Putnam
Asset Allocation
Funds
[Artwork]
Annual Report
September 30, 1994
[Putnam Logo]
Boston * London * Tokyo
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ASSET ALLOCATION SUMMARY
PUTNAM ASSET ALLOCATION FUNDS are three portfolios targeted to the investor's
stage in life and financial goals.
GROWTH PORTFOLIO is designed to seek maximum growth of an investment over time.
[Bar Chart]
TARGETED PORTFOLIO STRUCTURE
Large-cap growth stocks 25%
Small-cap growth stocks 15%
Value stocks 25%
International equities 15%
Domestic fixed-income securities 5%
International fixed-income securities 5%
High-yield securities 5%
Cash and money market securities 5%
BALANCED PORTFOLIO is designed to seek total return for investors in their peak
accumulation years.
[Bar Chart]
TARGETED PORTFOLIO STRUCTURE
Large-cap growth stocks 20%
Small-cap growth stocks 10%
Value stocks 20%
International equities 15%
Domestic fixed-income securities 10%
International fixed-income securities 10%
High-yield securities 10%
Cash and money market securities 5%
CONSERVATIVE PORTFOLIO is designed for income, while seeking to protect the ori-
ginal value of the investment, and is for investors concerned about maintaining
their purchasing power.
[Bar Chart]
TARGETED PORTFOLIO STRUCTURE
Large-cap growth stocks 10%
Small-cap growth stocks 5%
Value stocks 10%
International equities 10%
Domestic fixed-income securities 35%
International fixed-income securities 15%
High-yield securities 10%
Cash and money market securities 5%
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FROM THE CHAIRMAN [Photograph of George Putnam]
* (C) Karsh, Ottawa
Dear Shareholder:
Putnam Asset Allocation Funds completed their first fiscal period on September
30, 1994. With more than 21,000 shareholder accounts on the funds' books after
only eight months of operation, the funds' initial reception has been hearten-
ing, but not particularly surprising. After all, the funds represent an exce-
llent way for investors at all stages of life to benefit from professional mana-
gement that continually allocates assets across a variety of markets to seek
each of the three funds' specific objectives.
Professional management is an increasingly essential ingredient in achieving in-
vestment success in today's unsettled investment environment. Whether you're
seeking long-term growth, a mixture of growth and income, or a conservative in-
vestment that seeks to provide a steady flow of income to meet current living
expenses, you have a team of seasoned investment managers backed by nearly 60
years of Putnam experience working for you.
In the report that follows, your funds' managers discuss the three portfolios'
performance to date and prospects for the next fiscal year, now under way.
Respectfully yours,
George Putnam
Chairman of the Trustees
November 9, 1994
* (C) Copyright
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REPORT FROM THE FUND MANAGERS
PETER CARMAN
GARY N. COBURN
WILLIAM J. LANDES
Over the past few months, the Federal Reserve Board continued its policy of
fighting inflation -- and the fear of inflation -- by gradually raising the
short-term interest rates under its control. The impact of these rate increases
was felt in every sector of the wolrd's securities markets, affecting stocks as
well as bonds, and has consequently affected performance of all three portfolios
of the Putnam Asset Allocation Funds.
U.S. ECONOMIC AND MARKET ENVIRONMENT
STOCKS. By September 30, 1994, the close of your funds' abbreviated initial fis-
cal year, the continuing strength of the U.S. economy served as a clear sign
that further interest rate increases can be expected. During the period, size
was an important differentiator between equity market winners and losers. In ge-
neral, the stocks of smaller-capitalization companies in the funds' portfolios
exhibited stronger growth potential, materially outperforming the stocks of lar-
ge companies held over this period.
While the U.S. economy is likely to decelerate somewhat over the near term, it
should still provide a robust environment in which U.S. companies can achieve
favorable earnings gains. This should be especially evident within the indus-
trial sectors of the economy, where healthy demand from expanding domestic mar-
kets will be bolstered by rising order rates from overseas.
However, the U.S. stock market is likely to remain volatile. In such an environ-
ment, we believe a broadly diversified portfolio designed to minimize risk makes
great sense -- at least until the outlook for inflation, interest rates, and the
probable strength and duration of earnings growth can be clarified.
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BONDS. The U.S. fixed-income market experienced the full impact of the Fed's
tighter monetary policy. In keeping with its goal to slow the economy to an
annual growth rate of 2.5%, the Fed implemented a series of interest-rate boosts
during the period.
Inclusion of lower-rated, higher-yielding bonds in the funds' portfolios has
helped soften the impact of the fixed-income sector's decline during the period.
These bonds, which historically have been more sensitive to economic conditions
than to changes in interest rates, benefited to some extent from the U.S. econo-
my's continued recovery and outperformed most higher-rated investments over the
period.
GLOBAL ECONOMIC ENVIRONMENT
Overseas, a continued lack of liquidity, inflation fears, political turmoil, and
a plummeting U.S. dollar contributed to an unsettled global investment environ-
ment. Worldwide financial markets were clearly unnerved by the prospect of addi-
tional U.S. interest-rate increases.
(Line Chart - Page 5)
WORLD FIXED-INCOME MARKETS
% change
U.S. high-yield U.S. government International
bonds (1) securities (2) bonds (3)
Jan 1.79 % 0.99 % 0.43 %
Feb 1.94 -0.42 0.72
Mar -1.06 -1.86 1.94
Apr -2.38 -2.49 2.61
May -1.83 -2.42 1.23
Jun -2.48 -2.40 3.68
Jul -2.03 -1.13 3.94
Aug -1.29 -0.84 3.34
Sep -0.89 -1.66 5.39
Month end from 12/31/93.
Sources: (1) First Boston High Yield Bond Index; (2) Lehman Brothers Interme-
diate Treasury Bond Index; (3) Salomon Brothers Non-U.S. World Government Bond
Index -- USA.
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In Europe and elsewhere around the world, poor liquidity continued to be a domi-
nant theme. Fear of inflation also rattled a number of European markets, reflec-
ting stronger-than-expected economic figures in Germany and other countries.
However, in most cases, concern over inflation was exaggerated, given Europe's
persistent high unemployment and still-sluggish economies.
On the other side of the globe, Japan's economy was marked by political confu-
sion; uncertainty over the direction of official policies there only added to
the current sense of apprehension in the wolrd's financial markets.
STRATEGY AND OUTLOOK: TRIM STOCKS, ADD BONDS
We remain optimistic about stock market prospects, especially those of small
companies. But we believe bonds will be marginally better performers over the
next several months. Therefore, following the recent rise in interest rates we
took advantage of the flexibility offered by the funds' asset allocation strate-
gy to make some strategic portfolio adjustments. We reduced exposure to stocks
by 5% and increased bond exposure by a like amount in all three portfolios.
With respect to U.S. fixed-income markets, we believe the yield curve should
continue its gradual flattening. We do not believe the Fed has ended its efforts
to curb inflation, and therefore we see continued pressure on short-term rates
over the next few months.
Uncertainty about the economy, coupled with a sharp decline in the U.S. dollar
against several other key currencies, has affected investor demand for U.S.
equities. Many investors have sold equities and put the proceeds into highly li-
quid short-term investment vehicles, a development that has not helped stock
prices. Nevertheless, we believe most of the U.S. equities the funds now hold
are reasonably valued, high-quality stocks showing tangible earnings momentum
and positive earnings characteristics. The economic environment outside the
United States is positive for corporate profits as well, which could serve to
bolster equities in other key markets.
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(Line Chart - Page 7)
WORLD STOCK MARKETS
% change
Large-cap Small-cap International
stocks (1) stocks (2) stocks (3)
Jan 3.40 % 3.13 % 8.31 %
Feb 0.59 2.76 7.81
Mar -3.79 -2.66 3.17
Apr -2.55 -2.08 7.35
May -0.96 -3.18 6.78
Jun -3.38 -6.44 8.01
Jul -0.21 -4.90 9.20
Aug 3.87 0.39 11.92
Sep 1.33 0.05 8.65
Month end from 12/31/93.
Sources: (1) Standard & Poor's 500 Index; (2) Russell 2000 Index; (3) Morgan
Stanley Capital International (MSCI) World Index -- USA.
In our opinion, it is highly unlikely that inflation prospects have deteriorated
as sharply as the international bond market conditions suggest. Steady growth,
accompanied by relatively low inflation in the world's major economies, is a mo-
re probable outlook for the long term. International bond prices have declined
to the point where exceptional values are now available in a number of markets.
However, we do not expect to see any significant, lasting rallies until those
markets regain a measure of confidence in the Fed and in the overall U.S. trade
and economic policies.
We continue to believe that our disciplined investment approach and portfolio
management strategies will help us to find value and deliver strong performance
for these funds in what is certain to be an increasingly complex and challenging
environment.
The views expressed throughout the report are exclusively those of Putnam Mana-
gement. They are not meant as investment advice.
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PERFORMANCE SUMMARY
FISCAL 1994 PERFORMANCE AT A GLANCE
Class A Class B
NAV POP NAV CDSC
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TOTAL RETURN *
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Growth Portfolio -0.82% -6.54% -1.29% -6.23%
Balanced Portfolio -1.47 -7.15 -1.89 -6.78
Conservative Portfolio -2.47 -8.09 -2.79 -7.62
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SHARE VALUE
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GROWTH PORTFOLIO
2/8/94 $8.50 $9.02 --
2/16/94 -- -- $8.50
9/30/94 8.43 8.94 8.39
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BALANCED PORTFOLIO
2/7/94 $8.50 $9.02 --
2/11/94 -- -- $8.50
9/30/94 8.33 8.84 8.31
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CONSERVATIVE PORTFOLIO
2/7/94 $8.50 $9.02 --
2/18/94 -- -- $8.50
9/30/94 8.23 8.73 8.22
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INVESTMENT CAPITAL
DISTRIBUTIONS NUMBER INCOME GAINS TOTAL
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GROWTH PORTFOLIO
Class A 0 $0.00 $0.00 $0.00
Class B 0 0.00 0.00 0.00
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BALANCED PORTFOLIO
Class A 1 $0.045 $0.00 $0.045
Class B 1 0.029 0.00 0.029
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CONSERVATIVE PORTFOLIO
Class A 1 $0.060 $0.00 $0.060
Class B 1 0.043 0.00 0.043
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* From inception date of class to September 30, 1994.
Performance data represent past results. Investment return and principal value
will fluctuate so that an investor's shares, when redeemed, may be worth more or
less than their original cost. Total return assumes reinvestment of all distri-
butions. The Trust began operations on February 7, 1994. The Trust began offer-
ing class C shares on September 1, 1994, and class Y shares on July 5, 1994.
Performance for these shares will differ.
International investing may include risks such as currency fluctuations and po-
litical developments. Higher-yielding, lower-rated bonds involve greater risk of
nonpayment of principal and interest than investment-grade bonds. Small-capita-
lization stocks may be more volatile than those of larger companies, but offer
greater growth potential.
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COMPARATIVE PERFORMANCE
Lehman Bros. First
Total return Intermed. S&P Russell Boston
2/7/94-9/30/94 Treasury 500 2000 High Yld.
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Total return 2/7/94 -- 9/30/94 -2.62% -1.99% -2.98% -2.64%
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Total return 2/11/94 -- 9/30/94 -2.62% -1.99% -2.98% -2.64%
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TERMS AND DEFINITIONS
CLASS A SHARES are generally subject to an initial sales charge.
CLASS B SHARES may be subject to a sales charge upon redemption.
CLASS C SHARES are not subject to an initial sales charge and are subject to a
sales charge only if the fund is redeemed during the first year.
NET ASSET VALUE (NAV) is the value of all your fund's assets, minus any liabili-
ties, divided by the number of outstanding shares, not including any initial or
contingent deferred sales charges.
CONTINGENT DEFERRED SALES CHARGE (CDSC) is a charge applied at the time of the
redemption of class B shares and assumes redemption at the end of the period.
Your fund's CDSC declines from a 5% maximum during the first year to 1% during
the sixth year. After the sixth year, the CDSC no longer applies. The CDSC for
class C shares is 1% for one year after purchase.
COMPARATIVE BENCHMARKS
FIRST BOSTON HIGH YIELD INDEX is an unmanaged list of lower-rated higher-yield-
ing U.S. corporate bonds.
LEHMAN BROTHERS INTERMEDIATE TREASURY BOND INDEX is an unmanaged list of Treasu-
ry bonds; it is used as a general gauge of the market for intermediate-term
fixed-income securities.
STANDARD & POOR'S 500 *(R) INDEX is an unmanaged list of common stocks that is
frequently used as a general measure of stock market performance.
RUSSELL 2000 INDEX is an unmanaged list of common stocks that is frequently used
as a general performance measure of stocks of small to midsized companies.
SALOMON BROTHERS NON-U.S. WORLD GOVERNMENT BOND INDEX is an unmanaged list of
bonds issued by 10 countries.
MORGAN STANLEY CAPITAL INTERNATIONAL WORLD INDEX-USA is an unmanaged list of
equity securities listed on the stock exchanges of Europe, Canada, Australia,
New Zealand and the Far East, with all values expressed in U.S. dollars.
The indexes assume reinvestment of all distributions and do not take into acco-
unt brokerage commissions or other costs, may include investments different from
those in the fund, and may pose different risks than the fund. The fund's port-
folio contains securities that do not match those in the indexes.
* (R) Registered mark
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PUTNAM ASSET ALLOCATION FUNDS
ANNUAL REPORT
For the Period Ended September 30, 1994
REPORT OF INDEPENDENT ACCOUNTANTS
To the Trustees and Shareholders of
Putnam Asset Allocation Funds
In our opinion, the accompanying statements of assets and liabilities, including
the portfolios of investments owned, and the related statements of operations
and of changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of each of the funds (Growth Portfo-
lio, Balanced Portfolio and Conservative Portfolio) constituting Putnam Asset
Allocation Funds (the "trust") at September 30, 1994 and the results of each of
their operations, the changes in each of their net assets and their financial
highlights for the periods indicated, in conformity with generally accepted
accounting principles. These financial statements and financial highlights (he-
reafter referred to as "financial statements") are the responsibility of the
trust's management; our responsibility is to express an opinion on these finan-
cial statements based on our audits. We conducted our audits of these financial
statements in accordance with generally accepted auditing standards which requi-
re that we plan and perform the audits to obtain reasonable assurance about whe-
ther the financial statements are free of material misstatement. An audit inclu-
des examining, on a test basis, evidence supporting the amounts and disclosures
in the financial statements, assessing the accounting principles used and signi-
ficant estimates made by management, and evaluating the overall financial state-
ment presentation. We believe that our audits, which included confirmation of
investments owned at September 30, 1994 by correspondence with the custodian and
brokers and the application of alternative auditing procedures where confirma-
tions from brokers were not received, provide a reasonable basis for the opinion
expressed above.
Price Waterhouse LLP
Boston, Massachusetts
November 22, 1994
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GROWTH
PORTFOLIO OF INVESTMENTS OWNED
September 30, 1994
COMMON STOCKS (75.2%)(a)
NUMBER OF SHARES VALUE
INSURANCE AND FINANCE (9.2%)
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10,000 Aetna Life & Casualty Co. $ 463,750
26,025 Allied Irish Banks PLC (Ireland)(b) 96,116
7,900 American Express Co. 239,963
3,600 American International Group, Inc. 319,950
2,100 Argentaria (Spain)(b) 84,131
55 Baer Holdings (Switzerland)(b) 50,847
1,200 Banco Frances Del Rio De La Plata S.A. (Argentina)(b) 11,967
600 Banco Frances Del Rio De La Plata S.A. ADR (Argentina)(b) 18,000
12,984 Barclays Bank PLC (United Kingdom)(b) 116,703
14,100 Beneficial Corp. 574,575
3,700 CIGNA Corp. 228,013
200 Cetelem Group (France)(b) 38,164
46,600 Christiana Bank & Trust (Norway)(b) 81,042
1,794 Cie Finance Paribas (France)(b) 109,816
5,800 Citicorp 246,500
640 Credit Locale de France (France)(b) 47,145
20 Credit Suisse Holding Bearer Shares (Switzerland)(b) 81,728
8,000 Daiwa Securities Co. Ltd. (Japan)(b) 117,054
11,000 Danieli Savings (Italy)(b) 42,944
11,000 Danieli Savings Rights exp. 10/10/94 (Italy)(b)(c) 28
6,900 Dean Witter, Discover & Co. 259,613
3,400 Federal National Mortgage Association 267,750
3,300 First Interstate Bancorp 267,713
11,000 Guoco Group Ltd. (Hong Kong)(b) 54,241
4,685 HCC Insurance Holdings, Inc. 92,529
10,000 HSBC Holdings (Hong Kong)(b) 111,626
6,290 Healthsource, Inc.(c) 223,295
1,300 Healthwise of America, Inc. 37,050
2,700 ITT Corp. 225,113
2,339 Internationale Nederlanden (Netherlands)(b) 100,993
6,600 Jardine Matheson Holdings Ltd. (Hong Kong)(b) 55,949
5,575 Life Partners Group, Inc. 105,925
12,800 MBNA Corp. 296,000
9,000 Malayan Banking Berhad (Malaysia)(b) 60,047
20,100 National City Corp. 565,313
7,200 NationsBank Corp. 352,800
2,600 Reinsurance Group America, Inc. 59,800
32,500 Royal Insurance Holdings PLC (United Kingdom)(b) 147,466
3,700 Royal PTT (Netherlands)(b) 111,618
550 Societe Generale (France)(b) 56,112
510 Sovac (France)(b) 38,435
9,000 Tokio Marine & Fire Insurance Co. Ltd. (The) (Japan)(b) 107,165
400 Transamerica Corp. 20,100
3,000 Transnational Re Corp. 63,000
10,100 Travelers, Inc. 332,038
1,640 Trenwick Group Inc. 60,680
40,200 USF&G Corp. 532,650
15,000 United Overseas Bank Ltd. (Singapore)(b) 152,287
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GROWTH
COMMON STOCKS
NUMBER OF SHARES VALUE
INSURANCE AND FINANCE (Continued)
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6,300 Wells Fargo & Co. $ 914,288
9,000 Yamaguchi Bank Ltd. (Japan)(b) 161,655
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8,801,687
BUSINESS EQUIPMENT AND SERVICES (8.2%)
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5,975 Accustaff, Inc.(c) 82,903
2,750 Antec Corp.(c) 70,813
3,950 Cambridge Technology Partners, Inc. 58,263
4,150 Career Horizons, Inc. 67,438
5,200 Compaq Computer Corp.(c) 169,650
6,300 Computer Associates International, Inc. 280,350
7,000 Computer Sciences Corp. 304,500
3,818 Concord Computing Corp. 72,533
700 Corporate Express, Inc. 14,525
1,750 Cyrk International, Inc.(c) 53,703
10,100 DSC Communications Corp.(c) 287,850
10,000 Dai Nippon Printing Co., Ltd. (Japan)(b) 180,626
9,200 Dun & Bradstreet Corp. 529,000
15,200 EMC Corp.(c) 305,900
4,000 Encad, Inc.(c) 69,000
7,005 FTP Software, Inc.(c) 167,682
5,870 Fiserv Inc.(c) 126,205
8,000 Glory Ltd. (Glory Kogyo) (Japan)(b) 258,325
11,900 IBM Corp. 827,050
2,405 Interim Services, Inc.(c) 58,622
1,125 Intuit, Inc.(c) 49,219
3,000 Komori Printing Machinery Co., Ltd. (Japan)(b) 77,195
2,000 Medar, Inc.(c) 26,000
26,100 Moore Corp. Ltd. 479,588
2,895 Novellus Systems Inc.(c) 136,789
3,640 Olsten Corp. (The) 137,410
5,700 Oracle Systems Corp. 245,100
2,525 PLATINUM Technology Inc. 50,184
1,680 PeopleSoft, Inc.(c) 81,060
6,208 Robert Half International, Inc.(c) 118,728
5,800 STERIS Corp. 153,700
3,200 Security Services PLC (United Kingdom)(b) 38,468
10,000 Silicon Graphics, Inc.(c) 257,500
100 Societe Generale De Surveillance Holdings S.A.
(Switzerland)(b) 155,376
4,800 Sybase, Inc.(c) 220,200
450 Synopsys, Inc.(c) 20,363
5,700 Tandy Corp. 245,100
48,200 Unisys Corp. 518,150
1,877 Viewlogic Systems, Inc.(c) 36,602
940 Wall Data, Inc.(c) 31,255
8,509 Westcott Communications, Inc.(c) 116,467
2,508 Wolters Kluwer N.V. (Netherlands)(b) 178,318
3,800 Xerox Corp. 405,650
2,735 Zilog Inc.(c) 92,306
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7,855,666
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GROWTH
COMMON STOCKS
NUMBER OF SHARES VALUE
HEALTH CARE (6.9%)
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8,050 Advantage Health Corp. $ 209,300
4,800 Amgen, Inc.(c) 255,600
9,000 Bristol-Myers Squibb Co. 516,375
4,235 COR Therapeutics, Inc.(c) 64,584
1,230 Clinicom, Inc. 21,525
9,100 Columbia/HCA Healthcare Corp. 395,850
5,200 Community Health Systems 135,200
900 Essilor International ADP (France)(b) 88,419
2,645 Grancare, Inc.(c) 48,271
3,445 HEALTHSOUTH Rehabilitation Corp.(c) 135,216
8,305 Health Management Associates, Inc.(c) 204,511
4,590 Healthcare Services Group, Inc.(c) 53,359
3,435 Homecare Management, Inc.(c) 58,824
7,620 Horizon Healthcare Corp.(c) 208,598
3,000 I-Stat Corp. 49,125
765 Immulogic Pharmaceutical Corp.(c) 7,841
10,000 Johnson & Johnson 516,250
10,000 Lilly (Eli) & Co. 578,750
5,935 Lincare Holdings, Inc.(c) 137,989
3,255 Mariner Health Group, Inc.(c) 68,152
5,200 Medisense Inc. 91,650
16,100 Meditrust Corp. SBI 515,200
6,410 Mid Atlantic Medical Services, Inc. 180,281
12,100 Nationwide Health Properties, Inc. 465,850
2,900 Pfizer, Inc. 200,463
2,050 Quantum Health Resources, Inc. 86,482
3,725 Ren Corp-USA(c) 38,181
3,220 Renal Treatment Centers, Inc.(c) 59,470
500 Sierra Health Services 12,875
2,100 Summit Care Corp. 47,906
7,600 U.S. Healthcare Inc. 353,775
5,800 United Healthcare Corp. 307,400
2,175 Vencor, Inc.(c) 98,963
4,200 Warner-Lambert Co. 337,050
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6,549,285
UTILITIES (5.7%)
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3,150 ALC Communications Corp.(c) 103,163
9,800 American Telephone & Telegraph Co. 529,200
8,500 Ameritech Corp. 342,125
5,900 Anglian Water PLC (United Kingdom)(b) 50,614
4,100 BellSouth Corp. 228,575
24,100 Entergy Corp. 560,325
3,000 Hidrolectrica del Cantabrico, S.A. (Spain)(b) 89,032
16,100 Houston Industries Inc. 567,525
3,000 Kurita Wtr. Ind., Ltd. (Japan)(b) 79,617
14,100 NYNEX Corp. 542,850
5,365 North West Water Group PLC (United Kingdom)(b) 46,574
22,500 Northeast Utilities Co. 495,000
7,600 Northern Electric PLC (United Kingdom)(b) 90,522
18,100 Public Service Co. of Colorado 488,700
10,400 Sprint Corp. 396,500
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GROWTH
COMMON STOCKS
NUMBER OF SHARES VALUE
UTILITIES (Continued)
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6,300 Tele Danmark A/S ADS (Denmark)(b) $ 171,675
14,100 Texas Utilities Electric Co. 460,013
485 Veba (Vereinigte Elektrizitaets Bergwerks) AG (Germany)(b) 160,926
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5,402,936
CONSUMER NON DURABLES (5.2%)
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14,100 American Brands, Inc. 511,125
9,085 Authentic Fitness Corp.(c) 140,818
11,000 Avon Products, Inc. 657,250
5,190 Department 56, Inc.(c) 202,410
500 Dial Corp. (The) 10,438
32,100 Dibrell Bros., Inc. 633,975
3,170 Fastenal Co. 131,159
5,565 Inbrand Co.(c) 83,475
8,400 Lowe.s Cos., Inc. 324,450
18,700 Philip Morris Cos., Inc. 1,143,038
7,500 Premark International, Inc. 316,775
3,900 Scott Paper Co. 238,388
6,355 St. John Knits, Inc.(c) 184,295
100 Supertel Hospitality, Inc. 1,300
10,000 Svenska Cellulosa AB-Ser. B Fria (Sweden)(b) 160,675
22,200 Tate & Lyle PLC (United Kingdom)(b) 155,469
13,000 Toray Industries Inc. (Japan)(b) 101,009
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4,996,049
ELECTRONICS AND ELECTRICAL EQUIPMENT (4.8%)
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2,000 Austria Mikro Systeme International Ord. (Austria)(b) 128,470
140 BBC Brown Boveri & Cie (Switzerland)(b) 120,727
6,270 Baldor Electric Co. 152,048
5,000 Best Denki Co. Ltd. (Japan)(b) 80,727
8,200 Cherry Corp. Class A 139,400
4,700 Emerson Electric Co. 280,238
6,000 Exar Corp.(c) 202,500
2,455 First Alert, Inc.(c) 94,518
2,000 Futaba Corp. (Japan)(b) 103,532
30,000 General Electric Co. PLC (United Kingdom)(b) 138,015
1,330 Integrated Device Technology 27,930
23,000 Johnson Electric Holdings Ltd. (Hong Kong)(b) 64,743
4,275 Level One Communications, Inc.(c) 136,800
9,000 Matsushita Electric Industrial Co., Ltd. (Japan)(b) 143,492
600 Mattson Technology, Inc. 10,200
3,470 Maxim Integrated Products Inc.(c) 212,538
6,800 Motorola, Inc. 358,700
2,200 Murata Manufacturing Co. Ltd. (Japan)(b) 85,025
16,300 National Semiconductor Corp.(c) 254,688
8,000 Nippondenso Co., Ltd. (Japan)(b) 161,453
5,400 Oak Industries, Inc. 132,975
7,000 Omron Tateisi Electronics Co. (Japan)(b) 121,493
5,080 Sanmina Corp.(c) 123,190
9,824 Siebe PLC (United Kingdom)(b) 83,580
2,000 Sony Corp. (Japan)(b) 116,246
1,390 StrataCom, Inc.(c) 51,778
75 Sulzer PC (Switzerland)(b) 49,817
2,260 Teradyne, Inc.(c) 66,388
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GROWTH
COMMON STOCKS
NUMBER OF SHARES VALUE
ELECTRONICS AND ELECTRICAL EQUIPMENT (Continued)
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4,200 Texas Instruments, Inc. $ 287,175
4,500 Ultratech Stepper, Inc. 162,000
36,200 Westinghouse Electric Corp. 470,600
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4,560,986
OIL AND GAS (3.7%)
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6,600 British Petroleum Co., PLC ADR (United Kingdom)(b) 499,950
10,000 Burmah Oil PLC (United Kingdom)(b) 133,130
10,800 Enron Corp. 326,700
6,400 MCN Corp. 231,200
20,100 McDermott International, Inc. 517,575
6,300 Mobil Corp. 498,488
6,700 Newpark Resources, Inc. 127,300
10,800 Pennzoil Co. 506,250
7,200 Repsol S.A. (Spain)(b) 219,557
700 Royal Dutch Petroleum Co. (Netherlands)(b) 75,440
2,262 Societe Nationale Elf Aquitaine (France)(b) 162,396
7,500 Williams Companies, Inc. 225,000
------------
3,522,986
CHEMICALS (3.5%)
- -------------------------------------------------------------------------------
1,300 Akzo N.V. (Netherlands)(b) 152,752
