Putnam
Asset
Allocation
Funds
SEMIANNUAL REPORT
March 31, 1998
[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.
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.
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.
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
* The targeted portfolio represents the ideal allocation of assets
among the various investment categories assuming that all
security 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:
Access to a wide variety of assets was one of Putnam Asset
Allocation Funds' particularly useful attributes in the global
market environment that prevailed during the first half of your
funds' fiscal year. All three portfolios performed well during the
challenging period and continue to show satisfying results over
longer periods. The performance tables that start on page 9 provide
full information.
The best-performing sectors during the period were the U.S. stock
and bond markets. European stocks also performed well overall,
recovering strongly toward the end of the period from the market
disruptions prompted by events in Asia. As you might imagine, the
Asian security markets were hit hardest in the wake of the currency
and debt difficulties that beset a number of countries in that
region.
In the following report, your funds' management team provides
commentary on each of these market sectors and discusses the funds'
strategies employed in each sector during the semiannual period.
Then the team offers its insights into the prospects for the fiscal
year's second half.
Respectfully yours,
/S/GEORGE PUTNAM
George Putnam
Chairman of the Trustees
May 20, 1998
Report from the Fund Managers
Ian C. Ferguson
William E. Zieff
William J. Landes
Each ingredient in a recipe may have its own distinct taste, but
when you combine ingredients, you get a delicious blend that is more
than just the sum of its parts. The three portfolios of Putnam Asset
Allocation Funds reflect a similar idea, combining eight different
asset classes -- each offering a distinct flavor to the total
portfolio -- in pursuit of attractive returns with potentially lower
volatility.
During the six months ended March 31, 1998, world financial markets
provided a full plate of challenges for investors. In this
environment, the diversification benefits offered by the funds' mix
of asset classes enabled investors to take advantage of the
stronger-performing classes while reducing the effects of market
volatility. See the performance summary that begins on page 9 for a
detailed overview of portfolio performance.
* U.S. COMPANIES RIDE STOCK MARKET'S RISE
Over the semiannual period, the U.S. stock and bond markets
continued to benefit from an ideal environment of moderate economic
growth paired with benign inflation. The Federal Reserve Board
remained reluctant to raise interest rates in light of the fragile
Asian equity and currency markets. Recovering from its October
setback, the stock market posted healthy returns, while the bond
market experienced a decline in rates and a flattening of the yield
curve during the period.
Stocks: At the beginning of the period, concerns regarding Asia's
economic slowdown and its effect on U.S. corporations' earnings
disrupted the rosy scenario of rising and predictable earnings that
had propelled U.S. stocks throughout most of 1997. Domestically,
however, the positive economic environment helped U.S. stocks
recover from the Asian-led selloff and resulted in significant
outperformance by those companies having primarily domestic
exposure.
U.S. stocks continued to soar through the end of the period. The
market's rise was particularly surprising in view of declining
earnings among a number of high-profile companies, such as Intel,
Motorola, and Compaq. However, long-term earnings estimates remained
robust, and this, combined with low inflation and a cooperative Fed,
supported the market.
The large-capitalization growth portion of the three portfolios
performed well primarily because of strong stock selection and
overweighted positions in the technology, health-care, and retail
sectors. The small-cap component of the portfolios also contributed
to returns largely because of our emphasis on the consumer cyclical
and technology sectors.
Bonds: The U.S. bond market, benefiting from investors' perceptions
that the Asian crisis would have a deflationary impact and would
lead to lower yields, recorded robust gains at the beginning of the
period. Persistent noninflationary economic reports and continued
strides toward deficit reduction resulted in a decline in rates and
a flattening of the yield curve in December. After an initial
decline in January, interest rates rose steadily throughout the
remainder of the period in reaction to stronger-than-expected U.S.
economic reports.
[GRAPHIC OMITTED: WORM CHART OF WORLD FIXED-INCOME MARKETS]
World Fixed-Income Markets
Growth of $10,000 investment
U.S. government and
U.S. high-yield investment-grade International
bonds1 securities2 bonds3
3/31/97 10,000 10,000 10,000
4/97 10,089 10,150 9,797
5/97 10,292 10,246 10,158
6/97 10,432 10,368 10,282
7/97 10,653 10,648 10,014
8/97 10,710 10,558 10,059
9/97 10,923 10,713 10,304
10/97 10,921 10,868 10,534
11/97 10,999 10,918 10,265
12/97 11,099 11,029 10,161
1/98 11,288 11,170 10,230
2/98 11,376 11,161 10,374
3/31/98 11,433 11,199 10,203
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.
In the U.S. investment-grade portion of the portfolios, astute
security selection in mortgage-backed and corporate securities and
overweighted positions in adjustable-rate mortgages and the finance
sector of corporate bond markets helped boost performance.
* INTERNATIONAL MARKETS REACT, THEN RECOVER FROM ASIA'S CRISIS
International markets were shaken by the Asian contagion at the
beginning of your funds' fiscal year but rebounded successfully in
the last three months of the period. During the flight to quality
following the Asian market disruption, bond markets in most
developed countries posted generally solid gains in local currency
terms. However, the strength of the U.S. dollar diminished those
gains for unhedged, U.S.-based investors.
Stocks: International equity markets were tumultuous early in the
period as Asia's financial turmoil spread and intensified. The Hong
Kong dollar came under speculative attack. While the Hong Kong
monetary authority successfully defended the currency's peg to the
U.S. dollar, it did so at the expense of a significant interest-rate
increase. As a result, the stock market declined drastically. The
depreciation of the South Korean currency prompted the largest
International Monetary Fund bailout on record and a substantial
stock market selloff in that country. Singapore and Malaysia also
experienced significant price declines, while European markets faced
increased volatility as a result of the Asian crisis.
Toward the end of the period, international stocks recovered nicely.
The gains were all the more impressive given the dollar's healthy
performance during the first three months of 1998. (Returns in
international investments must be translated into U.S. dollars; a
stronger dollar can reduce gains, while a weaker dollar can increase
them.) Countries on the edge of the impending European Economic and
Monetary Union (EMU) zone experienced the strongest growth, fueled
by local interest rates that have converged downward toward German
levels. Strong European market returns were posted by Spain, Italy,
and Finland.
In Japan, investors reacted positively to government initiatives to
resolve the banking industry's bad-loan problems and to reinvigorate
the economy. By the end of the period, however, this optimism had
turned to cynicism, as the announced fiscal measures were judged
unlikely to be effective. The funds' overweight position in France,
Ireland, Sweden, the Netherlands, and Portugal, combined with
underweight exposure to Japan, helped boost performance.
[GRAPHIC OMITTED: WORM CHART OF WORLD EQUITY MARKETS]
World Equity Markets
Growth of $10,000 investment
Large-cap Small-cap International
growth stocks1 growth stocks2 stocks3
3/31/97 10,000 10,000 10,000
4/97 10,597 10,028 10,053
5/97 11,212 11,143 10,707
6/97 11,746 11,621 11,297
7/97 12,681 12,162 11,480
8/97 11,971 12,440 10,623
9/97 12,627 13,351 11,218
10/97 12,205 12,765 10,355
11/97 12,770 12,682 10,249
12/97 12,990 12,904 10,339
1/98 13,134 12,700 10,811
2/98 14,081 13,638 11,505
3/31/98 14,800 14,201 11,860
1 Standard & Poor's(registered trademark) 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.
Bonds: International fixed-income markets rallied during the period
with markets posting gains in local-currency terms. However, the
U.S. dollar continued to strengthen against other major currencies,
canceling out local-currency gains for U.S.-dollar based investors.
European bond markets posted robust returns amid signs of continued
sluggish economic growth in Germany and firming prospects for broad
first-round participation in the European Economic and Monetary
Union. Official reports released near period-end reinforced
expectations of a continued downward convergence of interest rates,
supporting a broad first round of EMU-boosted bonds. Japanese bonds
underperformed, buffeted by domestic financial sector weakness and
spillover effects of regional economic turmoil. Japanese investors
were unnerved by a steady stream of government statements announcing
plans to stimulate growth.
The funds' overweighting in U.K. bonds boosted returns as inflation
remained subdued and growth weakened. Underweighting Japanese
government bonds also aided performance.
* STRATEGY AND OUTLOOK
Prospects for the U.S. equity market have deteriorated somewhat as a
result of recent strong performance. We anticipate reducing the
portfolios' U.S. equity levels to somewhat neutral allocations in
favor of more attractive European equity markets. We are also
adjusting the funds' overall stock versus bond weighting.
Japanese business conditions continue to deteriorate. Until more
meaningful change is brought about, Putnam Management believes the
Japanese market will continue to struggle and plans to minimize the
funds' exposure.
Due to the continued decline in the U.S. inflation rate, the 1997's
bull market in U.S. bonds has not, in our opinion, left the bond
market overvalued. Coupled with the relative attractiveness of U.S.
versus foreign bonds, we anticipate holding an overweight position
in Treasuries. We believe that valuations in most non-U.S. bond
markets are stretched following the global flight to quality that
followed the Asian crisis. With economic activity likely to
accelerate in Europe and continuing uncertainty in Japan, we have
decreased the funds' position in non-U.S. bonds. We believe these
shifts will position the funds well for upcoming opportunities in
the global equity and fixed-income markets.
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 3/31/98,
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.
Performance summary
* GROWTH PORTFOLIO
TOTAL RETURNS FOR PERIOD ENDED 3/31/98
Change in value during period plus reinvested distributions
Class A Class B Class C Class M
Inception dates (2/8/94) (2/16/94) (9/1/94) (2/3/95)
NAV POP NAV CDSC NAV CDSC NAV POP
- --------------------------------------------------------------------
6 months 8.18% 1.97% 7.73% 2.73% 7.72% 6.72% 7.87% 4.08%
- --------------------------------------------------------------------
1 year 30.23 22.76 29.33 24.33 29.26 28.26 29.57 25.01
- --------------------------------------------------------------------
Life of fund 93.72 82.56 88.11 86.11 86.96 86.96 89.52 82.88
Annual
average 17.32 15.65 16.49 16.19 16.32 16.32 16.70 15.70
- --------------------------------------------------------------------
PRICE AND DISTRIBUTION INFORMATION
6 months ended 3/31/98
Class A Class B Class C Class M
Share value NAV POP NAV NAV NAV POP
- --------------------------------------------------------------------
9/30/97 $13.64 $14.47 $13.47 $13.38 $13.49 $13.98
- --------------------------------------------------------------------
3/31/98 13.68 14.51 13.53 13.42 13.53 14.02
- --------------------------------------------------------------------
Capital gains
Investment Long Short
Distributions Number income term term Total
- --------------------------------------------------------------------
Class A 1 $0.129 $0.428 $0.409 $0.966
- --------------------------------------------------------------------
Class B 1 0.046 0.428 0.409 0.883
- --------------------------------------------------------------------
Class C 1 0.057 0.428 0.409 0.894
- --------------------------------------------------------------------
Class M 1 0.082 0.428 0.409 0.919
- --------------------------------------------------------------------
Performance data represent past results and the life-of-fund data
reflect an expense limitation, which was in effect until 12/31/94.
Without the limitation, the funds' total return would have been
lower. Returns for class A and class M shares reflect the current
maximum initial sales charges of 5.75% and 3.50%, respectively.
Class B share returns for the 1-, 5-, and 10-year (where available)
and life-of-fund periods reflect the applicable contingent deferred
sales charge (CDSC), which is 5% in the first year, declines to 1%
in the sixth year, and is eliminated thereafter. Returns shown for
class B and class M shares for periods prior to their inception are
derived from the historical performance of class A shares, adjusted
to reflect both the initial sales charge or CDSC, if any, currently
applicable to each class and, in the case of class B and class M
shares, the higher operating expenses applicable to such shares. For
class C shares of Putnam Asset Allocation Funds, returns for periods
prior to their inception are derived from the historical performance
of class A shares, adjusted to reflect both the CDSC currently
applicable to class C shares, which is 1% for the first year and is
eliminated thereafter, and the higher operating expenses applicable
to class C shares. All returns assume reinvestment of distributions
at NAV and represent past performance; they do not guarantee future
results. Investment return and principal value will fluctuate so
that an investor's shares when redeemed may be worth more or less
than their original cost.
* BALANCED PORTFOLIO
TOTAL RETURNS FOR PERIOD ENDED 3/31/98
Change in value during period plus reinvested distributions
Class A Class B Class C Class M
Inception dates (2/7/94) (2/11/94) (9/1/94) (2/6/95)
NAV POP NAV CDSC NAV CDSC NAV POP
- --------------------------------------------------------------------
6 months 7.05% 0.89% 6.62% 1.69% 6.66% 5.67% 6.80% 3.02%
- --------------------------------------------------------------------
1 year 25.97 18.75 24.97 19.97 25.02 24.02 25.29 20.92
- --------------------------------------------------------------------
Life of fund 82.07 71.57 76.59 74.59 75.69 75.69 78.93 72.67
Annual
average 15.57 13.93 14.72 14.41 14.58 14.58 15.09 14.10
- --------------------------------------------------------------------
PRICE AND DISTRIBUTION INFORMATION
6 months ended 3/31/98
Class A Class B Class C Class M
Share value NAV POP NAV NAV NAV POP
- --------------------------------------------------------------------
9/30/97 $12.28 $13.03 $12.23 $12.18 $12.27 $12.72
- --------------------------------------------------------------------
3/31/98 12.12 12.86 12.06 12.01 12.11 12.55
- --------------------------------------------------------------------
Capital gains
Investment Long Short
Distributions Number income term term Total
- --------------------------------------------------------------------
Class A 2 $0.162 $0.396 $0.381 $0.939
- --------------------------------------------------------------------
Class B 2 0.120 0.396 0.381 0.897
- --------------------------------------------------------------------
Class C 2 0.121 0.396 0.381 0.898
- --------------------------------------------------------------------
Class M 2 0.134 0.396 0.381 0.911
- --------------------------------------------------------------------
Performance data represent past results and the life-of-fund data
reflect an expense limitation, which was in effect until 12/31/94.
Without the limitation, the funds' total return would have been
lower. Returns for class A and class M shares reflect the current
maximum initial sales charges of 5.75% and 3.50%, respectively.
Class B share returns for the 1-, 5-, and 10-year (where available)
and life-of-fund periods reflect the applicable contingent deferred
sales charge (CDSC), which is 5% in the first year, declines to 1%
in the sixth year, and is eliminated thereafter. Returns shown for
class B and class M shares for periods prior to their inception are
derived from the historical performance of class A shares, adjusted
to reflect both the initial sales charge or CDSC, if any, currently
applicable to each class and, in the case of class B and class M
shares, the higher operating expenses applicable to such shares. For
class C shares of Putnam Asset Allocation Funds, returns for periods
prior to their inception are derived from the historical performance
of class A shares, adjusted to reflect both the CDSC currently
applicable to class C shares, which is 1% for the first year and is
eliminated thereafter, and the higher operating expenses applicable
to class C shares. All returns assume reinvestment of distributions
at NAV and represent past performance; they do not guarantee future
results. Investment return and principal value will fluctuate so
that an investor's shares when redeemed may be worth more or less
than their original cost.
* CONSERVATIVE PORTFOLIO
TOTAL RETURNS FOR PERIOD ENDED 3/31/98
Change in value during period plus reinvested distributions
Class A Class B Class C Class M
Inception dates (2/7/94) (2/18/94) (9/1/94) (2/7/95)
NAV POP NAV CDSC NAV CDSC NAV POP
- --------------------------------------------------------------------
6 months 4.90% -1.15% 4.64% -0.31% 4.45% 3.47% 4.57% 0.95%
- --------------------------------------------------------------------
1 year 17.96 11.21 17.17 12.17 17.00 16.00 17.36 13.21
- --------------------------------------------------------------------
Life of fund 54.52 45.61 50.01 48.01 49.38 49.38 51.46 46.15
Annual
average 11.08 9.50 10.29 9.93 10.18 10.18 10.55 9.60
- --------------------------------------------------------------------
PRICE AND DISTRIBUTION INFORMATION
6 months ended 3/31/98
Class A Class B Class C Class M
Share value NAV POP NAV NAV NAV POP
- --------------------------------------------------------------------
9/30/97 $10.61 $11.26 $10.57 $10.56 $10.59 $10.97
- --------------------------------------------------------------------
3/31/98 10.50 11.14 10.47 10.44 10.47 10.85
- --------------------------------------------------------------------
Capital gains
Investment Long Short
Distributions Number income term term Total
- --------------------------------------------------------------------
Class A 2 $0.167 $0.087 $0.342 $0.596
- --------------------------------------------------------------------
Class B 2 0.130 0.087 0.342 0.559
- --------------------------------------------------------------------
Class C 2 0.130 0.087 0.342 0.559
- --------------------------------------------------------------------
Class M 2 0.143 0.087 0.342 0.572
- --------------------------------------------------------------------
Performance data represent past results and the life-of-fund data
reflect an expense limitation, which was in effect until 12/31/94.
Without the limitation, the funds' total return would have been
lower. Returns for class A and class M shares reflect the current
maximum initial sales charges of 5.75% and 3.50%, respectively.
Class B share returns for the 1-, 5-, and 10-year (where available)
and life-of-fund periods reflect the applicable contingent deferred
sales charge (CDSC), which is 5% in the first year, declines to 1%
in the sixth year, and is eliminated thereafter. Returns shown for
class B and class M shares for periods prior to their inception are
derived from the historical performance of class A shares, adjusted
to reflect both the initial sales charge or CDSC, if any, currently
applicable to each class and, in the case of class B and class M
shares, the higher operating expenses applicable to such shares. For
class C shares of Putnam Asset Allocation Funds, returns for periods
prior to their inception are derived from the historical performance
of class A shares, adjusted to reflect both the CDSC currently
applicable to class C shares, which is 1% for the first year and is
eliminated thereafter, and the higher operating expenses applicable
to class C shares. All returns assume reinvestment of distributions
at NAV and represent past performance; they do not guarantee future
results. Investment return and principal value will fluctuate so
that an investor's shares when redeemed may be worth more or less
than their original cost.
COMPARATIVE INDEX RETURNS FOR PERIOD ENDED 3/31/98
(Cumulative total returns)
Lehman Bros. Standard Russell First Boston Consumer
Aggregate & Poor's 2000 High Yield Price
Bond Index 500 Index Index Bond Index Index
- --------------------------------------------------------------------
1 year 11.99% 48.00% 42.01% 14.33% 1.38%
- --------------------------------------------------------------------
Life of fund 30.97 151.91 91.83 48.95 10.94
Annual
average 6.70 24.86 16.95 10.05 2.53
- --------------------------------------------------------------------
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.
Consumer Price Index (CPI) is a commonly used measure of inflation;
it does not represent an investment return.
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 in 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, 1998 (Unaudited)
GROWTH BALANCED CONSERVATIVE
81.1% 67.8% 34.8%
COMMON STOCKS * Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C> <C>
Advertising 0.4% 0.3% 0.1%
- ------------------------------------------------------------------------------------------------------------------------------
Getty Images, Inc. (Canada) + 41,600 $ 1,045,200 34,700 $ 871,838 5,600 $ 140,700
Lamar Advertising Co. + 62,050 2,171,750 51,600 1,806,000 8,250 288,750
Universal Outdoor Holdings, Inc. + 30,900 1,993,050 25,700 1,657,650 4,100 264,450
-------------- -------------- ------------
5,210,000 4,335,488 693,900
Aerospace and Defense 0.9% 0.7% 0.4%
- ------------------------------------------------------------------------------------------------------------------------------
Boeing Co. 118,500 6,176,813 119,600 6,234,150 18,800 979,950
Hawker Pacific Aerospace + 47,100 471,000 39,100 391,000 6,300 63,000
Northrop Grumman Corp. 5,615 603,262 5,555 596,815 975 104,752
Raytheon Co Class A 20,380 1,159,113 19,845 1,128,684 3,280 186,550
REMEC, Inc. + 67,450 1,934,972 55,925 1,604,348 9,075 260,339
Rolls-Royce PLC (United Kingdom) 184,546 860,370 231,884 1,081,064 49,454 230,559
Smiths Industries PLC (United Kingdom) 119,964 1,758,033 145,499 2,132,240 29,320 429,675
------------- -------------- ------------
12,963,563 13,168,301 2,254,825
Agriculture --% --% --%
- ------------------------------------------------------------------------------------------------------------------------------
PPB Oil Palms Berhad (Malaysia) + 365,000 358,000 450,000 441,370 75,000 73,562
PSF Holdings LLC Class A +++ 3,305 99,150 12,885 386,550 4,186 125,580
-------------- -------------- ------------
457,150 827,920 199,142
Automotive 1.9% 1.6% 0.9%
- ------------------------------------------------------------------------------------------------------------------------------
Autoliv, Inc. -- -- -- -- -- --
Avis Rent A Car, Inc. + 48,300 1,566,731 38,600 1,252,088 6,850 222,197
Bayerische Motoren Werke (BMW) AG
(Germany) 3,054 3,380,476 3,881 4,295,884 814 901,018
Bridgestone Corp. (Japan) 42,000 953,111 53,000 1,202,736 12,000 272,318
Budget Group, Inc. (Japan) + 79,500 2,981,250 66,300 2,486,250 10,600 397,500
Chrysler Corp. 113,100 4,700,719 115,300 4,792,156 18,000 748,125
CSK Auto Corp. + 29,700 668,250 25,000 562,500 4,000 90,000
Dana Corp. 29,200 1,699,075 28,500 1,658,344 4,800 279,300
Goodyear Tire & Rubber Co. (The) 24,090 1,824,818 23,585 1,786,564 3,885 294,289
Lear Corp. + 108,880 6,138,110 111,045 6,260,162 17,775 1,002,066
Michelin Corp. Class B (France) 51,011 3,048,791 64,929 3,880,633 13,783 823,773
Qingling Motors Co. (China) + 316,000 146,821 388,000 180,274 65,000 30,201
Renault S.A. (France) + 9,190 409,830 11,170 489,129 2,561 114,208
-------------- -------------- ------------
27,517,982 28,846,720 5,174,995
Basic Industrial Products 1.4% 1.2% 0.6%
- ------------------------------------------------------------------------------------------------------------------------------
Ade Corp. + 33,900 574,181 28,900 489,494 4,700 79,606
Alfa S.A. de C.V. Class A, (Mexico) 129,600 727,953 159,300 894,776 26,300 147,725
Caterpillar, Inc. 101,205 5,572,600 102,140 5,624,084 16,040 883,203
Cooper Industries, Inc. 21,300 1,266,019 20,700 1,230,356 3,500 208,031
Daewoo Heavy Industries (South Korea) 48,000 246,242 58,000 297,542 10,000 51,300
Deere (John) & Co. 25,750 1,594,891 25,175 1,559,277 4,155 257,350
Ingersoll-Rand Co. 85,400 4,093,863 86,800 4,160,975 14,000 671,125
International Container Terminal
Services, Inc. (Philippines) 1,529,600 222,738 1,876,800 273,296 309,700 45,098
Larsen & Toubro Ltd. GDR (India) 16,000 196,872 20,000 246,090 3,300 40,605
Minnesota Mining & Manufacturing Co. 13,100 1,194,556 12,800 1,167,200 2,200 200,613
Owens-Illinois, Inc. + 42,055 1,818,879 41,000 1,773,250 6,770 292,803
Rieter Holding AG (Switzerland) 2,306 1,304,940 2,700 1,527,900 602 340,665
Sandvik AB Class A, (Sweden) 2,270 64,653 3,050 86,869 775 22,073
Sandvik AB Class B, (Sweden) 33,500 952,037 43,540 1,237,364 10,260 291,579
Siderurgica Venezolana 6,500 107,758 8,000 132,626 1,333 22,099
White Cap Industries, Inc. + 15,650 359,950 13,800 317,400 2,150 49,450
-------------- -------------- ------------
20,298,132 21,018,499 3,603,325
Biotechnology 0.3% 0.2% 0.1%
- ------------------------------------------------------------------------------------------------------------------------------
Digene Corp. + 59,600 528,950 49,500 439,313 8,000 71,000
Kendle International, Inc. + 33,400 776,550 27,700 644,025 4,500 104,625
Quintiles Transnational Corp. + 39,300 1,893,769 40,800 1,966,050 6,500 313,219
Serologicals Corp. 25,500 720,375 21,100 596,075 3,300 93,225
Sonus Pharmaceuticals, Inc. + 22,400 548,800 19,100 467,950 3,100 75,950
-------------- -------------- ------------
4,468,444 4,113,413 658,019
Broadcasting 1.1% 0.9% 0.4%
- ------------------------------------------------------------------------------------------------------------------------------
CBS Corp. 161,800 5,491,088 166,000 5,633,625 26,400 895,950
Grupo Televisa S.A.GDR (Mexico) 19,000 695,875 23,200 849,700 3,800 139,175
Heftel Broadcasting Corp. Class A + 72,800 3,257,800 60,400 2,702,900 9,700 434,075
SAGA Communications Inc. Class A + 50,600 1,056,275 42,013 877,021 6,763 141,178
Scandinavian Broadcasting System S.A.
(Luxembourg) + 37,000 1,221,000 31,200 1,029,600 5,000 165,000
Sinclair Broadcast Group, Inc. Class A + 12,500 720,313 10,300 593,538 1,700 97,963
Tele-Communications, Inc. Class A + 122,800 3,818,313 123,900 3,852,516 19,700 612,547
-------------- -------------- ------------
16,260,664 15,538,900 2,485,888
Building and Construction 1.1% 1.0% 0.6%
- ------------------------------------------------------------------------------------------------------------------------------
Barnett, Inc. + 41,200 885,800 34,200 735,300 5,500 118,250
Cemex S.A. de C.V. Class B, (Mexico) + 96,100 519,459 118,000 637,838 19,400 104,865
Cheung Kong Infrastructure Holdings
(Hong Kong) 116,000 345,835 142,000 423,350 23,000 68,571
Cimpor-Cimentos de Portugal, SGPS, SA
(Portugal) 13,000 458,573 16,600 585,562 3,520 124,167
Corporacion Moctezuma, S.A. de C.V.
(Mexico) + 190,000 279,083 234,000 343,713 39,000 57,286
CRH PLC (Ireland) 242,308 3,641,216 302,562 4,546,666 64,225 965,123
Dycom Industries, Inc. + 61,400 1,723,038 51,000 1,431,188 8,200 230,113
Grupo Imsa S.A. de C.V. ADR (Mexico) + 16,600 327,850 20,000 395,000 3,400 67,150
Gujarat Ambuja Cements Ltd. GDR
(India) + 41,400 289,800 51,000 357,000 8,300 58,100
IJM Copr. Berhad (Malaysia) 666,000 385,003 816,000 471,715 135,000 78,041
Lafarge Coppee (France) 25,495 2,170,827 32,379 2,757,107 6,824 581,071
Lafarge Coppee Rights (expiration date
4/8/98) (France) + 25,495 33,367 32,279 42,377 6,824 8,931
Masco Corp. 61,000 3,629,500 63,500 3,778,250 10,100 600,950
New World Infrastructure Ltd.
(Hong Kong) + 88,000 212,385 108,000 260,654 18,000 43,442
Terex Corp. Rights + 1,100 22,000 600 12,000 1,000 20,000
VA Technolgies AG (Austria) + 7,680 1,211,356 10,361 1,634,227 2,825 445,584
-------------- -------------- ------------
16,135,192 18,411,947 3,571,644
Business Equipment and Services 4.7% 3.8% 1.9%
- ------------------------------------------------------------------------------------------------------------------------------
ACSYS, Inc. + 42,500 701,250 35,400 584,100 5,700 94,050
BMC Software, Inc. + 64,400 5,397,525 65,200 5,464,575 10,400 871,650
Cendant Corp. + 205,000 8,123,125 208,100 8,245,963 33,200 1,315,550
Condor Technology Solutions, Inc. + 64,600 904,400 53,500 749,000 8,600 120,400
CORT Business Services Corp. + 57,500 2,731,250 47,800 2,270,500 7,700 365,750
Dai Nippon Printing Co., Ltd. (Japan) 99,000 1,636,610 125,000 2,066,427 25,000 413,285
Data Processing Resources Corp. + 36,800 1,143,100 30,600 950,513 4,900 152,206
EMC Corp. + 105,100 3,974,094 109,300 4,132,906 17,400 657,938
Encad, Inc. + 46,100 602,181 39,400 514,663 6,300 82,294
F.Y.I., Inc. + 24,800 678,900 21,100 577,613 3,200 87,600
HBO & Co. 98,100 5,922,788 100,500 6,067,688 16,200 978,075
Hewlett-Packard Co. 22,780 1,443,683 22,190 1,406,291 3,665 232,269
Lason Holdings, Inc. + 60,500 2,283,875 50,200 1,895,050 8,090 305,398
Mannesmann AG (Germany) 5,978 4,381,170 7,561 5,541,323 1,605 1,176,276
Metamor Worldwide, Inc. + 33,800 1,269,613 28,125 1,056,445 4,500 169,031
NCO Group, Inc. + 81,700 2,042,500 68,600 1,715,000 10,900 272,500
Outsource International, Inc. + 38,000 912,000 31,500 756,000 5,100 122,400
PeopleSoft, Inc. + 62,200 3,277,163 64,400 3,393,075 10,300 542,681
Pitney Bowes, Inc. 98,300 4,933,431 97,600 4,898,300 15,800 792,963
RCM Technologies, Inc. + 36,400 978,250 30,000 806,250 4,800 129,000
Renaissance Worldwide, Inc. 79,060 2,169,209 67,240 1,844,898 10,820 296,874
Rental Service Corp. + 54,100 1,257,825 44,950 1,045,088 7,200 167,400
Ricoh Co., Ltd. (Japan) 49,000 493,388 61,000 614,217 11,000 110,760
Ritchie Bros. Auctioneers Inc. (Canada) + 5,200 125,125 4,400 105,875 700 16,844
Romac International, Inc. + 38,200 1,050,500 31,700 871,750 5,100 140,250
Staff Leasing, Inc. + 61,900 1,717,725 51,300 1,423,575 8,300 230,325
Xerox Corp. 81,000 8,621,438 81,000 8,621,438 13,000 1,383,688
-------------- -------------- ------------
68,772,118 67,618,523 11,227,457
Chemicals 0.6% 0.6% 0.4%
- ------------------------------------------------------------------------------------------------------------------------------
Akzo-Nobel N.V. (Netherlands) 15,638 3,179,707 19,830 4,032,075 3,985 810,278
Bayer AG ADR (Germany) + 53,397 2,445,135 67,721 3,101,054 14,130 647,035
Crompton & Knowles Corp. 10 289 29 839 19 550
du Pont (E.I.) de Nemours & Co., Ltd. 23,400 1,591,200 22,900 1,557,200 3,800 258,400
Eastman Chemical Co. 17,400 1,173,413 17,000 1,146,438 2,900 195,569
Witco Chemical Corp. 26,875 1,058,203 26,220 1,032,413 4,340 170,888
-------------- -------------- ------------
9,447,947 10,870,019 2,082,720
Communications and Technology --% --% --%
- ------------------------------------------------------------------------------------------------------------------------------
Newbridge Networks Corp. (Canada) + 25,700 683,944 30,546 812,909 6,961 185,250
Computer Equipment 0.3% 0.2% 0.1%
- ------------------------------------------------------------------------------------------------------------------------------
Asustek Computer, Inc. GDR (Taiwan) + 15,100 332,200 18,400 404,800 3,100 68,200
Seagate Technology, Inc. + 139,785 3,529,571 143,550 3,624,638 23,025 581,381
-------------- -------------- ------------
3,861,771 4,029,438 649,581
Computer Services and Software 6.4% 4.9% 2.3%
- ------------------------------------------------------------------------------------------------------------------------------
Acer Inc. GDR (Taiwan) + 17,000 172,550 21,000 213,150 3,500 35,525
Analysts International Corp. 54,100 1,582,425 45,550 1,332,338 7,200 210,600
Arbor Software Corp. + 36,200 1,669,725 30,000 1,383,750 4,800 221,400
Aris Corp. + 5,700 169,575 4,800 142,800 800 23,800
Aspect Development, Inc. + 14,300 784,713 11,900 653,013 1,900 104,263
Aware, Inc. + 72,300 1,093,538 60,000 907,500 9,700 146,713
Best Software, Inc. + 43,700 660,963 36,200 547,525 5,800 87,725
Complete Business Solutions, Inc. + 119,200 4,276,300 99,000 3,551,625 16,000 574,000
Computer Associates Intl., Inc. 147,700 8,529,675 150,800 8,708,700 24,100 1,391,775
Computer Horizons Corp. + 54,393 2,733,248 47,120 2,367,780 7,410 372,353
Computer Learning Centers, Inc. + 122,650 2,054,388 105,200 1,762,100 16,200 271,350
Computer Task Group, Inc. 50,700 2,088,206 42,100 1,733,994 6,800 280,075
Compuware Corp. + 73,500 3,629,063 66,600 3,288,375 10,600 523,375
Dell Computer Corp. + 41,100 2,784,525 41,700 2,825,175 6,600 447,150
Discreet Logic, Inc. + 55,700 908,606 46,200 753,638 7,500 122,344
Formula Systems Ltd. + 4,400 180,226 5,400 221,186 900 36,864
Fundtech Ltd. + 48,700 876,600 40,900 736,200 6,500 117,000
Harbinger Corp. + 48,400 1,827,100 40,100 1,513,775 6,500 245,375
IBM Corp. 68,300 7,094,663 68,700 7,136,213 10,800 1,121,850
IDT Corp. + 73,700 2,763,750 61,200 2,295,000 9,900 371,250
Industri-Matematik International Corp.
(Sweden) + 45,900 1,440,113 38,100 1,195,388 6,200 194,525
Information Management Resources, Inc. + 42,500 2,502,188 35,300 2,078,288 5,700 335,588
ISS Group, Inc. + 800 31,100 800 31,100 100 3,888
Keane, Inc. + 48,580 2,744,770 40,908 2,311,302 6,460 364,990
Legato Systems, Inc. + 35,900 2,131,563 29,800 1,769,375 4,800 285,000
Metro Information Services, Inc. + 20,500 699,563 15,000 511,875 2,600 88,725
Microsoft Corp. + 109,800 9,827,100 112,400 10,059,800 18,200 1,628,900
Midisoft Corp. + 1,664 1,196 2,474 1,778 405 291
NCR Corp. + 161,200 5,329,675 163,200 5,395,800 25,500 843,094
Parametric Technology Corp. + 104,200 3,471,163 108,400 3,611,075 16,800 559,650
Pegasus Systems, Inc. + 61,900 1,593,925 51,400 1,323,550 8,200 211,150
Peregrine Systems, Inc. + 69,600 1,331,100 57,800 1,105,425 9,300 177,863
Pinnacle Systems, Inc. + 19,600 742,350 16,200 613,575 2,600 98,475
PRT Group Inc. + 32,500 318,906 26,800 262,975 4,400 43,175
SGS-Thomson Microelectronics ADR
(France) + 33,374 2,588,571 40,803 3,164,783 9,148 709,542
SPR Inc. + 22,700 749,100 20,000 660,000 3,000 99,000
Simione Central Holdings, Inc. + 60,700 690,463 50,400 573,300 8,100 92,138
Simulation Sciences Inc. + 64,100 624,975 53,200 518,700 8,600 83,850
Software AG Systems, Inc. + 32,500 861,250 27,100 718,150 4,500 119,250
Summit Design, Inc. + 56,600 841,925 45,700 679,788 7,600 113,050
Technology Solutions Co. + 10,575 280,238 9,175 243,138 1,325 35,113
THINK New Ideas, Inc. + 40,600 695,275 34,500 590,813 5,300 90,763
3Com Corp. + 161,250 5,794,922 162,985 5,857,273 25,595 919,820
Visual Networks, Inc. + 40,800 1,060,800 33,900 881,400 5,300 137,800
Walker Interactive Systems, Inc. + 40,900 800,106 34,500 674,906 5,500 107,594
-------------- -------------- ------------
93,032,176 86,907,394 14,048,021
Conglomerates 1.0% 1.0% 0.5%
- ------------------------------------------------------------------------------------------------------------------------------
Axia Holding Inc. 144A + 225 18,000 -- -- -- --
BTR PLC (United Kingdom) 600,180 1,965,686 772,755 2,530,896 164,032 537,231
Hutchison Whampoa, Ltd. (Hong Kong) 304,000 2,138,303 385,000 2,708,048 82,000 576,779
Lonrho PLC (South Africa) 207,000 376,289 255,000 463,544 42,000 76,348
Ogden Corp. 152,600 4,387,250 157,340 4,523,525 25,020 719,325
Securicor Group PLC Class A,
(United Kingdom) 179,056 1,220,747 227,800 1,553,068 48,483 330,542
Tenneco, Inc. 35,300 1,506,869 34,400 1,468,450 5,800 247,588
Tomkins PLC (United Kingdom) 466,434 2,835,108 599,136 3,641,706 126,296 767,660
-------------- -------------- ------------
14,448,252 16,889,237 3,255,473
Consumer Durable Goods 0.1% 0.1% --%
- ------------------------------------------------------------------------------------------------------------------------------
Guangdong Kelon Elec Holding 213,000 247,412 260,000 302,006 43,000 49,947
Hasbro, Inc. 28,355 1,001,286 27,670 977,097 4,580 161,731
-------------- -------------- ------------
1,248,698 1,279,103 211,678
Consumer Non Durables 2.9% 2.5% 1.3%
- ------------------------------------------------------------------------------------------------------------------------------
B A T Industries PLC (United Kingdom) 296,104 3,013,270 377,210 3,838,636 80,930 823,575
Clorox Co. 52,200 4,472,888 54,300 4,652,831 8,600 736,913
Colgate-Palmolive Co. 60,000 5,197,500 60,700 5,258,138 9,900 857,588
Dimon Inc. -- -- -- -- -- --
Estee Lauder Cos. Class A 31,900 2,165,213 31,800 2,158,425 5,100 346,163
French Fragrances Inc. + 69,100 1,174,700 57,400 975,800 9,300 158,100
Hedstrom Holdings, Inc. 144A 910 1,251 2,729 3,752 910 1,251
KAO Corp. (Japan) 144,000 1,893,599 186,000 2,445,898 39,000 512,850
Kimberly-Clark Corp. 121,160 6,073,145 123,035 6,167,129 19,780 991,473
Kimberly-Clark de Mexico, S.A. de C.V.
