Putnam
Asset
Allocation
Funds
SEMIANNUAL REPORT ON PERFORMANCE AND OUTLOOK
3-31-00
[SCALE LOGO OMITTED]
Performance highlights
Putnam Asset Allocation Funds consist of three portfolios that target
investors' various life stages and financial goals.
* Growth Portfolio is designed to seek maximum growth of an investment
over time.
[GRAPHIC OMITTED: horizontal bar chart TARGETED PORTFOLIO STRUCTURE]
Targeted portfolio structure*
Large-cap growth stocks 25%
Small-cap growth stocks 15
Value stocks 25
International equities 15
Domestic fixed-income securities 5
International fixed-income securities 5
High-yield securities 5
Cash and money market securities 5
* Balanced Portfolio is designed to seek total return for investors in
their peak accumulation years.
[GRAPHIC OMITTED: horizontal bar chart TARGETED PORTFOLIO STRUCTURE]
Targeted portfolio structure*
Large-cap growth stocks 20%
Small-cap growth stocks 10
Value stocks 20
International equities 15
Domestic fixed-income securities 10
International fixed-income securities 10
High-yield securities 10
Cash and money market securities 5
* Conservative Portfolio is designed to seek income while protecting
the original value of the investment for investors concerned about
maintaining their purchasing power.
[GRAPHIC OMITTED: horizontal bar chart TARGETED PORTFOLIO STRUCTURE]
Targeted portfolio structure*
Large-cap growth stocks 10%
Small-cap growth stocks 5
Value stocks 10
International equities 10
Domestic fixed-income securities 35
International fixed-income securities 15
High-yield securities 10
Cash and money market securities 5
Footnote reads:
*The targeted portfolio represents the ideal allocation of assets among the
various investment categories assuming that all 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 markets continued to provide their share of challenges and
opportunities as the Putnam Asset Allocation Funds closed their books on
the first half of fiscal year 2000. In the following report, the funds'
managers discuss performance for the period and prospects for the months
ahead.
This is the last letter to you and the other shareholders of Putnam
Asset Allocation Funds that I will be signing. After more than 30 years
as Chairman of the Trustees and President of the Putnam Funds, the time
has come for me to step aside. In June, John Hill will become Chairman.
John is currently an independent Trustee and has served on the board for
the past 14 years. In addition, my son, George Putnam, III, will take on
the role of President. I am confident that the leadership of the funds
will be in exceptionally strong hands.
I will become Chairman Emeritus, remain a Putnam shareholder, and stay
in close touch with the funds. It has been my privilege to serve you.
Respectfully yours,
/S/ GEORGE PUTNAM
George Putnam
Chairman of the Trustees
May 17, 2000
Report from the Fund Managers
William J. Landes and
the Global Asset Allocation Team
The first quarter of 2000 continued in largely the same vein as the
final quarter of 1999. Stocks once again outperformed bonds, and within
the equity universe, the stocks of rapidly growing companies
outperformed more traditional value stocks. Stock market volatility rose
significantly, with record swings occurring after the period's close.
International markets largely followed the same trends, but the rising
value of the dollar diminished the performance of various international
securities. The relative underweight in value stocks contributed to the
funds' positive return during the six-month period. Given the rising
volatility in the equity markets worldwide, the funds continue to favor
bonds slightly.
* U.S. EQUITY MARKET FIGHTS UPHILL BATTLE; TREASURIES RALLY
U.S. equities continued to provide strong performance as the bull market
entered its tenth consecutive year, but rising inflation created strong
headwinds. After a difficult 1999, Treasury bonds benefited from the
government's debt-reduction program, while spread sectors generally
earned higher yields.
Stocks: The small subset of issues that are known as "new economy"
stocks performed extremely well during the period, based on record
profit growth and investor optimism. However, they did so in an
otherwise negative market, with far more stocks recording losses than
gains. With economic growth surging (including a 7.3% annualized growth
rate in the fourth quarter of 1999), labor markets tightening, and price
indexes showing signs of acceleration, we expect the Federal Reserve
Board will push up interest rates several more times in the coming
months. For companies with little or no pricing power -- an expanding
category in the age of the Internet -- this is a challenging environment
in which to grow earnings. As a result, we continued to employ a
strategy that was underexposed to general stock market risk and
selectively overweight in what we consider attractive industries and
companies.
Bonds: During the period's first half, U.S. Treasury bonds performed
relatively poorly, hurt by the Fed's restrictive monetary policy and a
growing fear of inflation. However, two factors intervened in recent
months to offset the negative rate environment and boost the performance
of Treasury bonds. First, increased volatility in the stock market
prompted investors to seek the safety of AAA-rated Treasuries. Second,
the Treasury Department announced plans to pay off roughly $17 billion
in public debt and suggested bigger debt repayments would follow. The
anticipated reduction in the supply of Treasury bonds promises to tip
the supply/demand balance in favor of investors who own existing issues,
and the sector rallied sharply as a result.
Among U.S. spread sectors, the portfolios' mortgage-backed securities
provided more stable performance during the year. Mortgage-backed
securities are somewhat insulated from a rising interest-rate
environment because they offer premium yields to compensate for the risk
of prepayment. The U.S. high-yield market lagged. Rising interest rates,
equity market weakness, rising default rates in some areas, and
Y2K-related fears prompted many investors to seek less-risky
fixed-income investments. Despite negative investor sentiment, we
continue to believe that the high-yield sector is laden with income and
price appreciation opportunities. The solid fundamentals of the U.S.
economy, U.S. corporate earnings strength, and sustained overseas demand
for U.S. products continue to create a favorable backdrop for many
high-yield debt issuers.
[GRAPHIC OMITTED: worm chart WORLD FIXED-INCOME MARKETS]
WORLD FIXED-INCOME MARKETS
Growth of a $10,000 Investment
Salomon Brothers
First Boston Lehman Brothers Non-U.S.
High Yield Aggregate World Government
Date Bond Index Bond Index Bond Index
3/31/99 10,000 10,000 10,000
4/30/99 10,221 10,032 9,985
5/31/99 10,111 9,944 9,784
6/30/99 10,116 9,912 9,551
7/31/99 10,121 9,870 9,886
8/31/99 10,031 9,865 9,950
9/30/99 9,954 9,979 10,135
10/31/99 9,905 10,016 10,124
11/30/99 10,040 10,016 9,985
12/31/99 10,161 9,967 9,975
1/31/00 10,121 9,935 9,675
2/29/00 10,183 10,055 9,524
3/31/00 $10,030 $10,187 $9,860
Footnote reads:
See page 12 for descriptions of the indexes. Past performance is not
indicative of future results. The above is not intended to represent the
returns of any fund.
* INTERNATIONAL EQUITY MARKETS FAVORED OVER U.S. MARKETS
The international equity markets provided attractive opportunities
during the period, thanks to a steady improvement in the outlook for
both Japanese and European equities. In contrast, most bond markets
outside the United States provided lackluster results, hampered by
rising rates and a strong U.S. dollar.
Stocks: We maintained a moderate overweight in Continental Europe during
the period. The economic data coming out of the euro zone have been
stronger than expected, and we anticipate that the recent weakness of
the euro will boost Europe's largest, export-oriented companies. At the
end of March, the portfolios were overweighted in France and Germany,
given France's burgeoning technology and telecommunications sectors and
Germany's industrial bias and solid market positions.
Despite the chronic weakness of the Japanese economy, Japan's equity
market continues to offer attractive opportunities, and the portfolios
continue to emphasize select Japanese stocks. We expect underlying
profits in the Japanese manufacturing sector to grow by 25% to 30% in
2000, which should translate into strong equity market performance given
the country's low interest rates and inflation.
The prospects for emerging equity markets also remain favorable. Latin
America is particularly attractive in our opinion, based on the
generally solid performance of its economies and prospects that
commodity prices worldwide will continue to firm. We also favor
developing markets in Asia, which have proved their resilience after the
setbacks of 1997/1998.
[GRAPHIC OMITTED: worm chart WORLD FIXED-INCOME MARKETS]
WORLD FIXED-INCOME MARKETS
Growth of a $10,000 Investment
Standard & Poor's Russell 2000 MSCI EAFE
Date 500 Index Index Index
3/31/99 10,000 10,000 10,000
4/30/99 10,387 10,896 10,405
5/31/99 10,142 11,055 98,69
6/30/99 10,705 11,555 10,254
7/31/99 10,371 11,238 10,559
8/31/99 10,319 10,822 10,597
9/30/99 10,036 10,825 10,704
10/31/99 10,671 10,868 11,105
11/30/99 10,888 11,517 11,491
12/31/99 11,530 12,821 12,522
1/31/99 10,950 12,615 11,727
2/29/00 10,743 14,698 12,042
3/31/00 $11,794 $13,729 $12,509
Footnote reads:
See page 12 for descriptions of the indexes. Past performance is not
indicative of future results. The above is not intended to represent the
returns of any fund.
Bonds: The accelerating pace of global economic growth was less
beneficial for foreign fixed-income markets, and we continued to
underweight non-U.S. bonds in our portfolios. The weak euro provided an
additional dampening effect for bonds in that region, as their returns
were diminished when translated into the rising U.S. dollar.
On the other hand, emerging-markets bonds have been the best performing
fixed-income asset class in the world due in large part to the
recoveries underway in many world economies and a willingness on the
part of investors to participate in emerging markets once again.
* STRATEGY AND OUTLOOK
The extreme volatility that engulfed U.S. stocks after the close of the
period confirmed the view that international equity markets are now more
attractive from a valuation standpoint than U.S. equities -- something
our quantitative models have been telling us for months. Within the
international stock portions of our portfolios, we are emphasizing
Germany, France, and Japan over the United Kingdom, Switzerland, and
Spain. We also expect to maintain our weighting in the emerging markets,
which continue to benefit from economic growth in the United States and
Europe.
In the United States, we think the Fed is likely to raise rates at least
once more to prevent an outbreak of inflation. Therefore, we expect to
bolster our position in spread sector bonds, which tend to be less
affected by rising rates. At some point this year, however, the Fed's
monetary tightening is likely to weigh heavily on the U.S. economy.
Slower growth will eventually lead to lower rates and, it is hoped,
better returns across the entire fixed-income market. As always, we will
continue to take full advantage of the portfolios' ability to diversify
across all asset classes, focusing on what we believe are the most
promising opportunities for income and growth.
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 3/31/00, all are
subject to review and adjustment in accordance with the portfolios'
investment strategies and may well vary in the future. International
investing may include risks such as currency fluctuations, economic
instability, and political developments.
Performance summary
* GROWTH PORTFOLIO
<TABLE>
<CAPTION>
TOTAL RETURNS FOR PERIOD ENDED 3/31/00
Change in value during period plus reinvested distributions
Class A Class B Class C Class M
Inception dates (2/8/94) (2/16/94) (9/1/94) (2/3/95)
NAV POP NAV CDSC NAV CDSC NAV POP
- ------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
6 months 19.00% 12.13% 18.59% 13.59% 18.61% 17.61% 18.71% 14.58%
- ------------------------------------------------------------------------------------------
1 year 22.68 15.62 21.78 16.78 21.74 20.74 22.17 17.88
- ------------------------------------------------------------------------------------------
5 years 140.85 127.02 132.11 130.11 131.89 131.89 134.85 126.51
Annual average 19.22 17.82 18.34 18.14 18.32 18.32 18.62 17.77
- ------------------------------------------------------------------------------------------
Life of fund 148.81 134.47 137.95 137.95 136.52 136.52 141.20 132.75
Annual average 16.00 14.89 15.16 15.16 15.05 15.05 15.42 14.75
- ------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
PRICE AND DISTRIBUTION INFORMATION 6 months ended 3/31/00
Class A Class B Class C Class M
Share value NAV POP NAV NAV NAV POP
- ------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
9/30/99 $14.35 $15.23 $14.12 $14.00 $14.15 $14.66
- ------------------------------------------------------------------------------------------
3/31/00 15.27 16.20 15.05 14.91 15.07 15.62
- ------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Capital gains
Investment Long Short
Distributions Number income term term Total
- ---------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Class A 1 $0.1590 $1.247 $0.318 $1.724
- ---------------------------------------------------------------------------------
Class B 1 0.0560 1.247 0.318 1.621
- ---------------------------------------------------------------------------------
Class C 1 0.0560 1.247 0.318 1.621
- ---------------------------------------------------------------------------------
Class M 1 0.0860 1.247 0.318 1.651
- ---------------------------------------------------------------------------------
</TABLE>
Past performance is not indicative of future results. 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. Returns
reflect an expense limitation previously in effect, without which
returns would have been lower.
* BALANCED PORTFOLIO
<TABLE>
<CAPTION>
TOTAL RETURNS FOR PERIOD ENDED 3/31/00
Change in value during period plus reinvested distributions
Class A Class B Class C Class M
Inception dates (2/7/94) (2/11/94) (9/1/94) (2/6/95)
NAV POP NAV CDSC NAV CDSC NAV POP
- ----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
6 months 16.99% 10.26% 16.57% 11.57% 16.52% 15.52% 16.65% 12.61%
- ----------------------------------------------------------------------------------------
1 year 19.54 12.66 18.78 13.78 18.64 17.64 18.90 14.72
- ----------------------------------------------------------------------------------------
5 years 119.57 107.00 111.75 109.75 111.31 111.31 114.92 107.39
Annual average 17.03 15.66 16.19 15.97 16.14 16.14 16.53 15.71
- ----------------------------------------------------------------------------------------
Life of fund 125.18 112.20 115.24 115.24 113.83 113.83 118.86 111.20
Annual average 14.13 13.04 13.30 13.30 13.18 13.18 13.61 12.95
- ----------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
PRICE AND DISTRIBUTION INFORMATION 6 months ended 3/31/00
Class A Class B Class C Class M
Share value NAV POP NAV NAV NAV POP
- ---------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
9/30/99 $12.28 $13.03 $12.22 $12.15 $12.26 $12.70
- ---------------------------------------------------------------------------------------
3/31/00 13.22 14.03 13.15 13.06 13.19 13.67
- ---------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Capital gains
Investment Long Short
Distributions Number income term term Total
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Class A 2 $0.154 $0.805 $0.126 $1.085
- -------------------------------------------------------------------------------
Class B 2 0.106 0.805 0.126 1.037
- -------------------------------------------------------------------------------
Class C 2 0.108 0.805 0.126 1.039
- -------------------------------------------------------------------------------
Class M 2 0.122 0.805 0.126 1.053
- -------------------------------------------------------------------------------
</TABLE>
Past performance is not indicative of future results. 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. Returns
reflect an expense limitation previously in effect, without which
returns would have been lower.
* CONSERVATIVE PORTFOLIO
<TABLE>
<CAPTION>
TOTAL RETURNS FOR PERIOD ENDED 3/31/00
Change in value during period plus reinvested distributions
Class A Class B Class C Class M
Inception dates (2/7/94) (2/18/94) (9/1/94) (2/7/95)
NAV POP NAV CDSC NAV CDSC NAV POP
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
6 months 7.67% 1.52% 7.20% 2.20% 7.29% 6.29% 7.32% 3.53%
- ----------------------------------------------------------------------------------------------
1 year 8.33 2.09 7.46 2.46 7.57 6.57 7.72 3.94
- ----------------------------------------------------------------------------------------------
5 years 72.29 62.45 66.06 64.06 66.35 66.35 68.35 62.54
Annual average 11.49 10.19 10.68 10.41 10.71 10.71 10.98 10.20
- ----------------------------------------------------------------------------------------------
Life of fund 74.90 64.82 67.25 67.25 66.75 66.75 69.70 63.75
Annual average 9.53 8.48 8.74 8.74 8.68 8.68 8.99 8.36
- ----------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
PRICE AND DISTRIBUTION INFORMATION 6 months ended 3/31/00
Class A Class B Class C Class M
Share value NAV POP NAV NAV NAV POP
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
9/30/99 $10.40 $11.03 $10.37 $10.34 $10.37 $10.75
- ----------------------------------------------------------------------------------------------
3/31/00 10.54 11.18 10.50 10.48 10.50 10.88
- ----------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Capital gains
Investment Long Short
Distributions Number income term term Total
- ---------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Class A 3 $0.264 $0.295 $0.088 $0.647
- --------------------------------------------------------------------------------
Class B 3 0.225 0.295 0.088 0.608
- --------------------------------------------------------------------------------
Class C 3 0.222 0.295 0.088 0.605
- --------------------------------------------------------------------------------
Class M 3 0.237 0.295 0.088 0.620
- --------------------------------------------------------------------------------
</TABLE>
Past performance is not indicative of future results. 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. Returns
reflect an expense limitation previously in effect, without which
returns would have been lower.
<TABLE>
<CAPTION>
COMPARATIVE INDEX RETURNS FOR PERIOD ENDED 3/31/00 (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
- -------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
6 months 2.08% 17.51% 26.84% 0.77% 2.03%
- -------------------------------------------------------------------------------------
1 year 1.87 17.94 37.29 0.30 3.69
- -------------------------------------------------------------------------------------
5 years 41.20 227.30 121.47 45.56 13.15
Annual average 7.14 26.75 17.23 7.79 2.50
- -------------------------------------------------------------------------------------
Life of fund 42.08 251.95 120.56 48.28 17.10
Annual average 5.86 22.65 13.69 6.60 2.59
- -------------------------------------------------------------------------------------
</TABLE>
The performance of each index will differ from that of the funds, assume
reinvestment of all distributions, and does not take into account
brokerage commissions or other costs. The funds' portfolios contain
securities that do not match those in the indexes. Past performance is
not indicative of future results.
COMPARATIVE BENCHMARKS
Lehman Brothers Aggregate Bond Index is an unmanaged list consisting of
securities from Lehman Brothers Government/Corporate Bond Index,
Mortgage-Backed Securities Index, and the Asset-Backed Securities Index.
Standard & Poor's 500 Index is an unmanaged list of common stocks that
is frequently used as a general measure of stock market performance.
Russell 2000 Index is an unmanaged list of common stocks that is
frequently used as a general performance measure of stocks of small to
midsize companies.
First Boston High Yield Bond Index is an unmanaged list of lower-rated,
higher-yielding U.S. corporate bonds.
Morgan Stanley Capital International (MSCI) EAFE Index is an unmanaged
list of equity securities from Europe, Australasia, and the Far East,
with values expressed in U.S. dollars.
Salomon Brothers Non-U.S. World Government Bond Index is an unmanaged
list of bonds issued by 10 countries.
Consumer price index (CPI) is a commonly used measure of inflation; it
does not represent an investment return.
TERMS AND DEFINITIONS
Total return shows how the value of the fund's shares changed over time,
assuming you held the shares through the entire period and reinvested
all distributions in the fund.
Class A shares are generally subject to an initial sales charge.
Class B shares may be subject to a sales charge upon redemption.
Class C shares are not subject to an initial sales charge and are
subject to a contingent deferred sales charge only if the shares are
redeemed during the first year.
Class M shares have a lower initial sales charge and a higher 12b-1 fee
than class A shares and no sales charge on redemption.
Net asset value (NAV) is the value of all your fund's assets, minus any
liabilities, divided by the number of outstanding shares, not including
any initial or contingent deferred sales charge.
Public offering price (POP) is the price of a mutual fund share plus the
maximum sales charge levied at the time of purchase. POP performance
figures shown here assume the 5.75% maximum sales charge for class A
shares and 3.50% for class M shares.
Contingent deferred sales charge (CDSC) is a charge applied at the time
of the redemption of class B or C shares and assumes redemption at the
end of the period. Your funds' class B CDSC declines from a 5% maximum
during the first year to 1% during the sixth year. After the sixth year,
the CDSC no longer applies. The CDSC for class C shares is 1% for one
year after purchase.
A guide to the financial statements
These sections of the report constitute the fund's financial statements.
The fund's portfolio lists all the fund's investments and their values
as of the last day of the reporting period. Holdings are organized by
asset type and industry sector, country, or state to show areas of
concentration and diversification.
Statement of assets and liabilities shows how the fund's net assets and
share price are determined. All investment and non-investment assets are
added together. Any unpaid expenses and other liabilities are
subtracted from this total. The result is divided by the number of
shares to determine the net asset value per share, which is calculated
separately for each class of shares. (For funds with preferred shares,
the amount subtracted from total assets includes the net assets
allocated to remarketed preferred shares.)
Statement of operations shows the fund's net investment gain or loss
for the reporting period. This is determined by adding up all the fund's
earnings -- from dividends and interest income -- and subtracting its
operating expenses. This statement also lists any net gain or loss the
fund realized on the sales of its holdings and -- for holdings that
remain in the portfolio -- any change in unrealized gains or losses over
the period.
Statement of changes in net assets shows how the fund's net assets were
affected by distributions to shareholders and by changes in the number
of the fund's shares. It lists distributions and their sources (net
investment income or realized capital gains) over the current reporting
period and the most recent fiscal year-end. The distributions listed
here may not match the sources listed in the Statement of operations
because the distributions are determined on a tax basis and may be paid
in a different period from the one in which they were earned.
Financial highlights provide an overview of the fund's investment
results, per-share distributions, expense ratios, net investment income
ratios and portfolio turnover in one summary table, reflecting the five
most recent reporting periods. In a semiannual report, the highlight
table also includes the current reporting period. For open-ended funds,
a separate table is provided for each share class.
Welcome to www.putnaminv.com
Now you can use your PC to get up-to-date information about your funds,
learn more about investing and retirement planning, and access market
news and economic outlooks from Putnam.
VISIT PUTNAM'S SITE ON THE WORLD WIDE WEB FOR:
* the benefits of investing with Putnam
* Putnam's money management philosophy
* complete fund information, daily pricing and long-term performance
* your current account value, portfolio value and transaction history
* the latest on new funds and other Putnam news
You can also read Putnam economist Dr. Robert Goodman's commentary and
Putnam's Capital Markets outlook, search for a particular fund by name
or objective, use our glossary to decode investment terms . . . and much
more.
The site can be accessed through any of the major online services
(America Online, CompuServe, Prodigy) that offer web access. Of course,
you can also access it via Netscape or Microsoft Internet Explorer,
using an independent Internet service provider.
New features will be added to the site regularly. So be sure to bookmark us at
http://www.putnaminv.com
Portfolio of investments owned
March 31, 2000 (Unaudited)
<TABLE>
<CAPTION>
GROWTH BALANCED CONSERVATIVE
70.6% 60.8% 16.6%
COMMON STOCKS (a) Shares Value Shares Value Shares Value
Basic Materials 3.2% 2.0% 0.6%
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Abitibi-Consolidated, Inc.
(Canada) (NON) 114,090 $ 1,098,230 -- $ -- -- $ --
Air Products & Chemicals, Inc. 1,700 48,344 3,000 85,313 -- --
Airgas, Inc. (NON) 55,400 460,513 79,400 660,013 -- --
Akzo-Nobel N.V.
(Netherlands) (NON) 107,736 4,588,799 74,484 3,172,497 9,123 388,576
Albany International Corp. 25,600 379,200 36,500 540,656 -- --
Alcoa, Inc. 19,200 1,348,800 26,700 1,875,675 3,000 210,750
Allegheny Technologies,
Inc. 1,100 22,069 1,900 38,119 -- --
Anglogold, Ltd. (South
Africa) 6,100 294,947 -- -- -- --
Aracruz Celulose S.A. ADR
(Brazil) 201,600 426,439 -- -- -- --
Arkivator AB (Sweden) 20,009 897,244 -- -- -- --
Asahi Glass Co., Ltd. (NON) 68,000 581,889 -- -- -- --
Avery Dennison Corp. 23,600 1,441,075 35,000 2,137,188 4,000 244,250
BASF AG (Germany) 3,200 151,578 -- -- -- --
BOC Group Plc 80,288 1,568,826 -- -- -- --
BWAY Corp. (NON) 26,500 202,063 37,800 288,225 -- --
Bemis Company, Inc. 500 18,438 900 33,188 -- --
Billiton Plc (United
Kingdom) 142,600 673,322 -- -- -- --
Bowater, Inc. 300 16,013 500 26,688 -- --
Broken Hill Proprietary
Co., Ltd. (Australia) 19,200 208,075 -- -- -- --
CK Witco Corp. 46,900 477,794 66,600 678,488 -- --
CRH Plc (Ireland) (NON) 143,748 2,573,988 169,506 3,035,217 20,628 369,370
CSR, Ltd. (Australia) 102,655 215,740 -- -- -- --
Celanese AG (Germany) (NON) 4 81 6 129 2 40
Caraustar Industries, Inc. 21,300 300,863 30,400 429,400 -- --
Carpenter Technology Corp. 15,400 320,513 22,200 462,038 -- --
Cemex S.A. de CV ADR
(Mexico) (NON) 30,300 685,538 -- -- -- --
Champion International
Corp. 800 42,600 1,400 74,550 -- --
Clariant AG (Switzerland) 6,102 2,294,481 5,055 1,900,787 621 233,509
Coflexip S.A. (France) 4,700 516,178 -- -- -- --
Companhia Brasileira de
Distribuicao Grupo Pao de
Acucar ADR (Brazil) 4,300 153,660 -- -- -- --
Companhia Vale do Rio Doce
ADR (Brazil) 31,500 854,438 -- -- -- --
Compania Siderurgica
Nacional (Brazil) 8,700 308,888 -- -- -- --
Compania de Minas
Buenaventura S.A. ADR
(Peru) 7,700 134,750 -- -- -- --
Corporacion Interamericana
de Entretenimiento S.A.
(Mexico) (NON) 92,750 467,209 -- -- -- --
De Beers-Centenary (South
Africa) (NON) 23,000 539,476 -- -- -- --
Delta & Pine Land Co. 19,100 377,225 35,000 691,250 -- --
Dow Chemical Co. 19,535 2,226,990 26,995 3,077,430 3,315 377,910
Draka Holding N.V.
(Netherlands) 6,841 432,168 -- -- -- --
Eastman Chemical Co. 800 36,400 1,400 63,700 -- --
Ecolab, Inc. 1,100 40,356 1,900 69,706 -- --
Engelhard Corp. 1,600 24,200 2,800 42,350 -- --
Enka Holding Yatirim A.S.
(Turkey) 2,737,300 686,378 -- -- -- --
Ferro Corporation 20,900 372,281 29,800 530,813 -- --
Fort James Corp. 700 15,400 1,200 26,400 -- --
Freeport-McMoRan Copper &
Gold Co., Inc. Class B
(NON) 1,700 20,506 3,000 36,188 -- --
Georgia Pacific Corp. 1,300 51,431 2,300 90,994 -- --
Gerdau S.A. (Brazil) 16,100 422,219 -- -- -- --
Grupo Mexico S.A. (Mexico) 129,700 608,473 -- -- -- --
H.B. Fuller Co. 8,400 335,475 11,900 475,256 -- --
Hanna (M.A.) Co. 93,800 1,061,113 134,000 1,515,875 -- --
Hanwha Chemical Corp.
(South Korea) (NON) 29,200 223,294 -- -- -- --
Henkel KGaA (Germany) 13,540 737,050 -- -- -- --
Hercules, Inc. 1,000 16,125 1,800 29,025 -- --
Impala Platinum Holdings,
Ltd. 20,000 695,999 -- -- -- --
International Paper Co. 2,400 102,600 4,200 179,550 -- --
Ispat International NV
(Netherlands) 53,153 790,651 -- -- -- --
Jefferson Smurfit Group Plc
(Ireland) 476,581 1,108,075 -- -- -- --
LESCO, Inc. 16,600 279,088 23,800 400,138 -- --
Lafarge Coppee (France) 17,225 1,465,684 24,200 2,059,190 2,996 254,931
Malyaysian Pacific
Industries Berhad
(Malaysia) 37,900 508,671 -- -- -- --
Material Sciences Corp. (NON) 26,000 351,000 37,200 502,200 -- --
Mead Corp. 46,900 1,638,569 63,000 2,201,063 8,400 293,475
Minnesota Mining &
Manufacturing Co. 32,600 2,887,138 36,300 3,214,819 4,100 363,106
Miracle Holding AG
(Switzerland) (NON) 300 126,141 -- -- -- --
Mississippi Chemical Corp. 53,600 365,150 76,400 520,475 -- --
Monsanto Co. 5,400 278,100 9,500 489,250 -- --
Nan Ya Plastic Corp.
(Taiwan) 177,000 410,747 -- -- -- --
National Petrochemical Co. 93,400 98,705 -- -- -- --
Newmont Mining Corp. 1,000 22,438 1,800 40,388 -- --
Nippon Sanso Corp. (Japan) 133,000 375,471 -- -- -- --
Norske Skogindustrier ASA
(Norway) 800 23,908 -- -- -- --
Nucor Corp. 800 40,000 1,400 70,000 -- --
Omnova Solutions, Inc. 87,800 493,875 83,600 470,250 -- --
Owens-Illinois, Inc. (NON) 46,400 783,000 70,600 1,191,375 8,400 141,750
P.H. Glatfelter Co. 24,900 264,563 36,000 382,500 -- --
PPG Industries, Inc. 33,100 1,731,544 45,267 2,368,030 5,792 302,994
Pioneer International, Ltd.
(Australia) 94,700 258,268 -- -- -- --
Pohang Iron & Steel
Company, Ltd. (South
Korea) 8,610 842,284 1,365 133,533 -- --
Pohang Iron & Steel
Company, Ltd. ADR (South
Korea) 23,300 640,750 20,500 563,750 -- --
Praxair, Inc. 19,300 803,363 35,000 1,456,875 4,500 187,313
Quanex Corp. 16,100 289,800 23,300 419,400 -- --
Reliance Industries, Ltd.
(Poland) 92,900 670,885 -- -- -- --
Reliance Steel & Aluminum
Co. 18,300 409,463 26,700 597,413 -- --
Reynolds Metal Co. 300 20,063 500 33,438 -- --
Rhodia S.A. (France) 25,300 451,820 -- -- -- --
Rio Tinto, Ltd. (Australia) 15,800 224,712 -- -- -- --
Rohm & Haas Co. 900 40,163 1,600 71,400 -- --
Sapa AB (Sweden) 32,909 610,440 -- -- -- --
Sappi, Ltd. (South Africa) 164,988 1,279,839 -- -- -- --
Sealed Air Corp. (NON) 1,000 54,313 1,800 97,763 -- --
Shin-Etsu Chemical Co.
(Japan) 13,000 791,150 -- -- -- --
SKF Corp. AB (Sweden) (NON) 17,745 383,505 30,660 662,624 3,716 80,310
SKF Corp. AB Class B,
(Sweden) (NON) 38,200 847,653 -- -- -- --
Smurfit-Stone Container
Corp. (NON) 1,400 23,713 2,500 42,344 -- --
Sonoco Products Co. 900 21,150 1,600 37,600 -- --
Stora Enso Oyj Class A
(Finland) -- -- -- -- 1,646 17,999
Stora Enso Oyj Class R
(Finland) 49,822 532,896 86,004 919,899 9,089 97,216
Svenska Cellulosa AB (SCA)
Class B, (Sweden) 37,600 886,485 -- -- -- --
Taiyo Ink Manufacturing
(Japan) 7,440 588,688 -- -- -- --
Teijin, Ltd. (Japan) 188,000 798,867 -- -- -- --
Temple Inland, Inc. 5,500 273,969 5,400 268,988 860 42,839
Union Carbide Corp. 800 46,650 1,400 81,638 -- --
Usiminas (Brazil) 64,900 323,565 -- -- -- --
WTK Holdings Berhad
(Malaysia) 47,000 168,215 -- -- -- --
Wausau-Mosinee Paper Corp. 27,500 355,781 39,200 507,150 -- --
Weyerhaeuser Co. 47,600 2,713,200 63,700 3,630,900 8,300 473,100
Willamette Industries, Inc. 900 36,113 1,600 64,200 -- --
du Pont (E.I.) de Nemours &
Co., Ltd. 39,318 2,078,939 56,013 2,961,687 5,900 311,963
-------------- -------------- --------------
64,306,964 48,726,988 4,391,401
Capital Goods 2.8% 2.0% 0.4%
- ----------------------------------------------------------------------------------------------------------------------------
AAR Corp. 49,700 829,369 71,100 1,186,481 -- --
ABB, Ltd. (Switzerland) 2,600 298,294 -- -- -- --
Abengoa S.A. (Spain) 11,140 359,588 -- -- -- --
Aeroflex, Inc. (NON) 8,800 435,600 20,100 994,950 -- --
Alliant Techsystems, Inc.
(NON) 9,400 553,425 13,500 794,813 -- --
Altran Technologies S.A.
(France) 6,650 1,619,441 -- -- -- --
Ameron International Corp. 7,100 252,494 10,200 362,738 -- --
Amkor Technology, Inc.
(NON) 6,600 350,213 -- -- -- --
Anaren Microwave, Inc.
(NON) 2,800 268,450 6,400 613,600 -- --
Applied Power, Inc. 19,600 558,600 27,600 786,600 -- --
Aviall, Inc. (NON) 26,300 221,906 37,500 316,406 -- --
B.F. Goodrich Co. (The) 1,000 28,688 1,800 51,638 -- --
BE Aerospace, Inc. (NON) 45,300 266,138 64,600 379,525 -- --
BEI Technologies, Inc. 25,000 442,188 35,600 629,675 -- --
Boeing Co. 62,100 2,355,919 87,100 3,304,356 10,000 379,375
Bombardier, Inc. (Canada) 24,500 616,219 -- -- -- --
Bouygues S.A. (France) 5,675 4,487,450 5,098 4,031,193 625 494,213
British Aerospace plc 102,600 578,402 -- -- -- --
C&D Technologies, Inc. 10,900 643,100 12,900 761,100 -- --
Canon, Inc. (Japan) (NON) 44,000 1,912,670 -- -- -- --
Caterpillar, Inc. 1,500 59,156 2,600 102,538 -- --
Cooper Industries, Inc. 800 28,000 1,400 49,000 -- --
Daisytek International
Corp. (NON) 10,100 159,706 23,200 366,850 -- --
Deere (John) & Co. 600 22,800 1,100 41,800 -- --
Disco Corp. (Japan) 8,850 1,599,346 -- -- -- --
Dover Corp. 1,500 71,813 2,600 124,475 -- --
Eaton Corp. 21,825 1,702,350 29,400 2,293,200 3,885 303,030
Electro Scientific
Industries, Inc. (NON) 2,000 116,000 -- -- -- --
Emerson Electric Co. 47,800 2,527,425 65,700 3,473,888 8,000 423,000
Empresa Bras Aeronautica
(Brazil) 89,900 417,115 -- -- -- --
Falcon Products, Inc. 22,800 272,175 32,500 387,969 -- --
Fluor Corp. 700 21,700 1,200 37,200 -- --
Fuji Machine Manufacturing
Co., Ltd. (Japan) 3,200 238,507 5,700 424,841 600 44,720
Fujitec Co., Ltd. (Japan) 44,000 371,789 -- -- -- --
Furukawa Electric Co., Ltd.
(The) (Japan) (NON) 34,000 572,922 -- -- -- --
Gardner Denver, Inc. (NON) 29,800 560,613 44,200 831,513 -- --
General Dynamics Corp. 1,600 79,600 2,800 139,300 -- --
General Motors Corp. Class
H (NON) 800 99,600 1,400 174,300 -- --
Hilti AG (Switzerland) 485 375,811 -- -- -- --
HON Industries, Inc. 22,400 576,800 35,200 906,400 -- --
IFCO Systems N.V.
(Netherlands) (NON) 3,800 89,818 -- -- -- --
IJM Copr. Berhad (Malaysia) 298,000 315,261 -- -- -- --
Illinois Tool Works, Inc. 33,820 1,868,555 46,180 2,551,445 5,745 317,411
Ingersoll-Rand Co. 1,100 48,675 1,900 84,075 -- --
Insituform Technologies,
Inc. (NON) 14,300 437,938 23,800 728,875 -- --
JLK Direct Distribution,
Inc. (NON) 21,500 196,188 34,400 313,900 -- --
Johnson Controls, Inc. 11,800 637,938 16,100 870,406 2,000 108,125
KCI Konecranes
International Plc
(Finland) 28,135 865,179 -- -- -- --
Kaydon Corp. 4,400 120,175 6,200 169,338 -- --
Keyence Corp (Japan) 3,850 1,541,956 -- -- -- --
Klockner Windsor India,
Ltd. (India) (NON) 36,200 316,750 56,600 495,250 -- --
Kurita Water Industries,
Ltd. (Japan) 16,000 311,029 -- -- -- --
Larsen & Toubro, Ltd. GDR
(India) 32,200 212,572 -- -- -- --
Lincoln Electric Holdings,
Inc. 16,200 391,838 23,100 558,731 -- --
Lockheed Martin Corp. 50,200 1,025,963 69,200 1,414,275 8,700 177,806
MSC Industrial Direct Co.,
Inc. Class A (NON) 37,600 676,800 53,700 966,600 -- --
Malaysian Resources Corp.
(Israel) (NON) 190,000 215,006 -- -- -- --
MasTec, Inc. (NON) 5,100 453,900 -- -- -- --
Milacron, Inc. 38,500 555,844 54,600 788,288 -- --
Newport News Shipbuilding,
Inc. 5,600 169,400 8,000 242,000 -- --
Northrop Grumman Corp. 600 31,763 1,100 58,231 -- --
PACCAR, Inc. 500 25,000 900 45,000 -- --
Parker-Hannifin Corp. 600 24,788 1,100 45,444 -- --
Pentair, Inc. 8,900 329,856 12,900 478,106 -- --
Pitney Bowes, Inc. 14,000 625,625 19,400 866,938 2,300 102,781
Primex Technologies, Inc. 22,900 488,056 33,100 705,444 -- --
Raytheon Co. Class B 3,775 67,006 6,000 106,500 165 2,929
Regal-Beloit Corp. 17,800 311,500 25,200 441,000 -- --
Reynolds and Reynolds Co.
(The) Class A 900 24,300 1,600 43,200 -- --
Ricoh Co., Ltd. (Japan)
(NON) 28,000 601,739 -- -- -- --
Rockwell International
Corp. 1,900 79,444 3,300 137,981 -- --
Rolls-Royce Plc (United
Kingdom) (NON) 76,500 247,612 -- -- -- --
Roper Industries, Inc. 15,400 522,638 21,600 733,050 -- --
SLI, Inc. 3,500 59,500 5,000 85,000 -- --
SMC Corp. 6,900 1,449,155 -- -- -- --
Safety-Kleen Corp. (NON) -- -- 60,100 78,881 -- --
Sandvik AB Class A,
(Sweden) 16,914 433,963 23,653 606,866 3,042 78,049
Sandvik AB Class B,
(Sweden) 16,955 438,934 29,270 757,747 3,804 98,479
Schneider Electric S.A.