900 BASF AG (Germany)(b) 176,738
2,000 DSM N.V. (Netherlands)(b) 169,833
4,400 Dow Chemical Co. 344,300
4,800 du Pont (E.I.) de Nemours & Co. 278,400
300 Hercules Inc. 30,863
3,000 Monsanto Co. 241,125
12,100 Olin Corp. 715,413
6,300 PPG Industries Inc. 249,638
100 Solvay SA (Belgium)(b) 45,040
26,700 Union Carbide Corp. 907,800
------------
3,311,902
BASIC INDUSTRIAL PRODUCTS (3.4%)
- -------------------------------------------------------------------------------
4,500 Applied Materials, Inc. 210,375
7,000 Asahi Diamond Industrial Co., Ltd. (Japan)(b) 124,319
20,100 Ball Corp. 570,338
60,000 British Steel PLC (United Kingdom)(b) 163,302
16,200 CBI Industries, Inc. 439,425
8,800 Caterpillar, Inc. 476,300
2,400 Danieli & Co. (Italy)(b) 16,589
2,400 Danieli & Co. Rights, exp. 10/10/94 (Italy)(b)(c) 6
3,200 Deere (John) & Co. 219,600
24,100 Harnischfeger Industries, Inc. 635,638
13,000 Komatsu, Ltd. (Japan)(b) 118,325
40 Rieter Holding AG (Registered Shares) (Switzerland)(b) 50,186
250 Sommer Allibert (France)(b) 103,391
5,000 Takuma Co. Ltd. (Japan)(b) 91,827
2,000 Toya Seikan Kaisha (Japan)(b) 62,159
------------
3,281,780
<PAGE>
<PAGE>
GROWTH
COMMON STOCKS
NUMBER OF SHARES VALUE
CONSUMER SERVICES (3.4%)
- -------------------------------------------------------------------------------
650 Boomtown, Inc. $ 10,888
3,925 Broadcasting Partners, Inc.(c) 53,233
6,165 Buffets, Inc.(c) 97,099
1,176 CBS Inc. 377,202
4,000 Cellular Communications of Puerto Rico, Inc.(c) 138,000
11,775 Century Communications Corp. Class A 105,975
3,195 Clear Channel Communications, Inc.(c) 164,143
1,285 DF&R Restaurants, Inc.(c) 36,301
6,375 Davco Restaurants, Inc.(c) 98,813
1,700 Doubletree Corp.(c) 31,769
3,545 EZ Communications, Inc. Class A(c) 43,426
15,000 Genting Berhad (Malaysia)(b) 134,609
3,665 Hospitality Franchise System, Inc.(c) 114,989
5,465 Landry's Seafood Restaurants, Inc.(c) 139,358
6,900 Loewen Group, Inc. 167,325
10,200 Marriott International, Inc. 294,525
7,500 Procter & Gamble Co. 447,078
6,250 Rio Hotel & Casino, Inc.(c) 82,813
730 SFX Broadcasting, Inc. Class A(c) 11,680
1,530 Star Sight Telecast, Inc.(c) 19,508
1,160 Stewart Enterprises, Inc. Class A 28,710
1,820 Taco Cabana, Inc.(c) 15,925
14,900 Tele-Communications Class A 330,594
21,200 Wendy's International, Inc. 307,400
------------
3,251,363
RETAIL (3.3%)
- -------------------------------------------------------------------------------
5,300 Books-A-Million, Inc. 72,875
14,000 Cycle & Carriage Ltd. (Singapore)(b) 119,932
12,650 Damark International, Inc. Class A 153,381
15,600 Federated Dept. Stores Inc. 358,800
4,140 Gymboree Corp.(c) 123,165
2,360 Heilig-Meyers Co. 61,360
5,550 Hollywood Entertainment Corp. 155,400
3,000 Ito-Yokado Co., Ltd. (Japan)(b) 160,141
21,300 Kroger Co.(c) 567,113
9,950 Office Depot, Inc.(c) 258,700
5,647 One Price Clothing Stores, Inc.(c) 52,235
8,200 Pep Boys-Manny Moe & Jack 284,950
40,000 Sears (United Kingdom)(b) 65,224
2,945 Stein Mart, Inc.(c) 44,359
3,905 Tommy Hilfiger(c) 151,807
5,800 Welcome Home, Inc. 68,875
28,100 Woolworth Corp. 488,238
------------
3,186,555
TRANSPORTATION (2.5%)
- -------------------------------------------------------------------------------
36,000 Associated British Ports (United Kingdom)(b) 150,304
4,700 Brambles Industries, Ltd. (Australia)(b) 47,661
2,680 Careline, Inc.(c) 15,075
7,435 Expeditors International of Washington, Inc. 148,700
4,500 Federal Express Corp.(c) 278,438
3,275 Fritz Companies, Inc.(c) 116,263
16,100 Illinois Central Corp. 483,000
<PAGE>
<PAGE>
GROWTH
COMMON STOCKS
NUMBER OF SHARES VALUE
TRANSPORTATION (Continued)
- -------------------------------------------------------------------------------
6,000 Jurong Shipyard Ltd. (Singapore)(b) $ 55,852
2,870 Landair Services, Inc.(c) 62,423
3,800 Landstar System, Inc.(c) 131,100
10,000 Singapore Airlines Ltd. (Singapore)(b) 97,808
24,100 Southern Pacific Rail Corp. 451,875
5,000 Swire Pacific Ltd. Class A (Hong Kong)(b) 39,150
21,000 Yamato Transport Co. Ltd. (Japan)(b) 262,765
------------
2,340,414
METALS AND MINING (2.2%)
- -------------------------------------------------------------------------------
19,900 Alumax, Inc.(c) 639,288
800 CRA Ltd. (Australia)(b) 11,251
1,600 Fischer (Georg) (Bearer Shares) (Switzerland)(b) 188,937
32,100 Freeport-McMoRan, Inc. 621,938
36,200 MIM Holdings Ltd. (Australia)(b) 73,153
129 N.V. Bekaert S.A. (Belgium)(b) 95,792
30,000 Nisshin Steel Co., Ltd. (Japan)(b) 143,793
3,800 Phelps Dodge Corp. 236,075
700 Ugine (France)(b) 53,746
10,500 Western Mining Holdings, Ltd. (Australia)(b) 61,167
------------
2,125,140
FOOD AND BEVERAGES (2.1%)
- -------------------------------------------------------------------------------
25,000 Argyll Group PLC (United Kingdom)(b) 108,120
9,900 Coca-Cola Co. 481,388
8,800 ConAgra, Inc. 277,200
80 Docks de France (France)(b) 11,154
4,500 General Mills, Inc. 259,875
22,268 Greencore Group PLC (Ireland)(b) 133,597
1,900 Guinness PLC (United Kingdom)(b) 13,665
20,100 IBP, Inc. 658,275
100 Nestle S.A. (Registered Shares) (Switzerland)(b) 90,817
------------
2,034,091
AUTOMOTIVE (2.0%)
- -------------------------------------------------------------------------------
3,285 A.P.S. Holding Corp.(c) 92,596
695 Allied Holdings, Inc.(c) 10,338
8,000 Bridgestone Corp. (Japan)(b) 125,126
7,000 Edaran Otomobil Nasional Berhad (Malaysia)(b) 47,249
2,535 Exide Corp. 120,096
15,800 General Motors Corp. 740,625
7,200 Magna International, Inc. Class A 265,500
3,730 Michelin (CGDE) Ser. B (France)(b) 152,146
13,000 Mitsubishi Motors Corp. (Japan)(b) 121,999
1,300 Peugeot Citroen SA (France)(b) 192,556
------------
1,868,231
BUILDING AND CONSTRUCTION (1.4%)
- -------------------------------------------------------------------------------
22,400 CRH PLC (Ireland)(b) 122,172
6,600 Fluor Corp. 328,350
17,000 Hong Leong Industries (Malaysia)(b) 85,564
2,000 Lafarge Coppee (Bearer Shares) (France)(b) 157,340
<PAGE>
<PAGE>
GROWTH
COMMON STOCKS
NUMBER OF SHARES VALUE
BUILDING AND CONSTRUCTION (Continued)
- -------------------------------------------------------------------------------
6,000 Marui Co. Ltd. (Japan)(b) $ 104,137
3,425 Redman Industries(c) 64,647
4,315 Schuler Homes, Inc.(c) 85,221
19,600 Senior Engineering Group PLC (United Kingdom)(b) 35,049
12,000 Shimizu Corp. (Japan)(b) 120,606
2,250 Sungei Way Holdings Berhad (Malaysia)(b) 8,867
3,000 Taihei Dengyo Corp. (Japan)(b) 92,028
1,000 VA Technolgie AG (Austria)(b) 99,931
------------
1,303,912
FOREST PRODUCTS (1.3%)
- -------------------------------------------------------------------------------
4,442 Amcor Ltd. (Australia)(b) 29,197
18,100 Champion International Corp. 701,375
2,500 International Paper Co. 196,250
1,270 Mayr-Melnhof Karton AG (Austria)(b) 71,672
12,000 Rengo Co. Ltd. (Japan)(b) 102,926
8,400 Repola (Finland)(b) 176,402
------------
1,277,822
PHOTOGRAPHY (1.0%)
- -------------------------------------------------------------------------------
18,400 Eastman Kodak Co. 952,200
COMPUTER SERVICES/SOFTWARE (0.9%)
- -------------------------------------------------------------------------------
1,945 America Online, Inc. 132,989
7,650 Cognex Corp.(c) 140,569
4,011 Getronics N.V. (Netherlands)(b) 122,385
2,065 Infosoft International, Inc.(c) 56,658
5,295 Keane, Inc.(c) 117,814
8,130 Mercury Interactive Corp.(c) 80,792
1,900 Midisoft Corp. 29,213
1,760 Netmanage, Inc.(c) 37,400
9,000 Platinum Software Corp. 110,250
2,785 Softdesk, Inc.(c) 49,434
------------
877,504
ENVIRONMENTAL CONTROL (0.9%)
- -------------------------------------------------------------------------------
6,500 Browning-Ferris Industries, Inc. 206,375
22,100 WMX Technologies, Inc. 638,138
------------
844,513
REAL ESTATE (06%)
- -------------------------------------------------------------------------------
12,000 Cheung Kong Holdings Ltd. (Hong Kong)(b) 58,394
30,100 Debartolo Realty Corp. 436,450
7,000 Mitsui Fudosan Co., Ltd. (Japan)(b) 79,818
------------
574,662
CONGLOMERATES (0.7%)
- -------------------------------------------------------------------------------
6,600 Allied-Signal Inc. 225,225
7,500 Cartiere Burgo S.P.A. (Italy)(b) 45,504
11,000 Hutchison Whampoa, Ltd. (Hong Kong)(b) 51,963
<PAGE>
<PAGE>
GROWTH
COMMON STOCKS
NUMBER OF SHARES VALUE
CONGLOMERATES (Continued)
- -------------------------------------------------------------------------------
22,000 Mitsui Co. (Japan)(b) $ 187,367
21,000 Sime Darby Berhad (Malaysia)(b) 60,631
20,000 United Engineers (Malaysia)(b) 112,368
------------
683,058
BROADCASTING (0.5%)
- -------------------------------------------------------------------------------
9,020 Centennial Cellular Corp. Class A 155,595
3,655 Infinity Broadcasting Corp. Class A(c) 111,478
3,865 Paging Network, Inc.(c) 111,602
1,410 Renaissance Communications Corp. 37,894
6,500 Valuevision International, Inc. Class A(c) 30,875
------------
447,444
AEROSPACE AND DEFENSE (0.4%)
- -------------------------------------------------------------------------------
3,200 McDonnell Douglas Corp. 369,600
1,600 Rockwell International Corp. 54,800
------------
424,400
PHARMACEUTICALS (0.4%)
- -------------------------------------------------------------------------------
10,985 Revco D.S., Inc.(c) 229,314
300 Schering AG (Germany)(b) 184,574
------------
413,888
COMPUTERS (0.3%)
- -------------------------------------------------------------------------------
12,000 Fujitsu Ltd. (Japan)(b) 125,934
1,895 Union Switch & Signal, Inc.(c) 33,163
2,957 Zebra Technologies Corp.(c) 108,670
------------
267,767
TELECOMMUNICATIONS (0.3%)
- -------------------------------------------------------------------------------
136 Cable & Wireless PLC (United Kingdom)(b) 856
1,335 Intermedia Communications of Florida 16,187
4,655 Transaction Network Services Inc. 64,588
56,075 Vodafone Group PLC (United Kingdom)(b) 174,483
-----------
256,114
PUBLISHING (0.2%)
- -------------------------------------------------------------------------------
400 Elsevier N.V. (Netherlands)(b) 38,319
10,200 Pearson PLC (United Kingdom)(b) 93,528
6,000 Singapore Press (Singapore)(b) 105,227
------------
237,074
CONSUMER DURABLE GOODS (0.2%)
- -------------------------------------------------------------------------------
3,075 Blyth Industries, Inc. 81,488
2,630 Duracraft Corp. 89,420
------------
170,908
------------
TOTAL COMMON STOCKS (cost $69,199,654) $71,820,337
<PAGE>
<PAGE>
GROWTH
CORPORATE BONDS AND NOTES (4.1%)(a)
PRINCIPAL AMOUNT VALUE
CONSUMER SERVICES (0.8%)
- -------------------------------------------------------------------------------
$110,000 AMC Entertainment, Inc. sr. sub. deb. 11 7/8s, 2000 $ 118,800
10,000 Century Communications Corp. sr. sub. deb. 11 7/8s, 2003 10,500
90,000 Century Communications Corp. notes 9 3/4s, 2002 87,750
100,000 Comcast Cellular Corp. sr. participating notes Ser. A,
zero %, 2000 61,750
20,000 Continental Cablevision, Inc. sr. deb. 9s, 2008 17,900
45,000 Continental Cablevision, Inc. sr. note 8 1/2, 2001 41,400
121,109 Falcon Holdings Group Inc. sr. sub. notes 11s, 2003(d) 108,988
10,000 Flagstar Corp. sr. sub. deb. 11 1/4s, 2004 8,575
85,000 General Media sr. secd. notes 10 5/8s, 2000 79,475
45,000 Golden Nugget Finance Corp. 1st mtge. deb. Ser. B,
10 5/8s, 2003 24,300
10,000 Insight Communications Co. sr. sub. notes stepped-coupon
notes 8 1/4s (11 1/4s, 3/1/96), 2000(e) 9,550
20,000 John Q. Hammons Hotels 1st. mtge. notes 8 7/8s, 2004 18,250
10,000 La Quinta Motor Inns Inc. deb. 9 1/4s, 2003 9,400
150,000 Marcus Cable Co. sr. sub. disc. note stepped-coupon
zero % (13 1/2s, 8/1/99), 2004(e) 81,000
75,000 U.S. Banknote Corp. sr. notes 10 3/8s, 2002 65,250
-------------
742,888
INSURANCE AND FINANCE (0.5%)
- -------------------------------------------------------------------------------
80,000 American Annuity Group, Inc. sr. sub. notes 11 1/8s, 2003 80,800
10,000 Associates Corp. sub. notes 5.49s, 1999 9,188
25,000 Banponce Corp. med. term notes 5.48s, 1998 22,891
45,000 Chrysler med. term notes 5.83s, 1999 41,766
10,000 Comdata Network, Inc. sr. sub. deb. 13 1/4s, 2002 11,050
10,000 Comdata Network, Inc. sr. notes 12 1/2s, 1999 10,750
100,000 First Federal Financial Corp. notes 11 3/4s, 2004 100,000
30,000 General Motors Acceptance Corp. med. term notes
6 3/4s, 1996 30,131
10,000 MBNA America Bank med. term. notes 7.12s, 1999 9,788
75,000 National Bank of Canada sub. notes 8 1/8s, 2004 73,359
80,000 PSF Finance L.P. sr. notes 12 1/4s, 2004(f) 81,750
10,000 Reliance Group Holdings sr. sub. deb. 9 3/4s, 2003 9,050
20,000 Royal Bank of Scotland Capital Corp. deb. 10 1/8s, 2004 22,175
-------------
502,698
RETAIL (0.4%)
- -------------------------------------------------------------------------------
35,000 Bradlees, Inc. sr. sub. notes 11s, 2002 34,475
10,000 Finlay Enterprises, Inc. sr. notes 10 5/8s, 2003 9,500
35,000 Grand Union Co. sr. sub. notes 12 1/4s, 2002 25,988
40,000 Loehmanns. Holdings, Inc. sr. sub. notes 13 3/4s, 1999 40,000
30,000 Safeway, Inc. 9.35s, 1999 30,900
50,000 Sears Roebuck med. term notes 5.54s, 1999 45,250
175,000 Stop & Shop Companies., Inc. sr. sub. notes 9 3/4s, 2002 181,125
40,000 Wal-Mart Stores, Inc. notes 8s, 2006 39,500
-------------
406,738
<PAGE>
<PAGE>
GROWTH
CORPORATE BONDS AND NOTES
PRINCIPAL AMOUNT VALUE
METAL AND MINING (0.3%)
- -------------------------------------------------------------------------------
$ 50,000 Bayou Steel Corp. 1st. mtge. 10 1/4s, 2001 $ 47,250
10,000 Geneva Steel corp. sr. notes 9 1/2s, 2004 9,050
60,000 Inland Steel Industries, Inc. notes 12 3/4s, 2002 67,350
135,000 WCI Steel Inc. sr. secd. notes 10 1/2s, 2002(f) 132,975
-------------
256,625
CHEMICALS (0.3%)
- -------------------------------------------------------------------------------
200,000 G-I Holdings Inc. sr. notes zero %, 1998 124,000
10,000 Harris Chemical Corp. sr. sub. notes 10 3/4s, 2003 9,350
10,000 OSI Specialty Inc. sr. sub. notes 9 1/4s, 2003 9,350
95,000 UCC Investors Holding, Inc. sr. notes 10 1/2s, 2002 97,850
-------------
240,550
HEALTH CARE (0.2%)
- -------------------------------------------------------------------------------
10,000 Healthsouth Rehabilitation 9 1/2s, 2001 9,800
65,000 McGaw, Inc. sr. notes 10 3/8s, 1999 66,950
125,000 Mediplex Group, Inc. sr. sub. notes 11 3/4s, 2002 134,688
25,000 Paracelsus Healthcare Corp. sr. sub. notes 9 7/8s, 2003 23,813
-------------
235,251
AEROSPACE AND DEFENSE (0.2%)
- -------------------------------------------------------------------------------
135,000 BE Aerospace sr. notes, 9 3/4s, 2003 129,600
100,000 UNC, Inc. 9 1/8s, 2003 92,000
-------------
221,600
UTILITIES (0.2%)
- -------------------------------------------------------------------------------
100,000 Commonwealth Edison Co. 1st mtge. 6s, 1998 94,625
20,000 Long Island Lighting mtg. 5 1/4s, 1996 19,600
53,000 Midland Funding Corp. II deb. Ser. B, 13 1/4s, 2006 54,060
10,000 Philadelphia Electric Co. 1st mtge. 7 1/2s, 1999 9,850
20,000 Puget Sound Power & Light Co. 1st mtge. 8 1/4s, 1995 20,300
10,000 Puget Sound Power & Light Co. 1st mtge. 7 7/8s, 1997 10,119
5,000 Texas Utilities Electric sub. notes 5 7/8s, 1998 4,794
-------------
213,348
FOREST PRODUCTS (0.2%)
- -------------------------------------------------------------------------------
65,000 Container Corp. of America sr. notes Ser. A, 11 1/4s, 2004 67,600
10,000 Gaylord Container Corp. sr. notes 11 1/2s, 2001 10,225
50,000 Gaylord Container Corp. sr. sub. disc. deb. stepped-coupon
zero % (12 3/4s, 5/15/96), 2005(e) 42,313
50,000 Stone Container Corp. sr. notes 11 1/2s, 2004 50,188
10,000 Stone Container Corp. sr. sub. notes 10 3/4s, 1997 10,050
25,000 Stone Savannah River Pulp & Paper Corp. sr. sub. notes
14 1/8s, 2000 26,781
-------------
207,157
SPECIALTY CONSUMER PRODUCTS (0.2%)
- -------------------------------------------------------------------------------
45,000 Anchor Glass Container Corp. notes 10 1/4s, 2002 45,450
10,000 Anchor Glass Container Corp. sr. sub. deb. 9 7/8s, 2008 9,100
200,000 International Semi-Tech. Corp. sr. disc. notes
stepped-coupon zero % (11 1/2s, 8/15/00), 2003(e) 95,500
-------------
150,050
<PAGE>
<PAGE>
GROWTH
CORPORATE BONDS AND NOTES
PRINCIPAL AMOUNT VALUE
ENTERTAINMENT (0.2%)
- -------------------------------------------------------------------------------
$ 45,000 Caesars World sr. sub. notes 8 7/8s, 2002 $ 42,750
115,000 Viacom International sub. deb. 8s, 2006 100,050
-------------
142,800
MOTION PICTURE DISTRIBUTION (0.1%)
- -------------------------------------------------------------------------------
40,000 AMC Entertainment, Inc. sr. sub. deb. 12 5/8s, 2002 44,400
50,000 United Artists notes 11 1/2s, 2002 53,500
-------------
97,900
REAL ESTATE (0.1%)
- -------------------------------------------------------------------------------
110,000 Chelsea Piers Ser. A, stepped-coupon zero % (12 1/2s,
6/15/99), 2004(e)(f) 89,513
5,000 Chelsea Piers Ser. B, stepped-coupon zero % (11s, 6/15/99),
2009(e)(f) 4,144
-------------
93,657
BUILDING AND CONSTRUCTION (0.1%)
- -------------------------------------------------------------------------------
100,000 Kaufman & Broad Home Corp. sr. sub. notes 9 3/8s, 2003 90,750
OIL AND GAS (0.1%)
- -------------------------------------------------------------------------------
90,000 TransTexas Gas Corp. sr. secd. notes 10 1/2s, 2000 88,200
FOOD AND BEVERAGES (0.1%)
- -------------------------------------------------------------------------------
10,000 Chiquita Brands International Inc. sub. deb. 11 1/2s, 2001 10,350
45,000 Fresh Del Monte Produce Corp. sr. notes, Ser. B, 10s,
2003(f) 39,600
20,000 Stater Brothers sr. notes 11s, 2001(f) 19,150
-------------
69,100
TELECOMMUNICATIONS (0.1%)
- -------------------------------------------------------------------------------
40,000 Dial Call Communication sr. disc. notes Ser. B
stepped-coupon zero %, (10 1/4s,12/15/98), 2005(e) 19,200
40,000 K-III Communications Corp. sr. notes 10 1/4s, 2004 39,200
15,000 MFS Communications sr. disc. notes stepped-coupon
zero % (9 3/8s, 1/15/99), 2004(e) 8,700
-------------
67,100
TRANSPORTATION (--%)
- -------------------------------------------------------------------------------
10,000 Blue Bird Body Co. sub. deb. Ser. B 11 3/4s, 2002 10,175
30,000 Viking Star Shipping sr. secd. notes 9 5/8s, 2003 28,725
-------------
38,900
CONGLOMERATES (--%)
- -------------------------------------------------------------------------------
25,000 Haynes International, Inc. sr. sub. notes 13 1/2s, 1999 15,250
10,000 Jordan Industries, Inc. sr. notes 10 3/8s, 2003 9,125
5,000 MacAndrews & Forbes Holdings Inc. sub. deb. 13s, 1999 5,000
5,000 MacAndrews & Forbes Holdings Inc. deb. 12 1/4s, 1996 5,000
-------------
34,375
<PAGE>
<PAGE>
GROWTH
CORPORATE BONDS AND NOTES
PRINCIPAL AMOUNT VALUE
ELECTRONICS AND ELECTRICAL EQUIPMENT (--%)
- -------------------------------------------------------------------------------
$ 25,000 Amphenol Corp. sr. sub. notes 12 3/4s, 2002 $ 28,375
AUTOMOTIVE (--%)
- -------------------------------------------------------------------------------
25,000 Key Plastics Corp. sr. notes 14s, 1999 28,344
BASIC INDUSTRIAL PRODUCTS (--%)
- -------------------------------------------------------------------------------
20,000 Ivex Packaging Corp. sr. sub. notes 12 1/2s, 2002 20,800
CONSUMER NON DURABLES (--%)
- -------------------------------------------------------------------------------
10,000 Foamex L.P. Capital Corp. sr. notes 11 1/4s, 2002 10,100
10,000 Playtex Family Products Corp. sr. sub. notes 9s, 2003 8,600
-------------
18,700
-------------
TOTAL CORPORATE BONDS AND NOTES (cost $4,050,665) $ 3,995,906
FOREIGN BONDS AND NOTES (4.1%)(a)(g)
PRINCIPAL AMOUNT VALUE
- -------------------------------------------------------------------------------
AUD 170,000 Australia (Government of) bonds 9 1/2s, 2003 $ 120,169
AUD 60,000 Australia (Government of) bonds 8 3/4s, 2001 41,850
AUD 260,000 Australia (Government of) bonds 6 3/4s, 2006 143,813
AUD 33,000 Australia (Government of) bonds 6 1/4s, 1999 21,450
CAD 70,000 Canada (Government of) bonds 9s, 2004 52,631
CAD 475,000 Canada (Government of) bonds 6 1/2s, 2004 301,031
CAD 580,000 Canada (Government of) bonds 5 3/4s, 1999 392,225
FRF 298,000 France (Government of) OAT 6 3/4s, 2003 51,591
ECU 90,000 France (Government of) OAT 6s, 2004 92,250
FRF 2,300,000 France (Government of) OAT 5 1/2s, 2004 360,813
ECU 6,000 France (Government of) BTAN 5s, 1999 6,518
FRF 100,000 France (Government of) BTAN 4 3/4s, 1999 16,875
DEM 80,000 Germany (Government of) Treuhandansalt
bonds 6 3/4s, 2004 48,550
ITL 270,000,00 Italy (Government of) bonds 12s, 2003 173,981
ECU 25,000 Italy (Government of) notes 9 1/4s, 2011 29,438
ITL 470,000,000 Italy (Government of) bonds 8 1/2s, 2004 251,450
ITL 185,000,000 Italy (Government of) notes 8 1/2s, 1999 106,838
NLG 200,000 Netherlands (Government of) deb. 7 1/2s, 1999 116,375
NLG 191,000 Netherlands (Government of) deb. 5 3/4s, 2004 97,171
NZD 150,000 New Zealand (Government of) notes 8s, 1998 87,188
ESP 7,000,000 Spain (Government of) bonds 10.55s, 1996 54,600
ESP 16,300,000 Spain (Government of) bonds 10 1/4s, 1998 123,269
SEK 800,000 Sweden (Government of) bonds 10 1/4s, 2003 101,500
SEK 500,000 Sweden (Government of) bonds 6s, 2005 45,625
GBP 140,000 United Kingdom Exchequer notes 9 3/4s, 1998 227,750
GBP 100,000 United Kingdom Treasury bonds 9 1/2s, 2005 164,063
ECU 150,000 United Kingdom Treasury bonds 9 1/8s, 2001 189,088
GBP 70,000 United Kingdom Treasury bonds 9s, 2000 111,300
GBP 50,000 United Kingdom Treasury bonds 8 3/4s, 1997 79,531
GBP 34,000 United Kingdom Treasury bonds 8 1/2s, 2007 52,339
GBP 45,000 United Kingdom Treasury bonds 8s, 2003 67,078
GBP 120,000 United Kingdom Treasury notes 7 3/4s, 2006 174,450
GBP 25,000 United Kingdom Treasury bonds 6 3/4s, 2004 34,004
-------------
TOTAL FOREIGN BONDS AND NOTES (cost $3,976,456) $ 3,936,804
<PAGE>
<PAGE>
GROWTH
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (3.7%)(a)
PRINCIPAL AMOUNT VALUE
- -------------------------------------------------------------------------------
Federal National Mortgage Association
$ 201,999 Pass Through 8 1/2s, June 1, 2021 $ 201,999
100,999 Pass Through 8s, June 1, 2024 98,379
294,187 Pass Through 7 1/2s, with various due dates to
August 1, 2024 279,705
115,778 7s, October 25, 2023 100,944
8,906 Principal Only (P.O.) Strips zero %, February 25, 2017(h) 8,308
Government National Mortgage Association
148,000 TBA 7 1/2s, October 14, 2024(i) 139,028
163,272 7 1/2s, June 15, 2024 153,374
596,935 7s, with various due dates to November 15, 2023 540,972
151,498 Midget 7s, June 15, 2009 144,633
150,000 TBA 6 1/2s, October 14, 2024(i) 130,969
324,514 6 1/2s, April 15, 2024 283,341
190,000 U.S. Treasury Bonds 7 1/2s, October 14, 2024 182,934
208,000 U.S. Treasury Notes 5 1/8s, June 30, 1998 194,545
1,085,000 U.S. Treasury Notes 4s, January 31, 1996 1,054,000
-------------
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS
(cost $3,728,218) $ 3,513,131
YANKEE BONDS AND NOTES (0.7%)(a)(b)
PRINCIPAL AMOUNT VALUE
- -------------------------------------------------------------------------------
$ 50,000 Aegon N.V. sub. notes 8s, 2006 $ 48,375
75,000 Eletson Holdings, Inc. mtge. notes 9 1/4s, 2003 69,188
100,000 Grupo Industrial Durango sr. notes 12s, 2001 103,000
10,000 Household Finance Corp. sr. notes 7 1/8s, 1999 9,744
20,000 LASMO PLC notes 7 1/8s, 2003 17,988
50,000 Maxus Energy Corp. global notes 9 7/8s, 2002 47,750
50,000 Methanex Corp. sr. notes 8 7/8s, 2001 49,000
125,000 Sifto Canada, Inc. sr. note 8 1/2s, 2000 115,313
50,000 Videotron Groupe LTEE sr. sub. notes 10 1/4s, 2002 50,500
75,000 World Bank bonds zero %, 1999 51,234
-------------
TOTAL YANKEE BONDS AND NOTES (cost $561,332) $ 562,092
UNITS (0.4%)(a)
NUMBER OF UNITS VALUE
- -------------------------------------------------------------------------------
25,000 Chesapeake Energy Corp. deb. units 12s, 2001(f) $ 30,125
65,000 County Seat Stores units 12s, 2001 64,350
200 Echostar Communication Corp. units stepped-coupon
zero % (12 7/8s, 12/1/99), 2004(e) 93,000
75,000 Hollywood Casino units 13 1/2s, 1998(f) 59,250
5,000 ICF Kaiser International Inc. sr. sub. units 12s, 2003 4,500
50,000 OSI Specialties units stepped-coupon zero % (11 1/2s,
4/15/99), 2004(e)(f) 30,500
2,900 SmithKline Beecham PLC Equity Units ADS (United
Kingdom)(b) 89,538
60 Total Renal Care units stepped-coupon zero % (12s,
8/15/99), 2004(e)(f) 42,900
-------------
TOTAL UNITS (cost $427,463) $ 414,163
PREFERRED STOCKS (0.1%)(a)
NUMBER OF SHARES VALUE
- -------------------------------------------------------------------------------
1,050 California Federal Bank Ser. B, $10.625 pfd. $ 110,906
152 Pantry Pride Inc. Ser. B, $14.875 pfd. 14,820
-------------
TOTAL PREFERRED STOCKS (cost $126,951) $ 125,726
<PAGE>
<PAGE>
GROWTH
ASSET-BACKED SECURITIES (0.1%)(a)
PRINCIPAL AMOUNT VALUE
- -------------------------------------------------------------------------------
$ 25,000 Chase Credit Card Master Trust Ser. 1991-1 8 3/4s, 1999 $ 25,672
50,000 Standard Credit Card Trust Ser. 1991-4A 8s, 1997 50,813
-------------
TOTAL ASSET-BACKED SECURITIES (cost $77,593) $ 76,485
WARRANTS (--%)(a)(c)
NUMBER OF EXPIRATION
WARRANTS DATE VALUE
- -------------------------------------------------------------------------------
65 County Seat Holdings, Inc. 10/15/98 $ 1,300
85 General Media Corp.(f) 12/31/00 850
50 OSI Specialties Corp.(f) 4/15/99 500
10 UCC Investors Holding, Inc.(f) 10/30/99 130
-------------
TOTAL WARRANTS (cost $2,656) $ 2,780
PUT OPTIONS ON FOREIGN CURRENCIES (--%)(a)(c)(g)
EXPIRATION DATE/
CURRENCY STRIKE PRICE VALUE
- -------------------------------------------------------------------------------
DEM150,000 Deutschemarks in exchange for U.S. Dollars Oct 94/1.52 $ 135
CHF 50,000 Swiss Francs in exchange for U.S. Dollars Oct 94/1.26 55
-------------
TOTAL PUT OPTIONS ON FOREIGN CURRENCIES (cost $3,090) $ 190
SHORT TERM INVESTMENTS (13.2%)(a)
PRINCIPAL AMOUNT VALUE
- -------------------------------------------------------------------------------
$3,000,000 Federal Home Loan Mortgage Corp. 4.72s,
October 20, 1994 $ 2,986,233
3,000,000 Federal Home Loan Mortgage Corp. 4.69s,
October 4, 1994(j) 2,990,229
2,000,000 Federal Home Loan Mortgage Corp. 4.68s,
October 20, 1994(j) 1,987,780
4,627,000 Interest in $81,000,000 joint repurchase agreement dated
September 30, 1994 with J.P. Morgan Securities Inc. due
October 3, 1994 with respect to various U.S. Treasury
obligations.maturity value of $4,628,870 for an effective
yield of 4.85% 4,627,623
-------------
TOTAL SHORT-TERM INVESTMENTS (cost $12,591,865) $12,591,865
-------------
TOTAL INVESTMENTS (cost $94,745,943)(k) $97,039,479
(a) Percentages indicated are based on net assets of $95,493,024, which corres-
pond to a net asset value per class A share of $8.43, per class B share of
$8.39, per class C share of $8.39, and per class Y share of $8.43.
