PUTNAM
ASSET
ALLOCATION
FUNDS
ANNUAL REPORT
September 30, 1995
[LOGO]
BOSTON * LONDON * TOKYO
<PAGE>
PERFORMANCE HIGHLIGHTS
PUTNAM ASSET ALLOCATION FUNDS consist of three portfolios that target
investors' various life stages and financial goals.
PERFORMANCE RESULTS AT A GLANCE
<TABLE><CAPTION>
<S> <C> <C> <C> <C> <C> <C> <C> <C>
TOTAL RETURN (change in value during period plus reinvested
distributions)
- ----------------------------------------------------------------------
PERIOD ENDED CLASS A CLASS B CLASS C CLASS M
9/30/95 NAV POP NAV CDSC NAV CDSC NAV POP
- ----------------------------------------------------------------------
GROWTH PORTFOLIO
- ----------------------------------------------------------------------
1 year 20.45% 13.58%19.57% 14.57% 19.46%18.46% -- --
Life of class A
(2/8/94) 19.45 12.57 -- -- -- -- -- --
Annual average 11.37 7.44 -- -- -- -- -- --
Life of class B
(2/16/94) -- -- 18.02 14.02 -- -- -- --
Annual average -- -- 10.57 8.28 -- -- -- --
Life of class C
(9/1/94) -- -- -- -- 18.48 18.48 -- --
Annual average -- -- -- -- 17.00 17.00 -- --
Life of class M
(2/3/95) -- -- -- -- -- -- 19.31% 15.19%
- ----------------------------------------------------------------------
Balanced Portfolio
- ----------------------------------------------------------------------
1 year 18.73% 11.88%17.83% 12.83% 17.89%16.89% -- --
Life of class A
(2/7/94) 16.98 10.24 -- -- -- -- -- --
Annual average 9.97 6.09 -- -- -- -- -- --
Life of class B
(2/11/94) -- -- 15.60 11.60 -- -- -- --
Annual average -- -- 9.18 6.87 -- -- -- --
Life of class C
(9/1/94) -- -- -- -- 16.89 16.89 -- --
Annual average -- -- -- -- 15.55 15.55 -- --
Life of class M
(2/6/95) -- -- -- -- -- -- 17.46% 13.38%
- ----------------------------------------------------------------------
CONSERVATIVE PORTFOLIO
- ----------------------------------------------------------------------
1 year 15.27% 8.67%14.22% 9.22% 14.41%13.41% -- --
Life of class A
(2/7/94) 12.42 5.95 -- -- -- -- -- --
Annual average 7.36 3.56 -- -- -- -- -- --
Life of class B
(2/18/94) -- -- 11.03 7.06 -- -- -- --
Annual average -- -- 6.55 4.21 -- -- -- --
Life of class C
(9/1/94) -- -- -- -- 13.50 13.50 -- --
Annual average -- -- -- -- 12.44 12.44 -- --
Life of class M
(2/7/95) -- -- -- -- -- -- 13.92% 9.90%
- ----------------------------------------------------------------------
<FN>
Performance data will differ for each share class. Performance data
for the funds represent past results and an expense limitation in
effect until 12/31/94 for the Growth and Balanced Portfolios and
9/30/95 for the Conservative Portfolio. Without the limitation, each
fund's total return would have been lower. POP assumes 5.75% maximum
sales charge for class A shares and 3.50% for class M shares. CDSC
reflects the applicable contingent deferred sales charge, which for
class B shares is 5% and for class C shares, 1%. Investment returns
and principal value will fluctuate so an investor's shares when sold
may be worth more or less than their original cost. Past performance
is no indication of future results.
FOR ADDITIONAL PERFORMANCE INFORMATION, INCLUDING COMPETITIVE
PERFORMANCE, PLEASE TURN TO PAGES 9 THROUGH 11.
</TABLE>
<PAGE>
[PHOTO OF GEORGE PUTNAM]
(C) KARSH, OTTAWA
FROM THE CHAIRMAN
DEAR SHAREHOLDER:
SUSTAINED STRENGTH IN BOTH THE STOCK AND BOND MARKETS THROUGHOUT MUCH
OF PUTNAM ASSET ALLOCATION FUNDS' FISCAL YEAR WAS A MAJOR CONTRIBUTOR
TO THE FUNDS' POSITIVE PERFORMANCE FOR THE 12 MONTHS ENDED SEPTEMBER
30, 1995.
IN GENERAL, THE FUNDS' FIXED-INCOME INVESTMENTS ADVANCED IN TANDEM
WITH THEIR EQUITY HOLDINGS THROUGHOUT THE PERIOD. THE FEDERAL RESERVE
BOARD'S DECISION TO STOP RAISING SHORT-TERM INTEREST RATES WAS A PLUS
FOR BOND INVESTORS DURING THE FISCAL YEAR'S FINAL QUARTER. MODEST
ECONOMIC GROWTH, COUPLED WITH LOW INFLATION, HAS HELPED CREATE AN
IDEAL ENVIRONMENT FOR GROWTH AND INCOME INVESTING.
THE FAVORABLE ECONOMIC CLIMATE ENHANCED FISCAL 1995 RESULTS FOR YOUR
FUND. IN THE REPORT THAT FOLLOWS, YOUR FUNDS' MANAGEMENT TEAM REVIEWS
THE YEAR JUST ENDED AND DISCUSSES PROSPECTS FOR THE YEAR AHEAD.
RESPECTFULLY YOURS,
[SIGNATURE]
GEORGE PUTNAM
CHAIRMAN OF THE TRUSTEES
NOVEMBER 15, 1995
<PAGE>
REPORT FROM THE FUND MANAGERS
PETER CARMAN
GARY N. COBURN
WILLIAM J. LANDES
Putnam Asset Allocation Funds' solid performance has caught the eye of
industry analysts. For the one-year period ended September 30, 1995,
Putnam Asset Allocation: Growth Portfolio class A shares ranked first
out of all global flexible portfolio funds tracked by Lipper
Analytical Services, an industry research firm. The Balanced Portfolio
class A shares ranked fourth, and the Conservative Portfolio class A
shares ranked ninth in the same category. We are particularly pleased
with this performance, given the relatively short time since the
funds' introduction. There were 48 funds in the category during the
period. Lipper rankings are based on total return performance, vary
over time, and do not include the effects of sales charges. Other
share classes will differ. Past performance is not indicative of
future results.
U.S. ECONOMIC AND MARKET ENVIRONMENT
Both the U.S. stock market and bond market performed well during most
of your funds' fiscal 1995. The Federal Reserve Board continued its
efforts to engineer a "soft landing" and has thus far, based on recent
economic data, been successful in doing so.
Stocks. The U.S. stock market, which had rallied almost continuously
since the end of 1994, stalled in July and August in the face of
ambiguous economic data and uncertainty about the direction of
interest rates. Stocks resumed their ascension in September as your
funds' fiscal year came to an end. Small- capitalization stocks have
done very well, which is primarily a reflection of the strength of the
technology sector.
Putnam Management believes the fundamentals are in place for
continuing positive returns over the next several years. We believe
that U.S. companies, both small and large, are well positioned to
benefit from increased productivity, increasing use of technology
worldwide, a weaker dollar, improved quality, and an improving
worldwide economy.
<PAGE>
Investors should be mindful that it is also possible that we will
experience a pause or a temporary correction in the near future,
considering the strength of this year's stock market.
Bonds. We began your funds' fiscal year with an overweighted U.S.
fixed-income position in the three portfolios, anticipating that
interest rates would come down. We maintained that allocation for the
first two quarters of the fiscal year, moving to a more neutral
position as we took advantage of the values created by 1994's dramatic
selloffs.
In our opinion, the Fed may well ease interest rates once more this
year, particularly if the economy continues to slow -- which means the
bond rally could be nearing an end.
GLOBAL ECONOMIC ENVIRONMENT
International bond markets offered value during the period while
challenges -- and resulting opportunities -- marked the foreign stock
markets.
Stocks. International equities have represented a very unsettled
investment area during the period, with both emerging markets and
Japan enduring tough conditions during the first part of the year.
Japan has spent much of the 1990s mired in recession.
WORLD FIXED-INCOME MARKETS
[MOUNTAIN CHART]
DATE U.S. HIGH-YIELD US GOVERNMENT INTERNATIONAL
BONDS1 SECURITIES2 BONDS3
- ----------------------------------------------------------------------
- -
9/30/94 $10000 $10000 $10000
10/31/94 $10007 $9994 $10258
11/30/94 $9891 $9974 $10052
12/31/94 $9996 $10035 $10057
1/31/95 $10101 $10220 $10276
2/28/95 $10349 $10438 $10567
3/31/95 $10466 $10504 $11508
4/30/95 $10698 $10642 $11755
5/31/95 $11000 $11071 $12011
6/30/95 $11073 $11159 $12071
7/31/95 $11244 $11118 $12135
8/31/95 $11276 $11247 $11441
9/30/95 $11405 $11355 $11777
- ----------------------------------------------------------------------
- -
Sources: 1First Boston High Yield Bond Index; 2Lehman Brothers
Treasury Bond Index; 3Salomon Brothers Non-U.S. World Government Bond
Index (unhedged). These returns do not represent the performance of
any fund.
International investing may include risks such as currency
fluctuations and political developments. Higher-yielding, lower-rated
bonds involve greater risk of nonpayment of principal and interest
than investment-grade bonds.
<PAGE>
The country's malaise heightened in 1994 as major banks were
confronted with massive bad loans, government response to the downturn
was deemed inadequate, and trade problems loomed with the United
States. However, it was the ongoing strength of the yen that most
threatened Japanese recovery by making Japanese exports globally
uncompetitive.
We are cautiously optimistic about Japan's prospects in the year ahead
mostly because, after concerted intervention in currency markets by
Germany, the United States, and Japan itself, the yen has finally
begun to weaken. A weaker yen's effect on corporate profits, coupled
with very low interest rates and ongoing government stimulus packages,
may finally begin to lift the Japanese market.
The emerging markets were also challenging and we have reduced the
funds' weighting in this sector. While these markets experienced bouts
of extreme volatility, there were months in which they performed quite
well, contributing to performance when the core markets stalled.
Given the relative underperformance through the first six months of
1995, we believe there is potential in the international equity
markets for the remainder of the year and beyond, requiring careful
selectivity in country and stock selections.
Bonds. The relative performance of U.S. versus non-U.S. bond markets
has created exceptional yield opportunities abroad, particularly in
core European markets. Meanwhile, the Japanese bond market has
outpaced all other major bond markets, reflecting the weakness of the
Japanese economy.
Looking ahead, Putnam anticipates strong performance from the markets
in the United Kingdom, Italy, France, and Germany.
<PAGE>
WORLD EQUITY MARKETS
[MOUNTAIN CHART]
DATE LARGE-CAP SMALL-CAP
GROWTH STOCKS1 STOCKS2 INTERNATIONAL STOCKS3
- ----------------------------------------------------------------------
- -
9/30/94 $10000 $10000 $10000
10/31/94 $10224 $9960 $10282
11/30/94 $9852 $9558 9834
12/31/94 $9998 $9814 9926
1/31/95 $10257 $9690 $9774
2/28/95 $10656 $10093 $9914
3/31/95 $10970 $10266 $10390
4/30/95 $11292 $10494 $10749
5/31/95 $11743 $10674 $10839
6/30/95 $12015 $11228 $10833
7/31/95 $12413 $11875 $11373
8/31/95 $12444 $12121 $11117
9/30/95 $12970 $12340 $11438
- ----------------------------------------------------------------------
- -
Sources: 1Standard & PoorOs 500 Index; 2Russell 2000 Index; 3Morgan
Stanley Capital International (MSCI) World Index.
International investing may include risks such as currency
fluctuations and political developments. Small-capitalization stocks
may be more volatile than those of larger companies but offer greater
growth potential.
STRATEGY AND OUTLOOK:
The U.S. stock market has enjoyed support from both falling interest
rates and robust earnings. Putnam Management believes corporate
earnings should continue their strength through 1996. Although we took
strategic shifts in and out of the fixed-income arena, the three
portfolios were in a relatively overweighted stock position compared
with its target allocation for most of the period. Moving forward,
however, we are beginning to take a more cautious approach to the U.S.
stock market and a relatively aggressive bond position. We believe
that the U.S. bond market will offer value to investors for the
balance of 1995. Overall, we believe non-U.S. bond markets should
outperform U.S. markets.
The views expressed here are exclusively those of Putnam Management.
They are not meant as investment advice. Although the described
holdings were viewed favorably as of 9/30/95, there is no guarantee
the funds will continue to hold these securities in the future.
<PAGE>
COMPARATIVE PERFORMANCE (CUMULATIVE TOTAL RETURNS)*
<TABLE><CAPTION>
<S> <C> <C> <C> <C>
LEHMAN STANDARD RUSSELL FIRST BOSTON
INTERMEDIATE & POOR'S" 2000 HIGH YIELD
TREASURY INDEX 500 INDEX INDEX BOND INDEX
- ----------------------------------------------------------------------
1 year 10.56% 29.70% 23.40% 14.05%
Life of classes A, B 7.66 27.12 19.68 11.01
Annual average 4.54 15.53 11.42 6.49
Life of class C 9.66 26.54 22.99 14.51
Annual average 8.90 24.31 21.09 13.35
Life of class M 8.91 26.45 27.33 12.92
- ----------------------------------------------------------------------
<FN>
* For class A and B comparisons, the cumulative total return
performance data of these comparative indexes are for the period
1/31/94 through 9/30/95. The inception dates of the Growth
Portfolio's, Balanced Portfolio's, and Conservative Portfolio's
class A shares are 2/8/94, 2/7/94, and 2/7/94, respectively. The
inception dates for class B shares are 2/16/94, 2/11/94, and
2/18/94, respectively. For class C comparisons, the cumulative
total return performance data of these comparative indexes are
for the period 8/31/94 through 9/30/95. The inception date of the
three portfolio's class C shares is 9/1/94. For class M
comparisons, the cumulative total return performance data of
these comparative indexes are for the period 1/31/95 through
9/30/95. The inception dates of the Growth Portfolio's, Balanced
Portfolio's, and Conservative Portfolio's class M shares are
2/3/95, 2/6/95, and 2/7/95, respectively.
Lehman Brothers Intermediate Treasury Index is an unmanaged list
of Treasury bonds; it is used as a general gauge of the market
for intermediate-term fixed-income securities. Standard & Poor's
500 Index is an unmanaged list of common stocks that is
frequently used as a general measure of U.S. 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 midsize companies. First Boston High Yield
Index is an unmanaged list of lower-rated higher-yielding U.S.
corporate bonds.
The performance of each index will differ from that of the
funds', assumes reinvestment of all distributions, and does not
take into account brokerage commissions or other costs. The
funds' portfolios contain securities that do not match those in
the indexes. Past performance is not indicative of future
results.
</TABLE>
<PAGE>
PORTFOLIO AND PERFORMANCE SUMMARY:
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%
- ----------------------------------------------------------------------
<TABLE><CAPTION>
<S> <C> <C> <C> <C> <C> <C>
CLASS A CLASS B CLASS C CLASS M
- ----------------------------------------------------------------------
SHARE VALUE NAV POP NAV NAV NAV POP
9/30/94 $8.43 $8.94 $8.39 $8.39 -- --
- ----------------------------------------------------------------------
2/3/95 -- -- -- -- $8.39 $8.69
- ----------------------------------------------------------------------
9/30/95 10.06 10.67 9.97 9.93 10.01 10.37
- ----------------------------------------------------------------------
<S> <C> <C> <C> <C>
DISTRIBUTIONS NUMBER INVESTMENT INCOME CAPITAL GAINS TOTAL
- ----------------------------------------------------------------------
CLASS A 1 $0.075 $-- $0.075
- ----------------------------------------------------------------------
CLASS B 1 0.050 -- 0.050
- ----------------------------------------------------------------------
CLASS C 1 0.075 -- 0.075
- ----------------------------------------------------------------------
CLASS M 0 -- -- --
- ----------------------------------------------------------------------
<FN>
The trust's class A shares began operations on 2/8/94, and class B
shares began on 2/16/94. The inception date for class C shares was
9/1/94, and for class M shares, 2/3/95. Performance of each share
class will differ. See page 2 for additional performance information.
International investing may include risks such as currency
fluctuations and political developments. Higher-yielding, lower-rated
bonds involve greater risk of nonpayment of principal and interest
than investment-grade bonds. Small-capitalization stocks may be more
volatile than those of larger companies, but offer greater growth
potential.
</TABLE>
<PAGE>
PORTFOLIO AND PERFORMANCE SUMMARY:
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%
- ----------------------------------------------------------------------
<TABLE><CAPTION>
<S> <C> <C> <C> <C> <C> <C>
CLASS A CLASS B CLASS C CLASS M
SHARE VALUE NAV POP NAV NAV NAV POP
- ----------------------------------------------------------------------
9/30/94 $8.33 $8.84 $8.31 $8.31 -- --
- ----------------------------------------------------------------------
2/6/95 -- -- -- -- $8.34 $8.64
- ----------------------------------------------------------------------
9/30/95 9.67 10.26 9.64 9.62 9.66 10.01
- ----------------------------------------------------------------------
<S> <C> <C> <C> <C>
DISTRIBUTIONS NUMBER INVESTMENT INCOME CAPITAL GAINS TOTAL
- ----------------------------------------------------------------------
Class A 4 $0.195 -- $0.195
- ----------------------------------------------------------------------
Class B 4 0.134 -- 0.134
- ----------------------------------------------------------------------
Class C 4 0.155 -- 0.155
- ----------------------------------------------------------------------
Class M 3 0.125 -- 0.125
- ----------------------------------------------------------------------
<FN>
The trust's class A shares began operations on 2/7/94, and class B
shares began on 2/11/94. The inception date for class C shares was
9/1/94 and for class M shares, 2/6/95. Performance of each share class
will differ. See page 2 for additional performance information.
International investing may include risks such as currency
fluctuations and political developments. Higher-yielding, lower-rated
bonds involve greater risk of nonpayment of principal and interest
than investment-grade bonds. Small-capitalization stocks may be more
volatile than those of larger companies, but offer greater growth
potential.
</TABLE>
<PAGE>
PORTFOLIO AND PERFORMANCE SUMMARY:
CONSERVATIVE PORTFOLIO is designed to seek income, while protecting
the original value of the investment, 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%
- ----------------------------------------------------------------------
<TABLE><CAPTION>
<S> <C> <C> <C> <C> <C> <C>
CLASS A CLASS B CLASS C CLASS M
SHARE VALUE NAV POP NAV NAV NAV POP
- ----------------------------------------------------------------------
9/30/94 $8.23 $8.73 $8.22 $8.22 -- --
- ----------------------------------------------------------------------
2/6/95 -- -- -- -- $8.21 $8.51
- ----------------------------------------------------------------------
9/30/95 9.19 9.75 9.16 9.15 9.18 9.51
- ----------------------------------------------------------------------
<S> <C> <C> <C> <C>
DISTRIBUTIONS NUMBER INVESTMENT INCOME CAPITAL GAINS TOTAL
- ----------------------------------------------------------------------
Class A 4 $0.270 -- $0.270
- ----------------------------------------------------------------------
Class B 4 0.208 -- 0.208
- ----------------------------------------------------------------------
Class C 4 0.231 -- 0.231
- ----------------------------------------------------------------------
Class M 3 0.162 -- 0.162
- ----------------------------------------------------------------------
<FN>
The trust's class A shares began operations on 2/7/94, and class B
shares began on 2/18/94. The inception date for class C shares was
9/1/94 and for class M shares, 2/7/95. Performance of each share class
will differ. See page 2 for additional performance information.
International investing may include risks such as currency
fluctuations and political developments. Higher-yielding, lower-rated
bonds involve greater risk of nonpayment of principal and interest
than investment-grade bonds. Small-capitalization stocks may be more
volatile than those of larger companies, but offer greater growth
potential.
</TABLE>
<PAGE>
GROWTH OF A $10,000 INVESTMENT
[MOUNTAIN CHART]
DATE GROWTH BALANCED CONSERVATIVE CPI
- ----------------------------------------------------------------------
2/7/94 9425 9425 9425 10000
3/31/94 9035 9091 9157 10068
4/30/94 9124 9146 9146 10082
5/31/94 9080 9091 9091 10089
6/30/94 8936 8980 9024 10123
7/31/94 9102 9113 9157 10150
8/31/94 9423 9357 9268 10192
9/30/94 9346 9285 9191 10219
10/31/94 9457 9385 9258 10226
11/30/94 9169 9140 9101 10239
12/31/94 9310 9253 9170 10239
1/31/95 9243 9209 9181 10280
2/28/95 9511 9444 9373 10321
3/31/95 9735 9664 9566 10356
4/30/95 9936 9868 9737 10390
5/31/95 10160 10139 10033 10410
6/30/95 10429 10326 10170 10431
7/31/95 10943 10757 10399 10431
9/30/95 11257 11024 10595 10479
- ----------------------------------------------------------------------
Past performance is no assurance of future results. A $10,000
investment in the Growth PortfolioOs, Balanced PortfolioOs, and
Conservative PortfolioOs class B shares at inception on 2/16/94,
2/11/94, and 2/18/94, respectively, would have been valued at $11,802,
$11,560, and $11,103, respectively, on 9/30/95 ($11,402 with a
redemption at the end of the period for the Growth Portfolio, and
$11,160 and $10,703, respectively, for the Balanced Portfolio and
Conservative Portfolio, with a redemption at the end of the period).
A $10,000 investment in the Growth PortfolioOs, Balanced PortfolioOs,
and Conservative PortfolioOs class C shares at inception on 9/1/94
would have been valued at $11,848, $11,689, and $11,350, respectively,
on 9/30/95 ($11,848 with a redemption at the end of the period for the
Growth Portfolio, and $11,689 and $11,350, respectively, for the
Balanced Portfolio and Conservative Portfolio, with a redemption at
the end of the period).
A $10,000 investment in the Growth PortfolioOs, Balanced PortfolioOs,
and Conservative PortfolioOs class M shares at inception on 2/3/95,
2/6/95, and 2/7/95, respectively, would have been valued at $11,519,
$11,338, and $10,990, respectively, on 9/30/95 at POP.
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 contingent deferred sales charge only if the shares are
redeemed during the first year.
CLASS M SHARES have a lower initial sales charge than class A shares
and no sales charge on redemption.
NET ASSET VALUE (NAV) is the value of each classes' assets, minus any
liabilities, divided by the number of outstanding shares, not
including any initial or contingent deferred sales charge.
PUBLIC OFFERING PRICE (POP) is the price of a mutual fund share plus
the maximum sales charge levied at the time of purchase. POP
performance figures shown here assume the maximum 5.75% sales charge
for class A shares and 3.50% for class M shares.
CONTINGENT DEFERRED SALES CHARGE (CDSC) is a charge applied at the
time of the redemption of class B and class C shares and assumes
redemption at the end of the period. Your funds' class B 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.
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
For the fiscal year ended September 30, 1995
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 Portfolio, Balanced
Portfolio, and Conservative Portfolio) constituting Putnam Asset
Allocation Funds ("the trust") at September 30, 1995, and the results
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 (hereafter referred to as
"financial statements") are the responsibility of the trust's
management; our responsibility is to express an opinion on these
financial statements based on our audits. We conducted our audits of
these financial statements in accordance with generally accepted
auditing standards which require that we plan and perform the audits
to obtain reasonable assurance about whether the financial statements
are free of material misstatements. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the
financial statements, assessing the accounting principles used and
significant estimates made by management, and evaluating the overall
financial statement presentation. We believe that our audits, which
included confirmation of investments owned at September 30, 1995 by
correspondence with the custodian and brokers and the application of
alternative auditing procedures where confirmations from brokers were
not received, provide a reasonable basis for the opinion expressed
above.
Price Waterhouse LLP
Boston, Massachusetts
November 14, 1995
<PAGE>
PORTFOLIO OF INVESTMENTS OWNED
September 30, 1995
<TABLE><CAPTION>
<S> <C> <C> <C> <C> <C> <C>
GROWTH BALANCED CONSERVATIVE
78.7% 64.4% 35.4%
COMMON STOCKS* SHARES VALUE SHARES VALUE SHARES VALUE
AEROSPACE AND DEFENSE 1.4% 1.1% 0.6%
- --------------------------------------------------------------------------------
- -------------
Boeing Co. 13,500 $921,375 14,800 $1,010,100 2,500 $170,625
Lockheed Martin Corp. 38,200 2,564,175 41,800 2,805,825 7,100 476,588
McDonnell Douglas Corp. 6,700 554,425 7,300 604,075 1,300 107,575
---------- ---------- ----------
4,039,975 4,420,000 754,788
AUTOMOTIVE 2.0% 1.9% 1.0%
- --------------------------------------------------------------------------------
- -------------
Autoliv AB (Sweden) -- -- 10,200 620,795 -- --
Bridgestone Corp. (Japan) 19,000 279,860 27,000 397,695 6,000 88,377
Custom Chrome, Inc. 10,350 234,169 9,225 208,716 1,575 35,634
Edaran Otomobil Nasional Berhad
(Malaysia) 15,000 120,000 26,000 208,000 7,000 56,000
Edelbrock Corp. 11,450 174,613 10,225 155,931 1,755 26,764
General Motors Corp. 33,800 1,584,375 37,000 1,734,375 6,300 295,313
General Motors Corp. Class H 58,700 2,406,700 64,200 2,632,200 10,900 446,900
Magna International, Inc. Class A 5,000 225,625 5,500 248,188 2,000 90,250
Michelin Corp. Class B (Registered)
(France) 7,700 337,344 11,570 506,892 2,330 102,079
Mitsubishi Motors Corp. (Japan) 19,000 158,587 45,000 375,601 10,000 83,467
Peugeot Citroen S A (France) 1,800 245,820 2,200 300,446 600 81,940
---------- ---------- ----------
5,767,093 7,388,839 1,306,724
BASIC INDUSTRIAL PRODUCTS 2.7% 2.3% 1.3%
- --------------------------------------------------------------------------------
- -------------
Ball Corp. 48,300 1,430,888 52,900 1,567,163 9,000 266,625
Brady (W.H.) Co., Class A 4,621 337,333 4,159 303,607 699 51,027
CBI Industries, Inc. 58,000 1,377,500 63,400 1,505,750 10,800 256,500
Computational Systems, Inc. 4,800 78,000 4,300 69,875 700 11,375
Danieli & Co. (Italy) 12,400 69,333 -- -- -- --
Deere (John) & Co. 800 65,100 900 73,238 100 8,138
Harnischfeger Industries, Inc. 43,500 1,451,813 47,600 1,588,650 8,100 270,338
Mayr-Melnhof Karton AG (Austria) 5,000 318,069 7,000 445,296 2,000 127,227
Mitsui Fudoscan Co. Ltd. (Japan) 40,000 308,216 43,000 331,333 11,000 84,760
Parker-Hannifin Corp. 9,400 357,200 10,300 391,400 1,800 68,400
Rieter Holding AG (Registered)
(Switzerland) 900 264,477 1,800 528,954 150 44,080
Sommer Allibert (France) 1,000 346,997 1,000 346,997 400 138,799
Varity Corp. 36,200 1,610,900 39,700 1,766,650 6,700 298,150
Weir Group PLC (The) (United Kingdom) -- -- 72,000 303,835 15,000 63,299
---------- ---------- ----------
8,015,826 9,222,748 1,688,718
BROADCASTING 1.5% 1.2% 0.6%
- --------------------------------------------------------------------------------
- -------------
Capital Cities/ABC, Inc. 10,300 1,211,538 11,300 1,329,163 1,900 223,488
Evergreen Media Corp. Class A 15,100 430,350 13,500 384,750 2,300 65,550
Heartland Wireless Communications,
Inc. 9,625 247,844 8,600 221,450 1,475 37,981
<PAGE>
GROWTH BALANCED CONSERVATIVE
COMMON STOCKS* SHARES VALUE SHARES VALUE SHARES VALUE
BROADCASTING (continued)
- --------------------------------------------------------------------------------
- -------------
Paging Network, Inc. 3,865 $185,520 5,730 $275,040 860 $41,280
Renaissance Communications Corp. 3,710 129,850" 3,260 114,100 580 20,300
SAGA Communications Inc, Class A 12,800 203,200 11,425 181,372 1,925 30,559
Sinclair Broadcast Group, Inc.
