Putnam
Asset
Allocation
Funds
SEMIANNUAL REPORT
March 31, 1997
[LOGO: BOSTON * LONDON * TOKYO]
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.
[GRAPHIC OMITTED: horizontal bar chart: TARGETED PORTFOLIO STRUCTURE]
Targeted portfolio structure*
Large-cap growth stocks 25%
Small-cap growth stocks 15
Value Stocks 25
International equities 15
Domestic fixed-income securities 5
International fixed-income securities 5
High-yield securities 5
Cash and money market securities 5
* Balanced Portfolio is designed to seek total return for investors in
their peak accumulation years.
[GRAPHIC OMITTED: horizontal bar chart: TARGETED PORTFOLIO STRUCTURE]
Targeted portfolio structure*
Large-cap growth stocks 20%
Small-cap growth stocks 10
Value Stocks 20
International equities 15
Domestic fixed-income securities 10
International fixed-income securities 10
High-yield securities 10
Cash and money market securities 5
* Conservative Portfolio is designed to seek income, while protecting
the original value of the investment, for investors concerned about
maintaining their purchasing power.
[GRAPHIC OMITTED: horizontal bar chart: TARGETED PORTFOLIO STRUCTURE]
Targeted portfolio structure*
Large-cap growth stocks 10%
Small-cap growth stocks 5
Value Stocks 10
International equities 10
Domestic fixed-income securities 35
International fixed-income securities 15
High-yield securities 10
Cash and money market securities 5
Footnote reads:
* The targeted portfolio represents the ideal allocation of assets among
the various investment categories assuming that all securities markets
are displaying historical tendencies and that no extraordinary
opportunities exist within any category.
Allocations in each portfolio will vary over time.
From the Chairman
[GRAPHIC OMITTED: PHOTO OF GEORGE PUTNAM]
(copyright) Karsh, Ottawa
Dear Shareholder:
Rarely has the concept of diversification been more appropriate than in
today's unsettled securities markets. Rarely has the need for depth of
experience and breadth of expertise been greater than in the management
of investment portfolios in this challenging environment.
Putnam Asset Allocation Funds provide shareholders with diversification
across a worldwide spectrum of markets and within a full spectrum of
asset classes. The funds' various portfolios can accommodate a wide
range of investment objectives.
In the report that follows, your funds' managers discuss in depth the
market and economic environment that prevailed throughout the first half
of fiscal 1997 and how it affected portfolio performance. Then they look
at prospects for the year's second half.
Respectfully yours,
/S/GEORGE PUTNAM
George Putnam
Chairman of the Trustees
May 21, 1997
Report from the Fund Managers
Peter Carman
Gary N. Coburn
William J. Landes
The six months ended March 31, 1997, were marked by a number of
significant events in the global financial markets. Most familiar to
investors may be the March 11 record high of the Dow Jones Industrial
Average, a well-known market index of 30 large-company stocks, and the
Federal Reserve Board's interest-rate revision on March 25. During this
opening half of fiscal 1997, all three portfolios of Putnam Asset
Allocation Funds turned in positive performance at net asset value.
For the first time over the life of the three portfolios, the Balanced
Portfolio led its stablemates with class A shares posting a total return
of 5.23% at net asset value for the semiannual period. Class A shares of
the Growth Portfolio nearly matched that performance with a six-month
total return of 4.87%, while the Conservative Portfolio, with its
greater emphasis on income and preservation of capital, returned 4.28%,
both also at net asset value. Returns at public offering price for the
Balanced Portfolio, the Growth Portfolio, and the Conservative Portfolio
were -0.79%, -1.19%, and -1.70%, respectively. Results for other share
classes will differ and can be viewed in the portfolio and performance
summary that begins on page 8.
* U.S. MARKETS REACT TO THREAT, THEN REALITY OF RISING RATES
Fiscal 1997 began right where 1996 left off for the U.S. economy, with
stocks continuing to outperform bonds. Although inflation figures
remained benign through the first few months of calendar 1997, economic
indicators showed that the economy was continuing to expand and gain
momentum. In an attempt to cool consumer and business borrowing and
spending and thereby to extend the economy's seven-year run of positive
growth, the Fed boosted its target federal funds rate for the first time
in more than two years. The increase of 25 basis points, or one quarter
of one percentage point, in the rate banks charge each other for
overnight loans had long been anticipated, but it nevertheless put
downward pressure on U.S. investments.
Stocks. Strong earnings growth, falling interest rates, and low
inflation have combined in recent years to bring about one of the great
bull markets in U.S. history. In the past several months, however, each
of these trends has begun to reverse itself. Earnings momentum has
slowed, long-term interest rates have crept up, and inflation, while not
measurably higher, has prompted the aforementioned tightening of
monetary policy.
In this economic climate, a market correction is possible. A prolonged
correction may be averted, however, by the generally solid condition of
U.S. companies and the slowing but still healthy rate of earnings
growth. In the face of uncertainty and to protect gains made in the last
two years, Putnam Management underweighted U.S. stock holdings relative
to their overseas counterparts.
Bonds. The current economic environment is also unfavorable to domestic
fixed-income securities. The unemployment rate has dropped low enough to
begin exerting upward pressure on wage costs, thus furthering
inflationary fears. Continuing to underperform stocks by a wide margin,
the U.S. bond market underwent a selloff late in the period in
anticipation of the Fed's eventual increase in short-term rates. Given
the likelihood of further fiscal tightening, Putnam Management foresees
a continued drop in bond prices over the near term.
The longer-term prospects for U.S. fixed-income securities are somewhat
brighter. Should the effects of the Fed's tighter policy result in
slower economic growth later in the year, bond yields may move lower and
push prices back up. Additionally U.S. bonds may be buoyed by their
relative value when compared with the value of most international
government bonds.
[GRAPHIC OMITTED: worm chart: WORLD FIXED-INCOME MARKETS]
WORLD FIXED-INCOME MARKETS
Growth of a $10,000 investment
(Plot points)
(U.S. high (U.S. gov (International
Date yield bonds) securities) bonds)
3/31/96 $10,000 10,000 10,000
4/30/96 10,054 9,944 9,979
5/31/96 10,135 9,924 9,984
6/30/96 10,158 10,057 10,040
7/31/96 10,249 10,084 10,317
8/31/96 10,361 10,067 10,387
9/30/96 10,539 10,243 10,367
10/31/96 10,627 10,470 10,542
11/30/96 10,793 10,649 10,663
12/31/96 11,004 10,550 10,587
1/31/97 11,084 10,582 10,157
2/28/97 11,292 10,609 10,039
3/31/97 11,166 10,491 9,975
Footnote reads:
1First Boston High Yield Bond Index.
2Lehman Brothers Aggregate Bond Index.
3Salomon Brothers Non-U.S. World Government Bond Index. See page 12 for
descriptions of the indexes. Past performance is not indicative of future
results. This is not intended to represent the returns of any fund.
Moving into the second half of fiscal 1997, Putnam Management retains a
neutral outlook on the U.S. fixed-income market as a whole. Within your
funds' portfolios, the fund managers plan to emphasize U.S. investment-
grade bonds at the expense of international bonds as the year goes on.
* CYCLICAL ECONOMIC ACCELERATION PROPELS SELECTED INTERNATIONAL MARKETS
As discussed in your funds' most recent annual report, economies around
the world move at different paces in what Putnam Management refers to as
the desynchronization of the global economic cycle. Among overseas
economies, Germany and other Continental European countries currently
outshine nations such as Japan and the United Kingdom in terms of
accelerating fundamentals.
Stocks. After a strong performance in fiscal 1996, Germany's equity
market continues to display positive fundamentals, despite turbulence at
period's end brought about by the possibility that Continental Europe's
financial leader might cause delays in the formation of the European
Monetary Union. Putnam Management believes that prospects for the German
market remain favorable with a focus on attractive valuations, earnings,
interest rates, and export levels.
Stocks have rallied over the last few months in the United Kingdom, but
worsening valuations, a poor interest-rate outlook, and the national
elections are likely to combine for an adverse market environment.
Putnam Management has correspondingly underweighted portfolio holdings
in U.K. stocks.
Japanese equities suffered some losses early in the funds' fiscal year,
going on to recover slightly and then languishing in a stubborn trading
range. Volatility is the next likely trend in Japan's stock market,
creating even more of a need for careful stock selection. Putnam
Management expects the most promising opportunities to arise in the
stocks of companies that export consumer durables, electronics, and
automobiles.
Bonds. As expected, foreign bonds generally were unable to continue last
year's outperformance of U.S. fixed-income securities. Japanese bonds
were among the top global performers, but a weak yen, an overvalued
market, and a troubled economy make them a less-than-desirable
investment at this time. Germany and the United Kingdom, although at
different points in their economic cycles, are both undergoing economic
expansion that leaves their respective bond markets with little or no
room to grow. Overall, Putnam Management plans to switch its fixed-
income emphasis to favor the U.S. market.
[GRAPHIC OMITTED:worm chart: WORLD EQUITY MARKETS]
WORLD EQUITY MARKETS
Growth of a $10,000 Investment
(Plot points)
(large-cap (small-cap (international
Date growth) growth) stocks)
3/31/96 $10,000 10,000 10,000
4/30/96 10,147 10,535 10,291
5/31/96 10,409 10,950 10,101
6/30/96 10,448 10,500 10,158
7/31/96 9,987 9,583 9,861
8/31/96 10,198 10,139 9,883
9/30/96 10,771 10,536 10,145
10/31/96 11,068 10,373 10,042
11/30/96 11,904 10,801 10,441
12/31/96 11,668 11,084 10,307
1/31/97 12,397 11,305 9,946
2/28/97 12,494 11,031 10,109
3/31/97 11,982 10,511 10,145
Footnote reads:
1Standard & Poor's [REGISTRATION MARK] 500 Index.
2Russell 2000 Index.
3Morgan Stanley Capital International (MSCI)
EAFE Index. See page 12 for descriptions of the indexes.
Past performance is not indicative of future results.
This is not intended to represent the returns of any
fund.
* STRATEGY AND OUTLOOK
As the first half of fiscal 1997 closed, so too may the market's lavish
rewards of the past few years have ended as well. In this changing
environment, Putnam Management believes that investors in all three
portfolios will be well served by reduced exposure to riskier assets and
by greater international diversification. These strategies will be
implemented, within the context of each portfolio's investment objective
and risk profile, through allocation adjustments that underweight U.S.
equities in favor of European and emerging equity markets and that
reduce exposure to fixed-income securities, especially those overseas,
in favor of cash.
The views expressed here are exclusively those of Putnam Management.
They are not meant as investment advice. While these holdings and others
discussed in the report were viewed favorably as of 3/31/97, all are
subject to review and adjustment in accordance with the funds'
investment strategies and may well vary 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.
Performance summary
* GROWTH PORTFOLIO
TOTAL RETURN FOR PERIODS ENDED 3/31/97
Change in value during period plus reinvested distributions
Inception Class A Class B Class C Class M
dates (2/8/94) (2/16/94) (9/1/94) (2/3/95)
NAV POP NAV CDSC NAV CDSC NAV POP
- ----------------------------------------------------------------------
6 months 4.87% -1.19% 4.40% -0.57% 4.43% 3.44% 4.59% 0.93%
- ----------------------------------------------------------------------
1 year 13.74 7.22 12.79 7.79 12.86 11.86 13.08 9.12
- ----------------------------------------------------------------------
Life of
class 48.75 40.18 45.45 42.45 46.01 46.01 47.51 42.41
Annual
average 13.48 11.36 12.76 12.01 15.80 15.80 19.72 17.78
- ----------------------------------------------------------------------
PRICE AND DISTRIBUTION INFORMATION
6 months ended 3/31/97
Class A Class B Class C Class M
Share value NAV POP NAV NAV NAV POP
- ----------------------------------------------------------------------
9/30/96 $11.41 $12.11 $11.29 $11.24 $11.32 $11.73
- ----------------------------------------------------------------------
3/31/97 11.33 12.02 11.22 11.15 11.23 11.64
- ----------------------------------------------------------------------
Capital gains
Investment Long Short
Distributions Number income term term Total
- ----------------------------------------------------------------------
Class A 1 $0.164 $0.261 $0.206 $0.631
- ----------------------------------------------------------------------
Class B 1 0.097 0.261 0.206 0.564
- ----------------------------------------------------------------------
Class C 1 0.118 0.261 0.206 0.585
- ----------------------------------------------------------------------
Class M 1 0.139 0.261 0.206 0.606
- ----------------------------------------------------------------------
Performance data represent past results and the life-of-class data
reflect an expense limitation in effect until 12/31/94. Without the
limitation, the funds' total return would have been lower. POP assumes
5.75% maximum sales charge for class A shares and 3.50% for class M
shares. CDSC reflects the applicable contingent deferred sales charge;
the maximum for class B shares is 5% and for class C shares, 1%.
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.
Past performance is not indicative of future results.
* BALANCED PORTFOLIO
TOTAL RETURN FOR PERIODS ENDED 3/31/97
Change in value during period plus reinvested distributions
Inception Class A Class B Class C Class M
dates (2/7/94) (2/11/94) (9/1/94) (2/6/95)
NAV POP NAV CDSC NAV CDSC NAV POP
- -----------------------------------------------------------------------
6 months 5.23% -0.79% 4.89% -0.02% 4.82% 3.83% 5.02% 1.33%
- -----------------------------------------------------------------------
1 year 13.80 7.25 12.95 7.95 12.89 11.89 13.21 9.28
- -----------------------------------------------------------------------
Life of
class 44.54 36.21 41.30 38.30 42.70 42.70 44.38 39.37
Annual
average 12.41 10.31 11.60 10.92 14.78 14.78 18.63 16.70
- -----------------------------------------------------------------------
PRICE AND DISTRIBUTION INFORMATION
6 months ended 3/31/97
Class A Class B Class C Class M
Share value NAV POP NAV NAV NAV POP
- -----------------------------------------------------------------------
9/30/96 $10.71 $11.36 $10.67 $10.64 $10.71 $11.10
- -----------------------------------------------------------------------
3/31/97 10.53 11.17 10.49 10.45 10.53 10.91
- -----------------------------------------------------------------------
Capital gains
Investment Long Short
Distributions Number income term term Total
- -----------------------------------------------------------------------
Class A 2 $0.205 $0.313 $0.218 $0.736
- -----------------------------------------------------------------------
Class B 2 0.167 0.313 0.218 0.698
- -----------------------------------------------------------------------
Class C 2 0.168 0.313 0.218 0.699
- -----------------------------------------------------------------------
Class M 2 0.182 0.313 0.218 0.713
- -----------------------------------------------------------------------
Performance data represent past results and the life-of-class data
reflect an expense limitation in effect until 12/31/94. Without the
limitation, the funds' total return would have been lower. POP assumes
5.75% maximum sales charge for class A shares and 3.50% for class M
shares. CDSC reflects the applicable contingent deferred sales charge;
the maximum for class B shares is 5% and for class C shares, 1%.
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.
Past performance is not indicative of future results.
* CONSERVATIVE PORTFOLIO
TOTAL RETURN FOR PERIODS ENDED 3/31/97
Change in value during period plus reinvested distributions
Inception Class A Class B Class C Class M
dates (2/7/94) (2/18/94) (9/1/94) (2/7/95)
NAV POP NAV CDSC NAV CDSC NAV POP
- -----------------------------------------------------------------------
6 months 4.28% -1.70% 3.91% -1.02% 4.03% 3.04% 4.07% 0.43%
- -----------------------------------------------------------------------
1 year 9.81 3.48 9.04 4.04 9.18 8.18 9.37 5.51
- -----------------------------------------------------------------------
Life of
class 30.99 23.44 28.03 25.03 30.90 30.90 31.78 27.14
Annual
average 8.95 6.92 8.24 7.42 11.00 11.00 13.70 11.82
- -----------------------------------------------------------------------
PRICE AND DISTRIBUTION INFORMATION
6 months ended 3/31/97
Class A Class B Class C Class M
Share value NAV POP NAV NAV NAV POP
- -----------------------------------------------------------------------
9/30/96 $9.69 $10.28 $9.66 $9.64 $9.67 $10.02
- -----------------------------------------------------------------------
3/31/97 9.56 10.14 9.53 9.52 9.54 9.89
- -----------------------------------------------------------------------
Capital gains
Investment Long Short
Distributions Number income term term Total
- -----------------------------------------------------------------------
Class A 2 $0.217 $0.133 $0.194 $0.544
- -----------------------------------------------------------------------
Class B 2 0.181 0.133 0.194 0.508
- -----------------------------------------------------------------------
Class C 2 0.181 0.133 0.194 0.508
- -----------------------------------------------------------------------
Class M 2 0.196 0.133 0.194 0.523
- -----------------------------------------------------------------------
Performance data represent past results and the life-of-class data
reflect an expense limitation in effect until 9/30/95. Without the
limitation, the funds' total return would have been lower. POP assumes
5.75% maximum sales charge for class A shares and 3.50% for class M
shares. CDSC reflects the applicable contingent deferred sales charge;
the maximum for class B shares is 5% and for class C shares, 1%.
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.
Past performance is not indicative of future results.
COMPARATIVE INDEX RETURNS FOR PERIODS ENDED 3/31/97
(Cumulative total returns)
Lehman Bros. Standard Russell First Boston
Aggregate & Poor's 2000 High Yield
Bond Index 500 Index Index Bond Index
- ---------------------------------------------------------------------
6 months 2.42% 11.24% -0.24% 5.95%
- ---------------------------------------------------------------------
1 year 4.91 19.82 5.11 11.66
- ---------------------------------------------------------------------
Life of class A1 16.95 70.14 35.08 30.28
Annual average 5.08 18.30 9.98 8.73
- ---------------------------------------------------------------------
Life of class B
(Growth and
Conservative)2 19.02 74.88 35.57 30.09
Annual average 5.80 19.86 10.36 8.90
- ---------------------------------------------------------------------
Life of class B
(Balanced) 16.95 70.14 35.08 30.28
Annual average 5.08 18.30 9.98 8.73
- ---------------------------------------------------------------------
Life of class C1 20.75 69.36 38.81 34.39
Annual average 7.58 22.64 13.54 12.13
- ---------------------------------------------------------------------
Life of class M3 19.72 69.24 43.71 32.51
Annual Average 8.68 27.54 18.25 13.91
- ---------------------------------------------------------------------
1 For the period 1/31/94 through 3/31/97: inception date for Growth
Portfolio class A is 2/8/94; for Balanced and Conservative portfolios,
class A inception dates are 2/7/94.
2 For the period 2/28/94 through 3/31/97: the inception dates for class
B shares are 2/16/94 and 2/18/94 for Growth and Conservative portfolios.
For the period 1/31/94 through 3/31/97: the inception date for class B
shares of the Balanced Portfolio is 2/11/94.
2 For the period 8/31/94 through 3/31/97: Growth, Balanced, and
Conservative portfolios class C inception dates are 9/1/94.
4 For the period 1/31/95 through 3/31/97: Growth, Balanced, and
Conservative portfolios class M inception dates are 2/3/95, 2/6/95, and
2/7/95, respectively.
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) EAFE Index is an unmanaged
list of equity securities listed on the stock exchanges of Europe,
Australia, 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.
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 and a higher 12b-1 fee
than class A shares and no sales charge on redemption.
Net asset value (NAV) is the value of all your funds' 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' class B CDSC declines from a 5% maximum
during the first year to 1% during the sixth year. After the sixth year,
the CDSC no longer applies. The CDSC for class C shares is 1% for one
year after purchase.
<TABLE>
<CAPTION>
Portfolio of investments owned
March 31, 1997 (Unaudited)
<S> <C> <C> <C> <C> <C> <C>
GROWTH BALANCED CONSERVATIVE
73.4% 60.7% 33.4%
COMMON STOCKS* Shares Value Shares Value Shares Value
Advertising 0.2% 0.1% --%
- -------------------------------------------------------------------------------------------------------------------------------
Lamar Advertising Co. + 17,700 $358,425 16,400 $332,100 3,100 $62,775
Outdoor Systems, Inc. + 12,925 386,134 11,500 343,563 2,275 67,966
Universal Outdoor Holdings, Inc. + 14,100 408,900 13,100 379,900 2,500 72,500
------------ ------------ ------------
1,153,459 1,055,563 203,241
Aerospace and Defense 2.1% 1.7% 0.9%
- -------------------------------------------------------------------------------------------------------------------------------
Boeing Co. 47,200 4,655,100 50,300 4,960,838 9,800 966,525
General Motors Corp. Class H 72,400 3,927,700 78,200 4,242,350 15,600 846,300
Northrop Grumman Corp. 59,300 4,484,563 64,000 4,840,000 12,700 960,438
REMEC, Inc. + 24,000 516,000 22,150 476,225 4,250 91,375
Smiths Industries PLC (United Kingdom) 45,500 594,348 60,500 790,287 16,100 210,308
Textron, Inc. 26,400 2,772,000 28,100 2,950,500 5,500 577,500
------------ ------------ ------------
16,949,711 18,260,200 3,652,446
Agriculture --% --% --%
- -------------------------------------------------------------------------------------------------------------------------------
PSF Holdings LLC Class A + 3,305 87,583 12,885 341,453 4,186 110,929
Automotive 1.8% 1.6% 0.9%
- -------------------------------------------------------------------------------------------------------------------------------
Autoliv AB (Sweden) 10,382 446,200 17,500 752,119 4,500 193,402
Bayerische Motoren Werke (BMW)
AG (Germany) 2,600 2,094,272 3,206 2,582,399 850 684,666
Bridgestone Corp. (Japan) 63,000 1,182,334 88,000 1,651,514 22,000 412,878
Edaran Otomobil Nasional Berhad
(Malaysia) 22,000 221,882 36,000 363,079 7,000 70,599
General Motors Corp. 80,300 4,446,613 86,700 4,801,013 17,300 957,988
Magna International, Inc. Class A (Canada) 99,500 4,937,688 112,700 5,592,738 22,700 1,126,488
Michelin Corp. Class B (France) 22,718 1,346,416 30,182 1,788,781 7,930 469,983
------------ ------------ ------------
14,675,405 17,531,643 3,916,004
Basic Industrial Products 1.2% 1.0% 0.6%
- -------------------------------------------------------------------------------------------------------------------------------
Ade Corp. + 16,800 315,000 15,000 281,250 3,000 56,250
American Standard Companies, Inc. + 29,300 1,318,500 31,200 1,404,000 6,100 274,500
Daikin Industries Ltd. (Japan) 52,000 389,096 61,000 456,439 17,000 127,204
Minnesota Mining & Manufacturing Co. 51,400 4,343,300 55,400 4,681,300 11,000 929,500
Mitsui Fudoscan Co. Ltd. (Japan) 112,000 822,650 151,000 1,109,109 40,000 293,804
Rieter Holding AG (Switzerland) 1,616 474,146 2,200 645,495 616 180,739
Sandvik AB Class B (Sweden) 39,870 1,052,868 48,610 1,283,670 13,960 368,649
Sommer Allibert (France) 16,500 517,452 20,000 627,215 5,530 173,425
Weir Group PLC (The)
(United Kingdom) 115,000 447,925 153,293 597,076 40,617 158,203
------------ ------------ ------------
9,680,937 11,085,554 2,562,274
Biotechnology --% --% --%
- -------------------------------------------------------------------------------------------------------------------------------
Premier Research Worldwide, Ltd. + 17,400 287,100 15,600 257,400 3,200 52,800
Broadcasting 0.4% 0.3% 0.1%
- -------------------------------------------------------------------------------------------------------------------------------
Evergreen Media Corp. Class A + 31,750 926,703 29,550 862,491 5,600 163,450
Granite Broadcasting Corp. + 35,000 336,875 32,600 313,775 4,500 43,313
Heftel Broadcasting Corp. Class A + 24,200 1,125,300 21,800 1,013,700 4,400 204,600
SAGA Communications Inc Class A + 23,600 489,700 21,931 455,068 4,131 85,718
Sinclair Broadcast Group, Inc. Class A + 4,800 126,000 4,700 123,375 800 21,000
Young Broadcasting Inc. Class A + 17,000 410,125 15,825 381,778 2,975 71,772
------------ ------------ ------------
3,414,703 3,150,187 589,853
Building and Construction 1.1% 0.9% 0.7%
- -------------------------------------------------------------------------------------------------------------------------------
Armstrong World Industries, Inc. 17,700 1,146,075 18,800 1,217,300 3,600 233,100
Barnett, Inc. + 24,000 492,000 22,300 457,150 4,200 86,100
CRH PLC (Ireland) 154,564 1,521,877 196,759 1,937,340 52,187 513,847
Lafarge Coppee (France) 20,571 1,420,726 27,330 1,887,533 7,249 500,649
Obayashi Corp. (Japan) -- -- -- -- 21,000 123,330
Pioneer International Ltd. (Australia) 188,300 649,684 254,600 878,437 65,400 225,647
Sherwin Williams Co. 58,600 1,582,200 62,400 1,684,800 12,200 329,400
Sungei Way Holdings Berhad (Malaysia) 149,150 409,158 189,250 519,162 57,900 158,835
Terex Corp. Rights
expiration date 5/15/02 + 1,100 5,500 600 3,000 1,000 5,000
Toda Construction Co. (Japan) -- -- -- -- 14,000 80,521
VA Technologies AG (Austria) 7,680 1,132,304 10,361 1,527,578 2,990 440,832
Watsco, Inc. 18,000 459,000 16,000 408,000 3,100 79,050
------------ ------------ ------------
8,818,524 10,520,300 2,776,311
Business Equipment and Services 2.6% 2.0% 1.1%
- -------------------------------------------------------------------------------------------------------------------------------
BMC Software, Inc. + 23,800 1,097,775 25,300 1,166,963 4,900 226,013
Computer Sciences Corp. + 11,500 710,125 12,200 753,350 2,400 148,200
Corestaff, Inc. + 16,500 325,875 15,325 302,669 2,900 57,275
CORT Business Services Corp. + 38,500 880,688 34,200 782,325 7,100 162,413
Dai Nippon Printing Co., Ltd. (Japan) 55,000 920,968 74,000 1,239,121 20,000 334,897
Data Processing Resources Corp. + 21,600 405,000 17,100 320,625 3,900 73,125
EMC Corp. + 62,400 2,215,200 66,500 2,360,750 12,900 457,950
F.Y.I., Inc. + 16,500 340,313 15,400 317,625 2,900 59,813
HBO & Co. 35,200 1,672,000 38,000 1,805,000 7,400 351,500
Hewlett-Packard Co. 90,900 4,840,425 98,100 5,223,825 19,500 1,038,375
Ikon Office Solutions, Inc. 38,000 1,273,000 40,900 1,370,150 8,100 271,350
Lason Holdings, Inc. + 24,300 486,000 20,900 418,000 3,990 79,800
Metzler Group, Inc. + 11,400 263,625 8,200 189,625 2,100 48,563
NCO Group, Inc. + 28,000 612,500 24,500 535,938 4,900 107,188
PeopleSoft, Inc. + 46,600 1,864,000 49,600 1,984,000 9,700 388,000
Pharmaceutical Product
Development, Inc. + 15,100 302,000 13,500 270,000 2,700 54,000
Precision Response Corp. + 28,200 666,225 26,200 618,975 5,000 118,125
Rental Service Corp. + 26,800 509,200 24,950 474,050 4,800 91,200
Robert Half International, Inc. + 21,646 754,904 19,428 677,552 3,824 133,362
Societe Generale de Surveillance
Holdings S.A. (Switzerland) 300 610,977 470 957,197 110 224,025
The Registry, Inc. + 8,900 315,950 8,000 284,000 1,700 60,350
------------ ------------ ------------
21,066,750 22,051,740 4,485,524
Chemicals 2.2% 1.8% 1.0%
- -------------------------------------------------------------------------------------------------------------------------------
Akzo-Nobel N.V. (Netherlands) 9,830 1,409,818 13,270 1,903,182 3,496 501,396
Bayer AG ADR (Germany) 54,800 2,269,165 69,278 2,868,671 18,100 749,487
du Pont (E.I.) de Nemours & Co. 35,100 3,720,600 37,400 3,964,400 7,300 773,800
Dutch States Mines N.V. (Netherlands) 4,705 474,407 6,259 631,098 1,656 166,975
Hercules, Inc. 96,200 4,064,450 103,800 4,385,550 20,700 874,575
Monsanto Co. 63,200 2,417,400 67,300 2,574,225 13,000 497,250
Praxair, Inc. 63,100 2,831,613 69,600 3,123,300 13,800 619,275
Sekisui Chemical Co. Ltd. (Japan) 54,000 532,924 87,000 858,599 20,000 197,379
------------ ------------ ------------
17,720,377 20,309,025 4,380,137
Computer Equipment 0.3% 0.2% 0.1%
- -------------------------------------------------------------------------------------------------------------------------------
Compaq Computer Corp. + 26,900 2,061,213 29,100 2,229,788 5,700 436,763
PRI Automation, Inc. + 5,600 267,400 5,000 238,750 1,000 47,750
------------ ------------ ------------
2,328,613 2,468,538 484,513
Computer Services and Software 4.1% 3.1% 1.7%
- -------------------------------------------------------------------------------------------------------------------------------
