Putnam
Asset
Allocation
Funds
ANNUAL REPORT ON PERFORMANCE AND OUTLOOK
9-30-99
[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:
The dramatic shifts in worldwide markets, economies, and investor
perceptions over the fiscal year that ended on September 30, 1999, once
again demonstrated the advantages of an investment in Putnam Asset
Allocation Funds. The management team literally has a universe of global
proportions from which it can select the holdings for each of the three
portfolios.
The task was particularly challenging during the funds' fiscal year in the
midst of market volatility and economic uncertainties throughout the
world. However, the funds' managers have the distinct advantage of access
to Putnam's full scope of market, credit, economic, and industry research.
The results on the following pages suggest the value of this expertise. I
believe you will find the discussions and performance tables to be
informative reading.
Respectfully yours,
/S/GEORGE PUTNAM
George Putnam
Chairman of the Trustees
November 17, 1999
Report from the Fund Manager
William J. Landes
As Putnam Asset Allocation Funds' fiscal year closed on September 30,
1999, many of the world's economies showed signs of renewed strength. In
fact, economic revival was most pronounced in some of the Asian and Latin
American countries hit hardest in last fall's global financial crisis.
Over the past several years, the world's deflationary environment has been
especially supportive of low interest rates, high stock valuations, and
growth-led industries. While accelerating global growth has rekindled some
inflationary fears, actual data still show these fears to be unrealized in
most of the world.
Many equity markets rebounded over the period, but not without bouts of
volatility and significant changes in market leadership. Among the world's
fixed-income markets, resurgent growth brought concerns about inflation to
some and outperformance to others. See the performance summary that begins
on page 9 for a detailed overview of each portfolio's performance.
* U.S. EQUITY MARKET LEADERSHIP SHIFTS AND BONDS EXPERIENCE FLIGHT TO
QUALITY REVERSAL
U.S. equities again led the world, as the U.S. stock market expansion
remained strong. After a particularly difficult period, the U.S. bond
market may gain appeal as a safe haven with concerns over Y2K issues
likely to grow in the coming months.
Stocks: After faltering in the wake of renewed global financial crisis
during the fall of 1998, U.S. stocks resumed their advance into 1999.
Equities surged to new highs as strong economic fundamentals helped push
up prices while the U.S. unemployment rate fell to a record 29-year low.
U.S. gross domestic product (GDP) surged at a higher-than-expected rate
and consumer confidence brightened. In May, the Dow Jones Industrial
Average reached 11,000 for the first time, although interest-rate concerns
produced a 450-point slide by the end of May. The Fed initiated a modest
quarter of a percentage point interest-rate increase in June -- the first
in two years -- followed by a similar increase in August. The equity
market's initial anxiety over the rate increase subsided quickly, and
stocks continued to perform solidly.
For the first half of the portfolios' fiscal year, a group of
large-capitalization growth stocks continued to fuel the market's rise.
Then as the fiscal year's midpoint approached, stronger-than-anticipated
U.S. economic data and stabilizing international economies precipitated a
change in market leadership from large-cap growth to cyclical,
value-oriented stocks. However, after broadening, U.S. equity markets
again narrowed toward the end of the period as large-cap growth stocks
moved back into the lead. By late September, fewer than 240 stocks and
only 4 of 11 industry groups in the S&P 500 produced gains year to date.
Bonds: The flight to quality in the fall of 1998 reversed itself in 1999
as signs of sustained U.S. economic strength and expanding global growth
concerned inflation-wary bond investors. The resulting decline in bond
prices pushed yields higher on virtually all investment-grade securities.
The Fed's signaling of an intention to raise U.S. short-term rates fueled
the rising yields, but its modest increases in June and August heartened
bond investors. With their concern last fall over a worldwide recession
seeming but a distant memory in the spring and summer of 1999, investors
regained some of their appetite for risk. The result was improved
performance for the bond market's so-called spread sectors. Consequently,
positions in mortgage-backed, asset-backed, corporate, and high-yield
bonds added value to the portfolios.
[GRAPHIC OMITTED: worm chart GROWTH OF A $10,000 INVESTMENT WORLD FIXED-INCOME
MARKETS]
WORLD FIXED-INCOME MARKETS
GROWTH OF A $10,000 INVESTMENT
Salomon Brothers
First Boston Lehman Brothers Non-U.S.
High Yield Aggregate World Government
Date Bond Index1 Bond Index2 Bond Index3
9/30/98 10,000 10,000 10,000
10/98 9,801 9,947 10,451
11/98 10,298 10,004 10,238
12/98 10,274 10,034 10,527
1/99 10,371 10,105 10,362
2/99 10,349 9,929 9,998
3/99 10,443 9,984 10,017
4/99 10,674 10,016 10,002
5/99 10,559 9,928 9,801
6/99 10,564 9,896 9,568
7/99 10,569 9,854 9,904
8/99 10,475 9,849 9,967
9/30/99 $10,395 $9,963 $10,153
Footnote reads:
1 First Boston High Yield Bond Index. 2 Lehman Brothers Aggregate Bond
Index. 3 Salomon Brothers Non-U.S. World Government Bond Index. See page
12 for descriptions of the indexes. Past performance is not indicative of
future results. This is not intended to represent the returns of any fund.
The booming economy continued to provide a favorable backdrop for
high-yield issues, which tend to be influenced as much by the financial
health of their issuers as by interest-rate movements. Despite the
high-yield market's overall strength, the default rate has been rising in
recent months. A few highly leveraged issuers that have concentrated in
commodity-related industries, particularly energy, are succumbing to cash
flow pressures. These, in turn, were brought on by tightened lending
standards in the wake of last fall's global financial crisis. Among
high-yield industry sectors, telecommunications outperformed, while
health-care and energy sectors lagged.
* EMERGING MARKETS LEAD INTERNATIONAL SECTOR
International equity markets were unusually attractive during the period,
since the U.S. market corrected far more severely than the markets of
other countries. Foreign bond markets, with the exception of Japan's,
languished along with U.S. bond markets during the period.
Stocks: The U.S. stock market's shift in leadership from large-cap growth
to value-oriented cyclical stocks in the spring of 1999 was emulated by
most international stock markets over the past few months. The strongest
performers proved to be those markets hit hardest by last fall's financial
tumult -- Asia and Latin America. The main story in Latin America has been
the remarkable resilience of the Brazilian economy. Inflation has remained
surprisingly controlled in that country and lower than expected in other
Latin American countries, notably Mexico. This environment has produced
significant decreases in interest rates, thus providing a positive
backdrop for stock market performance. In Asia, many economies continued
to benefit from a sharp decline in interest rates late last year, and many
equity markets in that region staged impressive rallies over the period.
The Japanese market rallied quite strongly as corporate restructuring and
an increased attention to shareholder value revitalized investor interest.
[GRAPHIC OMITTED: worm chart GROWTH OF A $10,000 INVESTMENT WORLD EQUITY
MARKETS]
WORLD EQUITY MARKETS
GROWTH OF A $10,000 INVESTMENT
Standard & Poor's Russell 2000 MSCI EAFE
Date 500 Index1 Index2 Index3
9/30/98 10,000 10,000 10,000
10/98 10,813 10,408 11,042
11/98 11,469 10,953 11,608
12/98 12,130 11,631 12,066
1/99 12,637 11,785 12,030
2/99 12,224 10,831 11,744
3/99 12,734 11,000 12,234
4/99 13,227 11,986 12,730
5/99 12,915 12,161 12,074
6/99 13,632 12,711 12,545
7/99 13,206 12,362 12,918
8/99 13,141 11,904 12,965
9/30/99 $12,780 $11,907 $13,095
Footnote reads:
1 Standard & Poor's 500(R) Index. 2 Russell 2000 Index. 3 Morgan 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.
Despite a smooth launch for the new euro, European stock markets got off
to a disappointing start in 1999 after a superb 1998. Equity markets
rebounded in February, but the strengthening of the U.S. dollar against
the euro more than offset any local currency gains.
Bonds: The accelerating pace of global economic growth was bad news for
bond markets worldwide during the period. Concerns that interest rates
would be raised or the easing of rates curtailed by central banks to head
off inflation drove yields higher. European markets were the worst
performers, since investors there had not built expectations of rate
increases into bond prices to the same degree as they had in the U.S.
market. Japan's market fluctuated widely, although on balance it did not
decline as much as did other markets. Emerging markets were at first
depressed by the anticipation of a raise of interest rates but rallied to
deliver strong returns for the period.
* STRATEGY AND OUTLOOK
Despite continued strong corporate earnings, Putnam Management's
quantitative models encourage us to maintain the portfolios' underweight
positions in U.S. equities. Within equities, we are de-emphasizing U.S.
small-cap and international equities to a greater extent than U.S.
large-cap equities.
We believe that global equity markets are entering a period of possible
synchronized growth in all major economic regions. Specifically we look
for a continuing recovery in Asian economies, a consumer-led recovery in
Europe, and avoidance of a recession in the United States.
European equity valuations are now more reasonable, supported by stronger
economic growth and a boost to exports from the weak euro. We favor the
consumer sector and financial services companies -- excluding large banks
- -- that benefit from the growing European investment culture. We believe
these shifts will position the portfolios 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 9/30/99, 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
<TABLE>
<CAPTION>
TOTAL RETURNS FOR PERIOD ENDED 9/30/99
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
- --------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
1 year 25.55% 18.30% 24.52% 19.52% 24.47% 23.47% 25.05% 20.68%
- --------------------------------------------------------------------------------------
5 years 110.82 98.79 103.27 101.27 102.99 102.99 105.59 98.30
Annual average 16.09 14.73 15.24 15.02 15.21 15.21 15.50 14.67
- --------------------------------------------------------------------------------------
Life of fund 109.08 97.03 100.64 99.64 99.42 99.42 103.18 96.06
Annual average 13.97 12.78 13.14 13.04 13.02 13.02 13.39 12.68
- --------------------------------------------------------------------------------------
</TABLE>
PRICE AND DISTRIBUTION INFORMATION
12 months ended 9/30/99
Class A Class B Class C Class M
Share value NAV POP NAV NAV NAV POP
- ---------------------------------------------------------------------------
9/30/98 $11.76 $12.48 $11.59 $11.50 $11.60 $12.02
- ---------------------------------------------------------------------------
9/30/99 14.35 15.23 14.12 14.00 14.15 14.66
- ---------------------------------------------------------------------------
Capital gains
Investment Long Short
Distributions Number income term term Total
- ---------------------------------------------------------------------------
Class A 1 $0.100 $0.267 $0.006 $0.3730
- ---------------------------------------------------------------------------
Class B 1 0.009 0.267 0.006 0.2820
- ---------------------------------------------------------------------------
Class C 1 0.012 0.267 0.006 0.2850
- ---------------------------------------------------------------------------
Class M 1 0.048 0.267 0.006 0.3210
- ---------------------------------------------------------------------------
Performance data represent past results, is not indicative of future
performance, 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. More recent returns may be more or
less than those shown. 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, 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.
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.
Performance summary
* BALANCED PORTFOLIO
<TABLE>
<CAPTION>
TOTAL RETURNS FOR PERIOD ENDED 9/30/99
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
- --------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
1 year 19.09% 12.25% 18.22% 13.22% 18.14% 17.14% 18.45% 14.26%
- --------------------------------------------------------------------------------------
5 years 95.34 84.08 88.20 86.20 87.94 87.94 91.09 84.45
Annual average 14.33 12.98 13.48 13.24 13.45 13.45 13.83 13.03
- --------------------------------------------------------------------------------------
Life of fund 92.48 81.38 84.64 83.64 83.52 83.52 87.62 81.05
Annual average 12.31 11.13 11.49 11.38 11.37 11.37 11.80 11.10
- --------------------------------------------------------------------------------------
</TABLE>
PRICE AND DISTRIBUTION INFORMATION
12 months ended 9/30/99
Class A Class B Class C Class M
Share value NAV POP NAV NAV NAV POP
- ------------------------------------------------------------------------------
9/30/98 $10.66 $11.31 $10.61 $10.56 $10.65 $11.04
- ------------------------------------------------------------------------------
9/30/99 12.28 13.03 12.22 12.15 12.26 12.70
- ------------------------------------------------------------------------------
Capital gains
Investment Long Short
Distributions Number income term term Total
- ------------------------------------------------------------------------------
Class A 4 $0.214 $0.181 -- $0.3950
- ------------------------------------------------------------------------------
Class B 4 0.130 0.181 -- 0.311
- ------------------------------------------------------------------------------
Class C 4 0.128 0.181 -- 0.3090
- ------------------------------------------------------------------------------
Class M 4 0.156 0.181 -- 0.3370
- ------------------------------------------------------------------------------
Performance data represent past results, is not indicative of future
performance, 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. More recent returns may be more or
less than those shown. 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, 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.
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.
Performance summary
<TABLE>
<CAPTION>
* CONSERVATIVE PORTFOLIO
TOTAL RETURNS FOR PERIOD ENDED 9/30/99
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
- --------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
1 year 11.05% 4.65% 10.29% 5.29% 10.34% 9.34% 10.56% 6.74%
- --------------------------------------------------------------------------------------
5 years 66.56 57.02 60.49 58.49 60.62 60.62 62.69 56.97
Annual average 10.74 9.44 9.92 9.65 9.94 9.94 10.22 9.44
- --------------------------------------------------------------------------------------
Life of fund 62.44 53.08 56.02 55.02 55.41 55.41 58.12 52.58
Annual average 8.98 7.84 8.21 8.08 8.13 8.13 8.46 7.78
- --------------------------------------------------------------------------------------
</TABLE>
PRICE AND DISTRIBUTION INFORMATION
12 months ended 9/30/99
Class A Class B Class C Class M
Share value NAV POP NAV NAV NAV POP
- ------------------------------------------------------------------------------
9/30/98 $ 9.81 $10.41 $ 9.78 $ 9.75 $ 9.78 $10.13
- ------------------------------------------------------------------------------
9/30/99 10.40 11.03 10.37 10.34 10.37 10.75
- ------------------------------------------------------------------------------
Capital gains
Investment Long Short
Distributions Number income term term Total
- ------------------------------------------------------------------------------
Class A 4 $0.399 $0.082 -- $0.4810
- ------------------------------------------------------------------------------
Class B 4 0.324 0.082 -- 0.4060
- ------------------------------------------------------------------------------
Class C 4 0.326 0.082 -- 0.4080
- ------------------------------------------------------------------------------
Class M 4 0.350 0.082 -- 0.4320
- ------------------------------------------------------------------------------
Performance data represent past results, is not indicative of future
performance, 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. More recent returns may be more or
less than those shown. 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, 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.
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 9/30/99
(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 -0.37% 27.80% 19.07% 3.95% 2.75%
- ----------------------------------------------------------------------------
5 years 45.85 205.59 79.30 51.18 12.38
Annual average 7.84 25.04 12.39 8.62 2.36
- ----------------------------------------------------------------------------
Life of fund 39.18 199.49 73.89 47.15 14.84
Annual average 6.01 21.38 10.27 7.06 2.47
- ----------------------------------------------------------------------------
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. Past performance is not
indicative of future results.
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 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 Bond 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 from Europe, Australasia, 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.
[GRAPHIC OMITTED: worm chart GROWTH OF A $10,000 INVESTMENT]
GROWTH OF A $10,000 INVESTMENT
Cumulative total return of a $10,000 investment
Growth Portfolio
(class A shares at POP Global Growth Consumer price S&P 500
Date since 2/8/94) Index Mix Index Index
2/8/94 9,425 10,000 10,000 10,000
9/30/94 9,346 9,862 10,219 9,800
9/30/95 11,260 12,006 10,479 12,716
9/30/96 13,367 13,813 10,793 15,301
9/30/97 16,876 17,970 11,026 21,490
9/30/98 15,693 18,432 11,175 23,434
9/30/99 $19,703 $22,725 $11,484 $29,949
Footnote reads:
The Global Growth Index Mix is a combination of the following indexes: 50%
represented by the S&P 500, 15% by Russell 2000, 15% by Morgan Stanley Capital
International EAFE Index (Europe, Australasia, and the Far East), 5% by Lehman
Brothers Aggregate Bond Index, 5% by Salomon Brothers Non-U.S. Government Bond
Index, 5% by First Boston High Yield Index, and 5% by Merrill Lynch 91-day
Treasury Bill Index, which reflects generally the allocations of the different
asset categories of Putnam Asset Allocation: Growth Portfolio as of 9/30/99.
Past performance is no assurance of future results. A $10,000 investment in the
Growth Portfolio's class B shares would have been valued at $20,064 on 9/30/99
($19,964 with a redemption at the end of the period).
A $10,000 investment in the Growth Portfolio's class C shares would have been
valued at $19,942 on 9/30/99.
A $10,000 investment in the Growth Portfolio's class M shares would have been
valued at $19,606 on 9/30/99 at public offering price. ($20,318 at net asset
value).
TERMS AND DEFINITIONS
Total return shows how the value of the funds' shares changed over time,
assuming you held the shares through the entire period and reinvested all
distributions in the fund.
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 fund's assets, minus any
liabilities, divided by the number of outstanding shares, not including
any initial or contingent deferred sales charge.
[GRAPHIC OMITTED: worm chart GROWTH OF A $10,000 INVESTMENT]
GROWTH OF A $10,000 INVESTMENT
Cumulative total return of a $10,000 investment
Balanced Portfolio
(class A shares at POP Global Balanced Consumer Price S&P 500
Date since 2/7/94) Index Mix Index Index
2/7/94 9,425 10,000 10,000 10,000
9/30/94 9,285 9,885 10,219 9,800
9/30/95 11,024 11,854 10,479 12,716
9/30/96 12,943 13,434 10,793 15,301
9/30/97 16,027 16,894 11,026 21,490
9/30/98 15,230 17,468 11,175 23,434
9/30/99 $18,138 $21,006 $11,484 $29,949
Footnote reads:
The Global Balanced Index Mix is a combination of the following indexes: 40%
represented by the S&P 500, 10% by Russell 2000, 15% by Morgan Stanley Capital
International EAFE Index (Europe, Australasia, and the Far East), 10% by Lehman
Brothers Aggregate Bond Index, 10% by Salomon Brothers Non-U.S. Government Bond
Index, 10% by First Boston High Yield Index, and 5% by Merrill Lynch 91-day
Treasury Bill Index, which reflects generally the allocations of the different
asset categories of Putnam Asset Allocation: Balanced Portfolio as of 9/30/99.
Past performance is no assurance of future results. A $10,000 investment in the
Balanced Portfolio's class B shares would have been valued at $18,464 on
9/30/99 ($18,364 with a redemption at the end of the period).
A $10,000 investment in the Balanced Portfolio's class C shares would have been
valued at $18,352 on 9/30/99.
A $10,000 investment in the Balanced Portfolio's class M shares would have been
valued at $18,105 on 9/30/99 at public offering price. ($18,762 at net asset
value).
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 5.75% maximum 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.
[GRAPHIC OMITTED: worm chart GROWTH OF A $10,000 INVESTMENT]
GROWTH OF A $10,000 INVESTMENT
Cumulative total return of a $10,000 investment
Conservative Portfolio Global Lehman Bros.
(class A shares at POP Conservative Consumer Price Aggregate
Date since 2/7/94) Index Mix Index Bond Index
2/7/94 9,425 10,000 10,000 10,000
9/30/94 9,191 9,849 10,219 9,384
9/30/95 10,595 11,520 10,479 10,979
9/30/96 11,837 12,618 10,793 11,501
9/30/97 13,881 14,816 11,026 12,747
9/30/98 13,785 15,653 11,175 14,160
9/30/99 $15,308 $17,564 $11,484 $13,918
Footnote reads:
The Global Conservative Index Mix is a combination of the following indexes:
20% represented by the S&P 500, 5% by Russell 2000, 10% by Morgan Stanley
Capital International EAFE Index (Europe, Australasia, and the Far East),
35% by Lehman Brothers Aggregate Bond Index, 15% by Salomon Brothers
Non-U.S. Government Bond Index, 10% by First Boston High Yield Index,
and 5% by Merrill Lynch 91-day Treasury Bill Index, which reflects generally
the allocations of the different asset categories of Putnam Asset Allocation:
Conservative Portfolio as of 9/30/99.
Past performance is no assurance of future results. A $10,000 investment in
the Conservative Portfolio's class B shares would have been valued at $15,602
on 9/30/99 ($15,502 with a redemption at the end of the period).
A $10,000 investment in the Conservative Portfolio's class C shares would have
been valued at $15,541 on 9/30/99.
A $10,000 investment in the Conservative Portfolio's class M shares would have
been valued $15,258 on 9/30/99 at public offering price. ($15,812 at net asset
value).
A guide to the financial statements
These sections of the report, preceded by the Report of independent
accountants, constitute the fund's financial statements.
The fund's portfolio lists all the fund's investments and their values as
of the last day of the reporting period. Holdings are organized by asset
type and industry sector, country, or state to show areas of concentration
and diversification.
Statement of assets and liabilities shows how the fund's net assets and
share price are determined. All investment and non-investment assets are
added together. Any unpaid expenses and other liabilities are subtracted
from this total. The result is divided by the number of shares to
determine the net asset value per share, which is calculated separately
for each class of shares. (For funds with preferred shares, the amount
subtracted from total assets includes the net assets allocated to
remarketed preferred shares.)
Statement of operations shows the fund's net investment gain or loss for
the reporting period. This is determined by adding up all the fund's
earnings -- from dividends and interest income -- and subtracting its
operating expenses. This statement also lists any net gain or loss the
fund realized on the sales of its holdings and -- for holdings that remain
in the portfolio -- any change in unrealized gains or losses over the
period.
Statement of changes in net assets shows how the fund's net assets were
affected by distributions to shareholders and by changes in the number of
the fund's shares. It lists distributions and their sources (net
investment income or realized capital gains) over the current reporting
period and the most recent fiscal year-end. The distributions listed here
may not match the sources listed in the Statement of operations because
the distributions are determined on a tax basis and may be paid in a
different period from the one in which they were earned.
Financial highlights provide an overview of the fund's investment results,
per-share distributions, expense ratios, net investment income ratios and
portfolio turnover in one summary table, reflecting the five most recent
reporting periods. In a semiannual report, the highlight table also
includes the current reporting period. For open-ended funds, a separate
table is provided for each share class.
Report of independent accountants
For the fiscal year ended September 30,1999
To the Trustees and Shareholders of
Putnam Asset Allocation Funds
In our opinion, the accompanying statement of assets and liabilities,
including the funds' portfolio of investments owned, and the related
statements of operations and of changes in net assets and the financial
highlights present fairly, in all material respects, the financial
position of each of the funds (Growth Portfolio, Balanced Portfolio, and
Conservative Portfolio) constituting Putnam Asset Allocation Funds (the
"trust") at September 30, 1999, and the results of their operations, the
changes in their net assets and the financial highlights for the periods
indicated, in conformity with generally accepted accounting principles.
These financial statements and financial highlights (hereafter referred to
as "financial statements") are the responsibility of the trust's
management; our responsibility is to express an opinion on these financial
statements based on our audits. We conducted our audits of these financial
statements in accordance with generally accepted auditing standards which
require that we plan and perform the audit to obtain reasonable assurance
about whether the financial statements are free of material misstatement.
An audit includes examining, on a test basis, evidence supporting the
amounts and disclosures in the financial statements, assessing the
accounting principles used and significant estimates made by management,
and evaluating the overall financial statement presentation. We believe
that our audits, which included confirmation of investments owned at
September 30, 1999 by correspondence with the custodian, provide a
reasonable basis for the opinion expressed above.
PricewaterhouseCoopers LLP
Boston, Massachusetts
November 12, 1999
<TABLE>
<CAPTION>
Portfolio of investments owned
September 30, 1999
GROWTH BALANCED CONSERVATIVE
80.6% 66.6% 36.6%
COMMON STOCKS* Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C> <C>
Advertising 0.4% 0.4% 0.2%
- -----------------------------------------------------------------------------------------------------------------------------------
Havas Advertising SA (France) 1,210 $ 290,763 1,626 $ 390,728 640 $ 153,792
Lamar Advertising Co. (NON) 73,050 3,615,975 60,500 2,994,750 10,950 542,025
Publicis S.A. (France) 3,070 714,770 3,757 874,720 978 227,702
WPP Group PLC (United Kingdom) 301,371 2,802,890 372,858 3,467,753 97,362 905,512
------------ ------------ ------------
7,424,398 7,727,951 1,829,031
Aerospace and Defense 0.9% 0.7% 0.5%
- -----------------------------------------------------------------------------------------------------------------------------------
Boeing Co. 126,865 5,407,621 123,900 5,281,238 23,190 988,474
Cathay Pacific Airways (Hong Kong) 678,000 1,222,015 831,000 1,497,779 221,000 398,326
Lockheed Martin Corp. 63,710 2,082,521 62,550 2,044,603 11,715 382,934
Northrop Grumman Corp. 12,510 795,167 12,140 771,649 2,290 145,558
Raytheon Co. Class A 40,380 1,958,430 39,020 1,892,470 7,405 359,143
Raytheon Co. Class B 10,700 530,988 10,700 530,988 2,000 99,250
Smiths Industries PLC (United Kingdom) 180,810 2,555,165 221,452 3,129,508 66,412 938,519
------------ ------------ ------------
14,551,907 15,148,235 3,312,204
Agriculture --% --% --%
- -----------------------------------------------------------------------------------------------------------------------------------
PSF Holdings LLC Class A (NON) 3,305 41,313 12,885 161,063 4,186 52,325
Automotive 0.9% 0.7% 0.4%
- -----------------------------------------------------------------------------------------------------------------------------------
Bayerische Motoren Werke (BMW)
AG (Germany) 30,966 876,400 38,194 1,080,967 9,334 264,171
CSK Auto Corp. (NON) 69,900 1,524,694 57,800 1,260,763 10,500 229,031
Ford Motor Co. 90,494 4,541,668 87,975 4,415,245 16,205 813,288
General Motors Corp. 69,320 4,362,828 67,365 4,239,785 12,475 785,145
Lear Corp. (NON) 27,635 972,407 26,970 949,007 5,120 180,160
Volkswagen AG (Germany) 37,477 2,097,333 45,868 2,566,920 12,286 687,564
Volkswagen (Germany) 6,353 201,854 8,078 256,662 2,048 65,071
------------ ------------ ------------
14,577,184 14,769,349 3,024,430
Basic Industrial Products 0.9% 0.7% 0.4%
- -----------------------------------------------------------------------------------------------------------------------------------
Caterpillar, Inc. 31,537 1,728,622 30,842 1,690,527 5,741 314,679
Cooper Industries, Inc. 46,525 2,175,044 45,215 2,113,801 8,365 391,064
Deere (John) & Co. 46,535 1,800,323 44,665 1,727,977 8,370 323,814
Minnesota Mining & Manufacturing Co. 46,425 4,459,702 45,305 4,352,112 8,390 805,964
Owens-Illinois, Inc. (NON) 89,450 1,772,228 86,695 1,717,645 16,285 322,647
Parker-Hannifin Corp. 33,185 1,487,103 32,300 1,447,444 6,130 274,701
Sandvik AB Class A, (Sweden) 21,000 574,321 25,410 694,928 6,560 179,407
Sandvik AB Class B, (Sweden) 25,000 688,324 30,230 832,322 7,890 217,235
------------ ------------ ------------
14,685,667 14,576,756 2,829,511
Broadcasting 2.5% 2.0% 1.2%
- -----------------------------------------------------------------------------------------------------------------------------------
AMFM, Inc. (NON) 1,600 97,400 4,000 243,500 1,400 85,225
Ackerly Group, Inc. 99,300 1,222,631 81,100 998,544 14,800 182,225
Acme Communications, Inc. (NON) 69,500 2,154,500 54,300 1,625,810 10,800 329,400
CBS Corp. (NON) 90,900 4,204,125 89,600 4,144,000 16,800 777,000
Citadel Communications Corp. (NON) 103,700 3,538,763 85,400 2,914,275 15,500 528,938
Clear Channel Communications, Inc. (NON) 33,000 2,635,875 32,300 2,579,963 6,100 487,238
Comcast Corp. Class A 76,170 3,037,279 77,100 3,074,363 13,845 552,069
Cumulus Media Inc. Class A (NON) 177,700 5,808,569 143,100 4,677,581 26,400 862,950
Mediaset SPA (Italy) 165,212 1,692,121 202,911 2,078,239 96,723 990,649
News Corp. Ltd. ADR (Australia) 126,233 3,589,751 154,394 4,390,579 54,116 1,538,924
Nippon Television Network Corp. (Japan) 3,290 2,352,211 4,010 2,866,980 1,050 750,706
Pegasus Communications Corp. (NON) 63,800 2,878,975 51,500 2,323,938 9,700 437,713
Radio One, Inc. (NON) 74,200 3,079,300 60,300 2,502,450 11,300 468,950
SAGA Communications Inc. Class A (NON) 74,450 1,712,350 61,616 1,417,168 11,153 256,519
Salem Communications Corp. Class A (NON) 113,600 2,896,800 92,400 2,356,200 17,400 443,700
Spanish Broadcasting System, Inc. (NON) 34 22,100 94 61,100 32 20,800
Television Francaise I (TF1) (France) 4,129 1,158,447 5,048 1,416,285 1,798 504,453
TiVo, Inc. (NON) 4,800 143,700 3,700 110,769 700 20,956
Wink Communications, Inc. (NON) 7,700 336,394 6,200 270,863 1,200 52,425
------------ ------------ ------------
42,561,291 40,052,607 9,290,840
Building and Construction 0.9% 0.8% 0.5%
- -----------------------------------------------------------------------------------------------------------------------------------
Acciona S.A. (Spain) 7,610 351,188 9,300 429,179 2,480 114,448
Bouygues S.A. (France) 9,996 3,179,232 12,280 3,905,659 3,270 1,040,025
CRH PLC (Ireland) (NON) 170,853 3,280,829 209,106 4,015,387 55,374 1,063,327
Dycom Industries, Inc. (NON) 88,450 3,731,484 71,750 3,026,953 13,550 571,641
Insituform Technologies, Inc. (NON) 79,700 1,992,500 64,800 1,620,000 12,200 305,000
Lafarge Coppee (France) 24,682 2,736,207 30,200 3,347,924 7,925 878,556
------------ ------------ ------------
15,271,440 16,345,102 3,972,997
Business Equipment and Services 3.1% 2.5% 1.3%
- -----------------------------------------------------------------------------------------------------------------------------------
ACT Networks, Inc. (NON) 99,300 875,081 80,600 710,288 15,100 133,069
AHL Services, Inc. (NON) 70,700 1,842,619 57,200 1,490,775 10,700 278,869
Avery Dennison Corp. 12,600 664,650 11,900 627,725 2,200 116,050
BMC Software, Inc. (NON) 48,200 3,449,313 47,300 3,384,906 8,900 636,906
Braun Consulting, Inc. (NON) 103,100 1,714,038 82,900 1,378,213 15,900 264,338
Charles River Associates Inc. (NON) 29,700 827,888 25,300 705,238 4,800 133,800
Cisco Systems, Inc. (NON) 125,600 8,611,450 124,700 8,549,744 23,301 1,597,562
CoStar Group, Inc. (NON) 74,200 1,771,525 60,400 1,442,050 11,400 272,175
Cunningham Graphics International, Inc. (NON) 54,300 671,963 44,000 544,500 8,200 101,475
Daisytek International Corp. (NON) 65,600 922,500 53,900 757,969 10,100 142,031
EMC Corp. 59,400 4,243,388 58,700 4,193,381 11,000 785,813
F.Y.I., Inc. (NON) 34,500 1,162,219 28,000 943,250 5,300 178,544
Hewlett-Packard Co. 62,045 5,708,140 60,940 5,606,480 11,475 1,055,700
Macrovision Corp. 35,500 1,575,313 28,800 1,278,000 5,400 239,625