Class A 118,100 610,623 145,200 750,740 24,000 124,089
Onward Kashiyama Co. Ltd. (Japan) 51,000 632,327 65,000 805,907 14,000 173,580
Philip Morris Cos., Inc. 35,700 1,488,244 34,800 1,450,725 5,800 241,788
Procter & Gamble Co. 85,000 7,171,875 88,400 7,458,750 14,100 1,189,688
PT Gudang Garam 132,000 183,804 164,000 228,362 29,500 41,077
RJR Nabisco Holdings Corp. 135,780 4,251,611 138,360 4,332,398 21,480 672,593
Svenska Cellulosa AB Class B, (Sweden) 74,203 2,039,257 94,501 2,597,089 20,060 551,292
U.S.A. Floral Products, Inc. + 21,600 490,050 17,900 406,106 2,900 65,794
Wesley Jessen VisionCare, Inc. + 47,800 1,571,425 39,600 1,301,850 6,400 210,400
-------------- -------------- ------------
42,430,782 44,832,536 7,698,214
Consumer Products 0.2% 0.1% 0.1%
- ------------------------------------------------------------------------------------------------------------------------------
Home Products International, Inc. + 48,700 785,288 41,400 667,575 6,600 106,425
Media Arts Group, Inc. + 54,800 1,082,300 45,600 900,600 7,300 144,175
1-800 CONTACTS, INC. + 20,000 397,500 16,600 329,925 3,300 65,588
Weider Nutrition Internatiional, Inc. 44,400 688,200 36,800 570,400 5,900 91,450
-------------- -------------- ------------
2,953,288 2,468,500 407,638
Consumer Related 0.1% 0.1% 0.1%
- ------------------------------------------------------------------------------------------------------------------------------
Unilever Group (United Kingdom) 151,681 1,432,043 191,512 1,808,094 42,039 396,897
Consumer Services 1.7% 1.2% 0.6%
- ------------------------------------------------------------------------------------------------------------------------------
AmeriKing, Inc. + 50 2,500 100 5,000 -- --
American Coin Merchandising, Inc. + 15,000 300,000 12,500 250,000 2,000 40,000
America Online, Inc. + 27,100 1,851,269 27,300 1,864,931 4,300 293,744
Applied Graphics Technologies, Inc. + 600 28,875 400 19,250 -- --
Bright Horizons, Inc. + 34,100 869,550 28,300 721,650 4,600 117,300
Dollar Thrify Automotive Group, Inc. + 94,800 2,133,000 78,700 1,770,750 12,700 285,750
Indian Hotels, Co. Ltd. GDR (India) 8,500 138,125 10,400 169,000 1,825 29,656
Interpublic Group Cos. Inc. 57,400 3,565,975 59,700 3,708,863 9,400 583,975
Market Facts, Inc. + 48,700 961,825 40,400 797,900 6,500 128,375
Marriott International, Inc. + 63,300 2,353,969 66,100 2,458,094 10,500 390,469
Marriott International, Inc. Class A + 63,300 2,266,931 66,100 2,367,206 10,500 376,031
Morton's Restaurant Group, Inc. + 28,900 666,506 24,000 553,500 3,900 89,944
On Assignment, Inc. + 73,900 2,189,288 61,300 1,816,013 9,900 293,288
PJ America Inc. + 23,400 421,200 19,400 349,200 3,100 55,800
Payment Svcs., Inc. + 60,100 1,078,044 52,800 947,100 8,150 146,191
Rent-Way, Inc. 98,300 2,334,625 81,500 1,935,625 13,200 313,500
Steiner Leisure Ltd. + 26,200 1,331,288 22,000 1,117,875 3,500 177,844
Travel Services International Inc. + 41,900 1,393,175 34,700 1,153,775 5,600 186,200
Trendwest Resorts, Inc. + 9,300 175,538 7,800 147,225 1,300 24,538
-------------- -------------- ------------
24,061,683 22,152,957 3,532,605
Correctional Facilities --% --% --%
- ------------------------------------------------------------------------------------------------------------------------------
Wackenhut Corrections Corp. + 6,100 152,881 5,700 142,856 900 22,556
Cosmetics 0.1% --% --%
- ------------------------------------------------------------------------------------------------------------------------------
Shiseido Co., Ltd. + 65,000 747,295 75,000 862,264 19,000 218,440
Education Services 0.4% 0.3% 0.2%
- ------------------------------------------------------------------------------------------------------------------------------
Career Education Corp. + 42,300 930,600 35,000 770,000 5,700 125,400
Education Management Corp. + 51,400 1,747,600 43,800 1,489,200 7,100 241,400
Learning Tree International, Inc. + 14,100 311,963 12,100 267,713 1,900 42,038
Strayer Education, Inc. 72,550 2,412,288 60,200 2,001,650 9,750 324,188
Youth Services International, Inc. + 61,200 1,132,200 50,800 939,800 8,200 151,700
-------------- -------------- ------------
6,534,651 5,468,363 884,726
Electronics and Electrical Equipment 4.9% 4.2% 2.1%
- ------------------------------------------------------------------------------------------------------------------------------
Aavid Thermal Technologies, Inc. + 18,500 571,188 15,500 478,563 2,500 77,188
Adflex Solutions, Inc. + 42,800 732,950 36,300 621,638 5,900 101,038
Advanced Lighting Technologies, Inc. + 41,700 1,078,988 35,200 910,800 5,600 144,900
American Telephone & Telegraph Co. + 116,885 7,670,578 118,655 7,786,734 19,040 1,249,500
ANADIGICS, Inc. + 41,400 540,788 34,200 446,738 5,600 73,150
Applied Micro Circuits Corp. + 50,100 1,127,250 40,900 920,250 6,700 150,750
Ase Test Limited (Taiwan) + 8,800 442,200 11,000 552,750 1,800 90,450
ATMI, Inc. 50,200 1,518,550 41,700 1,261,425 6,700 202,675
Brooks Automation, Inc. + 29,200 459,900 25,700 404,775 4,150 65,363
Computer Products, Inc. + 85,100 1,983,894 70,600 1,645,863 11,400 265,763
Cookson Group PLC (United Kingdom) 158,036 598,929 206,478 782,516 43,830 166,108
Credence Systems Corp. + 40,975 1,185,714 34,784 1,006,562 5,628 162,860
Delaware Global Technologies Corp. + 76,898 874,715 63,808 725,816 10,276 116,890
Eaton Corp. 9,800 932,838 9,500 904,281 1,600 152,300
EFTC Corp. + 41,600 546,000 35,700 468,563 5,600 73,500
Emerson Electric Co. 45,100 2,939,956 44,100 2,874,769 7,200 469,350
Flextronics International Ltd. + 21,100 911,256 17,550 757,941 2,900 125,244
General Electric Co. 145,000 12,497,188 150,900 13,005,694 24,000 2,068,500
General Electric Co. PLC
(United Kingdom) 318,837 2,520,033 417,903 3,303,034 86,331 682,346
Genesis Microchip Inc. + 13,800 194,063 11,900 167,344 2,100 29,531
Harmonic Lightwaves, Inc. + 71,400 1,151,325 59,300 956,213 9,600 154,800
Iberdola S.A. (Spain) + 61,000 927,778 78,000 1,186,339 16,620 252,782
Illinois Tool Works, Inc. 7,200 466,200 7,200 466,200 1,300 84,175
Innovative Valve Technologies, Inc. + 15,200 290,700 12,600 240,975 2,000 38,250
Integrated Process Equipment Corp. + 24,600 495,075 22,400 450,800 3,500 70,438
L.G. Electronics (South Korea) 5,720 78,939 7,320 101,020 1,180 16,285
Linear Technology Corp. 26,600 1,835,400 26,800 1,849,200 4,300 296,700
Micrel, Inc. + 32,500 1,232,969 27,000 1,024,313 4,400 166,925
Molins PLC (United Kingdom) -- -- 51,400 242,208 13,687 64,496
Omron Corp. (Japan) 86,000 1,305,381 114,000 1,730,388 23,000 349,113
Philips Electronics N.V. (Netherlands) 39,483 2,900,374 51,081 3,752,349 10,843 796,514
Photronics, Inc. + 36,400 1,019,200 30,200 845,600 4,900 137,200
Premier Farnell PLC (United Kingdom) 33,800 216,600 43,000 275,556 9,092 58,264
QLogic Corp. 12,000 426,000 9,900 351,450 1,600 56,800
Rohm Co. Ltd. (Japan) 15,000 1,375,113 19,000 1,741,810 4,000 366,697
Samsung Electronics Co. (South Korea) 8,000 421,963 9,400 495,807 1,600 84,393
Sansung Electro-Mechanics Co.
(South Korea) + 7,250 154,009 8,780 186,511 1,470 31,227
Siebe PLC (United Kingdom) 65,300 1,421,785 80,700 1,757,092 17,304 376,762
Siliconware Precision Industries Co. GDR
(Taiwan) + 9,000 169,200 11,200 210,560 1,900 35,720
Sony Corp. (Japan) 29,000 2,462,430 36,000 3,056,809 8,000 679,291
Tadiran Ltd. (Israel) 11,800 488,579 14,500 600,372 2,400 99,372
Taiwan Semiconductor Manufacturing Co.
ADR (Taiwan) + 10,400 269,100 12,700 328,613 2,100 54,338
Texas Instruments, Inc. 135,425 7,329,878 135,920 7,356,670 21,830 1,181,549
Tokyo Electron Ltd. (Japan) 33,000 1,113,391 44,000 1,484,521 9,000 303,652
Vishay Intertechnology, Inc. 197,960 4,652,060 201,827 4,742,935 31,295 735,433
-------------- -------------- ------------
71,530,427 74,460,367 12,958,582
Energy-Related 0.1% 0.1% --%
- ------------------------------------------------------------------------------------------------------------------------------
BSES Ltd. GDR (India) + 16,400 289,870 20,100 355,268 3,300 58,328
Beijing Datang Power Generation Co., Ltd.
Class H + 200,000 92,279 241,000 111,197 39,000 17,995
KTI, Inc. + 21,400 367,813 17,700 304,219 2,900 49,844
Malakoff Berhard (Malaysia) 114,000 304,521 143,000 381,986 24,000 64,110
-------------- -------------- ------------
1,054,483 1,152,670 190,277
Entertainment 0.9% 0.7% 0.3%
- ------------------------------------------------------------------------------------------------------------------------------
Berjaya Sports Toto Berhad (Malaysia) 155,000 420,411 189,000 512,630 33,600 91,134
Carnival Corp. Class A 61,900 4,317,525 63,500 4,429,125 10,300 718,425
Penske Motorsports, Inc. + 32,400 1,044,900 27,600 890,100 4,400 141,900
Time Warner, Inc. 65,000 4,680,000 66,000 4,752,000 10,300 741,600
Vistana, Inc. 72,600 1,923,900 59,300 1,571,450 9,600 254,400
-------------- -------------- ------------
12,386,736 12,155,305 1,947,459
Environmental Control 0.5% 0.5% 0.3%
- ------------------------------------------------------------------------------------------------------------------------------
Compagnie Generale des Eaux (France) 20,527 3,336,591 25,703 4,177,931 5,456 886,853
Superior Services, Inc. + 49,800 1,553,138 41,300 1,288,044 6,700 208,956
USA Waste Services, Inc. + 69,300 3,088,181 70,400 3,137,200 11,200 499,100
-------------- -------------- ------------
7,977,910 8,603,175 1,594,909
Food and Beverages 2.9% 2.6% 1.4%
- ------------------------------------------------------------------------------------------------------------------------------
AquaPenn Spring Water Company, Inc. + 48,400 556,600 41,100 472,650 6,700 77,050
Bass PLC (United Kingdom) 168,822 3,230,063 215,066 4,114,847 45,652 873,457
Bass PLC, Class B (United Kingdom) 34,012 55,697 49,875 81,674 7,600 12,446
Coca-Cola Enterprises, Inc. 123,300 4,523,569 120,500 4,420,844 19,200 704,400
Companhia Brasileira de Distribuicao
Grupo Pao de Acucar ADR (Brazil) + 38,600 887,800 46,800 1,076,400 7,700 177,100
Cosmos Bottling Corp. 275,600 37,943 337,700 46,493 56,600 7,792
Cosmos Bottling Corp.144A + 1,030,000 141,806 1,265,000 174,159 210,000 28,912
Fomento Economico Mexicano, S.A.
de C.V. Class B, (Mexico) 80,000 581,904 98,000 712,832 16,500 120,018
General Mills, Inc. 19,820 1,506,320 19,290 1,466,040 3,190 242,440
Goodman Fielder Ltd. ADR (Australia) 150,828 234,314 187,728 291,639 40,328 62,650
Grand Union Co. + 4,153 1,687 9,986 4,057 3,270 1,328
Greencore Group PLC (Ireland) 248,744 1,405,949 340,262 1,923,226 85,861 485,303
Hain Food Group, Inc.(The) + 57,300 1,067,213 48,000 894,000 7,700 143,413
Heinz (H.J.) Co. 28,900 1,687,038 28,200 1,646,175 4,700 274,363
NBTY, Inc. 7,700 467,775 6,400 388,800 1,000 60,750
Nestle S.A. (Switzerland) + 3,093 5,921,728 3,822 7,317,441 811 1,552,707
NgFung Hong Ltd. (Hong Kong) 120,000 116,930 145,000 141,291 24,000 23,386
Panamerican Beverages, Inc. Class A,
(Mexico) 25,600 1,027,200 31,500 1,263,938 5,200 208,650
PepsiCo, Inc. 31,800 1,357,463 31,100 1,327,581 5,200 221,975
Ralston-Ralston Purina Group 8,300 879,800 8,100 858,600 1,400 148,400
Sara Lee Corp. 69,600 4,289,100 69,200 4,264,450 11,300 696,363
The Quaker Oats Co. 112,600 6,446,350 114,700 6,566,575 18,400 1,053,400
Whitman Corp. 319,245 6,305,089 322,615 6,371,646 50,690 1,001,128
-------------- -------------- ------------
42,729,338 45,825,358 8,177,431
Forest Products 0.4% 0.3% 0.2%
- ------------------------------------------------------------------------------------------------------------------------------
Weyerhaeuser Co. 86,000 4,859,000 87,600 4,949,400 13,620 769,530
Willamette Industries, Inc. 30,400 1,141,900 29,700 1,115,606 5,000 187,813
-------------- -------------- ------------
6,000,900 6,065,006 957,343
Funeral/Cemetery Services 0.2% 0.1% 0.1%
- ------------------------------------------------------------------------------------------------------------------------------
Equity Corporation International + 96,650 2,313,559 81,050 1,940,134 12,900 308,794
Health Care 2.5% 1.9% 0.9%
- ------------------------------------------------------------------------------------------------------------------------------
Cardinal Health, Inc. 36,300 3,201,206 37,100 3,271,756 5,750 507,078
Carematrix Corp. + 35,900 1,103,925 29,800 916,350 4,800 147,600
Compdent Corp. + 25,850 397,444 22,700 349,013 3,450 53,044
Concentra Managed Care, Inc. + 40,602 1,248,512 25,182 774,347 4,786 147,170
HEALTHSOUTH Corp. + 143,400 4,024,163 142,900 4,010,131 23,100 648,244
IMPATH, Inc. + 49,100 1,878,075 40,900 1,564,425 6,600 252,450
NCS HealthCare, Inc. Class A + 24,100 807,350 20,000 670,000 3,200 107,200
Pediatrix Medical Group, Inc. + 7,700 358,050 6,200 288,300 1,100 51,150
Province Healthcare Co. + 6,100 160,125 5,200 136,500 800 21,000
Renal Care Group, Inc. + 30,750 1,168,500 25,500 969,000 4,150 157,700
SteriGenics International, Inc. + 37,100 816,200 31,300 688,600 5,000 110,000
U.S. Surgical Corp. 135,800 4,481,400 140,000 4,620,000 21,500 709,500
Warner-Lambert Co. 48,400 8,243,125 50,100 8,532,656 8,000 1,362,500
WeLLPoint Health Networks, Inc. + 115,600 7,803,000 118,200 7,978,500 19,000 1,282,500
-------------- -------------- ------------
35,691,075 34,769,578 5,557,136
Hospital Management and
Medical Services 0.5% 0.3% 0.2%
- ------------------------------------------------------------------------------------------------------------------------------
Centennial HealthCare Corp. + 44,400 1,115,550 36,800 924,600 5,900 148,238
First Consulting Group, Inc. + 46,100 950,813 38,000 783,750 6,100 125,813
Medquist, Inc. + 42,500 1,564,531 35,300 1,299,481 5,700 209,831
Monarch Dental Corp. + 20,200 345,925 16,800 287,700 2,700 46,238
National Surgery Centers, Inc. + 52,825 1,350,339 43,825 1,120,277 7,075 180,855
OrthAlliance, Inc. Class A + 17,700 247,800 14,700 205,800 2,400 33,600
Phymatrix, Inc. + 38,600 431,838 32,100 359,119 5,100 57,056
ProMedCo Management Co. + 61,400 894,138 51,000 742,688 8,200 119,413
-------------- -------------- ------------
6,900,934 5,723,415 921,044
Insurance and Finance 14.9% 13.1% 6.9%
- ------------------------------------------------------------------------------------------------------------------------------
ABN AMRO Holding N.V. (Netherlands) 85,013 1,963,283 109,913 2,538,321 22,091 510,168
ABSA Group Ltd. 48,800 443,548 57,000 518,079 9,500 86,346
Acom Co. Ltd. 7,900 394,763 10,100 504,697 2,200 109,934
Aetna Inc. 56,600 4,722,563 57,700 4,814,344 8,900 742,594
AGF (Assurances Generales de France)
(France) 38,543 2,171,586 49,018 2,761,767 10,470 589,900
Ahmanson (H.F.) & Co. 9,055 701,763 8,840 685,100 1,515 117,413
Allianz Versicherungs AG (Germany) + 3,323 1,004,544 4,227 1,277,824 892 269,652
Allianz Versicherungs AG Rights (expiration
date 4/1/98) (Germany) + 3,323 16,458 4,227 20,935 892 4,418
Allied Irish Banks PLC (Ireland) 243,415 2,986,473 310,560 3,810,280 65,922 808,801
Alpha Credit Bank 3,100 240,254 4,000 310,005 1,328 102,922
American Express Co. 71,100 6,527,869 73,700 6,766,581 11,700 1,074,206
American General Corp. 21,470 1,388,841 20,915 1,352,939 3,455 223,495
American International Group, Inc. 45,150 5,686,078 46,200 5,818,313 7,500 944,531
AON Corp. 21,600 1,398,600 21,100 1,366,225 3,600 233,100
Asahi Bank Ltd. (Japan) 29,000 118,763 36,000 147,430 8,000 32,762
Associates First Capital Corp. 47,200 3,728,800 47,600 3,760,400 7,600 600,400
Banc One Corp. 20,900 1,321,925 20,400 1,290,300 3,400 215,050
Banco Bradesco BRC . (Brazil) 71,324 737,077 87,696 906,266 14,494 149,784
Banco Comercial Portugues, S.A.
(Portugal) 16,600 536,517 20,800 672,262 4,399 142,177
Banco Comercial Portugues, S.A. Rights
(expiration date 4/20/98) (Portugal) + 16,600 58,784 20,800 73,657 4,399 15,578
Banco Frances del Rio de la Plata ADR
(Argentina) 12,493 376,352 14,300 430,788 2,400 72,300
Banco Frances del Rio de la Plata S.A.
ADR (Argentina) 40,609 406,131 49,731 497,360 11,414 114,151
Bangkok Bank Public Co., Ltd. (Thailand) 88,000 233,008 105,000 278,021 17,500 46,337
Bank Leumi Le-Israel (Israel) 245,000 463,639 300,000 567,721 50,000 94,620
Bank Of Greece, S.A. (Greece) 2,500 273,994 3,112 341,068 -- --
Bank of Ireland (Ireland) + 180,893 3,576,092 227,660 4,500,626 48,325 955,349
Bank of Nova Scotia (Canada) 116,139 3,148,075 145,812 3,952,394 31,359 850,020
BankAmerica Corp. 100,800 8,328,600 107,600 8,890,450 17,100 1,412,888
BankBoston Corp. 11,300 1,245,825 11,000 1,212,750 1,900 209,475
Bankers Trust New York Corp. [PI SYMBOL] 50,300 6,051,719 51,000 6,135,938 8,200 986,563
Banque Nationale de Paris (France) 48,719 3,790,305 61,788 4,807,064 12,892 1,002,989
Beneficial Corp. 4,340 539,516 4,310 535,787 700 87,019
Charter One Financial, Inc. 1,800 119,733 1,800 119,733 200 13,305
CIGNA Corp. 6,915 1,417,575 6,770 1,387,850 1,110 227,550
Citicorp 8,600 1,221,200 9,355 1,328,410 1,550 220,100
Comerica, Inc. 38,600 4,084,363 38,600 4,084,363 6,200 656,038
Commonwealth Bank of Australia
(Australia) 84,296 1,002,709 107,512 1,278,866 24,082 286,458
Conseco Inc. 81,300 4,603,613 83,400 4,722,525 13,500 764,438
Credit Commercial de France (France) 5,770 474,540 7,270 597,904 1,560 128,299
Crestar Financial Corp. 12,900 762,713 12,600 744,975 2,100 124,163
Dao Heng Bank Group Ltd. (Hong Kong) 129,500 382,740 178,000 526,083 39,000 115,265
Deutsche Bank AG (Germany) 32,777 2,468,698 44,196 3,328,754 9,381 706,558
Development Bank of Singapore Ltd.
(Singapore) 135,300 989,795 166,100 1,215,115 36,300 265,555
Development Bank of Singapore Ltd.
Rights (expiration date 5/1/98)
(Singapore) + 24,600 12,963 30,200 15,914 6,600 3,478
Federal Home Loan Mortgage Corp. 102,600 4,867,088 103,500 4,909,781 16,500 782,719
Fannie Mae 16,325 1,032,556 15,915 1,006,624 2,630 166,348
Fifth Third Bancorp 22,400 1,915,200 22,800 1,949,400 3,700 316,350
First Chicago NBD Corp. 80,400 7,085,250 81,000 7,138,125 13,100 1,154,438
First National Bank Holdings Ltd.
(South Africa) 32,200 443,322 39,000 536,942 6,600 90,867
Firstar Corp. 12,730 502,835 12,425 490,788 2,055 81,173
ForeningsSparbanken AB (Sweden) 19,800 651,739 25,200 829,486 5,279 173,764
Franklin Resources, Inc. 66,000 3,498,000 64,500 3,418,500 10,500 556,500
Grupo Financiero Banamex Accival, S.A.
de C.V. Class B, (Mexico) + 216,000 550,787 265,000 675,734 44,000 112,197
Guoco Group Ltd. (Hong Kong) 99,800 244,728 173,600 425,699 34,400 84,355
Haci Omer Sabanci Holdings (Turkey) 36,000 522,000 44,500 645,250 7,300 105,850
HealthCare Financial Partners, Inc. + 14,300 677,463 12,000 568,500 1,900 90,013
Healthcare Recoveries, Inc. + 83,000 1,929,750 66,100 1,536,825 10,300 239,475
Hibernia Corp. Class A 22,300 458,544 21,800 448,263 3,700 76,081
Housing & Commercial Bank (Korea) -- -- 2,253 15,208 -- --
HSBC Holdings PLC (United Kingdom) 111,587 3,413,195 140,055 4,283,967 29,925 915,338
Inspire Insurance Solutions, Inc. + 47,900 1,592,675 39,700 1,320,025 6,400 212,800
Internationale Nederlanden Groep
(Netherlands) 60,532 3,438,129 77,623 4,408,873 16,477 935,870
Julius Baer Holdings AG (Switzerland) 615 1,495,564 794 1,930,858 176 427,999
Keycorp 130,100 4,919,406 133,000 5,029,063 21,000 794,063
Kookmin Bank (South Korea) + 28,700 217,737 34,930 265,002 5,830 44,230
Lehman Brothers Holding, Inc. 65,000 4,866,875 67,000 5,016,625 10,300 771,213
Liberty Life Association fo Africa Ltd. 26,600 898,381 32,700 1,104,401 5,400 182,378
MBNA Corp. 175,500 6,285,094 179,862 6,441,308 29,012 1,038,992
Mercantile Bancorpation, Inc. 10,100 553,606 9,900 542,644 1,700 93,181
Morgan (J.P.) & Co., Inc. 10,245 1,376,032 9,970 1,339,096 1,650 221,616
Morgan Stanley, Dean Witter,
Discover and Co. 58,000 4,226,750 59,500 4,336,063 9,600 699,600
Munich Re (Germany) + 2,317 1,003,302 2,947 1,276,103 622 269,337
National City Corp. 13,200 967,725 12,900 945,731 2,100 153,956
Nikko Securities Co. Ltd. (Japan) 322,000 1,040,427 389,000 1,256,914 88,000 284,340
Nordbanken Holding AG (Sweden) 101,302 670,690 128,950 853,739 26,826 177,607
Oversea Chinese Banking Corp. 171,000 964,724 217,000 1,224,241 46,000 259,516
Overseas Union Bank Ltd. (Singapore) 185,000 722,567 236,000 921,761 50,000 195,288
PNC Bank Corp. 42,545 2,550,041 41,585 2,492,501 6,870 411,771
Promise Co., Ltd. (Japan) 22,070 1,145,956 25,380 1,317,823 6,170 320,369
Prudential Corp. PLC (United Kingdom) 146,373 2,147,494 186,074 2,729,962 39,325 576,952
QBE Insurance Group Ltd. (Australia) 84,450 369,090 107,700 470,705 23,400 102,270
Reinsurance Group America, Inc. 41,550 2,077,500 34,515 1,725,750 5,520 276,000
Royal & Sun Alliance Insurance Group
PLC (United Kingdom) 175,048 2,225,965 222,653 2,831,325 47,024 597,972
Royal Bank of Canada (Canada) 24,574 1,457,809 31,034 1,841,037 6,654 394,737
Skandinaviska Enskilda Bank Class A,
(Sweden) 45,900 667,985 58,300 848,442 12,318 179,264
Societe Generale (France) 16,172 3,240,149 20,510 4,109,291 4,279 857,321
Southtrust Corp. 29,550 1,237,406 30,150 1,262,531 5,250 219,844
State Bank of India GDR (India) 11,500 197,656 14,500 249,219 2,400 41,250
Summit Bancorp 102,650 5,138,916 104,200 5,216,513 16,250 813,516
SunTrust Banks, Inc. 12,900 972,338 12,700 957,263 2,100 158,288
Svenska Handelsbanken (Sweden) 14,235 657,941 18,072 835,287 3,808 176,006
Tele-Communications TCI ventures
Group Class A + 178,000 3,126,125 185,000 3,249,063 29,400 516,338
Telecom Italia SPA (Italy) 297,800 2,350,491 377,400 2,978,761 80,200 633,007
Thai Farmers Bank Public Co.Ltd.
(Thailand) 82,000 205,527 100,000 250,643 16,000 40,103
Tokai Bank Ltd.(The) (Japan) 15,000 92,877 18,000 111,452 3,000 18,575
Transamerica Corp. 38,500 4,485,250 39,200 4,566,800 6,100 710,650
Travelers Group Inc. 131,500 7,890,000 136,649 8,198,940 21,800 1,308,000
Unidanmark AS (Denmark) 5,400 429,283 6,900 548,529 1,466 116,542
Union Planters Corp. 87,000 5,410,313 88,200 5,484,938 13,700 851,969
United Bank of Switzerland (Switzerland) 2,608 4,268,104 3,250 5,318,764 690 1,129,215
United Overseas Bank Ltd. (Singapore) 251,000 1,392,715 309,000 1,714,538 68,000 377,309
Washington Mutual, Inc. 117,300 8,412,609 118,200 8,477,156 18,600 1,333,969
Wells Fargo & Co. 18,800 6,227,500 19,000 6,293,750 3,000 993,750
Westpac Banking Corp. (Australia) 153,900 1,031,355 193,100 1,294,053 41,000 274,760
Yapi ve Kredi Bankasi A.S. GDR (Turkey) + 17,200 595,120 21,100 730,060 3,500 121,100
Zurich Versicherungs-Gesellschaft
(Switzerland) 1,924 1,119,119 2,303 1,339,570 489 284,433
-------------- -------------- ------------
216,277,162 235,432,389 41,858,883
Medical Supplies and Devices 1.4% 1.1% 0.5%
- ------------------------------------------------------------------------------------------------------------------------------
Baxter International, Inc. 32,400 1,786,050 31,600 1,741,950 5,300 292,163
CN Biosciences, Inc. + 24,100 626,600 20,000 520,000 3,200 83,200
Cyberonics, Inc. 28,700 914,813 23,400 745,875 3,700 117,938
Cytyc Corp. + 49,900 1,247,500 42,000 1,050,000 7,100 177,500
Igen, Inc. + 27,000 1,144,125 22,700 961,913 3,600 152,550
Minimed, Inc. + 29,800 1,318,650 24,700 1,092,975 4,000 177,000
Ranbaxy Laboratories GDR Ltd. (India) 12,300 319,800 15,000 390,000 2,500 65,000
Sabratek Corp. + 53,500 1,872,500 44,400 1,554,000 7,200 252,000
Schick Technologies, Inc. + 23,900 609,450 19,800 504,900 3,200 81,600
Tyco International Ltd. + 191,100 10,438,838 194,600 10,630,025 30,900 1,687,913
Xomed Surgical Products Inc. + 26,400 726,000 17,800 489,500 2,500 68,750
-------------- -------------- ------------
21,004,326 19,681,138 3,155,614
Metals and Mining 0.6% 0.6% 0.3%
- ------------------------------------------------------------------------------------------------------------------------------
Aluminum Co. of America 48,015 3,304,032 48,595 3,343,943 7,875 541,898
Billiton PLC (United Kingdom) + 110,000 295,023 135,000 362,074 22,300 59,809
Companhia Vale do Rio Doce ADR
(Brazil) 42,000 997,500 51,700 1,227,875 8,600 204,250
Compania Siderurgica Nacional (Brazil) 13,000 385,198 16,000 474,090 2,700 80,003
Hindalco Industries Ltd. (Luxembourg) + 9,100 161,525 11,200 198,800 1,850 32,838
Madeco S. A. ADR 20,700 358,369 25,500 441,469 4,200 72,713
Pohang Iron & Steel Company, Ltd.
(South Korea) 2,900 162,391 3,500 195,989 600 33,598
Rio Tinto PLC (United Kingdom) 160,248 2,147,551 205,518 2,754,233 43,391 581,501
Sasol Ltd. (South Africa) 61,000 494,447 75,000 607,927 12,400 100,511
Timah Langat Berhad (Malaysia) 106,000 216,356 136,000 277,589 23,000 46,945
Yanzhou Coal Mining Co. Ltd. (China) + 454,000 142,970 560,000 176,351 94,000 29,602
-------------- -------------- ------------
8,665,362 10,060,340 1,783,668
Oil and Gas 4.3% 3.8% 2.0%
- ------------------------------------------------------------------------------------------------------------------------------
Amoco Corp. 86,600 7,480,075 87,800 7,583,725 13,800 1,191,975
Atlantic Richfield Co. 91,400 7,186,325 92,700 7,288,538 14,700 1,155,788
British Petroleum Co. PLC
(United Kingdom) 168,319 2,424,470 213,348 3,073,069 45,287 652,315
British Petroleum PLC ADR
(United Kingdom) 19,330 1,663,588 18,865 1,623,569 3,110 267,654
Burmah Castrol PLC (United Kingdom) 143,038 2,911,221 183,455 3,733,819 38,942 792,578
Cia Naviera Perez Co. (Argentina) 50,000 338,534 81,000 548,425 10,200 69,061
Coastal Corp. 15,500 1,009,438 15,200 989,900 2,600 169,325
Cooper Cameron Corp. + 37,500 2,264,063 37,700 2,276,138 6,100 368,288
Elf Aquitaine S.A. (France) + 21,853 2,867,125 28,043 3,679,256 5,953 781,037
Elf Aquitane ADR (France) 25,100 1,625,225 24,500 1,586,375 4,100 265,475
Engen Ltd. (South Africa) 95,000 411,443 117,000 506,725 19,500 84,454
Enron Corp. 20,800 964,600 20,300 941,413 3,400 157,675
Ente Nazionale Idrocarburi SPA (Italy) + 169,296 1,155,305 215,468 1,470,390 46,539 317,590
Exxon Corp. 87,600 5,923,950 88,200 5,964,525 14,200 960,275
Halliburton Co. 209,600 10,519,300 214,100 10,745,144 33,800 1,696,338
Hong Kong and China Gas Co., Ltd.
(Hong Kong) -- -- -- -- -- --
Kerr-McGee Corp. 19,855 1,381,163 19,325 1,344,295 3,195 222,252
Lukoil Holding ADR (Russia) 9,400 655,650 11,600 809,100 1,900 132,525
Mobil Corp. 43,800 3,356,175 43,900 3,363,838 7,100 544,038
MOL Magyar Olaj-es Gazipari GDR 11,900 362,355 14,600 444,570 2,400 73,080
PTT Exploration & Production PLC
(Thailand) 11,100 127,265 13,900 159,368 2,400 27,517
Petroleo Brasileiro S/A-Petrobras ADR
(Brazil) 39,300 938,288 48,000 1,146,000 7,900 188,613
Ramco Energy PLC ADR
(United Kingdom) + 30,000 352,500 37,000 434,750 6,100 71,675
Shell Transportation & Trading
(United Kingdom) -- -- -- -- 37,948 278,375
Tatneft ADR (Russia) 15,000 347,813 18,500 428,969 3,000 69,563
Tosco Corp. 32,600 1,149,150 31,800 1,120,950 5,300 186,825
Total Corp. Class B, (France) 25,793 3,100,661 32,834 3,947,083 6,970 837,887
Western Atlas, Inc. + 22,100 1,709,988 22,500 1,740,938 3,600 278,550
YPF S.A. ADR (Argentina) 25,600 870,400 31,400 1,067,600 5,200 176,800
-------------- -------------- ------------
63,096,070 68,018,472 12,017,528
Paper and Forest Products 0.6% 0.5% 0.2%
- ------------------------------------------------------------------------------------------------------------------------------
Boise Cascade Corp. 164,400 5,928,675 167,800 6,051,288 26,900 970,081
PT Indah Kiat Pulp & Paper Corp.
(Indonesia) 635,000 158,751 782,000 195,502 130,000 32,500
Unisource Worldwide, Inc. 155,920 1,929,510 160,720 1,988,910 25,400 314,325
-------------- -------------- ------------
8,016,936 8,235,700 1,316,906
Pharmaceuticals 4.1% 3.3% 1.7%
- ------------------------------------------------------------------------------------------------------------------------------
American Home Products Corp. 18,300 1,745,363 17,810 1,698,629 2,945 280,879
Astra AB (Sweden) 35,747 736,803 44,533 917,896 9,453 194,841
Bristol-Myers Squibb Co. 90,655 9,456,450 90,995 9,491,916 14,620 1,525,049
Glaxo Wellcome PLC (United Kingdom) 65,504 1,758,977 83,473 2,241,498 17,645 473,821
Glaxo Wellcome PLC ADR
(United Kingdom) + 13,000 703,625 12,700 687,388 2,200 119,075
Johnson & Johnson 18,800 1,378,275 18,300 1,341,619 3,100 227,269
Lilly (Eli) & Co. 39,800 2,373,075 26,900 1,603,913 4,300 256,388
Medicis Pharmaceutical Corp. Class A + 64,050 2,794,181 54,550 2,379,744 8,850 386,081
Merck & Co., Inc. 70,925 9,104,997 63,110 8,101,746 10,140 1,301,723
Natural Alternatives International, Inc. + 22,700 456,838 19,000 382,375 3,000 60,375
Novartis AG ADR (Switzerland) 1,562 2,769,817 2,112 3,745,104 448 794,416
Pfizer, Inc. 85,800 8,553,188 83,700 8,343,844 14,600 1,455,438
Pharmacia & Upjohn, Inc. 179,625 7,858,594 177,000 7,743,750 29,265 1,280,344
Pharmacia & Upjohn, Inc. Depository
Shares (Sweden) 48,981 2,110,933 62,206 2,680,891 13,109 564,958
Sankyo Co., Ltd. (Japan) 58,000 1,612,564 72,000 2,001,804 16,000 444,845
Schering-Plough Corp. 71,200 5,816,150 81,300 6,641,194 12,900 1,053,769
Trimeris, Inc. + 35,300 264,750 29,300 219,750 4,700 35,250
-------------- -------------- ------------
59,494,580 60,223,061 10,454,521
Photography 0.3% 0.2% 0.1%
- ------------------------------------------------------------------------------------------------------------------------------
Canon, Inc. (Japan) 50,000 1,130,899 63,000 1,424,933 13,000 294,034
Eastman Kodak Co. 23,700 1,537,538 23,200 1,505,100 3,900 253,013
Fuji Photo Film Co. (Japan) 33,000 1,229,937 41,000 1,528,104 9,000 335,437
-------------- -------------- ------------
3,898,374 4,458,137 882,484
Publishing 1.2% 1.0% 0.5%
- ------------------------------------------------------------------------------------------------------------------------------
Consolidated Graphics, Inc. + 26,200 1,516,325 21,700 1,255,888 3,500 202,563
Gannett Co., Inc. 128,400 9,228,750 129,900 9,336,563 20,700 1,487,813
McGraw-Hill, Inc. 13,000 988,813 12,700 965,994 2,100 159,731
Times Mirror Co. Class A 96,400 6,109,350 98,300 6,229,763 15,700 994,988
-------------- -------------- ------------
17,843,238 17,788,208 2,845,095
Real Estate 1.1% 0.9% 0.4%
- ------------------------------------------------------------------------------------------------------------------------------
Ayala Land, Inc. Class B, (France) 707,900 342,049 872,300 421,485 144,600 69,869
Belle Corp. (Philippines) + 2,320,000 135,134 2,850,000 166,005 470,000 27,376
CB Commercial Real Estate Services
Group, Inc. (R)+ 5,500 220,000 4,500 180,000 700 28,000
China Resources Beijing (Hong Kong) 118,000 63,202 146,000 78,199 24,000 12,855
Equity Office Properties Trust (R) 1,011 30,962 1,013 31,009 182 5,574
Equity Residential Properties Trust (R) 96,180 4,833,045 97,980 4,923,495 15,200 763,800
Grupo Accion, S.A. de C.V. 144A ADR
(Mexico) + 18,700 168,300 23,000 207,000 3,800 34,200
Henderson Land Development Co. Ltd.
(Hong Kong) (R) 232,000 1,176,738 294,000 1,491,211 62,000 314,473
Shanghai Industrial Holdings Ltd.