(France) 18,200 1,159,313 -- -- -- --
Siebe Plc (United Kingdom) 562,777 2,495,979 339,897 1,507,481 41,973 186,155
Siemens AG (Germany) 7,700 1,106,702 -- -- -- --
Signal Technology Corp.
(NON) 11,900 310,888 27,100 707,988 -- --
Soc Generale D'enterprises
(France) 11,270 429,545 -- -- -- --
Standard Register Co. (The) 19,700 253,638 27,800 357,925 -- --
Steelcase, Inc. 2,500 30,000 4,400 52,800 -- --
THK Co., Ltd. (Japan) 14,100 650,112 -- -- -- --
Tennant Co. 10,500 325,500 15,100 468,100 -- --
Texas Industries, Inc. 12,800 398,400 18,200 566,475 -- --
Therma-Wave, Inc. (NON) 2,200 74,800 2,800 95,200 -- --
Thermo Electron Corp. (NON) 1,000 20,375 1,800 36,675 -- --
Thomas & Betts Corp. 27,700 782,525 38,700 1,093,275 -- --
Tomra Systems ASA (Norway) 1,600 31,941 -- -- -- --
Triumph Group, Inc. (NON) 16,300 474,738 23,500 684,438 -- --
UCAR International, Inc.
(NON) 22,300 294,081 31,900 420,681 -- --
United Stationers, Inc. 17,300 617,394 24,700 881,481 -- --
United Technologies Corp. 3,700 233,794 6,500 410,719 -- --
VA Technolgies AG (Austria) 3,150 198,545 -- -- -- --
Vestas Wind Systems A.S.
(Denmark) (NON) 5,779 2,099,647 -- -- -- --
Vestel Elektronik Sanayi ve
Ticaret A.S. (Turkey)
(NON) 1,810,300 607,215 -- -- -- --
Wallace Computer Services,
Inc. 35,500 419,344 50,300 594,169 -- --
Waste Management, Inc. 78,600 1,075,838 119,800 1,639,763 14,300 195,731
Westinghouse Air Brake Co. 20,600 218,875 30,100 319,813 -- --
-------------- -------------- --------------
57,472,235 47,775,903 2,911,804
Communication Services 9.0% 7.5% 2.2%
- ----------------------------------------------------------------------------------------------------------------------------
Advanced Info Service
Public Co., Ltd.
(Thailand) (NON) 23,400 352,391 -- -- -- --
ALLTEL Corp. 39,765 2,507,680 54,770 3,453,933 6,900 435,131
AT & T Co. 138,800 7,807,500 194,800 10,957,500 21,000 1,181,173
Adelphia Business
Solutions, Inc. (NON) 5,151 317,430 -- -- -- --
Airgate PCS, Inc. (NON) 14,625 1,542,938 30,600 3,228,300 -- --
Alamosa PCS Holdings, Inc.
(NON) 13,200 498,300 30,700 1,158,925 -- --
Allegiance Telecom, Inc.
(NON) 750 60,469 1,350 108,844 -- --
American Tower Corp. Class
A (NON) 700 34,563 1,200 59,250 -- --
ArrowPoint Communications,
Inc. (NON) 100 11,848 200 23,697 -- --
At Home Corp. (NON) 700 23,056 1,200 39,525 -- --
BCE, Inc. (Canada) (NON) 68,690 8,579,140 77,619 9,694,341 -- --
Bell Atlantic Corp. 78,700 4,810,538 111,335 6,805,352 12,200 745,725
BellSouth Corp. 87,200 4,098,400 122,500 5,757,500 13,250 622,750
British Telecommunications
Plc ADR 64,000 1,197,560 -- -- -- --
Broadwing, Inc. 600 22,313 1,100 40,906 -- --
CRT Celular (Brazil) (NON) 400 184,436 -- -- -- --
CT Communications, Inc. 8,000 480,000 11,400 684,000 -- --
CTC Communications Group,
Inc. (NON) 14,550 620,194 27,900 1,189,238 -- --
Cable & Wireless
Communications (United
Kingdom) (NON) 144,949 2,446,812 168,647 2,846,846 20,475 345,628
Cable & Wireless Optus,
Ltd. (Australia) (NON) 266,943 1,070,132 461,000 1,848,075 56,046 224,679
Cable & Wireless Plc
(United Kingdom) (NON) 221,524 4,155,713 236,061 4,428,422 31,987 600,065
Carso Global Telecom
(Mexico) (NON) 747,442 2,306,720 448,104 1,382,917 -- --
CenturyTel, Inc. 500 18,563 900 33,413 -- --
China Telecom, Ltd. (Hong
Kong) (NON) 1,245,498 10,917,002 1,073,000 9,405,028 168,000 1,472,549
Choice One Communications,
Inc. (NON) 7,200 255,600 16,000 568,000 -- --
Colt Telecom Group Plc
(United Kingdom) (NON) 48,975 2,328,082 -- -- -- --
Comdisco, Inc. 700 30,888 1,200 52,950 -- --
Clearnet Communications,
Inc. (Canada) (NON) 16,001 662,476 -- -- -- --
Compania Anonima Nacional
Telefonos de Venezuela ADR
(Venezuela) 6,800 197,200 -- -- -- --
Covad Communications Group
144A (NON) 16,700 1,210,750 24,500 1,776,250 2,900 210,250
Daum Communications Corp.
(South Korea) (NON) 3,300 306,109 -- -- -- --
DDI Corp. (Japan) 276 2,262,030 463 3,794,637 56 458,963
Deutsche Telekom AG
(Germany) 18,900 1,519,768 -- -- -- --
Embratel Participacoes S.A.
ADR (Brazil) 11,100 284,438 -- -- -- --
France Telecom S.A.
(France) 23,162 3,981,548 19,368 3,329,359 3,206 551,111
GTE Corp. 57,400 4,075,400 80,500 5,715,500 9,100 646,100
Global Light Telecom, Inc.
(Canada) (NON) 8,700 178,350 -- -- -- --
Global TeleSystems Group,
Inc. 1,300 26,650 2,300 47,150 -- --
Global Tele-Systems, Ltd.
(India) 7,300 370,875 -- -- -- --
Globo Cabo S.A. ADR
(Brazil) 9,800 183,750 -- -- -- --
HPY Holding Oyj (Finland)
(NON) 4,149 173,350 7,254 303,081 972 40,611
Hellenic Telecommunication
Organization S.A. GDR
(Greece) 40,600 588,700 -- -- -- --
Hellenic Telecommunication
Organization S.A. (Greece) 16,264 463,065 -- -- -- --
Helsingin Puhelin Oyj
(Helsinki Telephone Corp.)
Class E, (Finland) 14,744 1,422,133 5,200 501,566 596 57,487
Intermedia Communications,
Inc. (NON) 6,900 333,356 11,600 560,425 -- --
Jazztel Plc (NON) 4,924 398,536 -- -- -- --
KDD Corp. (Japan) 5,018 423,518 8,809 743,477 912 76,973
Kingston Coms (hull)
(United Kingdom) (NON) 95,337 1,524,315 -- -- -- --
Korea Telecom Corp. (South
Korea) 18,400 805,000 20,700 905,625 -- --
Leap Wireless
International, Inc. (NON) 1,500 148,031 309 30,494 447 44,113
Level 3 Communications,
Inc. (NON) 19,200 2,030,400 28,600 3,024,450 3,100 327,825
Liberty Digital, Inc. Class
A (NON) 400 15,400 700 26,950 -- --
LibertyOne, Ltd.
(Australia) (NON) 304,900 196,308 -- -- -- --
MCI WorldCom, Inc. (NON) 22,500 1,019,531 39,600 1,794,375 -- --
MCK Communications, Inc.
(NON) 9,200 440,450 18,200 871,325 -- --
MGC Communications, Inc.
(NON) 403 28,815 -- -- 80 5,720
Mahanagar Telephone Nigam,
Ltd. GDR (India) (NON) 23,000 310,500 -- -- -- --
Mahanager Telephone Nigam,
Ltd. GDR 144A (India)
(NON) 35,900 484,650 -- -- -- --
Metromedia Fiber Network,
Inc. Class A (NON) 20,400 1,973,700 29,800 2,883,150 3,600 348,300
NEXTEL Communications, Inc.
Class A (NON) 23,100 3,424,575 33,900 5,025,675 4,000 593,000
NEXTLINK Communications,
Inc. Class A (NON) 1,000 123,688 1,700 210,269 -- --
NTL, Inc. (NON) 900 83,531 1,600 148,500 -- --
NTT DoCoMo., Inc. (Japan)
(NON) 120 4,935,040 -- -- -- --
Net2000 Communications,
Inc. (NON) 8,200 194,750 18,700 444,125 -- --
Nippon Telegraph and
Telephone Corp. (Japan) 669 10,652,242 716 11,400,606 92 1,464,882
Nuevo Grupo Iusacell S.A.
de C.V. ADR (Mexico) (NON) 11,700 236,925 -- -- -- --
Olivetti SpA (Italy) (NON) 412,531 1,477,377 708,349 2,536,775 85,365 305,713
Panafon Hellenic Telecom
S.A. GDR 35,300 520,675 -- -- -- --
Pinnacle Holdings, Inc.
(NON) 27,600 1,524,900 63,300 3,497,325 -- --
Portugal Telecom S.A.
(Portugal) 106,100 1,357,762 -- -- -- --
Price Communications Corp 32,092 738,116 51,275 1,179,325 -- --
Qwest Communications
International, Inc. (NON) 1,000 48,500 1,800 87,300 -- --
RCN Corp. (NON) 300 16,163 500 26,938 -- --
Redstone Telecom Plc
(United Kingdom) (NON) 39,264 397,052 -- -- -- --
Redstone Telecom Rights
(United Kingdom) (NON) 4,254 7,113 -- -- -- --
Rhythms Netconnections,
Inc. (NON) 500 18,406 900 33,131 -- --
Royal PTT (United Kingdom) 5,200 594,182 -- -- -- --
Rural Cellular Corp. Class
A (NON) 4,400 297,275 11,000 743,188 -- --
SBA Communications Corp.
(NON) 21,800 959,200 54,000 2,376,000 -- --
SBC Communications, Inc. 164,273 6,899,466 230,595 9,684,990 24,990 1,049,580
SK Telecom Co., Ltd. (South
Korea) 419 1,365,068 390 1,270,588 -- --
SK Telecom Co., Ltd. ADR
(South Korea) 28,100 1,095,900 -- -- -- --
Somera Communications, Inc.
(NON) 18,500 224,313 42,400 514,100 -- --
Sonera Group Oyj (Finland) 53,146 3,618,791 36,907 2,513,053 4,439 302,258
Sprint Corp. 52,920 3,333,960 73,340 4,620,420 8,780 553,140
Sprint PCS (NON) 52,200 3,409,313 77,300 5,048,656 8,800 574,750
Swisscom AG ADR
(Switzerland) 900 344,906 -- -- -- --
Tele1 Europe Holding AB
(Sweden) (NON) 20,457 386,557 -- -- -- --
Tele Celular Sul
Participacoes S.A.
(Brazil) 16,100 805,000 -- -- -- --
Tele Danmark A.S. (Denmark) 3,200 287,578 -- -- -- --
Telecom Argentina S.A. ADR
(Argentina) 18,000 625,500 -- -- -- --
Telecom Corp. of New
Zealand, Ltd. (New
Zealand) 50,000 226,110 -- -- -- --
Telecom Italia SpA (Italy) 31,600 470,777 -- -- -- --
Telecom Italia Mobile SpA
(Italy) 276,444 3,384,532 259,607 3,178,394 31,528 386,000
TelecomAsia Corporation
Public Co., Ltd.
(Thailand) (NON) 273,800 452,114 -- -- -- --
Telefonica del Peru S.A.
ADR (Peru) 9,700 164,900 -- -- -- --
Telefonos de Mexico S.A.
ADR Class L, (Mexico) 118,171 7,917,457 90,896 6,090,032 -- --
Telekom Malaysia (Malaysia) 90,000 369,483 -- -- -- --
Telephone and Data Systems,
Inc. 500 55,500 900 99,900 -- --
Telesp Celular
Participacoes S.A.
(Brazil) 47,500 1,081,412 -- -- -- --
Telesp Celular
Participacoes S.A. ADR
(Brazil) 50,675 2,872,639 47,756 2,707,168 -- --
Telesp Participacoes S.A.
(Brazil) -- -- 6 191 -- --
Telesp-Telecomunicacoes de
Sao Paulo S.A. (Brazil) 73,789 2,190,611 38,000 1,128,125 -- --
Telfonica S.A. (Spain)
(NON) 148,834 3,752,403 169,639 4,276,938 36,147 911,338
Telewest Communications Plc
(United Kingdom) (NON) 300,600 2,304,967 -- -- -- --
United States Cellular
Corp. 300 21,300 500 35,500 -- --
U S West, Inc. 4,000 290,500 7,000 508,375 -- --
VIA NET.WORKS, Inc. (NON) 5,607 148,936 -- -- -- --
Versatel Telecom
International NV
(Netherlands) (NON) 32,963 1,524,875 -- -- -- --
Viatel, Inc. (NON) 4,870 244,413 -- -- 1,113 55,859
Videsh Sanchar Nigam, Ltd.
GDR (India) 24,500 648,025 -- -- -- --
Vimpel Communications ADR
(Russia) (NON) 9,300 393,506 -- -- -- --
Vodafone Group Plc (United
Kingdom) 3,453,937 19,170,580 3,079,145 17,086,331 373,792 2,074,454
VoiceStream Wireless Corp.
(NON) 17,431 2,245,331 25,713 3,312,156 3,083 397,129
Western Wireless Corp.
(NON) 300 13,744 500 22,906 -- --
WinStar Communications.
Inc. 4,350 261,000 25,350 1,521,000 -- --
-------------- -------------- --------------
184,926,309 181,402,756 17,063,256
Conglomerates 2.0% 1.9% 0.6%
- ----------------------------------------------------------------------------------------------------------------------------
Aegis Group Plc (United
Kingdom) 590,925 1,825,633 457,763 1,414,236 56,217 173,680
Alfa S.A. de C.V. Class A,
(Mexico) 67,600 259,410 -- -- -- --
Autonation, Inc. (NON) 3,000 23,813 5,300 42,069 -- --
Canadian Pacific, Ltd.
(NON) 36,400 813,801 -- -- -- --
Citic Pacific, Ltd. (Hong
Kong) 119,000 721,351 -- -- -- --
Cookson Group Plc (United
Kingdom) 237,846 688,414 -- -- -- --
Corinthian Colleges, Inc.
(NON) 6,000 96,000 -- -- -- --
Dogan Sirketler Grubu
Holding A.S. (Turkey) 17,831,000 651,087 -- -- -- --
Ericiyas Biracilik Ve Malt
(Turkey) (NON) 13,830,500 658,332 -- -- -- --
GenCorp., Inc. (NON) 48,500 375,875 68,800 533,200 -- --
General Electric Co. 95,200 14,773,850 147,000 22,812,563 12,700 1,970,881
Gupo Carso S.A. de C.V.
(Mexico) (NON) 76,800 290,563 -- -- -- --
Honeywell International,
Inc. 32,865 1,731,575 38,245 2,015,033 4,700 247,631
Hutchison Whampoa, Ltd.
(Hong Kong) (NON) 61,354 1,107,075 52,000 938,291 6,000 108,264
Korn/Ferry International
(NON) 4,800 142,800 -- -- -- --
Mitsui Fudoscan Co., Ltd.
(Japan) (NON) 47,000 381,069 -- -- -- --
Norsk Hydro A.S. (Norway) 8,600 324,569 -- -- -- --
Peninsular and Oriental
Steam Navigation Co.
(United Kingdom) 20,500 212,690 -- -- -- --
Samsung Corp. (South Korea) 26,200 352,100 -- -- -- --
Smiths Industries Plc
(United Kingdom) 196,124 2,387,744 159,381 1,940,410 19,311 235,105
Sumitomo Corp. (Japan) 87,200 1,059,654 149,100 1,811,863 18,600 226,027
Teleflex, Inc. 9,300 330,150 13,200 468,600 -- --
Textron, Inc. 600 36,525 1,100 66,963 -- --
Tomkins Plc (United
Kingdom) 270,100 861,344 -- -- -- --
Tyco International, Ltd. 123,300 6,149,588 163,335 8,146,333 22,040 1,099,245
Vedior NV (Netherlands) 6,200 64,835 -- -- -- --
Vivendi (France) 37,003 4,258,213 43,475 5,002,994 5,289 608,645
-------------- -------------- --------------
40,578,060 45,192,555 4,669,478
Consumer Cyclicals 6.8% 5.6% 1.5%
- ----------------------------------------------------------------------------------------------------------------------------
99 Cents Only Stores (NON) 10,457 410,437 18,200 714,350 -- --
ABM Industries, Inc. 15,100 354,850 21,500 505,250 -- --
ADVO, Inc. (NON) 22,200 555,000 24,700 617,500 -- --
Aaron Rents, Inc. 18,000 271,125 28,500 429,281 -- --
Abercrombie & Fitch Co.
Class A (NON) 1,500 24,000 2,600 41,600 -- --
Amazon.com, Inc. (NON) 1,400 93,800 2,500 167,500 -- --
American Greetings Corp. 900 16,425 1,600 29,200 -- --
American Standard
Companies, Inc. (NON) 400 14,800 700 25,900 -- --
Apogee Enterprises, Inc. 58,600 232,569 84,700 336,153 -- --
Aristocrat Leisure, Ltd.
(Australia) 23,864 222,643 -- -- -- --
Asatsu, Inc. (Japan) 6,600 335,899 9,600 488,581 1,100 55,983
Assa Abloy AB Class B,
(Sweden) 4,000 79,051 -- -- -- --
AutoZone, Inc. (NON) 1,200 33,300 2,100 58,275 -- --
Autoliv, Inc. 1,200 36,000 2,100 63,000 -- --
Baker (J.), Inc. 27,900 195,300 40,400 282,800 -- --
Banta Corp. 15,300 281,138 21,700 398,738 -- --
Bassett Furniture
Industries, Inc. 8,800 123,200 12,100 169,400 -- --
Bayerische Motoren Werke
(BMW) AG (Germany) 90,583 2,850,398 123,713 3,892,908 15,122 475,848
Bed Bath & Beyond, Inc.
(NON) 1,100 43,313 1,900 74,813 -- --
Best Buy Co., Inc. (NON) 1,200 103,200 2,100 180,600 -- --
Black & Decker
Manufacturing Co. 600 22,538 1,100 41,319 -- --
Borg-Warner Automotive,
Inc. 13,400 527,625 19,000 748,125 -- --
Bowne & Co. 38,400 494,400 55,500 714,563 -- --
Brunswick Corp. 800 15,150 1,400 26,513 -- --
Buhrmann N.V. (Netherlands) 21,250 537,784 -- -- -- --
Bulgari SpA (Italy) 118,746 1,310,932 77,600 856,688 10,500 115,918
Buzzi Unicem SpA (Italy) 81,388 344,324 -- -- -- --
CDW Computer Centers, Inc.
(NON) 300 25,331 500 42,219 -- --
CIR-compagnie Riunite
(Spain) 286,526 1,168,410 -- -- -- --
CLARCOR, Inc. 27,300 484,575 39,000 692,250 -- --
CSK Auto Corp. (NON) 9,000 125,438 20,800 289,900 -- --
Carlisle Companies, Inc. 12,500 500,000 18,100 724,000 -- --
Carlton Communications Plc
(United Kingdom) 306,312 3,709,733 374,900 4,540,400 45,747 554,040
Cendant Corp. (NON) 4,900 90,650 8,600 159,100 -- --
Centex Corp. 900 21,431 1,600 38,100 -- --
Charles River Associates
Inc. (NON) 4,100 79,694 9,300 180,769 -- --
Cheil Communications, Inc.
(Korea) 7,400 917,466 -- -- -- --
Cintas Corp. 900 35,269 1,650 64,659 -- --
Circuit City Stores, Inc. 1,800 109,575 3,200 194,800 -- --
Claire's Stores, Inc. 43,600 874,725 64,700 1,298,044 -- --
Clayton Homes, Inc. 1,800 18,225 3,200 32,400 -- --
CoStar Group, Inc. (NON) 13,500 497,813 30,800 1,135,750 -- --
Coldwater Creek, Inc. (NON) 24,400 414,800 34,800 591,600 -- --
Cordiant Communications
Group (United Kingdom) 176,877 1,143,035 -- -- -- --
Corporacion Moctezuma, S.A.
de C.V. (Mexico) (NON) 94,800 153,713 -- -- -- --
Cost Plus, Inc. (NON) 15,825 535,083 25,775 871,517 -- --
Costco Wholesale Corp.
(NON) 2,800 147,175 4,900 257,556 -- --
Culp, Inc. 31,700 170,388 45,400 244,025 -- --
DaimlerChrysler AG
(Germany) 6,300 411,529 -- -- -- --
Dai Nippon Printing Co.,
Ltd. (Japan) (NON) 80,000 1,301,944 -- -- -- --
Dana Corp. 2,100 59,194 3,700 104,294 -- --
Danaher Corp. 700 35,700 1,200 61,200 -- --
Delphi Automotive Systems
Corp. 4,308 68,928 7,600 121,600 -- --
Deluxe Corp. 1,900 50,350 3,300 87,450 -- --
Dollar General Corp. 1,100 29,563 1,900 51,063 -- --
Donaldson Company, Inc. 4,100 92,506 5,800 130,863 -- --
DoubleClick, Inc. (NON) 600 56,175 1,100 102,988 -- --
Dover Downs Entertainment,
Inc. 23,100 294,525 32,500 414,375 -- --
Dun & Bradstreet Corp.
(The) 900 25,763 1,600 45,800 -- --
Dycom Industries, Inc.
(NON) 20,825 1,015,219 39,525 1,926,844 -- --
EMAP Plc (United Kingdom) 41,793 746,751 69,792 1,247,033 8,480 151,519
eBay, Inc. (NON) 200 35,200 400 70,400 -- --
Electrolux AB (Sweden) 6,300 119,045 -- -- -- --
Esprit Holdings, Ltd. 261,000 254,749 -- -- -- --
Expand (France) 4,232 403,550 -- -- -- --
Factory 2-U Stores, Inc.
(NON) 14,233 355,825 30,024 750,600 -- --
Falck A.S. (Denmark) 3,606 486,096 -- -- -- --
Family Dollar Stores, Inc. 1,000 20,813 1,800 37,463 -- --
Far Eastern Textile, Ltd.
(Taiwan) 173,000 358,756 -- -- -- --
Fastenal Co. 400 19,150 700 33,513 -- --
Fatbrain.com, Inc. (NON) 6,400 69,200 14,700 158,944 -- --
Federated Department
Stores, Inc. (NON) 54,400 2,271,200 73,175 3,055,056 9,850 411,238
Fitzgerald Gaming Corp.
(NON) 1,338 335 -- -- 630 158
Flooring America, Inc.
(NON) 63,000 267,750 89,900 382,075 -- --
Ford Motor Co. 47,800 2,195,813 69,940 3,212,869 7,735 355,327
Fossil, Inc. (NON) 2,700 63,281 -- -- -- --
Freepages Group Plc (United
Kingdom) (NON) 142,456 524,049 -- -- -- --
Fuji Heavy Industries
(Japan) 183,000 1,489,098 -- -- -- --
G & K Services, Inc. Class
A 27,200 531,675 39,200 766,238 -- --
Galileo International, Inc. 800 19,250 1,400 33,688 -- --
Gannett Co., Inc. 2,500 175,938 4,400 309,650 -- --
Gap, Inc. (The) 5,300 264,006 9,300 463,256 -- --
General Motors Corp. 5,600 463,750 9,900 819,844 -- --
Genesco, Inc. (NON) 12,900 169,313 -- -- -- --
Gentex Corp. (NON) 600 22,238 1,100 40,769 -- --
Genuine Parts Co. 1,300 31,038 2,300 54,913 -- --
GfK AG (Germany) (NON) 15,349 850,181 -- -- -- --
Goodyear Tire & Rubber Co.
(The) 600 13,988 1,100 25,644 -- --
Granada Group Plc (United
Kingdom) 367,331 3,933,954 522,892 5,599,945 76,841 822,933
Grupo Elektra S.A. GDR 32,000 408,000 -- -- -- --
Gucci Group N.V.
(Netherlands) 23,441 2,084,784 40,495 3,601,524 4,952 440,419
Guess?, Inc. (NON) 11,000 352,000 -- -- -- --
H&R Block, Inc. 700 31,325 1,200 53,700 -- --
Harcourt General, Inc. 700 26,075 1,200 44,700 -- --
Harley-Davidson, Inc. 1,200 95,250 2,100 166,688 -- --
Harrah's Entertainment,
Inc. (NON) 1,100 20,419 1,900 35,269 -- --
Harte-Hanks, Inc. 13,600 308,550 19,200 435,600 -- --
Hasbro, Inc. 82,257 1,357,241 110,162 1,817,673 14,802 244,233
Havas Advertising S.A.
(France) 9,374 5,057,976 5,772 3,114,427 1,229 663,138
Haverty Furniture
Companies, Inc. 13,300 141,313 -- -- -- --
Heilig-Meyers Co. 56,800 223,650 82,200 323,663 -- --
Hilton Hotels Corp. 2,200 17,050 3,900 30,225 -- --
Home Depot, Inc. (The) 83,400 5,379,300 127,500 8,223,750 11,900 767,550
Honda Motor Co., Ltd.
(Japan) (NON) 75,000 3,106,379 -- -- -- --
Hurriyet Gazetecilik Ve
Matbaacilik A.S. (Turkey) 25,879,800 582,373 -- -- -- --
Hyundai Motor Co, Ltd.
(South Korea) 53,000 642,715 -- -- -- --
Independent News & Media
Plc 88,221 863,573 -- -- -- --
Information Holdings, Inc.
(NON) 9,800 306,863 22,500 704,531 -- --
Interep National Radio
Sales, Inc. (NON) 5,839 39,048 13,300 88,944 -- --
International Game
Technology (NON) 900 19,519 1,600 34,700 -- --
Intimate Brands, Inc. 31,000 1,271,000 45,500 1,865,500 5,600 229,600
Investor AB (Sweden) 263,971 4,118,541 316,605 4,939,749 38,672 603,370
J. Jill Group, Inc. (NON) 75,000 295,313 -- -- -- --
Jones Apparel Group, Inc.
(NON) 1,500 47,813 2,600 82,875 -- --
Jupiter Communications,
Inc. (NON) 5,300 121,900 12,300 282,900 -- --
K mart Corp. (NON) 3,200 31,000 5,600 54,250 -- --
Kadokawa Shoten Publishing
Co., Ltd. (Japan) 2,600 618,443 1,800 428,153 200 47,573
Kenneth Cole Productions,
Inc. Class A (NON) 3,750 147,188 -- -- -- --
Keynote Systems, Inc. (NON) 2,600 265,850 6,500 664,625 -- --
Kingfisher Leisure Plc
(United Kingdom) 7,900 64,791 -- -- -- --
Knight-Ridder, Inc. 400 20,375 700 35,656 -- --
Kohls Corp. (NON) 16,000 1,640,000 24,600 2,521,500 2,700 276,750
Kojima Co, Ltd. (Japan) 10,100 291,545 7,400 213,608 1,700 49,072
L90, Inc. (NON) 9,800 186,200 22,300 423,700 -- --
Lamar Advertising Co. (NON) 300 13,650 500 22,750 -- --
Lands' End, Inc. (NON) 13,500 830,250 19,500 1,199,250 -- --
Lear Corp. (NON) 1,400 39,375 2,500 70,313 -- --
Lee Enterprises, Inc. 10,200 266,475 14,700 384,038 -- --
Leggett & Platt, Inc. 1,600 34,400 2,800 60,200 -- --
Lennar Corp. 18,400 399,050 26,600 576,888 -- --
Li & Fung, Ltd. (Hong Kong) 255,000 1,182,238 66,000 305,991 8,000 37,090
Limited, Inc. (The) 1,400 58,975 2,500 105,313 -- --
Linens 'N Things, Inc.
(NON) 9,000 308,250 22,300 763,775 -- --
Liz Claiborne, Inc. 500 22,906 900 41,231 -- --
Lowe's Cos., Inc. 3,100 180,963 5,500 321,063 -- --
Macrovision Corp. (NON) 16,800 1,446,900 29,000 2,497,625 -- --
Mahindra & Mahindra, Ltd.
(India) (NON) 27,600 204,069 -- -- -- --
Manpower, Inc. 600 21,300 1,100 39,050 -- --
Marks & Spencer Plc (United
Kingdom) (NON) 18,000 71,806 -- -- -- --
Marriott International,
Inc. Class A 35,300 1,111,950 46,500 1,464,750 6,100 192,150
Marui Co., Ltd. (Japan)
(NON) 40,000 725,603 -- -- -- --
Masco Corp. 2,100 43,050 3,700 75,850 -- --
Matalan Plc 99,699 911,344 -- -- -- --
Mattel, Inc. 3,300 34,444 5,800 60,538 -- --
May Department Stores Co. 1,600 45,600 2,800 79,800 -- --
Maytag Corp. 700 23,188 1,200 39,750 -- --
McClatchy Co. (The) 11,400 373,350 16,300 533,825 -- --
McGraw-Hill, Inc. 28,500 1,296,750 39,100 1,779,050 5,100 232,050
Media General, Inc. Class A 3,000 157,125 5,000 261,875 -- --
Meredith Corp. 500 13,844 900 24,919 -- --
Meritor Automotive, Inc. 1,200 18,975 2,100 33,206 -- --
Michelin Corp. Class B,
(France) 5,000 160,154 -- -- -- --
Midas, Inc. 13,100 314,400 18,500 444,000 -- --
Mirage Resorts, Inc. 1,500 29,063 2,600 50,375 -- --
Modis Professional
Services, Inc. (NON) 900 11,138 1,600 19,800 -- --
NVR, Inc. (NON) 1,500 81,000 -- -- -- --
National Service
Industries, Inc. 700 14,744 1,200 25,275 -- --
Next Plc (United Kingdom) 7,900 58,752 -- -- -- --
New Dixons Group Plc
(United Kingdom) 49,200 227,414 -- -- -- --
New York Times Co. (The)
Class A 700 30,056 1,200 51,525 -- --
Newell Rubbermaid, Inc. 1,800 44,663 3,200 79,400 -- --
Nike, Inc. 600 23,775 1,100 43,588 -- --
Nintendo Co., Ltd. (Japan) 6,100 1,075,559 10,500 1,851,372 1,300 229,218
NorCom Information
Technology AG (Germany)
(NON) 3,931 420,460 -- -- -- --
Office Depot, Inc. (NON) 2,800 32,375 4,900 56,656 -- --
Orbis S.A. (Poland) (NON) 37,500 352,556 -- -- -- --
OshKosh B' Gosh, Inc. Class A 12,300 221,400 17,400 313,200 -- --
PRIMEDIA, Inc. (NON) 1,000 32,000 1,800 57,600 -- --
PT Astra International,
Inc. (Indonesia) (NON) 479,500 230,071 -- -- -- --
Penney (J.C.) Co., Inc. 1,600 23,800 2,800 41,650 -- --
Petco Animal Supplies, Inc.
(NON) 39,800 472,625 56,900 675,688 -- --
Pier 1 Imports, Inc. 150,700 1,544,675 187,200 1,918,800 -- --
President Chain Store Corp.
(Taiwan) 78,000 364,582 -- -- -- --
ProBusiness Services, Inc.
(NON) 11,850 305,878 27,150 700,809 -- --
Publicis S.A. (France) 6,151 3,289,555 3,727 1,993,200 454 242,799
Publicitas Holding S.A.
(Switzerland) 620 682,268 -- -- -- --
Quanta Services, Inc. (NON) 5,300 321,644 -- -- -- --
R. R. Donnelley & Sons Co. 800 16,750 1,400 29,313 -- --
Racing Champions Corp.
(NON) 40,800 155,550 58,200 221,888 -- --
Reader's Digest
Association, Inc. (The)
Class A 800 28,300 1,400 49,525 -- --
Regis Corp. 22,300 330,319 31,500 466,594 -- --
RemedyTemp, Inc. (NON) 18,800 415,950 26,800 592,950 -- --
Resorts World Berhad
(Malaysia) 92,000 305,061 -- -- -- --
Robert Half International,
Inc. (NON) 600 28,463 1,100 52,181 -- --
Ross Stores, Inc. 1,300 31,281 2,300 55,344 -- --
SCP Pool Corp. (NON) 3,600 110,250 -- -- -- --
Saatchi & Saatchi Plc
(United Kingdom) 144,693 880,218 -- -- -- --
Saks, Inc. (NON) 1,200 17,400 2,100 30,450 -- --
Salton, Inc. (NON) 3,800 164,825 -- -- -- --
Sears, Roebuck & Co. 2,100 64,838 3,700 114,238 -- --
Securicor Group Plc (United
Kingdom) 251,855 509,370 -- -- -- --
Securitas AB Class B,
(Sweden) 61,800 1,492,754 -- -- -- --
Semcon AB (Sweden) 27,962 471,818 -- -- -- --
Shaw Industries, Inc. 1,400 21,263 2,500 37,969 -- --
Sherwin Williams Co. 1,100 24,131 1,900 41,681 -- --
Shimamura Co., Ltd. (Japan) 400 43,763 -- -- -- --
Siam Cement Public Company,
Ltd. (The) (Thailand)
(NON) 7,900 192,021 -- -- -- --
Siam City Cement Co., Ltd.
(Thailand) (NON) 34,000 114,082 -- -- -- --
Singapore Press Holdings,
Ltd. (Singapore) 5,000 79,778 5,000 79,778 1,000 15,956
SkillSoft Corp. (NON) 13,700 398,156 31,300 909,656 -- --
Sony Corp. (Japan) 77,600 10,991,501 85,000 12,039,660 10,400 1,473,088
Southdown, Inc. 300 17,700 500 29,500 -- --
Staples, Inc. (NON) 47,900 958,000 66,300 1,326,000 8,100 162,000
Starwood Hotels & Resorts
Worldwide, Inc. 28,752 754,740 29,200 766,500 4,500 118,125
Station Casinos, Inc. (NON) 27,700 604,206 25,700 560,581 -- --
Swatch Group AG (The)
(Switzerland) 2,609 615,108 1,760 414,945 214 50,454
TJX Cos., Inc. (The) 3,500 77,656 6,200 137,563 -- --
TRW, Inc. 1,000 58,500 1,800 105,300 -- --
Talbots, Inc. (The) 1,700 100,088 -- -- -- --
Tandy Corp. 39,300 1,994,475 58,000 2,943,500 6,800 345,100
Tanjong Plc (Malaysia) 113,000 309,271 -- -- -- --
Target Corp. (NON) 3,600 269,100 6,300 470,925 -- --
Taylor Nelson Sofres Plc
(United Kingdom) 102,173 447,454 -- -- -- --
Ted Baker Plc (United
Kingdom) 17,851 129,915 -- -- -- --
TeleTech Holdings, Inc.
(NON) 5,000 172,500 -- -- -- --
Television Francaise I
(TF1) (France) 8,503 6,252,681 4,581 3,368,638 864 635,342
The Men's Wearhouse, Inc.
(NON) 3,700 109,613 -- -- -- --
Tiffany & Co. 400 33,450 700 58,538 -- --
Topps Co., Inc. (The) (NON) 7,800 64,838 -- -- -- --
Tower Automotive, Inc.
(NON) 23,800 389,725 33,900 555,113 -- --
Toyota Motor Corp. (Japan)
(NON) 16,000 839,308 -- -- -- --
Toys R Us (NON) 1,600 23,700 2,800 41,475 -- --
Trendwest Resorts, Inc.
(NON) 3,900 92,138 -- -- -- --
Tribune Co. 20,300 742,219 27,100 990,844 3,400 124,313
Trinity Plc (United
Kingdom) 74,899 719,990 -- -- -- --
True North Communications,
Inc. 11,700 459,956 17,100 672,244 -- --
Tuboscope, Inc. (NON) 31,100 528,700 44,400 754,800 -- --
Tuesday Morning Corp. (NON) 4,600 66,125 10,500 150,938 -- --
Tweeter Home Entertainment
Group, Inc. (NON) 12,584 556,842 25,528 1,129,614 -- --
USG Corp. 600 25,163 1,100 46,131 -- --
V. F. Corp. 600 14,438 1,100 26,469 -- --
Valeo S.A. (France) 30,444 1,495,858 -- -- -- --
Value City Department
Stores, Inc. (NON) 5,100 70,763 -- -- -- --
Vendex International N.V.
(Netherlands) 6,400 105,126 -- -- -- --
Volkswagen AG (Germany) 6,300 274,954 -- -- -- --
Volvo AB Class B (Sweden) 3,200 86,171 -- -- -- --
WPP Group Plc (United
Kingdom) 210,783 3,699,105 200,247 3,514,205 24,315 426,712
Wal-Mart Stores, Inc. 92,800 5,150,400 141,900 7,875,450 12,900 715,950
Westpoint Stevens, Inc. 1,100 20,900 1,900 36,100 -- --
Whirlpool Corp. 7,440 436,170 7,815 458,154 1,200 70,350
Will-Bes & Co. (The)
(Korea) 10,000 163,801 -- -- -- --
Windmere-Durable Holdings,
Inc. (NON) 28,100 414,475 40,000 590,000 -- --
Winnebago Industries, Inc. 4,900 88,506 -- -- -- --
Wolters Kluwer N.V.
(Netherlands) 25,074 574,696 23,190 531,515 2,810 64,405
Wolverine World Wide, Inc. 45,700 502,700 54,800 602,800 -- --
Wynn's International, Inc. 30,800 425,425 43,900 606,369 -- --
Zapf Creaton AG (Germany)
(NON) 12,222 811,205 -- -- -- --
-------------- -------------- --------------
139,368,613 135,065,859 11,399,771
Consumer Staples 6.1% 5.3% 1.4%
- ----------------------------------------------------------------------------------------------------------------------------
AOI Advertising Promotions,
Inc. (Japan) 4,960 92,058 -- -- -- --
AMFM, Inc. (NON) 6,700 416,238 5,100 316,838 3,500 217,438
AT&T Corp.-Liberty Media,
Class A (NON) 82,900 4,911,825 123,800 7,335,150 13,400 793,950
Ackerly Group, Inc. 11,900 179,988 29,600 447,700 -- --
Acme Communications, Inc.