Class A 6,100 175,375 5,500 158,125 900 25,875
Tele-Comm Liberty Media Group, Inc.
Class A 21,200 567,100 23,175 619,931 3,975 106,331
Tele-Communications Inc.
(TCI Group) Class A 35,200 616,000 38,500 673,750 6,600 115,500
Viacom, Inc. Class B 14,000 696,500 15,400 766,150 2,600 129,350
---------- ---------- ----------
4,463,277 4,723,831 796,214
BUILDING AND CONSTRUCTION 1.3% 1.2% 0.7%
- --------------------------------------------------------------------------------
- -------------
CRH PLC (Ireland) 74,000 507,036 106,800 731,777 22,200 152,111
Fluor Corp. 12,900 722,400 14,100 789,600 2,400 134,400
Hong Leong Industries (Malaysia) 17,000 89,313 28,000 147,104 6,000 31,522
Lafarge Coppee (Bearer) (France) 6,000 394,237 7,810 513,165 2,100 137,983
Marui Co. Ltd. (Japan) 25,000 463,427 34,000 630,261 5,000 92,685
Shimizu Corp. (Japan) 34,000 338,637 50,000 497,996 10,000 99,599
Sungei Way Holdings Berhad
(Malaysia) 24,250 82,522 28,750 97,836 11,500 39,134
Tostem Corp. (Japan) 13,000 415,531 18,000 575,351 4,000 127,856
United Engineers Ltd. (Malaysia) 40,000 256,318 42,000 269,134 -- --
VA Technolgies AG (Austria) 4,000 460,727 5,285 608,735 1,050 120,941
---------- ---------- ----------
3,730,148 4,860,959 936,231
BUSINESS EQUIPMENT AND SERVICES 3.5% 2.8% 1.5%
- --------------------------------------------------------------------------------
- -------------
Accustaff, Inc. 10,225 375,769 9,175 337,181 1,500 55,125
Alternative Resources Corp. 9,800 313,600 8,800 281,600 1,550 49,600
American Business Information,
Inc. 17,275 349,819 15,462 313,106 2,687 54,412
Broderbund Software, Inc. 1,900 142,743 2,100 157,769 400 30,450
Cabletron Systems, Inc. 9,600 632,400 10,500 691,688 1,800 118,575
Cambridge Technology Partners,
Inc. 9,550 484,663 8,560 434,420 1,495 75,871
Career Horizons, Inc. 2,950 81,863 4,470 124,043 620 17,205
Computer Management Sciences 500 7,000 400 5,600 100 1,700
DSC Communications Corp. 12,100 716,925 13,200 782,100 2,200 130,350
Dai Nippon Printing Co., Ltd.
(Japan) 24,000 377,555 32,000 503,407 7,000 110,120
First Data Corp. 9,400 582,800 10,300 638,600 1,800 111,600
Fiserv Inc. 11,995 346,356 10,750 310,406 1,795 51,831
General Motors Corp. Class E 12,500 568,750 13,600 618,800 2,300 104,650
Glory Ltd. (Glory Kogyo) (Japan) 12,000 423,246 -- -- -- --
HBO & Co. 6,500 406,250 7,000 437,500 1,200 75,000
Harcourt General, Inc. 8,900 372,688 9,800 410,375 1,700 71,188
IBM Corp. 13,100 1,236,313 14,300 1,349,563 2,500 235,938
Komori Printing Machinery Co.,
Ltd. (Japan) -- -- 11,000 259,018 3,000 70,641
<PAGE>
GROWTH BALANCED CONSERVATIVE
COMMON STOCKS* SHARES VALUE SHARES VALUE SHARES VALUE
BUSINESS EQUIPMENT AND SERVICES (continued)
- --------------------------------------------------------------------------------
- -------------
Mecklermedia Corp. 4,800 $90,000 4,300 $80,625 700 $13,125
Robert Half International, Inc. 14,523 495,597 13,014 444,103 2,262 77,191
Romac International, Inc. 700 11,900 600 10,200 100 1,700
SOS Staffing Services, Inc. 11,700 96,525 10,500 86,625 1,800 14,850
Security Services PLC
(United Kingdom) 27,000 431,002 40,200 641,715 7,800 124,512
Societe Generale de Surveillance
Holdings S.A. (Bearer) (Switzerland)250 462,403 310 573,379 80 147,969
Wolters Kluwer N.V. (Netherlands) 5,300 486,637 6,983 641,167 1,824 167,476
Xerox Corp. 6,100 819,688 6,700 900,313 1,100 147,813
---------- ---------- ----------
10,312,492 11,033,303 2,058,892
CHEMICALS 1.8% 1.6% 0.9%
- --------------------------------------------------------------------------------
- -------------
Akzo-Nobel N.V. (Netherlands) 3,500 420,245 5,000 600,350 1,100 132,077
du Pont (E.I.) de Nemours
& Co., Ltd. 15,300 1,051,875 16,700 1,148,125 2,900 199,375
Dutch States Mines N.V.
(Netherlands) 2,700 216,689 3,700 296,944 810 65,007
KAO Corp. (Japan) 28,000 345,090 44,000 542,285 9,000 110,922
Praxair, Inc. 13,600 363,800 14,900 398,575 2,600 69,550
Sekisui Chemical Co. Ltd. (Japan) 40,000 505,010 50,000 631,263 12,000 151,503
Solvay S.A. (Belgium) 800 425,416 1,000 531,770 200 106,354
Union Carbide Corp. 48,300 1,919,925 52,900 2,102,775 9,000 357,750
---------- ---------- ----------
5,248,050 6,252,087 1,192,538
COMPUTER EQUIPMENT 0.1% 0.1% 0.0%
- --------------------------------------------------------------------------------
- -------------
Shiva Corp. 5,025 307,781 4,500 275,625 775 47,469
COMPUTER SERVICES AND SOFTWARE 4.3% 3.2% 1.7%
3Com Corp. 15,000 682,500 16,400 746,200 2,800 127,400
America Online, Inc. 9,430 648,313 8,410 578,188 1,440 99,000
Analysts International Corp. 6,400 204,800 5,700 182,400 1,000 32,000
Bisys Group, Inc. (The) 9,400 239,700 8,400 214,200 1,400 35,700
Business Objects S.A., ADR
(France) 5,400 230,175 4,900 208,863 800 34,100
Ceridian Corp. 8,900 394,938 9,800 434,875 1,700 75,438
Cisco Systems, Inc. 8,800 607,200 9,600 662,400 1,700 117,300
Computer Associates Intl., Inc. 18,600 785,850 20,350 859,788 3,500 147,875
Computer Horizons Corp. 21,075 421,500 18,887 377,740 3,227 64,540
Datalogix International, Inc. 9,650 137,513 8,650 123,263 1,500 21,375
Fujitsu Ltd. (Japan) 42,000 526,052 55,000 688,878 14,000 175,351
Getronics Electric N.V.
(Netherlands) 9,100 448,203 13,210 650,633 3,156 155,443
HPR, Inc. 4,300 99,975 3,900 90,675 700 16,275
Imnet Systems, Inc. 9,200 236,900 8,200 211,150 1,400 36,050
Inso Corporation 6,280 202,530 5,610 180,923 960 30,960
Keane, Inc. 7,895 227,968 7,027 202,905 1,240 35,805
McAfee Associates, Inc. 8,300 427,450 7,400 381,100 1,300 66,950
Mercury Interactive Corp. 11,930 331,058 10,640 295,260 1,855 51,476
Microsoft Corp. 11,600 1,049,800 12,700 1,149,350 2,200 199,100
National Data Corp. 9,200 247,250 8,200 220,375 1,400 37,625
Network Express, Inc. 14,900 237,469 13,300 211,969 2,300 36,656
Novadigm, Inc. 2,300 38,813 2,200 37,125 300 5,063
Pairgain Technologies, Inc. 12,300 424,350 10,900 376,050 1,900 65,550
<PAGE>
GROWTH BALANCED CONSERVATIVE
COMMON STOCKS* SHARES VALUE SHARES VALUE SHARES VALUE
COMPUTER SERVICES AND SOFTWARE (continued)
- --------------------------------------------------------------------------------
- -------------
Parametric Technology Corp. 9,200 $565,800 10,100 $621,150 1,700 $104,550
Platinum Software Corp. 22,550 262,144 20,225 235,116 3,525 40,978
Project Software & Development,
Inc. 7,300 189,800 6,542 170,092 1,082 28,132
Renaissance Solutions, Inc. 8,900 216,938 7,900 192,563 1,400 34,125
SGS-Thomson Microelectronics
ADR (France) 9,300 452,213 12,900 627,263 2,700 131,288
Security Dynamics Technologies,
Inc. 5,450 260,238 4,550 217,263 700 33,425
Sierra On-Line, Inc. 15,750 618,188 14,075 552,444 2,380 93,415
Softkey International, Inc. 5,593 247,490 4,977 220,232 837 37,037
Spectrum Holobyte, Inc. 7,700 97,213 6,900 87,113 1,200 15,150
Spyglass, Inc. 3,300 150,975 3,000 137,250 500 22,875
Unison Software, Inc. 5,100 76,500 4,400 66,000 1,100 16,500
Vantive Corp. 7,400 118,400 6,500 104,000 1,100 17,600
Zebra Technologies Corp. 8,682 462,317 7,764 413,433 1,332 70,929
---------- ---------- ----------
12,568,523 12,728,229 2,313,036
CONGLOMERATES 1.2% 1.1% 0.6%
- --------------------------------------------------------------------------------
- -------------
Allied-Signal, Inc. 19,100 842,788 20,800 917,800 3,600 158,850
Axia Holding Corp. 144A 225 6,300
Cartiere Burgo S.P.A. (Italy) 30,000 202,478 38,400 259,172 12,000 80,991
Hutchison Whampoa, Ltd. (Hong Kong)52,000 281,826 80,000 433,579 15,000 81,296
Ogden Corp. 67,600 1,588,600 74,000 1,739,000 12,600 296,100
Preussag AG (Germany) 800 237,089 1,200 355,633 190 56,309
TRW, Inc. 7,000 520,625 7,600 565,250 1,300 96,688
---------- ---------- ----------
3,679,706 4,270,434 770,234
CONSUMER DURABLE GOODS 0.6% 0.5% 0.2%
- --------------------------------------------------------------------------------
- -------------
Black & Decker Manufacturing Co. 21,700 740,513 23,800 812,175 4,100 139,913
Blyth Industries, Inc. 8,725 407,894 7,850 366,988 1,300 60,775
Cannondale Corp. 9,975 164,588 8,950 147,675 1,500 24,750
Cognex Corp. 11,375 548,844 10,450 504,213 1,765 85,161
---------- ---------- ----------
1,861,839 1,831,051 310,599
CONSUMER NON DURABLES 4.7% 3.8% 2.0%
- --------------------------------------------------------------------------------
- -------------
Authentic Fitness Corp. 19,110 429,975 17,105 384,863 2,920 65,700
B A T Industries PLC
(United Kingdom) 57,224 478,441 79,518 664,838 18,011 150,587
Dimon Inc. 91,800 1,377,000 100,500 1,507,500 17,100 256,500
Eastman Kodak Co. 38,700 2,292,975 42,400 2,512,200 7,200 426,600
Fastenal Co. 16,715 610,098 15,022 548,303 2,604 95,046
Philip Morris Cos., Inc. 45,700 3,815,950 50,000 4,175,000 8,500 709,750
Premark International, Inc. 10,800 549,450 11,900 605,413 2,000 101,750
Procter & Gamble Co. 13,800 1,062,600 15,100 1,162,700 2,600 200,200
Scott Paper Co. 23,500 1,139,750 25,700 1,246,450 4,400 213,400
St. John Knits, Inc. 16,655 811,931 14,995 731,006 2,520 122,850
Svenska Cellulosa AB Ser. B
(Sweden) 22,050 398,634 32,000 578,516 6,650 120,223
Tate & Lyle PLC (United Kingdom) 27,682 196,444 39,101 277,478 8,199 58,184
Toray Industries Inc. (Japan) 50,000 301,603 46,000 277,475 11,000 66,353
<PAGE>
GROWTH BALANCED CONSERVATIVE
COMMON STOCKS* SHARES VALUE SHARES VALUE SHARES VALUE
CONSUMER NON DURABLES (continued)
- --------------------------------------------------------------------------------
- -------------
Unilever N.V. (Netherlands) 3,040 $395,035 4,130 $536,675 920 $119,550
---------- ---------- ----------
13,859,886 15,208,417 2,706,693
CONSUMER SERVICES 2.9% 2.1% 1.1%
- --------------------------------------------------------------------------------
- -------------
Apple South, Inc. 14,000 318,500 12,500 284,375 2,100 47,775
CUC International, Inc. 18,500 645,188 20,250 706,219 3,450 120,319
Catalina Marketing Corp. 4,150 257,300 3,750 232,500 650 40,300
Century Communications Corp.
Class A 21,025 212,878 18,850 190,856 3,220 32,603
Clear Channel Communications, Inc. 6,555 496,541 5,940 449,955 1,060 80,295
Doubletree Corp. 9,000 200,250 8,000 178,000 1,400 31,150
EZ Communications, Inc. Class A 20,320 391,160 18,260 351,505 3,165 60,926
Genting Berhad Co. (Malaysia) 35,000 302,289 30,000 259,104 7,500 64,776
HFS, Inc. 3,965 207,667 6,420 336,248 920 48,185
LIN Television Corp. 7,325 227,075 6,600 204,600 1,175 36,425
Landry's Seafood Restaurants, Inc. 19,830 356,940 17,860 321,480 3,060 55,080
Loewen Group, Inc. 19,000 783,750 16,990 700,838 2,870 118,388
Lowe's Cos., Inc. 1,300 39,000 1,400 42,000 200 6,000
Marriott International, Inc. 21,600 807,300 23,600 882,050 4,000 149,500
Mirage Resorts, Inc. 23,300 765,988 25,500 838,313 4,400 144,650
Moovies, Inc. 14,000 274,750 12,500 245,313 2,100 41,213
O'Charleys, Inc. 6,850 102,750 6,150 92,250 1,000 15,000
On Assignment, Inc. 13,400 340,025 12,000 304,500 2,100 53,288
Payment Svcs., Inc. 2,500 60,313 2,200 53,075 400 9,650
Quantum Restaurant Group, Inc. 10,400 139,100 9,400 125,725 1,600 21,400
Rio Hotel & Casino, Inc. 6,250 81,250 9,900 128,700 1,525 19,825
SFX Broadcasting, Inc. Class A 11,330 322,905 10,160 289,560 1,735 49,448
Stewart Enterprises, Inc. Class A 15,760 571,300 14,110 511,488 2,370 85,913
Tel-Save Holdings, Inc. 300 4,613 300 4,613 100 1,538
U.S. Delivery Systems, Inc. 10,910 313,663 9,775 281,031 1,650 47,438
Young Broadcasting Corp. Class A 13,600 425,000 12,225 382,031 2,075 64,844
---------- ---------- ----------
8,647,495 8,396,329 1,445,929
ELECTRONICS AND ELECTRICAL EQUIPMENT 5.9% 4.8% 2.9%
- --------------------------------------------------------------------------------
- -------------
Applied Materials, Inc. 5,100 521,475 5,600 572,600 1,000 102,250
Austria Mikro System International
(Austria) 2,000 348,432 -- -- -- --
BBC Brown Boveri & Cie AG (Bearer)
(Switzerland) 360 416,629 480 555,506 130 150,449
Baldor Electric Co. 21,563 541,770 19,373 486,747 3,321 83,440
Best Denki Co. Ltd. 8,000 120,240 -- -- -- --
C.P. Clare Corp. 11,650 297,075 10,425 265,838 1,750 44,625
Credence Systems Corp. 16,375 593,594 14,584 528,670 2,528 91,640
Cyberoptics Corp. 1,200 40,800 1,100 37,400 200 6,800
Eltron International, Inc. 5,800 163,850 5,200 146,900 900 25,425
Emerson Electric Co. 11,200 800,800 12,300 879,450 2,100 150,150
Exar Corp. 18,325 655,119 16,515 590,411 2,785 99,564
Flextronics International Ltd. 10,700 275,525 9,600 247,200 1,600 41,200
Futaba Corp. (Japan) 10,000 446,894 14,000 625,651 4,000 178,758
General Electric Co. PLC
(United Kingdom) 80,000 401,447 116,000 582,098 25,000 125,452
Harman International Industries,
Inc. 8,465 414,785 7,635 374,115 1,302 63,798
Hewlett-Packard Co. 9,800 817,075 10,700 892,113 1,800 150,075
<PAGE>
GROWTH BALANCED CONSERVATIVE
COMMON STOCKS* SHARES VALUE SHARES VALUE SHARES VALUE
ELECTRONICS AND ELECTRICAL EQUIPMENT (continued)
- --------------------------------------------------------------------------------
- -------------
Hirose Electric Co. Ltd. (Japan) 6,300 $392,645 9,450 $588,968 3,100 $193,206
Honeywell, Inc. 17,500 750,313 19,100 818,913 3,300 141,488
ITI Technologies, Inc. 13,300 360,763 11,900 322,788 2,050 55,606
Intel Corp. 16,500 992,063 18,100 1,088,263 3,100 186,388
Kyocera Corp. (Japan) 5,000 407,816 7,000 570,942 2,000 163,126
LSI Logic Corp. 9,400 542,850 10,300 594,825 1,800 103,950
Leader Universal (Malaysia) 31,000 95,005 58,333 178,772 8,000 24,517
Mabuchi Motor (Japan) 3,000 175,852 6,000 351,703 -- --
Matsushita Electric Industrial Co.,
Ltd. (Japan) 24,000 365,531 23,000 350,301 8,000 121,844
Maxim Integrated Products Inc. 8,740 646,760 7,780 575,720 1,380 102,120
Motorola, Inc. 13,800 1,053,975 15,100 1,153,263 2,600 198,575
Murata Manufacturing Co. Ltd.
(Japan) 15,000 559,118 16,000 596,393 4,000 149,098
Nichicon Corp. (Japan) -- -- -- -- 8,000 107,415
Nippondenso Co., Ltd. (Japan) 10,000 183,367 20,000 366,733 6,000 110,020
Oak Industries, Inc. 11,675 351,709 10,475 315,559 1,825 54,978
Omron Tateisi Electronics Co.
(Japan) 22,000 507,014 33,000 760,521 8,000 184,369
Peak Technologies Group, Inc. 11,025 292,163 9,800 259,700 1,655 43,858
Plasma & Materials Tech, Inc. 3,400 59,925 3,100 54,638 500 8,813
Rohm Co. Ltd. (Japan) 6,000 376,353 10,000 627,255 2,000 125,451
Sanmina Corp. 11,080 529,070 9,940 474,635 1,715 81,891
Secom Co.(Japan) -- -- 8,000 529,058 -- ---
Siebe PLC (United Kingdom) 31,011 354,853 43,977 503,221 9,207 105,354
Smartflex Systems, Inc. 8,400 142,800 7,500 127,500 1,300 22,100
Telcom Semiconductor, Inc. 18,700 215,050 16,800 193,200 2,900 33,350
Texas Instruments, Inc. 7,300 583,088 8,000 639,000 1,400 111,825
Ultratech Stepper, Inc. 2,750 116,188 2,405 101,611 390 16,478
Zilog Inc. 8,975 373,584 7,780 323,843 1,355 56,402
---------- ---------- ----------
17,283,365 19,252,024 3,815,848
ENERGY-RELATED 0.1% 0.1% 0.1%
- --------------------------------------------------------------------------------
- -------------
IHC Caland N.V. (Netherlands) 13,000 368,085 20,100 569,117 6,000 169,886
ENTERTAINMENT 0.4% 0.4% 0.1%
- --------------------------------------------------------------------------------
- -------------
Scientific Games Holdings Corp. 12,275 458,778 10,950 409,256 1,870 69,891
Speedway Motorsports, Inc. 9,900 257,400 8,875 230,750 1,480 38,480
Studio Plus Hotels, Inc. 17,500 402,500 15,650 359,950 2,650 60,950
Zodiac (France) -- -- 4,000 537,338 -- --
---------- ---------- ----------
1,118,678 1,537,294 169,321
ENVIRONMENTAL CONTROL 0.6% 0.5% 0.3%
- --------------------------------------------------------------------------------
- -------------
United Waste Systems, Inc. 8,100 338,175 7,200 300,600 1,250 52,188
WMX Technologies, Inc. 53,200 1,516,200 58,200 1,658,700 9,900 282,150
1,854,375 1,959,300 334,338
FOOD AND BEVERAGES 2.7% 2.3% 1.2%
- --------------------------------------------------------------------------------
- -------------
Archer Daniels Midland Co. 96,600 1,485,225 105,700 1,625,138 18,000 276,750
Argyll Group PLC (United Kingdom) 58,433 310,307 76,829 407,999 17,023 90,400
Ben & Jerry's Homemade CL A 3,600 67,500 3,300 61,875 600 11,250
Docks de France (France) 900 136,972 -- -- -- --
<PAGE>
GROWTH BALANCED CONSERVATIVE
COMMON STOCKS* SHARES VALUE SHARES VALUE SHARES VALUE
FOOD AND BEVERAGES (continued)
- --------------------------------------------------------------------------------
- -------------
Dole Food Co. 48,300 $1,672,388 52,900 $1,831,663 9,000 $311,625
Grand Union Co. 4,153 53,989 9,986 129,818 3,270 42,510
Greencore Group PLC (Ireland) 62,000 480,922 81,768 634,258 22,148 171,798
Guinness PLC (United Kingdom) 49,000 401,163 61,000 499,406 12,000 98,244
IBP, Inc. 7,400 394,975 8,000 427,000 1,400 74,725
Nestle S.A. (Registered)
(Switzerland) 400 408,989 600 613,483 120 122,697
PepsiCo, Inc. 25,800 1,315,800 28,200 1,438,200 4,800 244,800
Pioneer Hi-Bred International, Inc.8,700 400,200 9,500 437,000 1,600 73,600
Sara Lee Corp. 28,200 838,950 30,900 919,275 5,300 157,675
---------- ---------- ----------
7,967,380 9,025,115 1,676,074
FOREST PRODUCTS 0.2% 0.2% 0.2%
- --------------------------------------------------------------------------------
- -------------
Amcor Ltd. (Austria) 18,442 138,306 8,353 62,643 3,526 26,443
Repola (Finland) 23,150 520,127 31,500 707,733 8,000 179,742
---------- ---------- ----------
658,433 770,376 206,185
HEALTH CARE 5.2% 3.8% 1.9%
- --------------------------------------------------------------------------------
- -------------
ABR Information Services, Inc. 1,000 25,250 850 21,463 150 3,788
Access Health, Inc. 3,000 84,750 2,600 73,450 500 14,125
Advantage Health Corp. 13,650 464,100 12,295 418,030 2,095 71,230
American HomePatient, Inc. 10,150 258,825 9,150 233,325 1,525 38,888
Baxter International, Inc. 72,800 2,993,900 79,600 3,273,550 13,600 559,300
Benson Eyecare Corp. 30,325 299,459 27,275 269,341 4,675 46,166
Bristol-Myers Squibb Co. 21,700 1,581,388 23,800 1,734,425 4,000 291,500
Columbia/HCA Healthcare Corp. 14,300 695,338 15,600 758,550 2,700 131,288
Community Health Systems Inc. 9,500 383,563 8,600 347,225 1,500 60,563
Compdent Corp. 12,550 367,088 11,200 327,600 1,950 57,038
Daig Corp. 8,200 198,850 7,300 177,025 1,300 31,525
Genesis Health Ventures, Inc. 13,075 467,431 11,750 420,063 2,010 71,858
Guidant Corp. 14,100 412,425 15,400 450,450 2,700 78,975
Health Management Assoc., Inc. 13,320 427,905 11,952 383,958 2,087 67,045
Healthcare Services Group, Inc. 15,090 162,218 13,575 145,931 2,335 25,101
I-Stat Corp. 10,800 402,300 9,700 361,325 1,675 62,394
Lincare Holdings, Inc. 10,535 271,276 9,490 244,368 1,625 41,844
Living Centers of America, Inc. 12,300 408,975 11,025 366,581 1,915 63,674
Lunar Corp. 4,700 156,275 4,100 136,325 700 23,275
Medisense Inc. 6,450 155,606 5,800 139,925 1,010 24,366
Medtronic, Inc. 11,300 607,375 12,400 666,500 2,100 112,875
Minntech Corp. 13,800 227,700 12,400 204,600 2,100 34,650
Owen Healthcare, Inc. 13,700 223,481 12,300 200,644 2,100 34,256
Pediatrix Medical Group, Inc. 800 16,400 700 14,350 100 2,050
Santen Pharmaceutical (Japan) 9,000 224,549 -- -- -- --
Sierra Health Services 7,890 197,250 7,025 175,625 1,250 31,250
Target Therapeutics, Inc. 2,500 175,000 2,200 154,000 400 28,000
United Dental Care, Inc. 5,600 168,000 5,000 150,000 900 27,000
Upjohn Co. 58,400 2,606,100 63,800 2,847,075 10,900 486,413
Vencor, Inc. 8,862 283,584 8,012 256,384 1,359 43,488
Wellcare Management Group, Inc. 10,700 248,775 9,550 222,038 1,660 38,595
---------- ---------- ----------
15,195,136 15,174,126 2,602,520
INSURANCE AND FINANCE 11.1% 9.6% 5.5%
- --------------------------------------------------------------------------------
- -------------
ABN AMRO Holding N.V. (Netherlands) 9,000 $372,398 15,000 $620,664 4,000 $165,510
Aegon N.V. (Netherlands) 12,285 444,591 17,742 642,079 3,600 130,283
Aetna Life & Casualty Co. 24,200 1,775,675 26,400 1,937,100 4,500 330,188
Allied Irish Banks PLC (Ireland) 41,728 207,018 105,095 521,389 23,706 117,608
American General Corp. 21,100 788,613 23,100 863,363 4,000 149,500
American International Group, Inc.10,150 858,500 11,050 939,250 1,950 165,750
Argentaria Corp. (Spain) 7,100 252,976 5,800 206,656 2,000 71,261
Asahi Bank Ltd. (Japan) 31,000 335,471 50,000 541,082 9,000 97,395
Baer Holdings AG (Germany) 205 248,941 280 340,017 80 97,148
Banco Frances del Rio de la Plata
ADR (Argentina) 600 12,975 -- -- -- --
Banco Frances del Rio de la Plata
S.A. (Argentina) 1,200 8,581 4,100 29,318 1,500 10,726
Banco de Bilbao Vizcaya (Spain) 6,400 196,939 9,200 283,100 2,000 61,543
Bank of Ireland (Ireland) 40,000 250,803 70,000 438,906 22,000 137,942
BankAmerica Corp. 22,600 1,353,175 24,800 1,484,900 4,200 251,475
Bankers Trust New York Corp. 27,800 1,952,950 30,400 2,135,600 5,200 365,300
Barclays Bank PLC (United Kingdom)33,358 394,890 49,841 590,015 10,571 125,139
Barnett Banks, Inc. 14,000 792,750 15,300 866,363 2,600 147,225
Beneficial Corp. 33,800 1,766,050 37,000 1,933,250 6,300 329,175
CIGNA Corp. 8,100 843,413 8,800 916,300 1,500 156,188
CRA Managed Care, Inc. 9,075 196,247 8,100 175,163 1,380 29,843
Cetelem Group (France) 2,400 372,565 3,000 465,706 450 69,856
Citicorp 21,300 1,506,975 23,300 1,648,475 4,000 283,000
Concord EFS, Inc. 13,625 415,563 12,182 371,551 2,050 62,525
Credit Locale de France S.A.
