Putnam
Asset
Allocation
Funds
SEMIANNUAL REPORT ON PERFORMANCE AND OUTLOOK
3-31-99
[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.
[GRAPHIC OMITTED: horizontal bar chart TARGETED PORTFOLIO STRUCTURE]
Targeted portfolio structure*
Large-cap growth stocks 25%
Small-cap growth stocks 15
Value stocks 25
International equities 15
Domestic fixed-income securities 5
International fixed-income securities 5
High-yield securities 5
Cash and money market securities 5
* Balanced Portfolio is designed to seek total return for investors in
their peak accumulation years.
[GRAPHIC OMITTED: horizontal bar chart TARGETED PORTFOLIO STRUCTURE]
Targeted portfolio structure*
Large-cap growth stocks 20%
Small-cap growth stocks 10
Value stocks 20
International equities 15
Domestic fixed-income securities 10
International fixed-income securities 10
High-yield securities 10
Cash and money market securities 5
* Conservative Portfolio is designed to seek income while protecting the
original value of the investment for investors concerned about maintaining
their purchasing power.
[GRAPHIC OMITTED: horizontal bar chart TARGETED PORTFOLIO STRUCTURE]
Targeted portfolio structure*
Large-cap growth stocks 10%
Small-cap growth stocks 5
Value stocks 10
International equities 10
Domestic fixed-income securities 35
International fixed-income securities 15
High-yield securities 10
Cash and money market securities 5
* 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 merits of diversification were well demonstrated during the first half
of Putnam Asset Allocation Funds' fiscal 1999 as the world's securities
markets delivered widely divergent results in a generally volatile
environment.
The broad-based expertise of Putnam's Asset Allocation team, headed by
William J. Landes, guided each portfolio's structure, drawing from
virtually all asset classes to deliver commendable results.
The management team with its access to full-spectrum global research,
dedication to style consistency, clearly stated risk/reward parameters,
and well-defined performance goals is uniquely equipped to manage your
funds' comprehensive scope.
In the following report, Bill reviews the economic and investment
environment in each key market during the semiannual period and then
offers his perspective on the outlook for the remainder of the fiscal
year.
Respectfully yours,
/S/GEORGE PUTNAM
George Putnam
Chairman of the Trustees
May 19, 1999
Report from the Fund Manager
William J. Landes
Resurgent financial and political instability in many of the world's
developing countries had a dramatic effect on securities markets around
the globe throughout the six months ended March 31, 1999. In this
environment, the diversification benefits offered by the funds' mix of
asset classes enabled investors to take advantage of the
stronger-performing classes while reducing the effects of market
volatility. See the performance summary that begins on page 9 for a
detailed overview of each portfolio's performance.
* U.S. EQUITIES: VOLATILE, BUT REWARDING
Strong economic fundamentals helped push prices higher as the U.S.
unemployment rate fell to a record 29-year low, GDP surged at a
higher-than-expected rate, and consumer confidence heightened. While
interest rates rose sharply in February on fears of a U.S. Federal Reserve
Board rate increase, the Fed ultimately chose to leave rates unchanged at
its March meeting.
Stocks: U.S. equity markets continued their bull run into 1999 with the
Dow passing the 10,000 mark. The market's advance was narrow with
large-cap stock prices setting new performance records. Small-cap stocks,
however, generally did not participate, widening an already substantial
performance gap. Similarly, the performance rifts between growth and value
stocks expanded.
Within the U.S. equity component of the portfolios, the decision to
overweight large-cap growth stocks was a major contributor to performance,
since growth stocks continued to outperform value stocks and large caps to
outperform small caps over the period. Solid security selection in the
large-cap growth sector helped boost the portfolios' performance, as did
overweight positions in high-flying industry sectors such as technology
and consumer cyclicals and an underweight position in the weaker utilities
sector.
Bonds: U.S. bond yields moved sharply higher -- and prices lower -- during
the period in response to robust U.S. economic growth and concerns that
the Fed would boost interest rates. Concern that Japanese investors would
withdraw funds from the U.S. bond market also drove rates higher. In this
environment, fixed-income spread sectors -- such as the high-yield sector
- -- significantly outperformed U.S. Treasuries of comparable duration as
the flight-to-quality trade that began in August 1998 continued to reverse
itself.
In the U.S. investment-grade fixed-income portion of the portfolios,
sector rotation and security selection contributed positively to
performance. The fixed-income component benefited from an emphasis on
spread sectors versus Treasuries and superior security selection within
these sectors.
Within the fixed-income portion of the portfolios, we are maintaining an
overweight allocation to high-yield bonds. Valuations in the high-yield
sector remain attractive, reflecting the extreme spread widening that
occurred in late summer and early fall 1998. With this valuation cushion
in place, we are comfortable with a strong emphasis on this attractively
priced asset class over the next few months.
[GRAPHIC OMITTED: worm chart WORLD FIXED-INCOME MARKETS]
WORLD FIXED-INCOME MARKETS
Growth of $10,000 investment
Salomon Brothers
First Boston Lehman Brothers Non-U.S.
High Yield Aggregate Bond World Government
Date Bond Index1 Index2 Index3
3/31/98 10,000 10,000 10,000
4/30/98 10,075 10,052 10,220
5/31/98 10,105 10,148 10,203
6/30/98 10,126 10,234 10,167
7/31/98 10,197 10,255 10,179
8/31/98 9,505 10,422 10,458
9/30/98 9,504 10,666 11,144
10/31/98 9,315 10,610 11,647
11/30/98 9,787 10,670 11,409
12/31/98 9,765 10,702 11,731
1/31/99 9,856 10,779 11,547
2/28/99 9,836 10,590 11,142
3/31/99 $9,925 $10,649 $11,163
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.
* DEVELOPED NATIONS LEAD INTERNATIONAL PERFORMANCE
The period was marked by significant global developments, including the
introduction of the euro, the devaluation of the Brazilian currency,
rebounding Asian economies, and a powerful rally in the Japanese equity
market. Beyond Japan, Pacific Basin economies continued to show
improvement with a corresponding rise in consumer confidence, suggesting
that the recoveries in this region should be sustainable.
Stocks: Foreign stock markets turned in a mixed performance during the
period. The Japanese and Australian stock markets have done quite well,
outperforming the U.S. market, while the German stock market index has
lagged the Standard & Poor's 500(R) Index by a considerable margin.
However, the strength of the dollar has caused unhedged international
investments to underperform.
In Europe, the surprising weakness of the euro seems to have rattled
European equity markets. At the time of its inauguration, the euro seemed
likely to prove a strengthening currency. However, it has weakened by
nearly 10% against the U.S. dollar since then. While this weakness is
problematic, we do not necessarily believe it is a foreshadowing of
difficult times for European stock markets. In fact, we continue to expect
strong performance from European stocks in 1999.
In the United Kingdom, we believe that the market may have begun a
virtuous circle, in which the Bank of England continues to ease interest
rates, the pound weakens, exporters benefit, earnings recover, and the
stock market outperforms.
In Japan, the market has begun 1999 with some surprising gains but remains
problematic. Emerging stock markets have been mixed, with Mexico rising
strongly even as Brazil has languished.
Bonds: International bonds were weak during the period, dragged down by
poor U.S. Treasury performance and a strong U.S. dollar, which pushed
returns into sharply negative territory.
[GRAPHIC OMITTED: worm chart WORLD EQUITY MARKETS]
WORLD EQUITY MARKETS
Growth of $10,000 investment
Standard & Poor's Russell 2000 MSCI EAFE
Date 500 Index1 Index2 Index3
3/31/98 10,000 10,000 10,000
4/30/98 10,101 10,055 10,079
5/31/98 9,927 9,514 10,030
6/30/98 10,330 9,534 10,106
7/31/98 10,220 8,762 10,209
8/31/98 8,743 7,061 8,944
9/30/98 9,303 7,613 8,670
10/31/98 10,059 7,924 9,573
11/30/98 10,669 8,339 10,064
12/31/98 11,284 8,855 10,461
1/31/99 11,756 8,972 10,430
2/28/99 11,390 8,246 10,181
3/31/99 $11,846 $8,374 $10,606
Footnote reads:
1 Standard & Poor's(R) 500 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.
In Europe, bond markets have been as weak as the U.S. bond market of late.
Uncertainty about the appropriate way to pursue a coordinated monetary
policy might harm investor confidence in European bonds over the next few
months.
In Japan, the massive selloff in Japanese government bonds as well as the
weakening yen has created an interesting opportunity. Increased
speculation that the Bank of Japan may be moving toward a policy of
monetization, coupled with the value restored to the market by the
December and January selloff, may make Japanese government bonds an
attractive investment on a hedged basis.
* STRATEGY AND OUTLOOK
Our quantitative valuation measures have recently moved in favor of bonds
relative to equities. U.S. equities appear vulnerable as rising interest
rates and lofty valuations diminish 1999's outlook. Despite these relative
value concerns, we do not anticipate a change in the longstanding trends
within the equity market. We are maintaining our emphasis on U.S.
large-cap equities versus small-cap equities and our overweighting of
European equities versus U.S. equities.
International equity markets maintain a valuation advantage over their
U.S. counterparts. The wilting euro has caused some skittishness among
European equity investors, but we believe that the currency's weakness
will eventually benefit European stock markets. Despite euro concerns, we
believe that the new European central bank will use monetary policy to
stimulate demand, contributing to a favorable environment for European
stocks.
The U.S. bond market has been struggling in early 1999. Long-term bond
yields have risen since the year began, as a robust U.S. economy and
nascent inflation fears have spooked the market. Nevertheless, we will
maintain an overweight allocation to U.S. bonds based on their favorable
value relative to equities.
As a whole, international bonds are expected to produce returns roughly
equivalent to those of U.S. bonds. We believe European bond markets appear
slightly overvalued following 12 months of strong gains. The Japanese bond
market, however, appears more interesting. After recovering from its early
losses, it has been among the world's top-performing bond markets so far
in 1999. We are maintaining a slight overweight to Japanese bonds. We
believe these shifts will position the funds well for upcoming
opportunities in the global equity and fixed-income markets.
The views expressed here are exclusively those of Putnam Management. They
are not meant as investment advice. While these holdings and others
discussed in the report were viewed favorably as of 3/31/99, 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
TOTAL RETURNS FOR PERIOD ENDED 3/31/99
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
- -------------------------------------------------------------------------------
6 months 21.79% 14.76% 21.26% 16.26% 21.27% 20.27% 21.51% 17.27%
- -------------------------------------------------------------------------------
1 year 4.69 -1.30 3.87 -1.13 3.92 2.92 4.18 0.54
- -------------------------------------------------------------------------------
5 years 111.52 99.30 104.03 102.03 102.84 102.84 106.12 98.83
Annual average 16.16 14.79 15.33 15.10 15.19 15.19 15.56 14.74
- -------------------------------------------------------------------------------
Life of fund 102.82 91.12 95.39 94.39 94.29 94.29 97.43 90.52
Annual average 14.75 13.43 13.92 13.81 13.79 13.79 14.15 13.36
- -------------------------------------------------------------------------------
PRICE AND DISTRIBUTION INFORMATION
6 months ended 3/31/99
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
- -------------------------------------------------------------------------------
3/31/99 13.92 14.77 13.75 13.64 13.75 14.25
- -------------------------------------------------------------------------------
Capital gains
Investment Long Short
Distributions Number income term term Total
- -------------------------------------------------------------------------------
Class A 1 $0.100 $0.267 $0.006 $0.373
- -------------------------------------------------------------------------------
Class B 1 0.009 0.267 0.006 0.282
- -------------------------------------------------------------------------------
Class C 1 0.012 0.267 0.006 0.285
- -------------------------------------------------------------------------------
Class M 1 0.048 0.267 0.006 0.321
- -------------------------------------------------------------------------------
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
TOTAL RETURNS FOR PERIOD ENDED 3/31/99
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
- -------------------------------------------------------------------------------
6 months 16.56% 9.86% 16.02% 11.02% 16.02% 15.02% 16.21% 12.11%
- -------------------------------------------------------------------------------
1 year 3.46 -2.49 2.62 -2.38 2.58 1.59 2.87 -0.73
- -------------------------------------------------------------------------------
5 years 95.27 84.04 88.08 86.08 87.01 87.01 90.78 84.08
Annual average 14.32 12.98 13.47 13.22 13.34 13.34 13.79 12.98
- -------------------------------------------------------------------------------
Life of fund 88.37 77.51 81.21 80.21 80.23 80.23 84.08 77.63
Annual average 13.11 11.81 12.26 12.14 12.14 12.14 12.61 11.83
- -------------------------------------------------------------------------------
PRICE AND DISTRIBUTION INFORMATION
6 months ended 3/31/99
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
- -------------------------------------------------------------------------------
3/31/99 12.12 12.86 12.05 11.99 12.10 12.54
- -------------------------------------------------------------------------------
Capital gains
Investment Long Short
Distributions Number income term term Total
- -------------------------------------------------------------------------------
Class A 2 $0.110 $0.181 -- $0.291
- -------------------------------------------------------------------------------
Class B 2 0.067 0.181 -- 0.248
- -------------------------------------------------------------------------------
Class C 2 0.069 0.181 -- 0.250
- -------------------------------------------------------------------------------
Class M 2 0.083 0.181 -- 0.264
- -------------------------------------------------------------------------------
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
* CONSERVATIVE PORTFOLIO
TOTAL RETURNS FOR PERIOD ENDED 3/31/99
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
- ------------------------------------------------------------------------------
6 months 10.38% 4.01% 10.02% 5.02% 10.06% 9.06% 10.15% 6.35%
- ------------------------------------------------------------------------------
1 year 4.49 -1.51 3.75 -1.24 3.77 2.78 4.01 0.37
- ------------------------------------------------------------------------------
5 years 66.15 56.67 60.16 58.16 59.69 59.69 62.08 56.43
Annual average 10.69 9.39 9.88 9.60 9.81 9.81 10.14 9.36
- ------------------------------------------------------------------------------
Life of fund 61.46 52.15 55.63 54.63 55.02 55.02 57.53 52.01
Annual average 9.77 8.51 8.99 8.85 8.90 8.90 9.24 8.49
- ------------------------------------------------------------------------------
PRICE AND DISTRIBUTION INFORMATION
6 months ended 3/31/99
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
- ------------------------------------------------------------------------------
3/31/99 10.47 11.11 10.44 10.41 10.44 10.82
- ------------------------------------------------------------------------------
Capital gains
Investment Long Short
Distributions Number income term term Total
- ------------------------------------------------------------------------------
Class A 2 $0.265 $0.082 -- $0.347
- ------------------------------------------------------------------------------
Class B 2 0.228 0.082 -- 0.310
- ------------------------------------------------------------------------------
Class C 2 0.229 0.082 -- 0.311
- ------------------------------------------------------------------------------
Class M 2 0.241 0.082 -- 0.323
- ------------------------------------------------------------------------------
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 3/31/99
(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
- ----------------------------------------------------------------------------
6 months -0.16% 27.34% 10.00% 4.43% 0.98%
- ----------------------------------------------------------------------------
1 year 6.49 18.46 -16.26 -0.75 1.73
- ----------------------------------------------------------------------------
5 years 45.52 220.72 70.22 52.09 12.09
Annual average 7.79 26.25 11.23 8.75 2.31
- ----------------------------------------------------------------------------
Life of fund 39.47 198.41 60.65 47.83 12.86
Annual average 6.66 23.60 9.62 7.87 2.37
- ----------------------------------------------------------------------------
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.
The performance of each index will differ from that of the funds, assume
reinvestment of all distributions, and does not take into account
brokerage commissions or other costs. The funds' portfolios contain
securities that do not match those in the indexes. It is not possible to
invest directly in an index. Past performance is not indicative of future
results.
TERMS AND DEFINITIONS
Class A shares are generally subject to an initial sales charge.
Class B shares may be subject to a sales charge upon redemption.
Class C shares are not subject to an initial sales charge and are subject
to a contingent deferred sales charge only if the shares are redeemed
during the first year.
Class M shares have a lower initial sales charge and a higher 12b-1 fee
than class A shares and no sales charge on redemption.
Net asset value (NAV) is the value of all your funds' assets, minus any
liabilities, divided by the number of outstanding shares, not including
any initial or contingent deferred sales charge.
Public offering price (POP) is the price of a mutual fund share plus the
maximum sales charge levied at the time of purchase. POP performance
figures shown here assume the maximum 5.75% sales charge for class A
shares and 3.50% for class M shares.
Contingent deferred sales charge (CDSC) is a charge applied at the time of
the redemption of class B or C shares and assumes redemption at the end of
the period. Your funds' class B CDSC declines from a 5% maximum during the
first year to 1% during the sixth year. After the sixth year, the CDSC no
longer applies. The CDSC for class C shares is 1% for one year after
purchase.
Our commitment to quality service
* CHOOSE AWARD-WINNING SERVICE
Putnam Investments has won the DALBAR Service Award 8 times in the past 9
years. In 1997 and 1998, Putnam was the only company to win all three
DALBAR awards: for service to investors, to financial advisors, and to
variable annuity contract holders.*
* HELP YOUR INVESTMENTS GROW
Set up a systematic program for investing with as little as $25 a month from
a Putnam money market fund or from your checking or savings account.(NON)
* SWITCH FUNDS EASILY
Within the same class of shares, you can move money from one account to
another without a service charge. (This privilege is subject to change or
termination.)
* ACCESS YOUR MONEY QUICKLY
You can get checks sent regularly or redeem shares any business day at the
then-current net asset value, which may be more or less than the original
cost of the shares.
For details about any of these or other services, contact your financial
advisor or call the toll-free number shown below and speak with a helpful
Putnam representative. To learn more about Putnam, visit our Web site.
www.putnaminv.com
To make an additional investment in this or any other Putnam fund, contact
your financial advisor or call our toll-free number.
1-800-225-1581
* DALBAR, Inc., an independent research firm, presents the awards to financial
services firms that provide consistently excellent service.
(NON) Regular investing, of course, does not guarantee a profit or protect
against a loss in a declining market.
<TABLE>
<CAPTION>
Portfolio of investments owned
March 31, 1999 (Unaudited)
GROWTH BALANCED CONSERVATIVE
78.7% 65.4% 34.6%
COMMON STOCKS (a) Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C> <C>
Advertising 0.3% 0.3% 0.2%
- --------------------------------------------------------------------------------------------------------------------------------
Lamar Advertising Co. (NON) 73,050 $ 2,479,134 60,500 $ 2,053,219 10,950 $ 371,616
WPP Group PLC (United Kingdom) 295,580 2,557,877 364,758 3,156,526 91,383 790,806
------------ ------------ ------------
5,037,011 5,209,745 1,162,422
Aerospace and Defense 0.4% 0.3% 0.2%
- --------------------------------------------------------------------------------------------------------------------------------
Northrop Grumman Corp. 11,305 676,887 10,960 656,230 1,985 118,852
Raytheon Co. Class A 37,315 2,154,941 36,265 2,094,304 6,450 372,488
Raytheon Co. Class B 29,810 1,747,611 29,620 1,736,473 5,180 303,678
Smiths Industries PLC (United Kingdom) 127,976 1,862,287 159,199 2,316,639 38,874 565,688
------------ ------------ ------------
6,441,726 6,803,646 1,360,706
Agriculture --% --% --%
- --------------------------------------------------------------------------------------------------------------------------------
PPB Oil Palms Berhad (Malaysia) 343,000 185,624 374,000 202,400 69,000 37,341
PSF Holdings LLC Class A 3,305 42,139 12,885 164,284 4,186 53,372
------------ ------------ ------------
227,763 366,684 90,713
Automotive 1.1% 1.0% 0.5%
- --------------------------------------------------------------------------------------------------------------------------------
Bayerische Motoren Werke (BMW) AG
(Germany) 1,151 751,056 1,417 924,628 338 220,553
Bayerische Motoren Werke (BMW)
(Germany) 820 520,967 1,044 663,279 211 134,054
CSK Auto Corp. (NON) 69,900 2,092,631 57,800 1,730,388 10,500 314,344
Daimler Chrysler AG (Germany) (NON) 21,213 1,838,000 26,212 2,271,139 6,513 564,319
Delphi Automotive Systems Corp. (NON) 22,525 399,819 21,980 390,145 3,985 70,734
Ford Motor Co. 83,754 4,753,040 81,895 4,647,541 14,225 807,269
General Motors Corp. 58,475 5,080,016 56,845 4,938,409 10,055 873,528
Honda Motor Co., Ltd. (Japan) (NON) 55,000 2,472,689 69,000 3,102,101 17,000 764,286
Lear Corp. (NON) 7,000 298,813 6,800 290,275 1,200 51,225
Volkswagen AG (Germany) 3,700 245,412 4,695 311,408 1,164 77,205
Volkswagen (Germany) 6,399 255,208 8,078 322,171 1,971 78,608
------------ ------------ ------------
18,707,651 19,591,484 3,956,125
Basic Industrial Products 0.5% 0.4% 0.2%
- --------------------------------------------------------------------------------------------------------------------------------
Cooper Industries, Inc. 18,200 775,775 17,850 760,856 3,150 134,269
Deere (John) & Co. 66,605 2,572,618 65,775 2,540,559 11,455 442,449
Minnesota Mining & Manufacturing Co. 31,575 2,233,931 31,120 2,201,740 5,510 389,833
Owens-Illinois, Inc. (NON) 86,776 2,169,400 84,611 2,115,275 15,140 378,500
Sundstrand Corp. 9,450 656,775 9,265 643,918 1,650 114,675
------------ ------------ ------------
8,408,499 8,262,348 1,459,726
Biotechnology 0.1% --% --%
- --------------------------------------------------------------------------------------------------------------------------------
Kendle International, Inc. (NON) 12,500 251,563 10,700 215,338 2,000 40,250
Quintiles Transnational Corp. 6,800 256,700 6,800 256,700 1,100 41,525
Serologicals Corp. 46,250 627,266 38,350 520,122 6,950 94,259
------------ ------------ ------------
1,135,529 992,160 176,034
Broadcasting 1.5% 1.2% 0.6%
- --------------------------------------------------------------------------------------------------------------------------------
Advanced Communication Systems, Inc. 46,700 542,888 38,600 448,725 7,000 81,375
Citadel Communications Corp. 92,600 3,078,950 76,600 2,546,950 13,900 462,175
Clear Channel Communications, Inc. 15,500 1,039,469 15,300 1,026,056 2,700 181,069
Comcast Corp. Class A 40,410 2,543,304 39,950 2,514,353 7,095 446,542
Cumulus Media Inc. Class A (NON) 164,800 1,936,400 134,800 1,583,900 24,000 282,000
Heftel Broadcasting Corp. Class A (NON) 76,800 3,331,200 64,400 2,793,350 10,000 433,750
MediaOne Group Inc. (NON) 63,060 4,004,310 62,200 3,949,700 11,142 707,517
News Corp. Ltd. ADR (Australia) 118,835 3,505,633 146,463 4,320,659 35,969 1,061,086
Pegasus Communications Corp. (NON) 67,000 1,876,000 54,700 1,531,600 9,900 277,200
SAGA Communications Inc. Class A 74,450 1,330,794 61,616 1,101,386 11,153 199,360
SBS Broadcasting SA (Luxembourg) (NON) 43,800 1,407,075 36,200 1,162,925 6,600 212,025
Sinclair Broadcast Group, Inc. Class A (NON) 25,800 375,713 22,100 321,831 4,300 62,619
Television Francaise I (France) 2,550 476,703 3,220 601,955 790 147,685
------------ ------------ ------------
25,448,439 23,903,390 4,554,403
Building and Construction 0.7% 0.6% 0.4%
- --------------------------------------------------------------------------------------------------------------------------------
Bouygues S. A. (France) 4,906 1,355,405 6,028 1,665,386 1,497 413,584
CRH PLC (Ireland) (NON) 212,478 3,652,337 261,671 4,497,928 64,760 1,113,176
Dycom Industries, Inc. 87,850 3,821,475 72,050 3,134,175 12,850 558,975
IJM Copr. Berhad (Malaysia) 157,000 69,819 167,000 74,266 31,000 13,786
Lafarge Coppee (France) 22,940 2,059,152 29,035 2,606,254 7,176 644,136
Pohang Iron & Steel Company, Ltd. ADR
(South Korea) 34,398 614,864 43,861 784,015 11,978 214,107
------------ ------------ ------------
11,573,052 12,762,024 2,957,764
Business Equipment and Services 2.9% 2.3% 1.2%
- --------------------------------------------------------------------------------------------------------------------------------
ACT Networks, Inc. 67,500 1,299,375 55,900 1,076,075 10,100 194,425
Avery Dennison Corp. 14,500 833,750 13,900 799,250 2,400 138,000
Charles River Associates Inc. (NON) 26,700 644,138 22,800 550,050 4,300 103,738
Cisco Systems, Inc. 47,200 5,171,350 46,900 5,138,481 8,400 920,325
Computer Sciences Corp. 55,200 3,046,350 54,800 3,024,275 9,800 540,838
Cunningham Graphics International, Inc. 60,700 796,688 50,200 658,875 9,100 119,438
Dai Nippon Printing Co., Ltd. (Japan) (NON) 28,000 423,529 35,000 529,412 8,000 121,008
Data Processing Resources Corp. (NON) 27,700 379,144 22,700 310,706 4,000 54,750
EMC Corp. (NON) 65,000 8,303,750 63,900 8,163,225 11,300 1,443,575
F.Y.I., Inc. 39,700 1,270,400 32,500 1,040,000 6,000 192,000
Global Imaging Systems, Inc. (NON) 48,500 645,656 39,600 527,175 7,100 94,519
Lason Holdings, Inc. (NON) 49,100 2,761,875 40,000 2,250,000 7,290 410,063
Mannesmann AG (Germany) 36,684 4,665,196 45,248 5,754,301 11,913 1,515,006
Metamor Worldwide, Inc. (NON) 23,600 330,400 19,625 274,750 3,400 47,600
NCO Group, Inc. (NON) 96,300 3,563,100 78,700 2,911,900 14,100 521,700
Pitney Bowes, Inc. 71,190 4,538,363 70,425 4,489,594 12,570 801,338
ProBusiness Services, Inc. 75,350 3,164,700 62,350 2,618,700 11,300 474,600
Provant, Inc. (NON) 54,286 970,362 44,849 801,676 8,076 144,359
Rental Service Corp. (NON) 40,300 705,250 34,750 608,125 6,000 105,000
Ricoh Co., Ltd. (Japan) 82,000 852,387 105,000 1,091,471 26,000 270,269
Vedior NV (Netherlands) 33,530 773,160 41,987 968,168 10,493 241,955
Xerox Corp. 72,445 3,866,752 70,570 3,766,674 12,950 691,206
------------ ------------ ------------
49,005,675 47,352,883 9,145,712
Cable Television 0.4% 0.3% 0.2%
- --------------------------------------------------------------------------------------------------------------------------------
Grupo Televisa S.A. GDR (Mexico) (NON) 42,217 1,324,558 52,107 1,634,857 13,032 408,879
Jones Intercable, Inc. (NON) 133,200 5,253,075 110,200 4,346,013 19,900 784,806
------------ ------------ ------------
6,577,633 5,980,870 1,193,685
Chemicals 1.1% 1.0% 0.6%
- --------------------------------------------------------------------------------------------------------------------------------
Akzo-Nobel N.V. (Netherlands) (NON) 83,208 3,068,087 102,508 3,779,726 25,036 923,140
Albany Molecular Research, Inc. (NON) 25,218 630,450 20,600 515,000 3,800 95,000
Dow Chemical Co. 26,740 2,491,834 26,295 2,450,365 4,695 437,515
du Pont (E.I.) de Nemours & Co., Ltd. 85,235 4,948,957 83,730 4,861,573 14,725 854,970
Eastman Chemical Co. 19,900 837,044 19,555 822,532 3,435 144,485
Hoechst AG (Germany) (NON) 118,911 5,132,347 146,846 6,338,057 36,543 1,577,242
Shin-Etsu Chemical Co. (Japan) 45,000 1,176,050 54,000 1,411,261 14,000 365,882
Witco Chemical Corp. 29,875 379,039 29,720 377,073 4,840 61,408
------------ ------------ ------------
18,663,808 20,555,587 4,459,642
Computer Equipment 0.6% 0.5% 0.2%
- --------------------------------------------------------------------------------------------------------------------------------
Artesyn Technologies, Inc. (NON) 118,200 1,462,725 97,800 1,210,275 17,700 219,038
Emulex Corp. (NON) 60,100 1,983,300 49,800 1,643,400 9,000 297,000
PRI Automation, Inc. (NON) 23,300 489,300 19,000 399,000 3,400 71,400
Seagate Technology, Inc. (NON) 43,965 1,299,715 44,055 1,302,376 7,760 229,405
Sun Microsystems, Inc. 43,100 5,390,194 42,400 5,302,650 7,500 937,969
------------ ------------ ------------
10,625,234 9,857,701 1,754,812
Computer Services and Software 6.5% 5.0% 2.5%
- --------------------------------------------------------------------------------------------------------------------------------
24/7 Media, Inc. (NON) 38,300 1,972,450 31,300 1,611,950 5,600 288,400
3Com Corp. 32,615 760,337 32,670 761,619 5,795 135,096
Activision, Inc. (NON) 54,500 674,438 44,500 550,688 8,000 99,000
Allaire Corp. (NON) 15,100 1,026,800 12,300 836,400 2,300 156,400
Apple Computer, Inc. (NON) 43,475 1,562,383 42,750 1,536,328 7,530 270,609
Aspect Development, Inc. 18,900 439,425 15,900 369,675 2,500 58,125
Aware, Inc. (NON) 49,900 2,345,300 41,200 1,936,400 7,500 352,500
Best Software, Inc. (NON) 74,900 1,011,150 62,000 837,000 11,200 151,200
Bottomline Technologies, Inc. (NON) 24,700 1,576,169 20,100 1,282,631 3,600 229,725
Brio Technology, Inc. (NON) 59,100 1,248,488 48,300 1,020,338 8,600 181,675
BroadVision, Inc. (NON) 26,600 1,589,350 21,700 1,296,575 4,300 256,925
Catapult Communications Corp. (NON) 14,200 197,025 11,600 160,950 2,200 30,525
Compaq Computer Corp. 100,265 3,177,147 97,900 3,102,206 17,460 553,264
Complete Business Solutions, Inc. (NON) 1,400 27,475 1,200 23,550 200 3,925
Computer Associates Intl., Inc. 36,784 1,308,131 35,838 1,274,489 6,403 227,707
Computer Network Technology Corp. (NON) 133,600 2,154,300 109,300 1,762,463 19,600 316,050
Compuware Corp. 45,300 1,081,538 45,100 1,076,763 8,200 195,775
Comverse Technology, Inc. 25,400 2,159,000 25,200 2,142,000 4,500 382,500
Concord Communications, Inc. (NON) 16,200 923,400 13,200 752,400 2,400 136,800
Concur Technologies, Inc. (NON) 40,900 1,845,613 33,400 1,507,175 6,000 270,750
Critical Path, Inc. (NON) 3,500 269,500 2,800 215,600 500 38,500
Dendrite International, Inc. 45,000 1,004,063 36,800 821,100 6,600 147,263
EarthWeb Inc. (NON) 23,400 1,282,613 19,100 1,046,919 3,400 186,363
Electronic Data Systems Corp. 11,900 579,381 11,800 574,513 2,100 102,244
Exchange Applications, Inc. (NON) 69,100 1,736,138 56,400 1,417,050 10,300 258,788
Fujitsu Ltd. (Japan) (NON) 276,000 4,411,361 344,000 5,498,218 86,000 1,374,555
Fvc.com Inc. (NON) 20,300 258,825 14,200 181,050 2,500 31,875
GeoTel Communications Corp. 78,610 3,606,234 64,608 2,963,892 11,460 525,728
Globix Corp. (NON) 46,600 1,738,763 38,000 1,417,875 6,900 257,456
IBM Corp. 84,690 15,011,303 82,765 14,670,096 14,867 2,635,176
IMS Health Inc. 90,400 2,994,500 87,700 2,905,063 15,700 520,063
Information Advantage, Inc. (NON) 119,800 793,675 99,000 655,875 17,900 118,588
Intraware, Inc. (NON) 3,000 120,188 2,400 96,150 400 16,025
Micromuse, Inc. (NON) 57,900 2,663,400 47,300 2,175,800 8,400 386,400
Microsoft Corp. 210,000 18,821,250 203,600 18,247,650 36,400 3,262,350
MiningCo.com, Inc. (NON) 1,600 143,200 1,300 116,350 200 17,900
Multex.com Inc. (NON) 29,500 1,843,750 24,100 1,506,250 4,400 275,000
NCR Corp. 54,034 2,701,700 52,432 2,621,600 9,297 464,850
NEON Systems, Inc. (NON) 5,400 297,000 4,400 242,000 800 44,000
NetGravity, Inc. (NON) 17,000 703,375 13,700 566,838 2,500 103,438
New Era of Networks, Inc. 60,700 4,112,425 50,200 3,401,050 9,100 616,525
ONYX Software Corp. (NON) 3,100 121,288 2,600 101,725 500 19,563
OneMain.com, Inc. (NON) 2,600 94,250 2,100 76,125 400 14,500
Oracle Corp. 61,350 1,618,106 60,400 1,593,050 10,750 283,531
Peregrine Systems, Inc. 138,500 4,657,063 113,900 3,829,888 20,000 672,500
Pervasive Software Inc. (NON) 36,900 659,588 30,600 546,975 5,700 101,888
Pinnacle Systems, Inc. (NON) 21,500 978,250 18,300 832,650 3,400 154,700
Security First Technologies Corp. (NON) 14,900 1,095,150 12,000 882,000 2,100 154,350
Softbank Corp. (Japan) 19,800 2,209,613 24,300 2,711,798 6,100 680,740
Summit Design, Inc. (NON) 91,200 313,500 77,800 267,438 13,100 45,031
The Descartes Systems Group Inc.
(Canada) (NON) 97,900 752,606 81,000 622,688 14,600 112,238
Verity, Inc. (NON) 44,900 1,504,150 36,700 1,229,450 6,600 221,100
VerticalNet, Inc. (NON) 9,700 1,007,588 8,000 831,000 1,400 145,425
VideoServer, Inc. (NON) 49,800 385,950 41,300 320,075 7,500 58,125
Visual Networks, Inc. (NON) 51,200 1,913,600 42,300 1,580,963 7,700 287,788
pcOrder.com, Inc. (NON) 1,900 107,588 1,500 84,938 300 16,988
------------ ------------ ------------
109,590,853 100,693,302 18,648,505
Conglomerates 1.8% 1.6% 0.8%
- --------------------------------------------------------------------------------------------------------------------------------
Allied-Signal, Inc. 55,850 2,747,122 54,420 2,676,784 10,110 497,286
Axia Inc. 144A 225 3,150 -- -- -- --
Corning Inc. 13,785 827,100 13,475 808,500 2,390 143,400
Granada Group PLC (United Kingdom) 165,400 3,345,103 206,000 4,166,211 51,809 1,047,802
Hutchison Whampoa, Ltd. (Hong Kong) (NON) 82,000 645,503 104,000 818,686 25,000 196,800
Ogden Corp. 8,793 211,582 8,486 204,194 1,522 36,623
Securicor Group PLC (United Kingdom) 238,156 2,093,566 301,800 2,653,043 73,131 642,875
Temple Inland, Inc. 4,900 307,475 5,000 313,750 860 53,965
Tomkins PLC (United Kingdom) 159,251 588,973 196,683 727,411 48,183 178,200
Tyco International Ltd. 180,900 12,979,575 175,400 12,584,950 31,300 2,245,775
United Technologies Corp. 50,805 6,880,902 50,190 6,797,608 9,145 1,238,576
------------ ------------ ------------
30,630,051 31,751,137 6,281,302
Consumer Durable Goods 0.2% 0.2% 0.1%
- --------------------------------------------------------------------------------------------------------------------------------
Bebe stores, Inc. (NON) 18,200 746,200 14,900 610,900 2,600 106,600
Hasbro, Inc. 58,118 1,681,775 56,903 1,646,616 10,088 291,907
Mattel, Inc. 56,202 1,398,025 54,556 1,357,081 9,707 241,462
------------ ------------ ------------
3,826,000 3,614,597 639,969
Consumer Non Durables 1.7% 1.4% 0.7%
- --------------------------------------------------------------------------------------------------------------------------------
Clorox Co. 34,000 3,984,375 33,400 3,914,063 5,900 691,406
Colgate-Palmolive Co. 43,845 4,033,740 43,120 3,967,040 7,695 707,940
Estee Lauder Cos. Class A 43,600 4,120,200 43,300 4,091,850 7,700 727,650
Hedstrom Holdings, Inc. 144A 910 910 2,729 2,729 910 910
Kimberly-Clark Corp. 52,660 2,524,389 51,910 2,488,436 9,085 435,512
Philip Morris Cos., Inc. 117,433 4,132,174 114,860 4,041,636 20,546 722,962
Procter & Gamble Co. 43,755 4,285,255 42,800 4,191,725 7,640 748,243
RJR Nabisco Holdings Corp. 44,826 1,120,650 44,146 1,103,650 7,804 195,100
Shiseido Co., Ltd. (Japan) (NON) 166,000 2,287,731 198,000 2,728,740 50,000 689,076
Svenska Cellulosa AB Class B, (Sweden) 6,187 133,657 7,590 163,966 5,502 118,859
Wesley Jessen VisionCare, Inc. (NON) 43,000 1,185,188 35,600 981,225 6,600 181,913
------------ ------------ ------------
27,808,269 27,675,060 5,219,571
Consumer Services 1.8% 1.3% 0.7%
- --------------------------------------------------------------------------------------------------------------------------------
Amazon.com, Inc. 9,900 1,704,656 9,800 1,687,438 1,700 292,719
AmeriKing, Inc. 50 2,000 100 4,000
America Online, Inc. 45,300 6,613,800 44,400 6,482,400 8,000 1,168,000
Bright Horizons, Inc. (NON) 38,271 837,178 31,320 685,125 5,770 126,219
Carey International, Inc. (NON) 58,800 955,500 48,100 781,625 8,700 141,375
Global Vacation Group, Inc. (NON) 77,500 920,313 64,200 762,375 11,600 137,750
Interpublic Group Cos. Inc. 72,300 5,630,363 71,800 5,591,425 12,800 996,800
Market Facts, Inc. (NON) 70,200 1,544,400 58,100 1,278,200 10,500 231,000
MemberWorks Inc. 62,600 2,269,250 51,800 1,877,750 9,350 338,938
On Assignment, Inc. (NON) 58,300 1,493,938 47,700 1,222,313 8,500 217,813
PJ America Inc. 26,000 598,000 22,100 508,300 4,100 94,300
Rent-Way, Inc. 125,129 3,003,106 106,703 2,560,881 17,277 414,657
SportsLine USA, Inc. (NON) 60,700 2,769,438 49,700 2,267,563 8,900 406,063
Steiner Leisure Ltd. 24,500 753,375 20,000 615,000 3,550 109,163
Tribune Co. 9,700 634,744 9,600 628,200 1,700 111,244
------------ ------------ ------------
29,730,061 26,952,595 4,786,041
Education 0.4% 0.3% 0.2%
- --------------------------------------------------------------------------------------------------------------------------------
Benesse Corp. (Japan) 700 56,294 800 64,336 200 16,084
Career Education Corp. (NON) 62,400 2,160,600 51,500 1,783,188 9,300 322,013
Corinthian Colleges, Inc. (NON) 15,900 349,800 13,000 286,000 2,300 50,600
Education Management Corp. 118,200 3,634,650 97,800 3,007,350 17,700 544,275
GP Strategies Corp. 54,000 958,500 44,200 784,550 7,900 140,225
------------ ------------ ------------
7,159,844 5,925,424 1,073,197
Electronics and Electrical Equipment 5.9% 4.8% 2.6%
- --------------------------------------------------------------------------------------------------------------------------------
ANADIGICS, Inc. (NON) 45,900 808,988 38,000 669,750 6,900 121,613
ASM Lithography Holding N.V.