(NON) 15,500 354,563 29,100 665,663 -- --
Agora S.A. GDR (Poland)
(NON) 22,300 629,975 -- -- -- --
AL Ahram Beverages Co. GDR 26,800 486,420 -- -- -- --
Albertsons, Inc. 32,375 1,003,625 44,560 1,381,360 5,355 166,005
AmeriKing, Inc. (NON) 150 1,500 -- -- -- --
American Italian Pasta Co.
Class A (NON) 8,700 214,238 12,500 307,813 -- --
Anheuser-Busch Cos., Inc. 21,180 1,318,455 29,285 1,822,991 3,425 213,206
Applebee's International,
Inc. 4,700 132,188 -- -- -- --
AptarGroup, Inc. 27,900 744,581 39,400 1,051,488 -- --
Archer Daniels Midland Co. 66,300 687,863 88,700 920,263 11,800 122,425
Avon Products, Inc. 1,800 52,313 3,200 93,000 -- --
BAT Industries Plc (United
Kingdom) 102,800 565,205 -- -- -- --
Bass Plc (United Kingdom) 152,300 1,913,623 -- -- -- --
Be Free, Inc. (NON) 6,000 132,000 13,800 303,600 -- --
Bec World Public Co., Ltd.
(Thailand) (NON) 31,700 231,155 -- -- -- --
Bestfoods 1,500 70,219 2,600 121,713 -- --
Black Box Corp. (NON) 8,400 581,569 14,750 1,021,207 -- --
Blyth Industries, Inc.
(NON) 900 24,581 1,600 43,700 -- --
Brown-Forman Corp. Class B 12,400 675,025 16,300 887,331 2,400 130,650
C TWO-NETWORK Co., Ltd.
(Japan) 2,200 386,832 -- -- -- --
CBRL Group, Inc. 41,200 412,000 70,000 700,000 -- --
CBS Corp. (NON) 24,900 1,409,963 38,406 2,174,740 3,400 192,525
CVS Corp. 28,900 1,085,556 36,250 1,361,641 4,900 184,056
Cablevision Systems Corp.
Class A (NON) 1,200 72,900 3,200 194,400 800 48,600
Campbell Soup Co. 900 27,675 1,600 49,200 -- --
Canandaigua Brands, Inc.
Class A (NON) 2,100 107,100 -- -- -- --
Capital Radio Plc (United
Kingdom) 42,906 1,158,156 -- -- -- --
Career Education Corp.
(NON) 7,700 269,500 8,600 301,000 -- --
Carrefour Supermarche S.A.
(France) 3,200 409,198 -- -- -- --
Chattem, Inc. (NON) 15,200 214,700 22,100 312,163 -- --
CheckFree Holdings Corp.
(NON) 12,400 874,200 18,800 1,325,400 2,300 162,150
Cia Cervejaria Brahma ADR
(Brazil) 11,400 185,250 -- -- -- --
Citadel Communications
Corp. (NON) 13,400 565,313 30,800 1,299,375 -- --
Classic Communications,
Inc. (NON) 3,600 56,700 8,800 138,600 -- --
Clear Channel
Communications, Inc. (NON) 35,200 2,431,000 51,900 3,584,344 6,000 414,375
Clorox Co. 1,200 39,000 2,100 68,250 -- --
Coca-Cola Co. 17,300 812,019 30,400 1,426,900 -- --
Coca-Cola Enterprises, Inc. 1,500 32,344 2,600 56,063 -- --
Coca-Cola Femsa S.A. ADR
(Mexico) 20,800 386,100 -- -- -- --
Colgate-Palmolive Co. 33,600 1,894,200 50,600 2,852,575 5,200 293,150
Comcast Corp. Class A 46,200 2,003,925 69,300 3,005,888 7,200 312,300
Companhia Brasileira de
Distribuicao Grupo Pao de
Acucar ADR (Brazil) 4,200 150,150 -- -- -- --
ConAgra, Inc. 2,100 38,063 3,700 67,063 -- --
Concord EFS, Inc. (NON) 1,800 41,288 3,200 73,400 -- --
Controladora (Mexico) 108,900 148,559 -- -- -- --
Cox Communications, Inc.
(NON) 1,100 53,350 1,900 92,150 -- --
Danisco A.S. (Denmark) 6,300 201,394 -- -- -- --
Delhaize America, Inc. 1,300 25,838 2,300 45,713 -- --
Diageo Plc (United Kingdom) 494,472 3,708,874 263,968 1,979,938 32,058 240,457
DigitalThink, Inc. (NON) 2,100 82,720 4,900 193,014 -- --
Disney (Walt) Productions,
Inc. 52,700 2,180,463 83,100 3,438,263 7,200 297,900
Dreyer's Grand Ice Cream,
Inc. 2,500 64,375 -- -- -- --
EMI Group Plc (United
Kingdom) 198,669 2,202,007 261,358 2,896,840 31,738 351,778
Earthgrains Co. (The) 25,600 380,800 36,300 539,963 -- --
Echostar Communications
Corp. Class A (NON) 14,700 1,161,300 21,600 1,706,400 2,700 213,300
Elior (France) (NON) 29,856 313,637 -- -- -- --
Elior 144A (France) (NON) 5,300 55,677 -- -- -- --
Endemol Entertainment
Holdings N.V.
(Netherlands) 10,667 1,415,991 -- -- -- --
Estee Lauder Cos. Class A 20,800 1,041,300 31,600 1,581,975 3,700 185,231
Fomento Economico Mexicano,
S.A. de C.V. (Mexico) 298,805 1,346,900 -- -- -- --
Fortune Brands, Inc. 50,800 1,270,000 67,000 1,675,000 9,100 227,500
Fox Entertainment Group,
Inc. (NON) 1,200 35,925 2,100 62,869 -- --
Fuji Television Network,
Inc. (Japan) 81 1,408,420 44 765,068 6 104,327
Fyffes Plc (Ireland) 157,886 331,718 -- -- -- --
GWR Group Plc (United
Kingdom) 300 4,481 -- -- -- --
General Mills, Inc. 30,400 1,100,100 42,460 1,536,521 4,935 178,585
Gillette Co. 6,800 256,275 12,000 452,250 -- --
Groupe Danone (France) 4,897 1,080,303 4,123 909,554 505 111,406
Grupo Modelo S.A. de C.V.
(Mexico) 107,300 230,583 -- -- -- --
Grupo Sanborns S.A. de C.V.
(Mexico) (NON) 194,900 431,894 -- -- -- --
Grupo Televisa S.A. GDR
(Mexico) (NON) 24,437 1,661,716 21,175 1,439,900 -- --
Hain Food Group, Inc.(The)
(NON) 17,900 506,794 34,800 985,275 -- --
Heineken NV (Netherlands) 3,200 170,678 -- -- -- --
Heinz (H.J.) Co. 28,200 983,475 38,900 1,356,638 4,800 167,400
Hindustan Lever, Ltd.
(India) (NON) 14,600 818,002 -- -- -- --
Hispanic Broadcasting Corp.
(NON) 200 22,650 400 45,300 -- --
Hit Entertainment Plc
(United Kingdom) 92,180 601,866 -- -- -- --
Hotel Reservations Network,
Inc. Class A (NON) 9,400 166,850 21,500 381,625 -- --
IBP, Inc. 1,100 17,325 1,900 29,925 -- --
ITC, Ltd. (NON) 12,700 214,340 -- -- -- --
Iceland Group Plc (United
Kingdom) 174,842 782,405 -- -- -- --
Infinity Broadcating Corp.
Class A (NON) 2,800 90,650 4,900 158,638 -- --
International Flavors &
Fragrances, Inc. 1,000 35,063 1,800 63,113 -- --
International Multifoods
Corp. 60,300 806,513 85,500 1,143,563 -- --
Interpublic Group Cos.,
Inc. 2,700 127,575 4,800 226,800 -- --
Ipsos (France) (NON) 3,180 479,830 -- -- -- --
Itoen, Ltd. (Japan) 11,700 1,417,212 -- -- -- --
Jack in the Box, Inc. (NON) 5,800 123,613 -- -- -- --
Johnnies Industrial Corp. 60,800 932,086 -- -- -- --
KAO Corp. (Japan) (NON) 16,000 490,769 -- -- -- --
Kellogg Co. 1,200 30,750 2,100 53,813 -- --
Kimberly-Clark Corp. 32,600 1,825,600 50,500 2,828,000 5,200 291,200
Kirin Brewery Co., Ltd.
(NON) 42,000 515,307 -- -- -- --
Koninklijke Ahold N.V.
(Netherlands) 9,500 246,681 -- -- -- --
Kroger Co. (NON) 5,900 103,619 10,400 182,650 -- --
L'OREAL (France) (NON) 800 515,700 -- -- -- --
Lancaster Colony Corp. 15,700 479,831 22,600 690,713 -- --
La Rinascente SpA (Italy) 3,200 15,280 -- -- -- --
Learning Tree
International, Inc. (NON) 18,500 656,750 28,800 1,022,400 -- --
Loislaw.com, Inc. (NON) 9,300 178,444 21,400 410,613 -- --
Luby's, Inc. 28,200 266,138 40,700 384,106 -- --
McCormick & Company, Inc. 900 29,025 1,600 51,600 -- --
McDonald's Corp. 9,500 356,844 16,700 627,294 -- --
MediaOne Group, Inc. (NON) 11,360 920,160 14,900 1,206,900 1,142 92,502
Mediaset SpA (Italy) 272,534 5,403,205 246,470 4,886,465 40,648 805,879
Michael Foods Inc. 13,400 281,400 19,200 403,200 -- --
Multex.com, Inc. (NON) 4,000 148,500 9,200 341,550 -- --
NRJ S.A. (France) 1,117 826,720 -- -- -- --
Nabisco Group Holdings
Corp. 39,900 478,800 41,200 494,400 5,900 70,800
Nabisco Holdings Corp.
Class A 1,100 35,406 1,900 61,156 -- --
Nestle S.A. (Switzerland) 470 841,302 -- -- -- --
News Corp., Ltd. ADR
(Australia) 81,381 4,577,681 129,694 7,295,288 20,909 1,176,131
Nippon Broadcasting Systems
(Japan) (NON) 6,000 952,308 -- -- -- --
Nippon Television Network
Corp. (Japan) 4,160 2,962,430 4,980 3,546,371 600 427,274
Omnicom Group, Inc. 20,400 1,906,125 29,200 2,728,375 3,500 327,031
Oneida, Ltd. 13,600 263,500 19,700 381,688 -- --
Organizacion Soriana S.A.
(Mexico) (NON) 54,400 251,977 -- -- -- --
Outback Steakhouse, Inc.
(NON) 1,200 38,475 2,100 67,331 -- --
P.F. Chang's China Bistro,
Inc. (NON) 6,980 231,213 10,080 333,900 -- --
PT Gudang Garam (Indonesia) 116,000 221,866 -- -- -- --
Papa Johns International,
Inc. (NON) 17,700 584,100 26,000 858,000 -- --
Pegasus Communications
Corp. (NON) 12,100 1,703,075 22,300 3,138,725 -- --
Penton Media, Inc. 16,700 434,200 23,700 616,200 -- --
PepsiCo, Inc. 10,900 376,731 19,200 663,600 -- --
Performance Food Group Co.
(NON) 18,400 402,500 26,800 586,250 -- --
Philip Morris Cos., Inc. 68,703 1,451,351 99,225 2,096,128 9,271 195,850
Premier Parks, Inc. (NON) 600 12,600 1,100 23,100 -- --
PrimaCom AG (Germany) (NON) 5,784 441,898 -- -- -- --
Procter & Gamble Co. 9,200 517,500 16,200 911,250 -- --
Promodes (France) 160 125,296 -- -- -- --
ProSieben Media AG
(Germany) 14,800 1,689,013 -- -- -- --
ProsoftTraining.com (NON) 22,400 505,400 42,500 958,906 -- --
R.J. Reynolds Tobacco
Holdings, Inc. 2,100 35,700 3,700 62,900 -- --
RARE Hospitality
International, Inc. (NON) 6,700 130,231 -- -- -- --
Radio One, Inc. (NON) 9,600 639,600 22,100 1,472,413 -- --
Ralston-Ralston Purina
Group 1,000 27,375 1,800 49,275 -- --
Regent Communications, Inc.
(NON) 18,700 231,413 43,300 535,838 -- --
Robert Mandavi Corp. (The)
(NON) 10,900 380,138 15,500 540,563 -- --
Romac International, Inc.
(NON) 23,500 212,969 54,100 490,281 -- --
Ruby Tuesday, Inc. 8,600 150,500 -- -- -- --
Ruddick Corp. 23,800 260,313 34,400 376,250 -- --
SAGA Communications, Inc.
Class A (NON) 16,862 322,486 27,720 530,145 -- --
SUPERVALU, Inc. 1,300 24,619 2,300 43,556 -- --
SYSCO Corp. 48,200 1,720,138 65,700 2,344,669 8,470 302,273
Safeway, Inc. (NON) 4,200 190,050 7,400 334,850 -- --
Salem Communications Corp.
Class A (NON) 14,800 176,675 36,900 440,494 -- --
Sara Lee Corp. 3,500 63,000 6,200 111,600 -- --
Seven-Eleven Japan Co.,
Ltd. (Japan) (NON) 19,000 2,190,095 -- -- -- --
Shiseido Co., Ltd. (Japan)
(NON) 214,000 2,916,186 176,000 2,398,359 30,000 408,811
Smithfield Foods, Inc.
(NON) 18,800 376,000 26,800 536,000 -- --
South African Breweries,
Ltd. (South Africa) 60,400 462,977 -- -- -- --
Spanish Broadcasting
Systems (NON) 6,614 119,052 -- -- 1,600 28,800
Starbucks Corp. (NON) 1,300 58,256 2,300 103,069 -- --
Sundrug Co., Ltd. (Japan) 14,300 1,015,542 -- -- -- --
TMP Worldwide, Inc. (NON) 400 31,100 800 62,200 -- --
TPI Paginas Amarillas 144A
(Spain) (NON) 26,795 1,164,054 17,400 755,907 2,138 92,881
TV Azteca, S.A. de C.V.
(Mexico) 73,428 1,083,063 -- -- -- --
TV Azteca, S.A. de C.V.
Class A, (Mexico) 577,300 525,442 -- -- -- --
Tesco Plc (United Kingdom)
(NON) 857,943 2,852,097 758,646 2,522,000 92,405 307,186
The Quaker Oats Co. 1,400 84,875 2,500 151,563 -- --
Time Warner, Inc. 36,800 3,680,000 56,600 5,660,000 5,000 500,000
Tricon Global Restaurants,
Inc. (NON) 1,000 31,063 1,800 55,913 -- --
Tsuruha Co., Ltd. (Japan) 7,200 541,565 -- -- -- --
UST, Inc. 3,300 51,563 5,800 90,625 -- --
UnitedGlobalCom, Inc. 600 45,038 1,100 82,569 -- --
United Natural Foods, Inc. 54,200 813,000 76,400 1,146,000 -- --
Universal Foods Corp. 25,900 553,613 37,500 801,563 -- --
Univision Communications,
Inc. Class A (NON) 17,000 1,921,000 25,800 2,915,400 3,100 350,300
ValueClick, Inc. (NON) 2,300 48,156 5,400 113,063 -- --
VerticalNet, Inc. (NON) 1,300 176,800 -- -- -- --
Viacom, Inc. Class B (NON) 63,100 3,328,525 82,220 4,337,105 10,580 558,095
Walgreen Co. 6,500 167,375 11,400 293,550 -- --
Wendy's International, Inc. 1,200 24,225 2,100 42,394 -- --
Worldgate Communications,
Inc. (NON) 4,600 138,288 10,800 324,675 -- --
Yoshimoto Kogyo Co., Ltd.
(Japan) 11,000 167,627 -- -- -- --
Young & Rubicam, Inc. 600 28,200 1,100 51,700 -- --
Zee Telefilms, Ltd. (India) 27,000 633,617 -- -- -- --
-------------- -------------- --------------
125,062,937 127,043,575 11,263,727
Energy 3.4% 3.3% 1.1%
- ----------------------------------------------------------------------------------------------------------------------------
Anadarko Petroleum Corp. 1,200 46,425 2,100 81,244 -- --
Apache Corp. 1,100 54,725 1,900 94,525 -- --
Atlantic Richfield Co. 2,300 195,500 4,000 340,000 -- --
Atwood Oceanics, Inc. (NON) 2,100 139,256 -- -- -- --
BJ Services Co. (NON) 400 29,550 700 51,713 -- --
BP Amoco Plc ADR (United
Kingdom) 41,726 2,214,086 56,130 2,978,398 7,760 411,765
Baker Hughes, Inc. 3,200 96,800 5,600 169,400 -- --
Basin Exploration, Inc.
(NON) 28,100 419,744 41,200 615,425 -- --
British Petroleum Co. Plc
(United Kingdom) 688,264 6,285,907 459,486 4,196,480 55,358 505,584
Burlington Resources, Inc. 12,600 466,200 18,100 669,700 1,930 71,410
Burmah Castrol Plc (United
Kingdom) (NON) 14,500 356,644 -- -- -- --
CONSOL Energy, Inc. 11,600 122,525 -- -- -- --
Chevron, Inc. 42,000 3,882,375 57,965 5,358,140 6,700 619,331
Conoco, Inc. 53,700 1,322,363 61,220 1,507,543 10,345 254,746
Conoco, Inc. Class B 63,000 1,614,375 87,146 2,233,116 10,100 258,813
Cooper Cameron Corp. (NON) 600 40,125 1,000 66,875 -- --
Devon Energy Corp. 9,700 471,056 13,800 670,163 -- --
Diamond Offshore Drilling,
Inc. 1,500 59,906 2,600 103,838 -- --
ENSCO International, Inc. 600 21,675 1,100 39,738 -- --
Ente Nazionale Idrocarburi
(ENI) SpA (Italy) 451,200 2,253,586 -- -- -- --
Exxon Mobil Corp. 121,600 9,462,000 174,001 13,539,453 17,365 1,351,214
Global Marine, Inc. (NON) 1,000 25,375 1,800 45,675 -- --
GulfMark Offshore, Inc.
(NON) 15,700 324,794 22,700 469,606 -- --
Halliburton Co. 3,700 151,700 6,500 266,500 -- --
Helmerich & Payne, Inc. 17,500 542,500 25,200 781,200 -- --
Hindustan Petroleum Corp.,
Ltd. (India) (NON) 44,000 133,111 -- -- -- --
Mitchell Energy &
Development Corp. Class B 12,500 275,000 18,100 398,200 -- --
Nabors Industries, Inc.
(NON) 600 23,288 1,100 42,694 -- --
National-Oilwell, Inc.
(NON) 26,000 802,750 37,600 1,160,900 -- --
Newfield Exploration Co.
(NON) 14,400 507,600 20,600 726,150 -- --
Newpark Resources, Inc.
(NON) 53,900 431,200 78,900 631,200 -- --
Noble Drilling Corp. (NON) 800 33,150 1,400 58,013 -- --
Occidental Petroleum Corp. 3,700 76,775 6,500 134,875 -- --
PetroChina Co., Ltd. (Hong
Kong) (NON) 3,012,000 495,134 -- -- -- --
Petroleo Brasileiro
S/A-Petrobras ADR (Brazil) 38,400 1,046,400 -- -- -- --
Pogo Producing Co. 3,200 91,400 -- -- -- --
Pride International, Inc.
(NON) 24,800 565,750 35,200 803,000 -- --
R&B Falcon Corp. (NON) 1,200 23,625 2,100 41,344 -- --
Range Resources Corp. 69,700 152,469 100,800 220,500 -- --
Repsol Ord. (Spain) (NON) 11,000 240,670 -- -- -- --
Royal Dutch Petroleum Co.
(Netherlands) (NON) 7,900 460,290 -- -- -- --
Royal Dutch Petroleum Co.
Plc ADR (Netherlands) 53,700 3,091,106 81,000 4,662,563 17,240 992,378
Sasol, Ltd. (South Africa) 96,600 604,213 -- -- -- --
Schlumberger, Ltd. 42,650 3,262,725 43,375 3,318,188 7,410 566,865
Shell Transportation &
Trading (United Kingdom)
(NON) 901,604 7,466,183 1,401,642 11,606,997 171,343 1,418,891
Siam Commercial Bank Public
Co., Ltd. GDR 54,900 612,135 -- -- -- --
Smith International, Inc.
(NON) 500 38,750 900 69,750 -- --
St. Mary Land & Exploration
Co. 13,100 391,363 18,500 552,688 -- --
Suncor Energy, Inc.
(Canada) (NON) 9,000 390,319 15,500 672,216 -- --
Surgutneftegaz ADR (Russia)
(NON) 62,800 902,750 -- -- -- --
Tatneft ADR (Russia) 40,500 531,563 -- -- -- --
Texaco, Inc. 2,600 139,425 4,600 246,675 -- --
Tidewater, Inc. 22,100 703,056 31,800 1,011,638 -- --
Tosco Corp. 34,920 1,062,878 61,990 1,886,821 9,825 299,048
Total S.A. ADR (France)
(NON) 3,200 235,600 -- -- -- --
Total S.A. Class B,
(France) 81,293 12,149,849 99,212 14,827,977 12,025 1,797,226
USX-Marathon Group, Inc. 1,100 28,669 1,900 49,519 -- --
Ultramar Diamond Shamrock
Corp. 1,200 30,450 2,100 53,288 -- --
Union Pacific Resources
Group, Inc. 75,500 1,094,750 102,600 1,487,700 13,300 192,850
Unocal Corp. 2,200 65,450 3,900 116,025 -- --
Vintage Petroleum, Inc. 24,300 489,038 25,900 521,238 -- --
Weatherford International,
Inc. 11,200 660,100 15,300 901,744 1,900 111,981
-------------- -------------- --------------
69,908,176 80,480,635 8,852,102
Financial 9.7% 7.3% 2.4%
- ----------------------------------------------------------------------------------------------------------------------------
ABN AMRO Holding N.V.
(Netherlands) 27,100 602,757 -- -- -- --
AFLAC, Inc. 24,100 1,098,056 33,200 1,512,675 4,100 186,806
AGF (Assurances Generales
de France) (France) 13,100 676,193 -- -- -- --
AMCORE Financial, Inc. 13,100 234,163 18,900 337,838 -- --
AMP, Ltd. (Australia) 211,347 1,997,471 -- -- -- --
AON Corp. 23,800 767,550 41,530 1,339,343 4,400 141,900
AXA Financial, Inc. 1,900 68,163 3,300 118,388 -- --
Affiliated Managers Group,
Inc. (NON) 3,300 156,750 -- -- -- --
Aiful Corp. (Japan) 16,975 1,890,349 -- -- -- --
Alleanza Assicurazioni SpA
(Italy) 22,100 216,542 -- -- -- --
Allianz Versicherungs AG
(Germany) (NON) 2,800 1,137,787 -- -- -- --
Allied Irish Banks Plc
(Ireland) 19,100 185,141 -- -- -- --
Allied Zurich AG (United
Kingdom) 152,115 1,667,844 -- -- -- --
Allstate Corp. 32,200 766,763 45,008 1,071,753 4,888 116,396
AmSouth Bancorporation 2,100 31,369 3,700 55,269 -- --
Ambac Financial Group, Inc. 400 20,150 700 35,263 -- --
AmeriCredit Corp. (NON) 6,900 112,556 -- -- -- --
American Express Co. 16,500 2,457,469 25,900 3,857,481 2,500 372,344
American General Corp. 30,340 1,702,833 42,200 2,368,475 5,100 286,238
American International
Group, Inc. 42,600 4,664,700 64,200 7,029,900 5,900 646,050
Amerus Life Holdings, Inc.
Class A 14,100 255,563 20,000 362,500 -- --
Apartment Investment &
Management Co. Class A (R) 500 19,094 900 34,369 -- --
Associates First Capital
Corp. 6,600 141,488 11,600 248,675 -- --
Astoria Financial Corp. 600 17,025 1,100 31,213 -- --
Australia & New Zealand
Banking Group, Ltd.
(Australia) (NON) 101,500 641,171 -- -- -- --
Avalonbay Communities, Inc.
(R) 500 18,313 900 32,963 -- --
Axa S.A. (France) 50,803 7,185,348 33,269 4,705,418 4,045 572,107
Axia Holding, Inc. 144A
(PIK) (NON) 225 2,925 -- -- -- --
BB&T Corp. 73,500 2,062,594 100,200 2,811,863 13,000 364,813
BMP AG (Germany) (NON) 10,263 259,731 -- -- -- --
Banca Intesa SpA (Italy) 47,300 163,069 -- -- -- --
Banca Popolare di Brescia
SpA (Italy) 41,056 4,309,012 16,100 1,689,767 1,993 209,174
Banca Popolare di Milano
(Italy) 18,900 130,678 -- -- -- --
Barclays Plc (United
Kingdom) 72,058 1,907,184 80,929 2,141,976 11,929 315,729
Banco Bradesco S.A. BRC
(Brazil) 52,500 435,133 -- -- -- --
Banco Itau S.A. (Brazil) 1,200 107,205 -- -- -- --
Banco Santander Central
Hispano S.A. (Spain) 15,900 170,522 -- -- -- --
Bank One Corp. 10,600 364,375 19,400 666,875 2 69
Bank Sinopac (Taiwan) 340,000 214,878 -- -- -- --
Bank of America Corp. 85,700 4,493,894 120,479 6,317,618 12,900 676,444
Bank of East Asia, Ltd.
(Hong Kong) 174,000 386,592 -- -- -- --
Bank of New York Company,
Inc. 6,200 257,688 10,900 453,031 -- --
Bank of Nova Scotia
(Canada) 75,200 1,507,425 -- -- -- --
Bank of the Philippine
Islands 120,800 275,147 -- -- -- --
Bank United Corp. 41,000 1,294,063 58,900 1,859,031 -- --
Banque Nationale de Paris
(France) 22,074 1,739,155 -- -- -- --
Bayerische Vereinsbank AG
(Germany) 1,600 98,556 -- -- -- --
Bear Stearns Companies,
Inc. (The) 38,200 1,742,875 51,800 2,363,375 6,900 314,813
Berkley (W.R.) Corp. 29,700 684,956 42,700 984,769 -- --
Brown & Brown, Inc. 4,600 177,963 -- -- -- --
Canary Wharf Finance Plc
(United Kingdom) (NON) 95,000 538,584 -- -- -- --
Capital One Financial Corp. 33,100 1,586,731 44,800 2,147,600 5,700 273,244
Cathay Bancorp, Inc. 2,900 133,400 -- -- -- --
Centennial Bancorp (NON) 43,700 420,613 64,500 620,813 -- --
Charter One Financial, Inc. 71,900 1,509,900 97,657 2,050,797 12,500 262,500
Chase Manhattan Corp. 40,600 3,539,813 57,260 4,992,356 6,218 542,132
Cheung Kong Infrastructure
Holdings (Hong Kong) (NON) 152,476 2,281,314 218,000 3,261,671 27,000 403,968
Chinatrust Commercial Bank
(Taiwan) 224,000 218,986 -- -- -- --
Cie Finance Richemont
(Switzerland) 1,652 4,192,516 2,305 5,849,727 336 852,715
Citigroup, Inc. 140,501 8,333,466 202,201 11,993,047 20,801 1,233,759
City National Corp. 22,300 751,231 38,500 1,296,969 -- --
Comerica, Inc. 52,035 2,178,966 70,470 2,950,931 9,125 382,109
Commerce Asset-Holding
Berhad (Malaysia) 122,000 349,957 -- -- -- --
Commerce Group, Inc. 22,500 663,750 32,300 952,850 -- --
Commercial Federal Corp. 25,100 417,288 35,600 591,850 -- --
Commercial International
Bank GDR 16,000 185,600 -- -- -- --
Community First Bankshares 19,500 312,000 28,100 449,600 -- --
Commonwealth Bank of
Australia (Australia) 15,800 216,315 -- -- -- --
Conseco, Inc. 2,000 22,875 3,500 40,031 -- --
Consors Discount Broker AG
(Germany) (NON) 3,657 511,642 -- -- -- --
Countrywide Credit
Industries, Inc. 700 19,075 1,200 32,700 -- --
Credit Suisse Group
(Switzerland) (NON) 9,364 1,861,776 10,620 2,111,497 2,732 543,184
Cullen/Frost Bankers, Inc. 18,800 497,025 27,200 719,100 -- --
DBS Group Holdings, Ltd.
(Singapore) 125,069 1,651,993 81,181 1,072,291 9,749 128,771
Deutsche Bank AG (New
Zealand) 12,000 795,897 -- -- -- --
Diamond Technology
Partners, Inc. (NON) 2,100 138,075 -- -- -- --
Duke Realty Investments,
Inc. (R) 900 17,213 1,600 30,600 -- --
E(a)Trade Group, Inc. (NON) 1,100 33,138 1,900 57,238 -- --
East West Bancorp, Inc. 19,200 212,400 -- -- -- --
Ehhance Financial Services
Group, Inc. 42,000 593,250 59,400 839,025 -- --
Equity Office Properties
Trust (R) 48,300 1,213,538 65,300 1,640,663 8,100 203,513
Equity Residential
Properties Trust (R) 45,092 1,812,135 61,280 2,462,690 7,898 317,401
Erie Indemnity Co. Class A 700 22,706 1,200 38,925 -- --
Europejski Fundusz Leas
144A GDR 9,100 170,625 -- -- -- --
FBL Financial Group, Inc.
Class A 24,100 361,500 33,000 495,000 -- --
Fannie Mae 87,500 4,938,281 120,330 6,791,124 14,400 812,700
Federal Home Loan Mortgage
Corp. 18,400 813,050 27,500 1,215,156 2,200 97,213
Fidelity National
Financial, Inc. 15,800 218,238 22,400 309,400 -- --
Fifth Third Bancorp 2,300 144,900 4,000 252,000 -- --
Finova Group, Inc. 800 13,450 1,400 23,538 -- --
First Midwest Bancorp, Inc. 19,600 475,300 27,800 674,150 -- --
First Security Corp. 600 7,200 1,100 13,200 -- --
First Tennessee National
Corp. 1,500 30,469 2,600 52,813 -- --
First Union Corp. 10,100 376,225 17,800 663,050 -- --
Firstar Corp. 91,668 2,102,635 99,079 2,272,625 13,790 316,308
FleetBoston Financial Corp. 85,343 3,115,020 117,621 4,293,167 14,005 511,183
Franklin Resources, Inc. 29,500 986,406 39,900 1,334,156 5,200 173,875
Freedom Securities Corp. 10,100 157,813 14,600 228,125 -- --
Fremont General Corp. 75,900 450,656 107,700 639,469 -- --
Fuji Bank, Ltd. (The)
(Japan) (NON) 47,000 443,050 -- -- -- --
Greater Bay Bancorp 6,500 261,625 -- -- -- --
Greenpoint Finanacial Corp. 2,000 39,250 3,500 68,688 -- --
Grupo Financiero Bancomer,
S.A. de C.V. (Mexico)
(NON) 531,090 2,439,879 -- -- -- --
HSBC Holdings Plc (United
Kingdom) 99,200 1,159,340 -- -- -- --
HDFC Bank, Ltd. (India) 53,400 313,901 -- -- -- --
HSBC Holdings Plc (United
Kingdom) 36,700 433,076 -- -- -- --
Haci Omer Sabanci Holdings
ADR (Turkey) (NON) 45,600 661,200 -- -- -- --
Hartford Financial Services
Group 54,480 2,873,820 74,225 3,915,369 9,695 511,411
Hartford Life, Inc. 8,300 389,063 11,600 543,750 1,500 70,313
Heller Financial, Inc. 1,100 25,438 1,900 43,938 -- --
Henderson Land Development
Co., Ltd. (Hong Kong) (R) 153,000 721,133 -- -- -- --
Horace Mann Educators Corp. 22,100 407,469 31,300 577,094 -- --
Host Marriott Corp. 3,800 33,725 6,700 59,463 -- --
Household International,
Inc. 47,400 1,768,613 65,100 2,429,044 7,770 289,918
Housing Development Finance
Corporation, Ltd. (India)
(NON) 47,900 419,496 -- -- -- --
Hudson United Bancorp 21,300 461,944 30,200 654,963 -- --
Huntington Bancshares, Inc. 700 15,663 1,200 26,850 -- --
ICICI Bank, Ltd. ADR
(India) (NON) 32,800 479,700 -- -- -- --
ICICI, Ltd. ADR (India)
(NON) 25,600 576,000 -- -- -- --
Imperial Bancorp. (NON) 15,800 489,800 22,600 700,600 -- --
Internationale Nederlanden
Groep (ING) (Netherlands) 108,232 5,850,264 81,708 4,416,563 9,925 536,476
Intuit, Inc. (NON) 1,100 59,813 1,900 103,313 -- --
Investment AB Bure (Sweden) 28,306 242,083 -- -- -- --
Investors Financial
Services Corp. 2,000 117,750 -- -- -- --
Istituto Bancario San Paolo
di Torino (Italy) 100,500 1,373,438 -- -- -- --
Jefferson-Pilot Corp. 1,300 86,531 2,300 153,094 -- --
Julius Baer Holdings AG
(Switzerland) 574 2,158,361 890 3,346,588 107 402,343
Keppel Bank (Singapore) 245,363 473,231 423,000 815,839 51,000 98,364
Keppel Land, Ltd.
(Singapore) 32,000 35,722 -- -- -- --
Knight/Trimark Group, Inc.
Class A (NON) 600 30,600 1,100 56,100 -- --
Kookmin Bank 144A GDR
(South Korea) 29,900 303,059 -- -- -- --
LNR Property Corp. 17,600 335,500 25,000 476,563 -- --
Legg Mason, Inc. 400 17,300 700 30,275 -- --
Lehman Brothers Holding,
Inc. 700 67,900 1,200 116,400 -- --
Lincoln National Corp. 57,630 1,930,605 58,895 1,972,983 4,600 154,100
Lloyds TSB Group Plc
(United Kingdom) 13,000 137,051 -- -- -- --
Loews Corp. 300 15,000 500 25,000 -- --
MBIA, Inc. 600 31,238 1,100 57,269 -- --
MBNA Corp. 24,600 627,300 35,800 912,900 3,400 86,700
MGIC Investment Corp. 16,200 706,725 22,100 964,113 2,800 122,150
Manulife Financial Corp.
(Canada) (NON) 40,800 599,669 -- -- -- --
Mediolanum SpA (Italy) 56,800 1,001,887 -- -- -- --
Mellon Financial Corp. 55,500 1,637,250 76,100 2,244,950 9,200 271,400
Merrill Lynch & Co., Inc. 3,200 336,000 5,600 588,000 -- --
Metris Companies, Inc. 3,500 136,063 -- -- -- --
Mitsubishi Bank, Ltd.
(Japan) (NON) 47,000 673,527 -- -- -- --
Mitsubishi Trust and
Banking Corp. (Japan)
(NON) 31,000 288,288 -- -- -- --
Morgan (J.P.) & Co., Inc. 13,700 1,804,975 19,130 2,520,378 2,300 303,025
Morgan Stanley, Dean
Witter, Discover and Co. 8,200 668,813 14,400 1,174,500 -- --
National Australia Bank,
Ltd. (Australia) (NON) 15,800 203,263 -- -- -- --
National Bank of Canada
(Canada) 52,000 762,490 -- -- -- --
National City Corp. 48,300 996,188 74,900 1,544,813 7,700 158,813
National Commerce
Bancorporation 1,300 24,050 2,300 42,550 -- --
National Discount Brokers
Group, Inc. (NON) 2,400 118,500 -- -- -- --
Nationwide Financial
Services, Inc. Class A 600 17,550 1,100 32,175 -- --
New Plan Excel Realty Trust 1,500 20,625 2,600 35,750 -- --
Newmedia Spark Plc (United
Kingdom) (NON) 43,848 74,716 -- -- -- --
Nikko Securities Co., Ltd.
(Japan) (NON) 817,000 12,402,247 659,000 10,003,771 96,000 1,457,302
Nissin Co., Ltd. (Japan) 9,400 407,698 -- -- -- --
Nomura Securities Co., Ltd.
(Japan) (NON) 177,000 5,792,224 145,000 4,745,042 13,000 425,418
North Fork Bancorporation,
Inc. 19,600 350,350 29,400 525,525 -- --
Northern Trust Corp. 400 27,025 700 47,294 -- --
OTP Bank GDR 4,200 227,325 -- -- -- --
Old Mutual Plc (United
Kingdom) (NON) 324,000 773,955 -- -- -- --
Oversea-Chinese Banking
Corp., Ltd. (Singapore) 157,480 975,621 79,650 493,448 -- --
Overseas Union Bank, Ltd.
(Singapore) 161,817 728,224 154,683 696,119 19,390 87,261
PNC Bank Corp. 46,600 2,099,913 63,800 2,874,988 8,000 360,500
PSF Holdings LLC Class A
(NON) 16,190 161,900 -- -- 4,186 41,860
Paine Webber Group, Inc. 14,500 638,000 20,000 880,000 2,400 105,600
Peoples Heritage Financial
Group, Inc. 35,600 534,000 50,400 756,000 -- --
Pohjola Group Insurance
Corp. (Finland) 200 14,803 -- -- -- --
Presidential Life Corp. 16,800 231,000 23,800 327,250 -- --
Promise Co., Ltd. (Japan) 29,700 2,294,881 -- -- -- --
Provident Bankshares Corp. 15,900 250,425 25,000 393,750 -- --
Providian Financial Corp. 1,500 129,938 2,600 225,225 -- --
Prudential Corp. Plc
(United Kingdom) 71,500 1,077,720 -- -- -- --
Public Bank Berhad
(Malaysia) 345,000 363,167 -- -- -- --
Queens County Bancorp, Inc.