(Hong Kong) 55,000 225,020 70,000 286,389 12,000 49,095
SM Prime Holdings Inc. 1,293,700 253,466 1,589,500 311,420 293,900 57,582
Starwood Lodging Trust 152,125 8,129,180 154,550 8,258,766 24,405 1,304,132
-------------- -------------- ------------
15,577,096 16,354,979 2,666,956
Retail 5.8% 4.6% 2.2%
- ------------------------------------------------------------------------------------------------------------------------------
99 Cents Only Stores + 18,175 634,989 15,100 527,556 2,450 85,597
Alrenco, Inc. + 33,100 662,000 27,700 554,000 4,500 90,000
Cifra S.A. de CV (Mexico) 235,572 431,282 290,277 531,435 48,007 87,891
CompUSA, Inc. + 76,600 1,991,600 77,900 2,025,400 12,500 325,000
Cost Plus, Inc. + 31,400 997,931 26,000 826,313 4,200 133,481
Costco Companies, Inc. + 115,500 6,164,813 116,500 6,218,188 18,500 987,438
CVS Corp. 118,500 8,946,750 123,632 9,334,216 17,847 1,347,449
Dayton Hudson Corp. 58,700 5,165,600 61,200 5,385,600 9,700 853,600
Distribucion y Servicio D&S S.A. ADR
(Chile) + 13,300 231,088 16,300 283,213 2,700 46,913
Dixons Group PLC (United Kingdom) 131,200 1,153,177 167,000 1,467,840 35,700 313,784
Fred Meyer, Inc. + 39,800 1,838,263 39,800 1,838,263 6,400 295,600
Hibbett Sporting Goods, Inc. + 32,500 901,875 27,000 749,250 4,500 124,875
Home Depot, Inc. (The) 41,400 2,791,913 43,200 2,913,300 6,900 465,319
Hot Topic, Inc. + 30,900 865,200 25,700 719,600 4,100 114,800
Il Fornaio (America) Corp. 4,800 69,300 4,000 57,750 600 8,663
Ito-Yokado Co., Ltd. (Japan) 19,000 1,030,809 24,000 1,302,074 5,000 271,266
Jones Apparel Group, Inc. + 32,500 1,789,531 33,000 1,817,063 5,100 280,819
K mart Corp. + 440,235 7,346,418 449,400 7,499,363 71,910 1,199,998
Linens 'N Things, Inc. + 45,900 2,521,631 38,100 2,093,119 6,200 340,613
Officemax, Inc. + 215,800 3,857,425 220,900 3,948,588 33,900 605,963
Penney (J.C.) Co., Inc. 13,200 999,075 12,900 976,369 2,200 166,513
Piercing Pagoda, Inc. + 32,000 1,000,000 27,300 853,125 4,400 137,500
Rexall Sundown, Inc. + 97,600 3,324,500 82,000 2,793,125 13,100 446,219
Safeway, Inc. + 102,900 3,800,869 84,500 3,121,219 13,000 480,188
Supersol Ltd. ADR + 32,800 526,850 40,000 642,500 6,500 104,406
TJX Cos., Inc. (The) 99,900 4,520,475 100,500 4,547,625 16,000 724,000
The Men's Wearhouse, Inc. + 36,200 1,339,400 30,050 1,111,850 4,800 177,600
The North Face, Inc. + 73,300 1,777,525 60,300 1,462,275 10,000 242,500
Toys "R" Us, Inc. 49,175 1,478,323 47,965 1,441,948 7,930 238,396
Track 'n Trail Inc. + 35,600 249,200 29,300 205,100 5,000 35,000
Vendex International N.V. (Netherlands) 32,230 2,042,616 40,649 2,576,180 8,629 546,873
Walgreen Co. 107,600 3,786,175 113,600 3,997,300 18,100 636,894
Wal-Mart Stores, Inc. 157,000 7,977,563 163,500 8,307,844 26,000 1,321,125
Wolverine World Wide, Inc. 53,720 1,517,590 47,187 1,333,033 7,702 217,582
-------------- -------------- ------------
83,731,756 83,461,624 13,453,865
Specialty Consumer Products 0.3% 0.2% 0.1%
- ------------------------------------------------------------------------------------------------------------------------------
Action Performance Cos., Inc. + 47,800 1,681,963 39,600 1,393,425 6,400 225,200
Adidas AG (Germany) 3,760 667,438 4,760 844,948 993 176,268
Guitar Center, Inc. + 47,500 1,122,188 39,500 933,188 6,400 151,200
Lumen Technologies, Inc. + 79,600 676,600 66,000 561,000 10,600 90,100
-------------- -------------- ------------
4,148,189 3,732,561 642,768
Telecommunications 3.8% 3.3% 1.8%
- ------------------------------------------------------------------------------------------------------------------------------
Advanced Info Service Public Co., Ltd.
(Thailand) 41,400 325,666 50,800 399,609 8,500 66,864
Airtouch Communications, Inc. + 59,800 2,926,463 60,300 2,950,931 9,600 469,800
AmeriLink Corp. + 26,600 665,000 22,100 552,500 3,600 90,000
American Communication Services, Inc. + 72,700 1,317,688 62,000 1,123,750 9,800 177,625
Asia Satellite Telecommunications
Holdings Ltd. (Hong Kong) 87,000 171,233 107,000 210,597 18,500 36,412
Bell Canada International Inc. + 12,400 277,450 15,200 340,100 2,500 55,938
Black Box Corp. + 23,400 862,875 19,450 717,219 3,100 114,313
CellNet Data Systems, Inc. + 1,000 11,000 3,200 35,200 800 8,800
China Telecom Ltd. (Hong Kong) + 516,000 1,045,559 646,000 1,308,975 132,000 267,469
Compania Anonima Nacional Telefonos
de Venezuela ADR (Venezuela) + 7,500 313,594 9,300 388,856 1,500 62,719
Deutsche Telekom AG (Germany) + 41,823 908,900 53,029 1,152,430 11,091 241,030
Excel Switching Corp. + 28,400 717,100 23,600 595,900 3,800 95,950
Exodus Communications, Inc. + 30,300 848,400 25,600 716,800 4,200 117,600
Hellenic Telecommunication Organization
S.A. (Greece) 64,900 1,625,802 81,700 2,046,657 16,300 408,329
Hellenic Telecommunicaiton Organization
S.A. GDR (Greece) 27,100 338,991 33,200 415,295 5,500 68,799
Hybrid Networks, Inc. + 75,500 537,938 63,400 451,725 10,100 71,963
ITC Deltacom, Inc. 22,100 709,963 18,300 587,888 3,000 96,375
Intermedia Communications, Inc. + 25,600 2,038,400 22,100 1,759,713 3,800 302,575
Koor Industries Ltd. (Israel) -- -- 2,300 286,334 400 49,797
Koor Industries Ltd. ADR (Israel) 9,500 235,125 11,800 292,050 1,950 48,263
Lucent Technologies, Inc. 52,700 6,739,013 53,500 6,841,313 8,500 1,086,938
Mahanager Telephone GDR 144A 27,200 467,296 33,400 573,812 5,700 97,926
Multicanal Participacoes S.A. ADR
(Brazil) + 47,000 232,063 57,200 282,425 9,400 46,413
NEXTEL Communications, Inc. Class A + 1,177 39,724 3,819 128,891 1,819 61,391
Natural Microsystems Corp. + 20,200 800,425 17,000 673,625 2,700 106,988
Northern Telecom Ltd. (Canada) + 60,042 3,883,577 52,539 3,398,275 11,548 746,936
Oy Nokia AB Class A, (Finland) 19,331 2,076,953 25,652 2,756,091 5,445 585,019
Philippine Long Distance ADR 11,700 326,807 21,600 603,336 3,600 100,556
Portugal Telecom S.A. (Portugal) 31,133 1,620,989 39,421 2,052,516 8,368 435,693
Portugal Telecom S.A. ADR 11,600 608,275 14,200 744,613 2,300 120,606
Premisys Communications, Inc. + 36,500 1,047,094 32,500 932,344 5,300 152,044
RF Micro Devices, Inc. + 23,600 345,150 20,200 295,425 3,100 45,338
SK Telecom Co., Ltd. ADR (South Korea) 16,960 134,620 20,170 160,099 3,592 28,512
SmarTalk Teleservices, Inc. 28,500 919,775 24,000 774,547 3,800,000 122,637
Smartone Telecommunications
(Hong Kong) + 46,000 130,314 56,000 158,643 9,000 25,496
Telecomunicacoes Brasileiras S.A. (Brazil) 8,100 1,066,464 10,300 1,356,121 2,200 289,657
Telecomunicacoes de Sao Paulo S.A. (Brazil) 4,600 1,492,876 7,800 2,531,398 1,100 356,992
Telefonaktiebolaget LM Ericsson Class B,
(Sweden) 39,946 1,896,202 50,590 2,401,464 10,738 509,724
Telfonica de Espana (Spain) 56,533 2,494,790 72,440 3,196,763 15,368 678,187
Tellabs, Inc. + 58,500 3,926,813 60,600 4,067,775 10,700 718,238
US West Media Group 31,905 1,108,699 31,135 1,081,941 5,140 178,615
Vodafone Group PLC (United Kingdom) 484,805 5,063,110 616,638 6,440,013 131,336 1,371,640
WinStar Communications. Inc. 59,400 2,539,350 49,800 2,128,950 7,900 337,725
-------------- -------------- ------------
54,837,526 59,912,909 11,053,892
Transportation 1.3% 1.1% 0.6%
- ------------------------------------------------------------------------------------------------------------------------------
AMR Corp. + 22,100 3,164,444 22,400 3,207,400 3,600 515,475
Bombardier, Inc. (Canada) 64,700 1,598,685 82,236 2,031,986 17,793 439,651
British Airways PLC (United Kingdom) 140,863 1,429,946 181,400 1,841,450 38,505 390,877
Burlington Northern Santa Fe Corp. + 47,520 4,942,080 48,440 5,037,760 7,540 784,160
Canadian National Railway Co. (Canada) + 16,300 1,043,200 15,900 1,017,600 2,700 172,800
Delta Air Lines, Inc. 9,200 1,087,900 9,000 1,064,250 1,500 177,375
Deutsche Lufthansa AG (Germany) 47,100 992,988 65,900 1,389,340 12,905 272,070
Expeditors International of
Washington, Inc. 41,420 1,775,883 36,020 1,544,358 5,440 233,240
Jevic Transportation, Inc. + 28,400 426,000 23,600 354,000 3,800 57,000
Peninsular and Oriental Steam
Navigation Co. (United Kingdom) 90,345 1,351,150 115,433 1,726,352 24,463 365,855
Tata Engineering & Locomotive Co., Ltd.
GDR (India) + 27,000 195,750 33,000 239,250 5,300 38,425
Yamato Transport Co., Ltd. (Japan) 71,000 842,952 90,000 1,068,531 20,000 237,451
-------------- -------------- ------------
18,850,978 20,522,277 3,684,379
Utilities 3.1% 2.7% 1.4%
- ------------------------------------------------------------------------------------------------------------------------------
Ameritech Corp. 28,430 1,405,508 27,755 1,372,138 4,590 226,918
Bell Atlantic Corp. 14,900 1,527,250 14,600 1,496,500 2,500 256,250
Centrais Eletricas de Santa Catarina S.A.
144A GDR (Brazil) + 3,500 416,500 4,300 511,700 700 83,300
Companhia Energetica de Minas Gerais
ADR (Brazil) 18,300 882,975 22,500 1,085,625 3,700 178,525
Duke Energy Corp. 17,700 1,054,256 17,200 1,024,475 2,900 172,731
Electricidade de Portugal S.A. (Portugal) + 129,619 3,010,969 163,648 3,801,441 33,108 769,078
Electricity Generating Public Co. Ltd.
(Thailand) 84,600 200,082 103,800 245,491 17,500 41,388
Hong Kong Electric Holdings Ltd.
(Hong Kong) + 154,000 528,691 196,000 672,879 42,000 144,188
Korea Electric Power Corp. (South Korea) 35,580 462,744 43,500 565,749 7,200 93,641
Mosenergo ADR (Russia) + 9,600 350,400 11,800 430,700 2,000 73,000
Potomac Electric Power Co. 181,000 4,536,313 184,500 4,624,031 28,600 716,788
SBC Communications, Inc. 124,500 5,431,313 127,400 5,557,825 19,500 850,688
Scottish Power PLC (United Kingdom) 442,449 4,155,047 562,667 5,284,017 118,760 1,115,278
Sprint Corp. 116,310 7,872,733 119,095 8,061,243 19,070 1,290,801
Telebras Co. ADR (Brazil) 13,300 1,726,506 16,400 2,128,925 2,700 350,494
Telefonica de Argentina S.A. ADR
(Argentina) 13,700 521,456 15,400 586,163 2,500 95,156
Telefonos de Mexico S.A. ADR Class L,
(Mexico) 14,300 806,163 18,000 1,014,750 3,000 169,125
Telekom Malaysia (Malaysia) 36,000 124,274 44,000 151,890 8,000 27,616
Unified Energy Systems GDR (Russia) 20,800 660,400 25,200 800,100 4,300 136,525
US West Communicatioins, Inc. 113,500 6,214,125 115,880 6,344,430 18,440 1,009,590
Veba (Vereinigte Elektrizitaets Bergwerks)
AG (Germany) 38,349 2,723,350 49,473 3,513,319 10,502 745,798
-------------- -------------- ------------
44,611,055 49,273,391 8,546,878
-------------- -------------- ------------
[CAPTION]
Total Common Stocks
(cost $946,989,176, $981,562,154
and $168,407,604) $1,179,756,666 $1,220,253,575 $210,439,406
- ------------------------------------------------------------------------------------------------------------------------------
GROWTH BALANCED CONSERVATIVE
5.3% 10.7% 18.1%
CORPORATE BONDS Principal Principal Principal
AND NOTES* Amount Value Amount Value Amount Value
<S> <C> <C> <C> <C> <C> <C>
Advertising 0.1% 0.1% 0.2%
- ------------------------------------------------------------------------------------------------------------------------------
Adams Outdoor Advertising sr. notes
10 3/4s, 2006 $ 225,000 $ 247,500 $ 530,000 $ 583,000 $ 25,000 $ 27,500
Lamar Advertising Co. company
guaranty 8 5/8s, 2007 100,000 103,500 240,000 248,400 75,000 77,625
Lamar Advertising Co. sr. sub. notes
9 5/8s, 2006 275,000 298,375 720,000 781,200 225,000 244,125
Outdoor Comunications Inc. sr. sub.
notes 9 1/4s, 2007 15,000 15,600 925,000 962,000 410,000 426,400
Outdoor Systems, Inc. company
guaranty 8 7/8s, 2007 125,000 131,250 200,000 210,000 225,000 236,250
Outdoor Systems, Inc. sr. sub. notes
9 3/8s, 2006 10,000 10,700 35,000 37,450 10,000 10,700
------------ ------------ ------------
806,925 2,822,050 1,022,600
Aerospace and Defense 0.1% 0.1% 0.3%
- ------------------------------------------------------------------------------------------------------------------------------
Alliant Techsystems, Inc. sr. sub. notes
11 3/4s, 2003 60,000 66,000 145,000 159,500 50,000 55,000
Argo-Tech Corp. company guaranty
8 5/8s, 2007 30,000 30,675 80,000 81,800 20,000 20,450
Aviation Sales Co. 144A sr. sub. notes
8 1/8s, 2008 120,000 118,200 300,000 295,500 100,000 98,500
BE Aerospace sr. sub. notes Ser. B,
9 7/8s, 2006 275,000 294,938 650,000 697,125 275,000 294,938
BE Aerospace, Inc. 144A sr. sub. notes
8s, 2008 200,000 199,500 550,000 548,625 100,000 99,750
Derlan Industries Ltd. sr. notes
10s, 2007 (Canada) 150,000 157,500 425,000 446,250 125,000 131,250
K&F Industries, Inc. sr. sub. notes Ser. B,
9 1/4s, 2007 35,000 36,225 85,000 87,975 30,000 31,050
Lockheed Martin Corp. company
guaranty 7 1/4s, 2006 -- -- -- -- 1,190,000 1,248,239
Raytheon Co notes 6.45s, 2002 530,000 534,457 -- -- -- --
Sequa Corp. bonds 8 3/4s, 2001 30,000 30,600 -- -- -- --
Sequa Corp. sr. notes 9 5/8s, 1999 10,000 10,325 20,000 20,650 10,000 10,325
Sequa Corp. sr. sub. notes 9 3/8s, 2003 -- -- 10,000 10,500 -- --
Tracor, Inc. sr. sub. notes 8 1/2s, 2007 10,000 10,338 20,000 20,675 10,000 10,338
United Defense Industries Inc.
company guaranty 8 3/4s, 2007 35,000 35,788 85,000 86,913 -- --
------------ ------------ ------------
1,524,546 2,455,513 1,999,840
Agriculture --% --% 0.1%
- ------------------------------------------------------------------------------------------------------------------------------
Potash Corp. of Saskatchewan notes
7 1/8s, 2007 (Cananda) 155,000 158,956 395,000 405,080 525,000 538,398
Premium Standard Farms, Inc. sr. secd.
notes 11s, 2003 ++++ 3,799 4,103 15,181 16,397 8,590 9,277
Purina Mills, Inc. 144A sr. sub. notes
9s, 2010 130,000 134,225 340,000 351,050 110,000 113,575
------------ ------------ ------------
297,284 772,527 661,250
Apparel --% --% --%
- ------------------------------------------------------------------------------------------------------------------------------
Sassco Fashions Ltd. sr. notes
12 3/4s, 2004 60,000 63,300 315,000 332,325 50,000 52,750
Automotive 0.2% 0.3% 0.6%
- ------------------------------------------------------------------------------------------------------------------------------
Aftermarket Technology Corp. sr. sub.
notes 12s, 2004 -- -- 12,000 13,320 8,000 8,880
Aftermarket Technology Corp. sr. sub.
notes Ser. D, 12s, 2004 11,000 12,210 18,000 19,980 12,000 13,320
General Motors Corp. sr. sub. notes
6 3/4s, 2002 345,000 351,852 750,000 764,895 1,075,000 1,096,350
Hawk Corp. sr. notes 10 1/4s, 2003 210,000 227,850 530,000 575,050 180,000 195,300
Hayes Wheels International, Inc.
company guaranty Ser. B, 9 1/8s, 2007 150,000 158,250 355,000 374,525 250,000 263,750
Hertz Corp. sr. notes 7s, 2028 550,000 537,125 1,385,000 1,352,577 1,600,000 1,562,544
Lear Corp. sub. notes 9 1/2s, 2006 325,000 360,750 700,000 777,000 210,000 233,100
Navistar International Corp. 144A
sr. notes 7s, 2003 560,000 555,800 1,510,000 1,498,675 470,000 466,475
Safety Components International, Inc.
sr. sub. notes Ser. B, 10 1/8s, 2007 40,000 41,400 120,000 124,200 35,000 36,225
------------ ------------ ------------
2,245,237 5,500,222 3,875,944
Basic Industrial Products --% 0.1% 0.1%
- ------------------------------------------------------------------------------------------------------------------------------
American Standard Companies Inc.
sr. notes 7 3/8s, 2008 550,000 541,750 950,000 935,750 380,000 374,300
Clark-Schwebel sr. notes 10 1/2s, 2006 110,000 122,100 290,000 321,900 100,000 111,000
W. R. Carpenter North America, Inc.
company guaranty 10 5/8s, 2007 50,000 53,500 150,000 160,500 125,000 133,750
------------ ------------ ------------
717,350 1,418,150 619,050
Biotechnology --% --% 0.1%
- ------------------------------------------------------------------------------------------------------------------------------
Millipore Corp. notes 7.2s, 2002 160,000 161,771 425,000 429,705 595,000 601,587
Broadcasting 0.3% 0.6% 0.5%
- ------------------------------------------------------------------------------------------------------------------------------
Allbritton Communications Co. 144A
sr. sub. notes 8 7/8s, 2008 90,000 90,900 220,000 222,200 -- --
Allbritton Communications sr. sub. deb.
Ser. B, 9 3/4s, 2007 -- -- -- -- 200,000 210,500
American Radio Systems Corp.
company guaranty 9s, 2006 5,000 5,350 10,000 10,700 10,000 10,700
Azteca Holdings S.A. sr. notes 11s 40,000 41,700 100,000 104,250 25,000 26,063
Benedek Communications Corp.
sr. disc. notes stepped-coupon zero %
(13 1/4s, 5/15/01), 2006 ++ 100,000 80,000 200,000 160,000 75,000 60,000
Capstar Broadcasting sr. disc. notes
stepped-coupon zero %
(12 3/4s, 2/1/02), 2009 ++ 175,000 132,125 465,000 351,075 155,000 117,025
Capstar Broadcasting sr. sub. notes
9 1/4s, 2007 -- -- 115,000 120,750 -- --
Central European Media Enterprises Ltd.
sr. notes 9 3/8s, 2004 20,000 20,400 60,000 61,200 20,000 20,400
Chancellor Media Corp. 144A sr. sub.
notes 8 1/8s, 2007 185,000 188,238 450,000 457,875 150,000 152,625
Chancellor Media Corp. sr. sub. notes
9 3/8s, 2004 -- -- 5,000 5,325 5,000 5,325
Citadel Broadcasting Inc. sr. sub. notes
10 1/4s, 2007 400,000 443,000 124,370 137,740 40,000 44,300
Comcast Corp. sr. sub. 9 1/8s, 2006 170,000 180,200 -- -- -- --
Comcast Corp. sr. sub. notes
9 1/2s, 2008 -- -- -- -- 50,000 53,068
Comcast UK Cable, Ltd. deb.
stepped-coupon zero %
(11.2s, 11/15/00), 2007 (Bermuda) ++ 150,000 124,500 400,000 332,000 130,000 107,900
Commodore Media, Inc. sr. sub. notes
stepped-coupon 7 1/2s,
(13 1/4s, 5/1/98), 2003 ++ 220,000 246,950 555,000 622,988 180,000 202,050
Diamond Cable Communication Co.
sr. disc. notes stepped-coupon zero %
(10 3/4s, 2/15/02), 2007
(United Kingdom) ++ 445,000 313,725 510,000 359,550 250,000 176,250
Diamond Cable Communication Co.
sr. disc. notes stepped-coupon zero %
(11 3/4s, 12/15/00), 2005
(United Kingdom) ++ 225,000 178,875 900,000 715,500 180,000 143,100
Diamond Cable Communication Co.
sr. disc. notes stepped-coupon zero %
(13 1/2s, 9/30/99), 2004
(United Kingdom) ++ -- -- 200,000 184,500 -- --
Echostar Satellite Broadcast Corp.
sr. disc. notes stepped-coupon zero %
(13 1/8s, 3/15/00), 2004 ++ 50,000 45,625 300,000 273,750 40,000 36,500
Fox/Liberty Networks LLC
sr. disc. notes stepped-coupon zero %
(9 3/4s, 8/15/02), 2007 ++ 100,000 68,500 300,000 205,500 100,000 68,500
Fox/Liberty Networks LLC sr. notes
8 7/8s, 2007 140,000 145,250 360,000 373,500 120,000 124,500
Granite Broadcasting Corp. sr. sub. notes
9 3/8s, 2005 200,000 207,000 225,000 232,875 150,000 155,250
Gray Communications Systems, Inc.
sr. sub. notes 10 5/8s, 2006 10,000 10,850 35,000 37,975 10,000 10,850
Grupo Televisa S.A. sr. disc. notes
stepped-coupon zero %
(13 1/4s, 5/15/01), 2008 (Mexico) ++ 250,000 200,000 600,000 480,000 200,000 160,000
Jacor Communications, Inc. company
guaranty 9 3/4s, 2006 5,000 5,475 55,000 60,225 5,000 5,475
Jacor Communications, Inc. sr. sub. notes
10 1/8s, 2006 110,000 120,450 285,000 312,075 100,000 109,500
Jacor Communications, Inc. sr. sub. notes
8s, 2010 70,000 70,000 140,000 140,000 60,000 60,000
Marcus Cable Co. (L.P.) sr. sub. disc. notes
stepped-coupon zero %
(13 1/2s, 8/1/99), 2004 ++ 170,000 161,500 430,000 408,500 140,000 133,000
Pegasus Media & Communications notes
Ser. B, 12 1/2s, 2005 -- -- 200,000 229,000 100,000 114,500
Petracom Holdings, Inc. notes
stepped-coupon zero %
(17 1/2s, 8/1/98), 2003 ++ 150,000 150,750 414,000 416,070 165,000 165,825
Radio One Inc. company guaranty
stepped-coupon Ser. B, 7s,
(12s, 5/15/00), 2004 ++ 5,000 5,100 10,000 10,200 10,000 10,200
Rogers Cablesystems Ltd. deb. 10 1/8s,
2012 (Canada) -- -- 400,000 438,000 -- --
Rogers Cablesystems Ltd. notes 11s,
2015 (Canada) 150,000 173,250 -- -- 50,000 57,750
SFX Entertainment Inc. 144A sr. sub.
notes 9 1/8s, 2008 95,000 93,575 245,000 241,325 80,000 78,800
Sinclair Broadcast Group, Inc. sr. sub.
notes 8 3/4s, 2007 100,000 103,500 500,000 517,500 100,000 103,500
Spanish Broadcasting sr. notes Ser. B,
11s, 2004 65,000 71,500 170,000 187,000 60,000 66,000
Sullivan Broadcasting sr. sub. notes
10 1/4s, 2005 225,000 243,563 590,000 638,675 200,000 216,500
TCI Communications Inc deb.
8 3/4s, 2015 -- -- 500,000 580,225 -- --
TCI Satellite Entertainment 144A sr. sub.
notes 10 7/8s, 2007 -- -- 145,000 153,338 -- --
Young Broadcasting, Inc. company
guaranty Ser. B, 9s, 2006 75,000 77,625 165,000 170,775 60,000 62,100
------------ ------------ ------------
3,999,476 9,952,161 3,068,056
Building and Construction 0.1% 0.2% 0.2%
- ------------------------------------------------------------------------------------------------------------------------------
American Architectural Products Corp.
144A sr. notes 11 3/4s, 2007 35,000 36,575 90,000 94,050 25,000 26,125
American Standard, Inc. sr. sub. notes
stepped-coupon zero %
(10 1/2s, 6/1/98), 2005 ++ 410,000 422,300 1,070,000 1,102,100 360,000 370,800
Atrium Companies Inc. 144A sub. notes
10 1/2s, 2006 230,000 241,500 490,000 514,500 180,000 189,000
Beazer Homes USA, Inc. 144A sr. notes
8 7/8s, 2008 90,000 90,113 220,000 220,275 70,000 70,088
Brand Scaffold Services 144A sr. notes
10 1/4s, 2008 110,000 113,300 290,000 298,700 100,000 103,000
Cemex S.A. 144A bonds 12 3/4s,
(Mexico) 5,000 6,050 10,000 12,100 10,000 12,100
Cia Latino Americana 144A company
guaranty 11 1/8s, 2004 (Argentina) 25,000 25,938 75,000 77,813 25,000 25,938
Consumers International 144A sr. notes
10 1/4s, 2005 10,000 11,000 5,000 5,500 5,000 5,500
Continental Homes Holding Corp.
sr. notes 10s, 2006 120,000 129,900 290,000 313,925 100,000 108,250
GS Superhighway Holdings sr. notes
10 1/4s, 2007 100,000 85,000 200,000 170,000 -- --
GS Superhighway Holdings sr. notes
9 7/8s, 2004 120,000 105,600 340,000 299,200 170,000 149,600
M.D.C. Holdings, Inc. notes Ser. B,
11 1/8s, 2003 75,000 82,500 200,000 220,000 75,000 82,500
Presley Cos. sr. notes 12 1/2s, 2001 40,000 38,600 110,000 106,150 -- --
Triangle Pacific Corp. sr. notes
10 1/2s, 2003 100,000 105,000 350,000 367,500 125,000 131,250
Waxman Industries Inc. sr. notes
stepped-coupon Ser. B, zero %
(12 3/4s, 6/1/99), 2004 ++ 10,000 9,125 10,000 9,125 10,000 9,125
------------ ------------ ------------
1,502,501 3,810,938 1,283,276
Business Equipment and Services 0.1% 0.1% 0.2%
- ------------------------------------------------------------------------------------------------------------------------------
ATC Group Services Inc. 144A sr. sub.
notes 12s, 2008 40,000 40,200 110,000 110,550 35,000 35,175
Axiohm Transactions Solutions Inc.
company guaranty 9 3/4s, 2007 40,000 40,700 120,000 122,100 15,000 15,263
Iron Mountain, Inc. company guaranty
8 3/4s, 2009 150,000 154,500 170,000 175,100 50,000 51,500
Iron Mountain, Inc. med. term notes
company guaranty 10 1/8s, 2006 50,000 55,250 50,000 55,250 200,000 221,000
Morris Material Handling Inc. 144A
sr. notes 9 1/2s, 2008 300,000 301,500 780,000 783,900 250,000 251,250
Pierce Leahy Corp. sr. sub. notes
11 1/8s, 2006 210,000 238,875 410,000 466,375 110,000 125,125
United Stationer Supply, Inc. sr. sub.
notes 12 3/4s, 2005 207,000 239,085 503,000 580,965 182,000 210,210
Williams Scotsman, Inc. 144A sr. notes
9 7/8s, 2007 40,000 42,000 115,000 120,750 40,000 42,000
------------ ------------ ------------
1,112,110 2,414,990 951,523
Cable Television 0.2% 0.3% 0.3%
- ------------------------------------------------------------------------------------------------------------------------------
Acme Television sr. disc. notes
stepped-coupon zero %
(10 7/8s, 9/30/00), 2004 ++ 55,000 45,238 140,000 115,150 40,000 32,900
Adelphia Communications Corp.
sr. notes 9 1/2s, 2004 ++++ 160,475 168,098 375,000 392,813 -- --
Adelphia Communications Corp.
sr. notes Ser. B, 10 1/4s, 2000 10,000 10,375 20,000 20,750 10,000 10,375
CSC Holdings, Inc. sr. sub. deb.
9 7/8s, 2023 10,000 11,075 10,000 11,075 10,000 11,075
CSC Holdings, Inc. sr. sub. deb.
9 7/8s, 2013 375,000 414,375 1,000,000 1,105,000 300,000 331,500
CSC Holdings, Inc. sr. sub. notes
9 1/4s, 2005 10,000 10,625 10,000 10,625 10,000 10,625
Charter Communications International,
Inc. disc. notes stepped-coupon
Ser. B, zero % (14s, 3/15/01), 2007 ++ 10,000 8,025 20,000 16,050 10,000 8,025
Falcon Holdings Group, Inc. sr. sub. notes
11s, 2003 ++++ 135,324 145,304 330,595 354,976 114,854 123,324
Falcon Holdings Group 144A deb.
9.29s, 2010 250,000 158,323 630,000 398,973 210,000 132,991
Globo Communicacoes 144A sr. notes
10 5/8s, 2008 90,000 91,463 230,000 233,738 80,000 81,300
Grupo Televisa S.A. 144A sr. notes
11 7/8s, 2006 (Mexico) 250,000 288,438 600,000 692,250 200,000 230,750
Jones Intercable, Inc. sr. sub. deb.
10 1/2s, 2008 160,000 176,000 415,000 456,500 140,000 154,000
Lenfest Communications, Inc. 144A
sr. sub. notes 8 1/4s, 2008 220,000 222,750 580,000 587,250 180,000 182,250
RCN Corp. 144A sr. disc. notes
stepped-coupon zero %
(9.8s, 2/15/03), 2008 ++ 390,000 244,725 1,080,000 677,700 350,000 219,625
Tele-Communications, Inc. sr. notes
7 3/8s, 2000 120,000 122,220 310,000 315,735 100,000 101,850
UIH Australia/Pacific, Inc. sr. disc. notes
stepped-coupon Ser. B, zero %
(14s, 5/15/01), 2006 (Australia) ++ 210,000 144,900 610,000 420,900 200,000 138,000
------------ ------------ ------------
2,261,934 5,809,485 1,768,590
Cellular Communications --% 0.1% 0.1%
- ------------------------------------------------------------------------------------------------------------------------------
Centennial Cellular Corp. sr. notes
10 1/8s, 2005 145,000 160,588 350,000 387,625 60,000 66,450
Centennial Cellular Corp. sr. notes
8 7/8s, 2001 50,000 51,250 135,000 138,375 50,000 51,250
Interact Systems, Inc. 144A
stepped-coupon zero %
(14s, 8/1/99), 2003 ++ 100,000 38,000 300,000 114,000 90,000 34,200
Millicom International Cellular S.A.
sr. disc. notes stepped-coupon
zero % (13 1/2s, 6/1/01), 2006
(Luxembourg) ++ 245,000 191,100 620,000 483,600 205,000 159,900
------------ ------------ ------------
440,938 1,123,600 311,800
Chemicals 0.1% 0.2% 0.4%
- ------------------------------------------------------------------------------------------------------------------------------
Great Lakes Carbon Corp. sr. notes
10s, 2006 -- -- 225,000 245,250 150,000 163,500
Huntsman Corp. 144A sr. sub. notes
FRN 9.187s, 2007 120,000 120,300 300,000 300,750 100,000 100,250
NL Industries, Inc. sr. notes
stepped-coupon zero %
(13s, 10/15/98), 2005 ++ 100,000 102,250 250,000 255,625 75,000 76,688
Pharmaceutical Fine Chemicals 144A
sr. sub. notes 9 3/4s, 2007 (Switzerland) 35,000 36,313 90,000 93,375 25,000 25,938
Radnor Holdings Corp. company guaranty
10s, 2003 40,000 41,900 95,000 99,513 30,000 31,425
Sociedad Quimica Y Minera de Chile
S.A. 144A bonds 7.7s, 2006 (Chile) 55,000 55,465 160,000 161,352 170,000 171,437
Solutia Inc. bonds 6.72s, 2037 560,000 566,664 1,355,000 1,371,125 1,575,000 1,593,743
Sovereign Specialty Chemical 144A
sr. sub. notes 9 1/2s, 2007 50,000 52,750 130,000 137,150 40,000 42,200
Sterling Chemicals Holdings sr. disc. notes
stepped-coupon zero %
(13 1/2s, 8/15/01), 2008 ++ 100,000 59,500 270,000 160,650 100,000 59,500
Trikem S.A. 144A bonds 10 5/8s,
2007 (Brazil) 40,000 38,000 125,000 118,750 40,000 38,000
Union Carbide Global Enterprises
sr. sub. notes Ser. B, 12s, 2005 80,000 89,400 210,000 234,675 90,000 100,575
------------ ------------ ------------
1,162,542 3,178,215 2,403,256
Conglomerates --% --% --%
- ------------------------------------------------------------------------------------------------------------------------------
Axia, Inc. sr. sub. notes Ser. B, 11s, 2001 40,000 40,800 -- -- -- --
MacAndrews & Forbes Holdings, Inc.
sub. deb. notes 13s, 1999 52,000 52,195 86,000 86,323 2,000 2,008
------------ ------------ ------------
92,995 86,323 2,008
Consumer Durable Goods --% --% --%
- ------------------------------------------------------------------------------------------------------------------------------
CLN Holdings, Inc. sr. disc. notes
zero %, 2001 35,000 27,475 90,000 70,650 30,000 23,550
Foamex, L.P. company guaranty
9 7/8s, 2007 35,000 37,100 95,000 100,700 30,000 31,800
Hedstrom Holdings, Inc. stepped-coupon
zero % (12s, 6/01/02), 2009 ++ 15,000 9,300 45,000 27,900 15,000 9,300
Icon Fitness Corp. 144A sr. disc. notes
stepped-coupon Ser. B, zero %
(14s, 11/15/01), 2006 ++ 90,000 45,000 215,000 107,500 95,000 47,500
Sealy Mattress Co. 144A sr. sub. notes
9 7/8s, 2007 35,000 37,100 80,000 84,800 25,000 26,500
Selmer Co., Inc. sr. sub. notes 11s, 2005 160,000 174,000 250,000 271,875 25,000 27,188
------------ ------------ ------------
329,975 663,425 165,838
Consumer Non Durables 0.1% 0.1% 0.1%
- ------------------------------------------------------------------------------------------------------------------------------
Amscan Holdings, Inc. sr. sub. notes
9 7/8s, 2007 20,000 20,875 60,000 62,625 20,000 20,875
Carson, Inc. company guaranty Ser. B,
10 3/8s, 2007 100,000 103,000 170,000 175,100 50,000 51,500
Chattem, Inc. 144A sr. sub. notes
8 7/8s, 2008 70,000 70,875 170,000 172,125 60,000 60,750
Guess Jeans, Inc. sr. sub. notes
9 1/2s, 2003 410,000 418,200 1,110,000 1,132,200 455,000 464,100
Packaged Ice, Inc. 144A sr. notes
9 3/4s, 2005 10,000 10,150 30,000 30,450 10,000 10,150
Twin Laboratories, Inc. company guaranty
10 1/4s, 2006 200,000 221,000 250,000 276,250 -- --
------------ ------------ ------------
844,100 1,848,750 607,375
Consumer Products 0.1% 0.2% 0.3%
- ------------------------------------------------------------------------------------------------------------------------------
French Fragrances, Inc. sr. notes Ser. B.,
10 3/8s, 2007 30,000 31,950 85,000 90,525 30,000 31,950
Philip Morris Cos., Inc. deb. 7 3/4s, 2027 195,000 208,371 325,000 347,285 370,000 395,371
Philip Morris Cos., Inc. notes 7 1/2s,
2002 260,000 269,555 685,000 710,174 915,000 948,626
Revlon Consumer Products 144A
sr. sub. notes 8 5/8s, 2008 600,000 608,250 1,500,000 1,520,625 500,000 506,875
Revlon Worldwide Corp. sr. disc. notes
Ser. B, zero %, 2001 50,000 38,250 145,000 110,925 -- --
------------ ------------ ------------
1,156,376 2,779,534 1,882,822
Consumer Services 0.2% 0.4% 0.3%
- ------------------------------------------------------------------------------------------------------------------------------
Boyd Gaming Corp. sr. sub. notes
9 1/2s, 2007 -- -- -- -- 25,000 26,688
Century Communications Corp.
sr. notes 9 1/2s, 2005 -- -- 290,000 311,750 50,000 53,750
Coinmach Corp. sr. notes 11 3/4s, 2005 360,000 401,400 885,000 986,775 329,000 366,835
Fitzgeralds Gaming Corp. 144A
company guaranty 12 1/4s, 2004 190,000 191,900 460,000 464,600 160,000 161,600
FRD Acquisition Co. sr. notes Ser. B,
12 1/2s, 2004 75,000 81,938 200,000 218,500 75,000 81,938
Host Marriott Travel Plaza sr. notes
Ser. B, 9 1/2s, 2005 500,000 531,250 1,300,000 1,381,250 325,000 345,313
Isle of Capri Black Hawk LLC
1st mortgage Ser. B, 13s, 2004 30,000 30,450 80,000 81,200 30,000 30,450
John Q Hammons Hotels, Inc. 1st mtge.