(Netherlands) 16,503 742,635 20,390 917,550 5,071 228,195
ATMI, Inc. (NON) 80,700 1,614,000 66,000 1,320,000 11,900 238,000
Advantest Corp. (Japan) 22,900 1,741,555 29,000 2,205,462 7,200 547,563
Applied Materials, Inc. (NON) 51,400 3,170,738 50,500 3,115,219 8,900 549,019
Applied Micro Circuits Corp. (NON) 33,000 1,410,750 27,000 1,154,250 4,800 205,200
Benchmark Electronics, Inc. (NON) 42,400 1,272,000 34,600 1,038,000 6,200 186,000
Credence Systems Corp. (NON) 80,900 1,734,294 66,100 1,417,019 11,900 255,106
DII Group Inc., (The) (NON) 118,800 3,474,900 96,700 2,828,475 17,500 511,875
DuPont Photomasks, Inc. 20,500 812,313 17,500 693,438 3,300 130,763
Emerson Electric Co. 60,460 3,200,601 59,030 3,124,901 10,610 561,667
General Electric Co. 198,275 21,934,172 193,185 21,371,091 34,350 3,799,969
Hadco Corp. (NON) 56,900 1,792,350 46,600 1,467,900 8,500 267,750
Harmonic Lightwaves, Inc. (NON) 93,100 2,571,888 76,200 2,105,025 13,700 378,463
Helix Technology Corp. 92,900 1,428,338 76,000 1,168,500 13,600 209,100
HI/FN, Inc. (NON) 9,800 367,500 8,000 300,000 1,400 52,500
Iberdola S.A. (Spain) 68,273 1,006,958 87,000 1,283,163 20,759 306,174
Illinois Tool Works, Inc. 1,400 86,625 1,600 99,000 300 18,563
Intel Corp. 79,400 9,438,675 72,900 8,665,988 13,800 1,640,475
Matsushita Electric Industrial Co. 148,000 2,872,941 183,000 3,552,353 46,000 892,941
Micrel, Inc. (NON) 35,700 1,787,231 29,150 1,459,322 5,450 272,841
Micron Technology, Inc. (NON) 39,500 1,905,875 39,200 1,891,400 7,000 337,750
Motorola, Inc. 62,205 4,556,516 60,865 4,458,361 10,845 794,396
Murata Manufacturing Co. Ltd. (Japan) 15,000 794,118 19,000 1,005,882 5,000 264,706
Nanometrics, Inc. (NON) 75,250 423,281 61,420 345,488 11,290 63,506
Nokia Corp. ADR (Finland) 25,500 3,971,625 25,100 3,909,325 4,400 685,300
Photronics, Inc. (NON) 53,000 987,125 43,900 817,638 7,900 147,138
Power Integrations, Inc. (NON) 51,400 1,631,950 42,600 1,352,550 7,700 244,475
QLogic Corp. 31,400 2,107,725 26,800 1,798,950 5,000 335,625
Rockwell International Corp. 20,545 871,878 20,180 856,389 3,655 155,109
Rohm Co. Ltd. (Japan) 10,000 1,189,076 11,800 1,403,109 3,600 428,067
STMicroelectronics N.V. ADR (France) (NON) 39,130 3,800,501 49,600 4,817,400 12,135 1,178,612
Samsung Electronics Co. (South Korea) 22,571 1,748,976 28,584 2,214,910 7,124 552,023
Siebe PLC (United Kingdom) 347,602 1,530,639 428,682 1,887,669 119,361 525,597
Sipex Corp. 57,600 752,400 46,000 600,875 8,300 108,419
Solectron Corp. 60,600 2,942,888 59,500 2,889,469 10,600 514,763
TDK Corp. (Japan) (NON) 20,000 1,611,765 23,000 1,853,529 6,000 483,529
Toshiba Corp. 165,000 1,121,723 202,000 1,373,261 50,000 339,916
Veeco Instruments, Inc. (NON) 35,200 1,300,200 28,800 1,063,800 5,100 188,381
Zoran Corp. (NON) 123,200 2,017,400 100,700 1,648,963 18,000 294,750
------------ ------------ ------------
98,535,113 96,145,374 19,015,839
Energy-Related 0.1% 0.1% --%
- --------------------------------------------------------------------------------------------------------------------------------
Advanced Energy Industries, Inc. (NON) 64,000 1,508,000 52,400 1,234,675 9,400 221,488
KTI, Inc. (NON) 32,900 339,281 28,000 288,750 4,800 49,500
------------ ------------ ------------
1,847,281 1,523,425 270,988
Entertainment 2.0% 1.6% 0.8%
- --------------------------------------------------------------------------------------------------------------------------------
Carnival Corp. Class A 111,800 5,429,288 108,500 5,269,031 19,400 942,113
Cinar Films, Inc. Class B, (Canada) 87,300 2,007,900 72,000 1,656,000 13,000 299,000
Disney (Walt) Productions, Inc. 42,000 1,307,250 41,140 1,280,483 7,480 232,815
EMI Group PLC (United Kingdom) 302,453 2,155,540 373,095 2,658,995 93,621 667,224
Fitzgerald Gaming Corp. -- -- 1,338 669 630 315
Sunterra Corp. (NON) 149,900 1,461,525 92,000 897,000 16,400 159,900
Time Warner, Inc. 170,900 12,144,581 168,100 11,945,606 30,000 2,131,875
Valley Media, Inc. (NON) 14,600 332,150 11,900 270,725 2,200 50,050
Viacom, Inc. Class B 102,100 8,570,019 100,710 8,453,346 18,040 1,514,233
Vistana, Inc. (NON) 67,800 949,200 57,800 809,200 10,800 151,200
------------ ------------ ------------
34,357,453 33,241,055 6,148,725
Environmental Control 0.6% 0.6% 0.3%
- --------------------------------------------------------------------------------------------------------------------------------
Casella Waste Systems, Inc. (NON) 34,200 771,638 28,000 631,750 5,200 117,325
Vivendi (France) 20,803 5,096,579 26,124 6,400,184 6,456 1,581,672
Waste Management, Inc. 99,700 4,424,188 97,000 4,304,375 17,400 772,125
------------ ------------ ------------
10,292,405 11,336,309 2,471,122
Food and Beverages 2.0% 1.7% 1.0%
- --------------------------------------------------------------------------------------------------------------------------------
Anheuser-Busch Cos., Inc. 52,090 3,968,607 50,485 3,846,326 9,280 707,020
Bass PLC (United Kingdom) 124,101 1,682,905 152,966 2,074,337 37,410 507,309
Bestfoods 22,105 1,038,935 21,690 1,019,430 3,890 182,830
Coca-Cola Femsa S.A. ADR (Mexico) 33,008 538,443 40,785 665,305 10,134 165,311
ConAgra, Inc. 56,400 1,441,725 54,990 1,405,682 9,740 248,979
Diageo PLC (United Kingdom) 260,100 2,917,292 321,000 3,600,349 79,000 886,067
Fomento Economico Mexicano, S.A.
de C.V. ADR (Mexico) 28,708 888,154 35,360 1,093,950 8,914 275,777
General Mills, Inc. 24,450 1,847,503 24,115 1,822,190 4,245 320,763
Greencore Group PLC (Ireland) 223,053 779,291 266,236 930,162 66,589 232,645
Groupe Danone (France) 5,587 1,400,004 6,921 1,734,281 1,811 453,805
Hain Food Group, Inc. (The) (NON) 49,900 823,350 40,800 673,200 7,300 120,450
Heinz (H.J.) Co. 65,205 3,089,087 63,765 3,020,867 11,350 537,706
Hershey Foods Corp. 22,090 1,237,040 21,615 1,210,440 3,920 219,520
Kellogg Co. 42,285 1,429,762 41,405 1,400,007 7,400 250,213
Nabisco Holdings Corp. Class A 12,162 505,483 11,764 488,941 2,003 83,250
Nestle S.A. (Switzerland) 544 986,722 670 1,215,265 168 304,723
P.F. Chang's China Bistro, Inc. 37,480 1,143,140 30,880 941,840 5,700 173,850
PepsiCo, Inc. 13,200 517,275 12,600 493,763 2,500 97,969
Sara Lee Corp. 134,975 3,340,631 132,350 3,275,663 23,235 575,066
Seagram Co., Ltd. 14,000 700,000 14,000 700,000 2,500 125,000
The Quaker Oats Co. 48,434 3,030,152 46,898 2,934,056 8,510 532,407
Whitman Corp. 27,815 478,070 27,250 468,359 4,830 83,016
------------ ------------ ------------
33,783,571 35,014,413 7,083,676
Health Care 0.7% 0.5% 0.2%
- --------------------------------------------------------------------------------------------------------------------------------
Alternative Living Services, Inc. (NON) 29,400 588,000 24,000 480,000 4,300 86,000
American Oncology Resources, Inc. (NON) 28,200 253,800 23,000 207,000 3,900 35,100
Brookdale Living Communities, Inc. (NON) 36,700 633,075 30,300 522,675 5,500 94,875
Cardinal Health, Inc. 46,800 3,088,800 46,400 3,062,400 8,275 546,150
CareMatrix Corp. (NON) 42,400 805,600 35,700 678,300 6,100 115,900
NCS HealthCare, Inc. Class A (NON) 26,700 320,400 22,800 273,600 4,300 51,600
Pediatrix Medical Group, Inc. (NON) 7,700 216,563 7,400 208,125 1,100 30,938
Province Healthcare Co. (NON) 50,300 930,550 41,100 760,350 7,300 135,050
Renal Care Group, Inc. 54,225 1,064,166 44,800 879,200 8,125 159,453
Sunrise Assisted Living, Inc. (NON) 47,500 2,164,219 39,200 1,786,050 7,200 328,050
Tenet Healthcare Corp. (NON) 58,560 1,108,980 56,775 1,075,177 10,125 191,742
United Healthcare Corp. -- -- -- -- 1 53
WeLLPoint Health Networks, Inc. (NON) 2,200 166,788 2,100 159,206 400 30,325
------------ ------------ ------------
11,340,941 10,092,083 1,805,236
Hospital Management and
Medical Services 0.5% 0.3% 0.2%
- --------------------------------------------------------------------------------------------------------------------------------
Advance Paradigm, Inc. (NON) 35,300 2,230,519 29,100 1,838,756 5,100 322,256
AmSurg Corp. (NON) 61,700 431,900 51,100 357,700 9,200 64,400
Centennial HealthCare Corp. (NON) 23,400 207,675 19,900 176,613 3,000 26,625
Eclipsys Corp. 11,600 245,050 9,900 209,138 1,900 40,138
MEDE AMERICA Corp. (NON) 52,000 1,033,500 42,500 844,688 7,600 151,050
Medical Manager Corp. (NON) 53,300 1,232,563 44,100 1,019,813 8,000 185,000
Medquist, Inc. 96,800 2,904,000 80,100 2,403,000 14,500 435,000
------------ ------------ ------------
8,285,207 6,849,708 1,224,469
Insurance and Finance 13.3% 11.5% 6.2%
- --------------------------------------------------------------------------------------------------------------------------------
Aetna Inc. 16,410 1,362,030 16,435 1,364,105 2,820 234,060
Aflac Inc. 36,700 1,997,856 36,000 1,959,750 6,400 348,400
Allied Irish Banks PLC (Ireland) 134,745 2,317,614 166,347 2,861,168 41,670 716,724
Allied Zurich AG (United Kingdom) 209,685 2,821,527 259,096 3,486,402 64,376 866,245
Allstate Corp. 69,102 2,561,093 68,088 2,523,512 12,003 444,861
American Express Co. 41,790 4,910,325 41,420 4,866,850 7,430 873,025
American General Corp. 104,670 7,379,235 102,955 7,258,328 18,295 1,289,798
American International Group, Inc. 119,085 14,364,628 116,563 14,060,412 20,628 2,488,253
AON Corp. 52,110 3,295,958 50,945 3,222,271 8,925 564,506
Associates First Capital Corp. 47,500 2,137,500 47,200 2,124,000 8,400 378,000
Axa S.A. (Mexico) 19,156 2,528,784 23,691 3,127,449 5,885 776,879
Banca Popolare di Bergamo SPA (Italy) 20,900 527,986 26,300 664,404 6,540 165,217
Banca Popolare di Brescia SPA (Italy) 20,100 617,975 25,200 774,774 6,269 192,740
Banco Bradesco S.A. BRC (Brazil) -- -- 1 4 -- --
Bank One Corp. 121,465 6,688,167 118,788 6,540,819 20,892 1,150,366
Bank of Ireland (Ireland) 101,568 2,118,203 125,126 2,609,512 31,233 651,359
Bank of Nova Scotia (Canada) 60,461 1,284,571 74,407 1,580,871 17,904 380,393
BankAmerica Corp. 149,932 10,588,954 146,566 10,351,224 25,823 1,823,716
BankBoston Corp. 91,940 3,982,151 90,045 3,900,074 15,875 687,586
Banque Nationale de Paris (France) 38,159 3,306,287 46,968 4,069,542 11,312 980,128
CIGNA Corp. 63,800 5,347,238 62,170 5,210,623 11,020 923,614
Charter One Financial, Inc. 65,390 1,887,115 64,435 1,859,554 11,510 332,171
Chase Manhattan Corp. 58,320 4,742,145 57,085 4,641,724 10,102 821,419
Chubb Corp. (The) 17,330 1,014,888 17,135 1,003,468 3,090 180,958
Cie Finance Richemont (Switzerland) 1,936 3,212,519 2,413 4,004,034 596 988,978
Citigroup, Inc. 265,040 16,929,430 259,996 16,607,181 46,151 2,947,895
Comerica, Inc. 56,600 3,533,963 56,100 3,502,744 10,000 624,375
Commonwealth Bank of Australia
(Australia) 91,640 1,506,043 115,068 1,891,066 28,651 470,860
Credit Suisse Group (Switzerland) 4,740 882,455 5,850 1,089,106 1,440 268,088
Development Bank of Singapore Ltd.
(Singapore) 70,000 531,132 89,000 675,297 22,000 166,927
Equitable Companies (The), Inc. 26,840 1,878,800 25,780 1,804,600 4,656 325,920
Fannie Mae 54,950 3,805,288 53,995 3,739,154 9,680 670,340
Federal Home Loan Mortgage Corp. 65,100 3,718,838 63,900 3,650,288 11,300 645,513
Fifth Third Bancorp 44,050 2,904,547 43,700 2,881,469 7,800 514,313
First American Corp. 3,200 118,000 3,400 125,375 600 22,125
First Union Corp. 13,700 732,094 13,795 737,170 2,425 129,586
Firstar Corp. 56,316 5,040,282 55,868 5,000,186 9,956 891,062
Fleet Financial Group, Inc. 61,620 2,318,453 60,995 2,294,937 10,790 405,974
Gilman & Ciocia, Inc. (NON) 64,800 810,000 53,600 670,000 9,700 121,250
Hartford Financial Services Group 11,700 664,706 11,100 630,619 2,200 124,988
Huntington Bancshares, Inc. 9,650 298,547 9,740 301,331 1,695 52,439
Internationale Nederlanden Groep
(Netherlands) 97,972 5,376,581 121,058 6,643,512 30,078 1,650,643
Istituto Bancario San Paolo di Torino
(Italy) 86,571 1,400,611 106,638 1,725,270 26,136 422,848
Julius Baer Holdings AG (Switzerland) 713 2,308,052 880 2,848,648 215 695,976
Keppel Bank (Singapore) 519,000 874,770 640,000 1,078,714 157,000 264,622
KeyCorp 29,012 879,426 28,532 864,876 5,086 154,169
Lehman Brothers Holding, Inc. 54,075 3,230,981 52,360 3,128,510 9,335 557,766
Lincoln National Corp. 7,460 737,608 7,490 740,574 1,355 133,976
MBNA Corp. 164,850 3,935,794 159,943 3,818,639 28,550 681,631
Mercantile Bancorporation, Inc. 52,885 2,512,038 51,620 2,451,950 9,205 437,238
Merrill Lynch & Co., Inc. 77,145 6,822,511 75,940 6,715,944 13,560 1,199,213
Morgan (J.P.) & Co., Inc. 38,785 4,785,099 37,630 4,642,601 6,680 824,145
Morgan Stanley, Dean Witter, Discover
and Co. 32,600 3,257,963 32,100 3,207,994 5,700 569,644
Muenchener Rueckversicherungs --
Gesellschaft AG (Germany) 2,534 502,587 3,147 624,168 784 155,497
Munich Re (Germany) 1,334 268,167 1,747 351,191 384 77,194
National City Corp. 30,000 1,991,250 29,300 1,944,788 5,300 351,788
National Westminster Bancorp Inc.
(United Kingdom) 134,503 3,095,213 170,200 3,916,680 41,355 951,670
Net.B@nk, Inc. 24,700 1,679,600 20,200 1,373,600 3,600 244,800
Nikko Securities Co. Ltd. (Japan) (NON) 832,000 3,845,378 1,039,000 4,802,101 252,000 1,164,706
Nordbanken Holding AG (Sweden) 70,291 399,825 80,960 460,512 33,813 192,333
Northern Trust Corp. 10,700 950,294 10,500 932,531 1,800 159,863
Overseas Union Bank Ltd. (Singapore) 68,000 240,255 86,000 303,852 21,000 74,196
PNC Bank Corp. 66,905 3,717,409 65,635 3,646,845 11,697 649,915
Promise Co., Ltd. (Japan) 38,300 2,014,773 44,100 2,319,882 13,000 683,866
Providian Financial Corp. 57,160 6,287,600 56,120 6,173,200 9,950 1,094,500
Reinsurance Group America, Inc. 37,775 1,607,798 30,823 1,311,890 5,530 235,371
Schwab (Charles) Corp. 36,400 3,498,950 34,300 3,297,088 6,300 605,588
Societe Generale (France) 21,142 4,045,522 26,385 5,048,770 6,448 1,233,825
Summit Bancorp 17,190 670,410 17,030 664,170 3,015 117,585
SunTrust Banks, Inc. 8,700 541,575 8,600 535,350 1,600 99,600
Svenska Handelsbanken (Sweden) 35,650 1,236,109 41,442 1,436,938 10,459 362,650
Synovus Financial Corp. 9,100 185,981 9,000 183,938 1,600 32,700
Takefuji Corp. (Japan) 9,500 726,471 12,000 917,647 2,900 221,765
U.S. Bancorp 40,660 1,384,981 39,680 1,351,600 7,380 251,381
UBS AG (Switzerland) 13,051 4,093,568 16,111 5,053,366 3,992 1,252,128
Washington Mutual, Inc. 136,679 5,586,754 132,457 5,414,180 24,268 991,955
Wells Fargo & Co. 60,640 2,126,190 57,210 2,005,926 10,910 382,532
------------ ------------ ------------
223,485,421 231,602,842 45,820,330
Medical Supplies and Devices 0.8% 0.6% 0.3%
- --------------------------------------------------------------------------------------------------------------------------------
Baxter International, Inc. 69,300 4,573,800 67,845 4,477,770 12,120 799,920
Guidant Corp. 38,000 2,299,000 37,300 2,256,650 6,600 399,300
Igen, Inc. (NON) 20,100 482,400 17,000 408,000 3,200 76,800
Minimed, Inc. (NON) 3,000 304,875 2,300 233,738 400 40,650
ResMed Inc. 36,800 1,039,600 30,100 850,325 5,400 152,550
Sabratek Corp. (NON) 57,800 867,000 48,700 730,500 7,500 112,500
Xomed Surgical Products Inc. 98,850 3,879,863 80,850 3,173,363 14,700 576,975
------------ ------------ ------------
13,446,538 12,130,346 2,158,695
Metals and Mining 0.1% 0.1% --%
- --------------------------------------------------------------------------------------------------------------------------------
Alcoa Inc. 29,325 1,207,823 28,615 1,178,580 5,005 206,143
Freeport-McMoRan Copper &
Gold Co., Inc. Class A 23,200 237,800 23,305 238,876 4,095 41,974
Freeport-McMoRan Copper &
Gold Co., Inc. Class B 15,500 168,563 15,535 168,943 2,795 30,396
------------ ------------ ------------
1,614,186 1,586,399 278,513
Oil and Gas 3.6% 3.0% 1.6%
- --------------------------------------------------------------------------------------------------------------------------------
Atlantic Richfield Co. 65,468 4,779,164 64,146 4,682,658 11,500 839,500
BP Amoco PLC ADR (United Kingdom) 40,920 4,130,358 39,981 4,035,539 7,260 732,825
Burmah Castrol PLC (United Kingdom) (NON) 114,956 1,753,406 141,606 2,159,895 34,600 527,749
Chevron, Inc. 47,410 4,192,822 46,525 4,114,555 8,215 726,514
Conoco, Inc. 120,390 2,957,079 117,840 2,894,445 20,940 514,339
Elf Aquitaine S.A. (France) 30,318 4,100,055 37,877 5,122,296 8,682 1,174,110
Enron Corp. 38,690 2,485,833 38,135 2,450,174 6,950 446,538
Ente Nazionale Idrocarburi SPA (Italy) 233,726 1,482,407 296,443 1,880,190 71,694 454,719
Exxon Corp. 165,320 11,665,393 162,215 11,446,296 28,430 2,006,092
Halliburton Co. 67,536 2,600,136 65,599 2,525,562 11,690 450,065
Hong Kong and China Gas Co., Ltd.
(Hong Kong) 164,000 231,746 209,000 295,335 52,000 73,480
Laurasia Resources Ltd. (Canada) 39,620 958,309 50,161 1,213,276 12,169 294,330
Mobil Corp. 52,790 4,645,520 51,695 4,549,160 9,190 808,720
Occidental Petroleum Corp. 78,930 1,420,740 76,165 1,370,970 13,585 244,530
Royal Dutch Petroleum Co. PLC ADR
(Netherlands) 32,160 1,672,320 31,930 1,660,360 5,785 300,820
Schlumberger Ltd. 30,200 1,817,663 29,900 1,799,606 5,310 319,596
Sonat, Inc. 76,895 2,306,850 74,980 2,249,400 13,445 403,350
Texaco, Inc. 28,540 1,619,645 28,000 1,589,000 4,925 279,494
Tosco Corp. 60,520 1,501,653 59,890 1,486,021 10,525 261,152
Unocal Corp. 24,160 889,390 23,590 868,407 4,300 158,294
Williams Cos., Inc. 84,785 3,349,008 83,115 3,283,043 14,715 581,243
------------ ------------ ------------
60,559,497 61,676,188 11,597,460
Paper and Forest Products 0.4% 0.3% 0.1%
- --------------------------------------------------------------------------------------------------------------------------------
Boise Cascade Corp. 51,240 1,652,490 50,020 1,613,145 9,110 293,798
Fort James Corp. 16,200 513,338 15,900 503,831 2,800 88,725
Smurfit-Stone Container Corp. (NON) 70,650 1,364,428 68,965 1,331,887 12,565 242,662
Weyerhaeuser Co. 43,390 2,408,145 41,970 2,329,335 7,715 428,183
------------ ------------ ------------
5,938,401 5,778,198 1,053,368
Pharmaceuticals 6.4% 5.3% 2.7%
- --------------------------------------------------------------------------------------------------------------------------------
Allergan, Inc. 14,800 1,300,550 14,500 1,274,188 2,600 228,475
American Home Products Corp. 152,985 9,982,271 150,080 9,792,720 26,455 1,726,189
Amgen Inc. 46,300 3,466,713 45,300 3,391,853 8,200 613,975
Biogen, Inc. (NON) 24,800 2,834,950 24,600 2,812,088 4,400 502,975
Bristol-Myers Squibb Co. 101,180 6,507,139 99,340 6,388,804 17,580 1,130,614
Coulter Pharmaceutical, Inc. (NON) 80,700 1,755,225 66,800 1,452,900 11,700 254,475
Eisai Co. Ltd. (Japan) (NON) 37,000 769,538 47,000 977,521 11,000 228,782
Lilly (Eli) & Co. 44,200 3,751,475 43,800 3,717,525 8,000 679,000
Medicis Pharmaceutical Corp. Class A 85,875 2,576,250 71,025 2,130,750 12,525 375,750
Merck & Co., Inc. 181,820 14,579,691 178,485 14,312,266 31,940 2,561,189
Novartis AG ADR (Switzerland) 2,873 4,653,000 3,544 5,739,726 878 1,421,975
Pfizer, Inc. 62,700 8,699,625 61,700 8,560,875 11,000 1,526,250
Pharmacia & Upjohn, Inc. 242,654 15,135,543 240,840 15,022,395 41,181 2,568,665
Pharmacia & Upjohn, Inc ADS (Sweden) 43,477 2,720,338 55,163 3,451,526 13,323 833,615
Priority Healthcare Corp. Class B (NON) 53,300 2,411,825 44,100 1,995,525 8,000 362,000
Sankyo Co., Ltd. (Japan) 44,000 939,160 57,000 1,216,639 14,000 298,824
Schering-Plough Corp. 186,200 10,299,188 180,600 9,989,438 32,300 1,786,594
Smithkline Beecham PLC ADR
(United Kingdom) 102,732 1,479,213 126,728 1,824,725 31,725 456,800
Warner-Lambert Co. 154,300 10,212,731 151,300 10,014,169 27,400 1,813,538
Yamanouchi Pharmaceutical Co., Ltd.
(Japan) 94,000 2,962,185 114,000 3,592,437 29,000 913,866
------------ ------------ ------------
107,036,610 107,658,070 20,283,551
Photography 0.3% 0.3% 0.2%
- --------------------------------------------------------------------------------------------------------------------------------
Canon, Inc. (Japan) 94,300 2,321,840 119,100 2,932,462 29,300 721,420
Eastman Kodak Co. 52,485 3,352,479 51,320 3,278,065 9,150 584,456
------------ ------------ ------------
5,674,319 6,210,527 1,305,876
Publishing 0.4% 0.3% 0.1%
- --------------------------------------------------------------------------------------------------------------------------------
Consolidated Graphics, Inc. (NON) 23,200 1,339,800 20,500 1,183,875 3,700 213,675
McGraw-Hill, Inc. 45,190 2,462,855 44,190 2,408,355 7,900 430,550
Times Mirror Co. Class A 48,617 2,628,357 47,635 2,575,267 8,475 458,180
------------ ------------ ------------
6,431,012 6,167,497 1,102,405
Real Estate 0.1% 0.1% 0.1%
- --------------------------------------------------------------------------------------------------------------------------------
Cheung Kong Holdings Ltd. (Hong Kong) (NON) 76,000 578,655 97,000 738,547 23,000 175,119
Equity Residential Properties Trust (R) 18,392 758,670 17,580 725,175 3,098 127,793
Starwood Hotels & Resorts Worldwide, Inc. 27,352 781,242 26,000 742,625 4,601 131,410
------------ ------------ ------------
2,118,567 2,206,347 434,322
Retail 6.3% 5.1% 2.6%
- --------------------------------------------------------------------------------------------------------------------------------
99 Cents Only Stores 47,493 2,015,484 39,250 1,665,672 7,112 301,816
Albertsons, Inc. 32,950 1,789,597 32,490 1,764,613 5,785 314,198
Best Buy, Inc. 57,800 3,005,600 58,600 3,047,200 9,200 478,400
CVS Corp. 181,300 8,611,750 175,864 8,353,540 31,394 1,491,215
Coles Myer Ltd. (Australia) (NON) 232,100 1,260,763 286,400 1,555,720 70,413 382,482
Cost Plus, Inc. 57,750 1,696,406 47,850 1,405,594 8,700 255,563
Costco Companies, Inc. (NON) 104,700 9,586,594 101,600 9,302,750 18,100 1,657,281
Dayton Hudson Corp. 23,000 1,532,375 22,555 1,502,727 4,160 277,160
Dixons Group PLC (United Kingdom) 86,930 1,839,351 107,100 2,266,128 26,748 565,961
Federated Department Stores, Inc. (NON) 85,880 3,445,935 83,620 3,355,253 15,225 610,903
Gap, Inc. (The) 50,800 3,419,475 49,700 3,345,431 9,000 605,813
Home Depot, Inc. (The) 126,500 7,874,625 122,700 7,638,075 21,900 1,363,275
K mart Corp. (NON) 188,155 3,163,356 183,630 3,087,279 32,270 542,539
Koninklijke Ahold N.V. (Netherlands) 65,480 2,498,881 80,775 3,082,576 20,221 771,684
Kroger Co. (NON) 67,600 4,047,550 66,100 3,957,738 11,900 712,513
Linens 'N Things, Inc. 86,700 3,934,013 73,700 3,344,138 13,800 626,175
Marks & Spencer PLC (United Kingdom) 124,219 816,730 156,562 1,029,383 34,740 228,413
May Department Stores Co. 37,200 1,455,450 35,850 1,402,631 6,300 246,488
Penney (J.C.) Co., Inc. 11,300 457,650 11,100 449,550 2,100 85,050
Rite Aid Corp. 44,450 1,111,250 44,430 1,110,750 7,950 198,750
Safeway, Inc. (NON) 122,500 6,285,781 118,800 6,095,925 21,200 1,087,825
Saks, Inc. (NON) 24,510 637,260 24,010 624,260 4,340 112,840
Sears, Roebuck & Co. 61,785 2,791,910 60,625 2,739,492 10,715 484,184
TJX Cos., Inc. (The) 174,000 5,916,000 171,100 5,817,400 30,500 1,037,000
Tricon Global Restaurants, Inc. (NON) 42,300 2,971,575 41,500 2,915,375 7,300 512,825
Tweeter Home Entertainment Group, Inc. (NON) 38,742 1,249,430 32,064 1,034,064 5,954 192,017
Vendex International N.V. (Netherlands) 29,340 704,930 37,459 899,999 9,271 222,747
Wal-Mart Stores, Inc. 163,100 15,035,781 158,200 14,584,063 28,300 2,608,906
Walgreen Co. 234,800 6,633,100 227,800 6,435,350 40,700 1,149,775
------------ ------------ ------------
105,788,602 103,812,676 19,123,798
Specialty Consumer Products 0.2% 0.2% 0.1%
- --------------------------------------------------------------------------------------------------------------------------------
Action Performance Cos., Inc. (NON) 27,100 816,388 23,000 692,875 4,400 132,550
Gucci Group N.V. (Netherlands) 21,446 1,726,403 26,483 2,131,882 6,566 528,563
Guitar Center, Inc. (NON) 71,000 1,451,063 61,200 1,250,775 9,100 185,981
------------ ------------ ------------
3,993,854 4,075,532 847,094
Telecommunications 7.9% 6.9% 3.9%
- --------------------------------------------------------------------------------------------------------------------------------
AirTouch Communications, Inc. (NON) 39,800 3,845,675 39,500 3,816,688 7,000 676,375
ALLTEL Corp. 19,465 1,214,129 19,070 1,189,491 3,400 212,075
American Telephone & Telegraph Corp. 118,495 9,457,401 116,241 9,277,450 20,600 1,644,106
American Telephone & Telegraph Corp.
Class A (NON) 89,960 4,734,145 90,220 4,747,828 15,704 826,423
BCE, Inc. (Canada) 94,216 4,168,988 116,266 5,144,684 29,128 1,288,892
Black Box Corp. (NON) 45,600 1,413,600 37,250 1,154,750 6,800 210,800
British Telecommunications PLC ADR 208,128 3,390,877 256,521 4,179,308 63,710 1,037,980
Cable & Wireless Communications
(United Kingdom) 70,600 796,972 89,800 1,013,712 21,698 244,939
Cable & Wireless PLC (United Kingdom) 211,957 2,643,742 261,564 3,262,490 65,530 817,356
Carso Global Telecom (Mexico) 54,100 280,917 66,600 345,824 16,700 86,716
Celcaribe S.A. (Colombia) (NON) 4,878 12,195 35,772 89,430 3,252 8,130
CellNet Data Systems, Inc. 1,000 5,750 3,200 18,400 800 4,600
China Telecom Ltd. (Hong Kong) 1,087,000 1,809,563 1,339,000 2,229,075 330,000 549,361
DDI Corp. (Japan) (NON) 248 1,167,059 306 1,440,000 76 357,647
Ericsson Class B, (Sweden) 33,641 814,276 41,963 1,015,709 30,469 737,498
Exodus Communications, Inc. 14,300 1,923,350 11,700 1,573,650 2,100 282,450
France Telecom S.A. (France) 17,790 1,432,406 21,980 1,769,775 5,369 432,298
General Instrument Corp. 55,400 1,679,313 55,000 1,667,188 9,800 297,063
Hellenic Telecommunication Organization S.A.
GDR (Greece) 55,805 1,352,485 70,660 1,712,510 17,497 424,056
Intermedia Communications, Inc. 39,000 1,038,375 32,300 859,988 6,000 159,750
Lucent Technologies, Inc. 115,300 12,423,575 111,800 12,046,450 20,000 2,155,000
MCI WorldCom, Inc. (NON) 146,300 12,956,694 142,000 12,575,875 25,400 2,249,488
Northern Telecom Ltd. (Canada) 37,495 2,329,377 36,515 2,268,494 6,790 421,829
NTT Mobile Communications
(Luxembourg) 14 688,235 18 884,874 4 196,639
Orange PLC ADR (United Kingdom) 118,600 1,656,089 146,300 2,042,882 36,203 505,526
Oy Nokia AB Class A (Finland) 39,527 6,335,486 48,522 7,777,227 10,982 1,760,222
P-Com, Inc. (NON) 62,400 475,800 51,000 388,875 9,100 69,388
Pinnacle Holdings Inc. (NON) 183,600 2,776,950 149,900 2,267,238 27,000 408,375
Portugal Telecom S.A. (Portugal) 48,268 2,152,837 61,147 2,727,263 14,825 661,221
Powerwave Technologies, Inc.(NON) 49,700 1,410,238 40,900 1,160,538 7,300 207,138
QUALCOMM, Inc. 22,000 2,736,250 21,600 2,686,500 3,900 485,063
Sprint Corp. 125,425 12,307,328 123,790 12,146,910 22,225 2,180,828
Sprint Corp. (PCS Group) 39,301 1,741,503 38,601 1,710,485 6,801 301,347
Stanford Telecommunications, Inc. (NON) 47,800 740,900 28,600 443,300 5,000 77,500
Swisscom AG ADR (Switzerland) 9,452 3,685,164 11,657 4,544,864 2,903 1,131,827
Tele Centro Sul Participacoes S.A. (Brazil) 26,503 1,224,119 32,497 1,500,970 8,090 373,659
Telecom Italia SPA (Italy) 668,873 7,075,353 847,472 8,964,576 205,418 2,172,912
Telesp Celular Participacoes S.A. ADR
(Brazil) 57,200 1,197,625 70,370 1,473,392 17,588 368,249
Telesp Participacoes S.A. ADR (Brazil) 71,851 1,481,927 89,275 1,841,297 22,121 456,246
Telfonica de Espana (Spain) 99,221 4,190,773 122,368 5,168,427 30,471 1,286,996
Tellabs, Inc. 38,800 3,792,700 39,500 3,861,125 6,200 606,050
Tut Systems, Inc. (NON) 15,200 756,200 12,400 616,900 2,200 109,450
U S West, Inc. 64,756 3,565,627 62,950 3,466,184 11,470 631,567
WinStar Communications. Inc. (NON) 27,400 995,819 23,400 850,444 4,600 167,181
------------ ------------ ------------
131,877,787 139,923,040 29,282,216
Transportation 1.7% 1.4% 0.7%
- --------------------------------------------------------------------------------------------------------------------------------
AMR Corp. 10,600 620,763 10,100 591,481 2,000 117,125
Atlantic Coast Airlines Holdings 44,300 1,245,938 36,700 1,032,188 6,700 188,438
Bombardier, Inc. (Canada) 102,700 1,351,405 129,672 1,706,324 32,186 423,528
British Airways PLC (United Kingdom) 165,987 1,148,861 204,578 1,415,965 50,268 347,925
Burlington Northern Santa Fe Corp. 103,023 3,386,881 100,470 3,302,951 17,786 584,715
Delta Air Lines, Inc. 52,690 3,661,955 51,445 3,575,428 9,070 630,365
Eagle USA Airfreight, Inc. (NON) 95,800 3,113,500 79,200 2,574,000 14,300 464,750
Expeditors International of Washington, Inc. 43,620 2,355,480 36,120 1,950,480 6,540 353,160
FDX Corp. (NON) 26,300 2,440,969 25,800 2,394,563 4,500 417,656
Mesaba Holdings, Inc. 122,900 1,647,628 101,700 1,363,416 18,400 246,675
Norfolk Southern Corp. 21,400 564,425 20,500 540,688 3,600 94,950
Peninsular and Oriental Steam Navigation Co.