(NON) 7,000 126,438 -- -- -- --
Radian Group, Inc. 4,600 219,075 -- -- -- --
Regions Financial Corp. 900 20,531 1,600 36,500 -- --
Reliastar Financial Corp. 900 30,488 1,600 54,200 -- --
Republic Bancorp, Inc. 17,200 160,713 24,900 232,659 -- --
Royal & Sun Alliance
Insurance Group Plc
(United Kingdom) 59,500 373,330 -- -- -- --
SLM Holding Corp. 1,000 33,313 1,800 59,963 -- --
Sampo Insurance Co., Ltd.
Class A, (Finland) 11,000 420,200 -- -- -- --
Schwab (Charles) Corp. 5,600 318,150 9,900 562,444 -- --
Self Trade (France) (NON) 15,308 192,973 -- -- -- --
Self Trade 144A (France)
(NON) 5,000 63,030 -- -- -- --
Shinhan Bank (South Korea) 29,900 320,647 -- -- -- --
Siam Commercial Bank Public
Co., Ltd. (Thailand) (NON) 233,100 198,612 -- -- -- --
Skandia Forsakrings AB
(Sweden) 24,798 1,172,177 -- -- -- --
Societe Generale (France) 6,946 1,382,407 -- -- -- --
Soundwill Holdings, Ltd.
(Hong Kong) (NON) 682,000 37,663 -- -- -- --
Southwest Bancorporation of
Texas, Inc. (NON) 24,100 468,444 34,400 668,650 -- --
Sovereign Bancorp, Inc. 33,000 249,563 48,400 366,025 -- --
Spieker Properties, Inc.
(R) 500 22,250 900 40,050 -- --
Standard Bank Investment
(South Africa) (NON) 144,100 596,459 -- -- -- --
State Street Corp. 1,200 116,250 2,100 203,438 -- --
Sterling Bancshares, Inc. 42,500 406,406 60,700 580,444 -- --
Sumitomo Trust & Banking
(Japan) (NON) 16,000 239,133 -- -- -- --
Summit Bancorp 900 23,625 1,600 42,000 -- --
Sun Hung Kai Properties,
Ltd. (Hong Kong) 32,000 277,403 -- -- -- --
SunTrust Banks, Inc. 2,900 167,475 5,100 294,525 -- --
Svenska Handelsbanken
(Sweden) 9,100 112,007 -- -- -- --
Synovus Financial Corp. 14,400 271,800 14,565 274,914 2,625 49,547
T. Rowe Price Associates,
Inc. 900 35,550 1,600 63,200 -- --
TCF Financial Corp. 1,100 26,194 1,900 45,244 -- --
TD Waterhouse Group, Inc.
(NON) 45,600 1,140,000 -- -- -- --
Taishin International Bank
(Taiwan) 217,000 132,857 -- -- -- --
Tecis Holdings (Germany)
(NON) 10,435 1,365,263 -- -- -- --
Thai Farmers Bank Public
Co. (Thailand) (NON) 251,900 277,855 -- -- -- --
The PMI Group, Inc. 900 42,694 1,600 75,900 -- --
Theta Group, Ltd. (Kenya)
(NON) 209,500 444,822 -- -- -- --
Torchmark Corp. 45,500 1,052,188 62,500 1,445,313 8,200 189,625
Travelers Property Casualty
Corp. 1,400 57,750 2,500 103,125 -- --
Turkiye Garanti Bankasi
144A (Turkey) 34,850,100 444,339 -- -- -- --
U.S. Bancorp 63,300 1,384,688 86,135 1,884,203 10,800 236,250
Uniao de Bancos Brasileiros
S.A. GDR (Brazil) (NON) 5,800 184,150 -- -- -- --
Unidanmark A.S. (Denmark) 8,200 525,317 -- -- -- --
United Bank of Switzerland
(UBS) AG (Switzerland) 5,100 1,338,719 -- -- -- --
United Overseas Bank, Ltd.
(Singapore) 50,000 306,838 -- -- -- --
United World Chinese
Commercial Bank 228,000 274,681 -- -- -- --
Value Management & Research
AG (Germany) 5,026 313,189 -- -- -- --
Verwaltungs-und Privat-Bank
AG (Switzerland) 74 295,591 -- -- -- --
Vornado Realty Trust (R) 600 20,100 1,100 36,850 -- --
Wachovia Corp. 16,500 1,114,781 22,800 1,540,425 2,700 182,419
Waddell & Reed Financial,
Inc. 12,800 541,600 18,300 774,319 -- --
Washington Mutual, Inc. 55,734 1,476,951 57,657 1,527,911 8,958 237,387
Webster Financial Corp. 20,100 462,300 28,500 655,500 -- --
Wells Fargo Co. 119,445 4,889,780 128,900 5,276,844 18,250 747,109
Westpac Banking Corp.
(Australia) 80,200 502,382 -- -- 26,326 164,909
Wilmington Trust Corp. 300 14,588 500 24,313 -- --
Yapi ve Kredi Bankasi A.S.
GDR (Turkey) (NON) 20,900 532,950 -- -- -- --
Zions Bancorp 1,000 41,625 1,800 74,925 -- --
-------------- -------------- --------------
198,230,394 177,451,943 18,547,658
Health Care 5.2% 5.4% 1.2%
- ----------------------------------------------------------------------------------------------------------------------------
Abbott Laboratories 68,900 2,424,419 96,700 3,402,631 10,500 369,469
Abgenix, Inc. (NON) 200 27,625 -- -- -- --
Accredo Health, Inc. (NON) 16,550 548,219 29,700 983,813 -- --
Aetna, Inc. 500 27,844 900 50,119 -- --
Affymetrix, Inc. (NON) 500 74,219 -- -- -- --
Albany Molecular Research,
Inc. (NON) 4,718 275,413 8,600 502,025 -- --
Alkermes, Inc. (NON) 400 37,000 -- -- -- --
Allergan, Inc. 35,300 1,765,000 51,900 2,595,000 6,200 310,000
Allscripts, Inc. (NON) 4,400 264,550 10,100 607,263 -- --
Alpharma, Inc. Class A 7,200 264,600 10,500 385,875 -- --
AmSurg Corp. (NON) 3,100 18,213 8,200 48,175 -- --
AmeriSource Health Corp.
Class A (NON) 43,600 654,000 63,100 946,500 -- --
American Home Products
Corp. 10,000 536,250 17,600 943,800 -- --
Amgen, Inc. 52,300 3,209,913 78,500 4,817,938 8,100 497,138
Anesta Corp. (NON) 21,000 277,922 47,900 633,927 -- --
Angiotech Pharmaceuticals,
Inc. (Canada) (NON) 6,100 242,475 13,900 552,525 -- --
Ares-Serono Group Class B,
(Switzerland) 1,365 5,132,689 1,441 5,418,465 177 665,557
Arrow International, Inc. 11,450 359,244 16,200 508,275 -- --
ArthroCare Corp. (NON) 4,700 432,400 9,000 828,000 -- --
Artimplant AB Class B,
(Sweden) (NON) 4,390 73,567 -- -- -- --
Aspect Medical Systems,
Inc. (NON) 500 17,938 1,200 43,050 -- --
AstraZeneca Group Plc
(United Kindgom) 9,000 363,012 -- -- -- --
Aventis S.A. (France) 106,531 5,799,015 68,927 3,752,041 8,401 457,308
Bard (C.R.), Inc. 700 27,081 1,200 46,425 -- --
Bausch & Lomb, Inc. 700 36,531 1,200 62,625 -- --
Baxter International, Inc. 26,100 1,636,144 36,100 2,263,019 4,300 269,556
Bayer AG (Germany) (NON) 15,800 707,674 -- -- -- --
Beckman Coulter, Inc. 10,900 699,644 15,800 1,014,163 -- --
Becton, Dickson and Co. 2,400 63,150 4,200 110,513 -- --
Bindley Western Industries,
Inc. 37,700 511,306 53,600 726,950 -- --
Biogen, Inc. (NON) 1,300 90,838 2,300 160,713 -- --
Biomet, Inc. 1,100 40,013 1,900 69,113 -- --
Block Drug, Inc. Class A 14,200 391,388 20,600 567,788 -- --
Boston Scientific Corp.
(NON) 2,200 46,888 3,900 83,119 -- --
Bristol-Myers Squibb Co. 115,800 6,687,450 168,400 9,725,100 18,200 1,051,050
CIGNA Corp. 22,200 1,681,650 30,360 2,299,770 3,800 287,850
Cambrex Corp. 14,200 617,700 20,100 874,350 -- --
Cardinal Health, Inc. 2,700 123,863 4,800 220,200 -- --
Celgene Corp. (NON) 1,200 119,475 -- -- -- --
Cell Genesys, Inc. (NON) 13,400 285,588 27,300 581,831 -- --
Cephalon, Inc. (NON) 13,000 487,500 18,500 693,750 -- --
ChiRex, Inc. (NON) 14,500 279,125 31,600 608,300 -- --
Chiron Corp. (NON) 1,000 49,875 1,800 89,775 -- --
Colin Corp. (Japan) 1,500 155,319 -- -- -- --
Columbia/HCA Healthcare
Corp. 4,200 106,313 7,400 187,313 -- --
Conventry Health Care, Inc.
(NON) 52,400 445,400 74,700 634,950 -- --
Corixa Corp. (NON) 2,300 94,875 -- -- -- --
DENTSPLY International,
Inc. 600 17,025 1,100 31,213 -- --
Diagnostic Products Corp. 13,500 329,906 19,500 476,531 -- --
Eclipsys Corp. (NON) 11,100 215,063 25,400 492,125 -- --
Eisai Co., Ltd. (Japan)
(NON) 72,000 1,902,510 44,000 1,162,645 6,000 158,543
Elan Corp. Plc ADR
(Ireland) (NON) 11,000 522,500 -- -- -- --
Elan Corp. Plc ADR
(Ireland) (NON) 32,998 1,598,974 57,002 2,762,129 7,053 341,765
Forest Laboratories, Inc.
(NON) 12,600 1,064,700 18,500 1,563,250 2,200 185,900
Foundation Health Systems,
Inc. Class A (NON) 1,900 15,200 3,300 26,400 -- --
Genentech, Inc. (NON) 13,300 2,021,600 19,900 3,024,800 2,500 380,000
Genzyme Corp. (NON) 700 35,088 1,200 60,150 -- --
Glaxo Wellcome Plc (United
Kingdom) 31,600 903,298 -- -- -- --
Guidant Corp. (NON) 1,900 111,744 3,300 194,081 -- --
Haemonetics Corp. (NON) 20,600 463,500 29,400 661,500 -- --
Health Management Assoc.,
Inc. (NON) 2,000 28,500 3,500 49,875 -- --
Hooper Holmes, Inc. 4,500 154,406 -- -- -- --
Human Genome Sciences, Inc.
(NON) 1,200 99,675 2,792 231,911 -- --
IDEC Pharmaceuticals Corp.
(NON) 6,400 628,800 7,100 697,575 900 88,425
ILEX Oncology, Inc. (NON) 7,200 302,400 11,900 499,800 -- --
IMS Health, Inc. 2,900 49,119 5,100 86,381 -- --
IVAX Corp. (NON) 900 24,525 1,650 44,963 -- --
Igen, Inc. (NON) 2,600 65,000 6,400 160,000 -- --
Immunex Corp. (NON) 31,700 2,010,969 46,800 2,968,875 5,400 342,563
Incyte Pharmaceuticals,
Inc. (NON) 600 52,463 -- -- -- --
Invacare Corp. 23,000 631,063 33,300 913,669 -- --
Invitrogen Corp. (NON) 9,600 557,400 22,000 1,277,375 -- --
Johnson & Johnson 46,300 3,243,894 68,600 4,806,288 6,700 469,419
Jones Medical Industries,
Inc. 9,000 273,375 -- -- -- --
King Pharmacueticals, Inc.
(NON) 2,600 81,900 -- -- -- --
LifePoint Hospitals, Inc.
(NON) 15,500 257,688 22,200 369,075 -- --
Lilly Eli & Co. 5,700 359,100 10,000 630,000 -- --
Lincare Holdings, Inc.
(NON) 17,900 507,913 25,800 732,075 -- --
Mallinckrodt, Inc. 18,200 523,250 37,065 1,065,619 3,300 94,875
Matria Healthcare, Inc.
(NON) 70,000 371,875 99,900 530,719 -- --
Maxim Pharmaceuticals, Inc.
(NON) 3,900 183,056 8,800 413,050 -- --
Mckesson HBOC, Inc. 1,600 33,600 2,800 58,800 -- --
Medical Manager Corp. (NON) 200 7,013 400 14,025 -- --
Medicis Pharmaceutical
Corp. Class A (NON) 8,575 343,000 11,425 457,000 -- --
Medimmune, Inc. (NON) 13,500 2,350,688 19,900 3,465,088 2,400 417,900
Medquist, Inc. (NON) 9,300 252,844 16,000 435,000 -- --
Medtronic, Inc. 8,500 437,219 15,000 771,563 -- --
Mentor Corp. 21,500 580,500 30,500 823,500 -- --
Merck & Co., Inc. 18,500 1,149,313 32,500 2,019,063 -- --
Meridian Diagnostics, Inc. 28,400 244,950 25,000 215,625 -- --
Mid Atlantic Medical
Services, Inc. (NON) 12,400 114,700 -- -- -- --
Millennium Pharmaceuticals,
Inc. (NON) 1,300 168,838 -- -- -- --
Millipore Corp. 500 28,219 900 50,794 -- --
Misys Plc (United Kingdom) 55,188 769,889 3,100 43,246 800 11,160
Mylan Laboratories, Inc. 900 24,750 1,600 44,000 -- --
NetOptix Corp. (NON) 1,000 171,750 2,300 395,025 -- --
Neurocrine Biosciences,
Inc. (NON) 13,000 302,250 29,900 695,175 -- --
Novartis AG ADR
(Switzerland) 680 928,832 -- -- -- --
Omnicare, Inc. 102,000 1,230,375 150,700 1,817,819 -- --
On Assignment, Inc. (NON) 10,600 477,000 18,300 823,500 -- --
OraPharma, Inc. (NON) 3,300 61,050 7,500 138,750 -- --
Orthodontic Centers of
America, Inc. (NON) 31,100 583,125 45,200 847,500 -- --
Osteotech, Inc. (NON) 13,000 173,875 30,100 402,588 -- --
Owens & Minor, Inc. 103,200 1,096,500 146,600 1,557,625 -- --
Oxford Glycosciences Plc
(United Kingdom) (NON) 18,324 503,372 -- -- -- --
Oxford Health Plans, Inc.
(NON) 1,200 18,300 2,100 32,025 -- --
PE Corp.-PE Biosystems
Group 36,800 3,551,200 54,100 5,220,650 6,400 617,600
PSS World Medical, Inc.
(NON) 51,800 351,269 73,800 500,456 -- --
Pall Corp. 1,100 24,681 1,900 42,631 -- --
Patterson Dental Co. (NON) 6,800 260,100 9,900 378,675 -- --
Per-Se Technologies, Inc.
(NON) 32,400 190,350 46,200 271,425 -- --
Pfizer, Inc. 30,600 1,118,813 53,800 1,967,063 -- --
Pharmacia & Upjohn, Inc.
(Sweden) 51,700 3,063,225 70,600 4,183,050 8,700 515,475
Pharmacia & Upjohn, Inc.
(Sweden) 17,800 1,028,593 -- -- -- --
Priority Healthcare Corp.
Class B (NON) 14,850 746,213 27,350 1,374,338 -- --
Province Healthcare Co.
(NON) 14,000 400,750 30,800 881,650 -- --
Quintiles Transnational
Corp. (NON) 1,100 18,769 1,900 32,419 -- --
Quorum Health Group, Inc.
(NON) 40,800 410,550 58,200 585,638 -- --
RehabCare Group, Inc. (NON) 16,900 417,219 27,100 669,031 -- --
ResMed, Inc. (NON) 20,600 863,638 19,500 1,391,813 -- --
Rexall Sundown, Inc. (NON) 19,500 275,438 44,600 629,975 -- --
Roche Holdings AG
(Switzerland) 32 347,141 -- -- -- --
Sanofi-Synthelabo S.A.
(France) (NON) 71,402 2,717,328 93,682 3,565,232 11,386 433,314
Schering-Plough Corp. 86,300 3,171,525 125,400 4,608,450 13,550 497,963
Sepracor, Inc. (NON) 400 29,125 800 58,250 -- --
Serologicals Corp. (NON) 14,900 81,019 21,600 117,450 -- --
ServiceMaster Co. (The) 4,300 48,375 7,600 85,500 -- --
Shared Medical Systems
Corp. 7,900 409,813 11,300 586,188 -- --
Smithkline Beecham Plc ADR
(United Kingdom) 84,850 1,118,824 -- -- -- --
Stryker Corp. 600 41,850 1,100 76,725 -- --
Sybron International Corp.
(NON) 1,200 34,800 2,100 60,900 -- --
Takeda Chemical Industries
(Japan) 48,000 3,422,878 -- -- -- --
Tecan (Switzerland) (NON) 937 657,386 -- -- -- --
Techne Corp. (NON) 2,400 165,600 -- -- -- --
Tenet Healthcare Corp. 2,900 66,700 5,100 117,300 -- --
Trigon Healthcare, Inc.
(NON) 16,400 586,300 23,600 843,700 -- --
Trimeris, Inc. (NON) 4,400 219,725 7,100 354,556 -- --
US Oncology, Inc. (NON) 79,500 357,750 113,300 509,850 -- --
United Healthcare Corp. 1,201 71,610 2,100 125,213 -- --
United Wisconsin Services 48,900 272,006 47,200 262,550 -- --
Universal Health Services,
Inc. (NON) 10,300 504,700 17,100 837,900 -- --
VISX, Inc. (NON) 600 10,950 1,100 20,075 -- --
Ventana Medical Systems,
Inc. (NON) 3,900 168,431 9,000 388,688 -- --
Vital Signs, Inc. 13,800 316,538 20,000 458,750 -- --
Warner-Lambert Co. 40,400 3,939,000 61,200 5,967,000 6,100 594,750
Waters Corp. (NON) 600 57,150 1,100 104,775 -- --
Watson Pharmaceuticals,
Inc. (NON) 900 35,719 1,600 63,500 -- --
Wellpoint Health Networks,
Inc. (NON) 200 13,975 400 27,950 -- --
Wesley Jessen VisionCare,
Inc. (NON) 9,500 341,406 10,400 373,750 -- --
West Pharmaceutical
Services, Inc. 3,900 98,719 5,700 144,281 -- --
Yamanouchi Pharmaceutical
Co., Ltd. (Japan) 36,000 1,976,360 -- -- -- --
Zeneca Group Plc (United
Kingdom) 70,071 2,833,221 58,200 2,353,234 6,969 281,782
-------------- -------------- --------------
106,706,480 129,319,555 9,339,362
Technology 19.8% 18.6% 4.5%
- ----------------------------------------------------------------------------------------------------------------------------
3Com Corp. (NON) 2,500 139,063 4,400 244,750 -- --
ADC Telecommunications,
Inc. (NON) 2,600 140,075 4,600 247,825 -- --
ADTRAN, Inc. (NON) 9,200 546,825 8,900 528,994 -- --
ANADIGICS, Inc. (NON) 18,150 1,197,900 33,900 2,237,400 -- --
ARM Holdings Plc (United
Kingdom) (NON) 33,977 2,050,707 -- -- -- --
ASM Lithography Holding
N.V. (Netherlands) (NON) 12,300 1,370,817 -- -- -- --
ATMI, Inc. (NON) 8,900 424,975 15,700 749,675 -- --
About.com, Inc. (NON) 3,800 334,875 9,500 837,188 -- --
Acer, Inc. (Taiwan) 28,600 398,970 -- -- -- --
Acer Peripherals, Inc.
(Taiwan) 63,000 317,281 -- -- -- --
Act Manufacturing, Inc.
(NON) 22,500 1,258,594 48,200 2,696,188 -- --
Actuate Corp. (NON) 1,900 102,244 -- -- -- --
Acxiom Corp. (NON) 600 19,950 1,100 36,575 -- --
Adaptec, Inc. (NON) 900 34,763 1,600 61,800 -- --
Adobe Systems, Inc. 1,100 122,444 1,900 211,494 -- --
Advanced Digital
Information Corp. (NON) 4,200 143,850 -- -- -- --
Advanced Energy Industries,
Inc. (NON) 9,100 464,100 15,600 795,600 -- --
Advanced Fibre
Communications (NON) 4,600 288,363 -- -- -- --
Advanced Micro Devices,
Inc. (NON) 800 45,650 1,400 79,888 -- --
Advanced Semiconductor
Engineering, Inc. (Taiwan) 99,000 374,753 -- -- -- --
Advanced Vision Technology,
Ltd. (Israel) (NON) 14,949 295,519 -- -- -- --
Advanced Vision Technology,
Ltd. (Israel) (NON) 8,181 161,726 -- -- -- --
Advantest Corp. (Japan) 13,100 2,788,405 14,600 3,107,688 1,800 383,140
Affiliated Computer
Services, Inc. Class A
(NON) 700 26,600 1,200 45,600 -- --
Alcatel Alsthom CGE S.A.
(France) 7,595 1,663,164 10,384 2,273,904 1,266 277,231
Allaire Corp. (NON) 1,400 105,875 -- -- -- --
Alpha Industries, Inc.
(NON) 6,400 608,000 10,100 959,500 -- --
Altera Corp. (NON) 1,600 142,800 2,800 249,900 -- --
America Online, Inc. (NON) 74,600 5,016,850 114,400 7,693,400 10,400 699,400
American Power Conversion
Corp. (NON) 1,300 55,738 2,300 98,613 -- --
American Superconductor
Corp. (NON) 5,000 222,500 11,500 511,750 -- --
Amphenol Corp. (NON) 2,900 296,525 -- -- -- --
Analog Devices, Inc. (NON) 2,800 225,575 5,000 402,813 -- --
Analysts International
Corp. 29,300 289,338 42,400 418,700 -- --
Anite Group Plc (United
Kingdom) 149,567 500,189 -- -- -- --
Apple Computer, Inc. (NON) 12,500 1,697,656 19,200 2,607,600 2,100 285,206
Applied Materials, Inc.
(NON) 40,400 3,807,738 61,000 5,749,250 6,200 584,350
Applied Micro Circuits
Corp. (NON) 800 120,050 1,400 210,088 -- --
Ariba, Inc. (NON) 6,800 1,425,450 9,900 2,075,288 1,260 264,128
Arinso International S.A.
(Belgium) (NON) 1,900 73,034 -- -- -- --
Ase Test Ltd. (Taiwan)
(NON) 21,600 626,400 -- -- -- --
Aspect Communications Corp.
(NON) 4,200 155,663 -- -- -- --
Aspect Development, Inc.
(NON) 1,200 77,250 -- -- -- --
Aspen Technology, Inc.
(NON) 1,700 68,638 -- -- -- --
AstroPower, Inc. (NON) 10,900 352,206 25,000 807,813 -- --
Asustek Computer, Inc. GDR
(Taiwan) 61,000 765,010 -- -- -- --
Asyst Technologies, Inc.
(NON) 3,000 175,500 -- -- -- --
Atmel Corp. (NON) 1,500 77,438 2,600 134,225 -- --
AudioCodes, Ltd. (Israel)
(NON) 4,100 411,538 -- -- -- --
Autodesk, Inc. 400 18,200 700 31,850 -- --
Automatic Data Processing,
Inc. 5,400 260,550 9,500 458,375 -- --
Avnet, Inc. 12,900 812,700 18,600 1,171,800 -- --
Aware, Inc. (NON) 14,100 565,763 29,200 1,171,650 -- --
BARRA, Inc. (NON) 2,900 98,238 -- -- -- --
BEA Systems, Inc. (NON) 14,700 1,078,613 21,900 1,606,913 2,400 176,100
BISYS Group, Inc. (The)
(NON) 300 19,950 500 33,250 -- --
BMC Industries, Inc. 65,200 370,825 92,700 527,231 -- --
BMC Software, Inc. (NON) 2,000 98,750 3,500 172,813 -- --
BackWeb Technologies, Ltd.
(Israel) (NON) 4,400 151,250 10,100 347,188 -- --
Belden, Inc. 23,500 646,250 33,900 932,250 -- --
Biodata Information
Technology AG (Germany)
(NON) 842 317,623 -- -- -- --
Braun Consulting, Inc.
(NON) 17,500 560,000 34,900 1,116,800 -- --
BreezeCom, Ltd. (Israel)
(NON) 3,900 145,763 -- -- -- --
Brightpoint, Inc. (NON) 8,100 99,225 -- -- -- --
Brio Technology, Inc. (NON) 10,100 381,275 23,200 875,800 -- --
BroadVision, Inc. (NON) 6,300 282,713 -- -- -- --
Broadcom Corp. (NON) 9,700 2,355,888 14,400 3,497,400 1,600 388,600
Brocade Communications
Systems (NON) 21,200 3,801,425 31,000 5,558,688 3,900 699,319
Brooktrout, Inc. (NON) 2,200 63,800 -- -- -- --
Burr-Brown Corp. (NON) 2,500 135,938 -- -- -- --
Business Objects S.A.
(France) (NON) 6,400 636,800 14,700 1,462,650 -- --
C-Bridge Internet
Solutions, Inc. (NON) 5,800 330,600 13,500 769,500 -- --
CACI International, Inc.
(NON) 17,700 529,894 25,700 769,394 -- --
CIENA Corp. (NON) 1,100 138,738 1,900 239,638 -- --
CMG Plc (United Kingdom) 16,890 1,446,000 -- -- -- --
CMGI, Inc. (NON) 1,500 169,969 2,601 294,726 -- --
CNET Networks, Inc. (NON) 300 15,206 500 25,344 -- --
CSG Systems International,
Inc. (NON) 400 19,525 700 34,169 -- --
Cabletron Systems, Inc.
(NON) 1,200 35,175 2,100 61,556 -- --
Cadence Design Systems,
Inc. (NON) 1,600 33,200 2,800 58,100 -- --
Capita Group Plc (United
Kingdom) 62,400 1,592,933 -- -- -- --
China.com Corp. (Hong Kong)
(NON) 6,400 518,400 -- -- -- --
Chartered Semiconductor
Manufacturing (Singapore)
(NON) 49,000 463,939 -- -- 32,000 302,981
Chloride Group Plc (United
Kingdom) (NON) 192,125 376,330 -- -- -- --
Ciber, Inc. (NON) 20,700 424,350 29,200 598,600 -- --
Cisco Systems, Inc. (NON) 223,000 17,240,688 342,400 26,471,800 30,800 2,381,225
Citrix Systems, Inc. (NON) 600 39,750 1,100 72,875 -- --
Clarus Corp. (NON) 7,100 501,438 7,900 557,938 -- --
Cognex Corp. (NON) 3,700 213,444 -- -- -- --
Cohu, Inc. 7,850 327,247 11,100 462,731 -- --
CommScope, Inc. (NON) 4,000 182,500 -- -- -- --
Communications Systems,
Inc. 29,000 507,500 42,000 735,000 -- --
Compal Electronics, Inc. 81,000 337,278 -- -- -- --
Compaq Computer Corp. 53,530 1,425,236 76,890 2,047,196 7,490 199,421
Comptel Plc (Finland) (NON) 9,313 1,028,137 -- -- -- --
Computer Associates
International, Inc. 25,700 1,521,119 33,400 1,976,863 3,800 224,913
Computer Sciences Corp.
(NON) 1,200 94,950 2,100 166,163 -- --
Computer Task Group, Inc. 29,400 323,400 42,000 462,000 -- --
Compuware Corp. (NON) 2,400 50,550 4,200 88,463 -- --
Comverse Technology, Inc.
(NON) 10,500 1,984,500 15,500 2,929,500 1,800 340,200
Conexant Systems, Inc.
(NON) 1,300 92,300 2,300 163,300 -- --
Connova Group (Sweden)
(NON) 26,649 349,567 -- -- -- --
Corning, Inc. 13,200 2,560,800 19,900 3,860,600 2,000 388,000
Credence Systems Corp.
(NON) 11,600 1,451,450 22,100 2,765,263 -- --
Cree Research, Inc. (NON) 1,700 191,888 -- -- -- --
Cybex Computer Products
Corp. (NON) 12,850 483,481 22,650 852,206 -- --
Cymer, Inc. (NON) 1,300 65,000 -- -- -- --
Cypress Semiconductor Corp.
(NON) 3,000 147,938 -- -- -- --
Cysive, Inc. (NON) 1,952 133,712 4,900 335,650 -- --
D-Link Corp. (Taiwan) 90,000 391,047 -- -- -- --
DBTEL, Inc. (Taiwan) 90,000 349,572 -- -- -- --
DII Group, Inc., (The)
(NON) 20,800 2,351,700 29,900 3,380,569 3,100 350,494
DSET Corp. (NON) 17,300 318,969 38,500 709,844 -- --
DSP Group, Inc. (NON) 12,100 798,600 -- -- -- --
Dallas Semiconductor Corp. 18,800 660,350 23,000 807,875 -- --
Data Critical Corp. (NON) 9,800 141,488 22,200 320,513 -- --
Datastream Systems, Inc.
(NON) 9,600 278,400 21,900 635,100 -- --
Davox Corp. (NON) 27,000 722,250 38,600 1,032,550 -- --
Decrane Aircraft Holdings 21,900 643,313 37,900 1,113,313 -- --
Dell Computer Corp. (NON) 70,500 3,802,594 107,700 5,809,069 9,800 528,588
Dendrite International,
Inc. (NON) 13,600 284,750 31,250 654,297 -- --
Digimarc Corp. (NON) 4,100 180,400 9,500 418,000 -- --
Dimension Data Holdings,
Ltd. (South Africa) 97,100 896,124 -- -- -- --
DuPont Photomasks, Inc.
(NON) 10,200 590,963 14,900 863,269 -- --
E-Tek Dynamics, Inc. (NON) 300 70,575 500 117,625 -- --
EMC Corp. (NON) 36,500 4,562,500 55,700 6,962,500 5,201 650,108
EarthWeb, Inc. (NON) 3,300 81,263 8,200 201,925 -- --
Eastman Kodak Co. 28,260 1,534,871 34,830 1,891,704 4,816 261,569
Easynet Group Plc (United
Kingdom) (NON) 16,279 589,778 -- -- -- --
Effnet Group AB (Sweden)
(NON) 10,261 747,108 -- -- -- --
El Sitio, Inc. (Argentina)
(NON) 9,500 203,656 -- -- -- --
Electronic Arts, Inc. (NON) 600 42,713 1,100 78,306 -- --
Electronic Data Systems
Corp. 25,000 1,604,688 38,540 2,473,786 4,700 301,681
Electronics for Imaging,
Inc. (NON) 500 30,000 900 54,000 -- --
eLoyalty Corp. (NON) 14,900 355,738 34,200 816,525 -- --
Emulex Corp. (NON) 1,800 196,425 -- -- -- --
Enea Data AB (Sweden) 8,607 1,641,304 -- -- -- --
Entrust Technologies, Inc.
(NON) 600 51,047 -- -- -- --
Epcos AG (Germany) (NON) 12,900 1,700,091 -- -- -- --
Exar Corp. (NON) 11,700 837,281 25,050 1,792,641 -- --
Exchange Applications, Inc.
(NON) 18,200 963,178 36,800 1,947,525 -- --
Exodus Communications, Inc.
(NON) 1,300 182,650 2,300 323,150 -- --
F-Secure Oyj (Finland)
(NON) 10,670 763,424 -- -- -- --
Fair, Isaac and Company,
Inc. 8,000 311,000 11,400 443,175 -- --
Fantastic Corp.
(Switzerland) (NON) 44,430 1,314,077 -- -- -- --
FileNET Corp. (NON) 23,100 687,225 29,700 883,575 -- --
Fiserv, Inc. (NON) 700 26,031 1,200 44,625 -- --
Framtidsfabriken AB
(Sweden) (NON) 69,910 1,704,807 -- -- -- --
Freenet.de (Germany) (NON) 1,323 146,562 -- -- -- --
Fujitsu, Ltd. (Japan) (NON) 112,300 3,455,553 138,300 4,255,592 16,900 520,025
Fujitsu Support and
Services, Inc. 144A
(Japan) 2,600 439,641 -- -- -- --
GN Store Nord (Denmark) 4,000 346,634 -- -- -- --
Gateway, Inc. (NON) 12,800 678,400 17,300 916,900 2,100 111,300
General Cable Corp. 150,400 1,175,000 214,000 1,671,875 -- --
Genrad, Inc . (NON) 27,600 341,550 39,400 487,575 -- --
Gerber Scientific, Inc. 32,300 623,794 46,000 888,375 -- --
GigaMedia, Ltd. (Taiwan)
(NON) 8,200 444,850 -- -- -- --
Gilat Satellite Networks,
Ltd. (Israel) (NON) 5,100 597,975 -- -- -- --
GlobeSpan, Inc. (NON) 1,800 183,488 -- -- -- --
Globix Corp. (NON) 30,600 1,166,625 67,600 2,577,250 -- --
Go2Net, Inc. (NON) 1,500 120,844 -- -- -- --
HCL Technologies, Ltd.
(India) (NON) 9,800 391,314 -- -- -- --
Hannsoft, Inc. (South
Korea) (NON) 9,400 221,176 -- -- -- --
Harmonic Lightwaves, Inc.
(NON) 2,000 166,500 -- -- -- --
Helix Technology Corp. 24,150 1,450,509 42,000 2,522,625 -- --
Hewlett-Packard Co. 32,270 4,277,792 46,630 6,181,389 4,800 636,300
Himachal Futuristic
Communications, Ltd.
(India) (NON) 9,700 377,053 -- -- -- --
Hirose Electric Co., Ltd.
(Japan) 1,800 254,782 -- -- -- --
HiQ International AB
(Sweden) (NON) 4,481 335,586 -- -- -- --
Hitachi, Ltd. (Japan) (NON) 47,000 559,666 -- -- -- --
Hon Hai Precision Industry
(Taiwan) 173,000 2,010,171 147,000 1,708,065 -- --
Hyperion Solutions Corp.
(NON) 11,500 373,750 16,800 546,000 -- --
I2 Technologies, Inc. (NON) 16,200 1,978,425 23,800 2,906,575 2,850 348,056
IBM Corp. 41,300 4,873,400 61,300 7,233,400 4,900 578,200
IFR Systems, Inc. (NON) 7,900 48,388 11,400 69,825 -- --
I.Net SpA (Italy) (NON) 300 50,424 -- -- -- --
ILOG S.A. (France) (NON) 3,673 231,509 -- -- -- --
IPC Communications, Inc.
(NON) 300 61,800 -- -- -- --
ISS Group, Inc. (NON) 2,100 244,650 -- -- -- --
Imation Corp. (NON) 13,200 352,275 18,800 501,725 -- --
Inet Technologies, Inc.
(NON) 1,300 68,819 -- -- -- --
Infineon Technologies AG
(Germany) (NON) 300 16,345 -- -- -- --
In Focus Systems, Inc.
(NON) 5,800 207,713 -- -- -- --
InfoSpace.com, Inc. (NON) 6,900 1,003,519 10,300 1,498,006 1,200 174,525
Informa Group Plc (United
Kingdom) 43,445 477,385 -- -- -- --
Informatica Corp. (NON) 8,800 675,950 20,000 1,536,250 -- --
Informix Corp. (NON) 9,900 167,681 -- -- -- --
Infosys Technologies, Ltd.
(India) 6,250 1,277,547 -- -- -- --
Inktomi Corp. (NON) 500 97,500 900 175,500 -- --
Insight Enterprises, Inc.
(NON) 2,000 72,875 -- -- -- --
Integrated Information
Systems, Inc. (NON) 2,800 61,031 6,400 139,500 -- --
Integrated Silicon
Solutions, Inc. (NON) 18,800 551,075 43,000 1,260,438 -- --
Intel Corp. 97,000 12,797,938 149,400 19,711,463 12,900 1,701,994
Inter-Tel, Inc. 10,400 284,700 15,100 413,363 -- --
InterDigital Communications
Corp. (NON) 2,200 55,550 -- -- -- --
International Rectifier
Corp. (NON) 22,300 850,188 24,600 937,875 -- --
Intershop Communications AG
(Germany) (NON) 239 120,285 -- -- -- --
Intervoice-brite, Inc.
(NON) 17,300 499,538 25,200 727,650 -- --
JDA Software Group, Inc.
(NON) 27,700 405,113 39,500 577,688 -- --
JDS Uniphase Corp. (NON) 49,400 5,955,788 73,200 8,825,175 8,400 1,012,725
Jabil Circuit, Inc. (NON) 800 34,600 1,400 60,550 -- --
Johnson Electric Holdings,
Ltd. (Hong Kong) 115,500 789,877 -- -- -- --
Juniper Networks, Inc.
(NON) 8,900 2,345,706 13,000 3,426,313 1,600 421,700
K Laser Technology, Inc.
(Taiwan) (NON) 101,000 284,250 -- -- -- --
KEMET Corp. (NON) 2,700 170,775 -- -- -- --
KLA Tencor Corp. (NON) 1,500 126,375 2,600 219,050 -- --
KPNQwest N.V. (Netherlands)
(NON) 46,650 2,477,022 -- -- -- --
Keane, Inc. (NON) 14,400 363,600 19,200 484,800 -- --
Kent Electronics Corp.