Mannesmann AG (Germany) 48,585 7,783,317 59,710 9,565,542 15,802 2,531,480
NCO Group, Inc. (NON) 48,900 2,298,300 39,700 1,865,900 7,500 352,500
Omnicom Group, Inc. 11,100 878,981 11,000 871,063 2,100 166,294
ProBusiness Services, Inc. (NON) 78,050 2,097,594 63,450 1,705,219 11,900 319,813
Provant, Inc. (NON) 50,486 814,087 40,849 658,690 7,676 123,776
Randstad Holding N.V. (Netherlands) 3,460 177,373 4,240 217,359 1,120 57,416
Xerox Corp. 85,480 3,584,818 83,110 3,485,426 15,455 648,144
------------ ------------ ------------
51,674,557 49,981,718 10,135,380
Cable Television 0.3% 0.2% 0.1%
- -----------------------------------------------------------------------------------------------------------------------------------
Grupo Televisa S.A. GDR (Mexico) (NON) 41,160 1,643,828 50,375 2,011,852 -- --
Jones Intercable, Inc. (NON) 52,500 2,838,281 42,700 2,308,469 8,000 432,500
------------ ------------ ------------
4,482,109 4,320,321 432,500
Chemicals 2.0% 1.8% 1.1%
- -----------------------------------------------------------------------------------------------------------------------------------
Akzo-Nobel N.V. (Netherlands) (NON) 109,946 4,673,409 134,564 5,719,831 35,882 1,525,215
Albany Molecular Research, Inc. (NON) 28,718 721,540 22,700 570,338 4,500 113,063
Clariant AG (Switzerland) 4,815 2,188,344 5,900 2,681,460 1,549 703,997
Dow Chemical Co. 40,700 4,624,538 39,570 4,496,141 7,265 825,486
du Pont (E.I.) de Nemours & Co., Ltd. 49,483 3,012,278 48,168 2,932,227 8,998 547,753
Eastman Chemical Co. 12,400 496,000 12,260 490,400 2,235 89,400
Hoechst AG (Germany) (NON) 133,903 5,849,044 164,439 7,182,893 44,010 1,922,410
Merck & Co., Inc. 60,560 3,925,045 59,715 3,870,278 11,125 721,039
Monsanto Co. 115,670 4,127,973 112,995 4,032,509 21,065 751,757
PPG Industries, Inc. 27,514 1,650,840 27,017 1,621,020 5,012 300,720
Praxair, Inc. 56,500 2,599,000 55,900 2,571,400 10,500 483,000
Teijin Ltd. (Japan) 73,000 352,295 87,000 419,859 26,000 125,475
Union Carbide Corp. 4,595 261,053 4,570 259,633 850 48,291
------------ ------------ ------------
34,481,359 36,847,989 8,157,606
Computer Services and Software 8.6% 6.5% 3.3%
- -----------------------------------------------------------------------------------------------------------------------------------
Agile Software Corp. (NON) 2,800 179,200 2,200 140,800 400 25,600
Allaire Corp. (NON) 15,100 845,600 12,300 688,800 2,300 128,800
Apple Computer, Inc. (NON) 42,200 2,671,788 41,800 2,646,463 7,800 493,838
Artesyn Technologies, Inc. (NON) 118,200 2,242,106 97,800 1,855,144 17,700 335,747
Aware, Inc. (NON) 64,800 1,858,950 52,600 1,508,963 10,000 286,875
BackWeb Technologies Ltd. (Israel) (NON) 21,600 367,200 17,500 297,500 3,300 56,100
Brio Technology, Inc. (NON) 77,600 1,726,600 63,000 1,401,750 11,900 264,775
BroadVision, Inc. (NON) 18,600 2,474,963 14,900 1,982,631 2,800 372,575
Business Objects S.A. (France) (NON) 66,700 3,935,300 53,900 3,180,100 10,100 595,900
Catapult Communications Corp. (NON) 28,200 437,100 22,800 353,400 4,300 66,650
Clarent Corp. (NON) 24,800 1,263,250 20,100 1,023,844 3,800 193,563
Clarify, Inc. (NON) 42,900 2,158,406 34,800 1,750,875 6,500 327,031
Compaq Computer Corp. 49,415 1,133,457 48,595 1,114,648 9,090 208,502
Computer Associates International, Inc. 27,203 1,666,184 26,277 1,609,466 4,927 301,779
Computer Network Technology Corp. (NON) 111,100 1,034,619 90,100 839,056 16,800 156,450
Comverse Technology, Inc. 30,300 2,857,669 30,200 2,848,238 5,600 528,150
Concord Communications, Inc. (NON) 16,200 643,950 13,200 524,700 2,400 95,400
Concur Technologies, Inc. (NON) 40,900 1,165,650 33,400 951,900 6,000 171,000
DSET Corp. (NON) 123,300 1,810,969 100,200 1,471,688 18,900 277,594
Dell Computer Corp. (NON) 177,300 7,413,356 174,100 7,279,556 32,700 1,367,269
Dendrite International, Inc. (NON) 69,800 3,298,050 56,700 2,679,075 10,700 505,575
Digital Insight, Corp. (NON) 2,900 43,500 2,400 36,000 400 6,000
eGain Communications Corp. (NON) 4,200 77,700 3,400 62,900 700 12,950
E.piphany, Inc. (NON) 3,000 146,250 2,400 117,000 400 19,500
Electronic Data Systems Corp. 69,715 3,690,538 68,020 3,600,809 12,640 669,130
Emulex Corp. (NON) 98,000 8,415,750 79,500 6,827,063 15,000 1,288,125
Exchange Applications, Inc. (NON) 63,000 1,830,938 50,700 1,473,469 9,400 273,188
Flycast Communications Corp. (NON) 30,700 1,396,850 25,000 1,137,500 4,700 213,850
Fujitsu Ltd. (Japan) (NON) 101,000 3,154,468 124,000 3,872,813 33,000 1,030,668
Genesys Telecommunications
Laboratories, Inc. (NON) 115,300 5,267,769 93,800 4,285,488 17,700 808,669
Globix Corp. (NON) 81,000 3,786,750 65,800 3,076,150 12,400 579,700
IBM Corp. 109,190 13,252,936 106,840 12,967,705 20,089 2,438,302
Informatica Corp. (NON) 29,800 1,512,350 24,200 1,228,150 4,500 228,375
InterVU Inc. (NON) 24,700 916,988 19,900 738,788 3,700 137,363
International Integration, Inc. (NON) 20,500 671,375 17,000 556,750 3,200 104,800
Interspeed, Inc. (NON) 8,662 152,668 7,000 123,375 1,300 22,913
Kana Communications, Inc. (NON) 1,700 84,788 1,500 74,813 300 14,963
Keynote Systems, Inc. (NON) 3,100 77,500 2,600 65,000 500 12,500
Lexmark International Group, Inc. Class A 18,900 1,521,450 18,700 1,505,350 3,500 281,750
Micromuse, Inc. (NON) 53,400 3,430,950 43,100 2,769,175 7,900 507,575
Microsoft Corp. (NON) 219,800 19,905,638 216,600 19,615,838 40,400 3,658,725
Mission Critical Software, Inc. (NON) 2,200 97,900 1,800 80,100 300 13,350
Misys PLC (United Kingdom) 51,900 508,751 63,500 622,460 16,800 164,682
Multex.com Inc. (NON) 31,200 397,800 25,300 322,575 4,800 61,200
NCR Corp. 55,900 1,848,194 53,715 1,775,952 10,080 333,270
Net Perceptions, Inc. (NON) 28,327 485,100 22,806 390,553 4,220 72,268
Netegrity, Inc. (NON) 39,500 962,813 32,000 780,000 6,000 146,250
nFront, Inc. (NON) 10,600 117,925 8,500 94,563 1,600 17,800
Novadigm, Inc. (NON) 46,000 672,750 37,400 546,975 7,100 103,838
Oracle Corp. 47,200 2,147,600 46,200 2,102,100 8,700 395,850
Pinnacle Systems, Inc. 39,000 1,652,625 31,600 1,339,050 5,900 250,013
PRI Automation, Inc. (NON) 29,400 1,062,075 24,300 877,838 4,500 162,563
Proxicom, Inc. (NON) 40,700 2,380,950 32,800 1,918,800 6,300 368,550
Quest Software, Inc. (NON) 8,900 413,850 7,400 344,100 1,400 65,100
RAVISENT Technologies, Inc. (NON) 7,700 110,688 6,200 89,125 1,200 17,250
Ramp Networks, Inc. (NON) 37,900 833,800 30,600 673,200 5,700 125,400
Razorfish, Inc. (NON) 32,000 1,392,000 26,000 1,131,000 4,900 213,150
Seagate Technology, Inc. (NON) 37,420 1,153,004 36,970 1,139,138 6,940 213,839
Silknet Software, Inc. (NON) 26,000 1,199,250 21,200 977,850 4,000 184,500
SilverStream Software, Inc. (NON) 3,400 105,825 2,800 87,150 500 15,563
Spyglass, Inc. (NON) 44,700 558,750 36,400 455,000 6,800 85,000
Sun Microsystems, Inc. (NON) 61,400 5,710,200 60,400 5,617,200 11,400 1,060,200
Technology Solutions Co. (NON) 85,000 1,200,625 68,000 960,500 13,000 183,625
Unisys Corp. (NON) 71,400 3,221,925 70,900 3,199,363 13,200 595,650
VERITAS Software Corp. (NON) 2,600 197,438 2,600 197,438 500 37,969
Verity, Inc. (NON) 49,500 3,406,219 40,300 2,773,144 7,600 522,975
Viant Corp. (NON) 7,500 362,813 6,100 295,088 1,100 53,213
Vitria Technology, Inc. (NON) 3,800 139,650 3,100 113,925 600 22,050
Yahoo! Inc. (NON) 11,900 2,136,050 11,700 2,100,150 2,200 394,900
------------ ------------ ------------
144,998,093 131,287,070 24,948,237
Conglomerates 2.0% 1.7% 1.0%
- -----------------------------------------------------------------------------------------------------------------------------------
Allied-Signal, Inc. 64,250 3,850,984 63,045 3,778,760 11,795 706,963
Axia Holding Inc. 144A (PIK) 225 2,925 -- -- -- --
Granada Group PLC (United Kingdom) 400,717 3,430,025 490,968 4,202,549 171,970 1,472,015
Ogden Corp. 893 8,930 986 9,860 222 2,220
Securicor Group PLC (United Kingdom) 205,696 2,029,884 251,749 2,484,352 65,988 651,194
Temple Inland, Inc. 4,600 278,300 4,600 278,300 860 52,030
TRW, Inc. 29,390 1,462,153 27,775 1,381,806 5,350 266,163
Tyco International Ltd. 139,100 14,362,075 136,900 14,134,925 25,700 2,653,525
United Technologies Corp. 157,610 9,348,243 155,680 9,233,770 28,940 1,716,504
------------ ------------ ------------
34,773,519 35,504,322 7,520,614
Consumer Durable Goods 0.2% 0.2% 0.1%
- -----------------------------------------------------------------------------------------------------------------------------------
Hasbro, Inc. 41,517 890,021 39,502 846,824 7,387 158,359
Newell Rubbermaid Inc. 53,620 1,531,521 52,960 1,512,670 10,010 285,911
Whirlpool Corp. 20,315 1,326,823 19,565 1,277,839 3,750 244,922
------------ ------------ ------------
3,748,365 3,637,333 689,192
Consumer Non Durables 1.1% 0.9% 0.5%
- -----------------------------------------------------------------------------------------------------------------------------------
Colgate-Palmolive Co. 79,300 3,627,975 77,700 3,554,775 14,600 667,950
Estee Lauder Cos. Class A 89,600 3,500,000 88,100 3,441,406 16,600 648,438
Hedstrom Holdings, Inc. 144A (NON) 910 910 2,729 2,729 910 910
Kimberly-Clark Corp. 69,670 3,657,675 67,860 3,562,650 12,460 654,150
Philip Morris Cos., Inc. 78,118 2,670,659 76,585 2,618,250 14,366 491,138
R.J. Reynolds Tobacco Holdings, Inc. 7,834 211,518 7,333 197,991 1,366 36,882
Shiseido Co., Ltd. (Japan) (NON) 179,000 2,677,422 219,000 3,275,729 80,000 1,196,613
Wesley Jessen VisionCare, Inc. (NON) 43,000 1,341,063 35,600 1,110,275 6,600 205,838
------------ ------------ ------------
17,687,222 17,763,805 3,901,919
Consumer Services 1.2% 0.9% 0.4%
- -----------------------------------------------------------------------------------------------------------------------------------
AmeriKing, Inc (NON) 50 500 100 1,000 -- --
America Online, Inc. (NON) 36,100 3,754,400 35,400 3,681,600 6,700 696,800
Carey International, Inc. (NON) 58,800 1,470,000 48,100 1,202,500 8,700 217,500
FreeShop.com, Inc. (NON) 2,500 28,750 2,200 25,300 400 4,600
HomeStore.com, Inc. (NON) 3,000 125,063 2,500 104,219 500 20,844
Interpublic Group Cos. Inc. 117,500 4,832,188 115,300 4,741,713 21,700 892,413
MarketWatch.com, Inc. (NON) 31,000 1,464,750 25,100 1,185,975 4,700 222,075
MemberWorks Inc. (NON) 16,900 564,038 14,300 477,263 2,550 85,106
On Assignment, Inc. (NON) 66,000 1,584,000 51,600 1,238,400 10,000 240,000
PJ America Inc. (NON) 26,000 542,750 22,100 461,338 4,100 85,588
Rent-Way, Inc. (NON) 65,329 1,241,251 53,103 1,008,957 10,077 191,463
Service Corp. Intl. 164,801 1,740,707 158,861 1,677,966 29,986 316,723
SportsLine USA, Inc. (NON) 53,000 1,566,813 43,100 1,274,144 8,100 239,456
Tribune Co. 16,500 820,875 16,500 820,875 3,100 154,225
------------ ------------ ------------
19,736,085 17,901,250 3,366,793
Education 0.2% 0.1% 0.1%
- -----------------------------------------------------------------------------------------------------------------------------------
Benesse Corp. (Japan) 9,500 1,893,744 11,600 2,312,361 3,000 598,024
Career Education Corp. (NON) 28,700 832,300 23,300 675,700 4,400 127,600
------------ ------------ ------------
2,726,044 2,988,061 725,624
Electronics and Electrical Equipment 9.1% 7.3% 4.0%
- -----------------------------------------------------------------------------------------------------------------------------------
ANADIGICS, Inc. (NON) 76,000 2,137,500 61,700 1,735,313 11,700 329,063
ASM Lithography Holding
N.V. (Netherlands) 6,490 440,832 7,950 540,002 2,090 141,963
ATMI, Inc. (NON) 80,700 3,011,119 66,000 2,462,625 11,900 444,019
Aavid Thermal Technologies, Inc. (NON) -- -- -- -- 12,000 270,750
Act Manufacturing, Inc. (NON) 82,600 2,070,163 67,200 1,684,200 12,700 318,294
Advantest Corp. (Japan) 15,100 2,187,582 18,500 2,680,151 4,500 651,929
Alpha Industries, Inc. 34,200 1,929,094 27,400 1,545,531 5,100 287,672
American Xtal Technology, Inc. (NON) 53,000 1,132,875 43,200 923,400 8,100 173,138
Applied Materials, Inc. (NON) 47,300 3,674,619 46,400 3,604,700 8,700 675,881
Applied Micro Circuits Corp. (NON) 54,400 3,100,800 44,200 2,519,400 8,200 467,400
Benchmark Electronics, Inc . (NON) 84,900 2,998,031 69,000 2,436,563 13,000 459,063
Credence Systems Corp. (NON) 80,900 3,630,388 66,100 2,966,238 11,900 534,013
Cree Research, Inc. 18,300 621,056 14,700 498,881 2,800 95,025
DII Group Inc., (The) (NON) 118,800 4,180,275 96,700 3,402,631 18,000 633,375
DuPont Photomasks, Inc. (NON) 23,500 1,082,469 18,500 852,156 4,300 198,069
Emerson Electric Co. 54,265 3,428,870 52,860 3,340,091 9,820 620,501
Etec Systems, Inc. (NON) 48,400 1,821,050 39,300 1,478,663 7,500 282,188
General Electric Co. 141,700 16,800,306 141,500 16,776,594 25,900 3,070,769
Genesis Microchip Inc. (NON) 81,500 1,441,531 66,300 1,172,681 12,400 219,325
Hadco Corp. (NON) 56,900 2,460,925 46,600 2,015,450 8,500 367,625
Harmonic Lightwaves, Inc. (NON) 38,000 4,970,875 30,900 4,042,106 5,800 758,713
Helix Technology Corp. 92,900 3,088,925 76,000 2,527,000 13,600 452,200
HI/FN, Inc. (NON) 16,300 1,797,075 13,400 1,477,350 2,500 275,625
Hon Hai Precision Industry (Taiwan) (NON) 130,000 854,344 160,000 1,042,812 -- --
Honeywell, Inc. 17,800 1,981,363 17,800 1,981,363 3,300 367,331
Iberdola S.A. (Spain) (NON) -- -- -- -- 40,057 595,510
Illinois Tool Works, Inc. 8,600 641,238 8,800 656,150 1,600 119,300
Intel Corp. 109,600 8,144,650 107,200 7,966,300 20,200 1,501,113
Micrel, Inc. 71,400 3,096,975 58,300 2,528,763 10,900 472,788
Motorola, Inc. 138,875 12,221,000 137,010 12,056,880 25,455 2,240,040
Murata Manufacturing Co. Ltd. (Japan) 15,000 1,509,878 19,000 1,912,512 5,000 503,293
Nanometrics, Inc. (NON) 75,250 677,250 61,420 552,780 11,290 101,610
Nokia Corp. ADR (Finland) 47,774 4,290,702 47,470 4,263,399 8,846 794,481
Optical Coating Laboratory, Inc. 1,600 147,300 1,200 110,475 200 18,413
Philips Electronics N.V. (Netherlands) (NON) 30,681 3,096,511 37,691 3,804,002 10,038 1,013,095
Photronics, Inc. (NON) 59,100 1,326,056 48,000 1,077,000 9,100 204,181
Power Integrations, Inc. (NON) 49,700 3,441,725 40,900 2,832,325 7,300 505,525
QLogic Corp. 24,100 1,682,481 19,600 1,368,325 3,700 258,306
Rockwell International Corp. 57,345 3,010,613 55,680 2,923,200 10,455 548,888
Rohm Co. Ltd. (Japan) 9,000 1,883,819 11,800 2,469,897 2,600 544,214
STMicroelectronics N.V. ADR (France) 34,031 2,518,294 41,785 3,092,090 17,414 1,288,636
Samsung Electronics Co. (South Korea) 11,609 1,880,734 14,137 2,290,287 -- --
Schneider SA (France) 15,700 1,151,934 19,270 1,413,871 5,110 374,929
Sharp Corp. (Japan) 7,000 112,342 8,000 128,391 2,000 32,098
Siebe PLC (United Kingdom) 552,791 2,693,450 677,297 3,300,100 177,665 865,665
Sipex Corp. (NON) 70,500 1,009,031 57,300 820,106 10,800 154,575
Solectron Corp. (NON) 60,100 4,315,931 59,100 4,244,119 11,100 797,119
Sony Corp. (Japan) 41,200 6,166,435 50,400 7,543,405 13,300 1,990,621
TDK Corp. (Japan) (NON) 10,000 1,159,925 13,000 1,507,902 3,000 347,977
Texas Instruments, Inc. 49,000 4,030,250 48,000 3,948,000 9,000 740,250
Toshiba Corp. 424,000 3,163,048 519,000 3,871,750 137,000 1,022,023
TranSwitch Corp. (NON) 21,900 1,248,300 17,550 1,000,350 3,300 188,100
TriQuint Semiconductor, Inc. (NON) 40,900 2,338,969 32,900 1,881,469 6,200 354,563
Veeco Instruments, Inc. (NON) 28,100 786,800 22,700 635,600 4,300 120,400
Xilinx, Inc. (NON) 30,800 2,018,363 30,200 1,979,044 5,700 373,528
Zoran Corp. (NON) 111,000 3,010,875 90,200 2,446,675 17,000 461,125
------------ ------------ ------------
153,616,946 148,331,068 30,626,297
Energy-Related 0.1% 0.1% --%
- -----------------------------------------------------------------------------------------------------------------------------------
Advanced Energy Industries, Inc. (NON) 55,400 1,710,475 45,000 1,389,375 8,500 262,438
Entertainment 1.5% 1.2% 0.6%
- -----------------------------------------------------------------------------------------------------------------------------------
Carnival Corp. Class A 32,300 1,405,050 31,500 1,370,250 5,900 256,650
Cinar Films, Inc. Class B (Canada) (NON) 87,300 2,640,825 72,000 2,178,000 13,000 393,250
Disney (Walt) Productions, Inc. 88,925 2,300,934 86,175 2,229,778 16,170 418,399
EMI Group PLC (United Kingdom) 323,851 2,366,925 396,358 2,896,855 107,765 787,620
Fitzgerald Gaming Corp. -- -- 1,338 335 630 158
Sunterra Corp. (NON) 128,600 1,527,125 103,800 1,232,625 19,700 233,938
Time Warner, Inc. 94,000 5,710,500 92,600 5,625,450 17,400 1,057,050
Viacom, Inc. Class B (NON) 198,100 8,369,725 197,420 8,340,995 35,880 1,515,930
Vistana, Inc. (NON) 81,300 1,219,500 65,300 979,500 12,200 183,000
------------ ------------ ------------
25,540,584 24,853,788 4,845,995
Environmental Control 0.3% 0.2% 0.1%
- -----------------------------------------------------------------------------------------------------------------------------------
Casella Waste Systems, Inc. (NON) 34,200 570,713 28,000 467,250 5,200 86,775
Vivendi (France) 18,821 1,325,650 23,070 1,624,926 6,049 426,059
Waste Management, Inc. 122,883 2,365,498 120,701 2,323,494 22,685 436,686
------------ ------------ ------------
4,261,861 4,415,670 949,520
Food and Beverages 2.2% 1.9% 1.1%
- -----------------------------------------------------------------------------------------------------------------------------------
Anheuser-Busch Cos., Inc. 73,130 5,123,671 71,685 5,022,430 13,385 937,787
Bass PLC (United Kingdom) 26,095 314,645 32,186 388,089 8,449 101,875
Coca-Cola Femsa S.A. ADR (Mexico) 30,592 422,552 37,441 517,154 -- --
ConAgra, Inc. 16,300 367,769 16,120 363,708 3,015 68,026
Diageo PLC (United Kingdom) 332,506 3,396,233 406,951 4,156,618 107,403 1,097,020
Diedrich Coffee, Inc. (NON) 94,600 402,050 76,500 325,125 14,400 61,200
Fomento Economico Mexicano,
S.A. de C.V. ADR (Mexico) 22,646 709,103 27,655 865,947 -- --
General Mills, Inc. 14,215 1,153,192 13,830 1,121,959 2,640 214,170
Groupe Danone (France) 4,275 1,043,262 5,273 1,286,812 1,469 358,492
Hain Food Group, Inc. (The) (NON) 39,600 980,100 31,800 787,050 5,900 146,025
Heinz (H.J.) Co. 67,100 2,885,300 65,550 2,818,650 12,075 519,225
Kellogg Co. 81,735 3,059,954 80,300 3,006,231 15,085 564,745
Nabisco Group Holdings Corp. 68,176 1,022,640 65,896 988,440 12,234 183,510
Nabisco Holdings Corp. Class A 12,262 423,805 12,064 416,962 2,103 72,685
P.F. Chang's China Bistro, Inc. (NON) 34,880 754,280 28,380 613,718 5,100 110,288
Pepsi Bottling Group, Inc. (The) 60,505 1,032,367 58,610 1,000,033 11,040 188,370
PepsiCo, Inc. 48,230 1,458,958 47,365 1,432,791 8,945 270,586
Quaker Oats Co. (The) 28,994 1,794,004 28,038 1,734,851 5,285 327,009
Ralston Purina Group 28,500 792,656 28,400 789,875 5,300 147,406
SYSCO Corp. 12,500 438,281 12,400 434,775 2,270 79,592
Sara Lee Corp. 149,565 3,505,430 145,605 3,412,617 27,005 632,930
Seagram Co., Ltd. 47,695 2,170,123 46,640 2,122,120 8,785 399,718
Tesco PLC (United Kingdom) (NON) 1,424,201 4,448,456 1,745,998 5,453,581 559,963 1,749,030
------------ ------------ ------------
37,698,831 39,059,536 8,229,689
Health Care 0.7% 0.5% 0.3%
- -----------------------------------------------------------------------------------------------------------------------------------
Abbott Laboratories 97,165 3,570,814 95,195 3,498,416 17,980 660,765
Allscripts, Inc. (NON) 16,100 255,588 9,900 157,163 3,200 50,800
Brookdale Living Communities, Inc. (NON) 36,700 527,563 30,300 435,563 5,500 79,063
Laser Vision Centers, Inc. 3,000 42,094 2,400 33,675 500 7,016
Priority Healthcare Corp. Class B (NON) 88,150 2,721,631 71,650 2,212,194 13,500 416,813
Province Healthcare Co. (NON) 61,900 711,850 49,600 570,400 9,200 105,800
Renal Care Group, Inc. (NON) 63,025 1,380,641 50,500 1,106,266 9,125 199,895
Sunrise Assisted Living, Inc. (NON) 36,000 956,250 29,200 775,625 5,500 146,094
Tenet Healthcare Corp. (NON) 130,760 2,296,473 126,830 2,227,452 23,395 410,875
------------ ------------ ------------
12,462,904 11,016,754 2,077,121
Hospital Management and
Medical Services 0.5% 0.3% 0.2%
- -----------------------------------------------------------------------------------------------------------------------------------
Accredo Health, Inc.(NON) 70,900 2,233,350 56,800 1,789,200 10,600 333,900
Advance Paradigm, Inc. (NON) 35,600 1,949,100 28,900 1,582,275 5,400 295,650
AmSurg Corp. (NON) 61,700 393,338 51,100 325,763 9,200 58,650
Eclipsys Corp. (NON) 3,000 43,125 2,400 34,500 300 4,313
Medquist, Inc. (NON) 63,600 2,126,625 51,800 1,732,063 9,800 327,688
RehabCare Group, Inc. (NON) 63,400 1,125,350 51,000 905,250 9,500 168,625
------------ ------------ ------------
7,870,888 6,369,051 1,188,826
Insurance and Finance 10.9% 9.4% 5.3%
- -----------------------------------------------------------------------------------------------------------------------------------
Ace Ltd. 21,015 355,942 20,445 346,287 3,800 64,363
Aetna Inc. 7,700 379,225 7,700 379,225 1,400 68,950
Aflac Inc. 12,300 515,063 12,100 506,688 2,300 96,313
Allstate Corp. 93,297 2,326,594 91,573 2,283,602 17,023 424,511
American Express Co. 40,700 5,479,238 40,100 5,398,463 7,500 1,009,688
American General Corp. 104,375 6,595,195 102,250 6,460,922 18,900 1,194,244
American International Group, Inc. 90,493 7,867,235 89,500 7,780,906 16,735 1,454,899
AON Corp. 47,850 1,414,566 46,666 1,379,549 8,605 254,385
Associates First Capital Corp. 38,930 1,401,480 38,470 1,384,920 7,385 265,860
AXA Financial, Inc. 12,400 692,075 11,700 653,006 2,150 119,997
Axa S.A. (Mexico) (NON) 18,938 2,402,823 23,199 2,943,452 6,314 801,110
Banc One Corp. 124,845 4,346,167 121,638 4,234,558 22,367 778,651
BankAmerica Corp. 104,718 5,831,484 102,245 5,693,768 19,153 1,066,583
Bank of Ireland (Ireland) (NON) 114,243 933,388 139,819 1,142,349 37,043 302,649
Bank of Nova Scotia (Canada) 49,285 1,058,556 60,475 1,298,897 -- --
BankBoston Corp. 70,190 3,044,491 68,525 2,972,272 12,555 544,573
Banque Nationale de Paris (France) 17,173 1,374,640 21,041 1,684,261 5,519 441,777
Barclays PLC (United Kingdom) 88,733 2,604,310 108,622 3,188,052 28,565 838,382
CIGNA Corp. 61,865 4,810,004 60,230 4,682,883 11,140 866,135
Capital One Financial Corp. 53,100 2,070,900 52,500 2,047,500 9,800 382,200
Charter One Financial, Inc. 78,899 1,824,539 76,757 1,775,006 14,420 333,463
Chase Manhattan Corp. 12,010 905,254 11,960 901,485 2,218 167,182
Cie Finance Richemont (Switzerland) 2,496 5,068,071 3,055 6,203,108 925 1,878,191
Citigroup, Inc. 379,306 16,689,420 371,677 16,353,788 69,566 3,060,860
Comerica, Inc. 46,150 2,336,344 45,850 2,321,156 8,600 435,375
DBS Group Holdings Ltd. (Singapore) 81,410 910,680 101,181 1,131,845 26,749 299,223
Dai Ichi Kangyo Ltd. (Japan) 5,000 62,465 4,000 49,972 2,000 24,986
Fannie Mae 55,800 3,497,963 55,580 3,484,171 10,355 649,129
Fifth Third Bancorp 59,250 3,604,992 58,600 3,565,444 11,000 669,281
First Amercian Corp. 3,200 137,200 3,400 145,775 600 25,725
First Pacific Co., Ltd. (Hong Kong) (NON) 1,154,000 705,697 1,402,000 857,354 298,000 182,234
First Security Corp. 51,900 1,234,247 50,400 1,198,575 9,500 225,922
First Union Corp. 57,240 2,035,598 56,060 1,993,634 12,645 449,688
Firstar Corp. 286,467 7,340,707 282,033 7,227,096 52,958 1,357,065
Fleet Financial Group, Inc. 48,900 1,790,963 48,255 1,767,339 9,055 331,639
Fortis N.V. (Netherlands) 16,443 532,980 20,146 653,008 5,285 171,307
Fuji Bank Ltd. (The) (Japan) (NON) 97,000 1,180,790 120,000 1,460,771 32,000 389,539
Gilman & Ciocia, Inc. (NON) 40,000 450,000 30,000 337,500 6,000 67,500
Hartford Financial Services Group 11,800 482,325 11,400 465,975 2,300 94,013
Huntington Bancshares, Inc. 10,065 267,352 9,944 264,138 1,864 49,513
Industrial Bank Of Japan (Japan) -- -- -- -- 1,000 12,314
Internationale Nederlanden Groep
(Netherlands) 86,940 4,735,448 106,590 5,805,744 28,503 1,552,501
Investor AB (Sweden) 152,767 1,821,404 187,368 2,233,944 49,587 591,214
Jefferson-Pilot Corp. 12,500 789,844 12,165 768,676 2,315 146,279
Julius Baer Holdings AG (Switzerland) 873 2,596,478 1,070 3,182,395 286 850,622
Keppel Bank (Singapore) 426,000 832,688 527,000 1,030,109 136,000 265,835
Lehman Brothers Holding, Inc. 46,985 2,739,813 45,275 2,640,098 8,510 496,239
Lincoln National Corp. 76,820 2,885,551 74,980 2,816,436 14,040 527,378
Mellon Bank Corp. 23,800 803,250 23,800 803,250 4,500 151,875
Merrill Lynch & Co., Inc. 45,710 3,071,141 44,765 3,007,648 8,185 549,930
Mitsubishi Trust and Banking Corp.
(Japan) (NON) 19,000 232,361 23,000 281,279 6,000 73,377
Monte Dei Paschi (NY Branch) 89,000 382,109 108,700 466,688 29,300 125,795
Morgan (J.P.) & Co., Inc. 21,922 2,504,589 21,545 2,461,516 4,115 470,139
National City Corp. 79,340 2,117,386 77,590 2,070,683 14,540 388,036
National Discount Brokers Group, Inc. (NON) 27,900 737,606 22,700 600,131 4,300 113,681
National Westminster Bancorp
Inc. (United Kingdom) 5,926 138,128 7,254 169,082 1,893 44,124
NextCard, Inc. (NON) 3,800 93,100 3,000 73,500 600 14,700
Nikko Securities Co. Ltd. (Japan) (NON) 821,000 6,951,082 1,005,000 8,508,937 294,000 2,489,182
Northern Trust Corp. 13,300 1,110,550 13,500 1,127,250 2,400 200,400
Oversea Chinese Banking Corp.
(Singapore) 76,000 590,639 93,000 722,755 1,000 7,772
Overseas Union Bank Ltd. (Singapore) 158,509 704,588 193,683 860,940 51,390 228,434
Paine Webber Group Inc. 10,285 372,831 10,200 369,750 1,895 68,694
PNC Bank Corp. 75,500 3,977,906 72,490 3,819,317 13,427 707,435
Promise Co., Ltd. (Japan) 56,700 4,571,204 69,100 5,570,904 18,300 1,475,362
Providian Financial Corp. 35,660 2,823,826 35,300 2,795,319 6,650 526,597
Reinsurance Group America, Inc. 33,975 872,733 27,522 706,971 5,130 131,777
Reliastar Financial Corp. 17,795 591,684 17,235 573,064 3,320 110,390
Schwab (Charles) Corp. 63,900 2,152,631 62,700 2,112,206 11,700 394,144
Societe Generale (France) 8,806 1,819,830 10,769 2,225,500 3,263 674,325
St. Paul Cos., Inc. 31,520 866,800 30,590 841,225 5,680 156,200
Summit Bancorp 6,065 196,733 6,030 195,598 1,125 36,492
SunTrust Banks, Inc. 17,680 1,162,460 17,645 1,160,159 3,255 214,016
Svenska Handelsbanken (Sweden) 128,498 1,808,452 157,267 2,213,340 43,594 613,532
Synovus Financial Corp. 11,900 222,381 11,860 221,634 2,200 41,113
The Chubb Corp. 49,580 2,469,704 48,280 2,404,948 8,975 447,067
Toronto-Dominion Bank (Canada) 66,285 1,285,837 81,033 1,571,927 -- --
Travelers Property Casualty Corp. 11,775 347,363 11,410 336,595 2,150 63,425
U.S. Bancorp 125,695 3,794,418 122,340 3,693,139 23,185 699,897
United Overseas Bank Ltd. (Singapore) 70,000 531,646 87,000 660,759 66,000 501,266
UnumProvident Corp. 7,800 229,613 7,700 226,669 1,400 41,213
Washington Mutual, Inc. 134,509 3,934,388 129,812 3,797,001 24,658 721,247
Wells Fargo & Co. 163,815 6,491,169 160,440 6,357,435 30,245 1,198,458
Westpac Banking Corp. (Australia) -- -- -- -- 71,492 440,833
Zions Bancorp 7,800 429,975 7,600 418,950 1,300 71,663
------------ ------------ ------------
183,352,302 190,522,171 40,472,078
Medical Supplies and Devices 0.8% 0.6% 0.3%
- -----------------------------------------------------------------------------------------------------------------------------------
Bausch & Lomb, Inc. 27,900 1,839,656 27,700 1,826,469 5,200 342,875
Baxter International, Inc. 53,555 3,226,689 52,365 3,154,991 9,725 585,931
Bergen Brunswig Corp. Class A 61,715 640,293 59,790 620,321 11,265 116,874
Colorado MEDtech, Inc. (NON) 86,100 1,243,069 70,000 1,010,625 13,200 190,575
Igen, Inc. (NON) 23,100 576,056 18,000 448,875 3,200 79,800
Mallinckrodt Inc. 21,455 647,673 20,840 629,108 3,905 117,882
ResMed Inc. (NON) 49,500 1,636,594 40,000 1,322,500 7,500 247,969
Ventana Medical Systems, Inc. (NON) 36,600 622,200 29,400 499,800 5,400 91,800
Xomed Surgical Products Inc. (NON) 50,050 2,852,850 40,650 2,317,050 7,700 438,900
------------ ------------ ------------
13,285,080 11,829,739 2,212,606
Metals and Mining 0.3% 0.2% 0.1%
- -----------------------------------------------------------------------------------------------------------------------------------
Alcoa Inc. 58,760 3,646,793 57,020 3,538,804 10,455 648,863
Freeport-McMoRan Copper &
Gold Co., Inc. Class A 23,000 319,125 22,905 317,807 4,095 56,818
Freeport-McMoRan Copper & Gold Co.,
Inc. Class B 15,300 238,106 15,235 237,095 2,795 43,497
Pohang Iron & Steel Company, Ltd. ADR
(South Korea) 5,300 165,956 5,500 172,219 -- --
Pohang Iron & Steel Company, Ltd.
(South Korea) 1,110 126,471 1,365 155,525 -- --
------------ ------------ ------------
4,496,451 4,421,450 749,178
Oil and Gas 5.0% 4.3% 2.4%
- -----------------------------------------------------------------------------------------------------------------------------------
Atlantic Richfield Co. 28,553 2,530,510 27,866 2,469,624 5,240 464,395
BP Amoco PLC ADR (United Kingdom) 10,214 1,131,783 10,015 1,109,787 1,880 208,328
Burlington Resources Inc. 36,700 1,348,725 36,200 1,330,350 6,800 249,900
Burmah Castrol PLC (United Kingdom) (NON) 44,466 830,769 54,528 1,018,759 14,567 272,159
Chevron, Inc. 31,425 2,788,969 31,065 2,757,019 6,010 533,388
Conoco, Inc. 224,635 6,233,621 220,220 6,111,105 41,545 1,152,874
Conoco, Inc. Class B 53,686 1,469,654 52,446 1,435,709 9,717 266,003
Elf Aquitaine S.A. (France) (NON) 35,768 6,264,837 43,777 7,667,629 11,376 1,992,529
Enron Corp. 139,500 5,754,375 138,600 5,717,250 25,800 1,064,250
Ente Nazionale Idrocarburi SpA (Italy) 1,061,985 6,680,438 1,300,994 8,183,929 348,144 2,190,007
Exxon Corp. 182,085 13,827,080 180,150 13,680,141 33,310 2,529,478
Halliburton Co. 50,310 2,062,710 48,620 1,993,420 9,125 374,125
Mobil Corp. 47,445 4,780,084 46,415 4,676,311 8,620 868,465
Occidental Petroleum Corp. 87,865 2,031,878 84,655 1,957,647 16,025 370,578
Royal Dutch Petroleum Co. PLC ADR
(Netherlands) 170,700 10,081,969 167,395 9,886,767 31,385 1,853,677
Schlumberger Ltd. 18,850 1,174,591 18,800 1,171,475 3,505 218,405
Shell Transportation & Trading (United
Kingdom) (NON) 660,195 4,933,831 809,893 6,052,569 216,333 1,616,720
Sonat, Inc. 76,095 3,020,020 73,180 2,904,331 13,445 533,598
Tosco Corp. 58,120 1,467,530 56,490 1,426,373 10,425 263,231
Total Corp. S.A. Class B, (France) 8,200 1,033,397 10,100 1,272,842 2,665 335,854
Unocal Corp. 24,235 898,210 23,655 876,713 4,490 166,411
Williams Cos., Inc. 88,480 3,312,470 86,515 3,238,905 15,855 593,572
------------ ------------ ------------
83,657,451 86,938,655 18,117,947
Packaging and Containers 0.1% 0.1% --%
- -----------------------------------------------------------------------------------------------------------------------------------
Sealed Air Corp. (NON) 27,800 1,426,488 27,700 1,421,356 5,100 261,694
Paper and Forest Products 0.7% 0.6% 0.3%
- -----------------------------------------------------------------------------------------------------------------------------------
Abitibi-Consolidated Inc. (Canada) 56,600 681,161 69,300 834,000 -- --
Boise Cascade Corp. 61,750 2,250,016 60,400 2,200,825 11,365 414,112
Champion International Corp. 9,090 466,999 9,055 465,201 1,675 86,053
International Paper Co. 23,450 1,127,066 23,250 1,117,453 4,300 206,669
Jefferson Smurfit Group PLC (Ireland) 167,500 494,921 205,200 606,315 54,762 161,808
Smurfit-Stone Container Corp. (NON) 54,590 1,180,509 53,145 1,149,261 10,100 218,413
Weyerhaeuser Co. 97,845 5,638,318 95,615 5,509,814 17,880 1,030,335
------------ ------------ ------------
11,838,990 11,882,869 2,117,390
Pharmaceuticals 4.0% 3.4% 2.1%
- -----------------------------------------------------------------------------------------------------------------------------------
Allergan, Inc. 19,300 2,123,000 19,100 2,101,000 3,600 396,000
American Home Products Corp. 130,230 5,404,545 127,225 5,279,838 23,940 993,510
Amgen Inc. 38,100 3,105,150 37,500 3,056,250 7,000 570,500
Biogen, Inc. (NON) 39,900 3,144,619 39,600 3,120,975 7,400 583,213
Bristol-Myers Squibb Co. 157,785 10,650,488 154,470 10,426,725 28,845 1,947,038
Eisai Co. Ltd. (Japan) (NON) 45,000 1,142,992 55,000 1,396,990 15,000 380,997
Elan Corp. PLC ADR (Ireland) 47,600 1,617,627 58,200 1,977,855 25,930 881,199
ILEX Oncology Inc. (NON) 40,000 490,000 32,500 398,125 6,100 74,725
Immunex Corp. 21,300 923,888 21,000 910,875 4,000 173,500
Johnson & Johnson 57,600 5,292,000 56,800 5,218,500 10,600 973,875
LeukoSite, Inc. (NON) 26,800 539,350 20,400 410,550 3,800 76,475
Medicis Pharmaceutical Corp. Class A (NON) 44,775 1,276,088 35,825 1,021,013 6,625 188,813
Novartis AG ADR (Switzerland) 1,347 2,004,025 1,651 2,456,307 924 1,374,699
Pharmacia & Upjohn, Inc. 110,564 5,486,739 107,415 5,330,469 20,111 998,008
Pharmacia & Upjohn, Inc. Depository Shares
(Sweden) 43,008 2,151,537 52,637 2,633,241 14,152 707,974
Sanofi-Synthelabo SA (France) 60,982 2,605,151 74,724 3,192,209 19,647 839,320
Schering-Plough Corp. 174,400 7,608,200 172,700 7,534,038 32,100 1,400,363
Smithkline Beecham PLC ADR
(United Kingdom) 98,870 1,136,808 121,003 1,391,294 64,131 737,379
Trimeris, Inc. (NON) 23,800 397,163 19,400 323,738 3,600 60,075
Warner-Lambert Co. 94,600 6,279,075 93,900 6,232,613 17,500 1,161,563
Yamanouchi Pharmaceutical Co., Ltd.
(Japan) 90,000 4,224,835 111,000 5,210,630 29,000 1,361,336
------------ ------------ ------------
67,603,280 69,623,235 15,880,562
Photography 0.2% 0.2% 0.1%
- -----------------------------------------------------------------------------------------------------------------------------------
Canon, Inc. (Japan) (NON) 300 8,749 100 2,916 300 8,749
Eastman Kodak Co. 49,285 3,717,937 47,830 3,608,176 8,876 669,583
------------ ------------ ------------
3,726,686 3,611,092 678,332
Publishing 0.3% 0.3% 0.1%
- -----------------------------------------------------------------------------------------------------------------------------------
McGraw-Hill, Inc. 46,150 2,232,506 44,600 2,157,525 8,190 396,191
Times Mirror Co. Class A 47,917 3,153,538 46,235 3,042,841 8,475 557,761
------------ ------------ ------------
5,386,044 5,200,366 953,952
Real Estate 0.1% 0.1% 0.1%
- -----------------------------------------------------------------------------------------------------------------------------------
Cheung Kong Infrastructure Holdings
(Hong Kong) (NON) 19,000 158,384 22,000 183,392 6,000 50,016
Equity Residential Properties Trust (R) 18,092 766,649 17,080 723,765 3,098 131,278
Henderson Land Development Co. Ltd.