Analysts International Corp. 20,900 459,800 19,500 429,000 3,700 81,400
Arbor Software Corp. + 8,000 200,000 7,500 187,500 1,500 37,500
BTG, Inc. + 14,900 260,750 13,700 239,750 2,700 47,250
CCC Information Services Group + 8,600 107,500 8,100 101,250 1,600 20,000
Claremont Technology Group, Inc. + 16,100 378,350 15,000 352,500 2,800 65,800
Computer Associates Intl., Inc. 73,150 2,843,706 77,950 3,030,306 15,250 592,844
Computer Horizons Corp. + 36,462 1,130,322 28,180 873,580 6,440 199,640
Computer Learning Centers, Inc. + 35,350 1,157,713 32,900 1,077,475 6,300 206,325
Computer Task Group, Inc. 17,300 614,150 16,100 571,550 3,100 110,050
Cotelligent Group, Inc. + 40,900 378,325 36,500 337,625 7,100 65,675
Getronics Electric N.V. (Netherlands) 24,610 799,196 33,620 1,091,791 9,444 306,689
IBM Corp. 32,900 4,519,638 35,500 4,876,813 7,100 975,363
Keane, Inc. + 42,190 1,386,996 39,254 1,290,475 7,480 245,905
McAfee Associates, Inc. + 5,462 241,694 4,987 220,675 887 39,250
Microsoft Corp. + 51,600 4,731,075 54,700 5,015,306 10,800 990,225
National Tech Team, Inc. + 27,200 421,600 24,300 376,650 4,800 74,400
NCR Corp. + 125,100 4,409,775 135,100 4,762,275 26,900 948,225
Oak Technology, Inc. + 29,200 295,650 26,500 268,313 5,200 52,650
Parametric Technology Corp. + 38,700 1,746,338 41,200 1,859,150 8,000 361,000
Project Software & Development, Inc. + 7,300 233,600 6,842 218,944 1,282 41,024
Raptor Systems, Inc. + 24,300 318,938 22,200 291,375 4,400 57,750
Red Brick Systems, Inc. + 11,200 156,800 10,400 145,600 2,000 28,000
Renaissance Solutions, Inc. + 19,100 482,275 17,300 436,825 3,400 85,850
SGS-Thomson Microelectronics
ADR (France) + 31,300 2,069,713 42,441 2,806,411 11,257 744,369
Splash Technology Holdings, Inc. + 34,400 860,000 29,600 740,000 5,450 136,250
SPSS, Inc. + 23,400 582,075 21,700 539,788 4,100 101,988
Summit Design, Inc. + 26,500 212,000 23,300 186,400 4,600 36,800
Sykes Enterprises, Inc. + 14,300 466,538 12,600 411,075 2,500 81,563
Technology Solutions Co. + 45,050 1,244,506 41,950 1,158,869 7,950 219,619
VideoServer, Inc. + 30,700 725,288 27,400 647,325 5,300 125,213
------------ ------------ ------------
33,434,311 34,544,596 7,078,617
Conglomerates 1.5% 1.3% 0.7%
- -------------------------------------------------------------------------------------------------------------------------------
Axia, Inc. 144A + 225 11,250 -- -- -- --
Hutchison Whampoa, Ltd. (Hong Kong) + 142,000 1,067,483 191,000 1,435,840 44,000 330,769
Ogden Corp. 234,500 4,953,813 253,100 5,346,738 50,400 1,064,700
Preussag AG (Germany) 4,300 1,153,893 6,300 1,690,588 1,600 429,356
Securicor PLC (United Kingdom) 150,245 721,957 154,609 742,927 41,503 199,430
Tomkins PLC (United Kingdom) 189,358 846,241 251,903 1,125,755 66,619 297,720
United Technologies Corp. 45,300 3,408,825 48,200 3,627,050 9,400 707,350
------------ ------------ ------------
12,163,462 13,968,898 3,029,325
Consumer Durable Goods 0.8% 0.7% 0.4%
- -------------------------------------------------------------------------------------------------------------------------------
Blyth Industries, Inc. + 24,550 $886,869 22,900 $827,263 4,400 $158,950
Electrolux AB (Sweden) 16,430 1,041,301 25,470 1,614,239 6,000 380,268
Whirlpool Corp. 97,500 4,643,438 105,200 5,010,150 20,900 995,363
------------ ------------ ------------
6,571,608 7,451,652 1,534,581
Consumer Non Durables 3.1% 2.6% 1.4%
- -------------------------------------------------------------------------------------------------------------------------------
Avon Products, Inc. 36,900 1,937,250 39,800 2,089,500 7,900 414,750
B A T Industries PLC (United Kingdom) 190,008 1,615,714 237,054 2,015,765 66,028 561,462
Clorox Co. 16,900 1,894,913 18,000 2,018,250 3,500 392,438
Dimon Inc. 222,600 5,119,800 240,300 5,526,900 47,800 1,099,400
French Fragrances Inc. + 40,300 312,325 37,500 290,625 7,100 55,025
Gillette Co. 59,000 4,284,875 62,800 4,560,850 12,300 893,288
KAO Corp. (Japan) 82,000 895,487 111,000 1,212,183 29,000 316,696
Liz Claiborne, Inc. 41,500 1,810,438 44,200 1,928,225 8,600 375,175
Nike, Inc. 42,000 2,604,000 45,100 2,796,200 8,800 545,600
Onward Kashiyama Co., Ltd. (Japan) 35,000 404,870 47,000 543,683 14,000 161,948
St. John Knits, Inc. 52,910 2,288,358 49,090 2,123,143 9,440 408,280
Svenska Cellulosa AB Class B (Sweden) 51,150 1,144,756 73,100 1,636,005 16,668 373,036
Unilever N.V. (Netherlands) 6,000 1,170,358 8,180 1,595,588 2,240 436,934
------------ ------------ ------------
25,483,144 28,336,917 6,034,032
Consumer Products 1.0% 0.8% 0.4%
- -------------------------------------------------------------------------------------------------------------------------------
General Cigar Holdings, Inc. + 17,900 398,275 15,400 342,650 3,100 68,975
Philip Morris Cos., Inc. 25,800 2,944,425 27,900 3,184,088 5,400 616,275
RJR Nabisco Holdings Corp. 137,000 4,418,250 147,900 4,769,775 29,400 948,150
------------ ------------ ------------
7,760,950 8,296,513 1,633,400
Consumer Related 0.7% 0.6% 0.3%
- -------------------------------------------------------------------------------------------------------------------------------
Lowe's Cos., Inc. 150,189 5,613,314 162,117 6,059,123 32,281 1,206,502
Consumer Services 2.0% 1.5% 0.8%
- -------------------------------------------------------------------------------------------------------------------------------
AmeriKing, Inc. + 50 2,500 100 5,000 -- --
Fine Host Corp. + 33,900 796,650 30,200 709,700 5,900 138,650
Gannett Co., Inc. 48,700 4,182,113 51,900 4,456,913 10,100 867,338
HFS, Inc. + 20,800 1,224,600 22,000 1,295,250 4,300 253,163
Learning Tree International, Inc. + 7,500 210,000 6,950 194,600 1,350 37,800
Marriott International, Inc. 42,700 2,124,325 45,500 2,263,625 8,800 437,800
Morton's Restaurant Group, Inc. + 16,800 283,500 15,700 264,938 3,000 50,625
On Assignment, Inc. + 24,200 611,050 21,100 532,775 4,200 106,050
Payment Svcs., Inc. + 45,600 501,600 40,700 447,700 7,950 87,450
Penn National Gaming Inc. + 36,600 603,900 34,200 564,300 6,600 108,900
PJ America Inc. + 14,800 212,750 12,600 181,125 2,700 38,813
Prime Hospitality Corp. + 63,800 996,875 59,400 928,125 11,300 176,563
Rainforest Cafe, Inc. + 20,000 395,000 17,700 349,575 3,400 67,150
Service Corp. International 37,800 1,124,550 40,300 1,198,925 8,000 238,000
SFX Broadcasting, Inc. Class A + 12,430 351,148 11,560 326,570 2,235 63,139
Stewart Enterprises, Inc. Class A 33,340 1,216,910 30,965 1,130,223 5,905 215,533
Strayer Education, Inc. + 22,400 439,600 21,600 423,900 3,800 74,575
Team Rental Group, Inc. + 54,000 1,134,000 46,000 966,000 9,100 191,100
------------ ------------ ------------
16,411,071 16,239,244 3,152,649
Electronics and
Electrical Equipment 6.0% 4.8% 2.7%
- -------------------------------------------------------------------------------------------------------------------------------
Act Manufacturing, Inc. + 32,400 672,300 28,600 593,450 5,600 116,200
Actel Corp. + 40,000 870,000 35,100 763,425 7,200 156,600
Advanced Lighting Technologies, Inc. + 48,700 1,071,400 45,300 996,600 8,600 189,200
ANADIGICS, Inc. + 13,600 367,200 12,700 342,900 2,250 60,750
Applied Materials, Inc. + 42,300 1,961,663 45,000 2,086,875 8,800 408,100
BBC Brown Boveri & Cie AG (Switzerland) 680 812,151 930 1,110,735 265 316,500
Benchmarq Microelectronics, Inc. + 9,600 120,000 8,600 107,500 1,600 20,000
C.P. Clare Corp. + 36,950 387,975 34,225 359,363 6,450 67,725
CFM Technologies, Inc. + 14,000 414,750 12,500 370,313 2,400 71,100
Chicago Miniature Lamp, Inc. + 27,000 529,875 24,000 471,000 4,700 92,238
Computer Products, Inc. + 59,400 868,725 52,600 769,275 10,300 150,638
Credence Systems Corp. + 42,675 832,163 37,684 734,838 7,628 148,746
Delaware Global Technologies Corp. + 44,898 376,021 41,808 350,142 7,976 66,799
Elexsys International, Inc. + 45,000 545,625 40,100 486,213 8,000 97,000
Flextronics International Ltd. + 21,500 427,313 19,900 395,513 3,900 77,513
General Electric Co. 55,300 5,488,525 58,900 5,845,825 11,400 1,131,450
General Electric Co. PLC
(United Kingdom) 202,600 1,241,006 271,000 1,659,983 74,014 453,365
Helix Technology Corp. 9,500 311,125 7,500 245,625 1,600 52,400
Hirose Electric Co. Ltd. (Japan) 15,300 840,374 21,400 1,175,425 6,100 335,051
Honeywell, Inc. 59,000 4,004,625 62,800 4,262,550 12,300 834,863
Integrated Circuit Systems, Inc. + 33,200 473,100 29,700 423,225 5,700 81,225
Intel Corp. 32,400 4,507,650 33,500 4,660,688 6,900 959,963
Jabil Circuit, Inc. + 15,400 693,963 13,800 621,863 2,700 121,669
JPM Co. + 24,800 415,400 22,200 371,850 4,300 72,025
Level One Communications, Inc. + 10,800 297,000 9,600 264,000 1,900 52,250
Micrel, Inc. + 14,300 414,700 12,800 371,200 2,700 78,300
Micro Linear Corp. + 25,500 315,563 22,300 275,963 4,700 58,163
Molins PLC (United Kingdom) -- -- 51,400 636,435 14,000 173,348
Motorola, Inc. 27,500 1,660,313 29,400 1,775,025 5,700 344,138
Murata Manufacturing Co. Ltd. (Japan) 15,000 538,748 20,000 718,331 5,000 179,583
Nippondenso Co., Ltd. (Japan) 47,000 923,880 64,000 1,258,049 17,000 334,169
Omron Corp. (Japan) 51,000 907,621 69,000 1,227,957 18,000 320,337
Philips Electronics N.V. (Netherlands) 34,800 1,621,060 44,360 2,066,386 11,070 515,665
Photronics, Inc. + 7,100 208,563 6,300 185,063 1,200 35,250
Sanmina Corp. + 27,060 1,210,935 23,980 1,073,105 4,830 216,143
SDL, Inc. + 34,200 585,675 29,700 508,613 6,100 104,463
Sharp Corp. (Japan) 49,000 582,673 66,000 784,825 18,000 214,043
Sierra Semiconductor Corp. + 47,000 757,875 40,000 645,000 8,000 129,000
Sony Corp. (Japan) 17,000 1,189,533 23,000 1,609,368 6,000 419,835
TDK Corp. (Japan) 19,000 1,306,424 28,000 1,925,256 7,000 481,314
Tyco International Ltd. 36,100 1,985,500 38,900 2,139,500 7,600 418,000
Ultrak, Inc. + 30,300 545,400 27,100 487,800 5,300 95,400
Ultratech Stepper, Inc. + 33,900 750,038 30,050 664,856 6,000 132,750
Veeco Instruments, Inc. + 5,800 170,375 5,100 149,813 900 26,438
Vishay Intertechnology, Inc. + 200,000 4,425,000 215,000 4,756,875 42,500 940,313
------------ ------------ ------------
48,629,805 52,728,596 11,350,022
Energy-Related 0.3% 0.3% 0.2%
- -------------------------------------------------------------------------------------------------------------------------------
Baker Hughes Inc. 28,400 1,089,850 30,200 1,158,925 5,800 222,575
IHC Caland N.V. (Netherlands) 21,500 1,146,880 29,310 1,563,491 7,600 405,409
------------ ------------ ------------
2,236,730 2,722,416 627,984
Entertainment 0.6% 0.5% 0.2%
- -------------------------------------------------------------------------------------------------------------------------------
Disney (Walt) Productions, Inc. 38,100 2,781,300 40,600 2,963,800 7,900 576,700
Family Golf Centers, Inc. + 9,000 176,063 8,400 164,325 1,500 29,344
Penske Motorsports, Inc. + 19,400 543,200 18,100 506,800 3,400 95,200
Regal Cinemas, Inc. + 11,725 316,575 10,925 294,975 2,050 55,350
Signature Resorts, Inc. + 42,900 1,008,150 37,700 885,950 7,700 180,950
Studio Plus Hotels, Inc. + 18,750 323,438 18,425 317,831 2,875 49,594
------------ ------------ ------------
5,148,726 5,133,681 987,138
Environmental Control 0.2% 0.1% 0.1%
- -------------------------------------------------------------------------------------------------------------------------------
Cuno Inc. + 24,200 372,075 22,200 341,325 4,300 66,113
Memtec Ltd. ADR (Australia) 14,600 370,475 13,500 342,563 2,600 65,975
Superior Services, Inc. + 30,300 674,175 30,300 674,175 5,900 131,275
------------ ------------ ------------
1,416,725 1,358,063 263,363
Food and Beverages 3.1% 2.7% 1.4%
- -------------------------------------------------------------------------------------------------------------------------------
Archer Daniels Midland Co. 259,495 4,638,473 280,045 5,005,804 55,775 996,978
Campbell Soup Co. 54,300 2,518,163 57,800 2,680,475 11,300 524,038
Coca-Cola Co. 69,900 3,905,663 74,400 4,157,100 14,400 804,600
Danisco A/S (Denmark) 8,800 539,173 13,100 802,633 3,250 199,127
Dole Food Co. 119,900 4,526,225 129,400 4,884,850 25,730 971,308
Goodman Fielder Ltd. ADR (Australia) 445,100 576,810 612,000 793,097 159,500 206,698
Grand Union Co. +++ 4,153 14,795 9,986 35,575 3,270 11,649
Greencore Group PLC (Ireland) + 248,744 1,389,979 340,262 1,901,381 89,025 497,471
Nestle S.A. (Switzerland) 1,320 1,535,520 1,780 2,070,625 483 561,861
Panamerican Beverages, Inc. Class A 34,000 911,625 50,800 1,362,075 6,800 182,325
Sara Lee Corp. 4,700 190,350 5,100 206,550 1,000 40,500
Whitman Corp. 191,000 4,679,500 206,200 5,051,900 41,000 1,004,500
------------ ------------ ------------
25,426,276 28,952,065 6,001,055
Funeral/Cemetery Services 0.1% 0.1% --%
- -------------------------------------------------------------------------------------------------------------------------------
Carriage Services, Inc. + 8,600 164,475 10,300 196,988 1,500 28,688
Equity Corporation International + 40,450 849,450 36,950 775,950 7,000 147,000
------------ ------------ ------------
1,013,925 972,938 175,688
Health Care 2.5% 2.0% 1.0%
- -------------------------------------------------------------------------------------------------------------------------------
Abbott Laboratories 71,100 3,990,488 75,700 4,248,663 14,800 830,650
American HomePatient, Inc. + 45,025 1,001,806 41,275 918,369 8,387 186,611
Cardinal Health, Inc. 39,200 2,131,500 41,800 2,272,875 8,050 437,719
Compdent Corp. + 16,350 457,800 15,200 425,600 2,050 57,400
Healthsouth Rehabilitation Corp. + 91,600 1,751,850 97,000 1,855,125 19,200 367,200
I-Stat Corp. + 1,000 13,250 900 11,925 275 3,644
IMPATH, Inc. + 17,700 318,600 16,500 297,000 3,100 55,800
Lunar Corp. + 8,750 299,688 8,550 292,838 1,600 54,800
Merck & Co., Inc. 64,700 5,450,975 68,900 5,804,825 13,500 1,137,375
NCS HealthCare, Inc. Class A + 15,600 352,950 14,500 328,063 2,800 63,350
Oxford Health Plans Inc. + 27,200 1,594,600 29,100 1,705,988 5,700 334,163
Pediatrix Medical Group, Inc. + 8,000 263,000 7,500 246,563 1,400 46,025
Renal Care Group, Inc. + 12,600 400,050 12,900 409,575 2,400 76,200
Santen Pharmaceutical (Japan) 19,800 342,760 29,700 514,140 7,700 133,296
U.S. Surgical Corp. 51,800 1,579,900 54,900 1,674,450 10,800 329,400
United Dental Care, Inc. + 8,100 218,700 7,600 205,200 1,400 37,800
------------ ------------ ------------
20,167,917 21,211,199 4,151,433
Hospital Management and
Medical Services 0.1% 0.1% --%
- -------------------------------------------------------------------------------------------------------------------------------
National Surgery Centers, Inc. + 20,250 587,250 18,850 546,650 3,550 102,950
ProMedCo Management Co. + 38,200 343,800 34,100 306,900 6,700 60,300
------------ ------------ ------------
931,050 853,550 163,250
Insurance and Finance 11.4% 9.6% 5.4%
- -------------------------------------------------------------------------------------------------------------------------------
ABN AMRO Holding N.V. (Netherlands) 17,515 1,202,851 23,584 1,619,642 6,173 423,934
Aegon N.V. (Netherlands) 20,655 1,452,580 29,342 2,063,500 7,200 506,346
Ahmanson (H.F.) & Co. 109,300 3,989,450 118,000 4,307,000 23,500 857,750
Allied Irish Banks PLC (Ireland) 177,787 1,218,621 235,808 1,616,320 62,531 428,612
American Express Co. 39,600 2,371,050 42,200 2,526,725 8,200 490,975
American International Group, Inc. 25,700 3,016,538 28,000 3,286,500 5,400 633,825
AmeriTrade Holding Corp. Class A + 14,000 218,750 12,600 196,875 2,500 39,063
Baer Holdings AG (Switzerland) 485 582,603 650 780,808 180 216,224
Banco de Bilbao Vizcaya (Spain) 12,362 747,838 17,787 1,076,023 5,602 338,893
Banco Frances del Rio de la Plata S.A.
ADR (Argentina) 793 23,790 -- -- -- --
Banco Frances del Rio de la Plata S.A.
(Argentina) 34,723 346,605 39,122 390,518 9,983 99,650
Bank of Boston Corp. 35,400 2,371,800 36,600 2,452,200 7,500 502,500
Bank of Ireland (Ireland) + 116,945 1,166,282 157,370 1,569,433 43,298 431,811
BankAmerica Corp. 36,200 3,647,150 38,600 3,888,950 7,500 755,625
Bankers Trust New York Corp. 59,300 4,862,600 64,000 5,248,000 12,700 1,041,400
Barnett Banks, Inc. 66,100 3,073,650 70,400 3,273,600 13,800 641,700
Beneficial Corp. 69,800 4,510,825 75,400 4,872,725 15,000 969,375
Cetelem Group (France) + 5,700 673,618 7,600 898,157 2,100 248,175
Chase Manhattan Corp. (New) 22,000 2,059,750 23,400 2,190,825 4,600 430,675
Citicorp 44,400 4,806,300 43,000 4,654,750 9,400 1,017,550
Commonwealth Bank of Australia
(Australia) 58,200 582,806 70,500 705,976 28,300 283,392
Commonwealth Bank of Australia
(Installment Shares) (Australia) 28,500 188,472 34,500 228,151 7,000 46,291
Concord EFS, Inc. + 42,005 787,594 39,109 733,294 7,237 135,694
CRA Managed Care, Inc. + 15,175 569,063 14,100 528,750 2,680 100,500
Credit Locale de France S.A. (France) 15,700 1,688,501 20,266 2,179,565 4,580 492,569
Dao Heng Bank Group Ltd. (Hong Kong) 109,000 497,974 146,000 667,011 39,000 178,174
Delta Financial Corp. + 13,000 235,625 12,100 219,313 2,350 42,594
Development Bank of Singapore Ltd.
(Singapore) 40,000 465,374 54,000 628,255 14,000 162,881
Dresdner Bank AG (Germany) 7,940 281,169 10,580 374,656 2,780 98,445
Federal National Mortgage Association 49,400 1,784,575 54,400 1,965,200 10,700 386,538
Fleet Financial Group, Inc. 86,900 4,975,025 93,800 5,370,050 18,700 1,070,575
Franklin Resources, Inc. 33,000 1,683,000 35,550 1,813,050 7,050 359,550
Guoco Group Ltd. (Hong Kong) 151,800 750,321 185,600 917,389 46,400 229,347
HCC Insurance Holdings, Inc. 55,612 1,362,494 47,062 1,153,019 8,867 217,242
Household International, Inc. 17,400 1,498,575 19,100 1,644,988 3,700 318,663
HSBC Holdings PLC (Hong Kong) 74,871 1,739,254 115,229 2,676,770 26,657 619,242
Internationale Nederlanden Groep
(Netherlands) 35,775 1,407,460 50,992 2,006,127 13,955 549,018
Jardine Matheson Holdings Ltd.
(Singapore) + 46,800 271,440 64,200 372,360 22,000 127,600
Malayan Banking BHD (Malaysia) 59,000 672,402 74,000 843,352 20,000 227,933
Malaysian Assurance Alliance (Malaysia) -- -- -- -- 20,000 115,378
Mapfre Vida Seguros (Spain) 9,390 599,164 6,780 432,623 -- --
MBNA Corp. 90,600 2,525,475 87,675 2,443,941 19,275 537,291
Metris Companies Inc. + 16,200 405,000 14,500 362,500 2,800 70,000
MGIC Investment Corp. 13,500 955,125 14,800 1,047,100 2,800 198,100
Reinsurance Group America, Inc. 23,200 1,125,200 19,610 951,085 4,280 207,580
Salomon, Inc. 97,500 4,862,813 105,200 5,246,850 20,900 1,042,388
Skandia Forsakrings AB (Sweden) 42,000 1,317,075 56,800 1,781,187 14,781 463,516
Summit Bancorp 96,200 4,208,750 103,800 4,541,250 20,700 905,625
Swiss Reinsurance Co. (Switzerland) 1,240 1,309,769 1,658 1,751,288 474 500,670
Travelers Group, Inc. 63,533 3,041,642 67,733 3,242,717 13,533 647,892
United Bank Switzerland (Switzerland) 1,304 1,164,913 1,756 1,568,701 463 413,615
United Overseas Bank Ltd. (Singapore) 59,000 604,709 79,000 809,695 21,000 215,235
USF&G Corp. 251,600 5,409,400 271,500 5,837,250 54,000 1,161,000
Westpac Banking Corp. (Australia) + 249,700 1,451,246 323,200 1,878,425 79,500 462,051
------------ ------------ ------------
92,764,056 103,834,439 22,660,672
Medical Supplies and Devices 0.2% 0.1% 0.1%
- -------------------------------------------------------------------------------------------------------------------------------
Cytyc Corp. + 42,800 802,500 37,900 710,625 7,500 140,625
Igen, Inc. + 22,700 119,175 21,200 111,300 4,000 21,000
Minimed, Inc. + 18,900 486,675 16,200 417,150 3,600 92,700
Sabratek Corp. + 16,500 330,000 15,400 308,000 2,900 58,000
------------ ------------ ------------
1,738,350 1,547,075 312,325
Metals and Mining 0.8% 0.7% 0.4%
- -------------------------------------------------------------------------------------------------------------------------------
Freeport-McMoRan Copper &
Gold Co., Inc. Class B 140,965 4,281,812 152,129 4,620,918 30,241 918,570
Miller Industries, Inc./Tennessee + 73,700 884,400 65,850 790,200 12,850 154,200
RTZ Corp. PLC (United Kingdom) 78,500 1,240,410 105,700 1,670,208 27,030 427,112
------------ ------------ ------------
6,406,622 7,081,326 1,499,882
Oil and Gas 3.8% 3.3% 1.8%
- -------------------------------------------------------------------------------------------------------------------------------
Amoco Corp. 58,000 5,024,250 62,600 5,422,725 12,400 1,074,150
British Petroleum Co. PLC
(United Kingdom) 93,088 1,078,573 125,281 1,451,581 33,116 383,702
British Petroleum Co. PLC ADR
(United Kingdom) 22,500 3,088,125 24,000 3,294,000 4,600 631,350
Burmah Oil PLC (United Kingdom) 69,616 1,161,682 89,733 1,497,375 21,929 365,929
Cosmo Oil Co. Ltd. (Japan) 12,000 48,439 31,000 125,134 8,000 32,293
Ente Nazionale Idrocarburi SPA
(ENI) (Italy) 207,900 1,053,806 291,200 1,476,038 73,300 371,544
Halliburton Co. 32,700 2,215,425 35,300 2,391,575 7,000 474,250
Mobil Corp. 20,400 2,664,750 21,900 2,860,688 4,200 548,625
Occidental Petroleum Corp. 191,000 4,703,375 206,200 5,077,675 41,000 1,009,625
Schlumberger Ltd. 23,800 2,552,550 25,200 2,702,700 5,000 536,250
Shell Transportation & Trading
(United Kingdom) 71,300 1,269,297 90,400 1,609,319 26,160 465,706
Societe Nationale Elf Aquitaine (France) 16,948 1,732,636 23,259 2,377,825 5,972 610,532
Sonat, Inc. 52,300 2,850,350 55,700 3,035,650 10,900 594,050
Total Corp. ADR Class B (France) 18,400 1,587,342 24,650 2,126,521 6,701 578,086
------------ ------------ ------------
31,030,600 35,448,806 7,676,092
Paper and Forest Products 0.6% 0.5% 0.3%
- -------------------------------------------------------------------------------------------------------------------------------
Mayr-Melnhof Karton AG (Austria) 5,528 292,921 8,100 429,207 2,000 105,977
Unisource Worldwide, Inc. + 306,300 4,709,363 330,600 5,082,975 64,700 994,763
------------ ------------ ------------
5,002,284 5,512,182 1,100,740
Pharmaceuticals 3.5% 3.0% 1.7%
- -------------------------------------------------------------------------------------------------------------------------------
Amrion, Inc. + 21,000 343,875 19,500 319,313 4,100 67,138
Astra AB (Sweden) 30,000 1,443,831 41,490 1,996,818 11,022 530,464
Bristol-Myers Squibb Co. 34,000 2,006,000 36,900 2,177,100 7,100 418,900
Ciba Specialty Chemicals + 7,188 590,523 9,616 789,992 2,546 209,164
Dura Pharmaceuticals, Inc. + 41,400 1,480,050 38,500 1,376,375 7,300 260,975
Johnson & Johnson 49,700 2,627,888 52,900 2,797,088 10,200 539,325
Lilly (Eli) & Co. 28,200 2,319,450 30,000 2,467,500 5,900 485,275
Medicis Pharmaceutical Corp. Class A + 46,950 1,396,763 41,250 1,227,188 8,250 245,438
Novartis AG (Switzerland) + 1,518 1,871,693 2,006 2,473,397 536 660,888
Pfizer, Inc. 35,600 2,994,850 37,900 3,188,338 7,400 622,525
Pharmacia & Upjohn, Inc. 133,000 4,871,125 143,600 5,259,350 28,600 1,047,475
Pharmacia & Upjohn, Inc.
Depository Shares (Sweden) + 36,200 1,386,131 45,700 1,749,894 13,214 505,976
SangStat Medical Corp. + 28,900 783,913 25,600 694,400 5,100 138,338
Sankyo Co., Ltd. (Japan) 42,000 1,158,551 57,000 1,572,319 15,000 413,768
Warner-Lambert Co. 36,100 3,122,650 38,800 3,356,200 7,600 657,400
Yamanouchi Pharmaceutical Co., Ltd.
(Japan) 23,000 476,299 33,000 683,385 8,000 165,669
------------ ------------ ------------
28,873,592 32,128,657 6,968,718
Photography 0.7% 0.6% 0.3%
- -------------------------------------------------------------------------------------------------------------------------------
Canon, Inc. (Japan) 71,000 1,522,004 92,000 1,972,174 23,000 493,043
Polaroid Corp. 101,400 4,030,650 109,500 4,352,625 21,800 866,550
------------ ------------ ------------
5,552,654 6,324,799 1,359,593
Publishing 0.6% 0.5% 0.3%
- -------------------------------------------------------------------------------------------------------------------------------
Harcourt General, Inc. 11,000 511,500 12,000 558,000 2,300 106,950
Times Mirror Co. Class A 85,100 4,648,588 91,100 4,976,338 18,000 983,250
------------ ------------ ------------
5,160,088 5,534,338 1,090,200
Real Estate 2.3% 1.9% 1.0%
- -------------------------------------------------------------------------------------------------------------------------------
Amoy Properties Ltd. (Hong Kong) 410,000 433,885 648,000 685,750 156,000 165,088
Beacon Properties Corp.(R) 136,157 4,510,201 146,886 4,865,599 29,268 969,503
Castle & Cooke, Inc. + 26,633 396,166 26,766 398,144 5,866 87,257
Cheung Kong Holdings Ltd. (Hong Kong) 133,000 1,171,470 185,000 1,629,488 48,000 422,786
Equity Residential Properties Trust (R) 122,500 5,435,938 132,200 5,866,375 26,300 1,167,063
Hong Kong Land Holdings Ltd.
(Hong Kong) 264,000 612,480 329,000 763,280 95,000 220,400
Meditrust Corp. (R) 126,400 4,708,400 136,500 5,084,625 27,200 1,013,200
Nationwide Health Properties, Inc. (R) 55,600 1,188,450 64,600 1,380,825 9,600 205,200
------------ ------------ ------------
18,456,990 20,674,086 4,250,497
Retail 5.7% 4.5% 2.4%
- -------------------------------------------------------------------------------------------------------------------------------
99 Cents Only Stores + 6,900 138,863 7,900 158,988 1,500 30,188
Cost Plus, Inc. + 25,100 389,050 23,100 358,050 4,200 65,100
CVS Corp. 52,200 2,407,725 55,600 2,564,550 10,800 498,150
Cycle & Carriage Ltd. (Singapore) 52,000 525,762 70,000 707,756 18,000 181,994
Dayton Hudson Corp. 179,600 7,498,300 193,200 8,066,100 38,150 1,592,763
Finish Line, Inc. + 44,200 983,450 39,400 876,650 7,700 171,325
Gadzooks, Inc. + 18,100 570,150 16,900 532,350 3,200 100,800
Ito-Yokado Co., Ltd. (Japan) 19,000 845,333 26,000 1,156,771 7,000 311,438
K mart Corp. 411,000 4,983,375 443,600 5,378,650 88,300 1,070,638
Loehmanns' Holdings, Inc. + 32,900 575,750 31,600 553,000 5,900 103,250
Marks Brothers Jewelers, Inc. + 35,800 420,650 30,300 356,025 6,500 76,375
Marui Co., Ltd. (Japan) 50,000 723,993 66,000 955,671 18,000 260,638
Mazel Stores Inc. + 12,400 254,200 11,600 237,800 2,200 45,100
Nautica Enterprises, Inc. + 34,550 868,069 30,526 766,966 6,262 157,333
Officemax, Inc. + 433,300 5,632,900 467,700 6,080,100 93,100 1,210,300
Petco Animal Supplies, Inc. + 9,700 227,950 9,000 211,500 1,700 39,950
Revco D.S., Inc. + 30,800 1,247,400 32,700 1,324,350 6,400 259,200
Rexall Sundown, Inc. + 56,500 1,447,813 52,700 1,350,438 10,100 258,813
Safeway, Inc. + 57,800 2,680,475 61,500 2,852,063 12,000 556,500
Sears, Roebuck & Co. 86,700 4,356,675 91,900 4,617,975 18,000 904,500
Stride Rite Corp. 10,700 160,500 9,400 141,000 1,900 28,500
The Men's Wearhouse, Inc. + 49,200 1,353,000 42,400 1,166,000 8,800 242,000
The North Face, Inc. + 53,300 886,113 47,200 784,700 9,300 154,613
TJX Cos., Inc. (The) 44,500 1,902,375 47,700 2,039,175 9,400 401,850
Vendex International N.V. (Netherlands) 17,700 836,755 23,900 1,129,855 6,280 296,882
Walgreen Co. 45,700 1,913,688 48,700 2,039,313 9,400 393,625
West Marine, Inc. + 22,100 729,300 20,600 679,800 3,900 128,700
Wolverine World Wide, Inc. 54,080 1,973,920 49,358 1,801,567 9,568 349,232
------------ ------------ ------------
46,533,534 48,887,163 9,889,757
Telecommunications 1.7% 1.6% 1.0%
- -------------------------------------------------------------------------------------------------------------------------------
Ascend Communications, Inc. + 26,000 1,059,500 28,000 1,141,000 5,400 220,050
Black Box Corp. + 40,200 1,080,375 35,850 963,469 7,000 188,125
Brightpoint, Inc. + 30,000 487,500 25,875 420,469 5,425 88,156
Cincinnati Bell, Inc. 17,800 1,005,700 19,500 1,101,750 3,800 214,700
Deutsche Telekom AG (Germany) + 44,839 1,024,662 62,019 1,417,260 15,800 361,062
Deutsche Telekom AG ADR (Germany) + 16,400 358,750 19,900 435,313 5,800 126,875
Electromagnetic Sciences, Inc. + 18,000 335,250 16,300 303,588 3,300 61,463
Intermedia Communications, Inc. + 17,400 289,275 15,700 261,013 3,100 51,538
MIDCOM Communications, Inc. + 47,000 376,000 43,700 349,600 8,300 66,400
Natural Microsystems Corp. + 22,800 453,150 20,500 407,438 4,100 81,488
NEC Corp. (Japan) 93,000 1,053,228 133,000 1,506,230 31,000 351,076
Northern Telecom Ltd. (Canada) 11,400 743,639 15,300 998,042 4,100 267,449
Oy Nokia AB Class A 13,450 805,413 18,150 1,086,859 4,800 287,434
Portugal Telecom S.A. (Portugal)+ 39,900 1,478,435 56,800 2,104,640 13,900 515,044
Royal PTT (United Kingdom) 20,700 765,891 30,900 1,143,287 7,500 277,497
Telefonaktiebolaget LM Ericsson Class B
(Sweden) 9,080 318,908 10,830 380,371 2,850 100,098
Tellabs, Inc. + 21,200 765,850 23,100 834,488 4,400 158,950
Vodafone Group PLC (United Kingdom) 388,834 1,775,960 524,194 2,394,204 141,654 646,990
------------ ------------ ------------
14,177,486 17,249,021 4,064,395
Transportation 1.1% 1.0% 0.5%
- -------------------------------------------------------------------------------------------------------------------------------
Delta Air Lines, Inc. 59,300 4,988,613 64,000 5,384,000 12,700 1,068,388
East Japan Railway Co. (Japan) 207 845,616 320 1,307,232 70 285,957
Expeditors International of
Washington, Inc. 54,220 1,301,280 47,120 1,130,880 9,540 228,960
K.L.M.-Royal Dutch Airlines (Netherlands) 19,600 584,327 29,800 888,416 6,800 202,726
Singapore Airlines Ltd. (Singapore) 15,000 120,499 25,000 200,831 8,000 64,266
Swire Pacific Ltd. Class A, (Hong Kong) 96,000 755,749 140,800 1,108,432 29,800 234,597
Yamato Transport Co. Ltd. (Japan) 30,000 296,069 42,000 414,496 11,000 108,559
------------ ------------ ------------
8,892,153 10,434,287 2,193,453
Utilities 3.0% 2.6% 1.4%
- -------------------------------------------------------------------------------------------------------------------------------
Chubu Electric Power, Inc. (Japan) 12,000 195,114 16,000 260,152 4,000 65,038
Duke Power Co. 26,600 1,173,725 29,000 1,279,625 5,600 247,100
Hong Kong Electric Holdings Ltd.