(France) 3,800 305,434 5,700 458,151 1,200 96,453
Daiwa Securities Co. Ltd. (Japan) 36,000 450,902 50,000 626,253 12,000 150,301
Danieli Savings (Italy) 11,000 33,034 58,000 174,181 6,200 18,619
Development Bank of Singapore Ltd.
(Registered) (Singapore) 33,000 375,290 47,000 534,503 11,000 125,097
Federal National Mortgage
Association 9,800 1,014,300 10,700 1,107,450 1,800 186,300
Fleet Financial Group, Inc. 42,500 1,604,375 46,500 1,755,375 7,900 298,225
Franklin Resources, Inc. 9,700 558,963 10,600 610,825 1,800 103,725
Guoco Group Ltd. (Hong Kong) 24,800 124,144 49,600 248,289 16,400 82,095
HCC Insurance Holdings, Inc. 18,685 618,941 16,785 556,003 2,827 93,644
HSBC Holdings PLC (Hong Kong) 34,000 472,772 48,800 678,567 12,000 166,861
Healthwise of America, Inc. 7,325 205,100 6,650 186,200 1,090 30,520
Jardine Matheson Holdings Ltd.
(Singapore) 47,200 318,600 66,200 446,850 14,000 94,500
Keycorp 23,200 794,600 25,700 880,225 4,400 150,700
Malayan Banking Berhad (Malaysia) 36,000 290,866 42,000 339,343 12,000 96,955
Merrill Lynch & Co., Inc. 10,000 625,000 11,000 687,500 1,900 118,750
Mitsubishi Bank Ltd. (Japan) 16,000 317,435 28,000 555,511 5,000 99,198
NationsBank Corp. 40,900 2,750,525 44,700 3,006,075 7,600 511,100
Reinsurance Group America, Inc. 11,700 412,425 5,710 201,278 1,080 38,070
Royal Insurance Holdings PLC
(United Kingdom) 69,447 387,456 107,536 599,962 23,631 131,841
Societe Generale (France) 1,050 107,386 2,000 204,545 715 73,125
Sovac (France) 3,510 246,156 900 63,117 1,100 77,143
Swiss Reinsurance Co. (Registered)
(Switzerland) 300 292,999 460 449,265 105 102,550
<PAGE>
GROWTH BALANCED CONSERVATIVE
COMMON STOCKS* SHARES VALUE SHARES VALUE SHARES VALUE
INSURANCE AND FINANCE (continued)
- --------------------------------------------------------------------------------
- -------------
Tokio Marine & Fire Insurance Co.
Ltd. (The) (Japan) 23,000 $246,593 45,000 $482,465 7,000 $75,050
Travelers Group Inc. 22,800 1,211,250 25,000 1,328,125 4,300 228,438
Trenwick Group Inc. 9,240 489,720 8,220 435,660 1,425 75,525
USF&G Corp. 96,600 1,871,625 105,700 2,047,938 18,000 348,750
Union Bank of Switzerland (Bearer)
(Switzerland) 400 409,334 605 619,118 140 143,267
United Overseas Bank Ltd. (Registered)
(Singapore) 44,400 383,377 63,600 549,161 13,200 113,977
Yamaguchi Bank Ltd. (Japan) 19,000 323,647 25,000 425,852 6,000 102,204
---------- ---------- ----------
32,590,308 38,208,034 7,287,563
MEDICAL SUPPLIES AND DEVICES 0.6% 0.4% 0.2%
- --------------------------------------------------------------------------------
- -------------
AVECOR Cardiovascular, Inc. 18,800 263,200 16,900 236,600 2,850 39,900
Bio-Vascular, Inc. 5,200 93,600 4,700 84,600 800 14,400
ICU Medical, Inc. 9,100 122,850 8,100 109,350 1,400 18,900
IDEXX Laboratories, Inc. 13,400 499,150 12,060 449,235 2,100 78,225
Igen, Inc. 15,400 98,175 13,800 87,975 2,400 15,300
Instent, Inc. 9,350 151,938 8,350 135,688 1,450 23,563
Research Industries Corp. 6,800 198,050 6,100 177,663 1,000 29,125
Sola International, Inc. 18,325 405,441 16,410 363,071 2,835 62,724
---------- ---------- ----------
1,832,404 1,644,182 282,137
METALS AND MINING 1.7% 1.4% 0.7%
- --------------------------------------------------------------------------------
- -------------
Alumax, Inc. 48,300 1,630,125 52,900 1,785,375 9,000 303,750
Freeport-McMoRan Copper & Gold Co.,
Inc. Class A 33,000 845,625 36,000 922,500 6,100 156,313
Freeport-McMoRan Copper & Gold Co.,
Inc. Class B 54,265 1,390,541 59,329 1,520,306 10,141 259,863
Freeport-McMoRan Inc. 77,300 434,813 84,600 475,875 14,400 81,000
N.V. Bekaert S.A. (Belgium) 364 284,927 515 403,124 107 83,756
Nisshin Steel Co., Ltd. (Japan) 24,000 99,319 34,000 140,701 7,000 28,968
SGL Carbon AG (Germany) 4,000 260,042 -- -- -- --
Ugine S.A. (Bearer) (France) 2,600 167,248 3,820 245,726 790 50,818
---------- ---------- ----------
5,112,640 5,493,607 964,468
OIL AND GAS 3.5% 2.9% 1.6%
- --------------------------------------------------------------------------------
- -------------
Anadarko Petroleum Corp. 33,800 1,601,275 37,000 1,752,875 6,300 298,463
British Petroleum PLC ADR
(United Kingdom) 9,800 880,775 10,700 961,663 1,800 161,775
Burmah Oil PLC (United Kingdom) 28,198 435,419 42,258 652,526 9,622 148,578
Chesapeake Energy Corp. 512 16,192 1,332 42,125 922 29,158
Columbia Gas System, Inc. 45,900 1,772,888 50,200 1,938,975 8,500 328,313
Enron Corp. 18,800 629,800 20,600 690,100 3,500 117,250
Mobil Corp. 11,200 1,115,800 12,300 1,225,388 2,100 209,213
Occidental Petroleum Corp. 67,600 1,487,200 74,000 1,628,000 12,600 277,200
Repsol S.A. (Spain) 13,000 408,980 20,000 629,201 4,350 136,851
Repsol S.A. ADS (Spain) 6,100 193,675 4,200 133,350 2,000 63,500
Schlumberger Ltd. 8,300 541,575 9,100 593,775 1,600 104,400
Societe Nationale Elf Aquitaine
(Bearer) (France) 5,762 388,537 8,259 556,913 2,100 141,605
Total Corp. ADR (France) 23,700 713,963 25,900 780,238 4,400 132,550
---------- ---------- ----------
10,186,079 11,585,129 2,148,856
PHARMACEUTICALS 3.2% 2.6% 1.5%
- --------------------------------------------------------------------------------
- -------------
Amgen, Inc. 15,600 $778,050 17,000 $847,875 2,900 $144,638
Astra AB (Sweden) 18,000 644,348 19,600 701,623 4,100 146,768
Ciba-Geigy AG (Registered)
(Switzerland) 630 504,218 900 720,311 220 176,076
Dura Pharmaceuticals, Inc. 24,050 715,488 21,550 641,113 3,650 108,588
Gilead Sciences, Inc. 2,500 55,000 2,200 48,400 400 8,800
Johnson & Johnson 19,100 1,415,788 20,900 1,549,213 3,600 266,850
Pfizer, Inc. 19,400 1,035,475 21,200 1,131,550 3,600 192,150
Schering AG (Germany) 2,280 168,168 3,210 236,763 700 51,631
Smithkline Beecham PLC ADR
(United Kingdom) 23,500 1,189,688 25,600 1,296,000 4,300 217,688
Warner-Lambert Co. 27,200 2,590,800 29,700 2,828,925 5,100 485,775
Yamanouchi Pharmaceutical Co. Ltd.
(Japan) 20,000 428,858 26,000 557,515 7,000 150,100
---------- ---------- ----------
9,525,881 10,559,288 1,949,064
PHOTOGRAPHY 0.6% 0.4% 0.2%
- --------------------------------------------------------------------------------
- -------------
Polaroid Corp. 41,100 1,633,725 44,900 1,784,775 7,600 302,100
Publishing 0.1% 0.1% 0.1%
Pearson PLC (United Kingdom) 18,900 175,943 17,000 158,255 6,500 60,509
Singapore Press Holdings (Registered)
(Singapore) 14,400 220,372 21,600 330,558 3,400 52,032
---------- ---------- ----------
396,315 488,813 112,541
REAL ESTATE 1.8% 1.4% 0.8%
- --------------------------------------------------------------------------------
- -------------
Cheung Kong Holdings Ltd.
(Hong Kong) 62,000 337,628 86,000 468,322 20,000 108,912
Debartolo Realty Corp. 96,600 1,352,400 105,700 1,479,800 18,000 252,000
Hong Kong Land Holdings Ltd.
(Hong Kong) 130,000 227,500 84,000 147,000 30,000 52,500
Meditrust Corp. 48,300 1,672,388 52,900 1,831,663 9,000 311,625
Nationwide Health Properties, Inc.38,700 1,586,700 42,300 1,734,300 7,200 295,200
---------- ---------- ----------
5,176,616 5,661,085 1,020,237
RETAIL 4.9% 3.8% 2.0%
- --------------------------------------------------------------------------------
- -------------
Circuit City, Stores Inc. 15,800 499,675 17,300 547,113 3,000 94,875
Cycle & Carriage Ltd. (Singapore) 36,000 320,955 31,000 276,378 10,000 89,154
Department 56, Inc. 12,215 571,051 10,980 513,315 1,895 88,591
Eastbay, Inc. 4,900 85,063 4,200 72,713 800 15,800
Federated Department Stores 30,700 871,113 33,600 953,400 5,800 164,575
Hollywood Entertainment Corp. 26,350 564,878 23,650 506,997 4,050 86,822
Ito-Yokado Co., Ltd. (Japan) 10,000 549,098 11,000 604,008 3,000 164,729
K mart Corp. 116,000 1,682,000 126,900 1,840,050 21,600 313,200
Kenneth Cole Productions, Inc.
Class A 15,725 552,341 14,050 493,506 2,400 84,300
Kroger Co. 68,400 2,334,150 74,800 2,552,550 12,700 433,388
Nautica Enterprises, Inc. 16,075 550,569 14,363 491,933 2,431 83,262
Office Depot, Inc. 30,250 911,281 32,950 992,619 5,600 168,700
Rexall Sundown, Inc. 9,500 160,313 8,600 145,125 1,500 25,313
Rite Aid Corp. 19,800 554,400 21,600 604,800 3,700 103,600
Sears PLC (United Kingdom) 227,000 394,651 317,000 551,120 65,500 113,875
<PAGE>
GROWTH BALANCED CONSERVATIVE
COMMON STOCKS* SHARES VALUE SHARES VALUE SHARES VALUE
RETAIL (continued)
- --------------------------------------------------------------------------------
- -------------
Sears, Roebuck & Co. 27,500 $1,014,063 30,100 $1,109,938 5,200 $191,750
Sundstrand Corp. 8,500 550,375 9,300 602,175 1,600 103,600
Sunglass Hut International 6,425 321,250 5,825 291,250 1,010 50,500
Tandy Corp. 12,000 729,000 13,100 795,825 2,300 139,725
Tommy Hilfiger Corp. 17,235 560,138 15,435 501,638 2,645 85,963
West Marine, Inc. 2,100 67,200 1,700 54,400 400 12,800
Wolverine World Wide, Inc. 24,287 664,857 21,772 596,009 3,712 101,616
---------- ---------- ----------
14,508,421 15,096,862 2,716,138
TELECOMMUNICATIONS 1.5% 1.2% 0.7%
- --------------------------------------------------------------------------------
- -------------
Cable & Wireless PLC (United Kingdom) 2 13 3 20 1 7
Cai Wireless Systems, Inc. 19,000 199,500 16,900 177,450 2,900 30,450
Centennial Cellular Corp. Class A 13,620 265,590 12,202 237,939 2,079 40,541
Colonial Data Technologies Corp. 12,000 222,000 10,700 197,950 1,825 33,763
Commnet Cellular, Inc. 7,700 223,300 6,850 198,650 1,175 34,075
MCI Communications Corp. 61,600 1,605,450 67,400 1,756,613 11,600 302,325
MIDCOM Communications, Inc. 6,450 98,363 5,875 89,594 950 14,488
P-Com, Inc. 6,200 277,450 5,500 246,125 1,000 44,750
Royal PTT (United Kingdom) 5,700 201,294 11,200 395,525 2,300 81,224
Tessco Technologies, Inc. 11,300 293,800 10,000 260,000 1,900 49,400
Transaction Network Services Inc. 15,880 426,775 14,275 383,641 2,440 65,575
U.S. Robotics Corp. 4,700 400,675 5,100 434,775 900 76,725
Vodafone Group PLC(United Kingdom)83,334 349,688 119,494 501,424 28,448 119,374
---------- ---------- ----------
4,563,898 4,879,706 892,697
TRANSPORTATION 1.5% 1.3% 0.7%
- --------------------------------------------------------------------------------
- -------------
Burlington Northern Santa Fe Corp.12,000 870,000 13,200 957,000 2,300 166,750
Expeditors International of
Washington, Inc. 15,310 413,370 13,810 372,870 2,320 62,640
Fritz Companies, Inc. 5,975 440,283 5,355 394,597 905 66,687
Jurong Shipyard Ltd. (Singapore) 12,000 85,925 28,000 200,491 5,000 35,802
K.L.M.-Royal Dutch Airlines
(Netherlands) 10,000 350,647 15,000 525,970 3,000 105,194
Singapore Airlines Ltd. (Registered)
(Singapore) 21,000 194,595 60,000 555,985 9,000 83,398
Swire Pacific Ltd. Class A
(Hong Kong) 31,000 245,602 35,800 283,631 9,800 77,642
Union Pacific Corp. 26,600 1,762,250 29,100 1,927,875 4,900 324,625
Yamato Transport Co. Ltd. (Japan) 12,000 134,669 11,000 123,447 -- --
---------- ---------- ----------
4,497,341 5,341,866 922,738
UTILITIES 5.1% 4.3% 2.5%
- --------------------------------------------------------------------------------
- -------------
Ameritech Corp. New 15,500 807,938 16,900 880,913 2,900 151,163
Anglian Water PLC (United Kingdom)13,900 125,003 18,300 164,573 2,500 22,483
Bell Atlantic Corp. 18,800 1,153,850 20,500 1,258,188 3,500 214,813
Chubu Electric Power, Inc. (Japan) 40 962 80 1,924 20 481
Cinergy Corp. 58,000 1,616,750 63,400 1,767,275 10,800 301,050
<PAGE>
GROWTH BALANCED CONSERVATIVE
COMMON STOCKS* SHARES VALUE SHARES VALUE SHARES VALUE
UTILITIES (continued)
- --------------------------------------------------------------------------------
- -------------
Hidrolectrica del Cantabrico,
S.A. (Spain) 10,000 $303,668 16,000 $485,869 4,000 $121,467
Hong Kong Electric Holdings Ltd.
(Hong Kong) 84,000 280,869 80,000 267,494 20,000 66,874
Iberdrola S.A.(Spain) 52,000 393,295 74,000 559,689 18,000 136,141
Kurita Water Industries Ltd.
(Japan) 15,000 405,812 25,000 676,353 7,000 189,379
Long Island Lighting Co. 96,600 1,666,350 105,700 1,823,325 18,000 310,500
NYNEX Corp. 33,800 1,613,950 37,000 1,766,750 6,300 300,825
Nippon Telegraph and Telephone
Corp. (Japan) 34 290,601 47 401,713 10 85,471
North West Water Group PLC
(United Kingdom) 11,092 103,432 1,767 16,477 8,382 78,162
North West Water PLC Rights
(United Kingdom) 6,026 2,752 72 31 2,312 987
Northeast Utilities Co. 70,100 1,708,688 76,700 1,869,563 13,000 316,875
Potomac Electric Power Co. 77,300 1,874,525 84,600 2,051,550 14,400 349,200
SBC Communications, Inc. 28,300 1,556,500 30,900 1,699,500 5,300 291,500
Southern Electric PLC
(United Kingdom) 12,200 172,960 20,000 283,542 3,100 43,949
Tele Danmark A/S ADS (Denmark) 16,000 414,000 22,000 569,250 5,000 129,375
Veba (Vereinigte Elektrizitaets
Bergwerks) AG (Germany) 13,250 525,271 19,000 753,219 5,000 198,216
---------- ---------- ----------
15,017,176 17,297,198 3,308,911
TOTAL COMMON STOCKS (cost
$199,203,041, $217,391,133
and $41,124,071) $231,988,347 $256,939,749 $47,209,687
- --------------------------------------------------------------------------------
- -------------
<PAGE>
</TABLE>
<TABLE><CAPTION>
<S> <C> <C> <C> <C> <C> <C>
GROWTH BALANCED CONSERVATIVE
CORPORATE BONDS PRINCIPAL PRINCIPAL PRINCIPAL
AND NOTES AMOUNT VALUE AMOUNT VALUE AMOUNT VALUE
ADVERTISING 0.1% --% --%
- --------------------------------------------------------------------------------
- ---------------
Outdoor Systems, Inc. sr. notes
10 3/4s, 2003 $125,000 $120,625 $-- $-- $-- $--
AEROSPACE AND DEFENSE 0.2% 0.3% 0.3%
- --------------------------------------------------------------------------------
- ---------------
BE Aerospace sr. notes, 9 3/4s,
2003 125,000 125,625 -- -- 100,000 100,500
Fairchild Corp. sr. notes
12 1/4s, 1999 100,000 103,750 200,000 207,500 50,000 51,875
K&F Industries Inc. sub. deb.
13 3/4s, 2001 125,000 129,688 300,000 311,250 125,000 129,688
Sequa Corp. sr. notes
9 5/8s, 1999 100,000 98,250 300,000 294,750 100,000 98,250
Sequa Corp. bonds 8 3/4s, 2001 30,000 27,825 -- -- -- --
UNC, Inc. sr. notes 9 1/8s,
2003 100,000 98,500 305,000 300,425 100,000 98,500
------------ ------------ ------------
583,638 1,113,925 478,813
AGRICULTURE 0.1% 0.1% 0.1%
- --------------------------------------------------------------------------------
- ---------------
PSF Finance (L.P.) sr. exch.
notes 12 1/4s, 2004 150,000 154,763 585,000 603,574 190,000 196,033
<PAGE>
GROWTH BALANCED CONSERVATIVE
CORPORATE BONDS PRINCIPAL PRINCIPAL PRINCIPAL
AND NOTES AMOUNT VALUE AMOUNT VALUE AMOUNT VALUE
AUTOMOTIVE 0.1% 0.2% 0.1%
- --------------------------------------------------------------------------------
- ---------------
Aftermarket Technology Corp.
sr. sub. notes 12s, 2004 $235,000 $247,338 $250,000 $263,125 $110,000 $115,775
Key Plastics Corp. sr.
notes 14s, 1999 25,000 26,250 65,000 68,250 45,000 47,250
P. T. Astra International
Bonds 9 3/4s, 2001 (Indonesia) -- -- 300,000 306,750 -- --
------------ ------------ ------------
273,588 638,125 163,025
BASIC INDUSTRIAL PRODUCTS 0.2% 0.3% 0.3%
- --------------------------------------------------------------------------------
- ---------------
Eletson Holdings, Inc.
1st. pfd. mtge. notes 9 1/4s,
2003 (Greece) 75,000 73,125 65,000 63,375 45,000 43,875
Inter-City Products sr.
notes 9 3/4s, 2000 250,000 213,750 600,000 513,000 200,000 171,000
Ivex Packaging Corp. sr.
sub. notes 12 1/2s, 2002 70,000 75,950 245,000 265,825 85,000 92,225
Owens Illinois, Inc. sr.
sub. notes 9 3/4s, 2004 100,000 102,500 300,000 307,500 100,000 102,500
Sifto Canada, Inc. sr. notes
8 1/2s, 2000 (Canada) 125,000 117,500 -- -- 25,000 23,500
------------ ------------ ------------
582,825 1,149,700 433,100
BROADCASTING 0.2% 0.2% 0.7%
- --------------------------------------------------------------------------------
- ---------------
Comcast Corp. sr. sub.
notes 9 3/8s, 2005 100,000 101,500 -- -- -- --
Commodore Media, Inc. sr.
sub. notes stepped-coupon 7 1/2s
(13 1/4s, 5/1/98), 2003 60,000 53,700 -- -- -- --
Petracom Hldgs. notes
stepped- coupon zero %
(17 1/2s, 8/1/98), 2003 -- -- 414,000 263,408 165,000 104,981
TCI Communications, Inc. sr.
notes 8.65s, 2004 225,000 240,419 600,000 641,118 700,000 747,971
Tele-Communications, Inc.
deb. 9 1/4s, 2023 100,000 105,011 -- -- -- --
Viacom International, Inc.
sub. deb. 8s, 2006 115,000 112,700 -- -- 100,000 98,000
------------ ------------ ------------
613,330 904,526 950,952
BUILDING AND CONSTRUCTION 0.2% 0.3% 0.3%
- --------------------------------------------------------------------------------
- ---------------
American Standard, Inc. deb.
9 1/4s, 2016 125,000 128,750 -- -- 100,000 103,000
Presley Co. sr. notes
12 1/2s, 2001 -- -- 500,000 417,500 -- --
Schuller International Corp.
sr. notes 10 7/8s, 2004 80,000 88,000 315,000 346,500 105,000 115,500
Scotsman Group, Inc. sr.
secd. notes 9 1/2s, 2000 150,000 149,625 245,000 244,388 75,000 74,813
Walter Industries Inc. sr.
notes Ser. B, 12.19s, 2000 75,000 76,125 -- -- 100,000 101,500
------------ ------------ ------------
442,500 1,008,388 394,813
BUSINESS SERVICES --% 0.1% 0.1%
- --------------------------------------------------------------------------------
- ---------------
Corporate Express, Inc.
Ser. B, sr. sub. notes
9 1/8s, 2004 $125,000 $123,750 $300,000 $297,000 $105,000 $103,950
CHEMICALS 0.2% 0.4% 0.4%
- --------------------------------------------------------------------------------
- ---------------
Acetex Corp. 144A sr. notes
9 3/4s, 2003 135,000 136,688 250,000 252,188 115,000 116,006
Carlisle Plastic sr. notes
10 1/4s, 1997 75,000 75,000 325,000 325,000 100,000 100,000
G-I Holdings, Inc. sr. disc.
notes Ser. B, zero %, 1998 100,000 72,500 450,000 326,250 125,000 90,625
Harris Chemical Corp. sr. secd.
disc. notes stepped-coupon
zero % (10 1/4s, 1/15/96),
2001 80,000 70,800 300,000 265,500 100,000 88,500
Harris Chemical Corp. sr.
sub. notes 10 3/4s, 2003 10,000 8,425 -- -- 15,000 12,638
OSI Specialties Inc. sr. secd.
disc. deb. Ser. B, stepped-
coupon zero % (11 1/2s,
4/15/99), 2004 50,000 41,000 150,000 123,000 100,000 82,000
OSI Specialties Inc. sr. sub.
notes 9 1/4s, 2003 85,000 92,650 375,000 408,750 15,000 16,350
------------ ------------ ------------
497,063 1,700,688 506,119
COMPUTER EQUIPMENT --% 0.1% 0.1%
- --------------------------------------------------------------------------------
- ---------------
Computervision Corp. sr. notes
10 7/8s, 1997 -- -- 300,000 312,750 100,000 104,250
Unisys Corp. deb. 13 1/2s,
1997 100,000 108,250 -- -- --
------------ ------------ ------------
108,250 312,750 104,250
CONGLOMERATES 0.1% 0.1% 0.1%
- --------------------------------------------------------------------------------
- ---------------
Axia, Inc. sr. sub. notes
Ser. B, 11s, 2001 75,000 73,500 -- -- -- --
Haynes International, Inc.
sr. sub. notes 13 1/2s, 1999 25,000 16,750 200,000 134,000 25,000 16,750
MacAndrews & Forbes Group, Inc.
deb. 12 1/4s, 1996 5,000 5,025 15,000 15,075 10,000 10,050
MacAndrews & Forbes Holdings, Inc.
sub. deb. notes 13s, 1999 130,000 130,000 215,000 215,000 5,000 5,000
Valcor, Inc. sr. notes
9 5/8s, 2003 75,000 69,750 250,000 232,500 75,000 69,750
------------ ------------ ------------
295,025 596,575 101,550
CONSUMER DURABLE GOODS 0.1% --% --%
- --------------------------------------------------------------------------------
- ---------------
Day International Group 144A
sr. sub. notes 11 1/8s, 2005 125,000 126,875 -- -- -- --
Simmons Mattress Corp. 144A
deb. 8s, 2003 79,604 79,604 -- -- -- --
------------ ------------ ------------
206,479 -- --
CONSUMER NON DURABLES --% 0.1% --%
- --------------------------------------------------------------------------------
- ---------------
Foamex (L.P.) Capital Corp. sr.
notes 11 1/4s, 2002 $10,000 $10,250 $-- $-- $15,000 $15,375
Playtex Family Products Corp.
sr. sub. notes 9s, 2003 10,000 9,400 275,000 258,500 15,000 14,100
Selmer Co., Inc. sr. sub.
notes 11s, 2005 100,000 97,000 -- -- -- --
------------ ------------ ------------
116,650 258,500 29,475
CONSUMER SERVICES 0.9% 1.4% 1.8%
- --------------------------------------------------------------------------------
- ---------------
AMC Entertainment, Inc. sr.
sub. deb. 11 7/8s, 2000 110,000 119,900 125,000 136,250 75,000 81,750
AMC Entertainment, Inc.
sr. sub. deb. 12 5/8s, 2002 40,000 44,200 370,000 408,850 66,000 72,930
Act III Broadcasting, Inc.
sr. sub. notes 9 5/8s, 2003 125,000 126,875 -- -- 130,000 131,950
Adelphia Communications Corp.
sr. notes 12 1/2s, 2002 75,000 75,188 250,000 250,625 100,000 100,250
CF Cable TV, Inc. sr. notes
11 5/8s, 2005 (Canada) 75,000 81,000 225,000 243,000 75,000 81,000
Cablevision Systems Corp. sr.
sub. reset deb. 10 3/4s,
2004 100,000 105,250 300,000 315,750 100,000 105,250
Cablevision Systems Corp.
sr. sub. notes 9 7/8s, 2013 -- -- 100,000 104,500 -- --
Caesars World sr. sub. notes
8 7/8s, 2002 45,000 46,913 -- -- 70,000 72,975
Cellular, Inc. sr. sub. disc.
notes stepped-coupon zero %
(11 3/4s, 9/1/98), 2003 100,000 77,000 350,000 269,500 100,000 77,000
Century Communications Corp.
sr. notes 9 1/2s, 2005 -- -- 250,000 250,000 -- --
Century Communications Corp.
sr. notes 9 3/4s, 2002 90,000 91,350 10,000 10,150 150,000 152,250
Century Communications Corp.
sr. sub. deb. 11 7/8s, 2003 10,000 10,625 25,000 26,563 15,000 15,938
Continental Cablevision, Inc.
sr. deb. 9s, 2008 20,000 20,450 110,000 112,475 45,000 46,013
Continental Cablevision, Inc.
sr. notes 8 1/2s, 2001 45,000 45,338 135,000 136,013 70,000 70,525
Falcon Holdings Group, Inc.
sr. sub. notes 11s, 2003 127,760 120,094 287,187 269,956 152,400 143,256
Horizon Cellular Telephone Co.
sr. sub. disc. notes Ser. B,
stepped-coupon zero % (11 3/8s,
10/1/97), 2000 125,000 105,000 400,000 336,000 150,000 126,000
Insight Communications Co. sr.
sub. notes stepped-coupon
8 1/4s (11 1/4s, 2/29/96),
2000 60,000 60,600 175,000 176,750 40,000 40,400
Jones Intercable Inc. sr. notes
9 5/8s, 2002 125,000 130,000 -- -- -- --
K-III Communications Corp. sr.
notes 10 1/4s, 2004 40,000 42,400 135,000 143,100 75,000 79,500
<PAGE>
GROWTH BALANCED CONSERVATIVE
CORPORATE BONDS PRINCIPAL PRINCIPAL PRINCIPAL
AND NOTES AMOUNT VALUE AMOUNT VALUE AMOUNT VALUE
CONSUMER SERVICES (continued)
- --------------------------------------------------------------------------------
- ---------------
Lady Luck Gaming Corp. 1st mtge.