(Hong Kong) (R) 146,000 674,786 179,000 827,306 47,000 217,226
Starwood Hotels & Resorts
Worldwide, Inc. 26,752 596,904 25,300 564,506 4,601 102,655
------------ ------------ ------------
2,196,723 2,298,969 501,175
Retail 3.8% 3.1% 1.6%
- -----------------------------------------------------------------------------------------------------------------------------------
99 Cents Only Stores (NON) 37,893 1,368,885 30,750 1,110,844 5,612 202,734
Albertsons, Inc. 11,525 455,958 11,460 453,386 2,125 84,070
Best Buy Co., Inc. 44,000 2,730,750 43,800 2,718,338 8,200 508,913
CVS Corp. 125,400 5,117,888 123,100 5,024,019 23,300 950,931
Castorama Dubois (France) 130 36,682 160 45,147 40 11,287
Circuit City Stores, Inc. 46,700 1,970,156 46,200 1,949,063 8,600 362,813
Coles Myer Ltd. (Australia) (NON) 322,307 1,683,609 394,481 2,060,618 149,935 783,203
Cost Plus, Inc. (NON) 57,750 2,800,875 47,850 2,320,725 8,700 421,950
Costco Wholesale Corp. (NON) 63,500 4,572,000 62,200 4,478,400 11,700 842,400
David's Bridal, Inc. (NON) 89,100 662,681 71,800 534,013 13,500 100,406
Dayton Hudson Corp. 5,875 352,867 5,830 350,164 1,105 66,369
Factory 2-U Stores, Inc. 80,833 2,414,886 65,724 1,963,505 12,391 370,181
Federated Department Stores, Inc. (NON) 78,030 3,408,936 74,960 3,274,815 14,110 616,431
Gap, Inc. (The) 2,350 75,200 2,300 73,600 400 12,800
Home Depot, Inc. (The) 82,500 5,661,563 81,300 5,579,213 15,200 1,043,100
Ito-Yokado Co., Ltd. (Japan) (NON) 11,000 910,630 12,000 993,415 4,000 331,138
K mart Corp. (NON) 190,556 2,227,123 184,026 2,150,804 33,256 388,680
Kojima Co Ltd. (Japan) 14,100 764,026 17,200 932,004 4,600 249,257
Linens 'N Things, Inc. (NON) 86,700 2,926,125 73,700 2,487,375 13,800 465,750
May Department Stores Co. 36,900 1,344,544 35,750 1,302,641 6,400 233,200
Penney (J.C.) Co., Inc. 11,400 391,875 11,400 391,875 2,200 75,625
REX Stores Corp. (NON) 25,900 802,900 21,100 654,100 4,000 124,000
Rite Aid Corp. 170,050 2,348,816 166,050 2,293,566 31,075 429,223
Saks, Inc. (NON) 49,390 750,111 47,915 727,709 9,040 137,295
Sears, Roebuck & Co. 38,860 1,219,233 38,190 1,198,211 6,990 219,311
TJX Cos., Inc. (The) 142,400 3,996,100 141,400 3,968,038 26,400 740,850
Tuesday Morning Corp. (NON) 35,600 898,900 28,600 722,150 5,300 133,825
Tweeter Home Entertainment
Group, Inc. (NON) 57,242 2,139,420 46,564 1,740,330 8,754 327,181
Wal-Mart Stores, Inc. 199,300 9,479,206 196,300 9,336,519 36,700 1,745,544
Walgreen Co. 32,600 827,225 37,300 946,488 7,000 177,625
------------ ------------ ------------
64,339,170 61,781,075 12,156,092
Specialty Consumer Products 0.3% 0.3% 0.2%
- -----------------------------------------------------------------------------------------------------------------------------------
EMusic.com, Inc. (NON) 38,000 565,250 30,900 459,638 5,800 86,275
Gucci Group N.V. (Netherlands) 34,946 2,917,991 42,683 3,564,031 11,496 959,916
Mattel, Inc. 10,665 202,635 10,380 197,220 1,980 37,620
Sunglass Hut International, Inc. (NON) 131,400 1,387,913 105,900 1,118,569 19,800 209,138
Zany Brainy, Inc. (NON) 55,700 494,338 45,000 399,375 8,400 74,550
------------ ------------ ------------
5,568,127 5,738,833 1,367,499
Telecommunications 10.0% 8.7% 4.7%
- -----------------------------------------------------------------------------------------------------------------------------------
Advanced Communication Systems, Inc. (NON) 46,700 580,831 38,600 480,088 7,000 87,063
Airgate PCS, Inc. (NON) 52,625 1,309,047 42,700 1,062,163 8,100 201,488
ALLTEL Corp. 70,865 4,987,124 69,470 4,888,951 12,900 907,838
American Telephone & Telegraph Corp. 125,650 5,465,790 121,776 5,297,213 22,155 963,743
American Telephone & Telegraph Corp.
Class A 203,320 7,548,255 201,500 7,480,688 37,708 1,399,910
BCE, Inc. (Canada) 54,942 2,734,737 67,322 3,350,952 -- --
Black Box Corp. (NON) 45,600 2,394,000 37,250 1,955,625 6,800 357,000
British Telecommunications PLC ADR 367,453 5,561,728 449,982 6,810,878 108,171 1,637,264
Cable & Wireless Optus Ltd. (Australia) 287,100 618,009 350,500 754,483 94,500 203,420
Carso Global Telecom (Mexico) 129,600 716,848 158,651 877,536 -- --
Celcaribe S.A. (Colombia) (NON) 4,878 6,098 35,772 44,715 3,252 4,065
Celcaribe S.A. 144A (Colombia) (NON) 1,684 632 12,348 4,631 1,123 421
China Telecom Ltd. (Hong Kong) 1,581,000 4,874,792 1,937,000 5,972,469 589,000 1,816,099
Cox Communications, Inc. 12,800 534,400 12,600 526,050 2,400 100,200
DDI Corp. (Japan) 465 3,499,530 569 4,282,571 150 1,128,883
Ditech Communications Corp. (NON) 52,700 2,766,750 42,900 2,252,250 8,100 425,250
Focal Communications Corp. (NON) 9,500 243,438 7,800 199,875 1,500 38,438
France Telecom S.A. (France) 17,304 1,522,807 21,178 1,863,732 13,858 1,219,548
GST Telecommunications, Inc. (Canada) (NON) 131,400 923,906 106,900 751,641 20,100 141,328
GlobeSpan, Inc. (NON) 18,685 1,179,491 15,200 959,500 2,800 176,750
Intermedia Communications, Inc. (NON) 39,000 848,250 32,300 702,525 6,000 130,500
KDD Corp. (Japan) 10,918 1,130,830 13,409 1,388,834 3,512 363,755
Korea Telecom Corp. (South Korea) (NON) 31,200 1,154,400 38,000 1,406,000 -- --
Libertel NV (Netherlands) 39,000 706,001 47,600 861,684 12,800 231,713
Lightbridge, Inc. (NON) 30,100 592,594 24,000 472,500 4,600 90,563
Lucent Technologies, Inc. 182,900 11,865,638 182,200 11,820,225 33,700 2,186,288
MCI WorldCom, Inc. (NON) 77,800 5,591,875 76,500 5,498,438 14,400 1,035,000
MediaOne Group Inc. (NON) 93,760 6,404,980 92,600 6,325,738 17,342 1,184,675
NTT Mobile Communications (Luxembourg) 31 612,418 38 750,706 10 197,554
Network Plus Corp. (NON) 5,600 77,350 4,500 62,156 900 12,431
Nippon Telegraph and Telephone Corp.
(Japan) 378 4,658,325 459 5,656,538 174 2,144,309
Nortel Networks Corp. (Canada) 72,219 3,693,207 88,425 4,521,939 -- --
Orange PLC ADR (United Kingdom) 106,642 2,095,988 130,851 2,571,802 35,049 688,868
Oy Nokia AB Class A, (Finland) 63,337 5,688,853 77,883 6,995,358 20,618 1,851,884
Pinnacle Holdings Inc. (NON) 213,700 5,582,913 172,600 4,509,175 32,500 849,063
Portugal Telecom S.A. (Portugal) 43,937 1,833,818 53,889 2,249,189 14,394 600,769
Powerwave Technologies, Inc. (NON) 41,600 2,005,900 33,600 1,620,150 6,300 303,778
Price Communications Corp 173,092 4,338,118 140,175 3,513,136 26,460 663,154
QUALCOMM, Inc. 24,700 4,672,931 24,300 4,597,256 4,600 870,263
SBC Communications, Inc. 227,525 11,617,995 221,760 11,323,620 40,900 2,088,456
Spectrian Corp. (NON) 52,000 1,131,000 42,300 920,025 8,000 174,000
Sprint Corp. (NON) 255,570 13,864,673 250,280 13,577,690 46,985 2,548,936
Sprint PCS 38,001 2,833,412 38,601 2,878,150 6,901 514,519
Swisscom AG ADR (Switzerland) 5,751 1,798,869 7,053 2,206,125 1,886 589,926
Tele Centro Sul Participacoes S.A. (Brazil) 25,722 1,427,571 31,481 1,747,196 -- --
Telecom Italia Mobile SpA (Italy) 254,300 1,586,216 311,600 1,943,487 82,100 512,068
Telefonaktiebolaget LM Ericsson Class B,
(Sweden) 89,078 2,781,053 109,404 3,415,639 48,988 1,529,426
Telefonos de Mexico S.A. ADR Class L,
(Mexico) 39,824 2,837,460 48,758 3,474,008 -- --
Telesp Celular Participacoes S.A. ADR
(Brazil) 61,314 1,601,828 75,042 1,960,472 -- --
Telesp Participacoes S.A. ADR (Brazil) 75,215 1,184,636 91,968 1,448,496 -- --
Telfonica S.A. (Spain) 96,402 1,547,449 118,336 1,899,534 63,447 1,018,454
Tellabs, Inc. (NON) 61,100 3,478,881 60,500 3,444,719 11,300 643,394
U S West, Inc. 14,594 832,770 13,466 768,404 2,476 141,287
Viatel, Inc. (NON) 1,363 40,294 3,507 103,676 1,113 32,903
Vodafone AirTouch PLC (United Kingdom) 19,600 4,659,900 19,750 4,695,563 3,600 855,900
Vodafone Group PLC (United Kingdom) 127,200 3,010,941 156,200 3,697,397 41,000 970,508
WinStar Communications. Inc. (NON) 23,800 929,688 19,300 753,906 3,600 140,625
------------ ------------ ------------
168,187,238 175,597,467 35,973,677
Transportation 1.2% 0.9% 0.5%
- -----------------------------------------------------------------------------------------------------------------------------------
AMR Corp. (NON) 6,300 343,350 6,300 343,350 1,200 65,400
Burlington Northern Santa Fe Corp. 118,333 3,254,158 115,070 3,164,425 21,181 582,478
CSX Corp. 27,225 1,153,659 26,450 1,120,819 4,980 211,028
Delta Air Lines, Inc. 55,000 2,667,500 52,735 2,557,648 9,845 477,483
Eagle USA Airfreight, Inc. (NON) 100,400 3,005,725 81,700 2,445,894 15,400 461,038
Expeditors International of
Washington, Inc. 87,240 2,799,859 72,240 2,318,453 13,080 419,786
FDX Corp. (NON) 19,100 740,125 18,700 724,625 3,500 135,625
Fritz Companies, Inc. (NON) 90,300 936,863 72,500 752,188 13,500 140,063
Mesaba Holdings, Inc. (NON) 69,900 821,325 56,900 668,575 10,700 125,725
Norfolk Southern Corp. 23,400 573,300 22,100 541,450 4,050 99,225
Peninsular and Oriental Steam Navigation Co.
(United Kingdom) 86,337 1,301,813 105,978 1,597,966 42,252 637,086
Southwest Airlines Co. 97,052 1,473,977 94,180 1,430,359 17,762 269,760
UAL Corp. (NON) 9,215 601,855 8,700 568,219 1,645 107,439
------------ ------------ ------------
19,673,509 18,233,971 3,732,136
Utilities 3.3% 2.8% 1.4%
- -----------------------------------------------------------------------------------------------------------------------------------
Ameritech Corp. 56,055 3,766,195 54,685 3,674,148 9,890 664,484
Bell Atlantic Corp. 97,000 6,529,313 94,895 6,387,620 17,430 1,173,257
BellSouth Corp. 210,055 9,452,475 206,670 9,300,150 38,760 1,744,200
Carolina Power & Light Co. 8,700 307,763 8,000 283,000 1,500 53,063
CiNergy Corp. 28,995 820,921 28,230 799,262 5,365 151,897
Companhia Energetica de Minas Gerais ADR
(Brazil) 56,000 854,000 68,538 1,045,205 -- --
Consolidated Edison, Inc. 64,415 2,673,223 61,975 2,571,963 11,400 473,100
Dominion Resources, Inc. 48,740 2,199,393 47,725 2,153,591 8,850 399,356
Duke Energy Corp. 70,760 3,900,645 68,885 3,797,286 12,815 706,427
Edison International 66,595 1,619,091 64,585 1,570,223 11,890 289,076
Entergy Corp. 95,330 2,758,612 91,755 2,655,160 16,740 484,414
FPL Group, Inc. 4,000 201,500 3,900 196,463 700 35,263
FirstEnergy Corp. 13,300 339,150 12,900 328,950 2,100 53,550
GTE Corp. 75,843 5,830,431 72,611 5,581,971 13,508 1,038,428
Independent Energy Holdings PLC
(United Kingdom) (NON) 151,400 2,904,988 123,200 2,363,900 23,400 448,988
Korea Electric Power Corp. (South Korea) 1,820 59,868 2,250 74,013 -- --
Korea Electric Power Corp. ADR
(South Korea) 64,622 1,037,991 79,002 1,268,970 -- --
Public Service Enterprise Group, Inc. 16,705 645,231 16,655 643,299 2,995 115,682
Reliant Energy, Inc. 19,700 533,131 19,600 530,425 3,600 97,425
Scottish Power PLC (United Kingdom) 241,878 2,221,707 296,631 2,724,626 78,367 719,820
Sempra Energy 33,500 697,219 31,600 657,675 5,750 119,672
Southern Co. 54,390 1,400,543 53,865 1,387,024 9,930 255,698
Texas Utilities Co. 73,292 2,734,708 71,060 2,651,426 12,920 482,078
Tokyo Electric Power Co. (Japan) 109,100 2,524,798 134,600 3,114,920 35,800 828,485
------------ ------------ ------------
56,012,896 55,761,270 10,334,363
------------ ------------ ------------
Total Common Stocks
(cost $1,153,848,542, $1,147,576,481 and
$245,296,729) $1,357,333,477 $1,349,310,692 $277,877,770
- -----------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
GROWTH BALANCED CONSERVATIVE
5.5% 11.1% 17.5%
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% 0.1%
- -----------------------------------------------------------------------------------------------------------------------------------
Adams Outdoor Advertising sr. notes
10 3/4s, 2006 $ 600,000 $ 612,000 $ 780,000 $ 795,600 $ 600,000 $ 612,000
Outdoor Systems, Inc. sr. sub. notes
9 3/8s, 2006 10,000 10,475 35,000 36,663 10,000 10,475
Outdoor Systems, Inc. company
guaranty 8 7/8s, 2007 375,000 386,250 885,000 911,550 475,000 489,250
------------ ------------ ------------
1,008,725 1,743,813 1,111,725
Aerospace and Defense 0.1% 0.3% 0.4%
- -----------------------------------------------------------------------------------------------------------------------------------
Argo-Tech Corp. company guaranty
8 5/8s, 2007 255,000 218,025 580,000 495,900 220,000 188,100
Argo-Tech Corp. company guaranty
Ser. D, 8 5/8s, 2007 80,000 68,400 220,000 188,100 70,000 59,850
Aviation Sales Co. company guaranty
8 1/8s, 2008 160,000 140,800 400,000 352,000 130,000 114,400
BE Aerospace, Inc. sr. sub. notes Ser. B,
9 7/8s, 2006 275,000 273,625 650,000 646,750 400,000 398,000
BE Aerospace, Inc. sr. sub. notes
9 1/2s, 2008 50,000 48,875 -- -- 140,000 136,850
BE Aerospace, Inc. sr. sub. notes Ser. B,
8s, 2008 130,000 117,325 380,000 342,950 -- --
Derlan Industries Ltd. sr. notes 10s,
2007 (Canada) 87,000 84,390 248,000 240,560 73,000 70,810
K&F Industries, Inc. sr. sub. notes Ser. B,
9 1/4s, 2007 35,000 33,600 85,000 81,600 30,000 28,800
Lockheed Martin Corp. company guaranty
7.45s, 2004 175,000 176,545 430,000 433,797 -- --
Lockheed Martin Corp. company guaranty
7 1/4s, 2006 230,000 226,251 565,000 555,791 1,945,000 1,913,297
Raytheon Co. notes 6.15s, 2008 700,000 643,349 2,465,000 2,265,508 550,000 505,489
Sequa Corp. sr. sub. notes 9 3/8s, 2003 -- -- 10,000 10,275 -- --
------------ ------------ ------------
2,031,185 5,613,231 3,415,596
Agriculture --% --% --%
- -----------------------------------------------------------------------------------------------------------------------------------
Premium Standard Farms, Inc.
sr. sec. notes 11s, 2003 (PIK) 4,227 3,868 16,895 15,459 9,560 8,748
Apparel --% 0.1% 0.1%
- -----------------------------------------------------------------------------------------------------------------------------------
Guess Jeans, Inc. sr. sub. notes
9 1/2s, 2003 250,000 252,500 940,000 949,400 375,000 378,750
Fruit of the Loom company guaranty
8 7/8s, 2006 200,000 72,000 490,000 176,400 190,000 68,400
------------ ------------ ------------
324,500 1,125,800 447,150
Automotive 0.2% 0.4% 0.8%
- -----------------------------------------------------------------------------------------------------------------------------------
Aftermarket Technology Corp. sr. sub. notes
12s, 2004 460,000 466,900 1,082,000 1,098,230 398,000 403,970
Aftermarket Technology Corp. sr. sub. notes
Ser. D, 12s, 2004 11,000 11,165 18,000 18,270 12,000 12,180
Chrysler Corp. deb. Ser. B, 7.45s, 2097 135,000 128,997 325,000 310,547 485,000 463,432
Daimlerchrysler Corp. company
guaranty 7.2s, 2009 150,000 150,581 360,000 361,393 480,000 481,858
Delphi Automotive Systems Corp. notes 6 1/8s,
2004 390,000 375,083 930,000 894,428 1,210,000 1,163,718
Dura Operating Corp. company guaranty
Ser. B, 9s, 2009 150,000 139,125 370,000 343,175 140,000 129,850
Federal Mogul Corp. notes 7 1/2s, 2009 150,000 135,395 340,000 306,894 140,000 126,368
Federal Mogul Corp. notes 7 3/8s, 2006 460,000 426,181 1,190,000 1,102,511 400,000 370,592
Ford Motor Co. bonds 6 5/8s, 2028 35,000 31,130 80,000 71,154 765,000 680,406
Hayes Wheels International, Inc. company
guaranty Ser. B, 9 1/8s, 2007 150,000 148,313 355,000 351,006 250,000 247,188
Hayes Lemmerz International, Inc. company
guaranty Ser. B, 8 1/4s, 2008 90,000 79,200 250,000 220,000 -- --
Hertz Corp. sr. notes 7s, 2028 550,000 490,809 1,385,000 1,235,946 1,600,000 1,427,808
Hertz Corp. notes 6 1/4s, 2009 60,000 55,034 145,000 133,000
Lear Corp. sub. notes 9 1/2s, 2006 250,000 255,000 730,000 744,600 210,000 214,200
Navistar International Corp. sr. notes
Ser. B, 8s, 2008 -- -- 450,000 433,125 250,000 240,625
Navistar International Corp. sr. notes
Ser. B, 7s, 2003 400,000 385,000 640,000 616,000 250,000 240,625
Safety Components International, Inc. sr.
sub. notes Ser. B, 10 1/8s, 2007 40,000 25,600 120,000 76,800 35,000 22,400
Talon Automotive Group 144A sr. sub. notes
Ser. B, 9 5/8s, 2008 220,000 173,800 560,000 442,400 190,000 150,100
------------ ------------ ------------
3,477,313 8,759,479 6,375,320
Basic Industrial Products 0.1% 0.2% 0.3%
- -----------------------------------------------------------------------------------------------------------------------------------
American Standard Companies, Inc. sr.
notes 7 3/8s, 2008 425,000 386,750 785,000 714,350 375,000 341,250
Ball Corp. company guaranty 8 1/4s, 2008 290,000 281,300 2,030,000 1,969,100 250,000 242,500
Ball Corp. company guaranty 7 3/4s, 2006 130,000 126,100 -- -- 350,000 339,500
Blount Inc. 144A sr. sub. notes 13s, 2009 270,000 278,100 670,000 690,100 240,000 247,200
Newcor, Inc. company guaranty
Ser. B, 9 7/8s, 2008 250,000 180,000 450,000 324,000 200,000 144,000
Owens-Illinois, Inc. sr. notes 8.1s, 2007 80,000 77,825 -- -- 250,000 243,203
Owens-Illinois, Inc. sr. notes 7.35s, 2008 220,000 206,763 560,000 526,305 190,000 178,568
Owens-Illinois, Inc. sr. notes 7.15s, 2005 260,000 245,206 670,000 631,877 230,000 216,913
------------ ------------ ------------
1,782,044 4,855,732 1,953,134
Broadcasting 0.3% 0.6% 0.7%
- -----------------------------------------------------------------------------------------------------------------------------------
Allbritton Communications Co.
sr. sub. deb. Ser. B, 9 3/4s, 2007 -- -- -- -- 200,000 199,000
Allbritton Communications Co. sr. sub. notes
Ser. B, 8 7/8s, 2008 610,000 582,550 960,000 916,800 520,000 496,600
AMFM, Inc sr. sub. notes 9 3/8s, 2004 -- -- 5,000 5,006 5,000 5,006
AMFM, Inc. company guaranty 8s, 2008 560,000 543,200 1,410,000 1,367,700 480,000 465,600
Benedek Communications Corp. sr. disc. notes
stepped-coupon zero % (13 1/4s, 5/15/01),
2006 (STP) 250,000 217,500 600,000 522,000 225,000 195,750
Capstar Broadcasting sr. disc. notes
stepped-coupon zero % (12 3/4s, 2/1/02),
2009 (STP) 175,000 147,000 465,000 390,600 155,000 130,200
Capstar Broadcasting sr. sub. notes
9 1/4s, 2007 230,000 231,725 850,000 856,375 195,000 196,463
Central European Media Enterprises Ltd. sr.
notes 9 3/8s, 2004 (Bermuda) 20,000 8,000 60,000 24,000 20,000 8,000
Citadel Broadcasting, Inc. sr. sub.
notes 10 1/4s, 2007 100,000 102,750 124,370 127,790 340,000 349,350
Citadel Broadcasting, Inc. company guaranty
9 1/4s, 2008 470,000 460,600 1,080,000 1,058,400 400,000 392,000
Comcast Corp. sr. notes sub.
9 1/8s, 2006 170,000 180,193 -- -- -- --
Comcast UK Cable, Ltd. deb. stepped-coupon
zero % (11.2s, 11/15/00), 2007 (Bermuda)
(STP) 150,000 135,750 400,000 362,000 130,000 117,650
Diamond Cable Communication Co. sr. disc.
notes stepped-coupon zero % (11 3/4s,
12/15/00), 2005 (United Kingdom) (STP) 115,000 103,213 450,000 403,875 90,000 80,775
Diamond Cable Communication Co. sr. disc.
notes stepped-coupon zero % (10 3/4s,
2/15/02), 2007 (United Kingdom) (STP) 475,000 374,063 550,000 433,125 400,000 315,000
Fox Family Worldwide, Inc. sr. notes
9 1/4s, 2007 270,000 248,400 830,000 763,600 300,000 276,000
Fox Family Worldwide, Inc. sr. notes
9 1/4s, 2007 340,000 345,100 860,000 872,900 270,000 274,050
Granite Broadcasting Corp. sr. sub. notes
10 3/8s, 2005 200,000 204,000 -- -- -- --
Granite Broadcasting Corp. sr. sub. notes
9 3/8s, 2005 -- -- 225,000 225,000 -- --
Granite Broadcasting Corp. sr. sub. notes
8 7/8s, 2008 200,000 193,000 350,000 337,750 150,000 144,750
Gray Communications Systems, Inc. sr. sub.
notes 10 5/8s, 2006 10,000 10,350 35,000 36,225 10,000 10,350
Jacor Communications, Inc. sr. sub. notes
10 1/8s, 2006 395,000 426,600 968,000 1,045,440 344,000 371,520
PHI Holdings, Inc. sr. sub. notes
zero %, 2001 159,000 133,528 447,000 375,391 178,000 149,484
Pegasus Communications Corp. sr. notes
Ser. B, 9 3/4s, 2006 40,000 38,400 110,000 105,600 40,000 38,400
Pegasus Media & Communications
notes Ser. B, 12 1/2s, 2005 -- -- 200,000 216,000 200,000 216,000
Radio One Inc. company guaranty stepped-coupon
Ser. B, 7s, (12s, 5/15/00), 2004 (STP) 5,000 5,175 10,000 10,350 10,000 10,350
SFX Broadcasting, Inc. sr. sub. notes
Ser. B, 10 3/4s, 2006 247,000 274,170 658,000 730,380 197,000 218,670
SFX Entertainment Inc. company
guaranty 9 1/8s, 2008 -- -- 290,000 266,800 -- --
Sinclair Broadcast Group, Inc. sr. sub. notes
8 3/4s, 2007 510,000 476,850 1,545,000 1,444,575 450,000 420,750
Spanish Broadcasting Systems sr. notes Ser.
B, 11s, 2004 65,000 72,150 170,000 188,700 60,000 66,600
Young Broadcasting, Inc. company guaranty
Ser. B, 9s, 2006 75,000 74,063 165,000 162,938 60,000 59,250
Young Broadcasting, Inc. company
guaranty Ser. B, 8 3/4s, 2007 75,000 73,125 -- -- 75,000 73,125
------------ ------------ ------------
5,661,455 13,249,320 5,280,693
Building and Construction 0.1% 0.1% 0.2%
- -----------------------------------------------------------------------------------------------------------------------------------
Albecca Inc. company guaranty
10 3/4s, 2008 130,000 99,775 320,000 245,600 110,000 84,425
American Architectural Products Corp. company
guaranty 11 3/4s, 2007 35,000 15,750 90,000 40,500 25,000 11,250
Atrium Companies Inc. company guaranty
Ser. B, 10 1/2s, 2009 60,000 57,300 150,000 143,250 50,000 47,750
Building Materials Corp. company
guaranty 8s, 2008 330,000 301,950 820,000 750,300 290,000 265,350
D.R. Horton, Inc. company guaranty
10s, 2006 120,000 122,100 -- -- 290,000 295,075
D.R. Horton, Inc. company guaranty
8s, 2009 400,000 367,000 1,000,000 917,500 350,000 321,125
GS Superhighway Holdings sr. notes
9 7/8s, 2004 (Hong Kong) -- -- 345,000 172,500 -- --
Jackson Products, Inc. company guaranty
Ser. B, 9 1/2s, 2005 60,000 55,500 150,000 138,750 50,000 46,250
NCI Building Systems Inc. sr. sub. notes
Ser. B, 9 1/4s, 2009 110,000 106,700 270,000 261,900 100,000 97,000
Toll Corp. company guaranty
8 1/8s, 2009 120,000 113,700 390,000 369,525 110,000 104,225
------------ ------------ ------------
1,239,775 3,039,825 1,272,450
Business Equipment and Services 0.1% 0.2% 0.1%
- -----------------------------------------------------------------------------------------------------------------------------------
Cex Holdings, Inc. company guaranty Ser.
B, 9 5/8s, 2008 110,000 110,550 280,000 281,400 90,000 90,450
Iron Mountain, Inc. med. term notes company
guaranty 10 1/8s, 2006 50,000 51,750 200,000 207,000 200,000 207,000
Iron Mountain, Inc. company guaranty 8 3/4s,
2009 765,000 719,100 1,440,000 1,353,600 525,000 493,500
Iron Mountain, Inc. sr. sub. notes
8 1/4s, 2011 30,000 27,150 460,000 416,300 40,000 36,200
Outsourcing Solutions, Inc. sr. sub. notes
Ser. B, 11s, 2006 25,000 24,250 75,000 72,750 25,000 24,250
U.S. Office Products Co. company guaranty
9 3/4s, 2008 220,000 112,200 570,000 290,700 120,000 61,200
United Stationer Supply, Inc. sr. sub. notes
12 3/4s, 2005 207,000 223,560 503,000 543,240 182,000 196,560
------------ ------------ ------------
1,268,560 3,164,990 1,109,160
Cable Television 0.2% 0.4% 0.5%
- -----------------------------------------------------------------------------------------------------------------------------------
Acme Television sr. disc. notes
stepped-coupon zero % (10 7/8s, 9/30/00),
2004 (STP) 255,000 224,400 540,000 475,200 200,000 176,000
CSC Holdings, Inc. sr. sub. deb.
10 1/2s, 2016 10,000 10,913 10,000 10,913 260,000 283,725
CSC Holdings, Inc. sr. sub. deb.
9 7/8s, 2013 375,000 394,688 1,150,000 1,210,375 300,000 315,750
CSC Holdings, Inc. sr. sub. notes
9 1/4s, 2005 10,000 10,050 10,000 10,050 10,000 10,050
CSC Holdings, Inc. deb. Ser. B,
8 1/8s, 2009 398,000 401,522 970,000 978,585 340,000 343,009
CSC Holdings, Inc. deb. 7 7/8s, 2018 50,000 47,885 160,000 153,232
CSC Holdings, Inc. sr. notes 7 7/8s, 2007 125,000 123,746 375,000 371,239
CSC Holdings, Inc. sr. notes 7 1/4s, 2008 120,000 114,082 310,000 294,711 110,000 104,575
Globo Communicacoes 144A sr. notes 10 5/8s,
2008 (Brazil) 90,000 65,925 230,000 168,475 80,000 58,600
Jones Intercable, Inc. sr. sub. deb.
10 1/2s, 2008 160,000 169,200 415,000 438,863 140,000 148,050
Jones Intercable, Inc. sr. notes
9 5/8s, 2002 40,000 42,500 -- -- 110,000 116,875
Jones Intercable, Inc. sr. notes
8 7/8s, 2007 398,000 424,865 1,230,000 1,313,025 340,000 362,950
Jones Intercable, Inc. sr. notes
7 5/8s, 2008 50,000 49,875 100,000 99,750 -- --
Lamar Media Corp. company guaranty
9 5/8s, 2006 240,000 244,200 800,000 814,000 695,000 707,163
Lamar Media Corp. sr. sub. notes
9 1/4s, 2007 340,000 336,600 775,000 767,250 260,000 257,400
Lamar Media Corp. company guaranty
8 5/8s, 2007 35,000 34,475 70,000 68,950 20,000 19,700
Lenfest Communications, Inc. sr. sub. notes
10 1/2s, 2006 100,000 113,000 300,000 339,000 100,000 113,000
Lenfest Communications, Inc. sr. sub. notes
8 1/4s, 2008 310,000 313,100 750,000 757,500 240,000 242,400
Supercanal Holdings S.A. 144A sr. notes
11 1/2s, 2005 (Argentina) (in default) (NON) 120,000 56,400 300,000 141,000 100,000 47,000
Rogers Cablesystems Ltd. sr. notes Ser. B,
10s, 2005 (Canada) 40,000 42,900 100,000 107,250 30,000 32,175
TeleWest Communications PLC 144A sr. disc.
notes stepped-coupon zero %, (9 1/4, 4/15/04)
2009 (United Kingdom) (STP) 200,000 122,500 490,000 300,125 170,000 104,125
------------ ------------ ------------
3,342,826 8,666,261 3,595,779
Chemicals 0.1% 0.3% 0.3%
- -----------------------------------------------------------------------------------------------------------------------------------
Geo Specialty Chemicals, Inc. sr. sub. notes
10 1/8s, 2008 100,000 92,500 240,000 222,000 70,000 64,750
Huntsman Corp. 144A sr. sub. notes
9 1/2s, 2007 50,000 46,750 -- -- 160,000 149,600
Huntsman Corp. 144A sr. sub. notes
FRN 8.872s, 2007 120,000 106,800 300,000 267,000 100,000 89,000
Huntsman ICI Chemicals Inc. 144A sr. sub.
notes 10 1/8s, 2009 430,000 419,250 1,060,000 1,033,500 380,000 370,500
Lyondell Petrochemical Co. notes Ser. A,
9 5/8s, 2007 730,000 726,350 1,780,000 1,771,100 660,000 656,700
Nova Chemical Corp. notes 7.4s,
2009 (Canada) 340,000 325,713 835,000 799,913 1,060,000 1,015,459
PCI Chemicals & Pharmaceuticals
company guaranty 9 1/4s, 2007 (India) -- -- 100,000 75,000 -- --
Royster-Clark Inc. 144A 1st mtge 10 1/4s,
2009 110,000 100,100 270,000 245,700 100,000 91,000
Scotts Co 144A sr. sub. notes
8 5/8s, 2009 -- -- 390,000 372,450 -- --
Sterling Chemicals Holdings sr. disc. notes
stepped-coupon zero % (13 1/2s, 8/15/01),
2008 (STP) 100,000 20,000 270,000 54,000 100,000 20,000
Trikem S.A. 144A bonds 10 5/8s,
2007 (Brazil) 120,000 67,200 305,000 170,800 100,000 56,000
Union Carbide Global Enterprises sr. sub.
notes Ser. B, 12s, 2005 80,000 84,200 210,000 221,025 90,000 94,725
------------ ------------ ------------
1,988,863 5,232,488 2,607,734
Computer Services and Software 0.1% 0.2% 0.2%
- -----------------------------------------------------------------------------------------------------------------------------------
Concentric Network Corp. sr. notes
12 3/4s, 2007 30,000 30,300 75,000 75,750 30,000 30,300
IPC Information Systems Inc. sr. disc. notes
zero % (10 7/8s, 11/1/01), 2008 (STP) 270,000 199,800 680,000 503,200 230,000 170,200
PSINet, Inc. sr. notes 11 1/2s, 2008 170,000 171,700 430,000 434,300 150,000 151,500
PSINet, Inc. 144A sr. notes 11s, 2009 310,000 303,800 720,000 705,600 290,000 284,200
PSINet, Inc. sr. notes Ser. B, 10s, 2005 80,000 76,500 210,000 200,813 70,000 66,938
Unisys Corp. sr. notes 7 7/8s, 2008 310,000 299,925 670,000 648,225 240,000 232,200
Verio Inc. sr. notes 11 1/4s, 2008 80,000 81,600 210,000 214,200 70,000 71,400
Verio Inc. sr. notes 10 3/8s, 2005 420,000 416,850 920,000 913,100 360,000 357,300
------------ ------------ ------------
1,580,475 3,695,188 1,364,038
Conglomerates --% 0.1% 0.2%
- -----------------------------------------------------------------------------------------------------------------------------------
Axia, Inc. company guaranty
10 3/4s, 2008 160,000 148,000 400,000 370,000 130,000 120,250
Cia Latino Americana 144A company guaranty
11 5/8s, 2004 (Argentina) 25,000 15,750 75,000 47,250 25,000 15,750
Tyco International Ltd. company guaranty
6 3/8s, 2005 220,000 212,579 485,000 468,641 745,000 719,871
Tyco International Ltd. company guaranty
6 1/4s, 2003 155,000 150,164 315,000 305,172 495,000 479,556
------------ ------------ ------------
526,493 1,191,063 1,335,427
Consumer Durable Goods --% --% --%
- -----------------------------------------------------------------------------------------------------------------------------------
Hedstrom Holdings, Inc. 144A sr. disc. notes
stepped-coupon zero % (12s, 6/1/02), 2009
(STP) 15,000 5,550 45,000 16,650 15,000 5,550
Iron Age Corp. company guaranty
9 7/8s, 2008 230,000 177,100 585,000 450,450 190,000 146,300
Sealy Mattress Co. sr. sub. notes Ser. B,
9 7/8s, 2007 35,000 33,950 80,000 77,600 25,000 24,250
------------ ------------ ------------
216,600 544,700 176,100
Consumer Non Durables 0.1% 0.1% 0.5%
- -----------------------------------------------------------------------------------------------------------------------------------
Philip Morris Companies., Inc. notes 7 1/2s,
2004 570,000 579,263 1,130,000 1,148,363 1,845,000 1,874,981
Philip Morris Companies., Inc. notes
7 1/2s, 2002 260,000 263,760 685,000 694,905 915,000 928,231
Samsonite Corp. sr. sub. notes
10 3/4s, 2008 420,000 361,200 920,000 791,200 360,000 309,600
------------ ------------ ------------
1,204,223 2,634,468 3,112,812
Consumer Products 0.1% 0.1% 0.1%
- -----------------------------------------------------------------------------------------------------------------------------------
French Fragrances, Inc. sr. notes Ser. B,
10 3/8s, 2007 30,000 29,738 85,000 84,256 30,000 29,738
French Fragrances, Inc. company guaranty Ser.