(Hong Kong) 65,000 229,429 76,000 268,255 23,000 81,182
Kurita Water Industries Ltd. (Japan) 37,000 718,331 55,000 1,067,789 11,000 213,558
Kyushu Electric Power Inc. (Japan) 21,000 366,931 28,000 489,241 8,000 139,783
Long Island Lighting Co. 212,100 5,090,400 228,900 5,493,600 45,500 1,092,000
Nippon Telegraph and Telephone Corp.
(Japan) 145 1,021,639 196 1,380,975 41 288,877
North West Water Group PLC
(United Kingdom) 36,485 375,766 47,912 493,455 12,901 132,870
Scottish Power PLC (United Kingdom) 209,874 1,216,724 283,240 1,642,056 73,749 427,552
Sprint Corp. 168,500 7,666,750 180,900 8,230,950 35,600 1,619,800
US West Communications, Inc. 138,300 4,702,200 149,300 5,076,200 29,700 1,009,800
Veba (Vereinigte Elektrizitaets
Bergwerks) AG (Germany) + 30,300 1,707,539 40,800 2,299,260 10,949 617,024
------------ ------------ ------------
24,464,548 27,981,558 5,934,584
Total Common Stocks
(cost $544,464,920, $598,616,504
and $132,913,462) $597,645,133 $658,498,791 $139,603,979
- -------------------------------------------------------------------------------------------------------------------------------
GROWTH BALANCED CONSERVATIVE
5.6% 11.0% 16.2%
CORPORATE BONDS Principal Principal Principal
AND NOTES* Amount Value Amount Value Amount Value
Advertising 0.1% 0.1% --%
- -------------------------------------------------------------------------------------------------------------------------------
Adams Outdoor Advertising, Ltd.
sr. notes 10 3/4s, 2006 200,000 $211,000 $530,000 $559,150 $25,000 $26,375
Lamar Advertising Co. sr. sub. notes
9 5/8s, 2006 75,000 74,625 195,000 194,025 -- --
Outdoor Systems, Inc. sr. sub. notes
9 3/8s, 2006 10,000 10,200 35,000 35,700 10,000 10,200
Universal Outdoor, Inc. sr. sub. notes
9 3/4s, 2006 198,000 196,020 522,000 516,780 65,000 64,350
------------ ------------ ------------
491,845 1,305,655 100,925
Aerospace and Defense 0.1% 0.3% 0.5%
- -------------------------------------------------------------------------------------------------------------------------------
Alliant Techsystems, Inc.
sr. sub. notes 11 3/4s, 2003 150,000 160,500 415,000 444,050 200,000 214,000
BE Aerospace sr. notes 9 3/4s, 2003 115,000 117,875 450,000 461,250 150,000 153,750
Howmet Corp. sr. sub. notes 10s, 2003 200,000 213,000 520,000 553,800 185,000 197,025
Lockheed Martin Corp.
company guaranty 7 1/4s, 2006 320,000 315,133 810,000 797,680 1,190,000 1,171,900
Moog, Inc. sr. sub. notes Ser. B, 10s, 2006 20,000 20,750 60,000 62,250 20,000 20,750
Sequa Corp. bonds 8 3/4s, 2001 30,000 29,550 -- -- -- --
Sequa Corp. sr. notes 9 5/8s, 1999 100,000 100,000 250,000 250,000 100,000 100,000
Sequa Corp. sr. sub. notes 9 3/8s, 2003 -- -- 500,000 495,000 -- --
Tracor, Inc. 144A
sr. sub. notes 8 1/2s, 2007 60,000 57,600 170,000 163,200 50,000 48,000
------------ ------------ ------------
1,014,408 3,227,230 1,905,425
Agriculture --% 0.1% --%
- -------------------------------------------------------------------------------------------------------------------------------
AGCO Corp. sr. sub. notes 8 1/2s, 2006 100,000 99,500 500,000 497,500 100,000 99,500
Premium Standard Farms, Inc.
sr. sec. notes 11s, 2003 ++++ 136,382 143,201 279,955 293,954 46,084 48,388
------------ ------------ ------------
242,701 791,454 147,888
Apparel --% --% --%
- -------------------------------------------------------------------------------------------------------------------------------
GFSI, Inc. 144A sr. sub. notes 9 5/8s, 2007 25,000 24,375 75,000 73,125 -- --
Automotive 0.1% 0.2% 0.1%
- -------------------------------------------------------------------------------------------------------------------------------
A.P.S. Inc. company guaranty
11 7/8s, 2006 115,000 115,575 325,000 326,625 100,000 100,500
Aftermarket Technology Corp.
sr. sub. notes 12s, 2004 -- -- 412,000 453,200 38,000 41,800
Aftermarket Technology Corp.
sr. sub. notes Ser. D, 12s, 2004 176,000 193,600 188,000 206,800 82,000 90,200
CSK Auto, Inc. 144A
sr. sub. notes 11s, 2006 50,000 50,500 135,000 136,350 45,000 45,450
Daimler-Benz AG med. term notes,
company guaranty 7 3/8s, 2006
(Germany) -- -- 15,000 14,877 -- --
DRA, Inc. 144A notes 11 1/2s, 2004 ++++ 65,000 65,650 170,000 171,700 60,000 60,600
Harvard Industries Inc.
sr. notes 11 1/8s, 2005 95,000 48,925 240,000 123,600 80,000 41,200
Key Plastics Corp. 144A
sr. sub. notes 10 1/4s, 2007 65,000 64,513 170,000 168,725 60,000 59,550
Lear Corp. sub. notes 9 1/2s, 2006 135,000 140,400 275,000 286,000 160,000 166,400
Safelite Glass Corp. 144A
sr. sub. notes 9 7/8s, 2006 15,000 15,000 40,000 40,000 15,000 15,000
------------ ------------ ------------
694,163 1,927,877 620,700
Basic Industrial Products 0.1% 0.2% 0.2%
- -------------------------------------------------------------------------------------------------------------------------------
Astor Corp. 144A sr. sub. notes
10 1/2s, 2006 25,000 26,625 70,000 74,550 20,000 21,300
Clark-Schwebel sr. notes 10 1/2s, 2006 200,000 210,000 750,000 787,500 300,000 315,000
Inter-City Products
sr. notes 9 3/4s, 2000 200,000 205,000 525,000 538,125 200,000 205,000
Owens Illinois, Inc. deb. 11s, 2003 350,000 385,875 250,000 275,625 275,000 303,188
Owens Illinois, Inc.
sr. sub. notes 9 3/4s, 2004 100,000 105,000 -- -- 100,000 105,000
Titan Wheel International Inc.
sr. sub. notes 8 3/4s, 2007 20,000 19,700 50,000 49,250 15,000 14,775
------------ ------------ ------------
952,200 1,725,050 964,263
Biotechnology --% --% 0.1%
- -------------------------------------------------------------------------------------------------------------------------------
Millipore Corp. notes 7.2s, 2002 160,000 159,264 425,000 423,045 595,000 592,263
Broadcasting 0.4% 1.1% 0.8%
- -------------------------------------------------------------------------------------------------------------------------------
American Radio Systems Corp.
company guaranty 9s, 2006 160,000 154,400 425,000 410,125 -- --
American Telecasting, Inc.
sr. disc. notes stepped-coupon
zero % (14 1/2s, 6/15/99), 2004 ++ 325,000 110,500 1,000,000 340,000 265,000 90,100
Argyle Television Corp.
sr. sub. notes 9 3/4s, 2005 400,000 416,000 1,050,000 1,092,000 150,000 156,000
Capstar Broadcasting 144A
sr. disc. notes stepped-coupon
zero % (12 3/4s, 2/1/02), 2009 ++ 190,000 100,700 545,000 288,850 165,000 87,450
Chancellor Radio Broadcasting Corp.
sr. sub. notes 9 3/8s, 2004 -- -- 365,000 357,700 165,000 161,700
Comcast Corp. sr. sub. notes 9 1/2s, 2008 -- -- -- -- 50,000 50,125
Comcast Corp. sr. sub. notes 9 3/8s, 2005 -- -- 750,000 750,000 -- --
Comcast UK Cable, Ltd.
deb. stepped-coupon zero %
(11.2s, 11/15/00), 2007 (Bermuda) ++ 300,000 195,000 600,000 390,000 300,000 195,000
Commodore Media, Inc.
sr. sub. notes stepped-coupon
7 1/2s, (13 1/4s, 5/1/98), 2003 ++ 400,000 428,000 915,000 979,050 350,000 374,500
Diamond Cable Communication Co.
sr. disc. notes stepped-coupon zero %
(13 1/2s, 9/30/99), 2004
(United Kingdom) ++ -- -- 200,000 157,000 -- --
Diamond Cable Communication Co.
sr. disc. notes stepped-coupon
zero % (11 3/4s, 12/15/00), 2005
(United Kingdom) ++ 150,000 96,000 450,000 288,000 325,000 208,000
Diamond Cable Communication Co.
144A sr. disc. notes stepped-coupon
zero % (10 3/4s, 2/15/02), 2007
(United Kingdom) ++ 425,000 229,500 660,000 356,400 -- --
Granite Broadcasting Corp.
sr. sub. deb. 12 3/4s, 2002 120,000 129,000 320,000 344,000 -- --
Gray Communications Systems, Inc.
sr. sub. notes 10 5/8s, 2006 10,000 10,300 35,000 36,050 10,000 10,300
Jacor Communications, Inc.
company guaranty 9 3/4s, 2006 35,000 35,000 100,000 100,000 45,000 45,000
Jacor Communications, Inc.
sr. sub. notes 10 1/8s, 2006 200,000 203,000 525,000 532,875 200,000 203,000
Lenfest Communications, Inc.
sr. notes 8 3/8s, 2005 -- -- -- -- 125,000 113,750
Lenfest Communications, Inc.
sr. sub. notes 10 1/2s, 2006 200,000 202,000 500,000 505,000 -- --
Marcus Cable Co. (L.P.)
sr. disc. notes stepped-coupon zero %
(14 1/4s, 6/15/00), 2005 ++ -- -- -- -- 175,000 120,750
Marcus Cable Co. (L.P.)
sr. sub. disc. notes stepped-coupon
zero % (13 1/2s, 8/1/99), 2004 ++ 200,000 159,000 1,250,000 993,750 100,000 79,500
Pegasus Media & Communications
notes Ser. B, 12 1/2s, 2005 -- -- 200,000 216,000 250,000 270,000
Petracom Holdings, Inc.
notes stepped-coupon zero %
(17 1/2s, 8/1/98), 2003 ++ 150,000 144,000 414,000 397,440 165,000 158,400
RBS Participacoes S.A. 144A
company guaranty 11s, 2007 (Brazil) 40,000 39,752 105,000 104,349 35,000 34,783
Rogers Cablesystems Ltd.
deb. 10 1/8s, 2012 (Canada) -- -- 400,000 410,000 -- --
Rogers Cablesystems Ltd.
notes 11s, 2015 (Canada) 150,000 156,000 -- -- 50,000 52,000
Sinclair Broadcast Group, Inc.
sr. sub. notes 10s, 2005 200,000 199,000 500,000 497,500 200,000 199,000
Spanish Broadcasting Systems 144A
sr. notes 11s, 2004 65,000 64,675 170,000 169,150 60,000 59,700
Sullivan Broadcasting
sr. sub. notes 10 1/4s, 2005 200,000 196,500 525,000 515,813 300,000 294,750
TCI Communications, Inc.
deb. 7 7/8s, 2026 -- -- 500,000 436,645 -- --
TCI Satellite Entertainment 144A
sr. sub. notes 10 7/8s, 2007 70,000 60,900 195,000 169,650 60,000 52,200
Telewest Communications PLC
deb. stepped-coupon zero %
(11s, 10/1/00), 2007
(United Kingdom) ++ 470,000 305,500 790,000 513,500 420,000 273,000
TV Azteca Sa De CV 144A
sr. notes 10 1/2s, 2007 (Mexico) 30,000 29,230 85,000 82,819 25,000 24,359
Young Broadcasting Inc.
company guaranty Ser. B, 9s, 2006 -- -- 250,000 233,750 150,000 140,250
------------ ------------ ------------
3,663,957 11,667,416 3,453,617
Building and Construction 0.2% 0.4% 0.3%
- -------------------------------------------------------------------------------------------------------------------------------
American Standard Companies, Inc.
deb. 9 1/4s, 2016 -- -- 800,000 820,000 -- --
Atrium Companies Inc. 144A
sr. sub. notes 10 1/2s, 2006 70,000 69,300 175,000 173,250 -- --
Building Materials Corp.
sr. notes Ser. B, 8 5/8s, 2006 25,000 25,000 60,000 60,000 -- --
Cemex S.A. 144A bonds 12 3/4s,
2006 (Mexico) 75,000 84,750 290,000 325,525 70,000 78,575
Continental Homes Holding Corp.
sr. notes 10s, 2006 200,000 207,000 500,000 517,500 200,000 207,000
Presley Cos. sr. notes 12 1/2s, 2001 60,000 58,350 200,000 194,500 -- --
Schuller International Corp.
sr. notes 10 7/8s, 2004 80,000 86,800 315,000 341,775 105,000 113,925
Scotsman Group, Inc.
sr. secd. notes 9 1/2s, 2000 300,000 301,500 745,000 748,725 250,000 251,250
Terex Corp. sr. notes Ser. B,
13 1/4s, 2002 200,000 220,000 525,000 577,500 250,000 275,000
Triangle Pacific Corp.
sr. notes 10 1/2s, 2003 100,000 106,750 300,000 320,250 125,000 133,438
Waxman Industries Inc. sr. notes
stepped-coupon Ser. B, zero %
(12 3/4s, 6/1/99), 2004 ++ 20,000 16,800 60,000 50,400 20,000 16,800
Webb (Del E.) Corp.
sr. sub. notes 9 3/4s, 2008 35,000 35,000 90,000 90,000 30,000 30,000
------------ ------------ ------------
1,211,250 4,219,425 1,105,988
Business Equipment and Services 0.1% 0.2% 0.2%
- -------------------------------------------------------------------------------------------------------------------------------
Boise Cascade Corp. deb. 7.35s, 2016 70,000 63,753 185,000 168,491 260,000 236,798
Corporate Express, Inc.
sr. sub. notes Ser. B, 9 1/8s, 2004 150,000 144,750 300,000 289,500 155,000 149,575
Intertek Finance PLC 144A
sr. sub. notes 10 1/4s, 2006
(United Kingdom) 40,000 40,500 115,000 116,438 40,000 40,500
Iron Mountain, Inc. med. term notes
company guaranty 10 1/8s, 2006 15,000 15,375 50,000 51,250 15,000 15,375
Loomis Fargo & Co. 144A
sr. sub. notes 10s, 2004 15,000 15,000 45,000 45,000 15,000 15,000
Pierce Leahy Corp.
sr. sub. notes 11 1/8s, 2006 335,000 361,800 795,000 858,600 330,000 356,400
United Stationer Supply, Inc.
sr. sub. notes 12 3/4s, 2005 100,000 111,000 345,000 382,950 200,000 222,000
------------ ------------ ------------
752,178 1,912,229 1,035,648
Cable Television --% 0.1% --%
- -------------------------------------------------------------------------------------------------------------------------------
Heartland Wireless Communications, Inc.
144A sr. notes 14s, 2004 155,000 69,750 430,000 193,500 135,000 60,750
Tevecap S.A. 144A sr. notes 12 5/8s,
2004 (Brazil) 150,000 154,500 300,000 309,000 -- --
TV Filme, Inc. 144A sr. notes 12 7/8s,
2004 (Brazil) 35,000 35,720 90,000 91,851 40,000 40,823
UIH Australia/Pacific, Inc. sr. disc. notes
stepped-coupon Ser. B, zero %
(14s, 5/15/01), 2006 (Australia) ++ 210,000 109,200 610,000 317,200 200,000 104,000
------------ ------------ ------------
369,170 911,551 205,573
Cellular Communications --% --% 0.1%
- -------------------------------------------------------------------------------------------------------------------------------
Airtouch Communications, Inc.
notes 7 1/8s, 2001 190,000 189,552 465,000 463,903 625,000 623,525
Chemicals 0.1% 0.2% 0.4%
- -------------------------------------------------------------------------------------------------------------------------------
Acetex Corp. sr. notes 9 3/4s, 2003
(Canada) 135,000 132,300 275,000 269,500 115,000 112,700
Freedom Chemicals, Inc.
sr. sub. notes 10 5/8s, 2006 20,000 20,800 65,000 67,600 20,000 20,800
Great Lakes Carbon Corp.
sr. notes 10s, 2006 -- -- 225,000 238,500 150,000 159,000
Harris Chemical Corp.
sr. sub. notes 10 3/4s, 2003 200,000 198,000 532,000 526,680 200,000 198,000
Millennium America Inc.
company guaranty 7 5/8s, 2026 140,000 129,858 370,000 343,197 500,000 463,780
NL Industries, Inc. sr. notes
stepped-coupon zero %
(13s, 10/15/98), 2005 ++ 100,000 89,750 250,000 224,375 75,000 67,313
Sociedad Quimica Y Minera de Chile S.A.
144A bonds 7.7s, 2006 (Chile) 55,000 54,931 160,000 159,800 170,000 169,788
Sterling Chemicals Holdings
sr. disc. notes stepped-coupon
zero % (13 1/2s, 8/15/01), 2008 ++ 100,000 61,500 270,000 166,050 180,000 110,700
Union Carbide Global Enterprises
sr. sub. Ser. B, 12s, 2005 80,000 91,000 210,000 238,875 250,000 284,375
------------ ------------ ------------
778,139 2,234,577 1,586,456
Computer Services and Software --% --% 0.1%
- -------------------------------------------------------------------------------------------------------------------------------
Unisys Corp. sr. notes 11 3/4s, 2004 95,000 99,275 210,000 219,450 265,000 276,925
Conglomerates --% --% --%
- -------------------------------------------------------------------------------------------------------------------------------
ADT Ltd. sr. sub. notes 9 1/4s, 2003 50,000 52,625 -- -- -- --
Axia, Inc. sr. sub. notes Ser. B, 11s, 2001 75,000 78,188 -- -- -- --
MacAndrews & Forbes Holdings, Inc.
sub. deb. notes 13s, 1999 104,000 104,260 172,000 172,430 5,000 5,013
------------ ------------ ------------
235,073 172,430 5,013
Consumer Durable Goods --% 0.2% 0.1%
- -------------------------------------------------------------------------------------------------------------------------------
Exide Corp. sr. notes 10 3/4s, 2002 45,000 45,338 -- -- 275,000 277,063
Exide Corp. sr. notes 10s, 2005 -- -- 1,000,000 1,000,000 -- --
Icon Fitness Corp. 144A sr. disc. notes
stepped-coupon zero %
(14s, 11/15/01), 2006 ++ 90,000 48,600 215,000 116,100 95,000 51,300
Remington Products Co. LLC 144A
sr. sub. notes Ser. B, 11s, 2006 105,000 87,150 175,000 145,250 55,000 45,650
Selmer Co., Inc. sr. sub. notes 11s, 2005 160,000 174,800 250,000 273,125 25,000 27,313
------------ ------------ ------------
355,888 1,534,475 401,326
Consumer Non Durables 0.1% 0.1% --%
- -------------------------------------------------------------------------------------------------------------------------------
Foamex (L.P.) Capital Corp.
sr. notes 11 1/4s, 2002 10,000 10,350 -- -- 15,000 15,525
Guess Jeans, Inc. sr. sub. notes
9 1/2s, 2003 200,000 200,000 425,000 425,000 100,000 100,000
Twin Laboratories, Inc.
company guaranty 10 1/4s, 2006 200,000 205,500 250,000 256,875 -- --
------------ ------------ ------------
415,850 681,875 115,525
Consumer Products 0.1% 0.2% 0.3%
- -------------------------------------------------------------------------------------------------------------------------------
Philip Morris Cos., Inc. deb. 7 3/4s, 2027 45,000 42,636 125,000 118,434 170,000 161,070
Philip Morris Cos., Inc. notes 7 1/2s, 2002 260,000 261,297 685,000 688,418 915,000 919,566
Revlon Worldwide Corp. 144A
sr. disc. notes zero %, 2001 265,000 164,300 695,000 430,900 -- --
RJR Nabisco, Inc. notes 8 3/4s, 2005 75,000 74,057 185,000 182,673 270,000 266,603
------------ ------------ ------------
542,290 1,420,425 1,347,239
Consumer Services 0.5% 0.9% 0.7%
- -------------------------------------------------------------------------------------------------------------------------------
Act III Theatres, Inc. sr. sub. notes
11 7/8s, 2003 330,000 358,050 785,000 851,725 -- --
Adelphia Communications Corp.
sr. notes Ser. B, 10 1/4s, 2000 150,000 145,500 650,000 630,500 250,000 242,500
Adelphia Communications Corp.
144A sr. notes 9 7/8s, 2007 100,000 90,500 263,000 238,015 -- --
Adelphia Communications Corp.
notes Ser. B, 9 7/8s, 2005 -- -- -- -- 100,000 91,000
Affinity Group Holdings 144A
sr. notes 11s, 2007 115,000 114,425 310,000 308,450 105,000 104,475
Affinity Group Holgings
sr. sub. notes 11 1/2s, 2003 400,000 420,000 850,000 892,500 -- --
AMC Entertainment, Inc. 144A
sr. sub. notes 9 1/2s, 2009 105,000 102,113 285,000 277,163 100,000 97,250
AmeriKing, Inc. sr. notes 10 3/4s, 2006 25,000 25,250 70,000 70,700 -- --
Cablevision Systems Corp.
sr. sub. deb. 9 7/8s, 2023 180,000 169,200 530,000 498,200 90,000 84,600
Cablevision Systems Corp.
sr. sub. notes 9 7/8s, 2013 -- -- 100,000 95,000 -- --
Cablevision Systems Corp.
sr. sub. notes 9 1/4s, 2005 100,000 95,000 300,000 285,000 -- --
Cellular, Inc. sr. sub. disc. notes
stepped-coupon zero %
(11 3/4s, 9/1/98), 2003 ++ 100,000 91,000 350,000 318,500 100,000 91,000
Century Communications Corp.
sr. notes 9 1/2s, 2005 -- -- 750,000 735,000 50,000 49,000
CF Cable TV, Inc. sr. notes 11 5/8s,
2005 (Canada) 75,000 84,750 300,000 339,000 125,000 141,250
Coinmach Corp. sr. notes Ser. B,
11 3/4s, 2005 105,000 116,025 250,000 276,250 79,000 87,295
Falcon Holdings Group, Inc.
sr. sub. notes 11s, 2003 ++++ 158,270 137,695 513,361 446,624 178,954 155,690
FRD Acquisition Co. sr. notes Ser. B, 1
2 1/2s, 2004 50,000 52,000 200,000 208,000 50,000 52,000
Hollinger International Publishing, Inc.
company guaranty 8 5/8s, 2005 40,000 38,700 110,000 106,425 40,000 38,700
Hollinger International Publishing, Inc.
company guaranty 9 1/4s, 2007 40,000 38,400 110,000 105,600 40,000 38,400
Host Marriott Corp. sr. notes Ser. B,
9 1/2s, 2005 250,000 253,750 750,000 761,250 210,000 213,150
John Q Hammons Hotels, Inc.
1st mtge. 8 7/8s, 2004 145,000 143,550 150,000 148,500 165,000 163,350
Jones Intercable, Inc. sr. sub. deb.
10 1/2s, 2008 160,000 173,600 525,000 569,625 -- --
K-III Communications Corp.
sr. notes 10 1/4s, 2004 325,000 344,500 -- -- 275,000 291,500
Metrocall, Inc. sr. sub. notes
10 3/8s, 2007 200,000 160,000 -- -- 200,000 160,000
Prime Hospitality Corp. 144A
sr. sub. notes 9 3/4s, 2007 95,000 94,050 255,000 252,450 90,000 89,100
Rogers Communications, Inc.
sr. deb. 10 7/8s, 2004 (Canada) 75,000 78,375 -- -- 125,000 130,625
SFX Broadcasting, Inc. sr. sub. notes
Ser. B, 10 3/4s, 2006 220,000 229,900 615,000 642,675 185,000 193,325
Specialty Retailers, Inc. sr. sub. notes
11s, 2003 200,000 212,500 500,000 531,250 200,000 212,500
Telemedia Broadcasting Corp. 144A
deb. stepped-coupon 3.8s,
(16s, 6/15/99), 2004 ++ -- -- 209,000 190,190 -- --
------------ ------------ ------------
3,768,833 9,778,592 2,726,710
Electronics and Electrical Equipment --% 0.1% 0.1%
- -------------------------------------------------------------------------------------------------------------------------------
Amphenol Corp. sr. notes 10.95s, 2001 -- -- 500,000 550,000 -- --
Celestica International Ltd. 144A
sr. sub. notes 10 1/2s, 2006 (India) 30,000 31,500 85,000 89,250 30,000 31,500
Cirent Semiconductor 144A
sr. sub. notes 10.14s, 2004 35,388 35,345 101,042 100,916 -- --
Cirent Semiconductor sr. sub. notes
10.22s, 2002 35,244 35,200 100,629 100,504 34,306 34,263
Fairchild Semiconductor Corp. 144A
sr. sub. notes 10 1/8s, 2007 65,000 64,675 200,000 199,000 50,000 49,750
Interact Systems, Inc. 144A
stepped-coupon zero %
(14s, 8/1/99), 2003 ++ 100,000 54,000 300,000 162,000 90,000 48,600
International Semi-Tech. Corp. sr. secd.
disc. notes stepped-coupon zero %
(11 1/2s, 8/15/00), 2003 (Canada) ++ 120,000 61,200 316,000 161,160 380,000 193,800
Motors and Gears Inc. 144A
sr. notes Ser. A, 10 3/4s, 2006 50,000 50,750 145,000 147,175 50,000 50,750
------------ ------------ ------------
332,670 1,510,005 408,663
Entertainment 0.4% 0.7% 0.8%
- -------------------------------------------------------------------------------------------------------------------------------
Argosy Gaming Co. 144A 1st mtge.