(b) Securities whose values are determined or significantly influenced by tra-
ding on exchanges not in the United States or Canada. ADR or ADS after the
name of a foreign holding stands for American Depository Receipt or American
Depository Shares, respectively, representing ownership of foreign securi-
ties on deposit with a domestic custodian bank.
(c) Non-income-producing security.
(d) Income may be received in cash or additional securities at the discretion of
the issuer.
(e) The interest rate and date shown parenthetically represent the next interest
rate to be paid and the date the fund will begin receiving interest at this
rate.
(f) Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from registra-
tion, normally to qualified institutional buyers. For the year ended Septem-
ber 30, 1994, these securities amounted to $501,262, or 0.5% of net assets.
<PAGE>
<PAGE>
GROWTH
(g) Foreign currency-denominated. Market value is translated at the current ex-
change rate.
(h) Principal Only (P.O.) Strips represent the right to receive the monthly
principal payments on an underlying pool of mortgage loans. No payments of
interest on the pool are passed through to the P.O. holders.
(i) TBAs are mortgage backed securities traded under delayed delivery commit-
ments settling after September 30, 1994. Although the unit price for the
trades has been established, the principal value has not been finalized.
However, the amount of the commitments will not fluctuate more than 2.0%
from the principal amount. Income on the securities will not be earned un-
til settlement date. The cost of TBA purchases at September 30, 1994 is
$271,702.
(j) A portion of these securities were pledged to cover margin requirements for
futures contracts at September 30, 1994. The market value of segregated
securities with the custodian for transactions on futures contracts is
$279,002 or 0.3% of net assets.
(k) The aggregate identified cost for federal income tax purposes is $94,798,574
resulting in gross unrealized appreciation and depreciation of $4,581,378
and $2,340,473 respectively, or net unrealized appreciation of $2,240,905.
DIVERSIFICATION OF FOREIGN INVESTMENTS
at September 30, 1994 (as a percentage of net assets)
- -------------------------------------------------------------------------------
Japan 4.10% Ireland 0.37%
United Kingdom 2.84% Multinational 0.33%
France 1.72% Sweden 0.32%
Netherlands 1.22% Australia 0.31%
Switzerland 0.83% Austria 0.24%
Canada 0.78% Finland 0.18%
Italy 0.70% Denmark 0.18%
Spain 0.60% Belgium 0.15%
Germany 0.59% New Zealand 0.09%
Singapore 0.56% Norway 0.08%
Malaysia 0.53% Argentina 0.03%
Hong Kong 0.46%
TBA Sale Commitments Outstanding at September 30, 1994(i)
(proceeds receivable $202,157)
- -------------------------------------------------------------------------------
Principal Delivery Coupon Market
Agency Amount Month Rate Value
FNMA $200,000 Oct 94 8 1/2s $ 201,990
Futures Contracts Outstanding at September 30, 1994
- -------------------------------------------------------------------------------
Aggregate Unrealized
Total Face Expiration Appreciation/
Value Value Date (Depreciation)
U.S. Treasury Bond Futures
(Buy) $3,759,625 $3,867,535 Dec 94 $ (107,910)
S&P 500 Index Futures
(Sell) 3,937,625 3,967,950 Dec 94 30,325
- -------------------------------------------------------------------------------
$ (77,585)
<PAGE>
<PAGE>
GROWTH
Cross Forward Currency Contracts Outstanding at September 30, 1994
(Aggregate Face Value $93,733)
- -------------------------------------------------------------------------------
In
Market Exchange Market Delivery Unrealized
Value For Value Date Appreciation
British Pounds
(Buy) $94,512 Deutschemarks $94,501 10/19/94 $ 11
Forward Currency Contracts Outstanding at September 30, 1994
- -------------------------------------------------------------------------------
Unrealized
Market Aggregate Delivery Appreciation/
Value Face Value Date (Depreciation)
Australian Dollars (Sell) $147,940 $147,360 11/2/94 $ (580)
Australian Dollars (Sell) 74,020 63,264 10/4/94 (10,756)
Australian Dollars (Sell) 74,000 72,864 10/11/94 (1,136)
Australian Dollars (Sell) 73,890 74,110 12/19/94 220
Australian Dollars (Sell) 73,946 73,946 12/5/94 --
Deutschemarks (Sell) 64,490 63,464 11/1/94 (1,026)
Deutschemarks (Sell) 64,490 63,221 11/1/94 (1,269)
Deutschemarks (Sell) 64,490 63,054 11/1/94 (1,436)
Deutschemarks (Sell) 128,980 125,786 10/13/94 (3,194)
Deutschemarks (Sell) 257,960 258,715 10/24/94 755
Deutschemarks (Sell) 206,368 202,404 10/20/94 (3,964)
Deutschemarks (Sell) 19,347 18,987 11/2/94 (360)
Deutschemarks (Sell) 387,060 379,744 11/30/94 (7,316)
Deutschemarks (Sell) 128,980 126,739 10/17/94 (2,241)
Deutschemarks (Sell) 258,000 259,363 11/17/94 1,363
Deutschemarks (Sell) 64,520 64,954 12/20/94 434
Deutschemarks (Sell) 193,500 193,181 11/22/94 (319)
Deutschemarks (Sell) 129,020 129,565 11/28/94 545
Deutschemarks (Sell) 161,540 161,540 12/5/94 --
Japanese Yen (Sell) 684,713 686,968 2/22/95 2,255
New Zealand Dollars (Sell) 60,120 60,150 11/3/94 30
- -------------------------------------------------------------------------------
$ (27,995)
The accompanying notes are an integral part of these financial statements.
<PAGE>
<PAGE>
BALANCED
PORTFOLIO OF INVESTMENTS OWNED
SEPTEMBER 30, 1994
COMMON STOCKS (62.1%)(a)
NUMBER OF SHARES VALUE
INSURANCE AND FINANCE (7.5%)
- -------------------------------------------------------------------------------
17,200 Aetna Life & Casualty Co. $ 797,650
67,323 Allied Irish Banks PLC (Ireland)(b) 248,637
13,300 American Express Co. 403,988
6,100 American International Group, Inc. 542,138
5,800 Argentaria (Spain)(b) 232,361
28,000 Asahi Bank Ltd. (Japan)(b) 322,098
80 Baer Holdings (Switzerland)(b) 73,959
4,100 Banco Frances Del Rio De La Plata S.A. (Argentina)(b) 40,889
17,955 Barclays Bank PLC (United Kingdom)(b) 161,383
24,100 Beneficial Corp. 982,075
6,200 CIGNA Corp. 382,075
600 Cetelem Group (France)(b) 114,491
123,100 Christiana Bank & Trust (Norway)(b) 214,083
4,561 Cie Finance Paribas (France)(b) 279,192
9,600 Citicorp 408,000
1,000 Credit Locale de France (France)(b) 73,663
22,000 Daiwa Securities Co. Ltd. (Japan)(b) 321,897
18,000 Danieli Savings (Italy)(b) 70,272
18,000 Danieli Savings Rights exp. 10/10/94 (Italy)(b) 45
11,700 Dean Witter, Discover & Co. 440,213
5,700 Federal National Mortgage Association 448,875
5,500 First Interstate Bancorp 446,188
12,000 Guoco Group Ltd. (Hong Kong)(b) 59,172
7,685 HCC Insurance Holdings, Inc. 151,779
12,000 HSBC Holdings(Hong Kong)(b) 133,951
10,205 Healthsource, Inc. (c) 362,278
2,000 Healthwise of America, Inc. 57,000
5,649 Internationale Nederlanden (Netherlands)(b) 243,912
30,200 Jardine Matheson Holdings Ltd. (Hong Kong)(b) 256,008
9,190 Life Partners Group, Inc. 174,610
21,200 MBNA Corp. 490,250
22,000 Malayan Banking Berhad (Malaysia)(b) 146,782
34,500 National City Corp. 970,313
12,000 NationsBank Corp. 588,000
4,360 Reinsurance Group America, Inc. 100,280
35,300 Royal Insurance Holdings PLC (United Kingdom)(b) 160,170
2,600 Royal PTT (Netherlands)(b) 78,434
700 Societe Generale (France)(b) 71,415
900 Sovac (France)(b) 67,827
26,000 Tokio Marine & Fire Insurance Co. Ltd. (The) (Japan)(b) 309,587
1,000 Transamerica Corp. 50,250
4,900 Transnational Re Corp. 102,900
16,800 Travelers, Inc. 552,300
3,620 Trenwick Group Inc. 133,940
68,900 USF&G Corp. 912,925
30,000 United Overseas Bank Ltd. (Singapore)(b) 304,064
10,700 Wells Fargo & Co. 1,552,838
15,000 Yamaguchi Bank Ltd. (Japan)(b) 269,426
-------------
15,304,583
<PAGE>
<PAGE>
BALANCED
COMMON STOCKS
NUMBER OF SHARES VALUE
BUSINESS EQUIPMENT AND SERVICE (6.3%)
- -------------------------------------------------------------------------------
9,300 Accustaff, Inc.(c) $ 129,038
4,400 Antec Corp.(c) 113,300
6,660 Cambridge Technology Partners, Inc. 98,235
6,770 Career Horizons, Inc. 110,013
8,600 Compaq Computer Corp.(c) 280,575
10,400 Computer Associates International, Inc. 462,800
12,100 Computer Sciences Corp. 526,350
5,955 Concord Computing Corp. 113,145
1,100 Corporate Express, Inc. 22,825
2,975 Cyrk International, Inc.(c) 91,295
16,800 DSC Communications Corp.(c) 478,800
17,000 Dai Nippon Printing Co., Ltd. (Japan)(b) 307,064
15,900 Dun & Bradstreet Corp. 914,250
25,300 EMC Corp.(c) 509,163
6,400 Encad, Inc.(c) 110,400
11,105 FTP Software, Inc.(c) 265,826
9,400 Fiserv Inc.(c) 202,100
20,200 IBM Corp. 1,403,900
3,915 Interim Services, Inc.(c) 95,428
1,850 Intuit, Inc.(c) 80,938
5,000 Komori Printing Machinery Co., Ltd. (Japan)(b) 128,658
3,100 Medar, Inc.(c) 40,300
44,800 Moore Corp. Ltd. 823,200
4,710 Novellus Systems Inc.(c) 222,548
5,550 Olsten Corp. (The) 209,513
9,500 Oracle Systems Corp.(c) 408,500
4,475 PLATINUM Technology Inc.(c) 88,941
3,480 PeopleSoft, Inc.(c) 167,910
12,014 Robert Half International, Inc.(c) 229,768
9,300 STERIS Corp. 246,450
5,200 Security Services PLC (United Kingdom)(b) 62,510
16,700 Silicon Graphics, Inc.(c) 430,025
160 Societe Generale De Surveillance Holdings S.A.
(Switzerland)(b) 248,602
8,000 Sybase, Inc.(c) 367,000
950 Synopsys, Inc.(c) 42,988
9,500 Tandy Corp. 408,500
82,700 Unisys Corp. 889,025
3,694 Viewlogic Systems, Inc.(c) 72,033
1,215 Wall Data, Inc.(c) 40,399
14,119 Westcott Communications, Inc.(c) 193,254
4,811 Wolters Kluwer N.V. (Netherlands)(b) 342,060
6,400 Xerox Corp. 683,200
4,420 Zilog Inc.(c) 149,175
-------------
12,810,004
HEALTH CARE (5.4%)
- -------------------------------------------------------------------------------
12,895 Advantage Health Corp. 335,270
8,000 Amgen, Inc.(c) 426,000
15,500 Bristol-Myers Squibb Co. 889,313
6,825 COR Therapeutics, Inc.(c) 104,081
1,650 Clinicom, Inc. 28,875
15,100 Columbia/HCA Healthcare Corp. 656,850
8,500 Community Health Systems 221,000
1,300 Essilor International ADP (France)(b) 127,716
<PAGE>
<PAGE>
BALANCED
COMMON STOCKS
NUMBER OF SHARES VALUE
HEALTH CARE (Continued)
- -------------------------------------------------------------------------------
4,055 Grancare, Inc.(c) $ 74,004
5,545 HEALTHSOUTH Rehabilitation Corp.(c) 217,641
13,462 Health Management Associates, Inc.(c) 331,502
7,675 Healthcare Services Group, Inc.(c) 89,222
7,350 Homecare Management, Inc.(c) 125,869
12,380 Horizon Healthcare Corp.(c) 338,903
4,500 I-Stat Corp. 73,688
2,060 Immulogic Pharmaceutical Corp.(c) 21,115
16,600 Johnson & Johnson 856,975
17,200 Lilly (Eli) & Co. 995,450
9,715 Lincare Holdings, Inc.(c) 225,874
5,075 Mariner Health Group, Inc.(c) 106,258
8,500 Medisense Inc. 149,813
27,600 Meditrust Corp. SBI 883,200
10,620 Mid Atlantic Medical Services, Inc. 298,688
20,700 Nationwide Health Properties, Inc. 796,950
4,700 Pfizer, Inc. 324,888
3,275 Quantum Health Resources, Inc. 138,164
6,310 Ren Corp-USA(c) 64,678
5,125 Renal Treatment Centers, Inc.(c) 94,813
700 Sierra Health Services 18,025
3,300 Summit Care Corp. 75,281
12,800 U.S. Healthcare Inc. 596,000
9,600 United Healthcare Corp. 508,800
3,475 Vencor, Inc.(c) 158,113
7,000 Warner-Lambert Co. 561,750
-------------
10,914,769
UTILITIES (4.8%)
- -------------------------------------------------------------------------------
5,130 ALC Communications Corp.(c) 168,008
16,400 American Telephone & Telegraph Co. 885,600
14,300 Ameritech Corp. 575,575
18,300 Anglian Water PLC (United Kingdom)(b) 156,988
6,800 BellSouth Corp. 379,100
41,400 Entergy Corp. 962,550
9,000 Hidrolectrica del Cantabrico, S.A. (Spain)(b) 267,095
27,600 Houston Industries Inc. 972,900
10,000 Kurita Wtr. Ind., Ltd. (Japan)(b) 265,389
24,100 NYNEX Corp. 927,850
8,255 North West Water Group PLC (United Kingdom)(b) 71,662
38,700 Northeast Utilities Co. 851,400
21,400 Northern Electric PLC (United Kingdom)(b) 254,891
31,000 Public Service Co. of Colorado 837,000
17,400 Sprint Corp. 663,375
10,400 Tele Danmark A/S ADS (Denmark)(b) 283,400
24,100 Texas Utilities Electric Co. 786,263
1,040 Veba (Vereinigte Elektrizitaets Bergwerks) AG (Germany)(b) 345,079
-------------
9,654,125
CONSUMER NON DURABLES (4.3%)
- -------------------------------------------------------------------------------
24,100 American Brands, Inc. 873,625
14,830 Authentic Fitness Corp.(c) 229,865
19,000 Avon Products, Inc. 1,135,250
<PAGE>
<PAGE>
BALANCED
COMMON STOCKS
NUMBER OF SHARES VALUE
CONSUMER NON DURABLES (Continued)
- -------------------------------------------------------------------------------
8,350 Department 56, Inc.(c) $ 325,650
1,100 Dial Corp. (The) 22,963
55,100 Dibrell Bros., Inc. 1,088,225
5,166 Fastenal Co. 213,743
9,302 Inbrand Co.(c) 139,530
14,100 Lowe.s Cos., Inc. 544,613
31,700 Philip Morris Cos., Inc. 1,937,663
12,500 Premark International, Inc. 528,125
6,500 Scott Paper Co. 397,313
10,095 St. John Knits, Inc.(c) 292,755
1,700 Supertel Hospitality, Inc. 22,100
21,700 Svenska Cellulosa AB-Ser. B Fria (Sweden)(b) 348,665
42,000 Tate & Lyle PLC (United Kingdom)(b) 294,130
40,000 Toray Industries Inc. (Japan)(b) 310,796
-------------
8,705,011
ELECTRONICS AND ELECTRICAL EQUIPMENT (4.0%)
- -------------------------------------------------------------------------------
280 BBC Brown Boveri & Cie (Switzerland)(b) 241,454
10,205 Baldor Electric Co. 247,471
7,000 Best Denki Co. Ltd. (Japan)(b) 113,017
12,800 Cherry Corp. Class A 217,600
7,800 Emerson Electric Co. 465,075
9,175 Exar Corp.(c) 309,656
3,660 First Alert, Inc.(c) 140,910
3,000 Futaba Corp. (Japan)(b) 155,298
57,100 General Electric Co. PLC (United Kingdom)(b) 262,689
2,575 Integrated Device Technology 54,075
23,000 Leader Universal (Malaysia)(b) 131,917
6,800 Level One Communications, Inc.(c) 220,160
18,000 Matsushita Electric Industrial Co., Ltd. (Japan)(b) 286,983
900 Mattson Technology, Inc. 15,300
5,635 Maxim Integrated Products Inc.(c) 345,144
11,300 Motorola, Inc. 596,075
6,600 Murata Manufacturing Co. Ltd. (Japan)(b) 255,075
27,100 National Semiconductor Corp.(c) 423,438
14,000 Nippondenso Co., Ltd. (Japan)(b) 282,542
8,600 Oak Industries, Inc. 211,775
18,000 Omron Tateisi Electronics Co. (Japan)(b) 312,412
8,215 Sanmina Corp.(c) 199,214
6,000 Secom Co. (Japan)(b) 408,678
29,091 Siebe PLC (United Kingdom)(b) 247,498
5,000 Sony Corp. (Japan)(b) 290,616
2,135 StrataCom, Inc.(c) 79,529
120 Sulzer PC (Switzerland)(b) 79,708
3,490 Teradyne, Inc.(c) 102,519
7,100 Texas Instruments, Inc. 485,463
7,325 Ultratech Stepper, Inc. 263,700
62,000 Westinghouse Electric Corp. 806,000
-------------
8,250,991
OIL AND GAS (3.0%)
- -------------------------------------------------------------------------------
11,000 British Petroleum Co., PLC ADR (United Kingdom)(b) 833,250
22,150 Burmah Oil PLC (United Kingdom)(b) 294,883
18,100 Enron Corp. 547,525
<PAGE>
<PAGE>
BALANCED
COMMON STOCKS
NUMBER OF SHARES VALUE
OIL AND GAS (Continued)
- -------------------------------------------------------------------------------
10,800 MCN Corp. $ 390,150
34,500 McDermott International, Inc. 888,375
10,500 Mobil Corp. 830,813
10,700 Newpark Resources, Inc. 203,300
18,600 Pennzoil Co. 871,875
13,500 Repsol S.A. (Spain)(b) 411,669
1,100 Royal Dutch Petroleum Co. (Netherlands)(b) 118,549
4,259 Societe Nationale Elf Aquitaine (France)(b) 305,766
12,600 Williams Companies, Inc. 378,000
-------------
6,074,155
BASIC INDUSTRIAL PRODUCTS (2.9%)
- -------------------------------------------------------------------------------
7,600 Applied Materials, Inc. 355,300
16,000 Asahi Diamond Industrial Co., Ltd. (Japan)(b) 284,157
34,500 Ball Corp. 978,938
149,700 British Steel PLC (United Kingdom)(b) 407,438
27,700 CBI Industries, Inc. 751,363
14,500 Caterpillar Inc. 784,813
5,400 Deere (John) & Co. 370,575
41,400 Harnischfeger Industries, Inc. 1,091,925
27,000 Komatsu, Ltd. (Japan)(b) 245,751
60 Rieter Holding AG (Registered Shares) (Switzerland)(b) 75,280
640 Sommer Allibert (France)(b) 264,682
8,000 Takuma Co. Ltd. (Japan)(b) 146,922
4,000 Toya Seikan Kaisha (Japan)(b) 124,319
-------------
5,881,463
CHEMICALS (2.9%)
- -------------------------------------------------------------------------------
2,800 Akzo N.V. (Netherlands)(b) 329,004
1,809 BASF AG (Germany)(b) 355,243
4,100 DSM N.V. (Netherlands)(b) 348,158
7,400 Dow Chemical Co. 579,050
8,100 du Pont (E.I.) de Nemours & Co. 469,800
700 Hercules, Inc. 72,013
5,000 Monsanto Co. 401,875
20,700 Olin Corp. 1,223,888
10,500 PPG Industries Inc. 416,063
100 Solvay SA (Belgium)(b) 45,040
45,500 Union Carbide Corp. 1,547,000
-------------
5,787,134
CONSUMER SERVICES (2.8%)
- -------------------------------------------------------------------------------
1,205 Boomtown, Inc. 20,184
6,600 Broadcasting Partners, Inc.(c) 89,513
9,925 Buffets, Inc.(c) 156,319
1,923 CBS Inc. 616,802
6,600 Cellular Communications of Puerto Rico, Inc.(c) 227,700
19,450 Century Communications Corp. Class A 175,050
5,215 Clear Channel Communications, Inc.(c) 267,921
1,425 DF&R Restaurants, Inc.(c) 40,256
10,450 Davco Restaurants, Inc.(c) 161,975
2,600 Doubletree Corp.(c) 48,588
5,810 EZ Communications, Inc. Class A(c) 71,173
<PAGE>
<PAGE>
BALANCED
COMMON STOCKS
NUMBER OF SHARES VALUE
CONSUMER SERVICES (Continued)
- -------------------------------------------------------------------------------
30,000 Genting Berhad Co. (Malaysia)(b) $ 269,217
6,620 Hospitality Franchise System, Inc.(c) 207,703
5,860 Infinity Broadcasting Corp. Class A(c) 178,730
8,780 Landry's Seafood Restaurants, Inc.(c) 223,890
11,490 Loewen Group, Inc. 278,633
17,000 Marriott International, Inc. 490,875
12,500 Procter & Gamble Co. 745,313
10,300 Rio Hotel & Casino, Inc.(c) 136,475
1,010 SFX Broadcasting, Inc. Class A(c) 16,160
2,330 Star Sight Telecast, Inc.(c) 29,708
1,610 Stewart Enterprises, Inc. Class A 39,848
2,275 Taco Cabana, Inc.(c) 19,906
24,800 Tele-Communications Class A 550,250
35,300 Wendy's International, Inc. 511,850
-------------
5,574,039
RETAIL (2.7%)
- -------------------------------------------------------------------------------
8,340 Books-A-Million, Inc. 114,675
21,000 Cycle & Carriage Ltd. (Singapore)(b) 179,899
20,200 Damark International, Inc. Class A 244,925
26,000 Federated Dept. Stores Inc. 598,000
8,410 Gymboree Corp.(c) 250,198
3,780 Heilig-Meyers Co. 98,280
8,900 Hollywood Entertainment Corp. 249,200
7,000 Ito-Yokado Co., Ltd. (Japan)(b) 373,663
36,500 Kroger Co.(c) 971,813
16,550 Office Depot, Inc.(c) 430,300
8,766 One Price Clothing Stores, Inc.(c) 81,086
13,700 Pep Boys-Manny Moe & Jack 476,075
92,000 Sears (United Kingdom)(b) 150,015
5,060 Stein Mart, Inc.(c) 76,216
6,180 Tommy Hilfiger(c) 240,248
8,700 Welcome Home, Inc. 103,313
48,300 Woolworth Corp. 839,213
-------------
5,477,119
TRANSPORTATION (2.2%)
- -------------------------------------------------------------------------------
50,000 Associated British Ports (United Kingdom)(b) 208,755
27,600 Brambles Industries, Ltd. (Australia)(b) 279,883
4,300 Careline, Inc.(c) 24,188
11,885 Expeditors International of Washington, Inc. 237,700
7,600 Federal Express Corp.(c) 470,250
5,285 Fritz Companies, Inc.(c) 187,618
27,600 Illinois Central Corp. 828,000
15,000 Jurong Shipyard Ltd. (Singapore)(b) 139,629
6,000 Kamigumi Co. Ltd. (Japan)(b) 68,416
4,635 Landair Services, Inc.(c) 100,811
6,125 Landstar System, Inc.(c) 211,313
26,000 Singapore Airlines Ltd. (Singapore)(b) 254,301
41,400 Southern Pacific Rail Corp. 776,250
27,500 Swire Pacific Ltd. Class A (Hong Kong)(b) 215,325
28,000 Yamato Transport Co. Ltd. (Japan)(b) 350,353
-------------
4,352,792
<PAGE>
<PAGE>
BALANCED
COMMON STOCKS
NUMBER OF SHARES VALUE
METALS AND MINING (2.0%)
- -------------------------------------------------------------------------------
34,500 Alumax, Inc.(c) $ 1,108,313
1,100 CRA Ltd. (Australia)(b) 15,470
310 Fischer (Georg) (Bearer Shares) (Switzerland)(b) 366,066
55,100 Freeport-McMoRan, Inc. 1,067,563
127,400 MIM Holdings Ltd. (Australia)(b) 257,450
400 N.V. Bekaert S.A. (Belgium)(b) 297,030
61,000 Nisshin Steel Co., Ltd. (Japan)(b) 292,379
6,300 Phelps Dodge Corp. 391,388
1,200 Ugine (France)(b) 92,137
22,100 Western Mining Holdings, Ltd. (Australia)(b) 128,741
-------------
4,016,537
FOOD AND BEVERAGES (1.7%)
- -------------------------------------------------------------------------------
16,500 Coca-Cola Co. 802,313
14,600 ConAgra, Inc. 459,900
200 Docks de France (France)(b) 27,886
7,500 General Mills, Inc. 433,125
50,110 Greencore Group PLC (Ireland)(b) 300,635
11,100 Guinness PLC (United Kingdom)(b) 79,833
34,500 IBP, Inc. 1,129,875
325 Nestle S.A. (Registered Shares) (Switzerland)(b) 295,156
-------------
3,528,723
AUTOMOTIVE (1.6%)
- -------------------------------------------------------------------------------
5,055 A.P.S. Holding Corp.(c) 142,488
1,890 Allied Holdings, Inc.(c) 28,114
19,000 Bridgestone Corp. (Japan)(b) 297,175
11,000 Edaran Otomobil Nasional Berhad (Malaysia)(b) 74,249
3,995 Exide Corp. 189,263
26,900 General Motors Corp. 1,260,938
12,200 Magna International, Inc. Class A 449,875
6,945 Michelin (CGDE) Ser. B (France)(b) 283,284
30,000 Mitsubishi Motors Corp. (Japan)(b) 281,535
1,600 Peugeot Citroen SA (France)(b) 236,992
-------------
3,243,913
BUILDING AND CONSTRUCTION (1.3%)
- -------------------------------------------------------------------------------
49,800 CRH PLC (Ireland)(b) 271,614
11,000 Fluor Corp. 547,250
28,000 Hong Leong Industries (Malaysia)(b) 140,930
4,500 Lafarge Coppee (Bearer Shares) (France)(b) 354,015
18,000 Marui Co. Ltd. (Japan)(b) 312,412
5,490 Redman Industries(c) 103,624
7,010 Schuler Homes, Inc.(c) 138,448
31,400 Senior Engineering Group PLC (United Kingdom)(b) 56,149
27,000 Shimizu Corp. (Japan)(b) 271,364
3,750 Sungei Way Holdings Berhad (Malaysia)(b) 14,778
5,000 Taihei Dengyo Corp. (Japan)(b) 153,381
2,785 VA Technolgie AG (Austria)(b) 278,308
-------------
2,642,273
<PAGE>
<PAGE>
BALANCED
COMMON STOCKS
NUMBER OF SHARES VALUE
FOREST PRODUCTS (1.1%)
- -------------------------------------------------------------------------------
8,353 Amcor Ltd. (Australia)(b) $ 54,904
31,000 Champion International Corp. 1,201,250
4,100 International Paper Co. 321,850
2,000 Mayr-Melnhof Karton AG (Austria)(b) 112,870
20,000 Rengo Co. Ltd. (Japan)(b) 171,544
20,300 Repola (Finland)(b) 426,304
-------------
2,288,722
PHOTOGRAPHY (0.8%)
- -------------------------------------------------------------------------------
31,400 Eastman Kodak Co. 1,624,950
CONGLOMERATES (0.8%)
- -------------------------------------------------------------------------------
11,000 Allied-Signal Inc. 375,375
12,000 Cartiere Burgo S.P.A. (Italy)(b) 72,806
11,000 Hutchison Whampoa, Ltd. (Hong Kong)(b) 51,963
4,500 ITT Corp. 375,188
54,000 Mitsui Co. (Japan)(b) 459,902
47,000 Sime Darby Berhad (Malaysia)(b) 135,698
18,000 United Engineers (Malaysia)(b) 101,131
-------------
1,572,063
COMPUTER SERVICES AND SOFTWARE (0.7%)
- -------------------------------------------------------------------------------
3,140 America Online, Inc. 214,698
12,200 Cognex Corp.(c) 224,175
9,016 Getronics N.V. (Netherlands)(b) 275,100
3,305 Infosoft International, Inc.(c) 90,681
8,528 Keane, Inc.(c) 189,737
13,190 Mercury Interactive Corp.(c) 131,076
2,700 Midisoft Corp. 41,513
2,700 Netmanage, Inc.(c) 57,375
14,000 Platinum Software Corp. 171,500
4,770 Softdesk, Inc.(c) 84,668
-------------
1,480,523
ENVIRONMENTAL CONTROL (0.7%)
- -------------------------------------------------------------------------------
10,700 Browning-Ferris Industries, Inc. 339,725
37,900 WMX Technologies, Inc. 1,094,363
-------------
1,434,088
REAL ESTATE (0.5%)
- -------------------------------------------------------------------------------
9,000 Cheung Kong Holdings Ltd. (Hong Kong)(b) 43,796
51,700 Debartolo Realty Corp. 749,650
21,000 Mitsui Fudosan Co., Ltd. (Japan)(b) 239,455
-------------
1,032,901
AEROSPACE AND DEFENSE (0.4%)
- -------------------------------------------------------------------------------
5,400 McDonnell Douglas Corp. 623,700
2,800 Rockwell International Corp. 95,900
-------------
719,600
<PAGE>
<PAGE>
BALANCED
COMMON STOCKS
NUMBER OF SHARES VALUE
PUBLISHING (0.3%)
- -------------------------------------------------------------------------------
1,600 Elsevier N.V. (Netherlands)(b) $ 153,276
30,000 Pearson PLC (United Kingdom)(b) 275,082
12,000 Singapore Press (Singapore)(b) 210,455
-------------
638,813
PHARMACEUTICALS (0.3%)
- -------------------------------------------------------------------------------
17,806 Revco D.S., Inc.(c) 371,681
400 Schering AG (Germany)(b) 246,098
-------------
617,779
BROADCASTING (0.3%)
- -------------------------------------------------------------------------------
14,302 Centennial Cellular Corp. Class A 246,710
5,930 Paging Network, Inc.(c) 171,229
2,335 Renaissance Communications Corp. 62,753
10,755 Valuevision International, Inc. Class A(c) 51,086
-------------
531,778
COMPUTERS (0.3%)
- -------------------------------------------------------------------------------
28,000 Fujitsu Ltd. (Japan)(b) 293,846
3,035 Union Switch & Signal, Inc.(c) 53,113
4,839 Zebra Technologies Corp.(c) 177,833
-------------
524,792
TELECOMMUNICATIONS (0.3%)
- -------------------------------------------------------------------------------
209 Cable & Wireless PLC (United Kingdom)(b) 1,315
2,425 Intermedia Communications of Florida 29,403
7,750 Transaction Network Services Inc. 107,531
118,523 Vodafone Group PLC (United Kingdom)(b) 368,796
-------------
507,045
CONSUMER DURABLE GOODS (0.1%)
- -------------------------------------------------------------------------------
4,850 Blyth Industries, Inc. 128,525
4,125 Duracraft Corp. 140,250
-------------
268,775
ENERGY-RELATED (0.1%)
- -------------------------------------------------------------------------------
6,000 IHC Caland N.V. (Netherlands)(b) 142,660
-------------
TOTAL COMMON STOCKS (cost $120,630,901) $125,602,120
CORPORATE BONDS AND NOTES (9.2%)(a)
PRINCIPAL AMOUNT VALUE
CONSUMER SERVICES (1.2%)
- -------------------------------------------------------------------------------
$ 125,000 AMC Entertainment, Inc. sr. sub. deb. 11 7/8s, 2000 $ 135,000
25,000 Cellular, Inc. sr. sub. disc. notes stepped-coupon
zero % (11 3/4s, 9/1/98), 2003(e) 16,500
25,000 Century Communications Corp. sr. sub. deb. 11 7/8s, 2003 26,250
10,000 Century Communications Corp. notes 9 3/4s, 2002 9,750
110,000 Continental Cablevision, Inc. sr. deb. 9s, 2008 98,450
135,000 Continental Cablevision, Inc. sr. note 8 1/2s, 2001 124,200
<PAGE>
<PAGE>
BALANCED
CORPORATE BONDS AND NOTES
PRINCIPAL AMOUNT VALUE
CONSUMER SERVICES (Continued)
- -------------------------------------------------------------------------------
$ 58,000 Falcon Holdings Group Inc. sr. sub. notes 11s, 2003(d) $ 52,200
25,000 Flagstar Corp. sr. sub. deb. 11 1/4s, 2004(d) 21,438
425,000 General Media sr. secd. notes 10 5/8s, 2000 397,375
385,000 Golden Nugget Finance Corp. 1st mtge. deb. Ser. B,
10 5/8s, 2003 207,900
60,000 John Q. Hammons Hotels 1st. mtge. notes 8 7/8s, 2004 54,750
25,000 Insight Communications Co. sr. sub. notes stepped-coupon
notes 8 1/4s (11 1/4s, 3/1/96), 2000(e) 23,875
225,000 La Quinta Motor Inns Inc. deb. 9 1/4s, 2003 211,500
775,000 Marcus Cable Co. sr. sub. disc. notes stepped-coupon
zero % (13 1/2s, 8/1/99), 2004(e) 418,500
80,000 Marvel Parent Holdings, Inc. sr. secd. disc. notes
zero %, 1998 50,000
50,000 Pioneer Finance Corp. gtd. 1st mtge. 13 1/2s, 1998 46,000
250,000 Red Roof Inns sr., notes 9 5/8s, 2003 232,500
40,000 SFX Broadcasting Inc. sr. sub. notes 11 3/8s, 2000 41,500
275,000 U.S. Banknote Corp. sr. notes 10 3/8s, 2002 239,250
-------------
2,406,938
FOREST PRODUCTS (1.0%)
- -------------------------------------------------------------------------------
200,000 Container Corp. of America sr. notes Ser. A, 11 1/4s, 2004 208,000
25,000 Gaylord Container Corp. sr. notes 11 1/2s, 2001 25,563
600,000 Gaylord Container Corp. sr. sub. disc. deb.
