PUTNAM
ASSET
ALLOCATION
FUNDS
SEMIANNUAL REPORT
March 31, 1996
[LOGO]
BOSTON * LONDON * TOKYO
<PAGE>
PERFORMANCE HIGHLIGHTS
PUTNAM ASSET ALLOCATION FUNDS consist of three portfolios that target
investors' various life stages and financial goals.
GROWTH PORTFOLIO is designed to seek maximum growth of an investment
over time.
[BAR CHART]
PORTFOLIO STRUCTURE AS OF 3/31/96
- -----------------------------------------------------
Large-cap growth stocks 26%
Small-cap growth stocks 16%
Value stocks 26%
International equities 22%
Domestic fixed-income securities 0%
International fixed-income securities 2%
High-yield securities 6%
Cash and money market securities 2%
BALANCED PORTFOLIO is designed to seek total return for investors in
their peak accumulation years.
[BAR CHART]
PORTFOLIO STRUCTURE AS OF 3/31/96
- -----------------------------------------------------
Large-cap growth stocks 20%
Small-cap growth stocks 10%
Value stocks 21%
International equities 26%
Domestic fixed-income securities 0%
International fixed-income securities 9%
High-yield securities 13%
Cash and money market securities 1%
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]
PORTFOLIO STRUCTURE AS OF 3/31/96
- -----------------------------------------------------
Large-cap growth stocks 10%
Small-cap growth stocks 6%
Value stocks 11%
International equities 16%
Domestic fixed-income securities 28%
International fixed-income securities 14%
High-yield securities 11%
Cash and money market securities 4%
Allocations in each portfolio will vary over time.
<PAGE>
FROM THE CHAIRMAN
[PHOTO OF GEORGE PUTNAM]
(C) KARSH, OTTAWA
DEAR SHAREHOLDER:
DURING THE SIX MONTHS ENDED MARCH 31, 1996, ALL THREE PORTFOLIOS OF
PUTNAM ASSET ALLOCATION FUNDS EXEMPLIFIED THE BENEFITS OF INVESTING IN
A GLOBALLY ORIENTED PORTFOLIO OF STOCKS AND FIXED-INCOME SECURITIES.
STOCK MARKETS WORLDWIDE TURNED IN GENERALLY STRONG GAINS DURING THE
FUNDS' SEMIANNUAL PERIOD EVEN AS U.S. INTEREST RATES ROSE
DRAMATICALLY. WITHIN THE FIXED-INCOME SECTOR, THE U.S. BOND MARKET
DECLINED ON REPORTS THAT THE ECONOMY WAS STRONGER THAN EXPECTED.
DESPITE THIS ENVIRONMENT, THE U.S. HIGH-YIELD SECTOR PROVIDED
RELATIVELY GOOD RETURNS. IN PUTNAM MANAGEMENT'S VIEW, THE HIGH-YIELD
SECTOR SHOULD CONTINUE TO SHOW GAINS. THE PERFORMANCE POTENTIAL FOR
INTERNATIONAL BONDS ALSO LOOKS PROMISING OVER THE NEAR TERM.
IN ASSESSING PROSPECTS FOR THE SECOND HALF OF FISCAL 1996, YOUR FUND'S
MANAGEMENT TEAM EXPECTS THAT DOMESTIC STOCKS SHOULD OUTPERFORM BONDS,
AND INTERNATIONAL STOCKS SHOULD DO EVEN BETTER. FUND MANAGEMENT ALSO
BELIEVES INTERNATIONAL BONDS SHOULD OUTPERFORM OTHER FIXED-INCOME
SECTORS. A FULL REPORT ON PERFORMANCE AND PROSPECTS FOLLOWS.
RESPECTFULLY YOURS,
/s/GEORGE PUTNAM
GEORGE PUTNAM
CHAIRMAN OF THE TRUSTEES
MAY 15, 1996
<PAGE>
REPORT FROM THE FUND MANAGERS
PETER CARMAN
GARY N. COBURN
WILLIAM J. LANDES
Putnam Asset Allocation Funds' solid performance continues to earn
high marks from industry analysts. Considered part of the global
flexible portfolio category by Lipper Analytical Services, an industry
research firm, all three portfolios fared well relative to the 66
funds tracked over the 12 months ended March 31, 1996. Putnam Asset
Allocation: Growth Portfolio's class A shares earned the highest
honors; it ranked first out of all such funds tracked for the period.
The Balanced Portfolio's class A shares ranked ninth, while the
Conservative Portfolio's class A shares ranked 32 in the category.
Lipper rankings are based on total return performance, vary over time,
and do not include the effects of sales charges. Results for other
share classes will differ. Past performance is not indicative of
future results.
U.S. ECONOMIC AND MARKET ENVIRONMENT
During the six months ended March 31, 1996, the U.S. stock market
turned in decisive gains even as interest rates rose rather sharply.
Faltering under the impact of a stronger-than- expected economy and
unanticipated interest rate increases, U.S. bond markets turned in a
poor performance.
Stocks. The stock market's ability to rise in the context of a
negative interest-rate environment is testimony to the underlying
strength of corporate America. The industrial sector of the U.S. is
more competitive globally than it has been in decades. Productivity is
sharply higher, costs are well contained, and consequently, return on
equity to the typical U.S. company has been -- and continues to be --
very high. We believe the restructuring of U.S. industry that has
taken place over the past decade has positioned U.S. corporations for
continued success and enduring profitability.
However, history has shown that stock prices are sensitive to large
swings in interest rates, such as the one we are currently
<PAGE>
experiencing. Furthermore, other factors suggest that equities may now
have less of a cushion against the effects of rate changes than has
been the case for some time. Following the sharp gains in 1995, Putnam
Management believes that stocks are fully valued. We are somewhat
cautious with respect to U.S. equities over the short term and believe
an increased emphasis on international equities is appropriate.
Bonds. The bond market began 1996 both overbought and overvalued --
primarily the result of investors' overreaction to the backdrop of
benign inflation, slow economic growth, and an easing Federal Reserve
Board policy. As the market sold off in February 1996, the
overvaluation was resolved. However, with the onslaught of reports of
a strong economy and building inflation pressures, the fundamental
underpinnings of the market have deteriorated significantly.
Within the U.S. fixed-income market, high-yield bonds have performed
well relative to investment-grade alternatives during the quarter. We
believe a strengthening economy will enhance the creditworthiness of
issuers of high-yield securities in the months ahead. Going forward,
we expect this sector to continue its outperformance but to a degree
that is more consistent with historical averages.
WORLD FIXED-INCOME MARKETS*
[MOUNTAIN CHART]
U.S. HIGH-YIELD U.S. GOVERNMENT
Date BONDS(1) SECURITIES(2) INTERNATIONAL BONDS(3)
- ----------------------------------------------------------------------
3/31/95 $10,000 $10,000 $10,000
4/30/95 $10,222 $10,140 $10,214
5/31/95 $10,511 $10,532 $10,437
6/30/95 $10,580 $10,609 $10,489
7/31/95 $10,744 $10,586 $10,545
8/31/95 $11,774 $10,714 $9,942
9/30/95 $10,898 $10,818 $10,234
10/31/95 $11,019 $10,959 $10,267
11/30/95 $11,070 $11,123 $10,357
12/31/95 $11,211 $11,279 $10,447
1/31/96 $11,424 $11,353 $10,215
2/28/96 $11,485 $11,156 $10,245
3/31/96 $11,454 $11,078 $10,270
- ----------------------------------------------------------------------
Sources: (1)First Boston High Yield Bond Index; (2)Lehman Brothers
Aggregate Bond Index; (3)Salomon Brothers Non-U.S. World Government
Bond Index. See page 12 for descriptions of the indexes.
<PAGE>
GLOBAL ECONOMIC ENVIRONMENT
Recently international equity markets have also performed well.
European bond markets have outperformed the U.S. market and in
Putnam's opinion, should continue to do so, as fundamentals are
becoming decisively more supportive in Europe.
Stocks. During the period, the Japanese and German equity markets have
outperformed the Standard & Poor's 500 Index by a significant margin.
With the economic cycle in both Europe and Japan lagging the cycle in
the United States, we anticipate continued outperformance. In contrast
to the U.S interest rate environment, foreign rate environments are
relatively benign, and foreign economies are consequently more likely
to accelerate.
We continue to expect that the Japanese economy will be among the
world's fastest growing in 1996. Recently economic data suggest that
both consumer spending and business investment are on the rise, and
the Japanese equity market has been soaring. As long as the recovery
in Japan remains intact, Putnam Management continues to expect
outperformance from this market. The three portfolios have
overweighted positions in foreign stock markets, as relative value
continues to favor these markets.
Bonds. While the U.S. economy has been surging, the German economy has
been languishing. Unemployment in Germany is at its post-war high, and
there are indications that the country may be entering a recession.
Elsewhere, Japanese bonds remain overvalued. At the end of your fund's
semiannual period, officials in Japan hinted that the economic
recovery currently underway there will ultimately lead to increases in
short-term interest rates.
Overall we believe international bonds will outperform U.S. bonds for
the next 6 to 12 months and are positioning the portfolios
accordingly.
<PAGE>
WORLD EQUITY MARKETS
[MOUNTAIN CHART]
LARGE-CAP SMALL-CAP
DATE GROWTH STOCKS(1) GROWTH STOCKS(2) INTERNATIONAL STOCKS(3)
- --------------------------------------------------------------------
3/31/95 $10,000 $10,000 $10,000
4/30/95 $10,294 $10,222 $10,346
5/31/95 $10,705 $10,398 $10,432
6/30/95 $10,953 $10,938 $10,427
7/31/95 $11,316 $11,568 $10,946
8/31/95 $11,345 $11,807 $10,700
9/30/95 $11,823 $12,018 $11,009
10/31/95 $11,781 $11,480 $10,834
11/30/95 $12,297 $11,963 $11,207
12/31/95 $12,534 $12,278 $11,533
1/31/96 $12,960 $12,265 $11,739
2/28/96 $13,081 $12,647 $11,808
3/31/96 $13,207 $12,905 $12,002
- --------------------------------------------------------------------
Sources: (1)Standard & PoorOs" 500 Index; (2)Russell 2000 Index;
(3)Morgan Stanley Capital International (MSCI) World Index. See page
12 for descriptions of the indexes.
STRATEGY AND OUTLOOK
Going forward, Putnam Management looks for moderate U.S. economic
growth and impressive growth overseas. We believe the current economic
environment, coupled with increasing global liquidity, should provide
an opportunity for stocks to outperform bonds. Furthermore,
international stocks, as measured in their local currency, appear to
have the potential to outperform U.S. stocks for the remainder of
1996. We also expect that international bonds will perform slightly
better than U.S. bonds in 1996. Consequently this perspective is
likely to shape allocations for all three asset allocation portfolios
over the remainder of the fiscal year.
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 3/31/96, there is no guarantee
the funds will continue to hold these securities in the future.
International investing may include risks such as currency
fluctuations, economic instability, 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.
<PAGE>
PORTFOLIO AND PERFORMANCE SUMMARY:
GROWTH PORTFOLIO
TOTAL RETURN FOR PERIODS ENDED 3/31/96
Change in value during period plus reinvested distributions
<TABLE><CAPTION>
INCEPTION
DATES CLASS A CLASS B CLASS C CLASS M
(2/8/94) (2/16/94) (9/1/94) (2/3/95)
<S> <C> <C> <C> <C> <C> <C> <C> <C>
NAV POP NAV CDSC NAV CDSC NAV POP
- ----------------------------------------------------------------------
6 months 9.48% 3.22% 9.26% 4.26% 9.19% 8.19% 9.34% 5.54%
- ----------------------------------------------------------------------
1 year 26.60 19.33 25.79 20.79 25.64 24.64 25.94 21.47
- ----------------------------------------------------------------------
Life of
class 30.78 23.24 28.95 25.95 29.37 29.37 30.45 25.94
Annual
average 13.30 10.21 12.72 11.48 17.70 17.70 25.75 22.00
- ----------------------------------------------------------------------
PRICE AND DISTRIBUTION INFORMATION
6 months ended 3/31/96
CLASS A CLASS B CLASS C CLASS M
SHARE VALUE NAV POP NAV NAV NAV POP
- ----------------------------------------------------------------------
9/30/95 $10.06 $10.67 $9.97 $9.93 $10.01 $10.37
- ----------------------------------------------------------------------
3/31/96 10.52 11.16 10.45 10.40 10.47 10.85
- ----------------------------------------------------------------------
CAPITAL GAINS
INVESTMENT LONG- SHORT-
DISTRIBUTIONS NUMBER INCOME TERM TERM TOTAL
- -----------------------------------------------------------------
Class A 1 $0.190 $0.113 $0.161 $0.464
- -----------------------------------------------------------------
Class B 1 0.143 0.113 0.161 0.417
- -----------------------------------------------------------------
Class C 1 0.143 0.113 0.161 0.417
- -----------------------------------------------------------------
Class M 1 0.172 0.113 0.161 0.446
- -----------------------------------------------------------------
<FN>
Performance data represent past results and an expense limitation in
effect until 12/31/94. Without the limitation, the fund's total return
would have been lower. For additional performance details, see page
11. POP assumes 5.75% maximum sales charge. for class A shares, and
3.50% for class M shares. CDSC reflects the maximum applicable
contingent deferred sales charge, which is 5% for class B shares and
1% for class C shares. Investment returns and net asset value will
fluctuate so an investor's shares, when sold, may be worth more or
less than their original cost.
</TABLE>
<PAGE>
PORTFOLIO AND PERFORMANCE SUMMARY:
BALANCED PORTFOLIO
TOTAL RETURN FOR PERIODS ENDED 3/31/96
Change in value during period plus reinvested distributions
<TABLE><CAPTION>
CLASS A CLASS B CLASS C CLASS M
INCEPTION DATES (2/7/94) (2/11/94) (9/1/94) (2/6/95)
NAV POP NAV CDSC NAV CDSC NAV POP
<S> <C> <C> <C> <C> <C> <C> <C> <C>
- --------------------------------------------------------------------
6 months 8.58% 2.33% 8.23% 3.23% 8.14% 7.14% 8.58% 4.78%
- --------------------------------------------------------------------
1 year 23.85 16.76 23.08 18.08 23.02 22.02 23.88 19.54
- --------------------------------------------------------------------
Life of class 27.01 19.69 25.11 22.11 26.41 26.41 27.54 23.11
Annual average 11.76 8.72 11.54 10.22 15.99 15.99 23.55 19.82
- --------------------------------------------------------------------
PRICE AND DISTRIBUTION INFORMATION
6 months ended 3/31/96
CLASS A CLASS B CLASS C CLASS M
SHARE VALUE NAV POP NAV NAV NAV POP
- --------------------------------------------------------------------
9/30/95 $9.67 $10.26 $9.64 $9.62 $9.66 $10.01
- --------------------------------------------------------------------
3/31/96 9.99 10.60 9.96 9.93 10.00 10.36
- --------------------------------------------------------------------
CAPITAL GAINS
INVESTMENT LONG- SHORT-
DISTRIBUTIONS NUMBER INCOME TERM TERM TOTAL
Class A 2 $0.195 $0.111 $0.178 $0.484
- --------------------------------------------------------------------
Class B 2 0.161 0.111 0.178 0.450
- --------------------------------------------------------------------
Class C 2 0.161 0.111 0.178 0.450
- --------------------------------------------------------------------
Class M 2 0.176 0.111 0.178 0.465
- --------------------------------------------------------------------
<FN>
Performance data represent past results and an expense limitation in
effect until 12/31/94. Without the limitation, the fund's total return
would have been lower. For additional performance details, see page
11. POP assumes 5.75% maximum sales charge for class A shares, and
3.50% for class M shares. CDSC reflects the maximum applicable
contingent deferred sales charge, which is 5% for class B shares and
1% for class C shares. Investment returns and net asset value will
fluctuate so an investor's shares, when sold, may be worth more or
less than their original cost.
</TABLE>
<PAGE>
CONSERVATIVE PORTFOLIO
TOTAL RETURN FOR PERIODS ENDED 3/31/96
Change in value during period plus reinvested distributions
<TABLE><CAPTION>
CLASS A CLASS B CLASS C CLASS M
INCEPTION DATES (2/7/94) (2/18/94) (9/1/94) (2/7/95)
NAV POP NAV CDSC NAV CDSC NAV POP
- --------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
6 months 6.11% 0.02% 5.74% 0.74% 5.64% 4.64% 5.78% 2.11%
- --------------------------------------------------------------------
1 year 17.51 10.79 16.58 11.58 16.66 15.66 17.06 13.02
- --------------------------------------------------------------------
Life of class 19.29 12.42 17.41 14.41 19.89 19.89 20.50 16.25
Annual average 8.55 5.60 8.22 6.85 12.17 12.17 17.60 13.98
- --------------------------------------------------------------------
PRICE AND DISTRIBUTION INFORMATION
6 months ended 3/31/96
CLASS A CLASS B CLASS C CLASS M
SHARE VALUE NAV POP NAV NAV NAVPOP
- --------------------------------------------------------------------
9/30/95 $9.19 $9.75 $9.16 $9.15 $9.18$9.51
- --------------------------------------------------------------------
3/31/96 9.32 9.89 9.29 9.27 9.30 9.64
- --------------------------------------------------------------------
CAPITAL GAINS
INVESTMENT LONG- SHORT-
DISTRIBUTIONS NUMBER INCOME TERM TERM TOTAL
- --------------------------------------------------------------------
Class A 2 $0.240 $0.058 $0.122 $0.420
- --------------------------------------------------------------------
Class B 2 0.206 0.058 0.122 0.386
- --------------------------------------------------------------------
Class C 2 0.206 0.058 0.122 0.386
- --------------------------------------------------------------------
Class M 2 0.220 0.058 0.122 0.400
- --------------------------------------------------------------------
<FN>
Performance data represent past results and an expense limitation in
effect until 9/30/95. Without the limitation, the fund's total return
would have been lower. For additional performance details, see page
11. POP assumes 5.75% maximum sales charge for class A shares, and
3.50% for class M shares. CDSC reflects the maximum applicable
contingent deferred sales charge, which is 5% for class B shares and
1% for class C shares. Investment returns and net asset value will
fluctuate so an investor's shares, when sold, may be worth more or
less than their original cost.
</TABLE>
<PAGE>
COMPARATIVE PERFORMANCE
(Cumulative total returns)
<TABLE><CAPTION>
LEHMAN STANDARD RUSSELL FIRST BOSTON
AGGREGATE & POOR'S 2000 HIGH YIELD
BOND INDEX 500 INDEX INDEXBOND
INDEX
<S> <C> <C> <C> <C>
- --------------------------------------------------------------------
6 months 2.41% 11.70% 7.38% 5.10%
- --------------------------------------------------------------------
1 year 10.79 32.07 29.05 14.54
- --------------------------------------------------------------------
Life of classes A, B(1) 11.47 42.00 28.51 16.68
Annual average 5.15 17.60 12.30 7.39
- --------------------------------------------------------------------
Life of class C(2) 15.09 41.35 32.06 20.36
Annual average 9.29 24.44 19.21 12.42
- --------------------------------------------------------------------
Life of class M(3) 14.12 41.25 36.73 18.68
Annual Average 12.02 34.56 30.85 15.85
- --------------------------------------------------------------------
<FN>
(1)For the period 1/31/94 through 3/31/96; inception date for Growth
Portfolio is 2/8/94, for Balanced and Conservative portfolios;
class A inception dates 2/7/94. The inception dates for class B
shares are 2/16/94, 2/11/94, and 2/18/94.
(2)For the period 9/1/94 through 3/31/96; Growth, Balanced, and
Conservative portfolios class C inception dates are 9/1/94.
(3)For the period 1/31/95 through 3/31/96; Growth, Balanced, and
Conservative portfolios' class M inception dates are 2/3/95,
2/6/95, and 2/7/95.
</TABLE>
COMPARATIVE BENCHMARKS
LEHMAN BROTHERS AGGREGATE BOND INDEX is an unmanaged list consisting
of securities from Lehman Brothers Government/Corporate Bond Index,
Mortgage-Backed Securities Index, and the Asset-Backed Securities
Index.
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.
MORGAN STANLEY CAPITAL INTERNATIONAL (MSCI) WORLD INDEX is an
unmanaged list of equity securities listed on the stock exchanges of
Europe, Canada, Australia, New Zealand, and the Far East, with values
expressed in U.S. dollars.
SALOMON BROTHERS NON-U.S. WORLD GOVERNMENT BOND INDEX is an unmanaged
list of bonds issued by 10 countries.
The performance of each index will differ from that of the funds,
assume 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. It is not
possible to invest directly into an index. Past performance is not
indicative of future results.
<PAGE>
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 all your fund's 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 or C shares and assumes redemption
at the end of the period. Your funds' CDSC declines for class B shares
from a 5% maximum during the first year to 1% during the sixth year.
After the sixth year, CDSC no longer applies. The CDSC for class C
shares is 1% for one year after purchase.
<PAGE>
A PUTNAM PERSPECTIVE ON RISK AND REWARD
You've probably been told how important it is to understand the
relationship between an investment's potential rewards and its
accompanying risks. Given the cautionary nature of such instructions,
it may take most investors a while to realize that risk has a positive
side.
EVERY RISK SIGNALS A POTENTIAL REWARD. Selecting only those
investments that offer the greatest degree of security generally leads
to only modest rewards. Furthermore, even insured or guaranteed
investments may be subject to changes in their rates of return or, in
some cases, in their principal values. Experienced investors know that
no investment is truly risk free and are therefore willing to take on
some measure of risk in order to increase their potential gains.
THE GREATER THE RISK, THE GREATER THE POTENTIAL REWARD. Accepting an
appropriate level of investment risk can give you a better chance of
outpacing inflation over time and seeking to maximize your
investment's return. How much risk? Your financial advisor's feedback
and your time horizon can make all the difference in determining how
much risk is compatible with your investment goals and your peace of
mind.
FITTING YOUR FUND SELECTION TO YOUR RISK TOLERANCE
How do you find the right balance between investment risks and their
potential rewards? It's helpful to understand the types of risks that
can apply to different types of investments, and to look at your own
portfolio with this perspective.
For short-term goals, your first priority may be managing market risk.
Longer-term investors may be more concerned with inflation risk. And
all income-oriented investors should consider interest-rate, credit,
and prepayment risks carefully. Within each of Putnam's four
investment categories, you can select funds with differing levels of
risk and reward potential to customize your portfolio.
<PAGE>
This list covers only the most general types of risks; however, each
investment will also have its own specific risks. You will find a more
detailed discussion of these risk considerations in each fund's
prospectus.
A RUNDOWN OF RISK TYPES
MARKET RISK Most important for stock funds, but relevant to all funds,
this is a measure of how sensitive a fund's holdings are to changes in
general market conditions. Remember, though, that securities that lose
value quickly in market declines may also show the strongest gains in
more favorable environments.
INTEREST-RATE RISK Since bond prices fall as interest rates rise, this
type of risk is a particular concern for fixed- income investors.
However, interest-rate increases can also have a substantial negative
effect on the stock market.
INFLATION RISK If your investments cannot keep pace with inflation,
your money will begin to lose its purchasing power. Stock investments
are generally considered among the best ways of addressing inflation
risk over the long term.
CREDIT AND PREPAYMENT RISK Credit risk is the concern that the
security's issuer will not be able to meet its payment, while
prepayment risk involves the premature payoff of a loan, with a
resulting loss of interest income. Professional management and in-
depth research are invaluable in managing both these risks.
LIQUIDITY RISK Not all investments can be readily converted into cash
at their perceived market values. Liquidity risk can affect the price
of securities held in the fund's portfolio and, thus, the fund's share
prices.
<PAGE>
PORTFOLIO OF INVESTMENTS OWNED
March 31, 1995 (Unaudited)
<TABLE><CAPTION>
GROWTH BALANCED CONSERVATIVE
76.5% 62.6% 35.7%
COMMON STOCKS* SHARES VALUE SHARES VALUE SHARES VALUE
AEROSPACE AND DEFENSE 1.6% 1.3% 0.7%
- --------------------------------------------------------------------------------
- -------------
<S> <C> <C> <C> <C> <C> <C>
Boeing Co. 23,000 $1,992,375 26,200 $2,269,575 4,700 $407,138
Lockheed Martin Corp. 43,900 3,330,913 50,100 3,801,338 9,100 690,463
Textron, Inc. 9,300 744,000 10,600 848,000 1,900 152,000
---------- ---------- ----------
6,067,288 6,918,913 1,249,601
AUTOMOTIVE 3.2% 2.8% 1.5%
- --------------------------------------------------------------------------------
- -------------
Autoliv AB (Sweden) -- -- 10,200 521,297 -- --
Bridgestone Corp. (Japan) 33,000 551,026 49,000 818,190 12,000 200,373
Custom Chrome, Inc.+ 9,850 240,094 8,725 212,672 1,475 35,953
Edaran Otomobil Nasional
Berhad (Malaysia) 15,000 134,426 26,000 233,004 7,000 62,732
General Motors Corp. 38,900 2,071,425 44,200 2,353,650 8,200 436,650
General Motors Corp.
Class H 49,000 3,099,250 55,700 3,523,025 10,100 638,825
Magna International, Inc.
Class A (Canada) 50,500 2,329,313 57,300 2,642,963 11,700 539,663
Michelin Corp. Class B
(Registered) (France) 12,000 571,610 17,570 836,932 4,430 211,019
Mitsubishi Motors Corp.
(Japan) 57,000 485,989 84,000 716,194 20,000 170,522
Peugeot Citroen S.A.
(France) 2,900 442,045 4,000 609,717 1,100 167,672
Varity Corp.+ 52,700 2,279,275 60,000 2,595,000 11,100 480,075
---------- ---------- ----------
12,204,453 15,062,644 2,943,484
BASIC INDUSTRIAL PRODUCTS 3.2% 2.6% 1.5%
- --------------------------------------------------------------------------------
- --------------
Ball Corp. 72,200 2,238,200 82,200 2,548,200 15,300 474,300
Case Corp. 26,500 1,348,188 30,200 1,536,425 5,400 274,725
Chargeurs S.A. (France) 1,100 281,419 -- -- 400 102,334
Computational Systems,
Inc.+ 4,600 81,650 4,100 72,775 600 10,650
Daikin Industries Ltd.
(Japan) 19,000 194,963 31,000 318,097 8,000 82,090
Danieli & Co. (Italy) 12,400 93,007 -- -- -- --
General Signal Corp. 66,600 2,414,250 75,800 2,747,750 14,000 507,500
Harnischfeger Industries,
Inc. 66,600 2,580,750 75,800 2,937,250 14,000 542,500
JLG Industries, Inc. 11,300 516,975 10,100 462,075 1,900 86,925
Mitsui Fudosan Co. Ltd.
(Japan) 55,000 497,155 78,000 705,056 20,000 180,784
Rieter Holding AG
(Registered) (Switzerland) 916 280,816 1,800 551,823 156 47,825
Sandvik AB Class B (Sweden)3,170 66,515 4,610 96,730 1,160 24,340
Sommer Allibert (France) 1,400 444,586 2,000 635,122 600 190,537
Sundstrand Corp. 22,500 916,875 25,500 1,039,125 4,600 187,450
Thermo Sentron, Inc.+ 2,800 44,800 2,500 40,000 500 8,000
Weir Group PLC (The)
(United Kingdom) -- -- 72,626 280,209 15,130 58,375
---------- ---------- ----------
12,000,149 13,970,637 2,778,335
BROADCASTING 1.0% 0.7% 0.4%
- --------------------------------------------------------------------------------
- --------------
American Radio Systems Corp.+8,400 283,500 7,500 253,125 1,700 57,375
BET Holdings, Inc. Class A+9,800 273,175 8,700 242,513 1,700 47,388
<PAGE>
GROWTH BALANCED CONSERVATIVE
COMMON STOCKS* SHARES VALUE SHARES VALUE SHARES VALUE
BROADCASTING (CONTINUED)
- --------------------------------------------------------------------------------
- --------------
Chancellor Broadcasting
Corp. Class A+ 3,300 $72,600 2,700 $59,400 600 $13,200
Clear Channel
Communications, Inc.+ 14,210 802,865 12,780 722,070 2,520 142,380
Evergreen Media Corp.