Ser. B, 10 1/2s, 2001 $150,000 $115,500 $400,000 $308,000 $100,000 $77,000
MGM Grand Hotels Finance
Corp., Inc. 1st mtge. 12s,
2002 50,000 55,000 30,000 33,000 -- --
Marcus Cable Co. (L.P.) sr.
sub. disc. notes stepped-coupon
zero % (13 1/2s, 8/1/99),
2004 200,000 136,000 500,000 340,000 100,000 68,000
Marvel Parent Holdings, Inc.
sr. secd. disc. notes zero %,
1998 -- -- 80,000 56,800 45,000 31,950
Mohegan Tribal Gaming 144A
sr. notes 13 1/2s, 2002 100,000 103,750 -- -- -- --
Outlet Broadcasting, Inc.
sr. sub. notes 10 7/8s, 2003 125,000 136,250 50,000 54,500 75,000 81,750
Paxson Communications Corp.
144A sr. sub. notes 11 5/8s,
2002 125,000 122,500 300,000 294,000 125,000 122,500
SFX Broadcasting, Inc. sr.
sub. notes 11 3/8s, 2000 100,000 104,250 115,000 119,888 75,000 78,188
Solon Automated Services, Inc.
notes 12 3/4s, 2001 100,000 100,000 -- -- 75,000 75,000
Summit Communications Group, Inc.
sr. sub. deb. 10 1/2s, 2005 75,000 82,500 300,000 330,000 75,000 82,500
Trump Plaza Funding, Inc. 1st
mtge. notes 10 7/8s, 2001 125,000 114,531 250,000 229,063 -- --
U.S. Banknote Corp. sr. notes
10 3/8s, 2002 75,000 59,250 275,000 217,250 100,000 79,000
Universal Outdoor, Inc. sub.
deb. 11s, 2003 125,000 122,500 275,000 269,500 275,000 269,500
------------ ------------ ------------
2,554,214 5,441,483 2,362,375
ELECTRONICS AND ELECTRICAL EQUIPMENT --% 0.2% 0.2%
- --------------------------------------------------------------------------------
- ---------------
Amphenol Corp. sr. sub. notes
12 3/4s, 2002 25,000 28,375 -- -- 120,000 136,200
Amphenol Corp. sr. notes
10.45s, 2001 -- -- 500,000 545,000 -- --
International Semi-Tech.
Corp. sr. secd. disc. notes stepped-
coupon zero % 11 1/2s,
8/15/00), 2003 200,000 104,000 588,000 305,760 185,000 96,200
------------ ------------ ------------
132,375 850,760 232,400
ENTERTAINMENT 0.2% 0.3% 0.5%
- --------------------------------------------------------------------------------
- ---------------
Cinemark USA sr. notes
12s, 2002 100,000 109,000 250,000 272,500 100,000 109,000
Premier Parks, Inc. 144A
sr. notes 12s, 2003 125,000 127,500 300,000 306,000 125,000 127,500
Time Warner, Inc. notes
7 3/4s, 2005 125,000 125,693 320,000 321,773 400,000 402,216
<PAGE>
GROWTH BALANCED CONSERVATIVE
CORPORATE BONDS PRINCIPAL PRINCIPAL PRINCIPAL
AND NOTES AMOUNT VALUE AMOUNT VALUE AMOUNT VALUE
ENTERTAINMENT (continued)
- --------------------------------------------------------------------------------
- ---------------
Time Warner, Inc. notes
7.975s, 2004 $15,000 $15,343 $45,000 $46,029 $11,000 $11,252
Time Warner, Inc. notes
8.11s, 2006 30,000 30,735 90,000 92,205 22,000 22,539
Time Warner, Inc. notes
8.18s, 2007 30,000 30,720 90,000 92,159 22,000 22,528
------------ ------------ ------------
438,991 1,130,666 695,035
ENVIRONMENTAL CONTROL --% 0.1% 0.1%
- --------------------------------------------------------------------------------
- ---------------
Ametek, Inc. sr. notes
9 3/4s, 2004 75,000 80,250 325,000 347,750 75,000 80,250
FOOD AND BEVERAGES 0.1% 0.2% 0.1%
- --------------------------------------------------------------------------------
- ---------------
Canandaigua Wine sr. sub.
notes 8 3/4s, 2003 125,000 123,750 300,000 297,000 -- --
Fresh Del Monte Produce
Corp. NV 144A sr. notes,
Ser. B, 10s, 2003
(Netherlands) 100,000 85,000 305,000 259,250 100,000 85,000
Stater Brothers sr. notes
11s, 2001 20,000 20,150 125,000 125,938 40,000 40,300
------------ ------------ ------------
228,900 682,188 125,300
FOREST PRODUCTS 0.1% 0.2% 0.2%
- --------------------------------------------------------------------------------
- ---------------
Gaylord Container Corp.
sr. notes 11 1/2s, 2001 160,000 166,400 300,000 312,000 140,000 145,600
Riverwood International Corp.
sr. notes 10 3/4s, 2000 -- -- -- -- 50,000 53,250
Riverwood International Corp.
sr. sub. notes 10 3/8s, 2004 -- -- 250,000 275,000 -- --
Riverwood International Corp.
sr. sub. notes 11 1/4s, 2002 50,000 53,625 -- -- -- --
Stone Container Corp. sr.
notes 11 1/2s, 2004 50,000 52,500 250,000 262,500 75,000 78,750
Stone Container Corp. sr.
sub. deb. notes 11 1/2s, 1999 40,000 41,100 -- -- 15,000 15,413
Stone Container Corp. sr.
sub. notes 10 3/4s, 1997 10,000 10,375 30,000 31,125 15,000 15,563
------------ ------------ ------------
324,000 880,625 308,576
HEALTH CARE 0.3% 0.6% 0.8%
- --------------------------------------------------------------------------------
- ---------------
American Medical International
sr. sub. notes 13 1/2s, 2001 -- -- -- -- 30,000 32,625
Columbia/HCA Healthcare Corp.
notes 6.41s, 2000 150,000 149,147 400,000 397,724 450,000 447,440
Community Health Systems sr.
sub. deb. 10 1/4s, 2003 75,000 80,250 300,000 321,000 100,000 107,000
Genesis Health Ventures Inc.
sr. sub. notes 9 3/4s, 2005 125,000 130,313 -- -- -- --
Graphic Controls Corp. 144A sr.
sub. notes 12s, 2005 100,000 100,750 200,000 201,500 100,000 100,750
<PAGE>
GROWTH BALANCED CONSERVATIVE
CORPORATE BONDS PRINCIPAL PRINCIPAL PRINCIPAL
AND NOTES AMOUNT VALUE AMOUNT VALUE AMOUNT VALUE
HEALTH CARE (continued)
- --------------------------------------------------------------------------------
- ---------------
Healthsouth Rehablitaton sr.
sub. notes 9 1/2s, 2001 $10,000 $10,425 $15,000 $15,638 $25,000 $26,063
Integrated Health Services
144A sr. sub. notes
9 5/8s, 2002 125,000 129,063 300,000 309,750 75,000 77,438
McGaw, Inc. sr. notes
10 3/8s, 1999 100,000 103,500 500,000 517,500 100,000 103,500
Paracelsus Healthcare Corp.
sr. sub. notes 9 7/8s, 2003 100,000 101,750 310,000 315,425 125,000 127,188
Tenet Healthcare Corp. sr.
sub. notes 10 1/8s, 2005 95,000 100,463 200,000 211,500 80,000 84,600
------------ ------------ ------------
905,661 2,290,037 1,106,604
INSURANCE AND FINANCE 0.7% 1.4% 3.8%
- --------------------------------------------------------------------------------
- ---------------
AIM Management Group sr. secd.
notes 9s, 2003 50,000 50,250 200,000 201,000 -- --
APP International Finance Co.
company guaranty 11 3/4s,
2005 (Singapore) 125,000 126,875 300,000 304,500 125,000 126,875
American Annuity Group,
Inc. sr. sub. notes 11 1/8s, 200380,000 84,200 330,000 347,325 100,000 105,250
Associates Corp. NA notes
6 3/8s, 2002 125,000 123,446 325,000 320,960 400,000 395,028
Banponce Corp. med. term
notes 5.48s, 1998 25,000 24,170 80,000 77,344 150,000 145,020
Capital One Bank notes
8 1/8s, 2000 200,000 210,068 600,000 630,204 750,000 787,755
Citicorp sub. notes 7 5/8s,
2005 150,000 157,589 600,000 630,354 650,000 682,884
Comdata Network, Inc.
sr. notes 12 1/2s, 1999 110,000 123,475 285,000 319,913 60,000 67,350
Comdata Network, Inc.
sr. sub. deb. 13 1/4s, 2002 10,000 11,800 25,000 29,500 15,000 17,700
Commercial Credit Co.
notes 6 5/8s, 2015 125,000 124,739 330,000 329,310 400,000 399,164
General Motors Acceptance
Corp. med. term notes
6 3/4s, 2002 250,000 249,828 600,000 599,586 800,000 799,448
Keystone Group, Inc. sr.
secd. notes 9 3/4s, 2003 75,000 73,500 290,000 284,200 100,000 98,000
McDonnell Douglas Finance Corp.
med. term notes 8.15s, 1996 100,000 101,804 325,000 330,863 350,000 356,314
Pioneer Finance Corp.
1st. mtge. 13 1/2s, 1998 -- -- 25,000 21,125 -- --
RHG Finance Corp.
company guaranty 8 7/8s, 2005120,000 119,881 320,000 319,683 400,000 399,604
Reliance Group Holdings,
Inc. sr. sub. deb.
9 3/4s, 2003 85,000 84,363 25,000 24,813 80,000 79,400
Reliance Group Holdings, Inc.
sr. notes 9s, 2000 50,000 49,750 -- -- -- --
Royal Bank of Scotland
Capital Corp. deb.
10 1/8s, 2004 20,000 24,053 50,000 60,134 75,000 90,200
Smith Barney Hldgs notes
7s, 2000 130,000 131,327 355,000 358,625 435,000 439,441
Terra Nova Insurance Hldgs
sr. notes 10 3/4s, 2005
(United Kingdom) 125,000 133,125 300,000 319,500 100,000 106,500
------------ ------------ ------------
2,004,243 5,508,939 5,095,933
LODGING 0.1% 0.1% 0.1%
- --------------------------------------------------------------------------------
- ---------------
HMH Properties Inc. 144A sr.
notes 9 1/2s, 2005 $100,000 $98,500 $-- $-- $-- $--
John Q. Hammons Hotels
1st. mtge. notes
8 7/8s, 2004 20,000 18,900 -- -- 40,000 37,800
La Quinta Motor Inns,
Inc. deb. 9 1/4s, 2003 55,000 57,613 300,000 314,250 75,000 78,563
Red Roof Inns sr.
notes 9 5/8s, 2003 50,000 48,625 -- -- -- --
------------ ------------ ------------
223,638 314,250 116,363
METALS AND MINING 0.1% 0.2% 0.3%
- --------------------------------------------------------------------------------
- ---------------
Essar Gujarat Ltd. 144A deb.
FRN 8.025s, 1999 (India) -- -- 390,000 387,075 -- --
Noranda Inc. notes 7s,
2005 (Canada) 160,000 159,024 400,000 397,560 460,000 457,194
------------ ------------ ------------
159,024 784,635 457,194
MOTION PICTURE DISTRIBUTION --% --% 0.1%
- --------------------------------------------------------------------------------
- ---------------
United Artists notes 11 1/2s,
2002 50,000 53,500 -- -- 75,000 80,250
OIL AND GAS 0.4% 0.6% 1.3%
- --------------------------------------------------------------------------------
- ---------------
Arkla, Inc. deb. 8.9s,
2006 75,000 80,427 300,000 321,708 100,000 107,236
Chesapeake Energy Corp.
sr. exch. notes 12s, 2001 25,000 26,125 140,000 146,300 45,000 47,025
Chesapeake Energy Corp.
sr. notes 10 1/2s, 2002 100,000 100,000 -- -- -- --
Gulf Canada Resources Ltd.
sr. sub. notes 9 5/8s, 2005 125,000 126,875 250,000 253,750 100,000 101,500
Maxus Energy Corp. global
notes 9 7/8s, 2002 50,000 49,750 175,000 174,125 100,000 99,500
Occidental Petroleum Corp.
Bonds 9 1/4s, 2019 175,000 211,839 600,000 726,306 650,000 786,832
Petroliam Nasional Berhad
144A notes 6 7/8s, 2003
(Malaysia) 130,000 130,270 350,000 350,728 400,000 400,832
Trans Texas Gas Corp. sr.
secd. notes 11 1/2s, 2002 125,000 130,938 275,000 288,063 100,000 104,750
Transcontinental Gas
Pipeline deb. 9 1/8s, 2017 100,000 105,144 -- -- -- --
Triton Energy sr. sub. disc.
notes stepped-coupon zero %
(9 3/4s, 12/15/96), 2000 150,000 137,250 275,000 251,625 125,000 114,375
------------ ------------ ------------
1,098,618 2,512,605 1,762,050
PUBLISHING --% --% 0.1%
- --------------------------------------------------------------------------------
- ---------------
General Media Corp. sr. secd.
notes 10 5/8s, 2000 60,000 47,400 225,000 177,750 100,000 79,000
RAILROAD SUPPLIES --% 0.1% 0.1%
- --------------------------------------------------------------------------------
- ---------------
Westinghouse Air Brake
sr. notes 9 3/8s, 2005 125,000 130,625 250,000 261,250 75,000 78,375
REAL ESTATE --% 0.1% 0.1%
- --------------------------------------------------------------------------------
- ---------------
Chelsea Piers 144A Ser. B,
stepped-coupon zero %
(11s, 6/15/99), 2009 $5,000 $4,706 $20,000 $18,825 $10,000 $9,413
Chelsea Piers Ser. B,
1st mtge. disc. notes
stepped-coupon zero %
(12 1/2s, 6/15/96), 2004 110,000 102,713 325,000 303,469 175,000 163,406
------------ ------------ ------------
107,419 322,294 172,819
RETAIL 0.2% 0.3% 0.7%
- --------------------------------------------------------------------------------
- ---------------
County Seat Stores Inc. sr.
sub. notes 12s, 2002 65,000 61,425 200,000 189,000 110,000 103,950
Finlay Enterprises, Inc. sr.
notes 10 5/8s, 2003 10,000 9,900 25,000 24,750 15,000 14,850
Loehmanns' Holdings, Inc. sr.
sub. notes 13 3/4s, 1999 40,000 39,600 375,000 371,250 75,000 74,250
Loehmanns' Holdings, Inc. sr.
notes 10 1/2s, 1997 50,000 50,000 -- -- -- --
Revco D.S., Inc. sr. notes
9 1/8s, 2000 50,000 52,250 100,000 104,500 75,000 78,375
Safeway Inc. sr. notes
10s, 2002 -- -- 200,000 229,000 50,000 57,250
Safeway, Inc. sr. sub.
notes 9.35s, 1999 30,000 31,875 -- -- -- --
Sears Roebuck Co. med.
term notes 5.54s, 1999 50,000 48,350 160,000 154,718 300,000 290,097
Southland Corp. 1st priority
sr. sub. deb. 5s, 2003 125,000 95,625 175,000 133,875 100,000 76,500
Waban, Inc. sr. sub. notes
11s, 2004 100,000 103,000 -- -- -- --
Wal-Mart Stores, Inc. notes
8s, 2006 40,000 43,791 150,000 164,216 200,000 218,954
------------ ------------ ------------
535,816 1,371,309 914,226
SPECIALTY CONSUMER PRODUCTS --% --% --%
- --------------------------------------------------------------------------------
- ---------------
Herff Jones, Inc. 144A sr. sub. notes
11s, 2005 115,000 118,450 -- -- -- --
TELECOMMUNICATIONS 0.2% 0.4% 0.5%
- --------------------------------------------------------------------------------
- ---------------
Call-Net Enterprises sr. disc.
notes stepped-coupon zero %
(13 1/4s, 12/1/99), 2004 160,000 103,200 585,000 377,325 190,000 122,550
Centennial Cellular Corp.
sr. notes 8 7/8s, 2001 100,000 95,500 250,000 238,750 125,000 119,375
Comcast Cellular Corp. sr.
participating notes Ser. A,
zero %, 2000 100,000 76,500 -- -- -- --
Dial Call Communication sr.
disc. notes Ser. B, stepped-
coupon zero % (10 1/4s,
12/15/98), 2005 40,000 19,200 135,000 64,800 75,000 36,000
MFS Communications sr. disc.
notes stepped-coupon zero %
(9 3/8s, 1/15/99), 2004 15,000 11,363 35,000 26,513 20,000 15,150
<PAGE>
GROWTH BALANCED CONSERVATIVE
CORPORATE BONDS PRINCIPAL PRINCIPAL PRINCIPAL
AND NOTES AMOUNT VALUE AMOUNT VALUE AMOUNT VALUE
TELECOMMUNICATIONS (continued)
- --------------------------------------------------------------------------------
- ---------------
Mobile Telecommunications Tech.
sr. notes 13 1/2s, 2002 $75,000 $84,000 $275,000 $308,000 $100,000 $112,000
NEXTEL Communications, Inc.
sr. disc. notes stepped-
coupon zero %
(11 1/2s, 9/1/98), 2003 200,000 113,000 750,000 423,750 175,000 98,875
Pricellular Wireless sr.
disc. notes Ser. B, stepped-
coupon zero % (14s, 11/15/97),
2001 150,000 124,875 350,000 291,375 225,000 187,313
------------ ------------ ------------
627,638 1,730,513 691,263
TEXTILES --% --% --%
- --------------------------------------------------------------------------------
- ---------------
Reeves Industries Inc. bonds 11s,
2002 100,000 105,000 150,000 157,500 50,000 52,500
TRANSPORTATION --% 0.1% 0.1%
- --------------------------------------------------------------------------------
- ---------------
Blue Bird Body Co. sub. deb.
Ser. B, 11 3/4s, 2002 85,000 87,338 450,000 462,375 85,000 87,338
UTILITIES 0.3% 0.7% 1.2%
- --------------------------------------------------------------------------------
- ---------------
Cleveland Electric Illuminating Co.
1st mtge. Ser. B,
9 1/2s, 2005 100,000 100,140 -- -- -- --
Cleveland Electric
Illuminating Co. Ser. E,
1st mtge. 9s, 2023 75,000 68,316 250,000 227,720 100,000 91,088
Commonwealth Edison Co.
1st mtge. 6s, 1998 100,000 98,889 400,000 395,556 450,000 445,001
First PV Funding deb.
10.15s, 2016 75,000 75,000 250,000 250,000 90,000 90,000
Iberdrola S.A. notes
7 1/2s, 2002 (Spain) 75,000 77,813 325,000 337,188 375,000 389,063
Midland Cogeneration Ventures
deb. 10.33s, 2002 -- -- 216,458 225,657 -- --
Midland Funding Corp. II deb.
Ser. B, 13 1/4s, 2006 53,000 57,770 400,000 436,000 175,000 190,750
Midland Funding Corp. II deb.
Ser. A 11 3/4s, 2005 150,000 157,125 -- -- 25,000 26,188
Public Service Co. of
New Hampshire deb. 15.23s,
2000 100,000 115,625 250,000 289,063 50,000 57,813
Puget Sound Power & Light Co.
med. term notes 7 7/8s, 1997 10,000 10,274 25,000 25,685 60,000 61,643
Telewest Communications PLC deb.
stepped-coupon zero %,
(11s, 10/1/00), 2007
(United Kingdom) 170,000 100,513 430,000 254,238 170,000 100,513
Texas New Mexico Pwr. deb.
12 1/2s, 1999 -- -- 250,000 281,250 125,000 140,625
861,465 2,722,357 1,592,684
------------ ------------ ------------
TOTAL CORPORATE BONDS AND
NOTES (cost $14,161,600,
$35,991,070 and $19,072,991) $14,943,051 $36,533,037 $19,552,615
- --------------------------------------------------------------------------------
- ---------------
<PAGE>
</TABLE>
<TABLE><CAPTION>
<S> <C> <C> <C> <C> <C> <C>
GROWTH BALANCED CONSERVATIVE
4.4% 8.8% 13.6%
FOREIGN BONDS PRINCIPAL PRINCIPAL PRINCIPAL
AND NOTES AMOUNT VALUE AMOUNT VALUE AMOUNT VALUE
AUD Australia (Government of)
notes 8 3/4s, 2001 325,000 $251,474 905,000 $700,258 465,000 $359,801
CAD Canada (Government of)
bonds, 6 1/2, 2004 570,000 392,122 1,560,000 1,073,176 790,000 543,467
CAD Canada (Government of)
deb. 8 3/4s, 2005 990,000 788,783 2,740,000 2,183,096 1,440,000 1,147,321
CAD Canada (Government of)
deb. 9s, 2004 320,000 257,822 925,000 745,267 435,000 350,477
FRF France (Government of)
OAT deb. 8 1/2s, 2002 5,400,000 1,171,388 15,600,000 3,384,010 7,360,000 1,596,558
FRF France (Government of)
deb. 7s, 1999 1,470,000 300,980 1,350,000 276,410 3,050,000 624,483
FRF France Treasury
bill 7 3/4s, 2000 6,080,000 1,276,331 16,950,000 3,558,193 8,100,000 1,700,375
DEM Germany (Republic of)
bonds 6 1/4s, 2024 1,510,000 913,502 4,305,000 2,604,389 2,020,000 1,222,036
DEM Germany (Republic of)
bonds 6 7/8s, 2005 720,000 512,918 1,780,000 1,268,048 1,030,000 733,758
DEM Germany (Republic of)
bonds 7 3/8s, 2005 1,590,000 1,166,074 4,520,000 3,314,878 2,135,000 1,565,766
DEM Germany (Republic of)
bonds 8 1/4s, 2001 620,000 478,341 2,190,000 1,689,626 1,120,000 864,101
ITL Italy (Government of)
bonds 10 1/2s, 2005 755,000,000 439,072 3,205,000,000 1,863,8761,780,000,000 1,035,164
ITL Italy (Government of)
bonds 12s, 2003 665,000,000 419,180 2,650,000,000 1,670,4161,255,000,000 791,084
ITL Italy (Government of)
notes 8 1/2s, 19992,030,000,000 1,162,200 1,550,000,000 887,394 730,000,000 417,934
NLG Netherlands
(Government of)
bonds 9s, 2000 1,780,000 1,258,316 5,050,000 3,569,942 2,470,000 1,746,090
USD Panama (Republic of)
FRN 7 1/4s, 2002 150,000 118,125 430,000 338,625 110,000 86,625
CAD Quebec Province deb.
Ser. NN, 7 1/8s, 2024 90,000 84,169 345,000 322,647 375,000 350,704
ESP Spain (Government of)
bonds 10.833s, 2000 87,200,000 744,261 242,200,000 2,067,201 142,200,000 1,213,691
GBP United Kingdom
Treasury notes 7 3/4s,
2006 350,000 535,717 1,000,000 1,530,619 450,000 688,779
GBP United Kingdom
Treasury notes 7s, 2001 495,000 749,833 1,390,000 2,105,592 770,000 1,166,407
---------- ---------- ----------
TOTAL FOREIGN GOVERNMENT
BONDS AND NOTES
(cost $12,817,200,
$34,653,518 and
$17,561,732) $13,020,608 $35,153,663 $18,204,621
- --------------------------------------------------------------------------------
- --------------
</TABLE>
<PAGE>
<TABLE><CAPTION>
<S> <C> <C> <C> <C> <C> <C>
GROWTH BALANCED CONSERVATIVE
3.4% 6.1% 23.7%
U.S. GOVERNMENT AND PRINCIPAL PRINCIPAL PRINCIPAL
AGENCY OBLIGATIONS* AMOUNT VALUE AMOUNT VALUE AMOUNT VALUE
Federal National Mortgage
Association Pass-Throughs
7 1/2s, with various
due dates to
June 1, 2025 $1,020,222$1,026,598 $1,842,207$1,853,721 $2,741,716$2,758,852
7s, with various due
dates to August 15, 2025 -- -- -- -- 1,712,556 1,689,009
7s, August 1, 2025 569,972 562,135 -- -- -- --
7s, July 1, 2025 -- -- 1,493,639 1,473,101 -- --
9 1/2s, Dwarf, May 1, 2007 232,210 242,986 872,493 916,929 1,046,992 1,100,316
Government National Mortgage
Association Pass-Throughs
7 1/2s, with various due
dates to June 15, 2024 677,999 684,778 2,194,459 2,220,083 2,851,848 2,880,368
7s, with various due dates
to September 15, 2025 618,750 611,790 -- -- 1,888,270 1,867,027
7s, with various due dates
to March 15, 2024 -- -- 2,345,989 2,332,727 -- --
Midget 7s, with various due
dates to June 15, 2009 133,403 134,404 -- -- 711,892 717,231
TBA 7s, October 14, 2025 655,000 647,631 1,675,000 1,656,156 2,075,000 2,051,656
TBA 6 1/2s,
October 14, 2025 420,000 405,300 1,095,000 1,056,675 1,375,000 1,326,875
U.S. Treasury P.O.