stepped-coupon zero % (12 3/4s, 5/15/96), 2005(e) 507,750
500,000 Riverwood International Corp. sr. sub. notes 10 3/8s, 2004 510,000
250,000 Stone Container Corp. sr. notes 11 1/2s, 2004 250,938
30,000 Stone Container Corp. sr. sub. notes 10 3/4s, 1997 30,150
475,000 Stone Savannah River Pulp & Paper Corp. sr. sub. notes
14 1/8s, 2000 508,844
-------------
2,041,245
RETAIL (1.0%)
- -------------------------------------------------------------------------------
$ 100,000 Bradlees, Inc. sr. sub. notes 11s, 2002 $ 98,500
25,000 Finlay Enterprises, Inc. sr. notes 10 5/8s, 2003 23,750
90,000 Grand Union Co. sr. sub. notes 12 1/4s, 2002 66,825
375,000 Loehmanns. Holdings, Inc. sr. sub. notes 13 3/4s, 1999 375,000
200,000 Safeway Stores sr. notes 10s, 2002 211,000
160,000 Sears Roebuck med. term notes 5.54s, 1999 144,800
850,000 Stop & Shop Companies., Inc. sr. sub. notes 9 3/4s, 2002 879,750
150,000 Wal-Mart Stores, Inc. notes 8s, 2006 148,125
-------------
1,947,750
INSURANCE AND FINANCE (0.9%)
- -------------------------------------------------------------------------------
200,000 American Annuity Group, Inc. sr. sub. notes
11 1/8s, 2003 202,000
25,000 Associates Corp. sub. notes 5.49s, 1999 22,969
80,000 Banponce Corp. med. term notes 5.48s, 1998 73,250
120,000 Chrysler med. term notes 5.83s, 1999 111,375
25,000 Comdata Network, Inc. sr. sub. deb. 13 1/4s, 2002 27,625
285,000 Comdata Network, Inc. sr. notes 12 1/2s, 1999 306,375
400,000 First Federal Financial Corp. notes 11 3/4s, 2004 400,000
<PAGE>
<PAGE>
BALANCED
CORPORATE BONDS AND NOTES
PRINCIPAL AMOUNT VALUE
INSURANCE AND FINANCE (Continued)
- -------------------------------------------------------------------------------
$ 110,000 General Motors Acceptance Corp. med. term notes
6 3/4s, 1996 $ 110,481
250,000 Keystone Group, Inc. sr. secd. notes 9 3/4s, 2003 237,500
25,000 MBNA America Bank med. term notes 7.12s, 1999 24,469
250,000 PSF Finance L.P. sr. notes 12 1/4s, 2004 255,469
25,000 Reliance Group Holdings sr. sub. deb. 9 3/4s, 2003(f) 22,625
50,000 Royal Bank of Scotland Capital Corp. deb. 10 1/8s, 2004 55,438
-------------
1,849,576
CHEMICALS (0.8%)
- -------------------------------------------------------------------------------
1,750,000 G-I Holdings Inc. sr. notes zero %, 1998 1,085,000
25,000 Harris Chemical Corp. sr. sub. notes 10 3/4s, 2003 23,375
375,000 OSI Specialty Inc. sr. sub. notes 9 1/4s, 2003 350,625
40,000 UCC Investors Holding, Inc. sr. notes 10 1/2s, 2002 41,200
-------------
1,500,200
HEALTH CARE (0.5%)
- -------------------------------------------------------------------------------
250,000 American Medical International sr. notes 11s, 2000 266,250
15,000 Healthsouth Rehabilitation sr. sub. notes 9 1/2s, 2000 14,700
500,000 McGaw, Inc. sr. notes 10 3/8s, 1999 515,000
140,000 Mediplex Group, Inc. sr. sub. notes 11 3/4s, 2002 150,850
65,000 Paracelsus Healthcare Corp. sr. sub. notes 9 7/8s, 2003 61,913
-------------
1,008,713
METALS AND MINING (0.5%)
- -------------------------------------------------------------------------------
170,000 Bayou Steel Corp. 1st. mtge. 10 1/4s, 2001 160,650
25,000 Geneva Steel corp. sr. notes 9 1/2s, 2004 22,625
300,000 Inland Steel Industries, Inc. notes 12 3/4s, 2002 336,750
425,000 WCI Steel Inc. sr. secd. notes 10 1/2s, 2002(f) 418,625
-------------
938,650
UTILITIES (0.5%)
- -------------------------------------------------------------------------------
400,000 Commonwealth Edison Co. 1st mtge. 6s, 1998 378,500
57,000 Long Island Lighting Mtg. 5 1/4s, 1996 55,860
236,669 Midland Cogeneration Ventures deb. 10.33s, 2002(f) 230,752
200,000 Midland Funding Corp. II, deb. Ser. B, 13 1/4s, 2006 204,000
25,000 Philadelphia Electric Co. 1st mtge. 7 1/2s, 1999 24,625
55,000 Puget Sound Power & Light Co. 1st mtge. 8 1/4s, 1995 55,825
25,000 Puget Sound Power & Light Co. 1st mtge. 7 7/8s, 1997 25,297
10,000 Texas Utilities Electric Co. sub. notes 5 7/8s, 1998 9,588
-------------
984,447
MOTION PICTURE DISTRIBUTION (0.4%)
- -------------------------------------------------------------------------------
120,000 AMC Entertainment, Inc. sr. sub. deb. 12 5/8s, 2002 133,200
500,000 Plitt Theatres, Inc. sr. sub. notes 10 7/8s, 2004 497,500
125,000 United Artists, notes 11 1/2s, 2002 133,750
-------------
764,450
<PAGE>
<PAGE>
BALANCED
CORPORATE BONDS AND NOTES
PRINCIPAL AMOUNT VALUE
ENTERTAINMENT (0.3%)
- -------------------------------------------------------------------------------
$ 135,000 Caesars World sr. sub. notes 8 7/8s, 2002 $ 128,250
615,000 Viacom International sub. deb. 8s, 2006 535,050
-------------
663,300
FOOD AND BEVERAGES (0.3%)
- -------------------------------------------------------------------------------
25,000 Chiquita Brands International Inc. sub. deb. 11 1/2s, 2001 25,875
105,000 Fresh Del Monte Produce Corp. sr. notes, Ser. B, 10s,
2003(f) 92,400
560,000 Stater Brothers sr. notes 11s, 2001(f) 536,200
-------------
654,475
TRANSPORTATION (0.3%)
- -------------------------------------------------------------------------------
450,000 Blue Bird Body Co. sub. deb. Ser. B, 11 3/4s, 2002 457,875
100,000 Viking Star Shipping sr. secd. notes 9 5/8s, 2003 95,750
-------------
553,625
ELECTRONICS AND ELECTRICAL EQUIPMENT (0.3%)
- -------------------------------------------------------------------------------
500,000 Amphenol Corp. sr. notes 10.95s, 2001(f) 542,500
BUILDING AND CONSTRUCTION (0.2%)
- -------------------------------------------------------------------------------
500,000 Presley Co. sr. notes 12 1/2s, 2001 485,000
AEROSPACE AND DEFENSE (0.2%)
- -------------------------------------------------------------------------------
125,000 BE Aerospace sr. notes 9 3/4s, 2003 120,000
150,000 Coltec Industries, Inc. sr. sub. notes 10 1/4s, 2002 151,500
25,000 UNC, Inc. sr. notes 9 1/8s, 2003 23,000
-------------
294,500
OIL AND GAS (0.2%)
- -------------------------------------------------------------------------------
300,000 TransTexas Gas Corp. sr. secd. notes 10 1/2s, 2000 294,000
REAL ESTATE (0.2%)
- -------------------------------------------------------------------------------
325,000 Chelsea Piers Ser. A, stepped-coupon zero % (12 1/2s,
6/15/99), 2004(e)(f) 264,469
20,000 Chelsea Piers Ser. B, stepped-coupon zero % (11s,
6/15/99), 2009(e)(f) 16,575
-------------
281,044
SPECIALTY CONSUMER PRODUCTS (0.1%)
- -------------------------------------------------------------------------------
135,000 Anchor Glass Container Corp. notes 10 1/4s, 2002 136,350
25,000 Anchor Glass Container Corp. sr. sub. deb. 9 7/8s, 2008 22,750
238,000 International Semi-Tech. Corp. sr. disc. notes
stepped-coupon zero % (11 1/2s, 8/15/00), 2003(e) 113,645
-------------
272,745
CONSUMER NON DURABLES (0.1%)
- -------------------------------------------------------------------------------
25,000 Foamex L.P. Capital Corp. sr. notes 11 1/4s, 2002 25,250
225,000 Guess Jeans, Inc. sr. sub. notes 9 1/2s, 2003 211,500
25,000 Playtex Family Products Corp. sr. sub. notes 9s, 2003 21,500
-------------
258,250
<PAGE>
<PAGE>
BALANCED
CORPORATE BONDS AND NOTES
PRINCIPAL AMOUNT VALUE
TELECOMMUNICATIONS (0.1%)
- -------------------------------------------------------------------------------
$ 135,000 Dial Call Communication sr. disc. notes Ser. B
stepped-coupon zero %, (10 1/4s,12/15/98), 2005(e) $ 64,800
135,000 K-III Communications Corp. sr. notes 10 1/4s, 2004 132,300
35,000 MFS Communications sr. disc. notes stepped-coupon
zero % (9 3/8s, 1/15/99), 2004(e) 20,300
-------------
217,400
CONGLOMERATES (0.1%)
- -------------------------------------------------------------------------------
200,000 Haynes International, Inc. sr. sub. notes 13 1/2s, 1999 122,000
25,000 Jordan Industries, Inc. sr. notes 10 3/8s, 2003 22,813
15,000 MacAndrews & Forbes Holdings Inc. sub. deb. 13s, 1999 15,000
15,000 MacAndrews & Forbes Holdings Inc. deb. 12 1/4s, 1996 15,000
-------------
174,813
AUTOMOTIVE (--%)
- -------------------------------------------------------------------------------
65,000 Key Plastics Corp. sr. notes 14s, 1999 73,694
BASIC INDUSTRIAL PRODUCTS (--%)
- -------------------------------------------------------------------------------
45,000 Ivex Packaging Corp. sr. sub. notes 12 1/2s, 2002 46,800
BUSINESS SERVICES (--%)
- -------------------------------------------------------------------------------
50,000 Corporate Express, Inc. sr. notes 9 5/8s, 2004(f) 46,375
-------------
TOTAL CORPORATE BONDS AND NOTES (cost $18,927,084) $18,300,490
FOREIGN BONDS AND NOTES (8.8%)(a)(g)
PRINCIPAL AMOUNT VALUE
- -------------------------------------------------------------------------------
AUD 110,000 Australia (Government of) bonds 13s, 1996 $ 87,450
AUD 1,370,000 Australia (Government of) bonds 9 1/2s, 2003 968,419
AUD 120,000 Australia (Government of) bonds 8 3/4s, 2001 83,700
AUD 730,000 Australia (Government of) bonds 6 3/4s, 2006 403,781
AUD 67,000 Australia (Government of) bonds 6 1/4s, 1999 43,550
CAD 235,000 Canada (Government of) bonds 9s, 2004 176,691
CAD 2,800,000 Canada (Government of) bonds 6.5s, 2004 1,774,500
CAD 1,780,000 Canada (Government of) bonds 5 3/4s, 1999 1,203,725
FIM 1,000,000 Finland (Republic of) notes 11s, 1999 214,375
FIM 1,000,000 Finland (Republic of) notes 10 3/4s, 2002 211,875
FIM 1,000,000 Finland (Republic of) bonds 9 1/2s, 2004 195,625
FRF 808,000 France (Government of) OAT 6 3/4s, 2003 139,885
ECU 840,000 France (Government of) OAT 6s, 2004 861,000
FRF 11,190,000 France (Government of) OAT 5 1/2s, 2004 1,755,431
ITL 1,235,000,000 Italy (Government of) bonds 12s, 2003 795,803
ECU 127,000 Italy (Government of) notes 9 1/4s, 2011 149,543
ITL 2,130,000,000 Italy (Government of) bonds 8 1/2s, 2004 1,139,550
ITL 590,000,000 Italy (Government of) notes 8 1/2s, 1999 340,725
NLG 1,300,000 Netherlands (Government of) deb. 7 1/2s, 1999 756,438
NLG 686,000 Netherlands (Government of) deb. 5 3/4s, 2004 349,003
NZD 450,000 New Zealand (Government of) notes 8s, 1998 261,563
ESP 47,000,000 Spain (Government of) bonds 10.55s, 1996 $ 366,600
ESP 68,600,000 Spain (Government of) bonds 10 1/4s, 1998 518,788
SEK 5,400,000 Sweden (Government of) bonds 10 1/4s, 2003 685,125
<PAGE>
<PAGE>
BALANCED
FOREIGN BONDS AND NOTES
PRINCIPAL AMOUNT VALUE
- -------------------------------------------------------------------------------
SEK 1,200,000 Sweden (Government of) bonds 6s, 2005 $ 109,500
GBP 500,000 United Kingdom Exchequer notes 9 3/4s, 1998 813,750
GBP 250,000 United Kingdom Treasury bonds 9 1/2s, 2005 410,156
GBP 330,000 United Kingdom Treasury bonds 9 1/8s, 2001 416,213
GBP 125,000 United Kingdom Treasury bonds 9s, 2000 198,750
GBP 500,000 United Kingdom Treasury bonds 8 3/4s, 1997 795,313
GBP 365,000 United Kingdom Treasury bonds 8 1/2s, 2007 561,872
GBP 315,000 United Kingdom Treasury bonds 8s, 2003 469,547
GBP 50,000 United Kingdom Treasury bonds 6 3/4s, 2004 68,031
GBP 355,000 United Kingdom Treasury notes 7 3/4s, 2006 516,081
-------------
TOTAL FOREIGN BONDS AND NOTES
(cost $18,031,250) $17,842,358
U.S GOVERNMENT AND AGENCY OBLIGATIONS (8.0%)(a)
PRINCIPAL AMOUNT VALUE
- -------------------------------------------------------------------------------
Federal National Mortgage Association
$ 403,999 Pass-Through 8 1/2s, August 1, 2024 $ 403,999
403,999 Pass-Through 8s, July 1, 2024 393,520
1,232,851 Pass-Through 7 1/2s, with various due dates to
August 1, 2024 1,167,743
410,394 7s, October 25, 2023 357,813
26,853 Principal Only (P.O.) Strips zero%, February 25, 2017(h) 25,048
Government National Mortgage Association
511,287 7 1/2s, with various due dates to June 15, 2024 480,291
3,267,789 7s, with various due dates to April 15, 2024 2,962,376
886,651 6 1/2s, with various due dates to April 15, 2024 774,157
732,002 Midget 7s, with various due dates to June 15, 2009 698,862
296,000 TBA 7 1/2s, October 14, 2024(i) 278,055
300,000 TBA 6 1/2s, October 14, 2024(i) 261,938
930,000 U.S. Treasury Bonds 7 1/2s, November 15, 2024 895,706
140,000 U.S. Treasury Notes 5 1/8s, November 30, 1998 129,763
1,636,000 U.S. Treasury Notes 5 1/8s, June 30, 1998 1,530,171
390,000 U.S. Treasury Notes 5s, January 31, 1999 358,434
5,520,000 U.S. Treasury Notes 4s, January 31, 1996 5,364,750
-------------
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS
(cost $16,287,360) $16,082,626
YANKEE BONDS AND NOTES (0.7%)(a)(b)
PRINCIPAL AMOUNT VALUE
- -------------------------------------------------------------------------------
$ 200,000 Aegon N.V. sub. notes, 8s, 2006 $ 193,500
65,000 Eletson Holdings, Inc. mtge. notes 9 1/4s, 2003 59,963
25,000 Household Finance Corp. sr. notes 7 1/8s, 1999 24,359
100,000 LASMO PLC ADS notes 7 1/8s, 2003 89,938
175,000 Maxus Energy Corp. global notes 9 7/8s, 2002 167,125
500,000 Methanex Corp. sr. notes 8 7/8s, 2001 490,000
250,000 National Bank of Canada sub. notes 8 1/8s, 2004 244,531
125,000 Videotron Groupe LTEE sr. sub. notes 10 1/4s, 2002 126,250
215,000 World Bank bonds zero%, 1999 146,872
-------------
TOTAL YANKEE BONDS AND NOTES (cost $1,359,620) $ 1,542,538
<PAGE>
<PAGE>
BALANCED
UNITS (0.6%)
NUMBER OF UNITS VALUE
- -------------------------------------------------------------------------------
65,000 Chesapeake Energy Corp. deb. units 12s, 2001(f) $ 78,325
200,000 County Seat Stores units 12s, 2001 198,000
575 Echostar Communication Corp. units stepped-coupon
zero % (12 7/8s, 12/1/99), 2004(e) 267,375
200,000 Hollywood Casino units 13 1/2s, 1998(f) 158,000
10,000 ICF Kaiser International Inc. sr. sub. units 12s, 2003 9,000
150,000 OSI Specialties units stepped-coupon zero % (11 1/2s,
4/15/99), 2004(e)(f) 91,500
8,300 SmithKline Beecham PLC Equity unit ADS
(United Kingdom)(b) 256,263
290 Total Renal Care units stepped-coupon zero %
(12s, 8/15/99), 2004(e)(f) 207,350
-------------
TOTAL UNITS (cost $1,301,467) $ 1,265,813
PREFERRED STOCKS (0.3%)(a)
NUMBER OF SHARES VALUE
- -------------------------------------------------------------------------------
4,100 California Federal Bank Ser. B, $10.625 pfd. $ 433,062
800 Pantry Pride Inc. Ser. B, $14.875 pfd. 78,000
-------------
TOTAL PREFERRED STOCKS (cost $515,370) $ 511,062
ASSET-BACKED SECURITIES (0.2%)(a)
PRINCIPAL AMOUNT VALUE
- -------------------------------------------------------------------------------
$ 80,000 Chase Credit Card Master Trust 8 3/4s, 1999 $ 82,150
198,103 Chase Credit Card Master Trust 94-1 B-2 6.601s, 2023(f) 164,797
160,000 Standard Credit Card Trust Ser. 91-4A 8s, 1997 162,600
-------------
TOTAL ASSET-BACKED SECURITIES (cost $418,294) $ 409,547
WARRANTS (--%)(a)(c) EXPIRATION
NUMBER OF WARRANTS DATE VALUE
- -------------------------------------------------------------------------------
200 County Seat Holdings, Inc. 10/15/98 $ 4,000
425 General Media Corp.(f) 12/31/00 4,250
150 OSI Specialties Corp.(f) 4/15/99 1,500
30 UCC Investor Holding, Inc.(f) 1/1/99 390
-------------
TOTAL WARRANTS (cost $9,794) $ 10,140
PUT OPTIONS ON FOREIGN CURRENCIES (--%)(a)(c)(g)
EXPIRATION DATE/
CURRENCY STRIKE PRICE VALUE
- -------------------------------------------------------------------------------
DEM 450,000 Deutschemarks in exchange for U.S. Dollars Oct 94/1.52 $ 405
CHF 150,000 Swiss Francs in exchange for U.S. Dollars Oct 94/1.26 165
-------------
TOTAL PUT OPTIONS ON FOREIGN CURRENCIES (cost $3,750) $ 570
SHORT-TERM INVESTMENTS (11.5%)(a)
PRINCIPAL AMOUNT VALUE
- -------------------------------------------------------------------------------
$2,000,000 Federal National Mortgage Assn. 5.0s, December 19,
1994(j) $ 1,976,111
5,000,000 Federal Home Loan Mortgage Corp. 4.72s,October 20, 1944 4,964,826
3,000,000 Federal Home Loan Mortgage Corp. 4.69s, October 4, 1994 2,990,229
3,000,000 Morgan (J.P.) & Co. Inc. 4 3/4s, October 11, 1994 2,986,938
3,000,000 Smith Barney Shearson 4.78s, October 3, 1994 2,981,676
<PAGE>
<PAGE>
BALANCED
SHORT-TERM INVESTMENTS
PRINCIPAL AMOUNT VALUE
- -------------------------------------------------------------------------------
$7,371,000 Interest in $81,000,000 joint repurchase agreement dated
September 30, 1994 with J.P. Morgan Securities Inc. due
October 3, 1994 with respect to various U.S. Treasury
obligations.maturity value of $7,373,979 for an effective
yield of 4.85% $ 7,371,993
-------------
TOTAL SHORT-TERM INVESTMENTS (cost $23,271,773) 23,271,773
-------------
TOTAL INVESTMENTS (cost $200,756,663)(k) $204,839,037
(a) Percentages indicated are based on total net assets of $202,098,106, which
corresponds to a net asset value per class A share of $8.33, per class B
share of $8.31, per class C share of $8.31, and per class Y share of $8.33.
(b) Securities whose values are determined or significantly influenced by tra-
ding on exchanges not in the United States of Canada. ADR or ADS after the
name of a foreign holding stands for American Depository Receipt or American
Depository Shares, respectively, representing ownership of foreign securi-
ties on deposit with a domestic custodian bank.