Class A+ 16,400 590,400 14,600 525,600 2,900 104,400
Heartland Wireless
Communications, Inc.+ 9,825 252,994 10,400 267,800 1,725 44,419
Paging Network, Inc.+ 7,430 185,750 10,860 271,500 1,620 40,500
Renaissance Communications
Corp.+ 5,365 133,454 4,690 116,664 970 24,129
SAGA Communications Inc,
Class A+ 12,200 259,250 10,825 230,031 1,825 38,781
Sinclair Broadcast Group,
Inc. Class A+ 5,700 151,050 5,200 137,800 1,100 29,150
Tele-Comm Liberty Media
Group, Inc. Class A+ 24,600 648,825 27,975 737,841 4,975 131,216
---------- ---------- ----------
3,653,863 3,564,344 672,938
BUILDING AND CONSTRUCTION 0.9% 0.9% 0.6%
- --------------------------------------------------------------------------------
- --------------
Barnett, Inc.+ 3,500 78,750 3,100 69,750 500 11,250
CRH PLC (Ireland) 74,000 648,359 106,800 935,740 26,000 227,802
Fluor Corp. 15,000 1,023,750 17,000 1,160,250 2,900 197,925
Lafarge Coppee (Bearer)
(France) 6,000 397,031 12,000 794,062 2,700 178,664
Shimizu Corp. (Japan)+ 34,000 371,082 50,000 545,709 10,000 109,142
Sungei Way Holdings Berhad
(Malaysia) 24,250 105,310 28,750 124,852 11,500 49,941
Tostem Corp. (Japan) 15,000 467,351 21,000 654,291 6,000 186,940
VA Technolgies AG
(Austria) 2,980 367,610 4,111 507,129 920 113,490
---------- ---------- ----------
3,459,243 4,791,783 1,075,154
BUSINESS EQUIPMENT AND SERVICES 3.1% 2.2% 1.4%
- --------------------------------------------------------------------------------
- --------------
Accustaff, Inc.+ 38,850 980,963 34,416 869,004 6,550 165,388
Affiliated Computer
Services, Inc. Class A+ 1,800 74,813 1,500 62,344 400 16,625
Alternative Resources
Corp.+ 11,900 386,750 10,500 341,250 2,050 66,625
CORT Business Services
Corp.+ 18,000 324,000 16,200 291,600 3,200 57,600
Cambridge Technology
Partners, Inc.+ 6,550 374,169 5,760 329,040 1,095 62,552
Career Horizons, Inc.+ 27,400 815,150 24,340 724,115 4,640 138,040
Corestaff, Inc.+ 8,400 256,200 7,650 233,325 1,500 45,750
Dai Nippon Printing Co.,
Ltd. (Japan) 30,000 545,709 40,000 727,612 11,000 200,093
Data Processing Resources
Corp.+ 11,000 302,500 9,800 269,500 1,900 52,250
F.Y.I., Inc.+ 10,200 170,850 9,100 152,425 1,800 30,150
First Data Corp. 17,200 1,212,600 19,600 1,381,800 3,400 239,700
General Motors Corp.
Class E 23,300 1,328,100 26,600 1,516,200 4,700 267,900
Glory Ltd. (Glory Kogyo)
(Japan) 12,000 388,433 --- -- -- --
HBO & Co. 8,700 819,975 9,900 933,075 1,800 169,650
Hewlett-Packard Co. 9,600 902,400 11,000 1,034,000 1,900 178,600
Komori Printing Machinery
Co., Ltd. (Japan) 15,000 380,597 20,000 507,463 8,000 202,985
Mecklermedia Corp.+ 4,600 55,200 4,100 49,200 600 7,200
<PAGE>
GROWTH BALANCED CONSERVATIVE
COMMON STOCKS* SHARES VALUE SHARES VALUE SHARES VALUE
BUSINESS EQUIPMENT AND SERVICES (CONTINUED)
- --------------------------------------------------------------------------------
- --------------
Mecon, Inc.+ 3,800 $75,050 3,500 $69,125 600 $11,850
Robert Half International,
Inc.+ 15,123 735,356 13,414 652,256 2,362 114,852
SOS Staffing Services,
Inc.+ 12,900 143,513 12,000 133,500 2,500 27,813
Securicor Group PLC
Class A (United Kingdom) 12,100 221,061 -- -- 7,200 131,540
Security Services PLC
(United Kingdom) 27,000 493,277 40,200 734,434 7,800 142,502
Societe Generale de
Surveillance Holdings
S.A. (Bearer) (Switzerland) 250 521,796 330 688,770 90 187,846
Zebra Technologies
Corp.+ 17,764 470,746 15,728 416,792 2,664 70,596
---------- ---------- ----------
11,979,208 12,116,830 2,588,107
CHEMICALS 1.4% 1.2% 0.7%
- --------------------------------------------------------------------------------
- --------------
Akzo-Nobel N.V.
(Netherlands) 4,600 510,895 5,000 555,320 1,700 188,809
du Pont (E.I.)
de Nemours & Co., Ltd. 18,100 1,502,300 20,600 1,709,800 3,700 307,100
Dutch States Mines
N.V. (Netherlands) 2,700 255,961 5,000 474,002 1,400 132,721
Monsanto Co. 6,300 967,050 7,100 1,089,850 1,300 199,550
Praxair, Inc. 25,000 996,875 28,400 1,132,450 5,100 203,363
Sekisui Chemical Co.
Ltd. (Japan) 40,000 522,388 65,000 848,881 14,000 182,836
Solvay S.A. (Belgium) 800 457,643 1,000 572,054 300 171,616
---------- ---------- ----------
5,213,112 6,382,357 1,385,995
COMPUTER EQUIPMENT 0.1% 0.1% --%
- --------------------------------------------------------------------------------
- --------------
PRI Automation, Inc.+ 12,300 301,350 11,000 269,500 2,000 49,000
Shiva Corp.+ 2,625 238,219 2,300 208,725 375 34,031
---------- ---------- ----------
539,569 478,225 83,031
COMPUTER SERVICES AND SOFTWARE 5.7% 4.3% 2.4%
- --------------------------------------------------------------------------------
- --------------
3Com Corp.+ 17,400 693,825 19,800 789,525 3,500 139,563
Alphanet Solutions, Inc.+ 5,800 58,000 5,300 53,000 1,000 10,000
Analysts International
Corp. 6,700 227,800 6,000 204,000 1,200 40,800
Bisys Group, Inc. (The)+ 9,000 298,125 8,000 265,000 1,300 43,063
Business Objects S.A.,
ADR (France)+ 5,900 501,500 5,600 476,000 1,000 85,000
CMG Information Services,
Inc.+ 6,300 248,850 5,600 221,200 1,100 43,450
Cabletron Systems, Inc.+ 12,700 841,375 14,400 954,000 2,500 165,625
Cisco Systems, Inc.+ 17,900 830,113 20,400 946,050 3,500 162,313
Clarify, Inc.+ 700 27,475 500 19,625 -- --
Computer Associates
Intl., Inc. 19,600 1,403,850 22,200 1,590,075 3,900 279,338
Computer Horizons Corp.+ 33,762 1,274,516 29,480 1,112,870 5,740 216,685
Comshare, Inc.+ 12,600 289,800 11,800 271,400 2,200 50,600
Enterprise Systems, Inc.+ 2,300 63,538 2,100 58,013 400 11,050
Fujitsu Ltd. (Japan) 42,000 386,698 66,000 607,668 17,000 156,521
Getronics Electric N.V.
(Netherlands) 10,000 724,305 15,210 1,101,667 4,156 301,021
HPR, Inc.+ 4,200 162,225 3,700 142,913 700 27,038
Health Systems Design
Corp.+ 8,800 121,000 8,000 110,000 1,500 20,625
IBM Corp. 29,900 3,322,638 34,000 3,778,250 6,300 700,088
Imnet Systems, Inc.+ 9,800 296,450 8,600 260,150 1,900 57,475
<PAGE>
GROWTH BALANCED CONSERVATIVE
COMMON STOCKS* SHARES VALUE SHARES VALUE SHARES VALUE
COMPUTER SERVICES AND SOFTWARE (CONTINUED)
- --------------------------------------------------------------------------------
- --------------
Informix Corp.+ 24,600 $648,825 28,000 $738,500 5,000 $131,875
Inso Corp.+ 5,980 275,828 5,310 244,924 1,160 53,505
Keane, Inc.+ 12,795 382,251 11,427 341,382 2,140 63,933
Logic Works, Inc.+ 7,500 121,875 6,700 108,875 1,300 21,125
McAfee Associates, Inc.+ 13,050 714,488 11,550 632,363 2,350 128,663
Mercury Interactive Corp.+11,330 181,280 10,040 160,640 1,755 28,080
Microcom, Inc.+ 11,700 349,538 10,400 310,700 2,000 59,750
Microsoft Corp.+ 18,700 1,928,438 21,200 2,186,250 3,700 381,563
NETCOM On-Line
Communication Services,
Inc.+ 2,500 60,000 2,200 52,800 500 12,000
Oracle Systems Corp.+ 20,200 951,925 23,000 1,083,875 4,000 188,500
Pairgain Technologies,
Inc.+ 12,000 777,000 10,700 692,825 1,800 116,550
Parametric Technology
Corp.+ 29,600 1,158,100 33,700 1,318,513 5,900 230,838
Project Software &
Development, Inc.+ 5,100 195,075 4,542 173,732 682 26,087
Renaissance Solutions,
Inc.+ 9,000 261,000 8,000 232,000 1,600 46,400
SGS-Thomson
Microelectronics ADR
(France)+ 13,000 471,250 20,800 754,000 5,200 188,500
Security Dynamics
Technologies, Inc.+ 6,900 365,700 6,100 323,300 1,200 63,600
Softkey International,
Inc.+ 7,293 146,772 6,677 134,375 1,137 22,882
Technology Solutions Co.+ 22,700 615,738 20,200 547,925 3,900 105,788
Unison Software, Inc.+ 4,500 103,500 4,000 92,000 900 20,700
Vantive Corp.+ 7,100 145,550 6,200 127,100 1,000 20,500
Workgroup Technology Corp.+8,000 173,000 7,100 153,538 1,400 30,275
---------- ---------- ----------
21,799,216 23,371,023 4,451,369
CONGLOMERATES 0.9% 0.8% 0.6%
- --------------------------------------------------------------------------------
- --------------
Axia Holding Corp. 144A+ 225 6,750 -- -- -- --
HSBC Holdings PLC
(Hong Kong) 42,721 640,743 63,067 945,899 16,904 253,532
Hutchison Whampoa, Ltd.
(Hong Kong)+ 52,000 328,101 80,000 504,771 18,000 113,573
Jardine Matheson
Holdings Ltd. (Singapore) 30,000 234,000 44,200 344,760 10,000 78,000
Ogden Corp. 97,200 1,895,400 110,600 2,156,700 20,600 401,700
Preussag AG (Germany) 1,700 472,318 2,200 611,235 700 194,484
---------- ---------- ----------
3,577,312 4,563,365 1,041,289
CONSUMER DURABLE GOODS 0.2% 0.1% 0.1%
- --------------------------------------------------------------------------------
- --------------
Blyth Industries, Inc.+ 19,450 646,713 17,200 571,900 3,400 113,050
Electrolux AB Series B
(Sweden) 3,330 162,951 4,580 224,119 1,250 61,168
---------- ---------- ----------
809,664 796,019 174,218
CONSUMER NON DURABLES 3.9% 3.1% 1.9%
- --------------------------------------------------------------------------------
- --------------
Authentic Fitness Corp. 20,310 525,521 18,105 468,467 3,520 91,080
B A T Industries PLC
(United Kingdom) 80,108 590,666 116,854 861,608 29,599 218,245
Dimon Inc. 105,500 1,859,438 120,100 2,116,763 22,300 393,038
Fastenal Co. 9,415 362,478 8,322 320,397 1,604 61,754
KAO Corp. (Japan) 37,000 459,049 51,000 632,743 14,000 173,694
Kimberly-Clark Corp. 16,448 1,225,376 18,754 1,397,173 3,378 251,661
<PAGE>
GROWTH BALANCED CONSERVATIVE
COMMON STOCKS* SHARES VALUE SHARES VALUE SHARES VALUE
CONSUMER NON DURABLES (CONTINUED)
- --------------------------------------------------------------------------------
- --------------
Nike, Inc. 14,700 $1,194,375 16,600 $1,348,750 2,900 $235,625
Philip Morris Cos., Inc. 42,500 3,729,375 48,400 4,247,100 8,800 772,200
Procter & Gamble Co. 11,300 957,675 12,900 1,093,275 2,200 186,450
St. John Knits, Inc. 15,955 1,074,968 14,295 963,126 2,920 196,735
Svenska Cellulosa AB
Ser. B (Sweden) 31,450 572,701 32,000 582,716 12,000 218,519
Tabacalera S.A. Ser.
A (Spain) 12,300 574,350 17,500 817,164 5,000 233,476
Tate & Lyle PLC
(United Kingdom) 28,374 210,943 40,078 297,955 8,403 62,471
Tommy Hilfiger Corp.+ 10,935 501,643 9,735 446,593 1,845 84,639
Toray Industries Inc.
(Japan) 60,000 387,314 90,000 580,970 26,000 167,836
Unilever N.V.
(Netherlands) 3,940 536,688 5,680 773,703 1,340 182,528
---------- ---------- ----------
14,762,560 16,948,503 3,529,951
CONSUMER SERVICES 2.3% 1.7% 0.9%
- --------------------------------------------------------------------------------
- --------------
Apple South, Inc. 14,300 350,350 13,200 323,400 2,500 61,250
Century Communications
Corp. Class A+ 20,125 194,961 17,750 171,953 3,320 32,163
EZ Communications, Inc.
Class A+ 20,620 443,330 18,360 394,740 3,465 74,498
Gannett Co., Inc. 14,000 941,500 16,000 1,076,000 2,800 188,300
HFS, Inc.+ 7,530 366,146 12,240 595,170 1,640 79,745
LIN Television Corp.+ 8,025 282,881 7,300 257,325 1,375 48,469
Landry's Seafood
Restaurants, Inc.+ 18,330 334,523 15,660 285,795 3,060 55,845
Marriott International,
Inc. 14,400 684,000 16,400 779,000 2,800 133,000
McDonald's Corp. 19,500 936,000 22,200 1,065,600 4,000 192,000
Mirage Resorts, Inc.+ 21,400 938,925 24,400 1,070,550 4,400 193,050
Moovies, Inc.+ 10,800 151,200 10,000 140,000 1,700 23,800
On Assignment, Inc.+ 12,800 486,400 11,400 433,200 2,200 83,600
Payment Svcs., Inc.+ 17,200 412,800 15,000 360,000 3,000 72,000
Prime Hospitality Corp.+ 43,400 591,325 38,500 524,563 7,400 100,825
Quantum Restaurant
Group, Inc.+ 12,000 198,000 10,900 179,850 2,000 33,000
Rio Hotel & Casino, Inc.+ 5,950 90,738 9,400 143,350 1,425 21,731
SFX Broadcasting, Inc.
Class A+ 12,630 430,999 11,160 380,835 2,135 72,857
Stewart Enterprises,
Inc. Class A 16,060 686,565 14,410 616,028 2,870 122,693
Young Broadcasting Corp.
Class A+ 13,700 407,575 12,225 363,694 2,475 73,631
---------- ---------- ----------
8,928,218 9,161,053 1,662,457
CORRECTIONAL FACILITIES 0.2% 0.1% 0.1%
- --------------------------------------------------------------------------------
- --------------
Wackenhut Corrections
Corp.+ 23,300 908,700 20,600 803,400 4,000 156,000
ELECTRONICS AND ELECTRICAL EQUIPMENT 3.6% 3.1% 2.0%
- --------------------------------------------------------------------------------
- --------------
Actel Corp.+ 29,300 450,488 24,800 381,300 4,900 75,338
Advanced Lighting
Technologies, Inc.+ 13,300 184,538 11,500 159,563 2,300 31,913
Austria Mikro Systeme
International (Austria) 2,400 337,066 -- -- 600 84,266
BBC Brown Boveri & Cie
AG (Bearer) (Switzerland) 360 437,527 480 583,370 130 157,996
Baldor Electric Co. 16,663 335,343 15,273 307,369 2,721 54,760
Best Denki Co. Ltd. 8,000 110,448 -- -- -- ---
C.P. Clare Corp.+ 15,750 307,125 14,425 281,288 2,650 51,675
<PAGE>
GROWTH BALANCED CONSERVATIVE
COMMON STOCKS* SHARES VALUE SHARES VALUE SHARES VALUE
ELECTRONICS AND ELECTRICAL EQUIPMENT (CONTINUED)
- --------------------------------------------------------------------------------
- --------------
Credence Systems Corp.+ 12,575 $210,631 13,984 $234,232 2,128 $35,644
Eltron International,
Inc.+ 9,100 300,300 8,100 267,300 1,600 52,800
Flextronics International
Ltd.+ 9,100 277,550 8,200 250,100 1,600 48,800
Futaba Corp. (Japan) 10,000 451,493 14,000 632,090 4,000 180,597
General Electric Co. PLC
(United Kingdom) 80,000 447,130 140,000 782,478 30,000 167,674
Harman International
Industries, Inc. 8,965 336,188 8,035 301,313 1,602 60,075
Hirose Electric Co. Ltd.
(Japan) 8,300 466,101 11,400 640,187 3,100 174,086
Honeywell, Inc. 29,000 1,602,250 33,000 1,823,250 5,900 325,975
Iberdola S.A. (Spain) 11,103 102,350 16,303 150,285 4,076 37,574
In Focus Systems, Inc.+ 9,200 322,575 8,200 287,513 1,600 56,100
Intel Corp. 35,500 2,019,063 40,500 2,303,438 7,500 426,563
Leader Universal (Malaysia)20,000 56,850 28,333 80,536 8,000 22,740
Linear Technology Corp. 16,200 676,350 18,400 768,200 3,300 137,775
Mabuchi Motor (Japan) 3,000 170,429 6,000 340,858 -- --
Murata Manufacturing Co.
Ltd. (Japan) 19,000 652,239 22,000 755,224 5,000 171,642
Nichicon Corp. (Japan) -- -- -- -- 8,000 104,478
Nippondenso Co., Ltd.
(Japan) 16,000 322,388 30,000 604,478 8,000 161,194
Omron Tateisi Electronics
Co. (Japan) 27,000 596,922 40,000 884,329 10,000 221,082
Peak Technologies Group,
Inc.+ 16,125 294,281 14,380 262,435 2,820 51,465
Philips Electronics N.V.
(Netherlands) 10,000 363,362 15,000 545,042 4,30 0 156,245
Rohm Co. Ltd. (Japan) 5,000 284,515 7,000 398,321 3,000 170,709
Sanmina Corp.+ 19,060 567,035 16,980 505,155 3,230 96,093
Secom Co. (Japan) -- -- 8,000 521,642 -- --
Sharp Corp. (Japan) 33,000 526,399 50,000 797,575 14,000 223,321
Siebe PLC (United Kingdom)31,184 416,112 44,222 590,087 9,258 123,536
Smartflex Systems, Inc.+ 9,200 135,700 8,200 120,950 1,500 22,125
Telcom Semiconductor, Inc.+5,600 28,700 5,700 29,213 900 4,613
---------- ---------- ----------
13,789,448 16,589,121 3,688,854
ENERGY-RELATED 0.2% 0.2% 0.1%
- --------------------------------------------------------------------------------
- --------------
IHC Caland N.V.
(Netherlands) 16,000 651,995 20,310 827,626 6,000 244,498
ENTERTAINMENT 1.1% 0.9% 0.4%
- --------------------------------------------------------------------------------
- --------------
Disney (Walt) Productions,
Inc. 21,640 1,382,255 24,689 1,577,010 4,264 272,363
Family Golf Centers,
Inc.+ 21,200 567,100 18,800 502,900 3,600 96,300
Penske Motorsports,
Inc.+ 2,500 93,125 2,200 81,950 400 14,900
Regal Cinemas, Inc.+ 9,650 357,050 8,550 316,350 1,600 59,200
Sodak Gaming, Inc.+ 22,100 524,875 19,600 465,500 3,800 90,250
Speedway Motorsports,
Inc.+ 22,200 627,150 19,650 555,113 3,760 106,220
Studio Plus Hotels,
Inc.+ 18,700 518,925 16,350 453,713 3,350 92,963
Zodiac (France) -- -- 4,000 881,232 -- --
---------- ---------- ----------
4,070,480 4,833,768 732,196
ENVIRONMENTAL CONTROL 0.5% 0.4% 0.2%
- --------------------------------------------------------------------------------
- --------------
WMX Technologies, Inc. 61,100 1,939,925 69,500 2,206,625 12,900 409,575
<PAGE>
GROWTH BALANCED CONSERVATIVE
COMMON STOCKS* SHARES VALUE SHARES VALUE SHARES VALUE
FOOD AND BEVERAGES 3.0% 2.6% 1.5%
- --------------------------------------------------------------------------------
- --------------
Archer Daniels Midland
Co. 111,000 $2,039,625 126,400 $2,322,600 23,500 $431,813
Argyll Group PLC
(United Kingdom) 73,369 343,495 128,468 601,455 27,319 127,901
Campbell Soup Co. 14,900 907,038 17,000 1,034,875 2,900 176,538
Danisco A/S (Denmark) 11,000 566,772 14,000 721,346 5,000 257,624
Docks de France (France) 2,000 358,050 4,000 716,100 1,000 179,025
Dole Food Co. 55,500 2,136,750 63,200 2,433,200 11,830 455,455
Grand Union Co.+++ 4,153 24,918 9,986 59,916 3,270 19,620
Greencore Group PLC
(Ireland)+ 125,772 613,302 185,874 906,377 44,930 219,092
Guinness PLC (United
Kingdom) 49,000 355,691 61,000 442,799 17,000 123,403
Hershey Foods Corp. 13,100 975,950 14,900 1,110,050 2,700 201,150
Nabisco Holdings Corp.
Class A 24,100 789,275 27,400 897,350 4,900 160,475
Nestle S.A. (Registered)
(Switzerland) 400 450,865 600 676,298 120 135,260
PepsiCo, Inc. 28,300 1,789,975 32,200 2,036,650 5,600 354,200
Pete's Brewing Co.+ 13,500 253,125 12,000 225,000 2,300 43,125
---------- ---------- ----------
11,604,831 14,184,016 2,884,681
HEALTH CARE 2.9% 2.0% 1.0%
- --------------------------------------------------------------------------------
- --------------
ABR Information Services,
Inc.+ 1,500 69,750 1,425 66,263 225 10,463
Access Health, Inc.+ 7,200 279,000 6,300 244,125 1,250 48,438
American HomePatient,
Inc.+ 19,650 771,263 17,450 684,913 3,425 134,431
Arthrocare Corp.+ 7,000 154,000 6,100 134,200 1,200 26,400
Boston Scientific Corp.+ 21,700 998,200 24,500 1,127,000 4,200 193,200
Community Health Systems
Inc.+ 9,100 373,100 8,200 336,200 1,400 57,400
Compdent Corp.+ 11,950 430,200 10,700 385,200 1,850 66,600
Gelman Sciences, Inc.+ 8,100 210,600 7,100 184,600 1,300 33,800
Genesis Health Ventures,
Inc.+ 13,675 552,128 12,150 490,556 2,310 93,266
Health Management Assoc.,
Inc. (New)+ 15,380 538,300 13,328 466,480 2,530 88,550
HealthPlan Services Corp.+ 2,900 66,338 2,900 66,338 600 13,725
Healthcare Services Group,
Inc.+ 14,390 136,705 12,875 122,313 2,135 20,283
I-Stat Corp.+ 9,300 237,150 8,400 214,200 1,675 42,713
IMPATH, Inc.+ 13,100 193,225 11,300 166,675 2,200 32,450
IRIDEX Corp.+ 18,600 190,650 16,500 169,125 3,200 32,800
Immulogic Pharmaceutical
Corp.+ 17,800 235,850 15,600 206,700 3,200 42,400
Lincare Holdings, Inc.+ 11,535 374,888 10,190 331,175 1,925 62,563
Living Centers of America,
Inc.+ 13,200 491,700 11,425 425,581 2,415 89,959
Lunar Corp.+ 9,050 386,888 8,150 348,413 1,600 68,400
NCS HealthCare, Inc.
Class A+ 15,200 372,400 13,500 330,750 2,600 63,700
Owen Healthcare, Inc.+ 13,900 324,913 12,200 285,175 2,400 56,100
Oxford Health Plans Inc.+ 6,000 526,500 6,700 587,925 1,200 105,300
Pediatrix Medical Group,
Inc.+ 6,600 234,300 5,900 209,450 1,200 42,600
Physician Support Systems,
Inc.+ 9,700 166,113 8,600 147,275 1,600 27,400
Renal Care Group, Inc.+ 6,100 169,275 5,400 149,850 1,100 30,525
Respironics, Inc.+ 17,400 365,400 15,400 323,400 3,000 63,000
Santen Pharmaceutical
(Japan) 13,200 272,127 33,000 680,317 -- --
Sierra Health Services+ 7,490 244,361 6,725 219,403 1,150 37,519
Target Therapeutics, Inc.+ 5,300 321,313 4,700 284,938 900 54,563
United Dental Care, Inc.+ 6,700 259,625 6,000 232,500 1,200 46,500
<PAGE>
GROWTH BALANCED CONSERVATIVE
COMMON STOCKS* SHARES VALUE SHARES VALUE SHARES VALUE
HEALTH CARE (CONTINUED)
- --------------------------------------------------------------------------------
- --------------
United Healthcare Corp. 15,400 $947,100 17,500 $1,076,250 3,100 $190,650
Wellcare Management
Group, Inc.+ 10,700 177,888 9,550 158,769 1,860 30,923
---------- ---------- ----------
11,071,250 10,856,059 1,906,621
HOSPITAL MANAGEMENT AND MEDICAL SERVICES 0.3% 0.2% 0.1%
- --------------------------------------------------------------------------------
- --------------
ARV Assisted Living, Inc.+17,700 300,900 15,800 268,600 3,000 51,000
Emeritus Corp.+ 8,600 175,225 7,800 158,925 1,500 30,563
National Surgery Centers, Inc.+9,800 316,050 8,700 280,575 1,700 54,825
OccuSystems, Inc.+ 5,800 131,950 5,200 118,300 1,000 22,750
Sterling House Corp.+ 16,500 294,938 14,700 262,763 2,800 50,050
Total Renal Care Holdings, Inc.+ 360 11,205 1,740 54,158 60018,675
---------- ---------- ----------
1,230,268 1,143,321 227,863
INSURANCE AND FINANCE 10.2% 8.6% 5.0%
- --------------------------------------------------------------------------------
- --------------
ABN AMRO Holding N.V.