(NON) 35,400 1,033,238 54,200 1,581,963 -- --
Kewill Systems Plc (United
Kingdom) 5,540 167,715 -- -- -- --
Kopin Corp. (NON) 1,800 123,750 -- -- -- --
Korealink Co., Ltd. (South
Korea) (NON) 4,000 267,873 -- -- -- --
Kronos, Inc. (NON) 5,900 174,788 13,000 385,125 -- --
Kyocera Corp. (Japan) (NON) 49,200 8,247,260 48,400 8,113,158 5,800 972,238
LAM Research Corp. (NON) 39,300 1,770,956 52,200 2,352,263 6,600 297,413
LSI Logic Corp. (NON) 38,900 2,825,113 57,400 4,168,675 6,600 479,325
LTX Corp. (NON) 26,600 1,201,988 61,100 2,760,956 -- --
Legato Systems, Inc. (NON) 600 26,775 1,100 49,088 -- --
Legend Holdings, Ltd. (Hong
Kong) 224,000 349,528 -- -- -- --
Lexmark International
Group, Inc. Class A (NON) 10,100 1,068,075 15,100 1,596,825 1,600 169,200
Lightbridge, Inc. (NON) 4,100 95,838 -- -- -- --
Linear Technology Corp. 2,600 143,000 4,600 253,000 -- --
Littlelfuse, Inc. (NON) 26,000 953,875 32,900 1,207,019 -- --
Logica Plc (United Kingdom) 61,300 2,051,001 -- -- -- --
Logitech International
(Switzerland) (NON) 1,165 735,473 -- -- -- --
Lucent Technologies, Inc. 24,600 1,494,450 43,300 2,630,475 -- --
Lycos, Inc. 700 49,175 1,200 84,300 -- --
M-Systems Flash Disk
Pioneers, Ltd. (Israel)
(NON) 6,500 344,500 -- -- -- --
MIH, Ltd. (United Kingdom)
(NON) 16,475 1,004,975 -- -- -- --
MKS Instruments, Inc. (NON) 1,700 85,850 -- -- -- --
MTS Systems Corp. 46,100 351,513 66,700 508,588 -- --
Macromedia, Inc. (NON) 300 27,094 500 45,156 -- --
Magic Software Enterprises,
Ltd. (Israel) (NON) 17,100 324,900 -- -- -- --
Management Neetwork Group,
Inc. (The) (NON) 24,600 662,663 49,000 1,319,938 -- --
MarchFirst, Inc. (NON) 606 21,609 1,038 37,044 -- --
MarketWatch.com, Inc. (NON) 4,000 138,000 9,300 320,850 -- --
Matsushita Communication
Industrial Co., Ltd.
(Japan) 17,000 3,138,615 -- -- -- --
Matsushita Electric
Industrial Co. 70,000 2,099,248 -- -- -- --
Mattson Technology, Inc.
(NON) 3,900 166,238 8,900 379,363 -- --
Maxim Integrated Products,
Inc. (NON) 2,100 149,231 3,700 262,931 -- --
Maxtor Corp. (NON) 3,100 40,106 -- -- -- --
McAfee.com Corp. (NON) 5,700 294,619 13,100 677,106 -- --
Mentor Graphics Corp. (NON) 39,000 589,875 56,100 848,513 -- --
Mercury Computer Systems,
Inc. (NON) 2,700 131,963 -- -- -- --
Mercury Interactive Corp.
(NON) 5,400 427,950 -- -- -- --
Methode Electronics, Inc. 23,300 1,176,650 33,300 1,681,650 -- --
Micrel, Inc. (NON) 9,000 864,000 20,800 1,996,800 -- --
MicroStrategy, Inc. (NON) 3,200 278,600 -- -- -- --
Microchip Technology, Inc.
(NON) 700 46,025 1,200 78,900 -- --
Micromuse, Inc. (NON) 12,800 1,776,800 20,200 2,804,013 900 124,931
Micron Technology, Inc.
(NON) 1,700 214,200 3,000 378,000 -- --
Microsoft Corp. (NON) 126,800 13,472,500 194,400 20,655,000 17,600 1,870,000
Mitsumi Electric Company,
Ltd. (Japan) 23,000 844,779 -- -- -- --
Molex, Inc. 500 29,375 875 51,406 -- --
Motorola, Inc. 37,000 5,267,875 54,100 7,702,488 5,700 811,538
Murata Manufacturing Co.,
Ltd. (Japan) 8,000 1,949,790 -- -- -- --
NCR Corp. (NON) 900 36,113 1,600 64,200 -- --
NEC Corp. (Japan) (NON) 208,082 6,158,918 244,985 7,251,192 30,000 887,955
NICE Systems, Ltd. ADR
(Israel) (NON) 8,500 605,625 -- -- -- --
NOVA Corp./Georgia (NON) 600 17,475 1,100 32,038 -- --
NVIDIA Corp. (NON) 3,100 261,902 -- -- -- --
Nanometrics, Inc. (NON) 11,650 567,938 26,820 1,307,475 -- --
National Computer Systems,
Inc. 11,500 583,625 13,100 664,825 -- --
National Data Corp. 17,000 442,000 24,200 629,200 -- --
National Semiconductor
Corp. (NON) 1,300 78,813 2,300 139,438 -- --
Natural Microsystems Corp.
(NON) 13,000 1,114,750 24,300 2,083,725 -- --
NetCom Systems AB Class B,
(Sweden) (NON) 1,720 148,094 3,690 317,714 361 31,083
Netegrity, Inc. (NON) 8,300 568,550 19,000 1,301,500 -- --
Network Appliance, Inc.
(NON) 12,400 1,026,100 20,000 1,655,000 2,000 165,500
Network Associates, Inc.
(NON) 1,100 35,475 1,900 61,275 -- --
Nortel Networks Corp.
(Canada) (NON) 19,200 2,412,586 -- -- -- --
Nortel Networks Corp.
(Canada) (NON) 1,170 147,420 -- -- -- --
Novadigm, Inc. (NON) 10,100 164,125 23,200 377,000 -- --
Novell, Inc. (NON) 2,500 71,563 4,400 125,950 -- --
Novellus Systems, Inc.
(NON) 900 50,513 1,600 89,800 -- --
Open Text Corp. (Canada)
(NON) 6,270 186,041 -- -- -- --
Oracle Corp. (Japan) 1,700 1,428,153 -- -- -- --
Oracle Corp. (NON) 65,000 5,074,063 99,900 7,798,444 8,800 686,950
Orbotech, Ltd. (Israel)
(NON) 10,900 926,500 -- -- -- --
Orckit Communications, Ltd.
(Israel) (NON) 13,600 911,200 -- -- -- --
Oy Nokia AB Class A,
(Finland) 78,029 16,468,411 75,548 15,944,783 9,111 1,922,922
PMC - Sierra, Inc. (NON) 8,500 1,731,344 12,800 2,607,200 1,400 285,163
PRI Automation, Inc. (NON) 1,300 79,463 -- -- -- --
PSi Technologies Holdings,
Inc. ADR (Philippines)
(NON) 9,700 161,263 21,800 362,425 -- --
PT Multimedia Servicos
(Portugal) (NON) 7,397 656,965 -- -- -- --
Pace Micro Technology Plc
(United Kingdom) 95,238 1,428,699 -- -- -- --
Parametric Technology Corp.
(NON) 2,300 48,444 4,000 84,250 -- --
Park Electrochemical Corp. 17,700 433,650 25,100 614,950 -- --
Paychex, Inc. 1,400 73,325 2,500 130,938 -- --
Pentamedia Graphics, Ltd.
(India) 14,000 371,667 -- -- -- --
Pentamedia Graphics, Ltd.
GDR (India) 2,813 105,488 -- -- -- --
PeopleSoft, Inc. (NON) 1,100 22,000 1,900 38,000 -- --
Peregrine Systems, Inc.
(NON) 1,500 100,594 -- -- -- --
Performance Technologies,
Inc. (NON) 22,700 986,031 34,700 1,507,281 -- --
PerkinElmer, Inc. 18,000 1,197,000 21,400 1,423,100 2,700 179,550
Perlos Oyj (NON) 41,351 1,469,036 -- -- -- --
Philips Electronics N.V.
(Netherlands) (NON) 46,963 7,875,601 59,976 10,057,855 9,248 1,550,871
Phoenix Technologies, Ltd.
(NON) 16,900 357,013 24,700 521,788 -- --
Photon Dynamics, Inc. (NON) 4,700 324,300 7,400 510,600 -- --
Pilot Network Services,
Inc. (NON) 6,600 218,213 15,100 499,244 -- --
Pioneer-Standard
Electronics, Inc. 61,200 963,900 87,000 1,370,250 -- --
Polaroid Corp. 17,100 406,125 24,800 589,000 -- --
Polycom, Inc. (NON) 2,500 197,969 -- -- -- --
Portal Software, Inc. (NON) 12,700 723,106 18,500 1,053,344 2,300 130,956
Power Integrations, Inc.
(NON) 8,500 212,500 11,300 282,500 -- --
Power-One, Inc. (NON) 1,800 108,675 -- -- -- --
Powerwave Technologies,
Inc. (NON) 7,000 875,000 12,000 1,500,000 -- --
Predictive Systems, Inc.
(NON) 4,200 191,363 9,700 441,956 -- --
Premier Farnell Plc (United
Kingdom) 67,305 423,162 -- -- -- --
Project Software &
Development, Inc. (NON) 4,700 265,550 5,600 316,400 -- --
Proxicom, Inc. (NON) 8,900 394,381 17,300 766,606 -- --
Proxim, Inc. (NON) 8,300 993,406 15,400 1,843,188 -- --
PsiNet, Inc. (NON) 700 23,811 1,200 40,819 -- --
QLogic Corp. (NON) 600 81,300 1,100 149,050 -- --
QUALCOMM, Inc. (NON) 33,300 4,972,106 50,200 7,495,488 5,200 776,425
Quantum Corp. (NON) 2,000 23,875 3,500 41,781 -- --
Quantum Effect Devices,
Inc. (NON) 2,700 214,988 5,700 453,863 -- --
RADVision, Ltd. (Israel)
(NON) 3,300 172,838 -- -- -- --
RF Micro Devices, Inc.
(NON) 400 53,750 700 94,063 -- --
RadiSys Corp. (NON) 5,800 348,725 13,600 817,700 -- --
Rare Medium Group, Inc.
(NON) 1,200 52,950 -- -- -- --
Rational Software Corp.
(NON) 700 53,550 1,200 91,800 -- --
Razorfish, Inc. (NON) 9,374 257,785 21,750 598,125 -- --
RealNetworks, Inc. (NON) 500 28,469 900 51,244 -- --
Reback Networks Inc. (NON) 6,000 1,799,625 8,800 2,639,450 1,100 329,931
Recoton Corp. (NON) 49,000 578,813 63,100 745,369 -- --
Remedy Corp. (NON) 2,100 88,463 -- -- -- --
Riverdeep Group Plc ADR
(Ireland) (NON) 5,000 201,563 -- -- -- --
Rohm Co., Ltd. (Japan) 4,900 1,708,801 -- -- -- --
Rudolph Technologies, Inc.
(NON) 4,737 213,165 8,100 364,500 -- --
SAP AG (Germany) 600 335,778 -- -- -- --
SAP AG (Germany) 1,441 1,035,557 2,502 1,798,031 305 219,184
SCI Systems, Inc. (NON) 1,200 64,575 2,200 118,388 -- --
SDL, Inc. (NON) 7,200 1,532,700 11,000 2,341,625 1,200 255,450
SEI Investments Co. 300 34,031 500 56,719 -- --
SERENA Software, Inc. (NON) 7,350 234,281 -- -- -- --
SSI, Ltd 144A GDR (NON) 6,000 82,500 -- -- -- --
STMicroelectronics (France) 11,335 2,078,386 -- -- -- --
Sabre Group Holdings, Inc. 289 10,677 506 18,685 -- --
Safeguard Scientifics, Inc.
(NON) 900 63,281 1,500 105,469 -- --
Sage Group (The) Plc
(United Kingdom) 73,300 821,197 -- -- -- --
Samsung Electro-Mechanics
Co. (South Korea) (NON) 13,300 929,195 -- -- -- --
Samsung Electronics Co.
(South Korea) 34,299 10,398,339 22,467 6,811,262 -- --
SanDisk Corp. (NON) 3,100 379,750 -- -- -- --
Sanmina Corp. (NON) 1,000 67,563 1,800 121,613 -- --
Sapient Corp. (NON) 200 16,775 400 33,550 -- --
Satama International 144A
(Finland) (NON) 500 11,460 -- -- -- --
Satyam Computer Services,
Ltd. (India) 4,400 447,446 -- -- -- --
Sawtek, Inc. (NON) 2,400 126,150 -- -- -- --
Scientific-Atlanta, Inc. 1,200 76,125 2,200 139,563 -- --
SeaChange Inernational,
Inc. (NON) 14,100 868,913 32,350 1,993,569 -- --
Seagate Technology, Inc.
(NON) 800 48,200 1,400 84,350 -- --
SEMA Group Plc (United
Kingdom) 49,200 980,955 -- -- -- --
Semtech Corp. (NON) 1,600 102,500 -- -- -- --
Serome Technology, Inc.
(Korea) 1,170 59,718 -- -- -- --
Sharp Corp. (Japan) 31,400 673,273 -- -- -- --
Shin Corp. Plc (Thailand)
(NON) 24,300 177,194 -- -- -- --
Siebel Systems, Inc. (NON) 13,200 1,576,575 19,600 2,340,975 2,200 262,763
SilverStream Software, Inc.
(NON) 2,800 206,850 6,900 509,738 -- --
Sipex Corp. (NON) 23,200 819,250 53,000 1,871,563 -- --
Softbank Corp. (Japan) 3,700 3,307,121 -- -- -- --
Software Solution (India) 2,300 234,196 -- -- -- --
Solectron Corp. (NON) 3,600 144,225 6,400 256,400 -- --
SpectraLink Corp. (NON) 11,400 205,200 25,100 451,800 -- --
Splash Technology Holdings,
Inc. (NON) 14,000 175,000 20,000 250,000 -- --
SportsLine USA, Inc. (NON) 6,800 200,175 15,620 459,814 -- --
Spyglass, Inc. (NON) 3,300 255,905 5,000 387,734 -- --
St Assembly Test Service,
Ltd. (Singapore) (NON) 3,351 162,524 -- -- -- --
StarMedia Network, Inc.
(NON) 7,000 210,438 -- -- -- --
Sterling Software, Inc.
(NON) 500 15,250 900 27,450 -- --
Stonesoft Oyj (Finland)
(NON) 2,000 46,986 -- -- -- --
Stonesoft Oyj 144A
(Finland) (NON) 8,700 204,389 -- -- -- --
Sun Microsystems, Inc.
(NON) 47,500 4,450,898 72,900 6,830,958 6,400 599,700
Sunevision Holdings, Ltd.
144A (Hong Kong) (NON) 49,000 81,808 -- -- -- --
SunGard Data Systems, Inc.
(NON) 900 33,975 1,600 60,400 -- --
Superior TeleCom, Inc. 43,400 558,775 51,500 663,063 -- --
Swatch Group AG (The)
(Switzerland) 1,299 1,512,951 2,210 2,573,997 269 313,306
Symantec Corp. (NON) 500 37,563 900 67,613 -- --
Symbol Technologies, Inc. 700 57,619 1,200 98,775 -- --
Synnex Technology
International Corp. GDR 12,100 382,663 -- -- -- --
Synopsys, Inc. (NON) 700 34,125 1,200 58,500 -- --
T/R Systems, Inc. (NON) 8,200 182,450 18,700 416,075 -- --
TCL International (Hong
Kong) (NON) 270,000 202,851 -- -- -- --
TDK Corp. (Japan) (NON) 13,000 1,775,325 -- -- -- --
Taiwan Semiconductor
Manufacturing Co. (Taiwan) 596,000 4,021,725 412,000 2,780,119 -- --
Technitrol, Inc. 10,950 637,838 12,300 716,475 -- --
Technology Solutions Co. 29,500 269,188 68,900 628,713 -- --
Tecnost SpA (Italy) (NON) 111,600 420,983 -- -- -- --
Tektronix, Inc. 10,150 568,400 14,400 806,400 -- --
Telefonaktiebolaget LM
Ericsson Class B, (Sweden)
(NON) 102,405 8,982,895 138,631 12,160,614 19,672 1,725,614
Telelogic AB (Sweden) (NON) 9,849 887,851 -- -- -- --
Teleste Oyj (Finland) 19,707 447,920 -- -- -- --
Tellabs, Inc. (NON) 2,700 170,058 4,800 302,325 -- --
Telxon Corp. 33,700 591,856 48,700 855,294 -- --
Teradyne, Inc. (NON) 22,400 1,842,400 34,200 2,812,950 4,000 329,000
Terayon Communications
Systems, Inc. (NON) 1,300 266,500 -- -- -- --
Texas Instruments, Inc. 31,100 4,976,000 47,000 7,520,000 4,600 736,000
Titan Corp. (The) (NON) 1,200 61,200 -- -- -- --
Tokyo Electron, Ltd.
(Japan) (NON) 5,000 757,058 -- -- -- --
Tollgrade Communications,
Inc. (NON) 9,800 519,400 22,600 1,197,800 -- --
Toshiba Corp. 437,000 4,465,195 464,000 4,741,076 57,000 582,417
TranSwitch Corp. (NON) 5,250 504,656 7,375 708,922 -- --
TriQuint Semiconductor,
Inc. (NON) 2,800 205,800 -- -- -- --
United Microelectronics
Corp. (Taiwan) 469,000 1,821,659 -- -- -- --
U.S. Interactive, Inc.
(NON) 4,200 150,150 10,200 364,650 300 10,725
UTStarcom, Inc. (NON) 3,100 241,994 -- -- -- --
Unisys Corp. (NON) 2,600 66,300 4,600 117,300 -- --
Universal Electronics, Inc.
(NON) 9,700 235,225 22,100 535,925 -- --
VERITAS Software Corp.
(NON) 43,200 5,659,200 63,650 8,338,150 7,625 998,875
Varian Medical Systems,
Inc. (NON) 11,400 520,125 15,900 725,438 -- --
Veeco Instruments, Inc.
(NON) 8,200 606,800 18,700 1,383,800 -- --
Venture Manufacturing, Ltd.
(Singapore) 107,187 1,472,177 -- -- -- --
VeriSign, Inc. (NON) 9,200 1,375,400 14,100 2,107,950 1,600 239,200
Verio Inc. (NON) 500 22,531 900 40,556 -- --
Verity, Inc. (NON) 15,100 615,325 29,500 1,202,125 -- --
Vertel Corp. (NON) 12,400 262,725 28,500 603,844 -- --
Vignette Corp. (NON) 200 32,050 400 64,100 -- --
Vishay Intertechnology,
Inc. (NON) 9,300 517,313 13,600 756,500 -- --
Vitesse Semiconductor Corp.
(NON) 16,900 1,626,625 25,000 2,406,250 2,900 279,125
W W Grainger 20,160 1,093,680 26,875 1,457,969 3,665 198,826
WMS Industries, Inc. (NON) 4,700 46,413 -- -- -- --
Websense, Inc. (NON) 2,000 96,125 4,500 216,281 -- --
Westell Technologies, Inc.
(NON) 2,100 66,938 -- -- -- --
Winbond Electronics Corp.
GDR (Taiwan) (NON) 65,900 1,935,813 -- -- -- --
Wind River Systems (NON) 3,772 136,735 -- -- -- --
Wipro, Inc. (India) (NON) 6,800 857,713 -- -- -- --
Woodhead Industries, Inc. 20,000 346,250 29,000 502,063 -- --
X-Rite, Inc. 70,400 712,800 70,000 708,750 -- --
Xerox Corp. 29,790 774,540 40,760 1,059,760 4,695 122,070
Xilinx, Inc. (NON) 28,500 2,360,156 42,300 3,502,969 4,800 397,500
Xircom, Inc. (NON) 1,200 44,400 -- -- -- --
Yahoo! Inc. (NON) 8,222 1,409,045 12,900 2,210,738 1,176 201,537
Yahoo Japan Corp. (Japan)
(NON) 4 2,434,307 -- -- -- --
YouthStream Media Networks,
Inc. (NON) 12,800 168,000 29,300 384,563 -- --
Zamba Corp. (NON) 30,600 320,344 59,000 617,656 -- --
Zoran Corp. (NON) 16,000 901,000 36,700 2,066,669 -- --
Zygo Corp. (NON) 3,200 154,400 7,300 352,225 -- --
-------------- -------------- --------------
405,956,990 450,855,872 34,334,722
Transportation 0.7% 0.6% 0.2%
- ----------------------------------------------------------------------------------------------------------------------------
AMR Corp. 400 12,750 700 22,313 -- --
British Airways Plc (United
Kingdom) 7,900 41,454 -- -- -- --
Burlington Northern Santa
Fe Corp. 75,000 1,659,375 100,400 2,221,350 12,900 285,413
C.H. Robinson Worldwide,
Inc. 6,000 223,500 -- -- -- --
CSX Corp. 17,600 413,600 32,500 763,750 3,400 79,900
Canadian National Railway
Co. (NON) 29,300 773,340 -- -- -- --
Cathay Pacific Airways
(Hong Kong) 47,000 69,717 -- -- -- --
Circle International Group,
Inc. 15,000 390,000 21,400 556,400 -- --
Continental Airlines, Inc.
(NON) 600 24,525 1,100 44,963 -- --
Delta Air Lines, Inc. 19,500 1,038,375 27,635 1,471,564 3,700 197,025
Deutsche Lufthansa AG
(Germany) 56,833 1,294,471 54,770 1,247,483 6,332 144,222
Expeditors International of
Washington, Inc. 14,740 585,915 27,040 1,074,840 -- --
FedEx Corp. (NON) 26,900 1,049,100 37,100 1,446,900 4,800 187,200
Finnliness Oyj (Finland) 13,252 259,441 -- -- -- --
Fritz Companies, Inc. (NON) 33,200 336,150 58,500 592,313 -- --
GATX Corp. 600 22,800 1,100 41,800 -- --
Kansas City Southern
Industries, Inc. 900 77,344 1,600 137,500 -- --
Kuehne & Nagel
International AG
(Switzerland) 614 566,128 -- -- -- --
Landstar Systems, Inc.
(NON) 2,300 125,925 -- -- -- --
Midwest Express Holdings,
Inc. (NON) 14,000 358,750 20,400 522,750 -- --
Ryder System, Inc. 900 20,419 1,600 36,300 -- --
SkyWest, Inc. 3,100 121,288 -- -- -- --
Southwest Airlines Co. 113,167 2,355,288 121,460 2,527,886 19,082 397,144
Stinnes AG (Germany) (NON) 22,499 393,204 -- -- -- --
TNT Post Group N.V.
(Netherlands) 4,800 107,586 -- -- -- --
UAL Corp. (NON) 300 17,963 500 29,938 -- --
USFreightways Corp. 19,100 715,056 27,600 1,033,275 -- --
Union Pacific Corp. 1,900 74,338 3,300 129,113 -- --
Wabash National Corp. 25,800 359,588 36,700 511,506 -- --
-------------- -------------- --------------
13,487,390 14,411,944 1,290,904
Utilities 1.9% 1.3% 0.5%
- ----------------------------------------------------------------------------------------------------------------------------
ACEA SpA (Italy) (NON) 54,776 987,633 -- -- -- --
AES Corp. (NON) 1,200 94,500 2,100 165,375 -- --
AGL Resources, Inc. 17,500 321,563 25,300 464,888 -- --
Anglian Water Plc (United
Kingdom) (NON) 15,800 130,399 -- -- -- --
Anglian Water Plc (United
Kingdom) (NON) 2,022,400 1,610 -- -- -- --
BSES, Ltd. GDR (India) 35,600 194,390 -- -- -- --
Calpine Corp. (NON) 500 47,000 900 84,600 -- --
Carolina Power & Light Co. 53,200 1,725,675 72,800 2,361,450 9,300 301,669
Celcaribe (NON) 28,943 7,236 -- -- 2,316 579
Central & SouthWest Corp. 900 15,356 1,600 27,300 -- --
Chubu Electric Power, Inc.
(Japan) 15,800 246,176 -- -- -- --
CiNergy Corp. 34,900 750,350 40,920 879,780 6,400 137,600
Citizens Utilities Co.
Class B (NON) 1,100 18,013 1,900 31,113 -- --
Coastal Corp. 2,000 92,000 3,500 161,000 -- --
Columbia Gas System, Inc. 500 29,625 900 53,325 -- --
Consolidated Edison, Inc. 2,600 75,400 4,600 133,400 -- --
Constellation Energy Group 500 15,938 900 28,688 -- --
DPL, Inc. 73,482 1,630,382 98,144 2,177,570 13,074 290,079
Dominion Resources, Inc. 22,420 861,769 31,341 1,204,670 3,624 139,298
Duke Energy Corp. 44,900 2,357,250 62,185 3,264,713 7,500 393,750
Dynegy, Inc. 1,200 75,300 2,100 131,775 -- --
Edison International 57,345 949,777 78,060 1,292,869 9,865 163,389
El Paso Energy Corp. 2,600 104,975 4,600 185,725 -- --
Electrabel S.A. (Belgium) 800 211,246 -- -- -- --
Electricidade de Portugal
S.A. (Portugal) 7,900 147,495 -- -- -- --
Eletropaulo Metropolitana
S.A. (Brazil) 6,700 504,334 -- -- -- --
Enron Corp. 19,000 1,422,625 30,000 2,246,250 2,500 187,188
Entergy Corp. 72,500 1,463,594 97,900 1,976,356 12,700 256,381
FPL Group, Inc. 1,800 82,913 3,200 147,400 -- --
Hong Kong and China Gas
Co., Ltd. (Hong Kong) 158,000 197,842 -- -- -- --
Hong Kong Electric
Holdings, Ltd. (Hong Kong) 306,000 923,521 -- -- -- --
Iberdola S.A. (Spain) (NON) 144,500 1,880,906 -- -- -- --
Independent Energy Holdings
Plc (United Kingdom) (NON) 13,528 622,603 -- -- -- --
Independent Energy Holdings
Plc (United Kingdom) (NON) 19,500 875,063 44,700 2,005,913 -- --
Korea Electric Power Corp.
(South Korea) 38,100 1,086,109 -- -- -- --
Manila Electric Co. Class
B, (Philippines) 77,900 136,633 -- -- -- --
McLeod, Inc. Class A (NON) 26,900 2,281,456 39,600 3,358,575 4,800 407,100
Minnesota Power, Inc. 1,900 31,588 3,300 54,863 -- --
Montana Power Co. 400 25,600 700 44,800 -- --
NSTAR (NON) 900 37,800 1,600 67,200 -- --
New Century Energies, Inc. 1,100 33,069 1,900 57,119 -- --
PPL Corp. 900 18,844 1,600 33,500 -- --
Pacific Gas & Electric Co. 22,800 478,800 68,350 1,435,350 -- --
Peco Energy Co. 1,800 66,375 3,200 118,000 -- --
Potomac Electric Power Co. 800 18,100 1,400 31,675 -- --
Public Service Company of
New Mexico 14,100 222,075 20,400 321,300 -- --
Public Service Enterprise
Group, Inc. 2,200 65,175 3,900 115,538 -- --
Puget Sound Energy, Inc. 700 15,531 1,200 26,625 -- --
Reliant Energy, Inc. 37,300 874,219 50,900 1,192,969 5,900 138,281
Scottish and Southern
Energy Plc (United
Kingdom) 126,500 1,033,445 -- -- -- --
Scottish Power Plc (United
Kingdom) 536,817 4,340,659 280,957 2,271,795 73,913 597,655
Sempra Energy 24,674 413,290 21,194 355,000 3,864 64,722
Shandong International
Power Development Co.,
Ltd. (China) (NON) 1,032,000 110,006 -- -- -- --
Southern Co. 1,900 41,325 3,300 71,775 -- --
Teco Energy, Inc. 1,000 19,438 1,800 34,988 -- --
Texas Utilities Co. 81,712 2,425,825 84,810 2,517,797 13,160 390,688
Tokyo Electric Power Co.
(Japan) 39,400 865,976 -- -- -- --
Utilicorp United, Inc. 2,400 43,350 4,200 75,863 -- --
Veba (Vereinigte
Elektrizitaets Bergwerks)
AG (Germany) (NON) 56,700 2,891,530 -- -- -- --
Viridian Group Plc (United
Kingdom) 58,396 645,796 -- -- -- --
Williams Cos., Inc. 22,100 971,019 31,000 1,362,063 3,400 149,388
Wisconsin Energy Corp. 800 15,950 1,400 27,913 -- --
-------------- -------------- --------------
38,273,442 32,598,868 3,617,767
-------------- -------------- --------------
Total Common Stocks (cost
$1,286,907,399,
$1,185,488,475 and
$106,217,394) $1,444,277,990 $1,470,326,453 $127,681,952
- ----------------------------------------------------------------------------------------------------------------------------
GROWTH BALANCED CONSERVATIVE
8.3% 11.7% 32.9%
CORPORATE BONDS Principal Principal Principal
AND NOTES (a) Amount Value Amount Value Amount Value
Advertising 0.1% --% 0.1%
- ----------------------------------------------------------------------------------------------------------------------------
Adams Outdoor Advertising
sr. notes 10 3/4s, 2006 $1,265,000 $ 1,287,138 $ -- $ -- $ 390,000 $ 396,825
Aerospace and Defense 0.1% 0.4% 0.9%
- ----------------------------------------------------------------------------------------------------------------------------
Argo-Tech Corp. company
guaranty 8 5/8s, 2007 835,000 634,600 -- -- 220,000 167,200
Argo-Tech Corp. company
guaranty Ser. D, 8 5/8s,
2007 630,000 538,650 -- -- 390,000 333,450
Aviation Sales Co. company
guaranty 8 1/8s, 2008 560,000 224,000 -- -- 130,000 52,000
BE Aerospace, Inc. sr. sub.
notes 9 1/2s, 2008 405,000 348,300 -- -- 430,000 369,800
BE Aerospace, Inc. sr. sub.
notes Ser. B, 8s, 2008 380,000 302,100 -- -- -- --
Lockheed Martin Corp. bonds
8 1/2s, 2029 -- -- 3,265,000 3,290,500 1,830,000 1,844,292
Lockheed Martin Corp.
company guaranty 7.45s,
2004 -- -- 2,450,000 2,407,027 1,755,000 1,724,217
Lockheed Martin Corp.
company guaranty 7 1/4s,
2006 -- -- 1,765,000 1,691,452 975,000 934,372
Raytheon Co. 144A notes
8.3s, 2010 -- -- 820,000 831,234 460,000 466,302
Sequa Corp. sr. notes 9s,
2009 -- -- 1,070,000 989,750 930,000 860,250
------------ ------------ --------------
2,047,650 9,209,963 6,751,883
Agriculture --% --% 0.1%
- ----------------------------------------------------------------------------------------------------------------------------
Premium Standard Farms,
Inc. sr. sec. notes 11s,
2003 (PIK) 21,122 19,221 -- -- 519,560 472,800
Automotive 0.2% 0.8% 1.8%
- ----------------------------------------------------------------------------------------------------------------------------
Aftermarket Technology
Corp. sr. sub. notes 12s,
2004 793,000 789,035 -- -- 398,000 396,010
Aftermarket Technology
Corp. sr. sub. notes Ser.
D, 12s, 2004 29,000 28,855 -- -- 302,000 300,490
Chrysler Corp. deb. Ser. B,
7.45s, 2097 -- -- 1,715,000 1,601,073 990,000 924,234
Daimlerchrysler Corp.
company guaranty 7.2s,
2009 -- -- 3,910,000 3,811,468 2,190,000 2,134,812
Delphi Automotive Systems
Corp. notes 6 1/8s, 2004 -- -- 3,530,000 3,325,966 2,025,000 1,907,955
Dura Operating Corp.
company guaranty Ser. B,
9s, 2009 520,000 462,800 -- -- 140,000 124,600
Federal Mogul Corp. notes 7
3/4s, 2006 -- -- 490,000 403,486 840,000 691,690
Federal Mogul Corp. notes 7
1/2s, 2009 150,000 115,449 2,290,000 1,762,521 2,470,000 1,901,060
Federal Mogul Corp. notes 7
3/8s, 2006 90,000 73,551 240,000 196,135 90,000 73,551
Ford Motor Co. bonds 6
5/8s, 2028 -- -- 2,340,000 2,057,773 1,410,000 1,239,940
General Motors Acceptance
Corp. notes 6 5/8s, 2002 -- -- 1,600,000 1,569,568 900,000 882,882
Hayes Lemmerz
International, Inc.
company guaranty Ser. B, 8
1/4s, 2008 340,000 282,200 -- -- -- --
Hayes Wheels International,
Inc. 144A sr. sub. notes 9
1/8s, 2007 -- -- -- -- 300,000 268,500
Hayes Wheels International,
Inc. company guaranty Ser.
B, 9 1/8s, 2007 505,000 486,063 -- -- 250,000 240,625
Hertz Corp. sr. notes 7s,
2028 -- -- 2,265,000 2,034,695 1,270,000 1,140,866
Lear Corp. sub. notes 9
1/2s, 2006 250,000 248,125 730,000 724,525 290,000 287,825
Navistar International
Corp. sr. notes Ser. B,
8s, 2008 -- -- 450,000 414,000 250,000 230,000
Navistar International
Corp. sr. notes Ser. B,
7s, 2003 400,000 382,000 640,000 611,200 250,000 238,750
Oxford Automotive, Inc.
company guaranty Ser. D,
10 1/8s, 2007 1,340,000 1,262,950 -- -- 330,000 311,025
Safety Components
International, Inc. sr.
sub. notes Ser. B, 10
1/8s, 2007 (In default)
(NON) 160,000 35,200 -- -- 35,000 7,700
Talon Automotive Group sr.
sub. notes Ser. B, 9 5/8s,
2008 780,000 351,000 -- -- 190,000 85,500
Transportation
Manufacturing Operations,
Inc. company guaranty 11
1/4s, 2009 -- -- -- -- 210,000 199,500
------------ ------------ --------------
4,517,228 18,512,410 13,587,515
Basic Industrial Products 0.2% 0.3% 0.7%
- ----------------------------------------------------------------------------------------------------------------------------
American Standard
Companies, Inc. sr. notes
7 3/8s, 2008 -- -- 785,000 704,538 375,000 336,563
American Standard
Companies, Inc. company
guaranty 7 1/8s, 2003 425,000 421,813 -- -- 110,000 109,175
Azurix Corp. 144A notes 10
3/8s, 2007 -- -- 1,750,000 1,750,000 1,700,000 1,700,000
Ball Corp. company guaranty
8 1/4s, 2008 290,000 272,600 2,030,000 1,908,200 250,000 235,000
Ball Corp. company guaranty
7 3/4s, 2006 130,000 122,850 -- -- 350,000 330,750
Blount, Inc. company
guaranty 13s, 2009 1,790,000 1,852,650 -- -- 465,000 481,275
Newcor, Inc. company
guaranty Ser. B, 9 7/8s,
2008 700,000 245,000 -- -- 200,000 70,000
Norampac, Inc. sr. notes 9
1/2s, 2008 (Canada) -- -- 1,350,000 1,329,750 1,150,000 1,132,750
Owens-Illinois, Inc. sr.
notes 8.1s, 2007 350,000 334,208 -- -- 460,000 439,245
Owens-Illinois, Inc. sr.
notes 7.35s, 2008 220,000 203,916 560,000 519,058 190,000 176,109
Owens-Illinois, Inc. sr.
notes 7.15s, 2005 260,000 242,759 670,000 625,572 230,000 214,749
Roller Bearing Co. company
guaranty Ser. B, 9 5/8s,
2007 -- -- -- -- 450,000 411,750
------------ ------------ --------------
3,695,796 6,837,118 5,637,366
Broadcasting 0.7% 0.1% 1.2%
- ----------------------------------------------------------------------------------------------------------------------------
AMFM Operating, Inc. deb.
12 5/8s, 2006 (PIK) 25,500 28,815 63,600 71,868 22,200 25,086
Allbritton Communications
Co. sr. sub. deb. Ser. B,
9 3/4s, 2007 -- -- -- -- 490,000 460,600
Benedek Communications
Corp. sr. disc. notes
stepped-coupon zero % (13
1/4s, 5/15/01), 2006 (STP) 850,000 765,000 -- -- 605,000 544,500
Capstar Broadcasting sr.
disc. notes stepped-coupon
zero % (12 3/4s, 2/1/02),
2009 (STP) 640,000 563,200 -- -- 915,000 805,200
Capstar Broadcasting sub.
deb. 12s, 2009 (PIK) 234,100 263,948 -- -- 56,900 64,155
Capstar Broadcasting sr.
sub. notes 9 1/4s, 2007 1,080,000 1,080,000 -- -- 195,000 195,000
Central European Media
Enterprises, Ltd. sr.
notes 9 3/8s, 2004
(Bermuda) 80,000 32,600 -- -- 20,000 8,150
Chancellor Media Corp.
company guaranty 8s, 2008 560,000 551,600 1,330,000 1,310,050 480,000 472,800
Charter Communications
Holdings LLC sr. notes 8
5/8s, 2009 3,210,000 2,824,800 -- -- 1,090,000 959,200
Citadel Broadcasting, Inc.
sr. sub. notes 10 1/4s,
2007 224,370 223,809 -- -- 340,000 339,150
Citadel Broadcasting, Inc.
company guaranty 9 1/4s,
2008 1,550,000 1,445,375 -- -- 400,000 373,000
Classic Cable, Inc. 144A
sr. sub. notes 10 1/2s,
2010 -- -- -- -- 240,000 237,000
Comcast UK Cable, Ltd. deb.
stepped-coupon zero %
(11.2s, 11/15/00), 2007
(Bermuda) (STP) 550,000 522,500 -- -- 1,090,000 1,035,500
Diamond Cable Communication
Co. sr. disc. notes
stepped-coupon zero % (10
3/4s, 2/15/02), 2007
(United Kingdom) (STP) 1,025,000 809,750 1,070,000 845,300 1,330,000 1,050,700
Fox Family Worldwide, Inc.
sr. notes 9 1/4s, 2007 1,100,000 957,000 -- -- 300,000 261,000
Fox/Liberty Networks LLC
sr. notes 8 7/8s, 2007 340,000 340,000 860,000 860,000 270,000 270,000
Granite Broadcasting Corp.
sr. sub. notes 10 3/8s,
2005 200,000 192,000 -- -- -- --
Granite Broadcasting Corp.
sr. sub. notes 9 3/8s,
2005 225,000 210,375 -- -- -- --
Granite Broadcasting Corp.
sr. sub. notes 8 7/8s,
2008 -- -- -- -- 150,000 129,000
LIN Holdings Corp. sr.
disc. notes stepped-coupon
zero % (10s, 3/1/2003),
2008 (STP) 350,000 216,125 -- -- 350,000 216,125
LIN Television Corp.
company guaranty 8 3/8s,
2008 350,000 304,500 -- -- 90,000 78,300
Lamar Media Corp. company
guaranty 8 5/8s, 2007 75,000 71,625 -- -- 10,000 9,550
PHI Holdings, Inc. sr. sub.
notes zero %, 2001 606,000 526,129 -- -- 788,000 684,142
Pegasus Communications
Corp. sr. notes Ser. B, 9
3/4s, 2006 150,000 144,000 -- -- 40,000 38,400
Pegasus Media &
Communications notes Ser.