D, 10 3/8s, 2007 50,000 45,000 130,000 117,000 40,000 36,000
Revlon Consumer Products sr. notes
9s, 2006 90,000 81,450 210,000 190,050 80,000 72,400
Revlon Consumer Products sr. sub. notes
8 5/8s, 2008 600,000 489,000 1,500,000 1,222,500 500,000 407,500
Triarc Consumer Products, Inc. 144A sr. sub.
notes 10 3/4s, 2009 170,000 164,475 410,000 396,675 150,000 145,125
------------ ------------ ------------
809,663 2,010,481 690,763
Consumer Services 0.1% 0.2% 0.1%
- -----------------------------------------------------------------------------------------------------------------------------------
Century Communications Corp.
sr. notes 9 1/2s, 2005 315,000 313,425 835,000 830,825 280,000 278,600
Century Communications Corp.
sr. notes 8 7/8s, 2007 20,000 19,200 30,000 28,800 20,000 19,200
Coinmach Corp. sr. notes Ser. D,
11 3/4s, 2005 -- -- 565,000 597,488 -- --
Consumers International 144A
sr. notes 10 1/4s, 2005 10,000 9,500 5,000 4,750 5,000 4,750
FRD Acquisition Co. sr. notes Ser. B,
12 1/2s, 2004 75,000 65,250 200,000 174,000 75,000 65,250
HMH Properties, Inc. company guaranty Ser. B,
7 7/8s, 2008 360,000 321,300 920,000 821,100 300,000 267,750
Protection One, Inc. 144A sr. sub. notes
8 1/8s, 2009 90,000 57,600 200,000 128,000 60,000 38,400
Protection One, Inc. sr. disc. notes
stepped-coupon zero %, (13 5/8s, 6/30/00),
2005 (STP) 60,000 54,600 160,000 145,600 50,000 45,500
Viasystems, Inc. sr. notes Ser. B,
9 3/4s, 2007 50,000 43,125 650,000 560,625 225,000 194,063
Viasystems, Inc. sr. sub notes 9 3/4s, 2007 60,000 51,750 -- -- --
------------ ------------ ------------
935,750 3,291,188 913,513
Electronics and Electrical Equipment 0.2% 0.3% 0.3%
- -----------------------------------------------------------------------------------------------------------------------------------
Applied Power Inc. sr. sub. notes
8 3/4s, 2009 230,000 215,050 550,000 514,250 195,000 182,325
Celestica International Ltd. 144A sr. sub.
notes 10 1/2s, 2006 (Canada) 20,000 21,000 55,000 57,750 20,000 21,000
DII Group, Inc. (The) sr. sub. notes
8 1/2s, 2007 290,000 274,050 110,000 103,950 40,000 37,800
Dobson Communications Corp.
sr. notes 11 3/4s, 2007 290,000 305,950 715,000 754,325 275,000 290,125
Fairchild Semiconductor Corp. sr. sub. notes
10 1/8s, 2007 200,000 196,000 775,000 759,500 250,000 245,000
Flextronics International Ltd. sr. sub. notes
Ser. B, 8 3/4s, 2007 455,000 448,175 915,000 901,275 395,000 389,075
HCC Industries, Inc. company guaranty
10 3/4s, 2007 40,000 26,400 70,000 46,200 30,000 19,800
Metromedia Fiber Network, Inc. sr. notes
Ser. B, 10s, 2008 660,000 636,900 1,670,000 1,611,550 590,000 569,350
Moog, Inc. sr. sub. notes Ser. B, 10s, 2006 20,000 20,400 60,000 61,200 20,000 20,400
Motors and Gears, Inc. sr. notes Ser. D,
10 3/4s, 2006 100,000 96,000 255,000 244,800 80,000 76,800
Wavetek Corp. company guaranty
10 1/8s, 2007 25,000 21,000 60,000 50,400 20,000 16,800
Zilog, Inc. company guaranty Ser. B,
9 1/2s, 2005 130,000 118,625 330,000 301,125 110,000 100,375
------------ ------------ ------------
2,379,550 5,406,325 1,968,850
Energy-Related --% 0.1% 0.2%
- -----------------------------------------------------------------------------------------------------------------------------------
Amerada Hess Corp. bonds 7 7/8s, 2029 290,000 285,389 705,000 693,791 940,000 925,054
Panda Global Energy Co. company guaranty
12 1/2s, 2004 (China) 10,000 5,700 10,000 5,700 5,000 2,850
PP&L Capital Funding, Inc. company guaranty
5.9s, 2000 130,000 127,595 215,000 211,023 680,000 667,420
RAM Energy Inc. sr. notes 11 1/2s, 2008 70,000 34,650 190,000 94,050 60,000 29,700
York Power Funding 144A notes 12s, 2007
(Cayman Islands) 280,000 280,000 680,000 680,000 250,000 250,000
------------ ------------ ------------
733,334 1,684,564 1,875,024
Entertainment 0.3% 0.5% 0.9%
- -----------------------------------------------------------------------------------------------------------------------------------
AMC Entertainment, Inc. sr. sub. notes
9 1/2s, 2009 425,000 354,875 1,060,000 885,100 373,000 311,455
Boyd Gaming Corp. sr. sub. notes
9 1/2s, 2007 -- -- -- -- 25,000 24,250
Cinemark USA, Inc. sr. sub. notes
8 1/2s, 2008 345,000 269,100 330,000 257,400 290,000 226,200
Circus Circus Enterprises, Inc. sr. notes
6.45s, 2006 250,000 221,313 650,000 575,413 250,000 221,313
Colorado Gaming & Entertainment Co.
sr. notes 12s, 2003 50,000 47,500 275,000 261,250 50,000 47,500
Disney (Walt) Co. med. term notes
5.62s, 2008 -- -- -- -- 1,045,000 943,781
Diva Systems Corp. sr. disc. notes,
stepped-coupon Ser. B, zero % (12 5/8s,
3/1/03), 2008 (STP) 488,000 146,400 1,231,000 369,300 403,000 120,900
Fitzgeralds Gaming Corp. company guaranty
Ser. B, 12 1/4s, 2004 (in default) (NON) 190,000 102,125 460,000 247,250 160,000 86,000
Harrahs Entertainment, Inc. company guaranty
7 1/2s, 2009 500,000 470,170 1,250,000 1,175,425 450,000 423,153
Hollywood Casino Corp. company guaranty
11 1/4s, 2007 280,000 282,100 680,000 685,100 250,000 251,875
Hollywood Park, Inc. sr. sub. notes Ser. B,
9 1/2s, 2007 220,000 213,400 530,000 514,100 190,000 184,300
Hollywood Park, Inc. company guaranty
Ser. B, 9 1/4s, 2007 -- -- 280,000 268,800 -- --
Horseshoe Gaming Holdings company guaranty
8 5/8s, 2009 210,000 198,450 520,000 491,400 200,000 189,000
Isle of Capri Black Hawk LLC 144A 1st
mortgage Ser. B, 13s, 2004 30,000 32,550 80,000 86,800 30,000 32,550
Mohegan Tribal Gaming, Auth. sr. sub. notes
8 3/4s, 2009 210,000 205,800 530,000 519,400 180,000 176,400
Mohegan Tribal Gaming, Auth. sr. notes
8 1/8s, 2006 190,000 184,300 460,000 446,200 160,000 155,200
Park Place Entertainment sr. sub. notes
7 7/8s, 2005 140,000 131,950 340,000 320,450 120,000 113,100
Players International Inc. sr. notes
10 7/8s, 2005 100,000 105,875 280,000 296,450 200,000 211,750
Premier Parks, Inc. sr. notes 9 3/4s, 2007 -- -- 540,000 513,000 -- --
Premier Parks, Inc. sr. notes 9 1/4s, 2006 623,000 585,620 45,000 42,300 525,000 493,500
SFX Entertainment, Inc. 144A company guaranty
Ser. B, 9 1/8s, 2008 95,000 89,775 245,000 231,525 80,000 75,600
Silver Cinemas, Inc. sr. sub. notes
10 1/2s, 2005 130,000 57,200 320,000 140,800 110,000 48,400
Time Warner Entertainment, Inc. notes
8 7/8s, 2012 225,000 249,658 400,000 443,836 580,000 643,562
Time Warner Entertainment, Inc. company
guaranty 6 5/8s, 2029 450,000 392,400 1,090,000 950,480 1,440,000 1,255,680
Trump A.C. 1st mtge. 11 1/4s, 2006 155,000 131,750 375,000 318,750 105,000 89,250
Trump Castle Funding 144A sub. notes
10 1/4s, 2003 260,000 263,271 660,000 668,303 220,000 222,768
United Artists Theatre sr. sub. notes
9 3/4s, 2008 485,000 97,000 1,165,000 233,000 435,000 87,000
------------ ------------ ------------
4,832,582 10,941,832 6,634,487
Environmental Control --% 0.1% 0.1%
- -----------------------------------------------------------------------------------------------------------------------------------
Allied Waste Industries, Inc. 144A
sr. sub. notes 10s, 2009 -- -- 1,290,000 1,202,925 -- --
Allied Waste Industries, Inc. company
guaranty Ser. B, 7 7/8s, 2009 425,000 374,531 1,005,000 885,656 380,000 334,875
Allied Waste Industries, Inc. company
guaranty Ser. B, 7 5/8s, 2006 180,000 162,225 270,000 243,338 150,000 135,188
------------ ------------ ------------
536,756 2,331,919 470,063
Food and Beverages --% 0.1% 0.1%
- -----------------------------------------------------------------------------------------------------------------------------------
Ameriserve Food Co. company
guaranty 10 1/8s, 2007 35,000 22,750 90,000 58,500 30,000 19,500
Aurora Foods, Inc. 144A ser. sub. notes
Ser. D, 9 7/8s, 2007 -- -- 385,000 387,888 -- --
Aurora Foods, Inc. sr. sub. notes Ser. B,
9 7/8s, 2007 20,000 20,150 60,000 60,450 20,000 20,150
Doane Pet Care Co. sr. sub. notes
9 3/4s, 2007 -- -- 45,000 44,100 15,000 14,700
Pepsi Bottling Group Inc. sr. notes Ser. B,
7s, 2029 295,000 271,400 730,000 671,600 910,000 837,200
RAB Enterprises, Inc. company guaranty
10 1/2s, 2005 200,000 126,000 500,000 315,000 160,000 100,800
Vlassic Foods Intl. Inc. 144A sr. sub. notes
10 1/4s, 2009 150,000 135,000 360,000 324,000 140,000 126,000
------------ ------------ ------------
575,300 1,861,538 1,118,350
Health Care 0.1% 0.2% 0.2%
- -----------------------------------------------------------------------------------------------------------------------------------
Columbia/HCA Healthcare Corp.
deb. 8.36s, 2024 50,000 44,250 -- -- 125,000 110,625
Columbia/HCA Healthcare Corp. med term notes
notes 7.69s, 2025 80,000 63,600 200,000 159,000 70,000 55,650
Columbia/HCA Healthcare Corp.
notes 7 1/4s, 2008 20,000 17,503 80,000 70,013 20,000 17,503
Columbia/HCA Healthcare Corp. med term notes
6.63s, 2045 270,000 257,221 640,000 609,709 230,000 219,114
Conmed Corp. company guaranty
9s, 2008 80,000 73,600 210,000 193,200 65,000 59,800
Extendicare Health Services, Inc. company
guaranty 9.35s, 2007 300,000 180,000 640,000 384,000 250,000 150,000
Hudson Respiratory Care, Inc. sr. sub. notes
9 1/8s, 2008 130,000 101,400 320,000 249,600 110,000 85,800
Integrated Health Services, Inc. sr. sub.
notes Ser. A, 9 1/2s, 2007 250,000 40,000 560,000 89,600 220,000 35,200
Integrated Health Services, Inc. sr. sub.
notes Ser. A, 9 1/4s, 2008 60,000 10,200 190,000 32,300 60,000 10,200
Mariner Post-Acute Network, Inc. sr. sub.
notes Ser. B, 9 1/2s, 2007 330,000 19,800 830,000 49,800 170,000 10,200
Mariner Post-Acute Network, Inc. sr. sub.
notes stepped-coupon Ser. B, zero % (10 1/2s,
11/1/02), 2007 (STP) 70,000 3,500 160,000 8,000 100,000 5,000
MedPartners, Inc. sr. sub. notes
6 7/8s, 2000 90,000 85,950 240,000 229,200 -- --
Multicare Cos., Inc. sr. sub. notes 9s, 2007 400,000 152,000 1,010,000 383,800 330,000 125,400
Paracelsus Healthcare sr. sub. notes
10s, 2006 150,000 102,000 355,000 241,400 115,000 78,200
Paragon Corp. Holdings, Inc. company guaranty
Ser. B, 9 5/8s, 2008 80,000 27,200 190,000 64,600 60,000 20,400
Quorum Health Group, Inc.
sr. sub. notes 8 3/4s, 2005 -- -- -- -- 100,000 89,000
Sun Healthcare Group, Inc. sr. sub. notes
Ser. B, 9 1/2s, 2007 (in default) (NON) 75,000 7,500 175,000 17,500 -- --
Tenet Healthcare Corp. sr. notes 8s, 2005 400,000 380,000 975,000 926,250 500,000 475,000
Tenet Healthcare Corp. sr. notes Ser. B,
7 5/8s, 2008 150,000 136,500 390,000 354,900 130,000 118,300
Triad Hospitals Holdings 144A sr. sub. notes
11s, 2009 130,000 129,350 320,000 318,400 110,000 109,450
------------ ------------ ------------
1,831,574 4,381,272 1,774,842
Insurance and Finance 0.7% 1.3% 3.9%
- -----------------------------------------------------------------------------------------------------------------------------------
Aames Financial Corp. sr. notes
9 1/8s, 2003 230,000 154,100 580,000 388,600 190,000 127,300
Advanta Corp. med. term notes Ser. B,
7s, 2001 350,000 326,288 700,000 652,575 150,000 139,838
Advanta Corp. med-term notes Ser. D,
6.92s, 2002 90,000 81,644 330,000 299,363 200,000 181,432
AFC Capital Trust company guaranty Ser. B,
8.207s, 2027 285,000 273,677 675,000 648,182 970,000 931,462
American General Institute 144A company
guaranty 8 1/8s, 2046 480,000 483,154 1,190,000 1,197,818 1,390,000 1,399,132
AMRESCO, Inc. sr. sub. notes Ser. 98-A,
9 7/8s, 2005 30,000 18,900 70,000 44,100 20,000 12,600
Bank of America Corp. sr. notes
5 7/8s, 2009 425,000 387,315 1,030,000 938,670 1,355,000 1,234,852
Banponce Financial Corp. med. term note
7 1/8s, 2002 205,000 204,588 -- -- 740,000 738,513
CIT Group Holdings sr. notes
6 1/2s, 2002 325,000 321,740 760,000 752,377 1,185,000 1,173,114
Chase Manhattan Corp. sub. notes
6s, 2009 250,000 230,320 620,000 571,194 820,000 755,450
Chevy Chase Savings Bank Inc. sub. deb.
9 1/4s, 2005 120,000 120,600 -- -- 300,000 301,500
Chevy Chase Savings Bank Inc. sub. deb.
9 1/4s, 2008 175,000 175,875 450,000 452,250 125,000 125,625
Colonial Capital I 144A company
guaranty 8.92s, 2027 35,000 32,148 90,000 82,667 30,000 27,556
Contifinancial Corp. sr. notes 8 3/8s, 2003 150,000 51,750 355,000 122,475 135,000 46,575
Contifinancial Corp. sr. notes 8 1/8s, 2008 200,000 68,000 530,000 180,200 200,000 68,000
Contifinancial Corp. sr. notes 7 1/2s, 2002 240,000 57,600 570,000 136,800 210,000 50,400
Countrywide Home Loan Corp. company guaranty
med term notes 6 1/4s, 2009 420,000 385,715 1,010,000 927,554 1,300,000 1,193,881
DTI Holdings Inc. sr. disc. notes,
stepped-coupon Ser. B, zero % (12 1/2s,
03/01/03), 2008 (STP) 605,000 211,750 2,045,000 715,750 780,000 273,000
Delta Financial Corp. sr. notes
9 1/2s, 2004 110,000 88,000 300,000 240,000 90,000 72,000
Dime Capital Trust I bank guaranty
Ser. A, 9.33s, 2027 35,000 34,820 90,000 89,538 30,000 29,846
Finova Capital Corp. notes 7.4s, 2007 -- -- -- -- 810,000 800,904
Firstar Bank Milwaukee sr. bank notes
6 1/4s, 2002 -- -- -- -- 305,000 299,983
Ford Motor Credit Corp. sr. notes 5.8s,
2009 1,005,000 913,073 2,460,000 2,234,984 735,000 667,770
GS Escrow Corp. sr. notes 7 1/8s, 2005 325,000 303,261 800,000 746,488 275,000 256,605
General Motors Acceptance Corp.
notes 5 3/4s, 2003 245,000 235,739 575,000 553,265 870,000 837,114
Goldman Sachs Group, Inc. (The) notes Ser.
B, 7.35s, 2009 505,000 503,990 1,235,000 1,232,530 1,650,000 1,646,700
Greenpoint Capital Trust I company
guaranty 9.1s, 2027 90,000 85,813 30,000 28,604
Heller Financial Inc. notes 6s, 2004 380,000 364,344 940,000 901,272 1,180,000 1,131,384
Household Finance Corp. notes
6 1/2s, 2008 245,000 230,528 595,000 559,853 820,000 771,563
Household Finance Corp. sr. unsub.
5 7/8s, 2009 245,000 220,412 605,000 544,282 805,000 724,210
Imperial Credit Capital Trust I 144A company
guaranty 10 1/4s, 2002 100,000 80,000 275,000 220,000 200,000 160,000
Imperial Credit Industries, Inc. sr. notes
9 7/8s, 2007 40,000 31,950 100,000 79,875 30,000 23,963
Investors Capital Trust I company
guaranty Ser. B, 9.77s, 2027 -- -- 15,000 14,531 -- --
Merita Bank Ltd. sub. notes 6 1/2s, 2006
(Finland) 295,000 281,816 730,000 697,376 1,060,000 1,012,629
Money Store, Inc. notes 8.05s, 2002 165,000 169,643 360,000 370,130 525,000 539,774
National Westminster Bank sub. notes 7 3/8s,
2009 (United Kingdom) 440,000 439,208 1,075,000 1,073,065 1,435,000 1,432,417
NationsBank Corp. sub. notes
6 7/8s, 2005 610,000 605,700 1,515,000 1,504,319 -- --
Nationwide Credit Inc. sr. notes Ser. A,
10 1/4s, 2008 160,000 97,600 500,000 305,000 180,000 109,800
Netia Holdings B.V. 144A company guaranty
stepped-coupon zero % (11 1/4s, 11/1/01),
2007 (Poland) (STP) 20,000 12,600 40,000 25,200 10,000 6,300
Netia Holdings B.V. 144A company guaranty
10 1/4s, 2007 (Poland) 30,000 26,400 60,000 52,800 20,000 17,600
North Fork Capital Trust I company
guaranty 8.7s, 2026 10,000 9,801 15,000 14,702 -- --
Ocwen Capital Trust I company
guaranty 10 7/8s, 2027 20,000 13,000 50,000 32,500 15,000 9,750
Ocwen Federal Bank FSB sub. deb.
12s, 2005 5,000 4,700 10,000 9,400 5,000 4,700
Ocwen Financial Corp. notes
11 7/8s, 2003 10,000 9,400 10,000 9,400 10,000 9,400
Orange Cogen Funding 144A company guaranty
8.175s, 2022 75,000 73,665 195,000 191,529 275,000 270,105
PRT Funding Corp. sr. notes 11 5/8s, 2004
(in default) (NON) 95,000 42,513 225,000 100,688 75,000 33,563
Paine Webber Group, Inc. sr. notes 6.55s,
2008 505,000 474,644 1,095,000 1,029,180 1,705,000 1,602,512
Peoples Bank-Bridgeport sub. notes
7.2s, 2006 240,000 223,490 565,000 526,134 865,000 805,497
Peoples Heritage Capital Trust
company guaranty Ser. B, 9.06s, 2027 -- -- 165,000 158,978 -- --
Pindo Deli Finance Mauritius Ltd. company
guaranty 10 3/4s, 2007 (Indonesia) 90,000 50,400 215,000 120,400 65,000 36,400
Pioneer Americas Acquisition 144A
sr. notes 9 1/4s, 2007 35,000 26,950 90,000 69,300 30,000 23,100
Polytama International notes 11 1/4s,
2007 (Indonesia) 54,499 9,810 136,249 24,525 46,162 8,309
Popular, Inc. med. term notes 6.4s, 2000 375,000 373,864 -- -- 1,095,000 1,091,682
Provident Capital Trust company guaranty
8.6s, 2026 70,000 66,329 190,000 180,035 -- --
Provident Companies, Inc. bonds
7.405s, 2038 415,000 360,249 910,000 789,944 1,370,000 1,189,256
RBF Finance Co. company guaranty
11s, 2006 450,000 464,625 1,100,000 1,135,750 390,000 402,675
Riggs Capital Trust 144A bonds
8 5/8s, 2026 35,000 32,438 90,000 83,413 40,000 37,072
Sears Roebuck Acceptance Corp.
notes 6 7/8s, 2017 155,000 139,573 380,000 342,179 500,000 450,235
Sovereign Capital Trust company
guaranty 9s, 2027 50,000 47,848 -- -- 45,000 43,063
Sprint Capital Corp. company guaranty 6.9s,
2019 375,000 347,306 905,000 838,166 1,180,000 1,092,857
Sprint Capital Corp. company guaranty
5.7s, 2003 -- -- 580,000 553,854 -- --
St. Paul Bancorp sr. notes 7 1/8s, 2004 380,000 370,029 -- -- 1,275,000 1,241,544
TIG Holdings, Inc. notes 8 1/8s, 2005 275,000 264,828 615,000 592,251 925,000 890,784
Toyota Motor Credit Corp. notes
5 5/8s, 2003 -- -- -- -- 880,000 849,103
Webster Capital Trust I 144A bonds
9.36s, 2027 5,000 4,807 20,000 19,227 10,000 9,614
------------ ------------ ------------
11,634,517 26,462,451 29,450,617
Lodging 0.1% 0.1% 0.1%
- -----------------------------------------------------------------------------------------------------------------------------------
Epic Resorts LLC company guaranty
Ser. B, 13s, 2005 100,000 87,000 250,000 217,500 80,000 69,600
Host Marriott L.P. sr. notes Ser. E,
8 3/8s, 2006 100,000 94,000 220,000 206,800 100,000 94,000
Host Marriott Travel Plaza sr. notes Ser. B,
9 1/2s, 2005 440,000 451,000 915,000 937,875 350,000 358,750
ITT Corp. notes 6 3/4s, 2005 530,000 477,106 1,300,000 1,170,260 460,000 414,092
Sun International Hotels Ltd. sr. sub. notes
8 5/8s, 2007 150,000 135,750 400,000 362,000 125,000 113,125
------------ ------------ ------------
1,244,856 2,894,435 1,049,567
Medical Supplies and Devices --% --% --%
- -----------------------------------------------------------------------------------------------------------------------------------
ALARIS Medical Systems, Inc. company
guaranty 9 3/4s, 2006 -- -- 265,000 245,788 -- --
Kinetic Concepts, Inc. company guaranty
Ser. B, 9 5/8s, 2007 110,000 79,200 355,000 255,600 100,000 72,000
Mediq, Inc. company guaranty 11s, 2008 150,000 97,500 360,000 234,000 130,000 84,500
Mediq, Inc. deb. stepped-coupon zero %
(13s, 6/1/03), 2009 (STP) 120,000 30,000 290,000 72,500 100,000 25,000
------------ ------------ ------------
206,700 807,888 181,500
Metals and Mining 0.1% 0.2% 0.1%
- -----------------------------------------------------------------------------------------------------------------------------------
AK Steel Corp. sr. notes 9 1/8s, 2006 200,000 200,500 510,000 511,275 175,000 175,438
AK Steel Corp. company guaranty
7 7/8s, 2009 230,000 211,600 550,000 506,000 200,000 184,000
Ameristeel Corp. company guaranty Ser. B,
8 3/4s, 2008 245,000 240,100 595,000 583,100 210,000 205,800
Anker Coal Group, Inc. sr. notes Ser. B,
9 3/4s, 2007 (in default) (NON) 600,000 222,000 1,125,000 416,250 400,000 148,000
Continental Global Group sr. notes
Ser. B, 11s, 2007 65,000 38,350 170,000 100,300 60,000 35,400
Lodestar Holdings, Inc. company guaranty
11 1/2s, 2005 210,000 157,500 500,000 375,000 190,000 142,500
National Steel Corp. 1st mtge. Ser. D,
9 7/8s, 2009 -- -- 610,000 605,425 -- --
Oregon Steel Mills 1st mortgage
11s, 2003 119,000 124,653 300,000 314,250 110,000 115,225
WHX Corp. sr. notes 10 1/2s, 2005 -- -- 240,000 226,800 -- --
Weirton Steel Co. sr. notes
11 3/8s, 2004 100,000 99,250 250,000 248,125 93,000 92,303
------------ ------------ ------------
1,293,953 3,886,525 1,098,666
Oil and Gas 0.2% 0.4% 0.9%
- -----------------------------------------------------------------------------------------------------------------------------------
Belco Oil & Gas Corp. company guaranty Ser.
B, 10 1/2s, 2006 420,000 431,550 905,000 929,888 370,000 380,175
Belco Oil & Gas Corp. sr. sub. notes Ser.
B, 8 7/8s, 2007 260,000 248,950 640,000 612,800 220,000 210,650
Benton Oil & Gas Co. sr. notes
11 5/8s, 2003 100,000 72,500 125,000 90,625 -- --
Benton Oil & Gas Co. sr. notes
9 3/8s, 2007 15,000 9,150 45,000 27,450 20,000 12,200
CMS Panhandle Holding Corp.
sr. notes 6 1/8s, 2004 250,000 239,403 615,000 588,930 780,000 746,936
Cliffs Drilling Co. company guaranty Ser. D,
10 1/4s, 2003 200,000 195,500 150,000 146,625 500,000 488,750
Coastal Corp. bonds 6.95s, 2028 340,000 300,169 750,000 662,138
Columbia Gas System, Inc. notes Ser. E,
7.32s, 2010 150,000 145,859 400,000 388,956 500,000 486,195
Columbia Gas System, Inc. notes Ser. B,
6.61s, 2002 210,000 207,568 530,000 523,863 -- --
Conoco, Inc. sr. notes 5.9s, 2004 -- -- -- -- 1,050,000 1,016,946
El Paso Energy Corp. sr. notes
6 3/4s, 2009 -- -- -- -- 1,200,000 1,135,308
Flores & Rucks, Inc. sr. sub. notes
9 3/4s, 2006 35,000 35,788 90,000 92,025 -- --
Gulf Canada Resources, Ltd. sr. sub. notes
9 5/8s, 2005 (Canada) 505,000 520,150 900,000 927,000 370,000 381,100
Gulf Canada Resources, Ltd. sr. notes
8 3/8s, 2005 (Canada) 100,000 98,239 -- -- 300,000 294,717
K N Energy, Inc. sr. notes 6.45s, 2003 100,000 97,002 240,000 232,805 300,000 291,006
Ocean Energy, Inc. company guaranty Ser.
B, 8 7/8s, 2007 170,000 169,150 420,000 417,900 150,000 149,250
Ocean Energy, Inc. company guaranty Ser.
B, 8 3/8s, 2008 140,000 135,100 350,000 337,750 150,000 144,750
Petro Geo-Services ADR notes 7 1/2s,
2007 (Norway) 345,000 340,715 875,000 864,133 585,000 577,734
Pogo Producing Co. sr. sub. notes Ser. B,
8 3/4s, 2007 120,000 114,600 315,000 300,825 105,000 100,275
Seven Seas Petroleum sr. notes Ser. B,
12 1/2s, 2005 80,000 32,000 200,000 80,000 60,000 24,000
Snyder Oil Corp. sr. sub. notes
8 3/4s, 2007 35,000 34,475 90,000 88,650 30,000 29,550
Vintage Petroleum sr. sub. notes
9 3/4s, 2009 250,000 254,375 780,000 793,650 210,000 213,675
------------ ------------ ------------
3,682,243 8,106,013 6,683,217
Packaging and Containers --% 0.1% 0.1%
- -----------------------------------------------------------------------------------------------------------------------------------
AEP Industries, Inc. sr. sub. notes
9 7/8s, 2007 170,000 158,950 435,000 406,725 150,000 140,250
Huntsman Packaging Corp. company guaranty
9 1/8s, 2007 130,000 121,550 375,000 350,625 135,000 126,225
Packaging Corp. 144A sr. sub. notes
9 5/8s, 2009 270,000 272,700 650,000 656,500 240,000 242,400
Radnor Holdings Inc. sr. notes 10s, 2003 150,000 153,000 365,000 372,300 130,000 132,600
------------ ------------ ------------
706,200 1,786,150 641,475
Paper and Forest Products 0.1% 0.2% 0.1%
- -----------------------------------------------------------------------------------------------------------------------------------
APP Finance II Mauritius Ltd. bonds
stepped-coupon 12s, (16s, 2/15/04), 2049
(Indonesia) (STP) 110,000 63,800 280,000 162,400 100,000 58,000
Boise Cascade Co. med. term notes
Ser. A, 7.43s, 2005 20,000 19,381 660,000 639,560 10,000 9,690
Buckeye Cellulose Corp. sr. sub. notes
9 1/4s, 2008 25,000 25,000 50,000 50,000 25,000 25,000
Pacifica Papers, Inc. sr. notes 10s,
2009 (Canada) 210,000 213,150 520,000 527,800 200,000 203,000
Repap New Brunswick sr. notes 10 5/8s, 2005
(Canada) 300,000 261,750 1,045,000 911,763 280,000 244,300
Republic Group, Inc. sr. sub. notes 9 1/2s,
2008 15,000 13,875 40,000 37,000 -- --
Riverwood International Corp. company guaranty
10 7/8s, 2008 270,000 254,475 645,000 607,913 215,000 202,638
Riverwood International Corp. company guaranty
10 1/4s, 2006 140,000 137,200 380,000 372,400 125,000 122,500
------------ ------------ ------------
988,631 3,308,836 865,128
Pharmaceuticals --% --% --%
- -----------------------------------------------------------------------------------------------------------------------------------
ICN Pharmaceuticals, Inc. 144A sr. notes
9 1/4s, 2005 60,000 59,550 150,000 148,875 200,000 198,500
ICN Pharmaceuticals, Inc. 144A sr. notes
8 3/4s, 2008 -- -- 710,000 647,875 -- --
------------ ------------ ------------
59,550 796,750 198,500
Photography --% --% --%
- -----------------------------------------------------------------------------------------------------------------------------------
PX Escrow Corp. sr. disc. notes
stepped-coupon zero % (9 5/8s, 2/1/02), 2006
(STP) 35,000 17,500 100,000 50,000 35,000 17,500
Publishing 0.1% 0.2% 0.3%
- -----------------------------------------------------------------------------------------------------------------------------------
Affinity Group Holdings sr. notes
11s, 2007 395,000 365,375 990,000 915,750 350,000 323,750
American Media Operation, Inc. sr. sub. notes
10 1/4s, 2009 325,000 314,438 805,000 778,838 300,000 290,250
Garden State Newspapers, Inc. sr. sub. notes
Ser. B, 8 3/4s, 2009 325,000 307,125 850,000 803,250 275,000 259,875
Garden State Newspapers, Inc. sr. sub. notes
8 5/8s, 2011 100,000 90,000 180,000 162,000 90,000 81,000
Hollinger International Publishing, Inc.
company guaranty 9 1/4s, 2007 50,000 49,500 100,000 99,000 -- --
Hollinger International Publishing, Inc. sr.
sub. notes 9 1/4s, 2006 100,000 99,000 -- -- 150,000 148,500
News America Holdings, Inc. deb.
7 3/4s, 2045 100,000 89,460 205,000 183,393 325,000 290,745
News America Holdings, Inc.
deb. 7.7s, 2025 220,000 206,382 505,000 473,741 720,000 675,432
Perry-Judd company guaranty 10 5/8s, 2007 225,000 204,750 390,000 354,900 130,000 118,300
Von Hoffman Press, Inc. 144A
sr. sub. notes 13 1/2s, 2009 27,765 25,266 71,931 65,457 23,706 21,572
Von Hoffman Press, Inc. 144A
sr. sub. notes 10 3/8s, 2007 35,000 34,300 90,000 88,200 30,000 29,400
------------ ------------ ------------
1,785,596 3,924,529 2,238,824
Real Estate --% --% 0.1%
- -----------------------------------------------------------------------------------------------------------------------------------
HMH Properties, Inc. sr. notes Ser. C,
8.45s, 2008 -- -- -- -- 10,000 9,250
Prime Hospitality Corp. sub. notes
9 3/4s, 2007 95,000 91,200 -- -- 125,000 120,000
Tanger Properties Ltd. partnership gtd.
notes 8 3/4s, 2001 340,000 338,218 830,000 825,651 290,000 288,480
------------ ------------ ------------
429,418 825,651 417,730
Retail 0.1% 0.2% 0.4%
- -----------------------------------------------------------------------------------------------------------------------------------
Federated Department Stores, Inc. sr. notes
8 1/2s, 2003 135,000 141,144 370,000 386,839 575,000 601,168
Federated Department Stores, Inc.
notes 6.3s, 2009 225,000 207,023 560,000 515,256 695,000 639,470
Home Interiors & Gifts, Inc. company guaranty
10 1/8s, 2008 50,000 43,750 140,000 122,500 50,000 43,750
K mart Corp. med. term notes
8.85s, 2011 140,000 135,451 350,000 338,629 120,000 116,101
K mart Corp. med. term notes 8s, 2001 10,000 9,962 310,000 308,807 -- --
K mart Corp. deb. 7 3/4s, 2012 10,000 9,100 5,000 4,550 10,000 9,100
Kasper A.S.L. Ltd. sr. notes 12 3/4s, 2004 35,000 31,675 250,000 226,250 30,000 27,150
Lowe's Cos., Inc. deb. 6 1/2s, 2029 400,000 345,608 985,000 851,060 1,220,000 1,054,104
Southland Corp.1st priority sr. sub. deb.
5s, 2003 135,000 116,438 350,000 301,875 115,000 99,188
William Carter Holdings Co. sr. sub. notes
Ser. A, 12s, 2008 50,000 50,000 140,000 140,000 50,000 50,000
William Carter Holdings Co. sr. sub. notes
Ser. A, 10 3/8s, 2006 220,000 211,200 530,000 508,800 340,000 326,400
Zale Corp. sr. notes Ser. B, 8 1/2s, 2007 60,000 59,400 150,000 148,500 50,000 49,500
------------ ------------ ------------
1,360,751 3,853,066 3,015,931
Satellite Services 0.1% 0.1% 0.1%
- -----------------------------------------------------------------------------------------------------------------------------------
Echostar DBS Corp. sr. notes
9 3/8s, 2009 610,000 600,85 1,570,000 1,546,450 510,000 502,350
Golden Sky Systems company guaranty Ser. B,
12 3/8s, 2006 150,000 159,750 380,000 404,700 130,000 138,450
Satelites Mexicanos S.A. de C.V. 144A sr.
notes 10 1/8s, 2004 (Mexico) 80,000 61,600 210,000 161,700 70,000 53,900
------------ ------------ ------------
822,200 2,112,850 694,700
Specialty Consumer Products --% --% 0.2%
- -----------------------------------------------------------------------------------------------------------------------------------
Decora Industries, Inc. sr. sec. notes
Ser. B, 11s, 2005 180,000 160,200 240,000 213,600 160,000 142,400
EOP Operating L.P. notes 6.763s, 2007 350,000 327,380 750,000 701,528 1,160,000 1,085,029
------------ ------------ ------------
487,580 915,128 1,227,429
Telecommunications 1.3% 2.6% 3.0%
- -----------------------------------------------------------------------------------------------------------------------------------
AT&T Capital Corp. med. term notes 6 1/4s,
2001 340,000 336,668 755,000 747,601 1,085,000 1,074,367
Adelphia Communications Corp. sr. notes
Ser. B, 10 1/4s, 2000 10,000 10,125 20,000 20,250 10,000 10,125
Adelphia Communications Corp. sr. notes
Ser. B, 9 7/8s, 2007 220,000 222,200 535,000 540,350 195,000 196,950
Adelphia Communications Corp.
sr. notes 9 1/2s, 2004 (PIK) 21,000 21,105 42,000 42,210 -- --
Adelphia Communications Corp. sr. notes
Ser. B, 8 3/8s, 2008 140,000 131,950 360,000 339,300 130,000 122,525
AirTouch communications, Inc. notes
7s, 2003 560,000 561,982 910,000 913,221 -- --
Allegiance Telecom, Inc. sr. disc. notes
stepped-coupon Ser. B, zero % (11 3/4s,
2/15/03), 2008 (STP) 240,000 156,000 590,000 383,500 230,000 149,500
Allegiance Telecom, Inc. sr. notes
12 7/8s, 2008 60,000 65,100 -- -- 190,000 206,150
Barak I.T.C. sr. disc. notes stepped-coupon
Ser. B, zero % (12 1/2s, 11/15/02), 2007
(Israel) (STP) 80,000 44,400 190,000 105,450 60,000 33,300
Bestel S.A .de C.V. sr. disc. notes
stepped-coupon zero % (12 3/4s, 5/15/03),
2005 (Mexico) (STP) 100,000 63,000 220,000 138,600 90,000 56,700
Birch Telecommunications, Inc. sr. notes
14s, 2008 100,000 98,000 240,000 235,200 80,000 78,400
BTI Telecom Corp. sr. notes 10 1/2s, 2007 360,000 302,400 875,000 735,000 390,000 327,600
Call-Net Enterprises Inc. sr. disc. notes
stepped-coupon zero % (10.8s, 5/15/04),
2009 (Canada) (STP) 580,000 307,400 1,370,000 726,100 310,000 164,300
Call-Net Enterprises, Inc. sr. disc. notes
stepped-coupon zero % (9.27s, 8/15/02),
2007 (Canada) (STP) 120,000 70,800 310,000 182,900 310,000 182,900
Call-Net Enterprises, Inc. sr. disc. notes
stepped-coupon zero % (8.94s, 8/15/03),
2008 (Canada) (STP) 220,000 113,300 400,000 206,000 160,000 82,400
Call-Net Enterprises Inc. sr. notes 8s, 2008
(Canada) 150,000 120,000 300,000 240,000 130,000 104,000
Caprock Communications Corp. sr. notes
11 1/2s, 2009 200,000 194,000 500,000 485,000 200,000 194,000
Carrier1 International S.A. 144A sr. notes
13 1/4s, 2009 (Switzerland) 210,000 210,000 520,000 520,000 180,000 180,000
Celcaribe S.A. sr. notes stepped-coupon
zero % (13 1/2s, 3/15/04), 2004 (Colombia)
(STP) 230,000 169,050 470,000 345,450 170,000 124,950
CellNet Data Systems, Inc. sr. disc. notes
stepped-coupon zero % (14s, 10/1/02), 2007
(STP) 400,000 144,000 1,000,000 360,000 350,000 126,000
Charter Communications Holdings LLC 144A sr.
notes 8 5/8s, 2009 1,240,000 1,153,200 1,500,000 1,395,000 1,110,000 1,032,300
Clearnet Communications, Inc. sr. disc. notes
stepped-coupon zero % (14 3/4s, 12/15/00),
2005 (STP) 380,000 357,200 930,000 874,200 320,000 300,800
Colt Telecommunications Group PLC sr. disc.
notes stepped-coupon zero %, (12s, 12/15/01),
2006 (United Kingdom) (STP) 300,000 245,250 725,000 592,688 250,000 204,375
Conecel Holdings 144A notes Ser. A, 14s, 2000
(in default) (NON) 55,000 5,500 145,000 14,500 50,000 5,000
Covad Communications Group Inc. sr. notes
12 1/2s, 2009 420,000 394,800 1,030,000 968,200 360,000 338,400
Covad Communications Group, Inc. sr. disc.