8 7/8s, 2004 375,000 381,563 900,000 915,750 300,000 305,250
Metrocall, Inc. sr. sub. notes 10 3/8s,
2007 70,000 72,975 -- -- 60,000 62,550
Penn National Gaming, Inc. 144A
sr. notes 10 5/8s, 2004 20,000 21,200 60,000 63,600 20,000 21,200
Premier Parks, Inc. sr. notes 9 1/4s, 2006 225,000 225,844 575,000 577,156 185,000 185,694
SFX Broadcasting, Inc. sr. sub. notes
Ser. B, 10 3/4s, 2006 375,000 414,375 925,000 1,022,125 300,000 331,500
Sun International Hotels Ltd. sr. sub.
notes 8 5/8s, 2007 150,000 154,500 400,000 412,000 125,000 128,750
Viasystems Inc. sr. sub notes 9 3/4s, 2007 260,000 271,700 10,000 10,450 5,000 5,225
------------ ------------ ------------
2,779,095 6,445,156 2,106,743
Electronics and Electrical Equipment 0.1% 0.3% 0.2%
- ------------------------------------------------------------------------------------------------------------------------------
Celestica International Ltd. 144A sr. sub.
notes 10 1/2s, 2006 (Canada) 30,000 32,700 85,000 92,650 30,000 32,700
Cirent Semiconductor 144A sr. sub.
notes 10.14s, 2004 35,026 36,602 100,006 104,507 -- --
Cirent Semiconductor sr. sub. notes
10.22s, 2002 30,639 31,941 87,480 91,199 32,458 33,838
DII Group, Inc. (The) sr. sub. notes
8 1/2s, 2007 290,000 292,900 110,000 111,100 40,000 40,400
Details, Inc. sr. sub. notes Ser. B, 10s,
2005 35,000 36,663 100,000 104,750 30,000 31,425
Dobson Communications Corp.
11 3/4s, 2007 90,000 99,000 255,000 280,500 -- --
Fairchild Semiconductor Corp. 144A
sr. sub. notes 11.74s, 2008 170,000 190,825 301,489 338,422 140,000 157,150
Fairchild Semiconductor Corp. sr. sub.
notes 10 1/8s, 2007 200,000 208,000 775,000 806,000 175,000 182,000
Figgie International, Inc. sr. notes
9 7/8s, 1999 400,000 416,000 1,000,000 1,040,000 350,000 364,000
Flag Limited 144A sr. notes 8 1/4s, 2008
(Bermuda) 120,000 123,000 320,000 328,000 100,000 102,500
Flextronics Internationsl Ltd. 144A
sr. sub. notes 8 3/4s, 2007 50,000 50,375 120,000 120,900 35,000 35,263
HCC Industries, Inc. company guaranty
10 3/4s, 2007 40,000 41,800 110,000 114,950 40,000 41,800
Moog, Inc. sr. sub. notes Ser. B, 10s,
2006 20,000 21,700 60,000 65,100 20,000 21,700
Motors and Gears Inc. sr. notes Ser. D,
10 3/4s, 2006 100,000 108,000 255,000 275,400 80,000 86,400
Viasystems Inc. 144A sr. sub. notes
9 3/4s, 2007 50,000 52,250 650,000 679,250 225,000 235,125
Wavetek Corp. company guaranty
10 1/8s, 2007 25,000 26,375 60,000 63,300 20,000 21,100
Zilog Inc. 144A sr. notes 9 1/2s, 2005 190,000 184,775 480,000 466,800 160,000 155,600
------------ ------------ ------------
1,952,906 5,082,828 1,541,001
Energy-Related --% --% --%
- ------------------------------------------------------------------------------------------------------------------------------
AES Corp. sr. sub. notes 8 3/8s, 2007 60,000 61,200 160,000 163,200 50,000 51,000
Panda Global Energy Co. company
guaranty 12 1/2s, 2004 10,000 9,500 10,000 9,500 5,000 4,750
RAM Energy Inc. sr. notes 11 1/2s, 2008 70,000 68,775 190,000 186,675 60,000 58,950
------------ ------------ ------------
139,475 359,375 114,700
Entertainment 0.2% 0.5% 0.7%
- ------------------------------------------------------------------------------------------------------------------------------
AMC Entertainment, Inc. sr. sub. notes
9 1/2s, 2009 135,000 142,425 340,000 358,700 110,000 116,050
Cinemark USA, Inc. sr. sub. notes
9 5/8s, 2008 350,000 369,250 870,000 917,850 300,000 316,500
Premier Parks, Inc. sr. notes Ser. A,
12s, 2003 105,000 116,288 270,000 299,025 90,000 99,675
Six Flags Corp. sr. sub. notes
stepped-coupon zero %
(12 1/4s, 6/15/98), 2005 ++ 445,000 493,950 1,050,000 1,165,500 405,000 449,550
Time Warner Entertainment Co. notes
8 7/8s, 2012 225,000 264,713 400,000 470,600 580,000 682,370
Time Warner Entertainment sr. notes
8 3/8s, 2033 335,000 384,268 885,000 1,015,157 545,000 625,153
Time Warner, Inc. notes 7 3/4s, 2005 -- -- 165,000 174,346 995,000 1,051,357
Trump A.C. 1st mtge. 11 1/4s, 2006 155,000 159,263 375,000 385,313 105,000 107,888
Viacom International, Inc. sub. deb.
8s, 2006 1,300,000 1,327,625 3,425,000 3,497,781 1,075,000 1,097,844
------------ ------------ ------------
3,257,782 8,284,272 4,546,387
Environmental Control --% 0.1% 0.2%
- ------------------------------------------------------------------------------------------------------------------------------
Allied Waste Industries, Inc. company
guaranty 10 1/4s, 2006 75,000 83,250 195,000 216,450 -- --
Allied Waste Industries, Inc. sr. disc.
notes stepped-coupon zero %
(11.3s, 6/1/07), 2007 ++ 145,000 106,575 380,000 279,300 130,000 95,550
WMX Technologies Inc. notes 7.1s, 2026 300,000 310,272 685,000 708,454 1,010,000 1,044,582
------------ ------------ ------------
500,097 1,204,204 1,140,132
Food and Beverages 0.1% 0.3% 0.6%
- ------------------------------------------------------------------------------------------------------------------------------
Ameriserve Food Co. company guaranty
10 1/8s, 2007 35,000 37,800 90,000 97,200 30,000 32,400
Ameriserve Food Co. company guaranty
8 7/8s, 2006 70,000 72,100 160,000 164,800 50,000 51,500
Aurora Foods, Inc. sr. sub. notes Ser. B,
9 7/8s, 2007 20,000 21,500 60,000 64,500 20,000 21,500
Aurora Foods, Inc. 144A sr. sub. notes
Ser. D, 9 7/8s, 2007 155,000 166,625 385,000 413,875 120,000 129,000
Canandaigua Wine Co. sr. sub. notes
Ser. C, 8 3/4s, 2003 205,000 209,100 605,000 617,100 155,000 158,100
Canandaigua Wine sr. sub. notes
8 3/4s, 2003 -- -- -- -- 100,000 101,500
Fleming Companies, Inc. company guaranty
Ser. B, 10 1/2s, 2004 60,000 64,350 170,000 182,325 50,000 53,625
Philip Morris Companies., Inc. notes
7 1/2s, 2004 700,000 733,775 1,735,000 1,818,714 2,030,000 2,127,948
Smithfield Foods, Inc. 144A sr. sub. notes
7 5/8s, 2008 410,000 407,950 1,060,000 1,054,700 350,000 348,250
Southern Foods Group 144A sr. sub.
notes 9 7/8s, 2007 30,000 31,950 70,000 74,550 20,000 21,300
Stater Brothers Holdings 144A sr. sub.
notes 9s, 2004 100,000 104,250 420,000 437,850 255,000 265,838
Stater Brothers sr. notes 11s, 2001 205,000 223,450 360,000 392,400 85,000 92,650
Windy Hill Pet Food Co. sr. sub. notes
9 3/4s, 2007 -- -- 45,000 47,925 15,000 15,975
------------ ------------ ------------
2,072,850 5,365,939 3,419,586
Health Care 0.1% 0.3% 0.4%
- ------------------------------------------------------------------------------------------------------------------------------
Extendicare Inc. 144A sr. sub. notes
9.35s, 2007 (Canada) 300,000 312,000 490,000 509,600 250,000 260,000
Genesis Eldercare 144A sr. sub. notes
9s, 2007 60,000 61,500 160,000 164,000 50,000 51,250
Genesis Health Ventures, Inc. sr. sub.
notes 9 1/4s, 2006 100,000 104,500 225,000 235,125 75,000 78,375
Integrated Health Services, Inc. sr. sub.
notes Ser. A, 9 1/2s, 2007 100,000 106,375 215,000 228,706 70,000 74,463
Integrated Health Services, Inc. sr. sub.
notes Ser. A, 9 1/4s, 2008 150,000 158,063 400,000 421,500 250,000 263,438
Magellan Health Services, Inc. 144A
sr. sub. notes 9s, 2008 200,000 201,500 510,000 513,825 170,000 171,275
Manor Care, Inc. sr. notes 7 1/2s, 2006 190,000 187,530 520,000 513,240 660,000 651,420
MedPartners, Inc. sr. notes 7 3/8s, 2006 80,000 71,678 200,000 179,194 60,000 53,758
Paracelsus Healthcare sr. sub. notes
10s, 2006 150,000 155,250 355,000 367,425 115,000 119,025
Paragon Corp. Holdings 144A sr. notes
9 5/8s, 2008 80,000 79,400 190,000 188,575 60,000 59,550
Paragon Health Networks, Inc. sr. sub.
notes Ser. B, 9 1/2s, 2007 270,000 276,750 680,000 697,000 130,000 133,250
Quorum Health Group, Inc. sr. sub. notes
8 3/4s, 2005 -- -- -- -- 100,000 105,500
Tenet Healthcare Corp. sr. notes 8s, 2005 150,000 153,750 -- -- 125,000 128,125
Tenet Healthcare Corp. sr. sub. notes
8 5/8s, 2007 250,000 259,375 975,000 1,011,563 225,000 233,438
------------ ------------ ------------
2,127,671 5,029,753 2,382,867
Insurance and Finance 0.7% 1.4% 4.4%
- ------------------------------------------------------------------------------------------------------------------------------
Aames Financial Corp. sr. notes
9 1/8s, 2003 120,000 121,200 150,000 151,500 100,000 101,000
Abbey National First Capital PLC
sub. notes 7.35s, 2049
(United Kingdom) 90,000 94,384 260,000 272,665 270,000 283,152
Aegon NV sub. notes 8s, 2006
(Netherlands) 445,000 488,525 1,200,000 1,317,372 1,445,000 1,586,335
AFC Capital Trust company guaranty
Ser. B, 8.207s, 2027 140,000 156,282 355,000 396,287 475,000 530,243
Allstate Financing II company guaranty
7.83s, 2045 75,000 76,784 200,000 204,756 280,000 286,658
American General Institute 144A
company guaranty 8 1/8s, 2046 480,000 529,944 1,190,000 1,313,820 1,390,000 1,534,630
Banponce Financial Corp. med. term
note 7 1/8s, 2002 205,000 209,922 530,000 542,725 740,000 757,767
Chevy Chase Savings Bank Inc. sub. deb.
9 1/4s, 2005 120,000 124,200 300,000 310,500 100,000 103,500
Colonial Capital I 144A company
guaranty 8.92s, 2027 35,000 37,554 90,000 96,567 30,000 32,189
Commercial Credit Co. notes
5 7/8s, 2003 160,000 157,712 350,000 344,995 515,000 507,636
Contifinancial Corp. sr. notes
8 3/8s, 2003 120,000 122,400 305,000 311,100 105,000 107,100
Delta Financial Corp. sr. notes
9 1/2s, 2004 110,000 108,900 300,000 297,000 90,000 89,100
Dime Capital Trust I bank guaranty
Ser. A, 9.33s, 2027 35,000 39,473 90,000 101,503 30,000 33,834
Dine S.A. de C.V. 144A company
guaranty 8 3/4s, (Mexico) 35,000 34,169 85,000 82,981 25,000 24,406
Dollar Financial Group Inc. sr. notes
Ser. A, 10 7/8s, 2006 25,000 27,375 70,000 76,650 25,000 27,375
Fannie Mae sr. unsub. 6 3/8s, 2007 715,000 484,311 1,755,000 1,188,763 815,000 552,047
First Financial Caribbean Corp. sr. notes
7.84s, 2006 90,000 93,828 235,000 244,995 340,000 354,460
First Nationwide Holdings sr. notes
12 1/2s, 2003 -- -- 100,000 114,500 -- --
First Nationwide Holdings sr. sub. notes
10 5/8s, 2003 100,000 112,250 255,000 286,238 90,000 101,025
First Nationwide Holdings sr. sub. notes
9 1/8s, 2003 -- -- -- -- 150,000 159,375
Firstar Bank Milwaukee sr. bank notes
6 1/4s, 2002 250,000 251,188 600,000 602,850 710,000 713,373
Ford Motor Credit Corp. sr. notes
7s, 2001 -- -- 520,000 534,024 885,000 908,868
Greenpoint Bank sr. notes 6.7s, 2002 250,000 252,373 395,000 398,749 530,000 535,030
Greenpoint Capital Trust I company
guaranty 9.1s, 2027 35,000 38,296 90,000 98,476 30,000 32,825
Hartford Life, Inc. notes 7.1s, 2007 285,000 295,545 700,000 725,900 820,000 850,340
Imperial Credit Capital Trust I 144A
company guaranty 10 1/4s, 2002 100,000 100,000 275,000 275,000 200,000 200,000
Imperial Credit Industries, Inc. sr. notes
9 7/8s, 2007 40,000 39,800 100,000 99,500 30,000 29,850
Intertek Finance PLC 144A sr. sub.
notes 10 1/4s, 2006 40,000 42,800 115,000 123,050 40,000 42,800
Investors Capital Trust I company
guaranty Ser. B, 9.77s, 2027 -- -- 15,000 16,453 -- --
Korea Development Bank bonds
7 3/8s, 2004 (Korea) 50,000 45,083 125,000 112,706 50,000 45,083
Korea Development Bank Bonds
7 1/8s, 2001 (Korea) 100,000 94,034 250,000 235,085 75,000 70,526
Kreditanstalt Fuer Wiederauf bonds
5s, 2009 1,950,000 1,051,227 6,010,000 3,239,935 3,550,000 1,913,772
Merita Bank Ltd. sub. notes 6 1/2s,
2006 (Finland) 295,000 292,941 730,000 724,905 1,060,000 1,052,601
Money Store, Inc. notes 8.05s, 2002 165,000 174,591 360,000 380,927 525,000 555,518
NationsBank Corp. sub. notes
6 7/8s, 2005 610,000 626,989 1,515,000 1,557,193 1,700,000 1,747,345
Nationwide Credit Inc. 144A sr. notes
10 1/4s, 2008 35,000 36,050 100,000 103,000 30,000 30,900
Netia Holdings B.V. 144A company
guaranty 10 1/4s, 2007 (Poland) 30,000 30,825 60,000 61,150 20,000 20,550
Netia Holdings B.V. 144A company
guaranty stepped-coupon zero %
(11 1/4s, 11/1/02), 2007 (Poland) ++ 20,000 13,650 40,000 27,300 10,000 6,825
North Fork Capital Trust I company
guaranty 8.7s, 2026 10,000 10,902 15,000 16,353 5,000 5,451
Ocwen Capital Trust I company
guaranty 10 7/8s, 2027 20,000 22,200 50,000 55,500 15,000 16,650
Ocwen Federal Bank FSB sub. deb.
12s, 2005 5,000 5,575 10,000 11,150 5,000 5,575
Ocwen Financial Corp. notes
11 7/8s, 2003 10,000 11,350 10,000 11,350 10,000 11,350
Orange Cogen Funding 144A company
guaranty 8.175s, 2022 75,000 80,963 195,000 210,503 275,000 296,863
Outsourcing Solutions, Inc. sr. sub. notes
Ser. B, 11s, 2006 25,000 26,750 75,000 80,250 25,000 26,750
Peoples Bank- Bridgeport sub. notes
7.2s, 2006 240,000 243,638 565,000 573,565 865,000 878,113
Peoples Heritage Capital Trust company
guaranty Ser. B, 9.06s, 2027 -- -- 165,000 181,658 -- --
Phoenix Home Life Mutual Insurance Co.
144A notes 6.95s, 2006 210,000 214,601 555,000 567,160 780,000 797,090
Pioneer Americas Acquisition 144A
sr. notes 9 1/4s, 2007 35,000 35,525 90,000 91,350 30,000 30,450
Polytama International notes
11 1/4s, 2007 60,000 37,200 150,000 93,000 50,000 31,000
Popular, Inc. med. term notes 6.4s, 2000 375,000 376,421 920,000 923,487 1,095,000 1,099,150
Provident Capital Trust company
guaranty 8.6s, 2026 70,000 74,083 190,000 201,083 -- --
Provident Companies, Inc. bonds
7.405s, 2038 415,000 411,846 910,000 903,084 1,370,000 1,359,588
PRT Funding Corp. sr. notes 11
5/8s, 2004 95,000 71,250 225,000 168,750 75,000 56,250
Railcar Leasing LLC 144A sr. notes
6 3/4s, 2006 8,002 8,125 -- -- -- --
Reliance Group Holdings, Inc. sr. notes
9s, 2000 -- -- 145,000 151,673 -- --
Riggs Capital Trust 144A bonds 8 5/8s 35,000 37,143 90,000 95,510 40,000 42,449
Sampoerna International Finance Co.
144A company guaranty 8 3/8s, 2006
(Indonesia) 170,000 122,400 480,000 345,600 545,000 392,400
Southern Investments Service Co.
sr. notes 6.8s, 2006 (United Kingdom) 585,000 596,565 1,310,000 1,335,899 1,980,000 2,019,145
Sovereign Capital Trust company
guaranty 9s, 2027 50,000 54,340 130,000 141,284 45,000 48,906
Sparbanken Sverige AB (Swedbank)
144A sub. 7 1/2s, 2006 (Sweden) 175,000 180,443 470,000 484,617 660,000 680,526
St. Paul Bancorp sr. notes 7 1/8s, 2004 380,000 387,418 875,000 892,080 1,275,000 1,299,888
TIG Holdings, Inc. notes 8 1/8s, 2005 275,000 294,872 615,000 659,440 925,000 991,841
Travelers Capital Trust II bonds
7 3/4s, 2036 95,000 97,702 250,000 257,110 355,000 365,096
Webster Capital Trust I 144A bonds
9.36s, 2027 5,000 5,511 20,000 22,044 10,000 11,022
------------ ------------ ------------
9,811,428 25,444,620 26,393,591
Medical Supplies and Devices 0.1% 0.1% 0.1%
- ------------------------------------------------------------------------------------------------------------------------------
ALARIS Medical Systems, Inc. company
guaranty 9 3/4s, 2006 100,000 107,000 265,000 283,550 115,000 123,050
Conmed Corp. 144A sr. sub. notes
9s, 2008 80,000 81,200 210,000 213,150 65,000 65,975
Fresenius Medical Care AG 144A
company guaranty 7 7/8s, 2008
(Germany) 170,000 170,000 430,000 430,000 140,000 140,000
Graphic Controls Corp. sr. sub. notes
Ser. A, 12s, 2005 100,000 111,750 270,000 301,725 90,000 100,575
Imagyn Medical Technologies, Inc.
company guaranty 12 1/2s, 2004 85,000 51,000 230,000 138,000 75,000 45,000
Kinetic Concepts, Inc. company guaranty
Ser. B, 9 5/8s, 2007 110,000 113,025 355,000 364,763 100,000 102,750
Wright Medical Technology, Inc.
144A notes Ser. C, 11 3/4s, 2000 200,000 196,000 400,000 392,000 100,000 98,000
------------ ------------ ------------
829,975 2,123,188 675,350
Metals and Mining 0.1% 0.2% 0.2%
- ------------------------------------------------------------------------------------------------------------------------------
Acindar Industria Argentina de Aceros
S.A. bonds 11 1/4s, 2004 (Argentina) 30,000 31,650 80,000 84,400 25,000 26,375
AK Steel Corp. sr. notes 9 1/8s, 2006 70,000 74,725 180,000 192,150 75,000 80,063
Anker Coal Group, Inc. sr. notes Ser. B,
9 3/4s, 2007 600,000 582,000 1,125,000 1,091,250 400,000 388,000
Ameristeel Corp. 144A sr. notes
8 3/4s, 2008 155,000 157,713 385,000 385,000 130,000 130,000
Armco, Inc. sr. notes 9s, 2007 30,000 31,125 80,000 83,000 20,000 20,750
Continental Global Group sr. notes
Ser. B, 11s, 2007 65,000 69,550 170,000 181,900 60,000 64,200
Freeport-McMoRan Copper & Gold
Co., Inc. sr. notes 7 1/2s, 2006 100,000 84,918 240,000 203,803 365,000 309,951
Hylsa S.A. de C.V. 144A bonds
9 1/4s, 2007 (Mexico) 100,000 100,250 250,000 250,625 80,000 80,200
Weirton Steel Co. sr. notes 11 3/8s, 2004 110,000 118,800 50,000 54,000 -- --
WHX Corp. 144A sr. notes 10 1/2s, 2005 100,000 102,000 240,000 240,000 80,000 80,000
------------ ------------ ------------
1,352,731 2,766,128 1,179,539
Oil and Gas 0.4% 0.7% 1.1%
- ------------------------------------------------------------------------------------------------------------------------------
Abraxas Petroleum Corp. 144A sr. notes
Ser. B, 11 1/2s, 2004 40,000 41,200 110,000 113,300 35,000 36,050
Benton Oil & Gas Co. sr. notes
11 5/8s, 2003 100,000 109,000 125,000 136,250 -- --
Benton Oil & Gas Co. sr. notes
9 3/8s, 2007 110,000 111,100 770,000 777,700 110,000 111,100
Chesapeake Energy Corp. sr. notes
10 1/2s, 2002 175,000 185,500 150,000 159,000 75,000 79,500
Chesapeake Energy Corp. sr. notes
9 1/8s, 2006 250,000 252,500 700,000 707,000 225,000 227,250
CIA Naviera Perez Companc S.A. 144A
bonds 9s, 2004 (Argentina) 35,000 35,525 90,000 91,350 30,000 30,450
Cliffs Drilling Co. company guaranty
Ser. B, 10 1/4s, 2003 20,000 21,600 60,000 64,800 20,000 21,600
Cliffs Drilling Co. company guaranty
Ser. D, 10 1/4s, 2003 200,000 216,500 150,000 162,375 500,000 541,250
Coho Energy, Inc. sr. sub. notes
8 7/8s, 2007 40,000 37,600 110,000 103,400 30,000 28,200
Columbia Gas System, Inc. notes Ser. B,
6.61s, 2002 210,000 213,704 530,000 539,349 -- --
Columbia Gas System, Inc. notes Ser. E,
7.32s, 2010 150,000 154,424 400,000 411,796 500,000 514,745
Costilla Energy, Inc. sr. notes
10 1/4s, 2006 15,000 15,150 540,000 545,400 160,000 161,600
Dailey International Inc. 144A sr. notes
9 1/2s, 2008 100,000 100,000 240,000 240,000 80,000 80,000
Flores & Rucks, Inc. sr. sub. notes
9 3/4s, 2006 115,000 126,500 270,000 297,000 -- --
K N Energy, Inc. sr. notes 6.45s, 2003 320,000 320,256 695,000 695,556 1,040,000 1,040,832
Michael Ptroleum Corp. 144A sr. notes
11 1/2s, 2005 90,000 88,988 220,000 217,525 70,000 69,213
Newpark Resources, Inc. 144A sr. sub.
notes 8 5/8s, 2007 155,000 158,485 460,000 470,350 140,000 143,150
Pacalta Resources Ltd. sr. notes Ser. B,
10 3/4s, 2004 (Canada) 35,000 35,525 95,000 96,425 30,000 30,450
Panaco, Inc. company guaranty Ser. B,
10 5/8s, 2004 250,000 252,500 400,000 404,000 250,000 252,500
Petro Geo-Services AS ADR notes
7 1/2s, 2007 (Norway) 95,000 100,622 255,000 270,091 365,000 386,601
Pogo Producing Co. sr. sub. notes Ser. B,
8 3/4s, 2007 120,000 124,200 315,000 326,025 105,000 108,675
Pride Petroleum Services, Inc. sr. notes
9 3/8s, 2007 50,000 53,250 135,000 143,775 45,000 47,925
Saga Petroleum ASA deb. 7 1/4s,
2027 (Norway) 200,000 199,254 500,000 498,135 575,000 572,855
Snyder Oil Corp. sr. sub. notes
8 3/4s, 2007 35,000 36,050 90,000 92,700 30,000 30,900
Southwest Royalties, Inc. company
guaranty 10 1/2s, 2004 75,000 67,500 70,000 63,000 -- --
Tokai Corp. 144A bonds FRB 9.98s, 2008 100,000 101,375 250,000 253,438 80,000 81,100
TransTexas Gas Corp. sr. sub. notes
Ser. D, 13 3/4s, 2001 163,000 182,560 419,000 469,280 180,000 201,600
Transamerican Energy sr. disc. notes
stepped-coupon Ser. B, zero %
(13s, 6/15/99), 2002 ++ 1,500,000 1,260,000 3,825,000 3,213,000 1,275,000 1,071,000
Transamerican Energy sr. notes Ser. B,
11 1/2s, 2002 345,000 341,550 885,000 876,150 290,000 287,100
Trico Marine Services, Inc. company
guaranty Ser. D, 8 1/2s, 2005 50,000 50,313 110,000 110,688 30,000 30,188
Williams Companies, Inc. (The) notes
6 1/8s, 2002 70,000 69,426 160,000 158,688 240,000 238,032
Wiser Oil Co. company guaranty
9 1/2s, 2007 35,000 33,775 90,000 86,850 30,000 28,950
------------ ------------ ------------
5,095,932 12,794,396 6,452,816
Packaging and Containers --% --% --%
- ------------------------------------------------------------------------------------------------------------------------------
AEP Industries, Inc. 144A sr. sub. notes
9 7/8s, 2007 30,000 31,463 75,000 78,656 20,000 20,975
Huntsman Packaging Corp. 144A
sr. sub. notes 9 1/8s, 2007 50,000 51,250 125,000 128,125 35,000 35,875
Innova S De R.L. sr. notes 12 7/8s,
2007 (Mexico) 80,000 85,600 220,000 235,400 75,000 80,250
Printpack, Inc. sr. notes Ser. B, 9 7/8s,
2004 -- -- 50,000 54,000 -- --
Vicap SA. 144A company guaranty
10 1/4s, 2002 (Mexico) 60,000 62,550 160,000 166,800 50,000 52,125
------------ ------------ ------------
230,863 662,981 189,225
Paper and Forest Products 0.1% 0.3% 0.2%
- ------------------------------------------------------------------------------------------------------------------------------
APP International Finance Co. notes
11 3/4s, 2005 (Netherlands) 110,000 105,600 280,000 268,800 100,000 96,000
Buckeye Cellulose Corp. sr. sub. notes
9 1/4s, 2008 25,000 26,625 50,000 53,250 25,000 26,625
Domtar, Inc. deb. 9 1/2s, 2016 (Canada) 50,000 53,896 175,000 188,634 70,000 75,454
Domtar, Inc. notes 8 3/4s, 2006 (Canada) 20,000 20,817 70,000 72,859 -- --
Florida Coast Paper LLC 1st mtge.
Ser. B, 12 3/4s, 2003 95,000 101,650 240,000 256,800 80,000 85,600
Indah Kiat Financial Mauritius Ltd.
company guaranty 10s, 2007
(Indonesia) 550,000 455,125 1,500,000 1,241,250 525,000 434,438
PT Pabrik Kertas Tjiwi Kimia company
guaranty 10s, 2004 95,000 78,375 260,000 214,500 70,000 57,750
Pindo Deli Finance Mauritius Ltd. 144A
company guaranty 10 3/4s,
2007 (India) 90,000 72,900 215,000 174,150 65,000 52,650
Repap New Brunswick sr. notes 10 5/8s,
2005 (Canada) 385,000 390,775 970,000 984,550 320,000 324,800
Riverwood International Corp. company
guaranty 10 7/8s, 2008 270,000 272,025 645,000 649,838 215,000 216,613
Riverwood International Corp. company
guaranty 10 1/4s, 2006 140,000 145,250 380,000 394,250 125,000 129,688
Stone Container Corp. 1st mtge.
10 3/4s, 2002 100,000 106,750 -- -- 10,000 10,675
------------ ------------ ------------
1,829,788 4,498,881 1,510,293
Pharmaceuticals --% --% 0.1%
- ------------------------------------------------------------------------------------------------------------------------------
ICN Pharmaceuticals, Inc. 144A sr. notes
9 1/4s, 2005 60,000 63,525 150,000 158,813 250,000 264,688
PharMerica, Inc. 144A sr. sub. notes
8 3/8s, 2008 100,000 100,250 260,000 260,650 90,000 90,225
------------ ------------ ------------
163,775 419,463 354,913
Photography --% --% --%
- ------------------------------------------------------------------------------------------------------------------------------
Panavision Inc. 144A sr. disc. notes
stepped-coupon zero %
(9 5/8s, 2/1/02), 2006 ++ 55,000 39,119 140,000 99,575 45,000 32,006
Publishing 0.1% 0.3% 0.5%
- ------------------------------------------------------------------------------------------------------------------------------
Affinity Group Holdings sr. notes
11s, 2007 115,000 124,488 510,000 552,075 180,000 194,850
Affinity Group Holdings sr. sub. notes
11 1/2s, 2003 170,000 180,625 420,000 446,250 50,000 53,125
American Media Operation, Inc. sr. sub.
notes 11 5/8s, 2004 290,000 314,650 735,000 797,475 275,000 298,375
Garden State Newspapers, Inc. sr. sub.
notes Ser. B, 8 3/4s, 2009 200,000 204,500 550,000 562,375 175,000 178,938
Hollinger International Publishing, Inc.
company guaranty 9 1/4s, 2007 175,000 185,500 1,000,000 1,060,000 325,000 344,500
Hollinger International Publishing, Inc.
sr. sub. notes 9 1/4s, 2006 250,000 263,750 -- -- -- --
Hollinger International Publishing, Inc.
company guaranty 8 5/8s, 2005 40,000 42,000 110,000 115,500 40,000 42,000
News America Holdings, Inc. deb.
7 3/4s, 2045 220,000 229,095 445,000 463,396 705,000 734,145
News America Holdings, Inc. deb.
7.7s, 2025 265,000 277,429 605,000 633,375 875,000 916,038
Perry-Judd 144A sr. sub. notes
10 5/8s, 2007 225,000 240,750 390,000 417,300 130,000 139,100
Von Hoffman Press Inc. 144A sr. sub.
notes 10 3/8s, 2007 35,000 37,625 90,000 96,750 30,000 32,250
------------ ------------ ------------
2,100,412 5,144,496 2,933,321
Real Estate 0.1% 0.1% 0.4%
- ------------------------------------------------------------------------------------------------------------------------------
Bluegreen Corp. 144A sr. notes
10 1/2s, 2008 50,000 49,750 120,000 119,400 40,000 39,800
First Industrial Realty Trust, Inc. notes
6 1/2s, 2001 -- -- -- -- 860,000 859,570
HMH Properties, Inc. company guaranty
Ser. B, 8 7/8s, 2007 390,000 410,475 775,000 815,688 400,000 421,000
National Health Investors, Inc. bonds
7.3s, 2007 (R) 330,000 343,108 865,000 899,358 1,155,000 1,200,877
Prime Hospitality Corp. sub. notes
9 3/4s, 2007 95,000 102,600 455,000 491,400 165,000 178,200
------------ ------------ ------------
905,933 2,325,846 2,699,447
Recreation 0.1% 0.2% 0.2%
- ------------------------------------------------------------------------------------------------------------------------------
Argosy Gaming Co. 1st mtge.
13 1/4s, 2004 180,000 199,350 400,000 443,000 150,000 166,125
Casino America, Inc. sr. notes
12 1/2s, 2003 55,000 61,050 160,000 177,600 50,000 55,500
Coast Hotels & Casinos, Inc. company
guaranty Ser. B, 13s, 2002 160,000 186,000 405,000 470,813 135,000 156,938
Colorado Gaming & Entertainment Co.
sr. notes 12s, 2003 50,000 54,250 275,000 298,375 50,000 54,250
Empress River Casino sr. notes
10 3/4s, 2002 100,000 109,000 -- -- 125,000 136,250
Grand Casinos, Inc. 1st mtge.
10 1/8s, 2003 75,000 81,000 200,000 216,000 -- --
Hollywood Casino Corp. sr. notes
12 3/4s, 2003 150,000 165,750 250,000 276,250 -- --
Lady Luck Gaming Corp. 1st mtge.
11 7/8s, 2001 120,000 123,300 310,000 318,525 105,000 107,888
Mohegan Tribal Gaming 144A sr. secd.
notes 13 1/2s, 2002 90,000 115,425 235,000 301,388 80,000 102,600
Players International Inc. sr. notes
10 7/8s, 2005 250,000 272,500 280,000 305,200 50,000 54,500
Showboat Marina Casino 1st mtge.
Ser. B, 13 1/2s, 2003 100,000 118,000 -- -- 75,000 88,500
------------ ------------ ------------
1,485,625 2,807,151 922,551
Retail 0.1% 0.2% 0.4%
- ------------------------------------------------------------------------------------------------------------------------------
Brylane (L.P.) sr. sub. notes 10s, 2003 70,000 74,200 170,000 180,200 60,000 63,600
Color Spot Nurseries sr. sub. notes
10 1/2s, 2007 40,000 39,400 110,000 108,350 40,000 39,400
Federated Department Stores sr. notes
8 1/2s, 2003 360,000 392,897 930,000 1,014,983 1,270,000 1,386,053
Jitney-Jungle Stores company guaranty
12s, 2006 150,000 171,000 250,000 285,000 100,000 114,000
Johns Manville International Group
sr. notes 10 7/8s, 2004 25,000 27,688 75,000 83,063 25,000 27,688
K mart Corp. med. term notes 8s, 2001 10,000 10,152 10,000 10,152 -- --
K mart Corp. deb. 7.95s, 2023 -- -- 275,000 278,438 250,000 253,125
K mart Corp. deb. 7 3/4s, 2012 10,000 10,050 5,000 5,025 10,000 10,050
Rite Aid Corp. notes 6.7s, 2001 95,000 96,455 220,000 223,370 340,000 345,209
Southland Corp. 1st priority sr. sub. deb.