(Netherlands)+ 11,000 546,675 15,000 745,466 4,000 198,791
AON Corp. 13,100 677,925 14,800 765,900 2,500 129,375
Aegon N.V. (Netherlands) 12,155 573,210 17,742 836,684 3,600 169,770
Allied Irish Banks PLC
(Ireland) 41,729 210,703 105,096 530,664 30,206 152,520
American International
Group, Inc. 11,700 1,095,413 13,350 1,249,894 2,350 220,019
Argentaria Corp. (Spain) 7,930 335,178 8,610 363,920 2,650 112,008
Baer Holdings AG (Germany) 205 227,280 280 310,432 120 133,042
Banco Frances del Rio de la
Plata ADR (Argentina) 690 18,889 -- -- -- --
Banco Frances del Rio de la
Plata S.A. (Argentina) 1,380 12,491 4,715 42,679 1,725 15,614
Banco Totta & Accores S.A.
(Portugal) 13,000 252,931 20,000 389,125 5,000 97,281
Banco de Bilbao Vizcaya
(Spain) 10,900 406,304 16,720 623,248 3,820 142,393
Bank of Boston Corp. 20,600 1,022,275 23,400 1,161,225 4,200 208,425
Bank of Ireland (Ireland)+69,598 456,522 111,196 729,380 22,239 145,875
BankAmerica Corp. 21,200 1,643,000 24,100 1,867,750 4,300 333,250
Bankers Trust New York
Corp. 32,900 2,331,788 37,500 2,657,813 7,000 496,125
Barclays Bank PLC
(United Kingdom) 33,358 369,832 49,841 552,575 10,571 117,198
Beneficial Corp. 38,900 2,241,613 44,200 2,547,025 8,200 472,525
CIGNA Corp. 8,200 936,850 9,400 1,073,950 1,600 182,800
CRA Managed Care, Inc.+ 9,475 338,731 8,600 307,450 1,680 60,060
Cetelem Group (France)+ 2,400 467,768 3,000 584,709 800 155,923
Chemical Banking Corp. 15,400 1,085,700 17,500 1,233,750 3,000 211,500
Citicorp 17,900 1,432,000 20,400 1,632,000 3,600 288,000
Concord EFS, Inc.+ 23,237 615,781 20,873 553,135 4,025 106,663
Credit Locale de France
S.A. (France) 5,800 454,017 8,400 657,542 1,980 154,992
Daiwa Securities Co. Ltd.
(Japan) 43,000 653,825 65,000 988,340 17,000 258,489
Danieli Savings (Italy) 11,000 43,443 58,000 229,062 6,200 24,486
Development Bank of
Singapore Ltd. (Registered)
(Singapore) 20,000 245,651 29,000 356,195 8,000 98,261
Federal National Mortgage
Association 36,400 1,160,250 41,400 1,319,625 7,400 235,875
First Commonwealth, Inc.+ 7,700 198,275 7,300 187,975 1,500 38,625
Fleet Financial Group, Inc.48,900 1,980,450 55,600 2,251,800 10,300 417,150
Franklin Resources, Inc. 13,100 746,700 14,800 843,600 2,600 148,200
<PAGE>
GROWTH BALANCED CONSERVATIVE
COMMON STOCKS* SHARES VALUE SHARES VALUE SHARES VALUE
INSURANCE AND FINANCE (CONTINUED)
- --------------------------------------------------------------------------------
- --------------
Guoco Group Ltd.
(Hong Kong) 80,800 $445,047 109,600 $603,677 26,400 $145,411
HCC Insurance Holdings,
Inc.+ 17,885 981,439 15,985 877,177 3,127 171,594
Healthwise of America,
Inc.+ 7,025 279,244 6,350 252,413 990 39,353
MBNA Corp. 27,600 817,650 31,350 928,744 5,450 161,456
MGIC Investment Corp. 8,500 463,250 9,700 528,650 1,700 92,650
Malayan Banking BHD
(Malaysia) 24,000 223,608 34,000 316,779 7,000 65,219
Mapfre Vida Seguros
(Spain) 9,390 536,744 6,780 387,553 1,470 84,027
Mitsubishi Bank Ltd.
(Japan) 16,800 354,179 29,400 619,814 7,350 154,953
Morgan (J.P.) & Co., Inc. 8,900 738,700 10,100 838,300 1,800 149,400
Munich Re (Germany)+ 320 665,990 465 967,766 115 239,340
NationsBank Corp. 47,000 3,765,875 53,500 4,286,688 9,900 793,238
Reinsurance Group
America, Inc. 13,900 509,088 12,110 443,529 2,380 87,168
Royal Insurance Holdings
PLC (United Kingdom) 69,447 374,910 107,536 580,533 23,631 127,572
Societe Generale (France) 4,050 450,143 4,000 444,586 1,300 144,490
Swiss Reinsurance Co.
(Registered) (Switzerland) 400 405,174 460 465,950 130 131,682
Tokio Marine & Fire
Insurance Co. Ltd. (The)
(Japan) 38,000 492,724 55,000 713,153 15,000 194,496
Travelers Group Inc. 22,100 1,458,600 25,100 1,656,600 4,500 297,000
Trenwick Group Inc. 8,840 450,840 7,820 398,820 1,325 67,575
USF&G Corp. 141,600 2,194,800 161,200 2,498,600 30,000 465,000
United Overseas Bank
Ltd. (Registered)
(Singapore) 44,400 447,625 63,600 641,193 13,200 133,078
Westpac Banking Corp.
(Australia)++++++ 8,500 40,158 12,200 57,535 3,100 14,620
Yamaguchi Bank Ltd.
(Japan) 19,000 317,258 25,000 417,444 6,000 100,187
---------- ---------- ----------
39,194,516 46,518,417 9,384,744
LEISURE 0.1% 0.1% --%
- --------------------------------------------------------------------------------
- --------------
Lewis Galoob Toys, Inc.+ 20,700 419,175 18,400 372,600 3,500 70,875
MEDICAL SUPPLIES AND DEVICES 1.1% 0.8% 0.4%
- --------------------------------------------------------------------------------
- --------------
AVECOR Cardiovascular,
Inc.+ 18,000 245,250 16,100 219,363 2,650 36,106
Baxter International, Inc.21,300 963,825 24,200 1,095,050 4,300 194,575
Bio-Vascular, Inc.+ 11,100 117,938 9,800 104,125 1,800 19,125
Endosonics Corp.+ 3,700 66,138 3,300 58,988 600 10,725
Hologic, Inc.+ 1,900 43,225 1,800 40,950 300 6,825
ICU Medical, Inc.+ 9,200 133,544 8,200 119,028 1,700 24,677
IDEXX Laboratories, Inc.+ 13,400 562,800 11,960 502,320 2,400 100,800
Igen, Inc.+ 14,700 77,175 13,100 68,775 2,200 11,550
Instent, Inc.+ 10,750 239,188 9,450 210,263 1,950 43,388
Medtronic, Inc. 16,500 983,813 18,800 1,120,950 3,200 190,800
Meridian Diagnostics, Inc.16,500 175,313 15,300 162,563 2,500 26,563
OncorMed, Inc.+ 4,800 30,600 4,100 26,138 700 4,463
Research Industries Corp.+ 6,500 149,500 5,800 133,400 1,100 25,300
Sola International, Inc.+ 19,525 607,716 17,810 554,336 3,435 106,914
---------- ---------- ----------
4,396,025 4,416,249 801,811
METALS AND MINING 1.4% 1.2% 0.6%
- --------------------------------------------------------------------------------
- --------------
Alumax, Inc.+ 63,800 2,256,925 72,700 2,571,763 13,500 477,563
Freeport-McMoRan Copper
& Gold Co., Inc. Class A 23,800 731,850 27,100 833,325 4,700 144,525
<PAGE>
GROWTH BALANCED CONSERVATIVE
COMMON STOCKS* SHARES VALUE SHARES VALUE SHARES VALUE
METALS AND MINING (CONTINUED)
- --------------------------------------------------------------------------------
- --------------
Freeport-McMoRan Copper
& Gold Co., Inc. Class B+ 70,665 $2,234,781 80,429 $2,543,567 14,941 $472,509
N.V. Bekaert S.A.
(Belgium) 344 284,845 490 405,739 150 124,206
---------- ---------- ----------
5,508,401 6,354,394 1,218,803
OIL AND GAS 3.3% 2.9% 1.6%
- --------------------------------------------------------------------------------
- --------------
British Petroleum PLC ADR
(United Kingdom) 11,400 1,211,250 12,900 1,370,625 2,300 244,375
Burmah Oil PLC (United
Kingdom) 36,916 595,058 53,733 866,136 13,629 219,689
Chesapeake Energy Corp.+ 768 35,520 -- -- 1,383 63,964
Columbia Gas System, Inc. 52,700 2,417,613 60,000 2,752,500 11,100 509,213
Enron Corp. 20,400 752,250 23,200 855,500 4,100 151,188
Halliburton Co. 24,900 1,416,188 28,300 1,609,563 5,000 284,375
Mobil Corp. 14,200 1,645,425 16,200 1,877,175 2,900 336,038
Occidental Petroleum Corp.77,700 2,078,475 88,500 2,367,375 16,400 438,700
Repsol S.A. (Spain) 13,000 489,816 20,000 753,562 6,000 226,069
Repsol S.A. ADS (Spain) 7,000 261,625 10,000 373,750 2,000 74,750
Shell Transportation &
Trading (United Kingdom) 9,500 125,317 11,000 145,104 2,700 35,616
Societe Nationale Elf
Aquitaine (Bearer) (France)5,762 390,545 8,259 559,791 2,100 142,337
Total Corp. ADR (France) 27,900 948,600 31,700 1,077,800 5,700 193,800
Total SA Class B (France) 6,800 458,876 12,000 809,781 2,500 168,704
---------- ---------- ----------
12,826,558 15,418,662 3,088,818
PAPER AND FOREST PRODUCTS 0.2% 0.2% 0.1%
- --------------------------------------------------------------------------------
- --------------
Cartiere Burgo S.P.A. (Italy)30,000 156,986 38,400 200,942 12,000 62,794
Mayr-Melnhof Karton AG (Austria) 4,028 176,517 7,000 306,757 1,24554,559
Repola (Finland) 25,000 496,514 39,000 774,561 8,000 158,884
---------- ---------- ----------
830,017 1,282,260 276,237
PHARMACEUTICALS 4.6% 3.8% 2.1%
- --------------------------------------------------------------------------------
- --------------
Alpha-Beta Technology,
Inc.+ 3,500 43,750 3,200 40,000 600 7,500
Amgen, Inc.+ 15,500 900,938 17,600 1,023,000 3,000 174,375
Astra AB (Sweden) 18,000 834,957 22,000 1,020,503 5,000 231,932
Ciba-Geigy AG (Registered)
(Switzerland) 630 787,897 900 1,125,567 220 275,139
Dura Pharmaceuticals,
Inc.+ 22,950 1,138,894 20,450 1,014,831 3,850 191,056
Gilead Sciences, Inc.+ 2,900 83,375 2,600 74,750 500 14,375
Johnson & Johnson 17,200 1,586,700 19,600 1,808,100 3,500 322,875
La Jolla Pharmaceutical
Co.+ 18,000 144,000 17,000 136,000 3,000 24,000
Lilly (Eli) & Co. 22,000 1,430,000 25,000 1,625,000 4,500 292,500
Parexel International
Corp.+ 12,400 536,300 11,300 488,725 2,100 90,825
Pfizer, Inc. 16,300 1,092,100 18,500 1,239,500 3,200 214,400
Pharmacia & Upjohn, Inc. 91,400 3,644,575 104,010 4,147,399 19,020 758,423
Pharmacia & Upjohn, Inc.
Depository Shares (Sweden)+12,300 497,737 9,700 392,524 5,000 202,332
Smithkline Beecham PLC
ADR (United Kingdom) 25,000 1,287,500 28,400 1,462,600 5,100 262,650
<PAGE>
GROWTH BALANCED CONSERVATIVE
COMMON STOCKS* SHARES VALUE SHARES VALUE SHARES VALUE
PHARMACEUTICALS (CONTINUED)
- --------------------------------------------------------------------------------
- --------------
Warner-Lambert Co. 32,300 $3,334,975 36,800 $3,799,600 6,800 $702,100
Yamanouchi Pharmaceutical
Co. Ltd. (Japan) 25,000 555,037 40,000 888,060 10,000 222,015
---------- ---------- ----------
17,898,735 20,286,159 3,986,497
PHOTOGRAPHY 0.8% 0.7% 0.4%
- --------------------------------------------------------------------------------
- --------------
Eastman Kodak Co. 15,100 1,072,100 17,100 1,214,100 3,000 213,000
Polaroid Corp. 47,200 2,124,000 53,700 2,416,500 10,000 450,000
---------- ---------- ----------
3,196,100 3,630,600 663,000
PUBLISHING 0.7% 0.6% 0.4%
- --------------------------------------------------------------------------------
- --------------
Pearson PLC (United
Kingdom) 25,000 255,056 40,000 408,090 11,000 112,225
Singapore Press Holdings
(Registered) (Singapore) 13,400 267,334 11,600 231,423 2,900 57,856
Times Mirror Co. Class A 59,900 2,358,563 68,200 2,685,375 12,700 500,063
---------- ---------- ----------
2,880,953 3,324,888 670,144
REAL ESTATE 2.4% 2.0% 1.1%
- --------------------------------------------------------------------------------
- --------------
Amoy Properties Ltd.
(Hong Kong) 244,000 285,511 348,000 407,204 76,000 88,930
Castle & Cooke, Inc.+ 18,533 303,478 21,066 344,956 3,966 64,943
Cheung Kong Holdings Ltd.
(Hong Kong) 78,000 549,637 114,000 803,315 29,000 204,352
Debartolo Realty Corp.(R)144,400 2,166,000 164,300 2,464,500 30,500 457,500
Equity Residential
Properties Trust(R) 66,600 2,081,250 75,800 2,368,750 14,000 437,500
Hong Kong Land Holdings
Ltd. (Hong Kong) 87,000 208,800 100,000 240,000 30,000 72,000
Meditrust Corp.(R) 55,500 1,880,063 63,200 2,140,900 11,800 399,725
Nationwide Health
Properties, Inc.(R) 88,800 1,864,800 101,100 2,123,100 18,800 394,800
---------- ---------- ----------
9,339,539 10,892,725 2,119,750
RETAIL 6.3% 5.2% 2.8%
- --------------------------------------------------------------------------------
- --------------
Cycle & Carriage Ltd.
(Singapore) 27,000 310,543 31,000 356,550 8,000 92,013
Dayton Hudson Corporation 36,500 3,097,938 41,500 3,522,313 7,550 640,806
Department 56, Inc.+ 2,515 55,016 2,580 56,438 495 10,828
Federated Department
Stores+ 25,000 806,250 28,400 915,900 5,100 164,475
Globe Business Resources,
Inc.+ 9,700 106,700 8,600 94,600 1,600 17,600
Hollywood Entertainment
Corp.+ 32,300 427,975 28,700 380,275 5,500 72,875
Home Depot, Inc. (The) 15,600 746,850 17,800 852,175 3,200 153,200
Ito-Yokado Co., Ltd.
(Japan) 10,000 592,351 16,000 947,761 4,000 236,940
K mart Corp. 222,100 2,082,188 252,800 2,370,000 46,900 439,688
Kroger Co.+ 58,900 2,385,450 67,000 2,713,500 12,500 506,250
Marui Co. Ltd. (Japan) 28,000 608,582 40,000 869,403 10,000 217,351
Melville Corp. 72,200 2,590,175 82,200 2,948,925 15,300 548,888
Nautica Enterprises,
Inc.+ 10,675 509,731 9,463 451,858 1,831 87,430
Officemax, Inc.+ 30,100 729,925 34,300 831,775 6,000 145,500
Party City Corp.+ 6,200 89,900 6,600 95,700 1,200 17,400
Penney (J.C.) Co., Inc. 44,400 2,208,900 50,600 2,517,350 9,400 467,650
Rexall Sundown, Inc.+ 33,200 1,000,150 29,600 891,700 5,700 171,713
<PAGE>
GROWTH BALANCED CONSERVATIVE
COMMON STOCKS* SHARES VALUE SHARES VALUE SHARES VALUE
RETAIL (CONTINUED)
- --------------------------------------------------------------------------------
- --------------
Safeway, Inc.+ 32,300 $920,550 36,700 $1,045,950 6,500 $185,250
Sears PLC (United Kingdom)227,000 344,444 527,000 799,657 65,500 99,388
Sears, Roebuck & Co. 36,400 1,774,500 41,500 2,023,125 7,400 360,750
Staples, Inc.+ 27,550 561,331 31,300 637,738 5,600 114,100
TJX Cos., Inc. (The) 21,000 527,625 23,900 600,488 4,200 105,525
Walgreen Co. 27,300 890,663 31,000 1,011,375 5,400 176,175
West Marine, Inc.+ 8,000 372,000 6,800 316,200 1,400 65,100
Wolverine World Wide, Inc.25,987 727,636 23,072 646,016 4,512 126,336
---------- ---------- ----------
24,467,373 27,896,772 5,223,231
SPECIALTY CONSUMER PRODUCTS 0.1% 0.1% 0.1%
- --------------------------------------------------------------------------------
- --------------
Gucci Group+ 9,900 475,200 11,300 542,400 2,000 96,000
TELECOMMUNICATIONS 1.8% 1.4% 0.8%
- --------------------------------------------------------------------------------
- --------------
Cable & Wireless PLC
(United Kingdom) 2 16 3 24 1 8
Cai Wireless Systems, Inc.+31,100 235,194 29,100 220,069 5,300 40,081
Centennial Cellular Corp.
Class A+ 12,220 186,355 11,202 170,831 2,179 33,230
Coherent Communications
Systems Corp.+ 20,200 419,466 18,000 373,781 3,400 70,603
Colonial Data Technologies
Corp.+ 17,100 378,338 14,500 320,813 2,925 64,716
Commnet Cellular, Inc.+ 8,800 245,300 7,750 216,031 1,575 43,903
MCI Communications Corp. 57,800 1,748,450 65,800 1,990,450 11,700 353,925
P-Com, Inc.+ 11,800 237,475 10,400 209,300 1,800 36,225
Royal PTT (United Kingdom) 5,700 224,002 11,200 440,145 4,500 176,844
Tele Danmark A/S ADS
(Denmark) 18,550 479,981 27,400 708,975 7,000 181,125
Tellabs, Inc.+ 15,100 730,463 17,200 832,050 3,000 145,125
Tessco Technologies, Inc.+11,200 322,000 10,000 287,500 2,000 57,500
Transaction Network
Services Inc.+ 18,180 636,300 16,075 562,625 3,040 106,400
U.S. Robotics Corp.+ 5,800 749,650 6,600 853,050 1,100 142,175
Vodafone Group PLC
(United Kingdom) 103,334 382,142 149,494 552,847 28,448 105,204
Wireless One, Inc.+ 3,500 56,438 3,100 49,988 600 9,675
---------- ---------- ----------
7,031,570 7,788,479 1,566,739
TRANSPORTATION 1.0% 1.0% 0.6%
- --------------------------------------------------------------------------------
- --------------
Burlington Northern
Santa Fe Corp. 13,100 1,075,838 14,900 1,223,663 2,600 213,525
East Japan Railway Co.
(Japan) 100 513,060 146 749,067 37 189,832
Expeditors International
of Washington, Inc. 15,110 396,638 13,110 344,138 2,620 68,775
Fritz Companies, Inc.+ 10,550 411,450 9,310 363,090 1,810 70,590
K.L.M.-Royal Dutch Airlines
(Netherlands) 11,270 391,793 16,700 580,562 4,280 148,791
Kamigumi Co. Ltd. (Japan) 28,000 284,702 30,000 305,037 8,000 81,343
Singapore Airlines Ltd.
(Registered) (Singapore) 21,000 217,678 60,000 621,938 9,000 93,291
Swire Pacific Ltd. Class A
(Hong Kong) 31,000 272,556 45,800 402,679 9,800 86,163
Yamato Transport Co. Ltd.
(Japan) 40,000 473,881 50,000 592,351 18,000 213,246
---------- ---------- ----------
4,037,596 5,182,525 1,165,556
<PAGE>
UTILITIES 3.2% 2.7% 1.6%
- --------------------------------------------------------------------------------
- --------------
Anglian Water PLC
(United Kingdom) 24,900 $227,835 34,300 $313,845 9,000 $82,350
East Midlands
Electricity (United Kingdom) -- -- -- -- 9,100 83,126
GTE Corp. 31,700 1,390,838 36,000 1,579,500 6,300 276,413
Hong Kong Electric
Holdings Ltd. (Hong Kong) 84,000 273,150 100,000 325,179 30,000 97,554
Kurita Water Industries
Ltd. (Japan) 18,700 432,612 27,500 636,194 7,700 178,134
Long Island Lighting Co. 111,000 1,956,375 126,400 2,227,800 23,500 414,188
Nippon Telegraph and
Telephone Corp. (Japan) 50 364,739 70 510,634 20 145,896
North West Water Group
PLC (United Kingdom) 24,592 231,767 34,767 327,662 8,382 78,996
Northeast Utilities Co. 105,500 2,083,625 120,100 2,371,975 22,300 440,425
Potomac Electric Power Co.88,800 2,319,900 101,100 2,641,238 18,800 491,150
SBC Communications, Inc. 33,800 1,778,725 38,400 2,020,800 6,900 363,113
Scottish Power PLC
(United Kingdom) 87,000 458,392 120,000 632,265 32,000 168,604
Veba (Vereinigte
Elektrizitaets Bergwerks)
AG (Germany) 14,000 679,865 21,000 1,019,797 5,500 267,090
---------- ---------- ----------
12,197,823 14,606,889 3,087,039
TOTAL COMMON STOCKS
(cost $244,560,801,
$280,914,200 and $57,464,470) $294,960,333 $338,083,651 $67,305,461
- --------------------------------------------------------------------------------
- --------------
GROWTH BALANCED CONSERVATIVE
6.7% 13.8% 17.4%
CORPORATE BONDS PRINCIPAL PRINCIPAL PRINCIPAL
AND NOTES* AMOUNT VALUE AMOUNT VALUE AMOUNT VALUE
ADVERTISING --% --% --%
- --------------------------------------------------------------------------------
- --------------
Key Plastics Corp. sr.
notes 14s, 1999 $25,000 $25,938 $65,000 $67,438 $45,000 $46,688
Outdoor Systems, Inc.
sr. notes 10 3/4s, 2003 125,000 126,250 -- -- -- --
---------- ---------- ----------
152,188 67,438 46,688
AEROSPACE AND DEFENSE 0.3% 0.5% 0.4%
- --------------------------------------------------------------------------------
- --------------
Alliant Techsystems, Inc.
sr. sub. notes 11 3/4s,
2003 250,000 275,000 615,000 676,500 -- --
BE Aerospace sr. notes,
9 3/4s, 2003 215,000 220,375 400,000 410,000 100,000 102,500
K&F Industries Inc.
sub. deb. 13 3/4s, 2001 300,000 312,000 1,000,000 1,040,000 208,000 216,320
McDonnell Douglas Corp.
notes 9 1/4s, 2002 75,000 84,086 200,000 224,230 240,000 269,076
Sequa Corp. bonds
8 3/4s, 2001 30,000 29,100 -- -- -- --
Sequa Corp. sr. notes
9 5/8s, 1999 100,000 98,500 250,000 246,250 100,000 98,500
UNC, Inc. sr. notes
9 1/8s, 2003 100,000 99,500 305,000 303,475 100,000 99,500
---------- ---------- ----------
1,118,561 2,900,455 785,896
<PAGE>
GROWTH BALANCED CONSERVATIVE
CORPORATE BONDS PRINCIPAL PRINCIPAL PRINCIPAL
AND NOTES AMOUNT VALUE AMOUNT VALUE AMOUNT VALUE
AGRICULTURE 0.1% 0.2% 0.2%
- --------------------------------------------------------------------------------
- --------------
Agco Corp. 144A sr.
sub. notes 8 1/2s, 2006 $200,000 $201,000 $500,000 $502,500 $200,000 $201,000
PSF Finance (L.P.)
sr. exch. notes
12 1/4s, 2004
(In Default)+++ 150,000 127,500 585,000 497,250 190,000 161,500
---------- ---------- ----------
328,500 999,750 362,500
AUTOMOTIVE 0.1% 0.2% 0.1%
- --------------------------------------------------------------------------------
- --------------
Aftermarket Technology
Corp. sr. sub. notes
Ser. D, 12s, 2004 235,000 253,800 250,000 270,000 110,000 118,800
Aftermarket Technology
Corp. sr. sub. notes
12s, 2004 -- -- 50,000 54,000 -- --
Exide Corp. 144A sr.
notes 10s, 2005 -- -- 395,000 401,913 -- --
---------- ---------- ----------
253,800 725,913 118,800
BASIC INDUSTRIAL PRODUCTS 0.1% 0.2% 0.2%
- --------------------------------------------------------------------------------
- --------------
Eletson Holdings, Inc.
1st. pfd. mtge. notes
9 1/4s, 2003 (Greece) 75,000 73,500 465,000 455,700 45,000 44,100
Inter-City Products sr.
notes 9 3/4s, 2000 250,000 221,250 600,000 531,000 200,000 177,000
Owens Illinois, Inc.
sr. sub. notes 9 3/4s,
2004 100,000 102,250 300,000 306,750 100,000 102,250
---------- ---------- ----------
397,000 1,293,450 323,350
BROADCASTING 0.4% 0.9% 1.1%
- --------------------------------------------------------------------------------
- --------------
American Telecasting,
Inc. sr. disc. notes
stepped-coupon zero %
(14 1/2s, 6/15/99),
2004++ 325,000 237,250 1,000,000 730,000 265,000 193,450
Argyle Television Corp.
sr. sub. notes 9 3/4s,
2005 150,000 144,000 -- -- -- --
Chancellor Broadcasting
Co. sr. sub. notes
9 3/8s, 2004 -- -- -- -- 165,000 158,813
Comcast Corp. sr. sub.
notes 9 1/2s, 2008 125,000 126,563 400,000 405,000 125,000 126,563
Comcast Corp. sr. sub.
notes 9 3/8s, 2002 100,000 101,000 -- -- -- --
Commodore Media, Inc.
sr. sub. notes
stepped-coupon
7 1/2s,(13 1/4s,
5/1/98), 2003++ 250,000 248,125 750,000 744,375 200,000 198,500
Diamond Cable
Communication Co.
PLC sr. disc.
notes stepped-coupon
zero % (11 3/4s,
12/15/00), 2005
(United Kingdom)++ 150,000 87,750 450,000 263,250 125,000 73,125
Diamond Cable
Communication Co.
PLC sr. disc. notes
stepped-coupon zero %
(13 1/2s, 9/30/99),
2004 (United Kingdom)++ -- -- 200,000 142,000 -- --
<PAGE>
GROWTH BALANCED CONSERVATIVE
CORPORATE BONDS PRINCIPAL PRINCIPAL PRINCIPAL
AND NOTES AMOUNT VALUE AMOUNT VALUE AMOUNT VALUE
BROADCASTING (CONTINUED)
- --------------------------------------------------------------------------------
- --------------
Heritage Media
Services Corp.
sr. notes 11s, 2002 $100,000 $107,000 $300,000 $321,000 $100,000 $107,000
Marcus Cable Co.