13 1/4s, 2004 150,000 131,250 335,000 293,125 145,000 126,875
Casino America, Inc.
sr. notes 12 1/2s, 2003 105,000 100,800 350,000 336,000 100,000 96,000
Casino Magic Corp. 144A
1st mtge. 13s, 2003 190,000 183,825 625,000 604,688 35,000 33,863
Cinemark USA, Inc. 144A
notes 9 5/8s, 2008 380,000 380,000 730,000 730,000 270,000 270,000
Coast Hotels & Casinos, Inc.
company guaranty Ser. B, 13s, 2002 400,000 450,000 950,000 1,068,750 300,000 337,500
Harveys Casino Resorts
sr. sub. notes 10 5/8s, 2006 25,000 27,000 70,000 75,600 20,000 21,600
Premier Parks, Inc. sr. notes Ser. A,
12s, 2003 250,000 275,000 750,000 825,000 225,000 247,500
Six Flags Corp. sr. sub. notes
stepped-coupon zero %
(12 1/4s, 6/15/98), 2005 ++ 325,000 315,250 1,100,000 1,067,000 300,000 291,000
Time Warner Entertainment Co.
deb. 7 1/4s, 2008 260,000 246,977 630,000 598,443 1,040,000 987,906
Time Warner Entertainment Co.
notes 8 7/8s, 2012 125,000 132,424 300,000 317,817 480,000 508,507
Trump A.C. 1st mtge. 11 1/4s, 2006 80,000 72,800 200,000 182,000 75,000 68,250
Trump Holdings & Funding Corp.
sr. notes 15 1/2s, 2005 210,000 237,300 350,000 395,500 -- --
Viacom International, Inc.
sub. deb. 8s, 2006 400,000 372,000 1,070,000 995,100 350,000 325,500
------------ ------------ ------------
2,924,626 7,489,023 3,314,501
Environmental Control --% --% 0.1%
- -------------------------------------------------------------------------------------------------------------------------------
Allied Waste Industries, Inc. 144A
sr. sub. notes 10 1/4s, 2006 75,000 76,500 195,000 198,900 -- --
WMX Technologies Inc. notes 7.1s, 2026 175,000 174,251 285,000 283,780 610,000 607,389
------------ ------------ ------------
250,751 482,680 607,389
Food and Beverages 0.1% 0.1% 0.2%
- -------------------------------------------------------------------------------------------------------------------------------
Canandaigua Wine Co. sr. sub. notes
Ser. C, 8 3/4s, 2003 65,000 65,325 185,000 185,925 65,000 65,325
Chiquita Brands cv. sr. notes 9 5/8s, 2004 197,000 199,955 250,000 253,750 250,000 253,750
Mafco, Inc. sr. sub. notes 11 7/8s, 2002 150,000 158,625 -- -- 150,000 158,625
MBW Foods, Inc. 144A sr. sub. notes
9 7/8s, 2007 20,000 19,450 60,000 58,350 20,000 19,450
Specialty Foods Corp. sr. notes Ser. B,
10 1/4s, 2001 75,000 73,313 225,000 219,938 75,000 73,313
Stater Brothers sr. notes 11s, 2001 145,000 158,050 420,000 457,800 140,000 152,600
------------ ------------ ------------
674,718 1,175,763 723,063
Health Care 0.1% 0.2% 0.3%
- -------------------------------------------------------------------------------------------------------------------------------
Genesis Health Ventures, Inc.
sr. sub. notes 9 1/4s, 2006 20,000 19,900 65,000 64,675 20,000 19,900
Integrated Health Services, Inc.
sr. sub. notes 10 3/4s, 2004 125,000 135,625 175,000 189,875 -- --
Manor Care, Inc. sr. notes 7 1/2s, 2006 190,000 188,957 520,000 517,145 660,000 656,377
Merit Behavioral Care sr. sub. notes
11 1/2s, 2005 150,000 163,500 675,000 735,750 -- --
Paracelsus Healthcare Corp.
sr. sub. notes 10s, 2006 190,000 178,600 700,000 658,000 200,000 188,000
Quorum Health Group, Inc.
sr. sub. notes 8 3/4s, 2005 -- -- -- -- 100,000 101,000
Tenet Healthcare Corp. sr. notes
8s, 2005 150,000 145,875 -- -- 125,000 121,563
Tenet Healthcare Corp. sr. sub. notes
8 5/8s, 2007 -- -- -- -- 120,000 117,000
------------ ------------ ------------
832,457 2,165,445 1,203,840
Insurance and Finance 0.7% 1.4% 4.0%
- -------------------------------------------------------------------------------------------------------------------------------
Aames Financial Corp. sr. notes
9 1/8s, 2003 35,000 34,300 100,000 98,000 30,000 29,400
Abbey National First Capital PLC
sub. notes 7.35s, 2049
(United Kingdom) 90,000 87,711 260,000 253,388 270,000 263,134
Aegon N.V. sub. notes 8s, 2006
(Netherlands) 105,000 108,163 315,000 324,488 335,000 345,090
AIM Management Group
sr. secd. notes 9s, 2003 50,000 52,750 200,000 211,000 100,000 105,500
Allstate Financing II company guaranty
7.83s, 2045 75,000 70,127 200,000 187,004 280,000 261,806
BankAmerica Corp. sub. notes
7 1/8s, 2009 320,000 307,443 840,000 807,038 1,170,000 1,124,089
Banponce Financial Corp. med. term
notes 6 3/4s, 2001 145,000 142,232 365,000 358,032 525,000 514,978
Capital One Bank sr. notes 7.35s, 2000 335,000 334,816 785,000 784,568 1,205,000 1,204,337
Chevy Chase Savings Bank Inc.
sub. deb. 9 1/4s, 2005 100,000 98,000 300,000 294,000 100,000 98,000
Colonial Capital Trust I 144A
company guaranty 8.92s, 2027 35,000 34,355 90,000 88,341 30,000 29,447
Commercial Credit Co.
notes 7 7/8s, 2025 265,000 278,894 620,000 652,507 950,000 999,809
Conseco Inc. sr. notes 10 1/2s, 2004 275,000 315,835 740,000 849,883 1,050,000 1,205,915
Contifinancial Corp. sr. notes
8 3/8s, 2003 150,000 151,500 465,000 469,650 145,000 146,450
Dollar Financial Group Inc. 144A
sr. notes 10 7/8s, 2006 25,000 25,375 70,000 71,050 25,000 25,375
First Financial Caribbean Corp.
sr. notes 7.84s, 2006 90,000 87,819 235,000 229,306 340,000 331,762
First Nationwide Holdings 144A
sr. sub. notes 10 5/8s, 2003 100,000 106,000 255,000 270,300 300,000 318,000
First Nationwide Holdings
sr. notes 12 1/2s, 2003 -- -- 100,000 109,000 -- --
First Nationwide Holdings
sr. sub. notes 9 1/8s, 2003 -- -- -- -- 150,000 150,000
Ford Motor Credit Corp.
sr. notes 7s, 2001 360,000 357,854 895,000 889,666 1,300,000 1,292,252
Imperial Credit Industries, Inc. 144A
sr. notes 9 7/8s, 2007 40,000 39,200 100,000 98,000 30,000 29,400
Investors Capital Trust I 144A
company guaranty 9.77s, 2027 -- -- 205,000 200,675 -- --
Lehman Bros Holdings, Inc. med. term
notes 6.4s, 1999 260,000 255,983 610,000 600,576 1,000,000 984,550
Merita Bank Ltd. sub. notes
6 1/2s, 2006 (Finland) 295,000 273,518 730,000 676,841 1,060,000 982,811
NationsBank Corp. sub. notes
6 1/2s, 2006 295,000 275,250 700,000 653,135 1,070,000 998,364
North Fork Bancorp, Inc. 144A bonds
8.7s, 2026 50,000 47,731 135,000 128,874 45,000 42,958
Ocwen Federal Bank FSB sub. deb.
12s, 2005 35,000 38,675 120,000 132,600 35,000 38,675
Ocwen Financial Corp. notes
11 7/8s, 2003 25,000 27,000 70,000 75,600 20,000 21,600
Orange Cogen Funding 144A
company guaranty 8.175s, 2022 75,000 74,391 195,000 193,416 275,000 272,766
Outsourcing Solutions Inc. 144A
sr. sub. notes 11s, 2006 25,000 26,125 75,000 78,375 25,000 26,125
Peoples Bank- Bridgeport sub. notes
7.2s, 2006 240,000 230,292 565,000 542,146 865,000 830,011
Peoples Heritage Capital Trust I 144A
company guaranty 9.06s, 2027 -- -- 175,000 174,423 -- --
Phoenix Home Life Mutual Insurance
Co. 144A notes 6.95s, 2006 210,000 198,941 555,000 525,774 780,000 738,925
Provident Capital Trust 144A bonds
8.6s, 2026 120,000 116,520 320,000 310,720 -- --
PRT Funding Corp. sr. notes 11 5/8s, 2004 125,000 87,500 225,000 157,500 75,000 52,500
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 100,000 103,000 270,000 278,100 80,000 82,400
Riggs Capital Trust 144A bonds 8 5/8s 35,000 34,657 90,000 89,119 40,000 39,608
Salomon, Inc. sr. notes 7s, 1999 220,000 220,433 575,000 576,133 795,000 796,566
Sampoerna International Finance Co.
144A company guaranty 8 3/8s, 2006
(Indonesia) 170,000 169,573 480,000 478,795 545,000 543,632
Southern Investments Service Co.
sr. notes 6.8s, 2006 (United Kingdom) 135,000 128,110 310,000 294,178 480,000 455,501
Sovereign Capital Trust 144A
company guaranty 9s, 2027 50,000 48,750 130,000 126,750 45,000 43,875
Sparbanken Sverige AB (Swedbank)
144A sub. 7 1/2s, 2006 (Sweden) 70,000 68,793 175,000 171,981 275,000 270,256
St. Paul Bancorp sr. notes 7 1/8s, 2004 85,000 81,996 230,000 221,872 315,000 303,868
State Development Bank of China
notes 7 3/8s, 2007 (China) 95,000 92,812 260,000 254,012 355,000 346,824
Travelers Capital Trust II bonds 7 3/4s, 2036 95,000 88,389 250,000 232,603 355,000 330,296
Webster Capital Trust I 144A bonds
9.36s, 2027 45,000 45,313 120,000 120,834 40,000 40,278
------------ ------------ ------------
5,441,876 14,769,503 16,767,633
Medical Supplies and Devices 0.1% 0.1% 0.1%
- -------------------------------------------------------------------------------------------------------------------------------
Graphic Controls Corp. sr. sub. notes
Ser. A, 12s, 2005 100,000 108,750 300,000 326,250 150,000 163,125
IMED Corp. sr. sub. notes 9 3/4s, 2006 100,000 103,000 265,000 272,950 115,000 118,450
Wright Medical Technology, Inc.
sr. secd. notes Ser. B, 10 3/4s, 2000 200,000 202,000 400,000 404,000 100,000 101,000
------------ ------------ ------------
413,750 1,003,200 382,575
Metals and Mining 0.1% 0.2% 0.4%
- -------------------------------------------------------------------------------------------------------------------------------
Acindar Industria Argentina de Aceros
S.A. bonds 11 1/4s, 2004 (Argentina) 30,000 30,150 80,000 80,400 25,000 25,125
AK Steel Corp. sr. notes 9 1/8s, 2006 70,000 68,950 180,000 177,300 75,000 73,875
Continental Global Group 144A
sr. notes Ser. A, 11s, 2007 65,000 64,675 170,000 169,150 60,000 59,700
Echo Bay Mines jr. sub. deb. 11s, 2027
(Canada) 45,000 45,450 115,000 116,150 40,000 40,400
Freeport-McMoRan Copper &
Gold Co., Inc. sr. notes 7 1/2s, 2006 100,000 96,603 240,000 231,847 365,000 352,601
Noranda Inc. notes 7s, 2005 (Canada) 290,000 277,837 685,000 656,271 1,050,000 1,005,963
Renco Metals, Inc. sr. notes 11 1/2s, 2003 25,000 26,000 80,000 83,200 25,000 26,000
Royal Oak Mines, Inc. company guaranty
Ser. B, 11s, 2006 (Canada) 30,000 30,300 85,000 85,850 25,000 25,250
WCI Steel, Inc. sr. notes Ser. B, 10s, 2004 100,000 100,000 265,000 265,000 -- --
------------ ------------ ------------
739,965 1,865,168 1,608,914
Oil and Gas 0.3% 0.5% 1.2%
- -------------------------------------------------------------------------------------------------------------------------------
Abraxas Petroleum Corp. 144A
sr. notes Ser. B, 11 1/2s, 2004 40,000 41,700 110,000 114,675 35,000 36,488
Benton Oil & Gas Co. sr. notes
11 5/8s, 2003 100,000 111,750 75,000 83,813 -- --
Chesapeake Energy Corp. sr. notes
10 1/2s, 2002 100,000 107,000 -- -- -- --
Chesapeake Energy Corp.
sr. notes 9 1/8s, 2006 -- -- 125,000 128,125 -- --
CIA Naviera Perez Companc S.A.
144A bonds 9s, 2004 (Argentina) 35,000 34,650 90,000 89,100 30,000 29,700
Cliffs Drilling Co. company guaranty
Ser. B, 10 1/4s, 2003 20,000 20,600 60,000 61,800 20,000 20,600
Columbia Gas System, Inc. notes
Ser. E, 7.32s, 2010 150,000 143,615 400,000 382,972 500,000 478,715
Costilla Energy, Inc. sr. notes 10 1/4s, 2006 15,000 15,750 40,000 42,000 10,000 10,500
El Paso Natural Gas Co. deb. 7 1/2s, 2026 105,000 100,167 240,000 228,953 375,000 357,739
Flores & Rucks, Inc. sr. sub. notes
9 3/4s, 2006 205,000 209,100 270,000 275,400 -- --
Gulf Canada Resources Ltd. sr. sub.
notes 9 5/8s, 2005 (Canada) 125,000 133,125 350,000 372,750 100,000 106,500
Hawk Corp. 144A sr. notes 10 1/4s, 2003 25,000 25,250 70,000 70,700 -- --
Husky Oil Ltd. deb. 7.55s, 2016 (Canada) 205,000 196,630 535,000 513,156 740,000 709,786
Kelley Oil & Gas Corp. sr. sub. notes
Ser. B, 10 3/8s, 2006 35,000 36,050 95,000 97,850 35,000 36,050
Lasmo (USA) Inc. company guaranty
7 1/2s, 2006 170,000 168,730 390,000 387,087 460,000 456,564
Maxus Energy Corp. global notes
9 7/8s, 2002 50,000 51,750 175,000 181,125 50,000 51,750
Maxus Energy Corp. med. term notes
10.83s, 2004 250,000 266,875 -- -- 250,000 266,875
Maxus Energy Corp. notes 9 1/2s, 2003 -- -- 250,000 258,750 -- --
Parker Drilling Corp. sr. notes Ser. B,
9 3/4s, 2006 40,000 42,200 115,000 121,325 40,000 42,200
Petro Geo-Services AS ADR notes
7 1/2s, 2007 (Norway) 95,000 93,095 255,000 249,887 365,000 357,682
Petroliam Nasional Berhad 144A notes
7 1/8s, 2005 (Malaysia) 125,000 122,403 195,000 190,948 555,000 543,467
Petroliam Nasional Berhad 144A notes
7 5/8s, 2026 (Malaysia) 370,000 359,226 1,000,000 970,880 1,330,000 1,291,270
Texas Petrochemical Corp. sr. sub. notes
11 1/8s, 2006 15,000 15,825 50,000 52,750 15,000 15,825
Transamerican Refining Corp. 144A
sr. notes 15s, 1998 65,000 65,000 170,000 170,000 60,000 60,000
Transamerican Refining Corp. var. coupon
1st mtge. stepped-coupon zero %
(18.5s 2/15/98), 2002 ++ 125,000 114,375 300,000 274,500 -- --
TransTexas Gas Corp. sr. disc. notes
stepped-coupon zero %
(13 1/4s, 12/16/01), 2003 ++ 266,000 167,580 684,000 430,920 295,000 185,850
------------ ------------ ------------
2,642,446 5,749,466 5,057,561
Packaging and Containers 0.1% 0.1% 0.3%
- -------------------------------------------------------------------------------------------------------------------------------
Innova S De R.L. 144A sr. notes
12 7/8s, 2007 (Mexico) 80,000 79,500 220,000 218,625 75,000 74,531
Ivex Packaging Corp. sr. sub. notes
12 1/2s, 2002 170,000 184,875 495,000 538,313 185,000 201,188
Radnor Holdings Corp. 144A sr. notes
10s, 2003 35,000 35,525 90,000 91,350 -- --
Riverwood International Corp.
company guaranty 10 7/8s, 2008 200,000 164,000 535,000 438,700 400,000 328,000
US Can Corp. company guaranty
Ser. B, 10 1/8s, 2006 25,000 26,000 70,000 72,800 20,000 20,800
------------ ------------ ------------
489,900 1,359,788 624,519
Paper and Forest Products 0.2% 0.4% 0.1%
- -------------------------------------------------------------------------------------------------------------------------------
APP International Finance Co. notes
11 3/4s, 2005 (Netherlands) 200,000 213,000 550,000 585,750 250,000 266,250
Domtar, Inc. deb. 9 1/2s, 2016 (Canada) 50,000 51,000 175,000 178,500 70,000 71,400
Domtar, Inc. notes 8 3/4s, 2006 (Canada) 20,000 20,200 70,000 70,700 -- --
Florida Coast Paper LLC 1st mtge.
Ser. B, 12 3/4s, 2003 405,000 415,125 900,000 922,500 200,000 205,000
Rainy River Forest Products sr. notes
10 3/4s, 2001 (Canada) 100,000 109,000 250,000 272,500 200,000 218,000
Repap New Brunswick sr. notes
10 5/8s, 2005 (Canada) 350,000 350,000 950,000 950,000 350,000 350,000
Stone Container Corp. sr. notes
11 1/2s, 2004 350,000 334,250 1,250,000 1,193,750 75,000 71,625
Stone Container Corp. 1st mtge.
10 3/4s, 2002 -- -- -- -- 150,000 147,000
Stone Container Corp. sr. sub. notes
10 3/4s, 1997 10,000 10,100 30,000 30,300 15,000 15,150
------------ ------------ ------------
1,502,675 4,204,000 1,344,425
Pharmaceuticals --% --% 0.1%
- -------------------------------------------------------------------------------------------------------------------------------
Phar-Mor, Inc. sr. notes 11.72s, 2002 150,000 157,500 400,000 420,000 200,000 210,000
Publishing 0.1% 0.1% 0.4%
- -------------------------------------------------------------------------------------------------------------------------------
American Media Operation, Inc.
sr. sub. notes 11 5/8s, 2004 175,000 189,000 475,000 513,000 150,000 162,000
News America Holdings, Inc. deb.
7 3/4s, 2045 255,000 228,730 735,000 659,280 855,000 766,918
News America Holdings, Inc. deb.
7.7s, 2025 140,000 127,550 305,000 277,876 575,000 523,865
Sun Media Corp. 144A sr. sub. notes
9 1/2s, 2007 (Canada) 25,000 23,750 80,000 76,000 25,000 23,750
------------ ------------ ------------
569,030 1,526,156 1,476,533
Recreation 0.2% 0.2% 0.3%
- -------------------------------------------------------------------------------------------------------------------------------
Alliance Gaming Corp. sr. notes
12 7/8s, 2003 170,000 185,300 60,000 65,400 20,000 21,800
Empress River Casino sr. notes
10 3/4s, 2002 100,000 105,250 450,000 473,625 125,000 131,563
Grand Casinos, Inc. 1st mtge. 10 1/8s, 2003 75,000 73,688 200,000 196,500 75,000 73,688
Hollywood Casino Corp. sr. notes
12 3/4s, 2003 100,000 99,500 200,000 199,000 75,000 74,625
Lady Luck Gaming Corp. 1st mtge.
11 7/8s, 2001 200,000 192,000 525,000 504,000 200,000 192,000
Mohegan Tribal Gaming sr. sec.
notes Ser. B, 13 1/2s, 2002 250,000 328,750 425,000 558,875 200,000 263,000
Players International Inc. sr. notes
10 7/8s, 2005 250,000 257,500 600,000 618,000 200,000 206,000
Showboat Marina Casino 1st mtge.
Ser. B, 13 1/2s, 2003 250,000 281,250 -- -- 100,000 112,500
------------ ------------ ------------
1,523,238 2,615,400 1,075,176
Retail 0.2% 0.4% 0.5%
- -------------------------------------------------------------------------------------------------------------------------------
Brylane (L.P.) sr. sub. notes 10s, 2003 200,000 210,000 500,000 525,000 190,000 199,500
K mart Corp. deb. 7 3/4s, 2012 190,000 166,250 535,000 468,125 200,000 175,000
K mart Corp. med. term notes 8s, 2001 100,000 95,798 400,000 383,192 -- --
Loehmanns' Holdings, Inc. sr. notes
11 7/8s, 2003 55,000 58,850 155,000 165,850 50,000 53,500
Mothers Work, Inc. sr. notes 12 5/8s, 2005 100,000 104,000 270,000 280,800 100,000 104,000
Quality Food Centers, Inc. 144A
sr. sub. notes 8.7s, 2007 45,000 43,425 120,000 115,800 40,000 38,600
Ralphs Grocery Co. 144A sr. sub. notes
11s, 2005 200,000 206,000 550,000 566,500 200,000 206,000
Rite Aid Corp. notes 6.7s, 2001 95,000 92,844 220,000 215,006 340,000 332,282
Safeway, Inc. sr. notes 10s, 2002 -- -- 200,000 214,000 50,000 53,500
Safeway, Inc. sr. sub. notes 9.35s, 1999 30,000 31,200 -- -- -- --
Sear Roebuck Acceptance Corp.
med. term notes 6.15s, 2005 65,000 63,245 185,000 180,005 245,000 238,385
Southland Corp. 1st priority sr. sub.
deb. 5s, 2003 475,000 391,875 675,000 556,875 450,000 371,250
Supermercados Norte 144A bonds
10 7/8s, 2004 (Argentina) 40,000 38,900 120,000 116,700 35,000 34,038
Waban, Inc. sr. sub. notes 11s, 2004 50,000 55,750 150,000 167,250 150,000 167,250
William Carter Co. 144A sr. sub.
notes 12s, 2008 50,000 50,500 140,000 141,400 50,000 50,500
------------ ------------ ------------
1,608,637 4,096,503 2,023,805
Specialty Consumer Products --% 0.1% 0.1%
- -------------------------------------------------------------------------------------------------------------------------------
Genesco, Inc. sr. notes 10 3/8s, 2003 35,000 36,050 100,000 103,000 30,000 30,900
Herff Jones, Inc. sr. sub. notes 11s, 2005 190,000 203,300 525,000 561,750 150,000 160,500
Sassco Fashions Ltd. 144A notes
12 3/4s, 1999 120,000 121,200 315,000 318,150 100,000 101,000
------------ ------------ ------------
360,550 982,900 292,400
Technology --% --% --%
- -------------------------------------------------------------------------------------------------------------------------------
Computervision Corp. sr. sub. notes
11 3/8s, 1999 100,000 103,750 350,000 363,125 -- --
Telecommunications 0.7% 1.3% 1.8%
- -------------------------------------------------------------------------------------------------------------------------------
American Communication Services, Inc.
sr. disc. notes stepped-coupon zero %
(12 3/4s, 4/1/01), 2006 ++ 230,000 126,500 1,215,000 668,250 185,000 101,750
Arch Communications Group sr. disc.
notes stepped-coupon zero %
(10 7/8s, 3/15/01), 2008 ++ 125,000 53,750 325,000 139,750 500,000 215,000
Brooks Fiber Properties, Inc. sr. disc.
notes stepped-coupon zero %
(10 7/8s, 3/1/01), 2006 ++ 250,000 155,000 500,000 310,000 250,000 155,000
Brooks Fiber Properties, Inc. sr. disc.
notes stepped-coupon zero %
(11 7/8s, 11/01/01), 2006 ++ -- -- 365,000 217,175 110,000 65,450
Call-Net Enterprises sr. disc. notes
stepped-coupon zero %
(13 1/4s, 12/1/99), 2004 ++ 160,000 133,200 585,000 487,013 190,000 158,175
CellNet Data Systems, Inc. sr. disc.
notes stepped-coupon Ser. B, zero %
(13s, 6/15/00), 2005 ++ 125,000 79,375 400,000 254,000 100,000 63,500
Centennial Cellular Corp. sr. notes
10 1/8s, 2005 300,000 301,500 100,000 100,500 100,000 100,500
Centennial Cellular Corp. sr. notes
8 7/8s, 2001 100,000 94,000 535,000 502,900 250,000 235,000
Charter Communications International,
Inc. disc. notes stepped-coupon Ser. B,
zero % (14s, 3/15/01), 2007 ++ 200,000 121,000 490,000 296,450 200,000 121,000
Charter Communications International,
Inc. sr. notes Ser. B, 11 1/4s, 2006 -- -- 250,000 258,750 -- --
Compania Telecom Chile notes 7 5/8s,
2006 (Chile) 335,000 335,020 855,000 855,051 1,270,000 1,270,076
Dobson Communications Corp. 144A
sr. notes 11 3/4s, 2007 90,000 90,225 255,000 255,638 -- --
Frontiervision Operating Partners L.P.
sr. sub. notes 11s, 2006 30,000 29,700 85,000 84,150 25,000 24,750
Globo Communicacoes 144A company
guaranty 10 1/2s, 2006 (Brazil) 125,000 126,250 325,000 328,250 140,000 141,400
GST Telecommunications, Inc. company
guaranty stepped-coupon zero %
(13 7/8s, 15/15/00), 2005 ++ 168,000 105,840 472,000 297,360 136,000 85,680
Hyperion Telecommunication Corp.
sr. disc. notes stepped-coupon Ser. B,
zero % (13s, 4/15/01), 2003 ++ 340,000 185,300 795,000 433,275 500,000 272,500
ICG Holdings, Inc. sr. disc. notes
stepped-coupon zero %
(13 1/2s, 9/15/00), 2005 ++ 130,000 87,100 260,000 174,200 100,000 67,000
Intelcom Group (USA), Inc. company
guaranty stepped-coupon zero %
(12 1/2s, 5/1/01), 2006 ++ 220,000 136,400 925,000 573,500 275,000 170,500
Intercel, Inc. sr. disc. notes
stepped-coupon zero % (12s, 2/1/01),
2006 ++ -- -- 500,000 307,500 -- --
Intercel, Inc. sr. disc. notes
stepped-coupon zero % (12s, 5/1/01),
2006 ++ 300,000 177,000 -- -- 275,000 162,250
Intermedia Communications, Inc. sr. disc.
notes stepped-coupon zero %
(12 1/2s, 5/15/01), 2006 ++ 200,000 127,000 300,000 190,500 -- --
Intermedia Communications, Inc. sr. notes
Ser. B, 13 1/2s, 2005 175,000 197,313 350,000 394,625 -- --
International Cabletel, Inc. 144A sr. notes
10s, 2007 220,000 209,000 440,000 418,000 140,000 133,000
International Cabletel, Inc. sr. notes
stepped-coupon Ser. B, zero %
(11 1/2s, 2/1/01), 2006 ++ 198,000 122,760 525,000 325,500 475,000 294,500
International Wireless Communications,
Inc. sr. disc. notes zero %, 2001 40,000 22,400 115,000 64,400 40,000 22,400
McLeod, Inc. 144A sr. disc. notes
stepped-coupon zero %
(10 1/2s, 3/1/02), 2007 ++ 150,000 82,500 415,000 228,250 -- --
MFS Communications sr. disc. notes
stepped-coupon zero %
(8 7/8s, 1/1/01), 2006 ++ 200,000 151,000 100,000 75,500 350,000 264,250
MFS Communications sr. disc. notes
stepped-coupon zero %
(9 3/8s, 1/15/99), 2004 ++ 180,000 162,000 520,000 468,000 185,000 166,500
Millicom International Cellular S.A.
sr. disc. notes stepped-coupon zero %
(13 1/2s, 6/1/01), 2006
(Luxembourg) ++ 295,000 191,750 790,000 513,500 525,000 341,250
Mobile Telecommunications Tech.
sr. notes 13 1/2s, 2002 -- -- 375,000 352,500 100,000 94,000
NEXTEL Communications, Inc. sr. disc.
notes stepped-coupon zero %
(11 1/2s, 9/1/98), 2003 ++ -- -- -- -- 125,000 97,500
NEXTEL Communications, Inc. sr. disc.
notes stepped-coupon zero %
(9 3/4s, 2/15/99), 2004 ++ 760,000 516,800 2,465,000 1,676,200 1,050,000 714,000
Nextlink Communications, Inc. sr. notes
12 1/2s, 2006 100,000 101,500 250,000 253,750 175,000 177,625
Omnipoint Corp. sr. notes 11 5/8s, 2006 35,000 30,450 15,000 13,050 35,000 30,450
Omnipoint Corp. sr. notes Ser. A,
11 5/8s, 2006 200,000 166,000 350,000 290,500 -- --
Orbcomm Global Capital Corp. sr. notes
Ser. B, 14s, 2004 60,000 59,400 175,000 173,250 55,000 54,450
Pagemart Nationwide, Inc. sr. disc. notes
stepped-coupon zero % (15s, 2/1/00),
2005 ++ 110,000 74,800 250,000 170,000 210,000 142,800
Paging Network, Inc. sr. sub. notes
10s, 2008 85,000 76,500 255,000 229,500 -- --
Pricellular Wireless Corp. sr. disc. notes
stepped-coupon Ser. B, zero %
(14s, 11/15/97), 2001 ++ 150,000 153,000 360,000 367,200 175,000 178,500
Pricellular Wireless Corp. sr. notes
10 3/4s, 2004 100,000 101,250 250,000 253,125 -- --
Sygnet Wireless, Inc. sr. notes 11 1/2s, 2006 25,000 25,250 75,000 75,750 20,000 20,200
Teleport Communications Group Inc.
sr. disc. notes stepped-coupon zero %
(11 1/8s, 7/1/01), 2007 ++ 470,000 314,900 830,000 556,100 480,000 321,600
Winstar Equipment Corp. 144A
company guaranty 12 1/2s, 2004 65,000 63,538 175,000 171,063 60,000 58,650
Wireless One, Inc. sr. notes 13s, 2003 80,000 52,000 190,000 123,500 65,000 42,250
WorldCom, Inc. notes 7 3/4s, 2007 240,000 237,000 625,000 617,188 880,000 869,000
------------ ------------ ------------
5,575,271 14,544,663 7,432,456
Textiles --% 0.1% 0.1%
- -------------------------------------------------------------------------------------------------------------------------------
Anvil Knitwear Inc. 144A sr. notes
10 7/8s, 2007 55,000 53,350 150,000 145,500 45,000 43,650
Glenoit Corp. 144A sr. sub. notes 11s, 2007 30,000 29,813 85,000 84,469 30,000 29,813
Polysindo International Finance company
guaranty 11 3/8s, 2006 (Indonesia) 60,000 64,350 185,000 198,413 65,000 69,713
Reeves Industries Inc. sub. deb.
13 3/4s, 2001 -- -- -- -- 50,000 42,500
Tultex Corp. sr. notes 10 5/8s, 2005 150,000 163,125 400,000 435,000 125,000 135,938
------------ ------------ ------------
310,638 863,382 321,614
Transportation 0.1% 0.1% 0.1%
- -------------------------------------------------------------------------------------------------------------------------------
Atlantic Express, Inc. 144A company
guaranty 10 3/4s, 2004 20,000 20,350 55,000 55,963 15,000 15,263
Blue Bird Body Co. sr. sub. notes Ser. B,
10 3/4s, 2006 -- -- -- -- 30,000 30,750
Consorcio/MCII Holdings sec. notes
stepped-coupon zero %
(12s, 11/15/98), 2002 ++ 200,000 171,500 530,000 454,475 100,000 85,750
Continental Airlines, Inc. 144A bonds
7.42s, 2008 100,000 98,866 175,000 173,016 245,000 242,222
Newport News Shipbuilding sr. notes
8 5/8s, 2006 40,000 40,300 100,000 100,750 -- --
Newport News Shipbuilding sr. sub.
notes 9 1/4s, 2006 35,000 35,613 90,000 91,575 -- --
Transport Maritima Mexicana S.A.
de CV sr. notes 10s, 2006 (Mexico) 125,000 122,500 300,000 294,000 -- --
------------ ------------ ------------
489,129 1,169,779 373,985
Utilities 0.3% 0.6% 1.3%
- -------------------------------------------------------------------------------------------------------------------------------
AES China Generating Co. sr. notes
10 1/8s, 2006 (China) 40,000 42,200 110,000 116,050 45,000 47,475
Arizona Public Service Co. sr. notes
6 3/4s, 2006 110,000 104,324 295,000 279,778 405,000 384,102
Cleveland Electric Illuminating Co.
1st mtge. Ser. B, 9 1/2s, 2005 200,000 213,772 260,000 277,904 300,000 320,658
Cleveland Electric Illuminating Co.
1st mtge. Ser. E, 9s, 2023 100,000 101,025 200,000 202,050 -- --
Commonwealth Edison Co. notes
7 3/8s, 2004 50,000 48,894 130,000 127,124 180,000 176,018
Connecticut Light & Power Co.
1st mtge. Ser. A, 7 7/8s, 2001 170,000 170,121 445,000 445,316 605,000 605,430
Edison Mission Energy 144A company
guaranty 7.33s, 2008 100,000 97,234 115,000 111,819 175,000 170,160
Enersis S.A. notes 7.4s, 2016 (Chile) 270,000 252,437 635,000 593,693 970,000 906,902
First PV Funding Corp. deb. 10.15s, 2016 35,000 36,969 180,000 190,125 43,000 45,419
Hidroelectric Pierda Aguila 144A
bonds 10 5/8s, 2001 (Argentina) 15,000 15,656 50,000 52,188 15,000 15,656
Illinova Corp. sr. notes 7 1/8s, 2004 65,000 63,145 180,000 174,863 240,000 233,150
Jersey Central Power & Light Co.
1st mtge. med. term note 6.85s, 2006 95,000 89,872 220,000 208,124 335,000 316,917
Long Island Lighting Co. deb. 8.9s, 2019 -- -- 1,000,000 1,044,450 -- --
Long Island Lighting Co. deb. 9s, 2022 150,000 160,494 -- -- 150,000 160,494
Midland Funding Corp. deb. Ser. A,
11 3/4s, 2005 150,000 170,378 250,000 283,963 25,000 28,396
Midland Funding Corp. deb. Ser. B,
13 1/4s, 2006 53,000 62,492 400,000 471,636 175,000 206,341
Niagara Mohawk Power Corp. 1st mtge.