5s, 2003 135,000 116,775 350,000 302,750 115,000 99,475
Specialty Retailers, Inc. company guaranty
Ser. B, 8 1/2s, 2005 10,000 10,381 15,000 15,572 10,000 10,381
William Carter Co. 144A sr. sub. notes
12s, 2008 50,000 54,250 140,000 151,900 50,000 54,250
William Carter Co. sr. sub. notes Ser. A,
10 3/8s, 2006 -- -- -- -- 150,000 160,500
Zale Corp. sr.notes Ser. B, 8 1/2s, 2007 60,000 61,500 150,000 153,750 50,000 51,250
------------ ------------ ------------
1,064,748 2,812,553 2,614,981
Satellite Services 0.1% 0.1% 0.2%
- ------------------------------------------------------------------------------------------------------------------------------
Esat Holdings Ltd. 144A sr. notes
stepped-coupon zero %
(12 1/2s, 2/01/02), 2007 (Ireland) ++ 75,000 56,250 205,000 153,750 65,000 48,750
Globalstar L.P. Capital 11 3/8s, 2004 100,000 104,750 300,000 314,250 90,000 94,275
ICG Services Inc. 144A sr. disc. notes
stepped-coupon zero %
(10s, 2/15/03), 2008 ++ 1,000,000 650,000 1,190,000 773,500 800,000 520,000
Satelites Mexicanos S.A. de C.V. 144A
sr. notes 10 1/8s, 2004 (Mexico) 300,000 309,000 800,000 824,000 260,000 267,800
------------ ------------ ------------
1,120,000 2,065,500 930,825
Specialty Consumer Products --% --% --%
- ------------------------------------------------------------------------------------------------------------------------------
Coty Inc. Gtd. sr. sub. notes 10 1/4s,
2005 90,000 96,300 240,000 256,800 85,000 90,950
GFSI, Inc. sr. sub. notes Ser. B, 9 5/8s,
2007 25,000 26,250 75,000 78,750 -- --
Herff Jones, Inc. sr. sub. notes 11s, 2005 110,000 121,550 285,000 314,925 100,000 110,500
------------ ------------ ------------
244,100 650,475 201,450
Telecommunications 0.9% 1.8% 2.1%
- ------------------------------------------------------------------------------------------------------------------------------
Adelphia Communications Corp. sr. notes
Ser. B, 9 7/8s, 2007 280,000 304,500 705,000 766,688 235,000 255,563
America Communication Services, Inc.
sr. notes 13 3/4s, 2007 40,000 47,400 115,000 136,275 35,000 41,475
American Communications Services, Inc.
sr. disc. notes stepped-coupon zero %
(12 3/4s, 4/1/01), 2006 ++ 390,000 313,950 1,010,000 813,050 350,000 281,750
American Communications Services, Inc.
sr. disc. notes stepped-coupon zero %
(13s, 11/1/00), 2005 ++ -- -- 100,000 85,250 -- --
Antenna TV S.A. 144A 9s, 2007 (Greece) 35,000 35,350 90,000 90,900 30,000 30,300
Barak ITC 144A sr. disc. notes
stepped-coupon zero %
(12 1/2s, 11/15/02), 2007 (Israel) ++ 80,000 46,800 190,000 111,150 60,000 35,100
BTI Telecom Corp. sr. notes 10 1/2s, 2007 160,000 167,600 390,000 408,525 60,000 62,850
Call-Net Enterprises sr. disc. notes
stepped-coupon zero %
(13 1/4s, 12/1/99), 2004 ++ 100,000 93,875 365,000 342,644 100,000 93,875
Celcaribe S.A. sr. notes 13 1/2s, 2004
(Columbia) 200,000 210,000 250,000 262,500 150,000 157,500
CellNet Data Systems, Inc. sr. disc. notes
stepped-coupon zero %
(14s, 10/1/02), 2007 ++ 400,000 229,000 1,000,000 572,500 350,000 200,375
Cia de Telecomunicaciones de Chile S.A.
notes 7 5/8s, 2006 (Chile) 405,000 410,152 895,000 906,384 1,340,000 1,357,045
Colt Telecom Group PLC sr. disc. notes
stepped-coupon zero % (12s, 12/15/01),
2006 (United Kingdom) ++ 300,000 240,000 725,000 580,000 250,000 200,000
Comcast Cellular Holdings sr. notes
Ser. B, 9 1/2s, 2007 140,000 147,000 365,000 383,250 125,000 131,250
Consorcio Ecuatoiano notes 14s,
2002 (Ecuador) 35,000 36,750 95,000 99,750 30,000 31,500
Econophone Inc. 144A sr. disc. notes
stepped-coupon zero %
(11s, 2/15/03), 2008 ++ 270,000 159,300 700,000 413,000 230,000 135,700
Espirit Teleom Group PLC sr. notes
11 1/2s, 2007 (United Kingdom) 40,000 43,800 100,000 109,500 30,000 32,850
Facilicom International 144A sr. notes
10 1/2s, 2008 60,000 62,700 160,000 167,200 50,000 52,250
Focal Communications Corp. 144A
sr. disc. notes stepped-coupon zero %
(12 1/8s, 2/15/03), 2008 ++ 80,000 46,800 200,000 117,000 70,000 40,950
Fox Kids Worldwide Inc. 144A sr. discount
notes stepped-coupon zero %
(10 1/4s, 11/1/02), 2007 ++ 150,000 95,625 375,000 239,063 110,000 70,125
Fox Kids Worldwide Inc. 144A sr. notes
9 1/4s, 2007 350,000 351,750 800,000 804,000 280,000 281,400
FrontierVision Holdings LP sr. disc. notes
stepped-coupon zero %
(11 7/8s, 9/15/01), 2007 ++ 170,000 131,750 400,000 310,000 100,000 77,500
Frontiervision Operating Partners L.P.
sr. sub. notes 11s, 2006 180,000 200,700 435,000 485,025 175,000 195,125
GST Telecommunications, Inc. company
guaranty stepped-coupon zero %
(13 7/8s, 12/15/00), 2005 ++ 298,000 247,340 652,000 541,160 186,000 154,380
Hyperion Telecommunication Corp.
sr. disc. notes stepped-coupon Ser. B,
zero % (13s, 4/15/01), 2003 ++ 85,000 65,238 210,000 161,175 70,000 53,725
Hyperion Telecommunications , Inc.
sr. notes Ser. B, 12 1/4s, 2004 100,000 112,500 290,000 326,250 90,000 101,250
ICG Holdings, Inc. sr. disc. notes
stepped-coupon zero %
(13 1/2s, 9/15/00), 2005 ++ 130,000 110,825 260,000 221,650 100,000 85,250
IDT Corp. 144A sr. notes 8 3/4s, 2006 80,000 79,600 200,000 199,000 65,000 64,675
ITC Deltacom, Inc. sr. notes 11s, 2007 58,000 65,830 156,000 177,060 52,000 59,020
Intelcom Group (USA), Inc. company
guaranty stepped-coupon zero %
(12 1/2s, 5/1/01), 2006 ++ 140,000 112,000 355,000 284,000 125,000 100,000
Intercel, Inc. sr. disc. notes
stepped-coupon zero % (12s, 2/1/01),
2006 ++ -- -- 470,000 366,600 -- --
Intercel, Inc. sr. disc. notes
stepped-coupon zero % (12s, 5/1/01),
2006 ++ 10,000 7,650 5,000 3,825 5,000 3,825
Intermedia Communications, Inc. sr. notes
Ser. B, 8 1/2s, 2008 440,000 460,900 1,000,000 1,047,500 250,000 261,875
International Cabletel, Inc. sr. notes
stepped-coupon Ser. B, zero %
(11 1/2s, 2/01/01), 2006 ++ 320,000 260,800 850,000 692,750 350,000 285,250
International Wireless Communications,
Inc. sr. disc. notes zero %, 2001 40,000 12,800 115,000 36,800 40,000 12,800
Ionica Group PLC sr. disc. notes
stepped-coupon zero %
(15s, 5/1/02), 2007
(United Kingdom) ++ 300,000 127,500 480,000 204,000 200,000 85,000
Iridium LLC/Capital Corp. 144A
sr. notes 11 1/4s, 2005 20,000 21,200 50,000 53,000 20,000 21,200
Iridium LLC/Capital Corp. company
guaranty Ser. B, 14s, 2005 135,000 156,600 345,000 400,200 110,000 127,600
Knology Holdings Inc. sr. disc. notes
stepped-coupon zero %
(11 7/8s, 10/15/02), 2007 ++ 285,000 171,000 720,000 432,000 210,000 126,000
L-3 Communications Corp. sr. sub. notes
Ser. B, 10 3/8s, 2007 50,000 55,375 135,000 149,513 50,000 55,375
MGC communications, Inc. sr. notes
Ser. B, 13s, 2004 20,000 20,050 55,000 55,138 15,000 15,038
McCaw International Ltd sr. discount
notes stepped coupon zero %
(13s, 4/15/02), 2007 ++ 10,000 6,650 20,000 13,300 10,000 6,650
McLeod USA, Inc. 144A sr. notes
8 3/8s, 2008 110,000 113,850 280,000 289,800 90,000 93,150
MetroNet Communications Corp.
sr. disc. notes stepped-coupon zero %
(10 3/4s, 11/1/02), 2007 (Canada) ++ 35,000 23,275 85,000 56,525 25,000 16,625
Metrocall, Inc. sr. sub. ntoes 9 3/4s,
2007 70,000 71,400 250,000 255,000 40,000 40,800
Microcell Telecommunications sr. disc.
notes stepped-coupon Ser. B, zero %
(14s, 12/1/01), 2006 (Canada) ++ 60,000 44,550 160,000 118,800 50,000 37,125
Mobile Telecommunications Tech.
sr. notes 13 1/2s, 2002 -- -- 145,000 170,738 50,000 58,875
NEXTEL Communicaitons, Inc. 144A
sr. disc. notes stepped-coupon zero %
(12 1/8s, 4/15/03), 2008 ++ 820,000 493,025 2,090,000 1,256,613 690,000 414,863
NEXTEL Communications, Inc. sr. disc.
notes stepped-coupon zero %
(11 1/2s, 9/1/98), 2003 ++ 160,000 162,400 385,000 390,775 5,000 5,075
NEXTEL Communications sr. disc. notes
stepped-coupon zero %
(10.65s, 9/15/02), 2007 ++ 900,000 603,000 2,095,000 1,403,650 945,000 633,150
NEXTEL Communications, Inc. 144A
sr. disc. notes stepped-coupon zero %
(9.95s, 2/15/03), 2008 ++ 390,000 249,113 1,000,000 638,750 340,000 217,175
NEXTEL Communications, Inc. sr. disc.
notes stepped-coupon zero %
(9 3/4s, 2/15/99), 2004 ++ 600,000 577,500 1,555,000 1,496,688 510,000 490,875
NEXTLINK Communications, Inc. 144A
sr. disc. notes stepped-coupon zero %
(9.45s, 4/15/03), 2008 ++ -- -- -- -- 250,000 158,125
NTL Inc. 144A sr.notes stepped-coupon
zero % (9 3/4s, 4/01/03), 2008 ++ 150,000 97,500 500,000 325,000 200,000 130,000
NTL Inc. sr. notes Ser. B, 10s, 2007
(United Kingdom) 220,000 238,700 515,000 558,775 100,000 108,500
Omnipoint Corp. sr. notes 11 5/8s, 2006 35,000 38,500 15,000 16,500 75,000 82,500
Omnipoint Corp. sr. notes Ser. A,
11 5/8s, 2006 70,000 77,000 160,000 176,000 -- --
Orbcomm Global Capital Corp. sr. notes
Ser. B, 14s, 2004 60,000 70,050 225,000 262,688 55,000 64,213
Pagemart Nationwide, Inc. sr. disc. notes
stepped-coupon zero %
(15s, 2/1/00), 2005 ++ 50,000 44,500 130,000 115,700 40,000 35,600
Paging Network Do Brasil sr. notes
13 1/2s, 2005 (Brazil) 5,000 5,063 10,000 10,125 10,000 10,125
Powertel, Inc. sr. notes 11 1/8s, 2007 120,000 130,800 300,000 327,000 90,000 98,100
Pricellular Wireless Corp. sr. disc. notes
stepped-coupon zero %
(12 1/4s, 10/1/98), 2003 ++ -- -- 150,000 160,500 100,000 107,000
Pricellular Wireless Corp. sr. notes
10 3/4s, 2004 115,000 129,375 290,000 326,250 25,000 28,125
Qwest Communications International Inc.
sr. disc. notes stepped-coupon zero %
(9.47s, 10/15/02), 2007 ++ 95,000 69,825 225,000 165,375 60,000 44,100
RCN Corp. sr. disc. notes stepped-coupon
zero % (11 1/8s, 10/15/02), 2007 ++ 160,000 106,800 390,000 260,325 115,000 76,763
RSL Communications, Ltd. 144A sr. disc.
notes stepped-coupon zero %
(10 1/8s, 3/1/03), 2008 ++ 120,000 75,450 295,000 185,481 100,000 62,875
RSL Communications, Ltd. company
guaranty 12 1/4s, 2006 200,000 228,000 350,000 399,000 175,000 199,500
RSL Communications, Ltd. 144A
sr. notes 9 1/8s, 2008 80,000 80,800 200,000 202,000 70,000 70,700
Rogers Cantel Mobile Communications,
Inc. deb. 9 3/4s, 2016 (Canada) -- -- -- -- 300,000 326,250
Sprint Spectrum L.P. sr. notes 11s, 2006 300,000 346,500 800,000 924,000 125,000 144,375
Sygnet Wireless, Inc. sr. notes
11 1/2s, 2006 175,000 196,000 425,000 476,000 35,000 39,200
Telesystem International Wireless Inc.
sr. disc. notes stepped-coupon Ser. C,
zero % (10 1/2s, 11/1/02), 2007 ++ 35,000 22,225 80,000 50,800 25,000 15,875
Teligent, Inc. 144A sr. disc. notes
stepped-coupon zero %
(11 1/2s, 3/1/03), 2008 ++ 630,000 363,825 1,670,000 964,425 590,000 340,725
Teligent, Inc. sr. notes 11 1/2s, 2007 140,000 147,000 340,000 357,000 95,000 99,750
Transtel S.A. 144A pass through
Certificates 12 1/2s, 2007 (Colombia) 30,000 28,725 70,000 67,025 20,000 19,150
United International Holdings 144A
sr. disc. notes stepped-coupon zero %
(10 3/4s, 2/15/03), 2008 ++ 260,000 162,500 700,000 437,500 220,000 137,500
Western Wireless Corp. sr. sub. notes
10 1/2s, 2007 210,000 229,950 530,000 580,350 180,000 197,100
WinStar Communications, Inc. 144A
sr. sub notes 15s, 2007 85,000 113,475 415,000 554,025 65,000 86,775
WinStar Communications. Inc. 144A
sr. disc. notes stepped-coupon zero %
(14s, 10/15/00), 2005 ++ 400,000 333,000 1,125,000 936,563 -- --
WinStar Communications. Inc. 144A
sr. sub. notes 10s, 2008 330,000 334,950 560,000 568,400 680,000 690,200
Winstar Equipment Corp. company
guaranty 12 1/2s, 2004 65,000 74,425 175,000 200,375 60,000 68,700
Wireless One, Inc. sr. notes 13s, 2003 80,000 22,400 190,000 53,200 65,000 18,200
WorldCom, Inc. bonds 7 3/4s, 2027 475,000 526,414 1,000,000 1,108,240 400,000 443,296
WorldCom, Inc. notes 7 3/4s, 2007 420,000 452,781 1,045,000 1,126,562 1,195,000 1,288,270
------------ ------------ ------------
12,553,306 31,541,098 12,582,701
Textiles --% 0.1% 0.1%
- ------------------------------------------------------------------------------------------------------------------------------
Day International Group, Inc. 144A
sr. sub. notes 9 1/2s, 2008 170,000 172,550 430,000 436,450 140,000 142,100
Glenoit Corp. 144A sr. sub. notes
11s, 2007 30,000 32,475 85,000 92,013 30,000 32,475
Polymer Group, Inc. company guaranty
Ser. B, 9s, 2007 55,000 56,788 150,000 154,875 50,000 51,625
Polymer Group, Inc. 144A sr. sub.notes
8 3/4s, 2008 110,000 111,925 280,000 284,900 90,000 91,575
Polysindo International Finance company
guaranty 11 3/8s, 2006 (Indonesia) 60,000 40,800 185,000 125,800 65,000 44,200
Tultex Corp. sr. notes 10 5/8s, 2005 175,000 183,094 450,000 470,813 150,000 156,938
Worldtex, Inc. 144A sr. notes 9 5/8s, 2007 50,000 50,750 110,000 111,650 -- --
------------ ------------ ------------
648,382 1,676,501 518,913
Transportation 0.2% 0.4% 1.2%
- ------------------------------------------------------------------------------------------------------------------------------
Blue Bird Body Co. sr. sub. notes Ser. B,
10 3/4s, 2006 -- -- -- -- 30,000 33,225
Consorcio/MCII Holdings sec. notes
stepped-coupon zero %
(12s, 11/15/98), 2002 ++ 65,000 60,125 170,000 157,250 55,000 50,875
Continental Airlines pass thru cert.
Ser. 97CI, 7.42s, 2007 100,000 103,498 175,000 181,122 245,000 253,570
Continental Airlines, Inc. pass-through
certificates Ser. 981C, 6.541s, 2009 475,000 465,738 1,045,000 1,024,623 1,540,000 1,509,970
Continental Airlines, Inc. sr. notes
9 1/2s, 2001 185,000 197,950 1,000,000 1,070,000 300,000 321,000
CSX Corp. deb. 7.95s, 2027 540,000 604,006 480,000 536,894 1,740,000 1,946,242
Eletson Holdings, Inc. 1st pfd. mtge.
notes9 1/4s, 2003 (Greece) -- -- -- -- 50,000 51,663
Hermes Europe Railtel 144A sr. notes
11 1/2s, 2007 (Netherlands) 40,000 45,300 100,000 113,250 30,000 33,975
International Shipholding Corp. sr. notes
7 3/4s, 2007 40,000 39,300 90,000 88,425 30,000 29,475
Johnstown America Industries, Inc.
company guaranty Ser. C,
11 3/4s, 2005 50,000 55,875 125,000 139,688 125,000 139,688
Kitty Hawk, Inc. company guaranty
9.95s, 2004 90,000 94,500 220,000 231,000 70,000 73,500
MC Shipping, Inc. 144A sr. notes
11 1/4s, 2008 65,000 65,325 170,000 170,850 60,000 60,300
Newport News Shipbuilding sr. notes
8 5/8s, 2006 40,000 42,100 100,000 105,250 -- --
Norfolk Southern Corp. bonds
7.8s, 2027 125,000 139,851 300,000 335,643 300,000 335,643
Norfolk Southern Corp. bonds
7.05s, 2037 390,000 410,748 960,000 1,011,072 1,090,000 1,147,988
Norfolk Southern Corp. notes
6.95s, 2002 125,000 128,059 400,000 409,788 450,000 461,012
TFM S.A. de C.V. company guaranty
10 1/4s, 2007 25,000 26,000 70,000 72,800 20,000 20,800
TFM S.A. de C.V. company guaranty
stepped-coupon zero %
(11 3/4s, 6/15/02), 2009 ++ 135,000 90,956 355,000 239,181 115,000 77,481
Trans World Airlines, Inc. 144A notes
11 3/8s, 2006 100,000 100,750 245,000 246,838 80,000 80,600
Trans World Airlines, Inc. sr. notes
11 1/2s, 2004 145,000 153,338 360,000 380,700 105,000 111,038
US Air Inc. pass thru certificates
Ser. 93-A2, 9 5/8s, 2003 -- -- 1,200,000 1,299,000 400,000 433,000
------------ ------------ ------------
2,823,419 7,813,374 7,171,045
Utilities 0.2% 0.5% 1.0%
- ------------------------------------------------------------------------------------------------------------------------------
AES China Generating Co. sr. notes
10 1/8s, 2006 (China) 10,000 9,825 10,000 9,825 5,000 4,913
Arizona Public Service Co. sr. notes
6 3/4s, 2006 220,000 224,034 585,000 595,787 785,000 799,475
California Energy Corp. sr. notes
9 7/8s, 2003 -- -- 250,000 267,310 -- --
Calpine Corp. sr. notes 10 1/2s, 2006 400,000 436,000 1,000,000 1,090,000 300,000 327,000
Cleveland Electric Illuminating Co.
1st mtge. Ser. B, 9 1/2s, 2005 60,000 65,681 140,000 153,257 50,000 54,735
CMS Energy Corp. pass through
certificates 7s, 2005 -- -- 225,000 215,944 70,000 67,183
Connecticut Light & Power Co.
1st mtge. Ser. A, 7 7/8s, 2001 170,000 173,329 445,000 453,713 605,000 616,846
El Paso Electric Co. 1st mtge. Ser. D,
8.9s, 2006 10,000 11,088 20,000 22,176 5,000 5,544
Enersis S.A. notes 7.4s, 2016 (Chile) 10,000 9,712 15,000 14,568 20,000 19,424
Espirito Santo Centrais 144A sr. notes
10s, 2007 (Brazil) 50,000 48,875 150,000 146,625 45,000 43,988
First PV Funding deb. 10.15s, 2016 3,000 3,163 6,000 6,326 2,000 2,109
Illinova Corp. sr. notes 7 1/8s, 2004 240,000 245,813 605,000 619,653 740,000 757,923
Jersey Central Power & Light Co.
1st mtge. med. term note 6.85s, 2006 95,000 97,553 220,000 225,911 335,000 344,001
Long Island Lighting Co. deb. 9s, 2022 800,000 911,904 2,000,000 2,279,760 700,000 797,916
Long Island Lighting Co. deb. 8.9s, 2019 50,000 53,325 290,000 309,282 50,000 53,325
Midland Funding Corp. deb. Ser. A,
11 3/4s, 2005 500,000 599,680 1,000,000 1,199,360 525,000 629,664
Midland Funding Corp. deb. Ser. B,
13 1/4s, 2006 53,000 68,067 395,000 507,291 80,000 102,742
Niagara Mohawk Power Corp. 1st mtge.
6 7/8s, 2003 150,000 151,587 400,000 404,232 150,000 151,587
Niagara Mohawk Power Corp. mtge.
9 1/2s, 2000 50,000 52,706 150,000 158,118 50,000 52,706
Northeast Utilities System notes Ser. A,
8.58s, 2006 19,036 19,035 47,590 47,588 13,373 13,373
Northeast Utilities System notes Ser. B,
8.38s, 2005 134,933 137,394 341,333 347,559 106,666 108,612
US West Capital Funding, Inc. company
guaranty 6.95s, 2037 175,000 182,441 760,000 792,315 930,000 969,544
------------ ------------ ------------
3,501,212 9,866,600 5,922,610
------------ ------------ ------------
Total Corporate Bonds and Notes
(cost $75,416,234, $187,976,428
and $109,230,015) $ 77,349,984 $192,682,266 $109,814,558
- ------------------------------------------------------------------------------------------------------------------------------
[CAPTION]
GROWTH BALANCED CONSERVATIVE
2.6% 4.1% 19.3%
U.S. GOVERNMENT AND Principal Principal Principal
AGENCY OBLIGATIONS Amount Value Amount Value Amount Value
<S> <C> <C> <C> <C> <C> <C>
U.S. Government Agency
Mortgage Obligations 1.9% 3.6% 15.0%
- ------------------------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp.
8 1/2s, with due dates from
July 1, 2026 to September 1, 2026 $ 90,924 $ 94,931 $ 237,642 $ 248,113 $ 99,253 $ 103,626
Federal National Mortgage Association
Adjustable Rate Mortgages 7.346s,
July 1, 2025 78,388 79,614 188,958 191,911 223,408 226,899
Federal National Mortgage Association
Pass-through Certificates
9 1/2s, Dwarf, May 1, 2007 103,250 107,667 389,625 406,290 467,550 487,548
7 1/2s, with due dates from
January 1, 2027 to June 1, 2027 115,989 118,925 858,850 880,589 1,060,816 1,087,666
7.4s, May 1, 2026 206,968 219,224 566,698 600,257 689,893 730,748
6 1/2s, with due dates from
February 1, 2026 to
September 1, 2027 729,703 721,494 2,118,122 2,094,295 6,438,710 6,366,280
5 1/2s, Dwarf, with due dates from
February 1, 2011 to June 1, 2011 2,157,912 2,093,180 2,876,018 2,789,739 5,385,655 5,224,088
Government National
Mortgage Association
7 1/2s, TBA, April 15, 2028 640,000 656,198 1,385,000 1,420,054 -- --
7s, TBA Midget, December 15, 2012 -- -- -- -- 20,000 20,445
6 1/2s, TBA, April 15, 2028 2,395,000 2,370,284 4,415,000 4,369,437 5,290,000 5,235,407
5 1/2s, TBA, April 15, 2028 1,230,000 1,236,531 4,375,000 4,398,231 9,555,000 9,605,737
5 1/2s, TBA, December 16, 2027 5,000 5,027 -- -- -- --
Government National Mortgage
Association Adjustable Rate Mortgages
7 3/8s, with due dates from
April 20, 2023 to June 20, 2026 408,693 419,488 965,320 990,738 -- --
7 1/8s, September 20, 2023 33,074 33,834 83,817 85,742 -- --
6 7/8s, with due dates from
November 20, 2021 to
October 20, 2025 498,346 508,172 1,262,592 1,287,486 -- --
6 1/2s, August 20, 2025 247,629 253,355 620,875 635,234 723,840 740,579
6s, with due dates from May 20, 2024
to July 20, 2024 439,770 450,615 1,004,124 1,028,936 391,540 402,064
5 1/2s, November 1, 2023 182,782 187,266 463,418 474,786 -- --
Government National Mortgage
Association Pass-Through Certificates
10s, June 15, 2013 283,024 312,103 746,283 822,957 1,068,030 1,177,760
8s, with due dates from
November 15, 2022 to
February 15, 2028 3,241,189 3,355,641 8,887,353 9,203,234 11,433,911 11,858,214
7 1/2s, with due dates from
April 15, 2022 to February 15, 2028 6,250,972 6,413,510 12,911,081 13,254,411 19,489,443 20,003,615
7s, Midget, with due dates from
December 15, 2007 to
December 15, 2012 1,587,322 1,622,933 3,143,759 3,213,493 5,016,789 5,128,633
7s, with due dates from
December 15, 2023 to
February 15, 2028 6,458,660 6,525,880 15,057,750 15,341,237 21,963,714 22,192,161
------------ ------------ ------------
27,785,872 63,737,170 90,591,470
U.S. Treasury Obligations 0.7% 0.5% 4.3%
- ------------------------------------------------------------------------------------------------------------------------------
U.S. Treasury Bonds
6 3/8s, August 15, 2027 # $ -- $ -- $ -- $ -- $5,810,000 $ 6,136,813
6 1/8s, November 15, 2027 # 2,630,000 2,696,986 4,075,000 4,178,790 4,220,000 4,327,483
U.S. Treasury Notes
7 7/8s, November 15, 2004 # 65,000 72,617 775,000 865,822 -- --
6 1/8s, August 15, 2007 # -- -- 645,000 663,344 -- --
5 3/4s, November 30, 2002 # -- -- 375,000 376,114 -- --
5 3/4s, November 15, 2000 -- -- -- -- 380,000 381,068
5 5/8s, December 31, 2002 # -- -- 1,805,000 1,801,895 -- --
5 5/8s, December 31, 1999 # 5,835,000 5,837,742 1,925,000 1,925,905 2,825,000 2,826,328
5 5/8s, October 31, 1999 # -- -- -- -- 12,520,000 12,522,003
5 1/2s, February 28, 2003 900,000 894,655 -- -- -- --
------------ ------------ ------------
9,502,000 9,811,870 26,193,695
Total U.S. Government and
Agency Obligations (cost $37,120,055,
$72,990,527 and $116,171,042) $ 37,287,872 $ 73,549,040 $116,785,165
- ------------------------------------------------------------------------------------------------------------------------------
[CAPTION]
GROWTH BALANCED CONSERVATIVE
2.0% 4.8% 9.8%
FOREIGN GOVERNMENT Principal Principal Principal
BONDS AND NOTES* Amount Value Amount Value Amount Value
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
AUD Australia (Government of)
bonds Ser. 705, 7 1/2s, 2005 2,435,000 $ 1,789,827 7,130,000 $ 5,240,849 4,170,000 $ 3,065,125
FRF France (Government of)
bonds 5 1/2s, 2007 4,966,000 836,894 35,292,000 5,947,577 12,714,000 2,142,624
FRF France Treasury bill notes
4s, 2002 6,830,000 1,101,915 21,290,000 3,434,814 12,615,000 2,035,236
DEM Germany (Federal Republic of)
bonds Ser. 92, 7 1/4s, 2002 11,855,000 7,129,042 32,505,000 19,556,588 19,390,000 11,696,089
DEM Germany (Federal Republic of)
bonds Ser. 92, 8s, 2002 -- -- -- -- 12,095,000 7,433,760
DEM Germany (Federal Republic of)
bonds Ser. 97, 6s, 2007 5,015,000 2,923,494 15,445,000 9,003,662 9,125,000 5,319,418
DEM Germany (Federal Republic of)
bonds Ser. 98, 5 1/4s, 2008 3,160,000 1,754,890 9,560,000 5,309,099 -- --
ITL Italy (Government of) bonds
5 3/4s, 2002 3,650,000,000 2,084,509 11,250,000,000 6,424,856 6,645,000,000 3,794,948
USD Quebec (Province of) deb.
Ser. NN, 7 1/8s, 2024 185,000 191,723 -- -- 490,000 507,807
USD Russia (Government of)
deb. principal loans FRB
6.719s, 2020 +++ 630,000 400,838 1,965,000 1,250,231 1,145,000 728,506
ZAR South Africa (Republic of) bonds
Ser. 153, 13s, 2010 3,346,000 656,836 11,350,000 2,228,059 6,914,000 1,357,251
USD South Africa (Republic of) notes
9 5/8s, 1999 -- -- -- -- -- --
ESP Spain (Government of) bonds
5 1/4s, 2003 144,250,000 943,360 444,140,000 2,904,569 262,500,000 1,716,687
GBP United Kingdom Treasury bonds
8s, 2007 1,315,000 2,414,904 6,690,000 12,285,710 1,915,000 3,516,762
GBP United Kingdom Treasury bonds
7s, 2002 3,730,000 6,413,582 7,605,000 13,076,486 9,335,000 16,051,150
------------ ------------ ------------
Total Foreign Government Bonds
and Notes (cost $28,490,671,
$87,110,973 and $58,060,028) $ 28,641,814 $ 86,662,500 $ 59,365,363
- ------------------------------------------------------------------------------------------------------------------------------
[CAPTION]
GROWTH BALANCED CONSERVATIVE
0.5% 0.9% 0.7%
Number of Number of Number of
PREFERRED STOCKS* Shares Value Shares Value Shares Value
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
AmeriKing, Inc. $3.25 pfd. ++++ 2,270 $ 61,290 4,688 $ 126,576 -- $ --
American Communications Services
$12.75 pfd. ++++ -- -- 50 58,125 -- --
Anvil Holdings Ser. B, $3.25 pfd. ++++ 26 650 65 1,625 19 475
Banco Itau S.A. BRC 6.86
No par value (NPV) pfd. (Brazil) 1,200 770,449 1,400 898,857 200 128,408
California Federal Bancorp Inc.
Ser. A, $2.281 pfd. 8,100 220,725 13,300 362,425 10,000 272,500
Capstar Broadcasting Inc. 144A
$12.00 pfd. ++++ 532 62,510 1,437 168,848 479 56,283
Chancellor Media Corp.
$12.00 pfd. ++++ 3,337 407,114 8,182 998,204 2,749 335,378
Citadel Broadcasting Inc. 144A
$13.25 cum. pfd. ++++ 1,704 208,740 3,850 471,625 1,331 163,048
CSC Holdings Inc. Ser. M,
$11.125 cum. ++++ 1,450 166,025 3,504 401,208 670 76,715
Dobson Communications 144A
$12.25 pfd. ++++ 90 98,550 225 246,375 -- --
Echostar Communications Corp.
144A $12.125 pfd. ++++ 1 1,115 -- -- -- --
Echostar Communications, Inc.
$12.125 pfd. ++++ 40 44,600 108 120,420 30 33,450
El Paso Electric Co. $11.40 pfd ++++ 1,242 138,017 3,030 336,709 969 107,680
Fresenius Medical Care AG Ser. D,
$9.00 pfd. (Germany) 500,000 522,500 760,000 794,200 500,000 522,500
Hyperion Telecommunications
Ser. B, $12.875 pfd. ++++ 51 58,395 102 116,790 -- --
ICG Holdings, Inc., 144A 14.00% pfd. ++++ 810 996,300 2,100 2,583,000 70 86,100
Intermedia Communication Ser. B,
13.50% pfd. 222 271,950 667 817,075 222 271,950
IXC Communications, Inc. 12.50% pfd. ++++ 92 112,240 237 289,368 74 90,280
NEXTEL Communications, Inc. 144A
Ser. E, $11.125 pfd. ++++ 680 722,500 1,690 1,795,625 570 605,625
NEXTEL Communications, Inc. Ser. D,
$13.00 cum. pfd. ++++ 50 58,000 160 185,600 52 60,320
NTL Inc. 144A Ser. B, 13.00% pfd. ++++ 69 82,973 164 197,210 54 64,935
Nebco Evans Holding $11.25 pfd. ++++ 1,000 104,000 2,500 260,000 800 83,200
Nextlink Communications, Inc. 144A
$7.00 cum. pfd. 10,078 634,914 26,143 1,647,009 2,622 165,186
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. 2,320 60,320 12,628 328,328 2,320 60,320
SFX Broadcasting, Inc. Ser. E,
$12.625 pfd. ++++ 425 50,363 1,063 125,966 372 44,082
Spanish Broadcasting Systems 14.25%
cum. pfd. ++++ 210 220,500 518 543,900 160 168,000
Time Warner Inc. Ser. M, 10.25% pfd. 491 548,693 835 933,113 300 335,250
Von Hoffman Corp. 144A $13.50 pfd. 855 28,856 2,215 74,756 730 24,638
WinStar Communications. Inc. 144A
$14.25 cum. pfd. ++++ 140 170,800 340 414,800 120 146,400
------------ ------------ ------------
Total Preferred Stocks
(cost $6,180,514, $14,262,660
and $3,385,059) $ 6,838,441 $ 15,378,537 $ 3,953,223
- ------------------------------------------------------------------------------------------------------------------------------
[CAPTION]
GROWTH BALANCED CONSERVATIVE
0.3% 0.6% 2.5%
ASSET-BACKED Principal Principal Principal
SECURITIES* Amount Value Amount Value Amount Value
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Advanta Mortgage Loan Trust
Ser. 97-2, Class A2, 7.05s, 2021 $ 405,000 $ 411,581 $1,045,000 $ 1,061,981 $1,395,000 $ 1,417,669
Advanta Mortgage Loan Trust
Ser. 97-4, Class A7, 6.63s, 2029 440,000 443,231 1,075,000 1,082,895 1,275,000 1,284,363
Amresco Residential Securities
Mortgage Loan Ser. 97-3,
Class A3, 6.6s, 2018 270,000 273,291 675,000 683,227 780,000 789,506
Associates Manufactured Housing
Ser. 96-1, Class A3, 7s, 2027 -- -- -- -- 385,000 396,791
Capita Equipment Receivables Trust
Ser. 96-1, Class A4, 6.28s, 2000 80,000 80,388 250,000 251,211 260,000 261,259
Green Tree Financial Corp. Ser. 97-2,
Class A6, 7.24s, 2028 380,000 394,844 1,005,000 1,044,258 1,425,000 1,480,664
Green Tree Financial Corp. Ser. 97-3,
Class A-4, 6.93s, 2028 545,000 555,219 1,665,000 1,696,219 1,930,000 1,966,188
Green Tree Financial Corp. Ser. 98-2,
Class A5, 6.24s, 2016 650,000 648,273 1,420,000 1,416,228 2,135,000 2,129,329
Green Tree Recreational Equipment
& Cons Ser. 97-B, Class A1,
6.55s, 2028 623,633 628,311 1,391,088 1,401,522 1,891,366 1,905,552
Green Tree Recreational Equipment
& Cons. Ser. 98-A, Class A1C,
6.18s, 2019 660,000 660,000 1,430,000 1,430,000 3,350,000 3,350,000
Provident Bank Home Equity Loan
Trust Ser. 97-4, Class A3,
6.91s, 2029 135,000 136,013 325,000 327,438 400,000 403,000
------------ ------------ ------------
Total Asset-Backed Securities
(cost $4,189,868, $10,288,563
and $14,710,216) $ 4,231,151 $ 10,394,979 $ 15,384,321
- ------------------------------------------------------------------------------------------------------------------------------
[CAPTION]
GROWTH BALANCED CONSERVATIVE
0.4% 0.8% 3.1%
COLLATERALIZED Principal Principal Principal
MORTGAGE OBLIGATIONS* Amount Value Amount Value Amount Value
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Chase Mortgage Finance Corp.
Ser. 94-1, Class B2, 6.601s, 2025 $ -- $ -- $ 183,007 $ 181,482 $ 183,007 $ 181,482
Collateralized Mortgage Acceptance
Corporation
Ser. 97-ML1, Class A3, 6.57s, 2007 35,000 35,405 615,000 622,111 1,220,000 1,234,106
Ser. 97-ML1, Class A2, 6.53s, 2007 15,000 15,185 220,000 222,716 440,000 445,431
Collateralized Mortgage Obligation
Trust Ser. 64, Class Z, 9s, 2020 463,208 494,257 1,448,659 1,545,764 1,555,607 1,659,881
Deutsche Mortgage & Asset
Receiving Corp. Ser. 98-C1,
Class X, 1.254s, 2031 2,630,000 184,363 5,685,000 398,519 8,610,000 603,561
First Union-Lehman Brothers
Commercial Mortgage Ser. 97-C2,
Class A3, 6.65s, 2007 300,000 304,875 730,000 741,863 870,000 884,138
Fannie Mae
Ser. 89-71, Class J, 8 1/2s, 2019 465,000 507,722 1,190,000 1,299,331 1,575,000 1,719,703
Ser. 97-25, Class VA, 7s, 2002 147,172 148,966 388,228 392,959 553,431 560,176
Ser. 97-61, Class ZC, 7s, 2023 186,393 184,286 473,907 468,552 -- --
Ser. 93-240, Class B, 61/4s, 2013 279,123 275,373 729,639 719,835 969,588 956,559
Ser. 94-86, Class PJ, s, 2009 655,000 642,923 1,600,000 1,570,500 1,895,000 1,860,061
Freddie Mac Ser. 1601, Class PJ,
6s, 2008 825,000 811,594 2,020,000 1,987,175 2,395,000 2,356,081
GE Capital Mortgage Services Inc.
Ser. 94-8 Class A2, 6s, 2024 54,441 54,365 202,643 202,358 226,839 226,520
Merrill Lynch Mortgage Investors, Inc.
Ser. 97-C2, Class A2, 6.54s, 2029 655,000 663,597 1,505,000 1,524,753 2,340,000 2,370,713
Ser. 98-C2, Class A1, 6.22s, 2030 755,000 757,123 1,640,000 1,644,613 2,460,000 2,466,919
Morgan Stanley Capital I Ser. 96-WF1,
Class A2, 7.218s, 2006 260,000 268,572 915,000 945,166 1,370,000 1,415,167
------------ ------------ ------------
Total Mortgage Obligations
(cost $5,317,204, $14,350,975
and $18,823,964) $ 5,348,606 $ 14,467,697 $ 18,940,498
- ------------------------------------------------------------------------------------------------------------------------------
[CAPTION]
GROWTH BALANCED CONSERVATIVE
0.2% 0.5% 0.8%
Principal Principal Principal
BRADY BONDS* Amount Value Amount Value Amount Value
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Argentina (Republic of) Ser. L-GP,
stepped-coupon 5 3/4s,
(6s, 3/31/99), 2023 ++ $1,042,000 $ 798,485 $3,085,000 $ 2,364,036 $1,801,000 $ 1,380,106
Argentina (Republic of) deb. FRB
6.625s, 2005 432,960 399,406 1,223,600 1,128,771 712,500 657,281
Brazil (Government of) stepped-
coupon 4 1/2s, (5s, 4/30/98), 2014 ++ 695,558 585,173 2,166,494 1,822,671 1,265,688 1,064,824
Bulgaria (Government of) Ser. A,
FRB 2 1/4s, 2012 290,000 193,213 930,000 619,613 490,000 326,463
Peru (Government of) 144A
Ser. PDI, 4s, 2017 435,000 298,541 1,422,000 975,919 812,000 557,276
Philippines (Government of) Ser. B,
6 1/2s, 2017 213,000 187,440 682,000 600,160 348,000 306,240
United Mexican States Ser. B,
6 1/4s, 2019 455,000 386,204 945,000 802,116 480,000 407,424
------------ ------------ ------------
Total Brady Bonds (cost $2,869,111,
$8,344,530 and $4,718,811) $ 2,848,462 $ 8,313,286 $ 4,699,614
- ------------------------------------------------------------------------------------------------------------------------------
[CAPTION]
GROWTH BALANCED CONSERVATIVE
0.1% 0.2% 0.1%
Number of Number of Number of
UNITS* Units Value Units Value Units Value
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Allegiance Telephone, Inc 144A units
stepped-coupon zero %
(11 3/4s, 2/15/03), 2008 ++ 190 $ 110,200 490 $ 284,200 160 $ 92,800
Celcaribe S.A. 144A units
13 1/2s, 2004 (Columbia) 3 60,300 22 442,200 2 40,200
Club Regina, Inc. 144A units
13s, 2004 55 59,125 140 150,500 40 43,000
Concentric Network Corp. units
12 3/4s, 2007 30 35,250 75 88,125 30 35,250
Conecel Holdings 144A units
14s, 2000 55 59,675 145 157,325 50 54,250
DTI Holdings Inc. units
stepped-coupon zero %
(12 1/2s, 3/1/03), 2008 ++ 320 186,400 810 471,825 270 125,835
Diva Systems Corp. 144A units
stepped-coupon zero %
(13s, 5/15/01), 2006 ++ 357 196,350 911 501,050 302 166,100
KMC Telecomunications 144A units
stepped-coupon zero %
(12 1/2s, 2/15/03), 2008 ++ 200 119,000 500 297,500 175 104,125
Orbital Imaging Corp. units
11 5/8s, 2005 115 125,638 300 327,750 100 109,250
Real Time Data 144A units
stepped-coupon zero %
(13 1/2s, 8/15/01), 2006 ++ 35 17,850 95 48,450 30 15,300
Transam Refinance, Inc. 144A units
16s, 2003 120 127,200 290 307,400 100 106,000
Wireless One, Inc. units
stepped-coupon zero %
(13 1/2s, 8/1/01), 2006 ++ 100 12,000 200 24,000 75 9,000
------------ ------------ ------------
Total Units (cost $1,000,738,
$2,640,877 and $845,088) $ 1,108,988 $ 3,100,325 $ 901,110
- ------------------------------------------------------------------------------------------------------------------------------
[CAPTION]
GROWTH BALANCED CONSERVATIVE
--% 0.1% --%
Number Number Number
INVESTMENT COMPANIES* of Shares Value of Shares Value of Shares Value
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Inversiones Y Represent ADR
(Argentina) + 6,166 $ 236,235 7,566 $ 289,872 1,233 $ 47,239
ROC Taiwan Fund (United Kingdom) + 68,000 599,250 83,000 731,438 13,800 121,613
Taiwan Fund, Inc. (Taiwan) + 26,000 464,750 32,000 572,000 5,300 94,738
------------ ------------ ------------
Total Investment Companies (cost
$1,430,700, $1,755,417 and $291,889) $ 1,300,235 $ 1,593,310 $ 263,590
- ------------------------------------------------------------------------------------------------------------------------------
[CAPTION]
GROWTH BALANCED CONSERVATIVE
--% 0.1% 0.1%
CONVERTIBLE BONDS Principal Principal Principal
AND NOTES* Amount Value Amount Value Amount Value
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
APP Global Finance (V) Ltd. 144A
cv. sec. 2s, 2000 (United Kingdom) $ 65,000 $ 67,113 $ 190,000 $ 196,175 $ 60,000 $ 61,950
Delta Electronics, Inc. cv. bonds 1/2s,
2004 (Taiwan) 120,000 157,200 140,000 183,400 25,000 32,750
GST Telecommunications, Inc.
cv. sr. disc. notes stepped-coupon
zero % (13 7/8s, 12/15/00), 2005 ++ 21,000 32,970 59,000 92,630 17,000 26,690
Integrated Device Technology, Inc.
cv. sub. notes 5 1/2s, 2002 40,000 35,900 115,000 103,213 35,000 31,413
Mahindra & Mahindra Ltd. cv. bonds
5s, 2001 (India) 155,000 144,538 190,000 177,175 35,000 32,638
National Semiconductor Corp.