(c) Non-income-producing security.
(d) Income may be received in cash or additional securities at the discretion of
the issuer.
(e) The interest rate and date shown parenthetically represent the next interest
rate to be paid and the date the fund will begin receiving interest at this
rate.
(f) Security exempt from registration under Rule 144A of the Securities Act of
1993. These securities may be resold in transactions exempt from registra-
tion, normally to qualified institutional buyers. For the year ended Septem-
ber 30, 1994 these securities amounted to $2,784,233 or 1.4% of net assets.
(g) Foreign currency-denominated. Market value is translated at the current ex-
change rate.
(h) Principal Only (P.O.) Strips represent the right to receive the monthly
principal payments on an underlying pool of mortgage loans. No payments of
interest on the pool are passed through to the P.O. holders.
(i) TBAs are mortgage backed securities traded under delayed delivery commit-
ments settling after September 30, 1994. Although the unit price for the
trades has been established, the principal value has not been finalized.
However, the amount of the commitments will not fluctuate more than 2.0%
from the principal amount. Interest on the securities will not be earned
until settlement date. The cost of TBA purchases at September 30, 1994 is
$543,406.
(j) A portion of these securities were pledged to cover margin requirements for
futures contracts at September 30, 1994. The market value of segregated se-
curities with the custodian for transactions on futures contracts is
$988,056 or 0.5% of net assets.
(k) The aggregate identified cost for federal income tax purposes is
$200,826,802 resulting in gross unrealized appreciation and depreciation of
$8,681,300 and $4,669,065, respectively, or net unrealized appreciation of
$4,012,235.
DIVERSIFICATION OF FOREIGN INVESTMENTS
at September 30, 1994 (as a percentage of net assets)
- -------------------------------------------------------------------------------
United Kingdom 4.25% Finland 0.52%
Japan 4.31% Germany 0.46%
France 2.08% Malaysia 0.45%
Canada 1.56% Ireland 0.41%
Netherlands 1.55% Hong Kong 0.38%
Italy 1.20% Austria 0.20%
Australia 1.14% Belgium 0.17%
Spain 1.88% Denmark 0.14%
Switzerland 0.68% New Zealand 0.13%
Singapore 0.59% Norway 0.11%
Sweden 0.57% Argentina 0.02%
Multinational 0.50%
<PAGE>
<PAGE>
BALANCED
TBA SALE COMMITMENTS OUTSTANDING AT SEPTEMBER 30, 1994 (i)
(proceeds receivable $411,133)
- -------------------------------------------------------------------------------
Principal Delivery Coupon Market
Agency Amount Month Rate Value
FNMA $400,000 Oct 94 8 1/2s $ 403,990
FUTURES CONTRACTS OUTSTANDING AT SEPTEMBER 30, 1994
- -------------------------------------------------------------------------------
Aggregate Unrealized
Total Face Expiration Appreciation/
Value Value Date (Depreciation)
U.S. Treasury Bond Futures
(Buy) $8,607,563 $8,854,791 Dec 94 $ (247,228)
S&P 500 Index Futures
(Sell) 9,033,375 9,100,800 Dec 94 67,425
- -------------------------------------------------------------------------------
$ (179,803)
CROSS FORWARD CURRENCY CONTRACTS OUTSTANDING AT SEPTEMBER 30, 1994
(Aggregate Face Value $312,444)
- -------------------------------------------------------------------------------
Market In Exchange Market Delivery Unrealized
Value For Value Date Appreciation
British Pounds
(Buy) $315,040 Deutschemarks $313,168 10/19/94 $ 1,872
FORWARD CURRENCY CONTRACTS OUTSTANDING AT SEPTEMBER 30, 1994
- -------------------------------------------------------------------------------
Unrealized
Market Aggregate Delivery Appreciation/
Value Face Value Date (Depreciation)
Australian Dollars (Sell) $ 369,850 $ 368,400 11/02/94 $ (1,450)
Australian Dollars (Sell) 222,000 218,592 10/11/94 (3,408)
Australian Dollars (Sell) 812,790 815,210 12/19/94 2,420
Deutschemarks (Sell) 386,940 378,322 10/05/94 (8,618)
Deutschemarks (Sell) 838,370 817,610 10/13/94 (20,760)
Deutschemarks (Sell) 877,064 860,215 10/20/94 (16,849)
Deutschemarks (Sell) 483,675 474,681 11/02/94 (8,994)
Deutschemarks (Sell) 1,806,280 1,772,141 11/30/94 (34,139)
Deutschemarks (Sell) 193,470 189,789 12/20/94 (3,681)
Deutschemarks (Sell) 1,031,840 1,013,913 10/17/94 (17,927)
Deutschemarks (Sell) 967,500 965,904 11/22/94 (1,596)
Deutschemarks (Sell) 451,570 453,478 11/28/94 1,908
Deutschemarks (Sell) 451,430 444,247 11/01/94 (7,183)
Deutschemarks (Sell) 64,490 63,221 11/01/94 (1,269)
Deutschemarks (Sell) 193,560 193,673 12/05/94 113
Deutschemarks (Sell) 902,860 905,504 10/24/94 2,644
Deutschemarks (Sell) 1,161,000 1,167,134 11/17/94 6,134
Deutschemarks (Sell) 193,560 194,862 12/12/94 1,302
Deutschemarks (Sell) 295,784 295,784 12/05/94 --
Deutschemarks (Sell) 407,081 407,081 12/05/94 --
Japanese Yen (Sell) 1,604,477 1,609,761 02/22/95 5,284
New Zealand Dollars (Sell) 120,240 120,300 11/03/94 60
New Zealand Dollars (Sell) 120,400 120,140 12/05/94 (260)
- -------------------------------------------------------------------------------
$ (106,269)
The accompanying notes are an integral part of these financial statements.
<PAGE>
<PAGE>
CONSERVATIVE
PORTFOLIO OF INVESTMENTS OWNED
September 30, 1994
COMMON STOCKS (33.7%)(a)
NUMBER OF SHARES VALUE
INSURANCE AND FINANCE (4.3%)
- -------------------------------------------------------------------------------
2,800 Aetna Life & Casualty Co. $ 129,850
16,807 Allied Irish Banks PLC (Ireland)(b) 62,072
2,200 American Express Co. 66,825
1,000 American International Group, Inc. 88,875
1,200 Argentaria (Spain)(b) 48,075
30 Baer Holdings (Switzerland)(b) 27,735
1,500 Banco Frances Del Rio De La Plata S.A. (Argentina)(b) 14,959
2,738 Barclays Bank PLC (United Kingdom)(b) 24,610
4,000 Beneficial Corp. 163,000
1,000 CIGNA Corp. 61,625
100 Cetelem Group (France)(b) 19,080
24,300 Christiana Bank & Trust (Norway)(b) 42,260
853 Cie Finance Paribas (France)(b) 52,214
1,500 Citicorp 63,750
400 Credit Locale de France (France)(b) 29,465
4,000 Daiwa Securities Co. Ltd. (Japan)(b) 58,526
6,200 Danieli Savings (Italy)(b) 24,204
6,200 Danieli Savings Rights exp. 10/10/94 (Italy)(b) 15
2,000 Dean Witter, Discover & Co. 75,250
1,000 Federal National Mortgage Association 78,750
900 First Interstate Bancorp 73,012
10,000 Guoco Group Ltd. (Hong Kong)(b) 49,310
1,227 HCC Insurance Holdings, Inc. 24,233
2,000 HSBC Holdings (Hong Kong)(b) 22,325
1,665 Healthsource, Inc.(c) 59,107
600 Healthwise of America, Inc. 17,100
700 ITT Corp. 58,362
722 Internationale Nederlanden (Netherlands)(b) 31,174
7,000 Jardine Matheson Holdings Ltd. (Hong Kong)(b) 59,339
1,480 Life Partners Group, Inc. 28,120
3,400 MBNA Corp. 78,625
5,000 Malayan Banking Berhad (Malaysia)(b) 33,359
5,600 National City Corp. 157,500
1,900 NationsBank Corp. 93,100
705 Reinsurance Group America, Inc. 16,215
7,000 Royal Insurance Holdings PLC (United Kingdom)(b) 31,762
1,000 Royal PTT (Netherlands)(b) 30,167
240 Societe Generale (France)(b) 24,485
300 Sovac (France)(b) 22,609
6,000 Tokio Marine & Fire Insurance Co. Ltd. (The) (Japan)(b) 71,443
755 Transnational Re Corp. 15,855
2,700 Travelers, Inc. 88,763
525 Trenwick Group Inc. 19,425
11,300 USF&G Corp. 149,725
8,200 United Overseas Bank Ltd. (Singapore)(b) 81,423
1,700 Wells Fargo & Co. 246,712
4,000 Yamaguchi Bank Ltd. (Japan)(b) 71,846
-------------
2,786,236
<PAGE>
<PAGE>
CONSERVATIVE
COMMON STOCKS
NUMBER OF SHARES VALUE
BUSINESS EQUIPMENT AND SERVICES (3.4%)
- -------------------------------------------------------------------------------
1,500 Accustaff, Inc.(c) $ 20,813
700 Antec Corp.(c) 18,025
970 Cambridge Technology Partners, Inc. 14,308
1,120 Career Horizons, Inc. 18,200
1,400 Compaq Computer Corp.(c) 45,675
1,600 Computer Associates International, Inc. 71,200
1,900 Computer Sciences Corp. 82,650
968 Concord Computing Corp. 18,382
200 Corporate Express, Inc. 4,150
500 Cyrk International, Inc.(c) 15,343
2,700 DSC Communications Corp.(c) 76,950
5,000 Dai Nippon Printing Co., Ltd. (Japan)(b) 90,313
2,600 Dun & Bradstreet Corp. 149,500
4,100 EMC Corp.(c) 82,512
1,100 Encad, Inc.(c) 18,975
1,740 FTP Software, Inc.(c) 41,651
1,520 Fiserv Inc.(c) 32,680
3,200 IBM Corp. 222,400
645 Interim Services, Inc.(c) 15,721
300 Intuit, Inc.(c) 13,125
2,000 Komori Printing Machinery Co., Ltd. (Japan)(b) 51,463
475 Medar, Inc.(c) 6,175
7,300 Moore Corp. Ltd. 134,138
760 Novellus Systems Inc.(c) 35,910
905 Olsten Corp. (The) 34,164
1,500 Oracle Systems Corp.(c) 64,500
655 PLATINUM Technology Inc.(c) 13,018
500 PeopleSoft, Inc.(c) 24,125
1,762 Robert Half International, Inc.(c) 33,698
1,500 STERIS Corp. 39,750
1,800 Security Services PLC (United Kingdom)(b) 21,638
3,100 Silicon Graphics, Inc.(c) 79,825
50 Societe Generale De Surveillance Holdings S.A.
(Switzerland)(b) 77,688
1,300 Sybase, Inc.(c) 59,638
145 Synopsys, Inc.(c) 6,561
1,500 Tandy Corp. 64,500
13,500 Unisys Corp. 145,125
546 Viewlogic Systems, Inc.(c) 10,647
325 Wall Data, Inc.(c) 10,806
2,104 Westcott Communications, Inc.(c) 28,798
1,004 Wolters Kluwer N.V. (Netherlands)(b) 71,384
1,000 Xerox Corp. 106,750
695 Zilog Inc.(c) 23,456
-------------
2,196,330
HEALTH CARE (2.8%)
- -------------------------------------------------------------------------------
2,095 Advantage Health Corp.(c) 54,470
1,300 Amgen, Inc.(c) 69,225
2,500 Bristol-Myers Squibb Co. 143,438
1,110 COR Therapeutics, Inc.(c) 16,927
397 Clinicom, Inc. 6,947
2,500 Columbia/HCA Healthcare Corp. 108,750
1,400 Community Health Systems 36,400
600 Essilor International ADP (France)(b) 58,945
<PAGE>
<PAGE>
CONSERVATIVE
COMMON STOCKS
NUMBER OF SHARES VALUE
HEALTH CARE (Continued)
- -------------------------------------------------------------------------------
645 Grancare, Inc.(c) $ 11,771
895 HEALTHSOUTH Rehabilitation Corp.(c) 35,128
2,137 Health Management Associates, Inc.(c) 52,623
1,235 Healthcare Services Group, Inc.(c) 14,356
1,075 Homecare Management, Inc.(c) 18,409
1,990 Horizon Healthcare Corp.(c) 54,476
1,100 I-Stat Corp. 18,012
305 Immulogic Pharmaceutical Corp.(c) 3,126
2,700 Johnson & Johnson 139,387
2,800 Lilly (Eli) & Co. 162,050
1,550 Lincare Holdings, Inc.(c) 36,037
820 Mariner Health Group, Inc.(c) 17,168
1,450 Medisense Inc.(c) 25,556
4,500 Meditrust Corp. SBI 144,000
1,685 Mid Atlantic Medical Services, Inc. 47,390
3,400 Nationwide Health Properties, Inc. 130,900
700 Pfizer, Inc. 48,388
525 Quantum Health Resources, Inc.(c) 22,148
1,030 Ren Corp-USA(c) 10,558
820 Renal Treatment Centers, Inc.(c) 15,170
200 Sierra Health Services 5,150
650 Summit Care Corp. 14,828
2,100 U.S. Healthcare Inc. 97,781
1,500 United Healthcare Corp. 79,500
555 Vencor, Inc.(c) 25,253
1,100 Warner-Lambert Co. 88,275
-------------
1,812,542
UTILITIES (2.5%)
- -------------------------------------------------------------------------------
835 ALC Communications Corp.(c) 27,346
2,700 American Telephone & Telegraph Co. 145,800
2,500 Ameritech Corp. 100,625
3,700 Anglian Water PLC (United Kingdom)(b) 31,741
1,100 BellSouth Corp. 61,325
6,800 Entergy Corp. 158,100
900 Hidrolectrica del Cantabrico, S.A. (Spain)(b) 26,709
4,500 Houston Industries Inc. 158,625
2,000 Kurita Wtr. Ind., Ltd. (Japan)(b) 53,077
4,000 NYNEX Corp. 154,000
3,095 North West Water Group PLC (United Kingdom)(b) 26,868
6,300 Northeast Utilities Co. 138,600
2,400 Northern Electric PLC (United Kingdom)(b) 28,586
5,100 Public Service Co. of Colorado 137,700
2,800 Sprint Corp. 106,750
1,300 Tele Danmark A/S ADS (Denmark)(b)(c) 35,425
4,000 Texas Utilities Electric Co. 130,500
230 Veba (Vereinigte Elektrizitaets Bergwerks) AG (Germany)(b) 76,316
-------------
1,598,093
CONSUMER NON DURABLES (2.3%)
- -------------------------------------------------------------------------------
4,000 American Brands, Inc. 145,000
2,395 Authentic Fitness Corp.(c) 37,123
3,100 Avon Products, Inc. 185,225
<PAGE>
<PAGE>
CONSERVATIVE
COMMON STOCKS
NUMBER OF SHARES VALUE
CONSUMER NON DURABLES (Continued)
- -------------------------------------------------------------------------------
1,340 Department 56, Inc.(c) $ 52,260
100 Dial Corp. (The) 2,088
9,000 Dibrell Bros., Inc. 177,750
822 Fastenal Co. 34,010
1,450 Inbrand Co.(c) 21,750
2,300 Lowe.s Cos., Inc. 88,837
5,100 Philip Morris Cos., Inc. 311,738
2,100 Premark International, Inc. 88,725
1,000 Sangetsu Co., Ltd. (Japan)(b) 33,703
1,000 Scott Paper Co. 61,125
1,645 St. John Knits, Inc. 47,705
5,000 Svenska Cellulosa AB-Ser. B Fria (Sweden)(b) 80,338
10,000 Tate & Lyle PLC (United Kingdom)(b) 70,031
7,000 Toray Industries Inc. (Japan)(b) 54,389
-------------
1,491,797
ELECTRONICS AND ELECTRICAL EQUIPMENT (2.2%)
- -------------------------------------------------------------------------------
80 BBC Brown Boveri & Cie (Switzerland)(b) 68,987
1,605 Baldor Electric Co. 38,921
3,000 Best Denki Co. Ltd. (Japan)(b) 48,436
2,080 Cherry Corp. Class A 35,360
1,200 Emerson Electric Co. 71,550
1,500 Exar Corp.(c) 50,625
615 First Alert, Inc.(c) 23,677
1,000 Futaba Corp. (Japan)(b) 51,765
9,800 General Electric Co. PLC (United Kingdom)(b) 45,084
155 Integrated Device Technology 3,255
1,100 Level One Communications, Inc.(c) 35,200
4,000 Matsushita Electric Industrial Co., Ltd. (Japan)(b) 63,774
200 Mattson Technology, Inc. 3,400
960 Maxim Integrated Products Inc.(c) 58,800
1,900 Motorola, Inc. 100,225
1,100 Murata Manufacturing Co. Ltd. (Japan)(b) 42,513
4,400 National Semiconductor Corp.(c) 68,750
4,000 Nippondenso Co., Ltd. (Japan)(b) 80,726
1,400 Oak Industries, Inc. 34,475
4,000 Omron Tateisi Electronics Co. (Japan)(b) 69,425
1,305 Sanmina Corp.(c) 31,646
5,266 Siebe PLC (United Kingdom)(b) 44,802
1,000 Sony Corp. (Japan)(b) 58,123
355 Stratacom, Inc.(c) 13,224
40 Sulzer PC (Switzerland)(b) 26,569
565 Teradyne, Inc.(c) 16,597
1,100 Texas Instruments, Inc. 75,213
1,170 Ultratech Stepper, Inc. 42,120
10,200 Westinghouse Electric Corp. 132,600
-------------
1,435,842
BASIC INDUSTRIAL PRODUCTS (1.7%)
- -------------------------------------------------------------------------------
1,200 Applied Materials, Inc.(c) 56,100
4,000 Asahi Diamond Industrial Co., Ltd. (Japan)(b) 71,039
5,600 Ball Corp. 158,900
23,900 British Steel PLC (United Kingdom)(b) 65,048
4,500 CBI Industries, Inc. 122,063
<PAGE>
<PAGE>
CONSERVATIVE
COMMON STOCKS
NUMBER OF SHARES VALUE
BASIC INDUSTRIAL PRODUCTS (Continued)
- -------------------------------------------------------------------------------
2,400 Caterpillar Inc. $ 129,900
800 Deere (John) & Co. 54,900
6,800 Harnischfeger Industries, Inc. 179,350
6,000 Komatsu, Ltd. (Japan)(b) 54,611
30 Rieter Holding AG (Registered Shares) (Switzerland)(b) 37,640
140 Sommer Allibert (France)(b) 57,899
2,000 Takuma Co. Ltd. (Japan)(b) 36,731
2,000 Toya Seikan Kaisha (Japan)(b) 62,159
-------------
1,086,340
CHEMICALS (1.6%)
- -------------------------------------------------------------------------------
500 Akzo N.V. (Netherlands)(b) 58,751
370 BASF AG (Germany)(b) 72,659
600 DSM N.V. (Netherlands)(b) 50,949
1,200 Dow Chemical Co. 93,900
100 Hercules Inc. 10,288
800 Monsanto Co. 64,300
3,400 Olin Corp. 201,025
1,800 PPG Industries Inc. 71,325
100 Solvay SA (Belgium)(b) 45,040
7,400 Union Carbide Corp. 251,600
2,200 du Pont (E.I.) de Nemours & Co. 127,600
-------------
1,047,437
OIL AND GAS (1.6%)
- -------------------------------------------------------------------------------
1,800 British Petroleum Co., PLC ADR (United Kingdom)(b) 136,350
4,200 Burmah Oil PLC (United Kingdom)(b) 55,915
3,000 Enron Corp. 90,750
2,000 MCN Corp. 72,250
5,600 McDermott International, Inc. 144,200
1,700 Mobil Corp. 134,513
1,750 Newpark Resources, Inc. 33,250
3,000 Pennzoil Co. 140,625
2,050 Repsol S.A. (Spain)(b) 62,513
600 Royal Dutch Petroleum Co. (Netherlands)(b) 64,663
580 Societe Nationale Elf Aquitaine (France)(b) 41,639
2,100 Williams Companies, Inc. 63,000
-------------
1,039,668
RETAIL (1.5%)
- -------------------------------------------------------------------------------
1,320 Books-A-Million, Inc. 18,150
8,000 Cycle & Carriage Ltd. (Singapore)(b) 68,532
2,000 Daiichi Corp. (Japan)(b) 41,574
3,300 Damark International, Inc. Class A 40,013
4,200 Federated Dept. Stores Inc. 96,600
1,240 Gymboree Corp.(c) 36,890
615 Heilig-Meyers Co. 15,990
1,450 Hollywood Entertainment Corp. 40,600
1,000 Ito-Yokado Co., Ltd. (Japan)(b) 53,380
6,000 Kroger Co.(c) 159,750
2,700 Office Depot, Inc.(c) 70,200
1,422 One Price Clothing Stores, Inc.(c) 13,154
<PAGE>
<PAGE>
CONSERVATIVE
COMMON STOCKS
NUMBER OF SHARES VALUE
RETAIL (Continued)
- -------------------------------------------------------------------------------
2,300 Pep Boys.Manny Moe & Jack $ 79,925
20,000 Sears (United Kingdom)(b) 32,612
735 Stein Mart, Inc.(c) 11,071
985 Tommy Hilfiger(c) 38,291
1,500 Welcome Home, Inc. 17,812
7,900 Woolworth Corp. 137,262
-------------
971,806
CONSUMER SERVICES (1.4%)
- -------------------------------------------------------------------------------
1,030 Broadcasting Partners, Inc.(c) 13,969
1,595 Buffets, Inc.(c) 25,121
345 CBS Inc. 110,659
1,100 Cellular Communications of Puerto Rico, Inc.(c) 37,950
3,195 Century Communications Corp. Class A 28,755
860 Clear Channel Communications, Inc.(c) 44,182
390 DF&R Restaurants, Inc.(c) 11,017
1,695 Davco Restaurants, Inc.(c) 26,272
675 Doubletree Corp.(c) 12,614
940 EZ Communications, Inc. Class A(c) 11,515
4,500 Genting Berhad Co. (Malaysia)(b) 40,382
1,020 Hospitality Franchise System, Inc.(c) 32,002
955 Infinity Broadcasting Corp. Class A(c) 29,127
1,430 Landry's Seafood Restaurants, Inc.(c) 36,465
1,820 Loewen Group, Inc. 44,135
2,800 Marriott International, Inc. 80,850
2,100 Procter & Gamble Co. 125,213
1,625 Rio Hotel & Casino, Inc.(c) 21,531
285 SFX Broadcasting, Inc. Class A(c) 4,560
335 Star Sight Telecast, Inc.(c) 4,271
470 Stewart Enterprises, Inc. Class A 11,633
610 Taco Cabana, Inc.(c) 5,338
4,000 Tele-Communications Class A 88,750
5,800 Wendy's International, Inc. 84,100
-------------
930,411
METALS AND MINING (1.1%)
- -------------------------------------------------------------------------------
5,600 Alumax, Inc.(c) 179,900
400 CRA Ltd. (Australia)(b) 5,626
90 Fischer (Georg) (Bearer Shares) (Switzerland)(b) 106,277
9,000 Freeport-McMoRan, Inc. 174,375
18,600 MIM Holdings Ltd. (Australia)(b) 37,586
59 N.V. Bekaert S.A. (Belgium)(b) 43,812
12,000 Nisshin Steel Co., Ltd. (Japan)(b) 57,517
1,000 Phelps Dodge Corp. 62,125
400 Ugine (France)(b) 30,712
2,500 Western Mining Holdings, Ltd. (Australia)(b) 14,563
-------------
712,493
TRANSPORTATION (1.0%)
- -------------------------------------------------------------------------------
8,300 Associated British Ports (United Kingdom)(b) 34,653
2,700 Brambles Industries, Ltd. (Australia)(b) 27,380
400 Careline, Inc.(c) 2,250
1,945 Expeditors International of Washington, Inc. 38,900
<PAGE>
<PAGE>
CONSERVATIVE
COMMON STOCKS
NUMBER OF SHARES VALUE
TRANSPORTATION (Continued)
- -------------------------------------------------------------------------------
1,200 Federal Express Corp.(c) $ 74,250
825 Fritz Companies, Inc.(c) 29,287
4,500 Illinois Central Corp. 135,000
5,000 Jurong Shipyard Ltd. (Singapore)(b) 46,543
725 Landair Services, Inc.(c) 15,768
995 Landstar System, Inc.(c) 34,327
3,000 Singapore Airlines Ltd. (Singapore)(b) 29,342
6,800 Southern Pacific Rail Corp.(c) 127,500
4,000 Swire Pacific Ltd. Class A (Hong Kong)(b) 31,320
-------------
626,520
FOOD AND BEVERAGES (1.0%)
- -------------------------------------------------------------------------------
13,000 Argyll Group PLC (United Kingdom)(b) 56,222
2,700 Coca-Cola Co. 131,287
2,400 ConAgra, Inc. 75,600
100 Docks de France (France)(b) 13,942
1,200 General Mills, Inc. 69,300
9,639 Greencore Group PLC (Ireland)(b) 57,829
3,900 Guinness PLC (United Kingdom)(b) 28,049
5,600 IBP, Inc. 183,400
25 Nestle S.A. (Registered Shares) (Switzerland)(b) 22,704
-------------
638,333
AUTOMOTIVE (1.0%)
- -------------------------------------------------------------------------------
880 A.P.S. Holding Corp.(c) 24,805
280 Allied Holdings, Inc.(c) 4,165
5,000 Bridgestone Corp. (Japan)(b) 78,204
4,000 Edaran Otomobil Nasional Berhad (Malaysia)(b) 27,000
690 Exide Corp. 32,688
4,400 General Motors Corp. 206,250
2,000 Magna International, Inc. Class A 73,750
1,430 Michelin (CGDE) Ser. B (France)(b) 58,329
7,000 Mitsubishi Motors Corp. (Japan)(b) 65,692
400 Peugeot Citroen SA (France)(b) 59,248
-------------
630,131
BUILDING AND CONSTRUCTION (0.9%)
- -------------------------------------------------------------------------------
10,400 CRH PLC (Ireland)(b) 56,723
1,800 Fluor Corp. 89,550
10,000 Hong Leong Industries (Malaysia)(b) 50,332
800 Lafarge Coppee (Bearer Shares) (France)(b) 62,935
4,000 Marui Co. Ltd. (Japan)(b) 69,424
860 Redman Industries(c) 16,233
1,110 Schuler Homes, Inc.(c) 21,923
11,300 Senior Engineering Group PLC (United Kingdom)(b) 20,207
6,000 Shimizu Corp. (Japan)(b) 60,303
3,500 Sungei Way Holdings Berhad (Malaysia)(b) 13,792
2,000 Taihei Dengyo Corp.(Japan)(b) 61,352
550 VA Technolgie AG (Austria)(b) 54,962
-------------
577,736
<PAGE>
<PAGE>
CONSERVATIVE
COMMON STOCKS
NUMBER OF SHARES VALUE
FOREST PRODUCTS (0.6%)
- -------------------------------------------------------------------------------
3,526 Amcor Ltd. (Australia)(b) $ 23,176
5,100 Champion International Corp. 197,625
600 International Paper Co. 47,100
700 Mayr-Melnhof Karton AG (Austria)(b) 39,504
4,000 Rengo Co. Ltd. (Japan)(b) 34,309
2,900 Repola (Finland)(b) 60,901
-------------
402,615
PHOTOGRAPHY (0.4%)
- -------------------------------------------------------------------------------
5,200 Eastman Kodak Co. 269,100
CONGLOMERATES (0.4%)
- -------------------------------------------------------------------------------
1,800 Allied-Signal Inc. 61,425
4,300 Cartiere Burgo S.P.A. (Italy)(b) 26,089
12,000 Mitsui Co. (Japan)(b) 102,200
8,000 Hutchison Whampoa, Ltd. (Hong Kong)(b) 37,791
10,000 Sime Darby Berhad (Malaysia)(b) 28,872
2,000 United Engineers (Malaysia)(b) 11,236
-------------
267,613
COMPUTER SERVICES/SOFTWARE (0.4%)
- -------------------------------------------------------------------------------
490 America Online, Inc. 33,504
1,925 Cognex Corp.(c) 35,372
2,110 Getronics N.V. (Netherlands)(b) 64,381
520 Infosoft International, Inc.(c) 14,267
1,365 Keane, Inc.(c) 30,371
2,055 Mercury Interactive Corp.(c) 20,421
500 Midisoft Corp. 7,688
420 Netmanage, Inc.(c) 8,925
2,300 Platinum Software Corp. 28,175
710 Softdesk, Inc.(c) 12,603
-------------
255,707
ENVIRONMENTAL CONTROL (0.4%)
- -------------------------------------------------------------------------------
1,800 Browning-Ferris Industries, Inc. 57,150
6,200 WMX Technologies, Inc. 179,025
-------------
236,175
REAL ESTATE (0.3%)
- -------------------------------------------------------------------------------
4,000 Cheung Kong Holdings Ltd. (Hong Kong)(b) 19,464
8,500 Debartolo Realty Corp. 123,250
4,000 Mitsui Fudosan Co., Ltd. (Japan)(b) 45,610
-------------
188,324
PUBLISHING (0.2%)
- -------------------------------------------------------------------------------
620 Elsevier N.V. (Netherlands)(b) 59,394
5,500 Pearson PLC (United Kingdom)(b) 50,432
2,000 Singapore Press (Singapore)(b) 35,076
-------------
144,902
<PAGE>
<PAGE>
CONSERVATIVE
COMMON STOCKS
NUMBER OF SHARES VALUE
AEROSPACE AND DEFENSE (0.2%)
- -------------------------------------------------------------------------------
800 McDonnell Douglas Corp. $ 92,400
400 Rockwell International Corp. 13,700
-------------
106,100
PHARMACEUTICALS (0.1%)
- -------------------------------------------------------------------------------
2,830 Revco D.S., Inc.(c) 59,076
60 Schering AG (Germany)(b) 36,915
-------------
95,991
COMPUTERS (0.1%)
- -------------------------------------------------------------------------------
5,000 Fujitsu Ltd. (Japan)(b) 52,472
435 Union Switch & Signal, Inc.(c) 7,613