6 7/8s, 2003 150,000 140,954 400,000 375,876 150,000 140,954
Niagara Mohawk Power Corp. 1st mtge.
7 3/4s, 2006 -- -- -- -- 25,000 24,001
Northeast Utilities System notes Ser. A,
8.58s, 2006 19,036 17,969 47,590 44,923 14,277 13,477
Northeast Utilities System notes Ser. B,
8.38s, 2005 153,333 146,665 521,333 498,660 153,333 146,665
Ras Laffan Natural Gas 144A sec. notes
7.628s, 2006 (Qatar) 145,000 146,813 340,000 344,250 510,000 516,375
Ras Laffan Natural Gas 144A sec. notes
8.294s, 2014 (Qatar) 70,000 72,100 170,000 175,100 260,000 267,800
US West Capital Funding, Inc. company
guaranty 6.95s, 2037 175,000 170,772 460,000 448,886 630,000 614,779
------------ ------------ ------------
2,324,286 6,466,778 5,341,169
Total Corporate Bonds and Notes
(cost $45,063,487, $119,182,465
and $67,335,799) $45,228,274 $119,512,511 $67,805,230
- -------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
GROWTH BALANCED CONSERVATIVE
4.0% 8.1% 12.1%
FOREIGN GOVERNMENT Principal Principal Principal
BONDS AND NOTES* Amount Value Amount Value Amount Value
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
AUD Australia (Government of)
bonds Ser. 101, 8 3/4s, 2001 1,375,000 $1,129,602 5,195,000 $4,267,840 2,610,000 $2,144,189
CAD Canada (Government of)
deb. Ser. A55, 8s, 2023 750,000 585,675 2,000,000 1,561,800 1,180,000 921,462
DKK Denmark (Government of)
bonds 8s, 2006 3,175,000 542,892 7,625,000 1,303,796 4,970,000 849,818
DKK Denmark (Government of)
bonds 8s, 2001 4,820,000 835,528 12,935,000 2,242,232 7,585,000 1,314,830
FRF France Treasury notes 7s, 2000 19,465,000 3,745,392 44,350,000 8,533,682 32,055,000 6,167,918
FRF France (Government of)
notes 5 1/2s, 2001 10,835,000 1,981,169 35,505,000 6,492,056 16,560,000 3,027,980
FRF France Treasury notes
4 1/2s, 1998 8,685,000 1,558,807 22,065,000 3,960,284 11,840,000 2,125,074
DEM Germany (Federal Republic of)
bonds Ser. 92, 8s, 2002 5,825,000 3,923,881 17,735,000 11,946,787 9,765,000 6,577,974
DEM Germany (Federal Republic of)
bonds Ser. 95, 7 3/8s, 2005 690,000 454,717 2,020,000 1,331,199 835,000 550,273
DEM Germany (Federal Republic of)
bonds Ser. 95, 6 7/8s, 2005 220,000 140,782 785,000 502,334 895,000 572,725
DEM Germany (Federal Republic of)
bonds Ser. 118, 5 1/4s, 2001 4,885,000 2,987,545 13,595,000 8,314,365 5,875,000 3,593,004
DEM Germany (Federal Republic of)
bonds Ser. 121, 4 3/4s, 2001 8,770,000 5,237,930 20,115,000 12,013,792 13,815,000 8,251,083
USD Quebec (Province of) deb.
Ser. NN, 7 1/8s, 2024 280,000 253,378 705,000 637,969 1,000,000 904,920
USD Bank of Foreign Economic Affairs
of Russia (Vnesheconombank)
non-performing loan + 845,000 660,156 2,251,000 1,758,594 1,330,000 1,039,063
ZAR South Africa (Republic of) bonds
Ser. 153, 13s, 2010 2,240,000 439,991 5,990,000 1,176,583 3,530,000 693,379
GBP United Kingdom Treasury bonds
7 1/2s, 2006 2,110,000 3,425,796 4,530,000 7,354,908 3,255,000 5,284,818
GBP United Kingdom Treasury bonds
7s, 2002 1,525,000 2,462,710 5,705,000 9,212,957 2,385,000 3,851,516
GBP United Kingdom Treasury bonds
6s, 1999 1,145,000 1,838,479 3,070,000 4,929,371 1,800,000 2,890,185
------------ ------------ ------------
Total Foreign Government Bonds
and Notes (cost $32,019,769,
$87,223,992 and $50,582,035) $32,204,430 $87,540,549 $50,760,211
- -------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
GROWTH BALANCED CONSERVATIVE
3.0% 6.1% 21.6%
U.S. GOVERNMENT AND Principal Principal Principal
AGENCY OBLIGATIONS* Amount Value Amount Value Amount Value
- -------------------------------------------------------------------------------------------------------------------------------
Federal Deposit Insurance Corp.
6 3/4s, July 25, 2026 $620,695 $611,094 $1,480,119 $1,457,224 $2,253,601 $2,218,741
Federal Home Loan Mortgage Corp.
8 1/2s, with due dates from
August 1, 2026 to January 1, 2027 1,069,200 1,095,589 2,846,250 2,916,497 3,633,300 3,722,973
Federal National Mortgage Association
pass-through certificates
9 1/2s, August 1, 2022 619,624 662,708 1,632,903 1,746,441 2,217,555 2,371,745
9 1/2s, Dwarf, May 1, 2007 146,295 153,974 552,057 581,035 662,469 697,242
8s, TBA, April 16, 2027 1,215,000 1,219,556 3,185,000 3,196,944 4,360,000 4,376,350
7 1/2s, with due dates from
June 1, 2026 to January 1, 2027 691,322 678,360 2,477,714 2,431,259 4,006,629 3,931,507
7 1/2s, TBA, April 16, 2027 345,000 338,531 915,000 897,844 1,255,000 1,231,469
7.4s, May 1, 2026 208,679 202,028 571,385 553,172 695,599 673,427
7s, with due dates from
June 1, 2025 to January 1, 2027 2,243,943 2,144,454 4,451,495 4,255,634 4,787,268 4,576,300
6 1/2s, with due dates from
August 1, 2025 to January 1, 2027 1,558,821 1,448,722 4,648,530 4,320,210 7,216,499 6,706,806
6 1/2s, Balloon, with due dates from
April 1, 2003 to March 1, 2004 494,898 482,215 807,999 787,290 1,020,098 993,954
5 1/2s, Dwarf, TBA, April 15, 2012 1,687,000 1,549,404 4,456,000 4,092,558 6,267,000 5,755,848
Financing Corp. bonds
9.8s, November 30, 2017 30,000 37,270 345,000 428,607 210,000 260,891
7s, with due dates from
March 15, 2004 to March 15, 2027 812,866 765,031 2,132,546 2,006,890 2,914,653 2,751,985
Government National Mortgage
Association pass-through certificates
10s, TBA, April 16, 2027 360,000 393,480 950,000 1,038,350 1,360,000 1,486,480
8s, with due dates from November 15,
2022 to September 15, 2026 884,786 888,380 2,287,106 2,296,686 2,573,169 2,588,712
7 1/2s, with due dates from
August 15, 2025 to July 15, 2026 914,071 895,499 1,156,076 1,132,587 1,111,298 1,088,720
7s, May 15, 2023 992,341 952,341 1,169,087 1,121,962 885,597 849,899
7s, Midget, with due dates from
December 15, 2007 to June 15, 2009 123,493 121,834 647,212 638,514 655,933 647,119
7s, TBA, April 16, 2027 796,000 759,185 1,467,000 1,399,151 1,912,000 1,823,570
6 1/2s, with due dates from
January 15, 2026 to June 15, 2026 315,451 292,086 2,714,562 2,513,497 4,409,261 4,083,006
U.S. Treasury Bonds 8 1/8s,
August 15, 2019 # 1,200,000 1,316,628 2,675,000 2,934,983 5,135,000 5,634,071
U.S. Treasury Notes
6 7/8s, May 15, 2006 130,000 129,268 315,000 313,227 500,000 497,185
6 5/8s, July 31, 2001 # 835,000 830,825 2,330,000 2,318,350
6 1/4s, October 31, 2001 # 520,000 509,439 2,670,000 2,615,772 2,030,000 1,988,771
5 5/8s, November 30, 1998 # 6,485,000 6,410,033 18,045,000 17,836,400 29,850,000 29,504,886
------------ ------------ ------------
Total U.S. Government and
Agency Obligations (cost $25,261,656,
$65,682,260 and $90,528,681) $24,887,934 $65,831,084 $90,461,657
- -------------------------------------------------------------------------------------------------------------------------------
GROWTH BALANCED CONSERVATIVE
0.5% 1.0% 3.5%
ASSET-BACKED Principal Principal Principal
SECURITIES* Amount Value Amount Value Amount Value
- -------------------------------------------------------------------------------------------------------------------------------
Associates Manufactured Housing
Ser. 96-1, Class A3, 7s, 2027 $120,000 $120,450 $360,000 $361,350 $385,000 $386,444
Capital Equipment Receivables Trust
Ser. 96-1, Class A4, 6.28s, 2000 80,000 78,825 250,000 246,328 260,000 256,181
Chase Manhattan Auto Owner Trust
Ser. 97-A, Class A3, 6 1/4s, 2000 480,000 475,950 1,270,000 1,259,284 1,805,000 1,789,770
Fifth Third Auto Grantor Trust Ser. 96-B,
Class A, 6.45s, 2002 94,647 94,529 292,643 292,277 307,548 307,164
Ford Motor Credit Auto Owner Trust
Ser. 96-A, Class A3, 6 1/2s, 1999 485,000 485,606 1,155,000 1,156,444 1,760,000 1,762,200
Green Tree Financial Corp. Ser. 97-2,
Class A6, 7.24s, 2028 380,000 377,031 1,005,000 997,148 1,425,000 1,413,867
Olympic Automobile Receivables Trust
Ser. 96-D, Class A3, 5.95s, 2001 390,000 385,734 1,035,000 1,023,680 1,470,000 1,453,922
Premier Auto Trust Ser. 96-4, Class A4,
6.4s, 2001 110,000 109,243 345,000 342,626 360,000 357,523
Railcar Leasing L.L.C. Ser. 1, Class A1,
6 3/4s, 2006 400,000 391,500 1,035,000 1,013,006 1,450,000 1,419,188
Sears Credit Account Master Trust
Ser. 96-4, Class A, 6.45s, 2006 125,000 122,578 355,000 348,120 405,000 397,151
Standard Credit Card Master Trust
Ser. 91-3, Class A, 8 7/8s, 1999 730,000 750,988 1,720,000 1,769,450 2,625,000 2,700,469
Standard Credit Card Master Trust
Ser. 94-4, Class A, 8 1/4s, 2003 225,000 235,406 570,000 596,363 660,000 690,525
Standard Credit Card Master Trust
Ser. 95-6, Class A, 6 3/4s, 2000 485,000 486,819 1,140,000 1,144,275 1,740,000 1,746,525
------------ ------------ ------------
Total Asset-Backed Securities
(cost $4,116,150, $10,678,036
and $14,853,420) $4,114,659 $10,550,351 $14,680,929
- -------------------------------------------------------------------------------------------------------------------------------
GROWTH BALANCED CONSERVATIVE
0.2% 0.6% 0.4%
PREFERRED STOCKS* Number of Number of Number of
Shares Value Shares Value Shares Value
- -------------------------------------------------------------------------------------------------------------------------------
American Radio Systems Corp.
144A $11.375 pfd. 250 $24,500 750 $73,500 200 $19,600
AmeriKing, Inc. $3.25 pfd. ++++ 2,000 53,000 4,000 106,000 -- --
Cablevision Systems Ser. M, $11.125
dep. shs. pfd. ++++ 2,200 196,350 6,495 579,679 3,063 273,373
California Federal Bancorp, Inc. Ser. B,
$10.625 exch. pfd. 1,455 159,323 3,150 344,925 1,650 180,675
California Federal Bancorp, Inc. Ser. B,
$11.50 pfd. -- -- 3,500 392,000 -- --
California Federal Bancorp, Inc. Ser. A,
$2.28 pfd. 1,000 24,375 5,200 126,750 -- --
Chancellor Radio Broadcasting 144A
$12.00 pfd. 850 82,875 2,250 219,375 700 68,250
Chevy Chase Savings Bank, Inc. $13.00 pfd. 5,675 174,506 12,500 384,375 3,150 96,863
Chevy Chase Capital Corp. Ser. A,
$5.188 pfd. 4,120 193,640 15,515 729,205 6,000 282,000
El Paso Electric Co. $11.40 pfd 1,987 220,557 4,849 538,239 2,229 247,419
Fresensius Medical Care AG Ser. D, $9.00 pf 100 98,000 260 254,800 -- --
Intermedia Communications, Inc. 144A
$13.50 pfd. 20 189,000 60 567,000 20 189,000
International Cabletel, Inc. 144A
$13.00 pfd. ++++ 110 104,500 220 209,000 70 66,500
Pantry Pride Inc. Ser. B, $14.875 pfd. 152 15,352 800 80,800 500 50,500
Public Service Co. of New Hampshire
$2.65 1st mtge. pfd. 3,300 79,200 18,000 432,000 3,300 79,200
SFX Broadcasting, Inc. Ser. E,
$12.625 pfd. ++++ 1,700 164,900 4,450 431,650 1,450 140,650
Time Warner Inc. Ser. M, $10.25 pfd. ++++ 389 416,230 1,219 1,304,330 -- --
------------ ------------ ------------
Total Preferred Stocks
(cost $2,242,907, $6,966,506
and $1,765,855) $2,196,308 $6,773,628 $1,694,030
- -------------------------------------------------------------------------------------------------------------------------------
GROWTH BALANCED CONSERVATIVE
0.2% 0.4% 1.2%
COLLATERALIZED Principal Principal Principal
MORTGAGE OBLIGATIONS* Amount Value Amount Value Amount Value
- -------------------------------------------------------------------------------------------------------------------------------
CBM Funding Corp. Ser. 96-1, Class A1,
7.55s, 2013 $87,926 $88,916 $216,816 $219,256 $263,407 $266,371
Chase Mortgage Finance Corp. Ser. 94-1,
Class B2, 6.613s, 2025 -- -- 187,200 169,006 187,200 169,006
Citicorp Mortgage Securities, Inc.
Ser. 94-9, Class A3, 5 3/4s, 2009 205,000 196,480 535,000 512,764 615,000 589,439
Collateralized Mortgage Obligation Trust
Ser. 64, Class Z, 9s, 2020 426,659 441,792 1,324,419 1,371,395 1,422,195 1,472,639
GE Capital Mortgage Services, Inc.
Ser. 94-8, Class A2, 6s, 2024 90,000 89,269 335,000 332,278 375,000 371,953
GE Capital Mortgage Services, Inc. S
er. 96-12, Class A4, 7 1/4s, 2011 136,489 134,272 370,471 364,451 443,590 436,382
Residential Funding Mortgage Securities I
Ser. 93-S36, Class A3, 5.065s, 2008 225,000 212,063 500,000 471,250 600,000 565,500
Salomon Brothers Mortgage Securities VII
Ser. 93-C1, Class A2, 6.9s, 2023 305,000 305,034 805,000 805,089 1,110,000 1,110,122
------------ ------------ ------------
Total Collateralized Mortgage Obligations
(cost $1,491,062, $4,296,694
and $5,041,479) $1,467,826 $4,245,489 $4,981,412
- -------------------------------------------------------------------------------------------------------------------------------
GROWTH BALANCED CONSERVATIVE
0.2% 0.3% 0.5%
BRADY BONDS* Principal Principal Principal
Amount Value Amount Value Amount Value
- -------------------------------------------------------------------------------------------------------------------------------
Argentina (Republic of) FRN
4.188s, 2005 $741,080 $662,340 $1,980,740 $1,770,286 $1,167,880 $1,043,793
Brazil (Republic of) annual reset
bonds 6.812s, 2024 826,000 660,800 2,200,000 1,760,000 1,300,000 1,040,000
------------ ------------ ------------
Total Brady Bonds
(cost $1,132,970, $3,318,436
and $2,024,569) $1,323,140 $3,530,286 $2,083,793
- -------------------------------------------------------------------------------------------------------------------------------
GROWTH BALANCED CONSERVATIVE
0.1% 0.2% 0.2%
UNITS* Number of Number of Number of
Units Value Units Value Units Value
- -------------------------------------------------------------------------------------------------------------------------------
Advanced Radio Telecommunications
units 14s, 2007 65 $70,850 190 $207,100 55 $59,950
Anvil Holdings 144A units 13s, 2009 ++++ 20 19,400 50 48,500 15 14,550
Celcaribe S.A. 144A units stepped-coupon
zero % (13 1/2s, 3/15/98), 2004 ++ (Brazil) 3 39,300 22 288,200 2 26,200
Colt Telecommunications Group PLC units
stepped-coupon zero % (12s, 12/15/01),
2006 (United Kingdom) ++ 80 50,600 210 132,825 90 56,925
Diva Systems Corp. 144A units
stepped-coupon zero % (13s, 5/15/01),
2006 ++ 75 44,156 220 129,525 75 44,156
Esat Holdings Ltd. 144A units
stepped-coupon zero % (12 1/2s, 2/1/02),
2007 ++ (Ireland) 75 42,000 205 114,800 65 36,400
Fitzgerald Gaming Co. units 13s, 2002 55 37,950 170 117,300 80 55,200
Globalstar L.P. Capital units 11 3/8s, 2004 100 97,500 300 292,500 90 87,750
Ionica PLC units zero % (15s, 5/1/02),
2007 ++ (United Kingdom) 50 22,250 140 62,300 55 24,475
Mccaw International 144A units
stepped-coupon zero % (13s, 4/15/02),
2007 ++ 140 70,000 390 195,000 120 60,000
Nextlink Communications 144A pfd.
units stepped-coupon zero %
(14s, 2/1/02), 2009 ++++ 940 41,360 2,740 120,560 1,850 81,400
Real Time Data 144A units stepped-coupon
zero % (13 1/2s, 8/15/01), 2006 ++ 50 26,500 150 79,500 50 26,500
Spanish Broadcasting Systems units
14 1/4s, 2005 80 78,400 220 215,600 75 73,500
Wireless One, Inc. units stepped-coupon
zero % (13 1/2s, 8/1/01), 2006 ++ 130 39,000 400 120,000 120 36,000
------------ ------------ ------------
Total Units (cost $626,838, $1,996,739
and $723,911) $679,266 $2,123,710 $683,006
- -------------------------------------------------------------------------------------------------------------------------------
GROWTH BALANCED CONSERVATIVE
--% 0.1% 0.1%
CONVERTIBLE BONDS Principal Principal Principal
AND NOTES* Amount Value Amount Value Amount Value
- -------------------------------------------------------------------------------------------------------------------------------
Argosy Gaming cv. sub. notes
12s, 2001 $25,000 $15,500 $125,000 $77,500 -- --
GST Telecommunications, Inc.
cv. sr. disc. notes stepped-coupon
zero % (13 7/8s, 12/15/00), 2005 ++ 21,000 14,700 59,000 41,300 17,000 11,900
Integrated Device Technology, Inc.
cv. sub. notes 5 1/2s, 2002 40,000 32,300 115,000 92,863 35,000 28,263
National Semiconductor Corp.
cv. deb. 6 1/2s, 2002 25,000 25,156 75,000 75,469 25,000 25,156
Pricellular Wireless Corp. 144A
cv. sub. notes stepped-coupon zero %
(10 3/4s, 8/15/00) ++ 94,000 79,900 206,000 175,100 77,000 65,450
VLSI Technology, Inc. cv. sub. notes
8 1/4s, 2005 40,000 37,750 115,000 108,531 35,000 33,031
Winstar Communications. Inc.
cv sr. disc. notes zero %, 2005 -- -- -- -- 200,000 124,000
------------ ------------ ------------
Total Convertible Bonds and Notes
(cost $180,069, $526,152 and $270,496) $205,306 $570,763 $287,800
- -------------------------------------------------------------------------------------------------------------------------------
GROWTH BALANCED CONSERVATIVE
CONVERTIBLE PREFERRED --% --% --%
STOCKS* Number of Number of Number of
(cost $120,250, $252,525 and $102,213) Shares Value Shares Value Shares Value
- -------------------------------------------------------------------------------------------------------------------------------
Granite Broadcasting $1.938 cv. pfd. 2,000 $98,000 4,200 $205,800 1,700 $83,300
- -------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
GROWTH BALANCED CONSERVATIVE
--% --% --%
Expiration Number of Number of Number of
WARRANTS+* Date Warrants Value Warrants Value Warrants Value
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
CellNet Data Systems, Inc. 6/15/05 500 $7,250 1,600 $23,200 400 $5,800
County Seat Holdings, Inc. 10/15/98 65 1 200 4 110 2
Hyperion Telecommunications
144A 4/15/01 400 12,000 1,300 39,000 500 15,000
Intelcom Group 9/15/05 429 6,006 858 12,012 330 4,620
Interact Systems, Inc. 8/1/03 100 25 300 75 90 23
Intercel, Inc. 2/1/06 -- -- 1,600 11,520 -- --
Intermedia Communications,
Inc. 144A 6/1/00 100 2,000 350 7,000 -- --
International Wireless
Communications Holdings 8/15/01 40 -- 115 1 40 --
Petracom Holdings, Inc. 8/1/05 -- -- 1,001 7,132 399 2,843
Sterling Chemicals Holdings 8/15/08 35 1,225 110 3,850 30 1,050
Telemedia Broadcasting Corp.
144A 4/1/04 -- -- 4 3,371 -- --
UCC Investor Holding, Inc. 10/31/99 10 135 30 405 20 270
Wireless One, Inc. 10/19/00 450 45 1,050 105 375 38
------------ ------------ ---------
Total Warrants (cost $20,738
$80,016 and $21,020) $28,687 $107,675 $29,646
- ------------------------------------------------------------------------------------------------------------------------------
GROWTH BALANCED CONSERVATIVE
--% --% --%
PURCHASED
OPTIONS Expiration Date/ Number of Number of Number of
OUTSTANDING* Strike Price Contracts Value Contracts Value Contracts Value
- ------------------------------------------------------------------------------------------------------------------------------
U.S. Dollars in exchange
for Japanese Yen Apr 97/
(Call) 125 JPY 1,900,000 $9,690 5,100,000 $26,010 2,900,000 $14,790
U.S. Dollars in exchange
for Deutschemarks May 97/
(Call) 1.692 DEM 5,800,000 46,980 15,400,000 124,740 9,000,000 72,900
------------ ------------ ---------
Total Purchased Options
Outstanding (cost $26,980,
$72,420 and $41,180) $56,670 $150,750 $87,690
- -------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
GROWTH BALANCED CONSERVATIVE
11.4% 11.0% 11.8%
SHORT-TERM INVESTMENTS*
(cost $92,964,524, $119,933,317 Principal Principal Principal
and $49,455,791) Amount Value Amount Value Amount Value
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Interest in $803,250,000 joint
repurchase agreement dated
March 31, 1997 with UBS Securities
due April 1, 1997with respect
to various U.S. Treasury obligations --
maturity value of $92,964,524,
$119,933,317 and $49,455,791
for an effective yield of 6.40% $92,948,000 $92,964,524 $119,912,000 $119,933,317 $49,447,000 $49,455,791
- -------------------------------------------------------------------------------------------------------------------------------
Total Investments
(cost $749,732,320, $1,018,826,062
and $415,659,911)*** $803,100,157 $1,079,574,704 $422,698,474
- -------------------------------------------------------------------------------------------------------------------------------
* Percentages indicated are based on net assets as follows:
- ------------------------------------------
Growth portfolio $ 814,549,572
Balanced portfolio 1,085,270,042
Conservative portfolio 418,372,448
- ------------------------------------------
*** The aggregate identified cost on a tax basis is as follows:
<CAPTION>
Net
Aggregate Gross Unrealized Gross Unrealized Unrealized
Identified Cost Appreciation Depreciation Appreciation
- -----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Growth portfolio $750,265,025 $81,188,163 $28,353,031 $52,835,132
Balanced portfolio 1,021,113,870 94,104,297 35,643,463 58,460,834
Conservative portfolio 419,562,599 11,184,424 8,048,549 3,135,875
- -----------------------------------------------------------------------------------------
+ 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.
[DBL. DAGGER] Restricted, excluding 144A securities, as to public resale. Grand Union was acquired on
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. The total market value of restricted
securities held by the fund did not exceed 0.1% of each fund's net assets.
[2 DBL. DAGGERS] Income may be received in cash or additional securities at the discretion of the issuer.
# These securities or a portion of, and cash were pledged and segregated with the custodian to
cover margin requirements for futures contracts at March 31, 1997.
(R) Real Estate Investment Trust.
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.
ADR after the name of a foreign holding stands for American Depository Receipts, representing ownership
of foreign securities on deposit with a domestic custodian bank.
TBA after the name of a security represents to be announced securities (Note 1).
The rate shown on Floating Rate Notes, (FRN) and Annual Reset Bonds are the current interest rates shown at
March 31, 1997, which are subject to change based on the terms of the security.
