2003 25,710,937 25,390,500 0.2
US Treasury STRIPS (b)(m):
USD 5,000,000 0% due 2/15/2019 1,236,490 1,259,400 0.0
USD 22,000,000 0% due 5/15/2000 18,301,179 18,786,240 0.1
--------------- --------------- ------
2,057,784,735 2,081,495,052 14.6
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued) (in US dollars)
<CAPTION>
Currency Face Percent of
COUNTRY Industries Denomination Amount Fixed-Income Securities Cost Value Net Assets
<S> <S> <S> <C> <S> <C> <C> <C>
United Video USD 104,025,000 CAI Wireless Systems, Inc.,
States Services/ 12.25% due 9/15/2002 $ 74,194,250 $ 29,647,125 0.2%
(concluded) Telecommuni- USD 127,000,000 CS Wireless Systems,
cations Inc., 0/11.375% due
3/01/2006 (b)(l) 61,772,872 26,670,000 0.2
USD 17,000,000 Heartland Wireless
Communications Inc., 14%
due 10/15/2004 12,885,000 6,970,000 0.0
People's Choice T.V.
Corp. (b):
USD 3,980,000 0/13.125% due 6/01/2004 1,917,513 1,353,200 0.0
USD 49,450,000 0/13.125% due 6/01/2004 (o) 22,357,513 16,813,000 0.1
Wireless One Inc.:
USD 2,250,000 0/13.50% due 8/01/2006 (b) 609,248 562,500 0.0
USD 14,250,000 13% due 10/15/2003 12,231,250 8,550,000 0.1
--------------- --------------- ------
185,967,646 90,565,825 0.6
Total Fixed-Income
Securities in the
United States 3,441,168,509 3,428,262,363 24.0
Total Investments in
Fixed-Income Securities 5,565,283,539 5,676,801,464 39.8
Short-Term Securities
United Commercial USD 70,000,000 Abbey National PLC, 5.55%
States Paper* due 8/12/1997 69,881,292 69,881,292 0.5
USD 40,000,000 AlliedSignal Inc., 5.50%
due 8/13/1997 39,926,667 39,926,667 0.3
USD 100,000,000 American Express Credit
Corp., 5.50% due 9/12/1997 99,358,333 99,358,333 0.7
USD 25,000,000 Ameritech Corporation,
5.46% due 9/22/1997 24,802,834 24,802,834 0.2
USD 100,000,000 Associates Corp. of
North America, 5.54% due
8/29/1997 99,569,111 99,569,111 0.7
USD 50,000,000 Barclays US Funding Corp.,
5.53% due 8/08/1997 49,946,236 49,946,236 0.4
CIT Group Holdings, Inc. (The):
USD 36,000,000 5.46% due 8/25/1997 35,868,960 35,868,960 0.3
USD 50,000,000 5.52% due 8/25/1997 49,816,000 49,816,000 0.3
USD 14,000,000 5.48% due 9/02/1997 13,931,805 13,931,805 0.1
USD 100,000,000 Caisse des D pots et
Consignations, 5.52% due
8/07/1997 99,908,000 99,908,000 0.7
Ciesco, L.P.:
USD 15,000,000 5.52% due 8/07/1997 14,986,200 14,986,200 0.1
USD 40,000,000 5.48% due 8/27/1997 39,841,689 39,841,689 0.3
USD 15,000,000 5.50% due 9/09/1997 14,910,625 14,910,625 0.1
USD 30,000,000 5.48% due 9/22/1997 29,762,533 29,762,533 0.2
USD 70,995,000 Commerzbank US Finance Inc.,
5.50% due 8/08/1997 70,919,075 70,919,075 0.5
Daimler-Benz AG:
USD 25,000,000 5.48% due 8/21/1997 24,923,889 24,923,889 0.2
USD 50,000,000 5.50% due 8/21/1997 49,847,222 49,847,222 0.4
USD 25,000,000 5.53% due 8/27/1997 24,900,153 24,900,153 0.2
USD 100,000,000 Delaware Funding Corp.,
5.52% due 8/15/1997 99,785,333 99,785,333 0.7
USD 50,000,000 Deutsche Bank Financial,
Inc., 5.52% due 8/04/1997 49,977,000 49,977,000 0.4
Dresdner US Finance Inc.:
USD 90,000,000 5.53% due 8/01/1997 90,000,000 90,000,000 0.6
USD 60,000,000 5.50% due 8/04/1997 59,972,500 59,972,500 0.4
Eastman Kodak Company:
USD 25,000,000 5.52% due 8/01/1997 25,000,000 25,000,000 0.2
USD 25,000,000 5.45% due 8/05/1997 24,984,861 24,984,861 0.2