144A cv. deb. 6 1/2s, 2002 25,000 24,094 75,000 72,281 25,000 24,094
Pricellular Wireless Corp. 144A
cv. sub. notes stepped-coupon
zero % (10 3/4s, 8/15/00) ++ 94,000 103,870 206,000 227,630 77,000 85,085
WinStar Communications. Inc. 144A
cv. sr. disc. notes stepped-coupon
zero % (14s, 10/15/00), 2005 ++ -- -- -- -- 70,000 97,825
------------ ------------ ------------
Total Convertible Bonds and Notes
(cost $545,544, $938,964
and $290,208) $ 565,685 $ 1,052,504 $ 392,445
- ------------------------------------------------------------------------------------------------------------------------------
[CAPTION]
GROWTH BALANCED CONSERVATIVE
PURCHASED --% 0.1% 0.1%
OPTIONS Expiration Date/ Contract Contract Contract
OUTSTANDING* Strike Price Amount Value Amount Value Amount Value
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Italian Government Bond
Future Contracts May 98/
(Call) 117.0 ITL 4,400,000 $ 3,868 10,400,000 $ 9,143 4,800,000 $ 4,220
Japanese Government
Bond Future Contracts Apr 98/
(Put) 123.0 JPY 700,000 377,668 1,700,000 917,193 900,000 485,573
------------ ---------- ------------
Total Purchased Options
Outstanding (cost $387,890,
$939,942 and $461,594) $ 381,536 $ 926,336 $ 489,793
- ------------------------------------------------------------------------------------------------------------------------------
[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>
Cellnet Data Systems, Inc. 9/15/07 285 $ 5,700 645 $ 12,900 210 $ 4,200
Colt Telecommunications
Group PLC 12/31/06 300 40,500 725 97,875 250 33,750
County Seat Holdings, Inc. 10/15/98 65 1 200 4 110 2
Diva Systems Corp. 5/15/06 75 19,688 220 57,750 75 19,688
Esat Holdings, Inc.
(Ireland) 2/1/07 75 2,625 205 7,175 65 2,275
Fitzgeralds Gaming Co. 12/19/98 433 4 1,338 13 630 6
Globalstar Telecom 144A 2/15/04 100 13,500 300 40,500 90 12,150
Hyperion Telecommunications
144A 4/15/01 400 28,000 850 59,500 200 14,000
Intelcom Group 144A 10/15/05 429 14,157 858 28,314 330 10,890
Interact Systems Inc. 8/1/03 100 25 300 75 90 23
Intermedia Communications 6/1/00 100 16,100 350 56,350 -- --
International Wireless
Communications Holdings
144A 8/15/01 40 920 115 2,645 40 920
Knology Holdings Inc. 144A 10/15/07 285 143 720 360 210 105
McCaw International Ltd. 4/15/07 10 3 20 6 10 3
MGC communications, Inc.
144A 10/1/04 20 700 55 1,925 15 525
Petracom Holdings, Inc. 9/30/99 -- -- 1,001 8,008 399 3,192
Powertel, Inc. 2/1/06 -- -- 1,600 12,000 -- --
Spanish Broadcasting
Systems
144A 6/30/99 80 16,400 220 45,100 75 15,375
Sterling Chemicals Holdings 8/15/08 35 910 110 2,860 30 780
UIH Australia/Pacific, Inc.
144A 5/15/06 210 2,520 610 7,320 200 2,400
Urohealth Systems Inc. 4/10/04 85 1 230 2 75 1
Wireless One, Inc. 450 5 1,050 11 375 4
---------- ---------- ----------
Total Warrants (cost $65,035,
$187,967 and $54,682) $ 161,902 $ 440,693 $ 120,289
- ------------------------------------------------------------------------------------------------------------------------------
[CAPTION]
GROWTH BALANCED CONSERVATIVE
7.7% 10.1% 13.0%
Principal Principal Principal
SHORT-TERM INVESTMENTS* Amount Value Amount Value Amount Value
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
TRL Turkey Treasury bills zero %,
July 29, 1998 9,898,000 $ 295,266 24,345,000 $ 726,232 11,249,000 $ 335,567
TRL Turkey Treasury bills zero %,
June 4, 1998 4,580,000 159,354 11,228,000 390,660 5,214,000 181,413
U.S. Treasury bills zero %,
April 23, 1998 # $8,000,000 7,974,435 $ -- -- $ -- --
Interest in $600,000,000 joint repurchase
agreement dated March 31, 1998 with
Goldman Sachs, Inc. due April 1, 1998
with respect to various U.S. Treasury
obligations -- maturity value of
$29,004,777, $0 and $0 for an
effective yield of 5.93%. 29,000,000 29,004,777 -- -- -- --
Interest in $492,084,000 joint repurchase
agreement dated March 31, 1998 with
UBS Securities, Inc. due April 1, 1998
with respect to various U.S. Treasury
obligations -- maturity value of
$74,529,316, $0 and $0 for an
effective yield of 5.95%. 74,517,000 74,529,316 -- -- -- --
Interest in $492,084,000 joint repurchase
agreement dated March 31, 1998 with
UBS Securities, Inc. due April 1, 1998
with respect to various U.S. Treasury
obligations -- maturity value of
$0, $179,802,712 and $0 for an
effective yield of 5.95%. -- -- 179,773,000 179,802,712 -- --
Interest in $492,084,000 joint repurchase
agreement dated March 31, 1998 with
UBS Securities, Inc. due April 1, 1998
with respect to various U.S. Treasury
obligations -- maturity value of
$0, $0 and $77,923,877 for an
effective yield of 5.95%. -- -- -- -- 77,911,000 77,923,877
------------ ------------ ------------
Total Short-term Investments
(cost $111,886,573, $180,912,244
and $78,437,419) $111,963,148 $180,919,604 $ 78,440,857
- ------------------------------------------------------------------------------------------------------------------------------
Total Investments
(cost $1,221,889,313, $1,564,262,221
and $573,887,619) $1,457,784,490 $1,809,734,652 $619,990,232
- ------------------------------------------------------------------------------------------------------------------------------
* Percentages indicated are based on net assets as follows:
- --------------------------------------------
Growth portfolio $1,455,020,412
Balanced portfolio 1,798,742,348
Conservative portfolio 605,470,721
- --------------------------------------------
*** The aggregate identified cost on a tax basis is as follows:
[CAPTION]
Aggregate Gross Unrealized Gross Unrealized Unrealized
Identified Cost Appreciation Depreciation Appreciation
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Growth portfolio $1,222,746,558 $257,346,286 $22,308,354 $235,037,932
Balanced portfolio 1,565,199,958 275,632,267 31,097,573 244,534,694
Conservative portfolio 574,509,570 50,617,354 5,136,692 45,480,662
- ------------------------------------------------------------------------------------------------
+ Non-income-producing security.
++ The interest or dividend rate and date shown parenthetically represent the new interest or
dividend rate to be paid and the date the fund will begin receiving interest or dividend
income at this rate.
+++ A portion of the income will be received in additional securities.
[DBL. DAGGER] Restricted, excluding 144A securities, as to public resale. PSF Holdings LLC,
Class A was acquired on dates from 3/16/96 to 9/30/96 with a cost of $114,837,
$451,081 and $145,237 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.
[POUND SIGN] 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, 1998.
[REGISTRATION MARK] 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 or GDR after the name of a foreign holding stands for American Depository
Receipts, or Global Depository Receipts, respectively 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 rates shown on Floating Rate Notes (FRN) are Floating Rate Bonds (FRB) are
the interest rates shown at March 31, 1998, 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, 1998: (as
percentage of Market Value)
Growth portfolio
- ----------------------------------------
Canada 1.0%
France 2.1
Germany 2.2
Japan 1.6
Netherlands 1.0
Swizterland 1.2
United Kingdom 4.5
United States 79.2
Other 7.2
- ----------------------------------------
Total 100.0%
Distribution of investments by country of issue at March 31, 1998: (as percentage of Market
Value)
Balanced portfolio
- ----------------------------------------
Canada 1.0%
France 2.5
Germany 3.4
Japan 1.6
Netherlands 1.1
Swizterland 1.2
United Kingdom 7.2
United States 73.7
Other 8.3
- ----------------------------------------
Total 100.0%
Distribution of investments by country of issue at March 31, 1998: (as percentage of Market
Value)
Conservative portfolio
- ----------------------------------------
France 1.9%
Germany 4.9
Japan 1.0
United Kingdom 6.1
United States 76.4
Other 9.7
- ----------------------------------------
Total 100.0%
</TABLE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------
Forward Currency Contracts to Buy
at March 31, 1998 (Unaudited) GROWTH
(aggregate face value $77,958,258)
Unrealized
Aggregate Face Delivery Appreciation/
Market Value Value Date (Depreciation)
- --------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Canadian Dollars $ 2,161,994 $ 2,160,261 6/17/98 $ 1,733
Danish Krone 949,922 978,546 6/17/98 (28,624)
Deutschemarks 23,711,721 24,179,244 6/17/98 (467,523)
Finnish Marka 326,271 336,716 6/17/98 (10,445)
French Francs 2,147,666 2,205,601 6/17/98 (57,935)
Italian Lira 4,699,039 4,781,004 6/17/98 (81,965)
Japanese Yen 34,815,999 36,359,146 6/17/98 (1,543,147)
Mexican Peso 340,101 335,918 9/11/98 4,183
Mexican Peso 66,705 63,583 5/12/98 3,122
Mexican Peso 82,811 79,484 5/11/98 3,327
New Zealand Dollars 781,448 796,099 6/17/98 (14,651)
Philippines Peso 111,947 113,254 4/27/98 (1,307)
South Korean Won 174,138 157,591 3/11/98 16,547
Spanish Peseta 728,837 743,364 6/17/98 (14,527)
Swedish Krona 3,533,275 3,533,039 6/17/98 236
Swiss Francs 1,088,780 1,135,408 6/17/98 (46,628)
- --------------------------------------------------------------------------------------------
$(2,237,604)
- --------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Forward Currency Contracts to Sell
at March 31, 1998 (Unaudited) GROWTH
(aggregate face value $77,158,835)
Unrealized
Market Aggregate Face Delivery Appreciation/
Value Value Date (Depreciation)
- --------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Australian Dollars $ 1,716,820 $ 1,722,379 6/17/98 $ 5,559
British Pounds 5,015,524 4,936,865 6/17/98 (78,659)
Deutschemarks 28,201,635 28,733,997 6/17/98 532,362
Italian Lira 3,090,412 3,138,035 6/17/98 47,623
Japanese Yen 23,589,608 24,537,728 6/17/98 948,120
Japanese Yen 8,348,824 8,713,774 6/12/98 364,950
New Zealand Dollar 805,329 841,784 6/17/98 36,455
Swedish Krona 2,592,067 2,582,553 6/17/98 (9,514)
Swiss Franc 711,739 740,312 6/17/98 28,573
Taiwan Dollar 1,298,201 1,211,408 7/14/98 (86,793)
- --------------------------------------------------------------------------------------------
$1,788,676
- --------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------
Futures Contracts Outstanding
at March 31, 1998 (Unaudited) GROWTH
Unrealized
Total Aggregate Face Expiration Appreciation/
Value Value Date (Depreciation)
- --------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
CAC 40 Index (long) $41,159,735 39,546,432 Jun-98 $1,613,303
CAC 40 Index (long) 32,240,233 31,631,184 Apr-98 609,049
DAX Index (short) 14,385,495 14,011,786 Jun-98 (373,709)
FT-SE 100 Index (short) 18,745,211 18,460,946 Jun-98 (284,265)
German 10yr (short) 3,775,101 3,739,143 Jun-98 (35,958)
Gilt (short) 1,175,079 1,168,139 Jun-98 (6,940)
Japanese Government
Bonds 10yr (short) 5,380,149 5,352,315 Jun-98 (27,834)
Nasdaq 100 (short) 6,435,000 6,373,990 Jun-98 (61,010)
Russell 2000 Index (short) 7,061,500 7,002,157 Jun-98 (59,343)
S & P Index (short) 20,821,875 20,777,109 Jun-98 (44,766)
US Treasury Bonds
10yr (long) 57,599,750 57,612,585 Jun-98 (12,835)
- --------------------------------------------------------------------------------------------
$1,315,692
- --------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
TBA Sales Commitments
at March 31, 1998 (Unaudited) GROWTH
(proceeds received $313,270)
Settlement Market
Description Principal Amount Date Value
- --------------------------------------------------------------------------------------------
<S> <C> <C> <C>
FNMA 6 1/2,
January 16, 2028 $135,000 11/14/98 $133,481
GNMA 8s,
April 2028 174,000 4/20/98 180,144
- --------------------------------------------------------------------------------------------
$313,625
- --------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Written Options Outstanding
at March 31, 1998 (Unaudited) GROWTH
(premiums received $25,920)
Expiration Date/ Market
Contract Amount Strike Price Value
- --------------------------------------------------------------------------------------------
<S> <C> <C>
$4,250,000 German 10 Year May 98/ 106.00 DEM $6,211
- --------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------
Forward Currency Contracts to Buy
at March 31, 1998 (Unaudited) BALANCED
(aggregate face value $170,354,054)
Unrealized
Aggregate Face Delivery Appreciation/
Market Value Value Date (Depreciation)
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Canadian Dollar $ 6,791,740 $ 6,786,309 6/17/98 $ 5,431
Danish Krone 2,926,753 3,014,942 6/17/98 (88,189)
Deutschemarks 43,195,302 44,045,964 6/17/98 (850,662)
Finnish Marka 958,696 988,429 6/17/98 (29,733)
French Franc 3,231,768 3,313,643 6/17/98 (81,875)
Italian Lira 11,745,102 11,949,971 6/17/98 (204,869)
Japanese Yen 76,707,344 80,093,434 6/17/98 (3,386,090)
Mexican Peso 1,036,174 1,023,428 9/11/98 12,746
Mexican Peso 171,325 163,304 5/12/98 8,021
Mexican Peso 212,678 204,135 5/11/98 8,543
New Zealand Dollar 1,764,789 1,797,876 6/17/98 (33,087)
Philippines Peso 287,455 290,812 4/27/98 (3,357)
South Korean Won 545,572 493,730 3/11/98 51,842
Spanish Peseta 2,330,882 2,377,339 6/17/98 (46,457)
Swedish Krona 10,562,460 10,558,560 6/17/98 3,900
Swiss Franc 3,118,619 3,252,178 6/17/98 (133,559)
- ----------------------------------------------------------------------------------------------
$(4,767,395)
- ----------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Forward Currency Contracts to Sell
at March 31, 1998 (Unaudited) BALANCED
(aggregate face value $146,652,109)
Unrealized
Aggregate Face Delivery Appreciation/
Market Value Value Date (Depreciation)
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Australian Dollars $ 4,812,950 $ 4,833,064 6/17/98 $ 20,114
British Pounds 13,496,759 13,274,439 6/17/98 (222,320)
Deutschemarks 53,670,754 54,669,347 6/17/98 998,593
Italian Lira 6,651,559 6,759,991 6/17/98 108,432
Japanese Yen 41,475,154 43,204,074 6/17/98 1,728,920
Japanese Yen 10,580,237 11,044,280 6/12/98 464,043
New Zealand Dollar 1,730,611 1,808,950 6/17/98 78,339
Swedish Krona 7,146,001 7,119,773 6/17/98 (26,228)
Swiss Franc 2,355,584 2,454,407 6/17/98 98,823
Taiwan Dollar 1,590,091 1,483,784 7/14/98 (106,307)
- --------------------------------------------------------------------------------------------
$3,142,409
- --------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------
Futures Contracts Outstanding
at March 31, 1998 (Unaudited) BALANCED
Unrealized
Aggregate Face Expiration Appreciation/
Total Value Value Date (Depreciation)
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
CAC 40 Index (long) $50,859,007 49,402,309 Jun-98 $ 1,456,698
CAC 40 Index (long) 39,767,135 39,205,048 Apr-98 562,087
DAX Index (short) 17,981,867 17,723,457 Jun-98 (258,410)
FT-SE 100 Index (short) 21,138,217 20,528,036 Jun-98 (610,181)
German 10yr (short) 14,519,621 14,683,734 Jun-98 164,113
Gilt (short) 6,779,299 6,653,578 Jun-98 (125,721)
Japanese Government
Bonds 10yr (short) 12,716,717 13,157,557 Jun-98 440,840
Nasdaq 100 (short) 10,518,750 10,419,021 Jun-98 (99,729)
Russell 2000 Index (short) 10,470,500 10,382,508 Jun-98 (87,992)
S & P Index (short) 32,482,125 32,440,906 Jun-98 (41,219)
US Treasury Bonds
20yr (long) 91,360,875 91,785,815 Jun-98 (424,940)
US Treasury Bonds
10yr (long) 40,404,000 40,394,054 Jun-98 9,946
- ---------------------------------------------------------------------------------------------
$ 985,492
- ---------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
TBA Sales Commitments
at March 31, 1998 (Unaudited) BALANCED
(premium received $398,836)
Settlement Market
Agency Principal Amount Date Value
- --------------------------------------------------------------------------------------------
<S> <C> <C> <C>
GNMA, 8s, April 2028 $385,000 4/20/98 $398,594
- --------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Written Options Outstanding
at March 31, 1998 (Unaudited) BALANCED
(premiums received $62,514)
Expiration Date/ Market
Contract Amount Strike Price Value
- --------------------------------------------------------------------------------------------
<S> <C> <C>
$10,250,000 German 10 year May 98 / 106.00 DEM $14,980
- --------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------
Forward Currency Contracts to Buy
at March 31, 1998 (Unaudited) CONSERVATIVE
(aggregate face value $93,611,304)
Unrealized
Aggregate Face Delivery Appreciation/
Market Value Value Date (Depreciation)
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Canadian Dollar $ 4,021,917 $ 4,018,701 6/17/98 $ 3,216
Danish Krone 1,742,384 1,794,431 6/17/98 (52,047)
Deutschemarks 20,652,678 21,043,791 6/17/98 (391,113)
Finnish Marka 539,062 555,751 6/17/98 (16,689)
French Franc 3,329,920 3,417,747 6/17/98 (87,827)
Italian Lira 5,015,482 5,102,967 6/17/98 (87,485)
Japanese Yen 44,670,403 46,632,913 6/17/98 (1,962,510)
Mexican Peso 118,785 114,014 9/11/98 4,771
Mexican Peso 95,693 91,213 5/12/98 4,480
Mexican Peso 834,581 824,315 5/11/98 10,266
New Zealand Dollar 819,022 834,377 6/17/98 (15,355)
Philippines Peso 160,332 162,204 4/27/98 (1,872)
South Korean Won 322,443 291,805 3/11/98 30,638
Spanish Peseta 1,393,072 1,423,893 6/17/98 (30,821)
Swedish Krona 6,221,435 6,218,879 6/17/98 2,556
Swiss Franc 1,038,048 1,084,303 6/17/98 (46,255)
- --------------------------------------------------------------------------------------------
$(2,636,047)
- --------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Forward Currency Contracts to Sell
at March 31, 1998 (Unaudited) CONSERVATIVE
(aggregate face value $82,353,717)
Unrealized
Aggregate Face Delivery Appreciation/
Market Value Value Date (Depreciation)
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Australian Dollars $ 2,592,166 $ 2,601,743 6/17/98 $ 9,577
British Pounds 12,646,355 12,433,923 6/17/98 (212,432)
Deutschemarks 31,724,052 32,253,771 6/17/98 529,719
Italian Lira 1,986,108 2,013,841 6/17/98 27,733
Japanese Yen 23,606,376 24,614,163 6/17/98 1,007,787
Japanese Yen 2,239,002 2,332,322 6/12/98 93,320
New Zealand Dollar 796,510 832,566 6/17/98 36,056
Swedish Krona 4,414,138 4,397,937 6/17/98 (16,201)
Swiss Franc 597,907 622,754 6/17/98 24,847
Taiwan Dollar 268,658 250,697 6/17/98 (17,961)
- --------------------------------------------------------------------------------------------
$1,482,445
- --------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------
Futures Contracts Outstanding CONSERVATIVE
at March 31, 1998 (Unaudited)
Unrealized
Aggregate Face Expiration Appreciation/
Total Value Value Date (Depreciation)
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
CAC 40 Index (long) $18,776,797 $18,274,330 Jun-98 $502,467
CAC 40 Index (long) 15,555,598 15,341,343 Apr-98 214,255
DAX Index (short) 6,086,171 5,998,708 Jun-98 (87,463)
FT-SE 100 Index (short) 10,768,526 10,457,677 Jun-98 (310,849)
German 10yr (short) 10,308,931 10,438,572 Jun-98 129,641
Gilt (short) 9,581,410 9,386,322 Jun-98 (195,088)
Japanese Government
Bonds 10yr (short) 6,358,358 6,578,779 Jun-98 220,421
Nasdaq 100 (short) 3,465,000 3,432,148 Jun-98 (32,852)
Russell 2000 Index (short) 3,409,000 3,380,351 Jun-98 (28,649)
S & P Index (short) 5,552,500 5,551,703 Jun-98 (797)
US Treasury Bonds
20yr (long) 31,866,250 31,864,377 Jun-98 1,873
US Treasury Bonds
10yr (long) 27,981,375 28,172,020 Jun-98 (190,645)
- --------------------------------------------------------------------------------------------
$222,314
- --------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
TBA Sales Commitments at March 31, 1998 (Unaudited) CONSERVATIVE
(premium received $600,844)
Settlement Market
Agency Principal Amount Date Value
- --------------------------------------------------------------------------------------------
<S> <C> <C> <C>
GNMA, 8s, April 2028 $580,000 4/20/98 $600,480
- --------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Written Options Outstanding
at March 31, 1998 (Unaudited) CONSERVATIVE
(premiums received $28,970)
Expiration Date/ Market
Contract Amount Strike Price Value
- --------------------------------------------------------------------------------------------
<S> <C> <C>
$4,750,000 German 10 year May 98 / 106.00 DEM $6,942
- --------------------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
</TABLE>
<TABLE>
<CAPTION>
Statement of assets and liabilities
March 31, 1998 (Unaudited)
Putnam Asset Allocation: Growth Portfolio
Assets
<S> <C>
- --------------------------------------------------------------------------------------------------------
Investments in securities, at value
(identified cost $1,118,355,220) (Note 1) $1,354,250,397
- --------------------------------------------------------------------------------------------------------
Repurchase agreement
(identified cost $103,534,093) (Note 1) 103,534,093
- --------------------------------------------------------------------------------------------------------
Cash 3,431,438
- --------------------------------------------------------------------------------------------------------
Foreign currency (cost $2,152,581) 1,279,517
- --------------------------------------------------------------------------------------------------------
Dividends, interest and other receivables 5,086,306
- --------------------------------------------------------------------------------------------------------
Receivable for shares of the fund sold 3,519,096
- --------------------------------------------------------------------------------------------------------
Receivable for securities sold 16,169,938
- --------------------------------------------------------------------------------------------------------
Receivable for variation margin 5,384,661
- --------------------------------------------------------------------------------------------------------
Receivable for open forward currency contracts 1,996,096
- --------------------------------------------------------------------------------------------------------
Receivable for closed forward currency contracts 182,280
- --------------------------------------------------------------------------------------------------------
Total assets 1,494,833,822
Liabilities
- --------------------------------------------------------------------------------------------------------
Payable for securities purchased 31,635,501
- --------------------------------------------------------------------------------------------------------
Payable for shares of the fund repurchased 1,408,213
- --------------------------------------------------------------------------------------------------------
Payable for compensation of Manager (Note 2) 2,036,991
- --------------------------------------------------------------------------------------------------------
Payable for investor servicing and custodian fees (Note 2) 455,954
- --------------------------------------------------------------------------------------------------------
Payable for compensation of Trustees (Note 2) 11,897
- --------------------------------------------------------------------------------------------------------
Payable for administrative services (Note 2) 4,685
- --------------------------------------------------------------------------------------------------------
Payable for distribution fees (Note 2) 787,415
- --------------------------------------------------------------------------------------------------------
Payable for open forward currency contracts 2,445,024
- --------------------------------------------------------------------------------------------------------
Payable for closed forward currency contracts 529,460
- --------------------------------------------------------------------------------------------------------
Written options outstanding, at value (premiums received $25,920) (Note 3) 6,211
- --------------------------------------------------------------------------------------------------------
TBA sales commitments, at value (proceeds receivable $313,270) 313,625
- --------------------------------------------------------------------------------------------------------
Other accrued expenses 178,434
- --------------------------------------------------------------------------------------------------------
Total liabilities 39,813,410
- --------------------------------------------------------------------------------------------------------
Net assets $1,455,020,412
Represented by
- --------------------------------------------------------------------------------------------------------
Paid-in capital (Notes 1 and 4) $1,166,565,606
- --------------------------------------------------------------------------------------------------------
Distributions in excess of net investment income (Note 1) (216,445)
- --------------------------------------------------------------------------------------------------------
Accumulated net realized gain on investments
and foreign currency transactions (Note 1) 52,837,982
- --------------------------------------------------------------------------------------------------------
Net unrealized appreciation of investments and
assets and liabilities in foreign currencies 235,833,269
- --------------------------------------------------------------------------------------------------------
Total -- Representing net assets applicable to
capital shares outstanding $1,455,020,412
Computation of net asset value and offering price
- --------------------------------------------------------------------------------------------------------
Net asset value and redemption price per class A share
($645,347,635 divided by 47,191,081 shares) $13.68
- --------------------------------------------------------------------------------------------------------
Offering price per class A share (100/94.25 of $13.68)* $14.51
- --------------------------------------------------------------------------------------------------------
Net asset value and offering price per class B share
($424,476,847 divided by 31,370,845 shares)** $13.53
- --------------------------------------------------------------------------------------------------------
Net asset value and offering price per class C share
($91,347,610 divided by 6,805,980 shares)** $13.42
- --------------------------------------------------------------------------------------------------------
Net asset value and redemption price per class M share
($48,955,190 divided by 3,617,574 shares) $13.53
- --------------------------------------------------------------------------------------------------------
Offering price per class M share (100/96.50 of $13.53)* $14.02
- --------------------------------------------------------------------------------------------------------
Net asset value, offering price and redemption price per class Y share
($244,893,130 divided by 17,804,602 shares) $13.75
- --------------------------------------------------------------------------------------------------------
* 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 preice per share is equal to net asset value less any applicable contingent deferred
sales charges.
The accompanying notes are an integral part of these financial statements.
</TABLE>
<TABLE>
<CAPTION>
Statement of operations
Six months ended March 31, 1998 (Unaudited)
Putnam Asset Allocation: Growth Portfolio
Investment income:
<S> <C>
- --------------------------------------------------------------------------------------------------------
Interest (net of foreign tax of $189,674) $ 8,021,124
- --------------------------------------------------------------------------------------------------------
Dividends 6,231,173
- --------------------------------------------------------------------------------------------------------
Total investment income 14,252,297
Expenses:
- --------------------------------------------------------------------------------------------------------
Compensation of Manager (Note 2) 3,957,932
- --------------------------------------------------------------------------------------------------------
Investor servicing and custodian fees (Note 2) 2,779,844
- --------------------------------------------------------------------------------------------------------
Compensation of Trustees (Note 2) 10,642
- --------------------------------------------------------------------------------------------------------
Administrative services (Note 2) 11,326
- --------------------------------------------------------------------------------------------------------
Distribution fees -- Class A (Note 2) 652,341
- --------------------------------------------------------------------------------------------------------
Distribution fees -- Class B (Note 2) 1,838,745
- --------------------------------------------------------------------------------------------------------
Distribution fees -- Class C (Note 2) 374,875
- --------------------------------------------------------------------------------------------------------
Distribution fees -- Class M (Note 2) 135,601
- --------------------------------------------------------------------------------------------------------
Amortization of organization expenses (Note 1) 3,604
- --------------------------------------------------------------------------------------------------------
Reports to shareholders 57,661
- --------------------------------------------------------------------------------------------------------
Registration fees 68,728
- --------------------------------------------------------------------------------------------------------
Auditing 42,963
- --------------------------------------------------------------------------------------------------------
Legal 7,908
- --------------------------------------------------------------------------------------------------------
Postage 22,097
- --------------------------------------------------------------------------------------------------------
Other 27,333
- --------------------------------------------------------------------------------------------------------
Total expenses 9,991,600
- --------------------------------------------------------------------------------------------------------
Expense reduction (Note 2) (365,003)
- --------------------------------------------------------------------------------------------------------
Net expenses 9,626,597
- --------------------------------------------------------------------------------------------------------
Net investment income 4,625,700
- --------------------------------------------------------------------------------------------------------
Net realized gain on investments (Notes 1 and 3) 54,252,424
- --------------------------------------------------------------------------------------------------------
Net realized gain on futures contracts (Note 1) 14,357,982
- --------------------------------------------------------------------------------------------------------
Net realized gain on written options (Notes 1 and 3) 81,533
- --------------------------------------------------------------------------------------------------------
Net realized loss on foreign currency transactions (Note 1) (1,863,982)
- --------------------------------------------------------------------------------------------------------
Net unrealized depreciation of assets and liabilities in
foreign currencies during the period (597,733)
- --------------------------------------------------------------------------------------------------------
Net unrealized appreciation of investments, futures,
written options, and TBA sale commitments during the period 37,426,715
- --------------------------------------------------------------------------------------------------------
Net gain on investments 103,656,939
- --------------------------------------------------------------------------------------------------------
Net increase in net assets resulting from operations $108,282,639
- --------------------------------------------------------------------------------------------------------
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
1998* 1997
<S> <C> <C>
- --------------------------------------------------------------------------------------------------------
Increase in net assets
- --------------------------------------------------------------------------------------------------------
Operations:
- --------------------------------------------------------------------------------------------------------
Net investment income $ 4,625,700 $ 10,137,942
- --------------------------------------------------------------------------------------------------------
Net realized gain on investments of
foreign currency transactions 66,827,957 64,007,920
- --------------------------------------------------------------------------------------------------------
Net unrealized appreciation of
investments and assets and liabilities
in foreign currencies 36,828,982 135,037,077
- --------------------------------------------------------------------------------------------------------
Net increase in net assets resulting from operations 108,282,639 209,182,939
- --------------------------------------------------------------------------------------------------------
Distributions to shareholders:
- --------------------------------------------------------------------------------------------------------
From net investment income
Class A (5,204,239) (3,419,375)
- --------------------------------------------------------------------------------------------------------
Class B (1,282,150) (1,858,459)
- --------------------------------------------------------------------------------------------------------
Class C (319,706) (354,573)
- --------------------------------------------------------------------------------------------------------
Class M (237,447) (181,831)
- --------------------------------------------------------------------------------------------------------
Class Y (2,552,273) (2,813,692)
- --------------------------------------------------------------------------------------------------------
From net realized gain on investments
Class A (33,767,038) (9,736,876)
- --------------------------------------------------------------------------------------------------------
Class B (23,328,710) (8,947,425)
- --------------------------------------------------------------------------------------------------------
Class C (4,694,624) (1,403,269)
- --------------------------------------------------------------------------------------------------------
Class M (2,423,696) (610,900)
- --------------------------------------------------------------------------------------------------------
Class Y (14,054,293) (7,064,486)
- --------------------------------------------------------------------------------------------------------
Increase from capital share transactions (Note 4) 254,571,724 498,609,902
- --------------------------------------------------------------------------------------------------------
Total increase in net assets 274,990,187 671,401,955
Net assets
- --------------------------------------------------------------------------------------------------------
Beginning of period 1,180,030,225 508,628,270
- --------------------------------------------------------------------------------------------------------
End of period (including distributions
in excess of net investment income and
undistributed net investment income of
$216,445 and $4,753,670, respectively) $1,455,020,412 $ 1,180,030,225
- --------------------------------------------------------------------------------------------------------
* 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 Portfoliio
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
- ------------------------------------------------------------------------------------------------------------------------------------
1998 1997 1996 1995 1994
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net asset value,
beginning of period $13.64 $11.41 $10.06 $8.43 $8.50
- ------------------------------------------------------------------------------------------------------------------------------------
Investment operations
- ------------------------------------------------------------------------------------------------------------------------------------
Net investment income .06 (d) .17 (d) .18 (d) .18 (d)(e) .10 (d)(e)
- ------------------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investments .95 2.69 1.63 1.53 (.17)
- ------------------------------------------------------------------------------------------------------------------------------------
Total from
investment operations 1.01 2.86 1.81 1.71 (.07)
- ------------------------------------------------------------------------------------------------------------------------------------
Less distributions:
- ------------------------------------------------------------------------------------------------------------------------------------
From net
investment income (.13) (.16) (.19) (.08) --
- ------------------------------------------------------------------------------------------------------------------------------------
From net realized gain
on investments (.84) (.47) (.27) -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Total distributions (.97) (.63) (.46) (.08) --
- ------------------------------------------------------------------------------------------------------------------------------------
Net asset value,
end of period $13.68 $13.64 $11.41 $10.06 $8.43
- ------------------------------------------------------------------------------------------------------------------------------------
Ratios and supplemental data
- ------------------------------------------------------------------------------------------------------------------------------------
Total investment return
at net asset value (%)(a) 8.18 * 26.25 18.75 20.45 (.82)*
- ------------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $645,348 $486,107 $210,531 $122,228 $43,669
- ------------------------------------------------------------------------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(b) .68 * 1.39 1.45 1.49 (e) .78 (e)*
- ------------------------------------------------------------------------------------------------------------------------------------
Ratio of net investment income
to average net assets (%) .48 * 1.42 1.72 1.98 (e) 1.31 (e)*
- ------------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 74.30 * 99.96 100.93 88.36 39.90 *
- ------------------------------------------------------------------------------------------------------------------------------------
Average commission
rate paid (c) $.0260 $.0417 0.048578
- ------------------------------------------------------------------------------------------------------------------------------------
+ Commencement of operations.
* Not annualized.
(a) Total investment return assumes dividend reinvestment and does not reflect the effect of sales charges.
(b) 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).
(c) Average commission rate paid on security trades is required for fiscal periods beginning
on or after September 1, 1995.
(d) Per share net investment income has been determined on the basis of the weighted average number
of shares outstanding during the period.
(e) 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.
</TABLE>
<TABLE>
<CAPTION>
Financial Highlights
(For a share outstanding throughout the period)
Putnam Asset Allocation: Growth Portfoliio
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
- ------------------------------------------------------------------------------------------------------------------------------------
1998 1997 1996 1995 1994
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net asset value,
beginning of period $13.47 $11.29 $9.97 $8.39 $8.50
- ------------------------------------------------------------------------------------------------------------------------------------
Investment operations
- ------------------------------------------------------------------------------------------------------------------------------------
Net investment income .01 (d) .08 (d) .10 (d) .11 (d)(e) .06 (d)(e)
- ------------------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investments .93 2.67 1.64 1.52 (.17)
- ------------------------------------------------------------------------------------------------------------------------------------
Total from
investment operations .94 2.75 1.74 1.63 (.11)
- ------------------------------------------------------------------------------------------------------------------------------------
Less distributions:
- ------------------------------------------------------------------------------------------------------------------------------------
From net
investment income (.04) (.10) (.15) (.05) --
- ------------------------------------------------------------------------------------------------------------------------------------
From net realized gain
on investments (.84) (.47) (.27) -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Total distributions (.88) (.57) (.42) (.05) --
- ------------------------------------------------------------------------------------------------------------------------------------
Net asset value,
end of period $13.53 $13.47 $11.29 $9.97 $8.39
- ------------------------------------------------------------------------------------------------------------------------------------
Ratios and supplemental data
- ------------------------------------------------------------------------------------------------------------------------------------
Total investment return
at net asset value (%)(a) 7.73 * 25.23 18.04 19.57 (1.29)*
- ------------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $424,477 $357,501 $199,871 $116,263 $50,664
- ------------------------------------------------------------------------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(b) 1.05 * 2.14 2.21 2.23 (e) 1.21 (e)*
- ------------------------------------------------------------------------------------------------------------------------------------
Ratio of net investment income
to average net assets (%) .10 * .68 .95 1.22 (e) .80 (e)*
- ------------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 74.30 * 99.96 100.93 88.36 39.90 *
- ------------------------------------------------------------------------------------------------------------------------------------
Average commission
rate paid (c) $.0260 $.0417 0.048578
- ------------------------------------------------------------------------------------------------------------------------------------
+ Commencement of operations.
* Not annualized.
(a) Total investment return assumes dividend reinvestment and does not reflect the effect of sales charges.
(b) 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).
(c) Average commission rate paid on security trades is required for fiscal periods beginning
on or after September 1, 1995.
(d) Per share net investment income has been determined on the basis of the weighted average number
of shares outstanding during the period.
(e) 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.