(L.P.) sr. sub. disc.
notes stepped-coupon
zero % (13 1/2s, 8/1/99),
2004++ 200,000 145,000 500,000 362,500 100,000 72,500
Paxson Communications
Corp. 144A sr. sub.
notes 11 5/8s, 2002 250,000 266,250 750,000 798,750 225,000 239,625
Petracom Holdings
notes stepped-coupon
zero % (17 1/2s,
8/1/98), 2003++ -- -- 414,000 302,220 165,000 120,450
Sullivan Broadcasting
sr. sub. notes 10 1/4s, 2005 -- -- -- -- 100,000 98,250
Tele-Communications,
Inc. deb. 9 1/4s, 2023 100,000 103,895 -- -- -- --
Tele-Communications,
Inc. notes stepped-
coupon 6.58s,
(8.35s, 2/14/99), 2005++ 105,000 105,594 270,000 271,528 450,000 452,547
Young Broadcasting,
Inc. 144A sr. sub.
notes 9s, 2006 -- -- 250,000 233,750 150,000 140,250
---------- ---------- ----------
1,672,427 4,574,373 1,981,073
BUILDING AND CONSTRUCTION 0.2% 0.5% 0.3%
- --------------------------------------------------------------------------------
- --------------
Presley Co. sr.
notes 12 1/2s, 2001 250,000 227,500 750,000 682,500 -- --
Schuller International
Corp. sr. notes 10 7/8s,
2004 80,000 87,400 315,000 344,138 105,000 114,713
Scotsman Group, Inc.
sr. secd. notes 9 1/2s,
2000 300,000 307,500 745,000 763,625 250,000 256,250
Triangle Pacific Corp.
sr. notes, 10 1/2s, 2003 150,000 159,000 450,000 477,000 125,000 132,500
---------- ---------- ----------
781,400 2,267,263 503,463
BUSINESS EQUIPMENT AND SERVICES 0.1% 0.2% 0.2%
- --------------------------------------------------------------------------------
- --------------
Corporate Express, Inc.
Ser. B, sr. sub. notes
9 1/8s, 2004 150,000 153,750 300,000 307,500 155,000 158,875
United Stationers, Inc.
sr. sub. notes
12 3/4s, 2005 250,000 281,875 745,000 839,988 200,000 225,500
---------- ---------- ----------
435,625 1,147,488 384,375
CHEMICALS 0.3% 0.6% 0.5%
- --------------------------------------------------------------------------------
- --------------
Acetex Corp.
sr. notes 9 3/4s,
2003 (Canada) 135,000 135,675 275,000 276,375 115,000 115,575
Arcadian Partner
sr. notes 10 3/4s,
2005 250,000 271,875 750,000 815,625 200,000 217,500
Carlisle Plastic
sr. notes 10 1/4s, 1997 75,000 73,688 325,000 319,313 100,000 98,250
Great Lakes Carbon
Corp. sr. notes 10s, 2006 -- -- 225,000 231,750 150,000 154,500
Harris Chemical Corp.
sr. disc. notes 10 1/4s, 200180,000 79,000 300,000 296,250 -- --
<PAGE>
GROWTH BALANCED CONSERVATIVE
CORPORATE BONDS PRINCIPAL PRINCIPAL PRINCIPAL
AND NOTES AMOUNT VALUE AMOUNT VALUE AMOUNT VALUE
CHEMICALS (CONTINUED)
- --------------------------------------------------------------------------------
- --------------
Harris Chemical Corp.
sr. sub. notes 10 3/4s, 2003$10,000 $9,625 $-- $-- $-- $--
IMC Fertilizer notes
Ser. B, 10 3/4s, 2003 -- -- 400,000 438,000 -- --
Sifto Canada, Inc.
sr. notes 8 1/2s, 2000 125,000 123,125 -- -- -- --
Union Carbide Global
Enterprises sr. sub.
notes Ser. B, 12s, 2005 250,000 288,125 750,000 864,375 250,000 288,125
---------- ---------- ----------
981,113 3,241,688 873,950
CONGLOMERATES 0.1% 0.2% 0.1%
- --------------------------------------------------------------------------------
- --------------
ADT Ltd. sr. sub.
notes 9 1/4s, 2003 50,000 51,875 -- -- -- --
Axia, Inc. sr. sub.
notes Ser. B, 11s, 2001 75,000 73,500 -- -- -- --
Congoleum Corp. sr.
notes 9s, 2001 -- -- 500,000 485,000 -- --
MacAndrews & Forbes
Group, Inc. deb.
12 1/4s, 1996 255,000 252,450 515,000 509,850 210,000 207,900
MacAndrews & Forbes
Holdings, Inc. sub.
deb. notes 13s, 1999 130,000 130,163 215,000 215,269 5,000 5,006
---------- ---------- ----------
507,988 1,210,119 212,906
CONSUMER DURABLE GOODS 0.2% 0.2% 0.2%
- --------------------------------------------------------------------------------
- --------------
Ekco Group, Inc.
144A sr. notes
9 1/4s, 2006 250,000 253,438 750,000 760,313 200,000 202,750
Exide Corp. sr.
notes 10 3/4s, 1999 150,000 154,125 25,000 25,688 125,000 128,438
Selmer Co., Inc.
sr. sub. notes 11s, 2005 250,000 264,375 400,000 423,000 40,000 42,300
Simmons Mattress
Corp. 144A deb.
8s, 2003++++ 79,604 87,166 -- -- -- --
---------- ---------- ----------
759,104 1,209,001 373,488
CONSUMER NON DURABLES --% --% --%
- --------------------------------------------------------------------------------
- --------------
Foamex (L.P.) Capital
Corp. sr. notes 11 1/4s, 200210,000 9,750 -- -- 15,000 14,625
CONSUMER SERVICES 0.9% 1.7% 2.0%
- --------------------------------------------------------------------------------
- --------------
Adelphia Communications
Corp. sr. notes 12 1/2s,
2002 125,000 131,563 350,000 368,375 100,000 105,250
CF Cable TV, Inc. sr.
notes 11 5/8s, 2005
(Canada) 75,000 80,625 300,000 322,500 125,000 134,375
Cablevision Systems
Corp. sr. sub. deb.
9 7/8s, 2023 300,000 309,000 610,000 628,300 90,000 92,700
Cablevision Systems
Corp. sr. sub. notes
9 7/8s, 2013 -- -- 100,000 104,000 -- --
Caesars World sr.
sub. notes 8 7/8s, 2002 45,000 47,475 -- -- -- --
<PAGE>
GROWTH BALANCED CONSERVATIVE
CORPORATE BONDS PRINCIPAL PRINCIPAL PRINCIPAL
AND NOTES AMOUNT VALUE AMOUNT VALUE AMOUNT VALUE
CONSUMER SERVICES (CONTINUED)
- --------------------------------------------------------------------------------
- --------------
Cellular, Inc. sr.
sub. disc. notes stepped-
coupon zero % (11 3/4s,
9/1/98), 2003++ $100,000 $82,000 $350,000 $287,000 $100,000 $82,000
Century Communications
Corp. sr. sub. deb.
11 7/8s, 2003 10,000 10,700 25,000 26,750 -- --
Century Communications
Corp. sr. notes 9 3/4s,
2002 90,000 92,475 10,000 10,275 150,000 154,125
Century Communications
Corp. sr. notes 9 1/2s,
2005 -- -- 250,000 253,750 -- --
Coinmach Corp. 144A sr.
notes 11 3/4s, 2005 105,000 105,788 -- -- 79,000 79,593
Continental Cablevision,
Inc. sr. notes 8 1/2s,
2001 45,000 47,250 135,000 141,750 70,000 73,500
Falcon Holdings Group,
Inc. sr. sub. notes 11s,
2003++++ 142,199 136,511 461,232 442,783 160,782 154,351
Host Marriott Corp. Ser.
B, sr. notes 9 1/2s,
2005 250,000 242,500 750,000 727,500 210,000 203,700
John Q. Hammons Hotels,
Inc. 1st mtge. 8 7/8s,
2004 20,000 19,200 -- -- 40,000 38,400
Jones Intercable Inc.
sr. notes 9 5/8s, 2002 275,000 284,625 500,000 517,500 150,000 155,250
K-III Communications
Corp. sr. notes 10 1/4s, 200440,000 41,800 135,000 141,075 -- --
Lady Luck Gaming Corp.
Ser. B, 1st mtge.
10 1/2s, 2001 150,000 136,500 500,000 455,000 100,000 91,000
MGM Grand Hotels, Inc.
1st mtge. 12s, 2002 50,000 54,500 30,000 32,700 -- --
Marvel Parent Holdings,
Inc. sr. secd. disc.
notes zero %, 1998 200,000 149,000 680,000 506,600 245,000 182,525
Mohegan Tribal Gaming
144A sr. secd. notes
13 1/2s, 2002 100,000 119,000 425,000 505,750 100,000 119,000
Rogers Communications,
Inc. sr. deb. 10 7/8s,
2004 75,000 77,250 -- -- 125,000 128,750
SFX Broadcasting, Inc.
sr. sub. notes 11 3/8s, 2000250,000 270,000 765,000 826,200 200,000 216,000
Service Corp.
International notes
6 3/8s, 2000 110,000 108,820 300,000 296,781 375,000 370,976
TCI Communications,
Inc. sr. notes 8.65s,
2004 225,000 240,147 600,000 640,392 700,000 747,124
Telemedia Broadcasting
Corp. 144A deb. stepped-
coupon 6.4s, (16s,
6/15/99), 2004++ -- -- 200,000 180,650 -- --
Trump Plaza Funding,
Inc. 1st mtge. notes
10 7/8s, 2001 240,000 266,400 735,000 815,850 190,000 210,900
Trump Taj Mahal Funding,
Inc. deb. Ser. A, 11.35s,
1999++++ 150,000 157,688 450,000 473,063 150,000 157,688
Universal Outdoor, Inc.
sub. deb. 11s, 2003 125,000 126,875 275,000 279,125 275,000 279,125
---------- ---------- ----------
3,337,692 8,983,669 3,776,332
<PAGE>
GROWTH BALANCED CONSERVATIVE
CORPORATE BONDS PRINCIPAL PRINCIPAL PRINCIPAL
AND NOTES AMOUNT VALUE AMOUNT VALUE AMOUNT VALUE
ELECTRONICS AND ELECTRICAL EQUIPMENT 0.1% 0.2% 0.2%
- --------------------------------------------------------------------------------
- --------------
Amphenol Corp. sr.
sub. notes 12 3/4s,
2002 $25,000 $27,813 $-- $-- $120,000 $133,500
Amphenol Corp. sr.
notes 10.45s, 2001 -- -- 500,000 540,000 -- --
Howmet Corp. 144A
sr. sub. notes 10s,
2003 150,000 158,250 400,000 422,000 125,000 131,875
International Semi-
Tech. Corp. sr. disc.
notes stepped- coupon
zero % (11 1/2s,
8/15/00), 2003
(Canada)++ 200,000 121,000 588,000 355,740 185,000 111,925
---------- ---------- ----------
307,063 1,317,740 377,300
ENTERTAINMENT 0.3% 0.6% 0.6%
- --------------------------------------------------------------------------------
- --------------
AMF Group, Inc. 144A
sr. disc. notes stepped-
coupon zero % (12 1/4s,
3/15/01), 2006++ 45,000 24,525 135,000 73,575 40,000 21,800
AMF Group, Inc. 144A sr.
sub. notes 10 7/8s, 2006 20,000 19,850 55,000 54,588 15,000 14,888
Alliance Entertainment
Corp. Ser. B, sr. sub.
notes 11 1/4s, 2005 150,000 150,000 400,000 400,000 125,000 125,000
Bally Park Place Funding
1st mtge. 9 1/4s, 2004 -- -- 400,000 403,000 125,000 125,938
Casino America, Inc.
1st mtge. 11 1/2s, 2001 100,000 100,000 450,000 450,000 100,000 100,000
Cinemark USA Inc. sr.
sub. notes 12s, 2002 100,000 109,500 250,000 273,750 100,000 109,500
Coast Hotels & Casinos,
Inc. 144A 1st. mtge.
13s, 2002 200,000 200,000 600,000 600,000 200,000 200,000
Premier Parks, Inc.
sr. notes Ser. A, 12s,
2003 125,000 132,500 450,000 477,000 125,000 132,500
Six Flags Corp. sr. sub.
notes stepped-coupon
zero % (12 1/4s, 6/15/98),
2005++ 150,000 125,250 450,000 375,750 150,000 125,250
Time Warner, Inc. notes
8.11s, 2006 30,000 30,763 90,000 92,289 22,000 22,559
Time Warner, Inc. notes
8.18s, 2007 30,000 30,424 90,000 91,271 22,000 22,311
Viacom International, Inc.
sub. deb. 8s, 2006 115,000 108,963 -- -- -- --
---------- ---------- ----------
1,031,775 3,291,223 999,746
ENVIRONMENTAL CONTROL --% --% --%
- --------------------------------------------------------------------------------
- --------------
Ametek, Inc. sr. notes
9 3/4s, 2004 -- -- 135,000 143,100 -- --
FOOD AND BEVERAGES 0.1% 0.2% 0.1%
- --------------------------------------------------------------------------------
- --------------
Canandaigua Wine sr.
sub. notes 8 3/4s, 2003 125,000 120,625 300,000 289,500 -- --
Doane Products Co.
sr. notes 10 5/8s, 2006 15,000 15,300 -- -- -- --
<PAGE>
GROWTH BALANCED CONSERVATIVE
CORPORATE BONDS PRINCIPAL PRINCIPAL PRINCIPAL
AND NOTES AMOUNT VALUE AMOUNT VALUE AMOUNT VALUE
FOOD AND BEVERAGES (CONTINUED)
- --------------------------------------------------------------------------------
- --------------
Fresh Del Monte Produce
Corp. NV 144A sr. notes
Ser. B, 10s, 2003
(Netherlands) $60,000 $55,800 $170,000 $158,100 $55,000 $51,150
Specialty Foods Corp.
Ser. B, sr. notes
10 1/4s, 2001 -- -- 300,000 271,500 -- --
Stater Brothers sr.
notes 11s, 2001 145,000 149,350 455,000 468,650 140,000 144,200
---------- ---------- ----------
341,075 1,187,750 195,350
HEALTH CARE 0.2% 0.5% 0.6%
- --------------------------------------------------------------------------------
- --------------
American Medical
International sr.
sub. notes 13 1/2s, 2001 -- -- -- -- 30,000 31,763
Columbia/HCA
Healthcare Corp.
notes 6.41s, 2000 150,000 148,697 400,000 396,524 450,000 446,090
Genesis Health
Ventures Inc.
sr. sub. notes
9 3/4s, 2005 125,000 130,313 -- -- -- --
Healthsouth Rehablitaton
sr. sub. notes
9 1/2s, 2001 10,000 10,500 15,000 15,750 -- --
Integrated Health
Services sr. sub. notes
9.625s, 2002 125,000 125,938 300,000 302,250 75,000 75,563
Ivac Corp. sr. notes
9 1/4s, 2002 175,000 182,000 500,000 520,000 150,000 156,000
Merit Behavioral Care
sr. sub. notes 11 1/2s,
2005 -- -- 150,000 161,625 -- --
Paracelsus Healthcare
Corp. sr. sub. notes
9 7/8s, 2003 100,000 101,000 310,000 313,100 125,000 126,250
Quorum Health Group,
Inc. sr. sub. notes 8 3/4s,
2005 -- -- 300,000 301,500 100,000 100,500
Tenet Healthcare Corp.
sr. sub. notes 10 1/8s,
2005 145,000 155,150 325,000 347,750 80,000 85,600
Total Renal Care
Holdings, Inc. sr.
disc. notes stepped-
coupon zero %,
(12s, 8/15/97),
2004++ 104,000 102,960 188,000 186,120 65,000 64,350
---------- ---------- ----------
956,558 2,544,619 1,086,116
INSURANCE AND FINANCE 0.8% 1.7% 4.3%
- --------------------------------------------------------------------------------
- --------------
AIM Management Group
sr. secd. notes 9s,
2003 50,000 51,875 200,000 207,500 -- --
American Annuity Group,
Inc. sr. sub. notes
11 1/8s, 2003 80,000 86,000 330,000 354,750 100,000 107,500
Associates Corp. NA
notes 6 3/8s, 2002 125,000 122,286 325,000 317,944 400,000 391,316
BHP Finance (USA),
Inc. company guaranty
6.42s, 2026 100,000 98,319 250,000 245,798 325,000 319,537
Bankamerica Corp.
sub. notes 8 3/8s,
2002 150,000 161,711 410,000 442,009 505,000 544,425
Banponce Corp. med.
term notes 5.48s, 1998 25,000 24,421 80,000 78,148 150,000 146,528
CCP Insurance, Inc.
sr. notes 10 1/2s, 2004 75,000 85,406 250,000 284,688 75,000 85,406
Capital One Bank notes
8 1/8s, 2000 250,000 261,938 700,000 733,425 900,000 942,975
<PAGE>
GROWTH BALANCED CONSERVATIVE
CORPORATE BONDS PRINCIPAL PRINCIPAL PRINCIPAL
AND NOTES AMOUNT VALUE AMOUNT VALUE AMOUNT VALUE
INSURANCE AND FINANCE (CONTINUED)
- --------------------------------------------------------------------------------
- --------------
Chevy Chase Savings
Bank Inc. sub. deb.
9 1/4s, 2005 $150,000 $150,000 $350,000 $350,000 $-- $--
Citicorp sub. notes
7 5/8s, 2005 250,000 260,918 650,000 678,386 850,000 887,120
Commercial Credit Co.
notes 7 7/8s, 2025 175,000 189,889 400,000 434,032 500,000 542,540
First Chicago NBD Corp.
sub. notes 6 1/8s, 2006 100,000 93,736 280,000 262,461 375,000 351,510
First Nationwide
Holdings 144A sr.
sub. notes 9 1/8s, 2003 150,000 148,500 100,000 99,000 150,000 148,500
First USA Bank dep.
notes 6 3/8s, 2000 150,000 147,494 375,000 368,734 450,000 442,481
Ford Motor Credit Co.
notes 5 3/4s, 2001 160,000 154,346 450,000 434,097 600,000 578,796
General Motors
Acceptance Corp.
med. term notes
6 3/4s, 2002 250,000 248,555 600,000 596,532 800,000 795,376
Keystone Group,
Inc. sr. secd. notes
9 3/4s, 2003 75,000 73,500 290,000 284,200 100,000 98,000
Merita Bank Ltd.
sub. notes 6 1/2s,
2006 (Finland) 155,000 147,142 435,000 412,946 575,000 545,848
Pioneer Finance Corp.
1st. mtge. 13 1/2s, 1998 -- -- 25,000 19,750 -- --
Primark Corp. sr.
notes, 8 3/4s, 2004 -- -- 100,000 101,500 -- --
Reliance Group
Holdings, Inc.
sr. notes 9s, 2000 75,000 75,750 425,000 429,250 50,000 50,500
Reliance Group Holdings, Inc.
sr. sub. deb. 9 3/4s,
2003 85,000 86,488 25,000 25,438 80,000 81,400
Royal Bank of Scotland
sub. notes 6 3/8s, 2011
(United Kingdom) 150,000 137,438 425,000 389,406 550,000 503,938
Smith Barney Hldgs notes
7s, 2000 130,000 131,719 355,000 359,693 435,000 440,751
Terra Nova Insurance
Holdings sr. notes
10 3/4s, 2005
(United Kingdom) 175,000 196,219 625,000 700,781 150,000 168,188
Trump Holdings &
Funding Corp. sr.
notes 15 1/2s, 2005 60,000 68,700 350,000 400,750 -- --
---------- ---------- ----------
3,202,350 9,011,218 8,172,635
MEDICAL SUPPLIES AND DEVICES --% 0.1% 0.1%
- --------------------------------------------------------------------------------
- --------------
Graphic Controls
Corp. sr. sub. notes
Ser. A, 12s, 2005 150,000 159,750 450,000 479,250 150,000 159,750
METALS AND MINING --% 0.1% 0.3%
- --------------------------------------------------------------------------------
- --------------
Noranda Inc. notes
7s, 2005 (Canada) 160,000 157,238 400,000 393,096 460,000 452,060
Wyman-Gordon Co. sr.
notes 10 3/4s, 2003 -- -- -- -- 100,000 106,000
---------- ---------- ----------
157,238 393,096 558,060
<PAGE>
GROWTH BALANCED CONSERVATIVE
CORPORATE BONDS PRINCIPAL PRINCIPAL PRINCIPAL
AND NOTES AMOUNT VALUE AMOUNT VALUE AMOUNT VALUE
MOTION PICTURE DISTRIBUTION 0.1% 0.1% 0.1%
- --------------------------------------------------------------------------------
- --------------
United Artists notes
11 1/2s, 2002 $250,000 $266,875 $715,000 $763,263 $175,000 $186,813
OIL AND GAS 0.3% 0.6% 0.9%
- --------------------------------------------------------------------------------
- --------------
Arkla, Inc. deb. 8.9s,
2006 75,000 80,936 400,000 431,660 100,000 107,915
Chesapeake Energy Corp.
sr. notes 10 1/2s,
2002 100,000 105,000 -- -- -- --
Chesapeake Energy Corp.
sr. notes 12s, 2001 25,000 27,125 415,000 450,275 145,000 157,325
Columbia Gas System
notes Ser. E, 7.32s,
2010 150,000 146,093 400,000 389,580 500,000 486,975
Gulf Canada Resources Ltd.
sr. sub. notes 9 5/8s,
2005 (Canada) 125,000 128,125 350,000 358,750 100,000 102,500
Maxus Energy Corp.notes
9 7/8s, 2002 50,000 50,000 175,000 175,000 50,000 50,000
Petroliam Nasional
Berhad 144A notes 6 7/8s,
2003 (Malaysia) 130,000 129,107 350,000 347,596 400,000 397,252
Plains Resources, Inc.
144A sr. sub. notes
10 1/4s, 2006 100,000 100,500 225,000 226,125 100,000 100,500
Trans Texas Gas
Corp. sr. secd.
notes 11 1/2s, 2002 125,000 123,125 375,000 369,375 100,000 98,500
Transcontinental
Gas Pipeline deb.
9 1/8s, 2017 100,000 104,103 200,000 208,206 -- --
Triton Energy sr.
sub. disc. notes stepped-
coupon zero % (9 3/4s,
12/15/96), 2000++ 150,000 144,000 275,000 264,000 125,000 120,000
---------- ---------- ----------
1,138,114 3,220,567 1,620,967
PACKAGING & CONTAINER --% 0.1% --%
- --------------------------------------------------------------------------------
- --------------
Ivex Packaging Corp.
sr. sub. notes 12 1/2s,
2002 70,000 74,200 245,000 259,700 85,000 90,100
PAPER AND FOREST PRODUCTS 0.2% 0.4% 0.4%
- --------------------------------------------------------------------------------
- --------------
APP International Finance
Co. notes 11 3/4s,
2005 (Netherlands) 125,000 123,438 300,000 296,250 125,000 123,438
Doman Industries Ltd.
sr. notes 8 3/4s, 2004
(Canada) 200,000 183,000 600,000 549,000 150,000 137,250
Domtar, Inc. notes 12s,
2001 (Canada) 100,000 114,500 350,000 400,750 125,000 143,125
Domtar, Inc. sr. notes
11 3/4s, 1999 (Canada) -- -- 75,000 82,125 -- --
Domtar, Inc. deb.
11 1/4s, 2017 (Canada) 50,000 53,000 25,000 26,500 25,000 26,500
Gaylord Container Corp.
sr. notes 11 1/2s, 2001 160,000 161,600 300,000 303,000 100,000 101,000
Repap New Brunswick
sr. notes 10 5/8s,
2005 (Canada) 150,000 144,750 400,000 386,000 150,000 144,750
Stone Container Corp.
deb. sr. sub. notes
11 1/2s, 1999 40,000 39,200 -- -- 15,000 14,700
Stone Container Corp.
sr. notes 11 1/2s, 2004 50,000 49,125 250,000 245,625 75,000 73,688
<PAGE>
GROWTH BALANCED CONSERVATIVE
CORPORATE BONDS PRINCIPAL PRINCIPAL PRINCIPAL
AND NOTES AMOUNT VALUE AMOUNT VALUE AMOUNT VALUE
PAPER AND FOREST PRODUCTS (CONTINUED)
- --------------------------------------------------------------------------------
- --------------
Stone Container Corp. sr.
sub. notes 10 3/4s, 1997 $10,000 $10,200 $30,000 $30,600 $15,000 $15,300
---------- ---------- ----------
878,813 2,319,850 779,751
PUBLISHING 0.1% 0.1% 0.3%
- --------------------------------------------------------------------------------
- --------------
American Media Operation,
Inc. sr. sub notes
11 5/8s, 2004 175,000 177,625 475,000 482,125 150,000 152,250
News America Hldgs.,
Inc. sr. notes 8 5/8s,
2003 (Australia) 115,000 124,298 300,000 324,255 375,000 405,319
---------- ---------- ----------
301,923 806,380 557,569
REAL ESTATE 0.1% 0.2% 0.2%
- --------------------------------------------------------------------------------
- --------------
Brooks Fiber Properties
144A sr. disc. notes
stepped-coupon zero %,
(10 7/8s, 3/1/01),
2006++(R) 250,000 145,938 500,000 291,875 250,000 145,938
Chelsea Piers 144A
1st. mtge. Ser. B,
stepped-coupon zero %
(11s, 6/15/99), 2009++ 5,000 4,800 20,000 19,200 10,000 9,600
Chelsea Piers 1st
mtge. Ser. B, stepped-
coupon zero % (12 1/2s,
6/15/96), 2004++ 110,000 104,913 325,000 309,969 175,000 166,906
HMH Properties, Inc.
sr. notes Ser. B,
9 1/2s, 2005 150,000 146,250 400,000 390,000 125,000 121,875
---------- ---------- ----------
401,901 1,011,044 444,319
RECREATION 0.1% 0.4% 0.3%
- --------------------------------------------------------------------------------
- --------------
Empress River Casino
sr. notes 10 3/4s,
2002 100,000 102,500 450,000 461,250 125,000 128,125
Grand Casinos, Inc.
1st mtge. 10 1/8s,
2003 150,000 159,000 450,000 477,000 125,000 132,500
Stratosphere Corp.
1st mtge. 14 1/4s,
2002 250,000 304,375 750,000 913,125 250,000 304,375
---------- ---------- ----------
565,875 1,851,375 565,000
RETAIL 0.3% 0.7% 0.8%
- --------------------------------------------------------------------------------
- --------------
Brylane (L.P.) sr.
sub. notes 10s,
2003 125,000 115,625 350,000 323,750 15,000 13,875
County Seat Stores
Inc. sr. sub. notes
12s, 2002 65,000 48,100 200,000 148,000 110,000 81,400
Federated Department
Stores, Inc. sr notes
8 1/8s, 2002 -- -- 450,000 442,125 -- --
Finlay Enterprises, Inc.
sr. notes 10 5/8s, 2003 240,000 233,400 700,000 680,750 200,000 194,500
K Mart Corp. deb. 7.95s,
2023 250,000 196,875 750,000 590,625 200,000 157,500
Loehmanns' Holdings,
Inc. sr. notes 10 1/2s,
1997 50,000 49,000 -- -- -- --
Loehmanns' Holdings,
Inc. sr. sub. notes
13 3/4s, 1999 40,000 37,200 375,000 348,750 75,000 69,750
Revco D.S., Inc. sr.
notes 9 1/8s, 2000 50,000 53,302 100,000 106,603 75,000 79,952
<PAGE>
GROWTH BALANCED CONSERVATIVE
CORPORATE BONDS PRINCIPAL PRINCIPAL PRINCIPAL
AND NOTES AMOUNT VALUE AMOUNT VALUE AMOUNT VALUE
RETAIL (CONTINUED)
- --------------------------------------------------------------------------------
- --------------
Safeway, Inc. sr.
sub. notes 9.35s,
1999 $30,000 $31,500 $-- $-- $-- $--
Safeway Inc. sr.
notes 10s, 2002 -- -- 200,000 225,500 50,000 56,375
Sears Roebuck Acceptance
Corp. med. term notes
6.15s, 2005 65,000 63,811 185,000 181,615 245,000 240,517
Sears Roebuck Co.
med. term notes 5.54s,
1999 50,000 48,679 160,000 155,771 300,000 292,071
Southland Corp. 1st
priority
sr. sub. deb. 5s,
2003 275,000 221,375 675,000 543,375 250,000 201,250
Waban, Inc. sr. sub.
notes 11s, 2004 100,000 104,000 250,000 260,000 150,000 156,000
---------- ---------- ----------
1,202,867 4,006,864 1,543,190
SPECIALTY CONSUMER PRODUCTS 0.1% 0.1% 0.1%
- --------------------------------------------------------------------------------
- --------------
Herff Jones, Inc.
sr. sub. notes 11s.