notes stepped-coupon Ser. B, zero % (13 1/2s,
03/15/03), 2008 (STP) 135,000 68,850 330,000 168,300 115,000 58,650
Econophone, Inc. 144A notes stepped-coupon
zero % (11s, 2/15/03), 2008 (STP) 310,000 173,600 790,000 442,400 260,000 145,600
Esprit Telecom Group PLC sr. notes 11 1/2s,
2007 (United Kingdom) 170,000 172,550 430,000 436,450 160,000 162,400
Exodus Communications, Inc. 144A sr. notes
11 1/4s, 2008 50,000 50,500 110,000 111,100 40,000 40,400
Facilicom International sr. notes Ser. B,
10 1/2s, 2008 60,000 51,000 160,000 136,000 50,000 42,500
Firstworld Communication Corp. sr. disc. notes
stepped-coupon zero % (13, 4/15/03), 2008
(STP) 430,000 219,300 1,080,000 550,800 360,000 183,600
Flag Ltd. 144A sr. notes 8 1/4s,
2008 (Bermuda) 120,000 104,700 390,000 340,275 100,000 87,250
Focal Communications Corp. sr. disc. notes,
stepped-coupon Ser. B, zero % (12 1/8s,
02/15/03), 2008 (STP) 490,000 275,625 930,000 523,125 430,000 241,875
Global Crossing Holdings, Ltd. company guaranty
9 5/8s, 2008 600,000 616,500 1,530,000 1,572,075 510,000 524,025
GST Telecommunications, Inc. company guaranty
stepped-coupon zero % (13 7/8s, 12/15/00),
2005 (STP) 298,000 226,480 452,000 343,520 186,000 141,360
GST Telecommunications, Inc. 144A sr. disc.
notes stepped-coupon zero % (10 1/2s,
5/1/03), 2008 (STP) 530,000 249,100 1,430,000 672,100 520,000 244,400
Hyperion Telecommunications Corp., Inc. sr.
disc. notes stepped-coupon Ser. B, zero %
(13s, 4/15/01), 2003 (STP) 85,000 71,400 210,000 176,400 70,000 58,800
Hyperion Telecommunications Corp., Inc. sr.
notes Ser. B, 12 1/4s, 2004 100,000 105,000 290,000 304,500 90,000 94,500
Hyperion Telecommunications Inc. sr. sub.
notes 12s, 2007 280,000 281,400 650,000 653,250 250,000 251,250
ICG Holdings, Inc. sr. disc. notes
stepped-coupon zero % (13 1/2s, 9/15/00),
2005 (STP) 130,000 113,100 260,000 226,200 100,000 87,000
ICG Services, Inc. sr. disc. notes
stepped-coupon zero % (10s, 02/15/03),
2008 (STP) 1,000,000 575,000 1,190,000 684,250 800,000 460,000
ICG Services, Inc. sr. disc. notes
stepped-coupon zero % (9 7/8s, 5/1/03),
2008 (STP) 280,000 155,400 690,000 382,950 245,000 135,975
Intelcom Group (USA), Inc. company guaranty
stepped-coupon zero % (12 1/2s, 5/1/01),
2006 (STP) 120,000 94,800 305,000 240,950 115,000 90,850
Interact Systems, Inc. 144A
14s, 2003 100,000 16,000 300,000 48,000 90,000 14,400
Intermedia Communications, Inc. sr. notes
Ser. B, 8.6s, 2008 230,000 197,800 540,000 464,400 270,000 232,200
Intermedia Communications, Inc. sr. notes
Ser. B, 8 1/2s, 2008 420,000 359,100 940,000 803,700 250,000 213,750
International Cabletel, Inc. sr. notes
stepped-coupon Ser. B, zero % (11 1/2s,
2/01/01), 2006 (STP) 460,000 400,200 1,400,000 1,218,000 480,000 417,600
ITC Deltacom, Inc. sr. notes 11s, 2007 58,000 60,900 156,000 163,800 52,000 54,600
KMC Telecom Holdings, Inc. sr. disc. notes
stepped-coupon zero % (12 1/2s, 2/15/03),
2008 (STP) 200,000 100,000 580,000 290,000 175,000 87,500
KMC Telecomunications 144A sr. notes
13 1/2s, 2009 360,000 349,200 910,000 882,700 360,000 349,200
Knology Holdings, Inc. sr. disc. notes
stepped-coupon zero %, (11 7/8s, 10/15/02),
2007 (STP) 335,000 195,138 840,000 489,300 260,000 151,450
L-3 Communications Corp. sr. sub. notes
Ser. B, 10 3/8s, 2007 50,000 51,688 135,000 139,556 50,000 51,688
L-3 Communications Corp. sr. notes
9 1/8s, 2008 550,000 497,750 1,535,000 1,389,175 535,000 484,175
L-3 Communications Corp. sr. sub. notes
8 1/2s, 2008 90,000 85,725 230,000 219,075 70,000 66,675
L-3 Communications Corp. company guaranty
Ser. B, 8s, 2008 90,000 83,025 210,000 193,725 80,000 73,800
Logix Communications Enterprises sr. notes
12 1/4s, 2008 140,000 117,600 340,000 285,600 110,000 92,400
Long Distance International, Inc. sr. notes
12 1/4s, 2008 50,000 25,000 110,000 55,000 40,000 20,000
MCI WorldCom, Inc. sr. notes 6 1/8s, 2001 -- -- 830,000 825,277 -- --
McCaw International Ltd sr. disc. notes
stepped coupon zero % (13s, 4/15/02), 2007
(STP) 10,000 6,000 20,000 12,000 10,000 6,000
McLeodUSA, Inc. sr. notes 8 1/8s, 2009 340,000 316,200 830,000 771,900 290,000 269,700
Microcell Telecommunications sr. disc. notes
stepped-coupon Ser. B, zero % (14s, 12/1/01),
2006 (Canada) (STP) 250,000 208,750 600,000 501,000 220,000 183,700
Millicom International Cellular S.A. sr. disc.
notes stepped-coupon zero % (13 1/2s,
6/1/01), 2006 (Luxembourg) (STP) 435,000 311,025 1,105,000 790,075 365,000 260,975
NEXTEL Communicaitons, Inc. sr. disc. notes
stepped-coupon zero % (12 1/8s, 4/15/03),
2008 (STP) 710,000 356,775 1,830,000 919,575 630,000 316,575
NEXTEL Communications, Inc. sr. notes
12s, 2008 270,000 299,700 680,000 754,800 240,000 266,400
NEXTEL Communications, Inc. sr. disc. notes
stepped-coupon zero % (10.65s, 9/15/02), 2007
(STP) 20,000 14,750 65,000 47,938 25,000 18,438
NEXTEL Communications, Inc. sr. disc. notes
stepped-coupon zero % (9.95s, 2/15/03), 2008
(STP) 30,000 20,925 60,000 41,850 30,000 20,925
NEXTEL Communications, Inc. sr. disc. notes
9 3/4s, 2004 600,000 604,500 1,555,000 1,566,663 510,000 513,825
NTL Communications Corp. sr. notes Ser. B,
11 1/2s, 2008 140,000 149,800 340,000 363,800 120,000 128,400
NTL Inc. sr. notes Ser. B, 10s, 2007
(United Kingdom) 270,000 275,400 615,000 627,300 100,000 102,000
NTL Inc. sr. notes, stepped-coupon Ser. B,
zero % (9 3/4s, 4/1/03), 2008
(United Kingdom) (STP) 60,000 39,600 210,000 138,600 100,000 66,000
NorthEast Optic Network, Inc. sr. notes
12 3/4s, 2008 270,000 272,700 670,000 676,700 240,000 242,400
Onepoint Communications, Inc. company guaranty
Ser. B, 14 1/2s, 2008 60,000 39,000 130,000 84,500 50,000 32,500
Orbital Imaging Corp. sr. notes Ser. B,
11 5/8s, 2005 115,000 87,400 300,000 228,000 100,000 76,000
Price Communications Wireless, Inc. 144A sr.
notes 9 1/8s, 2006 370,000 377,400 920,000 938,400 320,000 326,400
Primus Telecommunications Group, Inc. sr.
notes Ser. B, 9 7/8s, 2008 100,000 88,000 210,000 184,800 80,000 70,400
Qwest Communications International, Inc. sr.
disc. notes stepped-coupon zero % (9.47s,
10/15/02), 2007 (STP) 225,000 178,364 455,000 360,692 180,000 142,691
Qwest Communications International, Inc. sr.
disc. notes stepped-coupon zero % (8.29s,
2/1/03), 2008 (STP) 15,000 11,046 55,000 40,503 25,000 18,410
Qwest Communications International, Inc. sr.
notes Ser. B, 7 1/4s, 2008 130,000 125,880 410,000 397,007 130,000 125,880
RCN Corp. sr. disc. notes stepped-coupon
zero %, (11 1/8s, 10/15/02), 2007 (STP) 50,000 32,250 110,000 70,950 35,000 22,575
RSL Communications, Ltd. company guaranty
12 1/4s, 2006 140,000 139,300 350,000 348,250 123,000 122,385
RSL Communications, Ltd. 144A
10 1/2s, 2008 100,000 91,000 260,000 236,600 90,000 81,900
RSL Communications, Ltd. company guaranty
9 1/8s, 2008 180,000 150,300 420,000 350,700 165,000 137,775
Rhythms Netconnections, Inc. sr. disc. notes
stepped-coupon Ser. B, zero % (13 1/2s,
5/15/03), 2008 (STP) 260,000 127,400 610,000 298,900 210,000 102,900
Rogers Cantel, Inc. sr. sub. notes 8.8s, 2007
(Canada) 425,000 433,500 950,000 969,000 375,000 382,500
Sprint Spectrum L.P. sr. disc. notes
stepped-coupon zero % (12 1/2s, 8/15/01),
2006 (STP) 180,000 166,698 430,000 398,223 160,000 148,176
Sprint Spectrum L.P. sr. notes 11s, 2006 60,000 67,173 -- -- 45,000 50,380
Startec Global Communications Corp. sr. notes
12s, 2008 110,000 91,300 280,000 232,400 90,000 74,700
TCI Communications, Inc. sr. notes 8.65s,
2004 355,000 382,087 2,380,000 2,561,594 3,430,000 3,691,709
Telecommunications Techniques, Inc. company
guaranty 9 3/4s, 2008 80,000 76,000 620,000 589,000 60,000 57,000
Telecorp PCS Inc. 144A sr. disc. notes
stepped-coupon zero %, (11 5/8s, 4/15/04),
2009 (STP) 210,000 121,275 510,000 294,525 180,000 103,950
Telehub Communications Corp. company guaranty
stepped-coupon zero % (13 7/8s, 7/31/02),
2005 (STP) 90,000 22,500 200,000 50,000 80,000 20,000
TeleWest Communications PLC 144A
11 1/4s, 2008 40,000 44,500 90,000 100,125 30,000 33,375
TeleWest Communications PLC deb. 9 5/8s, 2006
(United Kingdom) 470,000 473,525 930,000 936,975 370,000 372,775
Teligent, Inc. sr. disc. notes stepped-coupon
Ser. B, zero % (11 1/2s, 3/1/03), 2008 (STP) 150,000 78,750 370,000 194,250 140,000 73,500
Teligent, Inc. sr. notes 11 1/2s, 2007 140,000 128,100 320,000 292,800 85,000 77,775
Time Warner Telecom Inc. sr. notes
9 3/4s, 2008 500,000 503,750 1,240,000 1,249,300 420,000 423,150
Transtel S.A. pass-through certificates
12 1/2s, 2007 30,000 14,700 70,000 34,300 20,000 9,800
United Pan-Europe N.V. 144A stepped-coupon
zero % (12 1/2s, 2004), 2009 (Netherlands)
(STP) 510,000 285,600 1,240,000 694,400 460,000 257,600
United Pan-Europe N.V. 144A 10 7/8s, 2009
(Netherlands) 240,000 241,800 590,000 594,425 220,000 221,650
US Xchange LLC sr. notes 15s, 2008 80,000 78,000 200,000 195,000 70,000 68,250
Versatel Telecom B.V. sr. notes 13 1/4s, 2008
(Netherlands) 110,000 108,900 280,000 277,200 90,000 89,100
Versatel Telecom B.V. notes 13 1/4s,
2008 (Netherlands) 50,000 49,500 130,000 128,700 40,000 39,600
Viatel, Inc. sr. disc. notes stepped-coupon
zero % (12 1/2s, 4/15/03), 2008 (STP) 280,000 156,800 640,000 358,400 280,000 156,800
Viatel, Inc. sr. notes 11 1/4s, 2008 340,000 319,600 870,000 817,800 280,000 263,200
Williams Communications Group Inc. sr. notes
10 7/8s, 2009 470,000 468,825 1,160,000 1,151,288 420,000 418,950
WinStar Communications, Inc. sr. sub. notes
10s, 2008 500,000 415,000 1,030,000 854,900 320,000 265,600
WinStar Communications, Inc. sr. sub. notes
stepped-coupon zero % (15s, 3/1/02), 2007
(STP) 235,000 270,250 715,000 822,250 215,000 247,250
WorldCom, Inc. sr. notes 6.95s, 2028 -- -- -- -- 1,080,000 1,006,290
Worldwide, Fiber Inc. 144A 12s, 2009 240,000 234,600 590,000 576,725 220,000 215,050
------------ ------------ ------------
21,197,059 51,667,756 23,078,199
Textiles --% 0.1% 0.1%
- -----------------------------------------------------------------------------------------------------------------------------------
Day International Group, Inc. company guaranty
9 1/2s, 2008 170,000 137,700 430,000 348,300 140,000 113,400
Galey & Lord, Inc. company guaranty
9 1/8s, 2008 220,000 50,600 540,000 124,200 180,000 41,400
Polymer Group, Inc. company guaranty
Ser. B, 9s, 2007 45,000 42,638 130,000 123,175 40,000 37,900
Polymer Group, Inc. company guaranty Ser. B,
8 3/4s, 2008 110,000 103,125 280,000 262,500 90,000 84,375
Westpoint Stevens, Inc. sr. notes
7 7/8s, 2008 200,000 179,000 500,000 447,500 180,000 161,100
------------ ------------ ------------
513,063 1,305,675 438,175
Transportation 0.2% 0.4% 0.7%
- -----------------------------------------------------------------------------------------------------------------------------------
CSX Corp. deb. 7.95s, 2027 275,000 276,139 -- -- 710,000 712,939
Calair LLC 144A company guaranty
8 1/8s, 2008 810,000 748,238 1,970,000 1,819,788 720,000 665,100
Canadian Airlines Corp. secd. notes 10s,
2005 (Canada) 170,000 136,000 420,000 336,000 140,000 112,000
Cathay International Ltd. 144A sr. notes 13s,
2008 (China) 210,000 100,800 530,000 254,400 180,000 86,400
Continental Airlines, Inc. sr. notes
9 1/2s, 2001 210,000 211,575 650,000 654,875 250,000 251,875
Continental Airlines, Inc. pass-through
certificates Ser. 981C, 6.541s, 2008 574,640 554,068 1,218,786 1,175,153 1,642,472 1,583,672
Hermes Europe Railtel 144A sr. notes 11 1/2s,
2007 (Netherlands) 120,000 123,000 -- -- 300,000 307,500
International Shipholding Corp. sr. notes
7 3/4s, 2007 40,000 36,800 90,000 82,800 30,000 27,600
Johnstown America Industries, Inc. company
guaranty Ser. C, 11 3/4s, 2005 70,000 71,400 125,000 127,500 145,000 147,900
Johnstown America Industries, Inc.
sr. sub. notes 11 3/4s, 2005 90,000 91,800 270,000 275,400 -- --
Kitty Hawk, Inc. company guaranty
9.95s, 2004 80,000 76,800 180,000 172,800 70,000 67,200
Newport News Shipbuilding sr. notes
8 5/8s, 2006 40,000 40,800 100,000 102,000 -- --
TFM S.A. de C.V. company guaranty
stepped-coupon zero %, (11 3/4s, 6/15/02),
2009 (Mexico) (STP) 135,000 75,600 355,000 198,800 115,000 64,400
TFM S.A. de C.V. company guaranty
10 1/4s, 2007 (Mexico) -- -- 70,000 61,425 -- --
Trans World Airlines, Inc. sr. notes
11 1/2s, 2004 145,000 120,350 360,000 298,800 105,000 87,150
Trans World Airlines, Inc. sr. notes
11 3/8s, 2006 100,000 64,000 245,000 156,800 80,000 51,200
US Air Inc. pass-through certificates Ser.
93-A2, 9 5/8s, 2003 100,000 99,352 1,100,000 1,092,872 400,000 397,408
Union Pacific Corp. notes 7 3/8s, 2009 240,000 238,440 580,000 576,230 775,000 769,963
------------ ------------ ------------
3,065,162 7,385,643 5,332,307
Utilities 0.2% 0.5% 1.0%
- -----------------------------------------------------------------------------------------------------------------------------------
Arizona Public Service Co. sr. notes
6 3/4s, 2006 220,000 212,313 585,000 564,560 785,000 757,572
CMS Energy Corp. pass through
certificates 7s, 2005 480,000 457,646 900,000 858,087 460,000 438,578
Calpine Corp. sr. notes 10 1/2s, 2006 150,000 157,500 1,000,000 1,050,000 250,000 262,500
Calpine Corp. sr. notes 8 3/4s, 2007 240,000 240,998 80,000 80,333
Calpine Corp. sr. notes 7 7/8s, 2008 160,000 152,000 380,000 361,000 130,000 123,500
Calpine Corp. sr. notes 7 3/4s, 2009 280,000 262,332 2,000,000 1,873,800 665,000 623,039
CiNergy Corp. deb. 6 1/8s, 2004 370,000 350,623 895,000 848,129 1,205,000 1,141,894
Cleveland Electric Illuminating Co. 1st mtge.
Ser. B, 9 1/2s, 2005 60,000 63,562 -- -- 150,000 158,904
Cleveland Electric Illuminating Co. 1st mtge
6.86s, 2008 220,000 207,605 540,000 509,576 180,000 169,859
Connecticut Light & Power Co.
1st mtge. Ser. A, 7 7/8s, 2001 -- -- -- -- 100,000 101,269
El Paso Electric Co. 1st mtge. Ser. D,
8.9s, 2006 10,000 10,769 20,000 21,539 5,000 5,385
GTE Corp. deb. 6.46s, 2008 170,000 162,714 -- -- 540,000 516,856
Jersey Central Power & Light Co. 1st mtge.
med. term note 6.85s, 2006 95,000 93,480 220,000 216,480 335,000 329,640
Leviathan Gas Corp. company guaranty Ser. B,
10 3/8s, 2009 70,000 71,750 180,000 184,500 60,000 61,500
Midland Funding II Corp. deb. Ser. B,
13 1/4s, 2006 53,000 63,955 395,000 476,647 80,000 96,536
Midland Funding II Corp. deb. Ser. A, 11 3/4s,
2005 500,000 552,867 1,000,000 1,105,290 525,000 580,277
Nevada Power Co. sr. notes Ser. B,
6.2s, 2004 315,000 300,888 780,000 745,056 990,000 945,648
Niagara Mohawk Power Corp. mtge.
9 1/2s, 2000 50,000 51,014 -- -- 200,000 204,056
Niagara Mohawk Power Corp. sr. notes Ser. F,
7 5/8s, 2005 60,487 60,863 143,659 144,552 52,927 53,256
Niagara Mohawk Power Corp. sr. notes Ser. E,
7 3/8s, 2003 60,488 60,788 151,220 151,971 52,927 53,190
Niagara Mohawk Power Corp. 1st mtge.
6 7/8s, 2003 150,000 151,158 400,000 403,088 150,000 151,158
Northeast Utilities System notes Ser. A,
8.58s, 2006 16,506 16,731 44,277 44,881 11,806 11,967
Northeast Utilities System notes Ser. B,
8.38s, 2005 99,733 99,120 290,133 288,349 90,666 90,108
Public Service Co. of New Mexico sr. notes
Ser. A, 7.1s, 2005 395,000 391,251 90,000 89,146 350,000 346,679
------------ ------------ ------------
4,191,927 9,936,651 7,303,704
------------ ------------ ------------
Total Corporate Bonds and Notes
(cost $101,263,794, $247,758,665
and $139,312,487) $ 91,978,320 $225,466,933 $132,544,927
- -----------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
GROWTH BALANCED CONSERVATIVE
4.1% 8.4% 13.7%
FOREIGN GOVERNMENT Principal Principal Principal
BONDS AND NOTES (a) Amount Value Amount Value Amount Value
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
AUD Australia (Government of) bonds Ser.
808, 8 3/4s, 2008 1,215,000 $ 922,522 2,905,000 $ 2,205,700 1,935,000 $ 1,469,201
CAD Canada (Government of)
5 1/2s, 2009 2,095,000 1,404,190 5,380,000 3,605,987 2,775,000 1,859,965
CAD Canada (Government of) 4 1/2s,
2001 21,755,000 14,622,991 53,020,000 35,638,290 33,250,000 22,349,550
EUR Cert Di Credito Del Tes (Italy
Treasury bill) bonds zero %, 1999 8,920,000 9,477,117 21,585,000 22,933,136 12,715,000 13,509,142
DKK Denmark (Government of)
bonds 6s, 2009 4,160,000 613,925 10,175,000 1,501,607 6,005,000 886,207
EUR France Treasury bill bonds 4s, 2000 11,816,226 12,657,589 29,240,639 31,322,689 17,188,144 18,412,009
EUR Germany (Federal Republic of) 6 3/4s,
2004 3,235,000 3,781,476 11,660,000 13,629,677 10,570,000 12,355,548
EUR Germany (Federal Republic of) bonds
Ser. 98, 5 5/8s, 2028 7,124,738 7,407,576 16,423,248 17,075,219 8,688,203 9,033,107
EUR Germany (Federal Republic of) bonds
Ser. 98, 4 3/4s, 2028 525,000 484,445 1,255,000 1,158,054 695,000 641,313
EUR Germany (Federal Republic of) bonds
Ser. 128, 3 3/4s, 2003 6,955,000 7,294,237 16,335,000 17,131,756 9,075,000 9,517,642
USD Quebec (Province of) deb.
7s, 2007 450,000 450,923 1,060,000 1,062,173 1,515,000 1,518,106
SEK Sweden(Government of) bonds Ser.
1039, 5 1/2s, 2002 26,600,000 3,310,410 67,600,000 8,412,921 39,500,000 4,915,834
GBP United Kingdom Treasury bonds Ser.
85, 9 3/4s, 2002 3,260,000 5,849,252 7,670,000 13,761,890 4,305,000 7,724,242
------------ ------------ ------------
Total Foreign Government Bonds
and Notes (cost $68,988,623, $171,090,859
and $105,249,120) $ 68,276,653 $169,439,099 $104,191,866
- -----------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
GROWTH BALANCED CONSERVATIVE
3.2% 6.1% 21.7%
U.S. GOVERNMENT AND Principal Principal Principal
AGENCY OBLIGATIONS (a) Amount Value Amount Value Amount Value
U.S. Government Agency
Mortgage Obligations 1.4% 2.6% 9.9%
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Federal Home Loan
Mortgage Association
8 1/2s, July 1, 2028 $ 443,603 $ 459,267 $1,114,794 $ 1,154,158 $1,836,131 $ 1,900,965
6 1/2s, April 1, 2029 398,469 382,279 1,008,472 967,497 1,662,744 1,595,187
6s, with due dates from April 1, 2006 to
July 1, 2006 409,217 397,321 912,827 886,291 1,309,232 1,271,172
Federal National Mortgage Association
8s, TBA, October 1, 2029 774,000 789,720 1,900,000 1,938,589 3,500,000 3,571,085
7 1/2s, TBA, October 1, 2029 1,230,000 1,233,456 3,075,000 3,083,641 4,115,000 4,126,563
6 1/2s, TBA, October 25, 2029 635,180 609,081 1,546,901 1,483,339 2,065,416 1,980,548
Federal National Mortgage Association
Pass-through Certificates 7.346s,
July 1, 2025 26,523 26,921 63,934 64,893 75,590 76,724
8 1/2s, with due dates from September 1,
2019 to February 1, 2029 837,454 867,025 1,833,775 1,898,526 2,818,537 2,919,914
8s, with due dates from June 1, 2026 to
August 1, 2028 666,220 679,751 1,524,579 1,555,543 1,750,825 1,786,383
7 1/2s, with due dates from May 1, 2003
to September 1, 2029 650,732 660,493 1,686,487 1,711,785 2,064,826 2,095,798
7s, with due dates from April 1, 2012 to
September 1, 2029 2,157,001 2,145,038 4,521,715 4,493,456 6,620,796 6,579,800
6 1/2s, with due dates from August 1,
2010 to September 1, 2029 6,115,937 5,870,832 7,472,127 7,163,903 13,465,148 12,943,134
6s, with due dates from May 15, 2008 to
January 15, 2014 3,165,463 3,040,075 7,664,937 7,361,792 10,175,324 9,771,627
5 3/4s, April 15, 2003 495,000 486,877 1,145,000 1,126,211 1,655,000 1,627,841
Government National Mortgage
Association Pass-through Certificates
10s, with due dates from June 15, 2013
to March 1, 2029 501,915 547,200 1,263,491 1,377,801 1,656,199 1,806,871
9 1/2s, December 15, 2017 231,862 248,672 573,332 614,899 712,450 764,102
9s, December 15, 2016 258,016 274,464 630,705 670,912 786,333 836,462
8s, with due dates from May 15, 2022 to
June 15, 2028 1,183,908 1,208,481 2,990,429 3,055,845 5,342,315 5,459,839
7 1/2s, with due dates from April 15, 2022
to December 15, 2023 262,885 264,609 1,182,527 1,189,160 2,295,549 2,310,800
7s, with due dates from March 15, 2023 to
May 15, 2029 1,214,717 1,193,082 4,115,307 4,049,717 5,962,397 5,858,399
6 1/2s, with due dates from September 15,
2023 to May 15, 2029 2,140,013 2,049,465 6,736,294 6,448,554 5,903,169 5,655,883
------------ ------------ ------------
23,434,109 52,296,512 74,939,097
U.S. Treasury Obligations 1.8% 3.5% 11.8%
- -----------------------------------------------------------------------------------------------------------------------------------
U.S. Treasury Bonds
6 3/8s, August 15, 2027 (SEG) -- -- -- -- 785,000 786,350
6 1/8s, August 15, 2029 980,000 989,643 2,390,000 2,413,518 3,295,000 3,327,423
6 1/8s, November 15, 2027 (SEG) 1,490,000 1,446,924 4,615,000 4,481,580 6,450,000 6,263,531
5 1/2s, August 15, 2028 10,000 8,950 -- -- 1,525,000 1,364,875
5 1/4s, August 15, 2003 (SEG) 4,595,000 4,503,835 920,000 901,747 13,300,000 13,036,128
5 1/4s, February 15, 2029 (SEG) 2,300,000 2,012,868 6,855,000 5,999,222 9,545,000 8,353,402
5 1/4s, November 15, 2028 (SEG) 1,033,000 895,322 3,484,000 3,019,652 -- --
U. S. Treasury Bond Strip, 6.85s,
February 15, 2019 55,000 15,589 140,000 39,682 185,000 52,436
U.S. Treasury Notes
6 1/8s, August 15, 2007 -- -- -- -- 435,000 435,474
6s, August 15, 2004 5,075,000 5,124,177 9,905,000 10,000,979 9,580,000 9,672,830
6s, August 15, 2009 500,000 504,060 3,360,000 3,387,283 1,945,000 1,960,793
5 5/8s, May 15, 2008 -- -- -- -- 688,000 667,787
5 1/2s, July 31, 2001 -- -- 1,170,000 1,167,075 -- --
5 1/2s, May 15, 2009 1,640,000 1,586,962 3,575,000 3,459,385 2,075,000 2,007,895
5 3/8s, June 30, 2000 (SEG) -- -- -- -- 5,755,000 5,757,705
5 1/4s, May 15, 2004 1,706,000 1,667,342 6,170,000 6,030,188 2,997,000 2,929,088
5s, February 28, 2001 215,000 213,321 1,195,000 1,185,667 2,390,000 2,371,334
4 7/8s, March 31, 2001 125,000 123,711 -- -- 490,000 484,948
4 3/4s, February 15, 2004 -- -- -- -- 6,980,000 6,695,356
4 3/4s, November 15, 2008 935,000 851,140 1,525,000 1,388,223 3,880,000 3,532,003
4 5/8s, December 31, 2000 (SEG) 5,810,000 5,745,567 23,575,000 23,313,553 375,000 370,841
4 5/8s, November 30, 2000 -- -- 3,165,000 3,133,856 -- --
4 1/2s, September 30, 2000 (SEG) 1,795,000 1,777,894 2,030,000 2,010,654 13,850,000 13,718,010
4 1/4s, November 15, 2003 (SEG) 2,465,000 2,325,580 -- -- 6,335,000 5,976,692
------------ ------------ ------------
29,792,885 71,932,264 89,764,901
------------ ------------ ------------
Total U.S. Government and Agency
Obligations (cost $53,905,512,
$125,778,284 and $166,675,485) $ 53,226,994 $124,228,776 $164,703,998
- -----------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
GROWTH BALANCED CONSERVATIVE
0.3% 0.6% 0.5%
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. (PIK) 2,834 $ 45,344 5,329 $ 85,264 -- $ --
CSC Holdings, Inc. Ser. M, $11.125
cum. pfd. (PIK) 1,706 183,395 4,241 455,908 787 84,603
California Federal Bancorp Inc. Ser. A,
$2.281 pfd. 8,100 194,400 13,300 319,200 10,000 240,000
Capstar Broadcasting, Inc. 144A
$12.00 pfd. (PIK) 631 73,196 1,710 198,360 569 66,004
Capstar Communications, Inc. Ser. E,
$12.625 cum. pfd. (PIK) 255 29,580 636 73,776 222 25,752
Citadel Broadcasting Inc. 144A $13.25
cum. pfd. (PIK) 1,342 152,317 3,230 366,605 1,048 118,948
Concentric Network Corp. Ser. B,
$13.50 pfd. (PIK) 80 73,600 203 186,760 69 63,480
Dobson Communications $13.00 pfd. 299 288,535 701 676,465 361 348,365
Dobson Communications 144A
$12.25 pfd. (PIK) 105 90,825 267 230,955 -- --
Fresenius Medical Capital Trust I company
guaranty, Ser. D, 9.00% pfd. (Germany) 1,030 1,011,975 1,380 1,355,850 860 844,950
Fresenius Medical Capital Trust II company
guaranty, 7.875% pfd. (Germany) 405 373,613 1,000 922,500 320 295,200
Global Crossing Holdings 144A
$10.50 pfd. 2,790 292,950 6,990 733,950 2,360 247,800
ICG Holdings, Inc., 144A $14.00 pfd.
(Canada) (PIK) 58 53,940 1,008 937,440 121 112,530
IXC Communications, Inc. $12.50 pfd. (PIK) 108 113,400 289 303,450 86 90,301
Intermedia Communication Ser. B,
$13.50 pfd. (PIK) 276 248,400 838 754,200 276 248,400
NEXTEL Communications, Inc. Ser. D,
13.00% cum. pfd (PIK) 48 50,640 174 183,570 48 50,640
NEXTEL Communications, Inc. Ser. E,
$11.125 pfd. (PIK) 60 58,800 145 142,100 51 49,980
Nextlink Communications, Inc. 144A
$7.00 cum. pfd. (PIK) 8,431 417,335 23,119 1,144,391 3,219 159,341
Paxson Communications Corp.
$12.50 pfd. (PIK) 6 6,375 -- -- -- --
Paxson Communications Corp. 13.25%
cum. pfd. (PIK) 25 270,000 65 702,000 21 226,800
Public Service Co. of New Hampshire
$2.651 1st mtge. pfd. 1,160 29,000 6,314 157,850 1,160 29,000
R & B Falcon Corp. $13.875 pfd. (PIK) 166 157,700 384 364,800 155 147,250
Spanish Broadcasting Systems $14.25
cum. pfd. (PIK) 250 262,500 635 666,750 212 222,600
WinStar Communications, Inc. 144A
$14.25 cum. pfd. (PIK) 140 117,600 340 285,600 120 100,800
------------ ------------ ------------
Total Preferred Stocks (cost $4,834,221,
$12,019,416 and $3,903,976) $ 4,595,420 $ 11,247,744 $ 3,772,744
- -----------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
GROWTH BALANCED CONSERVATIVE
0.3% 0.7% 2.3%
COLLATERALIZED Principal Principal Principal
MORTGAGE OBLIGATIONS* Amount Value Shares Value Shares Value
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Collateralized Mortgage Obligation
Trust Ser. 64, Class Z, 9s, 2020 $ 345,933 $ 361,500 $1,073,833 $ 1,122,156 $1,153,110 $ 1,205,000
Commercial Mortgage Acceptance Corp.
Ser. 97-ML1, Class A3, 6.57s, 2007 -- -- 275,000 263,227 800,000 765,750
Ser. 97-ML1, Class A2, 6.53s, 2007 90,000 87,848 220,000 214,741 440,000 429,481
Ser. 97-ML1, Interest Only (IO), 0.899s,
2017 2,202,422 104,615 4,792,353 227,637 7,431,335 352,988
Criimi Mae Commercial Mortgage Trust Ser.
98-C1, Class A2, 7s, 2011 125,000 107,500 250,000 215,000 470,000 404,200
Deutsche Mortgage & Asset Receiving Corp.
Ser. 98-C1, Class X, IO, 1.243s, 2031 1,837,467 100,774 3,758,456 206,128 6,131,442 336,271
Fannie Mae
Ser. 97-61, Class ZC, 7s, 2023 206,965 193,409 526,214 491,747 -- --
Ser. 98-30, Class TH, IO, 6.5s, 2012 60,739 11,313 148,578 27,673 196,235 36,549
Fannie Mae Strip, Ser. 98-30, Class TH,
6.5s, 2012 81,299 51,917 163,567 104,453 127,756 81,584
Freddie Mac
Ser. 1439, Class I, 7.5s, 2022 490,000 488,545 1,195,000 1,191,452 1,420,000 1,415,784
Ser. 2113, Class ZM, 6.5s, 2028 100,059 90,053 241,149 217,034 314,214 282,793
Ser. 2100, Class GI, IO, 6.5s, 2012 72,000 13,410 176,000 32,780 232,000 43,210
Ser. 2103, Class PI, IO, 6.5s, 2012 192,438 34,292 469,992 83,753 620,797 110,626
Ser. 2039, Class PI, IO, 6.5s, 2012 139,000 23,022 340,000 56,313 448,000 74,200
Ser. 2050, Class PI, IO, 6.5s, 2011 119,944 21,702 292,122 52,856 384,982 69,658
Ser. 1954, Class IO, 6s, 2027 610,463 184,856 1,489,244 450,962 1,964,755 594,952
Freddie Mac Strip
Ser. 203, Class PO (Principle Only),
zero %, 2029 128,420 80,664 314,135 197,316 415,883 261,226
Ser. 176, Class PO, zero %, 2026 26,636 18,462 76,950 53,336 131,998 91,491
Ser. 177, Class PO, zero %, 2026 52,478 36,374 151,469 104,987 260,599 180,628
Government National Mortgage Association Ser.
97-8, Class PE, 7.5s, 2027 790,000 795,925 1,920,000 1,934,400 2,285,000 2,301,138
GS Mortgage Securities Corp. II Ser.
98-GLII, Class A2, 6.562s, 2031 170,000 161,330 415,000 393,835 -- --
LB Commercial Conduit Mortgage Trust
Ser. 99-C1, Class A1, 6.41s, 2007 505,063 491,983 1,232,948 1,201,017 1,638,979 1,596,532
Ser. 99-C2, Class A1, zero %, 2032 600,000 603,938 1,465,000 1,474,614 1,955,000 1,967,830
Ser. 99-C2, Class A2, zero %, 2032 600,000 604,875 1,465,000 1,476,903 1,955,000 1,970,884
Merrill Lynch Mortgage Investors, Inc.
Ser. 98-C2, Class A1, 6.22s, 2030 159,527 155,564 385,523 375,945 505,168 492,618
Ser. 96-C2, IO, 1.5467s, 2028 300,241 21,040 724,797 50,792 953,631 66,829
Morgan Stanley Capital I Ser. 96-WF1,
Class A2, 7.218s, 2006 260,000 262,559 915,000 924,007 1,370,000 1,383,486
Mortgage Capital Funding, Inc. Ser. 98-MC1,
Class X, IO, 0.86s, 2009 5,717,038 220,240 13,768,165 530,397 17,904,524 689,744
------------ ------------ ------------
Total Collateralized
Mortgage Obligations (cost $5,192,008,
$13,416,894 and $16,831,150) $ 5,327,710 $ 13,675,461 $ 17,205,452
- -----------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
GROWTH BALANCED CONSERVATIVE
0.2% 0.4% 1.6%
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 $ 185,802 $ 185,657 $ 479,416 $ 479,041 $ 639,985 $ 639,485
Advanta Mortgage Loan Trust Ser. 97-4,
Class A7, 6.63s, 2029 440,000 433,211 1,075,000 1,058,413 1,275,000 1,255,327
Amresco Residential Securities Mortgage
Loan Ser. 97-3, Class A3, 6.6s, 2018 91,572 91,258 228,931 228,144 264,542 263,633
Associates Manufactured Housing
Ser. 96-1, Class A3, 7s, 2027 -- -- -- -- 382,733 384,527
Capita Equipment Receivables Trust Ser.
96-1, Class A4, 6.28s, 2000 31,104 31,104 97,199 97,199 101,087 101,087
First Plus Ser. 98, Class A, 8 1/2s, 2023 187,852 159,675 405,590 344,752 623,328 529,829
GE Capital Mortgage Services, Inc. Ser.
96-HE2, Class A4, 7.65s, 2012 130,000 130,731 300,000 301,688 450,000 452,531
Green Tree Financial Corp. Ser. 97-2,
Class A6, 7.24s, 2028 380,000 379,286 1,005,000 1,003,111 1,425,000 1,422,321
Green Tree Financial Corp. Ser. 98-2,
Class A5, 6.24s, 2016 650,000 641,672 1,420,000 1,401,806 2,135,000 2,107,645
Green Tree Recreational Equipment & Cons.
Ser. 97-B, Class A1, 6.55s, 2028 299,833 298,450 736,731 733,336 1,936,062 1,927,137
Green Tree Recreational Equipment &
Cons. 6.28s, 2014 -- -- 1,255,000 1,229,851 -- --
Green Tree Recreational Equipment & Cons.
Ser. 98-A, Class A1C, 6.18s, 2019 379,598 375,283 822,463 813,114 1,926,748 1,904,847
Green Tree Recreational Equipment &
Cons. 6.1s, 2013 -- -- 645,000 624,012 -- --
Provident Bank Home Equity Loan Trust Ser.
97-4, Class A3, 6.91s, 2029 135,000 132,036 325,000 317,865 400,000 391,219
The Money Store Home Equity Trust Ser.