Diversification by Country
Distribution of investments by country of issue at March 31, 1997: (as percentage of Market Value)
</TABLE>
Growth portfolio
- -----------------------------
France 2.3%
Canada 1.0
Germany 2.7
Japan 2.6
Netherlands 1.5
Sweden 1.0
United Kingdom 3.3
United States 80.1
Other 5.5
- -----------------------------
Total 100.0%
Distribution of investments by country of issue
at March 31, 1997: (as percentage of Market Value)
Balanced portfolio
- -----------------------------
Canada 1.1%
France 3.1
Germany 4.2
Japan 2.7
Netherlands 1.6
United Kingdom 4.2
United States 76.7
Other 6.4
- -----------------------------
Total 100.0%
Distribution of investments by country of issue at
March 31, 1997: (as percentage of Market Value)
Conservative portfolio
- -----------------------------
Canada 1.3%
France 3.6
Germany 5.3
Japan 1.7
Netherlands 1.2
United Kingdom 4.6
United States 74.6
Other 7.7
- -----------------------------
Total 100.0%
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------
Forward Currency Contracts to Buy
at March 31, 1997 GROWTH
(aggregate face value $28,656,342)
Unrealized
Aggregate Face Delivery Appreciation/
Market Value Value Date (Depreciation)
- -------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Australian Dollars $1,310,129 $1,311,328 6/18/97 ($1,199)
British Pounds 458,190 457,205 6/18/97 985
Canadian Dollars 2,784,537 2,832,053 6/18/97 (47,516)
Deutschemarks 10,749,650 10,656,376 6/18/97 93,274
Italian Lira 3,590,861 3,526,033 6/18/97 64,828
Japanese Yen 6,470,411 6,581,085 6/18/97 (110,674)
Spanish Peseta 1,535,316 1,531,062 6/18/97 4,254
Swiss Francs 1,759,535 1,761,200 6/18/97 (1,665)
- -------------------------------------------------------------------------------------------------------
$2,287
- -------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------
Forward Currency Contracts to Sell
at March 31, 1997 GROWTH
(aggregate face value $46,264,092)
Unrealized
Market Aggregate Face Delivery Appreciation/
Value Value Date (Depreciation)
- -------------------------------------------------------------------------------------------------------
British Pounds $6,652,188 $6,503,613 6/18/97 ($148,575)
Canadian Dollars 501,777 511,095 6/18/97 9,318
Danish Krone 483,822 481,796 6/18/97 (2,026)
Deutschemarks 9,518,860 9,424,413 6/18/97 (94,447)
Deutschemarks 3,317,711 3,722,324 5/12/97 404,613
French Francs 3,172,886 3,168,006 6/18/97 (4,880)
French Francs 6,742,471 7,432,145 5/12/97 689,674
Japanese Yen 6,143,984 6,604,226 4/16/97 460,242
Japanese Yen 1,960,389 1,989,898 6/18/97 29,509
Swedish Krona 989,890 973,393 6/18/97 (16,497)
Swiss Francs 5,385,034 5,453,183 6/18/97 68,149
- -------------------------------------------------------------------------------------------------------
$1,395,080
- -------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------
Futures Contracts Outstanding
at March 31, 1997 GROWTH
Unrealized
Aggregate Face Expiration Appreciation/
Total Value Value Date (Depreciation)
- -------------------------------------------------------------------------------------------------------
CAC 40 Index (long) $29,114,990 $28,312,456 Jun-97 $802,534
Dax Index (long) 80,492,601 78,715,024 Jun-97 1,777,577
German Bonds (long) 13,873,702 14,221,897 Jun-97 (348,195)
NASDAQ 100 Index
(short) 23,718,000 24,768,406 Jun-97 1,050,406
S&P Index (short) 49,649,000 52,405,889 Jun-97 2,756,889
UK Treasury Bonds
(short) 3,395,466 3,509,396 Jun-97 113,930
US Treasury Bonds
(short) 17,196,500 17,604,000 Jun-97 407,500
US Treasury Bonds
(short) 3,650,391 3,705,226 Jun-97 54,835
- -------------------------------------------------------------------------------------------------------
$6,615,476
- -------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------
TBA Sale Commitments
at March 31, 1997 GROWTH
(proceeds receivable $2,687,320)
Principal Delivery Coupon Market
Agency Amount Month Rate Value
- -------------------------------------------------------------------------------------------------------
FNMA $2,260,000 April 7.0% $2,160,402
FNMA 493,000 April 6.5% 480,364
- -------------------------------------------------------------------------------------------------------
$2,640,766
- -------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------
Forward Currency Contracts to Buy
at March 31, 1997 BALANCED
(aggregate face value $69,892,921)
Unrealized
Aggregate Face Delivery Appreciation/
Market Value Value Date (Depreciation)
- -------------------------------------------------------------------------------------------------------
Australian Dollars $2,213,512 $2,209,228 6/18/97 $4,284
British Pounds 1,734,634 1,730,904 6/18/97 3,730
Canadian Dollars 7,811,677 7,944,978 6/18/97 (133,301)
Deutschemarks 22,884,233 22,678,369 6/18/97 205,864
Italian Lira 9,534,403 9,361,950 6/18/97 172,453
Japanese Yen 16,583,557 16,905,823 6/18/97 (322,266)
Spanish Peseta 4,160,005 4,147,970 6/18/97 12,035
Swiss Francs 4,909,055 4,913,699 6/18/97 (4,644)
- -------------------------------------------------------------------------------------------------------
($61,845)
- -------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------
Forward Currency Contracts to Sell
at March 31, 1997 BALANCED
(aggregate face value $88,906,610)
Unrealized
Market Aggregate Face Delivery Appreciation/
Value Value Date (Depreciation)
- -------------------------------------------------------------------------------------------------------
British Pounds $19,228,078 $18,827,685 6/18/97 ($400,393)
Canadian Dollars 1,654,195 1,684,911 6/18/97 30,716
Danish Krone 1,098,900 1,094,298 6/18/97 (4,602)
Deutschemarks 20,044,763 19,844,667 6/18/97 (200,096)
Deutschemarks 4,093,140 4,590,813 5/12/97 497,673
French Francs 8,065,842 8,052,668 6/18/97 (13,174)
French Francs 8,144,266 8,971,216 5/12/97 826,950
Japanese Yen 4,672,027 4,733,868 6/18/97 61,841
Japanese Yen 8,397,319 9,026,356 4/16/97 629,037
Swedish Krona 2,602,985 2,558,186 6/18/97 (44,799)
Swiss Francs 4,219,789 4,213,232 6/18/97 (6,557)
Swiss Francs 5,213,786 5,308,710 5/12/97 94,924
- -------------------------------------------------------------------------------------------------------
$1,471,520
- -------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------
Futures Contracts Outstanding
at March 31, 1997 BALANCED
Aggregate Face Expiration Appreciation/
Total Value Value Date (Depreciation)
- -------------------------------------------------------------------------------------------------------
CAC 40 Index (long) $38,975,018 $37,900,691 Jun-97 $1,074,327
Dax Index (long) 104,395,227 102,085,917 Jun-97 2,309,310
German Bonds (long) 18,050,731 18,503,759 Jun-97 (453,028)
NASDAQ 100 Index
(short) 21,145,200 22,081,281 Jun-97 936,081
S&P Index (short) 67,462,000 71,218,095 Jun-97 3,756,095
UK Treasury Bonds
(short) 6,701,578 6,926,439 Jun-97 224,861
US Treasury Bonds
(short) 4,276,172 4,340,408 Jun-97 64,236
US Treasury Bonds
(short) 24,687,000 25,272,000 Jun-97 585,000
- -------------------------------------------------------------------------------------------------------
$8,496,882
- -------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------
TBA Sale Commitments
at March 31, 1997 BALANCED
(proceeds receivable $5,785,689)
Principal Delivery Coupon Market
Agency Amount Month Rate Value
- -------------------------------------------------------------------------------------------------------
FNMA $4,459,000 April 7.00% $4,262,492
GNMA 670,000 April 7.00% 639,013
FNMA 804,000 April 6.50% 783,393
- -------------------------------------------------------------------------------------------------------
$5,684,898
- -------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------
Forward Currency Contracts to Buy
at March 31, 1997 CONSERVATIVE
(aggregate face value $42,471,006)
Unrealized
Aggregate Face Delivery Appreciation/
Market Value Value Date (Depreciation)
- -------------------------------------------------------------------------------------------------------
Australian Dollars $1,687,933 $1,688,068 6/18/97 ($135)
British Pounds 550,254 549,070 6/18/97 1,184
Canadian Dollars 4,160,612 4,230,857 6/18/97 (70,245)
Deutschemarks 15,237,697 15,100,417 6/18/97 137,280
Italian Lira 5,601,528 5,499,590 6/18/97 101,938
Japanese Yen 10,202,960 10,390,115 6/18/97 (187,155)
Spanish Peseta 2,409,779 2,403,106 6/18/97 6,673
Swiss Francs 2,607,316 2,609,783 6/18/97 (2,467)
- -------------------------------------------------------------------------------------------------------
($12,927)
- -------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------
Forward Currency Contracts to Sell
at March 31, 1997 CONSERVATIVE
(aggregate face value $44,035,107)
Unrealized
Market Aggregate Face Delivery Appreciation/
Value Value Date (Depreciation)
- -------------------------------------------------------------------------------------------------------
British Pounds $10,345,471 $10,113,910 6/18/97 ($231,561)
Canadian Dollars 600,535 611,686 6/18/97 11,151
Danish Krone 762,038 758,845 6/18/97 (3,193)
Deutschemarks 13,130,204 12,996,880 6/18/97 (133,324)
Deutschemarks 1,200,838 1,347,591 5/12/97 146,753
French Francs 4,910,885 4,903,282 6/18/97 (7,603)
French Francs 2,385,183 2,631,318 5/12/97 246,135
Japanese Yen 3,217,365 3,263,643 6/18/97 46,278
Japanese Yen 2,164,174 2,326,291 4/16/97 162,117
Swedish Krona 1,512,585 1,486,012 6/18/97 (26,573)
Swiss Francs 2,215,101 2,214,204 6/18/97 (897)
Swiss Francs 1,358,911 1,381,445 5/12/97 22,534
- -------------------------------------------------------------------------------------------------------
$231,817
- -------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------
Futures Contracts Outstanding
at March 31, 1997 CONSERVATIVE
Unrealized
Aggregate Face Expiration Appreciation/
Total Value Value Date (Depreciation)
- -------------------------------------------------------------------------------------------------------
CAC 40 Index (long) $4,278,880 $4,160,932 Jun-97 $117,948
Dax Index (long) 44,945,107 43,958,085 Jun-97 987,022
FT-SE 100 Index (short) 4,067,159 4,147,868 Jun-97 80,709
German Bonds (long) 13,276,984 13,610,203 Jun-97 (333,219)
NASDAQ 100 Index
(short) 4,020,000 4,197,848 Jun-97 177,848
S&P Index (short) 7,201,000 7,643,965 Jun-97 442,965
UK Treasury Bonds
(short) 5,539,971 5,658,718 Jun-97 118,747
US Treasury Bonds
(short) 10,533,984 10,692,224 Jun-97 158,240
US Treasury Bonds
(short) 20,150,500 20,628,000 Jun-97 477,500
- -------------------------------------------------------------------------------------------------------
$2,227,760
- -------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------
TBA Sale Commitments
at March 31, 1997 CONSERVATIVE
(proceeds receivable $6,532,830)
Principal Delivery Coupon Market
Agency Amount Month Rate Value
- -------------------------------------------------------------------------------------------------------
FNMA $4,800,000 April 7.00% $4,588,464
GNMA 885,000 April 7.00% 844,069
FNMA 1,014,000 April 6.50% 988,011
- -------------------------------------------------------------------------------------------------------
$6,420,544
- -------------------------------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
</TABLE>
<TABLE>
<CAPTION>
Statement of assets and liabilities
March 31, 1997 (Unaudited)
Putnam Asset Allocation: Growth Portfolio
<S> <C>
Assets
- ----------------------------------------------------------------------------------
Investments in securities, at value
(identified cost $656,767,796) (Note 1) $710,135,633
- ----------------------------------------------------------------------------------
Repurchase agreement
(identified cost $92,964,524) (Note 1) 92,964,524
- ----------------------------------------------------------------------------------
Cash 3,081,963
- ----------------------------------------------------------------------------------
Foreign currency 1,940,904
- ----------------------------------------------------------------------------------
Margin deposit for futures contracts (Note 1) 5,385,000
- ----------------------------------------------------------------------------------
Dividends, interest and other receivables 3,079,195
- ----------------------------------------------------------------------------------
Receivable for shares of the fund sold 9,041,738
- ----------------------------------------------------------------------------------
Receivable for securities sold 12,105,656
- ----------------------------------------------------------------------------------
Receivable for variation margin 5,208,583
- ----------------------------------------------------------------------------------
Receivable for open forward currency contracts 1,832,560
- ----------------------------------------------------------------------------------
Receivable for closed forward currency contracts 681,899
- ----------------------------------------------------------------------------------
Unamortized organization expenses (Note 1) 4,936
- ----------------------------------------------------------------------------------
Total assets 845,462,591
Liabilities
- ----------------------------------------------------------------------------------
Payable for securities purchased 19,525,284
- ----------------------------------------------------------------------------------
Payable for shares of the fund repurchased 5,673,151
- ----------------------------------------------------------------------------------
Payable for compensation of Manager (Note 2) 1,264,766
- ----------------------------------------------------------------------------------
Payable for investor servicing and custodian fees (Note 2) 430,507
- ----------------------------------------------------------------------------------
Payable for compensation of Trustees (Note 2) 6,464
- ----------------------------------------------------------------------------------
Payable for administrative services (Note 2) 2,937
- ----------------------------------------------------------------------------------
Payable for distribution fees (Note 2) 464,095
- ----------------------------------------------------------------------------------
Payable for organization expenses (Note 1) 13,264
- ----------------------------------------------------------------------------------
Payable for open forward currency contracts 435,193
- ----------------------------------------------------------------------------------
Payable for closed forward currency contracts 248,069
- ----------------------------------------------------------------------------------
TBA sales commitments, at value (proceeds receivable $2,687,320) 2,640,766
- ----------------------------------------------------------------------------------
Other accrued expenses 208,523
- ----------------------------------------------------------------------------------
Total liabilities 30,913,019
- ----------------------------------------------------------------------------------
Net assets $814,549,572
Represented by
- ----------------------------------------------------------------------------------
Paid-in capital (Notes 1 and 4) $727,039,430
- ----------------------------------------------------------------------------------
Undistributed net investment income (Note 1) 681,116
- ----------------------------------------------------------------------------------
Accumulated net realized gain on investments and
foreign currency transactions (Note 1) 25,672,761
- ----------------------------------------------------------------------------------
Net unrealized appreciation of investments and
assets and liabilities in foreign currencies 61,156,265
- ----------------------------------------------------------------------------------
Total - Representing net assets applicable to
capital shares outstanding $814,549,572
Computation of net asset value and offering price
- ----------------------------------------------------------------------------------
Net asset value and redemption price per class A share
($302,309,981 divided by 26,690,457 shares) $11.33
- ----------------------------------------------------------------------------------
Offering price per class A share (100/94.25 of $11.33)* $12.02
- ----------------------------------------------------------------------------------
Net asset value and offering price per class B share
($256,003,965 divided by 22,807,703 shares)** $11.22
- ----------------------------------------------------------------------------------
Net asset value and offering price per class C share
($43,797,748 divided by 3,928,572 shares)** $11.15
- ----------------------------------------------------------------------------------
Net asset value and redemption price per class M share
($22,078,973 divided by 1,966,367 shares) $11.23
- ----------------------------------------------------------------------------------
Offering price per class M share (100/96.5 of $11.23)* $11.64
- ----------------------------------------------------------------------------------
Net asset value, offering price and redemption price per class Y share
($190,358,905 divided by 16,730,809 shares) $11.38
- ----------------------------------------------------------------------------------
* On single retail sales of less than $50,000. On sales of $50,000 or more and on group
sales the offering price is reduced.
** Redemption price per share is equal to net asset value less any applicable contingent
deferred sales charge.
The accompanying notes are an integral part of these financial statements.
</TABLE>
<TABLE>
<CAPTION>
Statement of operations
Six months ended March 31, 1997 (Unaudited)
Putnam Asset Allocation: Growth Portfolio
<S> <C>
Investment income:
- ----------------------------------------------------------------------------------
Interest (net of foreign tax of $7,565) $5,657,348
- ----------------------------------------------------------------------------------
Dividends (net of foreign tax of $81,979) 4,539,406
- ----------------------------------------------------------------------------------
Total investment income 10,196,754
- ----------------------------------------------------------------------------------
Expenses:
- ----------------------------------------------------------------------------------
Compensation of Manager (Note 2) 2,338,334
- ----------------------------------------------------------------------------------
Investor servicing and custodian fees (Note 2) 1,449,251
- ----------------------------------------------------------------------------------
Compensation of Trustees (Note 2) 15,670
- ----------------------------------------------------------------------------------
Administrative services (Note 2) 6,717
- ----------------------------------------------------------------------------------
Distribution fees - Class A (Note 2) 318,970
- ----------------------------------------------------------------------------------
Distribution fees - Class B (Note 2) 1,152,817
- ----------------------------------------------------------------------------------
Distribution fees - Class C (Note 2) 183,014
- ----------------------------------------------------------------------------------
Distribution fees - Class M (Note 2) 64,900
- ----------------------------------------------------------------------------------
Amortization of organization expenses (Note 1) 1,321
- ----------------------------------------------------------------------------------
Reports to shareholders 15,498
- ----------------------------------------------------------------------------------
Registration fees 88,826
- ----------------------------------------------------------------------------------
Auditing 30,335
- ----------------------------------------------------------------------------------
Legal 5,984
- ----------------------------------------------------------------------------------
Postage 78,913
- ----------------------------------------------------------------------------------
Other 22,136
- ----------------------------------------------------------------------------------
Total expenses 5,772,686
- ----------------------------------------------------------------------------------
Expense reduction (Note 2) (318,815)
- ----------------------------------------------------------------------------------
Net expenses 5,453,871
- ----------------------------------------------------------------------------------
Net investment income 4,742,883
- ----------------------------------------------------------------------------------
Net realized gain on investments (Notes 1 and 3) 13,726,220
- ----------------------------------------------------------------------------------
Net realized gain on futures contracts (Notes 1 and 3) 12,085,570
- ----------------------------------------------------------------------------------
Net realized gain on foreign currency transactions (Note 1) 769,279
- ----------------------------------------------------------------------------------
Net unrealized appreciation of assets and liabilities in
foreign currencies during the period 968,216
- ----------------------------------------------------------------------------------
Net unrealized depreciation of investments, futures and
TBA sale commitments during the period (3,779,161)
- ----------------------------------------------------------------------------------
Net gain on investments 23,770,124
- ----------------------------------------------------------------------------------
Net increase in net assets resulting from operations $28,513,007
- ----------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
</TABLE>
<TABLE>
<CAPTION>
Statement of changes in net assets
Putnam Asset Allocation: Growth Portfolio
Six months ended Year ended
March 31, September 30
1997* 1996
- -----------------------------------------------------------------------------------------------------
<S> <C> <C>
Increase in net assets
- -----------------------------------------------------------------------------------------------------
Operations:
- -----------------------------------------------------------------------------------------------------
Net investment income $4,742,883 $5,435,648
- -----------------------------------------------------------------------------------------------------
Net realized gain on investments and
foreign currency transactions 26,581,069 31,633,588
- -----------------------------------------------------------------------------------------------------
Net unrealized appreciation
(depreciation) of investments and
assets and liabilities in foreign currencies (2,810,945) 29,767,246
- -----------------------------------------------------------------------------------------------------
Net increase in net assets resulting from operations 28,513,007 66,836,482
- -----------------------------------------------------------------------------------------------------
Distributions to shareholders:
- -----------------------------------------------------------------------------------------------------
From net investment income
Class A (3,419,375) (2,471,036)
- -----------------------------------------------------------------------------------------------------
Class B (1,858,459) (1,771,400)
- -----------------------------------------------------------------------------------------------------
Class C (354,573) (137,682)
- -----------------------------------------------------------------------------------------------------
Class M (181,831) (60,532)
- -----------------------------------------------------------------------------------------------------
Class Y (2,813,692) (894,776)
- -----------------------------------------------------------------------------------------------------
From net realized gain on investments
Class A (9,736,876) (3,563,495)
- -----------------------------------------------------------------------------------------------------
Class B (8,947,424) (3,394,151)
- -----------------------------------------------------------------------------------------------------
Class C (1,403,269) (263,811)
- -----------------------------------------------------------------------------------------------------
Class M (610,900) (96,428)
- -----------------------------------------------------------------------------------------------------
Class Y (7,064,486) (1,178,695)
- -----------------------------------------------------------------------------------------------------
Increase from capital share transactions (Note 4) 313,799,180 160,838,514
- -----------------------------------------------------------------------------------------------------
Total increase in net assets 305,921,302 213,842,990
Net assets
- -----------------------------------------------------------------------------------------------------
Beginning of period 508,628,270 294,785,280
- -----------------------------------------------------------------------------------------------------
End of period (including undistributed net investment
income of $681,116 and $4,566,163, respectively) $814,549,572 $508,628,270
- -----------------------------------------------------------------------------------------------------
* Unaudited
The accompanying notes are an integral part of these financial statements.
</TABLE>
<TABLE>
<CAPTION>
Financial Highlights
(For a share outstanding throughout the period)
Putnam Asset Allocation: Growth Portfolio
CLASS A
- ---------------------------------------------------------------------------------------------------------------------------------
Six months
ended For the period
Per-share March 31 Feb. 8, 1994+
operating performance (Unaudited) Year ended September 30 to Sept. 30
- ---------------------------------------------------------------------------------------------------------------------------------
1997 1996 1995 1994
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Net asset value,
beginning of period $11.41 $10.06 $8.43 $8.50
- ---------------------------------------------------------------------------------------------------------------------------------
Investment operations
- ---------------------------------------------------------------------------------------------------------------------------------
Net investment income (d) .09 .18 .18 (a) .10 (a)
- ---------------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investments .46 1.63 1.53 (.17)
- ---------------------------------------------------------------------------------------------------------------------------------
Total from
investment operations .55 1.81 1.71 (.07)
- ---------------------------------------------------------------------------------------------------------------------------------
Less distributions:
- ---------------------------------------------------------------------------------------------------------------------------------
From net
investment income (.16) (.19) (.08) --
- ---------------------------------------------------------------------------------------------------------------------------------
From net realized gain
on investments (.47) (.27) -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Total distributions (.63) (.46) (.08) --
- ---------------------------------------------------------------------------------------------------------------------------------
Net asset value,
end of period $11.33 $11.41 $10.06 $8.43
- ---------------------------------------------------------------------------------------------------------------------------------
Ratios and supplemental data
- ---------------------------------------------------------------------------------------------------------------------------------
Total investment return
at net asset value (%)(b) 4.87 * 18.75 20.45 (.82)*
- ---------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $302,310 $210,531 $122,228 $43,669
- ---------------------------------------------------------------------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(c) .70 * 1.45 1.49 (a) .78 (a)*
- ---------------------------------------------------------------------------------------------------------------------------------
Ratio of net investment income
to average net assets (%) .79 * 1.72 1.98 (a) 1.31 (a)*
- ---------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 48.21 * 100.93 88.36 39.9 *
- ---------------------------------------------------------------------------------------------------------------------------------
Average commission
rate paid (e) $.0445 $.0486
- ---------------------------------------------------------------------------------------------------------------------------------
+ Commencement of operations.
* Not annualized.
(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) The ratio of expenses to average net assets for the year ended September 30, 1995 and thereafter,
includes amounts paid through expense offset and brokerage service arrangements. Prior period ratios
exclude these amounts (Note 2).
(d) Per share net investment income has been determined on the basis of the weighted average number
of shares outstanding during the period.
(e) Average commission rate paid on security trades is required for fiscal periods beginning
on or after September 1, 1995.
</TABLE>
<TABLE>
<CAPTION>
Financial Highlights
(For a share outstanding throughout the period)
Putnam Asset Allocation: Growth Portfolio
CLASS B
- ----------------------------------------------------------------------------------------------------------------------------------
Six months
ended For the period
Per-share March 31 Feb. 16, 1994+
operating performance (Unaudited) Year ended September 30 to Sept. 30
- ----------------------------------------------------------------------------------------------------------------------------------
1997 1996 1995 1994
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Net asset value,
beginning of period $11.29 $9.97 $8.39 $8.50
- ----------------------------------------------------------------------------------------------------------------------------------
Investment operations
- ----------------------------------------------------------------------------------------------------------------------------------
Net investment income (d) .05 .10 .11 (a) .06 (a)
- ----------------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investments .44 1.64 1.52 (.17)
- ----------------------------------------------------------------------------------------------------------------------------------
Total from
investment operations .49 1.74 1.63 (.11)
- ----------------------------------------------------------------------------------------------------------------------------------
Less distributions:
- ----------------------------------------------------------------------------------------------------------------------------------
From net
investment income (.09) (.15) (.05) --
- ----------------------------------------------------------------------------------------------------------------------------------
From net realized gain
on investments (.47) (.27) -- --
- ----------------------------------------------------------------------------------------------------------------------------------
Total distributions (.56) (.42) (.05) --
- ----------------------------------------------------------------------------------------------------------------------------------
Net asset value,
end of period $11.22 $11.29 $9.97 $8.39
- ----------------------------------------------------------------------------------------------------------------------------------
Ratios and supplemental data
- ----------------------------------------------------------------------------------------------------------------------------------
Total investment return
at net asset value (%)(c) 4.40 * 18.04 19.57 (1.29)*
- ----------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $256,004 $199,871 $116,263 $50,664
- ----------------------------------------------------------------------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(b) 1.08 * 2.21 2.23 (a) 1.21 (a)*
- ----------------------------------------------------------------------------------------------------------------------------------
Ratio of net investment income
to average net assets (%) .41 * .95 1.22 (a) .80 (a)*
- ----------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 48.21 * 100.93 88.36 39.9 *
- ----------------------------------------------------------------------------------------------------------------------------------
Average commission
rate paid (e) $.0445 $.0486
- ----------------------------------------------------------------------------------------------------------------------------------
+ Commencement of operations.
* Not annualized.
(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) The ratio of expenses to average net assets for the year ended September 30, 1995 and thereafter,
includes amounts paid through expense offset and brokerage service arrangements. Prior period ratios
exclude these amounts (Note 2).
(d) Per share net investment income has been determined on the basis of the weighted average number
of shares outstanding during the period.
(e) Average commission rate paid on security trades is required for fiscal periods beginning
on or after September 1, 1995.
</TABLE>
<TABLE>
<CAPTION>
Financial Highlights
(For a share outstanding throughout the period)
Putnam Asset Allocation: Growth Portfolio
CLASS C
- ----------------------------------------------------------------------------------------------------------------------------------
Six months
ended For the period
Per-share March 31 Sept. 1, 1994+
operating performance (Unaudited) Year ended September 30 to Sept. 30
- ----------------------------------------------------------------------------------------------------------------------------------
1997 1996 1995 1994
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Net asset value,
beginning of period $11.24 $9.93 $8.39 $8.46
- ----------------------------------------------------------------------------------------------------------------------------------
Investment operations
- ----------------------------------------------------------------------------------------------------------------------------------
Net investment income (d) .05 .10 .11 (a) .01 (a)
- ----------------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investments .45 1.63 1.51 (.08)
- ----------------------------------------------------------------------------------------------------------------------------------
Total from
investment operations .50 1.73 1.62 (.07)
- ----------------------------------------------------------------------------------------------------------------------------------
Less distributions:
- ----------------------------------------------------------------------------------------------------------------------------------
From net
investment income (.12) (.15) (.08) --
- ----------------------------------------------------------------------------------------------------------------------------------
From net realized gain
on investments (.47) (.27) -- --
- ----------------------------------------------------------------------------------------------------------------------------------
Total distributions (.59) (.42) (.08) --
- ----------------------------------------------------------------------------------------------------------------------------------
Net asset value,
end of period $11.15 $11.24 $9.93 $8.39
- ----------------------------------------------------------------------------------------------------------------------------------
Ratios and supplemental data
- ----------------------------------------------------------------------------------------------------------------------------------
Total investment return
at net asset value (%)(c) 4.43 * 18.01 19.46 (.83)*
- ----------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $43,798 $27,556 $7,985 $385
- ----------------------------------------------------------------------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(b) 1.08 * 2.23 2.23 (a) .15 (a)*
- ----------------------------------------------------------------------------------------------------------------------------------
Ratio of net investment income
to average net assets (%) .42 * .94 1.24 (a) .14 (a)*
- ----------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 48.21 * 100.93 88.36 39.9 *
- ----------------------------------------------------------------------------------------------------------------------------------
Average commission
rate paid (e) $.0445 $.0486
- ----------------------------------------------------------------------------------------------------------------------------------
+ Commencement of operations.
* Not annualized.
(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) The ratio of expenses to average net assets for the year ended September 30, 1995 and thereafter,
includes amounts paid through expense offset and brokerage service arrangements. Prior period ratios
exclude these amounts (Note 2).
(d) Per share net investment income has been determined on the basis of the weighted average number
of shares outstanding during the period.
(e) Average commission rate paid on security trades is required for fiscal periods beginning
on or after September 1, 1995.
</TABLE>
<TABLE>
<CAPTION>
Financial Highlights
(For a share outstanding throughout the period)
Putnam Asset Allocation: Growth Portfolio
CLASS M
- ----------------------------------------------------------------------------------------------------------------------------------
Six months
ended For the period
Per-share March 31 Year ended Feb. 3, 1995+
operating performance (Unaudited) Sept. 30 to Sept. 30
- ----------------------------------------------------------------------------------------------------------------------------------
1997 1996 1995
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Net asset value,
beginning of period $11.32 $10.01 $8.39
- ----------------------------------------------------------------------------------------------------------------------------------
Investment operations
- ----------------------------------------------------------------------------------------------------------------------------------
Net investment income(d) .06 .12 .08 (a)
- ----------------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investments .46 1.64 1.54
- ----------------------------------------------------------------------------------------------------------------------------------
Total from
investment operations .52 1.76 1.62
- ----------------------------------------------------------------------------------------------------------------------------------
Less distributions:
- ----------------------------------------------------------------------------------------------------------------------------------
From net
investment income (.14) (.18) --
- ----------------------------------------------------------------------------------------------------------------------------------
From net realized gain
on investments (.47) (.27) --
- ----------------------------------------------------------------------------------------------------------------------------------
Total distributions (.61) (.45) --
- ----------------------------------------------------------------------------------------------------------------------------------
Net asset value,
end of period $11.23 $11.32 $10.01
- ----------------------------------------------------------------------------------------------------------------------------------
Ratios and supplemental data
- ----------------------------------------------------------------------------------------------------------------------------------
Total investment return
at net asset value (%)(b) 4.59 * 18.21 19.31 *
- ----------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $22,079 $12,369 $3,160
- ----------------------------------------------------------------------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(c) .95 * 1.95 1.45 (a)*
- ----------------------------------------------------------------------------------------------------------------------------------
Ratio of net investment income
to average net assets (%) .54 * 1.16 .79 (a)*
- ----------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 48.21 * 100.93 88.36
- ----------------------------------------------------------------------------------------------------------------------------------
Average commission
rate paid (e) $.0445 $.0486
- ----------------------------------------------------------------------------------------------------------------------------------
+ Commencement of operations.
* Not annualized.
(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) The ratio of expenses to average net assets for the year ended September 30, 1995 and thereafter,
includes amounts paid through expense offset and brokerage service arrangements. Prior period ratios
exclude these amounts (Note 2).
(d) Per share net investment income has been determined on the basis of the weighted average number
of shares outstanding during the period.
(e) Average commission rate paid on security trades is required for fiscal periods beginning
on or after September 1, 1995.
</TABLE>
<TABLE>
<CAPTION>
Financial Highlights
(For a share outstanding throughout the period)
Putnam Asset Allocation: Growth Portfolio
CLASS Y
- ----------------------------------------------------------------------------------------------------------------------------------
Six months
ended For the period
Per-share March 31 July 14, 1994+
operating performance (Unaudited) Year ended September 30 to Sept. 30
- ----------------------------------------------------------------------------------------------------------------------------------
1997 1996 1995 1994
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Net asset value,
beginning of period $11.47 $10.09 $8.43 $8.22
- ----------------------------------------------------------------------------------------------------------------------------------
Investment operations (d)
- ----------------------------------------------------------------------------------------------------------------------------------
Net investment income .12 .21 .17 (a) .03 (a)
- ----------------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investments .44 1.65 1.57 .18
- ----------------------------------------------------------------------------------------------------------------------------------
Total from
investment operations .56 1.86 1.74 .21
- ----------------------------------------------------------------------------------------------------------------------------------
Less distributions:
- ----------------------------------------------------------------------------------------------------------------------------------
From net
investment income (.18) (.21) (.08) --
- ----------------------------------------------------------------------------------------------------------------------------------
From net realized gain
on investments (.47) (.27) -- --
- ----------------------------------------------------------------------------------------------------------------------------------
Total distributions (.65) (.48) (.08) --
- ----------------------------------------------------------------------------------------------------------------------------------
Net asset value,
end of period $11.38 $11.47 $10.09 $8.43
- ----------------------------------------------------------------------------------------------------------------------------------
Ratios and supplemental data
- ----------------------------------------------------------------------------------------------------------------------------------
Total investment return
at net asset value (%)(b) 4.95 * 19.20 20.94 2.55 *
- ----------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $190,359 $58,301 $45,150 $775
- ----------------------------------------------------------------------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(c) .58 * 1.21 1.28 (a) .20 (a)*
- ----------------------------------------------------------------------------------------------------------------------------------
Ratio of net investment income
to average net assets (%) .95 * 1.97 2.05 (a) .50 (a)*
- ----------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 48.21 * 100.93 88.36 39.9 *
- ----------------------------------------------------------------------------------------------------------------------------------
Average commission
rate paid (e) $.0445 $.0486
- ----------------------------------------------------------------------------------------------------------------------------------
+ Commencement of operations.
* Not annualized.
(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) The ratio of expenses to average net assets for the year ended September 30, 1995 and thereafter,
includes amounts paid through expense offset and brokerage service arrangements. Prior period ratios
exclude these amounts (Note 2).
(d) Per share net investment income has been determined on the basis of the weighted average number
of shares outstanding during the period.
(e) Average commission rate paid on security trades is required for fiscal periods beginning
on or after September 1, 1995.
</TABLE>
<TABLE>
<CAPTION>
Statement of assets and liabilities
March 31, 1997 (Unaudited)
Putnam Asset Allocation: Balanced Portfolio
<S> <C>
Assets
- ------------------------------------------------------------------------------------------
Investments in securities, at value
(identified cost $898,892,745) (Note 1) $959,641,387
- ------------------------------------------------------------------------------------------
Repurchase agreement, at value
(identified cost $119,933,317) (Note 1) 119,933,317
- ------------------------------------------------------------------------------------------
Cash 3,069,040
- ------------------------------------------------------------------------------------------
Foreign currency 3,058,197
- ------------------------------------------------------------------------------------------
Dividends, interest and other receivables 6,442,255
- ------------------------------------------------------------------------------------------
Receivable for shares of the fund sold 23,371,593
- ------------------------------------------------------------------------------------------
Receivable for securities sold 23,531,383
- ------------------------------------------------------------------------------------------
Receivable for variation margin 6,606,923
- ------------------------------------------------------------------------------------------
Receivable for open forward currency contracts 2,548,964
- ------------------------------------------------------------------------------------------
Receivable for closed forward currency contracts 982,238
- ------------------------------------------------------------------------------------------
Unamortized organization expenses (Note 1) 4,924
- ------------------------------------------------------------------------------------------
Total assets 1,149,190,221
Liabilities
- ------------------------------------------------------------------------------------------
Payable for securities purchased 31,476,377
- ------------------------------------------------------------------------------------------
Payable for shares of the fund repurchased 22,105,998
- ------------------------------------------------------------------------------------------
Payable for compensation of Manager (Note 2) 1,651,335
- ------------------------------------------------------------------------------------------
Payable for investor servicing and custodian fees (Note 2) 482,036
- ------------------------------------------------------------------------------------------
Payable for compensation of Trustees (Note 2) 6,701
- ------------------------------------------------------------------------------------------
Payable for administrative services (Note 2) 2,971
- ------------------------------------------------------------------------------------------
Payable for distribution fees (Note 2) 644,920
- ------------------------------------------------------------------------------------------
Payable for organization expenses (Note 1) 13,263
- ------------------------------------------------------------------------------------------
Payable for open forward currency contracts 1,139,289
- ------------------------------------------------------------------------------------------
Payable for closed forward currency contracts 604,633
- ------------------------------------------------------------------------------------------
TBA sales commitments, at value (proceeds receivable $5,785,689) 5,684,898
- ------------------------------------------------------------------------------------------
Other accrued expenses 107,758
- ------------------------------------------------------------------------------------------
Total liabilities 63,920,179
- ------------------------------------------------------------------------------------------
Net assets $1,085,270,042
Represented by
- ------------------------------------------------------------------------------------------
Paid-in capital (Notes 1 and 4) $983,311,099
- ------------------------------------------------------------------------------------------
Undistributed net investment income (Note 1) 1,110,688
- ------------------------------------------------------------------------------------------
Accumulated net realized gain on investments and
foreign currency transactions (Note 1) 30,418,908
- ------------------------------------------------------------------------------------------
Net unrealized appreciation of investments and
assets and liabilities in foreign currencies 70,429,347
- ------------------------------------------------------------------------------------------
Total - Representing net assets applicable to
capital shares outstanding $1,085,270,042
Computation of net asset value and offering price
- ------------------------------------------------------------------------------------------
Net asset value and redemption price per class A share
($473,152,183 divided by 44,912,817 shares) $10.53
- ------------------------------------------------------------------------------------------
Offering price per class A share (100/94.25 of $10.53)* $11.17
- ------------------------------------------------------------------------------------------
Net asset value and offering price per class B share
($331,398,907 divided by 31,596,256 shares)** $10.49
- ------------------------------------------------------------------------------------------
Net asset value and offering price per class C share
($45,792,361 divided by 4,381,639 shares)** $10.45
- ------------------------------------------------------------------------------------------
Net asset value and redemption price per class M share
($26,719,517 divided by 2,537,815 shares) $10.53
- ------------------------------------------------------------------------------------------
Offering price per class M share (100/96.50 of $10.53)* $10.91
- ------------------------------------------------------------------------------------------
Net asset value, offering price and redemption price per class Y share
($208,207,074 divided by 19,758,650 shares) $10.54
- ------------------------------------------------------------------------------------------
* On single retail sales of less than $50,000. On sales of $50,000 or more and on group sales
the offering price is reduced.