2005 240,000 255,600 700,000 745,500 200,000 213,000
TELECOMMUNICATIONS 0.7% 1.6% 1.5%
- --------------------------------------------------------------------------------
- --------------
A+ Network, Inc. sr.
sub. notes 11 7/8s,
2005 -- -- 300,000 306,000 -- --
America Communication
Services, Inc. 144A
sr. disc. notes stepped-
coupon zero % (12 3/4s,
4/1/01), 2006++ 230,000 121,325 465,000 245,288 185,000 97,588
Arch Communications
Group sr. disc. notes
stepped- coupon zero %
(10 7/8s, 3/15/01),
2008++ 500,000 286,250 1,250,000 715,625 500,000 286,250
BellSouth
Telecommunication deb.
6 3/4s, 2033 175,000 159,469 425,000 387,281 550,000 501,188
Call-Net Enterprises
sr. disc. notes stepped-
coupon zero % (13 1/4s,
12/1/99), 2004++ 160,000 120,000 585,000 438,750 190,000 142,500
Charter Communications
International, Inc. 144A
sr. notes 11 1/4s, 2006 -- -- 250,000 250,000 -- --
Charter Communications
International, Inc. 144A
sr. disc. notes stepped-
coupon zero (14s, 3/15/01),
2007++ 250,000 128,750 490,000 252,350 250,000 128,750
Dial Call Communication,
Inc. Ser. B, sr. disc.
notes stepped- coupon
zero (10 1/4s, 12/15/98),
2005++ 40,000 23,400 135,000 78,975 75,000 43,875
Intelcom Group, Inc. sr.
disc. notes stepped-
coupon zero % (13 1/2s,
9/15/00), 2005++ 130,000 83,850 260,000 167,700 100,000 64,500
Intermedia Communications
of Florida sr. notes Ser.
B, 13 1/2s, 2005 100,000 116,000 350,000 406,000 -- --
<PAGE>
GROWTH BALANCED CONSERVATIVE
CORPORATE BONDS PRINCIPAL PRINCIPAL PRINCIPAL
AND NOTES AMOUNT VALUE AMOUNT VALUE AMOUNT VALUE
TELECOMMUNICATIONS (CONTINUED)
- --------------------------------------------------------------------------------
- --------------
International Cabletel,
Inc. sr. notes stepped-
coupon Ser. A, zero %
(11 1/2s, 2/1/01),
2006++ $175,000 $99,750 $525,000 $299,250 $260,000 $148,200
Lenfest Communications,
Inc. sr. notes 8 3/8s,
2005 150,000 143,250 450,000 429,750 125,000 119,375
MFS Communications sr.
disc. notes stepped-
coupon zero % (8 7/8s,
1/1/01), 2006++ 150,000 93,000 100,000 62,000 150,000 93,000
MFS Communications sr.
disc. notes stepped-
coupon zero % (9 3/8s,
1/15/99), 2004++ 80,000 60,800 435,000 330,600 60,000 45,600
Mobile Telecommunications
Tech. sr. notes 13 1/2s,
2002 150,000 159,750 375,000 399,375 100,000 106,500
Mobilemedia Corp. sr. sub.
notes 9 3/8s, 2007 -- -- 200,000 196,000 75,000 73,500
NEXTEL Communications, Inc.
sr. disc. notes stepped-
coupon zero % (11 1/2s,
9/1/98), 2003++ 200,000 133,000 750,000 498,750 175,000 116,375
NEXTEL Communications, Inc.
sr. disc. notes stepped-
coupon zero % (9 3/4s,
2/15/99), 2004++ 260,000 152,100 1,715,000 1,003,275 450,000 263,250
Pagemart Nationwide, Inc.
sr. disc. notes stepped-
coupon zero % (15s,
2/1/00), 2005++ 210,000 141,750 600,000 405,000 210,000 141,750
Pricellular Wire Ser. B,
sr. disc. notes stepped-
coupon zero % (14s,
11/15/97), 2001++ 150,000 135,000 360,000 324,000 175,000 157,500
Rogers Cablesystem Ltd.
deb. 10 1/8s, 2012 (Canada) -- -- 400,000 416,000 -- --
Telewest Communications
PLC deb. stepped-coupon
zero %, (11s, 10/1/00),
2007 (United Kingdom)++ 170,000 103,700 440,000 268,400 170,000 103,700
Videotron Holdings sr.
disc. notes stepped-
coupon zero % (11s,
8/15/00), 2005 (United
Kingdom)++ 175,000 111,125 550,000 349,250 150,000 95,250
Wireless One, Inc. sr.
notes 13s, 2003 150,000 159,750 350,000 372,750 125,000 133,125
---------- ---------- ----------
2,532,019 8,602,369 2,861,776
<PAGE>
GROWTH BALANCED CONSERVATIVE
CORPORATE BONDS PRINCIPAL PRINCIPAL PRINCIPAL
AND NOTES AMOUNT VALUE AMOUNT VALUE AMOUNT VALUE
TEXTILES 0.1% 0.1% 0.1%
- --------------------------------------------------------------------------------
- --------------
Day International Group,
Inc. sr. sub. notes
11 1/8s, 2005 $125,000 $129,063 $310,000 $320,075 $-- $--
Reeves Industries, Inc.
bonds 11s, 2002 100,000 93,250 150,000 139,875 50,000 46,625
Reeves Industries, Inc.
sub. deb. 13 3/4s, 2001 -- -- -- -- 150,000 136,500
---------- ---------- ----------
222,313 459,950 183,125
TRANSPORTATION --% --% --%
- --------------------------------------------------------------------------------
- --------------
Blue Bird Body Co. sub.
deb. Ser. B, 11 3/4s,
2002 30,000 30,600 80,000 81,600 20,000 20,400
UTILITIES 0.3% 0.6% 1.2%
- --------------------------------------------------------------------------------
- --------------
CTC Mansfield Funding deb.
11 1/8s, 2016 -- -- 90,000 93,778 -- --
Cleveland Electric
Illuminating Co. 1st
mtge. Ser. B, 9 1/2s,
2005 100,000 100,730 -- -- -- --
Cleveland Electric
Illuminating Co.
Ser. E, 1st mtge. 9s,
2023 75,000 67,331 250,000 224,435 100,000 89,774
Commonwealth Edison
1st. mtge. 6 5/8s, 2003 240,000 230,302 580,000 556,653 725,000 695,813
First PV Funding deb.
10.15s, 2016 75,000 78,375 375,000 391,875 90,000 94,050
Iberdrola S.A. notes
7 1/2s, 2002 (Spain)+ 75,000 77,531 325,000 335,969 375,000 387,656
Midland Funding Corp.
II Ser. B, deb. 13 1/4s,
2006 53,000 59,360 400,000 448,000 175,000 196,000
Midland Funding II.
Ser. A, deb. 11 3/4s,
2005 150,000 160,500 250,000 267,500 25,000 26,750
Niagara Mohawk Power
1st. mtge. 6 7/8s, 2003 150,000 132,603 400,000 353,608 150,000 132,603
Puget Sound Power &
Light Co. med. term
notes 7 7/8s, 1997 10,000 10,268 25,000 25,669 60,000 61,606
Tenaga Nasional Berhad
144A deb. 7 1/2s, 2025
(Malaysia) 175,000 168,058 500,000 480,165 650,000 624,215
Texas New Mexico Pwr.
deb. 12 1/2s, 1999 -- -- 250,000 273,750 -- --
---------- ---------- ----------
1,085,058 3,451,402 2,308,467
TOTAL CORPORATE
BONDS AND NOTES
(cost $26,056,778,
$74,700,031, $33,244,365) $25,847,115 $74,568,467 $32,680,880
- --------------------------------------------------------------------------------
- --------------
GROWTH BALANCED CONSERVATIVE
4.2% 8.7% 13.5%
FOREIGN GOVERNMENT Principal Principal Principal
BONDS AND NOTES* Amount Value Amount Value Amount Value
AUD Australia
(Government of)
bonds 12s, 2001 290,000 $259,901 805,000 $721,449 415,000 $371,927
AUD Australia
(Government of)
bonds 9s, 2004 525,000 414,575 1,540,000 1,216,087 835,000 659,372
AUD Australia
(Government of)
notes 8 3/4s, 2001 1,055,000 830,619 3,085,000 2,428,873 1,680,000 1,322,693
CAD Canada
(Government of)
deb. 7 1/2s, 2001 1,875,000 1,407,388 5,405,000 4,057,031 3,010,000 2,259,327
CAD Canada
(Government of)
deb. 8 3/4s, 2005 340,000 268,968 840,000 664,508 540,000 427,184
CAD Canada
(Government of)
deb. 9s, 2004 160,000 128,221 630,000 504,872 235,000 188,325
DKK Denmark
(Government of)
bonds 7s, 2004 1,700,000 292,569 5,005,000 861,358 2,725,000 468,971
DKK Denmark
(Government of)
bonds 8s, 2003 2,115,000 391,049 5,805,000 1,073,304 2,580,000 477,024
DKK Denmark
(Government of)
bonds 9s, 2000 3,815,000 740,134 10,885,000 2,111,759 5,880,000 1,140,757
FRF France Treasury
bill 7 3/4s, 2000 5,310,000 1,137,692 15,470,000 3,314,518 8,120,000 1,739,747
DEM Germany
(Federal Republic
of) bonds 5 3/4s,
2000 3,390,000 2,344,893 10,360,000 7,166,105 5,260,000 3,638,389
DEM Germany
(Federal
Republic of) bonds
5 7/8s, 2000 1,305,000 907,538 3,810,000 2,649,594 2,065,000 1,436,066
DEM Germany
(Federal Republic
of) bonds 6 7/8s,
2005 1,195,000 833,467 3,705,000 2,584,096 1,770,000 1,234,508
DEM Germany
(Federal Republic
of) bonds 7 3/8s,
2005 690,000 497,127 2,020,000 1,455,357 835,000 601,596
ITL Italy
(Government of)
bonds 10 1/2s,
2005 765,000,000 484,4712,225,000,000 1,409,0821,210,000,000 766,288
ITL Italy
(Government of)
deb. 10 1/2s,
2000 735,000,000 472,7762,155,000,000 1,386,1661,170,000,000 752,582
USD Quebec
(Government of)
deb. 8 5/8s, 2005 165,000 181,262 450,000 494,352 600,000 659,136
ESP Spain
(Government of)
bonds 10.15s, 200632,200,000 265,201 98,800,000 813,72248,700,000 401,096
ESP Spain
(Government of)
bonds 12 1/4s, 200041,200,000 364,899108,900,000 964,50265,900,000 583,661
DEM Treuhandanstalt
(Germany
Republic of) 7 1/8s,
2003 1,650,000 1,183,756 4,746,000 3,404,914 3,340,000 2,396,210
GBP United Kingdom
Treasury bonds
7 1/2s, 2006 360,000 522,406 1,030,000 1,494,663 890,000 1,291,505
GBP United Kingdom
Treasury bonds
8s, 2000 400,000 621,248 1,180,000 1,832,683 640,000 993,997
GBP United Kingdom
Treasury bonds
9 1/2s, 1999 280,000 451,685 1,385,000 2,234,227 740,000 1,193,739
GBP United Kingdom
Treasury bonds
9 3/4s, 2002 575,000 $957,714 1,370,000 $2,281,858 265,000 $441,381
---------- ---------- ----------
TOTAL FOREIGN GOVERNMENT
BONDS AND NOTES
(cost $15,961,025,
$47,181,450 and
$25,112,496) $15,959,559 $47,125,080 $25,445,481
- --------------------------------------------------------------------------------
- --------------
<PAGE>
GROWTH BALANCED CONSERVATIVE
2.6 %5.4% 21.1%
U.S. GOVERNMENT AND Principal Principal Principal
AGENCY OBLIGATIONS* Amount Value Amount Value Amount Value
Federal National Mortgage
Association
Dwarf pass-through
certificates
9 1/2s, May 1, 2007 $200,689 $212,291 $757,318 $801,099 $908,781 $961,319
Dwarf TBA 6 1/2s,
April 16, 2011 605,000 591,763 1,645,000 1,609,007 2,070,000 2,024,708
TBA 7s, April 16,
2026 375,000 365,389 550,000 535,904 1,075,000 1,047,448
TBA 6 1/2s,
April 16, 2026 1,265,000 1,200,953 3,230,000 3,066,465 3,995,000 3,792,733
Financing Corp.
bonds 9.8s, November
30, 2017 200,000 257,344 500,000 643,360 750,000 965,040
Financing Corp.
bonds zero %,
April 6, 2006 300,000 150,771 900,000 452,313 1,200,000 603,084
Financing Corp.
deb. zero %, May 11,
2006 300,000 149,826 900,000 449,478 1,200,000 599,304
Government National
Mortgage Association
Midget pass-through
certificates 9s,
November 15, 2006 229,131 240,945 644,429 677,658 859,239 903,544
Midget pass-through
certificates
7s, with various due
dates from December
15, 2007 to June 15,
2009 130,239 130,728 684,077 686,643 694,427 697,032
TBA 8s, April 16, 2026 640,000 653,197 1,785,000 1,821,807 2,385,000 2,434,179
TBA 7 1/2s, April 16,
2026 1,130,000 1,127,525 3,150,000 3,143,102 4,230,000 4,220,736
TBA 7s, April 16, 2026 450,000 438,327 980,000 954,579 1,040,000 1,013,022
U.S. Treasury Notes
7 1/4s, May 15, 2004 320,000 337,450 905,000 954,350 1,195,000 1,260,163
6 7/8s, August 31, 1999#890,000 913,363 3,260,000 3,345,575 5,515,000 5,659,769
6 3/8s, July 15, 1999#1,010,000 1,021,676 2,925,000 2,958,813 3,380,000 3,419,073
5 7/8s, July 31, 1997# 750,000 752,108 2,800,000 2,807,868 4,570,000 4,582,842
5 3/4s, August 15, 2003 90,000 86,920 350,000 338,023 280,000 270,418
5 5/8s, October 31, 1997325,000 324,594 890,000 888,888 1,200,000 1,198,500
U.S. Treasury Bonds
8 1/8s, August 15, 2019 350,000 399,984 1,945,000 2,222,765 3,070,000 3,508,427
8s, November 15, 2021 400,000 453,124 -- -- -- --
U.S. Treasury Interest
Strips
zero %, August 15, 2004 320,000 187,600 845,000 495,381 1,055,000 618,494
zero %, February 15, 2003110,000 71,650 220,000 143,299 -- --
------- ------- --------
TOTAL U.S. GOVERNMENT AND
AGENCY OBLIGATIONS (cost
$10,200,458, $29,448,185
and $40,499,497) $10,067,528 $28,996,377 $39,779,835
- --------------------------------------------------------------------------------
- --------------
GROWTH BALANCED CONSERVATIVE
0.6% 0.5% 0.2%
CONVERTIBLE BONDS PRINCIPAL PRINCIPAL PRINCIPAL
AND NOTES* AMOUNT VALUE AMOUNT VALUE AMOUNT VALUE
Lowes Companies Inc.
cv. deb. 3s, 2003 $1,700,000 $2,292,875 $1,900,000 $2,562,625 $300,000 $404,625
Pricellular Wireless
144A cv. sub. notes
stepped-coupon zero %,
(10 3/4s, 8/15/00),
2004++ 94,000 79,900 206,000 175,100 77,000 65,450
Riverwood International
Corp. Conv. sub. notes
6 3/4s, 2003 100,000 115,375 -- -- -- --
------- ------- --------
TOTAL CONVERTIBLE BONDS
AND NOTES (cost $2,353,282,
$2,546,493 and $422,125) $2,488,150 $2,737,725 $470,075
- --------------------------------------------------------------------------------
- --------------
GROWTH BALANCED CONSERVATIVE
0.3% 0.3% 0.2%
CONVERTIBLE Number of Number of Number of
PREFERRED STOCKS* Shares Value Shares Value Shares Value
Granite Broadcasting
$1.938 cv. pfd. 2,000 $122,250 4,200 $256,725 1,700 $103,913
Unisys Corp. Ser.
A, $3.75 cv. pfd. 33,400 981,125 38,300 1,125,063 6,700 196,813
-------- --------- --------
TOTAL CONVERTIBLE
PREFERRED STOCKS
(cost $1,219,125,
$1,512,670 and $322,646) $1,103,375 $1,381,788 $300,726
- --------------------------------------------------------------------------------
- --------------
GROWTH BALANCED CONSERVATIVE
0.2% 0.4% 1.4%
ASSET-BACKED Principal Principal Principal
SECURITIES* Amount Value Amount Value Amount Value
Discover Card
Master Trust
Ser. 95-2,
Class A, 6.55s, 2003 $150,000 $150,609 $400,000 $401,624 $500,000 $502,030
First Deposit
Master Trust
Ser. 93-2A,
5 3/4s, 2001 50,000 49,656 175,000 173,796 195,000 193,658
Green Tree
Financial Corp.
Ser. 93-4, Class
A1, 4.85s, 2019 35,400 35,201 92,879 92,356 100,872 100,304
Green Tree
Financial Corp.
Ser. 95-10, Class A,
5 3/4s, 2027 127,472 127,352 339,925 339,606 467,398 466,959
Green Tree Financial
Corp. Ser. 95-2,
Class A1, 6.8s,
2026 36,769 36,849 110,307 110,547 119,499 119,759
MBNA Master Card
Trust Ser. 95-F,
Class A, 6.6s, 2003 145,000 146,359 390,000 393,654 490,000 494,591
Merrill Lynch
Mortgage Investors,
Inc. Ser. 88-RA,
9.85s, 2008 5,707 5,711 21,790 21,804 24,385 24,400
Standard Credit
Card Master Trust
Ser. 94-4A, 8 1/4s,
2003 225,000 241,522 570,000 611,855 660,000 708,464
-------- --------- --------
TOTAL ASSET-BACKED
SECURITIES
(cost $799,214,
$2,157,894
and $2,626,538) $793,259 $2,145,242 $2,610,165
- --------------------------------------------------------------------------------
- --------------
<PAGE>
GROWTH BALANCED CONSERVATIVE
0.2% 0.4% 1.3%
COLLATERALIZED MORTGAGEPRINCIPAL PRINCIPAL PRINCIPAL
OBLIGATIONS* AMOUNT VALUE AMOUNT VALUE AMOUNT VALUE
CBM Funding Corp.
Ser. 96-1, Class
A1, 7.55s, 2004 $122,253 $124,278 $308,079 $313,182 $371,650 $377,806
Chase Mortgage
Finance Corp.
Ser. 94-1, Class
B2, 6.6s, 2025 -- -- 191,319 169,915 191,319 169,915
Citicorp Mortgage
Securities, Inc.
Ser. 94-9, Class
A3, 5 3/4s, June 25,
2009 205,000 196,992 535,000 514,102 615,000 590,977
Federal National
Mortgage Association
Ser. 93-152A,
zero %, 2017 625 625 2,241 2,242 2,894 2,894
Federal National
Mortgage Association
Ser. 94-63A, 7s, 2023 115,336 104,289 408,481 369,356 408,481 369,356
GE Capital Mortgage
Services Inc. Ser.
94-8A2, 6s, 2024 90,000 87,848 335,000 326,991 375,000 366,035
Residential Funding
Mortgage Securities
I Ser. 93-S36, Class A3,
5.065s, 2008 225,000 220,500 500,000 490,000 600,000 588,000
-------- --------- --------
TOTAL COLLATERALIZED
MORTGAGE OBLIGATIONS
(cost $730,323, $2,159,816
and $2,438,471) $734,532 $2,185,788 $2,464,983
- --------------------------------------------------------------------------------
- --------------
GROWTH BALANCED CONSERVATIVE
0.1% 0.3% 0.3%
Number of Number of Number of
PREFERRED STOCKS* Shares Value Shares Value Shares Value
- --------------------------------------------------------------------------------
- --------------
Cablevision Systems
Corp. 144A Ser. L,
$11.125 pfd. 2,000 $200,000 5,900 $590,000 1,850 $185,000
California Federal
Bank Ser. B,
$10.625 exch. pfd. 1,455 159,323 3,150 344,925 1,650 180,675
Chevy Chase Savings
Bank $13.00
pfd. 5,675 178,763 12,500 393,750 3,150 99,225
First Nationwide
Bank $11.50 pfd. -- -- 3,500 388,500 -- --
Pantry Pride Inc.
Ser. B, $14.875 pfd. 152 15,200 800 80,000 500 50,000
-------- --------- --------
TOTAL PREFERRED STOCKS
(cost $552,327, $1,798,096
and $511,313) $553,286 $1,797,175 $514,900
- --------------------------------------------------------------------------------
- --------------
<PAGE>
GROWTH BALANCED CONSERVATIVE
0.1% 0.2% 0.2%
NUMBER OF NUMBER OF NUMBER OF
UNITS* UNITS VALUE UNITS VALUE UNITS VALUE
Celcaribe S.A. 144A
units stepped-coupon
zero % (13 1/2s,
3/15/98), 2004++ 3 $28,950 22 $212,300 2 $19,300
Cellnet Data Systems
Inc. units stepped-
coupon zero % (13s,
6/15/00), 2005++ 125 81,250 400 260,000 100 65,000
Fitzgerald Gaming Co.
units 13s, 2002 75 69,375 225 208,125 100 92,500
GST Telecommunications,
Inc. 144A units stepped-
coupon zero % (13 7/8s,
12/15/00), 2005 (Canada)++ 21 121,275 59 340,725 17 98,175
ICF Kaiser International,
Inc. units 12s, 2003 5 4,750 10 9,500 10 9,500
Terex Corp. 144A units
13 3/4s, 2002 125 123,750 150 148,500 50 49,500
-------- --------- --------
TOTAL UNITS (cost $367,807,
$1,021,105 and $293,831) $429,350 $1,179,150 $333,975
- --------------------------------------------------------------------------------
- --------------
GROWTH BALANCED CONSERVATIVE
EXPIRATION NUMBER OF --% NUMBER OF --% NUMBER OF --%
WARRANTS*+ DATE WARRANTS VALUE WARRANTS VALUE WARRANTS VALUE
- --------------------------------------------------------------------------------
- --------------
Commodore Media 144A 05/01/00 60 $7,200 -- $---- $--
County Seat Holdings,
Inc. 10/15/98 65 650 200 2,000 110 1,100
Danieli & Co. 11/30/99 3,350 3,009 4,500 4,042 1,550 1,392
Intelcom Group 10/15/05 429 3,861 858 7,722 330 2,970
Intermedia Communications
144A 06/01/00 100 2,500 350 8,750 -- --
Petracom Holdings, Inc. 08/01/05 -- -- 1,001 7,132 399 2,843
Telemedia Broadcasting
Corp. 04/01/04 -- -- 4 3,371 -- --
UCC Investor Holding,
Inc. 10/30/99 10 95 30 285 20 190
Wireless One, Inc. 10/14/00 450 5,670 1,050 13,230 375 4,725
-------- --------- --------
TOTAL WARRANTS (cost
$5,999, $26,531
and $5,648) $22,985 $46,532 $13,220
- --------------------------------------------------------------------------------
- --------------
GROWTH BALANCED CONSERVATIVE
PURCHASED OPTIONS --% --% --%
OUTSTANDING*EXPIRATION DATE/ CONTRACT CONTRACT CONTRACT
STRIKE PRICE AMOUNT VALUE AMOUNT VALUE AMOUNT VALUE
- --------------------------------------------------------------------------------
- --------------
Japanese Government
10Yr Bonds
Bonds April96/110.714JPY1 64,050,000 $3,214477,900,000 $9,362256,800,000 $5,031
US Dollar In
Exchange for
Swiss Francs April96/1.21 USD 1,700,000 6,120 4,800,000 17,280 2,700,000 9,720
------- ------- -------
TOTAL PURCHASED OPTIONS
(cost $22,889, $65,674
and $36,086) $9,334 $26,642 $14,751
<PAGE>
GROWTH BALANCED CONSERVATIVE
9.4% 8.9% 16.5%
SHORT-TERM PRINCIPAL PRINCIPAL PRINCIPAL
INVESTMENTS* AMOUNT VALUE AMOUNT VALUE AMOUNT VALUE
Maxus Energy corp.
medium term notes
10.2s, May 10, 1996 $125,000 $124,951 $300,000 $299,883 $100,000 $99,961
Interest in $844,579,000
joint repurchase agreement
dated March 29, 1996
with Morgan (J.P.) & Co.
due April 1, 1996 with
respect to various U.S.
Treasury obligations--
maturity value of
$35,945,168, $47,812,506
and $30,991,940,
respectively for an
effective yield of 5.40% 35,929,000 35,945,168 47,791,00047,812,506 30,978,00030,991,940
---------- ---------- ----------
TOTAL SHORT-TERM INVESTMENTS
(cost $36,070,119,
$48,112,389 and $31,091,901) $36,070,119 $48,112,389 $31,091,901
- --------------------------------------------------------------------------------
- --------------
TOTAL INVESTMENTS (cost $338,900,147,
$491,644,534 and $194,069,387)*** $389,038,925 $548,386,006 $203,026,353
- --------------------------------------------------------------------------------
- --------------
<FN>
* Percentages indicated are based on net assets as follows:
NET ASSETS
-----------------------------------------
Growth portfolio $385,537,845
Balanced portfolio $540,260,723
Conservative portfolio $188,358,467
-----------------------------------------
+ Non-income-producing security.
++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.
++ Restricted, excluding 144A securities, as to public resale. Grand Union Co.
was acquired on various dates from 3/7/94 to 12/8/94 with a cost of
$115,725, $252,731 and $112,188 for Growth, Balanced and Conservative
portfolios, respectively. PSF Finance (L.P.) was acquired on various
dates from 3/16/95 to 4/3/95 with a cost of $150,309, $589,424 and
$190,170 for Growth, Balanced and Conservative portfolios, respectively.
The total market value of restricted securities by fund did not exceed
0.2% of each fund's net assets.
++++ Income may be received in cash or additional securities at the discretion
of the issuer.
++++++ Forward commitment (See Note 1).
# A portion of these securities were pledged to cover margin requirements for
futures contracts at March 31, 1996. The market value of segregated
securities with the custodian for transaction on futures contracts are as
follows:
MARKET % OF
VALUE NET ASSETS
-----------------------------------------------------
Growth portfolio $859,826 0.2%
Balanced portfolio 2,972,140 0.6%
Conservative portfolio 954,413 0.5%
-----------------------------------------------------
(R) Real Estate Investment Trust.
*** The aggregate identified cost for federal income tax purposes is as
follows:
AGGREGATE GROSS UNREALIZED GROSS UNREALIZED UNREALIZED
IDENTIFIED COST APPRECIATION DEPRECIATION APPRECIATION
---------------------------------------------------------------------------
- ----------------------------------
Growth portfolio $338,900,147 $54,105,325 $3,966,547 $50,138,778
Balanced portfolio 491,644,534 64,745,100 8,003,628 56,741,472
Conservative portfolio 194,069,387 14,658,409 5,701,443 8,956,966
---------------------------------------------------------------------------
- ----------------------------------
ADR or ADS after the name of a holding represents ownership of foreign
securities on deposit with various domestic custodian banks.
TBA after the name of a security represents to be announced securities (See Note
1.)
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.