(United Kingdom) 81,937 1,191,014 100,878 1,466,335 25,345 368,407
SkyWest, Inc. 53,300 1,539,038 44,100 1,273,388 8,000 231,000
Southwest Airlines Co. 59,455 1,798,514 58,220 1,761,155 10,365 313,541
TNT Post Group N.V. (Netherlands) 50,410 1,511,922 62,235 1,866,583 15,513 465,274
UAL Corp. (NON) 13,615 1,058,566 13,300 1,034,075 2,445 190,099
------------ ------------ ------------
28,636,859 27,849,020 5,437,608
Utilities 3.4% 3.0% 1.6%
- --------------------------------------------------------------------------------------------------------------------------------
Ameritech Corp. 53,405 3,090,814 52,535 3,040,463 9,165 530,424
Anglian Water PLC (United Kingdom) 92,000 1,127,502 113,300 1,388,543 27,800 340,702
Bell Atlantic Corp. 91,665 4,737,935 89,885 4,645,931 15,945 824,157
BellSouth Corp. 39,200 1,570,450 38,285 1,533,793 6,825 273,427
Companhia Energetica de Minas Gerais
ADR (Brazil) 38,600 873,325 48,000 1,086,000 12,100 273,763
Consolidated Edison, Inc. 59,015 2,674,117 57,375 2,599,805 10,200 462,188
Dominion Resources, Inc. 15,745 581,581 15,450 570,684 2,780 102,686
Duke Energy Corp. 61,965 3,384,838 60,775 3,319,834 10,740 586,673
Edison International 69,710 1,551,048 68,850 1,531,913 12,240 272,340
Entergy Corp. 96,630 2,657,325 94,355 2,594,763 16,740 460,350
GTE Corp. 54,213 3,279,887 52,706 3,188,713 9,218 557,689
Independent Energy Holdings PLC
(United Kingdom) (NON) 90,700 895,663 75,100 741,613 13,600 134,300
Korea Electric Power Corp. (South Korea) 1,820 43,941 2,250 54,323 550 13,279
Korea Electric Power Corp. ADR
(South Korea) 92,200 1,169,788 113,500 1,440,031 28,500 361,594
Nippon Telegraph and Telephone Corp.
(Japan) 650 6,336,134 801 7,808,067 200 1,949,580
Public Service Enterprise Group, Inc. 16,805 641,741 16,855 643,650 2,995 114,372
SBC Communications, Inc. 251,200 11,837,800 244,700 11,531,488 43,200 2,035,800
Scottish Power PLC (United Kingdom) 194,575 1,693,211 239,800 2,086,764 58,645 510,335
Sempra Energy 32,500 623,594 30,900 592,894 5,550 106,491
Southern Co. 50,290 1,172,386 49,965 1,164,809 8,830 205,849
Telefonos de Mexico S.A. ADR Class L
(Mexico) 38,947 2,551,029 48,124 3,152,122 11,957 783,184
Texas Utilities Co. 62,364 2,599,799 60,660 2,528,764 10,670 444,806
Tokyo Electric Power Co. (Japan) 109,100 2,337,857 138,000 2,957,143 34,200 732,857
------------- ------------- -------------
57,431,765 60,202,110 12,076,846
------------- ------------- -------------
Total Common Stocks
(cost $1,071,824,053, $1,070,613,487 and
$210,711,116) $1,323,072,487 $1,323,331,796 $257,742,466
- --------------------------------------------------------------------------------------------------------------------------------
GROWTH BALANCED CONSERVATIVE
6.1% 12.7% 18.7%
CORPORATE BONDS Principal Principal Principal
AND NOTES (a) Amount Value Amount Value Amount Value
Advertising 0.1% 0.2% 0.2%
- --------------------------------------------------------------------------------------------------------------------------------
Adams Outdoor Advertising sr. notes
10 3/4s, 2006 $ 300,000 $ 327,000 $ 530,000 $ 577,700 $ 300,000 $ 327,000
Lamar Advertising Co. sr. sub. notes
9 5/8s, 2006 240,000 259,200 800,000 864,000 255,000 275,400
Lamar Advertising Co. company guaranty
8 5/8s, 2007 35,000 36,838 70,000 73,675 20,000 21,050
Outdoor Communications Inc. sr. sub. notes
9 1/4s, 2007 340,000 366,350 775,000 835,063 260,000 280,150
Outdoor Systems, Inc. sr. sub. notes
9 3/8s, 2006 10,000 10,750 35,000 37,625 10,000 10,750
Outdoor Systems, Inc. company guaranty
8 7/8s, 2007 375,000 400,781 1,700,000 1,816,875 475,000 507,656
------------- ------------- -------------
1,400,919 4,204,938 1,422,006
Aerospace and Defense 0.1% 0.2% 0.3%
- --------------------------------------------------------------------------------------------------------------------------------
Argo-Tech Corp. 144A sr. sub. notes
8 5/8s, 2007 80,000 76,000 220,000 209,000 70,000 66,500
Argo-Tech Corp. company guaranty
8 5/8s, 2007 30,000 28,500 80,000 76,000 20,000 19,000
Aviation Sales Co. company guaranty
8 1/8s, 2008 160,000 160,400 400,000 401,000 130,000 130,325
BE Aerospace, Inc. sr. sub. notes Ser. B,
9 7/8s, 2006 275,000 290,125 650,000 685,750 400,000 422,000
BE Aerospace, Inc. sr. sub. notes
9 1/2s, 2008 50,000 53,375 140,000 149,450 40,000 42,700
BE Aerospace, Inc. sr. sub. notes Ser. B,
8s, 2008 200,000 199,000 550,000 547,250 100,000 99,500
Derlan Industries Ltd. sr. notes 10s, 2007
(Canada) 150,000 133,500 425,000 378,250 125,000 111,250
K&F Industries, Inc. sr. sub. notes Ser. B,
9 1/4s, 2007 35,000 35,831 85,000 87,019 30,000 30,713
Lockheed Martin Corp. company guaranty
7.45s, 2004 175,000 185,159 430,000 454,962 -- --
Lockheed Martin Corp. company
guaranty 7 1/4s, 2006 -- -- -- -- 1,190,000 1,242,788
Raytheon Co. notes 6.45s, 2002 290,000 294,814 -- -- -- --
Raytheon Co. notes 6.15s, 2008 530,000 521,880 2,050,000 2,018,594 -- --
Sequa Corp. sr. sub. notes 9 3/8s, 2003 -- -- 10,000 10,150 -- --
------------- ------------- -------------
1,978,584 5,017,425 2,164,776
Agriculture --% --% --%
- --------------------------------------------------------------------------------------------------------------------------------
Premium Standard Farms, Inc.
sr. sec. notes 11s, 2003 (PIK) 4,007 3,847 15,182 14,575 8,590 8,247
Apparel --% 0.1% --%
- --------------------------------------------------------------------------------------------------------------------------------
Fruit of the Loom 144A company
guaranty 8 7/8s, 2006 360,000 360,900 880,000 882,200 310,000 310,775
Sassco Fashions Ltd. sr. notes 12 3/4s, 2004 35,000 34,475 250,000 246,250 30,000 29,550
------------- ------------- -------------
395,375 1,128,450 340,325
Automotive 0.3% 0.6% 1.0%
- --------------------------------------------------------------------------------------------------------------------------------
Aftermarket Technology Corp.
sr. sub. notes 12s, 2004 460,000 472,650 1,082,000 1,111,755 398,000 408,945
Aftermarket Technology Corp.
sr. sub. notes Ser. D, 12s, 2004 11,000 11,303 18,000 18,495 12,000 12,330
Chrysler Corp. deb. Ser. B, 7.45s, 2097 135,000 143,828 325,000 346,252 485,000 516,714
Federal Mogul Corp. 144A notes
7 1/2s, 2009 150,000 146,361 340,000 331,752 140,000 136,604
Federal Mogul Corp. 144A notes
7 3/8s, 2006 460,000 450,818 1,190,000 1,166,248 400,000 392,016
Ford Motor Co. bonds 6 5/8s, 2028 380,000 365,792 930,000 895,227 1,895,000 1,824,146
Ford Motor Credit Corp. sr. notes
5.8s, 2009 840,000 806,912 2,055,000 1,974,054 -- --
General Motors Acceptance Corp.
sr. unsub. notes 5.85s, 2009 -- -- 1,090,000 1,049,408 -- --
General Motors Acceptance Corp.
notes 5 3/4s, 2003 245,000 242,881 575,000 570,026 870,000 862,475
Hayes Wheels International, Inc.
company guaranty Ser. B, 9 1/8s, 2007 150,000 156,375 355,000 370,088 250,000 260,625
Hayes Wheels International, Inc. 144A
company guaranty 8 1/4s, 2008 100,000 100,500 280,000 281,400 -- --
Hertz Corp. sr. notes 7s, 2028 550,000 533,264 1,385,000 1,342,854 1,600,000 1,551,312
Lear Corp. sub. notes 9 1/2s, 2006 250,000 274,063 730,000 800,263 210,000 230,213
Navistar International Corp. sr. notes
Ser. B, 8s, 2008 -- -- 450,000 465,750 250,000 258,750
Navistar International Corp. sr. notes
Ser. B, 7s, 2003 400,000 404,000 640,000 646,400 250,000 252,500
Safety Components International, Inc.
sr. sub. notes Ser. B, 10 1/8s, 2007 40,000 37,600 120,000 112,800 35,000 32,900
Talon Automotive Group sr. sub. notes
Ser. B, 9 5/8s, 2008 220,000 192,500 560,000 490,000 190,000 166,250
------------- ------------- -------------
4,338,847 11,972,772 6,905,780
Basic Industrial Products 0.1% 0.2% 0.2%
- --------------------------------------------------------------------------------------------------------------------------------
American Standard Companies, Inc.
sr. notes 7 3/8s, 2008 425,000 417,031 1,035,000 1,015,594 375,000 367,969
Ball Corp. company guaranty 8 1/4s, 2008 290,000 300,150 710,000 734,850 250,000 258,750
Ball Corp. company guaranty 7 3/4s, 2006 130,000 133,900 330,000 339,900 120,000 123,600
Newcor, Inc. company guaranty Ser. B,
9 7/8s, 2008 250,000 221,250 450,000 398,250 200,000 177,000
Owens-Illinois, Inc. sr. notes 8.1s, 2007 80,000 83,667 210,000 219,626 70,000 73,209
Owens-Illinois, Inc. sr. notes 7.35s, 2008 220,000 217,998 560,000 554,904 190,000 188,271
Owens-Illinois, Inc. sr. notes 7.15s, 2005 260,000 255,988 670,000 659,662 230,000 226,451
------------- ------------- -------------
1,629,984 3,922,786 1,415,250
Broadcasting 0.4% 0.8% 0.8%
- --------------------------------------------------------------------------------------------------------------------------------
Affinity Group Holdings sr. notes 11s, 2007 395,000 395,000 990,000 990,000 350,000 350,000
Benedek Communications Corp.
sr. disc. notes stepped-coupon zero %
(13 1/4s, 5/15/01), 2006 (STP) 250,000 190,000 600,000 456,000 225,000 171,000
Benedek Communications Corp. sr. notes
11 7/8s, 2005 600,000 648,000 1,510,000 1,630,800 520,000 561,600
Capstar Broadcasting sr. disc. notes
stepped-coupon zero %
(12 3/4s, 2/1/02), 2009 (STP) 175,000 147,875 465,000 392,925 155,000 130,975
Capstar Broadcasting sr. sub. notes
9 1/4s, 2007 230,000 241,500 850,000 892,500 195,000 204,750
Central European Media Enterprises
Ltd. sr. notes 9 3/8s, 2004 (Bermuda) 20,000 19,000 60,000 57,000 20,000 19,000
Chancellor Media Corp. sr. sub. notes
9 3/8s, 2004 -- -- 5,000 5,200 5,000 5,200
Chancellor Media Corp. 144A sr. notes
8s, 2008 560,000 583,100 1,430,000 1,488,988 480,000 499,800
Citadel Broadcasting Inc. sr. sub. notes
10 1/4s, 2007 100,000 110,000 124,370 136,807 340,000 374,000
Citadel Broadcasting Inc. company
guaranty 9 1/4s, 2008 470,000 502,900 1,080,000 1,155,600 400,000 428,000
Comcast Corp. sr. sub. notes 9 1/2s, 2008 170,000 179,173 830,000 874,787 300,000 316,188
Comcast Corp. sr. notes sub. 9 1/8s, 2006 170,000 183,367 -- -- -- --
Comcast UK Cable, Ltd. deb. stepped-
coupon zero % (11.2s, 11/15/00),
2007 (Bermuda) (STP) 150,000 131,063 400,000 349,500 130,000 113,588
Diamond Cable Communication Co.
sr. disc. notes stepped-coupon zero %
(11 3/4s, 12/15/00), 2005
(United Kingdom) (STP) 115,000 101,631 450,000 397,688 90,000 79,538
Diamond Cable Communication Co.
sr. disc. notes stepped-coupon zero %
(10 3/4s, 2/15/02), 2007
(United Kingdom) (STP) 475,000 370,500 550,000 429,000 400,000 312,000
Fox Family Worldwide, Inc. sr. notes
9 1/4s, 2007 270,000 255,825 830,000 786,425 300,000 284,250
Fox/Liberty Networks LLC sr. notes
8 7/8s, 2007 340,000 351,900 860,000 890,100 270,000 279,450
Granite Broadcasting Corp. sr. sub. notes
10 3/8s, 2005 200,000 209,000 -- -- -- --
Granite Broadcasting Corp. sr. sub. notes
9 3/8s, 2005 200,000 196,250 225,000 220,781 150,000 147,188
Granite Broadcasting Corp. sr. sub. notes
8 7/8s, 2008 -- -- 350,000 351,750 -- --
Gray Communications Systems, Inc.
sr. sub. notes 10 5/8s, 2006 10,000 10,713 35,000 37,494 10,000 10,713
Jacor Communications, Inc. sr. sub. notes
10 1/8s, 2006 395,000 439,931 968,000 1,078,110 344,000 383,130
PHI Holdings, Inc. sr. sub. notes
zero %, 2001 159,000 131,080 447,000 368,507 178,000 146,743
Pegasus Communications Corp. 144A
sr. notes 9 3/4s, 2006 40,000 41,600 110,000 114,400 40,000 41,600
Pegasus Media & Communications notes
Ser. B, 12 1/2s, 2005 -- -- 200,000 220,000 200,000 220,000
Radio One Inc. company guaranty
Ser. B, stepped-coupon 7s,
(12s, 5/15/00), 2004 (STP) 5,000 5,150 10,000 10,300 10,000 10,300
SFX Broadcasting, Inc. sr. sub. notes
Ser. B, 10 3/4s, 2006 247,000 276,949 658,000 737,783 197,000 220,886
Sinclair Broadcast Group, Inc. sr. sub. notes
8 3/4s, 2007 510,000 520,200 1,545,000 1,575,900 450,000 459,000
Spanish Broadcasting Systems sr. notes
Ser. B, 11s, 2004 65,000 70,850 170,000 185,300 60,000 65,400
TV Azteca Holdings S.A. de C.V. sr. notes
11s, 2002 (Mexico) 40,000 34,000 100,000 85,000 25,000 21,250
Young Broadcasting, Inc. company guaranty
Ser. B, 9s, 2006 75,000 76,875 165,000 169,125 60,000 61,500
Young Broadcasting Inc. company guaranty
Ser. B, 8 3/4s, 2007 75,000 77,250 250,000 257,500 75,000 77,250
------------- ------------- -------------
6,500,682 16,345,270 5,994,299
Building and Construction 0.1% 0.2% 0.2%
- --------------------------------------------------------------------------------------------------------------------------------
Albecca Inc. company guaranty
10 3/4s, 2008 130,000 110,500 320,000 272,000 110,000 93,500
American Architectural Products Corp.
company guaranty 11 3/4s, 2007 35,000 29,750 90,000 76,500 25,000 21,250
Building Materials Corp. 144A sr. notes
8s, 2008 330,000 325,050 820,000 807,700 290,000 285,650
D.R. Horton Inc. company guaranty
10s, 2006 120,000 128,400 290,000 310,300 100,000 107,000
D.R. Horton, Inc. company guaranty
8s, 2009 400,000 391,000 1,000,000 977,500 350,000 342,125
GS Superhighway Holdings sr. notes
9 7/8s, 2004 (China) 220,000 112,200 540,000 275,400 170,000 86,700
Jackson Products, Inc. company guaranty
Ser. B, 9 1/2s, 2005 60,000 60,150 150,000 150,375 50,000 50,125
Morris Material Handling, Inc. company
guaranty 9 1/2s, 2008 120,000 63,600 300,000 159,000 100,000 53,000
Toll Corp. company guaranty 8 1/8s, 2009 120,000 119,400 390,000 388,050 110,000 109,450
------------- ------------- -------------
1,340,050 3,416,825 1,148,800
Business Equipment and Services 0.1% 0.1% 0.1%
- --------------------------------------------------------------------------------------------------------------------------------
Cex Holdings, Inc. company guaranty
Ser. B, 9 5/8s, 2008 110,000 103,400 280,000 263,200 90,000 84,600
Iron Mountain, Inc. company guaranty
10 1/8s, 2006 50,000 54,000 200,000 216,000 200,000 216,000
Iron Mountain, Inc. company guaranty
8 3/4s, 2009 575,000 589,375 940,000 963,500 335,000 343,375
Outsourcing Solutions, Inc. sr. sub. notes
Ser. B, 11s, 2006 25,000 24,625 75,000 73,875 25,000 24,625
U.S. Office Products Co. company
guaranty 9 3/4s, 2008 220,000 145,200 570,000 376,200 120,000 79,200
------------- ------------- -------------
916,600 1,892,775 747,800
Cable Television 0.2% 0.5% 0.5%
- --------------------------------------------------------------------------------------------------------------------------------
Acme Television sr. disc. notes stepped-
coupon zero % (10 7/8s, 9/30/00),
2004 (STP) 255,000 215,475 740,000 625,300 200,000 169,000
Century Communications Corp.
sr. notes 9 1/2s, 2005 315,000 337,050 835,000 893,450 280,000 299,600
Century Communications Corp.
sr. notes 8 7/8s, 2007 20,000 21,000 30,000 31,500 20,000 21,000
CSC Holdings, Inc. sr. sub. deb. 10 1/2s,
2016 10,000 12,000 10,000 12,000 260,000 312,000
CSC Holdings, Inc. sr. sub. deb. 9 7/8s,
2013 375,000 414,844 1,150,000 1,272,188 300,000 331,875
CSC Holdings, Inc. sr. sub. notes 9 1/4s,
2005 10,000 10,700 10,000 10,700 10,000 10,700
CSC Holdings, Inc. deb. Ser. B, 8 1/8s,
2009 398,000 427,683 970,000 1,042,343 340,000 365,357
CSC Holdings, Inc. deb. 7 7/8s, 2018 50,000 51,248 120,000 122,995 40,000 40,998
CSC Holdings, Inc. sr. notes 7 1/4s, 2008 120,000 121,642 310,000 314,241 110,000 111,505
Charter Communications Holdings LLC
144A sr. notes 8 5/8s, 2009 610,000 622,963 1,500,000 1,531,875 530,000 541,263
Globo Communicacoes 144A sr. notes
10 5/8s, 2008 (Brazil) 90,000 57,600 230,000 147,200 80,000 51,200
Grupo Televisa S.A. sr. disc. notes
stepped-coupon zero %
(13 1/4s, 5/15/01), 2008 (Mexico) (STP) 250,000 209,375 600,000 502,500 200,000 167,500
Grupo Televisa S.A. 144A sr. notes 11 7/8s,
2006 (Mexico) 250,000 258,750 600,000 621,000 200,000 207,000
Jones Intercable, Inc. sr. sub. deb.
10 1/2s, 2008 160,000 171,400 415,000 444,569 140,000 149,975
Jones Intercable, Inc. sr. notes 9 5/8s,
2002 40,000 42,100 80,000 84,200 30,000 31,575
Jones Intercable, Inc. sr. notes 8 7/8s,
2007 398,000 422,875 1,230,000 1,306,875 340,000 361,250
Jones Intercable, Inc. sr. notes 7 5/8s,
2008 50,000 52,750 100,000 105,500 -- --
Lenfest Communications, Inc. sr. sub. notes
10 1/2s, 2006 100,000 117,500 300,000 352,500 100,000 117,500
Lenfest Communications, Inc. sr. sub. notes
8 1/4s, 2008 310,000 319,300 750,000 772,500 240,000 247,200
Rogers Cablesystems Ltd. sr. notes Ser. B,
10s, 2005 (Canada) 40,000 45,100 100,000 112,750 30,000 33,825
Supercanal Holdings S.A. 144A sr. notes
11 1/2s, 2005 (Argentina) 120,000 48,000 300,000 120,000 100,000 40,000
------------- ------------- -------------
3,979,355 10,426,186 3,610,323
Chemicals 0.1% 0.2% 0.2%
- --------------------------------------------------------------------------------------------------------------------------------
Geo Specialty Chemicals 144A sr. sub. notes
10 1/8s, 2008 100,000 99,500 240,000 238,800 70,000 69,650
Huntsman Corp. 144A sr. sub. notes
9 1/2s, 2007 50,000 49,750 120,000 119,400 40,000 39,800
Huntsman Corp. 144A sr. sub. notes FRN
9.188s, 2007 120,000 110,400 300,000 276,000 100,000 92,000
Lyondell Petrochemical bank term loan
Ser. D, 7 1/4s, 2000 -- -- 1,000,000 982,500 -- --
Nova Chemicals Corp. med-term notes
7.4s, 2009 (Canada) 340,000 337,450 835,000 828,738 1,060,000 1,052,050
Pioneer Americas Acquisition 144A
sr. notes 9 1/4s, 2007 35,000 29,400 90,000 75,600 30,000 25,200
Polytama International notes 11 1/4s,
2007 (Indonesia) 51,912 3,634 129,782 9,085 43,261 3,028
Scotts Co 144A sr. sub. notes 8 5/8s, 2009 150,000 154,875 390,000 402,675 130,000 134,225
Sterling Chemicals Holdings sr. disc. notes
stepped-coupon zero %
(13 1/2s, 8/15/01), 2008 (STP) 100,000 42,500 270,000 114,750 100,000 42,500
Trikem S.A. 144A bonds 10 5/8s,
2007 (Brazil) 120,000 42,000 305,000 106,750 100,000 35,000
Union Carbide Global Enterprises
sr. sub. notes Ser. B, 12s, 2005 80,000 84,500 210,000 221,813 90,000 95,063
------------- ------------- -------------
954,009 3,376,111 1,588,516
Computer Services and Software 0.1% 0.2% 0.2%
- --------------------------------------------------------------------------------------------------------------------------------
Concentric Network Corp. sr. notes
12 3/4s, 2007 30,000 34,650 75,000 86,625 30,000 34,650
IPC Information Systems sr. disc. notes
stepped-coupon zero %
(10 7/8s, 11/1/01), 2008 (STP) 270,000 176,175 680,000 443,700 230,000 150,075
PSINet, Inc. sr. notes 11 1/2s, 2008 170,000 191,250 430,000 483,750 150,000 168,750
PSINet, Inc. sr. notes Ser. B, 10s, 2005 80,000 84,400 210,000 221,550 70,000 73,850
Unisys Corp. sr. notes 7 7/8s, 2008 310,000 325,500 670,000 703,500 240,000 252,000
Verio Inc. 144A sr. notes 11 1/4s, 2008 80,000 90,000 210,000 236,250 70,000 78,750
Verio Inc. sr. notes 10 3/8s, 2005 420,000 449,400 920,000 984,400 360,000 385,200
------------- ------------- -------------
1,351,375 3,159,775 1,143,275
Conglomerates --% 0.1% 0.2%
- --------------------------------------------------------------------------------------------------------------------------------
Axia, Inc. company guaranty 10 3/4s, 2008 160,000 159,200 400,000 398,000 130,000 129,350
Cia Latino Americana 144A company
guaranty 11 5/8s, 2004 (Argentina) 25,000 14,000 75,000 42,000 25,000 14,000
Tyco International Ltd. company guaranty
6 3/8s, 2005 220,000 221,333 485,000 487,939 745,000 749,515
Tyco International Ltd. company guaranty
6 1/4s, 2003 155,000 156,014 315,000 317,060 495,000 498,237
------------- ------------- -------------
550,547 1,244,999 1,391,102
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 230,000 167,900 585,000 427,050 190,000 138,700
Sealy Mattress Co. sr. sub. notes Ser. B,
9 7/8s, 2007 35,000 34,738 80,000 79,400 25,000 24,813
------------- ------------- -------------
208,188 523,100 169,063
Consumer Non Durables --% 0.1% 0.1%
- --------------------------------------------------------------------------------------------------------------------------------
Doane Products Co. 144A sr. sub. notes
9 3/4s, 2007 -- -- 45,000 47,419 15,000 15,806
Guess Jeans, Inc. sr. sub. notes 9 1/2s,
2003 250,000 250,000 940,000 940,000 375,000 375,000
Samsonite Corp. sr. sub. notes
10 3/4s, 2008 420,000 285,600 920,000 625,600 360,000 244,800
Westpoint Stevens, Inc. sr. notes
7 7/8s, 2008 200,000 204,500 500,000 511,250 180,000 184,050
------------- ------------- -------------
740,100 2,124,269 819,656
Consumer Products 0.1% 0.2% 0.5%
- --------------------------------------------------------------------------------------------------------------------------------
French Fragrances, Inc. sr. notes Ser. B,
10 3/8s, 2007 30,000 29,775 85,000 84,363 30,000 29,775
French Fragrances, Inc. company guaranty
Ser. D, 10 3/8s, 2007 50,000 51,000 130,000 132,600 40,000 40,800
Philip Morris Cos., Inc. notes 7 1/2s, 2004 570,000 604,126 1,130,000 1,197,653 1,845,000 1,955,460
Philip Morris Cos., Inc. notes 7 1/2s, 2002 260,000 269,662 685,000 710,455 915,000 949,001
Revlon Consumer Products sr. notes
9s, 2006 90,000 90,000 210,000 210,000 80,000 80,000
Revlon Consumer Products sr. sub. notes
8 5/8s, 2008 600,000 558,000 1,500,000 1,395,000 500,000 465,000
Triarc Consumer Products, Inc. 144A
sr. sub. notes 10 1/4s, 2009 170,000 169,575 410,000 408,975 150,000 149,625
------------- ------------- -------------
1,772,138 4,139,046 3,669,661
Consumer Services 0.1% 0.1% 0.1%
- --------------------------------------------------------------------------------------------------------------------------------
Coinmach Corp. sr. notes Ser. D,
11 3/4s, 2005 225,000 247,500 565,000 621,500 200,000 220,000
Consumers International 144A sr. notes
10 1/4s, 2005 10,000 10,500 5,000 5,250 5,000 5,250
FRD Acquisition Co. sr. notes Ser. B,
12 1/2s, 2004 75,000 75,750 200,000 202,000 75,000 75,750
Interact Systems, Inc. 144A stepped-
coupon zero % (14s, 8/1/99), 2003 (NON) 100,000 13,000 300,000 39,000 90,000 11,700
Protection One, Inc. sr. disc. notes
stepped-coupon zero %,
(13 5/8s, 6/30/00), 2005 (STP) 60,000 68,400 160,000 182,400 50,000 57,000
Protection One, Inc. 144A sr. sub. notes
8 1/8s, 2009 390,000 399,750 920,000 943,000 360,000 369,000
Viasystems Inc. sr. sub notes 9 3/4s, 2007 60,000 56,475 -- -- -- --
Viasystems, Inc. sr. notes Ser. B, 9 3/4s,
2007 50,000 46,750 650,000 607,750 225,000 210,375
------------- ------------- -------------
918,125 2,600,900 949,075
Electronics and Electrical Equipment 0.2% 0.3% 0.3%
- --------------------------------------------------------------------------------------------------------------------------------
Applied Power Inc. sr. sub. notes
8 3/4s, 2009 80,000 81,200 200,000 203,000 70,000 71,050
Celestica International Ltd. 144A
sr. sub. notes 10 1/2s, 2006 (Canada) 20,000 22,050 55,000 60,638 20,000 22,050
Cirent Semiconductor sr. sub. notes
10.22s, 2002 30,639 31,520 87,481 89,996 26,164 26,917
Cirent Semiconductor 144A sr. sub. notes
10.14s, 2004 30,986 31,877 83,745 86,153 -- --
DII Group, Inc. (The) sr. sub. notes
8 1/2s, 2007 290,000 291,450 110,000 110,550 40,000 40,200
Details, Inc. sr. sub. notes Ser. B, 10s,
2005 35,000 31,675 100,000 90,500 30,000 27,150
Dobson Communications Corp. sr. notes
11 3/4s, 2007 290,000 310,663 715,000 765,944 275,000 294,594
Fairchild Semiconductor Corp. 144A
sr. sub. notes 11.74s, 2008 213,829 207,415 344,700 334,359 166,408 161,416
Fairchild Semiconductor Corp. sr. sub. notes
10 1/8s, 2007 200,000 198,000 775,000 767,250 175,000 173,250
Flextronics International Ltd. sr. sub. notes
Ser. B, 8 3/4s, 2007 455,000 466,375 1,115,000 1,142,875 395,000 404,875
HCC Industries, Inc. company guaranty
10 3/4s, 2007 40,000 38,400 110,000 105,600 40,000 38,400
Metromedia Fiber Network, Inc. 144A
sr. notes 10s, 2008 660,000 706,200 1,670,000 1,786,900 590,000 631,300
Moog, Inc. sr. sub. notes Ser. B, 10s, 2006 20,000 20,825 60,000 62,475 20,000 20,825
Motors and Gears, Inc. sr. notes Ser. D,
10 3/4s, 2006 100,000 103,250 255,000 263,288 80,000 82,600
Samsung Electronics 144A company
guaranty 9 3/4s, 2003 30,000 30,600 70,000 71,400 30,000 30,600
Wavetek Corp. company guaranty
10 1/8s, 2007 25,000 23,250 60,000 55,800 20,000 18,600
Zilog, Inc. company guaranty Ser. B,
9 1/2s, 2005 140,000 116,200 360,000 298,800 120,000 99,600
------------- ------------- -------------
2,710,950 6,295,528 2,143,427
Energy-Related --% --% 0.1%
- --------------------------------------------------------------------------------------------------------------------------------
Gothic Production Corp. company
guaranty Ser. B, 11 1/8s, 2005 100,000 76,000 240,000 182,400 80,000 60,800
PP&L Capital Funding, Inc. company
guaranty 5.9s, 2000 130,000 126,100 215,000 208,550 680,000 659,600
Panda Global Energy Co. company
guaranty 12 1/2s, 2004 (China) 10,000 5,000 10,000 5,000 5,000 2,500
RAM Energy Inc. sr. notes 11 1/2s, 2008 70,000 44,800 190,000 121,600 60,000 38,400
York Power Funding 144A notes 12s,
2007 (Cayman Islands) 140,000 140,700 360,000 361,800 120,000 120,600
------------- ------------- -------------
392,600 879,350 881,900
Entertainment 0.4% 0.7% 0.9%
- --------------------------------------------------------------------------------------------------------------------------------
AMC Entertainment, Inc. sr. sub. notes
9 1/2s, 2009 425,000 405,875 1,060,000 1,012,300 373,000 356,215
Argosy Gaming Co. company guaranty
13 1/4s, 2004 180,000 203,400 440,000 497,200 150,000 169,500
Casino America, Inc. sr. notes 12 1/2s,
2003 55,000 62,769 160,000 182,600 50,000 57,063
Cinemark USA, Inc. sr. sub. notes
9 5/8s, 2008 205,000 211,663 490,000 505,925 160,000 165,200
Circus Circus Enterprises, Inc. sr. notes
6.45s, 2006 80,000 73,061 200,000 182,652 70,000 63,928
Colorado Gaming & Entertainment Co.
sr. notes 12s, 2003 50,000 51,500 275,000 283,250 50,000 51,500
Disney (Walt) Co. med. term notes
5.62s, 2008 310,000 299,150 720,000 694,800 1,080,000 1,042,200
Diva Systems Corp. sr. disc. notes Ser. B,
stepped-coupon zero %
(12 5/8s, 3/1/03), 2008 (STP) 488,000 143,960 1,231,000 363,145 403,000 118,885
Fitzgeralds Gaming Corp. company
guaranty Ser. B, 12 1/4s, 2004 190,000 99,750 460,000 241,500 160,000 84,000
Harrahs Entertainment, Inc. company
guaranty 7 1/2s, 2009 500,000 498,630 1,250,000 1,246,575 450,000 448,767
Hollywood Park Inc. sr. sub. notes Ser. B,
9 1/2s, 2007 220,000 223,300 530,000 537,950 190,000 192,850
Hollywood Park Inc. 144A sr. sub. notes
9 1/4s, 2007 140,000 143,500 350,000 358,750 120,000 123,000
Isle of Capri Black Hawk LLC 1st mortgage
Ser. B, 13s, 2004 30,000 32,550 80,000 86,800 30,000 32,550
ITT Corp. notes 6 3/4s, 2005 530,000 480,625 1,300,000 1,178,892 460,000 417,146
Mohegan Tribal Gaming Auth. 144A
sr. sub. notes 8 3/4s, 2009 210,000 218,925 530,000 552,525 180,000 187,650
Mohegan Tribal Gaming Auth. 144A
sr. notes 8 1/8s, 2006 190,000 194,275 460,000 470,350 160,000 163,600
Park Place Entertainment sr. sub. notes
7 7/8s, 2005 140,000 137,550 340,000 334,050 120,000 117,900
Premier Parks, Inc. sr. notes Ser. A, 12s,
2003 105,000 112,613 270,000 289,575 90,000 96,525
Premier Parks, Inc. sr. notes 9 1/4s, 2006 623,000 644,805 1,545,000 1,599,075 525,000 543,375
SFX Entertainment, Inc. 144A sr. sub. notes
9 1/8s, 2008 110,000 111,100 290,000 292,900 100,000 101,000
SFX Entertainment, Inc. 144A company
guaranty Ser. B, 9 1/8s, 2008 95,000 96,069 245,000 247,756 80,000 80,900
Silver Cinemas Inc. sr. sub. notes
10 1/2s, 2005 130,000 68,900 320,000 169,600 110,000 58,300
Six Flags Corp. sr. sub. notes zero %
(12 1/4s, 6/14/99), 2005 (STP) 345,000 383,381 1,050,000 1,166,813 405,000 450,056
Time Warner Entertainment Inc. notes
8 7/8s, 2012 225,000 269,345 400,000 478,836 580,000 694,312
Trump A.C. 1st mtge. 11 1/4s, 2006 155,000 137,950 375,000 333,750 105,000 93,450
Trump Castle Funding 144A sub. notes
10 1/4s, 2003 260,000 262,600 660,000 666,600 220,000 222,200
United Artists Theatre 144A
sr. sub. notes 9 3/4s, 2008 485,000 397,700 1,165,000 955,300 435,000 356,700
------------- ------------- -------------
5,964,946 14,929,469 6,488,772
Environmental Control 0.1% 0.1% 0.4%
- --------------------------------------------------------------------------------------------------------------------------------
Allied Waste Industries, Inc. company
guaranty Ser. B, 7 7/8s, 2009 425,000 412,250 1,005,000 974,850 380,000 368,600
Allied Waste Industries, Inc. company
guaranty Ser. B, 7 5/8s, 2006 180,000 175,950 450,000 439,875 150,000 146,625
U.S. Filter Corp. bonds 6 1/2s, 2003 -- -- -- -- 1,180,000 1,177,050
WMX Technologies Inc. notes 7.1s, 2026 300,000 312,768 685,000 714,154 1,010,000 1,052,986
------------- ------------- -------------
900,968 2,128,879 2,745,261
Food and Beverages --% 0.1% 0.2%
- --------------------------------------------------------------------------------------------------------------------------------
Ameriserve Food Co. company guaranty
10 1/8s, 2007 35,000 24,850 90,000 63,900 30,000 21,300
Ameriserve Food Co. company guaranty
8 7/8s, 2006 70,000 58,888 160,000 134,600 50,000 42,063
Aurora Foods, Inc. sr. sub. notes Ser. B,
9 7/8s, 2007 20,000 21,600 60,000 64,800 20,000 21,600
Aurora Foods, Inc. 144A ser. sub. notes
Ser. D, 9 7/8s, 2007 155,000 167,400 385,000 415,800 120,000 129,600
Pepsi Bottling Group Inc. 144A sr. notes
7s, 2029 295,000 294,971 730,000 729,927 910,000 909,909
RAB Enterprises, Inc. company guaranty
10 1/2s, 2005 200,000 100,000 500,000 250,000 160,000 80,000
------------- ------------- -------------
667,709 1,659,027 1,204,472
Health Care 0.2% 0.4% 0.3%
- --------------------------------------------------------------------------------------------------------------------------------
Columbia/HCA Healthcare Corp. deb.