</TABLE>
<TABLE>
<CAPTION>
Financial Highlights
(For a share outstanding throughout the period)
Putnam Asset Allocation: Growth Portfoliio
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
- ------------------------------------------------------------------------------------------------------------------------------------
1998 1997 1996 1995 1994
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net asset value,
beginning of period $13.38 $11.24 $9.93 $8.39 $8.46
- ------------------------------------------------------------------------------------------------------------------------------------
Investment operations
- ------------------------------------------------------------------------------------------------------------------------------------
Net investment income .01 (d) .08 (d) .10 (d) .11 (d)(e) .01 (d)(e)
- ------------------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investments .92 2.65 1.63 1.51 (.08)
- ------------------------------------------------------------------------------------------------------------------------------------
Total from
investment operations .93 2.73 1.73 1.62 (.07)
- ------------------------------------------------------------------------------------------------------------------------------------
Less distributions:
- ------------------------------------------------------------------------------------------------------------------------------------
From net
investment income (.05) (.12) (.15) (.08) --
- ------------------------------------------------------------------------------------------------------------------------------------
From net realized gain
on investments (.84) (.47) (.27) -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Total distributions (.89) (.59) (.42) (.08) --
- ------------------------------------------------------------------------------------------------------------------------------------
Net asset value,
end of period $13.42 $13.38 $11.24 $9.93 $8.39
- ------------------------------------------------------------------------------------------------------------------------------------
Ratios and supplemental data
- ------------------------------------------------------------------------------------------------------------------------------------
Total investment return
at net asset value (%)(a) 7.72 * 25.31 18.01 19.46 (.83)*
- ------------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $91,348 $68,749 $27,556 $7,985 $385
- ------------------------------------------------------------------------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(b) 1.05 * 2.14 2.23 2.23 (e) .15 (e)*
- ------------------------------------------------------------------------------------------------------------------------------------
Ratio of net investment income
to average net assets (%) .10 * .67 .94 1.24 (e) .14 (e)*
- ------------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 74.30 * 99.96 100.93 88.36 39.90 *
- ------------------------------------------------------------------------------------------------------------------------------------
Average commission
rate paid (c) $.0260 $.0417 0.048578
- ------------------------------------------------------------------------------------------------------------------------------------
+ Commencement of operations.
* Not annualized.
(a) Total investment return assumes dividend reinvestment and does not reflect the effect of sales charges.
(b) 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).
(c) Average commission rate paid on security trades is required for fiscal periods beginning
on or after September 1, 1995.
(d) Per share net investment income has been determined on the basis of the weighted average number
of shares outstanding during the period.
(e) 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.
</TABLE>
<TABLE>
<CAPTION>
Financial Highlights
(For a share outstanding throughout the period)
Putnam Asset Allocation: Growth Portfoliio
CLASS M
- ------------------------------------------------------------------------------------------------------------------------------------
Six months
ended For the period
Per-share March 31 Feb. 3, 1995+
operating performance (Unaudited) Year ended September 30 to Sept. 30
- ------------------------------------------------------------------------------------------------------------------------------------
1998 1997 1996 1995
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Net asset value,
beginning of period $13.49 $11.32 $10.01 $8.39
- ------------------------------------------------------------------------------------------------------------------------------------
Investment operations
- ------------------------------------------------------------------------------------------------------------------------------------
Net investment income .03 (d) .11 (d) .12 (d) .08 (d)(e)
- ------------------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investments .93 2.67 1.64 1.54
- ------------------------------------------------------------------------------------------------------------------------------------
Total from
investment operations .96 2.78 1.76 1.62
- ------------------------------------------------------------------------------------------------------------------------------------
Less distributions:
- ------------------------------------------------------------------------------------------------------------------------------------
From net
investment income (.08) (.14) (.18) --
- ------------------------------------------------------------------------------------------------------------------------------------
From net realized gain
on investments (.84) (.47) (.27) --
- ------------------------------------------------------------------------------------------------------------------------------------
Total distributions (.92) (.61) (.45) --
- ------------------------------------------------------------------------------------------------------------------------------------
Net asset value,
end of period $13.53 $13.49 $11.32 $10.01
- ------------------------------------------------------------------------------------------------------------------------------------
Ratios and supplemental data
- ------------------------------------------------------------------------------------------------------------------------------------
Total investment return
at net asset value (%)(a) 7.87 * 25.63 18.21 19.31 *
- ------------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $48,955 $34,381 $12,369 $3,160
- ------------------------------------------------------------------------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(b) .93 * 1.89 1.95 1.45 (e)*
- ------------------------------------------------------------------------------------------------------------------------------------
Ratio of net investment income
to average net assets (%) .23 * .92 1.16 .79 (e)*
- ------------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 74.30 * 99.96 100.93 88.36
- ------------------------------------------------------------------------------------------------------------------------------------
Average commission
rate paid (c) $.0260 $.0417 0.048578
- ------------------------------------------------------------------------------------------------------------------------------------
+ Commencement of operations.
* Not annualized.
(a) Total investment return assumes dividend reinvestment and does not reflect the effect of sales charges.
(b) 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).
(c) Average commission rate paid on security trades is required for fiscal periods beginning
on or after September 1, 1995.
(d) Per share net investment income has been determined on the basis of the weighted average number
of shares outstanding during the period.
(e) 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.
</TABLE>
<TABLE>
<CAPTION>
Financial Highlights
(For a share outstanding throughout the period)
Putnam Asset Allocation: Growth Portfoliio
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
- ------------------------------------------------------------------------------------------------------------------------------------
1998 1997 1996 1995 1994
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net asset value,
beginning of period $13.72 $11.47 $10.09 $8.43 $8.22
- ------------------------------------------------------------------------------------------------------------------------------------
Investment operations
- ------------------------------------------------------------------------------------------------------------------------------------
Net investment income .08 (d) .21 (d) .21 (d) .17 (d)(e) .03 (d)(e)
- ------------------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investments .94 2.70 1.65 1.57 .18
- ------------------------------------------------------------------------------------------------------------------------------------
Total from
investment operations 1.02 2.91 1.86 1.74 .21
- ------------------------------------------------------------------------------------------------------------------------------------
Less distributions:
- ------------------------------------------------------------------------------------------------------------------------------------
From net
investment income (.15) (.19) (.21) (.08) --
- ------------------------------------------------------------------------------------------------------------------------------------
From net realized gain
on investments (.84) (.47) (.27) -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Total distributions (.99) (.66) (.48) (.08) --
- ------------------------------------------------------------------------------------------------------------------------------------
Net asset value,
end of period $13.75 $13.72 $11.47 $10.09 $8.43
- ------------------------------------------------------------------------------------------------------------------------------------
Ratios and supplemental data
- ------------------------------------------------------------------------------------------------------------------------------------
Total investment return
at net asset value (%)(a) 8.24 * 26.54 19.20 20.94 2.55 *
- ------------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $244,893 $233,292 $58,301 $45,150 $775
- ------------------------------------------------------------------------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(b) .55 * 1.14 1.21 1.28 (e) .20 (e)*
- ------------------------------------------------------------------------------------------------------------------------------------
Ratio of net investment income
to average net assets (%) .60 * 1.71 1.97 2.05 (e) .50 (e)*
- ------------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 74.30 * 99.96 100.93 88.36 39.90 *
- ------------------------------------------------------------------------------------------------------------------------------------
Average commission
rate paid (c) $.0260 $.0417 0.048578
- ------------------------------------------------------------------------------------------------------------------------------------
+ Commencement of operations.
* Not annualized.
(a) Total investment return assumes dividend reinvestment and does not reflect the effect of sales charges.
(b) 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).
(c) Average commission rate paid on security trades is required for fiscal periods beginning
on or after September 1, 1995.
(d) Per share net investment income has been determined on the basis of the weighted average number
of shares outstanding during the period.
(e) 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.
</TABLE>
<TABLE>
<CAPTION>
Statement of assets and liabilities
March 31, 1998 (Unaudited)
Putnam Asset Allocation: Balanced Portfolio
Assets
<S> <C>
- --------------------------------------------------------------------------------------------------------
Investments in securities, at value
(identified cost $1,384,459,509) (Note 1) $1,629,931,940
- --------------------------------------------------------------------------------------------------------
Repurchase agreement
(identified cost $179,802,712) (Note 1) 179,802,712
- --------------------------------------------------------------------------------------------------------
Cash 1,516,360
- --------------------------------------------------------------------------------------------------------
Foreign currency (cost $5,705,287) 4,757,285
- --------------------------------------------------------------------------------------------------------
Dividends, interest and other receivables 7,822,420
- --------------------------------------------------------------------------------------------------------
Receivable for shares of the fund sold 4,047,141
- --------------------------------------------------------------------------------------------------------
Receivable for securities sold 20,098,490
- --------------------------------------------------------------------------------------------------------
Receivable for open forward currency contracts 3,594,983
- --------------------------------------------------------------------------------------------------------
Receivable for closed forward currency contracts 254,880
- --------------------------------------------------------------------------------------------------------
Receivable for variation margin 3,224,663
- --------------------------------------------------------------------------------------------------------
Total assets 1,855,050,874
Liabilities
- --------------------------------------------------------------------------------------------------------
Payable for securities purchased 43,746,844
- --------------------------------------------------------------------------------------------------------
Payable for shares of the fund repurchased 1,589,619
- --------------------------------------------------------------------------------------------------------
Payable for compensation of Manager (Note 2) 2,491,069
- --------------------------------------------------------------------------------------------------------
Payable for investor servicing and custodian fees (Note 2) 495,059
- --------------------------------------------------------------------------------------------------------
Payable for compensation of Trustees (Note 2) 3,397
- --------------------------------------------------------------------------------------------------------
Payable for administrative services (Note 2) 4,738
- --------------------------------------------------------------------------------------------------------
Payable for distribution fees (Note 2) 1,103,236
- --------------------------------------------------------------------------------------------------------
Payable for open forward currency contracts 5,219,969
- --------------------------------------------------------------------------------------------------------
Payable for closed forward currency contracts 1,133,112
- --------------------------------------------------------------------------------------------------------
TBS Sales commitments, at value (Proceeds receivable $398,836) 398,594
- --------------------------------------------------------------------------------------------------------
Written options outstanding, at value (premiums received $62,514) (Note 3) 14,980
- --------------------------------------------------------------------------------------------------------
Other accrued expenses 107,909
- --------------------------------------------------------------------------------------------------------
Total liabilities 56,308,526
- --------------------------------------------------------------------------------------------------------
Net assets $1,798,742,348
Represented by
- --------------------------------------------------------------------------------------------------------
Paid-in capital (Notes 1 and 4) $1,504,132,800
- --------------------------------------------------------------------------------------------------------
Distributions in excess of net investment income (Note 1) (6,987,739)
- --------------------------------------------------------------------------------------------------------
Accumulated net realized gain on investments and
foreign currency transactions (Note 1) 58,324,389
- --------------------------------------------------------------------------------------------------------
Net unrealized appreciation of investments and
assets and liabilities in foreign currencies 243,272,898
- --------------------------------------------------------------------------------------------------------
Total -- Representing net assets applicable to
capital shares outstanding $1,798,742,348
Computation of net asset value and offering price
- --------------------------------------------------------------------------------------------------------
Net asset value and redemption price per class A share
($895,360,880 divided by 73,861,767 shares) $12.12
- --------------------------------------------------------------------------------------------------------
Offering price per class A share (100/94.25 of $12.12)* $12.86
- --------------------------------------------------------------------------------------------------------
Net asset value and offering price per class B share
($511,916,021 divided by 42,441,814 shares)** $12.06
- --------------------------------------------------------------------------------------------------------
Net asset value and offering price per class C share
($90,452,681 divided by 7,533,612 shares)** $12.01
- --------------------------------------------------------------------------------------------------------
Net asset value and redemption price per class M share
($55,760,374 divided by 4,603,873 shares) $12.11
- --------------------------------------------------------------------------------------------------------
Offering price per class M share (100/96.50 of $12.11)* $12.55
- --------------------------------------------------------------------------------------------------------
Net asset value, offering price and redemption price per class Y share
($245,252,392 divided by 20,221,575 shares) $12.13
- --------------------------------------------------------------------------------------------------------
* 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, 1998 (Unaudited)
Putnam Asset Allocation: Balanced Portfolio
Investment income:
<S> <C>
- --------------------------------------------------------------------------------------------------------
Interest $ 18,904,955
- --------------------------------------------------------------------------------------------------------
Dividends (net of foreign tax of $220,040) 7,009,451
- --------------------------------------------------------------------------------------------------------
Total investment income 25,914,406
Expenses:
- --------------------------------------------------------------------------------------------------------
Compensation of Manager (Note 2) 4,787,325
- --------------------------------------------------------------------------------------------------------
Investor servicing and custodian fees (Note 2) 2,835,665
- --------------------------------------------------------------------------------------------------------
Compensation of Trustees (Note 2) 2,606
- --------------------------------------------------------------------------------------------------------
Administrative services (Note 2) 9,429
- --------------------------------------------------------------------------------------------------------
Distribution fees -- Class A (Note 2) 957,037
- --------------------------------------------------------------------------------------------------------
Distribution fees -- Class B (Note 2) 2,274,823
- --------------------------------------------------------------------------------------------------------
Distribution fees -- Class C (Note 2) 386,311
- --------------------------------------------------------------------------------------------------------
Distribution fees -- Class M (Note 2) 185,134
- --------------------------------------------------------------------------------------------------------
Amortization of organization expenses (Note 1) 3,593
- --------------------------------------------------------------------------------------------------------
Reports to shareholders 45,226
- --------------------------------------------------------------------------------------------------------
Registration fees 109,363
- --------------------------------------------------------------------------------------------------------
Auditing 38,296
- --------------------------------------------------------------------------------------------------------
Legal 9,046
- --------------------------------------------------------------------------------------------------------
Postage 30,704
- --------------------------------------------------------------------------------------------------------
Other 27,322
- --------------------------------------------------------------------------------------------------------
Total expenses 11,701,880
- --------------------------------------------------------------------------------------------------------
Expense reduction (Note 2) (272,476)
- --------------------------------------------------------------------------------------------------------
Net expenses 11,429,404
- --------------------------------------------------------------------------------------------------------
Net investment income 14,485,002
- --------------------------------------------------------------------------------------------------------
Net realized gain on investments (Notes 1 and 3) 59,095,772
- --------------------------------------------------------------------------------------------------------
Net realized gain on futures contracts (Note 1) 19,511,364
- --------------------------------------------------------------------------------------------------------
Net realized gain on written options (Notes 1 and 3) 209,618
- --------------------------------------------------------------------------------------------------------
Net realized loss on foreign currency transactions (Note 1) (4,672,475)
- --------------------------------------------------------------------------------------------------------
Net unrealized depreciation of assets and liabilities in
foreign currencies during the period (2,248,580)
- --------------------------------------------------------------------------------------------------------
Net unrealized appreciation of investments, futures,
written options, and TBA sale commitments during the period 32,681,067
- --------------------------------------------------------------------------------------------------------
Net gain on investments 104,576,766
- --------------------------------------------------------------------------------------------------------
Net increase in net assets resulting from operations $119,061,768
- --------------------------------------------------------------------------------------------------------
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
1998* 1997
- --------------------------------------------------------------------------------------------------------
<S> <C> <C>
Increase in net assets
- --------------------------------------------------------------------------------------------------------
Operations:
- --------------------------------------------------------------------------------------------------------
Net investment income $ 14,485,002 $ 24,292,767
- --------------------------------------------------------------------------------------------------------
Net realized gain on investments and
foreign currency transactions 74,144,279 82,193,569
- --------------------------------------------------------------------------------------------------------
Net unrealized appreciation of
investments and assets and liabilities
in foreign currencies 30,432,487 136,953,355
- --------------------------------------------------------------------------------------------------------
Net increase in net assets resulting from operations 119,061,768 243,439,691
- --------------------------------------------------------------------------------------------------------
Distributions to shareholders:
- --------------------------------------------------------------------------------------------------------
From net investment income
Class A (10,421,138) (12,697,299)
- --------------------------------------------------------------------------------------------------------
Class B (4,638,587) (6,684,235)
- --------------------------------------------------------------------------------------------------------
Class C (796,508) (929,452)
- --------------------------------------------------------------------------------------------------------
Class M (561,827) (584,395)
- --------------------------------------------------------------------------------------------------------
Class Y (3,363,151) (5,162,787)
- --------------------------------------------------------------------------------------------------------
From net realized gain on investments
Class A (46,638,130) (17,400,957)
- --------------------------------------------------------------------------------------------------------
Class B (29,116,576) (14,022,870)
- --------------------------------------------------------------------------------------------------------
Class C (4,896,267) (1,750,679)
- --------------------------------------------------------------------------------------------------------
Class M (3,151,852) (891,021)
- --------------------------------------------------------------------------------------------------------
Class Y (14,498,916) (6,323,825)
- --------------------------------------------------------------------------------------------------------
Increase from capital share transactions (Note 4) 327,591,361 529,850,375
- --------------------------------------------------------------------------------------------------------
Total increase in net assets 328,570,177 706,842,546
Net assets
- --------------------------------------------------------------------------------------------------------
Beginning of period 1,470,172,171 763,329,625
- --------------------------------------------------------------------------------------------------------
End of period (including distributions in excess
of net investment income of $6,987,739 and
$1,691,530 respectively) $1,798,742,348 $1,470,172,171
- --------------------------------------------------------------------------------------------------------
* 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
- ------------------------------------------------------------------------------------------------------------------------------------
1998 1997 1996 1995 1994
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net asset value,
beginning of period $12.28 $10.71 $9.67 $8.33 $8.50
- ------------------------------------------------------------------------------------------------------------------------------------
Investment operations
- ------------------------------------------------------------------------------------------------------------------------------------
Net investment income .13 .28 (d) .29 (d) .27 (d)(e) .16 (d)(e)
- ------------------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investments .65 2.13 1.32 1.27 (.28)
- ------------------------------------------------------------------------------------------------------------------------------------
Total from
investment operations .78 2.41 1.61 1.54 (.12)
- ------------------------------------------------------------------------------------------------------------------------------------
Less distributions:
- ------------------------------------------------------------------------------------------------------------------------------------
From net
investment income (.16) (.31) (.28) (.20) (.05)
- ------------------------------------------------------------------------------------------------------------------------------------
From net realized gain
on investments (.78) (.53) (.29) -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Total distributions (.94) (.84) (.57) (.20) (.05)
- ------------------------------------------------------------------------------------------------------------------------------------
Net asset value,
end of period $12.12 $12.28 $10.71 $9.67 $8.33
- ------------------------------------------------------------------------------------------------------------------------------------
Ratios and supplemental data
- ------------------------------------------------------------------------------------------------------------------------------------
Total investment return
at net asset value (%)(a) 7.05 * 23.82 17.41 18.73 (1.47)*
- ------------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $895,361 $680,720 $327,326 $152,317 $54,483
- ------------------------------------------------------------------------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(b) .62 * 1.27 1.33 1.32 (e) .83 (e)*
- ------------------------------------------------------------------------------------------------------------------------------------
Ratio of net investment income
to average net assets (%) 1.03 * 2.44 2.83 2.95 (e) 2.13 (e)*
- ------------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 89.76 * 136.75 122.12 106.03 52.62 *
- ------------------------------------------------------------------------------------------------------------------------------------
Average commission
rate paid (c) $.0245 $.0407 $.0470
- ------------------------------------------------------------------------------------------------------------------------------------
+ Commencement of operations.
* Not annualized.
(a) Total investment return assumes dividend reinvestment and does not reflect the effect of sales charges.
(b) 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).
(c) Average commission rate paid on security trades is required for fiscal periods beginning
on or after September 1, 1995.
(d) Per share net investment income has been determined on the basis of the weighted average number
of shares outstanding during the period.
(e) 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.
</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
- ------------------------------------------------------------------------------------------------------------------------------------
1998 1997 1996 1995 1994
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net asset value,
beginning of period $12.23 $10.67 $9.64 $8.31 $8.50
- ------------------------------------------------------------------------------------------------------------------------------------
Investment operations
- ------------------------------------------------------------------------------------------------------------------------------------
Net investment income .08 .19 (d) .21 (d) .20 (d)(e) .11 (d)(e)
- ------------------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investments .65 2.13 1.32 1.26 (.27)
- ------------------------------------------------------------------------------------------------------------------------------------
Total from
investment operations .73 2.32 1.53 1.46 (.16)
- ------------------------------------------------------------------------------------------------------------------------------------
Less distributions:
- ------------------------------------------------------------------------------------------------------------------------------------
From net
investment income (.12) (.23) (.21) (.13) (.03)
- ------------------------------------------------------------------------------------------------------------------------------------
From net realized gain
on investments (.78) (.53) (.29) -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Total distributions (.90) (.76) (.50) (.13) (.03)
- ------------------------------------------------------------------------------------------------------------------------------------
Net asset value,
end of period $12.06 $12.23 $10.67 $9.64 $8.31
- ------------------------------------------------------------------------------------------------------------------------------------
Ratios and supplemental data
- ------------------------------------------------------------------------------------------------------------------------------------
Total investment return
at net asset value (%)(a) 6.62 * 22.95 16.54 17.83 (1.89)*
- ------------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $511,916 $442,463 $264,830 $159,230 $81,093
- ------------------------------------------------------------------------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(b) 1.00 * 2.02 2.08 2.07 (e) 1.23 (e)*
- ------------------------------------------------------------------------------------------------------------------------------------
Ratio of net investment income
to average net assets (%) .66 * 1.70 2.08 2.26 (e) 1.41 (e)*
- ------------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 89.76 * 136.75 122.12 106.03 52.62 *
- ------------------------------------------------------------------------------------------------------------------------------------
Average commission
rate paid (c) $.0245 $.0407 $.0470
- ------------------------------------------------------------------------------------------------------------------------------------
+ Commencement of operations.
* Not annualized.
(a) Total investment return assumes dividend reinvestment and does not reflect the effect of sales charges.
(b) 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).
(c) Average commission rate paid on security trades is required for fiscal periods beginning
on or after September 1, 1995.
(d) Per share net investment income has been determined on the basis of the weighted average number
of shares outstanding during the period.
(e) 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.
</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
- ------------------------------------------------------------------------------------------------------------------------------------
1998 1997 1996 1995 1994
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net asset value,
beginning of period $12.18 $10.64 $9.62 $8.31 $8.41
- ------------------------------------------------------------------------------------------------------------------------------------
Investment operations
- ------------------------------------------------------------------------------------------------------------------------------------
Net investment income .08 (d) .19 (d) .22 (d) .20 (d)(e) .01 (d)(e)
- ------------------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investments .65 2.11 1.30 1.27 (.08)
- ------------------------------------------------------------------------------------------------------------------------------------
Total from
investment operations .73 2.30 1.52 1.47 (.07)
- ------------------------------------------------------------------------------------------------------------------------------------
Less distributions:
- ------------------------------------------------------------------------------------------------------------------------------------
From net
investment income (.12) (.23) (.21) (.16) (.03)
- ------------------------------------------------------------------------------------------------------------------------------------
From net realized gain
on investments (.78) (.53) (.29) -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Total distributions (.90) (.76) (.50) (.16) (.03)
- ------------------------------------------------------------------------------------------------------------------------------------
Net asset value,
end of period $12.01 $12.18 $10.64 $9.62 $8.31
- ------------------------------------------------------------------------------------------------------------------------------------
Ratios and supplemental data
- ------------------------------------------------------------------------------------------------------------------------------------
Total investment return
at net asset value (%)(a) 6.66 * 22.86 16.47 17.89 (.84)*
- ------------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $90,453 $70,847 $29,724 $11,921 $441
- ------------------------------------------------------------------------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(b) 1.00 * 2.02 2.09 2.09 (e) .16 (e)*
- ------------------------------------------------------------------------------------------------------------------------------------
Ratio of net investment income
to average net assets (%) .66 * 1.70 2.18 2.22 (e) .11 (e)*
- ------------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 89.76 * 136.75 122.12 106.03 52.62 *
- ------------------------------------------------------------------------------------------------------------------------------------
Average commission
rate paid (c) $.0245 $.0407 $.0470
- ------------------------------------------------------------------------------------------------------------------------------------
+ Commencement of operations.
* Not annualized.
(a) Total investment return assumes dividend reinvestment and does not reflect the effect of sales charges.
(b) 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).
(c) Average commission rate paid on security trades is required for fiscal periods beginning
on or after September 1, 1995.
(d) Per share net investment income has been determined on the basis of the weighted average number
of shares outstanding during the period.
(e) 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.
</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 Feb. 6, 1995+
operating performance (Unaudited) Year ended September 30 to Sept. 30
- ------------------------------------------------------------------------------------------------------------------------------------
1998 1997 1996 1995
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Net asset value,
beginning of period $12.27 $10.71 $9.66 $8.34
- ------------------------------------------------------------------------------------------------------------------------------------
Investment operations
- ------------------------------------------------------------------------------------------------------------------------------------
Net investment income .10 .22 (d) .24 (d) .14 (d)(e)
- ------------------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investments .65 2.13 1.34 1.31
- ------------------------------------------------------------------------------------------------------------------------------------
Total from
investment operations .75 2.35 1.58 1.45
- ------------------------------------------------------------------------------------------------------------------------------------
Less distributions:
- ------------------------------------------------------------------------------------------------------------------------------------
From net
investment income (.13) (.26) (.24) (.13)
- ------------------------------------------------------------------------------------------------------------------------------------
From net realized gain
on investments (.78) (.53) (.29) --
- ------------------------------------------------------------------------------------------------------------------------------------
Total distributions (.91) (.79) (.53) (.13)
- ------------------------------------------------------------------------------------------------------------------------------------
Net asset value,
end of period $12.11 $12.27 $10.71 $9.66
- ------------------------------------------------------------------------------------------------------------------------------------
Ratios and supplemental data
- ------------------------------------------------------------------------------------------------------------------------------------
Total investment return
at net asset value (%)(a) 6.80 * 23.19 17.05 17.46 *
- ------------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $55,760 $44,121 $14,967 $3,509
- ------------------------------------------------------------------------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(b) .87 * 1.77 1.84 1.38 (e)*
- ------------------------------------------------------------------------------------------------------------------------------------
Ratio of net investment income
to average net assets (%) .79 * 1.93 2.42 1.56 (e)*
- ------------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 89.76 * 136.75 122.12 106.03
- ------------------------------------------------------------------------------------------------------------------------------------
Average commission
rate paid (c) $.0245 $.0407 $.0470
- ------------------------------------------------------------------------------------------------------------------------------------
+ Commencement of operations.
* Not annualized.
(a) Total investment return assumes dividend reinvestment and does not reflect the effect of sales charges.
(b) 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).
(c) Average commission rate paid on security trades is required for fiscal periods beginning
on or after September 1, 1995.
(d) Per share net investment income has been determined on the basis of the weighted average number
of shares outstanding during the period.
(e) 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.
</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
- ------------------------------------------------------------------------------------------------------------------------------------
1998 1997 1996 1995 1994
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net asset value,
beginning of period $12.29 $10.71 $9.66 $8.33 $8.11
- ------------------------------------------------------------------------------------------------------------------------------------
Investment operations
- ------------------------------------------------------------------------------------------------------------------------------------
Net investment income .14 .31 (d) .31 (d) .29 (d)(e) .05 (d)(e)
- ------------------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investments .66 2.14 1.34 1.26 .22
- ------------------------------------------------------------------------------------------------------------------------------------
Total from
investment operations .80 2.45 1.65 1.55 .27
- ------------------------------------------------------------------------------------------------------------------------------------
Less distributions:
- ------------------------------------------------------------------------------------------------------------------------------------
From net
investment income (.18) (.34) (.31) (.22) (.05)
- ------------------------------------------------------------------------------------------------------------------------------------
From net realized gain
on investments (.78) (.53) (.29) -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Total distributions (.96) (.87) (.60) (.22) (.05)
- ------------------------------------------------------------------------------------------------------------------------------------
Net asset value,
end of period $12.13 $12.29 $10.71 $9.66 $8.33
- ------------------------------------------------------------------------------------------------------------------------------------
Ratios and supplemental data
- ------------------------------------------------------------------------------------------------------------------------------------
Total investment return
at net asset value (%)(a) 7.17 * 24.21 17.81 18.89 3.34 *
- ------------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $245,252 $232,021 $126,482 $71,661 $66,081
- ------------------------------------------------------------------------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(b) .50 * 1.02 1.08 1.07 (e) .23 (e)*
- ------------------------------------------------------------------------------------------------------------------------------------
Ratio of net investment income
to average net assets (%) 1.16 * 2.70 3.03 3.35 (e) .62 (e)*
- ------------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 89.76 * 136.75 122.12 106.03 52.62 *
- ------------------------------------------------------------------------------------------------------------------------------------
Average commission
rate paid (c) $.0245 $.0407 $.0470
- ------------------------------------------------------------------------------------------------------------------------------------
+ Commencement of operations.
* Not annualized.
(a) Total investment return assumes dividend reinvestment and does not reflect the effect of sales charges.
(b) 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).
(c) Average commission rate paid on security trades is required for fiscal periods beginning
on or after September 1, 1995.
(d) Per share net investment income has been determined on the basis of the weighted average number
of shares outstanding during the period.
(e) 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.
</TABLE>
<TABLE>
<CAPTION>
Statement of assets and liabilities
March 31, 1998 (Unaudited)
Putnam Asset Allocation: Conservative Portfolio
Assets
<S> <C>
- --------------------------------------------------------------------------------------------------------
Investments in securities, at value
(identified cost $495,963,742) (Note 1) $542,066,355
- --------------------------------------------------------------------------------------------------------
Repurchase agreement
(identified cost $77,923,877) (Note 1) 77,923,877
- --------------------------------------------------------------------------------------------------------
Cash 731,423
- --------------------------------------------------------------------------------------------------------
Foreign currency (cost $3,057,664) 2,898,949
- --------------------------------------------------------------------------------------------------------
Dividends, interest and other receivables 4,847,082
- --------------------------------------------------------------------------------------------------------
Receivable for shares of the fund sold 1,598,680
- --------------------------------------------------------------------------------------------------------
Receivable for securities sold 10,893,679
- --------------------------------------------------------------------------------------------------------
Receivable for open forward currency contracts 1,789,628
- --------------------------------------------------------------------------------------------------------
Receivable for closed forward currency contracts 99,274
- --------------------------------------------------------------------------------------------------------
Receivable for variation margin 485,641
- --------------------------------------------------------------------------------------------------------
Total assets 643,334,588
Liabilities
- --------------------------------------------------------------------------------------------------------
Payable for securities purchased 29,900,907
- --------------------------------------------------------------------------------------------------------
Payable for shares of the fund repurchased 1,432,395
- --------------------------------------------------------------------------------------------------------
Payable for compensation of Manager (Note 2) 969,678
- --------------------------------------------------------------------------------------------------------
Payable for investor servicing and custodian fees (Note 2) 196,970
- --------------------------------------------------------------------------------------------------------
Payable for compensation of Trustees (Note 2) 10,364
- --------------------------------------------------------------------------------------------------------
Payable for administrative services (Note 2) 1,729
- --------------------------------------------------------------------------------------------------------
Payable for distribution fees (Note 2) 404,617
- --------------------------------------------------------------------------------------------------------
Payable for open forward currency contracts 2,943,230
- --------------------------------------------------------------------------------------------------------
Payable for closed forward currency contracts 1,249,305
- --------------------------------------------------------------------------------------------------------
Written options outstanding, at value (premiums received $28,970) (Note 3) 6,942
- --------------------------------------------------------------------------------------------------------
TBA sales commitments, at value (proceeds receivable $600,844) 600,480
- --------------------------------------------------------------------------------------------------------
Other accrued expenses 147,250
- --------------------------------------------------------------------------------------------------------
Total liabilities 37,863,867
- --------------------------------------------------------------------------------------------------------
Net assets $605,470,721
Represented by
- --------------------------------------------------------------------------------------------------------
Paid-in capital (Notes 1 and 4) $545,107,369
- --------------------------------------------------------------------------------------------------------
Undistributed net investment income (Note 1) 329,178
- --------------------------------------------------------------------------------------------------------
Accumulated net realized gain on investments and
foreign currency transactions (Note 1) 15,538,354
- --------------------------------------------------------------------------------------------------------
Net unrealized appreciation of investments and
assets and liabilities in foreign currencies 44,495,820
- --------------------------------------------------------------------------------------------------------
Total -- Representing net assets applicable to
capital shares outstanding $605,470,721
Computation of net asset value and offering price
- --------------------------------------------------------------------------------------------------------
Net asset value and redemption price per class A share
($376,172,869 divided by 35,831,219 shares) $10.50
- --------------------------------------------------------------------------------------------------------
Offering price per class A share (100/94.25 of $10.50)* $11.14
- --------------------------------------------------------------------------------------------------------
Net asset value and offering price per class B share
($157,117,576 divided by 15,013,433 shares)** $10.47
- --------------------------------------------------------------------------------------------------------
Net asset value and offering price per class C share
($36,220,222 divided by 3,470,014 shares)** $10.44
- --------------------------------------------------------------------------------------------------------
Net asset value and redemption price per class M share
($15,747,693 divided by 1,504,204 shares) $10.47
- --------------------------------------------------------------------------------------------------------
Offering price per class M share (100/96.50 of $10.47)* $10.85
- --------------------------------------------------------------------------------------------------------
Net asset value, offering price and redemption price per class Y share
($20,212,361 divided by 1,924,561 shares) $10.50
- --------------------------------------------------------------------------------------------------------
* 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 charges.
The accompanying notes are an integral part of these financial statements.
</TABLE>
<TABLE>
<CAPTION>
Statement of operations
Six months ended March 31, 1998 (Unaudited)
Putnam Asset Allocation: Conservative Portfolio
Investment income:
<S> <C>
- --------------------------------------------------------------------------------------------------------
Interest $11,809,411
- --------------------------------------------------------------------------------------------------------
Dividends (net of foreign tax of $53,555) 1,241,820
- --------------------------------------------------------------------------------------------------------
Total investment income 13,051,231
Expenses:
- --------------------------------------------------------------------------------------------------------
Compensation of Manager (Note 2) 1,860,822
- --------------------------------------------------------------------------------------------------------
Investor servicing and custodian fees (Note 2) 1,133,083
- --------------------------------------------------------------------------------------------------------
Compensation of Trustees (Note 2) 9,721
- --------------------------------------------------------------------------------------------------------
Administrative services (Note 2) 1,421
- --------------------------------------------------------------------------------------------------------
Distribution fees -- Class A (Note 2) 410,412
- --------------------------------------------------------------------------------------------------------
Distribution fees -- Class B (Note 2) 719,842
- --------------------------------------------------------------------------------------------------------
Distribution fees -- Class C (Note 2) 159,381
- --------------------------------------------------------------------------------------------------------
Distribution fees -- Class M (Note 2) 51,220
- --------------------------------------------------------------------------------------------------------
Amortization of organization expenses (Note 1) 3,604
- --------------------------------------------------------------------------------------------------------
Reports to shareholders 18,684
- --------------------------------------------------------------------------------------------------------
Registration fees 100,834
- --------------------------------------------------------------------------------------------------------
Auditing 32,727
- --------------------------------------------------------------------------------------------------------
Legal 1,292
- --------------------------------------------------------------------------------------------------------
Postage 10,702
- --------------------------------------------------------------------------------------------------------
Other 9,731
- --------------------------------------------------------------------------------------------------------
Total expenses 4,523,476
- --------------------------------------------------------------------------------------------------------
Expense reduction (Note 2) (137,188)
- --------------------------------------------------------------------------------------------------------
Net expenses 4,386,288
- --------------------------------------------------------------------------------------------------------
Net investment income 8,664,943
- --------------------------------------------------------------------------------------------------------
Net realized gain on investments (Notes 1 and 3) 15,250,616
- --------------------------------------------------------------------------------------------------------
Net realized gain on futures contracts (Note 1) 7,857,352
- --------------------------------------------------------------------------------------------------------
Net realized gain on written options (Notes 1 and 3) 99,434
- --------------------------------------------------------------------------------------------------------
Net realized loss on foreign currency transactions (Note 1) (1,984,406)
- --------------------------------------------------------------------------------------------------------
Net unrealized depreciation of assets and liabilities in
foreign currencies during the period (1,515,625)
- --------------------------------------------------------------------------------------------------------
Net unrealized depreciation of investments, futures,
written options and TBA sale commitments during the period (727,681)
- --------------------------------------------------------------------------------------------------------
Net gain on investments 18,979,690
- --------------------------------------------------------------------------------------------------------
Net increase in net assets resulting from operations $27,644,633
- --------------------------------------------------------------------------------------------------------
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
1998* 1997
<S> <C> <C>
- --------------------------------------------------------------------------------------------------------
Increase in net assets
- --------------------------------------------------------------------------------------------------------
Operations:
- --------------------------------------------------------------------------------------------------------
Net investment income $ 8,664,943 $ 14,135,990
- --------------------------------------------------------------------------------------------------------
Net realized gain on investments and
foreign currency transactions 21,222,996 16,587,637
- --------------------------------------------------------------------------------------------------------
Net unrealized appreciation (depreciation) of
investments and assets and liabilities
in foreign currencies (2,243,306) 34,561,076
- --------------------------------------------------------------------------------------------------------
Net increase in net assets resulting from operations 27,644,633 65,284,703
- --------------------------------------------------------------------------------------------------------
Distributions to shareholders:
- --------------------------------------------------------------------------------------------------------
From net investment income
Class A (5,324,442) (8,805,780)
- --------------------------------------------------------------------------------------------------------
Class B (1,817,863) (3,124,303)
- --------------------------------------------------------------------------------------------------------
Class C (406,590) (624,813)
- --------------------------------------------------------------------------------------------------------
Class M (189,899) (241,373)
- --------------------------------------------------------------------------------------------------------
Class Y (343,331) (509,001)
- --------------------------------------------------------------------------------------------------------
From net realized gain on investments
Class A (12,668,610) (7,375,222)
- --------------------------------------------------------------------------------------------------------
Class B (5,795,106) (3,325,457)
- --------------------------------------------------------------------------------------------------------
Class C (1,281,859) (631,861)
- --------------------------------------------------------------------------------------------------------
Class M (530,966) (177,085)
- --------------------------------------------------------------------------------------------------------
Class Y (804,862) (342,603)
- --------------------------------------------------------------------------------------------------------
Increase from capital share transactions (Note 4) 112,812,422 225,189,402
- --------------------------------------------------------------------------------------------------------
Total increase in net assets 111,293,527 265,316,607
Net assets
- --------------------------------------------------------------------------------------------------------
Beginning of period 494,177,194 228,860,587
- --------------------------------------------------------------------------------------------------------
End of period (including undistributed net investment
income and distributions in excess of undistributed
net investment income of $329,178 and
$253,640, respectively) $605,470,721 $494,177,194
- --------------------------------------------------------------------------------------------------------
* Unaudited
</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
- ------------------------------------------------------------------------------------------------------------------------------------
1998 1997 1996 1995 1994
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net asset value,
beginning of period $10.61 $9.69 $9.19 $8.23 $8.50
- ------------------------------------------------------------------------------------------------------------------------------------
Investment operations
- ------------------------------------------------------------------------------------------------------------------------------------
Net investment income .18 .38 (d) .36 .33 (e) .18 (d)(e)
- ------------------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investments .31 1.22 .68 .90 (.39)
- ------------------------------------------------------------------------------------------------------------------------------------
Total from
investment operations .49 1.60 1.04 1.23 (.21)
- ------------------------------------------------------------------------------------------------------------------------------------
Less distributions:
- ------------------------------------------------------------------------------------------------------------------------------------
From net
investment income (.17) (.35) (.36) (.27) (.06)
- ------------------------------------------------------------------------------------------------------------------------------------
From net realized gain
on investments (.43) (.33) (.18) -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Total distributions (.60) (.68) (.54) (.27) (.06)
- ------------------------------------------------------------------------------------------------------------------------------------
Net asset value,
end of period $10.50 $10.61 $9.69 $9.19 $8.23
- ------------------------------------------------------------------------------------------------------------------------------------
Ratios and supplemental data
- ------------------------------------------------------------------------------------------------------------------------------------
Total investment return
at net asset value (%)(a) 4.90 * 17.26 11.73 15.27 (2.47)*
- ------------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $376,173 $295,239 $106,933 $57,341 $25,782
- ------------------------------------------------------------------------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(b) .72 * 1.38 1.47 1.22 (e) .75 (e)*
- ------------------------------------------------------------------------------------------------------------------------------------
Ratio of net investment income
to average net assets (%) 1.73 * 3.74 4.08 4.48 (e) 2.41 (e)*
- ------------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 122.39 * 219.44 183.67 159.80 59.27 *
- ------------------------------------------------------------------------------------------------------------------------------------
Average commission
rate paid (c) $.0248 $.0398 $.0495
- ------------------------------------------------------------------------------------------------------------------------------------
+ Commencement of operations.