96-A, Class A5, 6.85s, 2019 122,240 122,201 286,152 286,062 427,838 427,706
------------ ------------ ------------
Total Asset-Backed Securities
(cost $2,940,233, $8,703,250
and $11,621,207) $ 2,980,564 $ 8,918,394 $ 11,807,294
- -----------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
PURCHASED OPTIONS GROWTH BALANCED CONSERVATIVE
OUTSTANDING (a) Expiration 0.2% 0.3% 0.5%
(cost $2,224,833 Date/ Contract Contract Contract
$5,685,685, and $2,966,444) Strike Price Amount Value Amount Value Amount Value
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Japanese Government Bond Jan. 2000/
Future Contracts (Call) 100.0 JPY 900,000 $ 2,705,927 2,300,000 $ 6,915,146 1,200,000 $ 3,607,902
- -----------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
GROWTH BALANCED CONSERVATIVE
--% --% --%
Number of Number of Number of
UNITS (a) Units Value Units Value Units Value
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Pohang Iron & Steel Company, Ltd.
Structured Note (issued by UBS AG),
3.00%, 2000 (South Korea) -- $ -- 2,200 $ 251,634 -- $ --
Pohang Iron & Steel Company, Ltd.
Structured Note (issued by Merrill
Lynch & Co., Inc.) 3.00%, 2000 (South
Korea) 4,800 549,792 3,900 446,706 -- --
------------ ------------ ------------
Total Units (cost $391,386, $500,599
and $--) -- $ 549,792 -- $ 698,340 -- $ --
- -----------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
GROWTH BALANCED CONSERVATIVE
--% --% --%
CONVERTIBLE PREFERRED Number of Number of Number of
STOCKS* Shares Value Shares Value Shares Value
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Chesapeake Energy Corp.
$3.50 cum. cv. pfd. 720 $ 22,140 1,810 $ 55,658 600 $ 18,450
K mart Financing I $3.875 cum. cv. pfd. 7,630 358,610 7,330 344,510 1,415 66,505
Paxson Communications Corp. 144A
9.75% cv. pfd. (PIK) 10 112,000 20 224,000 10 112,000
------------ ------------ ------------
Total Convertible Preferred Stocks
(cost $638,804, $773,195
and $221,539) $ 492,750 $ 624,168 $ 196,955
- -----------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
GROWTH BALANCED CONSERVATIVE
--% --% --%
Expiration Number of Number of Number of
WARRANTS* (NON) Date Warrants Value Warrants Value Warrants Value
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Bestel S.A. (Mexico) 5/15/05 100 $ 3,000 220 $ 6,600 90 $ 2,700
Birch Telecommunications,
Inc. 144A 6/15/08 100 5,500 240 13,200 80 4,400
Cellnet Data Systems, Inc. 9/15/07 285 7,125 645 16,125 210 5,250
Club Regina, Inc. 144A 12/1/04 55 55 140 140 40 40
Colt Telecommunications
Group PLC 12/31/06 300 114,000 725 275,500 250 95,000
Consorcio Ecuatoriano
144A (Ecuador) 10/1/00 742 74 1,957 196 675 68
DTI Holdings Inc. 3/1/08 3,025 30 7,225 72 2,400 24
Diva Systems Corp. 5/15/06 75 13,500 220 39,600 75 13,500
Diva Systems Corp. 3/1/08 1,464 11,712 3,693 29,544 1,209 9,672
EOP Operating Ltd. Partnership 6/15/08 350 4 750 8 1,160 12
Epic Resorts 6/15/05 100 1 250 3 80 1
Esat Holdings, Inc. (Ireland) 2/1/07 75 5,250 205 14,350 65 4,550
Firstworld Communication 4/15/08 430 30,100 1,080 75,600 360 25,200
Globalstar Telecom 2/15/04 100 7,200 300 21,600 90 6,480
Hyperion Telecommunications
144A 4/15/01 400 50,000 850 106,250 200 25,000
ICG Communications 10/15/05 429 7,722 858 15,444 330 5,940
Interact Systems, Inc. 8/1/03 100 1 300 3 90 1
Intermedia Communications 6/1/00 100 9,025 350 31,588 -- --
International Wireless
Communications Holdings
144A 8/15/01 40 -- 115 -- 40 --
KMC Telecom Holdings, Inc. 4/15/08 200 600 500 1,500 175 525
Knology Holdings, Inc. 144A 10/15/07 285 713 720 1,800 210 525
Long Distance International,
Inc. 144A 4/13/08 50 100 110 220 40 80
MGC Communications, Inc. 144A 10/1/04 20 1,790 55 4,923 15 1,343
McCaw International Ltd. 4/15/07 10 43 20 85 10 43
Mediq Inc. 144A 6/1/09 120 1 290 3 100 1
Network Plus Corp. 2/19/09 210 4,200 520 10,400 180 3,600
Onepoint Communications, Inc. 6/1/08 60 60 130 130 50 50
Orbital Imaging Corp. 144A 3/1/05 115 2,300 300 6,000 100 2,000
Paxson Communications
Corp. 144A 6/30/03 320 1,280 640 2,560 320 1,280
Powertel, Inc. 2/1/06 -- 1,600 7,200 -- --
R& B Falcon Corp. 144A 5/1/09 160 40,000 370 92,500 150 37,500
Startec Global
Communications Corp. 5/15/08 110 110 280 280 90 90
Sterling Chemicals Holdings 8/15/08 35 420 110 1,320 30 360
Telehub Communications Corp. 7/31/05 90 900 200 2,000 80 800
UIH Australia/Pacific, Inc.
144A 5/15/06 -- -- 610 18,300 200 6,000
Versatel Telecom B.V.
144A (Netherlands) 5/15/08 160 25,600 410 65,600 130 20,800
Wireless One, Inc. 10/19/00 450 -- 1,050 1 375 --
------------ ------------ ------------
Total Warrants (cost $140,356,
$368,247 and $125,170) $ 342,416 $ 860,645 $ 272,835
- -----------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
GROWTH BALANCED CONSERVATIVE
--% --% --%
CONVERTIBLE BONDS Principal Principal Principal
AND NOTES* Amount Value Amount Value Amount Value
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
GST Telecommunications, Inc. cv. sr. disc.
notes stepped-coupon zero %, (13 7/8s,
12/15/00), 2005 (STP) $ 21,000 $ 25,200 $ 59,000 $ 70,800 $ 17,000 $ 20,400
HEALTHSOUTH Corp. cv. sub. deb.
3 1/4s, 2003 110,000 85,113 270,000 208,913 100,000 77,375
Integrated Device Technology, Inc. cv.
sub. notes 5 1/2s, 2002 40,000 37,750 115,000 108,531 35,000 33,031
------------ ------------ ------------
Total Convertible Bonds and Notes
(cost $134,502, $366,935
and $122,415) $ 148,063 $ 388,244 $ 130,806
- -----------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
GROWTH BALANCED CONSERVATIVE
5.2% 4.9% 6.6%
Principal Principal Principal
SHORT-TERM INVESTMENTS* Amount Value Amount Value Amount Value
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Corporate Receivables Corp. effective
yield of 5.33%, October 5, 1999 $ -- $ -- $ -- $ -- $5,000,000 $ 4,997,033
Eureka Securitization Corp. effective
yield of 5.34%, October 22, 1999 25,000,000 24,922,125 25,000,000 24,922,125 -- --
Falcon Asset Securitization Corp.
effective yield of 5.40%, December 13,
1999 -- -- -- -- 7,753,000 7,668,105
Sheffield Receivables Corp. effective yield
of 5.40%, October 25, 1999 22,660,000 22,578,424 -- -- -- --
Sheffield Receivables Corp. effective yield
of 5.37%, October 20, 1999 -- -- 25,000,000 24,929,146 -- --
Interest in $369,466,000 joint repurchase
agreement dated September 30, 1999 with
Morgan Stanley & Co. Inc. due October 1,
1999 with respect to various U.S.
treasury obligations -- maturity value
of $37,150,365, for an effective yield
of 5.20% -- -- -- -- 37,145,000 37,145,000
Interest in $474,986,000 joint repurchase
agreement dated September 30, 1999 with
SBC Warburg Inc. due October 1, 1999 with
respect to various U.S. treasury
obligations -- maturity value of
$40,880,018 and $50,109,376, for an
effective yield of 5.30% 40,874,000 40,874,000 50,102,000 50,102,000 -- --
------------ ------------ ------------
Total Short-Term Investments
(cost $88,374,549, $99,953,271
and $49,810,138) $ 88,374,549 $ 99,953,271 $ 49,810,138
- -----------------------------------------------------------------------------------------------------------------------------------
Total Investments
(cost $1,482,877,363, $1,833,991,781
and $742,135,860)*** $1,676,332,635 $2,011,726,913 $ 766,122,687
- -----------------------------------------------------------------------------------------------------------------------------------
(a) Percentages indicated are based on net assets as follows:
- --------------------------------------------------------------
Growth portfolio $1,683,888,645
Balanced portfolio 2,024,806,305
Conservative portfolio 759,460,997
- --------------------------------------------------------------
(b) 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 $1,492,863,188 $273,112,656 $ 89,643,209 $183,469,447
Balanced portfolio 1,845,976,293 270,449,869 104,699,249 165,750,620
Conservative portfolio 745,813,844 59,516,463 39,207,620 20,308,843
- -----------------------------------------------------------------------------------------------------------------------------------
(NON) Non-income-producing security.
(STP) 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.
(PIK) Income may be received in cash or additional securities at the discretion of the issuer.
(SEG) A portion of these securities were pledged and segregated with the custodian to cover margin requirements for futures
contracts at September 30, 1999.
(R) Real Estate Investment Trust.
144A after the name of a security represents those exempt from registration under Rule 144A of the Securities Act of 1933.
These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
ADR or GDR after the name of a foreign holding stands for American Depositary Receipts or Global Depositary Receipts
representing ownership of foreign securities on deposit with a domestic custodian bank.
TBA after the name of a security represents to be announced securities (Note 1).
The rates shown on Floating Rate Notes (FRN) are the current interest rates shown at September 30, 1999 which are subject
to change based on the terms of the security.
Diversification by Country
Distribution of investments by country of issue at September 30, 1999: (as percentage of Market Value)
Growth Portfolio
----------------------
Canada 1.9%
Finland 1.0
France 2.7
Germany 2.2
Italy 1.2
Japan 3.3
Mexico 1.0
Netherlands 1.7
Sweden 1.0
Switzerland 1.0
United Kingdom 3.6
United States 78.2
Other 1.2
----------------------
Total 100.0%
Balanced Portfolio
----------------------
Canada 3.1%
Finland 1.0
France 3.5
Germany 3.6
Italy 1.8
Japan 3.7
Mexico 1.0
Netherlands 1.6
Sweden 1.0
Switzerland 1.0
United Kingdom 4.0
United States 73.0
Other 1.7
----------------------
Total 100.0%
Conservative Portfolio
----------------------
Australia 1.0%
Canada 3.9
France 3.9
Germany 5.0
Italy 2.3
Japan 3.0
Netherlands 1.1
Sweden 1.1
Switzerland 1.0
United Kingdom 3.6
United States 72.8
Other 1.3
----------------------
Total 100.0%
<CAPTION>
- ------------------------------------------------------------------------------------------------
Forward Currency Contracts to Buy
at September 30, 1999 GROWTH
(aggregate face value $190,869,278)
Unrealized
Aggregate Face Delivery Appreciation/
Market Value Value Date (Depreciation)
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Australian Dollars $19,117,939 $19,030,024 2/3/00 $ 87,915
British Pounds 11,353,399 11,106,079 2/3/00 247,320
Canadian Dollars 30,653,239 30,686,718 2/3/00 (33,479)
Danish Krone 3,007,185 2,991,590 2/3/00 15,595
Euro Dollars 61,752,531 61,227,128 2/3/00 525,403
Greek Drachma 1,190,527 1,190,296 2/3/00 231
Japanese Yen 58,782,593 57,694,752 2/3/00 1,087,841
New Zealand Dollars 478,010 487,076 2/3/00 (9,066)
Norwegian Krone 1,088,966 1,069,464 2/3/00 19,502
Swiss Franc 5,443,844 5,386,151 2/3/00 57,693
- ------------------------------------------------------------------------------------------------
$1,998,955
- ------------------------------------------------------------------------------------------------
Forward Currency Contracts to Sell
at September 30, 1999 GROWTH
(aggregate face value $153,995,224)
Unrealized
Market Aggregate Face Delivery Appreciation/
Value Value Date (Depreciation)
- ------------------------------------------------------------------------------------------------
Australian Dollars $ 79,369 $ 78,823 2/3/00 $ (546)
British Pounds 23,167,279 22,652,231 2/3/00 (515,048)
Canadian Dollars 22,025,121 21,636,858 2/3/00 (388,263)
Euro Dollars 76,068,233 75,207,856 2/3/00 (860,377)
Greek Drachma 1,189,692 1,187,742 2/3/00 (1,950)
Japanese Yen 26,511,600 25,932,341 2/3/00 (579,259)
Hong Kong Dollars 939,407 936,459 2/3/00 (2,948)
Singapore Dollars 747,792 759,148 2/3/00 11,356
Swedish Krona 5,634,080 5,603,766 2/3/00 (30,314)
- ------------------------------------------------------------------------------------------------
$(2,367,349)
- ------------------------------------------------------------------------------------------------
Futures Contracts Outstanding
at September 30, 1999 GROWTH
Unrealized
Aggregate Face Expiration Appreciation/
Total Value Value Date (Depreciation)
- ------------------------------------------------------------------------------------------------
ASX Index (short) $ 1,410,436 $ 1,421,766 Dec-99 $ 11,330
CAC 40 (short) 32,164,828 32,076,013 Oct-99 (88,815)
DAX Index (short) 14,730,176 15,637,109 Dec-99 906,933
Euro-Bund 10yr (short) 18,875,415 18,989,965 Dec-99 114,550
Euro-Bund 10yr (long) 3,390,793 3,392,544 Dec-99 (1,751)
FT-SE 100 (short) 49,173,023 50,566,708 Dec-99 1,393,685
Gilt (short) 4,030,229 4,141,816 Dec-99 111,587
JGB 10yr (long) 78,213,660 77,786,559 Mar-00 427,101
MIB 30 Index (short) 5,622,566 5,749,915 Dec-99 127,349
Nasdaq 100 (short) 35,114,400 36,641,207 Dec-99 1,526,807
Nikkei 225 (short) 5,368,769 5,352,690 Dec-99 (16,079)
Russell 2000 Index
(short) 86,329,500 88,770,202 Dec-99 2,440,702
S & P 500 Index (long) 25,964,000 26,111,879 Dec-99 (147,879)
US Treasury Note 10yr
(long) 204,722,375 205,231,430 Dec-99 (509,055)
- ------------------------------------------------------------------------------------------------
$6,296,465
- ------------------------------------------------------------------------------------------------
<CAPTION>
TBA Sale Commitments
at September 30, 1999 GROWTH
(Proceeds receivable $3,723,869)
Principal Settlement Market
Agency Amount Date Value
- ------------------------------------------------------------------------------------------------
FNMA, 6.5s,
October 2029 $2,400,000 10/14/99 $2,301,384
GNMA, 9s,
October 2029 258,016 10/14/99 274,383
GNMA, 8s,
October 2029 1,120,310 10/21/99 1,145,170
- ------------------------------------------------------------------------------------------------
$3,720,937
- ------------------------------------------------------------------------------------------------
<CAPTION>
Forward Currency Contracts to Buy
at September 30, 1999 BALANCED
(aggregate face value $305,200,522)
Unrealized
Aggregate Face Delivery Appreciation/
Market Value Value Date (Depreciation)
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Australian Dollars $ 23,005,507 $ 22,899,521 2/3/00 $ 105,986
British Pounds 14,913,884 14,588,387 2/3/00 325,497
Canadian Dollars 32,837,429 32,881,988 2/3/00 (44,559)
Danish Krone 4,821,592 4,796,588 2/3/00 25,004
Euro Dollars 108,464,792 107,617,879 2/3/00 846,913
Greek Drachma 1,480,068 1,479,789 2/3/00 279
Japanese Yen 114,082,740 111,866,537 2/3/00 2,216,203
New Zealand Dollars 540,360 550,607 2/3/00 (10,247)
Norwegian Krone 1,293,473 1,270,308 2/3/00 23,165
Swiss Franc 7,322,372 7,248,918 2/3/00 73,454
- ------------------------------------------------------------------------------------------------
$3,561,695
- ------------------------------------------------------------------------------------------------
Forward Currency Contracts to Sell
at September 30, 1999 BALANCED
(aggregate face value $265,569,096)
Unrealized
Market Aggregate Face Delivery Appreciation/
Value Value Date (Depreciation)
- ------------------------------------------------------------------------------------------------
Australian Dollars $ 146,324 $ 145,315 2/3/00 $ (1,009)
British Pounds 27,742,434 27,125,672 2/3/00 (616,762)
Canadian Dollars 43,061,013 42,290,229 2/3/00 (770,784)
Euro Dollars 138,698,688 137,155,002 2/3/00 (1,543,686)
Greek Drachma 1,479,041 1,476,616 2/3/00 (2,425)
Hong Kong Dollars 1,091,049 1,087,625 2/3/00 (3,424)
Japanese Yen 46,675,204 45,661,637 2/3/00 (1,013,567)
Singapore Dollars 936,212 950,479 2/3/00 14,267
Swedish Krona 9,728,867 9,676,521 2/3/00 (52,346)
- ------------------------------------------------------------------------------------------------
$(3,989,736)
- ------------------------------------------------------------------------------------------------
Futures Contracts Outstanding
at September 30, 1999 BALANCED
Unrealized
Aggregate Face Expiration Appreciation/
Total Value Value Date (Depreciation)
- ------------------------------------------------------------------------------------------------
ASX Index (short) $ 1,974,610 $ 1,990,473 Dec-99 $ 15,863
CAC 40 (short) 38,039,682 37,934,949 Oct-99 (104,733)
DAX Index (short) 14,730,176 15,637,109 Dec-99 906,933
Euro-Bund 10yr (short) 51,879,136 52,246,997 Dec-99 367,861
Euro-Bund 10yr (long) 8,250,930 8,255,191 Dec-99 (4,261)
FT-SE 100 (short) 58,587,004 60,239,581 Dec-99 1,652,577
Gilt (short) 13,142,051 13,422,765 Dec-99 280,714
JGB 10yr (long) 121,665,693 120,509,787 Mar-00 1,155,906
MIB 30 Index (short) 7,073,551 7,233,765 Dec-99 160,214
Nasdaq 100 (short) 41,942,200 43,766,032 Dec-99 1,823,832
Nikkei 225 (short) 11,811,292 11,633,791 Dec-99 (177,501)
Russell 2000 Index
(short) 92,127,750 94,731,617 Dec-99 2,603,867
S & P 500 Index
(short) 5,841,900 6,121,458 Dec-99 279,558
US Treasury Note 10yr
(long) 276,303,625 276,762,003 Dec-99 (458,378)
- ------------------------------------------------------------------------------------------------
$8,502,452
- ------------------------------------------------------------------------------------------------
<CAPTION>
TBA Sale Commitments
at September 30, 1999 BALANCED
(Proceeds receivable $4,838,365)
Principal Settlement Market
Agency Amount Date Value
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
FNMA, 6.5s,
October 2029 $1,460,000 10/14/99 $1,400,008
GNMA, 9s,
October 2029 630,705 10/14/99 670,715
GNMA, 8s,
October 2029 2,705,122 10/21/99 2,765,149
- ------------------------------------------------------------------------------------------------
$4,835,872
- ------------------------------------------------------------------------------------------------
<CAPTION>
Forward Currency Contracts to Buy
at September 30, 1999 CONSERVATIVE
(aggregate face value $79,591,529)
Unrealized
Aggregate Face Delivery Appreciation/
Market Value Value Date (Depreciation)
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Australian Dollars $ 7,774,204 $ 7,740,093 2/3/00 $ 34,111
Canadian Dollars 15,353,986 15,367,343 2/3/00 (13,357)
Danish Krone 4,665 4,642 2/3/00 23
Euro Dollars 31,826,980 31,603,780 2/3/00 223,200
Greek Drachma 385,476 386,231 2/3/00 (755)
Japanese Yen 25,013,692 24,489,440 2/3/00 524,252
- ------------------------------------------------------------------------------------------------
$767,474
- ------------------------------------------------------------------------------------------------
Forward Currency Contracts to Sell
at September 30, 1999 CONSERVATIVE
(aggregate face value $248,253,414)
Unrealized
Market Aggregate Face Delivery Appreciation/
Value Value Date (Depreciation)
- ------------------------------------------------------------------------------------------------
Australian Dollars $ 4,404,276 $ 4,373,913 2/3/00 $ (30,363)
British Pounds 25,274,272 24,721,063 2/3/00 (553,209)
Canadian Dollars 24,203,429 23,758,697 2/3/00 (444,732)
Danish Krone 936,647 913,777 2/3/00 (22,870)
Euro Dollars 130,003,556 128,988,287 2/3/00 (1,015,269)
Greek Drachma 387,659 387,024 2/3/00 (635)
Hong Kong Dollar 2,589,474 2,581,963 2/3/00 (7,511)
Japanese Yen 47,676,055 46,687,097 2/3/00 (988,958)
Singapore Dollars 1,336,605 1,359,281 2/3/00 22,676
Swedish Krona 9,082,765 9,033,897 2/3/00 (48,868)
Swiss Franc 5,477,824 5,448,415 2/3/00 (29,409)
- ------------------------------------------------------------------------------------------------
$(3,119,148)
- ------------------------------------------------------------------------------------------------
Futures Contracts Outstanding
at September 30, 1999 CONSERVATIVE
Unrealized
Aggregate Face Expiration Appreciation/
Total Value Value Date (Depreciation)
- ------------------------------------------------------------------------------------------------
ASX Index (short) $ 3,102,958 $ 3,127,885 Dec-99 $ 24,927
CAC 40 (short) 10,476,824 10,453,323 Oct-99 (23,501)
DAX Index (short) 5,093,612 5,406,942 Dec-99 313,330
Euro-Bund 10yr (short) 30,517,139 30,803,161 Dec-99 286,022
Euro-Bund 10yr (long) 4,860,137 4,862,646 Dec-99 (2,509)
FT-SE 100 (short) 16,624,688 17,073,633 Dec-99 448,945
Gilt (short) 4,380,684 4,530,699 Dec-99 150,015
Gilt (long) 1,051,364 1,084,113 Dec-99 (32,749)
JGB 10yr (long) 55,866,900 55,180,416 Mar-00 686,484
MIB 30 Index (short) 544,119 556,443 Dec-99 12,324
Nasdaq 100 (short) 15,118,700 15,773,797 Dec-99 655,097
Nikkei 225 (short) 5,781,751 5,764,435 Dec-99 (17,316)
Russell 2000 Index
(short) 29,850,250 30,686,020 Dec-99 835,770
S & P 500 Index
(short) 11,034,700 11,562,754 Dec-99 528,054
US Treasury Note 10yr
(long) 117,723,625 117,821,612 Dec-99 (97,987)
- ------------------------------------------------------------------------------------------------
$3,766,906
- ------------------------------------------------------------------------------------------------
<CAPTION>
TBA Sale Commitments
at September 30, 1999 CONSERVATIVE
(Proceeds receivable $7,587,182)
Principal Settlement Market
Agency Amount Date Value
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
FNMA, 6.5s,
October 2029 $1,980,000 10/14/99 $1,898,642
GNMA, 9s,
October 2029 786,333 10/14/99 836,216
GNMA, 8s,
October 2029 4,742,197 10/21/99 4,847,426
- ------------------------------------------------------------------------------------------------
$7,582,284
- ------------------------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
</TABLE>
<TABLE>
<CAPTION>
Statement of assets and liabilities
September 30, 1999
Putnam Asset Allocation: Growth Portfolio
<S> <C>
Assets
- -----------------------------------------------------------------------------------------------
Investments in securities, at value
(identified cost $1,442,003,363) (Note 1) $1,635,458,635
- -----------------------------------------------------------------------------------------------
Repurchase agreement
(identified cost $40,874,000) (Note 1) 40,874,000
- -----------------------------------------------------------------------------------------------
Cash 77,788
- -----------------------------------------------------------------------------------------------
Foreign currency 11,806,363
- -----------------------------------------------------------------------------------------------
Dividends, interest and other receivables 5,804,933
- -----------------------------------------------------------------------------------------------
Receivable for shares of the fund sold 3,215,855
- -----------------------------------------------------------------------------------------------
Receivable for securities sold 19,385,168
- -----------------------------------------------------------------------------------------------
Receivable for variation margin 1,109,512
- -----------------------------------------------------------------------------------------------
Receivable for open forward currency contracts 2,052,902
- -----------------------------------------------------------------------------------------------
Receivable for closed forward currency contracts 674,265
- -----------------------------------------------------------------------------------------------
Total assets 1,720,459,421
Liabilities
- -----------------------------------------------------------------------------------------------
Payable for securities purchased 19,959,134
- -----------------------------------------------------------------------------------------------
Payable for shares of the fund repurchased 5,685,653
- -----------------------------------------------------------------------------------------------
Payable for compensation of Manager (Note 2) 2,609,429
- -----------------------------------------------------------------------------------------------
Payable for investor servicing and custodian fees (Note 2) 427,939
- -----------------------------------------------------------------------------------------------
Payable for compensation of Trustees (Note 2) 35,988
- -----------------------------------------------------------------------------------------------
Payable for administrative services (Note 2) 4,694
- -----------------------------------------------------------------------------------------------
Payable for distribution fees (Note 2) 1,060,467
- -----------------------------------------------------------------------------------------------
Payable for open forward currency contracts 2,421,296
- -----------------------------------------------------------------------------------------------
Payable for closed forward currency contracts 499,458
- -----------------------------------------------------------------------------------------------
TBA sales commitments, at value (proceeds receivable $3,723,869) 3,720,937
- -----------------------------------------------------------------------------------------------
Other accrued expenses 145,781
- -----------------------------------------------------------------------------------------------
Total liabilities 36,570,776
- -----------------------------------------------------------------------------------------------
Net assets $1,683,888,645
Represented by
- -----------------------------------------------------------------------------------------------
Paid-in capital (Notes 1 and 4) $1,313,433,702
- -----------------------------------------------------------------------------------------------
Undistributed net investment income (Note 1) 2,671,195
- -----------------------------------------------------------------------------------------------
Accumulated net realized gain on investments
and foreign currency transactions (Note 1) 167,975,631
- -----------------------------------------------------------------------------------------------
Net unrealized appreciation of investments and
assets and liabilities in foreign currencies 199,808,117
- -----------------------------------------------------------------------------------------------
Total -- Representing net assets applicable to
capital shares outstanding $1,683,888,645
Computation of net asset value and offering price
- -----------------------------------------------------------------------------------------------
Net asset value and redemption price per class A share
($664,639,971 divided by 46,320,561 shares) $14.35
- -----------------------------------------------------------------------------------------------
Offering price per class A share (100/94.25 of $14.35)* $15.23
- -----------------------------------------------------------------------------------------------
Net asset value and offering price per class B share
($470,073,173 divided by 33,295,551 shares)** $14.12
- -----------------------------------------------------------------------------------------------
Net asset value and offering price per class C share
($103,208,963 divided by 7,369,628 shares)** $14.00
- -----------------------------------------------------------------------------------------------
Net asset value and redemption price per class M share
($59,603,819 divided by 4,211,624 shares) $14.15
- -----------------------------------------------------------------------------------------------
Offering price per class M share (100/96.50 of $14.15)* $14.66
- -----------------------------------------------------------------------------------------------
Net asset value, offering price and redemption price per class Y share
($386,362,719 divided by 26,749,307 shares) $14.44
- -----------------------------------------------------------------------------------------------
* 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
Year ended September 30, 1999
Putnam Asset Allocation: Growth Portfolio
<S> <C>
Investment income:
- -----------------------------------------------------------------------------------------------
Interest (net of foreign tax of $90,439) $ 20,406,613
- -----------------------------------------------------------------------------------------------
Dividends (net of foreign tax of $444,056) 15,154,059
- -----------------------------------------------------------------------------------------------
Total investment income 35,560,672
Expenses:
- -----------------------------------------------------------------------------------------------
Compensation of Manager (Note 2) 9,886,629
- -----------------------------------------------------------------------------------------------
Investor servicing and custodian fees (Note 2) 5,014,495
- -----------------------------------------------------------------------------------------------
Compensation of Trustees (Note 2) 31,892
- -----------------------------------------------------------------------------------------------
Administrative services (Note 2) 18,685
- -----------------------------------------------------------------------------------------------
Distribution fees -- Class A (Note 2) 1,814,963
- -----------------------------------------------------------------------------------------------
Distribution fees -- Class B (Note 2) 4,593,600
- -----------------------------------------------------------------------------------------------
Distribution fees -- Class C (Note 2) 1,021,318
- -----------------------------------------------------------------------------------------------
Distribution fees -- Class M (Note 2) 458,651
- -----------------------------------------------------------------------------------------------
Reports to shareholders 106,658
- -----------------------------------------------------------------------------------------------
Registration fees 14,703
- -----------------------------------------------------------------------------------------------
Auditing 92,155
- -----------------------------------------------------------------------------------------------
Legal 11,841
- -----------------------------------------------------------------------------------------------
Postage 293,859
- -----------------------------------------------------------------------------------------------
Other 106,278
- -----------------------------------------------------------------------------------------------
Total expenses 23,465,727
- -----------------------------------------------------------------------------------------------
Expense reduction (Note 2) (318,634)
- -----------------------------------------------------------------------------------------------
Net expenses 23,147,093
- -----------------------------------------------------------------------------------------------
Net investment income 12,413,579
- -----------------------------------------------------------------------------------------------
Net realized gain on investments (Notes 1 and 3) 166,797,774
- -----------------------------------------------------------------------------------------------
Net realized gain on futures contracts (Note 1) 1,703,118
- -----------------------------------------------------------------------------------------------
Net realized loss on foreign currency transactions (Note 1) (3,711,473)
- -----------------------------------------------------------------------------------------------
Net unrealized appreciation of assets and liabilities in
foreign currencies during the year 1,158,242
- -----------------------------------------------------------------------------------------------
Net unrealized appreciation of investments, futures
contracts, and TBA sale commitments during the year 159,395,532
- -----------------------------------------------------------------------------------------------
Net gain on investments 325,343,193
- -----------------------------------------------------------------------------------------------
Net increase in net assets resulting from operations $337,756,772
- -----------------------------------------------------------------------------------------------
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
Year ended September 30
------------------------------
1999 1998
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Increase in net assets
- ---------------------------------------------------------------------------------------------------------------
Operations:
- ---------------------------------------------------------------------------------------------------------------
Net investment income $ 12,413,579 $ 12,340,501
- ---------------------------------------------------------------------------------------------------------------
Net realized gain on investments and
foreign currency transactions 164,789,419 38,400,533
- ---------------------------------------------------------------------------------------------------------------
Net unrealized appreciation (depreciation) of investments
and assets and liabilities in foreign currencies 160,553,774 (159,749,944)
- ---------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets resulting
from operations 337,756,772 (109,008,910)
- ---------------------------------------------------------------------------------------------------------------
Distributions to shareholders:
- ---------------------------------------------------------------------------------------------------------------
From net investment income
Class A (5,108,856) (5,451,260)
- ---------------------------------------------------------------------------------------------------------------
Class B (302,109) (1,452,810)
- ---------------------------------------------------------------------------------------------------------------
Class C (91,915) (354,049)
- ---------------------------------------------------------------------------------------------------------------
Class M (215,219) (255,177)
- ---------------------------------------------------------------------------------------------------------------
Class Y (2,230,591) (2,655,086)
- ---------------------------------------------------------------------------------------------------------------
From net realized gain on investments
Class A (13,947,178) (33,520,017)
- ---------------------------------------------------------------------------------------------------------------
Class B (9,163,974) (23,158,050)
- ---------------------------------------------------------------------------------------------------------------
Class C (2,091,072) (4,660,281)
- ---------------------------------------------------------------------------------------------------------------
Class M (1,224,056) (2,405,966)
- ---------------------------------------------------------------------------------------------------------------
Class Y (4,648,483) (13,951,480)
- ---------------------------------------------------------------------------------------------------------------
Increase from capital share transactions (Note 4) 55,864,763 346,133,424
- ---------------------------------------------------------------------------------------------------------------
Total increase in net assets 354,598,082 149,260,338
Net assets
- ---------------------------------------------------------------------------------------------------------------
Beginning of year 1,329,290,563 1,180,030,225
- ---------------------------------------------------------------------------------------------------------------
End of year (including undistributed net investment
income of $2,671,195 and $2,873,593, respectively) $1,683,888,645 $1,329,290,563
- ---------------------------------------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
</TABLE>
<TABLE>
<CAPTION>
Financial highlights
(For a share outstanding throughout the period)
Putnam Asset Allocation: Growth Portfolio
CLASS A
- ---------------------------------------------------------------------------------------------------------------------------------
Per-share
operating performance Year ended September 30
- ---------------------------------------------------------------------------------------------------------------------------------
1999 1998 1997 1996 1995
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net asset value,
beginning of period $11.76 $13.64 $11.41 $10.06 $8.43
- ---------------------------------------------------------------------------------------------------------------------------------
Investment operations
- ---------------------------------------------------------------------------------------------------------------------------------
Net investment income(c) .14 .15 .17 .18 .18(d)
- ---------------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investments 2.82 (1.06) 2.69 1.63 1.53
- ---------------------------------------------------------------------------------------------------------------------------------
Total from
investment operations 2.96 (.91) 2.86 1.81 1.71
- ---------------------------------------------------------------------------------------------------------------------------------
Less distributions:
- ---------------------------------------------------------------------------------------------------------------------------------
From net
investment income (.10) (.14) (.16) (.19) (.08)
- ---------------------------------------------------------------------------------------------------------------------------------
From net realized gain
on investments (.27) (.83) (.47) (.27) --
- ---------------------------------------------------------------------------------------------------------------------------------
Total distributions (.37) (.97) (.63) (.46) (.08)
- ---------------------------------------------------------------------------------------------------------------------------------
Net asset value,
end of period $14.35 $11.76 $13.64 $11.41 $10.06
- ---------------------------------------------------------------------------------------------------------------------------------
Ratios and supplemental data
- ---------------------------------------------------------------------------------------------------------------------------------
Total return at
net asset value (%)(a) 25.55 (7.01) 26.25 18.75 20.45
- ---------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $664,640 $602,273 $486,107 $210,531 $122,228
- ---------------------------------------------------------------------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(b) 1.21 1.31 1.39 1.45 1.49(d)
- ---------------------------------------------------------------------------------------------------------------------------------
Ratio of
net investment income
to average net assets (%) 1.00 1.13 1.42 1.72 1.98(d)
- ---------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 105.11 146.58 99.96 100.93 88.36
- ---------------------------------------------------------------------------------------------------------------------------------
+ Commencement of operations.
* Not annualized.
(a) Total return assumes dividend reinvestment and does not reflect the effect of sales charges.
(b) Includes amounts paid through expense offset and brokerage service arrangements (Note 2).
(c) Per share net investment income has been determined on the basis of the weighted average number of shares outstanding
during the period.
(d) 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 Portfolio
CLASS B
- ---------------------------------------------------------------------------------------------------------------------------------
Per-share
operating performance Year ended September 30
- ---------------------------------------------------------------------------------------------------------------------------------
1999 1998 1997 1996 1995
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net asset value,
beginning of period $11.59 $13.47 $11.29 $9.97 $8.39
- ---------------------------------------------------------------------------------------------------------------------------------
Investment operations
- ---------------------------------------------------------------------------------------------------------------------------------
Net investment income(c) .03 .05 .08 .10 .11(d)
- ---------------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investments 2.78 (1.05) 2.67 1.64 1.52
- ---------------------------------------------------------------------------------------------------------------------------------
Total from
investment operations 2.81 (1.00) 2.75 1.74 1.63
- ---------------------------------------------------------------------------------------------------------------------------------
Less distributions:
- ---------------------------------------------------------------------------------------------------------------------------------
From net
investment income (.01) (.05) (.10) (.15) (.05)
- ---------------------------------------------------------------------------------------------------------------------------------
From net realized gain
on investments (.27) (.83) (.47) (.27) --
- ---------------------------------------------------------------------------------------------------------------------------------
Total distributions (.28) (.88) (.57) (.42) (.05)
- ---------------------------------------------------------------------------------------------------------------------------------
Net asset value,
end of period $14.12 $11.59 $13.47 $11.29 $9.97
- ---------------------------------------------------------------------------------------------------------------------------------
Ratios and supplemental data
- ---------------------------------------------------------------------------------------------------------------------------------
Total return at
net asset value (%)(a) 24.52 (7.72) 25.23 18.04 19.57
- ---------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $470,073 $385,645 $357,501 $199,871 $116,263
- ---------------------------------------------------------------------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(b) 1.96 2.06 2.14 2.21 2.23(d)
- ---------------------------------------------------------------------------------------------------------------------------------
Ratio of
net investment income
to average net assets (%) .25 .40 .68 .95 1.22(d)
- ---------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 105.11 146.58 99.96 100.93 88.36
- ---------------------------------------------------------------------------------------------------------------------------------
+ Commencement of operations.
* Not annualized.
(a) Total return assumes dividend reinvestment and does not reflect the effect of sales charges.
(b) Includes amounts paid through expense offset and brokerage service arrangements (Note 2).
(c) Per share net investment income has been determined on the basis of the weighted average number of shares outstanding
during the period.
(d) 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 Portfolio
CLASS C
- ---------------------------------------------------------------------------------------------------------------------------------
Per-share
operating performance Year ended September 30
- ---------------------------------------------------------------------------------------------------------------------------------
1999 1998 1997 1996 1995
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net asset value,
beginning of period $11.50 $13.38 $11.24 $9.93 $8.39
- ---------------------------------------------------------------------------------------------------------------------------------
Investment operations
- ---------------------------------------------------------------------------------------------------------------------------------
Net investment income(c) .03 .05 .08 .10 .11(d)
- ---------------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investments 2.75 (1.04) 2.65 1.63 1.51
- ---------------------------------------------------------------------------------------------------------------------------------
Total from
investment operations 2.78 (.99) 2.73 1.73 1.62
- ---------------------------------------------------------------------------------------------------------------------------------
Less distributions:
- ---------------------------------------------------------------------------------------------------------------------------------
From net
investment income (.01) (.06) (.12) (.15) (.08)
- ---------------------------------------------------------------------------------------------------------------------------------
From net realized gain
on investments (.27) (.83) (.47) (.27) --
- ---------------------------------------------------------------------------------------------------------------------------------
Total distributions (.28) (.89) (.59) (.42) (.08)
- ---------------------------------------------------------------------------------------------------------------------------------
Net asset value,
end of period $14.00 $11.50 $13.38 $11.24 $9.93
- ---------------------------------------------------------------------------------------------------------------------------------
Ratios and supplemental data
- ---------------------------------------------------------------------------------------------------------------------------------
Total return at
net asset value (%)(a) 24.47 (7.70) 25.31 18.01 19.46
- ---------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $103,209 $88,076 $68,749 $27,556 $7,985
- ---------------------------------------------------------------------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(b) 1.96 2.06 2.14 2.23 2.23(d)
- ---------------------------------------------------------------------------------------------------------------------------------
Ratio of
net investment income
to average net assets (%) .25 .41 .67 .94 1.24(d)
- ---------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 105.11 146.58 99.96 100.93 88.36
- ---------------------------------------------------------------------------------------------------------------------------------
+ Commencement of operations.