757 Zebra Technologies Corp.(c) 27,819
-------------
87,904
BROADCASTING (0.1%)
- -------------------------------------------------------------------------------
2,279 Centennial Cellular Corp. Class A 39,313
960 Paging Network, Inc.(c) 27,720
355 Renaissance Communications Corp. 9,541
1,725 Valuevision International, Inc. Class A(c) 8,193
-------------
84,767
TELECOMMUNICATIONS (0.1%)
- -------------------------------------------------------------------------------
75 Cable & Wireless PLC (United Kingdom)(b) 472
350 Intermedia Communications of Florida 4,243
1,215 Transaction Network Services Inc. 16,858
20,142 Vodafone Group PLC (United Kingdom)(b) 62,674
-------------
84,247
CONSUMER: DURABLE GOODS (0.1%)
- -------------------------------------------------------------------------------
800 Blyth Industries, Inc. 21,200
650 Duracraft Corp. 22,100
-------------
43,300
-------------
TOTAL COMMON STOCKS (cost $21,923,807) $21,848,460
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (26.4%)(a)
PRINCIPAL AMOUNT VALUE
- -------------------------------------------------------------------------------
Federal National Mortgage Association
$ 404,000 Pass Through 8 1/2s, September 1, 2024 $ 404,000
454,499 Pass Through 8s, July 1, 2024 442,710
1,692,223 Pass Through 7 1/2s with various due dates to
August 1, 2024 1,602,852
410,000 7s, October 25, 2023 357,468
49,000 Principal Only (P.O.) Strips zero % February 25, 2017(d) 45,707
Government National Mortgage Association
296,000 TBA 7 1/2s, October 14, 2024(e) 278,055
929,607 7 1/2s with various due dates to June 15, 2024 873,249
2,949,952 7s, with various due dates to April 15, 2024 2,673,425
<PAGE>
<PAGE>
CONSERVATIVE
U.S. GOVERNMENT AND AGENCY OBLIGATIONS
PRINCIPAL AMOUNT VALUE
- -------------------------------------------------------------------------------
$ 807,999 Midget 7s, with various due dates to June 15, 2009 $ 771,385
500,000 TBA 6 1/2s, October 14, 2024(e) 436,562
1,316,091 6 1/2s with various due dates to April 15, 2024 1,149,111
950,000 U.S. Treasury Bonds 7 1/2s, November 15, 2024 914,968
1,826,000 U.S. Treasury Notes 5 1/8s, June 30, 1998 1,707,880
5,650,000 U.S. Treasury Notes 4s, January 31, 1996 5,491,093
-------------
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS
(cost $16,829,057) $17,148,465
FOREIGN BONDS AND NOTES (13.9%)(a)(f)
PRINCIPAL AMOUNT VALUE
- -------------------------------------------------------------------------------
AUD 45,000 Australia (Government of) bonds 13s, 1996 $ 35,775
AUD 480,000 Australia (Government of) bonds 9 1/2s, 2003 339,300
AUD 102,000 Australia (Government of) bonds 8 3/4s, 2001 71,145
AUD 500,000 Australia (Government of) bonds 6 3/4s, 2006 276,563
AUD 61,000 Australia (Government of) bonds 6 1/4s, 1999 39,650
CAD 190,000 Canada (Government of) bonds 9s, 2004 142,856
CAD 790,000 Canada (Government of) bonds 6.5s, 2004 500,662
CAD 1,415,000 Canada (Government of) bonds 5 3/4s, 1999 956,894
FIM 1,000,000 Finland (Government of) notes 10 3/4s, 2002 211,875
FIM 1,000,000 Finland (Government of) bonds 9 1/2s, 2004 195,625
FRF 694,000 France (Government of) OAT 6 3/4s, 2003 120,149
ECU 180,000 France (Government of) OAT 6s, 2004 184,500
FRF 5,320,000 France (Government of) OAT 5 1/2s, 2004 834,575
DEM 140,000 Germany (Government of) Treuhandansalt bonds
6 3/4s, 2004 84,963
ITL 580,000,000 Italy (Government of) bonds 12s, 2003 373,737
ECU 248,000 Italy (Government of) notes 9 1/4s, 2011 292,020
ITL 1,080,000,000 Italy (Government of) bonds 8 1/2s, 2004 577,800
ITL 285,000,000 Italy (Government of) notes 8 1/2s, 1999 164,587
NLG 500,000 Netherlands (Government of) deb. 7 1/2s, 1999 290,938
NLG 473,000 Netherlands (Government of) deb. 5 3/4s, 2004 240,639
NZD 350,000 New Zealand (Government of) deb. 8s, 1998 203,438
ESP 17,200,000 Spain (Government of) bonds 10.55s, 1996 134,160
ESP 35,700,000 Spain (Government of) bonds 10 1/4s, 1998 269,981
SEK 2,200,000 Sweden (Government of) bonds 10 1/4s, 2003 279,125
SEK 800,000 Sweden (Government of) bonds 6s, 2005 73,000
GBP 470,000 United Kingdom Exchequer notes 9 3/4s, 1998 764,925
GBP 150,000 United Kingdom Treasury deb. 9 1/2s, 2005 246,093
GBP 160,000 United Kingdom Treasury bonds 9 1/8s, 2001 201,800
GBP 100,000 United Kingdom Treasury bonds 9s, 2000 159,000
GBP 100,000 United Kingdom Treasury bonds 8 3/4s, 1997 159,063
GBP 76,000 United Kingdom Treasury bonds 8 1/2s, 2007 116,992
GBP 50,000 United Kingdom Treasury bonds 8s, 2003 74,531
GBP 240,000 United Kingdom Treasury notes 7 3/4s, 2006 348,900
GBP 25,000 United Kingdom Treasury bonds 6 3/4s, 2004 34,015
-------------
TOTAL FOREIGN BONDS AND NOTES (cost $9,095,626) $ 8,999,276
<PAGE>
<PAGE>
CONSERVATIVE
CORPORATE BONDS AND NOTES (11.2.%)(a)
PRINCIPAL AMOUNT VALUE
INSURANCE AND FINANCE (2.2%)
- -------------------------------------------------------------------------------
$ 100,000 American Annuity Group,Inc. sr. sub. notes 11 1/8s,2003 $ 101,000
60,000 Associates Corp. sub. notes 5.49s, 1999 55,125
150,000 Banponce Corp. med. term notes 5.48s, 1998 137,344
210,000 Chrysler med. term notes 5.83s, 1999 194,906
15,000 Comdata Network, Inc. sr. sub. deb. 13 1/4s, 2002 16,575
25,000 Comdata Network, Inc. sr. notes 12 1/2s, 1999 26,875
125,000 First Federal Financial Corp. notes 11 3/4s, 2004 125,000
200,000 General Motors Acceptance Corp. med. term notes
6 3/4s, 1996 200,875
50,000 MBNA America Bank med. term. notes 7.12s, 1999 48,937
300,000 National Bank of Canada sub. notes 8 1/8s, 2004 293,437
125,000 PSF Finance L.P. sr. notes 12 1/4s, 2004(g) 127,734
15,000 Reliance Group Holdings sr. sub. deb. 9 3/4s, 2003 13,575
75,000 Royal Bank of Scotland Capital Corp. deb. 10 1/8s, 2004 83,156
-------------
1,424,539
CONSUMER SERVICES (1.6%)
- -------------------------------------------------------------------------------
75,000 AMC Entertainment, Inc. sr. sub. deb. 11 7/8s, 2000 81,000
150,000 Century Communications Corp. notes 9 3/4s, 2002 146,250
15,000 Century Communications Corp. sr. sub. deb. 11 7/8s, 2003 15,750
45,000 Continental Cablevision, Inc. sr. deb. 9s, 2008 40,275
70,000 Continental Cablevision, Inc. sr. note 8 1/2, 2001 64,400
136,925 Falcon Holdings Group Inc. sr. sub. notes 11s, 2003(h) 123,252
15,000 Flagstar Corp. sr. sub. deb. 11 1/4s, 2004 12,862
150,000 General Media sr. secd. notes 10 5/8s, 2000 140,250
70,000 Golden Nugget Finance Corp. 1st mtge. deb. Ser. B,
10 5/8s, 2003 37,800
15,000 Insight Communications Co. sr. sub. notes
stepped-coupon notes 8 1/4s (11 1/4s, 3/1/96), 2000(i) 14,325
40,000 John Q. Hammons Hotels 1st. mtge. notes 8 7/8s, 2004 36,500
15,000 La Quinta Motor Inns Inc. deb. 9 1/4s, 2003 14,100
230,000 Marcus Cable Co. sr. sub. disc. note stepped-coupon
zero % (13 1/2s, 8/1/99), 2004(i) 124,200
45,000 Marvel Parent Holdings, Inc. sr. secd. disc. notes
zero %, 1998 28,125
50,000 Pioneer Finance Corp. gtd. 1st mtge. 13 1/2s, 1998 46,000
25,000 SFX Broadcasting Inc. sr. sub. notes 11 3/8s, 2000 25,938
100,000 U.S. Banknote Corp. sr. notes 10 3/8s, 2002 87,000
-------------
1,038,027
UTILITIES (1.3%)
- -------------------------------------------------------------------------------
450,000 Commonwealth Edison Co. 1st mtge. 6s, 1998 425,812
100,000 Midland Funding Corp. II deb. Ser. B, 13 1/4s, 2006 102,000
110,000 Long Island Lighting mtg. 5 1/4s, 1996 107,800
50,000 Philadelphia Electric Co. 1st mtge. 7 1/2s, 1999 49,250
100,000 Puget Sound Power & Light Co. 1st mtge. 8 1/4s, 1995 101,500
60,000 Puget Sound Power & Light Co. 1st mtge. 7 7/8s, 1997 60,713
20,000 Texas Utilities Electric sub. notes 5 7/8s, 1998 19,175
-------------
866,250
RETAIL (1.3%)
- -------------------------------------------------------------------------------
65,000 Bradlees, Inc. sr. sub. notes 11s, 2002 64,025
15,000 Finlay Enterprises, Inc. sr. notes 10 5/8s, 2003 14,250
<PAGE>
<PAGE>
CONSERVATIVE
CORPORATE BONDS AND NOTES
PRINCIPAL AMOUNT VALUE
RETAIL (Continued)
- -------------------------------------------------------------------------------
$ 60,000 Grand Union Co. sr. sub. notes 12 1/4s, 2002 $ 44,550
75,000 Loehmanns. Holdings, Inc. sr. sub. notes 13 3/4s, 1999 75,000
50,000 Safeway Stores 10s, 2002 52,750
300,000 Sears Roebuck med. term notes 5.54s, 1999 271,500
125,000 Stop & Shop Companies, Inc. sr. sub. notes 9 3/4s, 2002 129,375
200,000 Wal-Mart Stores, Inc. notes 8s, 2006 197,500
-------------
848,950
METALS AND MINING (0.7%)
- -------------------------------------------------------------------------------
100,000 Bayou Steel Corp. 1st. mtge. 10 1/4s, 2001 94,500
25,000 Earle M. Jorgensen Co. sr. notes 10 3/4s, 2000 24,875
15,000 Geneva Steel corp. sr. notes 9 1/2s, 2004 13,575
90,000 Inland Steel Industries, Inc. notes 12 3/4s, 2002 101,025
245,000 WCI Steel Inc. sr. secd. notes 10 1/2s, 2002(g) 241,325
-------------
475,300
HEALTH CARE (0.6%)
- -------------------------------------------------------------------------------
30,000 American Medical International Inc. sr. sub. notes
13 1/2s, 2001 33,450
25,000 Healthsouth Rehabilitation 9 1/2s, 2000 24,500
100,000 McGaw, Inc. sr. notes 10 3/8s, 1999 103,000
180,000 Mediplex Group, Inc. sr. sub. notes 11 3/4s, 2002 193,950
45,000 Paracelsus Healthcare Corp. sr. sub. notes 9 7/8s, 2003 42,863
-------------
397,763
FOREST PRODUCTS (0.5%)
- -------------------------------------------------------------------------------
85,000 Container Corp. of America sr. notes Ser. A,
11 1/4s, 2004 88,400
15,000 Gaylord Container Corp. sr. notes 11 1/2s, 2001 15,337
125,000 Gaylord Container Corp. sr. sub. disc. deb.
stepped-coupon zero % (12 3/4s, 5/15/96), 2005(i) 105,781
75,000 Stone Container Corp. sr. notes 11 1/2s, 2004 75,281
15,000 Stone Container Corp. sr. sub. notes 10 3/4s, 1997 15,075
50,000 Stone Savannah River Pulp & Paper Corp. sr. sub. notes
14 1/8s, 2000 53,563
-------------
353,437
CHEMICALS (0.5%)
- -------------------------------------------------------------------------------
300,000 G-I Holdings Inc. sr. notes zero %, 1998 186,000
15,000 Harris Chemical Corp. sr. sub. notes 10 3/4s, 2003 14,025
15,000 OSI Specialty Inc. sr. sub. notes 9 1/4s, 2003 14,025
125,000 UCC Investors Holding, Inc. sr. notes 10 1/2s, 2002 128,750
-------------
342,800
AEROSPACE AND DEFENSE (0.4%)
- -------------------------------------------------------------------------------
210,000 BE Aerospace sr. notes, 9 3/4s, 2003 201,600
75,000 UNC, Inc. 9 1/8s, 2003 69,000
-------------
270,600
<PAGE>
<PAGE>
CONSERVATIVE
CORPORATE BONDS AND NOTES
PRINCIPAL AMOUNT VALUE
ENTERTAINMENT (0.3%)
- -------------------------------------------------------------------------------
$ 70,000 Caesars World sr. sub. notes 8 7/8s, 2002 $ 66,500
175,000 Viacom International sub. deb. 8s, 2006 152,250
-------------
218,750
MOTION PICTURE DISTRIBUTION (0.2%)
- -------------------------------------------------------------------------------
66,000 AMC Entertainment, Inc. sr. sub. deb. 12 5/8s, 2002 73,260
75,000 United Artists notes 11 1/2s, 2002 80,250
-------------
153,510
REAL ESTATE (0.2%)
- -------------------------------------------------------------------------------
175,000 Chelsea Piers Ser. A, stepped-coupon zero % (12 1/2s,
6/15/99), 2004(g)(i) 142,406
10,000 Chelsea Piers Ser. B, stepped-coupon zero % (11s,
6/15/99), 2009(g)(i) 8,288
-------------
150,694
OIL AND GAS (0.2%)
- -------------------------------------------------------------------------------
150,000 TransTexas Gas Corp. sr. secd. notes 10 1/2s, 2000 147,000
TELECOMMUNICATIONS (0.2%)
- -------------------------------------------------------------------------------
75,000 Dial Call Communication sr. disc. notes Ser. B stepped
coupon zero %, (10 1/4s,12/15/98) 2005(i) 36,000
75,000 K-III Communications Corp. sr. notes 10 1/4s, 2004 73,500
20,000 MFS Communications sr. disc. notes stepped-coupon
zero % (9 3/8s, 1/15/99), 2004(i) 11,600
-------------
121,100
FOOD AND BEVERAGES (0.2%)
- -------------------------------------------------------------------------------
15,000 Chiquita Brands International Inc. sub. deb. 11 1/2s, 2001 15,525
65,000 Fresh Del Monte Produce Corp. sr. notes,Ser. B,10s,2003(g) 57,200
40,000 Stater Brothers sr. notes 11s, 2001(g) 38,300
-------------
111,025
SPECIALTY CONSUMER PRODUCTS (0.1%)
- -------------------------------------------------------------------------------
70,000 Anchor Glass Container Corp. notes 10 1/4s, 2002 70,700
15,000 Anchor Glass Container Corp. sr. sub. deb. 9 7/8s, 2008 13,650
25,000 International Semi-Tech. Corp. sr. disc. notes
stepped-coupon zero % (11 1/2s, 8/15/00), 2003(i) 11,937
-------------
96,287
TRANSPORTATION (0.1%)
- -------------------------------------------------------------------------------
10,000 Blue Bird Body Co. sr. sub. deb. Ser. B, 11 3/4s, 2002 10,175
60,000 Viking Star Shipping sr. secd. notes 9 5/8s, 2003 57,450
-------------
67,625
AUTOMOTIVE (0.1%)
- -------------------------------------------------------------------------------
45,000 Key Plastics Corp. sr. notes 14s, 1999 51,018
BUILDING AND CONSTRUCTION (0.1%)
- -------------------------------------------------------------------------------
50,000 Kaufman & Broad Home Corp. sr. sub. notes 9 3/8s, 2003 45,375
<PAGE>
<PAGE>
CONSERVATIVE
CORPORATE BONDS AND NOTES
PRINCIPAL AMOUNT VALUE
CONGLOMERATES (0.1%)
- -------------------------------------------------------------------------------
$ 25,000 Haynes International, Inc. sr. sub. notes 13 1/2s, 1999$ 15,250
15,000 Jordan Industries, Inc. sr. notes 10 3/8s, 2003 13,687
10,000 MacAndrews & Forbes Holdings Inc. deb. 12 1/4s, 1996 10,000
5,000 MacAndrews & Forbes Holdings Inc. sub. deb. 13s, 1999 5,000
-------------
43,937
CONSUMER NON DURABLES (--%)
- -------------------------------------------------------------------------------
15,000 Foamex L.P. Capital Corp. sr. notes 11 1/4s, 2002 15,150
15,000 Playtex Family Products Corp. sr. sub. notes 9s, 2003 12,900
-------------
28,050
BUSINESS SERVICES (--%)
- -------------------------------------------------------------------------------
30,000 Corporate Express, Inc. sr. notes 9 5/8s, 2004(g) 27,825
BASIC INDUSTRIAL PRODUCTS (--%)
- -------------------------------------------------------------------------------
10,000 Ivex Packaging Corp. sr. sub. notes 12 1/2s, 2002 10,400
-------------
Total Corporate Bonds and Notes (cost $7,456,135) $ 7,290,262
YANKEE BONDS AND NOTES (2.0%)(a)(b)
PRINCIPAL AMOUNT VALUE
- -------------------------------------------------------------------------------
$ 250,000 Aegon N.V., sub. note 8s, 2006 $ 241,875
45,000 Eletson Holdings, Inc. mtge. notes 9 1/4s, 2003 41,512
100,000 Grupo Industrial Durango sr. notes 12s, 2001 103,000
55,000 Household Finance Corp. sr. notes 7 1/8s, 1999 53,590
175,000 LASMO PLC ADS notes 7 1/8s, 2003 157,390
100,000 Maxus Energy Corp. global notes 9 7/8s, 2002 95,500
200,000 Methanex Corp. sr. notes 8 7/8s, 2001 196,000
25,000 Sifto Canada, Inc. sr. note 8 1/2s, 2000 23,063
75,000 Videotron Groupe LTEE sr. sub. notes 10 1/4s, 2002 75,750
435,000 World Bank bonds zero %, 1999 297,159
-------------
TOTAL YANKEE BONDS AND NOTES (cost $1,293,634) $ 1,284,839
ASSET-BACKED SECURITIES (0.9%)(a)
PRINCIPAL AMOUNT VALUE
- -------------------------------------------------------------------------------
$ 145,000 Chase Credit Card Master Trust 8 3/4s, 1999 $ 148,896
198,103 Chase Credit Card Master Trust 94-1 B-2 6.601s, 2023(g) 164,797
285,000 Standard Credit Card Trust Ser. 91-4A deb. 8s, 1997 289,631
-------------
TOTAL ASSET-BACKED SECURITIES (cost $318,890) $ 603,324
UNITS (0.9%)(a)
NUMBER OF UNITS VALUE
- -------------------------------------------------------------------------------
45,000 Chesapeake Energy Corp. deb. units 12s, 2001(g) $ 54,225
110,000 County Seat Stores units 12s, 2001 108,900
310 Echostar Communication Corp. units stepped-coupon
zero % (12 7/8s, 12/1/99), 2004(i) 144,150
100,000 Hollywood Casino units 13 1/2s, 1998(g) 79,000
<PAGE>
<PAGE>
CONSERVATIVE
UNITS
NUMBER OF UNITS VALUE
- -------------------------------------------------------------------------------
10,000 ICF Kaiser International Inc. sr. sub. units 12s, 2003 $ 9,000
100,000 OSI Specialties units stepped-coupon zero % (11 1/2s,
4/15/99), 2004(g)(i) 61,000
1,600 SmithKline Beecham PLC Equity Unit (United Kingdom) ADS(d) 49,400
100 Total Renal Care units stepped-coupon zero % (12s,
8/15/99), 2004(g)(i) 71,500
-------------
TOTAL UNITS (cost $600,112) $ 577,175
PREFERRED STOCKS (0.3%)(a)
NUMBER OF SHARES VALUE
- -------------------------------------------------------------------------------
1,650 California Federal Bank Ser. B, $10.625 pfd. $ 174,281
500 Pantry Pride Inc. Ser. B, $14.875 pfd. 48,750
-------------
TOTAL PREFERRED STOCKS (cost $224,925) $ 223,031
WARRANTS (--%)(a)(c) EXPIRATION
NUMBER OF WARRANTS DATE VALUE
- -------------------------------------------------------------------------------
110 County Seat Holdings, Inc. 10/15/98 $ 2,200
150 General Media Corp.(g) 12/31/00 1,500
100 OSI Specialties Corp.(g) 04/15/99 1,000
20 UCC Investor Holding, Inc.(g) 10/30/99 260
-------------
TOTAL WARRANTS (cost $4,606) $ 4,960
PUT OPTIONS ON FOREIGN CURRENCIES (--%)(a)(c)(f)
EXPIRATION DATE/
CURRENCY STRIKE PRICE VALUE
- -------------------------------------------------------------------------------
DEM 450,000 Deutschemarks In Exchange for U.S. dollars Oct 94/1.52 $ 405
CHF 150,000 Swiss Francs In Exchange for U.S. dollars Oct 94/1.26 165
-------------
TOTAL PUT OPTIONS ON FOREIGN CURRENCIES (cost $3,750) $ 570
SHORT-TERM INVESTMENTS (11.1%)(a)
PRINCIPAL AMOUNT VALUE
- -------------------------------------------------------------------------------
$1,000,000 Federal Home Loan Mortgage Corp. 4.69s,
October 4, 1994(j) $ 996,743
2,000,000 Federal Home Loan Mortgage Corp. 4.68s, October 20, 1994 1,987,780
4,199,000 Interest in $81,000,000 joint repurchase agreement
dated September 30, 1994 with J.P. Morgan Securities Inc.
due October 3, 1994 with respect to various U.S. Treasury
obligations.maturity value of $4,200,697 for an effective
yield of 4.85% 4,199,566
-------------
TOTAL SHORT-TERM INVESTMENTS (cost $7,184,089) 7,184,089
-------------
TOTAL INVESTMENTS (cost $64,934,631)(k) $65,164,451
(a) Percentages indicated are based on total net assets of $64,928,261, which
correspond to a net asset value per class A share of $8.23, per class B sha-
re of $8.22, per class C share of $8.22, and per class Y share of $8.23.
(b) Securities whose values are determined or significantly influenced by tra-
ding on exchanges not in the United States or Canada. ADR or ADS after the
name of a foreign holding stands for American Depository Receipt or American
Depository Shares, respectively, representing ownership of foreign securi-
ties on deposit with a domestic custodian bank.
<PAGE>
<PAGE>
CONSERVATIVE
(c) Non-income-producing security.
(d) Principal Only (P.O.) Strips represent the right to receive the monthly
principal payments on an underlying pool of mortgage loans. No payments of
interest on the pool are passed through to the P.O. holders.
(e) TBA's are mortgage backed securities traded under delayed delivery commit-
ments settling after September 30, 1994. Although the unit price for the
trades has been established, the principal amount has not been finalized.
However, the amount of commitments will not fluctuate more than 2.0% from
the principal amount. Income on the securities will not be earned until set-
tlement date. The cost of TBA purchases at September 30, 1994 was $719,874.
(f) Foreign currency-denominated. Market value is translated at the current ex-
change rate.
(g) Security exempt from registration from under Rule 144A of the Securities Act
of 1933. These securities may be resold in transactions exempt from regis-
tration, normally to qualified institutional buyers. For the year ended
September 30, 1994, these securities amounted to $977,035 or 1.5% of net
assets.
(h) Income may be received in additional securities or cash at the discretion of
the issuer.
(i) The interest rate shown parenthetically represents the new interest rate to
be paid and the date the Fund will begin accruing this rate.
(j) A portion of this security was pledged to cover margin requirements for fu-
tures contracts at September 30, 1994. The market value of the segregated
security with the custodian for transactions on futures contracts is
$249,186 or 0.4% of net assets.
(k) The aggregate identified cost for federal income tax purposes is $64,943,807
resulting in gross unrealized appreciation and depreciation of $1,637,437
and $1,416,793 respectively, or net unrealized appreciation of $220,644.
DIVERSIFICATION OF FOREIGN INVESTMENTS
at September 30, 1994 (as a percentage of net assets)
- -------------------------------------------------------------------------------
United Kingdom 4.58% Germany 0.42%
Japan 2.84% Singapore 0.40%
Canada 2.46% Hong Kong 0.34%
France 2.29% Malaysia 0.32%
Italy 1.80% New Zealand 0.31%
Netherlands 1.48% Ireland 0.27%
Australia 1.34% Belgium 0.14%
Spain 0.83% Austria 0.14%
Multinational 0.73% Norway 0.07%
Finland 0.72% Denmark 0.05%
Sweden 0.67% Argentina --%
Switzerland 0.57%
TBA SALE COMMITMENTS OUTSTANDING AT SEPTEMBER 30, 1994
(proceeds receivable $404,316)(e)
- -------------------------------------------------------------------------------
Principal Delivery Coupon Market
Agency Amount Month Rate Value
FNMA $400,000 Oct 94 8 1/2s $ 404,000
FUTURES CONTRACTS OUTSTANDING AT SEPTEMBER 30, 1994
- -------------------------------------------------------------------------------
Aggregate Unrealized
Face Expiration Appreciation/
Total Value Value Date (Depreciation)
U.S. Treasury
Bond Futures (buy) $2,770,250 $2,849,476 Dec 94 $ (79,226)
S&P 500 Index
Futures (sell) 3,011,125 3,034,950 Dec 94 (23,825)
- -------------------------------------------------------------------------------
$ (55,401)
<PAGE>
<PAGE>
CONSERVATIVE
CROSS FORWARD CURRENCY CONTRACTS OUTSTANDING AT SEPTEMBER 30, 1994
(aggregate face value $312,444)
- -------------------------------------------------------------------------------
Market In Exchange Market Delivery Unrealized
Contracts Value For Value Date Appreciation
British Pounds
(Buy) $315,040 Deutschemarks $312,533 10/19/94 $ 2,507
FORWARD CURRENCY CONTRACTS OUTSTANDING AT SEPTEMBER 30, 1994
- -------------------------------------------------------------------------------
Unrealized
Aggregate Delivery Appreciation/
Market Value Face Value Date (Depreciation)
Australian Dollars (Sell) $295,880 $294,720 11/2/94 $ (1,160)
Australian Dollars (Sell) 245,541 245,541 12/5/94 --
Australian Dollars (Sell) 148,000 145,728 10/11/94 (2,272)
Australian Dollars (Sell) 147,780 148,220 12/19/94 440
Australian Dollars (Sell) 221,838 221,838 12/5/94 --
Deutschemarks (Sell) 64,490 63,054 10/5/94 (1,436)
Deutschemarks (Sell) 412,736 404,807 10/20/94 (7,929)
Deutschemarks (Sell) 128,980 126,526 10/21/94 (2,454)
Deutschemarks (Sell) 322,450 316,848 10/17/94 (5,602)
Deutschemarks (Sell) 516,000 515,149 11/22/94 (851)
Deutschemarks (Sell) 193,530 194,348 11/28/94 818
Deutschemarks (Sell) 386,940 377,358 10/13/94 (9,582)
Deutschemarks (Sell) 322,450 316,454 11/2/94 (5,996)
Deutschemarks (Sell) 903,140 886,070 11/30/94 (17,070)
Deutschemarks (Sell) 128,980 126,928 11/1/94 (2,052)
Deutschemarks (Sell) 64,490 63,221 11/1/94 (1,269)
Deutschemarks (Sell) 580,410 582,110 10/24/94 1,700
Deutschemarks (Sell) 774,000 778,089 11/17/94 4,089
Deutschemarks (Sell) 129,040 129,908 12/20/94 868
Japanese Yen (Sell) 347,466 348,611 2/22/95 1,145
New Zealand Dollars (Sell) 60,120 60,150 11/3/94 30
New Zealand Dollars (Sell) 180,210 180,210 10/4/94 --
- -------------------------------------------------------------------------------
$ (48,583)
The accompanying notes are an integral part of these financial statements.