USD 10,000,000 5.47% due 8/05/1997 9,993,922 9,993,922 0.1
USD 20,000,000 5.47% due 8/29/1997 19,914,911 19,914,911 0.1
USD 100,000,000 Eiger Capital Corp., 5.52%
due 8/27/1997 99,601,333 99,601,333 0.7
USD 100,000,000 Ford Motor Credit Co., 5.49%
due 9/16/1997 99,298,500 99,298,500 0.7
USD 20,000,000 France Telecom, 5.50% due
8/22/1997 19,935,833 19,935,833 0.1
USD 100,000,000 General Electric Company PLC,
5.55% due 8/11/1997 99,845,833 99,845,833 0.7
USD 99,850,000 General Motors Acceptance
Corp., 5.81% due 8/01/1997 99,850,000 99,850,000 0.7
USD 50,000,000 Goldman Sachs Group L.P.,
5.55% due 8/06/1997 49,961,458 49,961,458 0.4
IBM Credit Corp.:
USD 30,000,000 5.54% due 8/08/1997 29,967,683 29,967,683 0.2
USD 20,000,000 5.48% due 9/12/1997 19,872,133 19,872,133 0.1
USD 50,000,000 5.49% due 9/12/1997 49,679,750 49,679,750 0.3
KFW International Finance Inc.:
USD 14,000,000 5.46% due 8/08/1997 13,985,137 13,985,137 0.1
USD 50,000,000 5.48% due 8/22/1997 49,840,167 49,840,167 0.3
USD 36,000,000 5.48% due 8/29/1997 35,846,560 35,846,560 0.3
USD 50,000,000 Kredietbank North American
Finance Corp., 5.48%
due 9/05/1997 49,733,611 49,733,611 0.3
Matterhorn Capital Corp.:
USD 10,000,000 5.52% due 8/18/1997 9,973,933 9,973,933 0.1
USD 19,990,000 5.50% due 8/20/1997 19,931,974 19,931,974 0.1
USD 19,996,000 5.52% due 8/27/1997 19,916,283 19,916,283 0.1
Met Life Funding Corp.:
USD 24,479,000 5.53% due 8/13/1997 24,433,877 24,433,877 0.2
USD 15,000,000 5.53% due 8/28/1997 14,937,788 14,937,788 0.1
USD 61,277,000 5.48% due 9/09/1997 60,913,219 60,913,219 0.4
USD 30,000,000 Monsanto Company, 5.47%
due 8/19/1997 29,917,950 29,917,950 0.2
USD 50,000,000 Morgan Stanley Group Inc.,
5.58% due 8/08/1997 49,945,750 49,945,750 0.4
National Australia Funding
(Delaware) Inc.:
USD 30,000,000 5.53% due 8/08/1997 29,967,742 29,967,742 0.2
USD 30,000,000 5.54% due 8/08/1997 29,967,683 29,967,683 0.2
USD 40,000,000 5.48% due 9/08/1997 39,768,622 39,768,622 0.3
Preferred Receivable
Funding Corp.:
USD 10,040,000 5.55% due 8/01/1997 10,040,000 10,040,000 0.1
USD 15,500,000 5.52% due 8/05/1997 15,490,493 15,490,493 0.1
USD 3,000,000 5.55% due 8/12/1997 2,994,913 2,994,913 0.0
USD 20,000,000 5.57% due 8/14/1997 19,959,772 19,959,772 0.1
USD 32,900,000 5.52% due 8/26/1997 32,773,883 32,773,883 0.2
USD 20,000,000 5.52% due 9/12/1997 19,871,200 19,871,200 0.1
USD 37,000,000 Southwestern Bell Capital
Corp., 5.53% due 8/15/1997 36,920,430 36,920,430 0.3
Transamerica Finance Corp.:
USD 10,000,000 5.49% due 9/04/1997 9,948,150 9,948,150 0.1
USD 20,000,000 5.50% due 9/04/1997 19,896,111 19,896,111 0.1
USD 25,000,000 5.48% due 9/15/1997 24,828,750 24,828,750 0.2
USD 50,000,000 UBS Finance (Delaware)
Inc., 5.52% due 8/25/1997 49,816,000 49,816,000 0.3
Vereinsbanken Finance
(Delaware) Inc.:
USD 50,000,000 5.52% due 8/05/1997 49,969,333 49,969,333 0.4
USD 50,000,000 5.48% due 9/05/1997 49,733,611 49,733,611 0.3
USD 50,000,000 The World Bank, 5.40% due
8/06/1997 49,962,500 49,962,500 0.4
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (concluded) (in US dollars)
<CAPTION>
Currency Face Percent of
COUNTRY Denomination Amount Short-Term Securities Cost Value Net Assets
<S> <S> <S> <C> <S> <C> <C> <C>
United Commercial Xerox Corp.:
States Paper* USD 72,000,000 5.55% due 8/11/1997 $ 71,889,000 $ 71,889,000 0.5%
(concluded) (concluded) USD 28,000,000 5.52% due 8/14/1997 27,944,187 27,944,187 0.2
Xerox Credit Corp.:
USD 15,000,000 5.52% due 8/04/1997 14,993,100 14,993,100 0.1
USD 85,000,000 5.48% due 9/19/1997 84,365,995 84,365,995 0.6
--------------- --------------- ------
2,871,219,398 2,871,219,398 20.2
US Government Federal Home Loan
Agency Mortgage Corp.:
Obligations* USD 16,000,000 5.41% due 8/01/1997 16,000,000 16,000,000 0.1
USD 35,420,000 5.34% due 8/05/1997 35,398,984 35,398,984 0.2
USD 19,580,000 5.38% due 8/05/1997 19,568,295 19,568,295 0.1
USD 45,000,000 5.37% due 8/07/1997 44,959,725 44,959,725 0.3
USD 50,000,000 5.43% due 8/13/1997 49,909,500 49,909,500 0.4
USD 40,000,000 5.38% due 8/18/1997 39,898,378 39,898,378 0.3
Federal National Mortgage
Association:
USD 20,000,000 5.32% due 8/05/1997 19,988,178 19,988,178 0.1
USD 50,000,000 5.40% due 8/21/1997 49,850,000 49,850,000 0.3
USD 54,000,000 5.48% due 8/21/1997 53,835,600 53,835,600 0.4
USD 40,000,000 5.40% due 8/28/1997 39,838,000 39,838,000 0.3
--------------- --------------- ------
369,246,660 369,246,660 2.5
Total Investments in
Short-Term Securities 3,240,466,058 3,240,466,058 22.7
Total Investments 12,736,413,546 14,149,010,304 99.1
OPTIONS Nominal Value Premiums
WRITTEN Covered by Options Issue Received
Call Options 1,500,000 AT&T Corp., expiring
Written October 1997 at USD 35 (3,486,133) (4,312,500) 0.0
500,000 Airtouch Communications,
Inc., expiring October
1997 at USD 25 (703,726) (4,250,000) 0.0
1,000,000 GTE Corp., expiring
December 1997 at USD 42.50 (2,844,904) (5,375,000) (0.1)
300,000 QUALCOMM Inc., expiring
January 1998 at USD 55 (2,053,431) (1,200,000) 0.0
Total Options Written (9,088,194) (15,137,500) (0.1)
Total Investments, Net of Options Written $12,727,325,352 14,133,872,804 99.0
===============
Short Sales (Proceeds--$111,047,452)** (133,531,484) (0.9)
Unrealized Appreciation on Forward Foreign Exchange Contracts*** 32,721,397 0.2
Variation Margin on Financial Futures Contracts**** (5,465,554) 0.0
Other Assets Less Liabilities 252,292,831 1.7
--------------- ------
Net Assets $14,279,889,994 100.0%
=============== ======
Net Asset Value: Class A--Based on net assets of $2,179,171,383
and 136,900,364 shares outstanding $ 15.92
===============
Class B--Based on net assets of $10,030,053,427
and 639,046,784 shares outstanding $ 15.70
===============
Class C--Based on net assets of $627,631,595
and 40,393,000 shares outstanding $ 15.54
===============
Class D--Based on net assets of $1,443,033,589
and 90,748,023 shares outstanding $ 15.90
===============
<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 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)Each $10 face amount contains 40 shares of First Place Tower,
Inc.
(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 countains 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.
(p)Represents a Brady Bond. Brady Bonds are securities which have
been issued to refinance commercial bank loans and other debt. The
risk associated with these instruments is the amount of any
uncollateralized principal or interest payments since there is a
high default rate of commercial bank loans by countries issuing
these securities.