Strips zero %,
August 15, 2000 130,000 97,274 315,000 235,702 140,000 104,756
U.S. Treasury P.O.
Strips zero %,
November 15, 1999 190,000 148,753 490,000 383,626 560,000 438,430
U.S. Treasury I. O.
Strips zero %,
August 15, 2004 320,000 184,355 845,000 486,813 1,055,000 607,796
U.S. Treasury I. O.
Strips zero %,
February 15, 2003 305,000 194,621 780,000 497,718 895,000 571,100
U.S. Treasury I.O.
Strips zero %,
August 15, 2002 300,000 198,147 800,000 528,392 920,000 607,651
U.S. Treasury Bonds
10 3/8s,
November 15, 2012 650,000 856,778 1,890,000 2,491,247 2,145,000 2,827,367
U.S. Treasury Bonds
8 7/8s, August 15, 2017 -- -- -- -- 215,000 269,591
U.S. Treasury Bonds
8 1/8s, August 15, 2019 950,000 1,114,254 3,350,000 3,929,927 4,345,000 5,097,186
U.S. Treasury Bonds
8s, November 15, 2021 510,000 593,752 -- -- -- --
U.S. Treasury Notes
7 7/8s, August 15, 2001 860,000 934,983 540,000 587,083 1,740,000 1,891,711
U.S. Treasury Notes
7 1/8s, February 29, 2000 125,000 130,234 360,000 375,073 410,000 427,167
U.S. Treasury Notes
6 3/4s, April 30, 2000 515,000 529,564 125,000 128,535 120,000 123,394
U.S. Treasury Notes
6 7/8s, August 31, 1999 600,000 617,904 2,100,000 2,162,664 3,100,000 3,192,504
U.S. Treasury Notes
6 7/8s, March 31, 2000 160,000 165,275 965,000 996,816 1,080,000 1,115,608
U.S. Treasury Notes
4 5/8s, February 29, 1996 -- -- 25,000 24,902 -- --
---------- ---------- ----------
TOTAL U.S. GOVERNMENT AND
AGENCY OBLIGATIONS (cost
$9,807,290, $23,669,617 and
$30,787,128) $10,081,516 $24,337,890 $31,665,595
- --------------------------------------------------------------------------------
- --------------
</TABLE>
<PAGE>
<TABLE><CAPTION>
<S> <C> <C> <C> <C> <C> <C>
GROWTH BALANCED CONSERVATIVE
1.8% 3.8% 2.8%
PRINCIPAL PRINCIPAL PRINCIPAL
BRADY BONDS* AMOUNT VALUE AMOUNT VALUE AMOUNT VALUE
Argentina
(Government of)
FRN 4.313s, 2023 $123,000 $71,186 $2,198,000$1,272,093 $-- $--
Argentina
(Government of)
bonds 4s, 2023 3,063,000 1,470,240 6,412,000 3,077,760 2,288,000 1,098,240
Brazil (Republic of)
FRN 6.688s, 2001 688,750 583,716 1,016,500 861,484 859,750 728,638
Brazil (Republic of)
FRN 7 1/4s, 2006 1,298,000 861,548 3,262,000 2,165,153 470,000 311,963
Brazil (Republic of)
FRN 5.1875s, 2024 -- -- 2,500,000 1,203,125 -- --
Bulgaria (Government
of) disc. notes
6.563s, 2024 621,000 315,158 1,610,000 817,075 441,000 223,808
Ecuador (Government of)
FRN 7 1/4s, 2025 950,000 465,500 2,000,000 980,000 550,000 269,500
Philippines
(Central Bank of)
bonds 5 3/4s, 2017 -- -- 500,000 370,000 -- --
Poland (Government of)
144A FRN 8.125s, 2024 415,000 321,106 1,125,000 870,469 505,000 390,744
United Mexican States
FRB 6.969s, 2019 -- -- 373,000 261,566 -- --
United Mexican States
bonds 6 1/4s, 2019 2,200,000 1,328,250 5,300,000 3,199,875 1,250,000 754,688
---------- ---------- ----------
TOTAL BRADY BONDS (cost $5,095,020,
$13,347,887 and $3,417,221) $5,416,704 $15,078,600 $3,777,581
- --------------------------------------------------------------------------------
- --------------
GROWTH BALANCED CONSERVATIVE
1.8% 3.8% 2.8%
ASSET-BACKED PRINCIPAL PRINCIPAL PRINCIPAL
SECURITIES* AMOUNT VALUE AMOUNT VALUE AMOUNT VALUE
Chase Manhatten Credit
Card Master Trust Ser.
91-2A, 7.65s, 1998 $65,000 $65,122 $252,500 $252,972 $282,500 $283,028
First Deposit Master
Trust Ser. 93-2A,
5 3/4s, 2001 50,000 49,453 175,000 173,086 195,000 192,867
Green Tree Financial
Corp. Ser. 93- 4A1,
4.85s, 2019 50,235 49,669 131,798 130,315 143,141 141,531
Green Tree Financial
Corp. Ser. 95-2A1
6.8s, 2026 72,051 72,231 216,154 216,694 234,167 234,752
Merrill Lynch
Mortgage Investors,
Inc. Ser. 88-RA,
9.85s, 2008 27,300 27,488 104,237 104,953 116,647 117,448
Standard Credit
Card Master Trust
Ser. 94-4A, 8 1/4s, 2003 225,000 243,491 570,000 616,843 660,000 714,239
---------- ---------- ---------
TOTAL ASSET-BACKED SECURITIES
(cost $507,501, $1,492,362
and $1,681,570) $507,454 $1,494,863 $1,683,865
- --------------------------------------------------------------------------------
- --------------
<PAGE> GROWTH BALANCED CONSERVATIVE
0.1% 0.4% 1.2%
COLLATERALIZED MORTGAGE PRINCIPAL PRINCIPAL PRINCIPAL
OBLIGATIONS* AMOUNT VALUE AMOUNT VALUE AMOUNT VALUE
Chase Mortgage Finance Corp.
Ser. 94-1B2, 6.601s,
March 25, 2025 $-- $-- $193,707 $178,271 $193,707 $178,271
Citicorp Mortgage
Securities, Inc. Ser. 94-9A3,
5 3/4s,
June 25, 2009 205,000 197,248 535,000 514,770 615,000 591,745
Federal National Mortgage
Association Ser.
93-152A, zero %, 2017 12,195 11,935 43,726 42,797 56,443 55,244
Federal National Mortgage
Association Ser.
94-63A, 7s, 2023 115,336 108,200 408,481 383,206 408,481 383,206
GE Capital Mortgage
Services Inc. Ser. 94-8A2,
6s, 2024 90,000 88,200 335,000 328,300 375,000 367,500
---------- ---------- ---------
TOTAL COLLATERALIZED MORTGAGE
OBLIGATIONS (cost $394,502,
$1,392,819 and $1,519,165) $405,583 $1,447,344 $1,575,966
- --------------------------------------------------------------------------------
- --------------
GROWTH BALANCED CONSERVATIVE
0.1% 0.3% 0.3%
NUMBER OF NUMBER OF NUMBER OF
UNITS* UNITS VALUE UNITS VALUE UNITS VALUE
Australis Media units
stepped- coupon zero %,
(14s, 5/15/2000), 2003 100 $60,000 300 $180,000 100 $60,000
Celcaribe S.A. 144A
units stepped-coupon
zero % (13 1/2s, 3/15/98),
2004 3 26,700 22 195,800 2 17,800
Cellnet Data Systems Inc.
units stepped-coupon zero %,
(13s, 6/15/2000), 2005 100 57,000 300 171,000 100 57,000
Hollywood Casino units 13 1/2s,
1998 75,000 90,750 200,000 242,000 100,000 121,000
ICF Kaiser International, Inc.
sr. sub. units 12s, 2003 5 4,738 10 9,475 10 9,475
Intelcom Group (USA) Inc.,
144A units stepped-coupon
zero %,(13 1/2s, 9/15/00),
2005 13 71,500 26 143,000 10 55,000
Total Renal Care, Inc. units
stepped-coupon zero %
(12s, 8/15/97), 2004 60 57,000 290 275,500 100 95,000
---------- ---------- ---------
TOTAL UNITS (cost $327,395,
$1,075,500 and $382,192) $367,688 $1,216,775 $415,275
- --------------------------------------------------------------------------------
- --------------
GROWTH BALANCED CONSERVATIVE
0.1% 0.2% 0.2%
NUMBER OF NUMBER OF NUMBER OF
PREFERRED STOCKS* SHARES VALUE SHARES VALUE SHARES VALUE
California Federal Bank
Ser. B, $10.625 exch. pfd. 1,250 $137,188 3,000 $329,250 1,650 $181,088
Pantry Pride Inc.
Ser. B, $14.875 pfd. 152 15,656 800 82,400 500 51,500
Essilor International
ADP FF 20 pfd. (France) 1,500 179,586 3,200 383,117 600 71,834
---------- ---------- ---------
TOTAL PREFERRED STOCKS
(cost $293,886,
$730,817 and $283,911) $332,430 $794,767 $304,422
- --------------------------------------------------------------------------------
- --------------
GROWTH BALANCED CONSERVATIVE
PURCHASED OPTIONS 0.2% 0.2% 0.1%
OUTSTANDING*EXPIRATION DATE/ CONTRACT CONTRACT CONTRACT
STRIKE PRICE AMOUNT VALUE AMOUNT VALUE AMOUNT VALUE
S&P 500 (Put) October95/570 $24,300 $42,525 $33,200 $58,100 $11,100 $19,425
S&P 500 (Put) November95/575 101,000 568,125 105,400 592,875 18,000 101,250
US Dollar
(Call) In
Exchange For
Deutsche-
marks (Put)December
95/1.490DEM 1,260,000 10,458 3,540,000 29,382 1,820,000 15,106
---------- ---------- ---------
TOTAL PURCHASED OPTIONS
(cost $833,982, $960,150
and $221,050) $621,108 $680,357 $135,781
- --------------------------------------------------------------------------------
- --------------
GROWTH BALANCED CONSERVATIVE
CONVERTIBLE PREFERRED STOCKS* --% 0.1% 0.1%
(COST $120,250, $252,525, NUMBER OF NUMBER OF NUMBER OF
$102,213) SHARES VALUE SHARES VALUE SHARES VALUE
Granite Broadcasting
$1.938 cv. pfd. 2,000 $107,000 4,200 $224,700 1,700 $90,950
GROWTH BALANCED CONSERVATIVE
0.1% --% --%
CONVERTIBLE BONDS PRINCIPAL PRINCIPAL PRINCIPAL
AND NOTES* AMOUNT VALUE AMOUNT VALUE AMOUNT VALUE
Pricellular Wireless 144A cv.
sub. notes stepped-coupon zero %,
(10 3/4s, 8/15/00), 2004 $94,000 $56,870 $206,000 $124,630 $77,000 $46,585
Riverwood International Corp.
sub. notes 6 3/4s, 2003 100,000 131,500 -- -- -- --
---------- ---------- ---------
TOTAL CONVERTIBLE BONDS
AND NOTES (cost $189,784,
$122,251 and $45,969) $188,370 $124,630 $46,585
- --------------------------------------------------------------------------------
- --------------
GROWTH BALANCED CONSERVATIVE
EXPIRATION NUMBER OF --% NUMBER OF --% NUMBER OF --%
WARRANTS* DATE SHARES VALUE SHARES VALUE SHARES VALUE
Commodore Media 144A 5/1/00 60 $4,800 EE-- $E-- EE-- $E--
County Seat Holdings, Inc. 10/15/98 65 1,300 200 4,000 110 2,200
Danieli & Co. (Italy) 11/30/99 3,350 1,774 4,500 2,382 1,550 821
General Media Corp. 144A 12/31/00 35 350 160 1,600 55 550
OSI Specialties Inc. 144A 4/15/99 50 3,000 150 9,000 100 6,000
Petracom Holdings, Inc. 8/1/05 EE-- EE-- 1,001 7,132 399 2,843
Rieter Holding
(Switzerland) 3/13/96 400 1,106 1,800 4,978 150 415
UCC Investor Holding, Inc. 10/30/99 10 110 30 330 20 220
---------- ---------- ---------
TOTAL WARRANTS (cost $2,156,
$14,268 and $3,666) $12,440 $29,422 $13,049
- --------------------------------------------------------------------------------
- --------------
GROWTH BALANCED CONSERVATIVE
8.1% 7.7% 10.4%
SHORT-TERM PRINCIPAL PRINCIPAL PRINCIPAL
INVESTMENTS* AMOUNT VALUE AMOUNT VALUE AMOUNT VALUE
Bank Tabunga
Negara zero %,
Feburary 12, 1996
(Indonesia) IDR 1,000,000,000 $415,363 2,000,000,000 $830,726 -- $--
Maxus Energy corp.
medium term notes
10.2s, May 10, 1996 $125,000 124,421 300,000 298,611 100,000 99,537
U.S. Dollar Certificate
of Deposit, zero %,
January 31, 1996
(Issued by J.P.
Morgan Securities,
Inc. The principal
at redemption is
linked to the bid
price for the
Polish Treasury
Bill, at maturity,
and the change in
the spot rate of
the Polish Zloty
from issue date to
maturity date.) 318,273 286,064 875,388 786,799 -- --
Interest in
$652,192,000 joint
repurchase agreement
dated September 30,1995
with Goldman, Sachs & Co.
due October 2, 1995 with
respect to various U.S.
Treasury obligations --
maturity value of
$22,927,174, $28,939,366
and $13,823,340,
respectively for
an effective yield
of 6.375%. 22,915,000 22,923,116 28,924,000 28,934,244 13,816,00013,820,893
---------- ---------- ---------
TOTAL SHORT-TERM INVESTMENTS
(cost $23,841,674,
$30,842,068 and $13,920,893) $23,748,964 $30,850,380 $13,920,430
- --------------------------------------------------------------------------------
- --------------
TOTAL INVESTMENTS (cost $267,595,281,
$361,935,985 and $130,123,772)*** $301,741,263 $404,906,177 $138,596,422
- --------------------------------------------------------------------------------
- --------------
<PAGE>
<FN>
NOTES
* Percentages indicated are based on net assets. Net assets and net
asset value per share are as follows:
</TABLE>
<TABLE><CAPTION>
<S> <C> <C> <C> <C> <C> <C>
Net AssetsClass A Class B Class CClass MClass Y
Growth portfolio $294,785,280 $10.06 $9.97 $9.93 $10.01 $10.09
Balanced portfolio $398,638,495 $9.67 $9.64 $9.62 $9.66 $9.66
Conservative portfolio$133,506,534 $9.19 $9.16 $9.15 $9.18 $9.19
The interest rate and date shown parenthetically represent the
new interest rate to be paid and the date the fund will begin
receiving interest at this rate.
Income may be received in cash or additional securities at the
discretion of the issuer.
TBA's are mortgage backed securities traded under delayed
delivery commitments, settling after September 30, 1995. 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 until
settlement date. The cost of TBA purchases held at September 30,
1995 was $1,048,032, $2,700,179 and $3,362,748 for Growth,
Balanced and Conservative portfolios, respectively.
Non-income-producing security.
Restricted, excluding 144A securities, as to public resale. At
the dates of acquisition, which ranged from 3/7/94 to 12/8/94,
these securities were valued at cost which was $115,725, $252,731
and $112,188, for Growth, Balanced and Conservative Portfolios,
respectively. There were no outstanding unrestricted securities
of the same class as those held. Total market value of restricted
securities owned at September 30, 1995 was $53,989, or less than
0.1%, $129,818, or less than 0.1% and $42,510, less than 0.1% of
net assets for Growth, Balanced and Conservative portfolios,
respectively.
*** The aggregate identified cost for federal income tax purposes is
as follows:
</TABLE>
<TABLE><CAPTION>
<S> <C> <C> <C> <C>
AGGREGATE GROSS GROSS NET
IDENTIFIED COST UNREALIZED UNREALIZED
COST APPRECIATION DEPRECIATION APPRECIATION
Growth portfolio $267,745,742 $40,289,133 $6,293,612 $33,995,521
Balanced portfolio 362,129,825 46,489,545 3,713,193 42,776,352
Conservative
portfolio 130,161,124 9,757,930 1,322,632 8,435,298
ADR or ADS after the name of a holding stands for American Depository
Receipt or American Depository Shares, respectively, representing
ownership of foreign securities on deposit with a domestic custodian
bank.
144A after the name of a security represents those exempt from
registration under rule 144A of the Securities Act of 1933. These
securities may be resold in transactions exempt from registration,
normally to qualified institutional buyers.
The rates shown on Floating Rate Notes (FRN) and Floating Rate Bonds
(FRB) are the current interest rates at September 30, 1995, which are
subject to change based on the terms of the security.
<PAGE>
</TABLE>
<TABLE><CAPTION>
<S> <C> <C> <C> <C>
FORWARD CURRENCY CONTRACTS TO BUY OUTSTANDING
at September 30, 1995: GROWTH
- ----------------------------------------------------------------------
UNREALIZED
AGGREGATE DELIVERY APPRECIATION/
MARKET VALUE FACE VALUE DATE (DEPRECIATION)
- ----------------------------------------------------------------------
Australian Dollars $301,508 $303,949 12/13/95 $(2,441)
Australian Dollars 263,820 261,737 12/13/95 2,083
Canadian Dollars 335,060 334,059 12/13/95 1,001
Danish Krona 306,742 297,567 12/13/95 9,175
Danish Krona 126,306 126,030 12/13/95 276
Deutschemarks 1,446,718 1,411,007 12/13/95 35,711
Deutschemarks 351,145 342,149 12/13/95 8,996
Deutschemarks 63,206 61,370 12/13/95 1,836
Deutschemarks 140,458 140,978 12/13/95 (520)
Deutschemarks 217,710 218,114 12/13/95 (404)
Deutschemarks 337,028 339,373 12/13/95 (2,345)
Deutschemarks 294,962 287,499 12/13/95 7,463
Deutschemarks 294,962 286,844 12/13/95 8,118
Deutschemarks 1,250,076 1,217,177 12/13/95 32,899
Deutschemarks 129,924 130,493 12/13/95 (569)
Deutschemarks 1,404,580 1,367,708 12/13/95 36,872
Deutschemarks 351,145 342,447 12/13/95 8,698
Japanese Yen 1,585,962 1,578,894 12/14/95 7,068
Japanese Yen 709,360 706,464 12/14/95 2,896
Japanese Yen 1,298,586 1,289,315 12/14/95 9,271
New Zealand Dollars 216,545 215,513 10/16/95 1,032
Spanish Pesetas 193,001 188,627 12/13/95 4,374
Spanish Pesetas 176,917 173,017 12/13/95 3,900
Spanish Pesetas 80,417 80,541 12/13/95 (124)
Swedish Krona 372,690 359,630 12/13/95 13,060
- ----------------------------------------------------------------------
TOTAL FORWARD CURRENCY
CONTRACTS TO BUY $12,248,828 $12,060,502 $188,326
- ----------------------------------------------------------------------
<PAGE>
</TABLE>
<TABLE><CAPTION>
<S> <C> <C> <C> <C>
FORWARD CURRENCY CONTRACTS TO SELL OUTSTANDING
at September 30, 1995: GROWTH
- ----------------------------------------------------------------------
UNREALIZED
AGGREGATE DELIVERY APPRECIATION/
MARKET VALUE FACE VALUE DATE (DEPRECIATION)
- ----------------------------------------------------------------------
Australian Dollars $7,593 $7,534 12/13/95 $ (59)
British Pounds 2,209,715 2,167,900 11/30/95 (41,815)
British Pounds 142,021 142,155 12/13/95 134
Canadian Dollars 148,916 146,983 12/13/95 (1,933)
Canadian Dollars 372,289 370,961 12/13/95 (1,328)
Deutschemarks 632,061 617,856 12/13/95 (14,205)
Deutschemarks 561,832 544,270 12/13/95 (17,562)
Deutschemarks 210,687 205,198 12/13/95 (5,489)
Deutschemarks 140,809 136,110 1/31/96 (4,699)
Deutschemarks 519,695 503,052 12/13/95 (16,643)
Deutschemarks 210,687 209,336 12/13/95 (1,351)
Deutschemarks 330,076 320,995 12/13/95 (9,081)
Deutschemarks 3,363,970 3,274,094 12/13/95 (89,876)
Deutschemarks 702,290 672,034 12/13/95 (30,256)
French Francs 1,457,230 1,417,659 12/13/95 (39,571)
Italian Lira 46,432 46,499 12/13/95 67
Italian Lira 1,143,155 1,131,011 12/13/95 (12,144)
Japanese Yen 6,943,350 7,182,736 02/20/96 239,386
Japanese Yen 211,304 218,801 12/13/95 7,497
Japanese Yen 454,620 471,889 12/13/95 17,269
Japanese Yen 496,471 501,951 12/13/95 5,480
Japanese Yen 344,490 340,955 12/13/95 (3,535)
Netherland Guilders 1,216,547 1,213,334 11/30/95 (3,213)
Netherland Guilders 420,446 406,734 12/13/95 (13,712)
Netherland Guilders 690,284 664,632 12/13/95 (25,652)
Spanish Pesetas 643,335 626,787 12/13/95 (16,548)
Swiss Francs 1,034,483 977,253 11/30/95 (57,230)
- ----------------------------------------------------------------------
TOTAL FORWARD CURRENCY
CONTRACTS TO SELL $24,654,788 $24,518,719 $ (136,069)
- ----------------------------------------------------------------------
FORWARD CROSS CURRENCY CONTRACTS OUTSTANDING
at September 30, 1995
(Aggregate face value $531,491) GROWTH
- ----------------------------------------------------------------------
IN UNREALIZED
MARKET EXCHANGE MARKET DELIVERY APPRECIATION/
CONTRACTS VALUE FOR VALUE DATE(DEPRECIATION)
Deutschemarks
(Buy) $336,717 French Francs$337,661 11/14/95 $(944)
Deutschemarks
(Buy) 210,448 French Francs 211,033 11/14/95 (585)
- ----------------------------------------------------------------------
TOTAL FORWARD CROSS
CURRENCY CONTRACTS
OUTSTANDING $547,165 $548,694 $(1,529)
- ----------------------------------------------------------------------
WRITTEN OPTIONS OUTSTANDING
Premium received $5,418
at September 30, 1995: GROWTH
- ----------------------------------------------------------------------
CONTRACT EXPIRATION DATE/
AMOUNT STRIKE PRICE VALUE
- ----------------------------------------------------------------------
$1,260,000 US dollars (Call) in Exchange
for Deutschemarks (Put) Dec 95/1.565 $3,150
<PAGE>
DIVERSIFICATION OF FOREIGN INVESTMENTS
at September 30, 1995
(as a percentage of net assets): GROWTH
Argentina 0.5% Indonesia 0.1%
Austria 0.4 Ireland 0.5
Australia 0.1 Italy 0.8
Belgium 0.2 Japan 4.0
Brazil 0.5 Malaysia 0.7
Bulgaria 0.1 Mexico 0.5
Canada 0.6 Netherlands 1.2
Denmark 0.1 Panama --
Ecuador 0.2 Poland 0.2
Finland 0.2 Singapore 0.7
France 2.5 Spain 0.7
Germany 1.5 Sweden 0.4
Greece -- Switzerland 0.9
Holland 0.4 United Kingdom 3.5
Hong Kong 0.7
FORWARD CURRENCY CONTRACTS TO BUY OUTSTANDING
</TABLE>
<TABLE><CAPTION>
<S> <C> <C> <C> <C>
at September 30, 1995: BALANCED
UNREALIZED
AGGREGATE DELIVERY APPRECIATION/
MARKET VALUE FACE VALUE DATE (DEPRECIATION)
- ----------------------------------------------------------------------
Australian Dollars $678,393 $683,883 12/13/95 $ (5,490)
Australian Dollars 889,449 882,428 12/13/95 7,021
Canadian Dollars 1,042,409 1,039,294 12/13/95 3,115
Danish Krona 1,172,837 1,137,756 12/13/95 35,081
Deutschemarks 769,008 772,375 12/13/95 (3,367)
Deutschemarks 2,858,320 2,787,767 12/13/95 70,553
Deutschemarks 351,145 342,149 12/13/95 8,996
Deutschemarks 660,153 640,971 12/13/95 19,182
Deutschemarks 842,748 845,869 12/13/95 (3,121)
Deutschemarks 133,435 133,683 12/13/95 (248)
Deutschemarks 927,023 933,274 12/13/95 (6,251)
Deutschemarks 983,206 958,852 12/13/95 24,354
Japanese Yen 4,253,629 4,234,766 12/14/95 18,863
Japanese Yen 2,229,418 2,220,316 12/14/95 9,102
Japanese Yen 2,964,417 2,943,254 12/14/95 21,163
New Zealand Dollars 597,140 594,294 10/16/95 2,846
Spanish Pesetas 458,376 447,990 12/13/95 10,386
Spanish Pesetas 506,626 495,458 12/13/95 11,168
Spanish Pesetas 176,917 177,191 12/13/95 (274)
Swedish Krona 1,032,066 995,899 12/13/95 36,167
- ----------------------------------------------------------------------
TOTAL FORWARD CURRENCY
CONTRACTS TO BUY $23,526,715 $23,267,469 $259,246
- ----------------------------------------------------------------------
<PAGE>
FORWARD CURRENCY CONTRACTS TO SELL OUTSTANDING
at September 30, 1995: BALANCED
UNREALIZED
AGGREGATE DELIVERY APPRECIATION/
MARKET VALUE FACE VALUE DATE (DEPRECIATION)
- ----------------------------------------------------------------------
Australian Dollars $26,382 $26,369 12/13/95 $ (13)
British Pounds 2,998,899 2,942,150 11/30/95 (56,749)
British Pounds 15,780 15,460 12/13/95 (320)
British Pounds 315,601 315,900 12/13/95 299
Canadian Dollars 565,879 558,536 12/13/95 (7,343)
Canadian Dollars 1,116,867 1,112,883 12/13/95 (3,984)
Deutschemarks 776,031 742,597 12/13/95 (33,434)
Deutschemarks 1,825,954 1,784,917 12/13/95 (41,037)
Deutschemarks 912,977 884,438 12/13/95 (28,539)
Deutschemarks 1,327,328 1,292,396 12/13/95 (34,932)
Deutschemarks 737,405 718,194 12/13/95 (19,211)
Deutschemarks 2,103,359 2,048,143 12/13/95 (55,216)
Deutschemarks 1,278,168 1,237,237 12/13/95 (40,931)
Deutschemarks 772,519 767,567 12/13/95 (4,952)
Deutschemarks 422,426 408,330 1/31/96 (14,096)
French Francs 3,278,551 3,189,524 12/13/95 (89,027)
Italian Lira 66,331 66,427 12/13/95 96
Italian Lira 1,941,033 1,920,411 12/13/95 (20,622)
Japanese Yen 9,431,998 9,757,080 02/20/96 325,082
Japanese Yen 629,911 652,258 12/13/95 22,347
Japanese Yen 595,547 617,967 12/13/95 22,420
Japanese Yen 1,317,160 1,331,708 12/13/95 14,548
Japanese Yen 942,283 932,611 12/13/95 (9,672)
Netherland Guilders 1,649,236 1,644,881 11/30/95 (4,355)
Netherland Guilders 903,645 874,174 12/13/95 (29,471)
Netherland Guilders 1,882,593 1,812,634 12/13/95 (69,959)
Spanish Pesetas 1,688,755 1,645,317 12/13/95 (43,438)
Swiss Francs 1,408,287 1,330,377 11/30/95 (77,910)
- ----------------------------------------------------------------------
TOTAL FORWARD CURRENCY
CONTRACTS TO SELL $40,930,905 $40,630,486 $ (300,419)
- ----------------------------------------------------------------------
<PAGE>
FORWARD CROSS CURRENCY CONTRACTS OUTSTANDING
at September 30, 1995
(Aggregate face value $1,567,213): BALANCED
- ----------------------------------------------------------------------
IN UNREALIZED
MARKET EXCHANGE MARKET DELIVERYAPPRECIATION?