<PAGE>
<PAGE>
PUTNAM ASSET ALLOCATION GROWTH FUND
STATEMENT OF ASSETS AND LIABILITIES
September 30, 1994
ASSETS
- -------------------------------------------------------------------------------
Investments in securities, at value (identified cost $94,745,943)
(Note 1) $ 97,039,479
Cash 46,114
Interest, dividends and other receivables 417,540
Receivable for securities and options sold 1,135,860
Receivable for shares of the fund sold 1,619,179
Receivable from Manager (Note 3) 96,943
Unamortized organization expenses (Note 1) 11,563
Receivable for open forward currency contracts 5,613
Receivable for closed forward currency contracts 20,124
Receivable for variation margin on futures contracts 15,875
- -------------------------------------------------------------------------------
TOTAL ASSETS 100,408,290
LIABILITIES
- -------------------------------------------------------------------------------
Payable for securities purchased 4,315,234
Payable for shares of the fund repurchased 56,389
Payable for administrative services (Note 3) 1,141
Payable for compensation of Trustees (Note 3) 2,000
Payable for investor servicing and custodian fees (Note 3) 114,674
Payable for distribution fees (Note 3) 61,318
Payable for organization expenses (Note 2) 13,264
Payable for open forward currency contracts 33,597
Payable for closed forward currency contracts 34,014
TBA sale commitments, at value (proceeds receivable $202,157) 201,990
Other accrued expenses 81,645
- -------------------------------------------------------------------------------
TOTAL LIABILITIES 4,915,266
- -------------------------------------------------------------------------------
NET ASSETS $ 95,493,024
REPRESENTED BY
- -------------------------------------------------------------------------------
Paid-in capital (Notes 2 and 5) $ 93,637,106
Undistributed net investment income (Note 1) 417,975
Accumulated net realized loss on investment transactions (Note 1) (749,460)
Net unrealized foreign currency translation loss (731)
Net unrealized appreciation of investments, options, futures,
forward currency contracts, and TBA sale commitments 2,188,134
- -------------------------------------------------------------------------------
TOTAL -- REPRESENTING NET ASSETS APPLICABLE TO CAPITAL SHARES
OUTSTANDING $ 95,493,024
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE
- -------------------------------------------------------------------------------
Net asset value and redemption price of class A shares
($43,669,143 divided by 5,183,011 shares) $8.43
--------
Offering price per share (100/94.25 of $8.43) * $8.94
Net asset value and offering price of class B shares
($50,663,956 divided by 6,039,497 shares) + $8.39
Net asset value and offering price of class C shares
($385,048 divided by 45,905 shares) + $8.39
Net asset value, offering and redemption price of class Y shares
($774,877 divided by 91,920 shares) $8.43
- -------------------------------------------------------------------------------
* On single retail sales of less than $50,000. On sales of $50,000 or more and
on group sales the offering price is reduced.
+ Redemption price per share is equal to net asset value less any applicable
contingent deferred sales charge.
The accompanying notes are an integral part of these financial statements.
<PAGE>
<PAGE>
STATEMENT OF OPERATIONS
For the period February 8, 1994 (commencement of operations)
to September 30, 1994
INVESTMENT INCOME:
- -------------------------------------------------------------------------------
Interest $ 476,947
Dividends (net of foreign tax of $7,744) 440,591
- -------------------------------------------------------------------------------
TOTAL INVESTMENT INCOME 917,538
- -------------------------------------------------------------------------------
EXPENSES:
- -------------------------------------------------------------------------------
Compensation of Manager (Note 3) 197,278
Investor servicing and custodian fees (Note 3) 257,030
Compensation of Trustees (Note 3) 3,577
Auditing 27,123
Reports to shareholders 25,264
Legal 11,077
Postage 7,658
Amortization of organization expenses (Note 1) 1,701
Administrative services (Note 3) 2,292
Registration fee (Note 3) 32,336
Distribution fees -- class A (Note 3) 33,391
Distribution fees -- class B (Note 3) 147,631
Distribution fees -- class C (Note 3) 193
Other expenses 707
Fees waived and other expenses absorbed by the Manager (Note 3) (294,221)
- -------------------------------------------------------------------------------
TOTAL EXPENSES 453,037
- -------------------------------------------------------------------------------
NET INVESTMENT INCOME 464,501
- -------------------------------------------------------------------------------
Net realized loss on investments (Notes 1 and 4) (609,769)
Net realized loss on options (Notes 1 and 4) (1,339)
Net realized loss on futures (Notes 1 and 4) (131,080)
Net realized loss on foreign currency (Note 1) (9,413)
Net realized loss on forward currency contracts (Notes 1 and 4) (43,148)
Net unrealized foreign currency translation loss during the year (731)
Net unrealized appreciation of investments, options, futures,
forward currency contracts, and TBA sale commitments during the year 2,188,134
- -------------------------------------------------------------------------------
NET GAIN ON INVESTMENT TRANSACTIONS 1,392,654
- -------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 1,857,155
The accompanying notes are an integral part of these financial statements.
<PAGE>
<PAGE>
STATEMENT OF CHANGES IN NET ASSETS
For the period February 8, 1994
(commencement of operations) to
September 30, 1994
INCREASE IN NET ASSETS
- -------------------------------------------------------------------------------
Operations:
Net investment income $ 464,501
- -------------------------------------------------------------------------------
Net realized loss on investments (609,769)
- -------------------------------------------------------------------------------
Net realized loss on futures (131,080)
- -------------------------------------------------------------------------------
Net realized loss on foreign currency (9,413)
- -------------------------------------------------------------------------------
Net realized loss on options (1,339)
- -------------------------------------------------------------------------------
Net realized loss on forward currency contracts (43,148)
- -------------------------------------------------------------------------------
Net unrealized foreign currency translation loss (731)
- -------------------------------------------------------------------------------
Net unrealized appreciation of investments, options, futures,
forward currency contracts, and TBA sale commitments 2,188,134
- -------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS 1,857,155
- -------------------------------------------------------------------------------
Increase from capital share transactions (Note 5) 93,602,535
- -------------------------------------------------------------------------------
TOTAL INCREASE IN NET ASSETS 95,459,690
- -------------------------------------------------------------------------------
NET ASSETS
- -------------------------------------------------------------------------------
Beginning of period 33,334
- -------------------------------------------------------------------------------
END OF PERIOD (including undistributed
net investment income of $417,975) $95,493,024
- -------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
<PAGE>
<PAGE>
<TABLE>
<CAPTION>
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
For the period For the period For the period For the period
July 14, 1994 Sept. 1, 1994 Feb. 16, 1994 Feb. 8, 1994
(commencement (commencement (commencement (commencement
of operations) of operations) of operations) of operations)
to Sept. 30 to Sept. 30 to Sept. 30 to Sept. 30
1994 1994 1994 1994
Class Y Class C Class B Class A
- -------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Net Asset Value, Beginning
of Period $8.22 $8.46 $8.50 $8.50
- -------------------------------------------------------------------------------------------
Investment Operations
Net Investment Income* .03(a) .01(a) .06(a) .10(a)
- -------------------------------------------------------------------------------------------
Net Realized and Unrealized Gain
(Loss) on Investments .18 (.08) (.17) (.17)
- -------------------------------------------------------------------------------------------
Total from Investment Operations .21(a) (.07)(a) (.11)(a) (.07)(a)
- -------------------------------------------------------------------------------------------
Net Asset Value, End of Period $8.43 $8.39 $8.39 $8.43
- -------------------------------------------------------------------------------------------
Total Investment Return at
Net Asset Value (%) (b)(c) 2.55 (.83) (1.29) (.82)
- -------------------------------------------------------------------------------------------
Net Assets, End of Period
(in thousands) $775 $385 $50,664 $43,669
- -------------------------------------------------------------------------------------------
Ratio of Expenses to Average
Net Assets (%) .20(a)(c) .15(a)(c) 1.21(a)(c) .78(a)(c)
- -------------------------------------------------------------------------------------------
Ratio of Net Investment Income
to Average Net Assets (%) .50(a)(c) .14(a)(c) .80(a)(c) 1.31(a)(c)
- -------------------------------------------------------------------------------------------
Portfolio Turnover (%) 39.9(c) 39.9(c) 39.9(c) 39.9(c)
- -------------------------------------------------------------------------------------------
<FN>
* Per share net investment income for the period ended September 30, 1994, has been deter-
mined on the basis of the weighted average number of shares outstanding during the period.
(a) Reflects an absorption of expenses incurred by the fund. As a result of this limitation,
expenses for the period ended September 30, 1994, reflect a reduction of $.05, $.05, $.01,
and $.01 for class A, class B, class C, and class Y shares, respectively. See Note 3.
(b) Total investment return assumes dividend reinvestment and does not reflect the effect of
sales charges.
(c) Not annualized.
</TABLE>
<PAGE>
<PAGE>
PUTNAM ASSET ALLOCATION BALANCED FUND
STATEMENT OF ASSETS AND LIABILITIES
September 30, 1994
ASSETS
- -------------------------------------------------------------------------------
Investments in securities, at value (identified cost $200,756,663)
(Note 1) $204,839,037
Cash 53,241
Interest, dividends and other receivables 1,487,968
Receivable for securities sold 2,035,584
Receivable for shares of the fund sold 2,568,109
Receivable for open forward currency contracts 21,737
Receivable for closed forward currency contracts 92,741
Unamortized organization expenses (Note 1) 11,563
Receivable for variation margin on futures contracts 36,375
- -------------------------------------------------------------------------------
TOTAL ASSETS 211,146,355
LIABILITIES
- -------------------------------------------------------------------------------
Payable for securities purchased 7,781,237
Payable for shares of the fund repurchased 81,463
Payable for administrative services (Note 3) 1,153
Payable for compensation of Manager (Note 3) 112,923
Payable for compensation of Trustees (Note 3) 2,000
Payable for investor servicing and custodian fees (Note 3) 143,098
Payable for distribution fees (Note 3) 90,817
Payable for open forward currency contracts 126,134
Payable for closed forward currency contracts 168,278
Payable for organization expenses (Note 2) 13,263
TBA sale commitments at value (proceeds receivable $411,133) 403,990
Other accrued expenses 123,893
- -------------------------------------------------------------------------------
TOTAL LIABILITIES 9,048,249
- -------------------------------------------------------------------------------
NET ASSETS $202,098,106
REPRESENTED BY
- -------------------------------------------------------------------------------
Paid-in capital (Notes 2 and 5) $199,016,443
Undistributed net investment income (Note 1) 424,096
Accumulated net realized loss on investment transactions (Note 1) (1,145,898)
Net unrealized foreign currency transaction loss (1,852)
Net unrealized appreciation of investments, options, futures,
forward currency contracts, and TBA sale commitments 3,805,317
- -------------------------------------------------------------------------------
TOTAL -- REPRESENTING NET ASSETS APPLICABLE TO CAPITAL SHARES
OUTSTANDING $202,098,106
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE
- -------------------------------------------------------------------------------
Net asset value and redemption price of class A shares
($54,482,547 divided by 6,541,116 shares) $8.33
--------
Offering price per share (100/94.25 of $8.33) * $8.84
Net asset value and offering price of class B shares
($81,093,263 divided by 9,759,421 shares) + $8.31
Net asset value and offering price of class C shares
($441,218 divided by 53,098 shares) + $8.31
Net asset value, offering, and redemption price of class Y shares
($66,081,078 divided by 7,933,277 shares) $8.33
- -------------------------------------------------------------------------------
* On single retail sales of less than $50,000. On sales of $50,000 or more and
on group sales the offering price is reduced.
+ Redemption price per share is equal to net asset value less any applicable
contingent deferred sales charge.
The accompanying notes are an integral part of these financial statements.
<PAGE>
<PAGE>
STATEMENT OF OPERATIONS
For the period February 7, 1994 (commencement of operations)
to September 30, 1994
INVESTMENT INCOME:
- -------------------------------------------------------------------------------
Interest $ 1,665,185
Dividends (net of foreign tax of $19,459) 731,699
- -------------------------------------------------------------------------------
TOTAL INVESTMENT INCOME 2,396,884
- -------------------------------------------------------------------------------
EXPENSES:
- -------------------------------------------------------------------------------
Compensation of Manager (Note 3) 405,582
Investor servicing and custodian fees (Note 3) 304,150
Compensation of Trustees (Note 3) 3,620
Auditing 33,491
Reports to shareholders 25,607
Legal 11,137
Postage 7,798
Amortization of organization expenses (Note 1) 1,701
Administrative services (Note 3) 2,316
Registration fee (Note 3) 69,506
Distribution fees -- class A (Note 3) 43,890
Distribution fees -- class B (Note 3) 243,149
Distribution fees -- class C (Note 3) 71
Other expenses 1,316
Fees waived and other expenses absorbed by Manager (Note 3) (292,659)
- -------------------------------------------------------------------------------
TOTAL EXPENSES 860,675
- -------------------------------------------------------------------------------
NET INVESTMENT INCOME 1,536,209
- -------------------------------------------------------------------------------
Net realized loss on investments (Notes 1 and 4) (852,938)
Net realized loss on options (Notes 1 and 4) (8,007)
Net realized loss on foreign currency (Note 1) (16,653)
Net realized loss on forward currency contracts (Notes 1 and 4) (176,694)
Net realized loss on future contracts (Notes 1 and 4) (264,427)
Net unrealized foreign currency translation loss (1,852)
Net unrealized appreciation of investments, options, futures, forward
currency contracts and TBA sale commitments during the year 3,805,317
- -------------------------------------------------------------------------------
NET GAIN ON INVESTMENT TRANSACTIONS 2,484,746
- -------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 4,020,955
- -------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
<PAGE>
<PAGE>
STATEMENT OF CHANGES IN NET ASSETS
For the period ended February 7, 1994
(commencement of operations to)
September 30, 1994
- -------------------------------------------------------------------------------
INCREASE IN NET ASSETS
Operations:
- -------------------------------------------------------------------------------
Net investment income $ 1,536,209
- -------------------------------------------------------------------------------
Net realized loss on investments (852,938)
- -------------------------------------------------------------------------------
Net realized loss on options (8,007)
- -------------------------------------------------------------------------------
Net realized loss on foreign currency (16,653)
- -------------------------------------------------------------------------------
Net realized loss on forward currency contracts (176,694)
- -------------------------------------------------------------------------------
Net realized loss on future contracts (264,427)
- -------------------------------------------------------------------------------
Net unrealized foreign currency translation loss (1,852)
- -------------------------------------------------------------------------------
Net unrealized appreciation of investments, options, futures
forward currency contracts, and TBA sale commitments 3,805,317
- -------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS 4,020,955
- -------------------------------------------------------------------------------
Distributions to shareholders from net investment income to:
Class A (271,581)
- -------------------------------------------------------------------------------
Class B (258,746)
- -------------------------------------------------------------------------------
Class C (191)
- -------------------------------------------------------------------------------
Class Y (406,388)
- -------------------------------------------------------------------------------
Increase from capital share transactions (Note 5) 198,980,724
- -------------------------------------------------------------------------------
TOTAL INCREASE IN NET ASSETS 202,064,773
- -------------------------------------------------------------------------------
NET ASSETS
- -------------------------------------------------------------------------------
Beginning of period 33,333
- -------------------------------------------------------------------------------
END OF PERIOD (including undistributed
net investment income of $424,096) $202,098,106
- -------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
<PAGE>
<PAGE>
<TABLE>
<CAPTION>
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
For the period For the period For the period For the period
July 5, 1994 Sept. 1, 1994 Feb. 11, 1994 Feb. 7, 1994
(commencement (commencement (commencement (commencement
of operations) of operations) of operations) of operations)
to Sept. 30 to Sept. 30 to Sept. 30 to Sept. 30
1994 1994 1994 1994
Class Y Class C Class B Class A
- -------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Net Asset Value, Beginning
of Period $8.11 $8.41 $8.50 $8.50
- -------------------------------------------------------------------------------------------------
Investment Operations
Net Investment Income * .05(a) .01(a) .11(a) .16(a)
- -------------------------------------------------------------------------------------------------
Net Realized and Unrealized Gain
(Loss) on Investments .22 (.08) (.27) (.28)
- -------------------------------------------------------------------------------------------------
Total from Investment Operations .27 (.07) (.16) (.12)
- -------------------------------------------------------------------------------------------------
Less Distributions From:
Net Investment Income (.05) (.03) (.03) (.05)
- -------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $8.33 $8.31 $8.31 $8.33
- -------------------------------------------------------------------------------------------------
Total Investment Return at
Net Asset Value (%) (b)(c) 3.34 (.84) (1.89) (1.47)
- -------------------------------------------------------------------------------------------------
Net Assets, End of Period
(in thousands) $66,081 $441 $81,093 $54,483
- -------------------------------------------------------------------------------------------------
Ratio of Expenses to Average
Net Assets (%) .23(a)(c) .16(a)(c) 1.23(a)(c) 0.83(a)(c)
- -------------------------------------------------------------------------------------------------
Ratio of Net Investment Income
to Average Net Assets (%) .62(a)(c) .11(a)(c) 1.41(a)(c) 2.13(a)(c)
- -------------------------------------------------------------------------------------------------
Portfolio Turnover (%) 52.62(c) 52.62(c) 52.62(c) 52.62(c)
- -------------------------------------------------------------------------------------------------
<FN>
* Per share net investment income for the period ended September 30, 1994, has been determined
on the basis of the weighted average number of shares outstanding during the period.
(a) Reflects an absorption of expenses incurred by the fund. As a result of this limitation, expenses
for the period ended September 30, 1994, reflect a reduction of $.05, $.03, $.01, and none for
class A, class B, class C, and class Y shares, respectively. See Note 3.
(b) Total investment return assumes dividend reinvestment and does not reflect the effect of sales charges.
(c) Not annualized.
</TABLE>
<PAGE>
<PAGE>
PUTNAM ASSET ALLOCATION CONSERVATIVE FUND
STATEMENT OF ASSETS AND LIABILITIES
September 30, 1994
ASSETS
- -------------------------------------------------------------------------------
Investments in securities, at value (identified cost $64,934,631)
(Note 1) $ 65,164,451
Cash 17,137
Interest, dividends and other receivables 650,950
Receivable for securities sold 798,426
Receivable for shares of the fund sold 732,077
Receivable from Manager (Note 3) 53,090
Receivable for variation margin on futures contracts 11,875
Receivable for open forward currency contracts 11,597
Receivable for closed forward currency contracts 45,464
Unamortized organization expenses (Note 1) 11,563
- -------------------------------------------------------------------------------
TOTAL ASSETS 67,496,630
LIABILITIES
- -------------------------------------------------------------------------------
Payable for securities purchased 1,814,476
Payable for shares of the fund repurchased 33,214
Payable for administrative services (Note 3) 1,129
Payable for compensation of Trustee (Note 3) 1,000
Payable for investor servicing and custodian fees (Note 3) 68,775
Payable for distribution fees (Note 3) 44,826
Payable for organization expenses (Note 2) 13,263
Payable for open forward currency contracts 57,673
Payable for closed forward currency contracts 74,920
Other accrued expenses 55,093
TBA sale commitments, at value (proceeds receivable $404,316) 404,000
- -------------------------------------------------------------------------------
TOTAL LIABILITIES 2,568,369
- -------------------------------------------------------------------------------
NET ASSETS $64,928,261
REPRESENTED BY
- -------------------------------------------------------------------------------
Paid-in capital (Notes 2 and 5) $65,147,057
Undistributed net investment income (Note 1) 241,931
Accumulated net realized
loss on investment transactions (Note 1) (589,693)
Net unrealized foreign currency translation gain 307
Net unrealized appreciation of investments, options, futures,
forward currency contracts, and TBA sale commitments 128,659
- -------------------------------------------------------------------------------
TOTAL -- REPRESENTING NET ASSETS APPLICABLE TO CAPITAL SHARES
OUTSTANDING $64,928,261
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE
- -------------------------------------------------------------------------------
Net asset value and redemption price of class A shares
($25,781,648 divided by 3,130,905 shares) $8.23
--------
Offering price per share (100/94.25 of $8.23) * $8.73
Net asset value and offering price of class B shares
($38,710,850 divided by 4,708,798 shares) + $8.22
Net asset value and offering price of class C shares
($272,852 divided by 33,203 shares) + $8.22
Net asset value, offering price and redemption of class Y shares
($162,911 divided by 19,801 shares) $8.23
- -------------------------------------------------------------------------------
* On single retail sales of less than $50,000. On sales of $50,000 or more and
on group sales the offering price is reduced.
+ Redemption price per share is equal to net asset value less any applicable
contingent deferred sales charge.
The accompanying notes are an integral part of these financial statements.
<PAGE>
<PAGE>
STATEMENT OF OPERATIONS
For the period February 7, 1994 (commencement of operations)
to September 30, 1994
INVESTMENT INCOME:
- -------------------------------------------------------------------------------
Interest $ 943,675
Dividends (net of foreign tax of $6,586) 151,476
- -------------------------------------------------------------------------------
TOTAL INVESTMENT INCOME 1,095,151
- -------------------------------------------------------------------------------
EXPENSES:
- -------------------------------------------------------------------------------
Compensation of Manager (Note 3) 151,451
Investor servicing and custodian fees (Note 3) 178,162
Compensation of Trustees (Note 3) 2,544
Auditing 18,177
Reports to shareholders 21,638
Legal 11,077
Postage 3,748
Amortization of organization expenses (Note 1) 1,700
Administrative services (Note 2) 2,268
Registration fee (Note 3) 22,409
Distribution fees -- class A (Note 3) 21,936
Distribution fees -- class B (Note 3) 128,650
Distribution fees -- class C (Note 3) 82
Other expenses 474
Fees waived and other expenses absorbed by the Manager (Note 3) (204,541)
- -------------------------------------------------------------------------------
TOTAL EXPENSES 359,775
- -------------------------------------------------------------------------------
NET INVESTMENT INCOME 735,376
- -------------------------------------------------------------------------------
Net realized loss on investments (Notes 1 and 4) (476,830)
Net realized loss on options (Notes 1 and 4) (9,661)
Net realized loss on foreign currency (Note 1) (3,889)
Net realized loss on futures contracts (Notes 1 and 4) (101,783)
Net realized loss on forward currency contracts (Notes 1 and 4) (123,099)
Net unrealized foreign currency translation gain during the year 307
Net unrealized appreciation of investments options, futures, forward
currency contracts and TBA sale commitments during the year 128,659
- -------------------------------------------------------------------------------
NET LOSS ON INVESTMENT TRANSACTIONS (586,296)
- -------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 149,080
- -------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
<PAGE>
<PAGE>
STATEMENT OF CHANGES IN NET ASSETS
For the period ended February 7, 1994
(commencement of operations to)
September 30, 1994
INCREASE IN NET ASSETS
- -------------------------------------------------------------------------------
Operations:
Net investment income $ 735,376
- -------------------------------------------------------------------------------
Net realized loss on investments (476,830)
- -------------------------------------------------------------------------------
Net realized loss on options (9,661)
- -------------------------------------------------------------------------------
Net realized loss on foreign currency (3,889)
- -------------------------------------------------------------------------------
Net realized loss on futures contracts (101,783)
- -------------------------------------------------------------------------------
Net realized loss on forward currency contracts (123,099)
- -------------------------------------------------------------------------------
Net unrealized foreign currency translation gain 307
- -------------------------------------------------------------------------------
Net unrealized appreciation of investments, options, futures,
forward currency contracts and TBA sale commitments 128,659
- -------------------------------------------------------------------------------
Net increase in net assets
resulting from operations 149,080
- -------------------------------------------------------------------------------
Distributions to shareholders from net investment income
Class A (174,402)
- -------------------------------------------------------------------------------
Class B (193,082)
- -------------------------------------------------------------------------------
Class C (141)
- -------------------------------------------------------------------------------
Class Y (981)
- -------------------------------------------------------------------------------
Increase from capital share transactions (Note 5) 65,114,454
- -------------------------------------------------------------------------------
Total increase in net assets 64,894,928
- -------------------------------------------------------------------------------
NET ASSETS
- -------------------------------------------------------------------------------
Beginning of period 33,333
- -------------------------------------------------------------------------------
END OF PERIOD (including undistributed
net investment income of $241,931) $64,928,261
- -------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
<PAGE>
<PAGE>
<TABLE>
<CAPTION>
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
For the period For the period For the period For
the period
July 14, 1994 Sept. 1, 1994 Feb. 18, 1994 Feb. 7, 1994
(commencement (commencement (commencement (commencement
of operations) of operations) of operations) of operations)
to Sept. 30 to Sept. 30 to Sept. 30 to Sept. 30
1994 1994 1994 1994
Class Y Class C Class B Class A
- --------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Net Asset Value, Beginning
of Period $8.23 $8.33 $8.50 $8.50
- --------------------------------------------------------------------------------------------------
Investment Operations
Net Investment Income * .07 .03 .15 .18
- --------------------------------------------------------------------------------------------------
Net Realized and Unrealized Gain
(Loss) on Investments -- (.10) (.39) (.39)
- --------------------------------------------------------------------------------------------------
Total from Investment Operations .07 (.07) (.24) (.21)
- --------------------------------------------------------------------------------------------------
Less Distributions From:
Net Investment Income (.07) (.04) (.04) (.06)
- --------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $8.23 $8.22 $8.22 $8.23
- --------------------------------------------------------------------------------------------------
Total Investment Return at
Net Asset Value (%) (b)(c) 1.01 (.80) (2.79) (2.47)
- --------------------------------------------------------------------------------------------------
Net Assets, End of Period
(in thousands) $163 $273 $38,711 $25,782
- --------------------------------------------------------------------------------------------------
Ratio of Expenses to Average
Net Assets (%) .21(a)(c) .16(a)(c) 1.21(a)(c) .75(a)(c)
- --------------------------------------------------------------------------------------------------
Ratio of Net Investment Income
to Average Net Assets (%) 1.04(a)(c) .48(a)(c) 1.92(a)(c) 2.41(a)(c)
- --------------------------------------------------------------------------------------------------
Portfolio Turnover (%) 59.27(c) 59.27(c) 59.27(c) 59.27(c)
- --------------------------------------------------------------------------------------------------
<FN>
* Per share net investment income for the period ended September 30, 1994, has been determined
on the basis of the weighted average number of shares outstanding during the period.
(a) Reflects an absorption of expenses incurred by the fund. As a result of this limitation, expenses
for the period ended September 30, 1994, reflect a reduction of $.05, $.04, none, and $0.01 for
class A, class B, class C and class Y shares, respectively. See Note 3.
(b) Total investment return assumes dividend reinvestment and does not reflect the effect of sales charges.
(c) Not annualized.
</TABLE>
<PAGE>
<PAGE>
NOTES TO FINANCIAL STATEMENTS
September 30, 1994
NOTE 1
SIGNIFICANT ACCOUNTING POLICIES
Putnam Asset Allocation Funds (the "trust") is registered under the Investment
Company Act of 1940, as amended as a diversified, open-end management investment
company which consists of a series of investment portfolios (the "funds"), each
of which is represented by a separate series of shares of beneficial interest.
The trust currently offers three funds: Growth Portfolio, Balanced Portfolio
and Conservative Portfolio, whose objectives are to seek capital appreciation,
total return and total return consistent with preservation of capital, respecti-
vely.
Each series of the trust offers class A, class B, class C and class Y shares.
The trust commenced its public offering of class A shares on February 7, 1994,
class B shares on February 11,1994, class C shares on September 1, 1994 and
class Y shares on July 5, 1994. Class A shares are sold with a maximum front-
end sales charge of 5.75%. Class B shares do not pay a front-end sales charge
but pay a higher ongoing distribution fee than class A shares, and may be sub-
ject to a contingent deferred sales charge, if those shares are redeemed within
six years of purchase. Class C shares are subject to the same fees and expenses
as class B shares, except that class C shares have a one-year 1.00% contingent
deferred sales charge and do not convert to class A shares. Class Y shares,
which are sold at net asset value, are generally subject to the same expenses as
class A shares, but do not bear a distribution fee. Class Y shares are sold to
defined contribution plans that initially invest at least $250 million in a com-
bination of Putnam Funds. Expenses of the trust are borne pro-rata by the hol-
ders of all classes of shares, except that each class bears expenses unique to
that class (including the distribution fees applicable to such class). Each
class votes as a class only with respect to its own distribution plan or other
matters on which a class vote is required by law or determined by the Trustees.
Shares of each class would receive their pro-rata share of the net assets of
that fund, if that fund were liquidated. In addition, the Trustees declare se-
parate dividends on each class of shares.
The following is a summary of significant accounting policies followed by the
trust in the preparation of its financial statements. The policies are in con-
formity with generally accepted accounting principles.