** Redemption price per share is equal to net asset value less any applicable contingent deferred
sales charge.
The accompanying notes are an integral part of these financial statements.
</TABLE>
<TABLE>
<CAPTION>
Statement of operations
Six months ended March 31, 1997 (Unaudited)
Putnam Asset Allocation: Balanced Portfolio
<S> <C>
Investment income:
- ------------------------------------------------------------------------------------------
Interest (net of foreign tax of $18,219) $12,636,658
- ------------------------------------------------------------------------------------------
Dividends (net of foreign tax of $101,953) 5,019,520
- ------------------------------------------------------------------------------------------
Total investment income 17,656,178
- ------------------------------------------------------------------------------------------
Expenses:
- ------------------------------------------------------------------------------------------
Compensation of Manager (Note 2) 2,989,974
- ------------------------------------------------------------------------------------------
Investor servicing and custodian fees (Note 2) 1,411,196
- ------------------------------------------------------------------------------------------
Compensation of Trustees (Note 2) 17,600
- ------------------------------------------------------------------------------------------
Administrative services (Note 2) 5,863
- ------------------------------------------------------------------------------------------
Distribution fees - Class A (Note 2) 502,620
- ------------------------------------------------------------------------------------------
Distribution fees - Class B (Note 2) 1,497,932
- ------------------------------------------------------------------------------------------
Distribution fees - Class C (Note 2) 189,562
- ------------------------------------------------------------------------------------------
Distribution fees - Class M (Note 2) 76,575
- ------------------------------------------------------------------------------------------
Amortization of organization expenses (Note 1) 1,322
- ------------------------------------------------------------------------------------------
Reports to shareholders 32,004
- ------------------------------------------------------------------------------------------
Registration fees 102,069
- ------------------------------------------------------------------------------------------
Auditing 32,900
- ------------------------------------------------------------------------------------------
Legal 6,985
- ------------------------------------------------------------------------------------------
Postage 37,215
- ------------------------------------------------------------------------------------------
Other 21,264
- ------------------------------------------------------------------------------------------
Total expenses 6,925,081
- ------------------------------------------------------------------------------------------
Expense reduction (Note 2) (181,763)
- ------------------------------------------------------------------------------------------
Net expenses 6,743,318
- ------------------------------------------------------------------------------------------
Net investment income 10,912,860
- ------------------------------------------------------------------------------------------
Net realized gain on investments (Notes 1 and 3) 19,096,637
- ------------------------------------------------------------------------------------------
Net realized gain on futures contracts (Notes 1 and 3) 16,514,462
- ------------------------------------------------------------------------------------------
Net realized gain on foreign currency transactions (Note 1) 235,229
- ------------------------------------------------------------------------------------------
Net unrealized appreciation of assets and liabilities in
foreign currencies during the period 893,372
- ------------------------------------------------------------------------------------------
Net unrealized depreciation of investments, futures and
TBA sale commitments during the period (6,351,081)
- ------------------------------------------------------------------------------------------
Net gain on investments 30,388,619
- ------------------------------------------------------------------------------------------
Net increase in net assets resulting from operations $41,301,479
- ------------------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
</TABLE>
<TABLE>
<CAPTION>
Statement of changes in net assets
Putnam Asset Allocation: Balanced Portfolio
Six months ended Year ended
March 31, September 30
1997* 1996
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Increase in net assets
- ---------------------------------------------------------------------------------------------------------------
Operations:
- ---------------------------------------------------------------------------------------------------------------
Net investment income $10,912,860 $14,211,074
- ---------------------------------------------------------------------------------------------------------------
Net realized gain on investments and
foreign currency transactions 35,846,328 41,972,934
- ---------------------------------------------------------------------------------------------------------------
Net unrealized appreciation
(depreciation) of investments and
assets and liabilities in foreign currencies (5,457,709) 32,957,829
- ---------------------------------------------------------------------------------------------------------------
Net increase in net assets resulting from operations 41,301,479 89,141,837
- ---------------------------------------------------------------------------------------------------------------
Distributions to shareholders:
- ---------------------------------------------------------------------------------------------------------------
From net investment income
Class A (7,352,014) (6,120,832)
- ---------------------------------------------------------------------------------------------------------------
Class B (4,552,318) (4,209,053)
- ---------------------------------------------------------------------------------------------------------------
Class C (583,275) (365,863)
- ---------------------------------------------------------------------------------------------------------------
Class M (334,878) (164,641)
- ---------------------------------------------------------------------------------------------------------------
Class Y (2,941,926) (2,550,204)
- ---------------------------------------------------------------------------------------------------------------
From net realized gain on investments
Class A (17,400,958) (5,171,891)
- ---------------------------------------------------------------------------------------------------------------
Class B (14,022,870) (5,203,895)
- ---------------------------------------------------------------------------------------------------------------
Class C (1,750,678) (396,189)
- ---------------------------------------------------------------------------------------------------------------
Class M (891,021) (121,806)
- ---------------------------------------------------------------------------------------------------------------
Class Y (6,323,825) (2,134,847)
- ---------------------------------------------------------------------------------------------------------------
Increase from capital share transactions (Note 4) 336,792,701 301,988,514
- ---------------------------------------------------------------------------------------------------------------
Total increase in net assets 321,940,417 364,691,130
Net assets
- ---------------------------------------------------------------------------------------------------------------
Beginning of period 763,329,625 398,638,495
- ---------------------------------------------------------------------------------------------------------------
End of period (including undistributed net investment
income of $1,110,688 and $5,962,239, respectively) $1,085,270,042 $763,329,625
- ---------------------------------------------------------------------------------------------------------------
* Unaudited
The accompanying notes are an integral part of these financial statements.
</TABLE>
<TABLE>
<CAPTION>
Financial highlights
(For a share outstanding throughout the period)
Putnam Asset Allocation: Balanced Portfolio
CLASS A
- --------------------------------------------------------------------------------------------------------------------
Six months
ended For the period
Per-share March 31 Feb. 7, 1994+
operating performance (Unaudited) Year ended September 30 to Sept. 30
- --------------------------------------------------------------------------------------------------------------------
1997 1996 1995 1994
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Net asset value,
beginning of period $10.71 $9.67 $8.33 $8.50
- --------------------------------------------------------------------------------------------------------------------
Investment operations
- --------------------------------------------------------------------------------------------------------------------
Net investment income .13 .29 (d) .27 (a)(d) .16(a)(d)
- --------------------------------------------------------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investments .43 1.32 1.27 (.28)
- --------------------------------------------------------------------------------------------------------------------
Total from
investment operations .56 1.61 1.54 (.12)
- --------------------------------------------------------------------------------------------------------------------
Less distributions:
- --------------------------------------------------------------------------------------------------------------------
From net
investment income (.21) (.28) (.20) (.05)
- --------------------------------------------------------------------------------------------------------------------
From net realized gain
on investments (.53) (.29) -- --
- --------------------------------------------------------------------------------------------------------------------
Total distributions (.74) (.57) (.20) (.05)
- --------------------------------------------------------------------------------------------------------------------
Net asset value,
end of period $10.53 $10.71 $9.67 $8.33
- --------------------------------------------------------------------------------------------------------------------
Ratios and supplemental data
- --------------------------------------------------------------------------------------------------------------------
Total investment return
at net asset value (%)(b) 5.23 * 17.41 18.73 (1.47)*
- --------------------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $473,152 $327,326 $152,317 $54,483
- --------------------------------------------------------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(c) .63 * 1.33 1.32 (a) .83 (a)*
- --------------------------------------------------------------------------------------------------------------------
Ratio of net investment income
to average net assets (%) 1.30 * 2.83 2.95 (a) 2.13 (a)*
- --------------------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 56.64 * 122.12 106.03 52.62 *
- --------------------------------------------------------------------------------------------------------------------
Average commission
rate paid (e) $.0430 $.0470
- --------------------------------------------------------------------------------------------------------------------
+ Commencement of operations.
* Not annualized.
(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) The ratio of expenses to average net assets for the year ended September 30, 1995 and thereafter,
includes amounts paid through expense offset and brokerage service arrangements. Prior period ratios
exclude these amounts (Note 2).
(d) Per share net investment income has been determined on the basis of the weighted average number
of shares outstanding during the period.
(e) Average commission rate paid on security trades is required for fiscal periods beginning
on or after September 1, 1995.
</TABLE>
<TABLE>
<CAPTION>
Financial highlights
(For a share outstanding throughout the period)
Putnam Asset Allocation: Balanced Portfolio
CLASS B
- -----------------------------------------------------------------------------------------------------------------------
Six months
ended For the period
Per-share March 31 Feb. 11, 1994+
operating performance (Unaudited) Year ended September 30 to Sept. 30
- -----------------------------------------------------------------------------------------------------------------------
1997 1996 1995 1994
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Net asset value,
beginning of period $10.67 $9.64 $8.31 $8.50
- -----------------------------------------------------------------------------------------------------------------------
Investment operations
- -----------------------------------------------------------------------------------------------------------------------
Net investment income .09 .21 (d) .20 (a)(d) .11 (a)(d)
- -----------------------------------------------------------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investments .43 1.32 1.26 (.27)
- -----------------------------------------------------------------------------------------------------------------------
Total from
investment operations .52 1.53 1.46 (.16)
- -----------------------------------------------------------------------------------------------------------------------
Less distributions:
- -----------------------------------------------------------------------------------------------------------------------
From net
investment income (.17) (.21) (.13) (.03)
- -----------------------------------------------------------------------------------------------------------------------
From net realized gain
on investments (.53) (.29) -- --
- -----------------------------------------------------------------------------------------------------------------------
Total distributions (.70) (.50) (.13) (.03)
- -----------------------------------------------------------------------------------------------------------------------
Net asset value,
end of period $10.49 $10.67 $9.64 $8.31
- -----------------------------------------------------------------------------------------------------------------------
Ratios and supplemental data
- -----------------------------------------------------------------------------------------------------------------------
Total investment return
at net asset value (%)(b) 4.89 * 16.54 17.83 (1.89)*
- -----------------------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $331,399 $264,830 $159,230 $81,093
- -----------------------------------------------------------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(c) 1.01 * 2.08 2.07 (a) 1.23 (a)*
- -----------------------------------------------------------------------------------------------------------------------
Ratio of net investment income
to average net assets (%) .93 * 2.08 2.26 (a) 1.41 (a)*
- -----------------------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 56.64 * 122.12 106.03 52.62 *
- -----------------------------------------------------------------------------------------------------------------------
Average commission
rate paid (e) $.0430 $.0470
- -----------------------------------------------------------------------------------------------------------------------
+ Commencement of operations.
* Not annualized.
(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) The ratio of expenses to average net assets for the year ended September 30, 1995 and thereafter,
includes amounts paid through expense offset and brokerage service arrangements. Prior period ratios
exclude these amounts (Note 2).
(d) Per share net investment income has been determined on the basis of the weighted average number
of shares outstanding during the period.
(e) Average commission rate paid on security trades is required for fiscal periods beginning
on or after September 1, 1995.
</TABLE>
<TABLE>
<CAPTION>
Financial highlights
(For a share outstanding throughout the period)
Putnam Asset Allocation: Balanced Portfolio
CLASS C
- ---------------------------------------------------------------------------------------------------------------------
Six months
ended For the period
Per-share March 31 Sept. 1, 1994+
operating performance (Unaudited) Year ended September 30 to Sept. 30
- ---------------------------------------------------------------------------------------------------------------------
1997 1996 1995 1994
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Net asset value,
beginning of period $10.64 $9.62 $8.31 $8.41
- ---------------------------------------------------------------------------------------------------------------------
Investment operations
- ---------------------------------------------------------------------------------------------------------------------
Net investment income .09 .22 (d) .20 (a)(d) .01 (a)(d)
- ---------------------------------------------------------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investments .42 1.30 1.27 (.08)
- ---------------------------------------------------------------------------------------------------------------------
Total from
investment operations .51 1.52 1.47 (.07)
- ---------------------------------------------------------------------------------------------------------------------
Less distributions:
- ---------------------------------------------------------------------------------------------------------------------
From net
investment income (.17) (.21) (.16) (.03)
- ---------------------------------------------------------------------------------------------------------------------
From net realized gain
on investments (.53) (.29) -- --
- ---------------------------------------------------------------------------------------------------------------------
Total distributions (.70) (.50) (.16) (.03)
- ---------------------------------------------------------------------------------------------------------------------
Net asset value,
end of period $10.45 $10.64 $9.62 $8.31
- ---------------------------------------------------------------------------------------------------------------------
Ratios and supplemental data
- ---------------------------------------------------------------------------------------------------------------------
Total investment return
at net asset value (%)(b) 4.82 * 16.47 17.89 (.84)*
- ---------------------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $45,792 $29,724 $11,921 $441
- ---------------------------------------------------------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(c) 1.01 * 2.09 2.09 (a) .16 (a)*
- ---------------------------------------------------------------------------------------------------------------------
Ratio of net investment income
to average net assets (%) .93 * 2.18 2.22 (a) .11 (a)*
- ---------------------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 56.64 * 122.12 106.03 52.62 *
- ---------------------------------------------------------------------------------------------------------------------
Average commission
rate paid (e) $.0430 $.0470
- ---------------------------------------------------------------------------------------------------------------------
+ Commencement of operations.
* Not annualized.
(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) The ratio of expenses to average net assets for the year ended September 30, 1995 and thereafter,
includes amounts paid through expense offset and brokerage service arrangements. Prior period ratios
exclude these amounts (Note 2).
(d) Per share net investment income has been determined on the basis of the weighted average number
of shares outstanding during the period.
(e) Average commission rate paid on security trades is required for fiscal periods beginning
on or after September 1, 1995.
</TABLE>
<TABLE>
<CAPTION>
Financial highlights
(For a share outstanding throughout the period)
Putnam Asset Allocation: Balanced Portfolio
CLASS M
- -----------------------------------------------------------------------------------------------------------------
Six months
ended For the period
Per-share March 31 Year ended Feb. 6, 1995+
operating performance (Unaudited) Sept. 30 to Sept. 30
- -----------------------------------------------------------------------------------------------------------------
1997 1996 1995
- -----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Net asset value,
beginning of period $10.71 $9.66 $8.34
- -----------------------------------------------------------------------------------------------------------------
Investment operations
- -----------------------------------------------------------------------------------------------------------------
Net investment income .11 .24 (d) .14 (a)(d)
- -----------------------------------------------------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investments .42 1.34 1.31
- -----------------------------------------------------------------------------------------------------------------
Total from
investment operations .53 1.58 1.45
- -----------------------------------------------------------------------------------------------------------------
Less distributions:
- -----------------------------------------------------------------------------------------------------------------
From net
investment income (.18) (.24) (.13)
- -----------------------------------------------------------------------------------------------------------------
From net realized gain
on investments (.53) (.29) --
- -----------------------------------------------------------------------------------------------------------------
Total distributions (.71) (.53) (.13)
- -----------------------------------------------------------------------------------------------------------------
Net asset value,
end of period $10.53 $10.71 $9.66
- -----------------------------------------------------------------------------------------------------------------
Ratios and supplemental data
- -----------------------------------------------------------------------------------------------------------------
Total investment return
at net asset value (%)(b) 5.02 * 17.05 17.46 *
- -----------------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $26,720 $14,967 $3,509
- -----------------------------------------------------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(c) .88 * 1.84 1.38 (a)*
- -----------------------------------------------------------------------------------------------------------------
Ratio of net investment income
to average net assets (%) 1.06 * 2.42 1.56 (a)*
- -----------------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 56.64 * 122.12 106.03
- -----------------------------------------------------------------------------------------------------------------
Average commission
rate paid (e) $.0430 $.0470
- -----------------------------------------------------------------------------------------------------------------
+ Commencement of operations.
* Not annualized.
(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) The ratio of expenses to average net assets for the year ended September 30, 1995 and thereafter,
includes amounts paid through expense offset and brokerage service arrangements. Prior period ratios
exclude these amounts (Note 2).
(d) Per share net investment income has been determined on the basis of the weighted average number
of shares outstanding during the period.
(e) Average commission rate paid on security trades is required for fiscal periods beginning
on or after September 1, 1995.
</TABLE>
<TABLE>
<CAPTION>
Financial highlights
(For a share outstanding throughout the period)
Putnam Asset Allocation: Balanced Portfolio
CLASS Y
- --------------------------------------------------------------------------------------------------------------------
Six months
ended For the period
Per-share March 31 July 5, 1994+
operating performance (Unaudited) Year ended September 30 to Sept. 30
- --------------------------------------------------------------------------------------------------------------------
1997 1996 1995 1994
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Net asset value,
beginning of period $10.71 $9.66 $8.33 $8.11
- --------------------------------------------------------------------------------------------------------------------
Investment operations
- --------------------------------------------------------------------------------------------------------------------
Net investment income .15 .31 (d) .29 (a)(d) .05 (a)(d)
- --------------------------------------------------------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investments .43 1.34 1.26 .22
- --------------------------------------------------------------------------------------------------------------------
Total from
investment operations .58 1.65 1.55 .27
- --------------------------------------------------------------------------------------------------------------------
Less distributions:
- --------------------------------------------------------------------------------------------------------------------
From net
investment income (.22) (.31) (.22) (.05)
- --------------------------------------------------------------------------------------------------------------------
From net realized gain
on investments (.53) (.29) -- --
- --------------------------------------------------------------------------------------------------------------------
Total distributions (.75) (.60) (.22) (.05)
- --------------------------------------------------------------------------------------------------------------------
Net asset value,
end of period $10.54 $10.71 $9.66 $8.33
- --------------------------------------------------------------------------------------------------------------------
Ratios and supplemental data
- --------------------------------------------------------------------------------------------------------------------
Total investment return
at net asset value (%)(b) 5.45 * 17.81 18.89 3.34 *
- --------------------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $208,207 $126,482 $71,661 $66,081
- --------------------------------------------------------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(c) .51 * 1.08 1.07 (a) .23 (a)*
- --------------------------------------------------------------------------------------------------------------------
Ratio of net investment income
to average net assets (%) 1.42 * 3.03 3.35 (a) .62 (a)*
- --------------------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 56.64 * 122.12 106.03 52.62 *
- --------------------------------------------------------------------------------------------------------------------
Average commission
rate paid (e) $.0430 $.0470
- --------------------------------------------------------------------------------------------------------------------
+ Commencement of operations.
* Not annualized.
(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) The ratio of expenses to average net assets for the year ended September 30, 1995 and thereafter,
includes amounts paid through expense offset and brokerage service arrangements. Prior period ratios
exclude these amounts (Note 2).
(d) Per share net investment income has been determined on the basis of the weighted average number
of shares outstanding during the period.
(e) Average commission rate paid on security trades is required for fiscal periods beginning
on or after September 1, 1995.
</TABLE>
<TABLE>
<CAPTION>
Statement of assets and liabilities
March 31, 1997 (Unaudited)
Putnam Asset Allocation: Conservative Portfolio
<S> <C>
Assets
- ----------------------------------------------------------------------------------------
Investments in securities, at value
(identified cost $366,204,120) (Note 1) $373,242,683
- ----------------------------------------------------------------------------------------
Repurchase agreement
(identified cost $49,455,791) (Note 1) 49,455,791
- ----------------------------------------------------------------------------------------
Cash 615,021
- ----------------------------------------------------------------------------------------
Foreign currency 1,362,420
- ----------------------------------------------------------------------------------------
Dividends, interest and other receivables 3,780,604
- ----------------------------------------------------------------------------------------
Receivable for shares of the fund sold 2,432,782
- ----------------------------------------------------------------------------------------
Receivable for securities sold 22,460,592
- ----------------------------------------------------------------------------------------
Receivable for variation margin 1,765,492
- ----------------------------------------------------------------------------------------
Receivable for open forward currency contracts 890,078
- ----------------------------------------------------------------------------------------
Receivable for closed forward currency contracts 335,003
- ----------------------------------------------------------------------------------------
Unamortized organization expenses (Note 1) 4,935
- ----------------------------------------------------------------------------------------
Total assets 456,345,401
Liabilities
- ----------------------------------------------------------------------------------------
Payable for securities purchased 27,084,537
- ----------------------------------------------------------------------------------------
Payable for shares of the fund repurchased 2,124,498
- ----------------------------------------------------------------------------------------
Payable for compensation of Manager (Note 2) 685,214
- ----------------------------------------------------------------------------------------
Payable for investor servicing and custodian fees (Note 2) 244,157
- ----------------------------------------------------------------------------------------
Payable for compensation of Trustees (Note 2) 5,497
- ----------------------------------------------------------------------------------------
Payable for administrative services (Note 2) 1,867
- ----------------------------------------------------------------------------------------
Payable for distribution fees (Note 2) 278,661
- ----------------------------------------------------------------------------------------
Payable for organization expenses (Note 1) 13,263
- ----------------------------------------------------------------------------------------
Payable for open forward currency contracts 671,188
- ----------------------------------------------------------------------------------------
Payable for closed forward currency contracts 338,208
- ----------------------------------------------------------------------------------------
TBA sales commitments, at value (proceeds receivable $6,532,830) 6,420,544
- ----------------------------------------------------------------------------------------
Other accrued expenses 105,319
- ----------------------------------------------------------------------------------------
Total liabilities 37,972,953
- ----------------------------------------------------------------------------------------
Net assets $418,372,448
Represented by
- ----------------------------------------------------------------------------------------
Paid-in capital (Notes 1 and 4) $403,272,391
- ----------------------------------------------------------------------------------------
Undistributed net investment income (Note 1) 842,236
- ----------------------------------------------------------------------------------------
Accumulated net realized gain on investments and
foreign currency transactions (Note 1) 4,796,333
- ----------------------------------------------------------------------------------------
Net unrealized appreciation of investments and
assets and liabilities in foreign currencies 9,461,488
- ----------------------------------------------------------------------------------------
Total - Representing net assets applicable to
capital shares outstanding $418,372,448
Computation of net asset value and offering price
- ----------------------------------------------------------------------------------------
Net asset value and redemption price per class A share
($262,089,390 divided by 27,404,094 shares) $9.56
- ----------------------------------------------------------------------------------------
Offering price per class A share (100/94.25 of $9.56)* $10.14
- ----------------------------------------------------------------------------------------
Net asset value and offering price per class B share
($111,944,581 divided by 11,744,509 shares)** $9.53
- ----------------------------------------------------------------------------------------
Net asset value and offering price per class C share
($22,301,904 divided by 2,343,409 shares)** $9.52
- ----------------------------------------------------------------------------------------
Net asset value and redemption price per class M share
($7,527,083 divided by 788,600 shares) $9.54
- ----------------------------------------------------------------------------------------
Offering price per class M share (100/96.50 of $9.54)* $9.89
- ----------------------------------------------------------------------------------------
Net asset value, offering price and redemption price per class Y share
($14,509,490 divided by 1,515,865 shares) $9.57
- ----------------------------------------------------------------------------------------
* On single retail sales of less than $50,000. On sales of $50,000 or more and on group sales
the offering price is reduced.
** Redemption price per share is equal to net asset value less any applicable contingent deferred
sales charge.
The accompanying notes are an integral part of these financial statements.
</TABLE>
<TABLE>
<CAPTION>
Statement of operations
Six months ended March 31, 1997 (Unaudited)
Putnam Asset Allocation: Conservative Portfolio
<S> <C>
Investment income:
- ----------------------------------------------------------------------------------------
Interest (net of foreign tax of $12,019) $8,152,210
- ----------------------------------------------------------------------------------------
Dividends (net of foreign tax of $18,048) 1,108,112
- ----------------------------------------------------------------------------------------
Total investment income 9,260,322
- ----------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------
Compensation of Manager (Note 2) 1,246,337
- ----------------------------------------------------------------------------------------
Investor servicing and custodian fees (Note 2) 624,110
- ----------------------------------------------------------------------------------------
Compensation of Trustees (Note 2) 12,389
- ----------------------------------------------------------------------------------------
Administrative services (Note 2) 3,667
- ----------------------------------------------------------------------------------------
Distribution fees - Class A (Note 2) 271,202
- ----------------------------------------------------------------------------------------
Distribution fees - Class B (Note 2) 516,538
- ----------------------------------------------------------------------------------------
Distribution fees - Class C (Note 2) 97,775
- ----------------------------------------------------------------------------------------
Distribution fees - Class M (Note 2) 21,587
- ----------------------------------------------------------------------------------------
Amortization of organization expenses (Note 1) 1,322
- ----------------------------------------------------------------------------------------
Reports to shareholders 11,088
- ----------------------------------------------------------------------------------------
Registration fees 59,445
- ----------------------------------------------------------------------------------------
Auditing 27,403
- ----------------------------------------------------------------------------------------
Legal 4,434
- ----------------------------------------------------------------------------------------
Postage 2,500
- ----------------------------------------------------------------------------------------
Other 7,671
- ----------------------------------------------------------------------------------------
Total expenses 2,907,468
- ----------------------------------------------------------------------------------------
Expense reduction (Note 2) (78,019)
- ----------------------------------------------------------------------------------------
Net expenses 2,829,449
- ----------------------------------------------------------------------------------------
Net investment income 6,430,873
- ----------------------------------------------------------------------------------------
Net realized gain on investments (Notes 1 and 3) 3,490,326
- ----------------------------------------------------------------------------------------
Net realized gain on futures contracts (Notes 1 and 3) 5,972,779
- ----------------------------------------------------------------------------------------
Net realized loss on foreign currency transactions (Note 1) (137,714)
- ----------------------------------------------------------------------------------------
Net unrealized appreciation of assets and liabilities in
foreign currencies during the period 111,210
- ----------------------------------------------------------------------------------------
Net unrealized depreciation of investments, futures and
TBA sale commitments during the period (2,827,772)
- ----------------------------------------------------------------------------------------
Net gain on investments 6,608,829
- ----------------------------------------------------------------------------------------
Net increase in net assets resulting from operations $13,039,702
- ----------------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
</TABLE>
<TABLE>
<CAPTION>
Statement of changes in net assets
Putnam Asset Allocation: Conservative Portfolio
Six months ended Year ended
March 31, September 30,
1997* 1996
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C>
Increase in net assets
- ----------------------------------------------------------------------------------------------------------
Operations:
- ----------------------------------------------------------------------------------------------------------
Net investment income $6,430,873 $6,776,655
- ----------------------------------------------------------------------------------------------------------
Net realized gain on investments and
foreign currency transactions 9,325,391 8,940,554
- ----------------------------------------------------------------------------------------------------------
Net unrealized appreciation (depreciation) of
investments and liabilities in foreign currencies (2,716,562) 3,784,426
- ----------------------------------------------------------------------------------------------------------
Net increase in net assets resulting from operations 13,039,702 19,501,635
- ----------------------------------------------------------------------------------------------------------
Distributions to shareholders:
- ----------------------------------------------------------------------------------------------------------
From net investment income
Class A (5,199,192) (3,204,010)
- ----------------------------------------------------------------------------------------------------------
Class B (1,906,222) (2,376,868)
- ----------------------------------------------------------------------------------------------------------
Class C (365,654) (350,861)
- ----------------------------------------------------------------------------------------------------------
Class M (117,215) (77,650)
- ----------------------------------------------------------------------------------------------------------
Class Y (258,702) (120,711)
- ----------------------------------------------------------------------------------------------------------
From net realized gain on investments
Class A (7,375,221) (1,368,540)
- ----------------------------------------------------------------------------------------------------------
Class B (3,325,457) (1,343,244)
- ----------------------------------------------------------------------------------------------------------
Class C (631,862) (177,029)
- ----------------------------------------------------------------------------------------------------------
Class M (177,085) (29,335)
- ----------------------------------------------------------------------------------------------------------
Class Y (342,603) (41,182)
- ----------------------------------------------------------------------------------------------------------
Increase from capital share transactions (Note 4) 196,171,372 84,941,848
- ----------------------------------------------------------------------------------------------------------
Total increase in net assets 189,511,861 95,354,053
Net assets
- ----------------------------------------------------------------------------------------------------------
Beginning of period 228,860,587 133,506,534
- ----------------------------------------------------------------------------------------------------------
End of period (including undistributed net investment
income of $842,236 and $2,258,348, respectively) $418,372,448 $228,860,587
- ----------------------------------------------------------------------------------------------------------
* Unaudited
The accompanying notes are an integral part of these financial statements.
</TABLE>
<TABLE>
<CAPTION>
Financial highlights
(For a share outstanding throughout the period)
Putnam Asset Allocation: Conservative Portfolio
CLASS A
- ------------------------------------------------------------------------------------------------------------------
Six months
ended For the period
Per-share March 31 Feb. 7, 1994+
operating performance (Unaudited) Year ended September 30 to Sept. 30
- ------------------------------------------------------------------------------------------------------------------
1997 1996 1995 1994
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Net asset value,
beginning of period $9.69 $9.19 $8.23 $8.50
- ------------------------------------------------------------------------------------------------------------------
Investment operations
- ------------------------------------------------------------------------------------------------------------------
Net investment income .19 (d) .36 .33 (a) .18 (a)(d)
- ------------------------------------------------------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investments .22 .68 .90 (.39)
- ------------------------------------------------------------------------------------------------------------------
Total from
investment operations .41 1.04 1.23 (.21)
- ------------------------------------------------------------------------------------------------------------------
Less distributions:
- ------------------------------------------------------------------------------------------------------------------
From net
investment income (.21) (.36) (.27) (.06)
- ------------------------------------------------------------------------------------------------------------------
From net realized gain
on investments (.33) (.18) -- --
- ------------------------------------------------------------------------------------------------------------------
Total distributions (.54) (.54) (.27) (.06)
- ------------------------------------------------------------------------------------------------------------------
Net asset value,
end of period $9.56 $9.69 $9.19 $8.23
- ------------------------------------------------------------------------------------------------------------------
Ratios and supplemental data
- ------------------------------------------------------------------------------------------------------------------
Total investment return
at net asset value (%)(b) 4.28 * 11.73 15.27 (2.47)*
- ------------------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $262,089 $106,933 $57,341 $25,782
- ------------------------------------------------------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(c) .69 * 1.47 1.22 (a) .75 (a)*
- ------------------------------------------------------------------------------------------------------------------
Ratio of net investment income
to average net assets (%) 1.94 * 4.08 4.48 (a) 2.41 (a)*
- ------------------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 120.46 * 183.67 159.8 59.27 *
- ------------------------------------------------------------------------------------------------------------------
Average commission
rate paid (e) $.0420 $.0495
- ------------------------------------------------------------------------------------------------------------------
+ Commencement of operations.
* Not annualized.
(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 $0.01per 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) The ratio of expenses to average net assets for the year ended September 30, 1995 and thereafter,
includes amounts paid through expense offset and brokerage service arrangements. Prior period ratios
exclude these amounts (Note 2).
(d) Per share net investment income has been determined on the basis of the weighted average number
of shares outstanding during the period.