CONTRACTS VALUE FOR VALUE DATE(DEPRECIATION)
- ----------------------------------------------------------------------
Deutschemarks
(Buy) $841,794 French Francs $844,152 11/14/95 $(2,358)
Deutschemarks
(Buy) 771,645 French Francs 773,785 11/14/95 (2,140)
- ----------------------------------------------------------------------
TOTAL FORWARD CROSS CURRENCY
CONTRACTS OUTSTANDING $1,613,439 $1,617,937
$(4,498)
WRITTEN OPTIONS OUTSTANDING
PREMIUM RECEIVED $15,222 AT SEPTEMBER 30, 1995: BALANCED
CONTRACT EXPIRATION DATE/
AMOUNT STRIKE PRICE VALUE
- ----------------------------------------------------------------------
$3,540,000 US dollars (Call) in Exchange
for Deutschemarks (Put) Dec 95/1.565 $8,850
- ----------------------------------------------------------------------
DIVERSIFICATION OF FOREIGN INVESTMENTS
at September 30, 1995
(as a percentage of net assets): BALANCED
- ----------------------------------------------------------------------
Argentina 1.1% Indonesia 0.3%
Austria 0.2 Ireland 0.6
Australia 0.2 Italy 1.2
Belgium 0.2 Japan 4.1
Brazil 1.1 Malaysia 0.5
Bulgaria 0.2 Mexico 0.9
Canada 1.2 Netherlands 1.3
Denmark 0.1 Panama 0.1
Ecuador 0.2 Poland 0.1
Finland 0.2 Singapore 0.4
France 3.4 Spain 0.8
Germany 2.6 Sweden 1.2
Greece -- Switzerland 0.5
Holland 0.9 United Kingdom 3.5
Hong Kong 0.6
India 0.1
FORWARD CURRENCY CONTRACTS TO BUY OUTSTANDING
at September 30, 1995: CONSERVATIVE
- ----------------------------------------------------------------------
UNREALIZED
AGGREGATE DELIVERY APPRECIATION/
MARKET VALUE FACE VALUE DATE (DEPRECIATION)
- ----------------------------------------------------------------------
Australian Dollars $376,885 $379,935 12/13/95 $ (3,050)
Australian Dollars 414,574 411,301 12/13/95 3,273
Canadian Dollars 491,421 489,953 12/13/95 1,468
Danish Krona 505,221 490,110 12/13/95 15,111
Danish Krona 90,218 90,022 12/13/95 196
Deutschemarks 477,557 480,777 12/13/95 (3,220)
Deutschemarks 298,473 299,780 12/13/95 (1,307)
Deutschemarks 467,023 454,173 12/13/95 12,850
Deutschemarks 1,840,000 1,794,582 12/13/95 45,418
Deutschemarks 70,229 68,430 12/13/95 1,799
Deutschemarks 414,351 402,312 12/13/95 12,039
Deutschemarks 351,145 352,445 12/13/95 (1,300)
Deutschemarks 259,847 260,330 12/13/95 (483)
Deutschemarks 351,145 342,447 12/13/95 8,698
Japanese Yen 1,963,408 1,954,701 12/14/95 8,707
Japanese Yen 506,686 504,617 12/14/95 2,069
Japanese Yen 1,542,302 1,531,291 12/14/95 11,011
New Zealand Dollars 308,413 306,943 10/16/95 1,470
Spanish Pesetas 24,126 23,578 12/13/95 548
Spanish Pesetas 184,959 180,882 12/13/95 4,077
Spanish Pesetas 152,792 153,028 12/13/95 (236)
Swedish Krona 516,034 497,403 12/13/95 18,631
- ----------------------------------------------------------------------
TOTAL FORWARD CURRENCY
CONTRACTS TO BUY $11,606,809 $11,469,040 $137,769
- ----------------------------------------------------------------------
FORWARD CURRENCY CONTRACTS TO SELL OUTSTANDING
at September 30, 1995: CONSERVATIVE
- ----------------------------------------------------------------------
UNREALIZED
AGGREGATE DELIVERY APPRECIATION/
MARKET VALUE FACE VALUE DATE (DEPRECIATION)
- ----------------------------------------------------------------------
Australian Dollars $56,533 $56,505 12/13/95 $ (28)
British Pounds 670,806 658,113 11/30/95 (12,693)
British Pounds 299,821 300,105 12/13/95 284
Canadian Dollars 245,711 242,522 12/13/95 (3,189)
Canadian Dollars 595,662 593,538 12/13/95 (2,124)
Deutschemarks 842,748 823,808 12/13/95 (18,940)
Deutschemarks 632,061 612,303 12/13/95 (19,758)
Deutschemarks 252,824 246,171 12/13/95 (6,653)
Deutschemarks 273,893 266,758 12/13/95 (7,135)
Deutschemarks 1,794,351 1,747,247 12/13/95 (47,104)
Deutschemarks 786,565 761,128 12/13/95 (25,437)
Deutschemarks 21,069 20,244 12/13/95 (825)
Deutschemarks 210,687 209,336 12/13/95 (1,351)
French Francs 2,002,937 1,948,548 12/13/95 (54,389)
Italian Lira 1,011,456 1,000,711 12/13/95 (10,745)
Japanese Yen 2,109,611 2,182,365 02/20/96 72,754
Japanese Yen 143,926 149,032 12/13/95 5,106
Japanese Yen 638,320 645,366 12/13/95 7,046
Japanese Yen 192,076 190,032 12/13/95 (2,044)
Netherland Guilders 369,981 369,004 11/30/95 (977)
Netherland Guilders 508,300 491,723 12/13/95 (16,577)
Netherland Guilders 941,296 906,317 12/13/95 (34,979)
Spanish Pesetas 804,200 783,576 12/13/95 (20,624)
Swiss Francs 312,953 295,639 11/30/95 (17,314)
- ----------------------------------------------------------------------
TOTAL FORWARD CURRENCY
CONTRACTS TO SELL $15,717,787$15,500,091 $(217,696)
- ----------------------------------------------------------------------
<PAGE>
FORWARD CROSS CURRENCY CONTRACTS OUTSTANDING
at September 30, 1995 (
Aggregate face value $667,772): CONSERVATIVE
- ----------------------------------------------------------------------
IN UNREALIZED
MARKET EXCHANGE MARKET DELIVERYAPPRECIATION?
CONTRACTS VALUE FOR VALUE DATE(DEPRECIATION)
- ----------------------------------------------------------------------
Deutschemarks
(Buy) $210,448 French Francs $211,032 11/14/95 $(584)
Deutschemarks
(Buy) 477,017 French Francs 478,353 11/14/95 (1,336)
- ----------------------------------------------------------------------
TOTAL FORWARD
CROSS CURRENCY
CONTRACTS
OUTSTANDING $687,465 $689,385 $(1,920)
- ----------------------------------------------------------------------
WRITTEN OPTIONS OUTSTANDING
Premium received $7,826 at
September 30, 1995: CONSERVATIVE
- ----------------------------------------------------------------------
CONTRACT EXPIRATION DATE/
AMOUNT STRIKE PRICE VALUE
- ----------------------------------------------------------------------
$1,820,000 US dollars (Call) in Exchange for
Deutschemarks (Put) Dec 95/1.565 $4,550
DIVERSIFICATION OF FOREIGN INVESTMENTS
at September 30, 1995
(as a percentage of net assets): CONSERVATIVE
- ----------------------------------------------------------------------
Argentina 0.8%% Hong Kong 0.5
Austria 0.1 Ireland 0.4
Australia 0.3 Italy 1.8
Belgium 0.1 Japan 2.8
Brazil 0.8 Malaysia 0.5
Bulgaria 0.2 Mexico 0.6
Canada 2.2 Netherlands 1.1
Denmark 0.1 Panama 0.1
Ecuador 0.2 Poland 0.3
Finland 0.1 Singapore 0.6
France 3.9 Spain 1.6
Germany 3.6 Sweden 0.2
Greece -- Switzerland 0.7
Holland 1.3 United Kingdom 3.0
</TABLE>
<PAGE>
STATEMENT OF ASSETS AND LIABILITIES
September 30, 1995
PUTNAM ASSET ALLOCATION: GROWTH PORTFOLIO
<TABLE>
<S> <C>
ASSETS
- ----------------------------------------------------------------------
Investments in securities, at value
(identified cost $267,595,281) (Note 1) $301,741,263
- ----------------------------------------------------------------------
Cash 33,613
- ----------------------------------------------------------------------
Interest, dividends and other receivables 1,637,068
- ----------------------------------------------------------------------
Receivable for securities sold 2,058,511
- ----------------------------------------------------------------------
Receivable for shares of the fund sold 840,875
- ----------------------------------------------------------------------
Unamortized organization expenses (Note 1) 8,910
- ----------------------------------------------------------------------
Receivable for open forward currency contracts 464,562
- ----------------------------------------------------------------------
Receivable for closed forward currency contracts 168,021
- ----------------------------------------------------------------------
Total assets 306,952,823
- ----------------------------------------------------------------------
LIABILITIES
- ----------------------------------------------------------------------
Payable for securities purchased 10,279,108
- ----------------------------------------------------------------------
Payable for shares of the fund repurchased 237,199
- ----------------------------------------------------------------------
Payable for administrative services (Note 2) 2,376
- ----------------------------------------------------------------------
Payable for compensation of Manager (Note 2) 484,785
- ----------------------------------------------------------------------
Payable for compensation of Trustees (Note 2) 417
- ----------------------------------------------------------------------
Payable for investor servicing and custodian fees (Note 2) 195,016
- ----------------------------------------------------------------------
Payable for distribution fees (Note 2) 181,585
- ----------------------------------------------------------------------
Payable for organization expenses (Note 1) 13,264
- ----------------------------------------------------------------------
Payable for open forward currency contracts 413,834
- ----------------------------------------------------------------------
Payable for closed forward currency contracts 206,644
- ----------------------------------------------------------------------
Payable for written options outstanding (premium received $5,418)3,150
- ----------------------------------------------------------------------
Other accrued expenses 150,165
- ----------------------------------------------------------------------
TOTAL LIABILITIES 12,167,543
- ----------------------------------------------------------------------
NET ASSETS $294,785,280
- ----------------------------------------------------------------------
(continued on next page)
<PAGE>
STATEMENT OF ASSETS AND LIABILITIES (continued)
PUTNAM ASSET ALLOCATION: GROWTH PORTFOLIO
<S> <C>
REPRESENTED BY
- ----------------------------------------------------------------------
Paid-in capital (Note 1) $252,464,005
- ----------------------------------------------------------------------
Undistributed net investment income (Note 1) 2,524,604
- ----------------------------------------------------------------------
Accumulated net realized gain on investments
and foreign currency transactions (Note 1) 5,596,707
- ----------------------------------------------------------------------
Net unrealized appreciation on investments and
assets and liabilities in foreign currencies 34,199,964
- ----------------------------------------------------------------------
TOTAL -- REPRESENTING NET ASSETS APPLICABLE TO
CAPITAL SHARES OUTSTANDING $294,785,280
- ----------------------------------------------------------------------
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE
- ----------------------------------------------------------------------
Net asset value and redemption price of class A shares
($122,227,964 divided by 12,147,719 shares) $10.06
- ----------------------------------------------------------------------
Offering price per class A share (100/94.25 of $10.06)* $10.67
- ----------------------------------------------------------------------
Net asset value and offering price of class B shares
($116,262,783 divided by 11,655,653 shares) $9.97
- ----------------------------------------------------------------------
Net asset value and offering price of class C shares
($7,984,560 divided by 803,692 shares) $9.93
- ----------------------------------------------------------------------
Net asset value and redemption price of class M shares
($3,160,394 divided by 315,813 shares) $10.01
- ----------------------------------------------------------------------
Offering price per class M share (100/96.5 of $10.01) $10.37
- ----------------------------------------------------------------------
Net asset value, offering and redemption price of class Y shares
($45,149,579 divided by 4,475,240 shares) $10.09
- ----------------------------------------------------------------------
<FN>
* 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.
</TABLE>
<PAGE>
STATEMENT OF OPERATIONS
Year ended September 30, 1995
PUTNAM ASSET ALLOCATION: GROWTH PORTFOLIO
<TABLE>
<S> <C>
INVESTMENT INCOME:
- ----------------------------------------------------------------------
Interest (net of foreign tax of $21,528) $3,483,533
- ----------------------------------------------------------------------
Dividends (net of foreign tax of $78,064) 2,882,500
- ----------------------------------------------------------------------
TOTAL INVESTMENT INCOME 6,366,033
EXPENSES:
- ----------------------------------------------------------------------
Compensation of Manager (Note 2) 1,310,497
- ----------------------------------------------------------------------
Investor servicing and custodian fees (Note 2) 805,416
- ----------------------------------------------------------------------
Compensation of Trustees (Note 2) 9,033
- ----------------------------------------------------------------------
Auditing 92,908
- ----------------------------------------------------------------------
Reports to shareholders 63,274
- ----------------------------------------------------------------------
Legal 13,753
- ----------------------------------------------------------------------
Postage 33,054
- ----------------------------------------------------------------------
Amortization of organization expenses (Note 1) 2,653
- ----------------------------------------------------------------------
Administrative services (Note 2) 8,445
- ----------------------------------------------------------------------
Registration fee 68,140
- ----------------------------------------------------------------------
Distribution fees -- class A (Note 2) 224,160
- ----------------------------------------------------------------------
Distribution fees -- class B (Note 2) 814,059
- ----------------------------------------------------------------------
Distribution fees -- class C (Note 2) 43,080
- ----------------------------------------------------------------------
Distribution fees -- class M (Note 2) 8,460
- ----------------------------------------------------------------------
Other expenses 6,070
- ----------------------------------------------------------------------
Fees waived by the Manager (Note 2) (94,394)
- ----------------------------------------------------------------------
TOTAL EXPENSES 3,408,608
- ----------------------------------------------------------------------
FEES PAID INDIRECTLY (NOTE 2) (98,923)
- ----------------------------------------------------------------------
NET EXPENSES 3,309,685
- ----------------------------------------------------------------------
NET INVESTMENT INCOME 3,056,348
- ----------------------------------------------------------------------
Net realized gain on investments (Notes 1 and 3) 7,796,880
- ----------------------------------------------------------------------
Net realized gain on written options (Notes 1 and 3) 553
- ----------------------------------------------------------------------
Net realized loss on futures contracts (Notes 1 and 3) (1,190,708)
- ----------------------------------------------------------------------
Net realized loss on forward currency contracts and
foreign currency translation (Notes 1 and 3) (313,563)
- ----------------------------------------------------------------------
Net unrealized appreciation on forward currency contracts and foreign
currency translation during the period 80,429
- ----------------------------------------------------------------------
Net unrealized appreciation of investments, written options,
futures and TBA sale commitments during the period 31,932,132
- ----------------------------------------------------------------------
NET GAIN ON INVESTMENT TRANSACTIONS 38,305,723
- ----------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $41,362,071
- ----------------------------------------------------------------------
</TABLE>
<PAGE>
STATEMENT OF CHANGES IN NET ASSETS
PUTNAM ASSET ALLOCATION: GROWTH PORTFOLIO
<TABLE><CAPTION>
<S> <C> <C>
PERIOD ENDED
FEBRUARY 7, 1994
YEAR (COMMENCEMENT
ENDED OF OPERATIONS) TO
SEPTEMBER 30 SEPTEMBER 30
- ----------------------------------------------------------------------
1995 1994
- ----------------------------------------------------------------------
INCREASE IN NET ASSETS
- ----------------------------------------------------------------------
Operations:
- ----------------------------------------------------------------------
Net investment income $3,056,348 464,501
- ----------------------------------------------------------------------
Net realized gain (loss) on investments
and foreign currency transactions 6,293,162 (794,749)
- ----------------------------------------------------------------------
Net unrealized appreciation of
investments and assets and
liabilities in
foreign currency 32,012,561 2,187,403
- ----------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS 41,362,071 1,857,155
- ----------------------------------------------------------------------
Distributions to shareholders from
net investment income:
- ----------------------------------------------------------------------
Class A (496,426) --
- ----------------------------------------------------------------------
Class B (367,240) --
- ----------------------------------------------------------------------
Class C (17,618) --
- ----------------------------------------------------------------------
Class Y (16,310) --
- ----------------------------------------------------------------------
Increase from capital share
transactions (Note 4) 158,827,779 93,602,535
- ----------------------------------------------------------------------
TOTAL INCREASE IN NET ASSETS 199,292,256 95,459,690
- ----------------------------------------------------------------------
Net assets
- ----------------------------------------------------------------------
Beginning of period 95,493,024 33,334
- ----------------------------------------------------------------------
END OF PERIOD (including undistributed
net investment income of $2,524,604
and $417,975, respectively) $294,785,280 $95,493,024
- ----------------------------------------------------------------------
</TABLE>
<PAGE>
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
PUTNAM ASSET ALLOCATION: GROWTH PORTFOLIO
<TABLE<><CAPTION>
[S] [C] [C] [C]
FOR THE PERIOD FOR THE PERIOD
JULY 14, 1994 FEBRUARY 3, 1995
YEAR (COMMENCEMENT (COMMENCEMENT
ENDED OF OPERATIONS) TO OF OPERATIONS) TO
SEPTEMBER 30 SEPTEMBER 30 SEPTEMBER 30
- ----------------------------------------------------------------------
1995 1994 1995
- ----------------------------------------------------------------------
Class Y Class M
- ----------------------------------------------------------------------
NET ASSET VALUE,
BEGINNING OF PERIOD $8.43 $8.22 $8.39
- ----------------------------------------------------------------------
INVESTMENT OPERATIONS
Net investment income(a)(e) .17 .03 .08
Net realized and unrealized
gain (loss) on investments 1.57 .18 1.54
- ----------------------------------------------------------------------
TOTAL FROM INVESTMENT
OPERATIONS 1.74 .21 1.62
- ----------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income (.08) -- --
- ----------------------------------------------------------------------
TOTAL DISTRIBUTIONS (.08) -- --
- ----------------------------------------------------------------------
NET ASSET VALUE, END OF
PERIOD $10.09 $8.43 $10.01
- ----------------------------------------------------------------------
TOTAL INVESTMENT RETURN
AT NET ASSET VALUE (%)(B) 20.94 2.55(C) 19.31(C)
- ----------------------------------------------------------------------
NET ASSETS, END OF PERIOD
(in thousands) $45,150 $775 $3,160
average net assets (%)(a)(d) 1.28 .20(c) 1.45(c)
- ----------------------------------------------------------------------
Ratios of net investment
income to average
net assets (%)(a) 2.05 .50(c) .79(c)
- ----------------------------------------------------------------------
Portfolio turnover (%) 88.36 39.9(c) 88.36
<PAGE>
FINANCIAL HIGHLIGHTS (continued)
<TABLE><CAPTION>
<C> <C> <C> <C> <C> <C>
For the period For the period For the period
September 1, 1994 February 16, 1994 February 8, 1994
Year (commencement Year (commencement Year (commencement
ended of operations) to ended of operations) to ended of operations) to
September 30 September 30 September 30 September 30 September 30 September 30
- --------------------------------------------------------------------------------
- --------------
1995 1994 1995 1994 1995 1994
- --------------------------------------------------------------------------------
- --------------
Class C Class B Class A
- --------------------------------------------------------------------------------
- --------------
$8.39 $8.46 $8.39 $8.50 $8.43 $8.50
- --------------------------------------------------------------------------------
- --------------
.11 .01 .11 .06 .18 .10
1.51 (.08) 1.52 (.17) 1.53 (.17)
- --------------------------------------------------------------------------------
- --------------
1.62 (.07) 1.63 (.11) 1.71 (.07)
- --------------------------------------------------------------------------------
- --------------
(.08) -- (.05) -- (.08) ----
- --------------------------------------------------------------------------------
- --------------
(.08) -- (.05) -- (.08) --
- --------------------------------------------------------------------------------
- --------------
$9.93 $8.39 $9.97 $8.39 $10.06 $8.43
- --------------------------------------------------------------------------------
- --------------
19.46 (.83)(c) 19.57 (1.29)(c) 20.45 (.82)(c)
- --------------------------------------------------------------------------------
- --------------
$7,985 $385 $116,263 $50,664 $122,228 $43,669
- --------------------------------------------------------------------------------
- --------------
2.23 .15(c) 2.23 1.21(c) 1.49 .78(c)
- --------------------------------------------------------------------------------
- --------------
1.24 .14(c) 1.22 .80(c) 1.98 1.31(c)
- --------------------------------------------------------------------------------
- --------------
88.36 39.9(c) 88.36 39.9(c) 88.36 39.9(c)
- --------------------------------------------------------------------------------
- --------------
<FN>
(a) Reflects an absorption by the Manager of certain expenses incurred by the
fund. As a result of this absorption, expenses for the period ended
September 30, 1994, reflect a reduction of $0.05, $0.05, $0.01 and $0.01
per share for class A, class B, class C and class Y shares, respectively.
Expenses for the year ended September 30, 1995 reflect a reduction of less
than $0.01, per share for class A, class B, class C, class M and class Y,
respectively (See Note 2).
(b) Total Investment Return assumes dividend reinvestment and does not reflect
the effect of sales charges.
(c) Not annualized.
(d) The ratio of expenses to average net assets for the year ended September
30, 1995 includes amounts paid through brokerage service and expense offset
arrangements. Prior period ratios exclude these amounts.
(e) Per share net investment income has been determined on the basis of the
weighted average number of shares outstanding during the period.
</TABLE>
<PAGE>
STATEMENT OF ASSETS AND LIABILITIES
September 30, 1995
PUTNAM ASSET ALLOCATION: BALANCED PORTFOLIO
<TABLE>
<S> <C>
ASSETS
- ----------------------------------------------------------------------
Investments in securities, at value
(identified cost $361,935,985) (Note 1) $404,906,177
- ----------------------------------------------------------------------
Cash 67,135
- ----------------------------------------------------------------------
Interest, dividends and other receivables 3,535,493
- ----------------------------------------------------------------------
Receivable for securities sold 5,367,791
- ----------------------------------------------------------------------
Receivable for shares of the fund sold 1,675,513
- ----------------------------------------------------------------------
Receivable for open forward currency contracts 662,789
- ----------------------------------------------------------------------
Receivable for closed forward currency contracts 490,967
- ----------------------------------------------------------------------
Unamortized organization expenses (Note 1) 8,906
- ----------------------------------------------------------------------
TOTAL ASSETS 416,714,771
LIABILITIES
- ----------------------------------------------------------------------
Payable for securities purchased 15,509,538
- ----------------------------------------------------------------------
Payable for shares of the fund repurchased 52,923
- ----------------------------------------------------------------------
Payable for administrative services (Note 2) 2,417
- ----------------------------------------------------------------------
Payable for compensation of Manager (Note 2) 660,946
- ----------------------------------------------------------------------
Payable for compensation of Trustees (Note 2) 451
- ----------------------------------------------------------------------
Payable for investor servicing and custodian fees (Note 2) 206,097
- ----------------------------------------------------------------------
Payable for distribution fees (Note 2) 229,841
- ----------------------------------------------------------------------
Payable for open forward currency contracts 708,460
- ----------------------------------------------------------------------
Payable for closed forward currency contracts 576,517
- ----------------------------------------------------------------------
Payable for organizational expenses (Note 1) 13,263
- ----------------------------------------------------------------------
Payable for written options outstanding
(premium received $15,222) 8,850
- ----------------------------------------------------------------------
Other accrued expenses 106,973
- ----------------------------------------------------------------------
TOTAL LIABILITIES 18,076,276
- ----------------------------------------------------------------------
NET ASSETS $398,638,495
- ----------------------------------------------------------------------
(continued on next page)
STATEMENT OF ASSETS AND LIABILITIES (continued)
PUTNAM ASSET ALLOCATION: BALANCED PORTFOLIO
<S> <C>
REPRESENTED BY
- ----------------------------------------------------------------------
Paid-in capital (Note 1) $344,539,553
- ----------------------------------------------------------------------
Undistributed net investment income (Note 1) 2,076,669
- ----------------------------------------------------------------------
Accumulated net realized gain on investment transactions and
foreign currency (Note 1) 9,093,046
- ----------------------------------------------------------------------
Net unrealized appreciation of investments and assets and
liabilities in foreign currencies 42,929,227
- ----------------------------------------------------------------------
TOTAL -- REPRESENTING NET ASSETS APPLICABLE TO
CAPITAL SHARES OUTSTANDING $398,638,495
- ----------------------------------------------------------------------
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE
- ----------------------------------------------------------------------
Net asset value and redemption price of class A shares
($152,316,723 divided by 15,748,235 shares) $9.67
- ----------------------------------------------------------------------
Offering price per class A share (100/94.25 of $9.67)* $10.26
- ----------------------------------------------------------------------
Net asset value and offering price of class B shares
($159,230,838 divided by 16,521,135 shares) $9.64
- ----------------------------------------------------------------------
Net asset value and offering price of class C shares
($11,920,629 divided by 1,239,363 shares) $9.62
- ----------------------------------------------------------------------
Net asset value and redemption price of class M shares
($3,508,836 divided by 363,152 shares) $9.66
- ----------------------------------------------------------------------
Offering price per class M share (100/96.5 of $9.66)* $10.01
- ----------------------------------------------------------------------
Net asset value, offering and redemption price of class Y shares
($71,661,469 divided by 7,417,403 shares) $9.66
<FN>
* 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.