B, 12 1/2s, 2005 200,000 214,000 -- -- 160,000 171,200
Radio One, Inc. company
guaranty Ser. B,
stepped-coupon 7s, (12s,
5/15/00), 2004 (STP) 15,000 15,600 -- -- 300,000 312,000
SFX Entertainment, Inc.
company guaranty 9 1/8s,
2008 290,000 287,100 -- -- -- --
Spanish Broadcasting
Systems sr. sub notes 9
5/8s, 2009 860,000 817,000 -- -- 260,000 247,000
------------ ------------ --------------
13,406,851 3,087,218 8,986,758
Building and Construction 0.1% 0.1% 0.2%
- ----------------------------------------------------------------------------------------------------------------------------
Albecca, Inc. company
guaranty 10 3/4s, 2008 450,000 355,500 -- -- 110,000 86,900
American Architectural
Products Corp. company
guaranty 11 3/4s, 2007 125,000 31,250 -- -- 25,000 6,250
Atrium Companies, Inc.
company guaranty Ser. B,
10 1/2s, 2009 210,000 198,450 -- -- 50,000 47,250
Building Materials Corp.
company guaranty 8s, 2008 330,000 285,450 820,000 709,300 590,000 510,350
D.R. Horton, Inc. company
guaranty 10s, 2006 120,000 115,200 -- -- 290,000 278,400
D.R. Horton, Inc. company
guaranty 8s, 2009 200,000 164,000 810,000 664,200 300,000 246,000
Del Webb Corp. sr. sub.
deb. 9 3/8s, 2009 60,000 49,650 -- -- 40,000 33,100
GS Superhighway Holdings
sr. notes 9 7/8s, 2004
(China) -- -- 345,000 244,950 -- --
Jackson Products, Inc.
company guaranty Ser. B, 9
1/2s, 2005 210,000 192,150 -- -- 50,000 45,750
NCI Building Systems, Inc.
sr. sub. notes Ser. B, 9
1/4s, 2009 380,000 361,950 -- -- 100,000 95,250
Toll Corp. company guaranty
8 1/8s, 2009 120,000 105,300 390,000 342,225 110,000 96,525
------------ ------------ --------------
1,858,900 1,960,675 1,445,775
Business Equipment and
Services 0.2% --% 0.2%
- ----------------------------------------------------------------------------------------------------------------------------
Iron Mountain, Inc. company
guaranty 8 3/4s, 2009 2,205,000 1,962,450 -- -- 525,000 467,250
Iron Mountain, Inc. sr.
sub. notes 8 1/4s, 2011 490,000 411,600 -- -- 40,000 33,600
Outsourcing Solutions, Inc.
sr. sub. notes Ser. B,
11s, 2006 100,000 88,000 -- -- 625,000 550,000
Pierce Leahy Corp. sr. sub.
notes 9 1/8s, 2007 850,000 796,875 -- -- 225,000 210,938
U.S. Office Products Co.
company guaranty 9 3/4s,
2008 175,000 57,750 -- -- 40,000 13,200
------------ ------------ --------------
3,316,675 -- 1,274,988
Cable Television 0.2% 0.2% 0.6%
- ----------------------------------------------------------------------------------------------------------------------------
Acme Television sr. disc.
notes stepped-coupon zero
% (10 7/8s, 9/30/00), 2004
(STP) 795,000 727,425 -- -- 550,000 503,250
CSC Holdings, Inc. sr. sub.
deb. 10 1/2s, 2016 10,000 10,850 10,000 10,850 260,000 282,100
CSC Holdings, Inc. sr. sub.
deb. 9 7/8s, 2013 375,000 380,625 1,310,000 1,329,650 1,560,000 1,583,400
CSC Holdings, Inc. deb. 7
7/8s, 2018 50,000 48,120 -- -- 160,000 153,984
CSC Holdings, Inc. sr.
notes 7 7/8s, 2007 125,000 123,900 375,000 371,700 -- --
CSC Holdings, Inc. sr.
notes 7 1/4s, 2008 120,000 114,416 310,000 295,576 110,000 104,882
Jones Intercable, Inc. sr.
notes 8 7/8s, 2007 398,000 410,414 1,230,000 1,268,364 340,000 350,605
Lamar Media Corp. company
guaranty 9 5/8s, 2006 1,040,000 1,040,000 -- -- 695,000 695,000
Lamar Media Corp. sr. sub.
notes 9 1/4s, 2007 1,115,000 1,098,275 -- -- 260,000 256,100
Lenfest Communications,
Inc. sr. sub. notes 8
1/4s, 2008 310,000 316,465 750,000 765,642 240,000 245,005
Rogers Cablesystems, Ltd.
notes 11s, 2015 (Canada) -- -- -- -- 60,000 67,500
Rogers Cablesystems, Ltd.
sr. notes Ser. B, 10s,
2005 (Canada) 40,000 41,600 100,000 104,000 30,000 31,200
Supercanal Holdings S.A.
144A sr. notes 11 1/2s,
2005 (In default)
(Argentina) (NON) 420,000 189,000 -- -- 100,000 45,000
TeleWest Communications Plc
144A sr. disc. notes
stepped-coupon zero % (9
1/4, 4/15/04) 2009 (United
Kingdom) (STP) 410,000 231,650 -- -- 100,000 56,500
------------ ------------ --------------
4,732,740 4,145,782 4,374,526
Chemicals 0.2% 0.5% 1.5%
- ----------------------------------------------------------------------------------------------------------------------------
du Pont (E.I.) de Nemours &
Co., Ltd. notes 6 7/8s,
2009 -- -- 6,565,000 6,372,120 3,625,000 3,518,498
Geo Specialty Chemicals,
Inc. sr. sub. notes 10
1/8s, 2008 340,000 275,400 -- -- 70,000 56,700
Georgia Gulf Corp. 144A sr.
sub. notes 10 3/8s, 2007 160,000 161,200 400,000 403,000 150,000 151,125
Huntsman Corp. 144A sr.
sub. notes 9 1/2s, 2007 140,000 128,100 -- -- 160,000 146,400
Huntsman Corp. 144A sr.
sub. notes FRN 9.38s, 2007 760,000 684,000 -- -- 100,000 90,000
Huntsman ICI Chemicals,
Inc. company guaranty 10
1/8s, 2009 2,240,000 2,144,800 -- -- 800,000 766,000
Lyondell Petrochemical Co.
sr. sub. notes 10 7/8s,
2009 -- -- -- -- 1,990,000 1,865,625
Lyondell Petrochemical Co.
sec. notes Ser. B, 9 7/8s,
2007 -- -- 2,950,000 2,809,875 3,550,000 3,381,375
Lyondell Petrochemical Co.
notes Ser. A, 9 5/8s, 2007 730,000 695,325 1,780,000 1,695,450 660,000 628,650
Nova Chemical Corp. notes
7.4s, 2009 (Canada) -- -- 1,205,000 1,139,026 670,000 633,318
PCI Chemicals &
Pharmaceuticals company
guaranty 9 1/4s, 2007
(India) 100,000 81,750 -- -- -- --
Royster-Clark, Inc. 1st
mtge. 10 1/4s, 2009 380,000 323,000 -- -- 100,000 85,000
Sterling Chemicals Holdings
sr. disc. notes
stepped-coupon zero % (13
1/2s, 8/15/01), 2008 (STP) 370,000 121,175 -- -- 100,000 32,750
------------ ------------ --------------
4,614,750 12,419,471 11,355,441
Computer Services and
Software 0.1% --% 0.1%
- ----------------------------------------------------------------------------------------------------------------------------
Concentric Network Corp.
sr. notes 12 3/4s, 2007 105,000 113,138 -- -- 30,000 32,325
PSINet, Inc. sr. notes 11
1/2s, 2008 -- -- -- -- 70,000 69,650
PSINet, Inc. sr. notes 11s,
2009 1,030,000 999,100 -- -- 690,000 669,300
Unisys Corp. sr. notes 7
7/8s, 2008 310,000 291,400 670,000 629,800 240,000 225,600
Verio, Inc. sr. notes 11
1/4s, 2008 210,000 207,900 -- -- -- --
------------ ------------ --------------
1,611,538 629,800 996,875
Computers --% 0.2% 0.5%
- ----------------------------------------------------------------------------------------------------------------------------
Globix Corp. 144A sr. notes
12 1/2s, 2010 805,000 732,550 -- -- 200,000 182,000
IBM Corp. deb. 6 1/2s, 2028 -- -- 6,475,000 5,807,881 3,730,000 3,345,698
Interact Operating Co.
notes 14s, 2003 214,000 64,200 -- -- 48,150 14,445
------------ ------------ --------------
796,750 5,807,881 3,542,143
Conglomerates --% 0.1% 0.2%
- ----------------------------------------------------------------------------------------------------------------------------
Axia, Inc. company guaranty
10 3/4s, 2008 560,000 431,200 -- -- 500,000 385,000
Tyco International, Ltd.
company guaranty 6 1/4s,
2003 -- -- 1,785,000 1,702,587 1,030,000 982,445
Tyco International, Ltd.
company guaranty 6 3/8s,
2005 -- -- 935,000 877,002 515,000 483,055
------------ ------------ --------------
431,200 2,579,589 1,850,500
Consumer Durable Goods --% --% --%
- ----------------------------------------------------------------------------------------------------------------------------
Iron Age Corp. company
guaranty 9 7/8s, 2008 815,000 578,650 -- -- 190,000 134,900
Sealy Mattress Co. sr. sub.
notes Ser. B, 9 7/8s, 2007 115,000 112,125 -- -- 25,000 24,375
------------ ------------ --------------
690,775 -- 159,275
Consumer Non Durables 0.1% --% --%
- ----------------------------------------------------------------------------------------------------------------------------
Samsonite Corp. sr. sub.
notes 10 3/4s, 2008 1,090,000 921,050 -- -- 220,000 185,900
Westpoint Stevens, Inc. sr.
notes 7 7/8s, 2008 200,000 156,000 500,000 390,000 180,000 140,400
------------ ------------ --------------
1,077,050 390,000 326,300
Consumer Products 0.1% 0.2% 0.5%
- ----------------------------------------------------------------------------------------------------------------------------
Fortune Brands, Inc. 144A
sr. notes 7 1/8s, 2004 -- -- 3,040,000 2,992,637 1,690,000 1,663,670
French Fragrances, Inc. sr.
notes Ser. B, 10 3/8s,
2007 115,000 109,825 -- -- 30,000 28,650
French Fragrances, Inc.
company guaranty Ser. D,
10 3/8s, 2007 180,000 170,100 -- -- 40,000 37,800
Guess Jeans, Inc. sr. sub.
notes 9 1/2s, 2003 250,000 251,875 940,000 947,050 865,000 871,488
Procter & Gamble Co. unsub.
6 7/8s, 2009 -- -- 1,250,000 1,217,600 700,000 681,856
Revlon Consumer Products
sr. notes 9s, 2006 535,000 379,850 -- -- 145,000 102,950
Revlon Consumer Products
sr. sub. notes 8 5/8s,
2008 1,050,000 456,750 -- -- 250,000 108,750
------------ ------------ --------------
1,368,400 5,157,287 3,495,164
Consumer Services 0.2% 0.2% 0.7%
- ----------------------------------------------------------------------------------------------------------------------------
Autotote Corp. company
guaranty Ser. B, 10 7/8s,
2004 -- -- -- -- 430,000 424,625
Century Communications
Corp. sr. notes 9 1/2s,
2005 315,000 303,975 835,000 805,775 280,000 270,200
Century Communications
Corp. sr. notes 8 7/8s,
2007 20,000 18,400 30,000 27,600 20,000 18,400
Coinmach Corp. sr. notes
Ser. D, 11 3/4s, 2005 1,360,000 1,292,000 -- -- 720,000 684,000
Consumers International
144A sr. notes 10 1/4s,
2005 15,000 9,750 -- -- 5,000 3,250
Equinix, Inc. 144A notes
13s, 2007 -- -- -- -- 540,000 567,000
FRD Acquisition Co. sr.
notes Ser. B, 12 1/2s,
2004 275,000 151,250 -- -- 75,000 41,250
HMH Properties, Inc.
company guaranty Ser. B, 7
7/8s, 2008 360,000 300,600 2,840,000 2,371,400 3,060,000 2,555,100
Host Marriott Travel Plaza
sr. notes Ser. B, 9 1/2s,
2005 440,000 435,600 915,000 905,850 350,000 346,500
IPC Information Systems,
Inc. sr. disc. notes
stepped-coupon zero % (10
7/8s, 5/1/01), 2008 (STP) 1,170,000 1,017,900 -- -- 300,000 261,000
Viasystems, Inc. sr. sub
notes 9 3/4s, 2007 190,000 161,500 -- -- -- --
Viasystems, Inc. sr. notes
Ser. B, 9 3/4s, 2007 700,000 595,000 -- -- 225,000 191,250
------------ ------------ --------------
4,285,975 4,110,625 5,362,575
Electronics and Electrical
Equipment 0.4% 0.1% 0.6%
- ----------------------------------------------------------------------------------------------------------------------------
Amkor Technology, Inc. sr.
notes 9 1/4s, 2006 -- -- 1,080,000 1,050,300 1,440,000 1,400,400
Applied Power, Inc. sr.
sub. notes 8 3/4s, 2009 780,000 799,500 -- -- 425,000 435,625
Celestica International,
Ltd. 144A sr. sub. notes
10 1/2s, 2006 (Canada) 75,000 77,250 -- -- 20,000 20,600
DII Group, Inc. (The) sr.
sub. notes 8 1/2s, 2007 400,000 398,000 -- -- 40,000 39,800
Fairchild Semiconductor
Corp. sr. sub. notes 10
1/8s, 2007 905,000 877,850 -- -- 250,000 242,500
Flextronics International,
Ltd. sr. sub. notes Ser.
B, 8 3/4s, 2007 1,370,000 1,287,800 -- -- 395,000 371,300
HCC Industries, Inc.
company guaranty 10 3/4s,
2007 110,000 62,700 -- -- 30,000 17,100
Metromedia Fiber Network,
Inc. sr. notes Ser. B,
10s, 2008 2,330,000 2,201,850 700,000 661,500 1,190,000 1,124,550
Moog, Inc. sr. sub. notes
Ser. B, 10s, 2006 880,000 886,600 -- -- 220,000 221,650
Motors and Gears, Inc. sr.
notes Ser. D, 10 3/4s,
2006 355,000 340,800 -- -- 530,000 508,800
Zilog, Inc. company
guaranty Ser. B, 9 1/2s,
2005 460,000 409,400 -- -- 110,000 97,900
------------ ------------ --------------
7,341,750 1,711,800 4,480,225
Energy-Related --% 0.2% 0.4%
- ----------------------------------------------------------------------------------------------------------------------------
Amerada Hess Corp. bonds 7
7/8s, 2029 -- -- 4,305,000 4,173,913 2,415,000 2,341,463
Giant Industries Corp.
company guaranty 9s, 2007 40,000 35,600 -- -- 140,000 124,600
PP&L Capital Funding, Inc.
company guaranty 5.9s,
2000 -- -- 665,000 661,928 360,000 358,337
Panda Global Energy Co.
company guaranty 12 1/2s,
2004 (China) 20,000 7,000 -- -- 5,000 1,750
RAM Energy, Inc. sr. notes
11 1/2s, 2008 260,000 130,650 -- -- 60,000 30,150
York Power Funding 144A
notes 12s, 2007 (Cayman
Islands) 280,000 274,400 680,000 666,400 250,000 245,000
------------ ------------ --------------
447,650 5,502,241 3,101,300
Entertainment 0.6% 0.4% 1.7%
- ----------------------------------------------------------------------------------------------------------------------------
AMC Entertainment, Inc. sr.
sub. notes 9 1/2s, 2011 -- -- -- -- 690,000 351,900
AMC Entertainment, Inc. sr.
sub. notes 9 1/2s, 2009 795,000 405,450 -- -- 223,000 113,730
Argosy Gaming Co. company
guaranty 10 3/4s, 2009 -- -- -- -- 330,000 336,600
Boyd Gaming Corp. sr. sub.
notes 9 1/2s, 2007 -- -- -- -- 365,000 335,800
Cinemark USA, Inc. sr. sub.
notes 8 1/2s, 2008
(Mexico) 675,000 452,250 -- -- 290,000 194,300
Diva Systems Corp. sr.
disc. notes, Ser. B,
stepped-coupon zero % (12
5/8s, 3/1/03), 2008 (STP) 1,719,000 825,120 -- -- 403,000 193,440
Fitzgeralds Gaming Corp.
company guaranty Ser. B,
12 1/4s, 2004 (In default)
(NON) 650,000 364,000 -- -- 180,000 100,800
Harrahs Entertainment, Inc.
company guaranty 7 1/2s,
2009 500,000 478,965 1,250,000 1,197,413 450,000 431,069
Hollywood Casino Corp.
company guaranty 11 1/4s,
2007 2,440,000 2,476,600 -- -- 670,000 680,050
Hollywood Park, Inc. sr.
sub. notes Ser. B, 9 1/2s,
2007 750,000 738,750 -- -- 190,000 187,150
Hollywood Park, Inc.
company guaranty Ser. B, 9
1/4s, 2007 280,000 275,800 -- -- 220,000 216,700
Horseshoe Gaming Holdings
company guaranty 8 5/8s,
2009 490,000 445,900 -- -- 130,000 118,300
International Game
Technology 144A sr. notes
8 3/8s, 2009 -- -- 1,400,000 1,267,000 1,200,000 1,086,000
Isle of Capri Black Hawk
LLC 144A 1st mortgage Ser.
B, 13s, 2004 110,000 119,900 -- -- 400,000 436,000
Mohegan Tribal Gaming,
Auth. sr. sub. notes 8
3/4s, 2009 210,000 196,875 850,000 796,875 1,440,000 1,350,000
Mohegan Tribal Gaming,
Auth. sr. notes 8 1/8s,
2006 190,000 176,225 460,000 426,650 200,000 185,500
Park Place Entertainment
144A sr. sub. notes 9
3/8s, 2007 -- -- 1,620,000 1,595,700 1,380,000 1,359,300
Park Place Entertainment
sr. notes 8 1/2s, 2006 340,000 333,622 870,000 853,679 320,000 313,997
Players International, Inc.
sr. notes 10 7/8s, 2005 100,000 103,500 280,000 289,800 200,000 207,000
Premier Parks, Inc. sr.
notes 9 3/4s, 2007 540,000 508,950 -- -- 230,000 216,775
Premier Parks, Inc. sr.
notes 9 1/4s, 2006 668,000 621,240 -- -- 525,000 488,250
Regal Cinemas, Inc. sr.
sub. notes 9 1/2s, 2008 600,000 267,000 -- -- 150,000 66,750
Riviera Black Hawk, Inc.
1st mtge. 13s, 2005 -- -- -- -- 200,000 214,000
SFX Entertainment, Inc.
144A company guaranty Ser.
B, 9 1/8s, 2008 340,000 340,000 -- -- 450,000 450,000
Silver Cinemas, Inc. sr.
sub. notes 10 1/2s, 2005 450,000 72,000 -- -- 110,000 17,600
Time Warner, Inc. company
guaranty 6 5/8s, 2029 -- -- 4,360,000 3,715,418 2,620,000 2,232,659
Trump A.C. 1st mtge. 11
1/4s, 2006 1,230,000 824,100 -- -- 375,000 251,250
Trump Castle Funding 144A
sub. notes 10 1/4s, 2003 920,000 929,200 -- -- 700,000 707,000
United Artists Theatre sr.
sub. notes 9 3/4s, 2008 1,650,000 66,000 -- -- 435,000 17,400
Venetian Casino company
guaranty 12 1/4s, 2004 270,000 251,100 -- -- 210,000 195,300
------------ ------------ --------------
11,272,547 10,142,535 13,054,620
Environmental Control 0.1% 0.1% 0.2%
- ----------------------------------------------------------------------------------------------------------------------------
Allied Waste Industries,
Inc. company guaranty Ser.
B, 10s, 2009 2,185,000 1,638,736 -- -- 845,000 633,750
Allied Waste Industries,
Inc. company guaranty Ser.
B, 7 5/8s, 2006 180,000 146,700 270,000 220,050 150,000 122,250
Allied Waste Industries,
Inc. company guaranty Ser.
B, 7 7/8s, 2009 425,000 333,625 1,055,000 828,175 1,080,000 847,800
Browning-Ferris Industries,
Inc. deb. 7.4s, 2035 320,000 217,600 506,000 344,080 300,000 204,000
------------ ------------ --------------
2,336,661 1,392,305 1,807,800
Food and Beverages 0.1% --% 0.1%
- ----------------------------------------------------------------------------------------------------------------------------
Aurora Foods, Inc. 144A
ser. sub. notes Ser. D, 9
7/8s, 2007 385,000 154,000 -- -- -- --
Aurora Foods, Inc. sr. sub.
notes Ser. B, 9 7/8s, 2007 80,000 32,000 -- -- 20,000 8,000
Doane Pet Care Co. sr. sub.
notes 9 3/4s, 2007 -- -- -- -- 370,000 340,400
RAB Enterprises, Inc.
company guaranty 10 1/2s,
2005 700,000 462,000 -- -- 160,000 105,600
Triarc Consumer Products,
Inc. company guaranty 10
1/4s, 2009 (STP) 580,000 559,700 -- -- 510,000 492,150
Vlasic Foods International,
Inc. sr. sub notes Ser. B,
10 1/4s, 2009 920,000 588,800 -- -- 240,000 153,600
------------ ------------ --------------
1,796,500 -- 1,099,750
Health Care 0.2% 0.2% 0.8%
- ----------------------------------------------------------------------------------------------------------------------------
Bio-Rad Labs Corp. 144A sr.
sub. notes 11 5/8s, 2007 170,000 171,063 -- -- 110,000 110,688
Columbia/HCA Healthcare
Corp. deb. 8.36s, 2024 50,000 45,125 -- -- 125,000 112,813
Columbia/HCA Healthcare
Corp. med. term notes
notes 7.69s, 2025 80,000 64,100 200,000 160,250 70,000 56,088
Columbia/HCA Healthcare
Corp. notes 7 1/4s, 2008 20,000 17,750 1,700,000 1,508,750 2,100,000 1,863,750
Columbia/HCA Healthcare
Corp. med. term notes
6.63s, 2045 270,000 255,258 640,000 605,056 230,000 217,442
Conmed Corp. company
guaranty 9s, 2008 290,000 263,900 -- -- 65,000 59,150
Extendicare Health
Services, Inc. company
guaranty 9.35s, 2007 855,000 461,700 -- -- 220,000 118,800
Hudson Respiratory Care,
Inc. sr. sub. notes 9
1/8s, 2008 450,000 350,438 -- -- 110,000 85,663
Integrated Health Services,
Inc. sr. sub. notes Ser.
A, 9 1/2s, 2007 (In
default) (NON) 810,000 16,200 -- -- 220,000 4,400
Integrated Health Services,
Inc. sr. sub. notes Ser.
A, 9 1/4s, 2008 (In
default) (NON) 250,000 5,000 -- -- 60,000 1,200
Lifepoint Hospital Holdings
company guaranty Ser. B,
10 3/4s, 2009 -- -- -- -- 270,000 267,300
Mariner Post-Acute Network,
Inc. sr. sub. notes
stepped-coupon Ser. B,
zero % (10 1/2s, 11/1/02),
2007 (In default) (NON)
(STP) 230,000 1,150 -- -- 100,000 500
Mariner Post-Acute Network,
Inc. sr. sub. notes Ser.
B, 9 1/2s, 2007 (In
default) (NON) 1,160,000 5,800 -- -- 170,000 850
MedPartners, Inc. sr. sub.
notes 6 7/8s, 2000 330,000 316,800 -- -- -- --
Multicare Cos., Inc. sr.
sub. notes 9s, 2007 1,410,000 56,400 -- -- 330,000 13,200
Paracelsus Healthcare sr.
sub. notes 10s, 2006 505,000 227,250 -- -- 115,000 51,750
Paragon Corp. Holdings,
Inc. company guaranty Ser.
B, 9 5/8s, 2008 270,000 89,100 -- -- 60,000 19,800
Quorum Health Group, Inc.
sr. sub. notes 8 3/4s,
2005 -- -- -- -- 100,000 92,000
Sun Healthcare Group, Inc.
sr. sub. notes Ser. B, 9
1/2s, 2007 (In default)
(NON) 250,000 5,000 -- -- -- --
Tenet Healthcare Corp. sr.
sub. notes 8 5/8s, 2007 -- -- 500,000 471,250 500,000 471,250
Tenet Healthcare Corp. sr.
notes Ser. B, 8 1/8s, 2008 -- -- 810,000 737,100 950,000 864,500
Tenet Healthcare Corp. sr.
notes 8s, 2005 400,000 377,000 975,000 918,938 500,000 471,250
Tenet Healthcare Corp. sr.
notes Ser. B, 7 5/8s, 2008 430,000 389,150 390,000 352,950 680,000 615,400
Triad Hospitals Holdings
company guaranty Ser. B,
11s, 2009 875,000 870,625 -- -- 700,000 696,500
------------ ------------ --------------
3,988,809 4,754,294 6,194,294
Insurance and Finance 0.3% 3.9% 7.7%
- ----------------------------------------------------------------------------------------------------------------------------
AMRESCO, Inc. sr. sub.
notes Ser. 97-A, 10s, 2004 101,000 75,750 -- -- 30,000 22,500
AMRESCO, Inc. sr. sub.
notes Ser. 98-A, 9 7/8s,
2005 840,000 630,000 -- -- 210,000 157,500
Aames Financial Corp. sr.
notes 9 1/8s, 2003 810,000 483,975 -- -- 190,000 113,525
Advanta Corp. company
guaranty Ser. B, 8.99s,
2026 -- -- 100,000 62,000 85,000 52,700
Advanta Corp. notes Ser. C,
7.47s, 2001 26,000 24,944 64,000 61,400 35,000 33,578
Advanta Corp. med. term
notes Ser. B, 7s, 2001 352,000 331,429 706,000 664,741 340,000 320,130
Advanta Corp. med. term
notes Ser. D, 6.98s, 2002 20,000 18,555 140,000 129,886 90,000 83,498
Advanta Corp. med. term
notes Ser. D, 6.92s, 2002 110,000 101,971 460,000 426,425 470,000 435,695
American General Institute
144A company guaranty 8
1/8s, 2046 -- -- 1,960,000 1,906,492 1,100,000 1,069,970
Associates First Capital
Corp. sr. notes 6 1/4s,
2008 -- -- 3,590,000 3,277,455 2,030,000 1,853,268
BankAmerica Corp. sr. notes
5 7/8s, 2009 -- -- 4,550,000 4,055,961 2,690,000 2,397,920
Bank United Corp. notes 8
7/8s, 2008 -- -- 2,025,000 1,933,207 1,725,000 1,646,806
Chase Manhattan Corp. sub.
notes 6s, 2009 -- -- 2,330,000 2,096,907 1,390,000 1,250,944
Chevy Chase Savings Bank,
Inc. sub. deb. 9 1/4s,
2008 625,000 556,250 -- -- 125,000 111,250
Chevy Chase Savings Bank,
Inc. sub. deb. 9 1/4s,
2005 120,000 114,000 -- -- 300,000 285,000
Citicorp sub. notes 6 3/8s,
2008 -- -- 1,835,000 1,697,026 905,000 836,953
Citigroup, Inc. deb. 6
5/8s, 2028 -- -- 1,770,000 1,548,201 970,000 848,449
Colonial Capital II 144A
company guaranty 8.92s,
2027 35,000 32,504 170,000 157,875 265,000 246,099
Conseco Financial Corp. sr.
sub. notes 10 1/4s, 2002 -- -- 2,700,000 2,777,733 2,300,000 2,366,217
Conseco Finance Trust III,
Inc. bonds 8.796s, 2027 -- -- -- -- 260,000 216,915
Contifinancial Corp. sr.
notes 8 3/8s, 2003 505,000 45,450 -- -- 135,000 12,150
Contifinancial Corp. sr.
notes 8 1/8s, 2008 730,000 65,700 -- -- 200,000 18,000
Contifinancial Corp. sr.
notes 7 1/2s, 2002 810,000 72,900 -- -- 210,000 18,900
Delta Financial Corp. sr.
notes 9 1/2s, 2004 767,000 467,870 -- -- 192,000 117,120
Dime Capital Trust I bank
guaranty Ser. A, 9.33s,
2027 -- -- -- -- 30,000 29,416
Finova Capital Corp. notes
7.4s, 2007 -- -- 520,000 494,291 290,000 275,662
Finova Capital Corp. notes
7 1/4s, 2004 -- -- 3,020,000 2,930,457 900,000 873,315
First Union Institute
Capital I bonds 8.04s,
2026 -- -- 4,400,000 4,087,512 2,500,000 2,322,450
First Union National Bank
sub. notes 7 7/8s, 2010 -- -- 1,910,000 1,922,472 1,075,000 1,082,020
Firstar Bank Milwaukee sr.
bank notes 6 1/4s, 2002 -- -- 1,420,000 1,380,467 805,000 782,589
Fleet Boston Corp. sub.
notes 7 3/8s, 2009 -- -- 3,150,000 3,074,873 1,770,000 1,727,786
Ford Motor Credit Corp.
notes 7 3/8s, 2009 -- -- 4,675,000 4,579,911 2,640,000 2,586,302
Ford Motor Credit Corp. sr.
notes 5.8s, 2009 -- -- 2,690,000 2,370,401 1,510,000 1,330,597
GS Escrow Corp. sr. notes 7
1/8s, 2005 325,000 295,045 3,030,000 2,750,725 2,865,000 2,600,933
General Motors Acceptance
Corp. notes 5 3/4s, 2003 -- -- 3,135,000 2,964,519 1,805,000 1,706,844
Goldman Sachs Group, Inc.
(The) notes Ser. B, 7.35s,
2009 -- -- 5,795,000 5,641,954 3,285,000 3,198,243
Heller Financial, Inc.
notes 6s, 2004 -- -- 3,640,000 3,442,275 2,080,000 1,967,014
Household Finance Corp. sr.
unsub. 5 7/8s, 2009 -- -- 5,550,000 4,876,008 3,295,000 2,894,855
Imperial Bank sub. notes 8
1/2s, 2009 -- -- 2,700,000 2,528,820 2,300,000 2,154,180
Imperial Credit Capital
Trust I 144A company
guaranty 10 1/4s, 2002 385,000 296,450 -- -- 200,000 154,000
Imperial Credit Industries,
Inc. sr. notes 9 7/8s,
2007 535,000 391,888 -- -- 40,000 29,300
Investors Capital Trust I
company guaranty Ser. B,
9.77s, 2027 15,000 14,288 -- -- -- --
Merita Bank, Ltd. sub.
notes 6 1/2s, 2006
(Finland) -- -- 2,080,000 1,948,856 405,000 379,465
Merrill Lynch & Co., Inc.
notes 6s, 2009 -- -- 1,165,000 1,039,728 705,000 629,191
Money Store, Inc. notes
8.05s, 2002 -- -- 1,960,000 1,984,794 1,090,000 1,103,789
National Westminster Bank
sub. notes 7 3/8s, 2009
(United Kingdom) -- -- 5,085,000 4,959,146 2,865,000 2,794,091
NationsBank Corp. sub.
notes 6 7/8s, 2005 -- -- 1,515,000 1,483,003 610,000 597,117
Nationwide Credit, Inc. sr.
notes Ser. A, 10 1/4s,
2008 660,000 468,600 -- -- 180,000 127,800
Newcourt Credit Group, Inc.
6 7/8s, 2005 -- -- 1,455,000 1,409,895 805,000 780,045
Ocwen Capital Trust I
company guaranty 10 7/8s,
2027 70,000 40,600 -- -- 15,000 8,700
Ocwen Federal Bank FSB sub.
deb. 12s, 2005 15,000 14,100 -- -- 5,000 4,700
Ocwen Financial Corp. notes
11 7/8s, 2003 20,000 18,350 -- -- 10,000 9,175
Peoples Bank-Bridgeport
sub. notes 7.2s, 2006 -- -- 1,075,000 988,237 595,000 546,978
Peoples Heritage Capital
Trust company guaranty
Ser. B, 9.06s, 2027 -- -- 55,000 53,945 50,000 49,041
Pioneer Americas
Acquisition 144A sr. notes
9 1/4s, 2007 125,000 104,063 -- -- 30,000 24,975
Polytama International
notes 11 1/4s, 2007
(Indonesia) (PIK) 190,748 28,612 -- -- 45,416 6,812
Popular, Inc. med. term
notes 6.4s, 2000 -- -- 940,000 937,565 530,000 528,627
Provident Capital Trust
company guaranty 8.6s,
2026 -- -- 190,000 183,401 -- --
RBF Finance Co. company
guaranty 11 3/8s, 2009 -- -- -- -- 720,000 765,000
RBF Finance Co. company
guaranty 11s, 2006 450,000 464,625 1,100,000 1,135,750 990,000 1,022,175
Resource America, Inc. 144A
sr. notes 12s, 2004 1,042,000 812,760 -- -- 263,000 205,140
Riggs Capital Trust 144A
bonds 8 5/8s, 2026 35,000 29,217 120,000 100,171 70,000 58,433
Sears Roebuck Acceptance
Corp. notes 6 7/8s, 2017 -- -- 935,000 820,790 515,000 452,093
Sovereign Bancorp, Inc. sr.
notes 10 1/2s, 2006 190,000 187,150 2,690,000 2,649,650 2,540,000 2,501,900
Sovereign Capital Trust
company guaranty 9s, 2027 50,000 40,473 -- -- 45,000 36,426
Sprint Capital Corp.
company guaranty 6.9s,
2019 -- -- 3,755,000 3,446,752 1,555,000 1,427,350
Sprint Capital Corp.
company guaranty 6 7/8s,
2028 -- -- 750,000 672,578 -- --
Sprint Capital Corp.
company guaranty 6 1/8s,
2008 -- -- 2,330,000 2,121,209 1,310,000 1,192,611
Sprint Capital Corp.
company guaranty 5.7s,
2003 -- -- 580,000 548,900 -- --
St. Paul Bancorp sr. notes
7 1/8s, 2004 -- -- 1,070,000 1,036,873 585,000 566,888
TIG Holdings, Inc. notes 8
1/8s, 2005 -- -- 3,408,000 3,194,182 2,900,000 2,718,054
Webster Capital Trust I
144A bonds 9.36s, 2027 5,000 4,880 20,000 19,519 130,000 126,871
------------ ------------ --------------
6,232,399 94,574,938 58,894,040
Lodging --% 0.1% 0.1%
- ----------------------------------------------------------------------------------------------------------------------------
Epic Resorts LLC company
guaranty Ser. B, 13s, 2005 350,000 245,000 -- -- 80,000 56,000
ITT Corp. notes 6 3/4s,
2005 530,000 474,695 1,300,000 1,164,345 910,000 815,042
Host Marriott L.P. sr.
notes Ser. E, 8 3/8s, 2006 100,000 90,000 220,000 198,000 100,000 90,000
Starwood Hotels & Resorts
notes 6 3/4s, 2003 -- -- -- -- 60,000 55,970
Sun International Hotels,
Ltd. sr. sub. notes 8
5/8s, 2007 130,000 114,400 330,000 290,400 125,000 110,000
------------ ------------ --------------
924,095 1,652,745 1,127,012
Medical Supplies and
Devices --% --% --%
- ----------------------------------------------------------------------------------------------------------------------------
ALARIS Medical Systems,
Inc. company guaranty 9
3/4s, 2006 265,000 220,613 -- -- -- --
Kinetic Concepts, Inc.
company guaranty Ser. B, 9
5/8s, 2007 465,000 327,825 -- -- 100,000 70,500
Mediq, Inc. deb.
stepped-coupon zero %
(13s, 6/1/03), 2009 (STP) 410,000 20,500 -- -- 100,000 5,000
Mediq, Inc. company
guaranty 11s, 2008 510,000 51,000 -- -- 130,000 13,000
------------ ------------ --------------
619,938 -- 88,500
Metals and Mining 0.2% 0.2% 0.7%
- ----------------------------------------------------------------------------------------------------------------------------
AK Steel Corp. sr. notes 9
1/8s, 2006 200,000 195,000 510,000 497,250 375,000 365,625
AK Steel Corp. company
guaranty 7 7/8s, 2009 230,000 208,150 550,000 497,750 480,000 434,400
Anker Coal Group, Inc.
company guaranty Ser. B,
14 1/4s, 2007 (PIK) 1,380,000 621,000 -- -- 320,000 144,000
Continental Global Group
sr. notes Ser. B, 11s,
2007 235,000 58,750 -- -- 60,000 15,000
Kaiser Aluminum & Chemical
Corp. sr. sub. notes 12
3/4s, 2003 1,125,000 1,040,625 -- -- 275,000 254,375
LTV Corp. sr. notes 11
3/4s, 2009 230,000 223,100 1,490,000 1,445,300 1,310,000 1,270,700
Lodestar Holdings, Inc.
company guaranty 11 1/2s,
2005 710,000 134,900 -- -- 190,000 36,100
National Steel Corp. 1st
mtge. Ser. D, 9 7/8s, 2009 420,000 409,500 1,410,000 1,374,750 1,720,000 1,677,000
WCI Steel, Inc. sr. notes
Ser. B, 10s, 2004 -- -- -- -- 400,000 394,000
WHX Corp. sr. notes 10
1/2s, 2005 470,000 427,700 -- -- 160,000 145,600
Weirton Steel Co. sr. notes
11 3/8s, 2004 350,000 357,000 -- -- 93,000 94,860
Wheeling-Pittsburgh Steel
Corp. sr. notes 9 1/4s,
2007 -- -- -- -- 250,000 223,750
------------ ------------ --------------
3,675,725 3,815,050 5,055,410
Oil and Gas 0.2% 0.6% 1.6%
- ----------------------------------------------------------------------------------------------------------------------------
Belco Oil & Gas Corp.
company guaranty Ser. B,
10 1/2s, 2006 1,325,000 1,354,813 -- -- 370,000 378,325
Belco Oil & Gas Corp. sr.
sub. notes Ser. B, 8 7/8s,
2007 900,000 839,250 -- -- 220,000 205,150
Benton Oil & Gas Co. sr.
notes 9 3/8s, 2007 60,000 35,700 -- -- 20,000 11,900
CMS Panhandle Holding Corp.
sr. notes 6 1/8s, 2004 -- -- 2,325,000 2,178,874 1,320,000 1,237,038
Cliffs Drilling Co. company
guaranty Ser. D, 10 1/4s,
2003 200,000 201,000 150,000 150,750 500,000 502,500
Columbia Gas System, Inc.
notes Ser. E, 7.32s, 2010 -- -- 670,000 636,373 380,000 360,928
Columbia Gas System, Inc.
notes Ser. B, 6.61s, 2002 -- -- 530,000 514,068 210,000 203,687
Conoco, Inc. sr. notes
5.9s, 2004 -- -- 1,200,000 1,142,844 700,000 666,659
Gulf Canada Resources, Ltd.
sr. sub. notes 9 5/8s,
2005 (Canada) 505,000 506,263 1,215,000 1,218,038 500,000 501,250
Gulf Canada Resources, Ltd.
sr. sub. deb. 9 1/4s, 2004
(Canada) -- -- -- -- 30,000 30,305
Gulf Canada Resources, Ltd.
sr. notes 8 3/8s, 2005
(Canada) -- -- -- -- 130,000 126,425
HS Resources, Inc. company
guaranty 9 1/4s, 2006 70,000 67,200 -- -- 90,000 86,400
HS Resources, Inc. sr. sub.
notes Ser. B, 9 1/4s, 2006 -- -- -- -- 270,000 259,200
K N Energy, Inc. sr. notes
6.45s, 2003 -- -- 3,770,000 3,663,535 2,110,000 2,050,414
Ocean Energy, Inc. company
guaranty Ser. B, 8 7/8s,
2007 170,000 162,775 1,470,000 1,407,525 1,590,000 1,522,425
Ocean Energy, Inc. company
guaranty Ser. B, 8 3/8s,
2008 140,000 130,900 350,000 327,250 580,000 542,300
Parker Drilling Corp.
company guaranty Ser. D, 9
3/4s, 2006 -- -- -- -- 250,000 241,250
Petro Geo-Services ADR
notes 7 1/2s, 2007
(Norway) -- -- 1,295,000 1,258,947 720,000 699,955
Pogo Producing Co. sr. sub.
notes Ser. B, 8 3/4s, 2007 120,000 111,000 315,000 291,375 105,000 97,125
Port Arthur Finance Corp.