A SECURITY VALUATION Investments for which market quotations are readily avail-
able are stated at market value, which is determined using the last reported sa-
le price, or, if no sales are reported -- as in the case of some securities tra-
ded over-the-counter -- the last reported bid price, except that certain U.S.
government obligations are stated at the mean
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between the last reported bid and asked prices. Securities quoted in foreign
currencies are translated into U.S. dollars at the current exchange rate.Short-
term investments having remaining maturities of 60 days or less are stated at
amortized cost which approximates market, and other investments, including res-
tricted securities, are stated at fair value following procedures approved by
the Trustees. Market quotations are not considered to be readily available for
long-term corporate bonds and notes; such investments are stated at fair value
on the basis of valuations furnished by a pricing service, approved by the Trus-
tees, which determines valuations for normal, institutional-size trading units
of such securities using methods based on market trans-actions for comparable
securities and various relationships between securities that are generally re-
cognized by institutional traders. (See Sections E, F, and G of Note 1 with res-
pect to valuation of TBA sale and purchase commitments, options, forward curren-
cy contracts and futures contracts.)
B JOINT TRADING ACCOUNT Pursuant to an exemptive order issued by the Securities
and Exchange Commission, the funds may transfer uninvested cash balances into a
joint trading account, along with the cash of other registered investment compa-
nies managed by Putnam Investment Management, Inc. (Putnam Management), the
funds' Manager, a wholly-owned subsidiary of Putnam Investments, Inc., and cer-
tain other accounts. These balances may be invested in one or more repurchase
agreements and/or short-term money market instruments.
C REPURCHASE AGREEMENTS The funds, or any joint trading account, through their
custodian, receive delivery of the underlying securities, the market value of
which at the time of purchase is required to be in an amount at least equal to
the resale price, including accrued interest. The funds. Manager is responsible
for determining that the value of these underlying securities is at all times
at least equal to the resale price, including accrued interest.
D SECURITY TRANSACTIONS AND RELATED INVESTMENT INCOME Security transactions are
accounted for on the trade date (date the order to buy or sell is executed). In-
terest income is recorded on the accrual basis and dividend income is recorded
on the ex-dividend date.
Discount on zero coupon bonds, original issue discount bonds, step-up bonds and
payment-in-kind bonds is accreted according to the effective yield method.
Foreign currency amounts are translated into U.S. dollars at the current exchan-
ge rate. The fund does not isolate that portion of realized or unrealized gains
or losses resulting from changes in the foreign exchange rate from fluctuations
arising from changes in the market prices of the securities. Net realized gains
and losses on foreign currency transactions represent net exchange gains on clo-
sed forward currency contracts, disposition of foreign currencies and the diffe-
rence between the amount of investment income and foreign withholding taxes re-
corded on the funds. books and the U.S. dollar equivalent amounts actually re-
ceived or paid.
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E TBA PURCHASE COMMITMENTS The fund may enter into "TBA" (to be announced) pur-
chase commitments to purchase securities for a fixed price at a future date be-
yond customary settlement time if the fund holds, and maintains until the set-
tlement date in a segregated account, cash or high-grade debt obligations in an
amount sufficient to meet the purchase price, or if the fund enters into off-
setting contracts for the forward sale of other securities it owns. TBA purchase
commitments may be considered securities in themselves, and involve a risk of
loss if the value of the security to be purchased declines prior to the settle-
ment date, which risk is in addition to the risk of decline in the value of the
fund's other assets. Unsettled TBA purchase commitments are valued at the cu-
rrent market value of the underlying securities, generally according to the pro-
cedures described under "Security valuation" above.
Although the fund will generally enter into TBA purchase commitments with the
intention of acquiring securities for its portfolio or for delivery pursuant to
options contracts it has entered into, the fund may dispose of a commitment
prior to settlement if Putnam Management deems it appropriate to do so.
TBA SALE COMMITMENTS The fund may enter into TBA sale commitments to hedge its
portfolio positions or to sell mortgage-backed securities it owns under delayed
delivery arrangements. Proceeds of TBA sale commitments are not received until
the contractual settlement date. During the time a TBA sale commitment is out-
standing, equivalent deliverable securities, or an offsetting TBA purchase co-
mmitment deliverable on or before the sale commitment date, are held as "cover"
for the transaction.
Unsettled TBA sale commitments are valued at the current market value of the un-
derlying securities, generally according to the procedures described under "Se-
curity valuation" above. The contract is "marked-to-market" daily and the change
in market value is recorded by the fund as an unrealized gain or loss. If the
TBA sale commitment is closed through the acquisition of an offsetting purchase
commitment, the fund realizes a gain or loss on the commitment without regard to
any unrealized gain or loss on the under-lying security. If the fund delivers
securities under the commitment, the fund realizes a gain or loss from the sale
of the securities based upon the unit price established at the date the commit-
ment was entered into.
F OPTION ACCOUNTING PRINCIPLES When the fund writes a call or put option an
amount equal to the premium received by the fund is included in the fund's "Sta-
tement of assets and liabilities" as an asset and an equivalent liability. The
amount of the liability is subsequently "marked-to-market" to reflect the cu-
rrent market value of the option written. The current market value of an option
is the last sale price or, in the absence of a sale, the last offering price.
If an
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option expires on its stipulated expiration date, or if the fund enters into a
closing purchase transaction, the fund realizes a gain or loss if the cost of a
closing purchase transaction exceeds the premium received when the option was
written without regard to any unrealized gain or loss on the underlying securi-
ty, and the liability related to such option is extinguished. If a written call
option is exercised, the fund realizes a gain or loss from the sale of the un-
derlying security and the proceeds of the sale are increased by the premium ori-
ginally received. If a written put option is exercised, the amount of the pre-
mium originally received reduces the cost of the security which the fund purcha-
ses upon exercise of the option.
The fund writes covered call options; that is, options for which it holds the
underlying security or its equivalent. Accordingly, the risk in writing a call
option is that the fund relinquishes the opportunity to profit if the market
price of the underlying security increases and the option is exercised. In wri-
ting a put option, the fund assumes the risk of incurring a loss if the market
price of the underlying security decreases and the option is exercised.
The premium paid by the fund for the purchase of a call or put option is inclu-
ded in the fund's "Statement of assets and liabilities" as an investment and
subsequently "marked-to-market" to reflect the current market value of the op-
tion. If an option which the fund has purchased expires on the stipulated expi-
ration date, the fund realizes a loss in the amount of the cost of the option.
If the fund enters into a closing sale transaction, the fund realizes a gain or
loss, depending on whether proceeds from the closing sale transaction are grea-
ter or less than the cost of the option. If the fund exercises a call option,
the cost of the securities acquired by exercising the call is increased by the
premium paid to buy the call. If the fund exercises a put option, it realizes a
gain or loss from the sale of the underlying security and the proceeds from such
sale are decreased by the premium originally paid.
OPTIONS ON FOREIGN CURRENCIES The fund writes and purchases put and call options
on foreign currencies. The accounting principles and risks involved are similar
to those described above relating to options on securities. The amount of poten-
tial loss to the fund upon exercise of a written call option is the value (in
U.S. dollars) of the currency sold, converted at the spot price, less the value
of U.S. dollars received in exchange. The amount of potential loss to the fund
upon exercise of a written put option is the value (in U.S. dollars) of the cu-
rrency received converted at the spot price, less the value of the U.S. dollars
paid in exchange.
FORWARD CURRENCY CONTRACTS A forward currency contract is an agreement between
two parties to buy and sell a currency at a set price on a future date. The mar-
ket value of the contract will fluctuate with changes in currency exchange ra-
tes. The contract is "marked-to-market" daily and the change in market value is
recorded by the
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fund as an unrealized gain or loss. When the contract is closed, the fund re-
cords a realized gain or loss equal to the difference between the value of the
contract at the time it was opened and the value at the time it was closed. The
maximum potential loss from forward currency contracts is that the aggregate fa-
ce value in U.S. dollars at the time the contract was opened; however, manage-
ment believes the likelihood of such a loss to be remote.
G FUTURES A futures contract is an agreement between two parties to buy and sell
a security or index at a set price on a future date. Upon entering into such a
contract, the fund is required to pledge to the broker an amount of cash or U.S.
government securities equal to the minimum "initial margin" requirements of the
exchange. Pursuant to the contract, the fund agrees to receive from or pay to
the broker the daily fluctuation in value of the contract. Such receipts or pay-
ments are known as variation margin, and are recorded by the fund as unrealized
gains or losses. When the contract is closed, the fund records a realized gain
or loss equal to the difference between the value of the contract at the time it
was opened and the value at the time it was closed. The potential risk to the
fund is that the change in value of the underlying securities may not correspond
to the change in value of the futures contracts.
H FEDERAL TAXES It is the policy of each fund to distribute all of its income
within the prescribed time and otherwise comply with the provisions of the In-
ternal Revenue Code applicable to regulated investment companies. It is also the
intention of the fund to distribute an amount sufficient to avoid imposition of
any excise tax under Section 4982 of the Internal Revenue Code of 1986. Therefo-
re, no provision has been made for federal taxes on income, capital gains or un-
realized appreciation of securities held and excise tax on income and capital
gains.
I DISTRIBUTIONS TO SHAREHOLDERS Distributions to shareholders are recorded by
each fund on the ex-dividend date. The Growth Portfolio will distribute any net
investment income at least annually. The Conservative Portfolio and the Balanced
Portfolio will distribute any net investment income at least quarterly. Each of
the funds will distribute any net realized capital gains at least annually.
The amount and character of income and gains to be distributed are determined
in accordance with income tax regulations which may differ from generally accep-
ted accounting principles. These differences include treatment of wash sales,
post-October capital losses, futures contracts, and realized and unrealized fo-
reign currency gains and losses. Reclassifications are made to the fund's capi-
tal accounts to reflect income and gains available for distribution (or availa-
ble capital loss carryovers) under income tax regulations. For the period ended
September 30, 1994 the funds made the following reclassifications to the capital
accounts:
Undistributed Net Accumulated Net Additional
Investment Realized Paid-in
Income Capital Loss Capital
Growth $(46,526) $45,289 $1,237
Balanced (175,207) 172,821 2,386
Conservative (124,839) 125,569 (730)
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J EXPENSES OF THE TRUST Expenses directly charged or attributable to any fund
will be paid from the assets of that fund. Generally, expenses of the trust will
be allocated among and charged to the assets of each fund on a basis that the
Trustees deem fair and equitable, which may be based on the relative assets of
each fund or the nature of the services performed and relative applicability to
each fund.
K UNAMORTIZED ORGANIZATION EXPENSES Expenses incurred by the trust in connection
with its organization, its registration with the Securities and Exchange Commi-
ssion and with various states, and the initial public offering of its shares
aggregated $39,790 allocated as follow:
Fund Amount
Growth Portfolio $13,264
Balanced Portfolio 13,263
Conservative Portfolio 13,263
These expenses are being amortized by each fund on a straight-line basis over a
five-year period.
NOTE 2
INITIAL CAPITALIZATION
AND OFFERING OF SHARES
The trust was established as a Massachusetts business trust under the laws of
the Commonwealth of Massachusetts on November 4, 1993.
During the period of November 4, 1993 to February 7, 1994, the trust had no ope-
rations other than those related to organizational matters, including the ini-
tial capital contribution of $33,334, $33,333 and $33,333 for the Growth Portfo-
lio, Balanced Portfolio and Conservative Portfolio, respectively, and the issu-
ance of 1,960 class A shares and 1,960 class B shares for each fund, to Putnam
Mutual Funds Corp., a wholly-owned subsidiary of Putnam Investments, Inc. on
December 20, 1993.
Commencement of
Fund Operations
Growth Portfolio
Class A February 8, 1994
Class B February 16, 1994
Class C September 1, 1994
Class Y July 14, 1994
Balanced Portfolio
Class A February 7, 1994
Class B February 11, 1994
Class C September 1, 1994
Class Y July 5, 1994
Conservative Portfolio
Class A February 7, 1994
Class B February 18, 1994
Class C September 1, 1994
Class Y July 14, 1994
NOTE 3
MANAGEMENT FEE, ADMINISTRATIVE SERVICES, AND OTHER TRANSACTIONS
Compensation of Putnam Management, the trust's Manager, for management and in-
vestment advisory services is paid quarterly based on the average net assets of
the fund. Such fee is based on the following annual rates: 0.70% of the first
$500 million of average net assets of a fund, 0.60% of the next $500 million,
0.55% of the next $500 million, 0.50% of any amount over $1.5 billion.
Until December 31, 1994, the Manager has voluntarily agreed to reduce its com-
pensation and, to the
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extent necessary, limit expenses of each fund (exclusive of brokerage, interest,
taxes deferred organizational and extraordinary expenses, if any, and expenses
incurred under the trust's distribution plans described below) to an annual rate
of 1.00% of each fund's average net assets. This limitation was accomplished by
a reduction of the compensation payable under the management contract to the Ma-
nager and, to the extent necessary, by the Manager's assumption of additional
trust expenses. As result of these limitations, the expenses for the period
ended September 30, 1994, were reduced by $791,421.
The trust also reimburses the Manager for the compensation and related expenses
of certain officers of the trust and their staff who provide administrative ser-
vices to the trust. The aggregate amount of all such reimbursements is approved
by the Trustees. For the period ended September 30, 1994, the trust paid $6,876
for these services.
Trustees of the trust receive an annual Trustee's fee of $1,560 and an additio-
nal fee for each Trustees' meeting attended. Trustees who are not interested
persons of the Manager and who serve on committees of the Trustees receive addi-
tional fees for attendance at certain committee meetings.
Custodial functions for each of the funds. assets are provided by Putnam Fidu-
ciary Trust Company (PFTC), a subsidiary of Putnam Investments, Inc. Investor
servicing agent functions are provided by Putnam Investor Services, a division
of PFTC. Fees paid for these investor servicing and custodial functions for the
period ended September 30, 1994, amounted to $739,342. Investor servicing and
custodian fees reported in the Statement of operations for the period ended Sep-
tember 30, 1994, have been reduced by credits allowed by PFTC.
Each of the funds has adopted a distribution plan with respect to its class A
shares (the "Class A plan") pursuant to Rule 12b-1 under the Investment Company
Act of 1940. The purpose of the Class A Plan is to compensate Putnam Mutual
Funds Corp., a wholly-owned subsidiary of Putnam Investments, Inc., for services
provided and expenses incurred by it in distributing class A shares. The Trus-
tees have approved payment by each fund to Putnam Mutual Funds Corp. at an
annual rate of 0.25% of each funds. average net assets attributable to its class
A shares. For the period ended September 30, 1994, the funds paid Putnam Mutual
Funds Corp. distribution fees of $99,217 for class A shares.
During the period ended September 30, 1994, Putnam Mutual Funds Corp., acting as
underwriter, received net commissions of $220,423 from the sale of class A sha-
res of the trust.
A deferred sales charge of up to 1% is assessed on certain redemptions of class
A shares purchased as part of an investment of $1 million or more. During the
period ended September 30, 1994, Putnam Mutual Funds Corp., acting as an under-
writer, received no contingent deferred sales charges from redemptions of class
A shares.
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Each of the funds has adopted a distribution plan with respect to its class B
shares (the "Class B Plan") pursuant to Rule 12b-1 under the Investment Company
Act of 1940. The purpose of the Class B Plan is to compensate Putnam Mutual
Funds Corp. for services provided and expenses incurred by it in distributing
class B shares. The Class B Plan provides for payments by each fund to Putnam
Mutual Funds Corp. at an annual rate of 1.00% of each fund's average net assets
attributable to class B shares. For the period ended September 30, 1994, the
funds paid Putnam Mutual Funds Corp. distribution fees of $519,430 for class B
shares.
Putnam Mutual Funds Corp. also receives the proceeds of the contingent deferred
sales charges on its class B share redemptions within six years of purchase.
The charge is based on declining rates, which begin at 5% of the net asset value
of the redeemed shares. For the period ended September 30, 1994, Putnam Mutual
Fund Corp., acting as underwriter, received contingent deferred sales charges
from redemptions of the class B shares totalling $112,364.
Each of the funds has adopted a distribution plan with respect to their class C
shares (the "Class C Plan") pursuant to Rule 12b-1 under the Investment Company
Act of 1940. The purpose of the Class C Plan is to compensate Putnam Mutual
Funds Corp. for services provided and expenses incurred by it in distributing
class C shares. The Class C Plan provides for payments by each fund to Putnam
Mutual Funds Corp. at an annual rate of 1.00% of each fund's average net assets
attributable to class C shares. For the period ended September 30, 1994, the
funds paid Putnam Mutual Funds Corp. distribution fees of $346 for class C sha-
res.
Putnam Mutual Funds Corp. also receives the proceeds of the 1% contingent defe-
rred sales charges on its class C share redemptions within one year of purchase.
Putnam Mutual Funds Corp. did not receive any contingent deferred sales charges
from class C redemptions during the period ended September 30, 1994.
NOTE 4
PURCHASES AND SALES OF SECURITIES
During the period ended September 30, 1994, purchases and sales of investment
securities other than short-term investments were as follows. In determining the
net gain or loss on securities sold, the cost of securities has been determined
on the identified cost basis.
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U.S. GOVERNMENT OBLIGATIONS OTHER SECURITIES
PURCHASES SALES PURCHASES SALES
Growth Portfolio $ 5,188,963 $1,592,805 $ 94,676,731 $15,713,949
Balanced Portfolio 26,433,503 9,908,317 195,414,336 34,116,287
Conservative Portfolio 24,885,013 7,692,313 51,557,223 10,922,999
Purchased option transactions during the period are summarized as follows:
BALANCED PORTFOLIO COST
Options purchased $29,505
Options sold (25,755)
PURCHASED OPTIONS OUTSTANDING AT END OF PERIOD $ 3,750
CONSERVATIVE PORTFOLIO
Options purchased $25,024
Options sold (21,274)
PURCHASED OPTIONS OUTSTANDING AT END OF PERIOD $ 3,750
GROWTH PORTFOLIO
Options purchased $ 6,222
Options sold (3,132)
PURCHASED OPTIONS OUTSTANDING AT END OF PERIOD $ 3,090
Transactions in forward currency contracts during the period are summarized as
follows:
SALES OF FORWARD
CURRENCY CONTRACTS
CONSERVATIVE PORTFOLIO
Contracts opened $21,833,276
Contracts closed (15,307,388)
OPEN AT END OF PERIOD $ 6,525,888
BALANCED PORTFOLIO
Contracts opened $41,426,813
Contracts closed (27,576,851)
OPEN AT END OF PERIOD $13,849,962
GROWTH PORTFOLIO
Contracts opened $9,508,382
Contracts closed (6,219,003)
OPEN AT END OF PERIOD $3,289,379
PURCHASES OF FORWARD
CURRENCY CONTRACTS
CONSERVATIVE PORTFOLIO
Contracts opened $ 7,569,794
Contracts closed (7,257,350)
OPEN AT END OF PERIOD $ 312,444
BALANCED PORTFOLIO
Contracts opened $12,221,047
Contracts closed (11,908,603)
OPEN AT END OF PERIOD $ 312,444
GROWTH PORTFOLIO
Contracts opened $ 2,921,349
Contracts closed (2,827,616)
OPEN AT END OF PERIOD $ 93,733
Transactions in futures contracts during the period are summarized as follows:
CONSERVATIVE PORTFOLIO
PURCHASES OF FUTURES CONTRACTS
NUMBER OF CONTRACTS AGGREGATE FACE VALUE
Contracts opened 73 $7,517,569
Contracts closed (45) (4,668,093)
OPEN AT END OF PERIOD 28 $2,849,476
CONSERVATIVE PORTFOLIO
PURCHASES OF FUTURES CONTRACTS
NUMBER OF CONTRACTS AGGREGATE FACE VALUE
Contracts opened 24 $5,490,772
Contracts closed (11) (2,455,822)
OPEN AT END OF PERIOD 13 $3,034,950
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BALANCED PORTFOLIO
SALES OF FUTURES CONTRACTS
NUMBER OF CONTRACTS AGGREGATE FACE VALUE
Contracts opened 75 $17,152,365
Contracts closed (36) (8,051,565)
OPEN AT END OF PERIOD 39 $9,100,800
BALANCED PORTFOLIO
PURCHASES OF FUTURES CONTRACTS
NUMBER OF CONTRACTS AGGREGATE FACE VALUE
Contracts opened 239 $24,577,127
Contracts closed (152) (15,722,336)
OPEN AT END OF PERIOD 87 $8,854,791
GROWTH PORTFOLIO
SALES OF FUTURES CONTRACTS
NUMBER OF CONTRACTS AGGREGATE FACE VALUE
Contracts opened 32 $7,327,133
Contracts closed (15) (3,359,183)
OPEN AT END OF PERIOD 17 $3,967,950
GROWTH PORTFOLIO
PURCHASES OF FUTURES CONTRACTS
NUMBER OF CONTRACTS AGGREGATE FACE VALUE
Contracts opened 94 $9,677,471
Contracts closed (56) (5,809,936)
OPEN AT END OF PERIOD 38 $3,867,535
NOTE 5
CAPITAL SHARES
At September 30, 1994, there was an unlimited number of shares of beneficial in-
terest authorized, divided into four classes of shares, class A, class B, class
C and class Y shares. Transac-tions in capital shares were as follows:
GROWTH PORTFOLIO
FOR THE PERIOD FEBRUARY 8, 1994
(COMMENCEMENT OF OPERATIONS)
TO SEPTEMBER 30, 1994
CLASS A SHARES AMOUNT
Shares sold 5,390,875 $44,610,117
Shares repurchased (209,824) (1,732,275)
NET INCREASE 5,181,051 $42,877,842
FOR THE PERIOD FEBRUARY 16, 1994
(COMMENCEMENT OF OPERATIONS)
TO SEPTEMBER 30, 1994
CLASS B SHARES AMOUNT
Shares sold 6,391,750 $52,522,856
Shares repurchased (354,213) (2,954,048)
NET INCREASE 6,037,537 $49,568,808
FOR THE PERIOD SEPTEMBER 1, 1994
(COMMENCEMENT OF OPERATIONS)
TO SEPTEMBER 30, 1994
CLASS C SHARES AMOUNT
Shares sold 45,905 $386,020
Shares repurchased -- --
NET INCREASE 45,905 $386,020
FOR THE PERIOD JULY 14, 1994
(COMMENCEMENT OF OPERATIONS)
TO SEPTEMBER 30, 1994
CLASS Y SHARES AMOUNT
Shares sold 96,440 $808,146
Shares repurchased (4,520) (38,281)
NET INCREASE 91,920 $769,865
BALANCED PORTFOLIO
FOR THE PERIOD FEBRUARY 7, 1994
(COMMENCEMENT OF OPERATIONS)
TO SEPTEMBER 30, 1994
CLASS A SHARES AMOUNT
Shares sold 7,003,873 $57,906,621
Shares purchased in connection with
reinvestment of distributions 30,878 256,597
Shares repurchased (495,595) (4,114,466)
NET INCREASE 6,539,156 $54,048,752
FOR THE PERIOD FEBRUARY 11, 1994
(COMMENCEMENT OF OPERATIONS)
TO SEPTEMBER 30, 1994
CLASS B SHARES AMOUNT
Shares sold 10,093,884 $82,996,850
Shares purchased in connection with
reinvestment of distributions 28,250 234,196
Shares repurchased (364,673) (2,993,135)
NET INCREASE 9,757,461 $80,237,911
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FOR THE PERIOD SEPTEMBER 1, 1994
(COMMENCEMENT OF OPERATIONS)
TO SEPTEMBER 30, 1994
CLASS C SHARES AMOUNT
Shares sold 53,074 $440,831
Shares purchased in connection with
reinvestment of distributions 24 199
Shares repurchased -- --
NET INCREASE 53,098 $441,030
FOR THE PERIOD JULY 5, 1994
(COMMENCEMENT OF OPERATIONS)
TO SEPTEMBER 30, 1994
CLASS Y SHARES AMOUNT
Shares sold 8,070,025 $65,392,334
Shares purchased in connection with
reinvestment of distributions 48,904 406,388
Shares repurchased (185,652) (1,545,691)
NET INCREASE 7,933,277 $64,253,031
CONSERVATIVE PORTFOLIO
FOR THE PERIOD FEBRUARY 7, 1994
(COMMENCEMENT OF OPERATIONS)
TO SEPTEMBER 30, 1994
CLASS A SHARES AMOUNT
Shares sold 3,273,121 $27,077,525
Shares purchased in connection with
reinvestment of distributions 18,502 152,276
Shares repurchased (162,678) (1,344,819)
NET INCREASE 3,128,945 $25,884,982
FOR THE PERIOD FEBRUARY 18, 1994
(COMMENCEMENT OF OPERATIONS)
TO SEPTEMBER 30, 1994
CLASS B SHARES AMOUNT
Shares sold 5,077,331 $41,833,950
Shares purchased in connection with
reinvestment of distributions 19,480 159,936
Shares repurchased (389,973) (3,201,104)
NET INCREASE 4,706,838 $38,792,782
FOR THE PERIOD SEPTEMBER 1, 1994
(COMMENCEMENT OF OPERATIONS)
TO SEPTEMBER 30, 1994
CLASS C SHARES AMOUNT
Shares sold 33,186 $272,913
Shares purchased in connection with
reinvestment of distributions 17 141
Shares repurchased -- --
NET INCREASE 33,203 $273,054
FOR THE PERIOD JULY 14, 1994
(COMMENCEMENT OF OPERATIONS)
TO SEPTEMBER 30, 1994
CLASS Y SHARES AMOUNT
Shares sold 21,200 $175,327
Shares purchased in connection with
reinvestment of distributions 119 981
Shares repurchased (1,518) (12,672)
NET INCREASE 19,801 $163,636
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FEDERAL TAX INFORMATION
- -------------------------------------------------------------------------------
The distributions shown are from "net investment income" and constitute "divi-
dend income" for federal income tax purposes.
Class A Class B Class C Class Y
----------------------------------------------------
Balanced $.05 $.03 $.03 $.05
Conservative .06 .04 .04 .07
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The fund has designated 16.9% and 36.5% of the investment income for the Conser-
vative and Balanced funds respectively as qualifying for the dividends received
deduction for corporations.
The Form 1099 you receive in January 1995 will show you the tax status of all
distributions paid to your account in calendar 1994.
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OUR COMMITMENT TO QUALITY SERVICE
CHOOSE AWARD-WINNING SERVICE.
Putnam Investor Services has won the DALBAR Quality Tested Service Seal every
year since the award's 1990 inception. DALBAR, an independent research firm, ran
more than 10,000 tests of 38 shareholder service components. In every category,
Putnam outperformed the industry standard.
HELP YOUR INVESTMENT GROW.
Set up a systematic program for investing with as little as $25 a month from a
Putnam fund or from your checking or savings account. *
SWITCH FUNDS EASILY.
You can move money from one account to another with the same class of shares
without a service charge. (This privilege is subject to change or termination.)
ACCESS YOUR MONEY QUICKLY.
You can get checks sent regularly or redeem shares any business day at the then-
current net asset value, which may be more or less than their original cost.
For details about any of these or other services, contact your financial advisor
or call the toll-free number shown below and speak with a helpful Putnam repre-
sentative.
To make an additional investment in this or any other Putnam fund, contact your
financial advisor or call our toll-free number:
1-800-225-1581.
* Regular investing, of course, does not guarantee a profit or protect against
a loss in a declining market. Investors should consider their ability to con-
tinue purchasing shares during periods of low price levels.
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FUND INFORMATION
INVESTMENT MANAGER
Putnam Investment
Management, Inc.
One Post Office Square
Boston, MA 02109
MARKETING SERVICES
Putnam Mutual Funds Corp.
One Post Office Square
Boston, MA 02109
CUSTODIAN
Putnam Fiduciary Trust Company
LEGAL COUNSEL
Ropes & Gray
INDEPENDENT ACCOUNTANTS
Price Waterhouse LLP
TRUSTEES
George Putnam, Chairman William F. Pounds, Vice Chairman
Jameson Adkins Baxter Hans H. Estin
John A. Hill Elizabeth T. Kennan
Lawrence J. Lasser Robert E. Patterson
Donald S. Perkins George Putnam, III
A.J.C. Smith W. Nicholas Thorndike
OFFICERS
George Putnam Charles E. Porter
President Executive Vice President
Patricia C. Flaherty John R. Verani
Senior Vice President Vice President
Lawrence J. Lasser Gordon H. Silver
Vice President Vice President
Peter Carman Gary N. Coburn
Vice President and Fund Manager Vice President and Fund Manager
William J. Landes William N. Shiebler
Vice President and Fund Manager Vice President
Paul M. O.Neil John D. Hughes
Vice President Vice President and Treasurer
Beverly Marcus
Clerk and Assistant Treasurer
This report is for the information of shareholders of Putnam Asset Allocation
Funds. It may also be used as sales literature when preceded or accompanied by
the current prospectus, which gives details of sales charges, investment objec-
tives and operating policies of the fund, and the most recent copy of Putnam's
Quarterly Performance Summary.
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PUTNAM INVESTMENTS
The Putnam Funds
One Post Office Square
Bulk Rate
U.S. Postage
Paid
Putnam
Investments
B11/B16 14794
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APPENDIX TO FORM N-30D FILINGS TO DESCRIBE DIFFERENCES BETWEEN PRINTED AND
EDGAR-FILED TEXTS:
(1) Boldface typeface is displayed with capital letters, italic typeface is
displayed in normal type.
(2) Because the printed page breaks are not reflected, certain tabular and
columnar headings and symbols are displayed differently in this filing.
(3) Bullet points and similar graphic signals are omitted.
(4) Page numbering has been omitted.
(5) The trademark symbol has been replaced by (TM).
(6) The copyright symbol has been replaced by (C).
(7) The dagger symbol has been replaced by (+).
(8) The registered mark symbol has been replaced by (R).