</TABLE>
<PAGE>
Forward Currency Contracts to Buy Outstanding
at March 31, 1996 (aggregate face value $4,945,703):GROWTH
- ----------------------------------------------------------------------
<TABLE><CAPTION>
<S> <C> <C> <C> <C>
UNREALIZED
AGGREGATE DELIVERY APPRECIATION/
MARKET VALUE FACE VALUE DATE (DEPRECIATION)
- ----------------------------------------------------------------------
Deutschemarks $732,705 $732,976 06/12/96 $ (271)
French Francs 866,177 875,819 06/12/96 (9,642)
Italian Lira 179,039 179,948 06/12/96 (909)
Japanese Yen 2,537,927 2,591,655 06/12/96 (53,728)
Spanish Peseta 85,530 86,574 06/12/96 (1,044)
Swedish Krona 482,776 478,731 06/12/96 4,045
- ----------------------------------------------------------------------
$(61,549)
- ----------------------------------------------------------------------
FORWARD CURRENCY CONTRACTS TO SELL OUTSTANDING
at March 31, 1996 (aggregate face value $23,902,272):GROWTH
- ----------------------------------------------------------------------
UNREALIZED
AGGREGATE DELIVERY APPRECIATION/
MARKET VALUE FACE VALUE DATE (DEPRECIATION)
- ----------------------------------------------------------------------
Australian Dollars $1,187,738 $1,171,854 06/12/96 $(15,884)
British Pounds 2,833,850 2,867,187 05/31/96 33,337
British Pounds 1,066,318 1,075,351 06/12/96 9,033
Canadian Dollars 839,577 832,144 06/12/96 (7,433)
Danish Krona 71,857 72,306 06/12/96 449
Deutschemarks 5,463,349 5,487,296 06/12/96 23,947
French Francs 2,084,669 2,123,757 05/31/96 39,088
Japanese Yen 8,963,204 9,187,512 07/17/96 224,308
Japanese Yen 1,062,240 1,084,865 06/12/96 22,625
- ----------------------------------------------------------------------
$329,470
- ----------------------------------------------------------------------
FORWARD CROSS CURRENCY CONTRACTS OUTSTANDING
at March 31, 1996 (aggregate face value $1,662,312):GROWTH
- ----------------------------------------------------------------------
UNREALIZED
CURRENCY MARKET CURRENCY MARKET DELIVERY APPRECIATION/
PURCHASED VALUE SOLD VALUE DATE (DEPRECIATION)
Danish Krona $407,839 Deutschemarks $406,838 06/12/96 $1,001
Spanish Peseta 697,942 Deutschemarks 696,488 06/12/96 1,454
Deutschemarks 543,520 Swiss Francs 544,436 06/12/96 (916)
- ----------------------------------------------------------------------
$1,539
- ----------------------------------------------------------------------
FUTURES CONTRACTS OUTSTANDING
at March 31, 1996 (aggregate face value $52,575,923):GROWTH
- ----------------------------------------------------------------------
UNREALIZED
AGGREGATEEXPIRATION APPRECIATION/
TOTAL VALUE FACE VALUE DATE (DEPRECIATION)
- ----------------------------------------------------------------------
Dax Index (Long) $14,863,215 $14,324,016 June 96 $539,199
Germany (Government of)
10-year bonds (short) 3,906,599 3,904,069 June 96 (2,530)
Nikkei 225 SMX (Long) 14,810,357 14,779,062 June 96 31,295
UST 10yr-Bonds (Short) 9,257,031 9,255,594 June 96 (1,437)
UST 5yr-Bonds (Short) 8,877,109 8,877,469 June 96 360
United Kingdom
(Government of)
bonds (Short) 1,434,691 1,435,713 June 96 1,022
- ----------------------------------------------------------------------
$567,909
- ----------------------------------------------------------------------
</TABLE>
<PAGE>
DIVERSIFICATION BY COUNTRY
Distribution of investments by country of
issue at March 31, 1996 GROWTH
- ----------------------------------------------------------------------
Argentina --% Italy 0.3%
Austria 0.2 Japan 3.9
Australia 0.4 Malaysia 0.2
Belgium 0.2 Netherlands 1.2
Canada 1.4 Portugal 0.1
Denmark 0.6 Singapore 0.4
Finland 0.2 Spain 0.9
France 2.0 Sweden 0.5
Germany 2.0 Switzerland 0.7
Greece -- United Kingdom 3.3
Hong Kong 0.8 United States 80.2
Ireland 0.5 Total 100.0
Forward Currency Contracts to Buy Outstanding
at March 31, 1996 (aggregate face value $15,290,247):BALANCED
- ----------------------------------------------------------------------
<TABLE><CAPTION>
<S> <C> <C> <C> <C>
UNREALIZED
AGGREGATE DELIVERY APPRECIATION/
MARKET VALUE FACE VALUE DATE (DEPRECIATION)
- ----------------------------------------------------------------------
Deutschemarks $1,155,473 $1,161,202 06/12/96 $(5,729)
French Francs 2,618,731 2,647,108 06/12/96 (28,377)
Italian Lira 1,769,485 1,778,466 06/12/96 (8,981)
Japanese Yen 7,779,484 7,953,971 06/12/96 (174,487)
Spanish Peseta 315,386 319,235 06/12/96 (3,849)
Swedish Krona 1,442,349 1,430,265 06/12/96 12,084
- ----------------------------------------------------------------------
$(209,339)
- ----------------------------------------------------------------------
FORWARD CURRENCY CONTRACTS TO SELL OUTSTANDING
at March 31, 1996 (aggregate face value $50,333,135):BALANCED
- ----------------------------------------------------------------------
UNREALIZED
AGGREGATE DELIVERY APPRECIATION/
MARKET VALUE FACE VALUE DATE (DEPRECIATION)
- ----------------------------------------------------------------------
Australian Dollars $3,491,834 $3,442,469 06/12/96 $(49,365)
British Pounds 4,113,652 4,161,461 05/31/96 47,809
British Pounds 3,396,986 3,425,759 06/12/96 28,773
Canadian Dollars 2,448,765 2,426,379 06/12/96 (22,386)
Danish Krona 69,046 69,478 06/12/96 432
Deutschemarks 15,538,393 15,526,918 06/12/96 (11,475)
French Francs 3,035,501 3,091,201 05/31/96 55,700
Italian Lira 1,254,011 1,261,583 06/12/96 7,572
Japanese Yen 13,052,014 13,377,423 07/17/96 325,409
Japanese Yen 3,476,426 3,550,464 06/12/96 74,038
- ----------------------------------------------------------------------
- -
$456,507
- ----------------------------------------------------------------------
FORWARD CROSS CURRENCY CONTRACTS OUTSTANDING
at March 31, 1996 (aggregate face value $4,830,509):BALANCED
- ----------------------------------------------------------------------
UNREALIZED
CURRENCY MARKET CURRENCY MARKET DELIVERY APPRECIATION/
PURCHASED VALUE SOLD VALUE DATE (DEPRECIATION)
- ----------------------------------------------------------------------
Danish Krona $1,155,544Deutschemarks$1,152,708 06/12/96 $2,836
Spanish Peseta2,026,019Deutschemarks 2,021,796 06/12/96 4,223
Deutschemarks 1,611,667 Swiss Francs 1,614,384 06/12/96 (2,717)
- ----------------------------------------------------------------------
$4,342
- ----------------------------------------------------------------------
<PAGE>
FUTURES CONTRACTS OUTSTANDING
at March 31, 1996 (aggregate face value $103,681,455):BALANCED
- ----------------------------------------------------------------------
UNREALIZED
AGGREGATEEXPIRATION APPRECIATION/
TOTAL VALUE FACE VALUE DATE (DEPRECIATION)
- ----------------------------------------------------------------------
Dax Index (Long) $29,557,530 $28,530,899 June 96 $1,026,631
Nikkei 225 SMX (Long) 26,918,825 26,748,212 June 96 170,613
UST 10yr-Bonds (Short) 27,662,188 27,738,531 June 96 76,343
UST 5yr-Bonds (Short) 20,641,953 20,663,813 June 96 21,860
- ----------------------------------------------------------------------
$1,295,447
- ----------------------------------------------------------------------
</TABLE>
DIVERSIFICATION BY COUNTRY
Distribution of investments by country of issue at March 31, 1996
BALANCED
- ----------------------------------------------------------------------
Argentina 0.1% Italy 0.6%
Austria 0.2 Japan 4.0
Australia 0.9 Malaysia 0.3
Belgium 0.2 Netherlands 1.3
Canada 2.1 Portugal 0.1
Denmark 1.0 Singapore 0.5
Finland 0.2 Spain 1.0
France 2.4 Sweden 0.5
Germany 3.7 Switzerland 0.8
Greece 0.1 United Kingdom 4.2
Hong Kong 0.8 United States 74.4
Ireland 0.6 Total 100.0
- ----------------------------------------------------------------------
FORWARD CURRENCY CONTRACTS TO BUY OUTSTANDING
at March 31, 1996 (aggregate face value $7,460,770):CONSERVATIVE
<TABLE><CAPTION>
<S> <C> <C> <C> <C>
- ----------------------------------------------------------------------
UNREALIZED
AGGREGATE DELIVERY APPRECIATION/
MARKET VALUE FACE VALUE DATE (DEPRECIATION)
- ----------------------------------------------------------------------
Danish Krona $112,265 $111,868 06/12/96 $397
Deutschemarks 346,642 348,361 06/12/96 (1,719)
French Francs 1,472,815 1,488,824 06/12/96 (16,009)
Italian Lira 592,585 595,593 06/12/96 (3,008)
Japanese Yen 3,918,941 4,002,616 06/12/96 (83,675)
Spanish Peseta 154,251 156,134 06/12/96 (1,883)
Swedish Krona 763,773 757,374 06/12/96 6,399
- ----------------------------------------------------------------------
$(99,498)
- ----------------------------------------------------------------------
FORWARD CURRENCY CONTRACTS TO SELL OUTSTANDING
at March 31, 1996 (aggregate face value $19,908,501):CONSERVATIVE
- ----------------------------------------------------------------------
UNREALIZED
AGGREGATE DELIVERY APPRECIATION/
MARKET VALUE FACE VALUE DATE (DEPRECIATION)
- ----------------------------------------------------------------------
Australian Dollars $1,834,072 $1,808,237 06/12/96 $(25,835)
British Pounds 1,058,884 1,065,594 05/31/96 6,710
British Pounds 1,523,312 1,536,309 06/12/96 12,997
Canadian Dollars 1,384,566 1,372,479 06/12/96 (12,087)
Deutschemarks 8,079,475 8,077,940 06/12/96 (1,535)
French Francs 765,837 776,319 05/31/96 10,482
Italian Lira 312,635 314,522 06/12/96 1,887
Japanese Yen 3,293,765 3,373,512 07/17/96 79,747
Japanese Yen 1,550,618 1,583,589 06/12/96 32,971
- ----------------------------------------------------------------------
$105,337
- ----------------------------------------------------------------------
<PAGE>
FORWARD CROSS CURRENCY CONTRACTS OUTSTANDING
at March 31, 1996 (aggregate face value $2,572,968):CONSERVATIVE
- ----------------------------------------------------------------------
UNREALIZED
CURRENCY MARKET CURRENCY MARKET DELIVERY APPRECIATION/
PURCHASED VALUE SOLD VALUE DATE (DEPRECIATION)
- ----------------------------------------------------------------------
Danish Krona $611,759Deutschemarks $610,258 06/12/96 $1,501
Spanish Peseta1,077,393Deutschemarks 1,075,147 06/12/96 2,246
Deutschemarks 864,032 Swiss Francs 865,488 06/12/96 (1,456)
- ----------------------------------------------------------------------
$2,291
- ----------------------------------------------------------------------
FUTURES CONTRACTS OUTSTANDING
at March 31, 1996 (aggregate face value $18,869,249):CONSERVATIVE
- ----------------------------------------------------------------------
UNREALIZED
AGGREGATEEXPIRATION APPRECIATION/
TOTAL VALUE FACE VALUE DATE (DEPRECIATION)
- ----------------------------------------------------------------------
Dax Index (Long) $4,729,205 $4,741,113 June 96 $(11,908)
Nikkei 225 SMX (Long) 4,703,289 4,659,245 June 96 44,044
UST 10yr-Bonds (Short) 6,098,750 6,140,750 June 96 42,000
UST 5yr-Bonds (Short) 3,315,547 3,328,141 June 96 12,594
- ----------------------------------------------------------------------
$86,730
- ----------------------------------------------------------------------
</TABLE>
DIVERSIFICATION BY COUNTRY
Distribution of investments by country of issue at March 31, 1996
CONSERVATIVE
- ----------------------------------------------------------------------
Argentina --% Italy 0.8%
Austria 0.1 Japan 2.8
Australia 1.4 Malaysia 0.6
Belgium 0.1 Netherlands 0.9
Canada 2.4 Portugal --
Denmark 1.3 Singapore 0.3
Finland 0.3 Spain 1.1
France 2.0 Sweden 0.4
Germany 5.0 Switzerland 0.5
Greece -- United Kingdom 3.9
Hong Kong 0.5 United States 75.2
Ireland 0.4 Total 100.0
<PAGE>
STATEMENT OF ASSETS AND LIABILITIES
March 31, 1996 (Unaudited)
PUTNAM ASSET ALLOCATION: GROWTH PORTFOLIO
<TABLE>
<S> <C>
ASSETS
- ----------------------------------------------------------------------
Investments in securities, at value
(identified cost $338,900,147) (Note 1) $389,038,925
- ----------------------------------------------------------------------
Cash 92,611
- ----------------------------------------------------------------------
Foreign currency (cost $991,005) 975,800
- ----------------------------------------------------------------------
Dividends, interest and other receivables 1,782,416
- ----------------------------------------------------------------------
Receivable for shares of the fund sold 2,378,764
- ----------------------------------------------------------------------
Receivable for securities sold 4,242,567
- ----------------------------------------------------------------------
Receivable for open forward currency contracts 361,452
- ----------------------------------------------------------------------
Receivable for closed forward currency contracts 99,010
- ----------------------------------------------------------------------
Unamortized organization expenses (Note 1) 7,587
- ----------------------------------------------------------------------
TOTAL ASSETS $398,979,132
LIABILITIES
- ----------------------------------------------------------------------
Payable for variation margin 290,287
- ----------------------------------------------------------------------
Payable for securities purchased 11,459,436
- ----------------------------------------------------------------------
Payable for shares of the fund repurchased 179,094
- ----------------------------------------------------------------------
Payable for compensation of Manager (Note 2) 617,684
- ----------------------------------------------------------------------
Payable for investor servicing and custodian fees (Note 2) 345,560
- ----------------------------------------------------------------------
Payable for compensation of Trustees (Note 2) 450
- ----------------------------------------------------------------------
Payable for administrative services (Note 2) 2,169
- ----------------------------------------------------------------------
Payable for distribution fees (Note 2) 239,817
- ----------------------------------------------------------------------
Payable for organization expense (Note 1) 13,264
- ----------------------------------------------------------------------
Payable for open forward currency contracts 91,992
- ----------------------------------------------------------------------
Payable for closed forward currency contracts 108,709
- ----------------------------------------------------------------------
Other accrued expenses 92,825
- ----------------------------------------------------------------------
TOTAL LIABILITIES 13,441,287
- ----------------------------------------------------------------------
NET ASSETS $385,537,845
- ----------------------------------------------------------------------
(continued on next page)
<PAGE>
STATEMENT OF ASSETS AND LIABILITIES (continued)
PUTNAM ASSET ALLOCATION: GROWTH PORTFOLIO
REPRESENTED BY
- ----------------------------------------------------------------------
Paid-in capital (Notes 1 and 4) $326,313,907
- ----------------------------------------------------------------------
Distributions in excess of net investment
income (Note 1) (393,761)
- ----------------------------------------------------------------------
Accumulated net realized gain on investments
and foreign currency transactions (Note 1) 8,660,717
- ----------------------------------------------------------------------
Net unrealized appreciation of investments and
assets and liabilities in foreign currencies 50,956,982
- ----------------------------------------------------------------------
TOTAL -- REPRESENTING NET ASSETS APPLICABLE TO
CAPITAL SHARES OUTSTANDING $385,537,845
- ----------------------------------------------------------------------
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE
Net asset value and redemption price of class A shares
($163,079,727 divided by 15,501,828 shares) $10.52
- ----------------------------------------------------------------------
Offering price of class A shares (100/94.25 of $10.52)* $11.16
- ----------------------------------------------------------------------
Net asset value and offering price of class B shares
($152,317,658 divided by 14,577,093 shares)+ $10.45
- ----------------------------------------------------------------------
Net asset value and offering price of class C shares
($15,622,199 divided by 1,501,562 shares)+ $10.40
- ----------------------------------------------------------------------
Net asset value and redemption price of class M shares
($5,791,653 divided by 553,172 shares) $10.47
- ----------------------------------------------------------------------
Offering price of class M shares (100/96.5 of $10.47)* $10.85
- ----------------------------------------------------------------------
Net asset value, offering and redemption price of
class Y shares ($48,726,608 divided by 4,615,537 shares) $10.56
- ----------------------------------------------------------------------
<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
Six months ended March 31, 1996 (Unaudited)
PUTNAM ASSET ALLOCATION: GROWTH PORTFOLIO
<TABLE>
<S> <C>
INVESTMENT INCOME:
- ----------------------------------------------------------------------
Dividends (net of foreign tax of $31,347) $2,373,408
- ----------------------------------------------------------------------
Interest (net of foreign tax $13,049) 2,885,692
- ----------------------------------------------------------------------
TOTAL INVESTMENT INCOME 5,259,100
- ----------------------------------------------------------------------
EXPENSES:
- ----------------------------------------------------------------------
Compensation of Manager (Note 2) 1,161,385
- ----------------------------------------------------------------------
Investor servicing and custodian fees (Note 2) 706,270
- ----------------------------------------------------------------------
Compensation of Trustees (Note 2) 6,525
- ----------------------------------------------------------------------
Administrative services (Note 2) 4,235
- ----------------------------------------------------------------------
Distribution fees -- class A (Note 2) 176,331
- ----------------------------------------------------------------------
Distribution fees -- class B (Note 2) 656,304
- ----------------------------------------------------------------------
Distribution fees -- class C (Note 2) 54,280
- ----------------------------------------------------------------------
Distribution fees -- class M (Note 2) 13,318
- ----------------------------------------------------------------------
Amortization of organization expenses (Note 1) 1,322
- ----------------------------------------------------------------------
Reports to shareholders 23,613
- ----------------------------------------------------------------------
Registration fees 39,346
- ----------------------------------------------------------------------
Auditing 22,224
- ----------------------------------------------------------------------
Legal 3,156
- ----------------------------------------------------------------------
Postage 15,450
- ----------------------------------------------------------------------
Other 22,143
- ----------------------------------------------------------------------
TOTAL EXPENSES 2,905,902
- ----------------------------------------------------------------------
Expense reduction (Note 2) (63,863)
- ----------------------------------------------------------------------
NET EXPENSES 2,842,039
- ----------------------------------------------------------------------
NET INVESTMENT INCOME 2,417,061
- ----------------------------------------------------------------------
Net realized gain on investments (Notes 1 and 3) 13,021,120
- ----------------------------------------------------------------------
Net realized loss on futures contracts (Notes 1 and 3) (2,284,350)
- ----------------------------------------------------------------------
Net realized gain on written options (Notes 1 and 3) 5,418
- ----------------------------------------------------------------------
Net realized gain on forward currency contracts and
foreign currency translation (Note 1) 818,402
- ----------------------------------------------------------------------
Net unrealized appreciation on forward currency contracts and
foreign currency translation during the period 198,581
- ----------------------------------------------------------------------
Net unrealized appreciation of investments, futures and
written options during the period 16,558,437
- ----------------------------------------------------------------------
NET GAIN ON INVESTMENTS 28,317,608
- ----------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $30,734,669
- ----------------------------------------------------------------------
</TABLE>
<PAGE>
STATEMENT OF CHANGES IN NET ASSETS
PUTNAM ASSET ALLOCATION: GROWTH PORTFOLIO
<TABLE><CAPTION>
<S> <C> <C>
SIX MONTHS YEAR
ENDED ENDED
MARCH 31 SEPTEMBER 30
----------- -------------
1996* 1995
- ----------------------------------------------------------------------
INCREASE IN NET ASSETS
- ----------------------------------------------------------------------
Operations:
- ----------------------------------------------------------------------
Net investment income $2,417,061 $3,056,348
- ----------------------------------------------------------------------
Net realized gain on investments and
foreign currency transactions 11,560,590 6,293,162
- ----------------------------------------------------------------------
Net unrealized appreciation of investment
transactions and assets and liabilities in
foreign currencies 16,757,018 32,012,561
- ----------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS 30,734,669 41,362,071
- ----------------------------------------------------------------------
Distributions to shareholders:
- ----------------------------------------------------------------------
From net investment income
- ----------------------------------------------------------------------
Class A (2,471,036) (496,426)
- ----------------------------------------------------------------------
Class B (1,771,400) (367,240)
- ----------------------------------------------------------------------
Class C (137,682) (17,618)
- ----------------------------------------------------------------------
Class M (60,532) --
- ----------------------------------------------------------------------
Class Y (894,776) (16,310)
- ----------------------------------------------------------------------
From net realized gain on investments
- ----------------------------------------------------------------------
Class A (3,563,495) --
- ----------------------------------------------------------------------
Class B (3,394,151) --
- ----------------------------------------------------------------------
Class C (263,811) --
- ----------------------------------------------------------------------
Class M (96,428) --
- ----------------------------------------------------------------------
Class Y (1,178,695) --
- ----------------------------------------------------------------------
Increase from capital share transactions
(Note 4) 73,849,902 158,827,779
- ----------------------------------------------------------------------
TOTAL INCREASE IN NET ASSETS 90,752,565 199,292,256
- ----------------------------------------------------------------------
NET ASSETS
- ----------------------------------------------------------------------
Beginning of period 294,785,280 95,493,024
- ----------------------------------------------------------------------
END OF PERIOD (including distributions
in excess of net investment income and
undistributed net investment income of
$393,761 and $2,524,604, respectively) $385,537,845 $294,785,280
- ----------------------------------------------------------------------
<FN>
* Unaudited
</TABLE>
<PAGE>
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
PUTNAM ASSET ALLOCATION: GROWTH PORTFOLIO
<TABLE><CAPTION>
FOR THE FOR THE
PERIOD PERIOD
SIX JULY 14, 1994 SIX FEBRUARY 3, 1995 SIX
MONTHS YEAR (COMMENCEMENT MONTHS (COMMENCEMENT MONTHS
ENDED ENDEDOF OPERATIONS) TO ENDEDOF OPERATIONS) TO ENDED
MARCH 31SEPTEMBER 30 SEPTEMBER 30 MARCH 31 SEPTEMBER 30MARCH 31
- --------------------------------------------------------------------------------
- --------------
1996* 1995 1994 1996* 1995 1996*
- --------------------------------------------------------------------------------
- --------------
Class Y Class M Class C
- --------------------------------------------------------------------------------
- --------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD $10.09 $8.43 $8.22 $10.01 $8.39 $9.93
- --------------------------------------------------------------------------------
- --------------
Investment operations
Net investment
income(a)(e) .10 .17 .03 .07 .08 .05
Net realized and
unrealized gain
(loss) on investments .85 1.57 .18 .84 1.54 .84
- --------------------------------------------------------------------------------
- --------------
TOTAL FROM INVESTMENT
OPERATIONS .95 1.74 .21 .91 1.62 .89
- --------------------------------------------------------------------------------
- --------------
LESS DISTRIBUTIONS:
From net investment
income (.21) (.08) -- (.18) -- (.15)
From net realized
gain (.27) -- -- (.27) -- (.27)
- --------------------------------------------------------------------------------
- --------------
TOTAL DISTRIBUTIONS (.48) (.08) -- (.45) -- (.42)
- --------------------------------------------------------------------------------
- --------------
NET ASSET VALUE,
END OF PERIOD $10.56 $10.09 $8.43 $10.47 $10.01 $10.40
- --------------------------------------------------------------------------------
- --------------
TOTAL INVESTMENT
RETURN AT NET ASSET
VALUE (%)(B) 9.75(c) 20.94 2.55(c) 9.34(c) 19.31(c) 9.19(c)
- --------------------------------------------------------------------------------
- --------------
NET ASSETS, END OF
PERIOD (in thousands) $48,726 $45,150 $775 $5,792 $3,160 $15,622
- --------------------------------------------------------------------------------
- --------------
Ratio of expenses to
average net assets
(%)(a)(d) .60(c) 1.28 .20(c) .94(c) 1.45(c) 1.11(c)
- --------------------------------------------------------------------------------
- --------------
Ratios of net
investment income
to average net
assets (%)(a) 1.00(c) 2.05 .50(c) .66(c) .79(c) .50(c)
- --------------------------------------------------------------------------------
- --------------
Portfolio
turnover (%) 51.97(c) 88.36 39.9(c) 51.97(c) 88.36 51.97(c)
- --------------------------------------------------------------------------------
- --------------
Average commission
rate paid(f) $.0514(c) -- --$.0514(c) --$.0514(c)
- --------------------------------------------------------------------------------
- --------------
<PAGE>
FOR THE
PERIOD
SEPTEMBER 1, 1994 SIX
YEAR (COMMENCEMENT MONTHS YEAR
ENDED OF OPERATIONS) TO ENDED ENDED
SEPTEMBER 30 SEPTEMBER 30 MARCH 31 SEPTEMBER 30
- --------------------------------------------------------------------------------
- --------------
1995 1994 1996* 1995
- --------------------------------------------------------------------------------
- --------------
CLASS C CLASS B
- --------------------------------------------------------------------------------
- --------------
<C> <C> <C> <C>
$8.39 $8.46 $9.97 $8.39
- --------------------------------------------------------------------------------
- --------------
.11 .01 .05 .11
- --------------------------------------------------------------------------------
- --------------
1.51 (.08) .85 1.52
- --------------------------------------------------------------------------------
- --------------
1.62 (.07) .90 1.63
- --------------------------------------------------------------------------------
- --------------
(.08) -- (.15) (.05)
- --------------------------------------------------------------------------------
- --------------
-- -- (.27) --
- --------------------------------------------------------------------------------
- --------------
(.08) -- (.42) (.05)
- --------------------------------------------------------------------------------
- --------------
$9.93 $8.39 $10.45 $9.97
- --------------------------------------------------------------------------------
- --------------
19.46 (.83)(c) 9.26(c) 19.57
- --------------------------------------------------------------------------------
- --------------
$7,985 $385 $152,318 $116,263
- --------------------------------------------------------------------------------
- --------------
2.23 .15(c) 1.10(c) 2.23
- --------------------------------------------------------------------------------
- --------------
1.24 .14(c) .50(c) 1.22
- --------------------------------------------------------------------------------
- --------------
88.36 39.9(c) 51.97(c) 88.36
- --------------------------------------------------------------------------------
- --------------
-- -- $.0514(c) --
- --------------------------------------------------------------------------------
- --------------
FOR THE FOR THE
PERIOD PERIOD
FEBRUARY 16, 1994 SIX FEBRUARY 8, 1994
(COMMENCEMENT MONTHS YEAR (COMMENCEMENT
OF OPERATIONS) TO ENDED ENDED OF OPERATIONS) TO
SEPTEMBER 30 MARCH 31 SEPTEMBER 30 SEPTEMBER 30
- --------------------------------------------------------------------------------
- --------------
1994 1996* 1995 1994
- --------------------------------------------------------------------------------
- --------------
CLASS A
- --------------------------------------------------------------------------------
- --------------
<C> <C> <C> <C>
$8.50 $10.06 $8.43 $8.50
- --------------------------------------------------------------------------------
- --------------
.06 .08 .18 .10
- --------------------------------------------------------------------------------
- --------------
(.17) .84 1.53 (.17)
- --------------------------------------------------------------------------------
- --------------
(.11) .92 1.71 (.07)
- --------------------------------------------------------------------------------
- --------------
-- (.19) (.08) --
- --------------------------------------------------------------------------------
- --------------
-- (.27) -- --
- --------------------------------------------------------------------------------
- --------------
-- (.46) (.08) --
- --------------------------------------------------------------------------------
- --------------
$8.39 $10.52 $10.06 $8.43
- --------------------------------------------------------------------------------
- --------------
(1.29)(c) 9.48(c) 20.45 (.82)(c)
- --------------------------------------------------------------------------------
- --------------
$50,664 $163,080 $122,228 $43,669
- --------------------------------------------------------------------------------
- --------------
1.21(c) .73(c) 1.49 .78(c)
- --------------------------------------------------------------------------------
- --------------
.80(c) .84(c) 1.98 1.31(c)
- --------------------------------------------------------------------------------
- --------------
39.9(c) 51.97(c) 88.36 39.9(c)
- --------------------------------------------------------------------------------
- --------------
-- $.0514(c) -- --
- --------------------------------------------------------------------------------
- --------------
<FN>
* Unaudited.