8.36s, 2024 50,000 45,783 120,000 109,879 40,000 36,626
Columbia/HCA Healthcare Corp. notes
7.69s, 2025 80,000 64,600 200,000 161,500 70,000 56,525
Columbia/HCA Healthcare Corp. notes
7 1/4s, 2008 70,000 63,917 190,000 173,489 70,000 63,917
Columbia/HCA Healthcare Corp.
med term notes notes 6.63s, 2045 270,000 255,066 640,000 604,602 230,000 217,279
Conmed Corp. company guaranty 9s, 2008 80,000 80,400 210,000 211,050 65,000 65,325
Extendicare Health Services, Inc. company
guaranty 9.35s, 2007 300,000 240,000 640,000 512,000 250,000 200,000
Hudson Respiratory Care, Inc.
sr. sub. notes 9 1/8s, 2008 130,000 105,300 320,000 259,200 110,000 89,100
Integrated Health Services, Inc.
sr. sub. notes Ser. A, 9 1/2s, 2007 370,000 240,500 890,000 578,500 330,000 214,500
Integrated Health Services, Inc.
sr. sub. notes Ser. A, 9 1/4s, 2008 150,000 96,000 380,000 243,200 120,000 76,800
Magellan Health Services, Inc. sr. sub.
notes 9s, 2008 170,000 145,350 440,000 376,200 150,000 128,250
Mariner Post-Acute Network, Inc.
sr. sub. notes Ser. B, stepped-coupon
zero % (10 1/2s, 11/1/02), 2007 (STP) 70,000 13,300 160,000 30,400 100,000 19,000
Mariner Post-Acute Network, Inc.
sr. sub. notes Ser. B, 9 1/2s, 2007 330,000 102,300 830,000 257,300 170,000 52,700
MedPartners, Inc. sr. notes 7 3/8s, 2006 195,000 152,100 470,000 366,600 210,000 163,800
MedPartners, Inc. sr. sub. notes 6 7/8s,
2000 90,000 79,313 240,000 211,500 -- --
Multicare Cos., Inc. sr. sub. notes 9s, 2007 400,000 268,000 1,010,000 676,700 330,000 221,100
Paracelsus Healthcare sr. sub. notes
10s, 2006 150,000 106,500 355,000 252,050 115,000 81,650
Paragon Corp. Holdings, Inc. company
guaranty Ser. B, 9 5/8s, 2008 80,000 62,400 190,000 148,200 60,000 46,800
Patriot American Hospital bank term
loan B 8 1/8s, 2003 -- -- 499,167 497,295 -- --
Quorum Health Group, Inc. sr. sub. notes
8 3/4s, 2005 -- -- -- -- 100,000 98,500
Sun Healthcare Group, Inc. sr. sub. notes
Ser. B, 9 1/2s, 2007 75,000 22,594 175,000 52,719 -- --
Tenet Healthcare Corp. sr. sub. notes
8 5/8s, 2007 250,000 251,250 975,000 979,875 375,000 376,875
Tenet Healthcare Corp. 144A
sr. sub. notes 8 1/8s, 2008 40,000 38,600 110,000 106,150 30,000 28,950
Tenet Healthcare Corp. sr. notes 8s, 2005 150,000 148,125 -- -- 125,000 123,438
Tenet Healthcare Corp.144A sr. notes
7 5/8s, 2008 150,000 144,750 390,000 376,350 130,000 125,450
------------- ------------- -------------
2,726,148 7,184,759 2,186,585
Insurance and Finance 1.0% 2.0% 4.5%
- --------------------------------------------------------------------------------------------------------------------------------
Aames Financial Corp. sr. notes
9 1/8s, 2003 230,000 156,400 580,000 394,400 190,000 129,200
Advanta Corp. med. term notes Ser. B,
7s, 2001 350,000 312,753 700,000 625,506 150,000 134,037
Advanta Corp. med-term notes Ser. D,
6.92s, 2002 90,000 78,186 330,000 286,681 200,000 173,746
AFC Capital Trust company guaranty Ser. B,
8.207s, 2027 285,000 306,458 675,000 725,821 970,000 1,043,031
American General Corp. sr. notes
6 5/8s, 2029 335,000 325,788 820,000 797,450 1,015,000 987,088
American General Institute 144A
company guaranty 8 1/8s, 2046 480,000 534,845 1,190,000 1,325,969 1,390,000 1,548,821
Banponce Financial Corp. med. term note
7 1/8s, 2002 205,000 207,710 530,000 537,007 740,000 749,783
Chevy Chase Savings Bank Inc. sub. deb.
9 1/4s, 2005 120,000 120,000 300,000 300,000 100,000 100,000
Chevy Chase Savings Bank Inc. sub. deb.
9 1/4s, 2008 175,000 175,000 450,000 450,000 125,000 125,000
CIT Group (The), Inc. notes 5 1/2s, 2001 325,000 323,053 760,000 755,448 1,140,000 1,133,171
Citigroup, Inc. bonds 6.2s, 2009 400,000 396,672 985,000 976,805 1,260,000 1,249,517
Colonial Capital I 144A company guaranty
8.92s, 2027 35,000 33,127 90,000 85,185 30,000 28,395
Contifinancial Corp. sr. notes 8 3/8s, 2003 120,000 84,000 305,000 213,500 105,000 73,500
Contifinancial Corp. sr. notes 8 1/8s, 2008 60,000 44,400 150,000 111,000 50,000 37,000
Contifinancial Corp. sr. notes 7 1/2s, 2002 240,000 182,400 570,000 433,200 210,000 159,600
DSL Finance NV bonds 5 3/4s, 2009
(Netherlands) 590,000 356,878 1,845,000 1,115,999 1,085,000 656,292
DTI Holdings Inc. sr. disc. notes Ser. B,
stepped-coupon zero %
(12 1/2s, 03/01/03), 2008 (STP) 605,000 166,375 1,445,000 397,375 480,000 132,000
Delta Financial Corp. sr. notes 9 1/2s, 2004 110,000 82,500 300,000 225,000 90,000 67,500
Depfa Bank notes 3 3/4s, 2009 540,000 554,087 1,635,000 1,677,653 1,065,000 1,092,783
Dime Capital Trust I bank guaranty Ser. A,
9.33s, 2027 35,000 37,196 90,000 95,646 30,000 31,882
Dine S.A. de C.V. company guaranty 8 3/4s,
2007 (Mexico) 35,000 29,050 85,000 70,550 25,000 20,750
Finova Capital Corp. notes 7.4s, 2007 -- -- -- -- 810,000 851,893
Firstar Bank Milwaukee sr. bank notes
6 1/4s, 2002 120,000 121,387 295,000 298,410 305,000 308,526
Fuji JGB Inv. LLC 144A FLIRB bonds
9.87s, 2049 (Japan) 90,000 80,550 220,000 196,900 70,000 62,650
GS Escrow Corp. sr. notes 7 1/8s, 2005 325,000 316,940 800,000 780,160 275,000 268,180
Greenpoint Capital Trust I company
guaranty 9.1s, 2027 35,000 36,540 90,000 93,961 30,000 31,320
Heller Financial Inc. notes 6s, 2004 380,000 378,708 940,000 936,804 1,180,000 1,175,988
Household Finance Corp. notes
6 1/2s, 2008 160,000 159,675 375,000 374,239 580,000 578,823
Hypothebk In Essen 144A bonds
4s, 2009 280,000 292,482 845,000 882,668 545,000 569,295
Imperial Credit Capital Trust I 144A
company guaranty 10 1/4s, 2002 100,000 78,000 275,000 214,500 200,000 156,000
Imperial Credit Industries, Inc. sr. notes
9 7/8s, 2007 40,000 34,400 100,000 86,000 30,000 25,800
International American Development
Bank notes 5 3/4s, 2004 1,530,000 802,845 3,665,000 1,923,154 1,925,000 1,010,115
Investors Capital Trust I company
guaranty Ser. B, 9.77s, 2027 -- -- 15,000 14,775 -- --
Kreditanstalt Fuer Wiederauf bonds 5s,
2009 (Germany) 667,019 759,301 2,047,864 2,331,186 1,210,086 1,377,501
Lehman Brothers Holdings, Inc. notes
6 5/8s, 2004 420,000 420,286 1,030,000 1,030,700 1,300,000 1,300,884
LCR Finance bonds 4 1/2s, 2028
(United Kingdom) 1,380,000 2,081,542 3,385,000 5,105,812 1,800,000 2,715,055
Merita Bank Ltd. sub. notes 6 1/2s,
2006 (Finland) 295,000 294,540 730,000 728,861 1,060,000 1,058,346
Money Store, Inc. notes 8.05s, 2002 165,000 174,501 360,000 380,729 525,000 555,230
NationsBank Corp. sub. notes
6 7/8s, 2005 610,000 629,715 1,515,000 1,563,965 -- --
Nationwide Credit Inc. sr. notes Ser. A,
10 1/4s, 2008 160,000 69,600 500,000 217,500 180,000 78,300
North Fork Capital Trust I company
guaranty 8.7s, 2026 10,000 10,463 15,000 15,694 5,000 5,231
Ocwen Capital Trust I company guaranty
10 7/8s, 2027 20,000 16,200 50,000 40,500 15,000 12,150
Ocwen Federal Bank FSB sub. deb.
12s, 2005 5,000 4,863 10,000 9,725 5,000 4,863
Ocwen Financial Corp. notes
11 7/8s, 2003 10,000 8,950 10,000 8,950 10,000 8,950
Orange Cogen Funding 144A company
guaranty 8.175s, 2022 75,000 77,933 195,000 202,625 275,000 285,753
PRT Funding Corp. sr. notes 11 5/8s, 2004
(In default) (NON) 95,000 42,631 225,000 100,969 75,000 33,656
Paine Webber Group, Inc. sr. notes
6.55s, 2008 505,000 494,269 1,095,000 1,071,731 1,705,000 1,668,769
Peoples Bank-Bridgeport sub. notes
7.2s, 2006 240,000 230,873 565,000 543,513 865,000 832,104
Peoples Heritage Capital Trust company
guaranty Ser. B, 9.06s, 2027 -- -- 165,000 162,263 -- --
Phoenix Home Life Mutual Insurance Co.
144A notes 6.95s, 2006 210,000 209,135 555,000 552,713 780,000 776,786
Pindo Deli Finance Mauritius Ltd. company
guaranty 10 3/4s, 2007 (Indonesia) 90,000 47,250 215,000 112,875 65,000 34,125
Popular, Inc. med. term notes 6.4s, 2000 375,000 376,253 920,000 923,073 1,095,000 1,098,657
Provident Capital Trust company
guaranty 8.6s, 2026 70,000 70,146 190,000 190,395 -- --
Provident Companies, Inc. bonds
7.405s, 2038 415,000 419,208 910,000 919,227 1,370,000 1,383,892
RBF Finance 144A company guaranty
11s, 2006 450,000 472,500 1,100,000 1,155,000 390,000 409,500
Realkredit Danmark bonds 7s, 2029
(Denmark) 10,600,000 1,565,024 26,200,000 3,868,267 14,600,000 2,155,599
Reliance Group Holdings, Inc. sr. notes
9s, 2000 -- -- 145,000 149,253 -- --
Riggs Capital Trust 144A bonds
8 5/8s, 2026 35,000 34,266 90,000 88,112 40,000 39,161
Sovereign Capital Trust company
guaranty 9s, 2027 50,000 49,924 130,000 129,802 45,000 44,932
St. Paul Bancorp sr. notes 7 1/8s, 2004 380,000 378,374 875,000 871,255 1,275,000 1,269,543
TIG Holdings, Inc. notes 8 1/8s, 2005 275,000 288,904 615,000 646,094 925,000 971,768
Toyota Motor Credit Corp. notes
5 5/8s, 2003 245,000 242,224 570,000 563,542 880,000 870,030
Webster Capital Trust I 144A bonds
9.36s, 2027 5,000 5,074 20,000 20,294 10,000 10,147
------------- ------------- -------------
16,282,354 41,106,391 33,712,618
Lodging --% 0.1% --%
- --------------------------------------------------------------------------------------------------------------------------------
Epic Resorts LLC company guaranty
Ser. B, 13s, 2005 100,000 94,000 250,000 235,000 80,000 75,200
Host Marriott L.P. 144A sr. notes
8 3/8s, 2006 100,000 100,625 220,000 221,375 100,000 100,625
Host Marriott Travel Plaza sr. notes
Ser. B, 9 1/2s, 2005 440,000 461,450 1,115,000 1,169,356 350,000 367,063
Sun International Hotels Ltd. sr. sub.
notes 8 5/8s, 2007 150,000 155,250 400,000 414,000 125,000 129,375
------------- ------------- -------------
811,325 2,039,731 672,263
Medical Supplies and Devices --% 0.1% --%
- --------------------------------------------------------------------------------------------------------------------------------
ALARIS Medical Systems, Inc. company
guaranty 9 3/4s, 2006 100,000 101,250 265,000 268,313 115,000 116,438
Kinetic Concepts, Inc. company guaranty
Ser. B, 9 5/8s, 2007 110,000 106,700 355,000 344,350 100,000 97,000
Mediq, Inc. deb. stepped-coupon zero %,
(13s, 6/1/03) 2009 (STP) 120,000 48,000 290,000 116,000 100,000 40,000
Mediq, Inc. company guaranty 11s, 2008 150,000 130,500 400,000 348,000 130,000 113,100
------------- ------------- -------------
386,450 1,076,663 366,538
Metals and Mining 0.1% 0.2% 0.2%
- --------------------------------------------------------------------------------------------------------------------------------
AK Steel Corp. sr. notes 9 1/8s, 2006 200,000 211,500 510,000 539,325 175,000 185,063
AK Steel Corp. 144A sr. notes
7 7/8s, 2009 230,000 229,425 550,000 548,625 200,000 199,500
Ameristeel Corp. company guaranty
Ser. B, 8 3/4s, 2008 245,000 244,081 595,000 592,769 210,000 209,213
Anker Coal Group, Inc. sr. notes Ser. B,
9 3/4s, 2007 600,000 330,000 1,125,000 618,750 400,000 220,000
Continental Global Group sr. notes Ser. B,
11s, 2007 65,000 57,200 170,000 149,600 60,000 52,800
Lodestar Holdings, Inc. company guaranty
11 1/2s, 2005 100,000 80,000 210,000 168,000 80,000 64,000
National Steel Corp. 144A 1st mtge.
9 7/8s, 2009 140,000 143,850 350,000 359,625 120,000 123,300
National Steel Corp. 144A 1st mtge.
Ser. B, 9 7/8s, 2009 105,000 107,888 260,000 267,150 100,000 102,750
Oregon Steel Mills 1st mortgage 11s, 2003 119,000 123,909 300,000 312,375 110,000 114,538
Weirton Steel Co. sr. notes 11 3/8s, 2004 260,000 249,600 440,000 422,400 150,000 144,000
WHX Corp. sr. notes 10 1/2s, 2005 100,000 96,500 240,000 231,600 80,000 77,200
------------- ------------- -------------
1,873,953 4,210,219 1,492,364
Oil and Gas 0.3% 0.5% 1.1%
- --------------------------------------------------------------------------------------------------------------------------------
Abraxas Petroleum Corp. 144A company
guaranty Ser. D, 11 1/2s, 2004 130,000 78,000 340,000 204,000 115,000 69,000
Belco Oil & Gas Corp. sr. sub. notes
Ser. B, 8 7/8s, 2007 260,000 250,575 640,000 616,800 220,000 212,025
Benton Oil & Gas Co. sr. notes
11 5/8s, 2003 100,000 70,000 125,000 87,500 -- --
Benton Oil & Gas Co. sr. notes 9 3/8s, 2007 15,000 9,000 45,000 27,000 20,000 12,000
Cliffs Drilling Co. company guaranty
Ser. D, 10 1/4s, 2003 200,000 192,000 150,000 144,000 500,000 480,000
Coastal Corp. bonds 6.95s, 2028 340,000 331,102 750,000 730,373 1,165,000 1,134,512
Coastal Corp. deb. 6 1/2s, 2008 -- -- -- -- 1,200,000 1,199,700
Coda Energy Inc. company guaranty Ser. B,
10 1/2s, 2006 420,000 426,825 905,000 919,706 370,000 376,013
Columbia Gas System, Inc. notes Ser. E,
7.32s, 2010 150,000 156,272 400,000 416,724 500,000 520,905
Columbia Gas System, Inc. notes Ser. B,
6.61s, 2002 210,000 214,809 530,000 542,137 -- --
Dailey Petroleum Services Corp. company
guaranty 9 1/2s, 2008 100,000 40,000 240,000 96,000 80,000 32,000
Eagle Geophysical, Inc. company guaranty
Ser. B, 10 3/4s, 2008 95,000 57,000 240,000 144,000 80,000 48,000
Flores & Rucks, Inc. sr. sub. notes
9 3/4s, 2006 35,000 36,050 90,000 92,700 -- --
Gothic Energy Corp. sr. disc. notes Ser. B,
stepped-coupon zero %
(14 1/8s, 5/1/03), 2006 (STP) 20,000 6,200 50,000 15,500 20,000 6,200
Gulf Canada Resources, Ltd. sr. sub. notes
9 5/8s, 2005 (Canada) 505,000 516,363 900,000 920,250 370,000 378,325
Gulf Canada Resources, Ltd. sr. notes
8 3/8s, 2005 (Canada) 100,000 99,500 260,000 258,700 90,000 89,550
K N Energy, Inc. sr. notes 6.45s, 2003 100,000 101,377 240,000 243,305 300,000 304,131
Michael Petroleum Corp. sr. notes Ser. B,
11 1/2s, 2005 90,000 65,700 220,000 160,600 70,000 51,100
Ocean Energy, Inc. company guaranty
Ser. B, 8 7/8s, 2007 170,000 168,725 420,000 416,850 150,000 148,875
Ocean Energy, Inc. company guaranty
Ser. B, 8 3/8s, 2008 140,000 133,000 350,000 332,500 150,000 142,500
Panhandle Eastern Corp. 144A sr. notes
6 1/8s, 2004 250,000 249,210 615,000 613,057 780,000 777,535
Petro Geo-Services AS ADR notes
7 1/2s, 2007 (Norway) 345,000 355,878 875,000 902,589 585,000 603,445
Petro-Canada deb. 7s, 2028 (Canada) 270,000 261,025 630,000 609,059 935,000 903,921
Pogo Producing Co. sr. sub. notes Ser. B,
8 3/4s, 2007 120,000 111,600 315,000 292,950 105,000 97,650
Seven Seas Petroleum sr. notes Ser. B,
12 1/2s, 2005 80,000 48,000 200,000 120,000 60,000 36,000
Snyder Oil Corp. sr. sub. notes 8 3/4s, 2007 35,000 34,825 90,000 89,550 30,000 29,850
Statoil 144A notes 6 1/2s, 2028 (Norway) 200,000 187,750 500,000 469,375 575,000 539,781
TransTexas Gas Corp. sr. sub. notes
Ser. D, 13 3/4s, 2001 163,000 48,900 419,000 125,700 180,000 54,000
Transamerican Energy sr. disc. notes Ser. B,
stepped-coupon zero %
(13s, 6/15/99), 2002 (STP) 10,000 2,513 35,000 8,794 15,000 3,769
Transamerican Energy sr. notes Ser. B,
11 1/2s, 2002 345,000 86,250 885,000 221,250 290,000 72,500
Transamerican Refining Corp.
sr. sub. notes Ser. B, 16s, 2003 120,000 12,000 290,000 29,000 100,000 10,000
Vintage Petroleum 144A sr. sub. notes
9 3/4s, 2009 250,000 255,000 780,000 795,600 210,000 214,200
------------- ------------- -------------
4,605,449 10,645,569 8,547,487
Packaging and Containers --% 0.1% 0.1%
- --------------------------------------------------------------------------------------------------------------------------------
AEP Industries, Inc. sr. sub. notes
9 7/8s, 2007 170,000 174,250 435,000 445,875 150,000 153,750
Huntsman Packaging Corp. company
guaranty 9 1/8s, 2007 130,000 130,000 375,000 375,000 135,000 135,000
Packaging Corp. 144A sr. sub. notes
9 5/8s, 2009 240,000 240,000 590,000 590,000 210,000 210,000
Radnor Holdings Inc. sr. notes 10s, 2003 150,000 154,500 365,000 375,950 130,000 133,900
------------- ------------- -------------
698,750 1,786,825 632,650
Paper and Forest Products 0.1% 0.1% 0.1%
- --------------------------------------------------------------------------------------------------------------------------------
APP Finance II Mauritius Ltd. bonds
stepped-coupon 12, (16s, 2/15/04),
2049 (Indonesia) (STP) 110,000 46,200 280,000 117,600 100,000 42,000
Boise Cascade Co. med. term notes Ser. A,
7.43s, 2005 20,000 19,161 40,000 38,321 10,000 9,580
Buckeye Cellulose Corp. sr. sub. notes
9 1/4s, 2008 25,000 26,188 50,000 52,375 25,000 26,188
Indah Kiat Financial Mauritius Ltd.
company guaranty 10s, 2007 (Indonesia) 340,000 187,000 995,000 547,250 35,000 19,250
PT Pabrik Kertas Tjiwi Kimia company
guaranty 10s, 2004 (Indonesia) 205,000 108,650 260,000 137,800 70,000 37,100
Pacifica Papers, Inc. 144A sr. notes 10s,
2009 (Canada) 230,000 235,175 560,000 572,600 200,000 204,500
Republic Group Inc. sr. sub. notes
9 1/2s, 2008 50,000 50,500 140,000 141,400 40,000 40,400
Riverwood International Corp. company
guaranty 10 7/8s, 2008 270,000 260,550 645,000 622,425 215,000 207,475
Riverwood International Corp. company
guaranty 10 1/4s, 2006 140,000 144,900 380,000 393,300 125,000 129,375
------------- ------------- -------------
1,078,324 2,623,071 715,868
Pharmaceuticals and Biotechnology --% --% 0.1%
- --------------------------------------------------------------------------------------------------------------------------------
ICN Pharmaceuticals, Inc. 144A sr. notes
9 1/4s, 2005 60,000 61,950 150,000 154,875 200,000 206,500
Monsanto Co. 144A deb. 6.6s, 2028 105,000 100,584 200,000 191,588 555,000 531,657
------------- ------------- -------------
162,534 346,463 738,157
Photography --% --% --%
- --------------------------------------------------------------------------------------------------------------------------------
PX Escrow Corp. sr. disc. notes stepped-
coupon zero % (9 5/8s, 2/1/02), 2006 (STP) 35,000 20,300 100,000 58,000 35,000 20,300
Publishing 0.1% 0.1% 0.3%
- --------------------------------------------------------------------------------------------------------------------------------
American Media Operation, Inc.
sr. sub. notes 11 5/8s, 2004 115,000 124,200 285,000 307,800 100,000 108,000
Garden State Newspapers, Inc.
sr. sub. notes Ser. B, 8 3/4s, 2009 325,000 325,000 850,000 850,000 275,000 275,000
Garden State Newspapers, 144A
sr. sub. notes 8 5/8s, 2011 100,000 100,750 180,000 181,350 90,000 90,675
Hollinger International Publishing, Inc.
sr. sub. notes 9 1/4s, 2006 100,000 104,500 -- -- 150,000 156,750
Hollinger International Publishing, Inc.
company guaranty 9 1/4s, 2007 50,000 52,125 100,000 104,250 -- --
News America Holdings, Inc. deb.
7 3/4s, 2045 100,000 102,890 205,000 210,925 325,000 334,393
News America Holdings, Inc. deb.
7.7s, 2025 220,000 229,601 505,000 527,038 720,000 751,421
Perry-Judd company guaranty
10 5/8s, 2007 225,000 232,875 390,000 403,650 130,000 134,550
Von Hoffman Press, Inc. 144A
sr. sub. notes 13 1/2s, 2009 26,019 27,060 67,407 70,103 22,215 23,104
Von Hoffman Press Inc. 144A
sr. sub. notes 10 3/8s, 2007 35,000 35,963 90,000 92,475 30,000 30,825
------------- ------------- -------------
1,334,964 2,747,591 1,904,718
Real Estate --% 0.1% 0.1%
- --------------------------------------------------------------------------------------------------------------------------------
HMH Properties, Inc. company guaranty
Ser. B, 7 7/8s, 2008 (R) 360,000 345,600 920,000 883,200 300,000 288,000
Prime Hospitality Corp. sub. notes
9 3/4s, 2007 95,000 98,206 300,000 310,125 125,000 129,219
Tanger Properties Ltd. partnership
gtd. notes 8 3/4s, 2001 (R) 340,000 336,053 830,000 820,364 290,000 286,633
------------- ------------- -------------
779,859 2,013,689 703,852
Recreation --% --% --%
- --------------------------------------------------------------------------------------------------------------------------------
Boyd Gaming Corp. sr. sub. notes
9 1/2s, 2007 -- -- -- -- 25,000 25,625
Hollywood Casino Corp. sr. notes
12 3/4s, 2003 150,000 162,750 250,000 271,250 -- --
Players International Inc. sr. notes
10 7/8s, 2005 100,000 107,000 280,000 299,600 200,000 214,000
------------- ------------- -------------
269,750 570,850 239,625
Retail 0.1% 0.3% 0.6%
- --------------------------------------------------------------------------------------------------------------------------------
Federated Department Stores, Inc.
sr. notes 8 1/2s, 2003 135,000 146,868 370,000 402,527 575,000 625,548
Federated Department Stores, Inc. 144A
notes 6.3s, 2009 225,000 222,210 560,000 553,056 695,000 686,382
Fred Meyer, Inc. company guaranty
7.45s, 2008 150,000 158,055 400,000 421,480 125,000 131,713
Home Interiors & Gifts, Inc. company
guaranty 10 1/8s, 2008 50,000 50,500 140,000 141,400 50,000 50,500
K mart Corp. med. term notes 8.85s, 2011 140,000 142,071 350,000 355,177 120,000 121,775
K mart Corp. med. term notes 8s, 2001 10,000 10,054 10,000 10,054 -- --
K mart Corp. deb. 7 3/4s, 2012 10,000 10,313 5,000 5,156 10,000 10,313
Lowe's Cos., Inc. 144A notes 6 1/2s, 2029 400,000 380,268 985,000 936,410 1,220,000 1,159,817
Sears Roebuck Acceptance Corp. notes
6 1/2s, 2028 260,000 237,585 605,000 552,843 915,000 836,118
Southland Corp. 1st priority sr. sub. deb.
5s, 2003 135,000 119,644 350,000 310,188 115,000 101,919
United Stationer Supply, Inc. sr. sub. notes
12 3/4s, 2005 207,000 229,253 503,000 557,073 182,000 201,565
United Stationer Supply, Inc. sr. sub. notes
8 3/8s, 2008 30,000 29,925 80,000 79,800 20,000 19,950
William Carter Holdings Co. sr. sub. notes
Ser. A, 12s, 2008 50,000 53,750 140,000 150,500 50,000 53,750
William Carter Holdings Co. sr. sub. notes
Ser. A, 10 3/8s, 2006 220,000 237,600 530,000 572,400 340,000 367,200
Zale Corp. sr. notes Ser. B, 8 1/2s, 2007 60,000 61,200 150,000 153,000 50,000 51,000
------------- ------------- -------------
2,089,296 5,201,064 4,417,550
Satellite Services 0.1% 0.1% 0.1%
- --------------------------------------------------------------------------------------------------------------------------------
Echostar DBS Corp. 144A sr. notes
9 3/8s, 2009 610,000 631,350 1,570,000 1,624,950 510,000 527,850
Golden Sky Systems 144A sr. sub. notes
12 3/8s, 2006 150,000 166,500 380,000 421,800 130,000 144,300
Satelites Mexicanos S.A. de C.V. 144A
sr. notes 10 1/8s, 2004 (Mexico) 80,000 65,600 210,000 172,200 70,000 57,400
------------- ------------- -------------
863,450 2,218,950 729,550
Specialty Consumer Products --% 0.1% 0.2%
- --------------------------------------------------------------------------------------------------------------------------------
Decora Industries, Inc. sr. sec. notes
Ser. B, 11s, 2005 180,000 173,700 440,000 424,600 160,000 154,400
EOP Operating L.P. notes 6.763s, 2007 350,000 346,773 750,000 743,085 1,160,000 1,149,305
------------- ------------- -------------
520,473 1,167,685 1,303,705
Telecommunications 1.2% 2.6% 3.1%
- --------------------------------------------------------------------------------------------------------------------------------
AT&T Capital Corp. med. term notes
6 1/4s, 2001 340,000 342,975 755,000 761,606 1,085,000 1,094,494
Adelphia Communications Corp. sr. notes
Ser. B, 10 1/4s, 2000 10,000 10,325 20,000 20,650 10,000 10,325
Adelphia Communications Corp. sr. notes
Ser. B, 9 7/8s, 2007 280,000 308,000 705,000 775,500 235,000 258,500
Adelphia Communications Corp. sr. notes
9 1/2s, 2004 (PIK) 21,000 21,735 42,000 43,470 -- --
Adelphia Communications Corp. 144A
sr. notes 8 3/8s, 2008 140,000 142,800 360,000 367,200 130,000 132,600
AirTouch Communications, Inc. notes
7s, 2003 560,000 583,402 2,030,000 2,114,834 -- --
AirTouch Communications, Inc. notes
6.65s, 2008 260,000 267,106 -- -- 885,000 909,187
Allbritton Communications Co.
sr. sub. deb. Ser. B, 9 3/4s, 2007 -- -- -- -- 200,000 212,250
Allbritton Communications Co.
sr. sub. notes Ser. B, 8 7/8s, 2008 110,000 111,925 460,000 468,050 20,000 20,350
Allegiance Telecom, Inc. sr. notes
12 7/8s, 2008 60,000 66,450 140,000 155,050 50,000 55,375
Allegiance Telecom, Inc. sr. disc. notes
Ser. B, stepped-coupon zero %
(11 3/4s, 2/15/03), 2008 (STP) 310,000 192,975 800,000 498,000 310,000 192,975
BTI Telecom Corp. sr. notes 10 1/2s, 2007 360,000 327,600 875,000 796,250 290,000 263,900
Barak I.T.C. sr. disc. notes Ser. B,
stepped-coupon zero %
(12 1/2s, 11/15/02), 2007 (Israel) (STP) 80,000 44,800 190,000 106,400 60,000 33,600
Bestel S.A. de C.V. sr. disc. notes
stepped-coupon zero %
(12 3/4s, 5/15/03), 2005 (Mexico) (STP) 100,000 62,000 220,000 136,400 90,000 55,800
Birch Telecom, Inc. sr. notes 14s, 2008 100,000 91,500 240,000 219,600 80,000 73,200
Call-Net Enterprises, Inc. sr. disc. notes
stepped-coupon zero %
(13 1/4s, 12/1/99), 2004 (Canada) (STP) 100,000 100,500 365,000 366,825 100,000 100,500
Call-Net Enterprises, Inc. sr. disc. notes
stepped-coupon zero %
(8.94s, 8/15/03), 2008 (Canada) (STP) 230,000 151,800 460,000 303,600 180,000 118,800
Call-Net Enterprises Inc. sr. notes
8s, 2008 (Canada) 150,000 148,500 300,000 297,000 130,000 128,700
CapRock Communications Corp.
sr. notes Ser. B, 12s, 2008 100,000 101,750 250,000 254,375 80,000 81,400
Celcaribe S.A. sr. notes stepped-coupon
zero % (13 1/2s, 3/15/04),
2004 (Colombia) (STP) 230,000 195,500 470,000 399,500 170,000 144,500
CellNet Data Systems, Inc. sr. disc. notes
stepped-coupon zero %
(14s, 10/1/02), 2007 (STP) 400,000 132,000 1,000,000 330,000 350,000 115,500
Clearnet Communications, Inc.
sr. disc. notes stepped-coupon zero %
(14 3/4s, 12/15/00), 2005 (STP) 380,000 348,175 930,000 852,113 320,000 293,200
Colt Telecommunications Group PLC
sr. disc. notes stepped-coupon zero %
(12s, 12/15/01), 2006 (United Kingdom)
(STP) 300,000 254,625 725,000 615,344 250,000 212,188
Conecel Holdings 144A notes Ser. A,
14s, 2000 55,000 11,000 145,000 29,000 50,000 10,000
Covad Communications Group
sr. disc. notes Ser. B, stepped-coupon
zero % (13 1/2s, 03/15/03), 2008 (STP) 135,000 74,925 330,000 183,150 115,000 63,825
Covad Communications Group 144A
sr. notes 12 1/2s, 2009 420,000 422,100 1,030,000 1,035,150 360,000 361,800
E. Spire Communications, Inc.
sr. disc. notes stepped-coupon
zero % (12 3/4s, 4/1/01), 2006 (STP) 340,000 226,100 750,000 498,750 290,000 192,850
Econophone, Inc. 144A notes
stepped-coupon zero %
(11s, 2/15/03), 2008 (STP) 310,000 170,500 790,000 434,500 260,000 143,000
Esprit Telecom Group PLC sr. notes
11 1/2s, 2007 (United Kingdom) 240,000 257,503 590,000 633,029 210,000 225,315
Facilicom International sr. notes Ser. B,
10 1/2s, 2008 60,000 46,350 160,000 123,600 50,000 38,625
Firstworld Communication Corp.
sr. disc. notes stepped-coupon
zero % (13, 4/15/03), 2008 (STP) 430,000 159,100 1,080,000 399,600 360,000 133,200
Flag Ltd. 144A sr. notes 8 1/4s,
2008 (Bermuda) 120,000 116,400 390,000 378,300 100,000 97,000
Focal Communications Corp.
sr. disc. notes, stepped-coupon
zero % (12 1/8s, 02/15/03), 2008 (STP) 490,000 274,400 1,230,000 688,800 430,000 240,800
GST Telecommunications, Inc. company
guaranty stepped-coupon zero %
(13 7/8s, 12/15/00), 2005 (STP) 298,000 235,420 652,000 515,080 186,000 146,940
GST Telecommunications, Inc. 144A
sr. disc. notes stepped-coupon zero %
(10 1/2s, 5/1/03), 2008 (STP) 530,000 275,600 1,430,000 743,600 520,000 270,400
Global Crossing Holdings, Ltd. company
guaranty 9 5/8s, 2008 600,000 668,250 1,530,000 1,704,038 510,000 568,013
Hyperion Telecommunications, Inc.
sr. disc. notes stepped-coupon Ser. B,
zero % (13s, 4/15/01), 2003 (STP) 85,000 70,125 210,000 173,250 70,000 57,750
Hyperion Telecommunications, Inc.
sr. notes Ser. B, 12 1/4s, 2004 100,000 108,750 290,000 315,375 90,000 97,875
Hyperion Telecommunications, Inc. 144A
sr. sub. notes 12s, 2007 280,000 291,900 650,000 677,625 250,000 260,625
ICG Holdings, Inc. sr. disc. notes
stepped-coupon zero %
(13 1/2s, 9/15/00), 2005 (STP) 130,000 115,050 260,000 230,100 100,000 88,500
ICG Services, Inc. sr. disc. notes
stepped-coupon zero %
(10s, 02/15/03), 2008 (STP) 1,000,000 611,250 1,190,000 727,388 800,000 489,000
ICG Services, Inc. sr. disc. notes
stepped-coupon zero %
(9 7/8s, 5/1/03), 2008 (STP) 350,000 209,125 880,000 525,800 295,000 176,263
ITC Deltacom, Inc. sr. notes 11s, 2007 58,000 63,873 156,000 171,795 52,000 57,265
IXC Communications, Inc. sr. sub. notes
9s, 2008 160,000 166,400 400,000 416,000 130,000 135,200
Intelcom Group (USA), Inc. company
guaranty stepped-coupon zero %
(12 1/2s, 5/1/01), 2006 (STP) 140,000 114,450 355,000 290,213 125,000 102,188
Intermedia Communications, Inc.
sr. disc. notes Ser. B, stepped-coupon
zero % (11 1/4s, 7/15/02), 2007 (STP) 10,000 7,600 70,000 53,200 50,000 38,000
Intermedia Communications, Inc.
sr. notes Ser. B, 8.6s, 2008 250,000 250,000 600,000 600,000 270,000 270,000
Intermedia Communications, Inc.
sr. notes Ser. B, 8 1/2s, 2008 440,000 437,800 1,000,000 995,000 250,000 248,750
International Cabletel, Inc. sr. notes
Ser. B, stepped-coupon zero %
(11 1/2s, 2/01/01), 2006 (STP) 460,000 400,200 1,400,000 1,218,000 480,000 417,600
KMC Telecom Holdings, Inc. sr. disc. notes
stepped-coupon zero %
(12 1/2s, 2/15/03), 2008 (STP) 200,000 110,000 580,000 319,000 175,000 96,250
Knology Holdings, Inc. sr. disc. notes
stepped-coupon zero %
(11 7/8s, 10/15/02), 2007 (STP) 335,000 180,900 840,000 453,600 260,000 140,400
L-3 Communications Corp. sr. sub. notes
Ser. B, 10 3/8s, 2007 50,000 55,125 135,000 148,838 50,000 55,125
L-3 Communications Corp. sr. notes
9 1/8s, 2008 550,000 551,375 1,535,000 1,538,838 535,000 536,338
L-3 Communications Corp. sr. sub. notes
8 1/2s, 2008 90,000 93,825 230,000 239,775 70,000 72,975
L-3 Communications Corp. company
guaranty Ser. B, 8s, 2008 90,000 91,125 210,000 212,625 80,000 81,000
Logix Communications Enterprises
sr. notes 12 1/4s, 2008 140,000 126,000 340,000 306,000 110,000 99,000
Long Distance International, Inc.
sr. notes 12 1/4s, 2008 80,000 56,000 190,000 133,000 70,000 49,000
MCI WorldCom, Inc. sr. notes 6 1/8s, 2001 -- -- 830,000 837,678 -- --
McCaw International Ltd sr. disc. notes
stepped coupon zero %
(13s, 4/15/02), 2007 (STP) 10,000 5,900 20,000 11,800 10,000 5,900
McLeod USA, Inc. 144A sr. notes
8 1/8s, 2009 340,000 339,150 830,000 827,925 290,000 289,275
MetroNet Communications Corp. 144A
sr. notes 10 5/8s, 2008 (Canada) 260,000 302,900 660,000 768,900 290,000 337,850
MetroNet Communications Corp.
sr. disc. notes stepped-coupon zero %
(10 3/4s, 11/1/02), 2007 (Canada) (STP) 35,000 28,175 85,000 68,425 25,000 20,125
MetroNet Communications Corp.
sr. disc. stepped-coupon notes zero %
(9.95s, 6/15/03), 2008 (Canada) (STP) 230,000 177,675 590,000 455,775 140,000 108,150
Microcell Telecommunications sr. disc.
notes Ser. B, stepped-coupon zero %
(14s, 12/1/01), 2006 (Canada) (STP) 120,000 97,800 300,000 244,500 100,000 81,500
Millicom International Cellular S.A.
sr. disc. notes stepped-coupon zero %
(13 1/2s, 6/1/01), 2006 (Luxembourg) (STP) 435,000 323,531 1,105,000 821,844 365,000 271,469
Netia Holdings B.V. 144A company
guaranty stepped-coupon zero %
(11 1/4s, 11/1/01), 2007 (Poland) (STP) 20,000 12,900 40,000 25,800 10,000 6,450
Netia Holdings B.V. 144A company
guaranty 10 1/4s, 2007 (Poland) 30,000 27,750 60,000 55,500 20,000 18,500
NEXTEL Communications, Inc.
sr. disc. notes stepped-coupon zero %
(12 1/8s, 4/15/03), 2008 (STP) 710,000 340,800 1,830,000 878,400 630,000 302,400
NEXTEL Communications, Inc. 144A
sr. notes 12s, 2008 270,000 313,200 680,000 788,800 240,000 278,400
NEXTEL Communications, Inc.
sr. disc. notes stepped-coupon zero %
(10.65s, 9/15/02), 2007 (STP) 60,000 43,800 155,000 113,150 65,000 47,450
NEXTEL Communications, Inc.
sr. disc. notes stepped-coupon zero %
(9.95s, 2/15/03), 2008 (STP) 30,000 21,000 60,000 42,000 30,000 21,000
NEXTEL Communications, Inc.
sr. disc. notes stepped-coupon zero %
(9 3/4s, 2/15/99), 2004 (STP) 600,000 621,000 1,555,000 1,609,425 510,000 527,850
NTL Inc. 144A sr. notes 11 1/2s,
2008 (United Kingdom) 140,000 157,850 340,000 383,350 120,000 135,300
NTL Inc. sr. notes Ser. B, 10s,
2007 (United Kingdom) 270,000 286,200 615,000 651,900 100,000 106,000
NTL Inc. sr. notes Ser. B, stepped-coupon
zero % (9 3/4s, 4/1/03), 2008
(United Kingdom) (STP) 60,000 40,800 210,000 142,800 100,000 68,000
NorthEast Optic Network, Inc.
sr. notes 12 3/4s, 2008 170,000 176,800 480,000 499,200 140,000 145,600
OnePoint Communications, Corp. 144A
sr. notes 14 1/2s, 2008 60,000 31,200 130,000 67,600 50,000 26,000
Orbital Imaging Corp. sr. notes Ser. B,
11 5/8s, 2005 115,000 115,000 300,000 300,000 100,000 100,000
Pathnet, Inc. sr. notes 12 1/4s, 2008 190,000 102,600 490,000 264,600 160,000 86,400
Price Communications Wireless, Inc.