144A sec. notes 12 1/2s,
2009 -- -- 1,350,000 1,262,250 1,300,000 1,215,500
Pride Petroleum Services,
Inc. sr. notes 9 3/8s,
2007 -- -- 810,000 793,800 690,000 676,200
Seven Seas Petroleum sr.
notes Ser. B, 12 1/2s,
2005 280,000 78,400 -- -- 60,000 16,800
Snyder Oil Corp. sr. sub.
notes 8 3/4s, 2007 35,000 34,563 90,000 88,875 30,000 29,625
Stone Energy Corp. company
guaranty 8 3/4s, 2007 130,000 120,900 -- -- 380,000 353,400
Vintage Petroleum sr. sub.
notes 9 3/4s, 2009 1,030,000 1,037,725 -- -- 570,000 574,275
------------ ------------ --------------
4,680,489 14,934,504 12,589,036
Packaging and Containers 0.2% --% 0.1%
- ----------------------------------------------------------------------------------------------------------------------------
AEP Industries, Inc. sr.
sub. notes 9 7/8s, 2007 605,000 465,850 -- -- 150,000 115,500
Gaylord Container Corp. sr.
sub. notes 9 7/8s, 2008 410,000 344,400 -- -- 110,000 92,400
Gaylord Container Corp. sr.
notes Ser. B, 9 3/4s, 2007 100,000 92,500 -- -- 20,000 18,500
Gaylord Container Corp. sr.
notes Ser. B, 9 3/8s, 2007 510,000 466,650 -- -- 130,000 118,950
Huntsman Packaging Corp.
company guaranty 9 1/8s,
2007 505,000 472,175 -- -- 135,000 126,225
Packaging Corp. company
guaranty 9 5/8s, 2009 920,000 906,200 -- -- 240,000 236,400
Radnor Holdings, Inc. sr.
notes 10s, 2003 150,000 127,500 365,000 310,250 130,000 110,500
------------ ------------ --------------
2,875,275 310,250 818,475
Paper and Forest Products 0.3% 0.1% 0.6%
- ----------------------------------------------------------------------------------------------------------------------------
APP Finance II Mauritius,
Ltd. bonds stepped-coupon
12s, (16s, 2/15/04), 2049
(Indonesia) (STP) 390,000 230,100 -- -- 100,000 59,000
Boise Cascade Co. med. term
notes Ser. A, 7.43s, 2005 20,000 19,128 660,000 631,224 10,000 9,564
Buckeye Cellulose Corp. sr.
sub. notes 9 1/4s, 2008 25,000 24,625 50,000 49,250 25,000 24,625
Doman Industries 144A 8
3/4s, 2004 1,050,000 892,500 -- -- 275,000 233,750
Georgia Pacific Corp. bonds
7 3/4s, 2029 -- -- 1,570,000 1,470,179 880,000 824,050
Pacifica Papers, Inc. sr.
notes 10s, 2009 (Canada) 1,250,000 1,221,875 -- -- 330,000 322,575
Repap New Brunswick sr.
notes 10 5/8s, 2005
(Canada) 1,175,000 1,069,250 -- -- 730,000 664,300
Republic Group, Inc. sr.
sub. notes 9 1/2s, 2008 55,000 48,950 -- -- -- --
Riverwood International
Corp. company guaranty 10
7/8s, 2008 1,775,000 1,704,000 -- -- 455,000 436,800
Riverwood International
Corp. company guaranty 10
1/4s, 2006 520,000 514,800 -- -- 555,000 549,450
Stone Container Corp. sr.
notes 12.58s, 2016 350,000 371,000 -- -- -- --
Tembec Industries, Inc.
company guaranty 8 5/8s,
2009 (Canada) -- -- 1,080,000 1,036,800 1,530,000 1,468,800
------------ ------------ --------------
6,096,228 3,187,453 4,592,914
Pharmaceuticals --% --% 0.1%
- ----------------------------------------------------------------------------------------------------------------------------
ICN Pharmaceuticals, Inc.
144A sr. notes 9 1/4s,
2005 265,000 251,750 150,000 142,500 230,000 218,500
ICN Pharmaceuticals, Inc.
144A sr. notes 8 3/4s,
2008 -- -- 820,000 758,500 670,000 619,750
------------ ------------ --------------
251,750 901,000 838,250
Publishing 0.2% 0.3% 0.6%
- ----------------------------------------------------------------------------------------------------------------------------
Affinity Group Holdings sr.
notes 11s, 2007 1,385,000 1,204,950 -- -- 350,000 304,500
American Media Operation,
Inc. sr. sub. notes 10
1/4s, 2009 1,130,000 1,118,700 -- -- 300,000 297,000
Garden State Newspapers,
Inc. sr. sub. notes Ser.
B, 8 3/4s, 2009 1,175,000 1,022,250 -- -- 275,000 239,250
Garden State Newspapers,
Inc. sr. sub. notes 8
5/8s, 2011 280,000 238,000 -- -- 90,000 76,500
Hollinger International
Publishing, Inc. company
guaranty 9 1/4s, 2007 50,000 46,750 100,000 93,500 -- --
Hollinger International
Publishing, Inc. sr. sub.
notes 9 1/4s, 2006 100,000 93,500 -- -- 150,000 140,250
News America Holdings, Inc.
deb. 7 3/4s, 2045 -- -- 205,000 185,582 425,000 384,744
News America Holdings, Inc.
deb. 7.7s, 2025 -- -- 6,585,000 6,124,445 3,590,000 3,338,915
Perry-Judd company guaranty
10 5/8s, 2007 615,000 507,375 -- -- 130,000 107,250
Von Hoffman Press, Inc.
144A sr. sub. notes 13
1/2s, 2009 (PIK) 106,425 96,847 -- -- 25,306 23,028
Von Hoffman Press, Inc.
144A sr. sub. notes 10
3/8s, 2007 125,000 116,875 -- -- 30,000 28,050
------------ ------------ --------------
4,445,247 6,403,527 4,939,487
Real Estate --% --% 0.1%
- ----------------------------------------------------------------------------------------------------------------------------
HMH Properties, Inc. sr.
notes Ser. C, 8.45s, 2008 -- -- -- -- 10,000 8,650
Prime Hospitality Corp.
sub. notes 9 3/4s, 2007 95,000 90,488 -- -- 125,000 119,063
Tanger Properties, Ltd.
partnership gtd. notes 8
3/4s, 2001 340,000 336,121 400,000 395,436 290,000 286,691
------------ ------------ --------------
426,609 395,436 414,404
Retail 0.1% 0.1% 0.3%
- ----------------------------------------------------------------------------------------------------------------------------
Amazon.com, Inc. sr. disc.
notes stepped-coupon zero
% (10s, 05/01/03), 2008
(STP) -- -- -- -- 350,000 209,125
Federated Department
Stores, Inc. sr. notes 8
1/2s, 2003 -- -- 690,000 706,864 390,000 399,532
Home Interiors & Gifts,
Inc. company guaranty 10
1/8s, 2008 760,000 608,000 -- -- 480,000 384,000
K mart Corp. med. term
notes 8.85s, 2011 140,000 134,352 350,000 335,881 120,000 115,159
K mart Corp. med. term
notes 8s, 2001 10,000 9,904 310,000 307,018 -- --
K mart Corp. deb. 7 3/4s,
2012 10,000 9,486 5,000 4,743 10,000 9,486
Kasper A.S.L., Ltd. sr.
notes 12 3/4s, 2004 285,000 156,750 -- -- 30,000 16,500
Mothers Work, Inc. sr.
notes 12 5/8s, 2005 -- -- -- -- 330,000 311,850
NBTY, Inc. 144A sr. sub.
notes 8 5/8s, 2007 -- -- -- -- 560,000 478,800
Southland Corp. sr. sub.
deb. 5s, 2003 135,000 114,750 350,000 297,500 115,000 97,750
William Carter Holdings Co.
sr. sub. notes Ser. A,
12s, 2008 190,000 173,850 -- -- 50,000 45,750
William Carter Holdings Co.
sr. sub. notes Ser. A, 10
3/8s, 2006 750,000 630,000 -- -- 340,000 285,600
Zale Corp. sr. notes Ser.
B, 8 1/2s, 2007 60,000 57,150 150,000 142,875 50,000 47,625
------------ ------------ --------------
1,894,242 1,794,881 2,401,177
Satellite Services 0.1% --% 0.1%
- ----------------------------------------------------------------------------------------------------------------------------
Echostar DBS Corp. sr.
notes 9 3/8s, 2009 2,180,000 2,103,700 -- -- 750,000 723,750
Golden Sky Systems company
guaranty Ser. B, 12 3/8s,
2006 750,000 825,000 -- -- 300,000 330,000
Satelites Mexicanos S.A. de
C.V. 144A sr. notes 10
1/8s, 2004 (Mexico) -- -- -- -- 45,000 37,800
------------ ------------ --------------
2,928,700 -- 1,091,550
Specialty Consumer Products --% --% --%
- ----------------------------------------------------------------------------------------------------------------------------
Decora Industries, Inc. sr.
sec. notes Ser. B, 11s,
2005 420,000 222,600 -- -- 160,000 84,800
Telecommunications 2.5% 1.0% 5.1%
- ----------------------------------------------------------------------------------------------------------------------------
Adelphia Communications
Corp. sr. notes Ser. B, 9
7/8s, 2007 585,000 567,450 -- -- 155,000 150,350
Adelphia Communications
Corp. sr. notes Ser. B, 8
3/8s, 2008 140,000 124,600 -- -- 130,000 115,700
Adelphia Communications
Corp. sr. notes 7 7/8s,
2009 440,000 374,000 -- -- -- --
AirTouch Communications,
Inc. notes 7s, 2003 -- -- 910,000 895,413 560,000 551,023
Alamosa PCS Holdings, Inc.
company guaranty
stepped-coupon zero % (12
7/8s, 2/15/05), 2010 (STP) -- -- -- -- 720,000 352,800
Alaska Communications
Systems Corp. company
guaranty 9 3/8s, 2009 -- -- -- -- 500,000 450,000
Allbritton Communications
Co. sr. sub. notes Ser. B,
8 7/8s, 2008 1,570,000 1,413,000 -- -- 520,000 468,000
Allegiance Telecom, Inc.
sr. notes 12 7/8s, 2008 30,000 32,850 -- -- 70,000 76,650
BTI Telecom Corp. sr. notes
10 1/2s, 2007 1,235,000 1,089,888 -- -- 390,000 344,175
Barak I.T.C. sr. disc.
notes Ser. B,
stepped-coupon zero % (12
1/2s, 11/15/02), 2007
(Israel) (STP) 270,000 153,900 -- -- 60,000 34,200
Bestel S.A.de C.V. sr.
disc. notes stepped-coupon
zero % (12 3/4s, 5/15/03),
2005 (Mexico) (STP) 260,000 197,600 -- -- 90,000 68,400
Birch Telecommunications,
Inc. sr. notes 14s, 2008 340,000 340,000 -- -- 310,000 310,000
Call-Net Enterprises, Inc.
sr. notes 9 3/8s, 2009 -- -- -- -- 320,000 236,800
Call-Net Enterprises, Inc.
sr. disc. notes
stepped-coupon zero %
(9.27s, 8/15/02), 2007
(Canada) (STP) 430,000 228,975 -- -- 310,000 165,075
Call-Net Enterprises, Inc.
sr. disc. notes
stepped-coupon zero %
(8.94s, 8/15/03), 2008
(Canada) (STP) 620,000 297,600 -- -- 160,000 76,800
Call-Net Enterprises, Inc.
sr. notes 8s, 2008
(Canada) 410,000 302,375 -- -- 110,000 81,125
Caprock Communications
Corp. sr. notes 11 1/2s,
2009 470,000 455,900 -- -- 120,000 116,400
Carrier1 International S.A.
sr. notes Ser. B, 13 1/4s,
2009 (Luxembourg) 730,000 740,950 -- -- 180,000 182,700
CellNet Data Systems, Inc.
sr. disc. notes
stepped-coupon zero %
(14s, 10/1/02), 2007 (STP) 1,420,000 170,400 -- -- 375,000 45,000
Clearnet Communications,
Inc. sr. disc. notes
stepped-coupon zero % (14
3/4s, 12/15/00), 2005
(STP) 810,000 807,975 -- -- 130,000 129,675
Colt Telecommunications
Group Plc sr. disc. notes
stepped-coupon zero %,
(12s, 12/15/01), 2006
(United Kingdom) (STP) 1,025,000 894,313 -- -- 250,000 218,125
Covad Communications Group,
Inc. sr. disc. notes Ser.
B, stepped-coupon zero %
(13 1/2s, 03/15/03), 2008
(STP) -- -- -- -- 330,000 191,400
Covad Communications Group,
Inc. sr. notes 12 1/2s,
2009 1,450,000 1,334,000 -- -- 360,000 331,200
Covad Communications Group,
Inc. 144A sr. notes 12s,
2010 -- -- -- -- 200,000 176,000
Esprit Telecom Group Plc
sr. notes 11 1/2s, 2007
(United Kingdom) 600,000 555,000 -- -- 160,000 148,000
Exodus Communications, Inc.
sr. notes 11 1/4s, 2008 160,000 160,000 -- -- 40,000 40,000
Exodus Communications, Inc.
sr. notes 10 3/4s, 2009 800,000 788,000 -- -- 210,000 206,850
Firstworld Communication
Corp. sr. disc. notes
stepped-coupon zero % (13,
4/15/03), 2008 (STP) 1,510,000 732,350 -- -- 360,000 174,600
Flag, Ltd. 144A sr. notes 8
1/4s, 2008 (Bermuda) 120,000 103,800 1,470,000 1,271,550 1,370,000 1,185,050
Focal Communications Corp.
sr. disc. notes, Ser. B,
stepped-coupon zero % (12
1/8s, 2/15/03), 2008 (STP) -- -- -- -- 300,000 195,000
Focal Communications Corp.
144A sr. notes 11 7/8s,
2010 550,000 547,250 -- -- 150,000 149,250
GST Telecommunications,
Inc. sr. disc. notes
stepped-coupon zero % (10
1/2s, 5/1/03), 2008 (STP) 1,850,000 841,750 -- -- 490,000 222,950
Global Crossing Holdings,
Ltd. company guaranty 9
5/8s, 2008 600,000 579,000 1,530,000 1,476,450 1,240,000 1,196,600
Global Crossing Holdings,
Ltd. 144A sr. notes 9
1/2s, 2009 620,000 595,200 3,050,000 2,928,000 2,880,000 2,764,800
Global Crossing Holdings,
Ltd. 144A sr. notes 9
1/8s, 2006 -- -- -- -- 500,000 477,500
Gloden Sky DBS, Inc. sr.
disc. notes, Ser. B,
stepped-coupon zero % (13
1/2s, 3/1/04), 2007 (STP) 575,000 385,250 -- -- -- --
Hyperion Telecommunications
Corp., Inc. sr. notes Ser.
B, 12 1/4s, 2004 100,000 103,000 1,060,000 1,091,800 1,030,000 1,060,900
ICG Communications, Inc.
sr. disc. notes
stepped-coupon zero %
(10s, 2/15/03), 2008 (STP) 2,190,000 1,204,500 -- -- 1,280,000 704,000
ICG Holdings, Inc. sr.
disc. notes stepped-coupon
zero % (13 1/2s, 9/15/00),
2005 (Canada) (STP) 390,000 364,650 -- -- 10,000 9,350
ICG Services, Inc. sr.
disc. notes stepped-coupon
zero % (9 7/8s, 5/1/03),
2008 (STP) 970,000 523,800 -- -- 245,000 132,300
Intelcom Group (USA), Inc.
company guaranty
stepped-coupon zero % (12
1/2s, 5/1/01), 2006 (STP) 425,000 346,375 -- -- 115,000 93,725
Intermedia Communications,
Inc. sr. notes Ser. B, 8
1/2s, 2008 1,360,000 1,196,800 -- -- -- --
KMC Telecom Holdings, Inc.
sr. disc. notes
stepped-coupon zero % (12
1/2s, 2/15/03), 2008 (STP) 780,000 409,500 -- -- 1,155,000 606,375
KMC Telecomunications, Inc.
sr. notes 13 1/2s, 2009 1,270,000 1,219,200 -- -- 360,000 345,600
Knology Holdings, Inc. sr.
disc. notes stepped-coupon
zero %, (11 7/8s,
10/15/02), 2007 (STP) 1,175,000 752,000 -- -- 260,000 166,400
L-3 Communications Corp.
144A sr. notes 11s, 2008 -- -- -- -- 930,000 888,150
L-3 Communications Corp.
sr. sub. notes Ser. B, 10
3/8s, 2007 185,000 183,613 -- -- 420,000 416,850
L-3 Communications Corp.
sr. notes 9 1/8s, 2008 2,085,000 1,793,100 -- -- 535,000 460,100
L-3 Communications Corp.
sr. sub. notes 8 1/2s,
2008 320,000 285,600 -- -- 70,000 62,475
L-3 Communications Corp.
company guaranty Ser. B,
8s, 2008 300,000 258,750 -- -- 80,000 69,000
Leap Wireless 144A notes 12
1/2s, 2010 -- -- -- -- 280,000 280,000
Logix Communications
Enterprises sr. notes 12
1/4s, 2008 480,000 225,600 -- -- 120,000 56,400
MCI WorldCom, Inc. sr.
notes 6 1/8s, 2001 -- -- 830,000 817,359 -- --
MGC Communications, Inc.
144A sr. notes 13s, 2010 -- -- -- -- 150,000 146,625
McCaw International Ltd sr.
disc. notes stepped coupon
zero % (13s, 4/15/02),
2007 (STP) 30,000 21,600 -- -- 10,000 7,200
Microcell
Telecommunications sr.
disc. notes, Ser. B,
stepped-coupon zero %
(14s, 12/1/01), 2006
(Canada) (STP) 850,000 752,250 -- -- 510,000 451,350
Millicom International
Cellular S.A. sr. disc.
notes stepped-coupon zero
% (13 1/2s, 6/1/01), 2006
(Luxembourg) (STP) 1,695,000 1,440,750 -- -- 430,000 365,500
Nextel Communications, Inc.
sr. disc. notes
stepped-coupon zero % (12
1/8s, 4/15/03), 2008 (STP) 2,540,000 1,574,800 -- -- 630,000 390,600
Nextel Communications, Inc.
sr. notes 12s, 2008 950,000 1,030,750 -- -- 650,000 705,250
Nextel Communications, Inc.
sr. notes 9 3/8s, 2009 2,920,000 2,686,400 2,200,000 2,024,000 2,670,000 2,456,400
Nextel Partners, Inc. 144A
sr. notes 11s, 2010 -- -- -- -- 250,000 242,500
Nextlink Communications,
Inc. 144A sr. disc. notes
stepped-coupon zero % (12
1/8s, 12/1/04), 2009 (STP) -- -- -- -- 40,000 21,600
Nextlink Communications,
Inc. 144A sr. notes 10
1/2s, 2009 -- -- -- -- 220,000 210,100
NorthEast Optic Network,
Inc. sr. notes 12 3/4s,
2008 940,000 940,000 -- -- 240,000 240,000
NTL, Inc. sr. notes Ser. B,
11 1/2s, 2008 (United
Kingdom) 480,000 487,200 -- -- 330,000 334,950
NTL, Inc. sr. notes Ser. B,
10s, 2007 (United Kingdom) 885,000 862,875 -- -- 100,000 97,500
NTL, Inc. sr. notes, Ser.
B, stepped-coupon zero %
(9 3/4s, 4/1/03), 2008
(United Kingdom) (STP) 270,000 171,450 -- -- 430,000 273,050
Onepoint Communications,
Inc. company guaranty Ser.
B, 14 1/2s, 2008 190,000 123,500 -- -- 50,000 32,500
Orbital Imaging Corp. sr.
notes Ser. B, 11 5/8s,
2005 415,000 282,200 -- -- 100,000 68,000
Price Communications
Wireless, Inc. 144A sr.
notes 9 1/8s, 2006 370,000 366,300 2,820,000 2,791,800 2,690,000 2,663,100
Primus Telecommunications
Group, Inc. sr. notes Ser.
B, 9 7/8s, 2008 310,000 275,900 -- -- 80,000 71,200
Qwest Communications
International, Inc. sr.
disc. notes stepped-coupon
zero % (9.47s, 10/15/02),
2007 (STP) 225,000 189,234 455,000 382,673 450,000 378,468
Qwest Communications
International, Inc. sr.
disc. notes stepped-coupon
zero % (8.29s, 2/1/03),
2008 (STP) 15,000 12,030 55,000 44,109 25,000 20,050
Qwest Communications
International, Inc. sr.
notes Ser. B, 7 1/4s, 2008 130,000 127,459 410,000 401,985 130,000 127,459
RCN Corp. sr. disc. notes
stepped-coupon zero %, (11
1/8s, 10/15/02), 2007
(STP) 160,000 102,400 -- -- 35,000 22,400
Rhythms Netconnections,
Inc. 144A sr. notes 14s,
2010 -- -- -- -- 240,000 208,800
Rogers Cantel, Inc. sr.
sub. notes 8.8s, 2007
(Canada) 425,000 412,250 950,000 921,500 375,000 363,750
RSL Communications, Ltd.
144A 12 7/8s, 2010 20,000 19,000 -- -- 420,000 399,000
RSL Communications, Ltd.
company guaranty 12 1/4s,
2006 490,000 485,100 -- -- 123,000 121,770
RSL Communications, Ltd.
144A 10 1/2s, 2008 360,000 307,800 -- -- 90,000 76,950
RSL Communications, Ltd.
company guaranty 9 1/8s,
2008 600,000 480,000 -- -- 165,000 132,000
Startec Global
Communications Corp. sr.
notes 12s, 2008 390,000 325,650 -- -- 90,000 75,150
TCI Communications, Inc.
sr. notes 8.65s, 2004 -- -- 3,950,000 4,150,068 2,215,000 2,327,190
Telecommunications
Techniques, Inc. company
guaranty 9 3/4s, 2008 700,000 638,750 -- -- 60,000 54,750
Telecorp PCS, Inc. company
guaranty stepped-coupon
zero % (11 5/8s, 4/15/04),
2009 (STP) 720,000 442,800 -- -- 180,000 110,700
Telehub Communications
Corp. company guaranty
stepped-coupon zero % (13
7/8s, 7/31/02), 2005 (STP) 290,000 14,500 -- -- 80,000 4,000
TeleWest Communications Plc
144A 9 7/8s, 2010 1,800,000 1,782,000 -- -- 680,000 673,200
Teligent, Inc. sr. disc.
Notes, Ser. B,
stepped-coupon zero % (11
1/2s, 3/1/03), 2008 (STP) 520,000 275,600 -- -- 140,000 74,200
Teligent, Inc. sr. notes 11
1/2s, 2007 -- -- -- -- 85,000 76,500
Time Warner Telecom, Inc.
sr. notes 9 3/4s, 2008 1,260,000 1,234,800 -- -- 340,000 333,200
United Pan-Europe N.V. 144A
senior notes 13.75s, 2005
(Netherlands) 2,050,000 1,004,500 -- -- 490,000 240,100
United Pan-Europe N.V. 144A
senior notes 12.5s, 2009
(Netherlands) 1,750,000 875,000 -- -- 460,000 230,000
United Pan-Europe N.V. 144A
senior notes 10 7/8s, 2009
(Netherlands) 690,000 634,800 -- -- 190,000 174,800
US Unwired, Inc. sr. disc.
notes stepped-coupon zero
% (13 3/8s, 11/1/04), 2009
(STP) 770,000 411,950 -- -- 190,000 101,650
US Xchange LLC sr. notes
15s, 2008 280,000 168,000 -- -- 70,000 42,000
Versatel Telecom B.V. sr.
notes 13 1/4s, 2008
(Netherlands) 390,000 399,750 -- -- 290,000 297,250
Versatel Telecom B.V. sr.
notes 13 1/4s, 2008
(Netherlands) 180,000 184,500 -- -- 40,000 41,000
Viatel, Inc. sr. disc.
notes stepped-coupon zero
% (12 1/2s, 4/15/03), 2008
(STP) 920,000 515,200 -- -- 1,110,000 621,600
Viatel, Inc. sr. notes 11
1/2s, 2009 753,000 700,290 -- -- 178,000 165,540
Viatel, Inc. sr. notes 11
1/4s, 2008 1,210,000 1,076,900 -- -- 280,000 249,200
Voicestream Wire Corp. sr.
disc. notes stepped-coupon
zero % (11 7/8s,
11/15/04), 2009 (STP) -- -- -- -- 160,000 96,000
Voicestream Wire Corp. 144A
sr. notes 10 3/8s, 2009 $1,480,000 1,472,600 -- -- 890,000 885,550
Williams Communications
Group, Inc. sr. notes 10
7/8s, 2009 470,000 462,950 3,160,000 3,112,600 2,720,000 2,679,200
WinStar Communications,
Inc. sr. sub. notes
stepped-coupon zero %
(15s, 3/1/02), 2007 (STP) 950,000 1,510,500 -- -- 215,000 341,850
World Access, Inc. sr.
notes Ser. B, 13 1/4s,
2008 220,000 191,400 -- -- 440,000 382,800
WorldCom, Inc. sr. notes
6.95s, 2028 -- -- 1,750,000 1,603,245 980,000 897,817
Worldwide Fiber, Inc. sr.
notes 12s, 2009 (Canada) 830,000 780,200 -- -- 220,000 206,800
------------ ------------ --------------
51,933,752 23,912,552 38,993,942
Textiles 0.1% --% --%
- ----------------------------------------------------------------------------------------------------------------------------
Day International Group,
Inc. company guaranty 9
1/2s, 2008 600,000 504,000 -- -- 140,000 117,600
Galey & Lord, Inc. company
guaranty 9 1/8s, 2008 760,000 273,600 -- -- 180,000 64,800
Polymer Group, Inc. company
guaranty Ser. B, 9s, 2007 175,000 154,000 -- -- 40,000 35,200
Polymer Group, Inc. company
guaranty Ser. B, 8 3/4s,
2008 390,000 339,300 -- -- 90,000 78,300
------------ ------------ --------------
1,270,900 -- 295,900
Transportation 0.1% 0.7% 1.3%
- ----------------------------------------------------------------------------------------------------------------------------
Airbus Industries 144A
12.266s, 2020 200,000 211,410 550,000 581,378 200,000 211,410
Burlington Northern Santa
Fe Corp. notes 6 1/8s,
2009 -- -- 3,640,000 3,278,839 1,900,000 1,711,482
Calair LLC 144A company
guaranty 8 1/8s, 2008 810,000 699,638 1,970,000 1,701,588 1,460,000 1,261,075
Cathay International, Ltd.
144A sr. notes 13s, 2008
(China) 740,000 370,000 -- -- 180,000 90,000
Continental Airlines, Inc.
sr. notes 9 1/2s, 2001 210,000 210,000 650,000 650,000 250,000 250,000
Continental Airlines, Inc.
pass-through certificates
Ser. 981C, 6.541s, 2009 -- -- 1,978,413 1,880,679 1,241,004 1,179,699
Hermes Europe Railtel 144A
sr. notes 11 1/2s, 2007
(Netherlands) 120,000 115,200 -- -- 300,000 288,000
International Shipholding
Corp. sr. notes 7 3/4s,
2007 40,000 34,800 90,000 78,300 30,000 26,100
Kitty Hawk, Inc. company
guaranty 9.95s, 2004 260,000 239,200 -- -- 70,000 64,400
Newport News Shipbuilding
sr. notes 8 5/8s, 2006 40,000 38,900 100,000 97,250 -- --
Northwest Airlines, Inc.
company guaranty 8.52s,
2004 -- -- 1,100,000 1,012,000 900,000 828,000
TFM S.A. de C.V. company
guaranty stepped-coupon
zero %, (11 3/4s,
6/15/02), 2009 (Mexico)
(STP) 305,000 216,550 -- -- 115,000 81,650
US Air, Inc. pass thru
certificates Ser. 93-A2, 9
5/8s, 2003 100,000 96,409 1,100,000 1,060,499 400,000 385,636
Union Pacific Corp. notes 7
3/8s, 2009 -- -- 6,530,000 6,355,780 3,645,000 3,547,751
------------ ------------ --------------
2,232,107 16,696,313 9,925,203
Utilities 0.1% 0.6% 1.4%
- ----------------------------------------------------------------------------------------------------------------------------
Arizona Public Service Co.
sr. notes 6 3/4s, 2006 -- -- 1,975,000 1,870,819 1,135,000 1,075,129
CMS Energy Corp. pass
through certificates 7s,
2005 480,000 438,226 900,000 821,673 460,000 419,966
CMS Energy Corp. sr. notes
Ser. B, 6 3/4s, 2004 -- -- 1,750,000 1,610,000 2,150,000 1,978,000
Calpine Corp. sr. notes 10
1/2s, 2006 150,000 158,250 1,000,000 1,055,000 250,000 263,750
Calpine Corp. sr. notes 8
3/4s, 2007 240,000 238,963 -- -- 80,000 79,654
Calpine Corp. sr. notes 7
7/8s, 2008 160,000 150,458 380,000 357,338 170,000 159,862
Calpine Corp. sr. notes 7
3/4s, 2009 280,000 254,800 2,000,000 1,820,000 665,000 605,150
Cleveland Electric
Illuminating Co. 1st mtge.
Ser. B, 9 1/2s, 2005 60,000 61,913 -- -- 150,000 154,782
GTE Corp. deb. 6.46s, 2008 -- -- 1,730,000 1,615,197 980,000 914,967
Jersey Central Power &
Light Co. 1st mtge. med.
term note 6.85s, 2006 -- -- 420,000 407,644 230,000 223,233
Leviathan Gas Corp. company
guaranty Ser. B, 10 3/8s,
2009 70,000 71,400 620,000 632,400 650,000 663,000
Midland Funding II Corp.
deb. Ser. B, 13 1/4s, 2006 53,000 62,462 395,000 465,515 80,000 94,282
Midland Funding II Corp.
deb. Ser. A, 11 3/4s, 2005 675,000 731,930 1,400,000 1,518,076 1,390,000 1,507,233
NRG Northeast Generating
Corp. 144A notes 8.065s,
2004 -- -- 2,580,000 2,584,430 1,170,000 1,172,012
Northeast Utilities System
notes Ser. A, 8.58s, 2006 14,940 14,999 37,349 37,496 180,552 181,265
Northeast Utilities System
notes Ser. B, 8.38s, 2005 82,133 81,831 238,933 238,054 134,400 133,905
Public Service Co. of New
Mexico sr. notes Ser. A,
7.1s, 2005 395,000 378,521 90,000 86,245 350,000 335,398
Toledo Edison Co. med. term
notes 9.22s, 2021 -- -- -- -- 500,000 526,041
------------ ------------ --------------
2,643,753 15,119,887 10,487,629
------------ ------------ --------------
Total Corporate Bonds and
Notes (cost $184,262,625,
$287,224,584 and
$263,765,939) $170,296,363 $282,049,530 $252,392,427
- ----------------------------------------------------------------------------------------------------------------------------
GROWTH BALANCED CONSERVATIVE
5.5% 2.3% 6.3%
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 $ -- $ -- $ 307,155 $ 305,955 $ 295,504 $ 294,350
Advanta Mortgage Loan Trust
Ser. 97-4, Class A7,
6.63s, 2029 -- -- 1,515,000 1,463,987 1,275,000 1,232,068
Associates Manufactured
Housing Ser. 96-1, Class
A3, 7s, 2027 -- -- -- -- 263,617 263,452
Capita Equipment
Receivables Trust Ser.
96-1, Class A4, 6.28s,
2000 -- -- 365 365 288 288
Capital One Master Trust
Ser. 96-2, Class A, 5.98s,
2005 8,435,000 8,424,456 2,870,000 2,866,413 1,695,000 1,692,881
Chevy Chase Master Credit
Card Trust Ser. 95-C,
Class A, 6.14s, 2006 6,488,000 6,490,011 2,208,000 2,208,684 1,304,000 1,304,404
Contimortgage Home Equity
Loan Trust Ser. 97-1,
Class M2, 7.67s, 2028 -- -- 47,515 23,758 -- --
Discover Card Master Trust
I Ser. 00-3, Class A, 6
1/4s, 2005 15,000,000 15,000,000 5,000,000 5,000,000 5,000,000 5,000,000
First Plus Ser. 98-A, Class
A, 8 1/2s, 2023 186,318 139,739 402,278 301,708 618,238 463,678
Fleet Credit Card Master
Trust II Ser. 00-B, Class
A, 6.223s, 2005 15,000,000 15,000,000 5,000,000 5,000,000 5,000,000 5,000,000
GE Capital Mortgage
Services, Inc. Ser.
96-HE2, Class A4, 7.65s,
2012 -- -- 430,000 429,463 450,000 449,438
Green Tree Financial Corp.
Ser. 97-2, Class A6,
7.24s, 2028 -- -- 1,385,000 1,373,311 1,425,000 1,412,973
Green Tree Financial Corp.
Ser. 98-2, Class A5,
6.24s, 2016 -- -- 2,070,000 2,020,838 2,135,000 2,084,294
MBNA Master Credit Card
Trust Ser. 96-J, Class A,
6.03s, 2006 30,000,000 30,018,600 20,000,000 20,012,400 20,000,000 20,012,400
MBNA Master Credit Card
Trust Ser. 98-A, Class A,
5.99s, 2005 6,646,000 6,643,873 2,263,000 2,262,276 1,336,000 1,335,572
MBNA Master Credit Card
Trust Ser. 96-E, Class A,
5.826s, 2005 30,000,000 30,030,390 12,000,000 12,015,000 8,000,000 8,010,000
Provident Bank Home Equity
Loan Trust 6.029s, 2029 -- -- 310,243 310,049 -- --
------------ ------------ --------------
Total Asset-Backed
Securities (cost
$111,854,636, $55,815,854
and $48,843,763) $111,747,069 $55,594,207 $48,555,798
- ----------------------------------------------------------------------------------------------------------------------------
GROWTH BALANCED CONSERVATIVE
0.7% 1.7% 3.4%
COLLATERALIZED Principal Principal Principal
MORTGAGE OBLIGATIONS (a) Amount Value Amount Value Amount Value
- ----------------------------------------------------------------------------------------------------------------------------
CS First Boston Mortgage
Corp. Ser. 99-C1, Class
A2, 7.29s, 2009 $ -- $ -- $4,637,000 $ 4,548,607 $ 1,995,000 $ 1,956,970
Chase Manhattan Bank Ser.
99-1, Class A1, 7.134s,
2007 -- -- 722,492 711,513 698,280 687,669
Collateralized Mortgage
Obligation Trust Ser. 64,
Class Z, 9s, 2020 -- -- 1,265,209 1,304,549 1,027,581 1,059,532
Commercial Mortgage Acceptance Corp.
Ser. 97-ML1, Class D,
6.977s, 2030 -- -- 110,000 101,681 -- --
Ser. 97-ML1, Class A3,
6.57s, 2007 -- -- -- -- 185,000 175,201
Ser. 98-C2, Class A2,
6.03s, 2008 -- -- 3,004,000 2,737,512 2,064,000 1,880,901
Ser. 97-ML1, Interest
Only (IO), 0.558s, 2017 -- -- 6,948,312 317,017 7,381,973 336,803
Commercial Mortgage Asset
Trust Ser. 99-C1, Class
A3, 6.64s, 2010 -- -- 4,790,000 4,483,141 2,430,000 2,274,328
Countrywide Mortgage Backed
Securities, Inc. Ser.
93-C, Class A8, 6 1/2s,
2024 -- -- 180,000 164,925 -- --
Criimi Mae Commercial
Mortgage Trust Ser. 98-C1,
Class A2, 7s, 2011 -- -- 375,000 326,953 470,000 409,781
DLJ Commercial Mortgage Corp.
Ser. 99-CG3, Class A1B,
7.34s, 2009 -- -- 455,000 447,180 -- --
Ser. 98-CG1, Class A1A,
6.11s, 2007 -- -- 2,865,171 2,726,389 1,176,894 1,119,888
Deutsche Mortgage & Asset
Receiving Corp. Ser.