(a)Reflects an expense limitation. As a result of such limitation, 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.
(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 and thereafter, includes amounts paid through expense offset
arrangements. Prior period ratios exclude these amounts (Note 2).
(e)Per share net investment income has been determined on the basis of the
weighted average number of shares outstanding during the period.
(f)Average commission rate paid is presented for fiscal periods beginning
September 1, 1995 in conformance with requirements issued by the SEC.
</TABLE>
<PAGE>
STATEMENT OF ASSETS AND LIABILITIES
March 31, 1996 (Unaudited)
PUTNAM ASSET ALLOCATION: BALANCED PORTFOLIO
<TABLE>
<S> <C>
ASSETS
- ----------------------------------------------------------------------
Investments in securities, at value
(identified cost $491,644,534) (Note 1) $548,386,006
- ----------------------------------------------------------------------
Cash 420,210
- ----------------------------------------------------------------------
Foreign currency (cost $1,547,614) 1,519,584
- ----------------------------------------------------------------------
Dividends, interest and other receivables 4,105,002
- ----------------------------------------------------------------------
Receivable for shares of the fund sold 3,256,961
- ----------------------------------------------------------------------
Receivable for securities sold 7,108,408
- ----------------------------------------------------------------------
Receivable for open forward currency contracts 582,791
- ----------------------------------------------------------------------
Receivable for closed forward currency contracts 218,720
- ----------------------------------------------------------------------
Unamortized organization expenses (Note 1) 7,576
- ----------------------------------------------------------------------
TOTAL ASSETS $565,605,258
LIABILITIES
- ----------------------------------------------------------------------
Payable for variation margin 546,446
- ----------------------------------------------------------------------
Payable for securities purchased 21,557,435
- ----------------------------------------------------------------------
Payable for shares of the fund repurchased 996,242
- ----------------------------------------------------------------------
Payable for compensation of Manager (Note 2) 878,653
- ----------------------------------------------------------------------
Payable for investor servicing and custodian fees (Note 2) 369,679
- ----------------------------------------------------------------------
Payable for compensation of Trustees (Note 2) 1,834
- ----------------------------------------------------------------------
Payable for administrative services (Note 2) 2,221
- ----------------------------------------------------------------------
Payable for distribution fees (Note 2) 330,893
- ----------------------------------------------------------------------
Payable for organization expense (Note 1) 13,263
- ----------------------------------------------------------------------
Payable for open forward currency contracts 331,281
- ----------------------------------------------------------------------
Payable for closed forward currency contracts 229,334
- ----------------------------------------------------------------------
Other accrued expenses 87,254
- ----------------------------------------------------------------------
TOTAL LIABILITIES 25,344,535
- ----------------------------------------------------------------------
NET ASSETS $540,260,723
- ----------------------------------------------------------------------
(continued on next page)
<PAGE>
STATEMENT OF ASSETS AND LIABILITIES (continued)
PUTNAM ASSET ALLOCATION: BALANCED PORTFOLIO
<S> <C>
REPRESENTED BY
- ----------------------------------------------------------------------
Paid-in capital (Notes 1 and 4) $468,720,503
- ----------------------------------------------------------------------
Distributions in excess net investment income (Note 1) (457,455)
- ----------------------------------------------------------------------
Accumulated net realized gain on investments and
foreign currency transactions (Note 1) 13,753,762
- ----------------------------------------------------------------------
Net unrealized appreciation of investments and assets and
liabilities in foreign currencies 58,243,913
- ----------------------------------------------------------------------
TOTAL -- REPRESENTING NET ASSETS APPLICABLE TO
CAPITAL SHARES OUTSTANDING $540,260,723
- ----------------------------------------------------------------------
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE
- ----------------------------------------------------------------------
Net asset value and redemption price of class A shares
($223,863,851 divided by 22,399,345 shares) $9.99
- ----------------------------------------------------------------------
Offering price of class A shares (100/94.25 of $9.99)* $10.60
- ----------------------------------------------------------------------
Net asset value and offering price of class B shares
($209,977,519 divided by 21,083,873 shares)+ $9.96
- ----------------------------------------------------------------------
Net asset value and offering price of class C shares
($19,119,993 divided by 1,925,547 shares)+ $9.93
- ----------------------------------------------------------------------
Net asset value and redemption price of class M shares
($7,932,351 divided by 793,363 shares) $10.00
- ----------------------------------------------------------------------
Offering price of class M shares (100/96.50 of $10.00)* $10.36
- ----------------------------------------------------------------------
Net asset value, offering and redemption price of class Y shares
($79,367,009 divided by 7,940,912) $9.99
- ----------------------------------------------------------------------
<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
Six months ended March 31, 1996 (Unaudited)
PUTNAM ASSET ALLOCATION: BALANCED PORTFOLIO
<TABLE>
<S> <C>
INVESTMENT INCOME:
- ----------------------------------------------------------------------
Dividends (net of foreign tax of $45,698) $2,772,342
- ----------------------------------------------------------------------
Interest (net of foreign tax $53,690) 6,929,653
- ----------------------------------------------------------------------
TOTAL INVESTMENT INCOME 9,701,995
- ----------------------------------------------------------------------
EXPENSES:
- ----------------------------------------------------------------------
Compensation of Manager (Note 2) 1,629,074
- ----------------------------------------------------------------------
Investor servicing and custodian fees (Note 2) 737,767
- ----------------------------------------------------------------------
Compensation of Trustees (Note 2) 8,225
- ----------------------------------------------------------------------
Administrative services (Note 2) 4,337
- ----------------------------------------------------------------------
Distribution fees -- class A (Note 2) 236,986
- ----------------------------------------------------------------------
Distribution fees -- class B (Note 2) 917,115
- ----------------------------------------------------------------------
Distribution fees -- class C (Note 2) 74,656
- ----------------------------------------------------------------------
Distribution fees -- class M (Note 2) 19,518
- ----------------------------------------------------------------------
Amortization of organization expenses (Note 1) 1,330
- ----------------------------------------------------------------------
Reports to shareholders 15,033
- ----------------------------------------------------------------------
Registration fees 49,357
- ----------------------------------------------------------------------
Auditing 55,500
- ----------------------------------------------------------------------
Legal 4,007
- ----------------------------------------------------------------------
Postage 7,960
- ----------------------------------------------------------------------
Other 7,869
- ----------------------------------------------------------------------
TOTAL EXPENSES 3,768,734
- ----------------------------------------------------------------------
Expense reduction (Note 2) (39,423)
- ----------------------------------------------------------------------
NET EXPENSES 3,729,311
- ----------------------------------------------------------------------
NET INVESTMENT INCOME 5,972,684
- ----------------------------------------------------------------------
Net realized gain on investments (Notes 1 and 3) 18,731,360
- ----------------------------------------------------------------------
Net realized loss on futures contracts (Notes 1 and 3) (2,345,315)
- ----------------------------------------------------------------------
Net realized gain on written options (Notes 1 and 3) 15,222
- ----------------------------------------------------------------------
Net realized gain on forward currency contracts and
foreign currency translation (Note 1) 1,288,077
- ----------------------------------------------------------------------
Net unrealized appreciation on forward
currency contracts and foreign currency
translation during the period 254,326
- ----------------------------------------------------------------------
Net unrealized appreciation of investments, futures and
written options during the period 15,060,360
- ----------------------------------------------------------------------
NET GAIN ON INVESTMENTS 33,004,030
- ----------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $38,976,714
- ----------------------------------------------------------------------
</TABLE>
<PAGE>
STATEMENT OF CHANGES IN NET ASSETS
PUTNAM ASSET ALLOCATION: BALANCED PORTFOLIO
<TABLE><CAPTION>
SIX MONTHS YEAR
ENDED ENDED
MARCH 31 SEPTEMBER 30
- ----------------------------------------------------------------------
<S> <C> <C>
1996* 1995
- ----------------------------------------------------------------------
INCREASE IN NET ASSETS
- ----------------------------------------------------------------------
Operations:
- ----------------------------------------------------------------------
Net investment income $5,972,684 $8,310,131
- ----------------------------------------------------------------------
Net realized gain on investments and
foreign currency transactions 17,689,344 9,582,060
- ----------------------------------------------------------------------
Net unrealized appreciation of
investment transactions and assets
and liabilities in foreign currencies 15,314,686 39,125,762
- ----------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS 38,976,714 57,017,953
- ----------------------------------------------------------------------
Distributions to shareholders:
- ----------------------------------------------------------------------
From net investment income
- ----------------------------------------------------------------------
Class A (3,657,956) (2,407,935)
- ----------------------------------------------------------------------
Class B (2,972,549) (1,845,737)
- ----------------------------------------------------------------------
Class C (235,008) (109,649)
- ----------------------------------------------------------------------
Class M (85,166) (21,252)
- ----------------------------------------------------------------------
Class Y (1,556,129) (1,632,242)
- ----------------------------------------------------------------------
From net realized gain on investments
- ----------------------------------------------------------------------
Class A (5,171,891) --
- ----------------------------------------------------------------------
Class B (5,203,895) --
- ----------------------------------------------------------------------
Class C (396,189) --
- ----------------------------------------------------------------------
Class M (121,806) --
- ----------------------------------------------------------------------
Class Y (2,134,847) --
- ----------------------------------------------------------------------
Increase from capital share transactions
(Note 4) 124,180,950 145,539,251
- ----------------------------------------------------------------------
TOTAL INCREASE IN NET ASSETS 141,622,228 196,540,389
- ----------------------------------------------------------------------
NET ASSETS
- ----------------------------------------------------------------------
Beginning of period 398,638,495 202,098,106
- ----------------------------------------------------------------------
END OF PERIOD (including distributions
in excess of net investment income and
undistributed net investment income of
$457,455 and $2,076,669, respectively) $540,260,723 $398,638,495
- ----------------------------------------------------------------------
<FN>
* Unaudited.
</TABLE>
<PAGE>
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
PUTNAM ASSET ALLOCATION: BALANCED PORTFOLIO
<TABLE><CAPTION>
FOR THE FOR THE
PERIOD PERIOD
SIX JULY 5, 1994 SIX FEBRUARY 6, 1995 SIX
MONTHS YEAR (COMMENCEMENT MONTHS (COMMENCEMENT MONTHS
ENDED ENDEDOF OPERATIONS) TO ENDEDOF OPERATIONS) TO ENDED
MARCH 31SEPTEMBER 30 SEPTEMBER 30 MARCH 31 SEPTEMBER 30MARCH 31
- --------------------------------------------------------------------------------
- --------------
1996* 1995 1994 1996* 1995 1996*
- --------------------------------------------------------------------------------
- --------------
CLASS Y CLASS M CLASS C
- --------------------------------------------------------------------------------
- --------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD $9.66 $8.33 $8.11 $9.66 $8.34 $9.62
- --------------------------------------------------------------------------------
- --------------
INVESTMENT OPERATIONS
Net investment
income(a)(e) .15 .29 .05 .13 .14 .11
Net realized and unrealized
gain (loss) on investments.68 1.26 .22 .68 1.31 .65
- --------------------------------------------------------------------------------
- --------------
TOTAL FROM INVESTMENT
OPERATIONS .83 1.55 .27 .81 1.45 .76
- --------------------------------------------------------------------------------
- --------------
LESS DISTRIBUTIONS:
From net investment
income (.21) (.22) (.05) (.18) (.13) (.16)
From net realized gain (.29) -- -- (.29) -- (.29)
- --------------------------------------------------------------------------------
- --------------
TOTAL DISTRIBUTIONS (.50) (.22) (.05) (.47) (.13) (.45)
- --------------------------------------------------------------------------------
- --------------
NET ASSET VALUE,
END OF PERIOD $9.99 $9.66 $8.33 $10.00 $9.66 $9.93
- --------------------------------------------------------------------------------
- --------------
TOTAL INVESTMENT RETURN
AT NET ASSET VALUE
(%)(b) 8.82(c) 18.89 3.34(c) 8.58(c) 17.46(c) 8.14(c)
- --------------------------------------------------------------------------------
- --------------
NET ASSETS, END OF
PERIOD
(in thousands) $79,367 $71,661 $66,081 $7,932 $3,509 $19,120
- --------------------------------------------------------------------------------
- --------------
Ratio of expenses to
average net assets
(%)(a)(d) .54(c) 1.07 .23(c) .93(c) 1.38(c) 1.05(c)
- --------------------------------------------------------------------------------
- --------------
Ratios of net investment
income to average net
assets (%)(a) 1.50(c) 3.35 .62(c) 1.32(c) 1.56(c) 1.18(c)
- --------------------------------------------------------------------------------
- --------------
Portfolio turnover
(%) 62.56(c) 106.03 52.62(c) 62.56(c) 106.03 62.56(c)
- --------------------------------------------------------------------------------
- --------------
Average commission
rate paid(f) $.0487(c) -- --$.0487(c) --$.0487(c)
- --------------------------------------------------------------------------------
- --------------
<PAGE>
FOR THE
PERIOD
SEPTEMBER 1, 1994 SIX
YEAR (COMMENCEMENT MONTHS YEAR
ENDED OF OPERATIONS) TO ENDED ENDED
SEPTEMBER 30 SEPTEMBER 30 MARCH 31 SEPTEMBER 30
- --------------------------------------------------------------------------------
- --------------
1995 1994 1996* 1995
- --------------------------------------------------------------------------------
- --------------
CLASS C CLASS B
- --------------------------------------------------------------------------------
- --------------
<C> <C> <C> <C>
- --------------------------------------------------------------------------------
- --------------
$8.31 $8.41 $9.64 $8.31
- --------------------------------------------------------------------------------
- --------------
.20 .01 .10 .20
- --------------------------------------------------------------------------------
- --------------
1.27 (.08) .67 1.26
- --------------------------------------------------------------------------------
- --------------
1.47 (.07) .77 1.46
- --------------------------------------------------------------------------------
- --------------
(.16) (.03) (.16) (.13)
- --------------------------------------------------------------------------------
- --------------
-- -- (.29) --
- --------------------------------------------------------------------------------
- --------------
(.16) (.03) (.45) (.13)
- --------------------------------------------------------------------------------
- --------------
$9.62 $8.31 $9.96 $9.64
- --------------------------------------------------------------------------------
- --------------
17.89 (.84)(c) 8.23(c) 17.83
- --------------------------------------------------------------------------------
- --------------
$11,921 $441 $209,978 $159,230
- --------------------------------------------------------------------------------
- --------------
2.09 .16(c) 1.04(c) 2.07
- --------------------------------------------------------------------------------
- --------------
2.22 .11(c) 1.05(c) 2.26
- --------------------------------------------------------------------------------
- --------------
106.03 52.62(c) 62.56(c) 106.03
- --------------------------------------------------------------------------------
- --------------
-- -- $.0487(c) --
- --------------------------------------------------------------------------------
- --------------
FOR THE FOR THE
PERIOD PERIOD
FEBRUARY 11, 1994 SIX FEBRUARY 7, 1994
(COMMENCEMENT MONTHS YEAR (COMMENCEMENT
OF OPERATIONS) TO ENDED ENDED OF OPERATIONS) TO
SEPTEMBER 30 MARCH 31 SEPTEMBER 30 SEPTEMBER 30
- --------------------------------------------------------------------------------
- --------------
1994 1996* 1995 1994
- --------------------------------------------------------------------------------
- --------------
CLASS A
- --------------------------------------------------------------------------------
- --------------
<C> <C> <C> <C>
$8.50 $9.67 $8.33 $8.50
.11 .14 .27 .16
- --------------------------------------------------------------------------------
- --------------
(.27) .66 1.27 (.28)
- --------------------------------------------------------------------------------
- --------------
(.16) .80 1.54 (.12)
- --------------------------------------------------------------------------------
- --------------
(.03) (.19) (.20) (.05)
- --------------------------------------------------------------------------------
- --------------
-- (.29) -- --
- --------------------------------------------------------------------------------
- --------------
(.03) (.48) (.20) (.05)
- --------------------------------------------------------------------------------
- --------------
$8.31 $9.99 $9.67 $8.33
- --------------------------------------------------------------------------------
- --------------
(1.89)(c) 8.58(c) 18.73 (1.47)(c)
- --------------------------------------------------------------------------------
- --------------
$81,093 $223,864 $152,317 $54,483
- --------------------------------------------------------------------------------
- --------------
1.23(c) .67(c) 1.32 .83(c)
- --------------------------------------------------------------------------------
- --------------
1.41(c) 1.42(c) 2.95 2.13(c)
- --------------------------------------------------------------------------------
- --------------
52.62(c) 62.56(c) 106.03 52.62(c)
- --------------------------------------------------------------------------------
- --------------
-- $.0487(c) -- --
- --------------------------------------------------------------------------------
- --------------
<FN>
* Unaudited.
(a)Reflects an expense limitation. As a result of such limitation, 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.
(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 and thereafter, includes amounts paid through expense offset
arrangements. Prior period ratios exclude these amounts (Note 2).
(e)Per share net investment income has been determined on the basis of the
weighted average number of shares outstanding during the period.
(f)Average commission rate paid is presented for fiscal periods beginning
September 1, 1995 in conformance with requirements issued by the SEC.
</TABLE>
STATEMENT OF ASSETS AND LIABILITIES
March 31, 1996 (Unaudited)
PUTNAM ASSET ALLOCATION: CONSERVATIVE PORTFOLIO
<TABLE>
<S> <C>
ASSETS
- ----------------------------------------------------------------------
Investments in securities, at value
(identified cost $163,077,447) (Note 1) $172,034,413
- ----------------------------------------------------------------------
Repurchase agreement, at value
(identified cost $30,991,940) (Note 1) 30,991,940
- ----------------------------------------------------------------------
Cash 21,659
- ----------------------------------------------------------------------
Foreign currency (cost $221,541) 220,965
- ----------------------------------------------------------------------
Dividends, interest and other receivables 1,909,856
- ----------------------------------------------------------------------
Receivable for shares of the fund sold 957,136
- ----------------------------------------------------------------------
Receivable for securities sold 4,857,047
- ----------------------------------------------------------------------
Receivable for open forward currency contracts 178,029
- ----------------------------------------------------------------------
Receivable for closed forward currency contracts 96,189
- ----------------------------------------------------------------------
Unamortized organization expenses (Note 1) 7,587
- ----------------------------------------------------------------------
TOTAL ASSETS $211,274,821
LIABILITIES
- ----------------------------------------------------------------------
Payable for variation margin 35,769
- ----------------------------------------------------------------------
Payable for securities purchased 21,607,201
- ----------------------------------------------------------------------
Payable for shares of the fund repurchased 239,433
- ----------------------------------------------------------------------
Payable for compensation of Manager (Note 2) 307,900
- ----------------------------------------------------------------------
Payable for investor servicing and custodian fees (Note 2) 178,116
- ----------------------------------------------------------------------
Payable for compensation of Trustees (Note 2) 320
- ----------------------------------------------------------------------
Payable for administrative services (Note 2) 2,026
- ----------------------------------------------------------------------
Payable for distribution fees (Note 2) 133,123
- ----------------------------------------------------------------------
Payable for organization expense (Note 1) 13,263
- ----------------------------------------------------------------------
Payable for open forward currency contracts 169,899
- ----------------------------------------------------------------------
Payable for closed forward currency contracts 133,526
- ----------------------------------------------------------------------
Other accrued expenses 95,778
- ----------------------------------------------------------------------
TOTAL LIABILITIES 22,916,354
- ----------------------------------------------------------------------
NET ASSETS $188,358,467
- ----------------------------------------------------------------------
(continued on next page)
<PAGE>
STATEMENT OF ASSETS AND LIABILITIES (continued)
PUTNAM ASSET ALLOCATION: CONSERVATIVE PORTFOLIO
<S> <C>
REPRESENTED BY
- ----------------------------------------------------------------------
Paid-in capital (Notes 1 and 4) $174,985,777
- ----------------------------------------------------------------------
Undistributed net investment income (Note 1) 206,663
- ----------------------------------------------------------------------
Accumulated net realized gain on investments (Note 1) 4,124,373
- ----------------------------------------------------------------------
Net unrealized appreciation of investments and
assets and liabilities in foreign currencies 9,041,654
- ----------------------------------------------------------------------
TOTAL -- REPRESENTING NET ASSETS APPLICABLE TO
CAPITAL SHARES OUTSTANDING $188,358,467
- ----------------------------------------------------------------------
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE
- ----------------------------------------------------------------------
Net asset value and redemption price of class A shares
($91,223,853 divided by 9,793,202 shares) $9.32
- ----------------------------------------------------------------------
Offering price of class A shares (100/94.25 of $9.32)* $9.89
- ----------------------------------------------------------------------
Net asset value and offering price of class B shares
($79,603,359 divided by 8,571,678 shares)+ $9.29
- ----------------------------------------------------------------------
Net asset value and offering price of class C shares
($12,414,625 divided by 1,339,023 shares)+ $9.27
- ----------------------------------------------------------------------
Net asset value and redemption price of class M shares
($2,266,538 divided by 243,604 shares) $9.30
- ----------------------------------------------------------------------
Offering price of class M shares (100/96.50 of $9.30)* $9.64
- ----------------------------------------------------------------------
Net asset value and redemption price of class Y shares
($2,850,092 divided by 305,829 shares) $9.32
- ----------------------------------------------------------------------
<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
Six months ended March 31, 1996 (Unaudited)
PUTNAM ASSET ALLOCATION: CONSERVATIVE PORTFOLIO
<TABLE>
<S> <C>
INVESTMENT INCOME:
- ----------------------------------------------------------------------
Dividends (net of foreign tax of $18,561) $540,149
- ----------------------------------------------------------------------
Interest (net of foreign tax $13,800) 3,849,498
- ----------------------------------------------------------------------
TOTAL INVESTMENT INCOME 4,389,647
- ----------------------------------------------------------------------
EXPENSES:
- ----------------------------------------------------------------------
Compensation of Manager (Note 2) 559,570
- ----------------------------------------------------------------------
Investor servicing and custodian fees (Note 2) 362,730
- ----------------------------------------------------------------------
Compensation of Trustees (Note 2) 5,544
- ----------------------------------------------------------------------
Administrative services (Note 2) 3,939
- ----------------------------------------------------------------------
Distribution fees -- class A (Note 2) 92,091
- ----------------------------------------------------------------------
Distribution fees -- class B (Note 2) 361,954
- ----------------------------------------------------------------------
Distribution fees -- class C (Note 2) 49,549
- ----------------------------------------------------------------------
Distribution fees -- class M (Note 2) 6,486
- ----------------------------------------------------------------------
Amortization of organization expenses (Note 1) 1,323
- ----------------------------------------------------------------------
Reports to shareholders 15,813
- ----------------------------------------------------------------------
Registration fees 30,975
- ----------------------------------------------------------------------
Auditing 21,482
- ----------------------------------------------------------------------
Legal 1,586
- ----------------------------------------------------------------------
Postage 3,552
- ----------------------------------------------------------------------
Other 5,698
- ----------------------------------------------------------------------
TOTAL EXPENSES 1,522,292
- ----------------------------------------------------------------------
Expense reduction (Note 2) (21,070)
- ----------------------------------------------------------------------
NET EXPENSES 1,501,222
- ----------------------------------------------------------------------
NET INVESTMENT INCOME 2,888,425
- ----------------------------------------------------------------------
Net realized gain on investments (Notes 1 and 3) 4,918,190
- ----------------------------------------------------------------------
Net realized gain on written options (Notes 1 and 3) 7,826
- ----------------------------------------------------------------------
Net realized gain on forward currency contracts and
foreign currency translation (Note 1) 331,281
- ----------------------------------------------------------------------
Net unrealized appreciation on forward currency contracts and
foreign currency translation during the period 80,258
- ----------------------------------------------------------------------
Net unrealized appreciation of investments, futures and
written options during the period 567,772
- ----------------------------------------------------------------------
NET GAIN ON INVESTMENTS 5,905,327
- ----------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $8,793,752
- ----------------------------------------------------------------------
</TABLE>
<PAGE>
STATEMENT OF CHANGES IN NET ASSETS
PUTNAM ASSET ALLOCATION: CONSERVATIVE PORTFOLIO
<TABLE><CAPTION>
SIX MONTHS YEAR
ENDED ENDED
MARCH 31 SEPTEMBER 30
- ----------------------------------------------------------------------
- -
1996* 1995
<S> <C> <C>
INCREASE IN NET ASSETS
- ----------------------------------------------------------------------
- -
Operations:
- ----------------------------------------------------------------------
- -
Net investment income $2,888,425 $3,922,130
- ----------------------------------------------------------------------
- -
Net realized gain on investments and
foreign currency transactions 5,257,297 2,032,757
- ----------------------------------------------------------------------
- -
Net unrealized appreciation of investment
transactions and assets and liabilities in
foreign currencies 648,030 8,264,658
- ----------------------------------------------------------------------
- -
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS 8,793,752 14,219,545
- ----------------------------------------------------------------------
- -
Distributions to shareholders:
- ----------------------------------------------------------------------
- -
From net investment income
- ----------------------------------------------------------------------
- -
Class A (1,929,968) (1,220,712)
- ----------------------------------------------------------------------
- -
Class B (1,578,052) (1,272,028)
- ----------------------------------------------------------------------
- -
Class C (217,041) (99,096)
- ----------------------------------------------------------------------
- -
Class M (39,099) (14,906)
- ----------------------------------------------------------------------
- -
Class Y (62,865) (30,206)
- ----------------------------------------------------------------------
- -
From net realized gain on investments
- ----------------------------------------------------------------------
- -
Class A (1,368,530) --
- ----------------------------------------------------------------------
- -
Class B (1,343,244) --
- ----------------------------------------------------------------------
- -
Class C (177,029) --
- ----------------------------------------------------------------------
- -
Class M (29,335) --
- ----------------------------------------------------------------------
- -
Class Y (41,182) --
- ----------------------------------------------------------------------
- -
Increase from capital share transactions
(Note 4) 52,844,526 56,995,676
- ----------------------------------------------------------------------
- -
TOTAL INCREASE IN NET ASSETS 54,851,933 68,578,273
- ----------------------------------------------------------------------
- -
NET ASSETS
- ----------------------------------------------------------------------
- -
Beginning of period 133,506,534 64,928,261
- ----------------------------------------------------------------------
- -
END OF PERIOD (including undistributed net
investment income of $206,663 and
$1,145,263, respectively) $188,358,467 $133,506,534
- ----------------------------------------------------------------------
- -
<FN>
* Unaudited.