144A sr. notes 9 1/8s, 2006 370,000 384,800 920,000 956,800 320,000 332,800
Primus Telecommunications Group, Inc.
sr. notes Ser. B, 9 7/8s, 2008 100,000 96,500 210,000 202,650 80,000 77,200
Qwest Communications International, Inc.
sr. disc. notes stepped-coupon zero %
(9.47s, 10/15/02), 2007 (STP) 295,000 233,788 625,000 495,313 210,000 166,425
Qwest Communications International, Inc.
sr. disc. notes stepped-coupon zero %
(8.29s, 2/1/03), 2008 (STP) 40,000 30,800 110,000 84,700 50,000 38,500
Qwest Communications International, Inc.
144A sr. notes 7 1/4s, 2008 130,000 133,575 410,000 421,275 130,000 133,575
RCN Corp. sr. disc. notes stepped-coupon
zero% (11 1/8s, 10/15/02), 2007 (STP) 50,000 33,750 110,000 74,250 35,000 23,625
Rhythms Netconnections, Inc. sr. disc. notes
Ser. B, stepped-coupon zero %
(13 1/2s, 5/15/03), 2008 (STP) 260,000 143,000 610,000 335,500 210,000 115,500
Rogers Cantel, Inc. sr. sub. notes 8.8s,
2007 (Canada) 425,000 444,125 950,000 992,750 375,000 391,875
RSL Communications, Ltd. company
guaranty 12 1/4s, 2006 140,000 152,950 350,000 382,375 123,000 134,378
RSL Communications, Ltd. 144A
10 1/2s, 2008 100,000 106,000 260,000 275,600 90,000 95,400
RSL Communications, Ltd. company
guaranty, stepped-coupon zero %
(10 1/8s, 3/1/03), 2008 (STP) 30,000 19,800 75,000 49,500 30,000 19,800
RSL Communications, Ltd. company
guaranty 9 1/8s, 2008 280,000 278,600 700,000 696,500 255,000 253,725
Sprint Capital Corp. company guaranty
6 1/8s, 2008 -- -- 345,000 339,159 -- --
Sprint Capital Corp. company guaranty
5.7s, 2003 -- -- 580,000 572,402 -- --
Sprint Spectrum L.P. sr. disc. notes
stepped-coupon zero %
(12 1/2s, 8/15/01), 2006 (STP) 180,000 160,200 430,000 382,700 160,000 142,400
Sprint Spectrum L.P. sr. notes 11s, 2006 60,000 70,285 145,000 169,854 45,000 52,713
Startec Global Communications Corp.
sr. notes 12s, 2008 110,000 99,550 280,000 253,400 90,000 81,450
TCI Communications, Inc. sr. notes
8.65s, 2004 355,000 400,177 2,380,000 2,682,879 3,430,000 3,866,502
Telecommunications Techniques, Inc.
company guaranty 9 3/4s, 2008 80,000 80,800 620,000 626,200 60,000 60,600
Telehub Communications Corp.
company guaranty stepped-coupon
zero % (13 7/8s, 7/31/02), 2005 (STP) 80,000 48,000 200,000 120,000 70,000 42,000
Telesystem International Wireless Inc.
sr. disc. notes Ser. C, stepped-coupon
zero % (10 1/2s, 11/1/02), 2007
(Canada) (STP) 35,000 16,888 80,000 38,600 25,000 12,063
TeleWest Communications PLC
144A sr. notes 11 1/4s, 2008
(United Kingdom) 50,000 58,125 110,000 127,875 40,000 46,500
Telewest Communications PLC
deb. 9 5/8s, 2006 (United Kingdom) 470,000 499,375 930,000 988,125 370,000 393,125
Teligent, Inc. sr. disc. notes Ser. B,
stepped-coupon zero %
(11 1/2s, 3/1/03), 2008 (STP) 300,000 157,500 760,000 399,000 260,000 136,500
Teligent, Inc. sr. notes 11 1/2s, 2007 140,000 133,000 320,000 304,000 85,000 80,750
Time Warner Telecom Inc. sr. notes
9 3/4s, 2008 500,000 535,000 1,240,000 1,326,800 420,000 449,400
Transtel S.A. 144A pass-through
certificates 12 1/2s, 2007 (Colombia) 30,000 12,600 70,000 29,400 20,000 8,400
US Xchange LLC sr. notes 15s, 2008 80,000 86,400 200,000 216,000 70,000 75,600
United International Holdings
sr. disc. notes Ser. B, stepped-coupon
zero % (10 3/4s, 2/15/03), 2008 (STP) 630,000 428,400 1,555,000 1,057,400 545,000 370,600
Versatel Telecom B.V. notes
13 1/4s, 2008 (Netherlands) 50,000 52,625 130,000 136,825 40,000 42,100
Versatel Telecom B.V. sr. notes
13 1/4s, 2008 (Netherlands) 110,000 115,775 280,000 294,700 90,000 94,725
Viatel, Inc. sr. notes 11 1/4s, 2008 340,000 348,500 870,000 891,750 280,000 287,000
WinStar Communications, Inc.
sr. sub. notes stepped-coupon zero %
(15s, 3/1/02), 2007 (STP) 235,000 199,750 715,000 607,750 215,000 182,750
WinStar Communications. Inc.
144A cv. sr. disc. notes stepped-coupon
zero % (14s, 10/15/00), 2005 (STP) -- -- -- -- 70,000 112,000
WorldCom, Inc. sr. notes 6.95s, 2028 300,000 304,680 -- -- 1,080,000 1,096,848
------------- ------------- -------------
20,486,313 53,385,190 22,968,664
Textiles --% 0.1% --%
- --------------------------------------------------------------------------------------------------------------------------------
Day International Group, Inc. company
guaranty 9 1/2s, 2008 170,000 165,750 430,000 419,250 140,000 136,500
Galey & Lord Inc. company guaranty
9 1/8s, 2008 220,000 171,600 550,000 429,000 180,000 140,400
Polymer Group, Inc. company guaranty
Ser. B, 9s, 2007 45,000 46,013 130,000 132,925 40,000 40,900
Polymer Group, Inc. company guaranty
Ser. B, 8 3/4s, 2008 110,000 111,375 280,000 283,500 90,000 91,125
------------- ------------- -------------
494,738 1,264,675 408,925
Transportation 0.1% 0.3% 0.5%
- --------------------------------------------------------------------------------------------------------------------------------
CSX Corp. deb. 7.95s, 2027 275,000 300,894 -- -- 710,000 776,854
Calair LLC company guaranty
8 1/8s, 2008 100,000 95,000 240,000 228,000 80,000 76,000
Canadian Airlines Corp. sr. notes 12 1/4s,
2006 (Canada) 110,000 48,400 280,000 123,200 90,000 39,600
Canadian Airlines Corp. secd. notes 10s,
2005 (Canada) 170,000 127,500 420,000 315,000 140,000 105,000
Cathay International Ltd. 144A sr. notes
13s, 2008 (Japan) 210,000 48,300 530,000 121,900 180,000 41,400
Continental Airlines, Inc. sr. notes
9 1/2s, 2001 210,000 217,350 650,000 672,750 250,000 258,750
Continental Airlines, Inc. pass-through
certificates Ser. 981C, 6.541s, 2008 575,000 563,966 1,220,000 1,196,588 1,643,713 1,612,170
Hermes Europe Railtel 144A sr. notes
11 1/2s, 2007 (Netherlands) 120,000 131,400 280,000 306,600 100,000 109,500
International Shipholding Corp. sr. notes
7 3/4s, 2007 40,000 38,400 90,000 86,400 30,000 28,800
Johnstown America Industries, Inc.
company guaranty Ser. C, 11 3/4s, 2005 50,000 54,250 125,000 135,625 125,000 135,625
Kitty Hawk, Inc. company guaranty
9.95s, 2004 80,000 80,600 180,000 181,350 70,000 70,525
MC Shipping, Inc. sr. notes Ser. B,
11 1/4s, 2008 65,000 41,275 170,000 107,950 60,000 38,100
MCII Holdings sec. notes stepped-coupon
12s, (15s, 5/14/99), 2002 (STP) 65,000 57,200 170,000 149,600 55,000 48,400
Newport News Shipbuilding sr. notes
8 5/8s, 2006 40,000 43,050 100,000 107,625 -- --
TFM S.A. de C.V. company guaranty
stepped-coupon zero %
(11 3/4s, 6/15/02), 2009 (Mexico) (STP) 135,000 76,950 355,000 202,350 115,000 65,550
TFM S.A. de C.V. company guaranty
10 1/4s, 2007 (Mexico) 25,000 22,375 70,000 62,650 20,000 17,900
Trans World Airlines, Inc. sr. notes
11 1/2s, 2004 145,000 110,925 360,000 275,400 105,000 80,325
Trans World Airlines, Inc. sr. notes
11 3/8s, 2006 100,000 55,000 245,000 134,750 80,000 44,000
US Air Inc. pass-through certificates
Ser. 93-A2, 9 5/8s, 2003 100,000 104,201 1,100,000 1,146,211 400,000 416,804
------------- ------------- -------------
2,217,036 5,553,949 3,965,303
Utilities 0.3% 0.5% 0.8%
- --------------------------------------------------------------------------------------------------------------------------------
AES China Generating Co. sr. notes
10 1/8s, 2006 (China) 10,000 6,800 10,000 6,800 5,000 3,400
Arizona Public Service Co. sr. notes
6 3/4s, 2006 220,000 227,498 585,000 604,937 785,000 811,753
CMS Energy Corp. pass-through
certificates 7s, 2005 480,000 468,202 900,000 877,878 460,000 448,693
Calpine Corp. sr. notes 10 1/2s, 2006 150,000 165,000 1,000,000 1,100,000 250,000 275,000
Calpine Corp. sr. notes 8 3/4s, 2007 240,000 244,968 -- -- 80,000 81,656
Calpine Corp. sr. notes 7 7/8s, 2008 160,000 160,800 380,000 381,900 130,000 130,650
Calpine Corp. sr. notes 7 3/4s, 2009 280,000 279,384 600,000 598,680 270,000 269,406
Chesapeake Energy Corp. sr. notes
9 1/8s, 2006 250,000 192,500 700,000 539,000 225,000 173,250
Cleveland Electric Illuminating Co.
1st mtge. Ser. B, 9 1/2s, 2005 60,000 65,154 140,000 152,026 50,000 54,295
Cleveland Electric Illuminating Co.
bonds 6.86s, 2008 220,000 220,997 540,000 542,446 180,000 180,815
Connecticut Light & Power Co. 1st mtge.
Ser. A, 7 7/8s, 2001 170,000 175,585 445,000 459,618 605,000 624,874
El Paso Electric Co. 1st mtge. Ser. D,
8.9s, 2006 10,000 11,172 20,000 22,343 5,000 5,586
Jersey Central Power & Light Co.
1st mtge. med. term note 6.85s, 2006 95,000 97,286 220,000 225,293 335,000 343,060
Midland Funding II Corp. deb. Ser. B,
13 1/4s, 2006 53,000 65,351 395,000 487,047 80,000 98,642
Midland Funding II Corp. deb. Ser. A,
11 3/4s, 2005 500,000 566,750 1,000,000 1,133,500 525,000 595,088
Nevada Power Co. 144A sr. notes
6.2s, 2004 315,000 314,578 780,000 778,955 990,000 988,673
Niagara Mohawk Power Corp. mtge.
9 1/2s, 2000 50,000 52,114 150,000 156,341 50,000 52,114
Niagara Mohawk Power Corp. sr. notes
Ser. G, 7 3/4s, 2008 35,000 37,580 90,000 96,634 30,000 32,211
Niagara Mohawk Power Corp. sr. notes
Ser. F, 7 5/8s, 2005 80,000 82,459 190,000 195,841 70,000 72,152
Niagara Mohawk Power Corp. sr. notes
Ser. E, 7 3/8s, 2003 80,000 83,874 200,000 209,686 70,000 73,390
Niagara Mohawk Power Corp.
1st mtge. 6 7/8s, 2003 150,000 153,483 400,000 409,288 150,000 153,483
Northeast Utilities System notes Ser. A,
8.58s, 2006 19,036 19,841 44,277 46,150 11,806 12,305
Northeast Utilities System notes Ser. B,
8.38s, 2005 99,733 102,897 290,133 299,336 90,666 93,542
Public Service Co. of New Mexico sr.
notes Ser. A, 7.1s, 2005 395,000 396,568 1,340,000 1,345,320 350,000 351,390
------------- ------------- -------------
4,190,841 10,669,019 5,925,428
------------- ------------- -------------
Total Corporate Bonds and Notes
(cost $106,452,504, $269,652,150
and $143,058,703) $101,508,205 $257,272,808 $138,903,936
- --------------------------------------------------------------------------------------------------------------------------------
GROWTH BALANCED CONSERVATIVE
3.9% 7.9% 11.6%
FOREIGN GOVERNMENT Principal Principal Principal
BONDS AND NOTES (a) Amount Value Amount Value Amount Value
- --------------------------------------------------------------------------------------------------------------------------------
AUD Australia (Government of) bonds Ser.
909, 7 1/2s, 2009 2,045,000 $1,501,978 5,025,000 $3,690,680 2,810,000 $2,063,843
AUD Australia (Government of) bonds Ser.
1106, 6 3/4s, 2006 2,870,000 1,974,003 7,105,000 4,886,860 3,730,000 2,565,516
CAD Canada (Government of) bonds Ser.
VW17, 8s, 2027 745,000 682,871 2,265,000 2,076,112 1,515,000 1,388,658
CAD Canada (Government of) bonds 5 1/4s,
2003 6,050,000 4,058,734 13,505,000 9,060,033 5,710,000 3,830,640
DKK Denmark (Kingdom of) bonds 4s, 2001 10,370,000 1,523,388 25,775,000 3,786,435 13,525,000 1,986,868
EUR France (Government of) bonds
5 1/4s, 2008 304,898 356,936 487,836 571,097 109,763 128,497
EUR France Treasury bill bonds
4s, 2000 1,041,226 1,128,832 3,245,639 3,518,719 1,923,144 2,084,953
EUR France (Government of) principal
bonds zero %, 2025 2,040,072 537,304 4,115,818 1,084,004 4,296,623 1,131,623
EUR Germany (Federal Republic of) bonds
Ser. 98, 5 5/8s, 2028 1,699,738 1,994,409 3,433,248 4,028,445 973,203 1,141,920
EUR Germany (Federal Republic of) Ser.
99, 3 3/4s, 2009 2,765,000 2,918,872 3,735,000 3,942,853 -- --
GRD Hellenic Greece (Republic of) bonds
9.2s, 2002 157,800,000 548,194 475,500,000 1,651,877 314,400,000 1,092,219
GRD Hellenic Greece (Republic of) bonds
8.6s, 2008 391,000,000 1,511,548 930,800,000 3,598,342 486,900,000 1,882,283
EUR Italy (Government of) bonds
10 1/2s, 2005 606,836 899,001 1,839 2,723,783 1,216,254 1,801,828
EUR Italy (Government of) bonds
8 1/2s, 1999 1,456,406 1,585,990 4,431 4,825,458 2,708,812 2,949,828
EUR Italy (Government of) bonds
5 3/4s, 2002 1,885,064 2,187,547 5,810 6,742,438 3,431,850 3,982,533
EUR Italy (Government of) bonds
5s, 2003 3,845,000 4,375,177 7,995,000 9,097,411 4,685,000 5,331,003
EUR Netherlands (Government of) bonds
Ser. 1, 9s, 2000 2,897,386 3,317,768 9,207,200 10,543,073 6,062,503 6,942,112
EUR Netherlands (Government of) bonds
7s, 2003 1,937,641 2,358,957 5,908,218 7,192,886 3,863,938 4,704,103
EUR Netherlands (Government of) bonds
Ser. 1, 5 3/4s, 2007 -- -- 1,945,788 2,342,729 1,272,346 1,531,905
NZD New Zealand (Government of) bonds
10s, 2002 4,585,000 2,774,504 9,490,000 5,742,648 3,455,000 2,090,711
NZD New Zealand (Government of) Ser.
1106, 8s, 2006 915,000 556,871 3,410,000 2,075,334 2,330,000 1,418,044
NZD New Zealand (Government of) bonds
8s, 2004 343,000 203,431 1,690,000 1,002,328 1,210,000 717,643
USD Quebec (Province of) deb.
7s, 2007 280,000 293,602 645,000 676,334 965,000 1,011,880
EUR Spain (Government of) bonds
5 1/4s, 2003 866,960 997,687 2,669,335 3,071,838 1,577,657 1,815,548
EUR Spain (Government of) bonds 5.15s,
2009 1,160,554 1,319,333 3,515,921 3,996,943 2,341,543 2,661,896
SEK Sweden (Government of) bonds Ser.
1036, 10 1/4s, 2000 5,400,000 702,808 13,400,000 1,744,004 7,000,000 911,047
SEK Sweden (Government of) bonds
Ser. 1041, 6 3/4s, 2014 11,700,000 1,575,850 28,800,000 3,879,014 16,000,000 2,155,008
SEK Sweden (Government of) bonds
Ser. 1039, 5 1/2s, 2002 43,900,000 5,652,468 109,400,000 14,086,104 59,100,000 7,609,586
RUB U.S. Dollar GKO Pass Through
Structured Note (Issued by
Deutsche Bank. The principal
at redemption is linked to the
bid price for the Russian
Treasury Bill at maturity, and
the change in the spot rate of
the Russian Ruble from issue
date to maturity date), zero %,
1999 (In default) (NON) 2,810,000 3,389 8,635,000 10,413 -- --
GBP United Kingdom Treasury bonds
Ser. 85, 9 3/4s, 2002 6,955,000 12,939,616 12,565,000 23,376,890 5,305,000 9,869,829
GBP United Kingdom Treasury bonds
9s, 2012 440,000 1,012,538 1,335,000 3,072,131 890,000 2,048,088
GBP United Kingdom Treasury bonds 7s,
2002 2,160,000 3,717,537 6,635,000 11,419,379 4,170,000 7,176,912
------------- ------------- -------------
Total Foreign Government Bonds
and Notes (cost $67,657,104,
$169,757,654 and $88,321,887) $65,211,143 $159,516,595 $86,026,524
- --------------------------------------------------------------------------------------------------------------------------------
GROWTH BALANCED CONSERVATIVE
3.0% 6.2% 21.3%
U.S. GOVERNMENT AND Principal Principal Principal
AGENCY OBLIGATIONS (a) Amount Value Amount Value Amount Value
U.S. Government Agency
Mortgage Obligations 1.6% 3.4% 12.0%
- --------------------------------------------------------------------------------------------------------------------------------
Federal Home Loan
Mortgage Association
8 1/2s, July 1, 2028 $ 575,000 $ 604,107 $ 1,445,001 $ 1,518,146 $2,380,000 $ 2,500,476
6 1/2s, April 15, 2029 405,000 403,481 1,025,000 1,021,156 1,690,000 1,683,663
Federal National Mortgage Association
8s, TBA, April 15, 2029 785,000 816,400 1,935,000 2,012,400 2,409,000 2,505,360
6s, TBA, April 15, 2029 980,000 952,433 2,080,000 2,021,490 3,635,000 3,532,747
Federal National Mortgage Association
Adjustable Rate Mortgages 7.346s,
July 1, 2025 32,242 32,565 77,721 78,498 91,890 92,809
Federal National Mortgage Association
Pass-through Certificates
8 1/2s, with due dates from September 1,
2019 to February 1, 2029 1,160,867 1,219,201 2,337,309 2,454,654 4,050,568 4,253,096
7 1/2s, Dwarf, with due dates from
September 1, 2010 to October 1, 2013 809,999 835,563 1,961,282 2,023,180 1,682,990 1,736,105
7 1/2s, with due dates from
May 1, 2003 to May 1, 2025 -- -- 28,718 29,624 787,023 811,861
7s, Dwarf, with due dates from July 1,
2011 to October 1, 2011 1,272,815 1,300,257 2,446,853 2,499,608 3,829,605 3,912,171
6 1/2s, Dwarf, with due dates from
August 1, 2010 to September 1, 2013 350,213 353,387 -- -- 1,661,924 1,676,983
6 1/2s, with due dates from May 1, 2026
to March 1, 2029 6,506,396 6,475,967 15,146,120 15,075,273 13,580,620 13,516,925
6s, Dwarf, with due dates from May 1,
2013 to July 1, 2013 843,156 836,832 2,061,613 2,046,151 2,531,775 2,512,787
6s, with due dates from May 15, 2008 to
February 15, 2029 2,657,995 2,627,808 7,973,226 7,852,389 6,518,085 6,484,113
5 3/4s, April 15, 2003 495,000 499,252 1,145,000 1,154,836 1,655,000 1,669,216
Government National Mortgage Association
8s, TBA, April 15, 2029 1,100,000 1,146,057 2,335,000 2,432,766 4,085,000 4,256,039
Government National Mortgage Association
Adjustable Rate Mortgages
7s, with due dates from July 15, 2023 to
December 15, 2027 30,196 30,800 70,167 71,570 100,954 102,973
5 1/2s, April 20, 2028 -- -- 419,253 419,515 -- --
Government National Mortgage Association
Pass-through Certificates
10s, with due dates from June 15, 2013 to
March 1, 2029 633,807 700,413 1,592,401 1,759,554 2,079,092 2,296,826
9 1/2s, March 15, 2029 275,000 299,750 680,000 741,200 845,000 921,050
9s, March 1, 2029 315,000 339,806 770,000 830,638 960,000 1,035,600
8s, with due dates from May 15, 2022 to
June 15, 2028 599,345 625,736 2,246,290 2,341,706 3,781,417 3,942,309
7 1/2s, with due dates from April 15,
2022 to November 15, 2027 400,775 413,351 1,140,124 1,176,459 2,576,477 2,658,589
7s, with due dates from January 15, 2023
to December 15, 2028 3,439,546 3,521,588 8,950,914 9,099,453 14,469,879 14,703,062
6 1/2s, with due dates from September 15,
2023 to March 15, 2029 3,670,502 3,655,868 9,160,797 9,124,113 12,138,154 12,089,960
------------- ------------- -------------
27,690,622 67,784,379 88,894,720
U.S. Treasury Obligations 1.4% 2.9% 9.3%
- --------------------------------------------------------------------------------------------------------------------------------
U.S. Treasury Bonds
6 3/8s, August 15, 2027 (SEG) -- -- -- -- 785,000 839,581
6 1/8s, November 15, 2027 (SEG) 1,815,000 1,883,625 5,415,000 5,619,741 7,510,000 7,793,953
5 1/2s, August 15, 2028 10,000 9,570 -- -- 2,370,000 2,268,161
5 1/4s, February 15, 2029 1,370,000 1,295,075 2,505,000 2,368,002 4,335,000 4,097,919
5 1/4s, November 15, 2028 2,608,000 2,432,377 8,319,000 7,758,799 3,676,000 3,428,458
5 1/4s, August 15, 2003 (SEG) 3,260,000 3,265,607 1,485,000 1,487,554 9,145,000 9,160,729
U.S. Treasury Notes
5 5/8s, May 15, 2008 770,000 783,837 1,870,000 1,903,604 2,718,000 2,766,842
5 3/8s, June 30, 2000 (SEG) 355,000 356,832 -- -- 8,985,000 9,031,363
5s, February 28, 2001 620,000 620,099 1,830,000 1,830,293 2,390,000 2,390,382
4 3/4s, November 15, 2008 100,000 96,328 -- -- 1,750,000 1,685,740
4 3/4s, February 15, 2004 700,000 689,283 -- -- 3,995,000 3,933,837
4 5/8s, December 31, 2000 (SEG) 5,375,000 5,338,880 22,370,000 22,219,674 375,000 372,480
4 5/8s, November 30, 2000 615,000 611,255 8,295,000 8,244,483 2,160,000 2,146,846
4 1/2s, September 30, 2000 2,835,000 2,814,191 6,270,000 6,223,978 13,850,000 13,748,341
4 1/4s, November 15, 2003 2,710,000 2,608,811 -- -- 5,990,000 5,766,333
------------- ------------- -------------
22,805,770 57,656,128 69,430,965
------------- ------------- -------------
Total U.S. Government and Agency
Obligations (cost $51,020,643,
$126,654,665 and $159,859,319) $50,496,392 $125,440,507 $158,325,685
- --------------------------------------------------------------------------------------------------------------------------------
GROWTH BALANCED CONSERVATIVE
0.4% 0.8% 2.6%
COLLATERALIZED Principal Principal Principal
MORTGAGE OBLIGATIONS (a) Amount Value Amount Value Amount Value
- --------------------------------------------------------------------------------------------------------------------------------
Chase Mortgage Finance Corp. Ser. 94-1,
Class B2, 6.601s, 2025 $ -- $ -- $ 176,606 $ 173,322 $ 176,606 $ 173,322
Collateralized Mortgage Obligation Trust
Ser. 64, Class Z, 9s, 2020 416,591 433,190 1,293,169 1,344,694 1,388,638 1,443,967
Commercial Mortgage Acceptance Corp.
Ser. 97-ML1, Class A3, 6.57s, 2007 -- -- 275,000 277,750 800,000 808,000
Ser. 97-ML1, Class A2, 6.53s, 2007 15,000 15,178 220,000 222,613 440,000 445,225
Ser. 98-C2, Class A1, 5.8s, 2006 155,021 153,665 353,642 350,547 518,352 513,816
Ser. 97-ML1, Interest Only (IO), 0.962s,
2017 2,214,987 116,979 4,819,694 254,540 7,454,736 393,703
Criimi Mae Commercial Mortgage Trust Ser.
98-C1, Class A2, 7s, 2011 190,000 173,375 375,000 342,188 705,000 643,313
Deutsche Mortgage & Asset Receiving Corp.
Ser. 98-C1, Class X, 1.254s, 2031 2,600,038 154,885 5,620,234 334,799 8,470,389 504,584
Fannie Mae
Ser. 89-71, Class J, 8 1/2s, 2019 465,000 491,574 1,190,000 1,258,007 1,575,000 1,665,009
Ser. 97-61, Class CZ, 7s, 2027 201,033 199,278 508,166 503,730 -- --
Ser. 93-240, Class B, 6.25s, 2013 188,167 187,528 491,875 490,204 653,633 651,412
First Union-Lehman Brothers Bank of
America Ser. 98-C2, Class A1, 6.28s, 2007 445,053 448,791 1,038,458 1,047,179 1,488,297 1,500,796
Commercial Mortgage Ser. 97-C2, Class A3,
6.65s, 2007 130,000 132,351 335,000 341,059 360,000 366,511
Commercial Mortgage Ser. 97-C2,
IO, 1.092s, 2027 774,330 61,341 1,750,874 138,702 2,686,874 212,851
Freddie Mac
Ser. 1439, Class I, 7.5s, 2022 490,000 509,906 1,195,000 1,243,547 1,420,000 1,477,688
Ser. 2080, Class PC, 6s, 2015 135,000 135,654 360,000 361,744 450,000 452,180
GMAC Commercial Mortgage
Securities Inc.
Ser. 98-C2, Class A2, 6.42s, 2008 517,725 519,080 1,231,365 1,234,588 438,180 439,327
Ser. 98-C2, Class A1, 6.15s, 2031 198,543 199,210 455,197 456,726 673,111 675,372
Ser. 99-C1, Class A2, 6.135s, 2033 180,000 177,525 425,000 419,156 630,000 621,338
Government National Mortgage Association
Ser. 97-8, Class PE, 7.5s, 2027 790,000 811,231 1,920,000 1,971,600 2,285,000 2,346,409
Independent National Mortgage Corp. Ser.
94-V, Class A1, 8.1694s, 2024 117,551 117,202 256,359 255,597 -- --
Merrill Lynch Mortgage Investors, Inc.
Ser. 97-C2, Class A2, 6.54s, 2029 655,000 665,439 1,505,000 1,528,986 2,340,000 2,377,294
Morgan Stanley Capital I
Ser. 96-WF1, Class A2, 7.218s, 2006 260,000 270,156 915,000 950,742 1,370,000 1,423,516
Ser. 98-WF1, Class A2, 6.54, 2008 135,000 136,914 325,000 329,608 405,000 410,743
Ser. 98-HF1, Class A2, 6.52, 2008 525,000 530,373 1,295,000 1,308,254 -- --
------------- ------------- -------------
Total Collateralized Mortgage Obligations
(cost $6,798,799, $17,420,162
and $19,903,906) $6,640,825 $17,139,882 $19,546,376
- --------------------------------------------------------------------------------------------------------------------------------
GROWTH BALANCED CONSERVATIVE
0.2% 0.4% 1.8%
ASSET-BACKED Principal Principal Principal
SECURITIES (a) Amount Value Amount Value Amount Value
- --------------------------------------------------------------------------------------------------------------------------------
Advanta Mortgage Loan Trust Ser. 97-2,
Class A2, 7.05s, 2021 $336,784 $ 338,402 $ 868,986 $ 873,161 $1,160,034 $ 1,165,608
Advanta Mortgage Loan Trust Ser. 97-4,
Class A7, 6.63s, 2029 440,000 439,708 1,075,000 1,074,286 1,275,000 1,274,153
Amresco Residential Securities Mortgage
Loan Ser. 97-3, Class A3, 6.6s, 2018 255,550 255,930 638,876 639,824 738,257 739,353
Associates Manufactured Housing
Ser. 96-1, Class A3, 7s, 2027 -- -- -- -- 385,000 389,632
Capita Equipment Receivables Trust Ser.
96-1, Class A4, 6.28s, 2000 80,000 80,225 250,000 250,703 260,000 260,731
First Plus Ser. 98, Class A, 8 1/2s, 2023 195,584 193,812 422,284 418,457 648,984 643,102
GE Capital Mortgage Services, Inc. Ser.
96-HE2, Class A4, 7.65s, 2012 130,000 133,148 300,000 307,266 450,000 460,898
Green Tree Financial Corp. Ser. 97-2,
Class A6, 7.24s, 2028 380,000 389,853 1,005,000 1,031,060 1,425,000 1,461,950
Green Tree Financial Corp. Ser. 98-2,
Class A5, 6.24s, 2016 650,000 652,209 1,420,000 1,424,826 2,135,000 2,142,256
Green Tree Recreational Equipment & Cons.
Ser. 97-B, Class A1, 6.55s, 2028 380,345 384,728 934,562 945,331 1,111,150 1,123,954
Green Tree Recreational Equipment & Cons.
Ser. 98-A, Class A1C, 6.18s, 2019 470,268 471,940 1,018,914 1,022,536 2,386,967 2,395,452
Provident Bank Home Equity Loan Trust Ser.
97-4, Class A3, 6.91s, 2029 135,000 136,276 325,000 328,072 400,000 403,781
The Money Store Home Equity Trust Ser.
96-A, Class A5, 6.85s, 2019 220,000 221,306 515,000 518,058 770,000 774,572
------------- ------------- -------------
Total Asset-Backed Securities
(cost $3,678,321, $8,815,389
and $13,161,385) $3,697,537 $ 8,833,580 $13,235,442
- --------------------------------------------------------------------------------------------------------------------------------
GROWTH BALANCED CONSERVATIVE
0.2% 0.4% 0.3%
Number of Number of Number of
PREFERRED STOCKS (a) Shares Value Shares Value Shares Value
- --------------------------------------------------------------------------------------------------------------------------------
AmeriKing, Inc. $3.25 preferred (PIK) 2,659 $ 69,134 5,000 $ 130,000 -- $ --
CSC Holdings, Inc. Ser. M, $11.125
cum. pfd. (PIK) 1,616 189,072 4,016 469,872 746 87,282
California Federal Bancorp Inc. Ser. A,
$2.281 pfd. 8,100 210,600 13,300 345,800 10,000 260,000
Capstar Broadcasting Inc. 144A
$12.00 pfd. (PIK) 596 72,116 1,614 195,294 537 64,977
Capstar Communications, Inc. Ser. E,
$12.625 cum. pfd. (PIK) 240 29,520 599 73,677 209 25,707
Citadel Broadcasting Inc. 144A $13.25
cum. pfd. (PIK) 1,936 228,932 4,662 551,282 1,513 178,912
Concentric Network Corp. Ser. B,
13.50% pfd. (PIK) 76 82,080 197 212,760 65 70,200
Dobson Communications Corp. 144A
$12.25 pfd. (PIK) 99 88,110 252 224,280 -- --
Fresenius Medical Capital Trust I company
guaranty, Ser. D, 9.00% pfd. (Germany) 630 655,200 1,380 1,435,200 610 634,400
Fresenius Medical Capital Trust II company
guaranty 7.875%, pfd. (Germany) 405 398,419 1,000 983,750 320 314,800
Global Crossing Holdings $10.50 pfd. 3,290 379,173 8,390 966,948 2,860 329,615
ICG Holdings, Inc., 144A $14.00 pfd.
(Canada) (PIK) 55 57,200 940 977,600 113 117,520
IXC Communications, Inc. $12.50 pfd.(PIK) 102 112,200 273 300,300 82 90,201
Intermedia Communication Ser. B,
$13.50 pfd. (PIK) 251 268,570 760 813,200 251 268,570
NEXTEL Communications, Inc. Ser. D,
13.00% cum. pfd. (PIK) 46 51,520 164 183,680 46 51,520
NEXTEL Communications, Inc. Ser. E,
$11.125 pfd. (PIK) 58 59,160 139 141,780 50 51,000
Nebco Evans Holding Co. 144A
$11.25 pfd. (PIK) 1,113 38,955 2,788 97,580 891 31,185
Nextlink Communications, Inc. 144A $7.00
cum. pfd.(PIK) 7,871 421,099 21,583 1,154,691 3,006 160,821
Paxson Communications Corp. 13.25%
cum. pfd. (PIK) 24 200,400 61 509,350 20 167,000
Public Service Co. of New Hampshire $2.651
1st mtge. pfd. 1,740 45,240 9,471 246,246 1,740 45,240
Spanish Broadcasting Systems 14.25%
cum. pfd. (PIK) 234 250,380 593 634,510 193 206,510
Spanish Broadcasting Systems 144A
$14.25 pfd.(PIK) -- -- -- -- 5 5,350
TCR Holding Corp. Ser. B, zero %, pfd. 19,802 1,188 50,551 3,033 16,797 1,008
Viatel, Inc. Ser. A, $10.00 cv. pfd.(PIK) 176 25,520 452 65,540 144 20,880
WinStar Communications, Inc. 144A $14.25
cum. pfd.(PIK) 140 112,000 340 272,000 120 96,000
------------- ------------- -------------
Total Preferred Stocks
(cost $4,151,718, $11,337,796
and $3,302,584) $4,045,788 $10,988,373 $3,278,698
- --------------------------------------------------------------------------------------------------------------------------------
PURCHASED OPTIONS GROWTH BALANCED CONSERVATIVE
OUTSTANDING (a) Expiration 0.1% 0.3% 0.4%
(cost $1,953,030, Date/ Contract Contract Contract
$4,851,729 and $2,586,011) Strike Price Amount Value Amount Value Amount Value
- --------------------------------------------------------------------------------------------------------------------------------
Japanese Government Bond May 99/
Futures Contracts (Call) 115.0 1,500,000 $ 2,193,277 3,700,000 $5,410,084 2,000,000 $2,924,370
- --------------------------------------------------------------------------------------------------------------------------------
GROWTH BALANCED CONSERVATIVE
--% --% --%
CONVERTIBLE Number of Number of Number of
PREFERRED STOCKS (a) Shares Value Shares Value Shares Value
- --------------------------------------------------------------------------------------------------------------------------------
Chancellor Media Corp. $3.00
cv. cum. pfd. 800 $ 76,500 2,000 $ 191,250 700 $ 66,938
Chesapeake Energy Corp. $3.50
cum. cv. pfd. 720 9,180 1,810 23,078 600 7,650
K mart Financing $3.875
cum. cv. pfd. 7,930 471,835 7,830 465,885 1,415 84,193
Paxson Communications Corp. 144A
$9.75 cv. pfd. (PIK) 10 96,000 20 192,000 10 96,000
------------- ------------- -------------
Total Convertible Preferred Stocks
(cost $743,112, $1,017,403
and $295,420) $653,515 $ 872,213 $ 254,781
- --------------------------------------------------------------------------------------------------------------------------------
GROWTH BALANCED CONSERVATIVE
--% --% --%
CONVERTIBLE BONDS Principal Principal Principal
AND NOTES (a) Amount Value Amount Value Amount Value
- --------------------------------------------------------------------------------------------------------------------------------
Apple Computer, Inc. cv. sub. notes 6s,
2001 $340,000 $435,625 $360,000 $ 461,250 $ 55,000 $ 70,469
GST Telecommunications, Inc. cv. sr.
disc. notes stepped-coupon zero %
(13 7/8s, 12/15/00), 2005 (STP) 21,000 22,890 59,000 64,310 17,000 18,530
HEALTHSOUTH Corp. cv. sub. deb.