(q)Each $1,000 face amount contains one warrant of Unifi
Communications,Inc.
(r)Each $1,000 face amount contains one warrant of Ionica PLC.
++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 July 31, 1997.
**Covered Short Sales entered into as of July 31, 1997 were as
follows:
<CAPTION>
Common
Shares Issue Value
<C> <S> <C>
703,950 Banco Bilbao Vizcaya, S.A. de C.V. $ (18,409,115)
4,153,020 Bank of East Asia (17,272,958)
3,710,000 Hysan Development Co., Ltd. (11,812,388)
1,862,000 NEC Corporation (27,026,498)
4,535,000 Sinoland Company Ltd. (4,761,750)
161,600 Sony Corporation (16,091,814)
1,413,000 Yamanouchi Pharmaceutical Co., Ltd. (38,156,961)
-------------
Total (Proceeds--$111,047,452) $(133,531,484)
=============
***Forward Foreign Exchange Contracts as of July 31, 1997 were as follows:
<CAPTION>
Unrealized
Foreign Expiration Appreciation
Currency Sold Date (Depreciation)
<S> <C> <S> <C>
CHF 103,000,000 September 1997 $ 2,344,287
DEM 117,000,000 August 1997 5,003,738
DEM 80,000,000 September 1997 2,205,332
ESP 1,000,000,000 September 1997 145,412
FRF 499,000,000 August 1997 4,445,650
FRF 385,000,000 September 1997 2,496,871
FRF 80,000,000 October 1997 (3,655)
GBP 6,000,000 August 1997 248,820
GBP 191,000,000 September 1997 8,724,707
GBP 23,000,000 October 1997 1,175,898
NLG 121,000,000 August 1997 3,640,536
NLG 40,000,000 October 1997 522,065
NOK 105,000,000 August 1997 609,362
SEK 410,000,000 October 1997 1,162,374
Total Unrealized Appreciation on Forward
Foreign Exchange Contracts--Net
(USD Commitment--$873,897,502) $32,721,397
===========
<CAPTION>
****Financial Futures Contracts sold as of July 31, 1997 were as follows:
Number of Expiration
Contracts Issue Exchange Date Value
<C> <S> <S> <S> <C>
100 Japanese Govern-
ment Bonds Tokyo September 1997 $106,708,861
540 Standard & Poor's
500 Index NYSE September 1997 258,646,500
300 US Treasury Notes NYSE September 1997 33,300,000
Total Financial Futures Contracts Sold
(Total Contract Price--$372,609,260) $398,655,361
============
<CAPTION>
Financial Futures Contracts purchased as of July 31, 1997 were
as follows:
Number of Expiration
Contracts Issue Exchange Date Value
<C> <S> <S> <S> <C>
3,026 Nikkei 225 OSAKA September 1997 $519,144,135
Total Financial Futures Contracts Purchased
(Total Contract Price--$524,448,608) $519,144,135
============
</TABLE>
COMMON STOCK PORTFOLIO CHANGES
For the Quarter Ended July 31, 1997
Additions
Amway Japan Limited (Premium
Exchangeable Participating Shares)
(ADR)
Ascent Entertainment Group, Inc.
Assicurazioni Generali S.p.A.
Assurances Generales de France S.A. (AGF)
Axa S.A.--UAP
BB&T Corporation
Banco Bilbao Vizcaya S.A.
Bass PLC
Boise Cascade Corporation
*CCA Prison Realty Trust
Citizens Utilities Company (Class A)
Citizens Utilities Company (Class B)
Coinstar Inc.
*Coinstar Inc. (Warrants)
*Compagnie Generale des Eaux S.A.
(New Shares)
*EDP--Electricidade de Portugal S.A.
*EDP--Electricidade de Portugal S.A. (ADR)
Flowserve Corporation
Gallaher Group PLC
General Communication, Inc. (Class A)
Golden State Bancorp Inc.
Golden State Bancorp Inc. (Warrants)
*Granges AB
Guinness PLC
Istituto Bancario San Paolo di Torino S.p.A.
James River Corporation of Virginia
Komag, Inc.
Koninklijke Pakhoed N.V.
Mercantile Bancorporation Inc.
Monterey Resources, Inc.
*NEC Corporation
Novartis AG (Registered)
Pilkington PLC
QUALCOMM, Inc.
Signet Group PLC (ADR)
Silicon Graphics, Inc.
*Sinoland Company Ltd.
Telegroup Inc.