* Not annualized.
(a) Total investment return assumes dividend reinvestment and does not reflect the effect of sales charges.
(b) 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).
(c) Average commission rate paid on security trades is required for fiscal periods beginning
on or after September 1, 1995.
(d) Per share net investment income has been determined on the basis of the weighted average number
of shares outstanding during the period.
(e) 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.
</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
- ------------------------------------------------------------------------------------------------------------------------------------
1998 1997 1996 1995 1994
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net asset value,
beginning of period $10.57 $9.66 $9.16 $8.22 $8.50
- ------------------------------------------------------------------------------------------------------------------------------------
Investment operations
- ------------------------------------------------------------------------------------------------------------------------------------
Net investment income .14 .30 (d) .29 .30 (e) .15 (d)(e)
- ------------------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investments .32 1.22 .68 .85 (.39)
- ------------------------------------------------------------------------------------------------------------------------------------
Total from
investment operations .46 1.52 .97 1.15 (.24)
- ------------------------------------------------------------------------------------------------------------------------------------
Less distributions:
- ------------------------------------------------------------------------------------------------------------------------------------
From net
investment income (.13) (.28) (.29) (.21) (.04)
- ------------------------------------------------------------------------------------------------------------------------------------
From net realized gain
on investments (.43) (.33) (.18) -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Total distributions (.56) (.61) (.47) (.21) (.04)
- ------------------------------------------------------------------------------------------------------------------------------------
Net asset value,
end of period $10.47 $10.57 $9.66 $9.16 $8.22
- ------------------------------------------------------------------------------------------------------------------------------------
Ratios and supplemental data
- ------------------------------------------------------------------------------------------------------------------------------------
Total investment return
at net asset value (%)(a) 4.64 * 16.36 10.96 14.22 (2.79)*
- ------------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $157,118 $138,457 $94,954 $65,783 $38,711
- ------------------------------------------------------------------------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(b) 1.09 * 2.13 2.22 1.98 (e) 1.21 (e)*
- ------------------------------------------------------------------------------------------------------------------------------------
Ratio of net investment income
to average net assets (%) 1.36 * 2.97 3.33 3.81 (e) 1.92 (e)*
- ------------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 122.39 * 219.44 183.67 159.80 59.27 *
- ------------------------------------------------------------------------------------------------------------------------------------
Average commission
rate paid (c) $.0248 $.0398 $.0495
- ------------------------------------------------------------------------------------------------------------------------------------
+ Commencement of operations.
* Not annualized.
(a) Total investment return assumes dividend reinvestment and does not reflect the effect of sales charges.
(b) 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).
(c) Average commission rate paid on security trades is required for fiscal periods beginning
on or after September 1, 1995.
(d) Per share net investment income has been determined on the basis of the weighted average number
of shares outstanding during the period.
(e) 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.
</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
- ------------------------------------------------------------------------------------------------------------------------------------
1998 1997 1996 1995 1994
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net asset value,
beginning of period $10.56 $9.64 $9.15 $8.22 $8.33
- ------------------------------------------------------------------------------------------------------------------------------------
Investment operations
- ------------------------------------------------------------------------------------------------------------------------------------
Net investment income .14 .29 (d) .30 .29 (e) .03 (d)(e)
- ------------------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investments .30 1.24 .66 .87 (.10)
- ------------------------------------------------------------------------------------------------------------------------------------
Total from
investment operations .44 1.53 .96 1.16 (.07)
- ------------------------------------------------------------------------------------------------------------------------------------
Less distributions:
- ------------------------------------------------------------------------------------------------------------------------------------
From net
investment income (.13) (.28) (.29) (.23) (.04)
- ------------------------------------------------------------------------------------------------------------------------------------
From net realized gain
on investments (.43) (.33) (.18) -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Total distributions (.56) (.61) (.47) (.23) (.04)
- ------------------------------------------------------------------------------------------------------------------------------------
Net asset value,
end of period $10.44 $10.56 $9.64 $9.15 $8.22
- ------------------------------------------------------------------------------------------------------------------------------------
Ratios and supplemental data
- ------------------------------------------------------------------------------------------------------------------------------------
Total investment return
at net asset value (%)(a) 4.45 * 16.52 10.86 14.41 (.80) *
- ------------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $36,220 $29,032 $16,326 $7,198 $273
- ------------------------------------------------------------------------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(b) 1.09 * 2.13 2.22 1.89 (e) .16 (e)*
- ------------------------------------------------------------------------------------------------------------------------------------
Ratio of net investment income
to average net assets (%) 1.36 * 2.96 3.30 3.92 (e) .48 (e)*
- ------------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 122.39 * 219.44 183.67 159.80 59.27 *
- ------------------------------------------------------------------------------------------------------------------------------------
Average commission
rate paid (c) $.0248 $.0398 $.0495
- ------------------------------------------------------------------------------------------------------------------------------------
+ Commencement of operations.
* Not annualized.
(a) Total investment return assumes dividend reinvestment and does not reflect the effect of sales charges.
(b) 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).
(c) Average commission rate paid on security trades is required for fiscal periods beginning
on or after September 1, 1995.
(d) Per share net investment income has been determined on the basis of the weighted average number
of shares outstanding during the period.
(e) 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.
</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 Feb. 7, 1995+
operating performance (Unaudited) Year ended September 30 to Sept. 30
- ------------------------------------------------------------------------------------------------------------------------------------
1998 1997 1996 1995
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Net asset value,
beginning of period $10.59 $9.67 $9.18 $8.21
- ------------------------------------------------------------------------------------------------------------------------------------
Investment operations
- ------------------------------------------------------------------------------------------------------------------------------------
Net investment income .14 .32 (d) .33 .21 (e)
- ------------------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investments .31 1.24 .66 .92
- ------------------------------------------------------------------------------------------------------------------------------------
Total from
investment operations .45 1.56 .99 1.13
- ------------------------------------------------------------------------------------------------------------------------------------
Less distributions:
- ------------------------------------------------------------------------------------------------------------------------------------
From net
investment income (.14) (.31) (.32) (.16)
- ------------------------------------------------------------------------------------------------------------------------------------
From net realized gain
on investments (.43) (.33) (.18) --
- ------------------------------------------------------------------------------------------------------------------------------------
Total distributions (.57) (.64) (.50) (.16)
- ------------------------------------------------------------------------------------------------------------------------------------
Net asset value,
end of period $10.47 $10.59 $9.67 $9.18
- ------------------------------------------------------------------------------------------------------------------------------------
Ratios and supplemental data
- ------------------------------------------------------------------------------------------------------------------------------------
Total investment return
at net asset value (%)(a) 4.57 * 16.80 11.17 13.92 *
- ------------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $15,748 $12,689 $4,622 $1,366
- ------------------------------------------------------------------------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(b) .97 * 1.88 1.96 1.10 (e)*
- ------------------------------------------------------------------------------------------------------------------------------------
Ratio of net investment income
to average net assets (%) 1.48 * 3.19 3.60 2.73 (e)*
- ------------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 122.39 * 219.44 183.67 159.80
- ------------------------------------------------------------------------------------------------------------------------------------
Average commission
rate paid (c) $.0248 $.0398 $.0495
- ------------------------------------------------------------------------------------------------------------------------------------
+ Commencement of operations.
* Not annualized.
(a) Total investment return assumes dividend reinvestment and does not reflect the effect of sales charges.
(b) 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).
(c) Average commission rate paid on security trades is required for fiscal periods beginning
on or after September 1, 1995.
(d) Per share net investment income has been determined on the basis of the weighted average number
of shares outstanding during the period.
(e) 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.
</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
- ------------------------------------------------------------------------------------------------------------------------------------
1998 1997 1996 1995 1994
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net asset value,
beginning of period $10.62 $9.69 $9.19 $8.23 $8.23
- ------------------------------------------------------------------------------------------------------------------------------------
Investment operations
- ------------------------------------------------------------------------------------------------------------------------------------
Net investment income .19 .40 (d) .38 .36 (e) .07 (d)(e)
- ------------------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investments .30 1.23 .68 .89 --
- ------------------------------------------------------------------------------------------------------------------------------------
Total from
investment operations .49 1.63 1.06 1.25 .07
- ------------------------------------------------------------------------------------------------------------------------------------
Less distributions:
- ------------------------------------------------------------------------------------------------------------------------------------
From net
investment income (.18) (.37) (.38) (.29) (.07)
- ------------------------------------------------------------------------------------------------------------------------------------
From net realized gain
on investments (.43) (.33) (.18) -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Total distributions (.61) (.70) (.56) (.29) (.07)
- ------------------------------------------------------------------------------------------------------------------------------------
Net asset value,
end of period $10.50 $10.62 $9.69 $9.19 $8.23
- ------------------------------------------------------------------------------------------------------------------------------------
Ratios and supplemental data
- ------------------------------------------------------------------------------------------------------------------------------------
Total investment return
at net asset value (%)(a) 4.92 * 17.62 11.99 15.54 1.01 *
- ------------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $20,212 $18,760 $6,025 $1,818 $163
- ------------------------------------------------------------------------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(b) .59 * 1.13 1.22 .92 (e) .21 (e)*
- ------------------------------------------------------------------------------------------------------------------------------------
Ratio of net investment income
to average net assets (%) 1.85 * 3.96 4.45 4.93 (e) 1.04 (e)*
- ------------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 122.39 * 219.44 183.67 159.8 59.27 *
- ------------------------------------------------------------------------------------------------------------------------------------
Average commission
rate paid (c) $.0248 $.0398 $.0495
- ------------------------------------------------------------------------------------------------------------------------------------
+ Commencement of operations.
* Not annualized.
(a) Total investment return assumes dividend reinvestment and does not reflect the effect of sales charges.
(b) 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).
(c) Average commission rate paid on security trades is required for fiscal periods beginning
on or after September 1, 1995.
(d) Per share net investment income has been determined on the basis of the weighted average number
of shares outstanding during the period.
(e) 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.
</TABLE>
Notes to financial statements
March 31, 1998 (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
are subject to a contingent deferred sales charge, if those shares
are redeemed within six years of purchase. Class C shares are
subject to the same fees and expenses as class B shares, except that
class C shares have a one-year 1.00% contingent deferred sales
charge and do not convert to class A shares. Class M shares are sold
with a maximum front end sales charge of 3.50% and pay an ongoing
distribution fee that is higher than class A shares but lower than
class B shares. Class Y shares, which are sold at net asset value,
are generally subject to the same expenses as class A shares, 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 invest at
least $250 million in a combination of Putnam Funds and other
accounts managed by affiliates of Putnam Investment Management, Inc.
("Putnam Management"), the funds' manager, a wholly-owned subsidiary
of Putnam Investments, Inc.
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 funds, 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
consistently 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 forward currency contracts,
futures and options contracts, TBA purchase commitments and TBA sale
commitments.
B) Joint trading account Pursuant to an exemptive order issued by
the Securities and Exchange Commission, the funds may transfer
uninvested cash balances into a joint trading account along with the
cash of other registered investment companies and certain other
accounts managed by Putnam Management. 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 funds are informed of the ex-dividend date. Discounts on zero
coupon bonds, original issue discount bonds, stepped-coupon bonds
and payment in kind bonds are accreted according to the yield-to-
maturity basis. Any premium resulting from the purchase of stepped-
coupon securities in excess of maturity value is amortized on a
yield-to-maturity basis.
Securities purchased or sold on a when-issued or delayed delivery
basis may be settled a month or more after the trade date; interest
income is accrued based on the terms of the security. Losses may
arise due to changes in the market value of the underlying
securities or if the counterparty does not perform under the
contract.
E) Foreign currency translation The accounting records of the funds
are maintained in U.S. dollars. The market value of foreign
securities, currency holdings, other assets and liabilities are
recorded in the books and records of the funds after translation to
U.S. dollars based on the exchange rates on that day. The cost of
each security is determined using historical exchange rates. Income
and withholding taxes are translated at prevailing exchange rates
when accrued or incurred. The funds do not isolate that portion of
realized or unrealized gains or losses resulting from changes in the
foreign exchange rate on investments from fluctuations arising from
changes in the market prices of the securities. Such gains and
losses 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 funds' 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 current forward
currency exchange rates supplied by a quotation service. The market
value of the contract will fluctuate with changes in currency
exchange rates. The contract is "marked to market" daily and the
change in market value is recorded as an unrealized gain or loss.
When the contract is closed, the funds record a realized gain or
loss equal to the difference between the value of the contract at
the time it was opened and the value at the time it was closed. The
funds 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 the funds are 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 owns or expects to purchase. The funds may also
write options on securities it owns or in which it may invest 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. 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. Realized gains and losses on
purchased options are included in realized gains and losses on
investment securities.
Futures contracts are valued at the quoted daily settlement prices
established by the exchange on which they trade. Exchange traded
options are valued at the last sale price, or if no sales are
reported, the last bid price for purchased options and the last ask
price for written options. Options traded over-the-counter are
valued using prices supplied by dealers.
H) TBA purchase 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
holds, and maintains 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 funds'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 funds may dispose of a commitment prior to
settlement if Putnam Management deems it appropriate to do so.
I) TBA sale commitments The funds 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 the funds as an unrealized gain or loss. If the TBA sale
commitment is closed through the acquisition of an offsetting
purchase commitment, the funds realize a gain or loss. If the funds
delivers securities under the commitment, the funds 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) Line of Credit The funds have entered into a committed line of
credit with certain banks. This line of credit agreement includes
restrictions that the funds maintain an asset coverage ratio of at
least 300% and borrowings must not exceed prospectus limitations.
For the six months ended March 31, 1998, the funds had no borrowings
against the line of credit.
K) Federal taxes It is the policy of the funds to distribute all of
its taxable 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 the
funds to distribute an amount sufficient to avoid imposition of any
excise tax under Section 4982 of the Internal Revenue Code of 1986,
as amended. Therefore, no provision has been made for federal taxes
on income, capital gains or unrealized appreciation on securities
held nor for excise tax on income and capital gains.
L) 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 each fund's
capital accounts to reflect income and gains available for
distribution (or available capital loss carryovers) under income tax
regulations.
M) 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.
N) Unamortized organization expenses Expenses incurred by the funds
in connection with its organization, its registration with the
Securities and Exchange Commission and with various states and the
initial public offering of its shares aggregated $39,790.
- ------------------------------------------
Growth Portfolio $13,264
Balanced Portfolio 13,263
Conservative Portfolio 13,263
- ------------------------------------------
These expenses have been fully amortized by each fund over a
five-year period.
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 funds. Such fee is based on the following annual rates:
0.700% of the first $500 million of average net assets of each 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%
thereafter.
The trust reimburse Putnam Management an allocated amount for the
compensation and related expenses of certain officers of the funds
and their staff who provide administrative services to the funds.
The aggregate amount of all such reimbursements is determined
annually by the Trustees.
Custodial functions for the fund's assets are provided by Putnam
Fiduciary Trust Company (PFTC), a subsidiary of Putnam Investments,
Inc. Investor servicing agent functions are provided by Putnam
Investor Services, a division of PFTC.
For the six months ended March 31, 1998, fund expenses were reduced
by $365,003, $272,476 and $137,188 (for Growth Portfolio, Balanced
Portfolio, and Conservative Portfolio, respectivley) 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.
Trustees of the trust receive an annual Trustee's fee as follows:
- ------------------------------------------
Growth Portfolio $1,080
Balanced Portfolio 1,160
Conservative Portfolio 630
- ------------------------------------------
Trustees receive an additional fee for each Trustees meeting
attended. Trustees who are not interested persons of Putnam
Management and who serve on committees of the Trustees receive
additional fees for attendance at certain committee meetings.
Each fund has adopted a Trustee Fee Deferral Plan (the "Deferral
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 Deferral Plan.
Each fund has adopted an unfunded noncontributory defined benefit
pension plan (the "Pension Plan") covering all Trustees of the funds
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 funds 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.
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 the funds. 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 currently limit payment by the
funds to 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, 1998, Putnam Mutual Funds Corp.,
acting as underwriter received net commissions of $455,920 and
$36,392 from the sale of class A and class M shares, respectively
and received $655,643 and $26,910 in contingent deferred sales
charges from redemptions of class B and C shares. A deferred sales
charge of up to 1% is assessed on certain redemptions of class A
shares. For the six months ended March 31, 1998, Putnam Mutual Funds
Corp., acting as underwriter received $633 on class A redemptions.
Note 3
Purchases and sales of securities
During the six months ended March 31, 1998, aggregate purchases and
sales of investment securities other than short-term investments
were as follows:
U.S. Government Obligations
- ----------------------------------------------------
Purchases Sales
- ----------------------------------------------------
Growth
Portfolio $ 91,913,908 $ 91,371,372
- ----------------------------------------------------
Balanced
Portfolio 206,869,118 218,959,124
- ----------------------------------------------------
Conservative
Portfolio 282,871,231 254,193,414
- ----------------------------------------------------
Other Securities
- ----------------------------------------------------
Purchases Sales
- ----------------------------------------------------
Growth
Portfolio $1,013,124,712 $ 813,274,755
- ----------------------------------------------------
Balanced
Portfolio 1,294,457,389 1,044,383,399
- ----------------------------------------------------
Conservative
Portfolio 401,370,967 331,775,885
- ----------------------------------------------------
In determining the net gain or loss on securities
sold, the cost of securities has been determined on
the identified cost basis.
Written option transactions during the year are
summarized as follows:
Growth Portfolio
- ----------------------------------------------------
Contract Premiums
Amount Received
- ----------------------------------------------------
Contracts
outstanding at
the beginning
of the year $ 2,860,000 $ 35,607
- ----------------------------------------------------
Option written 29,236,000 154,399
- ----------------------------------------------------
Options expired (23,653,000) (106,721)
- ----------------------------------------------------
Option closed (4,193,000) (57,365)
- ----------------------------------------------------
Written options
outstanding at
the end of
the year $ 4,250,000 $ 25,920
- ----------------------------------------------------
Balanced Portfolio
- ----------------------------------------------------
Contract Premiums
Amount Received
- ----------------------------------------------------
Contracts
outstanding at
the beginning
of the year $ 7,145,000 $ 88,955
- ----------------------------------------------------
Options written 72,636,000 385,828
- ----------------------------------------------------
Options expired (59,238,000) (354,057)
- ----------------------------------------------------
Options closed (10,293,000) (58,212)
- ----------------------------------------------------
Written options
outstanding at
the end of
the year $ 10,250,000 $ 62,514
- ----------------------------------------------------
Conservative Portfolio
- ----------------------------------------------------
Contract Premiums
Amount Received
- ----------------------------------------------------
Contracts
outstanding at
the beginning
of the year $ 3,245,000 $ 40,400
- ----------------------------------------------------
Options opened 33,974,000 181,760
- ----------------------------------------------------
Options expired (27,707,000) (166,258)
- ----------------------------------------------------
Options closed (4,762,000) (26,932)
- ----------------------------------------------------
Written options
outstanding at
the end of
the year $ 4,750,000 $ 28,970
- ----------------------------------------------------
Note 4
Capital shares
At March 31, 1998 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 1998
- ----------------------------------------------------
Growth Portfolio Shares Amount
- ----------------------------------------------------
Shares sold 14,106,723 $184,616,247
- ----------------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 3,138,717 38,574,222
- ----------------------------------------------------
Shares
repurchased (5,693,930) (73,263,708)
- ----------------------------------------------------
Net increase 11,551,510 $149,926,761
- ----------------------------------------------------
Year ended September 30
- ----------------------------------------------------
Class A 1997
- ----------------------------------------------------
Growth Portfolio Shares Amount
- ----------------------------------------------------
Shares sold 23,602,836 $287,822,715
- ----------------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 1,148,584 12,921,415
- ----------------------------------------------------
Shares
repurchased (7,562,808) (92,745,311)
- ----------------------------------------------------
Net increase 17,188,612 $207,998,819
- ----------------------------------------------------
Six months ended March 31
- ----------------------------------------------------
Class B 1998
- ----------------------------------------------------
Growth Portfolio Shares Amount
- ----------------------------------------------------
Shares sold 5,032,888 $64,478,194
- ----------------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 1,908,393 23,244,763
- ----------------------------------------------------
Shares
repurchased (2,118,311) (27,027,106)
- ----------------------------------------------------
Net increase 4,822,970 $60,695,851
- ----------------------------------------------------
Year ended September 30
- ----------------------------------------------------
Class B 1997
- ----------------------------------------------------
Growth Portfolio Shares Amount
- ----------------------------------------------------
Shares sold 10,376,531 $123,138,833
- ----------------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 914,912 10,219,589
- ----------------------------------------------------
Shares
repurchased (2,447,143) (29,173,188)
- ----------------------------------------------------
Net increase 8,844,300 $104,185,234
- ----------------------------------------------------
Six months ended March 31
- ----------------------------------------------------
Class C 1998
- ----------------------------------------------------
Growth Portfolio Shares Amount
- ----------------------------------------------------
Shares sold 1,688,442 $21,270,513
- ----------------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 372,291 4,500,991
- ----------------------------------------------------
Shares
repurchased (394,033) (4,984,615)
- ----------------------------------------------------
Net increase 1,666,700 $20,786,889
- ----------------------------------------------------
Year ended September 30
- ----------------------------------------------------
Class C 1997
- ----------------------------------------------------
Growth Portfolio Shares Amount
- ----------------------------------------------------
Shares sold 3,040,994 $36,134,789
- ----------------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 138,796 1,540,641
- ----------------------------------------------------
Shares
repurchased (492,759) (5,933,974)
- ----------------------------------------------------
Net increase 2,687,031 $31,741,456
- ----------------------------------------------------
Six months ended March 31
- ----------------------------------------------------
Class M 1998
- ----------------------------------------------------
Growth Portfolio Shares Amount
- ----------------------------------------------------
Shares sold 1,082,470 $13,775,238
- ----------------------------------------------------
Shares issued in
connections with
reinvestment of
distributions 209,471 2,551,348
- ----------------------------------------------------
Shares
repurchased (223,231) (2,807,937)
- ----------------------------------------------------
Net increase 1,068,710 $13,518,649
- ----------------------------------------------------
Year ended September 30
- ----------------------------------------------------
Class M 1997
- ----------------------------------------------------
Growth Portfolio Shares Amount
- ----------------------------------------------------
Shares sold 1,797,515 $21,278,969
- ----------------------------------------------------
Shares issued in
connections with
reinvestment of
distributions 68,451 764,599
- ----------------------------------------------------
Shares
repurchased (409,741) (4,975,611)
- ----------------------------------------------------
Net increase 1,456,225 $17,067,957
- ----------------------------------------------------
Six months ended March 31
- ----------------------------------------------------
Class Y 1998
- ----------------------------------------------------
Growth Portfolio Shares Amount
- ----------------------------------------------------
Shares sold 1,835,610 $23,800,170
- ----------------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 1,344,667 16,606,566
- ----------------------------------------------------
Shares
repurchased (2,380,680) (30,763,162)
- ----------------------------------------------------
Net increase 799,597 $9,643,574
- ----------------------------------------------------
Year ended September 30
- ----------------------------------------------------
Class Y 1997
- ----------------------------------------------------
Growth Portfolio Shares Amount
- ----------------------------------------------------
Shares sold 15,043,228 $176,010,272
- ----------------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 874,948 9,878,178
- ----------------------------------------------------
Shares
repurchased (3,997,439) (48,272,014)
- ----------------------------------------------------
Net increase 11,920,737 $137,616,436
- ----------------------------------------------------
Six months ended March 31
- ----------------------------------------------------
Class A 1998
- ----------------------------------------------------
Balanced Portfolio Shares Amount
- ----------------------------------------------------
Shares sold 22,241,677 $257,669,480
- ----------------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 5,072,296 56,518,764
- ----------------------------------------------------
Shares
repurchased (8,881,401) (103,191,114)
- ----------------------------------------------------
Net increase 18,432,572 $210,997,130
- ----------------------------------------------------
Year ended September 30
- ----------------------------------------------------
Class A 1997
- ----------------------------------------------------
Balanced Portfolio Shares Amount
- ----------------------------------------------------
Shares sold 37,950,346 $419,369,956
- ----------------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 2,765,300 29,607,244
- ----------------------------------------------------
Shares
repurchased (15,849,240) (175,118,204)
- ----------------------------------------------------
Net increase 24,866,406 $273,858,996
- ----------------------------------------------------
Six months ended March 31
- ----------------------------------------------------
Class B 1998
- ----------------------------------------------------
Balanced Portfolio Shares Amount
- ----------------------------------------------------
Shares sold 6,818,124 $78,970,408
- ----------------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 2,847,753 31,540,351
- ----------------------------------------------------
Shares
repurchased (3,415,948) (39,632,038)
- ----------------------------------------------------
Net increase 6,249,929 $70,878,721
- ----------------------------------------------------
Year ended September 30
- ----------------------------------------------------
Class B 1997
- ----------------------------------------------------
Balanced Portfolio Shares Amount
- ----------------------------------------------------
Shares sold 13,440,364 $148,380,642
- ----------------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 1,818,059 19,215,924
- ----------------------------------------------------
Shares
repurchased (3,887,593) (43,051,542)
- ----------------------------------------------------
Net increase 11,370,830 $124,545,024
- ----------------------------------------------------
Six months ended March 31
- ----------------------------------------------------
Class C 1998
- ----------------------------------------------------
Balanced Portfolio Shares Amount
- ----------------------------------------------------
Shares sold 1,777,985 $20,511,588
- ----------------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 464,310 5,119,719
- ----------------------------------------------------
Shares
repurchased (527,065) (6,103,418)
- ----------------------------------------------------
Net increase 1,715,230 $19,527,889
- ----------------------------------------------------
Year ended September 30
- ----------------------------------------------------
Class C 1997
- ----------------------------------------------------
Balanced Portfolio Shares Amount
- ----------------------------------------------------
Shares sold 3,334,653 $36,738,709
- ----------------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 230,087 2,431,192
- ----------------------------------------------------
Shares
repurchased (541,054) (5,978,475)
- ----------------------------------------------------
Net increase 3,023,686 $33,191,426
- ----------------------------------------------------
Six months ended March 31
- ----------------------------------------------------
Class M 1998
- ----------------------------------------------------
Balanced Portfolio Shares Amount
- ----------------------------------------------------
Shares sold 1,310,765 $15,331,795
- ----------------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 299,501 3,333,998
- ----------------------------------------------------
Shares
repurchased (601,557) (7,008,572)
- ----------------------------------------------------
Net increase 1,008,709 $11,657,221
- ----------------------------------------------------
Year ended September 30
- ----------------------------------------------------
Class M 1997
- ----------------------------------------------------
Balanced Portfolio Shares Amount
- ----------------------------------------------------
Shares sold 2,475,833 $27,588,867
- ----------------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 127,955 1,366,839
- ----------------------------------------------------
Shares
repurchased (405,927) (4,609,629)
- ----------------------------------------------------
Net increase 2,197,861 $24,346,077
- ----------------------------------------------------
Six months ended March 31
- ----------------------------------------------------
Class Y 1998
- ----------------------------------------------------
Balanced Portfolio Shares Amount
- ----------------------------------------------------
Shares sold 2,746,989 $31,626,752
- ----------------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 1,601,655 17,862,067
- ----------------------------------------------------
Shares
repurchased (3,013,226) (34,958,419)
- ----------------------------------------------------
Net increase 1,335,418 $14,530,400
- ----------------------------------------------------
Year ended September 30
- ----------------------------------------------------
Class Y 1997
- ----------------------------------------------------
Balanced Portfolio Shares Amount
- ----------------------------------------------------
Shares sold 10,734,301 $115,032,777
- ----------------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 1,070,690 11,486,612
- ----------------------------------------------------
Shares
repurchased (4,726,651) (52,610,537)
- ----------------------------------------------------
Net increase 7,078,340 $73,908,852
- ----------------------------------------------------
Six months ended March 31
- ----------------------------------------------------
Class A 1998
- ----------------------------------------------------
Conservative
Portfolio Shares Amount
- ----------------------------------------------------
Shares sold 11,785,721 $120,835,788
- ----------------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 1,775,586 17,750,480
- ----------------------------------------------------
Shares
repurchased (5,553,780) (57,147,287)
- ----------------------------------------------------
Net increase 8,007,527 $81,438,981
- ----------------------------------------------------
Year ended September 30
- ----------------------------------------------------
Class A 1997
- ----------------------------------------------------
Conservative
Portfolio Shares Amount
- ----------------------------------------------------
Shares sold 26,085,641 $257,229,151
- ----------------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 1,633,735 15,899,013
- ----------------------------------------------------
Shares
repurchased (10,933,886) (108,713,204)
- ----------------------------------------------------
Net increase 16,785,490 $164,414,960
- ----------------------------------------------------
Six months ended March 31
- ----------------------------------------------------
Class B 1998
- ----------------------------------------------------
Conservative
Portfolio Shares Amount
- ----------------------------------------------------
Shares sold 2,703,340 $27,595,146
- ----------------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 684,135 6,806,103
- ----------------------------------------------------
Shares
repurchased (1,469,528) (15,053,001)
- ----------------------------------------------------
Net increase 1,917,947 $19,348,248
- ----------------------------------------------------
Year ended September 30
- ----------------------------------------------------
Class B 1997
- ----------------------------------------------------
Conservative
Portfolio Shares Amount
- ----------------------------------------------------
Shares sold 4,642,547 $45,939,391
- ----------------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 582,974 5,644,011
- ----------------------------------------------------
Shares
repurchased (1,963,926) (19,497,340)
- ----------------------------------------------------
Net increase 3,261,595 $32,086,062
- ----------------------------------------------------
Six months ended March 31
- ----------------------------------------------------
Class C 1998
- ----------------------------------------------------
Conservative
Portfolio Shares Amount
- ----------------------------------------------------
Shares sold 938,319 $9,586,898
- ----------------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 151,152 1,501,503
- ----------------------------------------------------
Shares
repurchased (369,937) (3,769,808)
- ----------------------------------------------------
Net increase 719,534 $7,318,593
- ----------------------------------------------------
Year ended September 30
- ----------------------------------------------------
Class C 1997
- ----------------------------------------------------
Conservative
Portfolio Shares Amount
- ----------------------------------------------------
Shares sold 1,406,045 $13,867,322
- ----------------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 116,814 1,129,756
- ----------------------------------------------------
Shares
repurchased (465,847) (4,609,292)
- ----------------------------------------------------
Net increase 1,057,012 $10,387,786
- ----------------------------------------------------
Six months ended March 31
- ----------------------------------------------------
Class M 1998
- ----------------------------------------------------
Conservative
Portfolio Shares Amount
- ----------------------------------------------------
Shares sold 410,846 $4,207,078
- ----------------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 70,295 700,842
- ----------------------------------------------------
Shares
repurchased (175,729) (1,803,301)
- ----------------------------------------------------
Net increase 305,412 $3,104,619
- ----------------------------------------------------
Year ended September 30
- ----------------------------------------------------
Class M 1997
- ----------------------------------------------------
Conservative
Portfolio Shares Amount
- ----------------------------------------------------
Shares sold 888,082 $8,731,408
- ----------------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 41,229 402,409
- ----------------------------------------------------
Shares
repurchased (208,529) (2,075,942)
- ----------------------------------------------------
Net increase 720,782 $7,057,875
- ----------------------------------------------------
Six months ended March 31
- ----------------------------------------------------
Class Y 1998
- ----------------------------------------------------
Conservative
Portfolio Shares Amount
- ----------------------------------------------------
Shares sold 682,003 $7,037,099
- ----------------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 114,799 1,148,193
- ----------------------------------------------------
Shares
repurchased (638,936) (6,583,311)
- ----------------------------------------------------
Net increase 157,866 $1,601,981
- ----------------------------------------------------
Year ended September 30
- ----------------------------------------------------
Class Y 1997
- ----------------------------------------------------
Conservative
Portfolio Shares Amount
- ----------------------------------------------------
Shares sold 2,100,427 $20,853,092
- ----------------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 87,037 851,604
- ----------------------------------------------------
Shares
repurchased (1,042,532) (10,461,977)
- ----------------------------------------------------
Net increase 1,144,932 $11,242,719
- ----------------------------------------------------
As of March 31, 1998, Putnam Investments, Inc. owned
the following shares,
Growth % Market
Fund Shares Ownership Value
- ----------------------------------------------------
Class A 3,699,384 7.84% $ 50,607,573
Class Y 6,192,069 34.78% 85,140,949
- ----------------------------------------------------
Balanced % Market
Fund Shares Ownership Value
- ----------------------------------------------------
Class Y 19,327,687 95.58% $234,406,188
- ----------------------------------------------------
Conservative % Market
Fund Shares Ownership Value
- ----------------------------------------------------
Class A 11,318,208 31.59% $118,819,679
Class M 177,851 11.82% 1,861,940
Class Y 1,851,541 96.21% 19,445,439
- ----------------------------------------------------
PUTNAM GROWTH FUNDS
Asia Pacific Growth Fund
Capital Appreciation Fund
Diversified Equity Trust
Europe Growth Fund
Global Growth Fund
Global Natural Resources Fund
Growth Opportunities Fund
Health Sciences Trust
International Growth Fund
International New Opportunities Fund
Investors Fund
New Opportunities Fund [DBL. DAGGER]
OTC & Emerging Growth Fund
Vista Fund
Voyager Fund
Voyager Fund II
PUTNAM GROWTH
AND INCOME FUNDS
Balanced Retirement Fund
Convertible Income-Growth Trust
Equity Income Fund
The George Putnam Fund of Boston
Global Growth and Income Fund
The Putnam Fund for Growth and Income
Growth and Income Fund II
International Growth and Income Fund
New Value Fund
Utilities Growth and Income Fund
PUTNAM INCOME FUNDS
American Government Income Fund
Diversified Income Trust
Strategic Income Fund *
High Quality Bond Fund +
Global Governmental Income Trust
High Yield Advantage Fund [DBL. DAGGER]
High Yield Total Return Fund
High Yield Trust [DBL. DAGGER]
High Yield Trust II
Income Fund
Money Market Fund **
Intermediate U.S. Government
Income Fund
Preferred Income Fund
U.S. Government Income Trust
PUTNAM TAX-FREE
INCOME FUNDS
Municipal Income Fund
Tax Exempt Income Fund
Tax Exempt Money Market Fund**
Tax-Free High Yield Fund
Tax-Free Insured Fund
State tax-free income funds [SECTION START]
Arizona, California, Florida, Massachusetts, Michigan, Minnesota,
New Jersey, New York, Ohio and Pennsylvania
State tax-free money market funds [SECTION START]
California, New York
LIFESTAGE SM FUNDS
Putnam Asset Allocation Funds -- three investment portfolios that
spread your money across a variety of stocks, bonds, and money
market investments.
The three portfolios:
Asset Allocation: Balanced Portfolio
Asset Allocation: Conservative Portfolio
Asset Allocation: Growth Portfolio
*Formerly Putnam Diversified Income Trust II
+Formerly Putnam Federal Income Trust
[DBL. DAGGER] Closed to new investors. Some exceptions may apply.
Contact Putnam for details.
[SECTION START] Not available in all states.
**An investment in a money market fund is neither insured nor
guaranteed by the U.S. government. These funds are managed to
maintain a price of $1.00 per share, although there is no assurance
that this price will be maintained in the future.
Please call your financial advisor or Putnam at 1-800-225-1581 to
obtain a prospectus for any Putnam fund. It contains more complete
information, including charges and expenses. Please read it
carefully before you invest or send money.
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
Paul L. Joskow
Elizabeth T. Kennan
Lawrence J. Lasser
John H. Mullin III
Robert E. Patterson
Donald S. Perkins
George Putnam, III
A.J.C. Smith
W. Thomas Stephens
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
Ian C. Ferguson
Vice President and Fund Manager
William E. Zieff
Vice President and Fund Manager
William J. Landes
Vice President and Fund Manager
William N. Shiebler
Vice President
John R. Verani
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 the principal amount invested.
[LOGO OMITTED]
PUTNAM INVESTMENTS
The Putnam Funds
One Post Office Square
Boston, Massachusetts 02109
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Bulk Rate
U.S. Postage
PAID
Putnam
Investments
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SA060-42033-250/259/264 5/98
PUTNAM INVESTMENTS [SCALE LOGO OMITTED]
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Putnam Asset Allocation Funds
Supplement to Semiannual Report dated March 31, 1998
The following information has been prepared to provide class Y shareholders
with a performance overview specific to their holdings. Class Y shares are
offered exclusively to defined contribution plans investing $250 million or
more in one or more of Putnam's funds or private accounts. Performance of
class Y shares, which incur neither a front-end load, distribution fee, nor
contingent deferred sales charge, will differ from performance of class A, B,
C and M shares, which are discussed more extensively in the annual report.
SEMIANNUAL RESULTS AT A GLANCE
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Total return
Periods ended 3/31/98
6 months 1 year Life-of-fund Life-of-fund
cummulative annual average
Growth Portfolio 8.24% 30.50% 95.84% 17.63%
Balanced Portfolio 7.17 26.24 83.84 15.84
Conservative Portfolio 4.92 18.11 55.85 11.31
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Share value 9/30/97 3/31/98
at NAV
Growth Portfolio $13.72 $13.75
Balanced Portfolio 12.29 12.13
Conservative Portfolio 10.62 10.50
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Distributions
No. Income Capital gains Total
Long-term Short term
Growth Portfolio 1 $0.152 $0.428 $0.409 $0.989
Balanced Portfolio 2 0.176 0.396 0.381 0.953
Conservative Portfolio 2 0.179 0.087 0.342 0.608
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Please note that past performance does not indicate future results. Investment
return and principal value will fluctuate so your shares, when redeemed, may
be worth more or less than their original cost. See full Annual Report for
information on comparative benchmarks. If you have questions, please consult
your fund prospectus or call Putnam toll free at 1-800-752-9894.