* Not annualized.
(a) Total return assumes dividend reinvestment and does not reflect the effect of sales charges.
(b) Includes amounts paid through expense offset and brokerage service arrangements (Note 2).
(c) Per share net investment income has been determined on the basis of the weighted average number of shares outstanding
during the period.
(d) 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 Portfolio
CLASS M
- ---------------------------------------------------------------------------------------------------------------------------------
For the period
Per-share Feb. 3, 1995+
operating performance Year ended September 30 to Sept. 30
- ---------------------------------------------------------------------------------------------------------------------------------
1999 1998 1997 1996 1995
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net asset value,
beginning of period $11.60 $13.49 $11.32 $10.01 $8.39
- ---------------------------------------------------------------------------------------------------------------------------------
Investment operations
- ---------------------------------------------------------------------------------------------------------------------------------
Net investment income(c) .07 .08 .11 .12 .08(d)
- ---------------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investments 2.80 (1.05) 2.67 1.64 1.54
- ---------------------------------------------------------------------------------------------------------------------------------
Total from
investment operations 2.87 (.97) 2.78 1.76 1.62
- ---------------------------------------------------------------------------------------------------------------------------------
Less distributions:
- ---------------------------------------------------------------------------------------------------------------------------------
From net
investment income (.05) (.09) (.14) (.18) --
- ---------------------------------------------------------------------------------------------------------------------------------
From net realized gain
on investments (.27) (.83) (.47) (.27) --
- ---------------------------------------------------------------------------------------------------------------------------------
Total distributions (.32) (.92) (.61) (.45) --
- ---------------------------------------------------------------------------------------------------------------------------------
Net asset value,
end of period $14.15 $11.60 $13.49 $11.32 $10.01
- ---------------------------------------------------------------------------------------------------------------------------------
Ratios and supplemental data
- ---------------------------------------------------------------------------------------------------------------------------------
Total return at
net asset value (%)(a) 25.05 (7.52) 25.63 18.21 19.31*
- ---------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $59,604 $49,702 $34,381 $12,369 $3,160
- ---------------------------------------------------------------------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(b) 1.71 1.81 1.89 1.95 1.45(d)*
- ---------------------------------------------------------------------------------------------------------------------------------
Ratio of
net investment income
to average net assets (%) .50 .65 .92 1.16 .79(d)*
- ---------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 105.11 146.58 99.96 100.93 88.36
- ---------------------------------------------------------------------------------------------------------------------------------
+ Commencement of operations.
* Not annualized.
(a) Total return assumes dividend reinvestment and does not reflect the effect of sales charges.
(b) Includes amounts paid through expense offset and brokerage service arrangements (Note 2).
(c) Per share net investment income has been determined on the basis of the weighted average number of shares outstanding
during the period.
(d) 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 Portfolio
CLASS Y
- ---------------------------------------------------------------------------------------------------------------------------------
Per-share
operating performance Year ended September 30
- ---------------------------------------------------------------------------------------------------------------------------------
1999 1998 1997 1996 1995
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net asset value,
beginning of period $11.84 $13.72 $11.47 $10.09 $8.43
- ---------------------------------------------------------------------------------------------------------------------------------
Investment operations
- ---------------------------------------------------------------------------------------------------------------------------------
Net investment income(c) .17 .18 .21 .21 .17(d)
- ---------------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investments 2.83 (1.07) 2.70 1.65 1.57
- ---------------------------------------------------------------------------------------------------------------------------------
Total from
investment operations 3.00 (.89) 2.91 1.86 1.74
- ---------------------------------------------------------------------------------------------------------------------------------
Less distributions:
- ---------------------------------------------------------------------------------------------------------------------------------
From net
investment income (.13) (.16) (.19) (.21) (.08)
- ---------------------------------------------------------------------------------------------------------------------------------
From net realized gain
on investments (.27) (.83) (.47) (.27) --
- ---------------------------------------------------------------------------------------------------------------------------------
Total distributions (.40) (.99) (.66) (.48) (.08)
- ---------------------------------------------------------------------------------------------------------------------------------
Net asset value,
end of period $14.44 $11.84 $13.72 $11.47 $10.09
- ---------------------------------------------------------------------------------------------------------------------------------
Ratios and supplemental data
- ---------------------------------------------------------------------------------------------------------------------------------
Total return at
net asset value (%)(a) 25.76 (6.79) 26.54 19.20 20.94
- ---------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $386,363 $203,595 $233,292 $58,301 $45,150
- ---------------------------------------------------------------------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(b) .96 1.06 1.14 1.21 1.28(d)
- ---------------------------------------------------------------------------------------------------------------------------------
Ratio of
net investment income
to average net assets (%) 1.24 1.40 1.71 1.97 2.05(d)
- ---------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 105.11 146.58 99.96 100.93 88.36
- ---------------------------------------------------------------------------------------------------------------------------------
+ Commencement of operations.
* Not annualized.
(a) Total return assumes dividend reinvestment and does not reflect the effect of sales charges.
(b) Includes amounts paid through expense offset and brokerage service arrangements (Note 2).
(c) Per share net investment income has been determined on the basis of the weighted average number of shares outstanding
during the period.
(d) 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
September 30, 1999
Putnam Asset Allocation: Balanced Portfolio
<S> <C>
Assets
- -----------------------------------------------------------------------------------------------
Investments in securities, at value
(identified cost $1,783,889,781) (Note 1) $1,961,624,913
- -----------------------------------------------------------------------------------------------
Repurchase agreement
(identified cost $50,102,000) (Note 1) 50,102,000
- -----------------------------------------------------------------------------------------------
Cash 980,163
- -----------------------------------------------------------------------------------------------
Receivable from sub-custodian 2,242,858
- -----------------------------------------------------------------------------------------------
Foreign currency 17,996,784
- -----------------------------------------------------------------------------------------------
Dividends, interest and other receivables 11,365,426
- -----------------------------------------------------------------------------------------------
Receivable for shares of the fund sold 4,646,240
- -----------------------------------------------------------------------------------------------
Receivable for securities sold 17,964,040
- -----------------------------------------------------------------------------------------------
Receivable for open forward currency contracts 3,630,800
- -----------------------------------------------------------------------------------------------
Receivable for closed forward currency contracts 1,036,757
- -----------------------------------------------------------------------------------------------
Total assets 2,071,589,981
Liabilities
- -----------------------------------------------------------------------------------------------
Payable for variation margin 235,696
- -----------------------------------------------------------------------------------------------
Distributions payable to shareholders 6,804
- -----------------------------------------------------------------------------------------------
Payable for securities purchased 24,754,795
- -----------------------------------------------------------------------------------------------
Payable for shares of the fund repurchased 7,209,086
- -----------------------------------------------------------------------------------------------
Payable for compensation of Manager (Note 2) 3,039,926
- -----------------------------------------------------------------------------------------------
Payable for investor servicing and custodian fees (Note 2) 475,767
- -----------------------------------------------------------------------------------------------
Payable for compensation of Trustees (Note 2) 37,202
- -----------------------------------------------------------------------------------------------
Payable for administrative services (Note 2) 4,734
- -----------------------------------------------------------------------------------------------
Payable for distribution fees (Note 2) 1,287,735
- -----------------------------------------------------------------------------------------------
Payable for open forward currency contracts 4,058,841
- -----------------------------------------------------------------------------------------------
Payable for closed forward currency contracts 715,014
- -----------------------------------------------------------------------------------------------
TBA sales commitments, at value (proceeds receivable $4,838,365) 4,835,872
- -----------------------------------------------------------------------------------------------
Other accrued expenses 122,204
- -----------------------------------------------------------------------------------------------
Total liabilities 46,783,676
- -----------------------------------------------------------------------------------------------
Net assets $2,024,806,305
Represented by
- -----------------------------------------------------------------------------------------------
Paid-in capital (Notes 1 and 4) $1,693,787,134
- -----------------------------------------------------------------------------------------------
Undistributed net investment income (Note 1) 89,862
- -----------------------------------------------------------------------------------------------
Accumulated net realized gain on investments
and foreign currency transactions (Note 1) 144,646,906
- -----------------------------------------------------------------------------------------------
Net unrealized appreciation of investments and
assets and liabilities in foreign currencies 186,282,403
- -----------------------------------------------------------------------------------------------
Total -- Representing net assets applicable to
capital shares outstanding $2,024,806,305
Computation of net asset value and offering price
- -----------------------------------------------------------------------------------------------
Net asset value and redemption price per class A share
($873,219,418 divided by 71,096,719 shares) $12.28
- -----------------------------------------------------------------------------------------------
Offering price per class A share (100/94.25 of $12.28)* $13.03
- -----------------------------------------------------------------------------------------------
Net asset value and offering price per class B share
($553,738,177 divided by 45,314,407 shares)** $12.22
- -----------------------------------------------------------------------------------------------
Net asset value and offering price per class C share
($120,659,715 divided by 9,928,714 shares)** $12.15
- -----------------------------------------------------------------------------------------------
Net asset value and redemption price per class M share
($66,853,732 divided by 5,450,790 shares) $12.26
- -----------------------------------------------------------------------------------------------
Offering price per class M share (100/96.50 of $12.26)* $12.70
- -----------------------------------------------------------------------------------------------
Net asset value, offering price and redemption price per class Y share
($410,335,263 divided by 33,387,201 shares) $12.29
- -----------------------------------------------------------------------------------------------
* 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
Year ended September 30, 1999
Putnam Asset Allocation: Balanced Portfolio
<S> <C>
Investment income:
- -----------------------------------------------------------------------------------------------
Interest (net of foreign tax of $229,211) $ 43,688,871
- -----------------------------------------------------------------------------------------------
Dividends (net of foreign tax of $580,215) 16,010,725
- -----------------------------------------------------------------------------------------------
Total investment income 59,699,596
Expenses:
- -----------------------------------------------------------------------------------------------
Compensation of Manager (Note 2) 11,705,604
- -----------------------------------------------------------------------------------------------
Investor servicing and custodian fees (Note 2) 5,348,396
- -----------------------------------------------------------------------------------------------
Compensation of Trustees (Note 2) 33,650
- -----------------------------------------------------------------------------------------------
Administrative services (Note 2) 18,881
- -----------------------------------------------------------------------------------------------
Distribution fees -- Class A (Note 2) 2,402,702
- -----------------------------------------------------------------------------------------------
Distribution fees -- Class B (Note 2) 5,489,836
- -----------------------------------------------------------------------------------------------
Distribution fees -- Class C (Note 2) 1,131,024
- -----------------------------------------------------------------------------------------------
Distribution fees -- Class M (Note 2) 495,744
- -----------------------------------------------------------------------------------------------
Reports to shareholders 78,663
- -----------------------------------------------------------------------------------------------
Registration fees 49,059
- -----------------------------------------------------------------------------------------------
Auditing 83,851
- -----------------------------------------------------------------------------------------------
Legal 13,643
- -----------------------------------------------------------------------------------------------
Postage 256,885
- -----------------------------------------------------------------------------------------------
Other 105,673
- -----------------------------------------------------------------------------------------------
Total expenses 27,213,611
- -----------------------------------------------------------------------------------------------
Expense reduction (Note 2) (390,119)
- -----------------------------------------------------------------------------------------------
Net expenses 26,823,492
- -----------------------------------------------------------------------------------------------
Net investment income 32,876,104
- -----------------------------------------------------------------------------------------------
Net realized gain on investments (Notes 1 and 3) 157,160,516
- -----------------------------------------------------------------------------------------------
Net realized loss on futures contracts (Note 1) (9,383,352)
- -----------------------------------------------------------------------------------------------
Net realized loss on foreign currency transactions (Note 1) (869,357)
- -----------------------------------------------------------------------------------------------
Net unrealized appreciation of assets and liabilities in
foreign currencies during the year 1,722,161
- -----------------------------------------------------------------------------------------------
Net unrealized appreciation of investments, futures contracts
and TBA sale commitments during the year 143,199,232
- -----------------------------------------------------------------------------------------------
Net gain on investments 291,829,200
- -----------------------------------------------------------------------------------------------
Net increase in net assets resulting from operations $324,705,304
- -----------------------------------------------------------------------------------------------
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
Year ended September 30
-------------------------------
1999 1998
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Increase in net assets
- ---------------------------------------------------------------------------------------------------------------
Operations:
- ---------------------------------------------------------------------------------------------------------------
Net investment income $ 32,876,104 $ 33,067,514
- ---------------------------------------------------------------------------------------------------------------
Net realized gain on investments and
foreign currency transactions 146,907,807 40,629,060
- ---------------------------------------------------------------------------------------------------------------
Net unrealized appreciation (depreciation) of investments
and assets and liabilities in foreign currencies 144,921,393 (171,479,401)
- ---------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets resulting
from operations 324,705,304 (97,782,827)
- ---------------------------------------------------------------------------------------------------------------
Distributions to shareholders:
- ---------------------------------------------------------------------------------------------------------------
From net investment income
Class A (17,001,979) (13,459,243)
- ---------------------------------------------------------------------------------------------------------------
Class B (5,733,718) (4,125,880)
- ---------------------------------------------------------------------------------------------------------------
Class C (1,222,425) (785,030)
- ---------------------------------------------------------------------------------------------------------------
Class M (860,001) (583,502)
- ---------------------------------------------------------------------------------------------------------------
Class Y (6,217,689) (4,212,140)
- ---------------------------------------------------------------------------------------------------------------
From net realized gain on investments
Class A (14,689,181) (51,741,621)
- ---------------------------------------------------------------------------------------------------------------
Class B (8,284,024) (32,302,821)
- ---------------------------------------------------------------------------------------------------------------
Class C (1,662,318) (5,432,068)
- ---------------------------------------------------------------------------------------------------------------
Class M (985,347) (3,496,761)
- ---------------------------------------------------------------------------------------------------------------
Class Y (3,641,867) (16,085,456)
- ---------------------------------------------------------------------------------------------------------------
Increase from capital share transactions (Note 4) 65,633,045 454,601,683
- ---------------------------------------------------------------------------------------------------------------
Total increase in net assets 330,039,800 224,594,334
Net assets
- ---------------------------------------------------------------------------------------------------------------
Beginning of year 1,694,766,505 1,470,172,171
- ---------------------------------------------------------------------------------------------------------------
End of year (including undistributed net investment
income of $89,862 and $269,507, respectively), $2,024,806,305 $1,694,766,505
- ---------------------------------------------------------------------------------------------------------------
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
- ---------------------------------------------------------------------------------------------------------------------------------
Per-share
operating performance Year ended September 30
- ---------------------------------------------------------------------------------------------------------------------------------
1999 1998 1997 1996 1995
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net asset value,
beginning of period $10.66 $12.28 $10.71 $9.67 $8.33
- ---------------------------------------------------------------------------------------------------------------------------------
Investment operations
- ---------------------------------------------------------------------------------------------------------------------------------
Net investment income(c) .23 .26 .28 .29 .27(d)
- ---------------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investments 1.78 (.84) 2.13 1.32 1.27
- ---------------------------------------------------------------------------------------------------------------------------------
Total from
investment operations 2.01 (.58) 2.41 1.61 1.54
- ---------------------------------------------------------------------------------------------------------------------------------
Less distributions:
- ---------------------------------------------------------------------------------------------------------------------------------
From net
investment income (.21) (.18) (.31) (.28) (.20)
- ---------------------------------------------------------------------------------------------------------------------------------
From net realized gain
on investments (.18) (.86) (.53) (.29) --
- ---------------------------------------------------------------------------------------------------------------------------------
Total distributions (.39) (1.04) (.84) (.57) (.20)
- ---------------------------------------------------------------------------------------------------------------------------------
Net asset value,
end of period $12.28 $10.66 $12.28 $10.71 $9.67
- ---------------------------------------------------------------------------------------------------------------------------------
Ratios and supplemental data
- ---------------------------------------------------------------------------------------------------------------------------------
Total return at
net asset value (%)(a) 19.09 (4.97) 23.82 17.41 18.73
- ---------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $873,219 $846,574 $680,720 $327,326 $152,317
- ---------------------------------------------------------------------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(b) 1.14 1.22 1.27 1.33 1.32(d)
- ---------------------------------------------------------------------------------------------------------------------------------
Ratio of
net investment income
to average net assets (%) 1.89 2.17 2.44 2.83 2.95(d)
- ---------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 119.70 158.14 136.75 122.12 106.03
- ---------------------------------------------------------------------------------------------------------------------------------
+ Commencement of operations.
* Not annualized.
(a) Total return assumes dividend reinvestment and does not reflect the effect of sales charges.
(b) Includes amounts paid through expense offset and brokerage service arrangements. (Note 2)
(c) Per share net investment income has been determined on the basis of the weighted average number of shares outstanding
during the period.
(d) 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
- ---------------------------------------------------------------------------------------------------------------------------------
Per-share
operating performance Year ended September 30
- ---------------------------------------------------------------------------------------------------------------------------------
1999 1998 1997 1996 1995
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net asset value,
beginning of period $10.61 $12.23 $10.67 $9.64 $8.31
- ---------------------------------------------------------------------------------------------------------------------------------
Investment operations
- ---------------------------------------------------------------------------------------------------------------------------------
Net investment income(c) .14 .17 .19 .21 .20(d)
- ---------------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investments 1.78 (.83) 2.13 1.32 1.26
- ---------------------------------------------------------------------------------------------------------------------------------
Total from
investment operations 1.92 (.66) 2.32 1.53 1.46
- ---------------------------------------------------------------------------------------------------------------------------------
Less distributions:
- ---------------------------------------------------------------------------------------------------------------------------------
From net
investment income (.13) (.10) (.23) (.21) (.13)
- ---------------------------------------------------------------------------------------------------------------------------------
From net realized gain
on investments (.18) (.86) (.53) (.29) --
- ---------------------------------------------------------------------------------------------------------------------------------
Total distributions (.31) (.96) (.76) (.50) (.13)
- ---------------------------------------------------------------------------------------------------------------------------------
Net asset value,
end of period $12.22 $10.61 $12.23 $10.67 $9.64
- ---------------------------------------------------------------------------------------------------------------------------------
Ratios and supplemental data
- ---------------------------------------------------------------------------------------------------------------------------------
Total return at
net asset value (%)(a) 18.22 (5.70) 22.95 16.54 17.83
- ---------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $553,738 $482,029 $442,463 $264,830 $159,230
- ---------------------------------------------------------------------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(b) 1.89 1.97 2.02 2.08 2.07(d)
- ---------------------------------------------------------------------------------------------------------------------------------
Ratio of
net investment income
to average net assets (%) 1.13 1.42 1.70 2.08 2.26(d)
- ---------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 119.70 158.14 136.75 122.12 106.03
- ---------------------------------------------------------------------------------------------------------------------------------
+ Commencement of operations.
* Not annualized.
(a) Total return assumes dividend reinvestment and does not reflect the effect of sales charges.
(b) Includes amounts paid through expense offset and brokerage service arrangements. (Note 2)
(c) Per share net investment income has been determined on the basis of the weighted average number of shares outstanding
during the period.
(d) 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
- ---------------------------------------------------------------------------------------------------------------------------------
Per-share
operating performance Year ended September 30
- ---------------------------------------------------------------------------------------------------------------------------------
1999 1998 1997 1996 1995
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net asset value,
beginning of period $10.56 $12.18 $10.64 $9.62 $8.31
- ---------------------------------------------------------------------------------------------------------------------------------
Investment operations
- ---------------------------------------------------------------------------------------------------------------------------------
Net investment income(c) .13 .16 .19 .22 .20(d)
- ---------------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investments 1.77 (.82) 2.11 1.30 1.27
- ---------------------------------------------------------------------------------------------------------------------------------
Total from
investment operations 1.90 (.66) 2.30 1.52 1.47
- ---------------------------------------------------------------------------------------------------------------------------------
Less distributions:
- ---------------------------------------------------------------------------------------------------------------------------------
From net
investment income (.13) (.10) (.23) (.21) (.16)
- ---------------------------------------------------------------------------------------------------------------------------------
From net realized gain
on investments (.18) (.86) (.53) (.29) --
- ---------------------------------------------------------------------------------------------------------------------------------
Total distributions (.31) (.96) (.76) (.50) (.16)
- ---------------------------------------------------------------------------------------------------------------------------------
Net asset value,
end of period $12.15 $10.56 $12.18 $10.64 $9.62
- ---------------------------------------------------------------------------------------------------------------------------------
Ratios and supplemental data
- ---------------------------------------------------------------------------------------------------------------------------------
Total return at
net asset value (%)(a) 18.14 (5.70) 22.86 16.47 17.89
- ---------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $120,660 $94,553 $70,847 $29,724 $11,921
- ---------------------------------------------------------------------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(b) 1.89 1.97 2.02 2.09 2.09(d)
- ---------------------------------------------------------------------------------------------------------------------------------
Ratio of
net investment income
to average net assets (%) 1.12 1.41 1.70 2.18 2.22(d)
- ---------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 119.70 158.14 136.75 122.12 106.03
- ---------------------------------------------------------------------------------------------------------------------------------
+ Commencement of operations.
* Not annualized.
(a) Total return assumes dividend reinvestment and does not reflect the effect of sales charges.
(b) Includes amounts paid through expense offset and brokerage service arrangements. (Note 2)
(c) Per share net investment income has been determined on the basis of the weighted average number of shares outstanding
during the period.
(d) 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
- ---------------------------------------------------------------------------------------------------------------------------------
For the period
Per-share Feb. 6, 1995+
operating performance Year ended September 30 to Sept. 30
- ---------------------------------------------------------------------------------------------------------------------------------
1999 1998 1997 1996 1995
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net asset value,
beginning of period $10.65 $12.27 $10.71 $9.66 $8.34
- ---------------------------------------------------------------------------------------------------------------------------------
Investment operations
- ---------------------------------------------------------------------------------------------------------------------------------
Net investment income(c) .17 .20 .22 .24 .14(d)
- ---------------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investments 1.78 (.83) 2.13 1.34 1.31
- ---------------------------------------------------------------------------------------------------------------------------------
Total from
investment operations 1.95 (.63) 2.35 1.58 1.45
- ---------------------------------------------------------------------------------------------------------------------------------
Less distributions:
- ---------------------------------------------------------------------------------------------------------------------------------
From net
investment income (.16) (.13) (.26) (.24) (.13)
- ---------------------------------------------------------------------------------------------------------------------------------
From net realized gain
on investments (.18) (.86) (.53) (.29) --
- ---------------------------------------------------------------------------------------------------------------------------------
Total distributions (.34) (.99) (.79) (.53) (.13)
- ---------------------------------------------------------------------------------------------------------------------------------
Net asset value,
end of period $12.26 $10.65 $12.27 $10.71 $9.66
- ---------------------------------------------------------------------------------------------------------------------------------
Ratios and supplemental data
- ---------------------------------------------------------------------------------------------------------------------------------
Total return at
net asset value (%)(a) 18.45 (5.46) 23.19 17.05 17.46*
- ---------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $66,854 $55,511 $44,121 $14,967 $3,509
- ---------------------------------------------------------------------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(b) 1.64 1.72 1.77 1.84 1.38(d)*
- ---------------------------------------------------------------------------------------------------------------------------------
Ratio of
net investment income
to average net assets (%) 1.38 1.67 1.93 2.42 1.56(d)*
- ---------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 119.70 158.14 136.75 122.12 106.03
- ---------------------------------------------------------------------------------------------------------------------------------
+ Commencement of operations.
* Not annualized.
(a) Total return assumes dividend reinvestment and does not reflect the effect of sales charges.
(b) Includes amounts paid through expense offset and brokerage service arrangements. (Note 2)
(c) Per share net investment income has been determined on the basis of the weighted average number of shares outstanding
during the period.
(d) 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
- ---------------------------------------------------------------------------------------------------------------------------------
Per-share
operating performance Year ended September 30
- ---------------------------------------------------------------------------------------------------------------------------------
1999 1998 1997 1996 1995
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net asset value,
beginning of period $10.67 $12.29 $10.71 $9.66 $8.33
- ---------------------------------------------------------------------------------------------------------------------------------
Investment operations
- ---------------------------------------------------------------------------------------------------------------------------------
Net investment income(c) .26 .29 .31 .31 .29(d)
- ---------------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investments 1.78 (.84) 2.14 1.34 1.26
- ---------------------------------------------------------------------------------------------------------------------------------
Total from
investment operations 2.04 (.55) 2.45 1.65 1.55
- ---------------------------------------------------------------------------------------------------------------------------------
Less distributions:
- ---------------------------------------------------------------------------------------------------------------------------------
From net
investment income (.24) (.21) (.34) (.31) (.22)
- ---------------------------------------------------------------------------------------------------------------------------------
From net realized gain
on investments (.18) (.86) (.53) (.29) --
- ---------------------------------------------------------------------------------------------------------------------------------
Total distributions (.42) (1.07) (.87) (.60) (.22)
- ---------------------------------------------------------------------------------------------------------------------------------
Net asset value,
end of period $12.29 $10.67 $12.29 $10.71 $9.66
- ---------------------------------------------------------------------------------------------------------------------------------
Ratios and supplemental data
- ---------------------------------------------------------------------------------------------------------------------------------
Total return at
net asset value (%)(a) 19.37 (4.74) 24.21 17.81 18.89
- ---------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $410,335 $216,100 $232,021 $126,482 $71,661
- ---------------------------------------------------------------------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(b) .89 .97 1.02 1.08 1.07(d)
- ---------------------------------------------------------------------------------------------------------------------------------
Ratio of
net investment income
to average net assets (%) 2.10 2.43 2.70 3.03 3.35(d)
- ---------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 119.70 158.14 136.75 122.12 106.03
- ---------------------------------------------------------------------------------------------------------------------------------
+ Commencement of operations.
* Not annualized.
(a) Total return assumes dividend reinvestment and does not reflect the effect of sales charges.
(b) Includes amounts paid through expense offset and brokerage service arrangements. (Note 2)
(c) Per share net investment income has been determined on the basis of the weighted average number of shares outstanding
during the period.
(d) 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
September 30, 1999
Putnam Asset Allocation: Conservative Portfolio
<S> <C>
Assets
- -----------------------------------------------------------------------------------------------
Investments in securities, at value
(identified cost $704,990,860) (Note 1) $728,977,687
- -----------------------------------------------------------------------------------------------
Repurchase agreement
(identified cost $37,145,000) (Note 1) 37,145,000
- -----------------------------------------------------------------------------------------------
Foreign currency 5,940,070
- -----------------------------------------------------------------------------------------------
Dividends, interest and other receivables 6,436,679
- -----------------------------------------------------------------------------------------------
Receivable for shares of the fund sold 2,267,928
- -----------------------------------------------------------------------------------------------
Receivable for securities sold 12,863,258
- -----------------------------------------------------------------------------------------------
Receivable for open forward currency contracts 804,310
- -----------------------------------------------------------------------------------------------
Receivable for closed forward currency contracts 549,879
- -----------------------------------------------------------------------------------------------
Receivable for variation margin 99,891
- -----------------------------------------------------------------------------------------------
Total assets 795,084,702
Liabilities
- -----------------------------------------------------------------------------------------------
Payable to subcustiodian (Note 2) 141,538
- -----------------------------------------------------------------------------------------------
Payable for securities purchased 20,588,214
- -----------------------------------------------------------------------------------------------
Payable for shares of the fund repurchased 1,880,136
- -----------------------------------------------------------------------------------------------
Payable for compensation of Manager (Note 2) 1,282,436
- -----------------------------------------------------------------------------------------------
Payable for investor servicing and custodian fees (Note 2) 237,266
- -----------------------------------------------------------------------------------------------
Payable for compensation of Trustees (Note 2) 15,771
- -----------------------------------------------------------------------------------------------
Payable for administrative services (Note 2) 2,538
- -----------------------------------------------------------------------------------------------
Payable for distribution fees (Note 2) 507,927
- -----------------------------------------------------------------------------------------------
Payable for open forward currency contracts 3,155,984
- -----------------------------------------------------------------------------------------------
Payable for closed forward currency contracts 141,500
- -----------------------------------------------------------------------------------------------
TBA sales commitments, at value (proceeds receivable $7,587,182) 7,582,284
- -----------------------------------------------------------------------------------------------
Other accrued expenses 88,111
- -----------------------------------------------------------------------------------------------
Total liabilities 35,623,705
- -----------------------------------------------------------------------------------------------
Net assets $759,460,997
Represented by
- -----------------------------------------------------------------------------------------------
Paid-in capital (Notes 1 and 4) $702,308,325
- -----------------------------------------------------------------------------------------------
Undistributed net investment income (Note 1) 9,085,866
- -----------------------------------------------------------------------------------------------
Accumulated net realized gain on investments and
foreign currency transactions (Note 1) 23,868,837
- -----------------------------------------------------------------------------------------------
Net unrealized appreciation of investments and
assets and liabilities in foreign currencies 24,197,969
- -----------------------------------------------------------------------------------------------
Total -- Representing net assets applicable to
capital shares outstanding $759,460,997
Computation of net asset value and offering price
- -----------------------------------------------------------------------------------------------
Net asset value and redemption price per class A share
($373,313,258 divided by 35,891,780 shares) $10.40
- -----------------------------------------------------------------------------------------------
Offering price per class A share (100/94.25 of $10.40)* $11.03
- -----------------------------------------------------------------------------------------------
Net asset value and offering price per class B share
($187,112,406 divided by 18,048,442 shares)** $10.37
- -----------------------------------------------------------------------------------------------
Net asset value and offering price per class C share
($58,831,073 divided by 5,688,691 shares)** $10.34
- -----------------------------------------------------------------------------------------------
Net asset value and redemption price per class M share
($29,373,042 divided by 2,833,694 shares) $10.37
- -----------------------------------------------------------------------------------------------
Offering price per class M share (100/96.50 of $10.37)* $10.75
- -----------------------------------------------------------------------------------------------
Net asset value, offering price and redemption price per class Y share
($110,831,218 divided by 10,640,587 shares) $10.42
- -----------------------------------------------------------------------------------------------
* 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
Year ended September 30, 1999
Putnam Asset Allocation: Conservative Portfolio
<S> <C>
Investment income:
- -----------------------------------------------------------------------------------------------
Interest (net of foreign tax of $106,556) $29,627,413
- -----------------------------------------------------------------------------------------------
Dividends (net of foreign tax of $117,367) 3,363,216
- -----------------------------------------------------------------------------------------------
Total investment income 32,990,629
Expenses:
- -----------------------------------------------------------------------------------------------
Compensation of Manager (Note 2) 4,864,689
- -----------------------------------------------------------------------------------------------
Investor servicing and custodian fees (Note 2) 2,481,755
- -----------------------------------------------------------------------------------------------
Compensation of Trustees (Note 2) 17,738
- -----------------------------------------------------------------------------------------------
Administrative services (Note 2) 10,103
- -----------------------------------------------------------------------------------------------
Distribution fees -- Class A (Note 2) 1,014,619
- -----------------------------------------------------------------------------------------------
Distribution fees -- Class B (Note 2) 1,817,752
- -----------------------------------------------------------------------------------------------
Distribution fees -- Class C (Note 2) 558,282
- -----------------------------------------------------------------------------------------------
Distribution fees -- Class M (Note 2) 177,406
- -----------------------------------------------------------------------------------------------
Reports to shareholders 24,415
- -----------------------------------------------------------------------------------------------
Registration fees 66,087
- -----------------------------------------------------------------------------------------------
Auditing 73,238
- -----------------------------------------------------------------------------------------------
Legal 7,287
- -----------------------------------------------------------------------------------------------
Postage 97,185
- -----------------------------------------------------------------------------------------------
Other 40,776
- -----------------------------------------------------------------------------------------------
Total expenses 11,251,332
- -----------------------------------------------------------------------------------------------
Expense reduction (Note 2) (162,453)
- -----------------------------------------------------------------------------------------------
Net expenses 11,088,879
- -----------------------------------------------------------------------------------------------
Net investment income 21,901,750
- -----------------------------------------------------------------------------------------------
Net realized gain on investments (Notes 1 and 3) 22,524,970
- -----------------------------------------------------------------------------------------------
Net realized gain on futures contracts (Note 1) 1,388,321
- -----------------------------------------------------------------------------------------------
Net realized gain on foreign currency transactions (Note 1) 12,693,365
- -----------------------------------------------------------------------------------------------
Net unrealized depreciation of assets and liabilities in
foreign currencies during the year (3,191,821)
- -----------------------------------------------------------------------------------------------
Net unrealized appreciation of investments, futures contracts
and TBA sale commitments during the year 14,408,573
- -----------------------------------------------------------------------------------------------
Net gain on investments 47,823,408
- -----------------------------------------------------------------------------------------------
Net increase in net assets resulting from operations $69,725,158
- -----------------------------------------------------------------------------------------------
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
Year ended September 30
-------------------------------
1999 1998
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Increase in net assets
- ---------------------------------------------------------------------------------------------------------------
Operations:
- ---------------------------------------------------------------------------------------------------------------
Net investment income $ 21,901,750 $ 20,081,572
- ---------------------------------------------------------------------------------------------------------------
Net realized gain on investments and
foreign currency transactions 36,606,656 6,161,967
- ---------------------------------------------------------------------------------------------------------------
Net unrealized appreciation (depreciation) of investments
and assets and liabilities in foreign currencies 11,216,752 (33,757,909)
- ---------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets resulting
from operations 69,725,158 (7,514,370)
- ---------------------------------------------------------------------------------------------------------------
Distributions to shareholders:
- ---------------------------------------------------------------------------------------------------------------
From net investment income
Class A (13,105,936) (6,966,826)
- ---------------------------------------------------------------------------------------------------------------
Class B (4,776,576) (1,866,547)
- ---------------------------------------------------------------------------------------------------------------
Class C (1,480,210) (456,355)
- ---------------------------------------------------------------------------------------------------------------
Class M (677,682) (252,645)
- ---------------------------------------------------------------------------------------------------------------
Class Y (1,861,346) (533,235)
- ---------------------------------------------------------------------------------------------------------------
In excess of net investment income
Class A (2,288,170) --
- ---------------------------------------------------------------------------------------------------------------
Class B (833,945) --
- ---------------------------------------------------------------------------------------------------------------
Class C (258,431) --
- ---------------------------------------------------------------------------------------------------------------
Class M (118,317) --
- ---------------------------------------------------------------------------------------------------------------
Class Y (324,973) --
- ---------------------------------------------------------------------------------------------------------------
From net realized gain on investments
Class A (3,163,448) (12,929,412)
- ---------------------------------------------------------------------------------------------------------------
Class B (1,383,942) (5,974,120)
- ---------------------------------------------------------------------------------------------------------------
Class C (418,800) (1,238,650)
- ---------------------------------------------------------------------------------------------------------------
Class M (175,747) (541,685)
- ---------------------------------------------------------------------------------------------------------------
Class Y (228,480) (823,320)
- ---------------------------------------------------------------------------------------------------------------
In excess of net realized gain on investments
Class A -- (3,009,400)
- ---------------------------------------------------------------------------------------------------------------
Class B -- (1,390,513)
- ---------------------------------------------------------------------------------------------------------------
Class C -- (288,303)
- ---------------------------------------------------------------------------------------------------------------
Class M -- (126,081)
- ---------------------------------------------------------------------------------------------------------------
Class Y -- (191,633)
- ---------------------------------------------------------------------------------------------------------------
Increase from capital share transactions (Note 4) 99,357,554 171,400,189
- ---------------------------------------------------------------------------------------------------------------
Total increase in net assets 137,986,709 127,297,094
Net assets
- ---------------------------------------------------------------------------------------------------------------
Beginning of year 621,474,288 494,177,194
- ---------------------------------------------------------------------------------------------------------------
End of year (including undistributed net investment
income of $9,085,866 and $358,007, respectively) $759,460,997 $621,474,288
- ---------------------------------------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
</TABLE>
<TABLE>
<CAPTION>
Financial highlights
(For a share outstanding throughout the period)
Putnam Asset Allocation: Conservative Portfolio
CLASS A
- ---------------------------------------------------------------------------------------------------------------------------------
Per-share
operating performance Year ended September 30
- ---------------------------------------------------------------------------------------------------------------------------------
1999 1998 1997 1996 1995
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net asset value,
beginning of period $9.81 $10.61 $9.69 $9.19 $8.23
- ---------------------------------------------------------------------------------------------------------------------------------
Investment operations
- ---------------------------------------------------------------------------------------------------------------------------------
Net investment income .34(c) .38(c) .38(c) .36 .33(d)
- ---------------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investments .73 (.45) 1.22 .68 .90
- ---------------------------------------------------------------------------------------------------------------------------------
Total from
investment operations 1.07 (.07) 1.60 1.04 1.23
- ---------------------------------------------------------------------------------------------------------------------------------
Less distributions:
- ---------------------------------------------------------------------------------------------------------------------------------
From net
investment income (.34) (.20) (.35) (.36) (.27)
- ---------------------------------------------------------------------------------------------------------------------------------
In excess of net investment income (.06) -- -- -- --
- ---------------------------------------------------------------------------------------------------------------------------------
From net realized gain
on investments (.08) (.43) (.33) (.18) --
- ---------------------------------------------------------------------------------------------------------------------------------
In excess of net realized
gain on investments -- (.10) -- -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Total distributions (.48) (.73) (.68) (.54) (.27)
- ---------------------------------------------------------------------------------------------------------------------------------
Net asset value,
end of period $10.40 $9.81 $10.61 $9.69 $9.19
- ---------------------------------------------------------------------------------------------------------------------------------
Ratios and supplemental data
- ---------------------------------------------------------------------------------------------------------------------------------
Total return at
net asset value (%)(a) 11.05 (.69) 17.26 11.73 15.27
- ---------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $373,313 $367,806 $295,239 $106,933 $57,341
- ---------------------------------------------------------------------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(b) 1.31 1.39 1.38 1.47 1.22(d)
- ---------------------------------------------------------------------------------------------------------------------------------
Ratio of
net investment income
to average net assets (%) 3.25 3.67 3.74 4.08 4.48(d)
- ---------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 165.48 203.19 219.44 183.67 159.80
- ---------------------------------------------------------------------------------------------------------------------------------
+ Commencement of operations.