*Thorn PLC
*Thorn PLC (Class B)
*Tokyo Electron Ltd.
Ugly Duckling Corporation
W.H. Smith Group PLC (Class A)
*Wang Laboratories, Inc. (Warrants)
Waste Management Inc.
Deletions
AGCO Corp.
Aetna Inc.
Allianz AG Holding
American Home Products Corporation
Autopista Concesionaria Espanola S.A.
(ACESA)
BW/IP Holdings, Inc.
Banco Central Hispanoamericano S.A.
Bank of New York Company, Inc. (The)
Barnett Banks Inc.
Bay Networks Inc.
Bristol-Myers Squibb Co.
Brooks Fiber Properties, Inc.
*CCA Prison Realty Trust
Canadian Pacific, Ltd.
Centex Corp.
Cheung Kong Holdings Ltd.
Chevron Corp.
*Coinstar Inc. (Warrants)
*Compagnie Generale des Eaux S.A.
(New Shares)
Crane Co.
Deltic Timber Corporation
Dime Bancorp, Inc.
*EDP--Electricidade de Portugal S.A.
*EDP--Electricidade de Portugal S.A. (ADR)
Ente Nazionale Idrocarburi S.p.A.
First of America Bank
Fomento de Construciones y Contratas S.A.
Getronics N.V.
Glaxo Wellcome PLC
Glendale Federal Savings Bank
Glendale Federal Savings Bank (Warrants)
Grand Metropolitan PLC
*Granges AB
Harris Corp.
ITT Corp.
Immobiliaria Metropolitana Vasco
Central S.A.
International Petroleum Corp.
Investor AB (B Shares)
KLM Royal Dutch Airlines N.V.
Long Beach Finance Corp.
Mapfre S.A. (New Shares)
Mediolanum S.p.A.
Millipore Corporation
Mobil Corp.
*NEC Corporation
Onbancorp, Inc.
Orkla A.S. (Class A)
Parker Drilling Company
Pharmacia & Upjohn, Inc.
Philip Morris Companies, Inc.
Prudential Corp. PLC
RJR Nabisco, Inc.
Rauma OY
Rogers Cantel Mobile Communications Inc.
Roosevelt Financial Group, Inc.
SBC Communications Inc.
Singer Co.
*Sinoland Company Ltd.
SmithKline Beecham Corp. PLC (ADR)
Southern National Corp.
*Thorn PLC
*Thorn PLC (Class B)
*Tokyo Electron Ltd.
Transamerica Refining Corp. (Warrants)
Transitional Hospitals Corp.
Tupperware Corporation
Unidanmark A/S
VLSI Technology, Inc.
WMX Technologies, Inc.
*Wang Laboratories, Inc. (Warrants)
[FN]
*Added and deleted in the same quarter.
PORTFOLIO INFORMATION
Worldwide
Investments
As of 7/31/97
Percent Breakdown of Stocks &
Fixed-Income Securities by Percent of
Country Net Assets
United States* 66.6%
Germany 5.7
Japan 5.5
United Kingdom 4.8
France 2.2
Argentina 2.0
Italy 1.5
Canada 1.5
Netherlands 1.0
Finland 0.7
Hong Kong 0.7
Australia 0.7
Switzerland 0.7
Russia 0.6
Sweden 0.5
South Korea 0.5
Portugal 0.5
Mexico 0.5
Brazil 0.5
Singapore 0.4
Indonesia 0.4
Malaysia 0.3
Spain 0.2
Cayman Islands 0.2
Norway 0.2
India 0.2
Taiwan 0.1
South Africa 0.1
Luxembourg 0.1
Austria 0.1
Philippines 0.1
New Zealand** 0.0
Ireland** 0.0
----
Total 99.1%
====
[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%
Republic New York Corp. 0.7
Societe Generale de France S.A. 0.6
AT&T Corp. 0.6
Mellon Bank Corp. 0.5
Catellus Development Corp. 0.4
First Commerce Corp. 0.4
KeyCorp 0.4
Sumitomo Marine & Fire
Insurance Co., Ltd. 0.4
Canon, Inc. 0.4
Ten Largest Industries Percent of
(Equity Investments) Net Assets
Banking++ 5.5%
Telecommunications 4.2
Insurance 3.7
Utilities--Electric & Gas 1.9
Energy & Petroleum 1.0
Oil Services 1.0
Metals 0.9
Healthcare Services 0.9
Retail Stores 0.9
Financial Services 0.9
[FN]
++Includes savings banks.
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