3 1/4s, 2003 110,000 89,513 270,000 219,713 100,000 81,375
Integrated Device Technology, Inc. cv.
sub. notes 5 1/2s, 2002 40,000 28,350 115,000 81,506 35,000 24,647
------------- ------------- -------------
Total Convertible Bonds and Notes
(cost $576,291, $830,435
and $191,879) $576,378 $ 826,779 $ 195,021
- --------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
GROWTH BALANCED CONSERVATIVE
--% 0.1% 0.1%
Expiration Number of Number of Number of
WARRANTS(a) (NON) Date Warrants Value Warrants Value Warrants Value
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Allegiance Telecom, Inc. 2/3/08 220 $ 7,040 570 $ 18,240 190 $ 6,080
Bestel SA (Mexico) 5/15/05 100 100 220 220 90 90
Birch Telecommunications,
Inc. 144A 6/15/08 100 500 240 1,200 80 400
Cellnet Data Systems,
Inc. 9/15/07 285 5,700 645 12,900 210 4,200
Club Regina, Inc. 144A 12/1/04 55 55 140 140 40 40
Colt Telecommunications
Group PLC 12/31/06 300 157,500 725 380,625 250 131,250
Colt Telecommunications
Group PLC 12/15/07 30 9,000 75 22,500 30 9,000
Concentric Network Corp. 10/1/00 742 186 1,957 489 675 169
Covad Communications
Group 144A (PIK) 3/15/08 135 121,635 330 297,330 115 103,615
DTI Holdings Inc. 3/1/08 3,025 30 7,225 72 2,400 24
Diva Systems Corp. 5/15/06 75 18,150 220 53,240 75 18,150
Diva Systems Corp. 3/8/08 1,464 19,032 3,693 48,009 1,209 15,717
EOP Operating Ltd.
Partnership 6/15/08 350 875 750 1,875 1,160 2,900
Epic Resorts 6/16/05 100 1 250 3 80 1
Esat Holdings, Inc.
(Ireland) 2/1/07 75 5,438 205 14,863 65 4,713
Firstworld Communication 4/15/08 430 4,300 1,080 10,800 360 3,600
Globalstar
Telecommunications 2/15/04 100 4,500 300 13,500 90 4,050
Hyperion Telecommunications
144A 4/15/01 400 20,580 850 43,733 200 10,290
ICG Communications 10/15/05 429 8,580 858 17,160 330 6,600
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 1 40 --
KMC Telecom Holdings, Inc. 4/15/08 200 500 500 1,250 175 438
Knology Holdings, Inc.
144A 10/15/07 285 428 720 1,080 210 315
Long Distance
International, Inc.
144A 4/15/08 80 200 190 475 70 175
Mediq Inc. 6/1/09 120 1 290 3 100 1
MGC Communications, Inc.
144A 10/1/04 20 685 55 1,884 15 514
McCaw International Ltd. 4/15/07 10 40 20 80 10 40
Onepoint Communications,
Inc. 6/1/08 60 60 130 130 50 50
Orbital Imaging Corp. 144A 3/1/05 115 4,600 300 12,000 100 4,000
Pathnet, Inc. 144A 4/15/08 190 1,900 490 4,900 160 1,600
Paxson Communications
Corp. 144A 6/30/03 320 3 640 6 320 3
Powertel, Inc. 2/1/06 -- -- 1,600 6,400 -- --
Rhythms Netcon 144A 5/15/08 1,120 44,800 2,880 115,200 960 38,400
Startec Global
Communications Corp. 5/15/08 110 110 280 280 90 90
Spanish Broadcasting
Systems 144A 6/30/99 80 16,400 220 45,100 75 15,375
Sterling Chemicals
Holdings 8/15/08 35 700 110 2,200 30 600
Telehub Communications
Corp. 7/31/05 80 80 200 200 70 70
Transamerican Refining
Corp. 6/30/03 120 -- 290 -- 100 --
UIH Australia/Pacific,
Inc. 144A 5/15/06 -- -- 610 610 200 200
Versatel B.V. 144A
(Netherlands) 5/15/08 160 11,200 410 28,700 130 9,100
Wireless One, Inc. 10/19/00 450 5 1,050 11 375 4
------------- ------------- -------------
Total Warrants (cost $157,885,
$368,403 and $139,002) $473,940 $1,189,000 $391,865
- --------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
GROWTH BALANCED CONSERVATIVE
UNITS(a) --% --% --%
(cost $210,000, Number of Number of Number of
$520,000 and $180,000) Units Value Units Value Units Value
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Carrier 1 144A unit 13 1/4s, 2009 210 $ 219,975 520 $ 544,700 180 $ 188,550
- --------------------------------------------------------------------------------------------------------------------------------
GROWTH BALANCED CONSERVATIVE
7.7% 6.7% 9.4%
Principal Principal Principal
SHORT-TERM INVESTMENTS (a) Amount Value Amount Value Amount Value
- --------------------------------------------------------------------------------------------------------------------------------
Corporate Asset Funding Co. Inc.
effective yield of 4.87%,
May 3, 1999 $25,000,000 $ 24,891,778 $25,000,000 $ 24,891,778 $ -- $ --
Corporate Receivables Corp.
effective yield of 4.85%,
April 26, 1999 -- -- 25,000,000 24,915,799 14,935,332 14,885,030
Federal Home Loan Mortgage
Association effective yield
of 4.72%, April 14, 1999 25,000,000 24,957,389 -- -- -- --
General Electric Capital Corp.
effective yield of 4.82%,
April 7, 1999 -- -- 25,000,000 24,979,917 -- --
U.S. Treasury Bills zero %, June 10,
1999 (SEG) 7,750,000 7,655,695 10,670,000 10,577,260 -- --
Interest in $500,000,000 joint tri-party
repurchase agreement dated
March 31, 1999 with Goldman
Sachs & Co. due April 1, 1999 with
respect to various U.S. Treasury
obligations -- maturity value of
$51,470,005, $50,779,911, and
$30,004,083 for an effective yield of
4.90% 51,463,000 51,463,000 50,773,000 50,773,000 30,000,000 30,000,000
Interest in $500,000,000 joint
repurchase agreement dated
March 31, 1999 with Salomon, Smith
Barney Inc. due April 1, 1999 with
respect to various U.S. Treasury
obligations -- maturity value of
$20,534,823, for an effective yield of
4.95% 20,532,000 20,532,000 -- -- -- --
Interest in $400,000,000 joint
repurchase agreement dated
March 31, 1999 with SBC Warburg
Securities due April 1, 1999 with
respect to various U.S. Treasury
obligations -- maturity value of
$25,129,420, for an effective yield
of 4.90% -- -- -- -- 25,126,000 25,126,000
------------- ------------- -------------
Total Short-Term Investments
(cost $129,499,862, $136,137,754
and $70,011,030) $129,499,862 $136,137,754 $70,011,030
- --------------------------------------------------------------------------------------------------------------------------------
Total Investments
(cost $1,444,723,322, $1,817,977,027 and
$711,722,242) $1,688,289,324 $2,047,504,071 $751,024,744
- --------------------------------------------------------------------------------------------------------------------------------
(a) Percentages indicated are based on net assets as follows:
- ------------------------------------------------------------
Growth portfolio $1,680,476,891
Balanced portfolio 2,022,044,363
Conservative portfolio 744,060,052
- ------------------------------------------------------------
(b) The aggregate identified cost on a tax basis is as follows:
Aggregate Gross Unrealized Gross Unrealized Unrealized
Identified Cost Appreciation Depreciation Appreciation
- --------------------------------------------------------------------------------------------------------------------------------
Growth portfolio $1,449,299,322 $296,183,037 $57,193,035 $238,990,002
Balanced portfolio 1,821,937,893 299,780,341 74,214,163 225,566,178
Conservative portfolio 712,239,949 58,744,300 19,959,505 38,784,795
- --------------------------------------------------------------------------------------------------------------------------------
(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.
(RES) Restricted, excluding 144A securities, as to public resale. Covad Communications Group 144A warrants was
acquired on various dates from 7/7/98 to 8/26/98 with a cost of $5,521, $13,511 and $4,709 for Growth, Balanced and
Conservative portfolios, respectively. The total market value of restricted securities held by the fund did not
exceed 0.1% of each fund's net assets.
(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 March 31, 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, ADS or GDR after the name of a foreign holding stands for American Depository Receipts, American Depository Shares
or Global Depository Receipts Shares, respectively, representing ownership of foreign securities on deposit with a
domestic custodian bank.
TBA after the name of a security represents to be announced securities (Note 1).
FLIRB represents Front Loaded Interest Reduction Bond.
The rates shown on Floating Rate Notes (FRN) are the current interest rates shown at March 31, 1999, which are subject
to change based on the terms of the security.
Diversification by Country
Distribution of investments by country of issue at March 31, 1999: (as percentage of Market Value) (Unaudited)
Growth portfolio
----------------------
Australia 1.0%
Canada 1.3
Finland 1.0
France 1.9
Germany 1.2
Ireland 1.0
Italy 1.2
Japan 2.7
Netherlands 1.7
Sweden 1.0
Switzerland 1.2
United Kingdom 4.0
United States 80.1
Other 0.7
----------------------
Total 100.0%
Distribution of investments by country of issue at March 31, 1999: (as percentage of Market Value) (Unaudited)
Balanced portfolio
----------------------
Australia 1.0%
Canada 1.7
Finland 1.0
France 2.0
Germany 1.5
Ireland 1.0
Italy 1.8
Japan 2.8
Netherlands 2.5
Spain 1.0
Sweden 1.3
Switzerland 1.2
United Kingdom 5.0
United States 75.2
Other 1.0
----------------------
Total 100.0%
Distribution of investments by country of issue at March 31, 1999: (as percentage of Market Value) (Unaudited)
Conservative portfolio
----------------------
Australia 1.0%
Canada 1.8
Denmark 1.0
France 1.7
Germany 1.0
Italy 2.3
Japan 2.2
Netherlands 3.1
Spain 1.0
Sweden 1.7
Switzerland 1.0
United Kingdom 4.9
United States 75.6
Other 1.7
----------------------
Total 100.0%
<CAPTION>
- -----------------------------------------------------------------------------------------------------
Forward Currency Contracts to Buy
at March 31, 1999 (Unaudited) GROWTH
(aggregate face value $160,006,750)
Unrealized
Aggregate Face Delivery Appreciation/
Market Value Value Date (Depreciation)
- -----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Australian Dollars $ 450,839 $ 452,653 6/16/99 $ (1,814)
British Pounds 23,901,898 23,968,522 6/16/99 (66,624)
Danish Krone 1,982,595 2,013,023 6/16/99 (30,428)
Euro Dollar 49,660,705 50,446,046 6/16/99 (785,341)
Japanese Yen 49,039,143 47,388,864 6/16/99 1,650,279
New Zealand Dollar 492,355 484,147 6/16/99 8,208
Norwegian Krone 967,232 947,981 6/16/99 19,251
Swedish Krona 33,518,578 33,735,278 6/16/99 (216,700)
Swiss Franc 557,366 570,236 6/16/99 (12,870)
- -----------------------------------------------------------------------------------------------------
$ 563,961
- -----------------------------------------------------------------------------------------------------
Forward Currency Contracts to Sell
at March 31, 1999 (Unaudited) GROWTH
(aggregate face value $227,972,105)
Unrealized
Market Aggregate Face Delivery Appreciation/
Value Value Date (Depreciation)
- -----------------------------------------------------------------------------------------------------
Australian Dollars $ 2,618,076 $ 2,591,959 6/16/99 $ (26,117)
British Pounds 11,789,841 11,920,020 7/14/99 130,179
British Pounds 43,662,083 43,756,863 6/16/99 94,780
Canadian Dollar 8,451,863 8,367,992 6/16/99 (83,871)
Danish Krone 1,415,443 1,446,360 6/16/99 30,917
Euro Dollar 111,629,911 113,277,132 6/16/99 1,647,221
Greek Drachma 3,347,325 3,413,553 6/16/99 66,228
Japanese Yen 23,440,781 22,641,481 6/16/99 (799,300)
New Zealand Dollar 4,428,836 4,339,890 6/16/99 (88,946)
Swedish Krona 6,197,691 6,248,955 6/16/99 51,264
Swiss Franc 9,744,212 9,967,900 6/16/99 223,688
- -----------------------------------------------------------------------------------------------------
$ 1,246,043
- -----------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------
Futures Contracts Outstanding
at March 31, 1999 (Unaudited) GROWTH
Unrealized
Aggregate Face Expiration Appreciation/
Total Value Value Date (Depreciation)
- -----------------------------------------------------------------------------------------------------
ASX Index (short) $ 1,413,541 $1,435,224 Jun-99 $ 21,683
CAC 40 (short) 7,427,578 7,309,511 Apr-99 (118,067)
DAX Index (long) 20,923,800 21,818,357 Jun-99 (894,557)
Euro-Bund (short) 3,063,750 3,073,753 Jun-99 10,003
FT-SE 100 Index (short) 26,866,283 26,282,185 Jun-99 (584,098)
Gilt 10yr (short) 14,938,379 14,810,288 Jun-99 (128,091)
JGB 10yr (long) 72,373,938 71,341,417 Jun-99 1,032,521
MIB 30 Index (short) 7,280,416 7,027,334 Jun-99 (253,082)
Nasdaq 100 (short) 13,175,000 12,636,794 Jun-99 (538,206)
Nikkei 225 (short) 10,661,175 10,772,368 Jun-99 111,193
Russell 2000 (short) 45,030,500 45,254,140 Jun-99 223,640
S & P Index (short) 43,002,225 43,318,121 Jun-99 315,896
US Treasury Note
10yr (long) 33,259,375 33,315,825 Jun-99 (56,450)
- -----------------------------------------------------------------------------------------------------
$(857,615)
- -----------------------------------------------------------------------------------------------------
TBA Sale Commitments
at March 31, 1999 (Unaudited) GROWTH
(Proceeds receivable $2,100,312)
Settlement Market
Agency Principal Amount Date Value
- -----------------------------------------------------------------------------------------------------
GNMA, 7s, April 2029 $2,068,000 4/22/99 $2,099,661
- -----------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------
Forward Currency Contracts to Buy
at March 31, 1999 (Unaudited) BALANCED
(aggregate face value $281,083,765)
Unrealized
Aggregate Face Delivery Appreciation/
Market Value Value Date (Depreciation)
- -----------------------------------------------------------------------------------------------------
Australian Dollars $ 476,238 $ 478,155 6/16/99 $ (1,917)
British Pounds 29,603,563 29,687,654 6/16/99 (84,091)
Danish Krone 2,440,006 2,476,925 6/16/99 (36,919)
Euro Dollar 108,368,526 110,103,957 6/16/99 (1,735,431)
Japanese Yen 97,155,530 93,892,828 6/16/99 3,262,702
New Zealand Dollar 604,740 594,663 6/16/99 10,077
Norwegian Krone 1,194,590 1,170,172 6/16/99 24,418
Swedish Krona 41,023,294 41,288,590 6/16/99 (265,296)
Swiss Franc 1,359,430 1,390,821 6/16/99 (31,391)
- -----------------------------------------------------------------------------------------------------
$1,142,152
- -----------------------------------------------------------------------------------------------------
Forward Currency Contracts to Sell
at March 31, 1999 (Unaudited) BALANCED
(aggregate face value $367,382,108)
Unrealized
Market Aggregate Face Delivery Appreciation/
Value Value Date (Depreciation)
- -----------------------------------------------------------------------------------------------------
Australian Dollars $ 6,512,418 $ 6,449,724 6/16/99 $ (62,694)
British Pounds 15,156,066 15,323,413 7/14/99 167,347
British Pounds 68,668,992 68,799,946 6/16/99 130,954
Canadian Dollar 11,768,314 11,652,180 6/16/99 (116,134)
Danish Krone 3,477,279 3,553,232 6/16/99 75,953
Euro Dollar 172,836,932 175,471,466 6/16/99 2,634,534
Greek Drachma 6,863,499 6,989,890 6/16/99 126,391
Japanese Yen 41,268,847 39,858,345 6/16/99 (1,410,502)
New Zealand Dollar 10,929,094 10,709,600 6/16/99 (219,494)
Swedish Krona 15,443,049 15,570,419 6/16/99 127,370
Swiss Franc 12,713,157 13,003,893 6/16/99 290,736
- -----------------------------------------------------------------------------------------------------
$1,744,461
- -----------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------
Futures Contracts Outstanding
at March 31, 1999 (Unaudited) BALANCED
Unrealized
Aggregate Face Expiration Appreciation/
Total Value Value Date (Depreciation)
- -----------------------------------------------------------------------------------------------------
ASX Index (short) $ 1,978,957 $ 2,009,313 Jun-99 $ 30,356
CAC 40 (short) 10,128,516 9,968,883 Apr-99 (159,633)
DAX Index (long) 25,370,108 26,454,758 Jun-99 (1,084,650)
Euro-Bund (short) 8,333,400 8,360,609 Jun-99 27,209
FT-SE 100 Index (short) 32,666,958 31,931,884 Jun-99 (735,074)
Gilt 10yr (short) 41,033,270 40,681,426 Jun-99 (351,844)
JGB 10yr (long) 111,901,243 110,186,786 Jun-99 1,714,457
MIB 30 Index (short) 9,444,864 9,116,541 Jun-99 (328,323)
Nasdaq 100 (short) 22,525,000 21,596,558 Jun-99 (928,442)
Nikkei 225 (short) 13,508,571 13,655,695 Jun-99 147,124
Russell 2000 (short) 57,184,750 57,470,469 Jun-99 285,719
S & P Index (short) 68,868,225 69,111,166 Jun-99 242,941
US Treasury Note
10yr (long) 51,838,750 51,980,690 Jun-99 (141,940)
- -----------------------------------------------------------------------------------------------------
$(1,282,100)
- -----------------------------------------------------------------------------------------------------
TBA Sale Commitments
at March 31, 1999 (Unaudited) BALANCED
(Proceeds receivable $4,453,515)
Settlement Market
Agency Principal Amount Date Value
- -----------------------------------------------------------------------------------------------------
GNMA, 7s, April 2029 $4,385,000 4/22/99 $4,452,134
- -----------------------------------------------------------------------------------------------------
Forward Currency Contracts to Buy
at March 31, 1999 (Unaudited) CONSERVATIVE
(aggregate face value $57,093,752)
Unrealized
Aggregate Face Delivery Appreciation/
Market Value Value Date (Depreciation)
- -----------------------------------------------------------------------------------------------------
Danish Krone $ 1,457 $ 1,476 6/16/99 $ (19)
Euro Dollar 34,471,857 35,051,825 6/16/99 (579,968)
Japanese Yen 22,801,013 22,040,451 6/16/99 760,562
- -----------------------------------------------------------------------------------------------------
$180,575
- -----------------------------------------------------------------------------------------------------
Forward Currency Contracts to Sell
at March 31, 1999 (Unaudited) CONSERVATIVE
(aggregate face value $225,315,724)
Unrealized
Market Aggregate Face Delivery Appreciation/
Value Value Date (Depreciation)
- -----------------------------------------------------------------------------------------------------
Australian Dollars $ 6,461,266 $ 6,353,736 6/16/99 $ (107,530)
British Pounds 35,389,855 35,426,253 6/16/99 36,398
Canadian Dollar 7,304,228 7,231,313 6/16/99 (72,915)
Danish Krone 4,138,793 4,218,689 6/16/99 79,896
Euro Dollar 103,369,544 105,071,404 6/16/99 1,701,860
Greek Drachma 3,412,853 3,472,268 6/16/99 59,415
Japanese Yen 40,415,872 39,219,600 6/16/99 (1,196,272)
New Zealand Dollar 5,272,957 5,167,058 6/16/99 (105,899)
Swedish Krona 12,904,257 12,999,484 6/16/99 95,227
Swiss Franc 6,022,274 6,155,919 6/16/99 133,645
- -----------------------------------------------------------------------------------------------------
$ 623,825
- -----------------------------------------------------------------------------------------------------
Futures Contracts Outstanding
at March 31, 1999 (Unaudited) CONSERVATIVE
Unrealized
Aggregate Face Expiration Appreciation/
Total Value Value Date (Depreciation)
- -----------------------------------------------------------------------------------------------------
ASX Index (short) $ 1,036,597 $ 1,052,498 Jun-99 $ 15,901
CAC 40 Index (short) 3,151,094 3,101,006 Apr-99 (50,088)
DAX Index (long) 6,931,009 7,227,331 Jun-99 (296,322)
Euro-Bund (short) 2,451,000 2,459,002 Jun-99 8,002
FT-SE 100 (short) 13,229,609 12,940,458 Jun-99 (289,151)
Gilt (short) 17,396,594 17,247,425 Jun-99 (149,169)
JGB 10yr (long) 48,991,589 48,036,865 Jun-99 954,724
MIB 30 Index (short) 1,770,912 1,714,839 Jun-99 (56,073)
Nasdaq 100 (short) 14,875,000 14,268,176 Jun-99 (606,824)
Nikkei 225 (short) 6,423,192 6,523,561 Jun-99 100,369
Russell 2000 Index
(short) 16,537,750 16,620,521 Jun-99 82,771
S & P Index (short) 13,256,325 13,290,600 Jun-99 34,275
US Treasury Notes
10yr (long) 11,927,500 11,983,157 Jun-99 (55,657)
- -----------------------------------------------------------------------------------------------------
$(307,242)
- -----------------------------------------------------------------------------------------------------
TBA Sale Commitments
at March 31, 1999 (Unaudited) CONSERVATIVE
(Proceeds receivable $7,784,765)
Settlement Market
Agency Principal Amount Date Value
- -----------------------------------------------------------------------------------------------------
GNMA, 7s, April 2029 $7,665,000 4/22/99 $7,782,351
- -----------------------------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
</TABLE>
<TABLE>
<CAPTION>
Statement of assets and liabilities
March 31, 1999 (Unaudited)
Putnam Asset Allocation: Growth Portfolio
<S> <C>
Assets
- -----------------------------------------------------------------------------------------------
Investments in securities, at value
(identified cost $1,372,728,322) (Note 1) $1,616,294,324
- -----------------------------------------------------------------------------------------------
Repurchase agreement
(identified cost $71,995,000) (Note 1) 71,995,000
- -----------------------------------------------------------------------------------------------
Cash 746,792
- -----------------------------------------------------------------------------------------------
Foreign currency (cost $4,459,778) 3,018,887
- -----------------------------------------------------------------------------------------------
Dividends, interest and other receivables 5,132,827
- -----------------------------------------------------------------------------------------------
Receivable for shares of the fund sold 2,308,838
- -----------------------------------------------------------------------------------------------
Receivable for securities sold 15,997,646
- -----------------------------------------------------------------------------------------------
Receivable for open forward currency contracts 3,946,757
- -----------------------------------------------------------------------------------------------
Receivable for closed forward currency contracts 1,394,453
- -----------------------------------------------------------------------------------------------
Total assets 1,720,835,524
Liabilities
- -----------------------------------------------------------------------------------------------
Payable for variation margin 665,174
- -----------------------------------------------------------------------------------------------
Distributions payable to shareholders 904,872
- -----------------------------------------------------------------------------------------------
Payable for securities purchased 16,305,934
- -----------------------------------------------------------------------------------------------
Payable for shares of the fund repurchased 13,869,602
- -----------------------------------------------------------------------------------------------
Payable for compensation of Manager (Note 2) 2,464,491
- -----------------------------------------------------------------------------------------------
Payable for investor servicing and custodian fees (Note 2) 503,138
- -----------------------------------------------------------------------------------------------
Payable for compensation of Trustees (Note 2) 19,445
- -----------------------------------------------------------------------------------------------
Payable for administrative services (Note 2) 4,495
- -----------------------------------------------------------------------------------------------
Payable for distribution fees (Note 2) 1,059,283
- -----------------------------------------------------------------------------------------------
Payable for open forward currency contracts 2,136,753
- -----------------------------------------------------------------------------------------------
Payable for closed forward currency contracts 101,528
- -----------------------------------------------------------------------------------------------
TBA sales commitments, at value (proceeds receivable $2,100,312) 2,099,661
- -----------------------------------------------------------------------------------------------
Other accrued expenses 224,257
- -----------------------------------------------------------------------------------------------
Total liabilities 40,358,633
- -----------------------------------------------------------------------------------------------
Net assets $1,680,476,891
Represented by
- -----------------------------------------------------------------------------------------------
Paid-in capital (Notes 1 and 4) $1,360,947,264
- -----------------------------------------------------------------------------------------------
Distributions in excess of net investment income (Note 1) (216,799)
- -----------------------------------------------------------------------------------------------
Accumulated net realized gain on investments
and foreign currency transactions (Note 1) 76,823,022
- -----------------------------------------------------------------------------------------------
Net unrealized appreciation of investments and
assets and liabilities in foreign currencies 242,923,404
- -----------------------------------------------------------------------------------------------
Total -- Representing net assets applicable to
capital shares outstanding $1,680,476,891
Computation of net asset value and offering price
- -----------------------------------------------------------------------------------------------
Net asset value and redemption price per class A share
($756,209,556 divided by 54,336,313 shares) $13.92
- -----------------------------------------------------------------------------------------------
Offering price per class A share (100/94.25 of $13.92)* $14.77
- -----------------------------------------------------------------------------------------------
Net asset value and offering price per class B share
($468,913,836 divided by 34,105,378 shares)** $13.75
- -----------------------------------------------------------------------------------------------
Net asset value and offering price per class C share
($101,981,686 divided by 7,475,829 shares)** $13.64
- -----------------------------------------------------------------------------------------------
Net asset value and redemption price per class M share
($63,948,313 divided by 4,650,297 shares) $13.75
- -----------------------------------------------------------------------------------------------
Offering price per class M share (100/96.50 of $13.75)* $14.25
- -----------------------------------------------------------------------------------------------
Net asset value, offering price and redemption price per class Y share
($289,423,500 divided by 20,682,411 shares) $13.99
- -----------------------------------------------------------------------------------------------
* On single retail sales of less than $50,000. On sales of $50,000 or
more and on group sales the offering price is reduced.
** Redemption price per share is equal to net asset value less any applicable contingent deferred
sales charges.
The accompanying notes are an integral part of these financial statements.
</TABLE>
<TABLE>
<CAPTION>
Statement of operations
Six months ended March 31, 1999 (Unaudited)
Putnam Asset Allocation: Growth Portfolio
<S> <C>
Investment income:
- -----------------------------------------------------------------------------------------------
Interest (net of foreign tax of $42,287) $ 9,790,721
- -----------------------------------------------------------------------------------------------
Dividends (net of foreign tax of $145,257) 6,394,606
- -----------------------------------------------------------------------------------------------
Total investment income 16,185,327
Expenses:
- -----------------------------------------------------------------------------------------------
Compensation of Manager (Note 2) 4,702,740
- -----------------------------------------------------------------------------------------------
Investor servicing and custodian fees (Note 2) 2,575,841
- -----------------------------------------------------------------------------------------------
Compensation of Trustees (Note 2) 13,867
- -----------------------------------------------------------------------------------------------
Administrative services (Note 2) 8,979
- -----------------------------------------------------------------------------------------------
Distribution fees -- Class A (Note 2) 871,028
- -----------------------------------------------------------------------------------------------
Distribution fees -- Class B (Note 2) 2,191,698
- -----------------------------------------------------------------------------------------------
Distribution fees -- Class C (Note 2) 494,106
- -----------------------------------------------------------------------------------------------
Distribution fees -- Class M (Note 2) 221,835
- -----------------------------------------------------------------------------------------------
Reports to shareholders 61,116
- -----------------------------------------------------------------------------------------------
Registration fees 79,652
- -----------------------------------------------------------------------------------------------
Auditing 36,666
- -----------------------------------------------------------------------------------------------
Legal 6,163
- -----------------------------------------------------------------------------------------------
Postage 151,538
- -----------------------------------------------------------------------------------------------
Other 52,597
- -----------------------------------------------------------------------------------------------
Total expenses 11,467,826
- -----------------------------------------------------------------------------------------------
Expense reduction (Note 2) (140,797)
- -----------------------------------------------------------------------------------------------
Net expenses 11,327,029
- -----------------------------------------------------------------------------------------------
Net investment income 4,858,298
- -----------------------------------------------------------------------------------------------
Net realized gain on investments (Notes 1 and 3) 64,586,953
- -----------------------------------------------------------------------------------------------
Net realized gain on futures contracts (Note 1) 17,034,174
- -----------------------------------------------------------------------------------------------
Net realized loss on foreign currency transactions (Note 1) (2,825,185)
- -----------------------------------------------------------------------------------------------
Net unrealized appreciation of assets and liabilities in
foreign currencies during the period 1,319,160
- -----------------------------------------------------------------------------------------------
Net unrealized appreciation of investments, futures
contracts and TBA sale commitments during the period 202,349,901
- -----------------------------------------------------------------------------------------------
Net gain on investments 282,465,003
- -----------------------------------------------------------------------------------------------
Net increase in net assets resulting from operations $287,323,301
- -----------------------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
</TABLE>
<TABLE>
<CAPTION>
Statement of changes in net assets
Putnam Asset Allocation: Growth Portfolio
Six months ended Year ended
March 31 September 30
1999* 1998
<S> <C> <C>
- ---------------------------------------------------------------------------------------------------------------
Increase in net assets
- ---------------------------------------------------------------------------------------------------------------
Operations:
- ---------------------------------------------------------------------------------------------------------------
Net investment income $ 4,858,298 $ 12,340,501
- ---------------------------------------------------------------------------------------------------------------
Net realized gain on investments and
foreign currency transactions 78,795,942 38,400,533
- ---------------------------------------------------------------------------------------------------------------
Net unrealized appreciation (depreciation) of
investments and assets and liabilities in foreign currencies 203,669,061 (159,749,944)
- ---------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets
resulting from operations 287,323,301 (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) 102,886,480 346,133,424
- ---------------------------------------------------------------------------------------------------------------
Total increase in net assets 351,186,328 149,260,338
Net assets
- ---------------------------------------------------------------------------------------------------------------
Beginning of period 1,329,290,563 1,180,030,225
- ---------------------------------------------------------------------------------------------------------------
End of period (including distributions in
excess of net investment income and undistributed
net investment income of $216,799 and
$2,873,593, respectively) $1,680,476,891 $1,329,290,563
- ---------------------------------------------------------------------------------------------------------------
* Unaudited
</TABLE>
<TABLE>
<CAPTION>
Financial highlights
(For a share outstanding throughout the period)
Putnam Asset Allocation: Growth Portfolio
CLASS A
- ------------------------------------------------------------------------------------------------------------------------------------
Six months
ended For the period
Per-share March 31 Feb. 8, 1994+
operating performance (Unaudited) Year ended September 30 to Sept. 30
- ------------------------------------------------------------------------------------------------------------------------------------
1999 1998 1997 1996 1995 1994
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value,
beginning of period $11.76 $13.64 $11.41 $10.06 $8.43 $8.50
- ------------------------------------------------------------------------------------------------------------------------------------
Investment operations
- ------------------------------------------------------------------------------------------------------------------------------------
Net investment income (c) .06 .15 .17 .18 .18(d) .10(d)
- ------------------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investments 2.47 (1.06) 2.69 1.63 1.53 (.17)
- ------------------------------------------------------------------------------------------------------------------------------------
Total from
investment operations 2.53 (.91) 2.86 1.81 1.71 (.07)
- ------------------------------------------------------------------------------------------------------------------------------------
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 $13.92 $11.76 $13.64 $11.41 $10.06 $8.43
- ------------------------------------------------------------------------------------------------------------------------------------
Ratios and supplemental data
- ------------------------------------------------------------------------------------------------------------------------------------
Total return at
net asset value (%)(a) 21.79* (7.01) 26.25 18.75 20.45 (.82)*
- ------------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $756,209 $602,273 $486,107 $210,531 $122,228 $43,669
- ------------------------------------------------------------------------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(b) .62* 1.31 1.39 1.45 1.49(d) .78(d)*
- ------------------------------------------------------------------------------------------------------------------------------------
Ratio of net investment income
to average net assets (%) .44* 1.13 1.42 1.72 1.98(d) 1.31(d)*
- ------------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 48.70* 146.58 99.96 100.93 88.36 39.90*
- ------------------------------------------------------------------------------------------------------------------------------------
+ Commencement of operations.
* Not annualized.
(a) Total return assumes dividend reinvestment and does not reflect the effect of sales charges.
(b) The ratio of expenses to average net assets for the year ended September 30, 1995 and thereafter, includes amounts paid
through expense offset and brokerage service arrangements. Prior period ratios exclude these amounts (Note 2).
(c) Per share net investment income has been determined on the basis of the weighted average number of shares outstanding
during the period.
(d) Reflects an expense limitation. As a result of such limitation, expenses for the period ended September 30, 1994 reflect
a reduction of $0.05, $0.05, $0.01 and $0.01 per share for class A, class B, class C and class Y shares, respectively.
Expenses for the year ended September 30, 1995 reflect a reduction of less than $0.01 per share for class A, class B,
class C, class M and class Y, respectively.
</TABLE>
<TABLE>
<CAPTION>
Financial highlights
(For a share outstanding throughout the period)
Putnam Asset Allocation: Growth Portfolio
CLASS B
- ------------------------------------------------------------------------------------------------------------------------------------
Six months
ended For the period
Per-share March 31 Feb. 16, 1994+
operating performance (Unaudited) Year ended September 30 to Sept. 30
- ------------------------------------------------------------------------------------------------------------------------------------
1999 1998 1997 1996 1995 1994
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value,
beginning of period $11.59 $13.47 $11.29 $9.97 $8.39 $8.50
- ------------------------------------------------------------------------------------------------------------------------------------
Investment operations
- ------------------------------------------------------------------------------------------------------------------------------------
Net investment income (c) .01 .05 .08 .10 .11(d) .06(d)
- ------------------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investments 2.43 (1.05) 2.67 1.64 1.52 (.17)
- ------------------------------------------------------------------------------------------------------------------------------------
Total from
investment operations 2.44 (1.00) 2.75 1.74 1.63 (.11)
- ------------------------------------------------------------------------------------------------------------------------------------
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 $13.75 $11.59 $13.47 $11.29 $9.97 $8.39
- ------------------------------------------------------------------------------------------------------------------------------------
Ratios and supplemental data
- ------------------------------------------------------------------------------------------------------------------------------------
Total return at
net asset value (%)(a) 21.26* (7.72) 25.23 18.04 19.57 (1.29)*
- ------------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $468,914 $385,645 $357,501 $199,871 $116,263 $50,664
- ------------------------------------------------------------------------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(b) 1.00* 2.06 2.14 2.21 2.23(d) 1.21(d)*
- ------------------------------------------------------------------------------------------------------------------------------------
Ratio of net investment income
to average net assets (%) .06* .40 .68 .95 1.22(d) .80(d)*
- ------------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 48.70* 146.58 99.96 100.93 88.36 39.90*
- ------------------------------------------------------------------------------------------------------------------------------------
+ Commencement of operations.
* Not annualized.
(a) Total return assumes dividend reinvestment and does not reflect the effect of sales charges.
(b) The ratio of expenses to average net assets for the year ended September 30, 1995 and thereafter, includes amounts paid
through expense offset and brokerage service arrangements. Prior period ratios exclude these amounts (Note 2).
(c) Per share net investment income has been determined on the basis of the weighted average number of shares outstanding
during the period.
(d) Reflects an expense limitation. As a result of such limitation, expenses for the period ended September 30, 1994 reflect
a reduction of $0.05, $0.05, $0.01 and $0.01 per share for class A, class B, class C and class Y shares, respectively.
Expenses for the year ended September 30, 1995 reflect a reduction of less than $0.01 per share for class A, class B,
class C, class M and class Y, respectively.
</TABLE>
<TABLE>
<CAPTION>
Financial highlights
(For a share outstanding throughout the period)
Putnam Asset Allocation: Growth Portfolio
CLASS C
- ------------------------------------------------------------------------------------------------------------------------------------
Six months
ended For the period
Per-share March 31 Sept. 1, 1994+
operating performance (Unaudited) Year ended September 30 to Sept. 30
- ------------------------------------------------------------------------------------------------------------------------------------
1999 1998 1997 1996 1995 1994
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value,
beginning of period $11.50 $13.38 $11.24 $9.93 $8.39 $8.46
- ------------------------------------------------------------------------------------------------------------------------------------
Investment operations
- ------------------------------------------------------------------------------------------------------------------------------------
Net investment income (c) .01 .05 .08 .10 .11(d) .01(d)
- ------------------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investments 2.41 (1.04) 2.65 1.63 1.51 (.08)
- ------------------------------------------------------------------------------------------------------------------------------------
Total from
investment operations 2.42 (.99) 2.73 1.73 1.62 (.07)
- ------------------------------------------------------------------------------------------------------------------------------------
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 $13.64 $11.50 $13.38 $11.24 $9.93 $8.39
- ------------------------------------------------------------------------------------------------------------------------------------
Ratios and supplemental data
- ------------------------------------------------------------------------------------------------------------------------------------
Total return at
net asset value (%)(a) 21.27* (7.70) 25.31 18.01 19.46 (.83)*
- ------------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $101,982 $88,076 $68,749 $27,556 $7,985 $385
- ------------------------------------------------------------------------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(b) 1.00* 2.06 2.14 2.23 2.23(d) .15(d)*
- ------------------------------------------------------------------------------------------------------------------------------------
Ratio of net investment income
to average net assets (%) .06* .41 .67 .94 1.24(d) .14(d)*
- ------------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 48.70* 146.58 99.96 100.93 88.36 39.90*
- ------------------------------------------------------------------------------------------------------------------------------------
+ Commencement of operations.
* Not annualized.
(a) Total return assumes dividend reinvestment and does not reflect the effect of sales charges.
(b) The ratio of expenses to average net assets for the year ended September 30, 1995 and thereafter, includes amounts paid
through expense offset and brokerage service arrangements. Prior period ratios exclude these amounts (Note 2).
(c) Per share net investment income has been determined on the basis of the weighted average number of shares outstanding
during the period.
(d) Reflects an expense limitation. As a result of such limitation, expenses for the period ended September 30, 1994 reflect
a reduction of $0.05, $0.05, $0.01 and $0.01 per share for class A, class B, class C and class Y shares, respectively.
Expenses for the year ended September 30, 1995 reflect a reduction of less than $0.01 per share for class A, class B,
class C, class M and class Y, respectively.