* Not annualized.
(a) Total return assumes dividend reinvestment and does not reflect the effect of sales charges.
(b) Includes amounts paid through expense offset and brokerage service arrangements (Note 2).
(c) Per share net investment income has been determined on the basis of the weighted average number of shares outstanding
during the period.
(d) 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
- ---------------------------------------------------------------------------------------------------------------------------------
Per-share
operating performance Year ended September 30
- ---------------------------------------------------------------------------------------------------------------------------------
1999 1998 1997 1996 1995
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net asset value,
beginning of period $9.78 $10.57 $9.66 $9.16 $8.22
- ---------------------------------------------------------------------------------------------------------------------------------
Investment operations
- ---------------------------------------------------------------------------------------------------------------------------------
Net investment income .26(c) .30(c) .30(c) .29 .30(d)
- ---------------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investments .73 (.43) 1.22 .68 .85
- ---------------------------------------------------------------------------------------------------------------------------------
Total from
investment operations .99 (.13) 1.52 .97 1.15
- ---------------------------------------------------------------------------------------------------------------------------------
Less distributions:
- ---------------------------------------------------------------------------------------------------------------------------------
From net
investment income (.26) (.13) (.28) (.29) (.21)
- ---------------------------------------------------------------------------------------------------------------------------------
In excess of net investment income (.06) -- -- -- --
- ---------------------------------------------------------------------------------------------------------------------------------
From net realized gain
on investments (.08) (.43) (.33) (.18) --
- ---------------------------------------------------------------------------------------------------------------------------------
In excess of net realized
gain on investments -- (.10) -- -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Total distributions (.40) (.66) (.61) (.47) (.21)
- ---------------------------------------------------------------------------------------------------------------------------------
Net asset value,
end of period $10.37 $9.78 $10.57 $9.66 $9.16
- ---------------------------------------------------------------------------------------------------------------------------------
Ratios and supplemental data
- ---------------------------------------------------------------------------------------------------------------------------------
Total return at
net asset value (%)(a) 10.29 (1.32) 16.36 10.96 14.22
- ---------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $187,112 $162,807 $138,457 $94,954 $65,783
- ---------------------------------------------------------------------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(b) 2.06 2.14 2.13 2.22 1.98(d)
- ---------------------------------------------------------------------------------------------------------------------------------
Ratio of
net investment income
to average net assets (%) 2.50 2.92 2.97 3.33 3.81(d)
- ---------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 165.48 203.19 219.44 183.67 159.80
- ---------------------------------------------------------------------------------------------------------------------------------
+ Commencement of operations.
* Not annualized.
(a) Total return assumes dividend reinvestment and does not reflect the effect of sales charges.
(b) Includes amounts paid through expense offset and brokerage service arrangements (Note 2).
(c) Per share net investment income has been determined on the basis of the weighted average number of shares outstanding
during the period.
(d) 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
- ---------------------------------------------------------------------------------------------------------------------------------
Per-share
operating performance Year ended September 30
- ---------------------------------------------------------------------------------------------------------------------------------
1999 1998 1997 1996 1995
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net asset value,
beginning of period $9.75 $10.56 $9.64 $9.15 $8.22
- ---------------------------------------------------------------------------------------------------------------------------------
Investment operations
- ---------------------------------------------------------------------------------------------------------------------------------
Net investment income .26(c) .30(c) .29(c) .30 .29(d)
- ---------------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investments .74 (.45) 1.24 .66 .87
- ---------------------------------------------------------------------------------------------------------------------------------
Total from
investment operations 1.00 (.15) 1.53 .96 1.16
- ---------------------------------------------------------------------------------------------------------------------------------
Less distributions:
- ---------------------------------------------------------------------------------------------------------------------------------
From net
investment income (.26) (.13) (.28) (.29) (.23)
- ---------------------------------------------------------------------------------------------------------------------------------
In excess of net investment income (.07) -- -- -- --
- ---------------------------------------------------------------------------------------------------------------------------------
From net realized gain
on investments (.08) (.43) (.33) (.18) --
- ---------------------------------------------------------------------------------------------------------------------------------
In excess of net realized
gain on investments -- (.10) -- -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Total distributions (.41) (.66) (.61) (.47) (.23)
- ---------------------------------------------------------------------------------------------------------------------------------
Net asset value,
end of period $10.34 $9.75 $10.56 $9.64 $9.15
- ---------------------------------------------------------------------------------------------------------------------------------
Ratios and supplemental data
- ---------------------------------------------------------------------------------------------------------------------------------
Total return at
net asset value (%)(a) 10.34 (1.51) 16.52 10.86 14.41
- ---------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $58,831 $45,740 $29,032 $16,326 $7,198
- ---------------------------------------------------------------------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(b) 2.06 2.14 2.13 2.22 1.89(d)
- ---------------------------------------------------------------------------------------------------------------------------------
Ratio of net investment income
to average net assets (%) 2.50 2.93 2.96 3.30 3.92(d)
- ---------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 165.48 203.19 219.44 183.67 159.80
- ---------------------------------------------------------------------------------------------------------------------------------
+ Commencement of operations.
* Not annualized.
(a) Total return assumes dividend reinvestment and does not reflect the effect of sales charges.
(b) Includes amounts paid through expense offset and brokerage service arrangements (Note 2).
(c) Per share net investment income has been determined on the basis of the weighted average number of shares outstanding
during the period.
(d) 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
- ---------------------------------------------------------------------------------------------------------------------------------
For the period
Per-share Feb. 7, 1995+
operating performance Year ended September 30 to Sept. 30
- ---------------------------------------------------------------------------------------------------------------------------------
1999 1998 1997 1996 1995
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net asset value,
beginning of period $9.78 $10.59 $9.67 $9.18 $8.21
- ---------------------------------------------------------------------------------------------------------------------------------
Investment operations
- ---------------------------------------------------------------------------------------------------------------------------------
Net investment income .29(c) .33(c) .32(c) .33 .21(d)
- ---------------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investments .73 (.46) 1.24 .66 .92
- ---------------------------------------------------------------------------------------------------------------------------------
Total from
investment operations 1.02 (.13) 1.56 .99 1.13
- ---------------------------------------------------------------------------------------------------------------------------------
Less distributions:
- ---------------------------------------------------------------------------------------------------------------------------------
From net
investment income (.29) (.15) (.31) (.32) (.16)
- ---------------------------------------------------------------------------------------------------------------------------------
In excess of net investment income (.06) -- -- -- --
- ---------------------------------------------------------------------------------------------------------------------------------
From net realized gain
on investments (.08) (.43) (.33) (.18) --
- ---------------------------------------------------------------------------------------------------------------------------------
In excess of net realized
gain on investments -- (.10) -- -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Total distributions (.43) (.68) (.64) (.50) (.16)
- ---------------------------------------------------------------------------------------------------------------------------------
Net asset value,
end of period $10.37 $9.78 $10.59 $9.67 $9.18
- ---------------------------------------------------------------------------------------------------------------------------------
Ratios and supplemental data
- ---------------------------------------------------------------------------------------------------------------------------------
Total return at
net asset value (%)(a) 10.56 (1.27) 16.80 11.17 13.92*
- ---------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $29,373 $18,868 $12,689 $4,622 $1,366
- ---------------------------------------------------------------------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(b) 1.81 1.89 1.88 1.96 1.10(d)*
- ---------------------------------------------------------------------------------------------------------------------------------
Ratio of
net investment income
to average net assets (%) 2.77 3.17 3.19 3.60 2.73(d)*
- ---------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 165.48 203.19 219.44 183.67 159.80
- ---------------------------------------------------------------------------------------------------------------------------------
+ Commencement of operations.
* Not annualized.
(a) Total return assumes dividend reinvestment and does not reflect the effect of sales charges.
(b) Includes amounts paid through expense offset and brokerage service arrangements (Note 2).
(c) Per share net investment income has been determined on the basis of the weighted average number of shares outstanding
during the period.
(d) 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
- ---------------------------------------------------------------------------------------------------------------------------------
Per-share
operating performance Year ended September 30
- ---------------------------------------------------------------------------------------------------------------------------------
1999 1998 1997 1996 1995
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net asset value,
beginning of period $9.82 $10.62 $9.69 $9.19 $8.23
- ---------------------------------------------------------------------------------------------------------------------------------
Investment operations
- ---------------------------------------------------------------------------------------------------------------------------------
Net investment income .36(c) .41(c) .40(c) .38 .36(d)
- ---------------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investments .75 (.45) 1.23 .68 .89
- ---------------------------------------------------------------------------------------------------------------------------------
Total from
investment operations 1.11 (.04) 1.63 1.06 1.25
- ---------------------------------------------------------------------------------------------------------------------------------
Less distributions:
- ---------------------------------------------------------------------------------------------------------------------------------
From net
investment income (.36) (.23) (.37) (.38) (.29)
- ---------------------------------------------------------------------------------------------------------------------------------
In excess of net investment income (.07) -- -- -- --
- ---------------------------------------------------------------------------------------------------------------------------------
From net realized gain
on investments (.08) (.43) (.33) (.18) --
- ---------------------------------------------------------------------------------------------------------------------------------
In excess of net realized
gain on investments -- (.10) -- -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Total distributions (.51) (.76) (.70) (.56) (.29)
- ---------------------------------------------------------------------------------------------------------------------------------
Net asset value,
end of period $10.42 $9.82 $10.62 $9.69 $9.19
- ---------------------------------------------------------------------------------------------------------------------------------
Ratios and supplemental data
- ---------------------------------------------------------------------------------------------------------------------------------
Total return at
net asset value (%)(a) 11.42 (.44) 17.62 11.99 15.54
- ---------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $110,831 $26,253 $18,760 $6,025 $1,818
- ---------------------------------------------------------------------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(b) 1.06 1.14 1.13 1.22 .92(d)
- ---------------------------------------------------------------------------------------------------------------------------------
Ratio of
net investment income
to average net assets (%) 3.50 3.93 3.96 4.45 4.93(d)
- ---------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 165.48 203.19 219.44 183.67 159.80
- ---------------------------------------------------------------------------------------------------------------------------------
+ Commencement of operations.
* Not annualized.
(a) Total return assumes dividend reinvestment and does not reflect the effect of sales charges.
(b) Includes amounts paid through expense offset and brokerage service arrangements (Note 2).
(c) Per share net investment income has been determined on the basis of the weighted average number of shares outstanding
during the period.
(d) 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
September 30, 1999
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 and class C shares. Class Y shares, which are sold at
net asset value, are generally subject to the same expenses as class A,
class B, class C and class M shares, but do not bear a distribution fee.
Class Y shares are sold to defined contribution plans that invest at least
$150 million in a combination of Putnam Funds and other accounts managed
by affiliates of Putnam Investment Management, Inc. ("Putnam Management"),
the fund's 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 fund, if that fund were liquidated. In addition, the
Trustees declare separate dividends on each class of shares.
The following is a summary of significant accounting policies consistently
followed by the funds in the preparation of their 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
at the date of the financial statements and the reported amounts of
increases and decreases in net assets from operations during the reporting
period. 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. Collateral
for certain tri-party repurchase agreements is held at the counterparty's
custodian in a segregated account for the benefit of the fund and the
counterparty. 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). Gains or losses on securities sold are determined on
the identified cost basis. Interest income is recorded on the accrual
basis. Dividend income is recorded on the ex-dividend date except that
certain dividends from foreign securities are recorded as soon as the fund
is informed of the ex-dividend date. Discounts on zero coupon bonds,
original issue 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.
E) Foreign currency translation The accounting records of the funds are
maintained in U.S. dollars. The market value of foreign securities,
currency holdings, and other assets and liabilities are recorded in the
books and records of the fund after translation to U.S. dollars based on
the exchange rates on that day. The cost of each security is determined
using historical exchange rates. Income and withholding taxes are
translated at prevailing exchange rates when accrued or incurred. The fund
does not isolate that portion of realized or unrealized gains or losses
resulting from changes in the foreign exchange rate on investments from
fluctuations arising from changes in the market prices of the securities.
Such 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 realized exchange gains or losses on
closed forward currency contracts, disposition of foreign currencies and
the difference between the amount of investment income and foreign
withholding taxes recorded on the fund's books and the U.S. dollar
equivalent amounts actually received or paid. Net unrealized appreciation
and depreciation of assets and liabilities in foreign currencies arise
from changes in the value of open forward currency contracts and assets
and liabilities other than investments at the period end, resulting from
changes in the exchange rate.
Investments in foreign securities involve certain risks, including those
related to economic instability, unfavorable political developments, and
currency fluctuations, not present with domestic investments.
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 fund records a realized gain or loss equal to the
difference between the value of the contract at the time it was opened and
the value at the time it was closed. The 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
fund is unable to enter into a closing position.
G) Futures and options contracts The funds may use futures and options
contracts to hedge against changes in the values of securities the funds
own or expect to purchase. The funds may also write options on securities
they own or in which they may invest to increase their 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 hold, and maintain until settlement
date, cash or high-grade debt obligations in an amount sufficient to meet
the purchase price, or the funds may enter into offsetting contracts for
the forward sale of other securities they own. 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
each fund's other assets. Unsettled TBA purchase commitments are valued at
the current market value of the underlying securities, according to the
procedures described under "Security valuation" above.
Although the funds will generally enter into TBA purchase commitments with
the intention of acquiring securities for their portfolio or for delivery
pursuant to options contracts it has entered into, the 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 their portfolio positions or to sell mortgage-backed securities they
own 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 fund as an unrealized
gain or loss. If the TBA sale commitment is closed through the acquisition
of an offsetting purchase commitment, the fund realizes a gain or loss. If
the fund delivers securities under the commitment, the fund realizes a
gain or a loss from the sale of the securities based upon the unit price
established at the date the commitment was entered into.
J) 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 fund maintain an asset coverage ratio of at least 300% and
borrowings must not exceed prospectus limitations. For the year ended
September 30, 1999, the funds had no borrowings against the line of
credit.
K) Federal taxes It is the policy of each fund to distribute all of their
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 fund 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. These
differences include temporary and permanent differences of losses on wash
sale transactions, foreign currency gains and losses, nontaxable
dividends, defaulted bond interest, unrealized gains and losses on certain
futures contracts, paydown gains and losses on mortgage-backed securities,
market discount, interest on payment-in-kind securities, realized gains
and losses on passive foreign investment companies, unrealized gains and
losses on passive foreign investment companies, foreign market discount,
accretion of market discount reversed for tax, and amortization of premium
reversed for tax. 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.
Reclassifications for the year ended September 30, 1999 were as follows:
Undistributed Net Investment Income
- -----------------------------------------------------------
Growth Portfolio (4,667,287)
Balanced Portfolio (2,019,937)
Conservative Portfolio 12,551,695
- -----------------------------------------------------------
Accumulated Net Realized Gain
- -----------------------------------------------------------
Growth Portfolio 5,159,132
Balanced Portfolio 5,125,564
Conservative Portfolio (11,498,518)
- -----------------------------------------------------------
Additional Paid-in Capital
- -----------------------------------------------------------
Growth Portfolio (491,845)
Balanced Portfolio (3,105,627)
Conservative Portfolio (1,053,177)
- -----------------------------------------------------------
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.
Note 2
Management fee, administrative
services, and other transactions
Compensation of Putnam Management, for management and investment advisory
services is paid quarterly based on the average net assets of the fund.
Such fee is based on the following annual rates: 0.700% of the first $500
million of average net assets of 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 reimburses 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 each 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 year ended September 30, 1999, fund expenses were reduced by
$318,634, $390,119, and $162,453 (for Growth Portfolio, Balanced
Portfolio, and Conservative Portfolio, respectively) under expense offset
arrangements with PFTC and brokerage service arrangements. Investor
servicing and custodian fees reported in the Statement of operations
exclude these credits. The fund could have invested a portion of the
assets utilized in connection with the expense offset arrangements in an
income producing asset if it had not entered into such arrangements.
Each Trustee of the fund receives an annual Trustee fee, of which $1,699,
$1,738, and $938 (for Growth Portfolio, Balanced Portfolio, and
Conservative Portfolio, respectively) has been allocated to the funds, and
an additional fee for each Trustee's meeting attended. Trustees who are
not interested persons of Putnam Management and who serve on committees of
the Trustees receive additional fees for attendance at certain committee
meetings.
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
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 fund is
included in Compensation of Trustees in the Statement of operations.
Accrued pension liability is included in Payable for compensation of
Trustees in the Statement of assets and liabilities.
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 fund. The Plans provide for payments by the
funds to Putnam Mutual Funds Corp. at an annual rate up to 0.35%, 1.00%,
1.00% and 1.00% of the average net assets attributable to class A, class
B, class C and class M shares, respectively. The Trustees have approved
payment by the fund at an annual rate of 0.25%, 1.00%, 1.00% and 0.75% of
the average net assets attributable to class A, class B, class C and class
M shares, respectively.
For the year ended September 30, 1999, Putnam Mutual Funds Corp., acting
as underwriter received net commissions of $522,938 and $45,580 from the
sale of class A and class M shares, respectively, and received $2,029,132
and $60,570 in contingent deferred sales charges from redemptions of class
B and C shares, respectively. A deferred sales charge of up to 1% is
assessed on certain redemptions of class A shares. For the year ended
September 30, 1999, Putnam Mutual Funds Corp., acting as underwriter
received $54,452 on class A redemptions.
Note 3
Purchases and sales of securities
During the year ended September 30, 1999, cost of purchases and proceeds
from sales of investment securities other than short-term investments were
as follows:
U.S. Government Obligations
- -----------------------------------------------------------------------------
Purchases Sales
- -----------------------------------------------------------------------------
Growth
Portfolio $234,138,027 $228,612,041
- -----------------------------------------------------------------------------
Balanced
Portfolio 259,311,263 206,192,524
- -----------------------------------------------------------------------------
Conservative
Portfolio 381,215,671 352,411,725
- -----------------------------------------------------------------------------
Other Securities
- -----------------------------------------------------------------------------
Purchases Sales
- -----------------------------------------------------------------------------
Growth
Portfolio $1,401,323,657 $1,345,024,578
- -----------------------------------------------------------------------------
Balanced
Portfolio 2,024,998,007 1,970,366,887
- -----------------------------------------------------------------------------
Conservative
Portfolio 786,049,081 686,353,696
- -----------------------------------------------------------------------------
Note 4
Capital shares
At September 30, 1999, there was an unlimited number of shares of
beneficial interest authorized. Transactions in capital shares were as
follows:
Year ended September 30
- -----------------------------------------------------------------------------
Class A 1999
- -----------------------------------------------------------------------------
Growth Portfolio Shares Amount
- -----------------------------------------------------------------------------
Shares sold 18,752,326 $258,495,329
- -----------------------------------------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 1,462,109 18,875,831
- -----------------------------------------------------------------------------
Shares
repurchased (25,108,226) (349,190,266)
- -----------------------------------------------------------------------------
Net decrease (4,893,791) $(71,819,106)
- -----------------------------------------------------------------------------
Year ended September 30
- -----------------------------------------------------------------------------
Class A 1998
- -----------------------------------------------------------------------------
Growth Portfolio Shares Amount
- -----------------------------------------------------------------------------
Shares sold 24,621,616 $324,604,400
- -----------------------------------------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 3,138,681 38,573,774
- -----------------------------------------------------------------------------
Shares
repurchased (12,185,516) (159,028,024)
- -----------------------------------------------------------------------------
Net increase 15,574,781 $204,150,150
- -----------------------------------------------------------------------------
Year ended September 30
- -----------------------------------------------------------------------------
Class B 1999
- -----------------------------------------------------------------------------
Growth Portfolio Shares Amount
- -----------------------------------------------------------------------------
Shares sold 6,079,466 $81,965,810
- -----------------------------------------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 703,237 8,980,332
- -----------------------------------------------------------------------------
Shares
repurchased (6,754,966) (91,948,806)
- -----------------------------------------------------------------------------
Net increase
(decrease) 27,737 $(1,002,664)
- -----------------------------------------------------------------------------
Year ended September 30
- -----------------------------------------------------------------------------
Class B 1998
- -----------------------------------------------------------------------------
Growth Portfolio Shares Amount
- -----------------------------------------------------------------------------
Shares sold 9,551,527 $123,782,632
- -----------------------------------------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 1,908,500 23,246,065
- -----------------------------------------------------------------------------
Shares
repurchased (4,740,088) (61,044,722)
- -----------------------------------------------------------------------------
Net increase 6,719,939 $ 85,983,975
- -----------------------------------------------------------------------------
Year ended September 30
- -----------------------------------------------------------------------------
Class C 1999
- -----------------------------------------------------------------------------
Growth Portfolio Shares Amount
- -----------------------------------------------------------------------------
Shares sold 1,904,307 $25,665,203
- -----------------------------------------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 155,976 1,979,527
- -----------------------------------------------------------------------------
Shares
repurchased (2,349,688) (31,738,963)
- -----------------------------------------------------------------------------
Net decrease (289,405) $(4,094,233)
- -----------------------------------------------------------------------------
Year ended September 30
- -----------------------------------------------------------------------------
Class C 1998
- -----------------------------------------------------------------------------
Growth Portfolio Shares Amount
- -----------------------------------------------------------------------------
Shares sold 3,243,937 $41,705,965
- -----------------------------------------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 372,280 4,500,861
- -----------------------------------------------------------------------------
Shares
repurchased (1,096,464) (13,897,436)
- -----------------------------------------------------------------------------
Net increase 2,519,753 $32,309,390
- -----------------------------------------------------------------------------
Year ended September 30
- -----------------------------------------------------------------------------
Class M 1999
- -----------------------------------------------------------------------------
Growth Portfolio Shares Amount
- -----------------------------------------------------------------------------
Shares sold 1,465,010 $19,502,042
- -----------------------------------------------------------------------------
Shares issued in
connections with
reinvestment of
distributions 110,711 1,414,889
- -----------------------------------------------------------------------------
Shares
repurchased (1,647,545) (22,770,812)
- -----------------------------------------------------------------------------
Net decrease (71,824) $(1,853,881)
- -----------------------------------------------------------------------------
Year ended September 30
- -----------------------------------------------------------------------------
Class M 1998
- -----------------------------------------------------------------------------
Growth Portfolio Shares Amount
- -----------------------------------------------------------------------------
Shares sold 2,169,821 $27,889,545
- -----------------------------------------------------------------------------
Shares issued in
connections with
reinvestment of
distributions 209,497 2,551,663
- -----------------------------------------------------------------------------
Shares
repurchased (644,734) (8,293,971)
- -----------------------------------------------------------------------------
Net increase 1,734,584 $22,147,237
- -----------------------------------------------------------------------------
Year ended September 30
- -----------------------------------------------------------------------------
Class Y 1999
- -----------------------------------------------------------------------------
Growth Portfolio Shares Amount
- -----------------------------------------------------------------------------
Shares sold 15,271,247 $214,959,955
- -----------------------------------------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 530,451 6,879,074
- -----------------------------------------------------------------------------
Shares
repurchased (6,244,410) (87,204,382)
- -----------------------------------------------------------------------------
Net increase 9,557,288 $134,634,647
- -----------------------------------------------------------------------------
Year ended September 30
- -----------------------------------------------------------------------------
Class Y 1998
- -----------------------------------------------------------------------------
Growth Portfolio Shares Amount
- -----------------------------------------------------------------------------
Shares sold 3,578,714 $ 47,181,760
- -----------------------------------------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 1,344,667 16,606,566
- -----------------------------------------------------------------------------
Shares
repurchased (4,736,367) (62,245,654)
- -----------------------------------------------------------------------------
Net increase 187,014 $ 1,542,672
- -----------------------------------------------------------------------------
Year ended September 30
- -----------------------------------------------------------------------------
Class A 1999
- -----------------------------------------------------------------------------
Balanced Portfolio Shares Amount
- -----------------------------------------------------------------------------
Shares sold 26,789,898 $ 319,446,022
- -----------------------------------------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 2,657,991 31,312,005
- -----------------------------------------------------------------------------
Shares
repurchased (37,757,615) (455,952,183)
- -----------------------------------------------------------------------------
Net decrease (8,309,726) $(105,194,156)
- -----------------------------------------------------------------------------
Year ended September 30
- -----------------------------------------------------------------------------
Class A 1998
- -----------------------------------------------------------------------------
Balanced Portfolio Shares Amount
- -----------------------------------------------------------------------------
Shares sold 38,114,271 $ 445,949,649
- -----------------------------------------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 5,783,912 64,542,247
- -----------------------------------------------------------------------------
Shares
repurchased (19,920,933) (233,259,051)
- -----------------------------------------------------------------------------
Net increase 23,977,250 $ 277,232,845
- -----------------------------------------------------------------------------
Year ended September 30
- -----------------------------------------------------------------------------
Class B 1999
- -----------------------------------------------------------------------------
Balanced Portfolio Shares Amount
- -----------------------------------------------------------------------------
Shares sold 8,301,654 $98,580,466
- -----------------------------------------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 1,124,391 13,101,703
- -----------------------------------------------------------------------------
Shares
repurchased (9,541,695) (113,931,558)
- -----------------------------------------------------------------------------
Net decrease (115,650) $(2,249,389)
- -----------------------------------------------------------------------------
Year ended September 30
- -----------------------------------------------------------------------------
Class B 1998
- -----------------------------------------------------------------------------
Balanced Portfolio Shares Amount
- -----------------------------------------------------------------------------
Shares sold 13,283,531 $155,148,314
- -----------------------------------------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 3,069,468 34,027,927
- -----------------------------------------------------------------------------
Shares
repurchased (7,114,827) (82,698,219)
- -----------------------------------------------------------------------------
Net increase 9,238,172 $106,478,022
- -----------------------------------------------------------------------------
Year ended September 30
- -----------------------------------------------------------------------------
Class C 1999
- -----------------------------------------------------------------------------
Balanced Portfolio Shares Amount
- -----------------------------------------------------------------------------
Shares sold 3,361,616 $ 40,015,780
- -----------------------------------------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 223,409 2,591,926
- -----------------------------------------------------------------------------
Shares
repurchased (2,611,861) (31,143,056)
- -----------------------------------------------------------------------------
Net increase 973,164 $ 11,464,650
- -----------------------------------------------------------------------------
Year ended September 30
- -----------------------------------------------------------------------------
Class C 1998
- -----------------------------------------------------------------------------
Balanced Portfolio Shares Amount
- -----------------------------------------------------------------------------
Shares sold 4,021,414 $46,821,621
- -----------------------------------------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 506,490 5,589,640
- -----------------------------------------------------------------------------
Shares
repurchased (1,390,736) (16,089,944)
- -----------------------------------------------------------------------------
Net increase 3,137,168 $36,321,317
- -----------------------------------------------------------------------------
Year ended September 30
- -----------------------------------------------------------------------------
Class M 1999
- -----------------------------------------------------------------------------
Balanced Portfolio Shares Amount
- -----------------------------------------------------------------------------
Shares sold 1,910,023 $ 22,711,244
- -----------------------------------------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 152,511 1,789,141
- -----------------------------------------------------------------------------
Shares
repurchased (1,823,486) (22,015,241)
- -----------------------------------------------------------------------------
Net increase 239,048 $ 2,485,144
- -----------------------------------------------------------------------------
Year ended September 30
- -----------------------------------------------------------------------------
Class M 1998
- -----------------------------------------------------------------------------
Balanced Portfolio Shares Amount
- -----------------------------------------------------------------------------
Shares sold 2,623,574 $30,830,284
- -----------------------------------------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 330,776 3,686,141
- -----------------------------------------------------------------------------
Shares
repurchased (1,337,772) (15,551,147)
- -----------------------------------------------------------------------------
Net increase 1,616,578 $18,965,278
- -----------------------------------------------------------------------------
Year ended September 30
- -----------------------------------------------------------------------------
Class Y 1999
- -----------------------------------------------------------------------------
Balanced Portfolio Shares Amount
- -----------------------------------------------------------------------------
Shares sold 18,714,733 $226,860,733
- -----------------------------------------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 830,901 9,859,556
- -----------------------------------------------------------------------------
Shares
repurchased (6,417,534) (77,593,493)
- -----------------------------------------------------------------------------
Net increase 13,128,100 $159,126,796
- -----------------------------------------------------------------------------
Year ended September 30
- -----------------------------------------------------------------------------
Class Y 1998
- -----------------------------------------------------------------------------
Balanced Portfolio Shares Amount
- -----------------------------------------------------------------------------
Shares sold 5,040,688 $ 59,227,756
- -----------------------------------------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 1,817,279 20,297,596
- -----------------------------------------------------------------------------
Shares
repurchased (5,485,023) (63,921,131)
- -----------------------------------------------------------------------------
Net increase 1,372,944 $15,604,221
- -----------------------------------------------------------------------------
Year ended September 30
- -----------------------------------------------------------------------------
Class A 1999
- -----------------------------------------------------------------------------
Conservative
Portfolio Shares Amount
- -----------------------------------------------------------------------------
Shares sold 15,911,751 $164,942,186
- -----------------------------------------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 1,771,466 18,189,578
- -----------------------------------------------------------------------------
Shares
repurchased (19,288,553) (200,954,773)
- -----------------------------------------------------------------------------
Net decrease (1,605,336) $(17,823,009)
- -----------------------------------------------------------------------------
Year ended September 30
- -----------------------------------------------------------------------------
Class A 1998
- -----------------------------------------------------------------------------
Conservative
Portfolio Shares Amount
- -----------------------------------------------------------------------------
Shares sold 20,094,070 $ 206,991,701
- -----------------------------------------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 2,251,230 22,562,077
- -----------------------------------------------------------------------------
Shares
repurchased (12,671,876) (130,983,828)
- -----------------------------------------------------------------------------
Net increase 9,673,424 $ 98,569,950
- -----------------------------------------------------------------------------
Year ended September 30
- -----------------------------------------------------------------------------
Class B 1999
- -----------------------------------------------------------------------------
Conservative
Portfolio Shares Amount
- -----------------------------------------------------------------------------
Shares sold 4,648,804 $48,054,330
- -----------------------------------------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 607,685 6,213,353
- -----------------------------------------------------------------------------
Shares
repurchased (3,853,643) (39,855,674)
- -----------------------------------------------------------------------------
Net increase 1,402,846 $14,412,009
- -----------------------------------------------------------------------------
Year ended September 30
- -----------------------------------------------------------------------------
Class B 1998
- -----------------------------------------------------------------------------
Conservative
Portfolio Shares Amount
- -----------------------------------------------------------------------------
Shares sold 6,012,610 $61,736,994
- -----------------------------------------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 818,845 8,164,752
- -----------------------------------------------------------------------------
Shares
repurchased (3,281,345) (33,719,671)
- -----------------------------------------------------------------------------
Net increase 3,550,110 $36,182,075
- -----------------------------------------------------------------------------
Year ended September 30
- -----------------------------------------------------------------------------
Class C 1999
- -----------------------------------------------------------------------------
Conservative
Portfolio Shares Amount
- -----------------------------------------------------------------------------
Shares sold 2,910,586 $30,014,096
- -----------------------------------------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 187,718 1,916,327
- -----------------------------------------------------------------------------
Shares
repurchased (2,098,944) (21,792,052)
- -----------------------------------------------------------------------------
Net increase 999,360 $10,138,371
- -----------------------------------------------------------------------------
Year ended September 30
- -----------------------------------------------------------------------------
Class C 1998
- -----------------------------------------------------------------------------
Conservative
Portfolio Shares Amount
- -----------------------------------------------------------------------------
Shares sold 2,677,788 $27,211,811
- -----------------------------------------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 184,292 1,834,269
- -----------------------------------------------------------------------------
Shares
repurchased (923,229) (9,460,711)
- -----------------------------------------------------------------------------
Net increase 1,938,851 $19,585,369
- -----------------------------------------------------------------------------
Year ended September 30
- -----------------------------------------------------------------------------
Class M 1999
- -----------------------------------------------------------------------------
Conservative
Portfolio Shares Amount
- -----------------------------------------------------------------------------
Shares sold 1,447,538 $14,991,909
- -----------------------------------------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 92,868 950,726
- -----------------------------------------------------------------------------
Shares
repurchased (635,492) (6,614,546)
- -----------------------------------------------------------------------------
Net increase 904,914 $ 9,328,089
- -----------------------------------------------------------------------------
Year ended September 30
- -----------------------------------------------------------------------------
Class M 1998
- -----------------------------------------------------------------------------
Conservative
Portfolio Shares Amount
- -----------------------------------------------------------------------------
Shares sold 1,170,382 $12,071,907
- -----------------------------------------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 89,518 894,846
- -----------------------------------------------------------------------------
Shares
repurchased (529,912) (5,449,767)
- -----------------------------------------------------------------------------
Net increase 729,988 $ 7,516,986
- -----------------------------------------------------------------------------
Year ended September 30
- -----------------------------------------------------------------------------
Class Y 1999
- -----------------------------------------------------------------------------
Conservative
Portfolio Shares Amount
- -----------------------------------------------------------------------------
Shares sold 11,982,451 $124,630,096
- -----------------------------------------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 233,490 2,414,799
- -----------------------------------------------------------------------------
Shares
repurchased (4,250,057) (43,742,801)
- -----------------------------------------------------------------------------
Net increase 7,965,884 $ 83,302,094
- -----------------------------------------------------------------------------
Year ended September 30
- -----------------------------------------------------------------------------
Class Y 1998
- -----------------------------------------------------------------------------
Conservative
Portfolio Shares Amount
- -----------------------------------------------------------------------------
Shares sold 2,139,073 $ 22,281,129
- -----------------------------------------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 154,113 1,548,188
- -----------------------------------------------------------------------------
Shares
repurchased (1,385,178) (14,283,508)
- -----------------------------------------------------------------------------
Net increase 908,008 $ 9,545,809
- -----------------------------------------------------------------------------
As of September 30, 1999, Putnam
Investments, Inc. owned the
following shares,
% Market
Fund Shares Ownership Value
- -----------------------------------------------------------------------------
Growth
Class Y 9,645,078 36.06% $139,274,926
- -----------------------------------------------------------------------------
Balanced
Class Y 28,517,167 85.41% $350,475,982
- -----------------------------------------------------------------------------
Conservative
Class A 10,700,285 29.81% $111,282,964
Class M 301,943 10.66% 3,131,149
Class Y 7,760,941 72.94% 80,869,005
- -----------------------------------------------------------------------------
Federal tax information
(Unaudited)
Pursuant to Section 852 of the Internal Revenue Code, as amended, the
Funds hereby designates $138,598,478, $131,999,234, and $21,685,334 for
Growth, Balanced, and Conservative, respectively, as capital gain, for its
taxable year ended September 30, 1999.
The funds has designated 27.20%, 23.13%, 9.73%, for Growth, Balanced, and
Conservative, respectively, of the distributions net investment income as
qualifying for the dividends received deduction for corporations.
The Form 1099 you receive in January 2000 will show the tax status of all
distributions paid to your account in calendar 1999.
Fund information
WEB SITE
www.putnaminv.com
INVESTMENT MANAGER
Putnam Investment
Management, Inc.
One Post Office Square
Boston, MA 02109
MARKETING SERVICES
Putnam Mutual Funds Corp.
One Post Office Square
Boston, MA 02109
CUSTODIAN
Putnam Fiduciary Trust Company
LEGAL COUNSEL
Ropes & Gray
INDEPENDENT ACCOUNTANTS
PricewaterhouseCoopers LLP
TRUSTEES
George Putnam, Chairman
William F. Pounds, Vice Chairman
John A. Hill, Vice Chairman
Jameson Adkins Baxter
Hans H. Estin
Ronald J. Jackson
Paul L. Joskow
Elizabeth T. Kennan
Lawrence J. Lasser
John H. Mullin III
Robert E. Patterson
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
Ian C. Ferguson
Vice President
Stephen Oristaglio
Vice President
William J. Landes
Vice President and Fund Manager
Richard A. Monaghan
Vice President
John R. Verani
Vice President
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' Web site: 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
www.putnaminv.com
- ---------------------
BULK RATE
U.S. POSTAGE PAID
PUTNAM
INVESTMENTS
- ---------------------
AN060-56140 250/259/264 11/99
PUTNAM INVESTMENTS [SCALE LOGO OMITTED]
- ----------------------------------------------------------------------------
Putnam Asset Allocation Funds
Supplement to Annual Report dated 9/30/99
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 $150 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.
ANNUAL RESULTS AT A GLANCE
- ----------------------------------------------------------------------------
Total return
Periods ended 9/30/99
1 year 5 years 5 years Life-of-fund* Life-of-fund*
cumulative annual average cumulative annual average
Growth
portfolio 25.76% 113.83% 16.42% 112.07% 14.26%
Balanced
portfolio 19.37 97.83 14.62 95.07 12.57
Conservative
portfolio 11.42 68.83 11.04 64.78 9.25
* Inception of Y shares (9/1/94)
- ----------------------------------------------------------------------------
Share value at NAV 9/30/98 9/30/99
Growth portfolio $11.84 $14.44
Balanced portfolio 10.67 12.29
Conservative portfolio 9.82 10.42
- ----------------------------------------------------------------------------
No. Income Capital gains Total
Distributions: Long-term Short-term
Growth portfolio 1 $0.131 $0.267 $0.006 $0.404
Balanced portfolio 4 0.244 0.181 -- 0.425
Conservative portfolio 4 0.425 0.082 -- 0.507
- ----------------------------------------------------------------------------
Please note that past performance does not indicate future results.
Returns shown for class Y shares for periods prior to their inception
are derived from the historical performance of class A shares, adjusted
to reflect the initial sales charge currently applicable to class A
shares. These returns have not been adjusted to reflect differences in
operating expenses which, for class Y shares, are lower than the
operating expenses applicable to class A shares. All returns assume
reinvestment of distributions at net asset value. Performance data
reflects an expense limitation previously in effect. Without the
expense limitation, total returns would have been lower. Investment
return and principal value will fluctuate so your shares, when redeemed,
may be worth more or less than their original cost. See full 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.