</TABLE>
FINANCIAL HIGHLIGHTS(FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
PUTNAM ASSET ALLOCATION: CONSERVATIVE PORTFOLIO
<TABLE><CAPTION>
FOR THE FOR THE
PERIOD PERIOD
SIX JULY 14, 1994 SIX FEBRUARY 7, 1995 SIX
MONTHS YEAR (COMMENCEMENT MONTHS (COMMENCEMENT MONTHS
ENDED ENDEDOF OPERATIONS) TO ENDEDOF OPERATIONS) TO ENDED
MARCH 31SEPTEMBER 30 SEPTEMBER 30 MARCH 31 SEPTEMBER 30MARCH 31
- --------------------------------------------------------------------------------
- --------------
1996* 1995 1994 1996* 1995 1996*
- --------------------------------------------------------------------------------
- --------------
CLASS Y CLASS M CLASS C
- --------------------------------------------------------------------------------
- --------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD $9.19 $8.23 $8.23 $9.18 $8.21 $9.15
- --------------------------------------------------------------------------------
- --------------
INVESTMENT OPERATIONS
Net investment income(a).21(e) .36 .07(e) .16(e) .21 .15(e)
Net realized and
unrealized gain (loss)
on investments .35 .89 -- .36 .92 .36
- --------------------------------------------------------------------------------
- --------------
TOTAL FROM INVESTMENT
OPERATIONS .56 1.25 .07 .52 1.13 .51
- --------------------------------------------------------------------------------
- --------------
Less distributions:
- --------------------------------------------------------------------------------
- --------------
From net investment
income (.25) (.29) (.07) (.22) (.16) (.21)
- --------------------------------------------------------------------------------
- --------------
From net realized gain (.18) -- -- (.18) -- (.18)
- --------------------------------------------------------------------------------
- --------------
TOTAL DISTRIBUTIONS (.43) (.29) (.07) (.40) (.16) (.39)
- --------------------------------------------------------------------------------
- --------------
NET ASSET VALUE,
END OF PERIOD $9.32 $9.19 $8.23 $9.30 $9.18 $9.27
- --------------------------------------------------------------------------------
- --------------
TOTAL INVESTMENT RETURN
AT NET ASSET VALUE
(%)(b) 6.22(c) 15.54 1.01(c) 5.78(c) 13.92(c) 5.64(c)
- --------------------------------------------------------------------------------
- --------------
NET ASSETS, END OF
PERIOD
(in thousands) $2,850 $1,818 $163 $2,267 $1,366 $12,415
- --------------------------------------------------------------------------------
- --------------
Ratio of expenses to
average net assets
(%)(a)(d) .64(c) .92 .21(c) 1.01(c) 1.10(c) 1.14(c)
- --------------------------------------------------------------------------------
- --------------
Ratios of net
investment income
to average net
assets (%)(a) 2.26(c) 4.93 1.04(c) 1.75(c) 2.73(c) 1.59(c)
- --------------------------------------------------------------------------------
- --------------
Portfolio turnover
(%) 105.01(c) 159.8 59.27(c)105.01(c) 159.8105.01(c)
- --------------------------------------------------------------------------------
- --------------
Average commission
rate paid(f) $.0507(c) -- --$.0507(c) --$.0507(c)
- --------------------------------------------------------------------------------
- --------------
<PAGE>
FOR THE
PERIOD
SEPTEMBER 1, 1994 SIX
YEAR (COMMENCEMENT MONTHS YEAR
ENDED OF OPERATIONS) TO ENDED ENDED
SEPTEMBER 30 SEPTEMBER 30 MARCH 31 SEPTEMBER 30
- --------------------------------------------------------------------------------
- --------------
1995 1994 1996* 1995
- --------------------------------------------------------------------------------
- --------------
CLASS C CLASS B
- --------------------------------------------------------------------------------
- --------------
<C> <C> <C> <C>
- --------------------------------------------------------------------------------
- --------------
$8.22 $8.33 $9.16 $8.22
- --------------------------------------------------------------------------------
- --------------
.29 .03(e) .15(e) .30
- --------------------------------------------------------------------------------
- --------------
.87 (.10) .37 .85
- --------------------------------------------------------------------------------
- --------------
1.16 (.07) .52 1.15
- --------------------------------------------------------------------------------
- --------------
(.23) (.04) (.21) (.21)
- --------------------------------------------------------------------------------
- --------------
-- -- (.18) --
- --------------------------------------------------------------------------------
- --------------
(.23) (.04) (.39) (.21)
- --------------------------------------------------------------------------------
- --------------
$9.15 $8.22 $9.29 $9.16
- --------------------------------------------------------------------------------
- --------------
14.41 (.80) 5.74(c) 14.22
- --------------------------------------------------------------------------------
- --------------
$7,198 $273 $79,603 $65,783
- --------------------------------------------------------------------------------
- --------------
1.89 .16(c) 1.13(c) 1.98
- --------------------------------------------------------------------------------
- --------------
3.92 .48(c) 1.63(c) 3.81
- --------------------------------------------------------------------------------
- --------------
159.8 59.27(c) 105.01(c) 159.8
- --------------------------------------------------------------------------------
- --------------
-- -- $.0507(c) --
- --------------------------------------------------------------------------------
- --------------
FOR THE FOR THE
PERIOD PERIOD
FEBRUARY 18, 1994 SIX FEBRUARY 7, 1994
(COMMENCEMENT MONTHS YEAR (COMMENCEMENT
OF OPERATIONS) TO ENDED ENDED OF OPERATIONS) TO
SEPTEMBER 30 MARCH 31 SEPTEMBER 30 SEPTEMBER 30
- --------------------------------------------------------------------------------
- --------------
1994 1996* 1995 1994
- --------------------------------------------------------------------------------
- --------------
CLASS A
- --------------------------------------------------------------------------------
- --------------
<C> <C> <C> <C>
$8.50 $9.19 $8.23 $8.50
- --------------------------------------------------------------------------------
- --------------
.15(e) .19(e) .33 .18(e)
- --------------------------------------------------------------------------------
- --------------
(.39) .36 .90 (.39)
- --------------------------------------------------------------------------------
- --------------
(.24) .55 1.23 (.21)
- --------------------------------------------------------------------------------
- --------------
(.04) (.24) (.27) (.06)
- --------------------------------------------------------------------------------
- --------------
-- (.18) -- --
- --------------------------------------------------------------------------------
- --------------
(.04) (.42) (.27) (.06)
- --------------------------------------------------------------------------------
- --------------
$8.22 $9.32 $9.19 $8.23
- --------------------------------------------------------------------------------
- --------------
(2.79)(c) 6.11(c) 15.27 (2.47)(c)
- --------------------------------------------------------------------------------
- --------------
$38,711 $91,224 $57,341 $25,782
- --------------------------------------------------------------------------------
- --------------
1.21(c) .76(c) 1.22 .75(c)
- --------------------------------------------------------------------------------
- --------------
1.92(c) 2.00(c) 4.48 2.41(c)
- --------------------------------------------------------------------------------
- --------------
59.27(c) 105.01(c) 159.8 59.27(c)
- --------------------------------------------------------------------------------
- --------------
-- $.0507(c) -- --
- --------------------------------------------------------------------------------
- --------------
<FN>
* Unaudited.
(a)Reflects an expense limitation. As a result of such limitation, expenses for
the period ended September 30, 1994 reflect a reduction of $0.05, $0.04,
none 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 $0.03, $0.03, $0.03, $0.02 and $0.03 per share for class A,
class B, class C, class M and class Y, respectively.
(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 and thereafter, includes amounts paid through expense offset
arrangements. Prior period ratios exclude these amounts (Note 2).
(e)Per share net investment income has been determined on the basis of the
weighted average number of shares outstanding during the period.
(f)Average commission rate paid is presented for fiscal periods beginning
September 1, 1995 in conformance with requirements issued by the SEC.
</TABLE>
<PAGE>
NOTES TO FINANCIAL STATEMENTS
March 31, 1996 (Unaudited)
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.
The trust offers class A, class B, class C, class M and class Y
shares. Class A shares are sold with a maximum front-end sales charge
of 5.75%. Class B shares, which convert to class A shares after
approximately eight years, 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 M shares are sold with a maximum
front end sales charge of 3.50% and pay an ongoing distribution fee
that is higher than class A shares but lower than class B 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.
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 the 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
preparation of financial statements is in conformity with generally
accepted accounting principles and requires management to make
estimates and assumptions that affect the reported amounts of assets
and liabilities. Actual results could differ from those estimates.
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. Securities quoted in foreign currencies are
translated into U.S. dollars at the current exchange rate. Short-term
investments having remaining maturities of 60 days or less are stated
at amortized cost which approximates market, and other investments,
<PAGE>
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 forward currency contracts, futures and options contracts and TBA
purchase commitments.
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 fund's 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 102% of 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 102% of 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. Dividend income is recorded on the ex-dividend date except that
certain dividends from foreign securities are recorded as soon as the
fund is informed of the ex-dividend date. Discounts on zero coupon
bonds, original issue, stepped-coupon bonds and payment in kind bonds
are accreted according to the effective yield method.
Securities purchased or sold on a forward commitment or delayed
delivery basis may be settled a month or more after the trade date;
interest income is not accrued until settlement date. Losses may arise
due to changes in the market value of the underlying securities or if
the counterparty does not perform under the contract.
E FOREIGN CURRENCY TRANSLATION The accounting records of the funds are
maintained in U.S. dollars. The market value of foreign securities,
currency holdings, other assets and liabilities are recorded in the
books and records of the funds after translation to U.S. dollars based
on the exchange rates 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 or
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
<PAGE>
the difference between the amount of investment income and foreign
withholding taxes recorded on the fund's books and the U.S. dollar
equivalent amounts actually received 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 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 its 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 U.S. dollar value of forward currency contracts
is determined using forward currency exchange rates supplied by a
quotation service. 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. A fund could 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.
G FUTURES AND OPTIONS CONTRACTS The funds may use futures and options
contracts to hedge against changes in the values of securities the
funds own or expects to purchase. The funds may also write options on
securities it owns or which it invests to increase its 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 TBA PURCHASE COMMITMENT 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. The funds hold, and maintain
until settlement date, cash or high-grade debt obligations in an
amount sufficient to meet the purchase price, or the funds may enter
into offsetting contracts for the forward sale of other securities it
owns. Income on the securities will not be earned until settlement
date. 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 the fund's other
assets.
<PAGE>
Unsettled TBA purchase commitments are valued at the current market
value of the underlying securities, generally 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, the
fund may dispose of a commitment prior to settlement if Putnam
Management deems it appropriate to do so.
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 on securities held and for excise tax on
income and capital gains.
J DISTRIBUTIONS TO SHAREHOLDERS Distributions to shareholders from net
investment income are recorded by the funds on the ex-dividend date.
Capital gain distributions, if any, are recorded on the ex-dividend
date and paid annually. The amount and character of income and gains
to be distributed are determined in accordance with income tax
regulations which may differ from generally accepted accounting
principles. Reclassifications are made to the fund's capital accounts
to reflect income and gains available for distribution (or available
capital loss carryovers) under income tax regulations.
K EXPENSES OF THE TRUST Expenses directly charged or attributable to
any other funds 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 of the funds 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 follows:
<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. 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.
The trust reimburses Putnam Management for the compensation and
related expenses of certain officers of the trust and their staff who
provide administrative services to the funds. The aggregate amount of
all such reimbursements is determined annually by the Trustees.
<PAGE>
Trustees of the Trust receive an annual Trustee's fee as follows:
<TABLE>
<S> <C>
- -----------------------------------------
Growth Portfolio $880
Balanced Portfolio 910
Conservative Portfolio 760
- -----------------------------------------
</TABLE>
NOTE 3
PURCHASES AND SALES OF SECURITIES
During the six months ended March 31, 1996, aggregate purchases and
sales of investment securities other than short- term investments were
as follows:
<TABLE><CAPTION>
U.S. GOVERNMENT OBLIGATIONS
- ----------------------------------------------------------------------
PURCHASES SALES
- ----------------------------------------------------------------------
<S> <C> <C>
Growth Portfolio $25,368,309 $25,304,328
Balanced Portfolio 64,229,557 65,058,262
Conservative Portfolio 92,362,065 83,725,792
- ----------------------------------------------------------------------
OTHER SECURITIES
- ----------------------------------------------------------------------
PURCHASES SALES
- ----------------------------------------------------------------------
Growth Portfolio $179,495,931 $133,768,188
Balanced Portfolio 298,208,286 204,203,533
Conservative Portfolio 95,825,984 62,715,678
- ----------------------------------------------------------------------
</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>
GROWTH PORTFOLIO
- ----------------------------------------------------------------------
CONTRACT PREMIUMS
AMOUNT RECEIVED
- ----------------------------------------------------------------------
<S> <C> <C>
Contracts outstanding at the beginning of
the year $1,260,000 $5,418
Options opened -- --
Options expired 1,260,000 5,418
Options closed -- --
- ----------------------------------------------------------------------
WRITTEN OPTIONS OUTSTANDING AT THE
END OF THE PERIOD $-- $--
- ----------------------------------------------------------------------
BALANCED PORTFOLIO
- ----------------------------------------------------------------------
CONTRACT PREMIUMS
AMOUNT RECEIVED
- ----------------------------------------------------------------------
Contracts outstanding at the beginning
of the year $3,540,000 $15,222
Options opened -- --
Options expired 3,540,000 15,222
Options closed -- --
- ----------------------------------------------------------------------
WRITTEN OPTIONS OUTSTANDING AT THE
END OF THE PERIOD $-- $--
- ----------------------------------------------------------------------
CONSERVATIVE PORTFOLIO
- ----------------------------------------------------------------------
CONTRACT PREMIUMS
AMOUNT RECEIVED
- ----------------------------------------------------------------------
Contracts outstanding at the beginning
of the year $1,820,000 $7,826
Options opened -- --
Options expired 1,820,000 7,826
Options closed -- --
- ----------------------------------------------------------------------
WRITTEN OPTIONS OUTSTANDING AT THE
END OF THE PERIOD $-- $--
- ----------------------------------------------------------------------
</TABLE>
NOTE 4
CAPITAL SHARES
At March 31, 1996 there was an unlimited number of shares of
beneficial interest authorized. Transactions in capital shares were as
follows:
<TABLE><CAPTION>
SIX MONTHS ENDED MARCH 31
- ----------------------------------------------------------------------
CLASS A 1996
- ----------------------------------------------------------------------
<S> <C> <C>
GROWTH PORTFOLIO SHARES AMOUNT
- ----------------------------------------------------------------------
Shares sold 4,571,922 $46,129,712
Shares issued in
connection with reinvestment of
distributions 596,000 5,888,285
- ----------------------------------------------------------------------
Shares repurchased (1,813,813) (18,295,333)
- ----------------------------------------------------------------------
NET INCREASE 3,354,109 $33,722,664
- ----------------------------------------------------------------------
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
- ----------------------------------------------------------------------
SIX MONTHS ENDED MARCH 31
- ----------------------------------------------------------------------
CLASS B 1996
- ----------------------------------------------------------------------
GROWTH PORTFOLIO SHARES AMOUNT
- ----------------------------------------------------------------------
Shares sold 3,221,442 $32,448,991
Shares issued in
connection with reinvestment of
distributions 497,424 4,889,812
- ----------------------------------------------------------------------
Shares repurchased (797,426) (8,026,018)
- ----------------------------------------------------------------------
NET INCREASE 2,921,440 $29,312,785
- ----------------------------------------------------------------------
<PAGE>
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
- ----------------------------------------------------------------------
SIX MONTHS ENDED MARCH 31
- ----------------------------------------------------------------------
CLASS C 1996
- ----------------------------------------------------------------------
GROWTH PORTFOLIO SHARES AMOUNT
- ----------------------------------------------------------------------
Shares sold 713,570 $7,183,467
Shares issued in
connection with reinvestment of
distributions 39,164 383,411
- ----------------------------------------------------------------------
Shares repurchased (54,864) (549,052)
- ----------------------------------------------------------------------
NET INCREASE 697,870 $7,017,826
- ----------------------------------------------------------------------
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
- ----------------------------------------------------------------------
SIX MONTHS ENDED MARCH 31
- ----------------------------------------------------------------------
CLASS M 1996
- ----------------------------------------------------------------------
GROWTH PORTFOLIO SHARES AMOUNT
- ----------------------------------------------------------------------
Shares sold 264,356 $2,695,415
Shares issued in
connection with reinvestment of
distributions 15,633 153,833
- ----------------------------------------------------------------------
Shares repurchased (42,630) (433,460)
- ----------------------------------------------------------------------
NET INCREASE 237,359 $2,415,788
- ----------------------------------------------------------------------
FOR THE PERIOD
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
- ----------------------------------------------------------------------
SIX MONTHS ENDED MARCH 31
- ----------------------------------------------------------------------
CLASS Y 1996
- ----------------------------------------------------------------------
GROWTH PORTFOLIO SHARES AMOUNT
- ----------------------------------------------------------------------
Shares sold 504,325 $5,124,470
Shares issued in
connection with reinvestment of
distributions 209,230 2,073,471
- ----------------------------------------------------------------------
Shares repurchased (573,258) (5,817,102)
- ----------------------------------------------------------------------
NET INCREASE 140,297 $1,380,839
- ----------------------------------------------------------------------
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
- ----------------------------------------------------------------------
<PAGE> SIX MONTHS ENDED MARCH 31
- ----------------------------------------------------------------------
CLASS A 1996
- ----------------------------------------------------------------------
BALANCED PORTFOLIO SHARES AMOUNT
- ----------------------------------------------------------------------
Shares sold 7,700,444 $74,748,234
Shares issued in
connection with reinvestment of
distributions 902,654 8,611,304
- ----------------------------------------------------------------------
Shares repurchased (1,951,988) (19,094,207)
- ----------------------------------------------------------------------
NET INCREASE 6,651,110 $64,265,331
- ----------------------------------------------------------------------
YEAR ENDED SEPTEMBER 30
- ----------------------------------------------------------------------
CLASS A 1995
- ----------------------------------------------------------------------
BALANCED PORTFOLIO SHARES AMOUNT
- ----------------------------------------------------------------------
Shares sold 12,676,147 $109,974,749
Shares issued 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
- ----------------------------------------------------------------------
SIX MONTHS ENDED MARCH 31
- ----------------------------------------------------------------------
CLASS B 1996
- ----------------------------------------------------------------------
BALANCED PORTFOLIO SHARES AMOUNT
- ----------------------------------------------------------------------
Shares sold 4,938,632 $47,876,965
Shares issued in
connection with reinvestment of
distributions 798,084 7,581,532
- ----------------------------------------------------------------------
Shares repurchased (1,173,978) (11,409,415)
- ----------------------------------------------------------------------
NET INCREASE 4,562,738 $44,049,082
- ----------------------------------------------------------------------
SIX MONTHS ENDED MARCH 31
- ----------------------------------------------------------------------
CLASS C 1996
- ----------------------------------------------------------------------
BALANCED PORTFOLIO SHARES AMOUNT
- ----------------------------------------------------------------------
Shares sold 775,085 $7,511,249
Shares issued in
connection with reinvestment of
distributions 64,891 614,713
- ----------------------------------------------------------------------
Shares repurchased (153,792) (1,496,565)
- ----------------------------------------------------------------------
NET INCREASE 686,184 $6,629,397
- ----------------------------------------------------------------------
YEAR ENDED SEPTEMBER 30
- ----------------------------------------------------------------------
CLASS C 1995
- ----------------------------------------------------------------------
BALANCED PORTFOLIO SHARES AMOUNT
- ----------------------------------------------------------------------
Shares sold 1,213,766 $10,392,267
Shares issued in
connection with reinvestment of
distributions 8,482 61,714
- ----------------------------------------------------------------------
Shares repurchased (35,983) (322,975)
- ----------------------------------------------------------------------
NET INCREASE 1,186,265 $10,131,006
- ----------------------------------------------------------------------
SIX MONTHS ENDED MARCH 31
- ----------------------------------------------------------------------
CLASS M 1996
- ----------------------------------------------------------------------
BALANCED PORTFOLIO SHARES AMOUNT
- ----------------------------------------------------------------------
Shares sold 448,032 $4,368,030
Shares issued in
connection with reinvestment of
distributions 21,501 205,567
- ----------------------------------------------------------------------
Shares repurchased (39,322) (387,310)
- ----------------------------------------------------------------------
NET INCREASE 430,211 $4,186,287
- ----------------------------------------------------------------------
<PAGE> 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
- ----------------------------------------------------------------------
SIX MONTHS ENDED MARCH 31
- ----------------------------------------------------------------------
CLASS Y 1996
- ----------------------------------------------------------------------
BALANCED PORTFOLIO SHARES AMOUNT
- ----------------------------------------------------------------------
Shares sold 691,441 $6,748,159
Shares issued in
connection with reinvestment of
distributions 386,886 3,690,832
- ----------------------------------------------------------------------
Shares repurchased (554,818) (5,388,138)
- ----------------------------------------------------------------------
NET INCREASE 523,509 $5,050,853
- ----------------------------------------------------------------------
YEAR ENDED SEPTEMBER 30
- ----------------------------------------------------------------------
CLASS Y 1995
- ----------------------------------------------------------------------
BALANCED PORTFOLIO SHARES AMOUNT
- ----------------------------------------------------------------------
Shares sold 570,980 $5,007,677
Shares issued 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)
- ----------------------------------------------------------------------
SIX MONTHS ENDED MARCH 31
- ----------------------------------------------------------------------
CLASS A 1996
- ----------------------------------------------------------------------
CONSERVATIVE PORTFOLIO SHARES AMOUNT
- ----------------------------------------------------------------------
Shares sold 3,913,209 $36,492,222
Shares issued in
connection with reinvestment of
distributions 346,395 3,160,910
- ----------------------------------------------------------------------
Shares repurchased (707,885) (6,568,674)
- ----------------------------------------------------------------------
NET INCREASE 3,551,719 $33,084,458
- ----------------------------------------------------------------------
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
- ----------------------------------------------------------------------
SIX MONTHS ENDED MARCH 31
- ----------------------------------------------------------------------
CLASS B 1996
- ----------------------------------------------------------------------
CONSERVATIVE PORTFOLIO SHARES AMOUNT
- ----------------------------------------------------------------------
Shares sold 1,845,743 $17,050,279
Shares issued in
connection with reinvestment of
distributions 279,063 2,537,351
- ----------------------------------------------------------------------
Shares repurchased (734,009) (6,782,574)
- ----------------------------------------------------------------------
NET INCREASE 1,390,797 $12,805,056
- ----------------------------------------------------------------------
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
- ----------------------------------------------------------------------
<PAGE>
SIX MONTHS ENDED MARCH 31
- ----------------------------------------------------------------------
CLASS C 1996
- ----------------------------------------------------------------------
CONSERVATIVE PORTFOLIO SHARES AMOUNT
- ----------------------------------------------------------------------
Shares sold 624,274 $5,756,529
Shares issued in
connection with reinvestment of
distributions 42,659 387,472
- ----------------------------------------------------------------------
Shares repurchased (114,861) (1,064,297)
- ----------------------------------------------------------------------
NET INCREASE 552,072 $5,079,704
- ----------------------------------------------------------------------
YEAR ENDED SEPTEMBER 30
- ----------------------------------------------------------------------
CLASS C 1995
- ----------------------------------------------------------------------
CONSERVATIVE PORTFOLIO SHARES AMOUNT
- ----------------------------------------------------------------------
Shares sold 803,430 $6,783,192
Shares issued in
connection with reinvestment of
distributions 6,822 60,859
- ----------------------------------------------------------------------
Shares repurchased (56,504) (482,246)
- ----------------------------------------------------------------------
NET INCREASE 753,748 $6,361,805
- ----------------------------------------------------------------------
SIX MONTHS ENDED MARCH 31
- ----------------------------------------------------------------------
CLASS M 1996
- ----------------------------------------------------------------------
CONSERVATIVE PORTFOLIO SHARES AMOUNT
- ----------------------------------------------------------------------
Shares sold 119,586 $1,106,204
Shares issued in
connection with reinvestment of
distributions 7,440 67,815
- ----------------------------------------------------------------------
Shares repurchased (32,342) (298,989)
- ----------------------------------------------------------------------
NET INCREASE 94,684 $875,030
- ----------------------------------------------------------------------
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 issued in
connection with reinvestment of
distributions 732 6,702
- ----------------------------------------------------------------------
Shares repurchased (12,580) (111,656)
- ----------------------------------------------------------------------
NET INCREASE 148,920 $1,281,900
- ----------------------------------------------------------------------
<PAGE>
SIX MONTHS ENDED MARCH 31
- ----------------------------------------------------------------------
CLASS Y 1996
- ----------------------------------------------------------------------
CONSERVATIVE PORTFOLIO SHARES AMOUNT
- ----------------------------------------------------------------------
Shares sold 158,861 $1,474,684
Shares issued in
connection with reinvestment of
distributions 11,399 104,047
- ----------------------------------------------------------------------
Shares repurchased (62,279) (578,453)
- ----------------------------------------------------------------------
NET INCREASE 107,981 $1,000,278
- ----------------------------------------------------------------------
YEAR ENDED SEPTEMBER 30
- ----------------------------------------------------------------------
CLASS Y 1995
- ----------------------------------------------------------------------
CONSERVATIVE PORTFOLIO SHARES AMOUNT
- ----------------------------------------------------------------------
Shares sold 193,082 $1,672,448
Shares issued in
connection with reinvestment of
distributions 2,234 20,103
- ----------------------------------------------------------------------
Shares repurchased (17,269) (151,939)
- ----------------------------------------------------------------------
NET INCREASE 178,047 $1,540,612
- ----------------------------------------------------------------------
</TABLE>
<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
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
John D. Hughes
Senior Vice President and Treasurer
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
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
24520-259/264/250 5/96
<PAGE>
PUTNAM INVESTMENTS [LOGO]
PUTNAM ASSET ALLOCATION FUNDS
Supplement to Semiannual Report dated March 31, 1996
The following information has been prepared to provide class Y
shareholders with a performance overview specific to their holdings.
Class Y shares are offered exclusively to defined contribution plans
investing $250 million or more in one or more of PutnamOs funds or
private accounts. Performance of class Y shares, which incur neither
a front-end load, distribution fee, nor contingent deferred sales
charge, will differ from performance of class A, B, C and M shares,
which are discussed more extensively in the annual report.
<TABLE>
SEMIANNUAL RESULTS AT A GLANCE
- ----------------------------------------------------------------------
<S> <C> <C> <C> <C>
Total return
Periods ended 3/31/96
6 months 1 year Life-of-fund Life-of-fund
(since 5/16/94)
Growth Portfolio 9.75% 27.28% 36.12% 17.83%
Balanced Portfolio 8.82 24.30 33.70 16.71
Conservative Portfolio 6.22 17.91 23.72 11.99
- ----------------------------------------------------------------------
Share value 9/30/95 3/31/96
at NAV
Growth Portfolio $10.09 $10.56
Balanced Portfolio 9.66 9.99
Conservative Portfolio 9.19 9.32
- ----------------------------------------------------------------------
Distributions
No. Income Capital gains Total
Long-term Short term
Growth Portfolio 1 $0.208 $0.113 $0.161 $0.482
Balanced Portfolio 2 0.207 0.111 0.178 0.496
Conservative Portfolio 2 0.250 0.058 0.122 0.430
- ----------------------------------------------------------------------
<FN>
Please note that past performance does not indicate future results.
Investment return and principal value will fluctuate so your shares,
when redeemed, may be worth more or less than their original cost.
See full Annual Report for information on comparative benchmarks. If
you have questions, please consult your fund prospectus or call Putnam
toll free at 1-800-752-9894.
</TABLE>
<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.