</TABLE>
<PAGE>
STATEMENT OF OPERATIONS
Year ended September 30, 1995
PUTNAM ASSET ALLOCATION: BALANCED PORTFOLIO
<TABLE>
<S> <C>
INVESTMENT INCOME:
- ----------------------------------------------------------------------
Interest (net of foreign tax of $26,629) $9,024,973
- ----------------------------------------------------------------------
Dividends (net of foreign tax of $122,109) 3,938,938
- ----------------------------------------------------------------------
TOTAL INVESTMENT INCOME 12,963,911
EXPENSES:
- ----------------------------------------------------------------------
Compensation of Manager (Note 2) 2,117,443
Investor servicing and custodian fees (Note 2) 940,720
- ----------------------------------------------------------------------
Compensation of Trustees (Note 2) 9,797
Auditing 31,687
- ----------------------------------------------------------------------
Reports to shareholders 86,214
Legal 15,457
- ----------------------------------------------------------------------
Postage 31,969
Amortization of organization expenses (Note 1) 2,653
- ----------------------------------------------------------------------
Administrative services (Note 2) 10,297
Registration fee 60,360
- ----------------------------------------------------------------------
Distribution fees -- class A (Note 2) 271,389
- ----------------------------------------------------------------------
Distribution fees -- class B (Note 2) 1,200,355
- ----------------------------------------------------------------------
Distribution fees -- class C (Note 2) 64,000
- ----------------------------------------------------------------------
Distribution fees -- class M (Note 2) 7,275
- ----------------------------------------------------------------------
Other expenses 5,515
- ----------------------------------------------------------------------
Fees waived by Manager (Note 2) (64,532)
- ----------------------------------------------------------------------
TOTAL EXPENSES 4,790,599
- ----------------------------------------------------------------------
FEES PAID INDIRECTLY (NOTE 2) (136,819)
- ----------------------------------------------------------------------
NET EXPENSES 4,653,780
- ----------------------------------------------------------------------
NET INVESTMENT INCOME 8,310,131
- ----------------------------------------------------------------------
Net realized gain on investments (Notes 1 and 3) 13,524,410
- ----------------------------------------------------------------------
Net realized gain on written options (Notes 1 and 3) 2,057
- ----------------------------------------------------------------------
Net realized loss on futures contracts (Notes 1 and 3) (2,021,036)
- ----------------------------------------------------------------------
Net realized loss on forward currency contracts and
foreign currency translation (Notes 1 and 3) (1,923,371)
- ----------------------------------------------------------------------
Net unrealized appreciation of forward currency contracts and
foreign currency translation during the period 58,912
- ----------------------------------------------------------------------
Net unrealized appreciation of investments, written options,
futures and TBA sale commitments during the period 39,066,850
- ----------------------------------------------------------------------
NET GAIN ON INVESTMENT TRANSACTIONS 48,707,822
- ----------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $57,017,953
- ----------------------------------------------------------------------
Statement of changes in net assets
- ----------------------------------------------------------------------
</TABLE>
<PAGE>
STATEMENT OF CHANGES IN NET ASSETS
PUTNAM ASSET ALLOCATION: BALANCED PORTFOLIO
<TABLE><CAPTION
<S> <C> <C>
FOR THE PERIOD
FEBRUARY 7, 1994
YEAR (COMMENCEMENT
ENDED OF OPERATIONS) TO
SEPTEMBER 30 SEPTEMBER 30
- ----------------------------------------------------------------------
1995 1994
- ----------------------------------------------------------------------
INCREASE IN NET ASSETS
- ----------------------------------------------------------------------
Operations:
- ----------------------------------------------------------------------
Net investment income $8,310,131 $1,536,209
- ----------------------------------------------------------------------
Net realized gain (loss) on investments
and foreign currency transactions 9,582,060 (1,318,719)
- ----------------------------------------------------------------------
Net unrealized appreciation of investments
and assets and liabilities in foreign
currencies 39,125,762 3,803,465
- ----------------------------------------------------------------------
Net increase in net assets resulting
from operations 57,017,953 4,020,955
- ----------------------------------------------------------------------
Distributions to shareholders from net
investment income to:
- ----------------------------------------------------------------------
Class A (2,407,935) (271,581)
- ----------------------------------------------------------------------
Class B (1,845,737) (258,746)
- ----------------------------------------------------------------------
Class C (109,649) (191)
- ----------------------------------------------------------------------
Class Y (1,632,242) (406,388)
- ----------------------------------------------------------------------
Class M (21,252) --
- ----------------------------------------------------------------------
Increase from capital share transactions (Note 4)145,539,251198,980,
724
- ----------------------------------------------------------------------
TOTAL INCREASE IN NET ASSETS 196,540,389 202,064,773
NET ASSETS
- ----------------------------------------------------------------------
Beginning of year 202,098,106 33,333
- ----------------------------------------------------------------------
END OF YEAR (including undistributed
net investment income of $2,076,669 and
$424,096, respectively) $398,638,495 $202,098,106
- ----------------------------------------------------------------------
</TABLE>
<TABLE>
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
PUTNAM ASSET ALLOCATION: BALANCED PORTFOLIO
<TABLE<><CAPTION>
<S> <C> <C> <C>
FOR THE PERIOD FOR THE PERIOD
JULY 5, 1994 FEBRUARY 6, 1995
YEAR (COMMENCEMENT (COMMENCEMENT
ENDED OF OPERATIONS) TO OF OPERATIONS) TO
SEPTEMBER 30 SEPTEMBER 30 SEPTEMBER 30
- ----------------------------------------------------------------------
1995 1994 1995
- ----------------------------------------------------------------------
Class Y Class M
- ----------------------------------------------------------------------
NET ASSET VALUE,
BEGINNING OF PERIOD $8.33 $8.11 $8.34
- ----------------------------------------------------------------------
Investment operations
- ----------------------------------------------------------------------
Net investment income(a)(e) .29 .05 .14
- ----------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investments 1.26 .22 1.31
- ----------------------------------------------------------------------
TOTAL FROM INVESTMENT
OPERATIONS 1.55 .27 1.45
- ----------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income (.22) (.05) (.13)
- ----------------------------------------------------------------------
NET ASSET VALUE, END OF
PERIOD $9.66 $8.33 $9.66
- ----------------------------------------------------------------------
TOTAL INVESTMENT RETURN AT
- ----------------------------------------------------------------------
NET ASSET VALUE (%)(B) 18.89 3.34(C) 17.46(C)
NET ASSETS, END OF PERIOD
(in thousands) $71,661 $66,081 $3,509
- ----------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(a)(d) 1.07 .23(c) 1.38(c)
- ----------------------------------------------------------------------
Ratio of net investment
income to average net
assets (%)(a) 3.35 .62(c) 1.56(c)
- ----------------------------------------------------------------------
Portfolio turnover (%) 106.03 52.62(c) 106.03
- ----------------------------------------------------------------------
<PAGE>
FINANCIAL HIGHLIGHTS (continued)
<C> <C> <C> <C> <C> <C>
For the period For the period For the period
September 1, 1994 February 11, 1994 February 7, 1994
Year (commencement Year (commencement Year (commencement
ended of operations) to ended of operations) to ended of operations) to
September 30 September 30 September 30 September 30 September 30 September 30
- --------------------------------------------------------------------------------
- --------------
1995 1994 1995 1994 1995 1994
- --------------------------------------------------------------------------------
- --------------
Class C Class B Class A
- --------------------------------------------------------------------------------
- --------------
$8.31 $8.41 $8.31 $8.50 $8.33 $8.50
- --------------------------------------------------------------------------------
- --------------
.20 .01 .20 .11 .27 .16
1.27 (.08) 1.26 (.27) 1.27 (.28)
- --------------------------------------------------------------------------------
- --------------
1.47 (.07) 1.46 (.16) 1.54 (.12)
- --------------------------------------------------------------------------------
- --------------
(.16) (.03) (.13) (.03) (.20) (.05)
- --------------------------------------------------------------------------------
- --------------
$9.62 $8.31 $9.64 $8.31 $9.67 $8.33
- --------------------------------------------------------------------------------
- --------------
17.89 (.84)(c) 17.83 (1.89)(c) 18.73 (1.47)(c)
- --------------------------------------------------------------------------------
- --------------
- --------------------------------------------------------------------------------
- --------------
$11,921 $441 $159,230 $81,093 $152,317 $54,483
- --------------------------------------------------------------------------------
- --------------
2.09 .16(c) 2.07 1.23(c) 1.32 0.83(c)
- --------------------------------------------------------------------------------
- --------------
2.22 .11(c) 2.26 1.41(c) 2.95 2.13(c)
- --------------------------------------------------------------------------------
- --------------
106.03 52.62(c) 106.03 52.62(c) 106.03 52.62(c)
- --------------------------------------------------------------------------------
- --------------
<FN> (a) Reflects an absorption by the Manager of certain expenses incurred by
the fund. As a result of this absorption, expenses for the period ended
September 30, 1994, reflect a reduction of $0.05, $0.03, $0.01 and none per
share for class A, class B, class C and class Y shares, respectively.
Expenses for the year ended September 30, 1995 reflect a reduction of less
than $0.01 per share for class A, class B, class C, class M and class Y,
respectively (See Note 2).
(b) Total investment return assumes dividend reinvestment and does not reflect
the effect of sales charges.
(c) Not annualized.
(d) The ratio of expenses to average net assets for the year ended September
30, 1995 includes amounts paid through brokerage service and expense offset
arrangements. Prior period ratios exclude these amounts.
(e) Per share net investment income has been determined on the basis of the
weighted average number of shares outstanding during the period.
</TABLE>
<PAGE>
STATEMENT OF ASSETS AND LIABILITIES
September 30, 1995
PUTNAM ASSET ALLOCATION: CONSERVATIVE PORTFOLIO
<TABLE>
<S> <C>
ASSETS
- ----------------------------------------------------------------------
Investments in securities, at value
(identified cost $130,123,772) (Note 1) $138,596,422
- ----------------------------------------------------------------------
Cash 33,682
- ----------------------------------------------------------------------
Interest, dividends and other receivables 1,597,744
- ----------------------------------------------------------------------
Receivable for securities sold 2,620,612
- ----------------------------------------------------------------------
Receivable for shares of the fund sold 401,578
- ----------------------------------------------------------------------
Receivable for open forward currency contracts 232,555
- ----------------------------------------------------------------------
Receivable for closed forward currency contracts 218,123
- ----------------------------------------------------------------------
Unamortized organization expenses (Note 1) 8,905
- ----------------------------------------------------------------------
TOTAL ASSETS 143,709,621
LIABILITIES
- ----------------------------------------------------------------------
Payable for securities purchased 9,157,966
- ----------------------------------------------------------------------
Payable for shares of the fund repurchased 33,200
- ----------------------------------------------------------------------
Payable for administrative services (Note 2) 2,238
- ----------------------------------------------------------------------
Payable for compensation of Manager (Note 2) 104,532
- ----------------------------------------------------------------------
Payable for compensation of Trustees (Note 2) 302
- ----------------------------------------------------------------------
Payable for investor servicing and custodian fees (Note 2) 88,398
- ----------------------------------------------------------------------
Payable for distribution fees (Note 2) 91,920
- ----------------------------------------------------------------------
Payable for organization expenses (Note 2) 13,263
- ----------------------------------------------------------------------
Payable for open forward currency contracts 314,402
- ----------------------------------------------------------------------
Payable for closed forward currency contracts 278,527
- ----------------------------------------------------------------------
Payable for written options outstanding at end of period
(premium received $7,826) 4,550
- ----------------------------------------------------------------------
Other accrued expenses 113,789
- ----------------------------------------------------------------------
TOTAL LIABILITIES 10,203,087
NET ASSETS $133,506,534
- ----------------------------------------------------------------------
(continued on next page)
<PAGE>
STATEMENT OF ASSETS AND LIABILITIES (continued)
PUTNAM ASSET ALLOCATION: CONSERVATIVE PORTFOLIO
<S> <C>
REPRESENTED BY
- ----------------------------------------------------------------------
Paid-in capital (Note 1) $122,141,251
- ----------------------------------------------------------------------
Undistributed net investment income (Note 1) 1,145,263
- ----------------------------------------------------------------------
Accumulated net realized gain on investment and
foreign currency transactions (Note 1) 1,826,396
- ----------------------------------------------------------------------
Net unrealized appreciation of investments and
assets and liabilities in foreign currencies 8,393,624
- ----------------------------------------------------------------------
Total -- Representing net assets applicable to
capital shares outstanding $133,506,534
- ----------------------------------------------------------------------
Computation of net asset value and offering price
- ----------------------------------------------------------------------
Net asset value and redemption price of class A shares
($57,340,929 divided by 6,241,483 shares) $9.19
- ----------------------------------------------------------------------
Offering price per class A share (100/94.25 of $9.19)* $9.75
- ----------------------------------------------------------------------
Net asset value and offering price of class B shares
($65,783,364 divided by 7,180,881 shares) $9.16
- ----------------------------------------------------------------------
Net asset value and offering price of class C shares
($7,197,863 divided by 786,951 shares) $9.15
- ----------------------------------------------------------------------
Net asset value and redemption price of class M shares
($1,366,453 divided by 148,920 shares) $9.18
- ----------------------------------------------------------------------
Offering price per class M share (100/96.50 of $9.18)* $9.51
- ----------------------------------------------------------------------
Net asset value, offering and redemption price of class Y shares ($1,817,925
divided by 197,848 shares) $9.19
- ----------------------------------------------------------------------
<FN>
* 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.
</TABLE>
<PAGE>
STATEMENT OF OPERATIONS
<pa>Year ended September 30, 1995
PUTNAM ASSET ALLOCATION: CONSERVATIVE PORTFOLIO
<TABLE>
<S> <C>
INVESTMENT INCOME:
- ----------------------------------------------------------------------
Interest (net of foreign tax of $40,386) $4,772,176
- ----------------------------------------------------------------------
Dividends (net of foreign tax of $26,862) 700,089
- ----------------------------------------------------------------------
TOTAL INVESTMENT INCOME 5,472,265
- ----------------------------------------------------------------------
EXPENSES:
- ----------------------------------------------------------------------
Compensation of Manager (Note 2) 671,090
- ----------------------------------------------------------------------
Investor servicing and custodian fees (Note 2) 438,866
- ----------------------------------------------------------------------
Compensation of Trustees (Note 2) 7,714
- ----------------------------------------------------------------------
Auditing 76,741
- ----------------------------------------------------------------------
Report to shareholders 66,480
- ----------------------------------------------------------------------
Legal 12,569
- ----------------------------------------------------------------------
Postage 11,162
- ----------------------------------------------------------------------
Amortization of organization expenses (Note 1) 2,653
- ----------------------------------------------------------------------
Administrative services (Note 2) 7,212
- ----------------------------------------------------------------------
Registration fee 28,631
- ----------------------------------------------------------------------
Distribution fees -- class A (Note 2) 95,434
- ----------------------------------------------------------------------
Distribution fees -- class B (Note 2) 525,548
- ----------------------------------------------------------------------
Distribution fees -- class C (Note 2) 37,312
- ----------------------------------------------------------------------
Distribution fees -- class M (Note 2) 3,969
- ----------------------------------------------------------------------
Other expenses 3,125
- ----------------------------------------------------------------------
Fees waived by Manager (Note 2) (392,573)
- ----------------------------------------------------------------------
TOTAL EXPENSES 1,595,933
- ----------------------------------------------------------------------
FEES PAID INDIRECTLY (NOTE 2) (45,798)
- ----------------------------------------------------------------------
NET EXPENSES 1,550,135
- ----------------------------------------------------------------------
NET INVESTMENT INCOME 3,922,130
- ----------------------------------------------------------------------
Net realized gain on investments (Notes 1 and 3) 3,412,762
- ----------------------------------------------------------------------
Net realized gain on written options (Notes 1 and 3) 1,036
- ----------------------------------------------------------------------
Net realized loss on forward currency contracts and
foreign currency translation (Notes 1 and 3) (982,368)
- ----------------------------------------------------------------------
Net realized loss on futures contracts (Notes 1 and 3) (398,673)
- ----------------------------------------------------------------------
Net unrealized appreciation of investments, written options,
futures and TBA sale commitments during the period 8,301,191
- ----------------------------------------------------------------------
Net unrealized depreciation on forward currency contracts and foreign currency
translation during the period (36,533)
- ----------------------------------------------------------------------
NET GAIN ON INVESTMENT TRANSACTIONS 10,297,415
- ----------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $14,219,545
- ----------------------------------------------------------------------
</TABLE>
<PAGE>
STATEMENT OF CHANGES IN NET ASSETS
PUTNAM ASSET ALLOCATION: CONSERVATIVE PORTFOLIO
<TABLE><CAPTION
<S> <C> <C>
FOR THE PERIOD
FEBRUARY 7, 1994
YEAR (COMMENCEMENT
ENDED OF OPERATIONS) TO
SEPTEMBER 30 SEPTEMBER 30
- ----------------------------------------------------------------------
1995 1994
- ----------------------------------------------------------------------
INCREASE IN NET ASSETS
- ----------------------------------------------------------------------
Operations:
- ----------------------------------------------------------------------
Net investment income $3,922,130 $735,376
- ----------------------------------------------------------------------
Net realized gain (loss) on
investments and foreign currency
transactions 2,032,757 (715,262)
- ----------------------------------------------------------------------
Net unrealized appreciation of investments
and assets and liabilities in
foreign currencies 8,264,658 128,966
- ----------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS 14,219,545 149,080
- ----------------------------------------------------------------------
Distributions from net investment income
- ----------------------------------------------------------------------
Class A (1,220,712) (174,402)
- ----------------------------------------------------------------------
Class B (1,272,028) (193,082)
- ----------------------------------------------------------------------
Class C (99,096) (141)
- ----------------------------------------------------------------------
Class Y (30,206) (981)
- ----------------------------------------------------------------------
Class M (14,906) --
- ----------------------------------------------------------------------
Increase from capital share
transactions (Note 4) 56,995,676 65,114,454
- ----------------------------------------------------------------------
TOTAL INCREASE IN NET ASSETS 68,578,273 64,894,928
- ----------------------------------------------------------------------
NET ASSETS
- ----------------------------------------------------------------------
Beginning of period 64,928,261 33,333
- ----------------------------------------------------------------------
END OF PERIOD (including undistributed
net investment income of $1,145,263
and $241,931, respectively) $133,506,534 $64,928,261
- ----------------------------------------------------------------------
</TABLE>
<PAGE>
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
PUTNAM ASSET ALLOCATION: CONSERVATIVE PORTFOLIO
<TABLE<><CAPTION>
[S] [C] [C] [C]
FOR THE PERIOD FOR THE PERIOD
JULY 14, 1994 FEBRUARY 7, 1995
YEAR (COMMENCEMENT (COMMENCEMENT
ENDED OF OPERATIONS) TO OF OPERATIONS) TO
SEPTEMBER 30 SEPTEMBER 30 SEPTEMBER 30
- ----------------------------------------------------------------------
1995 1994 1995
- ----------------------------------------------------------------------
Class Y Class M
- ----------------------------------------------------------------------
Net asset value, beginning
of period $8.23 $8.23 $8.21
- ----------------------------------------------------------------------
Investment operations
- ----------------------------------------------------------------------
Net investment income(a) .36 .07(e) .21
- ----------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investments .89 -- .92
- ----------------------------------------------------------------------
Total from investments
operations 1.25 .07 1.13
- ----------------------------------------------------------------------
Less distributions from:
- ----------------------------------------------------------------------
Net investment income (.29) (.07) (.16)
- ----------------------------------------------------------------------
Net asset value, end of
period $9.19 $8.23 $9.18
- ----------------------------------------------------------------------
Total investment return
at net asset value (%)(b) 15.54 1.01 13.92(c)
- ----------------------------------------------------------------------
Net assets, end of
period (in thousands) $1,818 $163 $1,366
- ----------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(a)(d) .92 .21(c) 1.10(c)
- ----------------------------------------------------------------------
Ratio of net investment
income to average
net assets (%)(a) 4.93 1.04(c) 2.73(c)
- ----------------------------------------------------------------------
Portfolio turnover (%) 159.8 59.27(c) 159.8
- ----------------------------------------------------------------------
<PAGE>
FINANCIAL HIGHLIGHTS (continued)
<TABLE><CAPTION>
<C> <C> <C> <C> <C> <C>
For the period For the period For the period
September 1, 1994 February 18, 1994 February 7, 1994
Year (commencement Year (commencement Year (commencement
ended of operations) to ended of operations) to ended of operations) to
September 30 September 30 September 30 September 30 September 30 September 30
- --------------------------------------------------------------------------------
- --------------
1995 1994 1995 1994 1995 1994
- --------------------------------------------------------------------------------
- --------------
Class C Class B Class A
- --------------------------------------------------------------------------------
- --------------
$8.22 $8.33 $8.22 $8.50 $8.23
$8.50
- --------------------------------------------------------------------------------
- --------------
.29 .03(e) .30 .15(e) .33
.18(e)
.87 (.10) .85 (.39) .90
(.39)
- --------------------------------------------------------------------------------
- --------------
1.16 (.07) 1.15 (.24) 1.23
(.21)
- --------------------------------------------------------------------------------
- --------------
(.23) (.04) (.21) (.04) (.27)
(.06)
- --------------------------------------------------------------------------------
- --------------
$9.15 $8.22 $9.16 $8.22 $9.19
$8.23
- --------------------------------------------------------------------------------
- --------------
14.41 (.80) 14.22 (2.79)(c) 15.27
(2.47)(c)
- --------------------------------------------------------------------------------
- --------------
$7,198 $273 $65,783 $38,711 $57,341
$25,782
- --------------------------------------------------------------------------------
- --------------
1.89 .16(c) 1.98 1.21(c) 1.22
.75(c)
- --------------------------------------------------------------------------------
- --------------
3.92 .48(c) 3.81 1.92(c) 4.48
2.41(c)
- --------------------------------------------------------------------------------
- --------------
159.8 59.27(c) 159.8 59.27(c) 159.8
59.27(c)
- --------------------------------------------------------------------------------
- --------------
<FN>
(a) Reflects an absorption by the Manager of certain expenses incurred by the
fund. As a result of this absorption, expenses for the period ended
September 30, 1994, reflect a reduction of $0.05, $0.04, none and $.001 per
share for class A, class B, class C and class Y shares, respectively.
Expenses for the year ended September 30, 1995 reflect a reduction of
$0.03, 0.03, 0.03, 0.02 and 0.03 for class A, class B, class C, class M and
class Y, respectively (See Note 2).
(b) Total investment return assumes dividend reinvestment and does not reflect
the effect of sales charges.
(c) Not annualized.
(d) The ratio of expenses to average net assets for the year ended September
30, 1995 includes amounts paid through brokerage service and expense offset
arrangements. Prior period ratios exclude these amounts.
(e) Per share net investment income has been determined on the basis of the
weighted average number of shares outstanding during the period.
</TABLE>
<PAGE>
NOTES TO FINANCIAL STATEMENTS
September 30, 1995
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,
respectively.
Each series of the trust offers class A, class B, class C, class Y and
class M shares. The trust commenced its public offering of class M
shares as follows:
<TABLE><CAPTION>
<S> <C>
FUND DATE
- ---------------------------------------------------------------------
Growth Portfolio February 3, 1995
Balanced Portfolio February 6, 1995
Conservative Portfolio February 7, 1995
- ---------------------------------------------------------------------
</TABLE>
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
subject 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 and class B 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 combination of Putnam Funds. Class M shares
are sold with a maximum front end sales charge of 3.50% and pay a
higher ongoing distribution fee than class A shares but lower than
class B and class C shares.
Expenses of the trust are borne pro- rata by the holders of each class
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 separate 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 conformity with generally accepted accounting
principles.
A SECURITY VALUATION Investments for which market quotations are
readily available are stated at market value, which is determined
using the last reported sale price, or, if no sales are reported -- as
in the case of some securities traded over-the-counter -- the last
reported bid price, except that certain U.S. government obligations
are stated at the mean between the last reported bid and asked prices.
Securities quoted in foreign currencies are translated into U.S.
dollars at the
<PAGE>
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 restricted
securities, are stated at fair value following procedures approved by
the Trustees. Market quotations are not considered to be readily
available for certain 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 Trustees, which
determines valuations for normal, institutional-size trading units of
such securities using methods based on market transactions for
comparable securities and various relationships between securities
that are generally recognized by institutional traders. (See Sections
F, G and H of Note 1 with respect to valuation of TBA and purchase
commitments, futures and options contracts and forward currency
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 companies managed by Putnam
Investment Management, Inc. (Putnam Management), the funds' Manager, a
wholly-owned subsidiary of Putnam Investments, Inc. and certain 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, receives 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. Putnam Management 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). Interest income is recorded on the accrual
basis and dividend income is recorded on the ex-dividend date, except
that certain dividends from foreign securities are recorded as soon as
a fund is informed of the ex-dividend date.
Discount on zero coupon bonds, original issue, stepped-coupon and
payment in kind bonds is accreted according to the effective yield
method.
E FOREIGN CURRENCY TRANSLATION The accounting records of the trust
are maintained in U.S. dollars. The market values of foreign
securities, currency holdings, other assets and liabilities are
recorded in the books and records of the trust after translation to
U.S. dollars based on the exchange rate on that day. The cost of each
security is determined using historical exchange rates. Income and
withholding taxes are translated at prevailing exchange rates when
accrued or incurred. The funds do not isolate that portion of realized
and unrealized gains or losses resulting from changes in the foreign
exchange rate on investments from fluctuations arising from changes in
the market prices of the securities. Such fluctuations are included
with the net realized and unrealized gain or loss on investments. Net
realized gains and losses on foreign currency transactions represent
net exchange gains or losses on closed forward currency contracts,
disposition of foreign currencies and the difference between the
amount of investment income and foreign withholding taxes recorded on
a fund's books and the U.S. dollar equivalent amounts actually
received
<PAGE>
or paid. Net unrealized gains and losses on foreign currency
transactions arise from changes in the value of open forward currency
contracts and assets and liabilities other than investments at the
period end, resulting from changes in the exchange rate.
F TBA PURCHASE COMMITMENTS The funds may enter into "TBA" (to be
announced) purchase commitments to purchase securities for a fixed
unit price at a future date beyond customary settlement time. Although
the unit price 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. A fund holds, and maintains
until settlement date, cash or high-grade debt obligations in an
amount sufficient to meet the purchase price, or a fund may enter into
offsetting 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 settlement date, which risk is in
addition to the risk of decline in the value of a fund's other assets.
Unsettled TBA purchase commitments are valued at the current market
value of the underlying securities according to the procedures
described under "Security valuation" above.
Although the funds will generally enter into TBA purchase commitments
with the intention of acquiring securities for their portfolio or for
delivery pursuant to options contracts they have entered into, a fund
may dispose of a commitment prior to settlement if Putnam Management
deem it appropriate to do so.
G FUTURES AND OPTIONS CONTRACTS The funds may use futures and
option contracts to hedge against changes in the values of securities
a fund owns or expects to purchase. The funds may also write options
on securities they own or in which they may invest to increase current
returns.
The potential risk to the funds is that the change in value of futures
and options contracts may not correspond to the change in value of the
hedged instruments. In addition, losses may arise from changes in the
value of the underlying instruments, if there is an illiquid secondary
market for the contracts, or if the counterparty to the contract is
unable to perform.