</TABLE>
<TABLE>
<CAPTION>
Financial highlights
(For a share outstanding throughout the period)
Putnam Asset Allocation: Growth Portfolio
CLASS M
- ------------------------------------------------------------------------------------------------------------------------------------
Six months
ended For the period
Per-share March 31 Feb. 3, 1995+
operating performance (Unaudited) Year ended September 30 to Sept. 30
- ------------------------------------------------------------------------------------------------------------------------------------
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) .02 .08 .11 .12 .08(d)
- ------------------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investments 2.45 (1.05) 2.67 1.64 1.54
- ------------------------------------------------------------------------------------------------------------------------------------
Total from
investment operations 2.47 (.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 $13.75 $11.60 $13.49 $11.32 $10.01
- ------------------------------------------------------------------------------------------------------------------------------------
Ratios and supplemental data
- ------------------------------------------------------------------------------------------------------------------------------------
Total return at
net asset value (%)(a) 21.51* (7.52) 25.63 18.21 19.31*
- ------------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $63,948 $49,702 $34,381 $12,369 $3,160
- ------------------------------------------------------------------------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(b) .87* 1.81 1.89 1.95 1.45(d)*
- ------------------------------------------------------------------------------------------------------------------------------------
Ratio of net investment income
to average net assets (%) .19* .65 .92 1.16 .79(d)*
- ------------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 48.70* 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) The ratio of expenses to average net assets for the year ended September 30, 1995 and thereafter, includes amounts paid
through expense offset and brokerage service arrangements. Prior period ratios exclude these amounts (Note 2).
(c) Per share net investment income has been determined on the basis of the weighted average number of shares outstanding
during the period.
(d) Reflects an expense limitation. As a result of such limitation, expenses for the period ended September 30, 1994 reflect
a reduction of $0.05, $0.05, $0.01 and $0.01 per share for class A, class B, class C and class Y shares, respectively.
Expenses for the year ended September 30, 1995 reflect a reduction of less than $0.01 per share for class A, class B,
class C, class M and class Y, respectively.
</TABLE>
<TABLE>
<CAPTION>
Financial highlights
(For a share outstanding throughout the period)
Putnam Asset Allocation: Growth Portfolio
CLASS Y
- ------------------------------------------------------------------------------------------------------------------------------------
Six months
ended For the period
Per-share March 31 July 14, 1994+
operating performance (Unaudited) Year ended September 30 to Sept. 30
- ------------------------------------------------------------------------------------------------------------------------------------
1999 1998 1997 1996 1995 1994
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value,
beginning of period $11.84 $13.72 $11.47 $10.09 $8.43 $8.22
- ------------------------------------------------------------------------------------------------------------------------------------
Investment operations
- ------------------------------------------------------------------------------------------------------------------------------------
Net investment income (c) .07 .18 .21 .21 .17(d) .03(d)
- ------------------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investments 2.48 (1.07) 2.70 1.65 1.57 .18
- ------------------------------------------------------------------------------------------------------------------------------------
Total from
investment operations 2.55 (.89) 2.91 1.86 1.74 .21
- ------------------------------------------------------------------------------------------------------------------------------------
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 $13.99 $11.84 $13.72 $11.47 $10.09 $8.43
- ------------------------------------------------------------------------------------------------------------------------------------
Ratios and supplemental data
- ------------------------------------------------------------------------------------------------------------------------------------
Total return at
net asset value (%)(a) 21.84* (6.79) 26.54 19.20 20.94 2.55*
- ------------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $289,424 $203,595 $233,292 $58,301 $45,150 $775
- ------------------------------------------------------------------------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(b) .50* 1.06 1.14 1.21 1.28(d) .20(d)*
- ------------------------------------------------------------------------------------------------------------------------------------
Ratio of net investment income
to average net assets (%) .56* 1.40 1.71 1.97 2.05(d) .50(d)*
- ------------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 48.70* 146.58 99.96 100.93 88.36 39.90*
- ------------------------------------------------------------------------------------------------------------------------------------
+ Commencement of operations.
* Not annualized.
(a) Total return assumes dividend reinvestment and does not reflect the effect of sales charges.
(b) The ratio of expenses to average net assets for the year ended September 30, 1995 and thereafter, includes amounts paid
through expense offset and brokerage service arrangements. Prior period ratios exclude these amounts (Note 2).
(c) Per share net investment income has been determined on the basis of the weighted average number of shares outstanding
during the period.
(d) Reflects an expense limitation. As a result of such limitation, expenses for the period ended September 30, 1994 reflect
a reduction of $0.05, $0.05, $0.01 and $0.01 per share for class A, class B, class C and class Y shares, respectively.
Expenses for the year ended September 30, 1995 reflect a reduction of less than $0.01 per share for class A, class B,
class C, class M and class Y, respectively.
</TABLE>
<TABLE>
<CAPTION>
Statement of assets and liabilities
March 31, 1999 (Unaudited)
Putnam Asset Allocation: Balanced Portfolio
<S> <C>
Assets
- -----------------------------------------------------------------------------------------------
Investments in securities, at value
(identified cost $1,767,204,027) (Note 1) $1,996,731,071
- -----------------------------------------------------------------------------------------------
Repurchase agreement
(identified cost $50,773,000) (Note 1) 50,773,000
- -----------------------------------------------------------------------------------------------
Cash 1,050,115
- -----------------------------------------------------------------------------------------------
Foreign currency (cost $4,990,532) 2,766,654
- -----------------------------------------------------------------------------------------------
Dividends, interest and other receivables 11,982,289
- -----------------------------------------------------------------------------------------------
Receivable for shares of the fund sold 3,068,398
- -----------------------------------------------------------------------------------------------
Receivable for securities sold 20,512,336
- -----------------------------------------------------------------------------------------------
Receivable for open forward currency contracts 6,894,438
- -----------------------------------------------------------------------------------------------
Receivable for closed forward currency contracts 1,700,316
- -----------------------------------------------------------------------------------------------
Receivable for variation margin 1,153,167
- -----------------------------------------------------------------------------------------------
Total assets 2,096,631,784
Liabilities
- -----------------------------------------------------------------------------------------------
Payable for securities purchased 21,583,342
- -----------------------------------------------------------------------------------------------
Payable for shares of the fund repurchased 39,421,254
- -----------------------------------------------------------------------------------------------
Payable for compensation of Manager (Note 2) 2,936,495
- -----------------------------------------------------------------------------------------------
Payable for investor servicing and custodian fees (Note 2) 524,839
- -----------------------------------------------------------------------------------------------
Payable for compensation of Trustees (Note 2) 20,561
- -----------------------------------------------------------------------------------------------
Payable for administrative services (Note 2) 4,555
- -----------------------------------------------------------------------------------------------
Payable for distribution fees (Note 2) 1,308,430
- -----------------------------------------------------------------------------------------------
Payable for open forward currency contracts 4,007,825
- -----------------------------------------------------------------------------------------------
Payable for closed forward currency contracts 155,998
- -----------------------------------------------------------------------------------------------
TBA sales commitments, at value (proceeds receivable $4,453,515) 4,452,134
- -----------------------------------------------------------------------------------------------
Other accrued expenses 171,988
- -----------------------------------------------------------------------------------------------
Total liabilities 74,587,421
- -----------------------------------------------------------------------------------------------
Net assets $2,022,044,363
Represented by
- -----------------------------------------------------------------------------------------------
Paid-in capital (Notes 1 and 4) $1,722,128,052
- -----------------------------------------------------------------------------------------------
Undistributed net investment income (Note 1) 3,767,849
- -----------------------------------------------------------------------------------------------
Accumulated net realized gain on investments
and foreign currency transactions (Note 1) 67,522,425
- -----------------------------------------------------------------------------------------------
Net unrealized appreciation of investments and
assets and liabilities in foreign currencies 228,626,037
- -----------------------------------------------------------------------------------------------
Total -- Representing net assets applicable to
capital shares outstanding $2,022,044,363
Computation of net asset value and offering price
- -----------------------------------------------------------------------------------------------
Net asset value and redemption price per class A share
($965,277,960 divided by 79,652,779 shares) $12.12
- -----------------------------------------------------------------------------------------------
Offering price per class A share (100/94.25 of $12.12)* $12.86
- -----------------------------------------------------------------------------------------------
Net asset value and offering price per class B share
($558,678,342 divided by 46,346,102 shares)** $12.05
- -----------------------------------------------------------------------------------------------
Net asset value and offering price per class C share
($113,148,908 divided by 9,438,894 shares)** $11.99
- -----------------------------------------------------------------------------------------------
Net asset value and redemption price per class M share
($67,547,492 divided by 5,582,371 shares) $12.10
- -----------------------------------------------------------------------------------------------
Offering price per class M share (100/96.50 of $12.10)* $12.54
- -----------------------------------------------------------------------------------------------
Net asset value, offering price and redemption price per class Y share
($317,391,661 divided by 26,175,122 shares) $12.13
- -----------------------------------------------------------------------------------------------
* On single retail sales of less than $50,000. On sales of $50,000 or more and on group
sales the offering price is reduced.
** Redemption price per share is equal to net asset value less any applicable contingent
deferred sales charge.
The accompanying notes are an integral part of these financial statements.
</TABLE>
<TABLE>
<CAPTION>
Statement of operations
Six months ended March 31, 1999 (Unaudited)
Putnam Asset Allocation: Balanced Portfolio
<S> <C>
Investment income:
- -----------------------------------------------------------------------------------------------
Interest (net of foreign tax of $104,774) $ 25,647,441
- -----------------------------------------------------------------------------------------------
Dividends (net of foreign tax of $197,598) 7,079,484
- -----------------------------------------------------------------------------------------------
Total investment income 32,726,925
Expenses:
- -----------------------------------------------------------------------------------------------
Compensation of Manager (Note 2) 5,666,083
- -----------------------------------------------------------------------------------------------
Investor servicing and custodian fees (Note 2) 2,684,970
- -----------------------------------------------------------------------------------------------
Compensation of Trustees (Note 2) 15,173
- -----------------------------------------------------------------------------------------------
Administrative services (Note 2) 9,103
- -----------------------------------------------------------------------------------------------
Distribution fees -- Class A (Note 2) 1,194,131
- -----------------------------------------------------------------------------------------------
Distribution fees -- Class B (Note 2) 2,658,382
- -----------------------------------------------------------------------------------------------
Distribution fees -- Class C (Note 2) 532,253
- -----------------------------------------------------------------------------------------------
Distribution fees -- Class M (Note 2) 238,631
- -----------------------------------------------------------------------------------------------
Reports to shareholders 45,538
- -----------------------------------------------------------------------------------------------
Registration fees 83,556
- -----------------------------------------------------------------------------------------------
Auditing 36,646
- -----------------------------------------------------------------------------------------------
Legal 7,292
- -----------------------------------------------------------------------------------------------
Postage 125,089
- -----------------------------------------------------------------------------------------------
Other 54,683
- -----------------------------------------------------------------------------------------------
Total expenses 13,351,530
- -----------------------------------------------------------------------------------------------
Expense reduction (Note 2) (155,765)
- -----------------------------------------------------------------------------------------------
Net expenses 13,195,765
- -----------------------------------------------------------------------------------------------
Net investment income 19,531,160
- -----------------------------------------------------------------------------------------------
Net realized gain on investments (Notes 1 and 3) 68,736,121
- -----------------------------------------------------------------------------------------------
Net realized gain on futures contracts (Note 1) 7,990,206
- -----------------------------------------------------------------------------------------------
Net realized loss on foreign currency transactions (Note 1) (1,817,437)
- -----------------------------------------------------------------------------------------------
Net unrealized appreciation of assets and liabilities in
foreign currencies during the period 2,059,547
- -----------------------------------------------------------------------------------------------
Net unrealized appreciation of investments, futures contracts
and TBA sale commitments during the period 185,205,480
- -----------------------------------------------------------------------------------------------
Net gain on investments 262,173,917
- -----------------------------------------------------------------------------------------------
Net increase in net assets resulting from operations $281,705,077
- -----------------------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
</TABLE>
<TABLE>
<CAPTION>
Statement of changes in net assets
Putnam Asset Allocation: Balanced Portfolio
Six months ended Year ended
March 31 September 30
1999* 1998
<S> <C> <C>
- ---------------------------------------------------------------------------------------------------------------
Increase in net assets
- ---------------------------------------------------------------------------------------------------------------
Operations:
- ---------------------------------------------------------------------------------------------------------------
Net investment income $ 19,531,160 $ 33,067,514
- ---------------------------------------------------------------------------------------------------------------
Net realized gain on investments and
foreign currency transactions 74,908,890 40,629,060
- ---------------------------------------------------------------------------------------------------------------
Net unrealized appreciation (depreciation) of
investments and assets and liabilities in foreign currencies 187,265,027 (171,479,401)
- ---------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets
resulting from operations 281,705,077 (97,782,827)
- ---------------------------------------------------------------------------------------------------------------
Distributions to shareholders:
- ---------------------------------------------------------------------------------------------------------------
From net investment income
Class A (9,015,772) (13,459,243)
- ---------------------------------------------------------------------------------------------------------------
Class B (3,082,063) (4,125,880)
- ---------------------------------------------------------------------------------------------------------------
Class C (642,359) (785,030)
- ---------------------------------------------------------------------------------------------------------------
Class M (459,694) (583,502)
- ---------------------------------------------------------------------------------------------------------------
Class Y (2,832,930) (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) 90,868,336 454,601,683
- ---------------------------------------------------------------------------------------------------------------
Total increase in net assets 327,277,858 224,594,334
Net assets
- ---------------------------------------------------------------------------------------------------------------
Beginning of period 1,694,766,505 1,470,172,171
- ---------------------------------------------------------------------------------------------------------------
End of period (including undistributed net investment
income of $3,767,849 and $269,507, respectively) $2,022,044,363 $1,694,766,505
- ---------------------------------------------------------------------------------------------------------------
* Unaudited
The accompanying notes are an integral part of these financial statements.
</TABLE>
<TABLE>
<CAPTION>
Financial highlights
(For a share outstanding throughout the period)
Putnam Asset Allocation: Balanced Portfolio
CLASS A
- ------------------------------------------------------------------------------------------------------------------------------------
Six months
ended For the period
Per-share March 31 Feb. 7, 1994+
operating performance (Unaudited) Year ended September 30 to Sept. 30
- ------------------------------------------------------------------------------------------------------------------------------------
1999 1998 1997 1996 1995 1994
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value,
beginning of period $10.66 $12.28 $10.71 $9.67 $8.33 $8.50
- ------------------------------------------------------------------------------------------------------------------------------------
Investment operations
- ------------------------------------------------------------------------------------------------------------------------------------
Net investment income (c) .13 .26 .28 .29 .27(d) .16(d)
- ------------------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investments 1.62 (.84) 2.13 1.32 1.27 (.28)
- ------------------------------------------------------------------------------------------------------------------------------------
Total from
investment operations 1.75 (.58) 2.41 1.61 1.54 (.12)
- ------------------------------------------------------------------------------------------------------------------------------------
Less distributions:
- ------------------------------------------------------------------------------------------------------------------------------------
From net
investment income (.11) (.18) (.31) (.28) (.20) (.05)
- ------------------------------------------------------------------------------------------------------------------------------------
From net realized gain
on investments (.18) (.86) (.53) (.29) -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Total distributions (.29) (1.04) (.84) (.57) (.20) (.05)
- ------------------------------------------------------------------------------------------------------------------------------------
Net asset value,
end of period $12.12 $10.66 $12.28 $10.71 $9.67 $8.33
- ------------------------------------------------------------------------------------------------------------------------------------
Ratios and supplemental data
- ------------------------------------------------------------------------------------------------------------------------------------
Total return at
net asset value (%)(a) 16.56* (4.97) 23.82 17.41 18.73 (1.47)*
- ------------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $965,278 $846,574 $680,720 $327,326 $152,317 $54,483
- ------------------------------------------------------------------------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(b) .58* 1.22 1.27 1.33 1.32(d) .83(d)*
- ------------------------------------------------------------------------------------------------------------------------------------
Ratio of net investment income
to average net assets (%) 1.13* 2.17 2.44 2.83 2.95(d) 2.13(d)*
- ------------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 59.81* 158.14 136.75 122.12 106.03 52.62*
- ------------------------------------------------------------------------------------------------------------------------------------
+ Commencement of operations.
* Not annualized.
(a) Total return assumes dividend reinvestment and does not reflect the effect of sales charges.
(b) The ratio of expenses to average net assets for the year ended September 30, 1995 and thereafter, includes amounts paid
through expense offset and brokerage service arrangements. Prior period ratios exclude these amounts (Note 2).
(c) Per share net investment income has been determined on the basis of the weighted average number of shares outstanding
during the period.
(d) Reflects an expense limitation. As a result of such limitation, expenses for the period ended September 30, 1994 reflect
a reduction of $0.05, $0.03, $0.01 and none per share for class A, class B, class C and class Y shares, respectively.
Expenses for the year ended September 30, 1995 reflect a reduction of less than $0.01 per share for class A, class B,
class C, class M and class Y, respectively.
</TABLE>
<TABLE>
<CAPTION>
Financial highlights
(For a share outstanding throughout the period)
Putnam Asset Allocation: Balanced Portfolio
CLASS B
- ------------------------------------------------------------------------------------------------------------------------------------
Six months
ended For the period
Per-share March 31 Feb. 11, 1994+
operating performance (Unaudited) Year ended September 30 to Sept. 30
- ------------------------------------------------------------------------------------------------------------------------------------
1999 1998 1997 1996 1995 1994
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value,
beginning of period $10.61 $12.23 $10.67 $9.64 $8.31 $8.50
- ------------------------------------------------------------------------------------------------------------------------------------
Investment operations
- ------------------------------------------------------------------------------------------------------------------------------------
Net investment income (c) .09 .17 .19 .21 .20(d) .11(d)
- ------------------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investments 1.60 (.83) 2.13 1.32 1.26 (.27)
- ------------------------------------------------------------------------------------------------------------------------------------
Total from
investment operations 1.69 (.66) 2.32 1.53 1.46 (.16)
- ------------------------------------------------------------------------------------------------------------------------------------
Less distributions:
- ------------------------------------------------------------------------------------------------------------------------------------
From net
investment income (.07) (.10) (.23) (.21) (.13) (.03)
- ------------------------------------------------------------------------------------------------------------------------------------
From net realized gain
on investments (.18) (.86) (.53) (.29) -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Total distributions (.25) (.96) (.76) (.50) (.13) (.03)
- ------------------------------------------------------------------------------------------------------------------------------------
Net asset value,
end of period $12.05 $10.61 $12.23 $10.67 $9.64 $8.31
- ------------------------------------------------------------------------------------------------------------------------------------
Ratios and supplemental data
- ------------------------------------------------------------------------------------------------------------------------------------
Total return at
net asset value (%)(a) 16.02* (5.70) 22.95 16.54 17.83 (1.89)*
- ------------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $558,678 $482,029 $442,463 $264,830 $159,230 $81,093
- ------------------------------------------------------------------------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(b) .95* 1.97 2.02 2.08 2.07(d) 1.23(d)*
- ------------------------------------------------------------------------------------------------------------------------------------
Ratio of net investment income
to average net assets (%) .76* 1.42 1.70 2.08 2.26(d) 1.41(d)*
- ------------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 59.81* 158.14 136.75 122.12 106.03 52.62*
- ------------------------------------------------------------------------------------------------------------------------------------
+ Commencement of operations.
* Not annualized.
(a) Total return assumes dividend reinvestment and does not reflect the effect of sales charges.
(b) The ratio of expenses to average net assets for the year ended September 30, 1995 and thereafter, includes amounts paid
through expense offset and brokerage service arrangements. Prior period ratios exclude these amounts (Note 2).
(c) Per share net investment income has been determined on the basis of the weighted average number of shares outstanding
during the period.
(d) Reflects an expense limitation. As a result of such limitation, expenses for the period ended September 30, 1994 reflect
a reduction of $0.05, $0.03, $0.01 and none per share for class A, class B, class C and class Y shares, respectively.
Expenses for the year ended September 30, 1995 reflect a reduction of less than $0.01 per share for class A, class B,
class C, class M and class Y, respectively.
</TABLE>
<TABLE>
<CAPTION>
Financial highlights
(For a share outstanding throughout the period)
Putnam Asset Allocation: Balanced Portfolio
CLASS C
- ------------------------------------------------------------------------------------------------------------------------------------
Six months
ended For the period
Per-share March 31 Sept. 1, 1994+
operating performance (Unaudited) Year ended September 30 to Sept. 30
- ------------------------------------------------------------------------------------------------------------------------------------
1999 1998 1997 1996 1995 1994
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value,
beginning of period $10.56 $12.18 $10.64 $9.62 $8.31 $8.41
- ------------------------------------------------------------------------------------------------------------------------------------
Investment operations
- ------------------------------------------------------------------------------------------------------------------------------------
Net investment income (c) .09 .16 .19 .22 .20(d) .01(d)
- ------------------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investments 1.59 (.82) 2.11 1.30 1.27 (.08)
- ------------------------------------------------------------------------------------------------------------------------------------
Total from
investment operations 1.68 (.66) 2.30 1.52 1.47 (.07)
- ------------------------------------------------------------------------------------------------------------------------------------
Less distributions:
- ------------------------------------------------------------------------------------------------------------------------------------
From net
investment income (.07) (.10) (.23) (.21) (.16) (.03)
- ------------------------------------------------------------------------------------------------------------------------------------
From net realized gain
on investments (.18) (.86) (.53) (.29) -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Total distributions (.25) (.96) (.76) (.50) (.16) (.03)
- ------------------------------------------------------------------------------------------------------------------------------------
Net asset value,
end of period $11.99 $10.56 $12.18 $10.64 $9.62 $8.31
- ------------------------------------------------------------------------------------------------------------------------------------
Ratios and supplemental data
- ------------------------------------------------------------------------------------------------------------------------------------
Total return at
net asset value (%)(a) 16.02* (5.70) 22.86 16.47 17.89 (.84)*
- ------------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $113,149 $94,553 $70,847 $29,724 $11,921 $441
- ------------------------------------------------------------------------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(b) .95* 1.97 2.02 2.09 2.09(d) .16(d)*
- ------------------------------------------------------------------------------------------------------------------------------------
Ratio of net investment income
to average net assets (%) .76* 1.41 1.70 2.18 2.22(d) .11(d)*
- ------------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 59.81* 158.14 136.75 122.12 106.03 52.62*
- ------------------------------------------------------------------------------------------------------------------------------------
+ Commencement of operations.
* Not annualized.
(a) Total return assumes dividend reinvestment and does not reflect the effect of sales charges.
(b) The ratio of expenses to average net assets for the year ended September 30, 1995 and thereafter, includes amounts paid
through expense offset and brokerage service arrangements. Prior period ratios exclude these amounts (Note 2).
(c) Per share net investment income has been determined on the basis of the weighted average number of shares outstanding
during the period.
(d) Reflects an expense limitation. As a result of such limitation, expenses for the period ended September 30, 1994 reflect
a reduction of $0.05, $0.03, $0.01 and none per share for class A, class B, class C and class Y shares, respectively.
Expenses for the year ended September 30, 1995 reflect a reduction of less than $0.01 per share for class A, class B,
class C, class M and class Y, respectively.
</TABLE>
<TABLE>
<CAPTION>
Financial highlights
(For a share outstanding throughout the period)
Putnam Asset Allocation: Balanced Portfolio
CLASS M
- ------------------------------------------------------------------------------------------------------------------------------------
Six months
ended For the period
Per-share March 31 Feb. 6, 1995+
operating performance (Unaudited) Year ended September 30 to Sept. 30
- ------------------------------------------------------------------------------------------------------------------------------------
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) .10 .20 .22 .24 .14(d)
- ------------------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investments 1.61 (.83) 2.13 1.34 1.31
- ------------------------------------------------------------------------------------------------------------------------------------
Total from
investment operations 1.71 (.63) 2.35 1.58 1.45
- ------------------------------------------------------------------------------------------------------------------------------------
Less distributions:
- ------------------------------------------------------------------------------------------------------------------------------------
From net
investment income (.08) (.13) (.26) (.24) (.13)
- ------------------------------------------------------------------------------------------------------------------------------------
From net realized gain
on investments (.18) (.86) (.53) (.29) --
- ------------------------------------------------------------------------------------------------------------------------------------
Total distributions (.26) (.99) (.79) (.53) (.13)
- ------------------------------------------------------------------------------------------------------------------------------------
Net asset value,
end of period $12.10 $10.65 $12.27 $10.71 $9.66
- ------------------------------------------------------------------------------------------------------------------------------------
Ratios and supplemental data
- ------------------------------------------------------------------------------------------------------------------------------------
Total return at
net asset value (%)(a) 16.21* (5.46) 23.19 17.05 17.46*
- ------------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $67,547 $55,511 $44,121 $14,967 $3,509
- ------------------------------------------------------------------------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(b) .83* 1.72 1.77 1.84 1.38(d)*
- ------------------------------------------------------------------------------------------------------------------------------------
Ratio of net investment income
to average net assets (%) .88* 1.67 1.93 2.42 1.56(d)*
- ------------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 59.81* 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) The ratio of expenses to average net assets for the year ended September 30, 1995 and thereafter, includes amounts paid
through expense offset and brokerage service arrangements. Prior period ratios exclude these amounts (Note 2).
(c) Per share net investment income has been determined on the basis of the weighted average number of shares outstanding
during the period.
(d) Reflects an expense limitation. As a result of such limitation, expenses for the period ended September 30, 1994 reflect
a reduction of $0.05, $0.03, $0.01 and none per share for class A, class B, class C and class Y shares, respectively.
Expenses for the year ended September 30, 1995 reflect a reduction of less than $0.01 per share for class A, class B,
class C, class M and class Y, respectively.
</TABLE>
<TABLE>
<CAPTION>
Financial highlights
(For a share outstanding throughout the period)
Putnam Asset Allocation: Balanced Portfolio
CLASS Y
- ------------------------------------------------------------------------------------------------------------------------------------
Six months
ended For the period
Per-share March 31 July 5, 1994+
operating performance (Unaudited) Year ended September 30 to Sept. 30
- ------------------------------------------------------------------------------------------------------------------------------------
1999 1998 1997 1996 1995 1994
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value,
beginning of period $10.67 $12.29 $10.71 $9.66 $8.33 $8.11
- ------------------------------------------------------------------------------------------------------------------------------------
Investment operations
- ------------------------------------------------------------------------------------------------------------------------------------
Net investment income (c) .15 .29 .31 .31 .29(d) .05(d)
- ------------------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investments 1.61 (.84) 2.14 1.34 1.26 .22
- ------------------------------------------------------------------------------------------------------------------------------------
Total from
investment operations 1.76 (.55) 2.45 1.65 1.55 .27
- ------------------------------------------------------------------------------------------------------------------------------------
Less distributions:
- ------------------------------------------------------------------------------------------------------------------------------------
From net
investment income (.12) (.21) (.34) (.31) (.22) (.05)
- ------------------------------------------------------------------------------------------------------------------------------------
From net realized gain
on investments (.18) (.86) (.53) (.29) -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Total distributions (.30) (1.07) (.87) (.60) (.22) (.05)
- ------------------------------------------------------------------------------------------------------------------------------------
Net asset value,
end of period $12.13 $10.67 $12.29 $10.71 $9.66 $8.33
- ------------------------------------------------------------------------------------------------------------------------------------
Ratios and supplemental data
- ------------------------------------------------------------------------------------------------------------------------------------
Total return at
net asset value (%)(a) 16.68* (4.74) 24.21 17.81 18.89 3.34*
- ------------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $317,392 $216,100 $232,021 $126,482 $71,661 $66,081
- ------------------------------------------------------------------------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(b) .45* .97 1.02 1.08 1.07(d) .23(d)*
- ------------------------------------------------------------------------------------------------------------------------------------
Ratio of net investment income
to average net assets (%) 1.26* 2.43 2.70 3.03 3.35(d) .62(d)*
- ------------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 59.81* 158.14 136.75 122.12 106.03 52.62*
- ------------------------------------------------------------------------------------------------------------------------------------
+ Commencement of operations.
* Not annualized.
(a) Total return assumes dividend reinvestment and does not reflect the effect of sales charges.
(b) The ratio of expenses to average net assets for the year ended September 30, 1995 and thereafter, includes amounts paid
through expense offset and brokerage service arrangements. Prior period ratios exclude these amounts (Note 2).
(c) Per share net investment income has been determined on the basis of the weighted average number of shares outstanding
during the period.
(d) Reflects an expense limitation. As a result of such limitation, expenses for the period ended September 30, 1994 reflect
a reduction of $0.05, $0.03, $0.01 and none per share for class A, class B, class C and class Y shares, respectively.
Expenses for the year ended September 30, 1995 reflect a reduction of less than $0.01 per share for class A, class B,
class C, class M and class Y, respectively.
</TABLE>
<TABLE>
<CAPTION>
Statement of assets and liabilities
March 31, 1999 (Unaudited)
Putnam Asset Allocation: Conservative Portfolio
<S> <C>
Assets
- -----------------------------------------------------------------------------------------------
Investments in securities, at value
(identified cost $656,596,242) (Note 1) $695,898,744
- -----------------------------------------------------------------------------------------------
Repurchase agreement
(identified cost $55,126,000) (Note 1) 55,126,000
- -----------------------------------------------------------------------------------------------
Cash 321,225
- -----------------------------------------------------------------------------------------------
Foreign currency (cost $1,147,633) 1,065,465
- -----------------------------------------------------------------------------------------------
Dividends, interest and other receivables 6,984,241
- -----------------------------------------------------------------------------------------------
Receivable for shares of the fund sold 1,595,902
- -----------------------------------------------------------------------------------------------
Receivable for securities sold 14,784,419
- -----------------------------------------------------------------------------------------------
Receivable for open forward currency contracts 2,911,406
- -----------------------------------------------------------------------------------------------
Receivable for closed forward currency contracts 27,258
- -----------------------------------------------------------------------------------------------
Receivable for variation margin 511,171
- -----------------------------------------------------------------------------------------------
Total assets 779,225,831
Liabilities
- -----------------------------------------------------------------------------------------------
Payable for securities purchased 18,625,473
- -----------------------------------------------------------------------------------------------
Payable for shares of the fund repurchased 4,581,950
- -----------------------------------------------------------------------------------------------
Payable for compensation of Manager (Note 2) 1,191,632
- -----------------------------------------------------------------------------------------------
Payable for investor servicing and custodian fees (Note 2) 279,571
- -----------------------------------------------------------------------------------------------
Payable for compensation of Trustees (Note 2) 13,740
- -----------------------------------------------------------------------------------------------
Payable for administrative services (Note 2) 2,423
- -----------------------------------------------------------------------------------------------
Payable for distribution fees (Note 2) 498,203
- -----------------------------------------------------------------------------------------------
Payable for open forward currency contracts 2,107,006
- -----------------------------------------------------------------------------------------------
Payable for closed forward currency contracts 8,472
- -----------------------------------------------------------------------------------------------
TBA sales commitments, at value (proceeds receivable $7,784,765) 7,782,351
- -----------------------------------------------------------------------------------------------
Other accrued expenses 74,958
- -----------------------------------------------------------------------------------------------
Total liabilities 35,165,779
- -----------------------------------------------------------------------------------------------
Net assets $744,060,052
Represented by
- -----------------------------------------------------------------------------------------------
Paid-in capital (Notes 1 and 4) $682,762,965
- -----------------------------------------------------------------------------------------------
Distributions in excess of net investment income (Note 1) (5,945,485)
- -----------------------------------------------------------------------------------------------
Accumulated net realized gain on investments and
foreign currency transactions (Note 1) 27,600,804
- -----------------------------------------------------------------------------------------------
Net unrealized appreciation of investments and
assets and liabilities in foreign currencies 39,641,768
- -----------------------------------------------------------------------------------------------
Total -- Representing net assets applicable to
capital shares outstanding $744,060,052
Computation of net asset value and offering price
- -----------------------------------------------------------------------------------------------
Net asset value and redemption price per class A share
($417,550,225 divided by 39,867,447 shares) $10.47
- -----------------------------------------------------------------------------------------------
Offering price per class A share (100/94.25 of $10.47)* $11.11
- -----------------------------------------------------------------------------------------------
Net asset value and offering price per class B share
($184,851,606 divided by 17,713,120 shares)** $10.44
- -----------------------------------------------------------------------------------------------
Net asset value and offering price per class C share
($55,516,187 divided by 5,331,856 shares)** $10.41
- -----------------------------------------------------------------------------------------------
Net asset value and redemption price per class M share
($23,433,473 divided by 2,244,099 shares) $10.44
- -----------------------------------------------------------------------------------------------
Offering price per class M share (100/96.50 of $10.44)* $10.82
- -----------------------------------------------------------------------------------------------
Net asset value, offering price and redemption price per class Y share
($62,708,561 divided by 5,984,358 shares) $10.48
- -----------------------------------------------------------------------------------------------
* On single retail sales of less than $50,000. On sales of $50,000 or more and on group sales
the offering price is reduced.
** Redemption price per share is equal to net asset value less any applicable contingent
deferred sales charges.
The accompanying notes are an integral part of these financial statements.
</TABLE>
<TABLE>
<CAPTION>
Statement of operations
Six months ended March 31, 1999 (Unaudited)
Putnam Asset Allocation: Conservative Portfolio
<S> <C>
Investment income:
- -----------------------------------------------------------------------------------------------
Interest (net of foreign tax of $52,477) $14,628,797
- -----------------------------------------------------------------------------------------------
Dividends (net of foreign tax of $20,065) 1,296,237
- -----------------------------------------------------------------------------------------------
Total investment income 15,925,034
Expenses:
- -----------------------------------------------------------------------------------------------
Compensation of Manager (Note 2) 2,319,909
- -----------------------------------------------------------------------------------------------
Investor servicing and custodian fees (Note 2) 1,253,860
- -----------------------------------------------------------------------------------------------
Compensation of Trustees (Note 2) 8,088
- -----------------------------------------------------------------------------------------------
Administrative services (Note 2) 4,851
- -----------------------------------------------------------------------------------------------
Distribution fees -- Class A (Note 2) 500,208
- -----------------------------------------------------------------------------------------------
Distribution fees -- Class B (Note 2) 876,838
- -----------------------------------------------------------------------------------------------
Distribution fees -- Class C (Note 2) 262,650
- -----------------------------------------------------------------------------------------------
Distribution fees -- Class M (Note 2) 80,762
- -----------------------------------------------------------------------------------------------
Reports to shareholders 14,672
- -----------------------------------------------------------------------------------------------
Registration fees 30,897
- -----------------------------------------------------------------------------------------------
Auditing 34,333
- -----------------------------------------------------------------------------------------------
Legal 3,864
- -----------------------------------------------------------------------------------------------
Postage 45,970
- -----------------------------------------------------------------------------------------------
Other 20,440
- -----------------------------------------------------------------------------------------------
Total expenses 5,457,342
- -----------------------------------------------------------------------------------------------
Expense reduction (Note 2) (77,572)
- -----------------------------------------------------------------------------------------------
Net expenses 5,379,770
- -----------------------------------------------------------------------------------------------
Net investment income 10,545,264
- -----------------------------------------------------------------------------------------------
Net realized gain on investments (Notes 1 and 3) 11,624,766
- -----------------------------------------------------------------------------------------------
Net realized gain on futures contracts (Notes 1 and 3) 7,221,442
- -----------------------------------------------------------------------------------------------
Net realized gain on foreign currency transactions (Note 1) 9,993,897
- -----------------------------------------------------------------------------------------------
Net unrealized appreciation of assets and liabilities in
foreign currencies during the period 1,012,935
- -----------------------------------------------------------------------------------------------
Net unrealized appreciation of investments, futures contracts
and TBA sale commitments during the period 25,647,616
- -----------------------------------------------------------------------------------------------
Net gain on investments 55,500,656
- -----------------------------------------------------------------------------------------------
Net increase in net assets resulting from operations $66,045,920
- -----------------------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
</TABLE>
<TABLE>
<CAPTION>
Statement of changes in net assets
Putnam Asset Allocation: Conservative Portfolio
Six months ended Year ended
March 31 September 30
1999* 1998
<S> <C> <C>
- ---------------------------------------------------------------------------------------------------------------
Increase in net assets
- ---------------------------------------------------------------------------------------------------------------
Operations:
- ---------------------------------------------------------------------------------------------------------------
Net investment income $ 10,545,264 $ 20,081,572
- ---------------------------------------------------------------------------------------------------------------
Net realized gain on investments and
foreign currency transactions 28,840,105 6,161,967
- ---------------------------------------------------------------------------------------------------------------
Net unrealized appreciation (depreciation)
of investments and assets and liabilities in foreign currencies 26,660,551 (33,757,909)
- ---------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets
resulting from operations 66,045,920 (7,514,370)
- ---------------------------------------------------------------------------------------------------------------
Distributions to shareholders:
- ---------------------------------------------------------------------------------------------------------------
From net investment income
Class A (10,268,382) (6,966,826)
- ---------------------------------------------------------------------------------------------------------------
Class B (3,889,340) (1,866,547)
- ---------------------------------------------------------------------------------------------------------------
Class C (1,180,144) (456,355)
- ---------------------------------------------------------------------------------------------------------------
Class M (518,105) (252,645)
- ---------------------------------------------------------------------------------------------------------------
Class Y (992,785) (533,235)
- ---------------------------------------------------------------------------------------------------------------
From net realized gain on investments
Class A (3,163,447) (12,929,412)
- ---------------------------------------------------------------------------------------------------------------
Class B (1,383,942) (5,974,120)
- ---------------------------------------------------------------------------------------------------------------
Class C (418,801) (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) 78,759,017 171,400,189
- ---------------------------------------------------------------------------------------------------------------
Total increase in net assets 122,585,764 127,297,094
Net assets
- ---------------------------------------------------------------------------------------------------------------
Beginning of period 621,474,288 494,177,194
- ---------------------------------------------------------------------------------------------------------------
End of period (including distributions in
excess of net investment income and undistributed
net investment income of $5,945,485 and
$358,007, respectively) $744,060,052 $621,474,288
- ---------------------------------------------------------------------------------------------------------------
* Unaudited
The accompanying notes are an integral part of these financial statements.