(e) Average commission rate paid on security trades is required for fiscal periods beginning
on or after September 1, 1995.
</TABLE>
<TABLE>
<CAPTION>
Financial highlights
(For a share outstanding throughout the period)
Putnam Asset Allocation: Conservative Portfolio
CLASS B
- -----------------------------------------------------------------------------------------------------------------------
Six months
ended For the period
Per-share March 31 Feb. 18, 1994+
operating performance (Unaudited) Year ended September 30 to Sept. 30
- -----------------------------------------------------------------------------------------------------------------------
1997 1996 1995 1994
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Net asset value,
beginning of period $9.66 $9.16 $8.22 $8.50
- -----------------------------------------------------------------------------------------------------------------------
Investment operations
- -----------------------------------------------------------------------------------------------------------------------
Net investment income .15 (d) .29 .30 (a) .15 (a)(d)
- -----------------------------------------------------------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investments .23 .68 .85 (.39)
- -----------------------------------------------------------------------------------------------------------------------
Total from
investment operations .38 .97 1.15 (.24)
- -----------------------------------------------------------------------------------------------------------------------
Less distributions:
- -----------------------------------------------------------------------------------------------------------------------
From net
investment income (.18) (.29) (.21) (.04)
- -----------------------------------------------------------------------------------------------------------------------
From net realized gain
on investments (.33) (.18) -- --
- -----------------------------------------------------------------------------------------------------------------------
Total distributions (.51) (.47) (.21) (.04)
- -----------------------------------------------------------------------------------------------------------------------
Net asset value,
end of period $9.53 $9.66 $9.16 $8.22
- -----------------------------------------------------------------------------------------------------------------------
Ratios and supplemental data
- -----------------------------------------------------------------------------------------------------------------------
Total investment return
at net asset value (%)(b) 3.91 * 10.96 14.22 (2.79)*
- -----------------------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $111,945 $94,954 $65,783 $38,711
- -----------------------------------------------------------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(c) 1.06 * 2.22 1.98 (a) 1.21 (a)*
- -----------------------------------------------------------------------------------------------------------------------
Ratio of net investment income
to average net assets (%) 1.54 * 3.33 3.81 (a) 1.92 (a)*
- -----------------------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 120.46 * 183.67 159.8 59.27 *
- -----------------------------------------------------------------------------------------------------------------------
Average commission
rate paid (e) $.0420 $.0495
- -----------------------------------------------------------------------------------------------------------------------
+ Commencement of operations.
* Not annualized.
(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 $0.01per 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) The ratio of expenses to average net assets for the year ended September 30, 1995 and thereafter,
includes amounts paid through expense offset and brokerage service arrangements. Prior period ratios
exclude these amounts (Note 2).
(d) Per share net investment income has been determined on the basis of the weighted average number
of shares outstanding during the period.
(e) Average commission rate paid on security trades is required for fiscal periods beginning
on or after September 1, 1995.
</TABLE>
<TABLE>
<CAPTION>
Financial highlights
(For a share outstanding throughout the period)
Putnam Asset Allocation: Conservative Portfolio
CLASS C
- ----------------------------------------------------------------------------------------------------------------------
Six months
ended For the period
Per-share March 31 Sept. 1, 1994+
operating performance (Unaudited) Year ended September 30 to Sept. 30
- ----------------------------------------------------------------------------------------------------------------------
1997 1996 1995 1994
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Net asset value,
beginning of period $9.64 $9.15 $8.22 $8.33
- ----------------------------------------------------------------------------------------------------------------------
Investment operations
- ----------------------------------------------------------------------------------------------------------------------
Net investment income .15 (d) .30 .29 (a) .03 (a)(d)
- ----------------------------------------------------------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investments .24 .66 .87 (.10)
- ----------------------------------------------------------------------------------------------------------------------
Total from
investment operations .39 .96 1.16 (.07)
- ----------------------------------------------------------------------------------------------------------------------
Less distributions:
- ----------------------------------------------------------------------------------------------------------------------
From net
investment income (.18) (.29) (.23) (.04)
- ----------------------------------------------------------------------------------------------------------------------
From net realized gain
on investments (.33) (.18) -- --
- ----------------------------------------------------------------------------------------------------------------------
Total distributions (.51) (.47) (.23) (.04)
- ----------------------------------------------------------------------------------------------------------------------
Net asset value,
end of period $9.52 $9.64 $9.15 $8.22
- ----------------------------------------------------------------------------------------------------------------------
Ratios and supplemental data
- ----------------------------------------------------------------------------------------------------------------------
Total investment return
at net asset value (%)(b) 4.03 * 10.86 14.41 (.80) *
- ----------------------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $22,302 $16,326 $7,198 $273
- ----------------------------------------------------------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(c) 1.06 * 2.22 1.89 (a) .16 (a)*
- ----------------------------------------------------------------------------------------------------------------------
Ratio of net investment income
to average net assets (%) 1.54 * 3.30 3.92 (a) .48 (a)*
- ----------------------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 120.46 * 183.67 159.8 59.27 *
- ----------------------------------------------------------------------------------------------------------------------
Average commission
rate paid (e) $.0420 $.0495
- ----------------------------------------------------------------------------------------------------------------------
+ Commencement of operations.
* Not annualized.
(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 $0.01per 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) The ratio of expenses to average net assets for the year ended September 30, 1995 and thereafter,
includes amounts paid through expense offset and brokerage service arrangements. Prior period ratios
exclude these amounts (Note 2).
(d) Per share net investment income has been determined on the basis of the weighted average number
of shares outstanding during the period.
(e) Average commission rate paid on security trades is required for fiscal periods beginning
on or after September 1, 1995.
</TABLE>
<TABLE>
<CAPTION>
Financial highlights
(For a share outstanding throughout the period)
Putnam Asset Allocation: Conservative Portfolio
CLASS M
- ----------------------------------------------------------------------------------------------------------------------
Six months
ended For the period
Per-share March 31 Year ended Feb. 7, 1995+
operating performance (Unaudited) Sept. 30 to Sept. 30
- ----------------------------------------------------------------------------------------------------------------------
1997 1996 1995
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Net asset value,
beginning of period $9.67 $9.18 $8.21
- ----------------------------------------------------------------------------------------------------------------------
Investment operations
- ----------------------------------------------------------------------------------------------------------------------
Net investment income .16 (d) .33 .21 (a)
- ----------------------------------------------------------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investments .23 .66 .92
- ----------------------------------------------------------------------------------------------------------------------
Total from
investment operations .39 .99 1.13
- ----------------------------------------------------------------------------------------------------------------------
Less distributions:
- ----------------------------------------------------------------------------------------------------------------------
From net
investment income (.19) (.32) (.16)
- ----------------------------------------------------------------------------------------------------------------------
From net realized gain
on investments (.33) (.18) --
- ----------------------------------------------------------------------------------------------------------------------
Total distributions (.52) (.50) (.16)
- ----------------------------------------------------------------------------------------------------------------------
Net asset value,
end of period $9.54 $9.67 $9.18
- ----------------------------------------------------------------------------------------------------------------------
Ratios and supplemental data
- ----------------------------------------------------------------------------------------------------------------------
Total investment return
at net asset value (%)(b) 4.07 * 11.17 13.92 *
- ----------------------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $7,527 $4,622 $1,366
- ----------------------------------------------------------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(c) .94 * 1.96 1.10 (a)*
- ----------------------------------------------------------------------------------------------------------------------
Ratio of net investment income
to average net assets (%) 1.67 * 3.60 2.73 (a)*
- ----------------------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 120.46 * 183.67 159.8
- ----------------------------------------------------------------------------------------------------------------------
Average commission
rate paid (e) $.0420 $.0495
- ----------------------------------------------------------------------------------------------------------------------
+ Commencement of operations.
* Not annualized.
(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 $0.01per 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) The ratio of expenses to average net assets for the year ended September 30, 1995 and thereafter,
includes amounts paid through expense offset and brokerage service arrangements. Prior period ratios
exclude these amounts (Note 2).
(d) Per share net investment income has been determined on the basis of the weighted average number
of shares outstanding during the period.
(e) Average commission rate paid on security trades is required for fiscal periods beginning
on or after September 1, 1995.
</TABLE>
<TABLE>
<CAPTION>
Financial highlights
(For a share outstanding throughout the period)
Putnam Asset Allocation: Conservative Portfolio
CLASS Y
- ----------------------------------------------------------------------------------------------------------------------
Six months
ended For the period
Per-share March 31 July 14, 1994+
operating performance (Unaudited) Year ended September 30 to Sept. 30
- ----------------------------------------------------------------------------------------------------------------------
1997 1996 1995 1994
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Net asset value,
beginning of period $9.69 $9.19 $8.23 $8.23
- ----------------------------------------------------------------------------------------------------------------------
Investment operations
- ----------------------------------------------------------------------------------------------------------------------
Net investment income .20 (d) .38 .36 (a) .07 (a)(d)
- ----------------------------------------------------------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investments .23 .68 .89 --
- ----------------------------------------------------------------------------------------------------------------------
Total from
investment operations .43 1.06 1.25 .07
- ----------------------------------------------------------------------------------------------------------------------
Less distributions:
- ----------------------------------------------------------------------------------------------------------------------
From net
investment income (.22) (.38) (.29) (.07)
- ----------------------------------------------------------------------------------------------------------------------
From net realized gain
on investments (.33) (.18) -- --
- ----------------------------------------------------------------------------------------------------------------------
Total distributions (.55) (.56) (.29) (.07)
- ----------------------------------------------------------------------------------------------------------------------
Net asset value,
end of period $9.57 $9.69 $9.19 $8.23
- ----------------------------------------------------------------------------------------------------------------------
Ratios and supplemental data
- ----------------------------------------------------------------------------------------------------------------------
Total investment return
at net asset value (%)(b) 4.48 * 11.99 15.54 1.01 *
- ----------------------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $14,509 $6,025 $1,818 $163
- ----------------------------------------------------------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(c) .56 * 1.22 .92 (a) .21 (a)*
- ----------------------------------------------------------------------------------------------------------------------
Ratio of net investment income
to average net assets (%) 2.05 * 4.45 4.93 (a) 1.04 (a)*
- ----------------------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 120.46 * 183.67 159.8 59.27 *
- ----------------------------------------------------------------------------------------------------------------------
Average commission
rate paid (e) $.0420 $.0495
- ----------------------------------------------------------------------------------------------------------------------
+ Commencement of operations.
* Not annualized.
(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 $0.01per 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) The ratio of expenses to average net assets for the year ended September 30, 1995 and thereafter,
includes amounts paid through expense offset and brokerage service arrangements. Prior period ratios
exclude these amounts (Note 2).
(d) Per share net investment income has been determined on the basis of the weighted average number
of shares outstanding during the period.
(e) Average commission rate paid on security trades is required for fiscal periods beginning
on or after September 1, 1995.
</TABLE>
Notes to financial statements
March 31, 1997 (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,
class B, class C and class M 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 and other
accounts managed by affiliates of Putnam Management.
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, 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, H
and I of Note 1) with respect to valuation of futures and options
contracts, forward currency contracts, and TBA purchase commitments.
B) Joint trading account Pursuant to an exemptive order issued by the
Securities and Exchange Commission, the fund may transfer uninvested
cash balances into a joint trading account along with the cash of other
registered investment companies and certain other accounts managed by
Putnam Investment Management, Inc. ("Putnam Management"), the fund's
Manager, a wholly-owned subsidiary of Putnam Investments, Inc.. 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 its custodian, receives delivery of the underlying securities,
the market value of which at the time of purchase is required to be in
an amount at least equal to the resale price, including accrued
interest. Putnam Management is responsible for determining that the
value of these underlying securities is at all times at least equal to
the resale price, including accrued interest.
D) Security transactions and related investment income Security
transactions are accounted for on the trade date (date the order to buy
or sell is executed). Interest income is recorded on the accrual basis.
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 discounts, stepped-coupon bonds and payment in kind bonds
are accreted according to the effective yield method.
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 fund 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
fund does 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 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
appreciation and depreciation of assets and liabilities in foreign
currencies 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 fund records a realized gain or loss
equal to the difference between the value of the contract at the time it
was opened and the value at the time it was closed. 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 expect to purchase. The funds may also write options on
securities it owns or in 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.
At March 31, 1997 the fund has deposited in a segregated account
$5,385,000 to cover margin requirements on open futures contracts.
H) TBA purchase commitments The funds may enter into "TBA" (to be
announced) purchase commitments to purchase securities for a fixed unit
price at a future date beyond customary settlement time. Although the
unit price has been established, the principal value has not been
finalized. However, the amount of the commitments will not fluctuate
more than 1.0% 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. Unsettled TBA
purchase commitments are valued at the current market value of the
underlying securities, according to the procedures described under
"Security valuation" above.
Although the funds will generally enter into TBA purchase commitments
with the intention of acquiring securities for their portfolio or for
delivery pursuant to options contracts it has entered into, the fund may
dispose of a commitment prior to settlement if Putnam Management deems
it appropriate to do so.
I) TBA sale commitments The fund may enter into TBA sale commitments to
hedge its portfolio positions or to sell mortgage-backed securities it
owns under delayed delivery arrangements. Proceeds of TBA sale
commitments are not received until the contractual settlement date.
During the time a TBA sale commitment is outstanding, equivalent
deliverable securities, or an offsetting TBA purchase commitment
deliverable on or before the sale commitment date, are held as "cover"
for the transaction.
Unsettled TBA sale commitments are valued at the current market value of
the underlying securities, generally according to the procedures
described under "Security valuation" above. The contract is "marked-to-
market" daily and the change in market value is recorded by a fund as an
unrealized gain or loss. If the TBA sale commitment is closed through
the acquisition of an offsetting purchase commitment, the fund realizes
a gain or loss. If the fund delivers securities under the commitment,
the fund realizes a gain or a loss from the sale of the securities based
upon the unit price established at the date the commitment was entered
into.
J) 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.
K) 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 at least annually. The amount and character of income and gains
to be distributed are determined in accordance with income tax
regulations which may differ from generally 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.
L) Expenses of the trust Expenses directly charged or attributable to
any fund will be paid from the assets of that fund. Generally, expenses
of the trust will be allocated among and charged to the assets of each
fund on a basis that the Trustees deem fair and equitable, which may be
based on the relative assets of each fund or the nature of the services
performed and relative applicability to each fund.
M) Unamortized organization expenses Expenses incurred by the fund 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 were $39,790.
- -------------------------------------
Growth Portfolio $13,264
Balanced Portfolio 13,263
Conservative Portfolio 13,263
- -------------------------------------
These expenses are being amortized by each fund on a straight-line basis
over a five-year period. The fund will reimburse Putnam Management for
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: 0.700% of the
first $500 million of average net assets of a fund, 0.600% of the next
$500 million, 0.550% of the next $500 million, 0.500% of the next $5
billion, 0.475% of the next $5 billion, 0.455% of the next $5 billion,
0.440% of the next $5 billion and 0.430% of any excess thereafter. Prior
to January 20, 1997, any amount over $1.5 billion was based on a rate of
0.500%.
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.
Trustees of the Trust receive an annual Trustee's fee as follows:
- -------------------------------------
Growth Portfolio $990
Balanced Portfolio 1,050
Conservative Portfolio 670
- -------------------------------------
Trustees receive an additional fee for each Trustee's meeting attended.
Trustees who are not interested persons of Putnam Management and who
serve on committees of the Trustees receive additional fees for
attendance at certain committee meetings.
The fund adopted a Trustee Fee Deferral Plan (the "Plan") which allows
the Trustees to defer the receipt of all or a portion of Trustees fees
payable on or after July 1, 1995. The deferred fees remain in the funds
and are invested in certain Putnam funds until distribution in
accordance with the Plan.
The fund has adopted an unfunded noncontributory defined benefit pension
plan (the "Pension Plan") covering all Trustees of the fund who have
served as Trustee for at least five years. Benefits under the Pension
Plan are equal to 50% of the Trustee's average total retainer and
meeting fees for the three years preceding retirement. Pension expense
for the fund is included in Compensation of trustees in the Statement of
operations. Accrued pension liability is included in Payable for
compensation of Trustees in the Statement of assets and liabilities.
Custodial functions for each of the funds' assets are provided by Putnam
Fiduciary Trust Company (PFTC), a wholly-owned subsidiary of Putnam
Investments, Inc. Investor servicing agent functions are provided by
Putnam Investor Services, a division of PFTC.
For the six months ended March 31, 1997, fund expenses were reduced by
$318,815, $181,763 and $78,019 (for Growth Portfolio, Balanced
Portfolio, and Conservative Portfolio, respectively) under expense
offset arrangements with PFTC and brokerage service arrangements.
Investor servicing and custodian fees reported in the Statement of
operations exclude these credits. The funds could have invested a
portion of the assets utilized in connection with the expense offset
arrangements in an income producing asset if it had not entered into
such arrangements.
Each fund has adopted distribution plans (the "Plans") with respect to
its class A, class B class C and class M shares pursuant to Rule 12b-1
under the Investment Company Act of 1940. The purpose of the Plans is to
compensate Putnam Mutual Funds Corp., a wholly-owned subsidiary of
Putnam Investments Inc., for services provided and expenses incurred by
it in distributing shares of each fund. The Plans provide for payments
by the funds to Putnam Mutual Funds Corp. at an annual rate up to 0.35%,
1.00%, 1.00% and 1.00% of the average net assets attributable to class
A, class B, class C and class M shares, respectively. The Trustees have
approved payment by each fund at an annual rate of 0.25%, 1.00%, 1.00%
and 0.75% of the average net assets attributable to class A, class B,
class C and class M shares respectively.
For the six months ended March 31, 1997, Putnam Mutual Funds Corp.,
acting as underwriter received net commissions of $421,966 and $43,267
from the sale of class A and class M shares, respectively and received
$403,405 and $16,497 in contingent deferred sales charges from
redemptions of class B and C shares, respectively. A deferred sales
charge of up to 1% is assessed on certain redemptions of class A shares.
For the six months ended March 31, 1997, Putnam Mutual Funds Corp.,
acting as underwriter received $682 on class A redemptions.
Note 3
Purchases and sales of securities
During the six months ended March 31, 1997, aggregate purchases and
sales of investment securities other than short-term investments were as
follows:
U.S. Government Obligations
- ------------------------------------------
Purchases Sales
- ------------------------------------------
Growth
Portfolio $63,766,090 $58,397,653
- ------------------------------------------
Balanced
Portfolio 164,913,002 156,546,685
- ------------------------------------------
Conservative
Portfolio 260,928,765 223,944,044
- ------------------------------------------
Other Securities
- ------------------------------------------
Purchases Sales
- ------------------------------------------
Growth
Portfolio $479,653,671 $242,814,299
- ------------------------------------------
Balanced
Portfolio 619,667,902 376,893,040
- ------------------------------------------
Conservative
Portfolio 275,031,616 153,240,667
- ------------------------------------------
In determining the net gain or loss on securities sold, the cost of
securities has been determined on the identified cost basis.
Note 4
Capital shares
At March 31, 1997, there was an unlimited number of shares of beneficial
interest authorized. Transactions in capital shares were as follows:
Six months ended March 31
- ------------------------------------------
Class A 1997
- ------------------------------------------
Growth Portfolio Shares Amount
- ------------------------------------------
Shares sold 10,240,852 $118,143,172
- ------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 1,148,494 12,920,398
- ------------------------------------------
Shares
repurchased (3,149,848) (36,093,509)
- ------------------------------------------
Net increase 8,239,498 $94,970,061
- ------------------------------------------
Year ended September 30
- ------------------------------------------
Class A 1996
- ------------------------------------------
Growth Portfolio Shares Amount
- ------------------------------------------
Shares sold 9,342,955 $98,031,198
- ------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 595,871 5,887,021
- ------------------------------------------
Shares
repurchased (3,635,586) (38,017,740)
- ------------------------------------------
Net increase 6,303,240 $65,900,479
- ------------------------------------------
Six months ended March 31
- ------------------------------------------
Class B 1997
- ------------------------------------------
Growth Portfolio Shares Amount
- ------------------------------------------
Shares sold 5,358,839 $61,222,904
- ------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 914,890 10,219,355
- ------------------------------------------
Shares
repurchased (1,169,601) (13,360,634)
- ------------------------------------------
Net increase 5,104,128 $58,081,625
- ------------------------------------------
Year ended September 30
- ------------------------------------------
Class B 1996
- ------------------------------------------
Growth Portfolio Shares Amount
- ------------------------------------------
Shares sold 7,548,843 $79,009,071
- ------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 497,487 4,890,441
- ------------------------------------------
Shares
repurchased (1,998,408) (20,969,644)
- ------------------------------------------
Net increase 6,047,922 $62,929,868
- ------------------------------------------
Six months ended March 31
- ------------------------------------------
Class C 1997
- ------------------------------------------
Growth Portfolio Shares Amount
- ------------------------------------------
Shares sold 1,501,426 $17,064,802
- ------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 138,801 1,540,691
- ------------------------------------------
Shares
repurchased (163,904) (1,866,519)
- ------------------------------------------
Net increase 1,476,323 $16,738,974
- ------------------------------------------
Year ended September 30
- ------------------------------------------
Class C 1996
- ------------------------------------------
Growth Portfolio Shares Amount
- ------------------------------------------
Shares sold 1,769,324 $18,487,199
- ------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 39,163 383,411
- ------------------------------------------
Shares
repurchased (159,930) (1,670,535)
- ------------------------------------------
Net increase 1,648,557 $17,200,075
- ------------------------------------------
Six months ended March 31
- ------------------------------------------
Class M 1997
- ------------------------------------------
Growth Portfolio Shares Amount
- ------------------------------------------
Shares sold 935,696 $10,608,025
- ------------------------------------------
Shares issued in
connections with
reinvestment of
distributions 68,299 762,903
- ------------------------------------------
Shares
repurchased (130,267) (1,460,411)
- ------------------------------------------
Net increase 873,728 $9,910,517
- ------------------------------------------
Year ended September 30
- ------------------------------------------
Class M 1996
- ------------------------------------------
Growth Portfolio Shares Amount
- ------------------------------------------
Shares sold 892,131 $9,515,068
- ------------------------------------------
Shares issued in
connections with
reinvestment of
distributions 15,633 153,833
- ------------------------------------------
Shares
repurchased (130,938) (1,395,250)
- ------------------------------------------
Net increase 776,826 $8,273,651
- ------------------------------------------
Six months ended March 31
- ------------------------------------------
Class Y 1997
- ------------------------------------------
Growth Portfolio Shares Amount
- ------------------------------------------
Shares sold 12,754,907 $147,153,913
- ------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 874,946 9,878,178
- ------------------------------------------
Shares
repurchased (1,983,312) (22,934,088)
- ------------------------------------------
Net increase 11,646,541 $134,098,003
- ------------------------------------------
Year ended September 30
- ------------------------------------------
Class Y 1996
- ------------------------------------------
Growth Portfolio Shares Amount
- ------------------------------------------
Shares sold 1,379,049 $14,660,733
- ------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 209,229 2,073,471
- ------------------------------------------
Shares
repurchased (979,250) (10,199,763)
- ------------------------------------------
Net increase 609,028 $6,534,441
- ------------------------------------------
Six months ended March 31
- ------------------------------------------
Class A 1997
- ------------------------------------------
Balanced Portfolio Shares Amount
- ------------------------------------------
Shares sold 21,347,190 $ 227,877,874
- ------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 2,314,874 24,357,908
- ------------------------------------------
Shares
repurchased (9,312,036) (99,837,284)
- ------------------------------------------
Net increase 14,350,028 $152,398,498
- ------------------------------------------
Year ended September 30
- ------------------------------------------
Class A 1996
- ------------------------------------------
Balanced Portfolio Shares Amount
- ------------------------------------------
Shares sold 18,927,602 $190,362,013
- ------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 1,131,747 10,987,765
- ------------------------------------------
Shares
repurchased (5,244,795) (52,838,483)
- ------------------------------------------
Net increase 14,814,554 $148,511,295
- ------------------------------------------
Six months ended March 31
- ------------------------------------------
Class B 1997
- ------------------------------------------
Balanced Portfolio Shares Amount
- ------------------------------------------
Shares sold 6,851,244 $73,322,739
- ------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 1,647,560 17,241,001
- ------------------------------------------
Shares
repurchased (1,723,603) (18,440,951)
- ------------------------------------------
Net increase 6,775,201 $72,122,789
- ------------------------------------------
Year ended September 30
- ------------------------------------------
Class B 1996
- ------------------------------------------
Balanced
Portfolio Shares Amount
- ------------------------------------------
Shares sold 10,510,356 $104,852,168
- ------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 908,070 8,719,363
- ------------------------------------------
Shares
repurchased (3,118,506) (31,217,860)
- ------------------------------------------
Net increase 8,299,920 $82,353,671
- ------------------------------------------
Six months ended March 31
- ------------------------------------------
Class C 1997
- ------------------------------------------
Balanced Portfolio Shares Amount
- ------------------------------------------
Shares sold 1,633,319 $17,432,017
- ------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 203,117 2,119,825
- ------------------------------------------
Shares
repurchased (249,493) (2,664,599)
- ------------------------------------------
Net increase 1,586,943 $16,887,243
- ------------------------------------------
Year ended September 30
- ------------------------------------------
Class C 1996
- ------------------------------------------
Balanced Portfolio Shares Amount
- ------------------------------------------
Shares sold 1,806,776 $18,035,995
- ------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 76,593 735,352
- ------------------------------------------
Shares
repurchased (328,036) (3,269,359)
- ------------------------------------------
Net increase 1,555,333 $15,501,988
- ------------------------------------------
Six months ended March 31
- ------------------------------------------
Class M 1997
- ------------------------------------------
Balanced Portfolio Shares Amount
- ------------------------------------------
Shares sold 1,148,443 $12,327,146
- ------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 109,298 1,149,275
- ------------------------------------------
Shares
repurchased (117,229) (1,260,799)
- ------------------------------------------
Net increase 1,140,512 $12,215,622
- ------------------------------------------
Year ended September 30
- ------------------------------------------
Class M 1996
- ------------------------------------------
Balanced Portfolio Shares Amount
- ------------------------------------------
Shares sold 1,164,306 $11,746,862
- ------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 28,876 282,108
- ------------------------------------------
Shares
repurchased (159,031) (1,609,042)
- ------------------------------------------
Net increase 1,034,151 $10,419,928
- ------------------------------------------
Six months ended March 31
- ------------------------------------------
Class Y 1997
- ------------------------------------------
Balanced Portfolio Shares Amount
- ------------------------------------------
Shares sold 8,527,553 $89,597,458
- ------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 879,849 9,265,751
- ------------------------------------------
Shares
repurchased (1,456,569) (15,694,660)
- ------------------------------------------
Net increase 7,950,833 $83,168,549
- ------------------------------------------
Year ended September 30
- ------------------------------------------
Class Y 1996
- ------------------------------------------
Balanced Portfolio Shares Amount
- ------------------------------------------
Shares sold 5,351,957 $55,035,755
- ------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 482,727 4,684,889
- ------------------------------------------
Shares
repurchased (1,444,270) (14,519,012)
- ------------------------------------------
Net increase 4,390,414 $45,201,632
- ------------------------------------------
Six months ended March 31
- ------------------------------------------
Class A 1997
- ------------------------------------------
Conservative
Portfolio Shares Amount
- ------------------------------------------
Shares sold 18,523,725 $180,763,627
- ------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 1,287,830 12,367,914
- ------------------------------------------
Shares
repurchased (3,445,663) (33,456,741)
- ------------------------------------------
Net increase 16,365,892 $159,674,800
- ------------------------------------------
Year ended September 30
- ------------------------------------------
Class A 1996
- ------------------------------------------
Conservative
Portfolio Shares Amount
- ------------------------------------------
Shares sold 6,732,230 $63,071,227
- ------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 409,779 3,757,996
- ------------------------------------------
Shares
repurchased (2,345,290) (22,006,931)
- ------------------------------------------
Net increase 4,796,719 $44,822,292
- ------------------------------------------
Six months ended March 31
- ------------------------------------------
Class B 1997
- ------------------------------------------
Conservative
Portfolio Shares Amount
- ------------------------------------------
Shares sold 2,268,616 $22,001,831
- ------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 478,365 4,580,056
- ------------------------------------------
Shares
repurchased (836,363) (8,126,081)
- ------------------------------------------
Net increase 1,910,618 $18,455,806
- ------------------------------------------
Year ended September 30
- ------------------------------------------
Class B 1996
- ------------------------------------------
Conservative
Portfolio Shares Amount
- ------------------------------------------
Shares sold 4,048,229 $37,715,056
- ------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 314,695 2,871,854
- ------------------------------------------
Shares
repurchased (1,709,914) (15,938,534)
- ------------------------------------------
Net increase 2,653,010 $24,648,376
- ------------------------------------------
Six months ended March 31
- ------------------------------------------
Class C 1997
- ------------------------------------------
Conservative
Portfolio Shares Amount
- ------------------------------------------
Shares sold 768,033 $7,434,142
- ------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 94,506 902,939
- ------------------------------------------
Shares
repurchased (212,598) (2,053,124)
- ------------------------------------------
Net increase 649,941 $6,283,957
- ------------------------------------------
Year ended September 30
- ------------------------------------------
Class C 1996
- ------------------------------------------
Conservative
Portfolio Shares Amount
- ------------------------------------------
Shares sold 1,074,609 $9,967,768
- ------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 49,029 447,214
- ------------------------------------------
Shares
repurchased (217,121) (2,022,937)
- ------------------------------------------
Net increase 906,517 $8,392,045
- ------------------------------------------
Six months ended March 31
- ------------------------------------------
Class M 1997
- ------------------------------------------
Conservative
Portfolio Shares Amount
- ------------------------------------------
Shares sold 367,952 $3,574,879
- ------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 29,517 283,130
- ------------------------------------------
Shares
repurchased (86,879) (841,576)
- ------------------------------------------
Net increase 310,590 $3,016,433
- ------------------------------------------
Year ended September 30
- ------------------------------------------
Class M 1996
- ------------------------------------------
Conservative
Portfolio Shares Amount
- ------------------------------------------
Shares sold 409,443 3,838,426
- ------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 9,203 84,406
- ------------------------------------------
Shares
repurchased (89,556) (836,049)
- ------------------------------------------
Net increase 329,090 $3,086,783
- ------------------------------------------
Six months ended March 31
- ------------------------------------------
Class Y 1997
- ------------------------------------------
Conservative
Portfolio Shares Amount
- ------------------------------------------
Shares sold 1,203,692 $11,749,445
- ------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 62,540 601,305
- ------------------------------------------
Shares
repurchased (372,130) (3,610,374)
- ------------------------------------------
Net increase 894,102 $8,740,376
- ------------------------------------------
Year ended September 30
- ------------------------------------------
Class Y 1996
- ------------------------------------------
Conservative
Portfolio Shares Amount
- ------------------------------------------
Shares sold 527,405 4,960,017
- ------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 13,676 125,494
- ------------------------------------------
Shares
repurchased (117,166) (1,093,159)
- ------------------------------------------
Net increase 423,915 $3,992,352
- ------------------------------------------
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
Ronald J. Jackson
Elizabeth T. Kennan
Lawrence J. Lasser
Robert E. Patterson
Donald S. Perkins
George Putnam, III
A.J.C. Smith
W. Nicholas Thorndike
OFFICERS
George Putnam
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
William J. Curtin
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.
You can also learn more at Putnam Investments' website:
http://www.putnaminv.com.
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.
[PUTNAM LOGO OMITTED]
The Putnam Funds
One Post Office Square
Boston, Massachusetts 02109
- -----------------
Bulk Rate
U.S. Postage
PAID
Putnam
Investments
- -----------------
32912-250/259/264 5/97