Futures contracts are valued at the quoted daily settlement prices
established by the exchange on which they trade. Exchange traded
options are valued at the last sale price, or if no sales are
reported, the last bid price for purchased options and the last ask
price for written options. Options traded over-the-counter are valued
using prices supplied by dealers.
H FORWARD CURRENCY CONTRACTS The funds may engage in forward
currency contracts, which are agreements between two parties to buy
and sell currencies at a set price on a future date, to protect
against a decline in value relative to the U.S. dollar of the
currencies in which portfolio securities are denominated or quoted (or
an increase in the value of a currency in which securities a fund
intends to buy are denominated, when a fund holds cash reserves and
short- term investments). The market value of the contract will
fluctuate with changes in currency exchange rates. The contract is
"marked to market" daily and the change in market value is recorded as
an unrealized gain or loss. When the contract is closed, the funds
record 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 the aggregate face value in U.S. dollars at the time the
contract was opened. A fund could
<PAGE>
be exposed to risk if the value of the currency changes unfavorably,
if the counterparties to the contracts are unable to meet the terms of
their contracts or if a fund is unable to enter into a closing
position.
I 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 Internal Revenue Code applicable to regulated
investment companies. It is also the intention of each fund to
distribute an amount sufficient to avoid imposition of any excise tax
under Section 4982 of the Internal Revenue Code of 1986. Therefore, no
provision has been made for federal taxes on income, capital gains or
unrealized appreciation of securities held and for excise tax on
income and capital gains.
J DISTRIBUTIONS TO SHAREHOLDERS Distributions to shareholders are
recorded by each fund on the ex- dividend date. The amount and
character of income and gains to be distributed are determined in
accordance with income tax regulations which may differ from generally
accepted accounting principles. These differences include treatment of
unrealized gains and losses on certain futures contracts, post-October
loss deferrals, losses on wash sale transactions, realized and
unrealized gains and losses on foreign currency contracts,
organizational expenses, amortization of bond premium, market discount
and paydown gains and losses on mortgage-backed securities.
Reclassifications are made to a fund's capital accounts to reflect
income and gains available for distribution (or available capital loss
carryovers) under income tax regulations. Reclassifications for the
year ended September 30, 1995 were as follows:
<TABLE><CAPTION>
<S> <C>
UNDISTRIBUTED NET
INVESTMENT INCOME
- ---------------------------------------------------------------------
Growth Portfolio $(52,125)
Balanced Portfolio (640,743)
Conservative Portfolio (381,850)
- ---------------------------------------------------------------------
ACCUMULATED NET
REALIZED GAIN (LOSS)
- ---------------------------------------------------------------------
Growth Portfolio $53,005
Balanced Portfolio 656,884
Conservative Portfolio 383,332
- ---------------------------------------------------------------------
ADDITIONAL
PAID-IN CAPITAL
- ---------------------------------------------------------------------
Growth Portfolio $(880)
Balanced Portfolio (16,141)
Conservative Portfolio (1,482)
- ---------------------------------------------------------------------
</TABLE>
K EXPENSE 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.
L UNAMORTIZED ORGANIZATION EXPENSES Expenses incurred by the trust
in connection with its organization, its registration with the
Securities and Exchange Commission and with various states, and the
initial public offering of its shares aggregated $39,790 allocated as
follow:
<TABLE>
<S> <C>
- ---------------------------------------------------------------------
Growth Portfolio $13,264
Balanced Portfolio 13,263
Conservative Portfolio 13,263
- ---------------------------------------------------------------------
</TABLE>
These expenses are being amortized by each fund on a straight-
line basis over a five-year period. The funds will reimburse Putnam
Management for the payment of these expenses.
NOTE 2
MANAGEMENT FEE, ADMINISTRATIVE SERVICES, AND OTHER TRANSACTIONS
Compensation of Putnam Management for management and investment
advisory services is paid quarterly based on the average net assets of
the fund.
<PAGE>
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.
Putnam Management agreed to reduce its compensation and, to the extent
necessary, limit expenses of the Growth and Balanced Portfolios until
December 31, 1994 and the Conservative portfolio until September 30,
1995, (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 Putnam Management and, to the extent
necessary, by Putnam Management's assumption of additional trust
expenses.
The trust also reimburses Putnam Management for the compensation and
related expenses of certain officers of the trust and their staff who
provide administrative services to the trust. The aggregate amount of
all such reimbursements is approved by the Trustees.
Trustees of the Trust receive an annual Trustee's fee as follows:
<TABLE>
<S> <C>
- ---------------------------------------------------------------------
Growth Portfolio $850
Balanced Portfolio 880
Conservative Portfolio 760
- ---------------------------------------------------------------------
</TABLE>
Trustees receive an additional fee for each Trustees' meeting
attended. Trustees who are not interested persons of Putnam Management
and who serve on committees of the Trustees receive additional fees
for attendance at certain committee meetings.
During the year ended September 30, 1995, the funds adopted a Trustee
Fee Deferral Plan (the "Plan") which allows the Trustees to defer the
receipt of all or a portion of Trustees fees payable on or after July
1, 1995. The deferred fees remain in each fund and are invested in the
funds or in other Putnam funds until distribution in accordance with
the Plan.
Custodial functions for each of the funds' assets are provided by
Putnam Fiduciary Trust Company (PFTC), a subsidiary of Putnam
Investments, Inc. Investor servicing agent functions are provided by
Putnam Investor Services, a division of PFTC.
For the year ended September 30, 1995, fund expenses were reduced by
$98,923, $136,819 and $45,798, for Growth, Balanced and Conservative,
respectively, under expense offset arrangements with PFTC and
brokerage service arrangements. Investor servicing and custodian fees
reported in the Statement of operations exclude these credits. The
funds could have invested a portion of the assets utilized in
connection with the offset arrangements in an income- producing asset
if it had not entered into such arrangements.
Each fund has adopted distribution plans (the "Plans") with respect to
its class A, class B, class C and class M shares pursuant to Rule 12b-
1 under the Investment Company Act of 1940. The purpose of the Plans
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 shares of each fund. The Plans provide
for payments by the funds to Putnam Mutual Funds Corp. at an annual
rate of up to 0.35%, 1.00%, 1.00% and 1.00% of the average net assets
attributable to class A,class B, class C and class M shares,
respectively. The Trustees have approved payment by each fund at an
annual rate of 0.25%, 1.00%, 1.00% and 0.75% of the average net assets
attributable to class A,
<PAGE>
class B, class C and class M shares, respectively.
For the period ended September 30, 1995, Putnam Mutual Funds Corp.,
acting as underwriter received net commissions of $399,044 and $20,735
from the sale of class A and M shares and $576,831and $8,186 in
contingent deferred sales charges from redemptions of class B and C
shares. A deferred sales charge of up to 1% is assessed on certain
redemptions of class A shares. For the year ended September 30, 1995,
Putnam Mutual Funds Corp., acting as underwriter received $8,947 on
class A redemptions.
NOTE 3
PURCHASES AND SALES OF SECURITIES
During the year ended September 30, 1995, aggregate purchases and
sales of investment securities other than short- term investments were
as follows:
<TABLE><CAPTION>
<S> <C> <C>
U.S. GOVERNMENT OBLIGATIONS
- ---------------------------------------------------------------------
PURCHASES SALES
- ---------------------------------------------------------------------
Growth Portfolio $26,800,309 $20,289,529
Balanced Portfolio 74,148,091 64,213,692
Conservative Portfolio 83,759,598 69,018,504
- ---------------------------------------------------------------------
OTHER SECURITIES
- ---------------------------------------------------------------------
PURCHASES SALES
- ---------------------------------------------------------------------
Growth Portfolio $266,842,403 $120,353,608
Balanced Portfolio 354,889,420 225,692,335
Conservative Portfolio 107,103,446 66,655,375
- ---------------------------------------------------------------------
</TABLE>
In determining the net gain or loss on securities sold, the cost of
securities has been determined on the identified cost basis.
Written option transactions during the year are summarized as follows:
<TABLE><CAPTION>
<S> <C> <C>
GROWTH PORTFOLIO
- ---------------------------------------------------------------------
CONTRACT PREMIUMS
AMOUNT RECEIVED
- ---------------------------------------------------------------------
Contracts outstanding
at the beginning of
the year $-- $--
Options opened 4,180,000 45,827
Options expired -- --
Options closed (2,920,000) (40,409)
- ---------------------------------------------------------------------
WRITTEN OPTIONS OUTSTANDING
AT THE END OF THE PERIOD $1,260,000 $ 5,418
- ---------------------------------------------------------------------
BALANCED PORTFOLIO
- ---------------------------------------------------------------------
CONTRACT PREMIUMS
AMOUNT RECEIVED
- ---------------------------------------------------------------------
Contracts outstanding at the beginning of the year $--
$--
Options opened 14,876,000 172,018
Options expired (2,878,000) (57,507)
Options closed (8,458,000) (99,289)
- ---------------------------------------------------------------------
WRITTEN OPTIONS
OUTSTANDING AT THE END OF THE
PERIOD $3,540,000 $15,222
- ---------------------------------------------------------------------
CONSERVATIVE PORTFOLIO
- ---------------------------------------------------------------------
CONTRACT PREMIUMS
AMOUNT RECEIVED
- ---------------------------------------------------------------------
Contracts outstanding at the beginning of the year $--
$--
Options opened 7,210,000 81,439
Options expired (1,932,000) (26,956)
Options closed (3,458,000) (46,657)
- ---------------------------------------------------------------------
WRITTEN OPTIONS OUTSTANDING
AT THE END OF THE PERIOD $1,820,000 $7,826
- ---------------------------------------------------------------------
</TABLE>
NOTE 4
CAPITAL SHARES
At September 30, 1995 there was an unlimited number of shares of
beneficial interest authorized, divided into five classes of shares,
Class A, Class B, Class C, Class M and Class Y shares. Transactions in
capital shares were as follows:
<PAGE>
<TABLE><CAPTION>
<S> <C> <C>
YEAR ENDED SEPTEMBER 30
- ---------------------------------------------------------------------
CLASS A 1995
- ---------------------------------------------------------------------
GROWTH PORTFOLIO SHARES AMOUNT
- ---------------------------------------------------------------------
Shares sold 14,353,882 $127,971,056
Shares issued in
connection with reinvestment of
distributions 59,865 482,510
- ---------------------------------------------------------------------
Shares repurchased (7,449,039) (69,842,038)
- ---------------------------------------------------------------------
NET INCREASE 6,964,708 $58,611,528
- ---------------------------------------------------------------------
FOR THE PERIOD
FEBRUARY 8, 1994
(COMMENCEMENT
OF OPERATIONS) TO
SEPTEMBER 30
- ---------------------------------------------------------------------
CLASS A 1994
- ---------------------------------------------------------------------
GROWTH PORTFOLIO SHARES AMOUNT
- ---------------------------------------------------------------------
Shares sold 5,390,875 $44,610,117
Shares issued in
connection with reinvestment of
distributions -- --
- ---------------------------------------------------------------------
Shares repurchased (209,824) (1,732,275)
- ---------------------------------------------------------------------
NET INCREASE 5,181,051 $42,877,842
- ---------------------------------------------------------------------
YEAR ENDED SEPTEMBER 30
- ---------------------------------------------------------------------
CLASS B 1995
- ---------------------------------------------------------------------
GROWTH PORTFOLIO SHARES AMOUNT
- ---------------------------------------------------------------------
Shares sold 6,951,562 $61,045,632
Shares issued in
connection with reinvestment of
distributions 43,865 352,239
- ---------------------------------------------------------------------
Shares repurchased (1,379,271) (12,220,928)
- ---------------------------------------------------------------------
NET INCREASE 5,616,156 $49,176,943
- ---------------------------------------------------------------------
FOR THE PERIOD
FEBRUARY 16, 1994
(COMMENCEMENT
OF OPERATIONS) TO
SEPTEMBER 30
- ---------------------------------------------------------------------
CLASS B 1994
- ---------------------------------------------------------------------
GROWTH PORTFOLIO SHARES AMOUNT
- ---------------------------------------------------------------------
Shares sold 6,391,750 $52,522,856
Shares issued in
connection with reinvestment of
distributions -- --
- ---------------------------------------------------------------------
Shares repurchased (354,213) (2,954,048)
- ---------------------------------------------------------------------
NET INCREASE 6,037,537 $49,568,808
- ---------------------------------------------------------------------
YEAR ENDED SEPTEMBER 30
- ---------------------------------------------------------------------
CLASS C 1995
- ---------------------------------------------------------------------
GROWTH PORTFOLIO SHARES AMOUNT
- ---------------------------------------------------------------------
Shares sold 821,798 $7,132,757
Shares issued in
connection with reinvestment of
distributions 2,371 17,618
- ---------------------------------------------------------------------
Shares repurchased (66,382) (605,500)
- ---------------------------------------------------------------------
NET INCREASE 757,787 $6,544,875
- ---------------------------------------------------------------------
FOR THE PERIOD
SEPTEMBER 1, 1994
(COMMENCEMENT
OF OPERATIONS) TO
SEPTEMBER 30
- ---------------------------------------------------------------------
CLASS C 1994
- ---------------------------------------------------------------------
GROWTH PORTFOLIO SHARES AMOUNT
- ---------------------------------------------------------------------
Shares sold 45,905 $386,020
Shares issued in
connection with reinvestment of
distributions -- --
- ---------------------------------------------------------------------
Shares repurchased -- --
- ---------------------------------------------------------------------
NET INCREASE 45,905 $386,020
- ---------------------------------------------------------------------
YEAR ENDED SEPTEMBER 30
- ---------------------------------------------------------------------
CLASS Y 1995
- ---------------------------------------------------------------------
GROWTH PORTFOLIO SHARES AMOUNT
- ---------------------------------------------------------------------
Shares sold 5,637,392 $53,736,669
Shares issued in
connection with reinvestment of
distributions 2,026 16,310
- ---------------------------------------------------------------------
Shares repurchased (1,256,098) (12,169,703)
- ---------------------------------------------------------------------
NET INCREASE 4,383,320 $41,583,276
- ---------------------------------------------------------------------
FOR THE PERIOD
JULY 14, 1994
(COMMENCEMENT
OF OPERATIONS) TO
SEPTEMBER 30
- ---------------------------------------------------------------------
CLASS Y 1994
- ---------------------------------------------------------------------
GROWTH PORTFOLIO SHARES AMOUNT
- ---------------------------------------------------------------------
Shares sold 96,440 $808,146
Shares issued in
connection with reinvestment of
distributions -- --
- ---------------------------------------------------------------------
Shares repurchased (4,520) (38,281)
- ---------------------------------------------------------------------
NET INCREASE 91,920 $769,865
- ---------------------------------------------------------------------
<PAGE>
FEBRUARY 3, 1995
(COMMENCEMENT
OF OPERATIONS) TO
SEPTEMBER 30
- ---------------------------------------------------------------------
CLASS M 1995
- ---------------------------------------------------------------------
GROWTH PORTFOLIO SHARES AMOUNT
- ---------------------------------------------------------------------
Shares sold 333,330 $3,079,142
Shares issued in
connection with reinvestment of
distributions -- --
- ---------------------------------------------------------------------
Shares repurchased (17,517) (167,985)
- ---------------------------------------------------------------------
NET INCREASE 315,813 $2,911,157
- ---------------------------------------------------------------------
YEAR ENDED SEPTEMBER 30
- ---------------------------------------------------------------------
CLASS A 1995
- ---------------------------------------------------------------------
BALANCED PORTFOLIO SHARES AMOUNT
- ---------------------------------------------------------------------
Shares sold 12,676,147 $109,974,749
Shares purchased in
connection with reinvestment of
distributions 266,456 2,332,824
- ---------------------------------------------------------------------
Shares repurchased (3,735,484) (33,822,706)
- ---------------------------------------------------------------------
NET INCREASE 9,207,119 $78,484,867
- ---------------------------------------------------------------------
FOR THE PERIOD
FEBRUARY 7, 1994
(COMMENCEMENT
OF OPERATIONS) TO
SEPTEMBER 30
- ---------------------------------------------------------------------
CLASS A 1994
- ---------------------------------------------------------------------
BALANCED PORTFOLIO 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
- ---------------------------------------------------------------------
YEAR ENDED SEPTEMBER 30
- ---------------------------------------------------------------------
CLASS B 1995
- ---------------------------------------------------------------------
BALANCED PORTFOLIO SHARES AMOUNT
- ---------------------------------------------------------------------
Shares sold 8,479,183 $73,038,471
Shares purchased in
connection with reinvestment of
distributions 196,141 1,698,419
- ---------------------------------------------------------------------
Shares repurchased (1,913,610) (16,699,005)
- ---------------------------------------------------------------------
NET INCREASE 6,761,714 $58,037,885
- ---------------------------------------------------------------------
FOR THE PERIOD
FEBRUARY 11, 1994
(COMMENCEMENT
OF OPERATIONS) TO
SEPTEMBER 30
- ---------------------------------------------------------------------
CLASS B 1994
- ---------------------------------------------------------------------
BALANCED PORTFOLIO 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
- ---------------------------------------------------------------------
YEAR ENDED SEPTEMBER 30
- ---------------------------------------------------------------------
CLASS C 1995
- ---------------------------------------------------------------------
Balanced Portfolio Shares Amount
Shares sold 1,213,766 $10,392,267
Shares purchased in
connection with reinvestment of
distributions 8,482 61,714
- ---------------------------------------------------------------------
Shares repurchased (35,983) (322,975)
- ---------------------------------------------------------------------
NET INCREASE 1,186,265 $10,131,006
- ---------------------------------------------------------------------
FOR THE PERIOD
SEPTEMBER 1, 1994
(COMMENCEMENT
OF OPERATIONS) TO
SEPTEMBER 30
- ---------------------------------------------------------------------
CLASS C 1994
- ---------------------------------------------------------------------
BALANCED PORTFOLIO SHARES AMOUNT
- ---------------------------------------------------------------------
Shares sold 53,074 $440,839
Shares purchased in
connection with reinvestment of
distributions 24 191
- ---------------------------------------------------------------------
Shares repurchased -- --
- ---------------------------------------------------------------------
NET INCREASE 53,098 $441,030
- ---------------------------------------------------------------------
YEAR ENDED SEPTEMBER 30
- ---------------------------------------------------------------------
CLASS Y 1995
- ---------------------------------------------------------------------
BALANCED PORTFOLIO SHARES AMOUNT
- ---------------------------------------------------------------------
Shares sold 570,980 $5,007,677
Shares purchased in
connection with reinvestment of
distributions 188,914 1,632,242
- ---------------------------------------------------------------------
Shares repurchased (1,275,768) (11,050,442)
- ---------------------------------------------------------------------
NET DECREASE (515,874) $(4,410,523)
- ---------------------------------------------------------------------
<PAGE>
FOR THE PERIOD
JULY 5, 1994
(COMMENCEMENT
OF OPERATIONS) TO
SEPTEMBER 30
- ---------------------------------------------------------------------
CLASS Y 1994
- ---------------------------------------------------------------------
BALANCED PORTFOLIO 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
- ---------------------------------------------------------------------
FOR THE PERIOD
FEBRUARY 6, 1995
(COMMENCEMENT
OF OPERATIONS) TO
SEPTEMBER 30
- ---------------------------------------------------------------------
CLASS M 1995
- ---------------------------------------------------------------------
BALANCED PORTFOLIO SHARES AMOUNT
- ---------------------------------------------------------------------
Shares sold 372,713 $3,387,197
Shares issued in
connection with reinvestment of
distributions 2,154 20,066
- ---------------------------------------------------------------------
Shares repurchased (11,715) (111,247)
- ---------------------------------------------------------------------
NET INCREASE 363,152 $3,296,016
YEAR ENDED SEPTEMBER 30
- ---------------------------------------------------------------------
CLASS A 1995
- ---------------------------------------------------------------------
CONSERVATIVE
---------------------------------------------------------------------
PORTFOLIO SHARES AMOUNT
- ---------------------------------------------------------------------
Shares sold 5,500,165 $46,870,569
Shares issued in
connection with reinvestment
of distributions 64,785 581,106
- ---------------------------------------------------------------------
Shares repurchased (2,454,372) (20,455,442)
- ---------------------------------------------------------------------
NET INCREASE 3,110,578 $26,996,233
- ---------------------------------------------------------------------
FOR THE PERIOD
FEBRUARY 7, 1994
(COMMENCEMENT
OF OPERATIONS) TO
SEPTEMBER 30
- ---------------------------------------------------------------------
CLASS A 1994
- ---------------------------------------------------------------------
CONSERVATIVE
PORTFOLIO SHARES AMOUNT
- ---------------------------------------------------------------------
Shares sold 3,273,121 $27,077,525
Shares issued 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
- ---------------------------------------------------------------------
YEAR ENDED SEPTEMBER 30
- ----------------------------------------------------------------------
- -
CLASS B 1995
- ----------------------------------------------------------------------
- -
CONSERVATIVE
PORTFOLIO SHARES AMOUNT
- ----------------------------------------------------------------------
- -
Shares sold 3,690,750 $31,111,330
Shares issued in
connection with reinvestment of
distributions 56,433 503,950
- ----------------------------------------------------------------------
- -
Shares repurchased (1,275,100) (10,800,154)
- ----------------------------------------------------------------------
- -
NET INCREASE 2,472,083 $20,815,126
- ----------------------------------------------------------------------
- -
FOR THE PERIOD
FEBRUARY 18, 1994
(COMMENCEMENT
OF OPERATIONS) TO
SEPTEMBER 30
- ----------------------------------------------------------------------
- -
CLASS B 1994
- ----------------------------------------------------------------------
- -
CONSERVATIVE
PORTFOLIO 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
- ----------------------------------------------------------------------
- -
YEAR ENDED SEPTEMBER 30
- ----------------------------------------------------------------------
- -
CLASS C 1995
- ----------------------------------------------------------------------
- -
CONSERVATIVE
PORTFOLIO SHARES AMOUNT
- ----------------------------------------------------------------------
- -
Shares sold 803,430 $6,783,192
Shares purchased in
connection with reinvestment of
distributions 6,822 60,859
- ----------------------------------------------------------------------
- -
Shares repurchased (56,504) (482,246)
- ----------------------------------------------------------------------
- -
NET INCREASE 753,748 $6,361,805
- ----------------------------------------------------------------------
- -
FOR THE PERIOD
SEPTEMBER 1, 1994
(COMMENCEMENT
OF OPERATIONS) TO
SEPTEMBER 30
- ----------------------------------------------------------------------
- -
CLASS C 1994
- ----------------------------------------------------------------------
- -
CONSERVATIVE
PORTFOLIO SHARES AMOUNT
- ----------------------------------------------------------------------
- -
Shares sold 33,186 $272,913
Shares purchased in
connection with reinvestment of
distributions 17 141
- ----------------------------------------------------------------------
- -
Shares repurchased EE-- EE--
- ----------------------------------------------------------------------
- -
NET INCREASE 33,203 $273,054
- ----------------------------------------------------------------------
- -
<PAGE>
YEAR ENDED SEPTEMBER 30
- ----------------------------------------------------------------------
- -
CLASS Y 1995
- ----------------------------------------------------------------------
- -
CONSERVATIVE
PORTFOLIO SHARES AMOUNT
- ----------------------------------------------------------------------
- -
Shares sold 193,082 $1,672,448
Shares purchased in
connection with reinvestment of
distributions 2,234 20,103
- ----------------------------------------------------------------------
- -
Shares repurchased (17,269) (151,939)
- ----------------------------------------------------------------------
- -
NET INCREASE 178,047 $1,540,612
- ----------------------------------------------------------------------
- -
FOR THE PERIOD
JULY 14, 1994
(COMMENCEMENT
OF OPERATIONS) TO
SEPTEMBER 30
- ----------------------------------------------------------------------
- -
CLASS Y 1994
- ----------------------------------------------------------------------
- -
CONSERVATIVE
PORTFOLIO 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
- ----------------------------------------------------------------------
- -
FOR THE PERIOD
FEBRUARY 7, 1995
(COMMENCEMENT
OF OPERATIONS) TO
SEPTEMBER 30
- ----------------------------------------------------------------------
- -
CLASS M 1995
- ----------------------------------------------------------------------
- -
CONSERVATIVE
PORTFOLIO SHARES AMOUNT
- ----------------------------------------------------------------------
- -
Shares sold 160,768 $1,386,854
Shares purchased in
connection with reinvestment of
distributions 732 6,702
- ----------------------------------------------------------------------
- -
Shares repurchased (12,580) (111,656)
- ----------------------------------------------------------------------
- -
NET increase 148,920 $1,281,900
- ----------------------------------------------------------------------
- -
</TABLE>
<PAGE>
FEDERAL TAX INFORMATION
(Unaudited)
The funds have designated 31.00%, 19.67% and 9.04% of the
distributions from net investment income for the Growth, Balanced and
Conservative Portfolios respectively, as qualifying for the dividends
received deduction for corporations.
The form you will receive in January 1996 will show the tax status of
all of all distributions paid to your account in the calendar year
1995.
<PAGE>
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
Eli Shapiro
A.J.C. Smith
W. Nicholas Thorndike
OFFICERS
George Putnam
President
Charles E. Porter
Executive Vice President
Patricia C. Flaherty
Senior Vice President
Lawrence J. Lasser
Vice President
Gordon H. Silver
Vice President
Peter Carman
Vice President and Fund Manager
Gary N. Coburn
Vice President and Fund Manager
William J. Landes
Vice President and Fund Manager
William N. Shiebler
Vice President
John R. Verani
Vice President
Paul M. O'Neil
Vice President
John D. Hughes
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 objectives, and operating policies of the
fund, and the most recent copy of Putnam's Quarterly Performance
Summary. For more information or to request a prospectus, call toll
free 1-800-225-1581.
SHARES OF MUTUAL FUNDS ARE NOT DEPOSITS OR OBLIGATIONS OF, OR
GUARANTEED OR ENDORSED BY, ANY FINANCIAL INSTITUTION, ARE NOT INSURED
BY THE FEDERAL DEPOSIT INSURANCE CORPORATION (FDIC), THE FEDERAL
RESERVE BOARD OR ANY OTHER AGENCY, AND INVOLVE RISK, INCLUDING THE
POSSIBLE LOSS OF PRINCIPAL AMOUNT INVESTED.
<PAGE>
PUTNAM INVESTMENTS
THE PUTNAM FUNDS
One Post Office Square
Boston, Massachusetts 02109
BULK RATE
U.S. POSTAGE
PAID
PUTNAM
INVESTMENTS
20964-259/250 11/95
<PAGE>
APPENDIX TO FORM N-30D FILINGS TO DESCRIBE DIFFERENCES BETWEEN PRINTED
AND EDGAR-FILED TEXTS.
(1) Rule lines for tables are omitted.
(2) Italic typefaces is displayed in normal type.
(3) Boldface type is displayed in capital letters.
(4) Headers (e.g. the names of the fund) and footers (e.g. page
numbers and OThe accompanying notes are an integral part of these
financial statementsO) are omitted.
(5) Because the printed page breaks are not reflected, certain
tabular and columnar headings and symbols are displayed
differently in this filing.
(6) Bullet points and similar graphic symbols are omitted.
(7) Page numbering is different.