</TABLE>
<TABLE>
<CAPTION>
Financial highlights
(For a share outstanding throughout the period)
Putnam Asset Allocation: Conservative Portfolio
CLASS A
- ------------------------------------------------------------------------------------------------------------------------------------
Six months
ended For the period
Per-share March 31 Feb. 7, 1994+
operating performance (Unaudited) Year ended September 30 to Sept. 30
- ------------------------------------------------------------------------------------------------------------------------------------
1999 1998 1997 1996 1995 1994
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value,
beginning of period $9.81 $10.61 $9.69 $9.19 $8.23 $8.50
- ------------------------------------------------------------------------------------------------------------------------------------
Investment operations
- ------------------------------------------------------------------------------------------------------------------------------------
Net investment income .17(c) .38(c) .38(c) .36 .33(d) .18(c)(d)
- ------------------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investments .84 (.45) 1.22 .68 .90 (.39)
- ------------------------------------------------------------------------------------------------------------------------------------
Total from
investment operations 1.01 (.07) 1.60 1.04 1.23 (.21)
- ------------------------------------------------------------------------------------------------------------------------------------
Less distributions:
- ------------------------------------------------------------------------------------------------------------------------------------
From net
investment income (.27) (.20) (.35) (.36) (.27) (.06)
- ------------------------------------------------------------------------------------------------------------------------------------
From net realized gain
on investments (.08) (.43) (.33) (.18) -- --
- ------------------------------------------------------------------------------------------------------------------------------------
In excess of net realized
gain on investments -- (.10) -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Total distributions (.35) (.73) (.68) (.54) (.27) (.06)
- ------------------------------------------------------------------------------------------------------------------------------------
Net asset value,
end of period $10.47 $9.81 $10.61 $9.69 $9.19 $8.23
- ------------------------------------------------------------------------------------------------------------------------------------
Ratios and supplemental data
- ------------------------------------------------------------------------------------------------------------------------------------
Total return at
net asset value (%)(a) 10.38* (0.69) 17.26 11.73 15.27 (2.47)*
- ------------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $417,550 $367,806 $295,239 $106,933 $57,341 $25,782
- ------------------------------------------------------------------------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(b) .67* 1.39 1.38 1.47 1.22(d) .75(d)*
- ------------------------------------------------------------------------------------------------------------------------------------
Ratio of net investment income
to average net assets (%) 1.64* 3.67 3.74 4.08 4.48(d) 2.41(d)*
- ------------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 76.55* 203.19 219.44 183.67 159.80 59.27*
- ------------------------------------------------------------------------------------------------------------------------------------
+ Commencement of operations.
* Not annualized.
(a) Total return assumes dividend reinvestment and does not reflect the effect of sales charges.
(b) The ratio of expenses to average net assets for the year ended September 30, 1995 and thereafter, includes amounts paid
through expense offset and brokerage service arrangements. Prior period ratios exclude these amounts (Note 2).
(c) Per share net investment income has been determined on the basis of the weighted average number of shares outstanding
during the period.
(d) Reflects an expense limitation. As a result of such limitation, expenses for the period ended September 30, 1994 reflect
a reduction of $0.05, $0.04, none and $0.01 per share for class A, class B, class C and class Y shares, respectively.
Expenses for the year ended September 30, 1995 reflect a reduction of $0.03, $0.03, $0.03, $0.02 and $0.03 per share for
class A, class B, class C, class M and class Y, respectively.
</TABLE>
<TABLE>
<CAPTION>
Financial highlights
(For a share outstanding throughout the period)
Putnam Asset Allocation: Conservative Portfolio
CLASS B
- ------------------------------------------------------------------------------------------------------------------------------------
Six months
ended For the period
Per-share March 31 Feb. 18, 1994+
operating performance (Unaudited) Year ended September 30 to Sept. 30
- ------------------------------------------------------------------------------------------------------------------------------------
1999 1998 1997 1996 1995 1994
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value,
beginning of period $9.78 $10.57 $9.66 $9.16 $8.22 $8.50
- ------------------------------------------------------------------------------------------------------------------------------------
Investment operations
- ------------------------------------------------------------------------------------------------------------------------------------
Net investment income .13(c) .30(c) .30(c) .29 .30(d) .15(c)(d)
- ------------------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investments .84 (.43) 1.22 .68 .85 (.39)
- ------------------------------------------------------------------------------------------------------------------------------------
Total from
investment operations .97 (.13) 1.52 .97 1.15 (.24)
- ------------------------------------------------------------------------------------------------------------------------------------
Less distributions:
- ------------------------------------------------------------------------------------------------------------------------------------
From net
investment income (.23) (.13) (.28) (.29) (.21) (.04)
- ------------------------------------------------------------------------------------------------------------------------------------
From net realized gain
on investments (.08) (.43) (.33) (.18) -- --
- ------------------------------------------------------------------------------------------------------------------------------------
In excess of net realized
gain on investments -- (.10) -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Total distributions (.31) (.66) (.61) (.47) (.21) (.04)
- ------------------------------------------------------------------------------------------------------------------------------------
Net asset value,
end of period $10.44 $9.78 $10.57 $9.66 $9.16 $8.22
- ------------------------------------------------------------------------------------------------------------------------------------
Ratios and supplemental data
- ------------------------------------------------------------------------------------------------------------------------------------
Total return at
net asset value (%)(a) 10.02* (1.32) 16.36 10.96 14.22 (2.79)*
- ------------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $184,852 $162,807 $138,457 $94,954 $65,783 $38,711
- ------------------------------------------------------------------------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(b) 1.04* 2.14 2.13 2.22 1.98(d) 1.21(d)*
- ------------------------------------------------------------------------------------------------------------------------------------
Ratio of net investment income
to average net assets (%) 1.27* 2.92 2.97 3.33 3.81(d) 1.92(d)*
- ------------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 76.55* 203.19 219.44 183.67 159.80 59.27*
- ------------------------------------------------------------------------------------------------------------------------------------
+ Commencement of operations.
* Not annualized.
(a) Total return assumes dividend reinvestment and does not reflect the effect of sales charges.
(b) The ratio of expenses to average net assets for the year ended September 30, 1995 and thereafter, includes amounts paid
through expense offset and brokerage service arrangements. Prior period ratios exclude these amounts (Note 2).
(c) Per share net investment income has been determined on the basis of the weighted average number of shares outstanding
during the period.
(d) Reflects an expense limitation. As a result of such limitation, expenses for the period ended September 30, 1994 reflect
a reduction of $0.05, $0.04, none and $0.01 per share for class A, class B, class C and class Y shares, respectively.
Expenses for the year ended September 30, 1995 reflect a reduction of $0.03, $0.03, $0.03, $0.02 and $0.03 per share for
class A, class B, class C, class M and class Y, respectively.
</TABLE>
<TABLE>
<CAPTION>
Financial highlights
(For a share outstanding throughout the period)
Putnam Asset Allocation: Conservative Portfolio
CLASS C
- ------------------------------------------------------------------------------------------------------------------------------------
Six months
ended For the period
Per-share March 31 Sept. 1, 1994+
operating performance (Unaudited) Year ended September 30 to Sept. 30
- ------------------------------------------------------------------------------------------------------------------------------------
1999 1998 1997 1996 1995 1994
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value,
beginning of period $9.75 $10.56 $9.64 $9.15 $8.22 $8.33
- ------------------------------------------------------------------------------------------------------------------------------------
Investment operations
- ------------------------------------------------------------------------------------------------------------------------------------
Net investment income .13(c) .30(c) .29(c) .30 .29(d) .03(c)(d)
- ------------------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investments .84 (.45) 1.24 .66 .87 (.10)
- ------------------------------------------------------------------------------------------------------------------------------------
Total from
investment operations .97 (.15) 1.53 .96 1.16 (.07)
- ------------------------------------------------------------------------------------------------------------------------------------
Less distributions:
- ------------------------------------------------------------------------------------------------------------------------------------
From net
investment income (.23) (.13) (.28) (.29) (.23) (.04)
- ------------------------------------------------------------------------------------------------------------------------------------
From net realized gain
on investments (.08) (.43) (.33) (.18) -- --
- ------------------------------------------------------------------------------------------------------------------------------------
In excess of net realized
gain on investments (.10) -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Total distributions (.31) (.66) (.61) (.47) (.23) (.04)
- ------------------------------------------------------------------------------------------------------------------------------------
Net asset value,
end of period $10.41 $9.75 $10.56 $9.64 $9.15 $8.22
- ------------------------------------------------------------------------------------------------------------------------------------
Ratios and supplemental data
- ------------------------------------------------------------------------------------------------------------------------------------
Total return at
net asset value (%)(a) 10.06* (1.51) 16.52 10.86 14.41 (.80)*
- ------------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $55,516 $45,740 $29,032 $16,326 $7,198 $273
- ------------------------------------------------------------------------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(b) 1.04* 2.14 2.13 2.22 1.89(d) .16(d)*
- ------------------------------------------------------------------------------------------------------------------------------------
Ratio of net investment income
to average net assets (%) 1.28* 2.93 2.96 3.30 3.92(d) .48(d)*
- ------------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 76.55* 203.19 219.44 183.67 159.80 59.27*
- ------------------------------------------------------------------------------------------------------------------------------------
+ Commencement of operations.
* Not annualized.
(a) Total return assumes dividend reinvestment and does not reflect the effect of sales charges.
(b) The ratio of expenses to average net assets for the year ended September 30, 1995 and thereafter, includes amounts paid
through expense offset and brokerage service arrangements. Prior period ratios exclude these amounts (Note 2).
(c) Per share net investment income has been determined on the basis of the weighted average number of shares outstanding
during the period.
(d) Reflects an expense limitation. As a result of such limitation, expenses for the period ended September 30, 1994 reflect
a reduction of $0.05, $0.04, none and $0.01 per share for class A, class B, class C and class Y shares, respectively.
Expenses for the year ended September 30, 1995 reflect a reduction of $0.03, $0.03, $0.03, $0.02 and $0.03 per share for
class A, class B, class C, class M and class Y, respectively.
</TABLE>
<TABLE>
<CAPTION>
Financial highlights
(For a share outstanding throughout the period)
Putnam Asset Allocation: Conservative Portfolio
CLASS M
- ------------------------------------------------------------------------------------------------------------------------------------
Six months
ended For the period
Per-share March 31 Feb. 7, 1995+
operating performance (Unaudited) Year ended September 30 to Sept. 30
- ------------------------------------------------------------------------------------------------------------------------------------
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 .14(c) .33(c) .32(c) .33 .21(d)
- ------------------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investments .84 (.46) 1.24 .66 .92
- ------------------------------------------------------------------------------------------------------------------------------------
Total from
investment operations .98 (.13) 1.56 .99 1.13
- ------------------------------------------------------------------------------------------------------------------------------------
Less distributions:
- ------------------------------------------------------------------------------------------------------------------------------------
From net
investment income (.24) (.15) (.31) (.32) (.16)
- ------------------------------------------------------------------------------------------------------------------------------------
From net realized gain
on investments (.08) (.43) (.33) (.18) --
- ------------------------------------------------------------------------------------------------------------------------------------
In excess of net realized
gain on investments -- (.10) -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Total distributions (.32) (.68) (.64) (.50) (.16)
- ------------------------------------------------------------------------------------------------------------------------------------
Net asset value,
end of period $10.44 $9.78 $10.59 $9.67 $9.18
- ------------------------------------------------------------------------------------------------------------------------------------
Ratios and supplemental data
- ------------------------------------------------------------------------------------------------------------------------------------
Total return at
net asset value (%)(a) 10.15* (1.27) 16.80 11.17 13.92*
- ------------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $23,433 $18,868 $12,689 $4,622 $1,366
- ------------------------------------------------------------------------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(b) .92* 1.89 1.88 1.96 1.10(d)*
- ------------------------------------------------------------------------------------------------------------------------------------
Ratio of net investment income
to average net assets (%) 1.40* 3.17 3.19 3.60 2.73(d)*
- ------------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 76.55* 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) The ratio of expenses to average net assets for the year ended September 30, 1995 and thereafter, includes amounts paid
through expense offset and brokerage service arrangements. Prior period ratios exclude these amounts (Note 2).
(c) Per share net investment income has been determined on the basis of the weighted average number of shares outstanding
during the period.
(d) Reflects an expense limitation. As a result of such limitation, expenses for the period ended September 30, 1994 reflect
a reduction of $0.05, $0.04, none and $0.01 per share for class A, class B, class C and class Y shares, respectively.
Expenses for the year ended September 30, 1995 reflect a reduction of $0.03, $0.03, $0.03, $0.02 and $0.03 per share for
class A, class B, class C, class M and class Y, respectively.
</TABLE>
<TABLE>
<CAPTION>
Financial highlights
(For a share outstanding throughout the period)
Putnam Asset Allocation: Conservative Portfolio
CLASS Y
- ------------------------------------------------------------------------------------------------------------------------------------
Six months
ended For the period
Per-share March 31 July 14, 1994+
operating performance (Unaudited) Year ended September 30 to Sept. 30
- ------------------------------------------------------------------------------------------------------------------------------------
1999 1998 1997 1996 1995 1994
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value,
beginning of period $9.82 $10.62 $9.69 $9.19 $8.23 $8.23
- ------------------------------------------------------------------------------------------------------------------------------------
Investment operations
- ------------------------------------------------------------------------------------------------------------------------------------
Net investment income .18(c) .41(c) .40(c) .38 .36(d) .07(c)(d)
- ------------------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investments .84 (.45) 1.23 .68 .89 --
- ------------------------------------------------------------------------------------------------------------------------------------
Total from
investment operations 1.02 (.04) 1.63 1.06 1.25 .07
- ------------------------------------------------------------------------------------------------------------------------------------
Less distributions:
- ------------------------------------------------------------------------------------------------------------------------------------
From net
investment income (.28) (.23) (.37) (.38) (.29) (.07)
- ------------------------------------------------------------------------------------------------------------------------------------
From net realized gain
on investments (.08) (.43) (.33) (.18) -- --
- ------------------------------------------------------------------------------------------------------------------------------------
In excess of net realized
gain on investments -- (.10) -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
Total distributions (.36) (.76) (.70) (.56) (.29) (.07)
- ------------------------------------------------------------------------------------------------------------------------------------
Net asset value,
end of period $10.48 $9.82 $10.62 $9.69 $9.19 $8.23
- ------------------------------------------------------------------------------------------------------------------------------------
Ratios and supplemental data
- ------------------------------------------------------------------------------------------------------------------------------------
Total return at
net asset value (%)(a) 10.49* (0.44) 17.62 11.99 15.54 1.01*
- ------------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $62,709 $26,253 $18,760 $6,025 $1,818 $163
- ------------------------------------------------------------------------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(b) .54* 1.14 1.13 1.22 .92(d) .21(d)*
- ------------------------------------------------------------------------------------------------------------------------------------
Ratio of net investment income
to average net assets (%) 1.84* 3.93 3.96 4.45 4.93(d) 1.04(d)*
- ------------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 76.55* 203.19 219.44 183.67 159.80 59.27*
- ------------------------------------------------------------------------------------------------------------------------------------
+ Commencement of operations.
* Not annualized.
(a) Total return assumes dividend reinvestment and does not reflect the effect of sales charges.
(b) The ratio of expenses to average net assets for the year ended September 30, 1995 and thereafter, includes amounts paid
through expense offset and brokerage service arrangements. Prior period ratios exclude these amounts (Note 2).
(c) Per share net investment income has been determined on the basis of the weighted average number of shares outstanding
during the period.
(d) Reflects an expense limitation. As a result of such limitation, expenses for the period ended September 30, 1994 reflect
a reduction of $0.05, $0.04, none and $0.01 per share for class A, class B, class C and class Y shares, respectively.
Expenses for the year ended September 30, 1995 reflect a reduction of $0.03, $0.03, $0.03, $0.02 and $0.03 per share for
class A, class B, class C, class M and class Y, respectively.
</TABLE>
Notes to financial statements
March 31, 1999 (Unaudited)
Note 1
Significant accounting policies
Putnam Asset Allocation Funds (the "trust") is registered under the
Investment Company Act of 1940, as amended, as a diversified, open-end
management investment company which consists of a series of investment
portfolios (the "funds"), each of which is represented by a separate
series of shares of beneficial interest. The trust currently offers three
funds: Growth Portfolio, Balanced Portfolio and Conservative Portfolio,
whose objectives are to seek capital appreciation, total return and total
return consistent with preservation of capital, respectively.
The trust offers class A, class B, class C, class M and class Y shares.
Class A shares are sold with a maximum front-end sales charge of 5.75%.
Class B shares, which convert to class A shares after approximately eight
years, do not pay a front-end sales charge but pay a higher ongoing
distribution fee than class A shares, and are subject to a contingent
deferred sales charge, if those shares are redeemed within six years of
purchase. Class C shares are subject to the same fees and expenses as
class B shares, except that class C shares have a one-year 1.00%
contingent deferred sales charge and do not convert to class A shares.
Class M shares are sold with a maximum front end sales charge of 3.50% and
pay an ongoing distribution fee that is higher than class A shares but
lower than class B shares. Class Y shares, which are sold at net asset
value, are generally subject to the same expenses as class A, 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. 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). 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 funds after translation to U.S. dollars based on
the exchange rates on that day. The cost of each security is determined
using historical exchange rates. Income and withholding taxes are
translated at prevailing exchange rates when accrued or incurred. The
funds do not isolate that portion of realized or unrealized gains or
losses resulting from changes in the foreign exchange rate on investments
from fluctuations arising from changes in the market prices of the
securities. Such gains and losses are included with the net realized and
unrealized gain or loss on investments. Net realized gains and losses on
foreign currency transactions represent net 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.
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 their
portfolio securities are denominated or quoted (or an increase in the
value of a currency in which securities a fund intends to buy are
denominated, when a fund holds cash reserves and short-term investments).
The U.S. dollar value of forward currency contracts is determined using
current forward currency exchange rates supplied by a quotation service.
The market value of the contract will fluctuate with changes in currency
exchange rates. The contract is "marked to market" daily and the change in
market value is recorded as an unrealized gain or loss. When the contract
is closed, the funds record a realized gain or loss equal to the
difference between the value of the contract at the time it was opened and
the value at the time it was closed. The funds could be exposed to risk if
the value of the currency changes unfavorably, if the counterparties to
the contracts are unable to meet the terms of their contracts or if the
funds are unable to enter into a closing position.
G) Futures and options contracts The funds may use futures and options
contracts to hedge against changes in the values of securities the funds
own or expect to purchase. The funds may also write options on securities
they own or in which it 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 funds record a realized gain or
loss equal to the difference between the value of the contract at the time
it was opened and the value at the time it was closed. 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 the
fund's other assets. Unsettled TBA purchase commitments are valued at the
current market value of the underlying securities, according to the
procedures described under "Security valuation" above.
Although the funds will generally enter into TBA purchase commitments with
the intention of acquiring securities for their portfolio or for delivery
pursuant to options contracts it has entered into, the 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 funds realize 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 funds maintain an asset coverage ratio of at least 300% and
borrowings must not exceed prospectus limitations. For the six months
ended March 31, 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 funds on the ex-dividend date.
Capital gain distributions, if any, are recorded on the ex-dividend date
and paid at least annually. The amount and character of income and gains
to be distributed are determined in accordance with income tax regulations
which may differ from generally accepted accounting principles.
Reclassifications are made to each fund's capital accounts to reflect
income and gains available for distribution (or available capital loss
carryovers) under income tax regulations.
M) Expenses of the trust Expenses directly charged or attributable to any
fund will be paid from the assets of that fund. Generally, expenses of the
trust will be allocated among and charged to the assets of each fund on a
basis that the Trustees deem fair and equitable, which may be based on the
relative assets of each fund or the nature of the services performed and
relative applicability to each fund.
Note 2
Management fee, administrative
services, and other transactions
Compensation of Putnam Management, for management and investment advisory
services is paid quarterly based on the average net assets of the funds.
Such fee is based on the following annual rates: 0.700% of the first $500
million of average net assets of each fund, 0.600% of the next $500
million, 0.550% of the next $500 million, 0.500% of the next $5 billion,
0.475% of the next $5 billion, 0.455% of the next $5 billion, 0.440% of
the next $5 billion and 0.430% thereafter.
The trust 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 six months ended March 31, 1999, fund expenses were reduced by
$140,797, $155,765, and $77,572 (for Growth Portfolio, Balance Portfolio,
and Conservative Portfolio, respectively) under expense offset
arrangements with PFTC and brokerage service arrangements. Investor
servicing and custodian fees reported in the Statement of operations
exclude these credits. The funds could have invested a portion of the
assets utilized in connection with the expense offset arrangements in an
income producing asset if they had not entered into such arrangements.
Each Trustee of the trust receives an annual Trustee fee, of which $1,210,
$1,310, and $690 (for Growth Portfolio, Balance 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
in each fund 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 each 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 each fund. The Plans provide for payments by the
funds to Putnam Mutual Funds Corp. at an annual rate up to 0.35%, 1.00%,
1.00% and 1.00% of the average net assets attributable to class A, class
B, class C and class M shares, respectively. The Trustees have approved
payment by each fund at an annual rate of 0.25%, 1.00%, 1.00% and 0.75% of
the average net assets attributable to class A, class B, class C and class
M shares respectively.
For the six months ended March 31, 1999, Putnam Mutual Funds Corp., acting
as underwriter received net commissions of $280,465 and $25,379 from the
sale of class A and class M shares, respectively and received $952,486 and
$36,750 in contingent deferred sales charges from redemptions of class B
and C shares, respectively. A deferred sales charge of up to 1% is
assessed on certain redemptions of class A shares. For the six months
ended March 31, 1999, Putnam Mutual Funds Corp., acting as underwriter
received $34,157 on class A redemptions.
Note 3
Purchases and sales of securities
During the year ended March 31, 1999, purchases and sales of investment
securities other short-term investments were as follows
U.S. Government Obligations
- -----------------------------------------------------------------------------
Purchases Sales
- -----------------------------------------------------------------------------
Growth
Portfolio $ 96,389,897 $ 98,006,758
- -----------------------------------------------------------------------------
Balanced
Portfolio 157,943,216 132,417,794
- -----------------------------------------------------------------------------
Conservative
Portfolio 179,685,981 186,907,134
- -----------------------------------------------------------------------------
Other Securities
- -----------------------------------------------------------------------------
Purchases Sales
- -----------------------------------------------------------------------------
Growth
Portfolio $696,535,164 $618,678,480
- -----------------------------------------------------------------------------
Balanced
Portfolio 1,021,767,928 909,363,502
- -----------------------------------------------------------------------------
Conservative
Portfolio 381,788,720 290,633,668
- -----------------------------------------------------------------------------
In determining the net gain or loss on securities sold, the cost of
securities has been determined on the identified cost basis.
Note 4
Capital shares
At March 31, 1999, there was an unlimited number of shares of beneficial
interest authorized. Transactions in capital shares were as follows:
Six months ended March 31
- -----------------------------------------------------------------------------
Class A 1999
- -----------------------------------------------------------------------------
Growth Portfolio Shares Amount
- -----------------------------------------------------------------------------
Shares sold 11,842,491 $159,011,651
- -----------------------------------------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 1,462,044 18,874,995
- -----------------------------------------------------------------------------
Shares
repurchased (10,182,574) (135,224,673)
- -----------------------------------------------------------------------------
Net increase 3,121,961 $ 42,661,973
- -----------------------------------------------------------------------------
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
- -----------------------------------------------------------------------------
Six months ended March 31
- -----------------------------------------------------------------------------
Class B 1999
- -----------------------------------------------------------------------------
Growth Portfolio Shares Amount
- -----------------------------------------------------------------------------
Shares sold 3,536,240 $45,912,169
- -----------------------------------------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 703,454 8,983,098
- -----------------------------------------------------------------------------
Shares
repurchased (3,402,130) (44,340,014)
- -----------------------------------------------------------------------------
Net increase 837,564 $10,555,253
- -----------------------------------------------------------------------------
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
- -----------------------------------------------------------------------------
Six months ended March 31
- -----------------------------------------------------------------------------
Class C 1999
- -----------------------------------------------------------------------------
Growth Portfolio Shares Amount
- -----------------------------------------------------------------------------
Shares sold 904,741 $11,606,805
- -----------------------------------------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 155,976 1,979,527
- -----------------------------------------------------------------------------
Shares
repurchased (1,243,921) (16,159,641)
- -----------------------------------------------------------------------------
Net decrease (183,204) $(2,573,309)
- -----------------------------------------------------------------------------
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
- -----------------------------------------------------------------------------
Six months ended March 31
- -----------------------------------------------------------------------------
Class M 1999
- -----------------------------------------------------------------------------
Growth Portfolio Shares Amount
- -----------------------------------------------------------------------------
Shares sold 825,637 $10,407,176
- -----------------------------------------------------------------------------
Shares issued in
connections with
reinvestment of
distributions 110,703 1,414,785
- -----------------------------------------------------------------------------
Shares
repurchased (569,491) (7,420,229)
- -----------------------------------------------------------------------------
Net increase 366,849 $ 4,401,732
- -----------------------------------------------------------------------------
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
- -----------------------------------------------------------------------------
Six months ended March 31
- -----------------------------------------------------------------------------
Class Y 1999
- -----------------------------------------------------------------------------
Growth Portfolio Shares Amount
- -----------------------------------------------------------------------------
Shares sold 5,519,641 $74,812,009
- -----------------------------------------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 530,419 6,879,074
- -----------------------------------------------------------------------------
Shares
repurchased (2,559,668) (33,850,252)
- -----------------------------------------------------------------------------
Net increase 3,490,392 $47,840,831
- -----------------------------------------------------------------------------
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
- -----------------------------------------------------------------------------
Six months ended March 31
- -----------------------------------------------------------------------------
Class A 1999
- -----------------------------------------------------------------------------
Balanced Portfolio Shares Amount
- -----------------------------------------------------------------------------
Shares sold 16,514,311 $192,212,636
- -----------------------------------------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 2,019,295 23,442,406
- -----------------------------------------------------------------------------
Shares
repurchased (18,287,272) (215,736,491)
- -----------------------------------------------------------------------------
Net increase 246,334 $ (81,449)
- -----------------------------------------------------------------------------
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
- -----------------------------------------------------------------------------
Six months ended March 31
- -----------------------------------------------------------------------------
Class B 1999
- -----------------------------------------------------------------------------
Balanced Portfolio Shares Amount
- -----------------------------------------------------------------------------
Shares sold 4,715,936 $54,433,830
- -----------------------------------------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 923,478 10,638,154
- -----------------------------------------------------------------------------
Shares
repurchased (4,723,369) (54,551,004)
- -----------------------------------------------------------------------------
Net increase 916,045 $10,520,980
- -----------------------------------------------------------------------------
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
- -----------------------------------------------------------------------------
Six months ended March 31
- -----------------------------------------------------------------------------
Class C 1999
- -----------------------------------------------------------------------------
Balanced Portfolio Shares Amount
- -----------------------------------------------------------------------------
Shares sold 1,519,322 $17,445,305
- -----------------------------------------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 180,726 2,071,260
- -----------------------------------------------------------------------------
Shares
repurchased (1,216,704) (14,063,342)
- -----------------------------------------------------------------------------
Net increase 483,344 $ 5,453,223
- -----------------------------------------------------------------------------
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
- -----------------------------------------------------------------------------
Six months ended March 31
- -----------------------------------------------------------------------------
Class M 1999
- -----------------------------------------------------------------------------
Balanced Portfolio Shares Amount
- -----------------------------------------------------------------------------
Shares sold 1,030,167 $11,763,554
- -----------------------------------------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 120,781 1,398,806
- -----------------------------------------------------------------------------
Shares
repurchased (780,319) (9,069,265)
- -----------------------------------------------------------------------------
Net increase 370,629 $ 4,093,095
- -----------------------------------------------------------------------------
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
- -----------------------------------------------------------------------------
Six months ended March 31
- -----------------------------------------------------------------------------
Class Y 1999
- -----------------------------------------------------------------------------
Balanced Portfolio Shares Amount
- -----------------------------------------------------------------------------
Shares sold 8,466,017 $100,858,875
- -----------------------------------------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 556,421 6,474,797
- -----------------------------------------------------------------------------
Shares
repurchased (3,106,417) (36,451,185)
- -----------------------------------------------------------------------------
Net increase
(decrease) 5,916,021 $ 70,882,487
- -----------------------------------------------------------------------------
Year ended September 30
- -----------------------------------------------------------------------------
Class Y 1998
- -----------------------------------------------------------------------------
Balanced Portfolio Shares Amount
- -----------------------------------------------------------------------------
Shares sold 5,040,688 $ 59,227,754
- -----------------------------------------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 1,817,279 20,297,598
- -----------------------------------------------------------------------------
Shares
repurchased (5,485,023) (63,921,131)
- -----------------------------------------------------------------------------
Net increase 1,372,944 $ 15,604,221
- -----------------------------------------------------------------------------
Six months ended March 31
- -----------------------------------------------------------------------------
Class A 1999
- -----------------------------------------------------------------------------
Conservative
Portfolio Shares Amount
- -----------------------------------------------------------------------------
Shares sold 9,505,761 $97,431,599
- -----------------------------------------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 1,290,964 13,173,524
- -----------------------------------------------------------------------------
Shares
repurchased (8,426,394) (86,786,568)
- -----------------------------------------------------------------------------
Net increase 2,370,331 $23,818,555
- -----------------------------------------------------------------------------
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
- -----------------------------------------------------------------------------
Six months ended March 31
- -----------------------------------------------------------------------------
Class B 1999
- -----------------------------------------------------------------------------
Conservative
Portfolio Shares Amount
- -----------------------------------------------------------------------------
Shares sold 2,596,011 $26,493,498
- -----------------------------------------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 461,602 4,692,627
- -----------------------------------------------------------------------------
Shares
repurchased (1,990,089) (20,304,475)
- -----------------------------------------------------------------------------
Net increase 1,067,524 $10,881,650
- -----------------------------------------------------------------------------
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
- -----------------------------------------------------------------------------
Six months ended March 31
- -----------------------------------------------------------------------------
Class C 1999
- -----------------------------------------------------------------------------
Conservative
Portfolio Shares Amount
- -----------------------------------------------------------------------------
Shares sold 1,233,111 $12,437,667
- -----------------------------------------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 139,082 1,411,059
- -----------------------------------------------------------------------------
Shares
repurchased (729,668) (7,460,517)
- -----------------------------------------------------------------------------
Net increase 642,525 $ 6,388,209
- -----------------------------------------------------------------------------
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
- -----------------------------------------------------------------------------
Six months ended March 31
- -----------------------------------------------------------------------------
Class M 1999
- -----------------------------------------------------------------------------
Conservative
Portfolio Shares Amount
- -----------------------------------------------------------------------------
Shares sold 525,024 $5,379,665
- -----------------------------------------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 66,690 678,086
- -----------------------------------------------------------------------------
Shares
repurchased (276,395) (2,848,775)
- -----------------------------------------------------------------------------
Net increase 315,319 $3,208,976
- -----------------------------------------------------------------------------
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
- -----------------------------------------------------------------------------
Six months ended March 31
- -----------------------------------------------------------------------------
Class Y 1999
- -----------------------------------------------------------------------------
Conservative
Portfolio Shares Amount
- -----------------------------------------------------------------------------
Shares sold 5,665,806 $58,265,341
- -----------------------------------------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 119,401 1,221,265
- -----------------------------------------------------------------------------
Shares
repurchased (2,475,552) (25,024,979)
- -----------------------------------------------------------------------------
Net increase 3,309,655 $34,461,627
- -----------------------------------------------------------------------------
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 March 31, 1999, Putnam Management owned the following shares,
% Market
Fund Shares Ownership Value
- -----------------------------------------------------------------------------
Growth
Class Y 8,029,158 38.60% $112,327,920
- -----------------------------------------------------------------------------
Balanced
Class Y 23,466,246 89.30% $284,645,564
- -----------------------------------------------------------------------------
Conservative
Class A 9,377,927 23.40% $98,186,896
Class M 399,325 17.60 4,168,953
Class Y 5,272,649 87.90 55,257,362
- -----------------------------------------------------------------------------
PUTNAM GROWTH FUNDS
Asia Pacific Growth Fund
Capital Appreciation Fund [DBL. DAGGER]
Capital Opportunities Fund
Diversified Equity Trust
Europe Growth Fund
Global Growth Fund
Global Natural Resources Fund
Growth Opportunities Fund
Health Sciences Trust
International Growth Fund
International New Opportunities Fund
Investors Fund
New Opportunities Fund [DBL. DAGGER]
OTC & Emerging Growth Fund
Research Fund
Vista Fund
Voyager Fund
Voyager Fund II
PUTNAM GROWTH
AND INCOME FUNDS
Balanced Retirement Fund
Convertible Income-Growth Trust
Equity Income Fund
The George Putnam Fund of Boston
Global Growth and Income Fund
The Putnam Fund for Growth and Income
Growth and Income Fund II
International Growth and Income Fund
New Value Fund
Utilities Growth and Income Fund
PUTNAM INCOME FUNDS
American Government Income Fund
Diversified Income Trust
Global Governmental Income Trust
High Quality Bond Fund +
High Yield Advantage Fund [DBL. DAGGER]
High Yield Total Return Fund
High Yield Trust [DBL. DAGGER]
High Yield Trust II
Income Fund
Intermediate U.S. Government
Income Fund
Money Market Fund **
Preferred Income Fund
Strategic Income Fund *
U.S. Government Income Trust
PUTNAM TAX-FREE
INCOME FUNDS
Municipal Income Fund
Tax Exempt Income Fund
Tax Exempt Money Market Fund**
Tax-Free High Yield Fund
Tax-Free Insured Fund
State tax-free income funds [SECTION MARK]
Arizona, California, Florida, Massachusetts, Michigan, Minnesota,
New Jersey, New York, Ohio and Pennsylvania
State tax-free money market funds [SECTION MARK]
California, New York
LIFESTAGE SM FUNDS
Putnam Asset Allocation Funds-three investment portfolios that spread
your money across a variety of stocks, bonds, and money market investments.
The three portfolios:
Asset Allocation: Balanced Portfolio
Asset Allocation: Conservative Portfolio
Asset Allocation: Growth Portfolio
*Formerly Putnam Diversified Income Trust II
+Formerly Putnam Federal Income Trust
[DBL. DAGGER] Closed to new investors. Some exceptions may apply.
Contact Putnam for details.
[SECTION MARK] Not available in all states.
**An investment in a money market fund is neither insured nor guaranteed by
the U.S. government. These funds are managed to maintain a price of $1.00 per
share, although there is no assurance that this price will be maintained in
the future.
Please call your financial advisor or Putnam at 1-800-225-1581 to obtain a
prospectus for any Putnam fund. It contains more complete information,
including charges and expenses. Please read it carefully before you invest or
send money.
Fund information
INVESTMENT MANAGER
Putnam Investment
Management, Inc.
One Post Office Square
Boston, MA 02109
MARKETING SERVICES
Putnam Mutual Funds Corp.
One Post Office Square
Boston, MA 02109
CUSTODIAN
Putnam Fiduciary Trust Company
LEGAL COUNSEL
Ropes & Gray
TRUSTEES
George Putnam, Chairman
William F. Pounds, Vice Chairman
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
Donald S. Perkins
George Putnam, III
A.J.C. Smith
W. Thomas Stephens
W. Nicholas Thorndike
OFFICERS
George Putnam
President
Charles E. Porter
Executive Vice President
Patricia C. Flaherty
Senior Vice President
John D. Hughes
Senior Vice President and Treasurer
Lawrence J. Lasser
Vice President
Gordon H. Silver
Vice President
Steven Oristaglio
Vice President
Ian C. Ferguson
Vice President
William J. Landes
Vice President and Fund Manager
Richard A. Monaghan
Vice President
John R. Verani
Vice President
Beverly Marcus
Clerk and Assistant Treasurer
This report is for the information of shareholders of Putnam Asset
Allocation Funds. It may also be used as sales literature when preceded or
accompanied by the current prospectus, which gives details of sales
charges, investment objectives, and operating policies of the fund, and
the most recent copy of Putnam's Quarterly Performance Summary. For more
information or to request a prospectus, call toll free: 1-800-225-1581.
You can also learn more at Putnam Investments' Web site:
http://www.putnaminv.com.
Shares of mutual funds are not deposits or obligations of, or guaranteed
or endorsed by, any financial institution; are not insured by the Federal
Deposit Insurance Corporation (FDIC), the Federal Reserve Board, or any
other agency; and involve risk, including the possible loss of the
principal amount invested.
[LOGO OMITTED]
PUTNAM INVESTMENTS
The Putnam Funds
One Post Office Square
Boston, Massachusetts 02109
www.putnaminv.com
- ---------------------
BULK RATE
U.S. POSTAGE PAID
PUTNAM
INVESTMENTS
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SA060-51848-250/259/264 5/99
PUTNAM INVESTMENTS [SCALE LOGO OMITTED]
- ------------------------------------------------------------------------
Putnam Asset Allocation Funds
Supplement to Semiannual Report dated March 31, 1999
The following information has been prepared to provide class Y shareholders
with a performance overview specific to their holdings. Class Y shares are
offered exclusively to defined contribution plans investing $250 million or
more in one or more of Putnam's funds or private accounts. Performance of
class Y shares, which incur neither a front-end load, distribution fee, nor
contingent deferred sales charge, will differ from performance of class A,
B, C and M shares, which are discussed more extensively in the annual report.
SEMIANNUAL RESULTS AT A GLANCE
- ------------------------------------------------------------------------
Total return
Periods ended 3/31/99
6 months 1 year Life-of-fund* Life-of-fund*
cummulative annual average
Growth Portfolio 21.84% 4.91% 105.46% 15.04%
Balanced Portfolio 16.68 3.71 90.67 13.37
Conservative Portfolio 10.49 4.85 63.41 10.02
*Inception of Y shares (9/1/94)
- ------------------------------------------------------------------------
Share value 9/30/98 3/31/99
at NAV
Growth Portfolio $11.84 $13.99
Balanced Portfolio 10.67 12.13
Conservative Portfolio 9.82 10.48
- ------------------------------------------------------------------------
Distributions No. Income Capital gains Total
Long-term Short-term
Growth Portfolio 1 $0.131 $0.267 $0.006 $0.404
Balanced Portfolio 2 0.124 0.181 -- 0.305
Conservative Portfolio 2 0.277 0.082 -- 0.359
- ------------------------------------------------------------------------
Please note that past performance does not indicate future results.
Investment return and principal value will fluctuate so your shares,
when redeemed, may be worth more or less than their original cost. See
full Annual Report for information on comparative benchmarks. If you
have questions, please consult your fund prospectus or call Putnam toll
free at 1-800-752-9894.