98-C1, Class X, IO, 0.86s,
2031 -- -- 7,342,519 386,630 6,076,568 319,969
Federal National Mortgage Association
Ser. 276, Class 2, IO, 6
1/2s, 2024 -- -- 989,472 296,842 -- --
Ser. 302, Class 2, IO,
6s, 2029 -- -- 47,240 15,146 44,348 14,219
Ser. 304, Class 2, IO,
6s, 2028 -- -- 520,721 149,382 -- --
Ser. 281, Class 2, IO,
3.422s, 2026 -- -- 252,196 69,590 -- --
Ser. 266, Class 2, IO,
3.401s, 2024 -- -- 536,968 159,916 -- --
Ser. 252, Class 2, IO,
3.195s, 2023 -- -- 3,898,571 1,195,156 3,574,526 1,095,816
Ser. 301, Class 1,
Principal Only (PO), zero
%, 2029 -- -- 236,984 145,449 123,644 75,886
Ser. 92-184, Class J, IO,
11.46s, 2022 -- -- 5,938 234,564 5,279 208,501
Ser. 92-181, Class PJ,
IO, 10.07s, 2022 -- -- 4,050 138,925 3,812 130,753
Ser. 00-4, Class SX,
6.998s, 2023 -- -- 1,120,000 1,080,800 1,020,000 984,300
Ser. 97-23, Class SJ,
5.94s, 2023 -- -- 579,000 129,551 -- --
Ser. 97-23, Class SH, IO,
4.74s, 2023 -- -- 548,489 129,580 -- --
Ser. 97-92, Class SM, IO,
3.256s, 2022 -- -- 1,825,518 151,176 940,147 77,856
Ser. 99-51, Class S, IO,
2.54s, 2029 -- -- 2,097,453 154,032 1,911,837 140,401
Freddie Mac
Ser. 2113, Class ZM, 6
1/2s, 2028 -- -- 255,455 218,414 197,881 169,188
Ser. 1717, Class L, 6
1/2s, 2024 -- -- 70,210 67,956 -- --
Ser. 2160, Class D, 6s,
2025 -- -- 2,178,793 2,058,194 2,084,063 1,968,707
Ser. 2182, Class EC, zero
%, 2025 -- -- 102,699 76,896 -- --
Freddie Mac Strip
Ser. 2028, Class SG, IO,
6.78s, 2023 -- -- 1,324,000 635,520 1,035,000 496,800
Ser. 2191, Class MS, IO,
2.619s, 2027 -- -- 340,195 17,754 -- --
Ser. 202, Class PO, zero
%, 2029 -- -- 159,005 97,142 -- --
Ser. 180, PO, zero %,
2026 -- -- 89,525 61,045 114,081 77,789
GE Capital Mortgage
Services, Inc. Ser. 98-11,
Class 2A4, 6 3/4s, 2028 -- -- 75,000 69,516 -- --
GMAC Commercial Mortgage
Securities Inc. 6.175s,
2033 -- -- 3,595,000 3,281,421 1,950,000 1,779,908
Government National Mortgage Association
Ser. 00-17, Class SB,
13.2s, 2026 -- -- 971,497 940,834 500,079 484,295
Ser. 00-16, Class S.A.,
11.663s, 2026 -- -- 1,696,355 1,482,190 -- --
Ser. 99-25, Class QA,
9.345s, 2026 -- -- -- -- 539,038 449,760
Ser. 1998-2, Class SA,
IO, 2.039s, 2028 -- -- 383,894 23,154 -- --
Ser. 1999-46, Class SQ,
IO, 1.968s, 2027 -- -- 1,802,071 92,356 -- --
Merrill Lynch Mortgage Investors, Inc.
Ser. 1995-C3, Class D,
7.782s, 2025 -- -- 75,000 73,348 -- --
Ser. 96-C2, Class E,
6.96s, 2028 -- -- 65,000 56,388 -- --
Ser. 98-C2, Class A1,
6.22s, 2030 -- -- 601,825 579,069 529,776 509,744
Ser. 1996-C2, IO,
1.5467s, 2028 -- -- 2,454,381 163,753 889,131 59,322
Ser. 98-C2, Class IO,
1.076s, 2030 -- -- 8,571,214 598,646 4,387,185 306,417
Morgan Stanley Capital I
Ser. 98-WF1, Class A2,
6.55s, 2007 -- -- 1,590,000 1,499,569 865,000 815,803
Ser. 98-XL1, Class A3,
6.48s, 2030 -- -- 65,000 60,775 -- --
Ser. 98-HF1, Class A1,
6.19s, 2007 -- -- 517,045 495,798 430,871 413,165
Mortgage Capital Funding, Inc.
Ser. 98-MC1, Class A1,
6.417s, 2007 -- -- 532,139 512,059 505,968 486,876
Ser. 97-MC2, Class X, IO,
0.817s, 2012 -- -- 516,908 34,326 -- --
Ser. 98-MC1, Class X, IO,
0.493s, 2009 -- -- 12,465,985 458,709 11,497,659 423,078
PNC Mortgage Securities
Corp. Ser. 97-6, Class A2,
6.6s, 2027 -- -- 97,471 96,253 -- --
Prudential Home Mortgage
Securities Ser. 93-57,
Class A4, 5.9s, 2023 -- -- 9,552 9,361 -- --
Washington Mutual Ser.
00-1, Class A1, 6.403s,
2024 15,000,000 15,000,000 5,000,000 5,000,000 5,000,000 5,000,000
------------ ------------ --------------
Total Collateralized
Mortgage Obligations (cost
$15,000,000, $40,910,081
and $26,500,956) $15,000,000 $41,066,652 $26,389,626
- ----------------------------------------------------------------------------------------------------------------------------
GROWTH BALANCED CONSERVATIVE
0.6% 0.1% 0.6%
PREFERRED STOCKS (a) Shares Value Shares Value Shares Value
- ----------------------------------------------------------------------------------------------------------------------------
AmeriKing, Inc. $3.25 pfd.
(PIK) 8,523 $ 93,753 178 $ 1,958 -- $ --
CSC Holdings, Inc. Ser. M,
$11.125 cum. pfd. (PIK) 6,280 679,810 -- -- 830 89,848
California Federal Bancorp,
Inc. Ser. A, $2.281 pfd. 8,100 188,325 20,300 471,975 17,000 395,250
Citadel Broadcasting, Inc.
144A $13.25 cum. pfd.
(PIK) 4,876 544,893 -- -- 1,117 124,825
Concentric Network Corp.
Ser. B, $13.50 pfd. (PIK) 302 307,474 8 8,145 74 75,341
Dobson Communications Corp.
$13.00 pfd. (PIK) 1,066 1,129,960 -- -- 384 407,040
Dobson Communications Corp.
144A $12.25 pfd. (PIK) 394 382,180 -- -- -- --
Fresenius Medical Capital
Trust I Ser. D, 9.00%
company guaranty, pfd.
(Germany) 1,030 975,925 1,380 1,307,550 1,610 1,525,475
Fresenius Medical Capital
Trust II 7.875% company
guaranty, pfd. (Germany) 5 4,500 1,000 900,000 710 639,000
Global Crossing Holdings
144A $10.50 pfd. (PIK) 9,780 958,440 -- -- 2,360 231,280
Intermedia Communication
Ser. B, $13.50 pfd. (PIK) 1,068 1,019,940 -- -- 276 263,580
Marschollek,
Lautenschlaeger und
Partner AG $3.05 pfd.
(Germany) 5,853 3,471,151 -- -- -- --
Nextel Communications, Inc.
Ser. D, 13.00% cum. pfd.
(PIK) 234 248,040 -- -- 50 53,000
Nextel Communications, Inc.
Ser. E, $11.125 pfd. (PIK) 5 4,800 -- -- 2 1,920
Nextlink Communications,
Inc. 144A $7.00 cum. pfd.
(PIK) 1,142 57,100 -- -- 116 5,800
Paxson Communications Corp.
$12.50 pfd. (PIK) 6 6,210 -- -- -- --
Paxson Communications Corp.
13.25% cum. pfd. (PIK) 95 973,750 -- -- 22 225,500
Public Service Co. of New
Hampshire 1st mtge. $2.651
pfd. 1,160 29,000 6,314 157,850 1,160 29,000
R& B Falcon Corp. $13.875
pfd. (PIK) 176 195,360 410 455,100 165 183,150
WinStar Communications,
Inc. 144A $14.25 cum. pfd.
(PIK) 480 648,000 -- -- 120 162,000
------------ ------------ --------------
Total Preferred Stocks
(cost $11,418,209,
$3,465,813 and $4,464,067) $11,918,611 $3,302,578 $4,412,009
- ----------------------------------------------------------------------------------------------------------------------------
GROWTH BALANCED CONSERVATIVE
0.1% 0.1% --%
Number of Number of Number of
UNITS (a) Units Value Units Value Units Value
- ----------------------------------------------------------------------------------------------------------------------------
Nippon Television Network
Corp. Warrants expiration
8/04/00 (issued by Lehman
Brothers Finance S.A.)
(Japan) -- $ -- 220 $ 303,763 -- $ --
Pohang Iron & Steel Co.,
Ltd.D Structured Note
(issued by Merrill Lynch &
Co., Inc), 3.00%, 2000
(South Korea) 1,800 177,066 1,600 157,392 -- --
Pohang Iron & Steel Co.,
Ltd. Structured Note
(issued by UBS AG),
3.00%, 2000 (South Korea) -- -- 2,200 220,802 -- --
Tokyo Broadcasting System,
Inc. Structured Note
(issued by UBS AG),
3.15%, 2000 (Japan) 22,100 878,868 39,000 1,550,944 5,000$ 198,839
Tokyo Broadcasting System,
Inc. Call Warrants
expiration 11/17/00
(issued by Lehman Brothers
Finance S.A.) (Japan) 600 23,172 -- -- -- --
WIPRO, Ltd. Structured
Notes (issued by The
Goldman Sachs Group,
Inc.), zero %, 2001
(India) 8,000 1,007,200 -- -- -- --
------------ ------------ --------------
Total Units (cost
$2,579,369, $1,633,192 and
$140,901) $2,086,306 $2,232,901 $198,839
<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>
Anker Coal Group, Inc.
144A 10/28/09 32 $ -- -- $ -- 7 $ --
Bestel S.A. (Mexico) 5/15/05 260 28,600 -- -- 90 9,900
Birch Telecommunications,
Inc. 144A (PIK) 6/15/08 340 18,700 -- -- 80 4,400
Cellnet Data Systems, Inc. 10/1/07 995 -- -- -- 210 --
Club Regina, Inc. 144A 12/1/04 195 2 -- -- 40 --
Diva Systems Corp. 5/15/06 295 118,000 -- -- 75 30,000
Diva Systems Corp. 3/1/08 5,157 123,768 -- -- 1,209 29,016
Epic Resorts 6/15/05 -- -- -- -- 80 1
Esat Holdings, Inc.
(Ireland) 2/1/07 280 63,000 -- -- 65 14,625
Firstworld Communication 4/15/08 1,510 264,250 -- -- 360 63,000
Globalstar
Telecommunications 2/15/04 400 2,000 -- -- 90 450
ICG Communications 10/15/05 1,287 32,175 -- -- 330 8,250
Interact Systems, Inc. 8/1/03 400 4 -- -- 90 1
Interact Systems, Inc.
144A 12/15/09 400 4 -- -- 90 1
International Wireless
Communications Holdings
144A 8/15/01 155 -- -- -- 40 --
KMC Telecom Holdings, Inc. 4/15/08 700 2,450 -- -- 175 613
Knology Holdings 10/22/07 1,005 3,266 -- -- 210 683
McCaw International, Ltd. 4/15/07 30 135 -- -- 10 45
Mediq, Inc. 144A 6/1/09 410 4 -- -- 100 1
Network Plus Corp. 2/19/09 465 306,900 -- -- 163 107,580
Onepoint Communications,
Inc. 6/1/08 190 3,800 -- -- 50 1,000
Orbital Imaging Corp.
144A 3/1/05 415 8,300 -- -- 100 2,000
Paxson Communications Corp.
144A 6/30/03 960 2,880 -- -- 320 960
Powertel, Inc. 2/1/06 1,600 16,000 -- -- -- --
R&B Falcon Corp. 144A 5/1/09 530 185,500 -- -- 150 52,500
Startec Global
Communications Corp. 5/15/08 390 7,098 -- -- 90 1,638
Sterling Chemicals Holdings 8/15/08 145 2,610 -- -- 30 540
Telehub Communications
Corp. 7/31/05 290 145 -- -- 80 40
UIH Australia/Pacific, Inc.
144A 5/15/06 610 18,300 -- -- 200 6,000
Versatel Telecom B.V. 144A
(Netherlands) 5/15/08 570 342,000 -- -- 130 78,000
Verwaltungs-und Privat-Bank
AG 4/3/00 240 2,537 -- -- -- --
Wireless One, Inc. 10/19/00 1,500 2 -- -- 375 --
------------ ------------ --------------
Total Warrants (cost
$1,347,194, $0 and
$179,205) $1,552,430 $-- $411,244
- ----------------------------------------------------------------------------------------------------------------------------
GROWTH BALANCED CONSERVATIVE
0.1% 1.7% 3.9%
CONVERTIBLE Number of Number of Number of
PREFERRED STOCKS (a) Shares Value Shares Value Shares Value
- ----------------------------------------------------------------------------------------------------------------------------
AES Trust II $3.38 cv. pfd. -- $ -- 16,200 $ 1,024,650 12,800 $ 809,600
Adelphia Communications
Corp. Ser. D, $5.50 cv.
pfd. -- -- 1,600 243,600 1,100 167,475
Alkermes, Inc. $3.25s, cv.
pfd. -- -- 1,600 252,600 1,100 173,663
Alliant Energy 144A $7.25,
cv. pfd. -- -- 10,900 923,775 7,400 627,150
American General Delaware
Corp. $3.00 cv. cum. pfd. -- -- 10,900 771,175 7,400 523,550
American Heritage Life
Investment Corp. $4.25 cv.
pfd. -- -- 2,900 244,325 2,000 168,500
Apache Corp. $2.015 c.v.
pfd. -- -- 16,800 747,600 11,300 502,850
Biovail Corp. $3.375 cv.
pfd. -- -- 3,643 168,489 2,396 110,815
CNB Capital Trust I $1.50
cum. cv. pfd. -- -- 14,900 471,213 10,100 319,413
CNF Trust I Ser. A, $2.50
cv. cum. pfd. -- -- 15,000 626,250 10,100 421,675
CVS Auto Exchange $6.00 cv.
pfd. -- -- 3,000 204,750 4,100 279,825
Calpine Corp. 144A $5.50,
cv. pfd. -- -- 7,400 410,700 5,100 283,050
Canadian National Railway
Co.$ 2.625 cv. pfd.
(Canada) -- -- 2,100 88,725 4,000 169,000
Carriage Services Capital
Trust $3.50 cv. pfd. -- -- -- -- 1,500 37,500
Cephalon, Inc. $3.63 cv.
pfd. -- -- 623 67,284 412 44,496
Chesapeake Energy Corp.
$3.50 cum. cv. pfd. 2,530 94,243 -- -- 600 22,350
Coastal Corp. $1.656 c.v.
pfd. -- -- 9,900 263,588 6,700 178,388
Comcast Corp. $2.00, cv.
pfd. -- -- 5,600 706,300 3,800 479,275
Comcast Corp. $2.00, cv.
pfd. -- -- 3,400 427,550 2,300 289,225
Cox Communications, Inc.
$3.50 c.v. pfd. -- -- 8,400 543,900 7,600 492,100
Cox Communications, Inc.
$7.75, cv. pfd. -- -- 15,600 1,887,600 14,400 1,742,400
DECS Trust VI $6.25, cv.
pfd. -- -- 9,200 782,000 4,800 408,000
DIMON, Inc. $2.00 cv. pfd. -- -- 21,500 72,563 7,900 26,663
Decs Trust IV $0.91 cv.
pfd. -- -- 6,100 70,913 4,100 47,663
Dollar General Strypes
Trust $3.352 cv. pfd. -- -- 5,800 221,850 3,900 149,175
El Paso Energy Capital
Trust $2.375 cv. pfd. -- -- 6,600 336,600 4,400 224,400
Emmis Broadcasting Corp.
Ser. A, $3.13 cv. pfd. -- -- 4,800 309,600 3,300 212,850
Equity Residential Property
Ser. E, $1.75 cv. pfd. -- -- 13,600 307,700 9,200 208,150
Estee Lauder Aces TR II
$5.41 cv. pfd. -- -- 4,600 417,450 5,100 462,825
Evi, Inc. $2.50 cum. cv.
pfd. -- -- 11,500 552,000 7,900 379,200
Federal-Mogul Financial
Trust $3.50 cum. cv. pfd. -- -- 5,400 157,275 3,800 110,675
Finova Finance Trust $2.75
cv. cum. pfd. -- -- 2,900 97,875 2,000 67,500
Georgia Pacific Group $3.75
c.v. pfd. -- -- 8,500 364,438 5,700 244,388
Global Crossing 144A
$6.375, cv. pfd. -- -- 6,100 682,438 7,100 794,313
Global TeleSystems Group,
Inc. $3.63 cv. pfd. -- -- 4,600 173,066 3,600 135,443
Hanover Compressor $3.625
cv. pfd. -- -- 1,900 164,350 1,300 112,450
Houston Industries, Inc.
$3.22 cv. pfd -- -- 20,842 3,423,299 13,700 2,250,225
Inrernational Paper Co.
$2.625 cv. pfd. -- -- 18,700 848,513 12,600 571,725
Interact Electronic $14.00
cv. pfd 400 400 -- -- 90 90
K mart Financing I $3.875
cum. cv. pfd. -- -- 18,900 793,800 12,800 537,600
KN Energy, Inc. $3.55 cv.
pfd. -- -- 12,000 586,500 8,000 391,000
Kerr-McGee Corp. $1.825
c.v. pfd. -- -- 5,000 225,000 3,300 148,500
Kinam Gold, Inc. Ser. B,
$3.75 cv. cum. pfd. -- -- 7,800 200,850 5,200 133,900
Lernout & Hauspie Speech
Products N.V. 144A $2.375
cv. pfd -- -- -- -- 3,400 316,625
Lincoln National Corp.
$0.463 cv. cum. pfd. -- -- 46,300 775,525 31,000 519,250
MGC Communications, Inc.
Ser. D, $3.625 cv. pfd.
(PIK) -- -- 1,400 86,450 1,000 61,750
MediaOne Group, Inc. $6.25
cv. pfd. -- -- 26,900 3,187,650 14,700 1,741,950
Metromedia International
Group, Inc. $3.625 cv.
cum. pfd. -- -- 11,400 336,300 7,700 227,150
Monsanto Co. $2.60 cv. pfd. -- -- 15,022 666,601 9,821 435,807
NBC Internet, Inc. 7.25%,
cv. pfd. -- -- 1,000 49,625 700 34,738
Newell Financial Trust I
$2.625 cv. cum. pfd. -- -- 12,300 441,263 8,300 297,763
Newfield Exploration Co.
$3.25 c.v. pfd. -- -- 3,700 198,413 2,500 134,063
Nextlink Communications
$3.25 cv. pfd. -- -- 1,983 563,420 1,315 373,624
NiSource, Inc. $3.875 c.v.
pfd. -- -- 5,000 173,750 3,400 118,150
Omnipoint Corp. $3.50 cv.
pfd. -- -- 3,700 686,350 2,500 463,750
Owens & Minor Trust I 144A
Ser. A, $2.688 cv. cum.
pfd. -- -- 14,200 445,525 9,700 304,338
Owens-Illinois, Inc. $2.375
cv.pfd. -- -- 12,300 309,038 8,300 208,538
PSINet, Inc. Ser. C, $3.38
cv. pfd. -- -- 3,200 194,800 4,800 292,200
Paxson Communications Corp.
144A $9.75 cv. pfd. (PIK) 30 276,000 -- -- 10 92,000
Pegasus Communications
Corp. 144A 6.50%, cv. pfd. -- -- 4,000 493,000 2,800 345,100
Pentamedia Graphics cv.
pfd. 6.673% (India) 8,792 254,264 -- -- -- --
Philadelphia Consolidated
Holding Corp. $7.00 c.v.
pfd. -- -- 64,900 470,525 33,800 245,050
Pioneer Standard
Electronics, Inc. 144A
$3.375 cv. pfd. -- -- 3,200 177,600 2,000 111,000
Pogo Producing Co. Ser. A,
$3.25 c.v. pfd. -- -- 3,200 206,400 2,900 187,050
Protective Life Corp. $3.25
cv. cum. pfd. -- -- 4,800 250,200 2,500 130,313
PsiNet, Inc. 144A $3.50 cv.
pfd. -- -- 9,300 388,275 6,200 258,850
Qwest Trends Trust 144A
$5.75 cv. pfd. -- -- 4,500 356,063 3,600 284,850
Ralston Purina Co. $4.336
cv. pfd. -- -- 5,300 160,325 3,600 108,900
Readers Digest $0.453 cv.
pfd. -- -- 6,900 219,075 4,600 146,050
Seagram Co., Ltd. $3.76
c.v. pfd. (Canada) -- -- 4,800 266,400 3,300 183,150
Sealed Air Corp. Ser. A,
$2.00 cv.pfd. -- -- 26,500 1,338,250 14,400 727,200
Sinclair Broadcast Group,
Inc. $3.00 cv. pfd. -- -- 6,900 194,063 4,600 129,375
Software Solution
Integrated 144A zero % cv.
pfd. 7,304 742,379 -- -- -- --
Sovereign Bancorp, Inc.
7.50%, cv. pfd. -- -- 6,100 297,375 4,100 199,875
Suiza Capital Trust II
$2.75 cv. pfd. -- -- 7,500 257,813 5,100 175,313
TCI Pacific Comm $5.00 cv.
pfd. -- -- 4,357 1,556,538 2,849 1,017,805
Texas Utilities Co. $0.205
cv. pfd. -- -- 5,300 178,875 3,600 121,500
Texas Utilities Co. $4.625
cv. pfd. -- -- 5,300 206,700 3,600 140,400
Titan Corp. 144A 5.75%, cv.
pfd. -- -- 3,000 180,750 2,000 120,500
Tosco Financing Trust
$2.875 cv. pfd. -- -- 4,000 197,000 2,500 123,125
Tower Automotive Capital
Trust $3.375 cv. pfd. -- -- 8,600 313,900 5,900 215,350
Tribune Co. $2.00 cv. pfd. -- -- 12,800 1,835,200 9,400 1,347,725
Union Pacific Capital Trust
$3.125 cum. cv. pfd. -- -- 15,700 629,963 10,400 417,300
Union Planters Corp. Ser.
E, $2.00 cv. cum. pfd. -- -- 8,500 325,125 5,700 218,025
United Global
Communications Ser. D,
$3.50 cv. pfd. -- -- 5,800 394,400 3,900 265,200
Unocal Capital Trust $3.125
cv. cum. pfd. -- -- 21,500 929,875 14,600 631,450
Verio, Inc. Ser. A, $3.375
cv. pfd. -- -- 3,400 188,275 2,300 127,363
Vornado Realty Trust Ser.
A, $3.25 cv. cum. pfd. -- -- 5,100 236,513 3,400 157,675
Wendy's Financing Ser. A,
$2.50 cv. pfd. -- -- 4,500 210,938 3,100 145,313
WinStar Communications,
Inc. $3.50 cv. pfd. -- -- 6,626 616,209 4,395 408,728
World Access, Inc. 4.50%,
cv. pfd. 106 109,180 -- -- 27 27,810
XM Satellite Radio Holdings
Ser. B, $4.125s, cv. pfd. -- -- 992 53,320 655 35,206
------------ ------------ --------------
Total Convertible Preferred
Stocks (cost $2,015,824,
$40,614,856 and
$28,727,541) $1,476,466 $42,105,809 $29,833,282
- ----------------------------------------------------------------------------------------------------------------------------
GROWTH BALANCED CONSERVATIVE
--% 3.0% 5.7%
CONVERTIBLE BONDS Principal Principal Principal
AND NOTES (a) Amount Value Amount Value Amount Value
- ----------------------------------------------------------------------------------------------------------------------------
ADT Operations, Inc. cv.
sub. notes zero %, 2010 $ -- $ -- $ 300,000 $ 826,125 $ 200,000 $ 550,750
ASM Lithography Holdings
144A cv. bonds 4 1/4s,
2004 (Netherlands) -- -- 300,000 349,500 200,000 233,000
Advanced Energy Industries,
Inc. cv. sub. notes 5
1/4s, 2006 -- -- 200,000 244,000 200,000 244,000
Aether Systems, Inc. cv.
sub. notes 6s, 2005 -- -- 220,000 206,525 140,000 131,425
Affymetrix, Inc. 144A cv.
sub. notes 4 3/4s, 2007 -- -- 100,000 68,250 100,000 68,250
Alexion Pharmaceuticals,
Inc. 144A cv. sub. notes 5
3/4s, 2007 -- -- 178,000 139,953 118,000 92,778
Alkermes, Inc. 144A cv.
sub. notes 3 3/4s, 2007 -- -- 200,000 165,000 200,000 165,000
Alza Corp. cv. sub. Liquid
Yield Option Notes (LYON)
zero %, 2014 -- -- 1,000,000 517,500 500,000 258,750
Amazon.com, Inc. cv. sub.
deb. 4 3/4s, 2009 -- -- 1,100,000 1,072,500 700,000 682,500
America Online, Inc. cv.
sub. notes 4s, 2002 -- -- 200,000 2,080,750 -- --
America Online, Inc. cv.
sub. notes zero %, 2019 -- -- 300,000 164,625 1,100,000 603,625
American Tower Corp. 144A
cv. notes 5s, 2010 -- -- 1,100,000 1,226,500 700,000 780,500
Amkor Technology, Inc. 144A
cv. sub. notes 5s, 2007 -- -- 320,000 346,800 220,000 238,425
Anadarko Petroleum Corp.
cv. sub. notes zero %,
2020 -- -- 870,000 474,150 570,000 310,650
Ann Taylor Stores Corp. cv.
company guaranty 0.55s,
2019 -- -- 400,000 172,500 400,000 172,500
Aspen Technology, Inc. cv.
sub. deb. 5 1/4s, 2005 -- -- -- -- 200,000 187,500
Athena Neurosciences, Inc.
cv. notes 4 3/4s, 2004 -- -- 800,000 1,095,000 500,000 684,375
Atlantic Coast Airlines,
Inc. cv. sub. notes 7s,
2004 -- -- 200,000 574,000 -- --
Automatic Data Processing
cv. deb. zero %, 2012 -- -- 300,000 378,000 200,000 252,000
BEA Systems, Inc. 144A cv.
sub. notes 4s, 2006 -- -- 405,000 505,238 266,000 331,835
Benchmark Electronics, Inc.
144A cv. sub. notes 6s,
2006 -- -- 500,000 535,625 300,000 321,375
Berkshire Hathaway, Inc.
cv. sr. notes 1s, 2001 -- -- 149,000 399,134 99,000 265,196
Burr-Brown Corp. 144A cv.
sub. notes 4 1/4s, 2007 -- -- 180,000 200,925 60,000 66,975
C.V. Therapeutics 144A cv.
sub. notes 4 3/4s, 2007 -- -- 148,000 121,915 96,000 79,080
Cedant Corp. cv. sub. notes
3s, 2002 -- -- 1,000,000 931,250 500,000 465,625
Centocor, Inc. cv. sub.
deb. 4 3/4s, 2005 -- -- 500,000 551,875 550,000 607,063
CheckFree Holdings Corp.
144A cv. sub. notes 6
1/2s, 2006 -- -- 400,000 444,500 200,000 222,250
Clear Channel
Communications, Inc. cv.
sr. notes 1 1/2s, 2002 -- -- 1,100,000 1,021,625 500,000 464,375
Commscope, Inc. cv. sub.
notes 4s, 2006 -- -- 300,000 358,125 200,000 238,750
Comverse Technology, Inc.
cv. sub. deb. 4 1/2s, 2005 -- -- 200,000 874,000 -- --
Conexant Systems, Inc. 144A
cv. sub. notes 4s, 2007 -- -- 200,000 181,750 200,000 181,750
Conexant Systems, Inc. cv.
sub. notes 4 1/4s, 2006 -- -- 200,000 637,000 200,000 637,000
Cor Therapeutics, Inc. 144A
cv. notes 5s, 2007 -- -- 190,000 221,113 130,000 151,288
Corecomm, Ltd. cv. sub.
notes 6s, 2006 -- -- 300,000 526,125 200,000 350,750
Costco Cos, Inc. cv. sub.
notes zero %, 2017 -- -- 700,000 848,750 500,000 606,250
Credence Systems Corp. cv.
sub. notes 5 1/4s, 2002 -- -- 500,000 922,500 300,000 553,500
Critical Path, Inc. 144A
cv. bonds 5 3/4s, 2005 -- -- 120,000 120,900 80,000 80,600
Cypress Semiconductor Corp.
cv. sub. notes 4s, 2005 -- -- 300,000 374,625 300,000 374,625
Devon Energy Corp. cv. deb.
4.95s, 2008 -- -- 1,200,000 1,201,500 900,000 901,125
Diamond Offshore Drilling,
Inc. cv. sub. notes 3
3/4s, 2007 -- -- 900,000 1,026,000 700,000 798,000
Digital Island, Inc. cv.
bonds 6s, 2005 -- -- 330,000 228,525 210,000 145,425
Doubleclick, Inc. cv. sub.
notes 4 3/4s, 2006 -- -- 200,000 459,500 -- --
E(a)Trade Group, Inc. 144A
cv. sub. notes 6s, 2007 -- -- 313,000 435,853 206,000 286,855
EMC Corp. cv. sub. notes
6s, 2004 -- -- 146,000 220,460 95,000 143,450
EarthWeb, Inc. 144A cv.
sub. notes 7s, 2005 -- -- 200,000 149,000 -- --
Echostar Communications
Corp. 144A cv. sub. notes
4 7/8s, 2007 -- -- 800,000 1,382,000 500,000 863,750
Efficient Networks, Inc.
144A cv. sub. notes 5s,
2005 -- -- 220,000 223,575 160,000 162,600
Exodus Communications, Inc.
144A cv. sub. notes 4
3/4s, 2008 -- -- 500,000 1,030,000 400,000 824,000
Exodus Communications, Inc.
cv. sub. notes 4 3/4s,
2008 -- -- 800,000 1,648,000 500,000 1,030,000
GST Telecommunications,
Inc. 144A cv. sr. disc.
notes stepped-coupon zero
%, (13 7/8s, 12/15/00),
2005 (STP) 80,000 62,400 -- -- 17,000 13,260
Genzyme Corp. cv. sub.
notes 5 1/4s, 2005 -- -- 200,000 286,250 -- --
Getty Images, Inc. 144A cv.
sub. notes 5s, 2007 -- -- 350,000 282,625 230,000 185,725
Gilat Satellite Networks,
Ltd. cv. notes 6 1/2s,
2004 (Israel) -- -- 200,000 556,250 200,000 556,250
HEALTHSOUTH Corp. cv. sub.
deb. 3 1/4s, 2003 110,000 85,938 270,000 210,938 100,000 78,125
Hewlett-Packard Co. cv.
sub. notes zero %, 2017 -- -- 1,522,000 1,147,208 1,006,000 758,273
Human Genome Sciences, Inc.
144A cv. sub. notes 3
3/4s, 2007 -- -- 430,000 258,000 290,000 174,000
I2 Technologies, Inc. 144A
cv. sub. notes 5 1/4s,
2006 -- -- 300,000 518,625 200,000 345,750
IDEC Pharmaceuticals Corp.
cv. sub. notes zero %,
2019 -- -- 80,000 106,200 53,000 70,358
iBasis, Inc. cv. sub. notes
5 3/4s, 2005 -- -- 246,000 161,130 162,000 106,110
Imclone Systems, Inc 144A
cv. sub. notes 5 1/2s,
2005 -- -- 104,000 88,920 69,000 58,995
Inco, Ltd. cv. deb. 5 3/4s,
2004 (Canada) -- -- 300,000 279,000 200,000 186,000
Inhale Therapeutic Systems
144A cv. sub. notes 5s,
2007 -- -- 116,000 122,960 77,000 81,620
Integrated Device
Technology, Inc. cv. sub.
notes 5 1/2s, 2002 -- -- 444,000 613,275 294,000 406,088
Internet Capital Group,
Inc. cv. sub. notes 5
1/2s, 2004 -- -- 300,000 265,125 200,000 176,750
Interpublic Group Cos. cv.
sub. notes 1.8s, 2004 -- -- 500,000 645,625 300,000 387,375
Invitrogen Corp. 144A cv.
sub. notes 5 1/2s, 2007 -- -- 140,000 112,525 90,000 72,338
Jacor Communications, Inc.
cv. sr. notes zero %, 2011 -- -- 418,000 449,873 276,000 297,045
Juniper Networks, Inc. cv.
sub. notes 4 3/4s, 2007 -- -- 650,000 648,781 430,000 429,194
Kent Electronics Corp. cv.
sub. notes 4 1/2s, 2004 -- -- 200,000 176,000 200,000 176,000
Kerr-McGee Corp. cv. sub.
deb. 5 1/4s, 2010 -- -- 200,000 230,000 200,000 230,000
Kulicke & Soffa Industries,
Inc. 144A cv. sub. notes 4
3/4s, 2006 -- -- 300,000 458,625 200,000 305,750
LSI Logic Corp. cv. sub.
notes 4 1/4s, 2004 -- -- 275,000 1,265,688 200,000 920,500
Lam Research Corp. cv. sub.
notes 5s, 2002 -- -- 500,000 810,000 400,000 648,000
Lennar Corp. cv. deb. zero
%, 2018 -- -- 440,000 179,300 288,000 117,360
Level 3 Communication, Inc.
cv. sub. deb. 6s, 2010 -- -- 590,000 583,363 390,000 385,613
Level 3 Communication, Inc.
cv. sub. notes 6s, 2009 -- -- 200,000 344,500 200,000 344,500
Level One Communications,
Inc. cv. sub. notes 4s,
2004 -- -- 300,000 1,284,375 -- --
Liberty Media Group 144A
cv. deb. 3 3/4s, 2030 -- -- 600,000 707,250 200,000 235,750
Liberty Media Group cv.
mortgage-backed 4s, 2029 -- -- 500,000 769,375 300,000 461,625
Magna International cv.
sub. deb. 5s, 2002 -- -- 800,000 760,000 500,000 475,000
Michaels Stores, Inc. cv.
sub. notes 6 3/4s, 2003 -- -- 200,000 223,000 200,000 223,000
Micron Technology, Inc. cv.
sub. notes 7s, 2004 -- -- 250,000 468,125 200,000 374,500
Millennium Pharmaceuticals,
Inc. 144A cv. sub. notes 5
1/2s, 2015 -- -- 450,000 405,000 300,000 270,000
Mutual Risk Management cv.
sub. deb. zero %, 2015 -- -- 800,000 405,500 700,000 354,813
NTL, Inc. cv. sub. notes
7s, 2008 -- -- 800,000 1,977,000 300,000 741,375
National Data Corp. cv.
sub. notes 5s, 2003 -- -- 600,000 493,500 200,000 164,500
Network Associates, Inc.
cv. sub deb. zero %, 2018 -- -- 2,200,000 838,750 1,100,000 419,375
News America Holdings, Inc.
cv. LYON zero %, 2013 -- -- 782,000 895,390 500,000 572,500
Nexstar Pharmaceuticals,
Inc. cv. sub. deb. 6 1/4s,
2004 -- -- 250,000 368,125 200,000 294,500
Nextel Communications, Inc.
144A cv. sr. notes 5 1/4s,
2010 -- -- 300,000 355,875 200,000 237,250
Nextel Communications, Inc.
cv. sr. notes 4 3/4s, 2007 -- -- 700,000 2,249,625 200,000 642,750
Oak Industries, Inc. cv.
sub. notes 4 7/8s, 2008 -- -- 70,000 292,163 46,000 191,993
Office Depot, Inc. cv. LYON
zero %, 2007 -- -- 1,500,000 1,018,125 700,000 475,125
Offshore Logistics, Inc.
cv. sub. notes 6s, 2003 -- -- 213,000 189,836 141,000 125,666
Omnicare, Inc. cv. bonds
5s, 2007 -- -- 800,000 585,000 450,000 329,063
Omnicom Group, Inc. cv.
sub. deb. 2 1/4s, 2013 -- -- 400,000 770,000 200,000 385,000
Orbital Sciences Corp. cv.
sub. notes 5s, 2002 -- -- 200,000 154,250 200,000 154,250
Park Electrochemical Corp.
cv. sub. notes 5 1/2s,
2006 -- -- 600,000 508,500 500,000 423,750
Parker Drilling Co. cv.
sub. notes 5 1/2s, 2004 440,000 330,550 -- -- 245,000 184,056
Personnel Group of America,
Inc. cv. sub. notes 5
3/4s, 2004 -- -- 200,000 138,500 200,000 138,500
Photronics, Inc. cv. sub.
notes 6s, 2004 -- -- 300,000 381,375 200,000 254,250
Pinnacle Holdings, Inc.
144A cv. sub. notes 5
1/2s, 2007 -- -- 240,000 218,100 160,000 145,400
Primus Telecomunications
Group, Inc. 144A cv. sub.
deb. 5 3/4s, 2007 -- -- 70,000 80,763 50,000 57,688
Protein Design Labs, Inc.
144A cv. sub. notes 5
1/2s, 2007 -- -- 170,000 115,175 112,000 75,880
Quanex Corp. cv. sub. deb.
6.88s, 2007 -- -- 500,000 444,375 300,000 266,625
Quantum Corp. cv. sub. 7s,
2004 -- -- 500,000 398,750 300,000 239,250
Rational Software Corp.
144A cv. sub. notes 5s,
2007 -- -- 500,000 621,875 300,000 373,125
Redback Networks, Inc. 144A
cv. sub. notes 5s, 2007 -- -- 230,000 221,950 140,000 135,100
Rite Aid Corp. cv. sub.
notes 5 1/4s, 2002 -- -- 300,000 108,000 200,000 72,000
Roche Holdings, Inc. 144A
cv. bonds zero %, 2015 -- -- 1,700,000 1,415,250 1,000,000 832,500
Roche Holdings, Inc. 144A
cv. unsub. LYON zero %,
2010 (Switzerland) -- -- 3,600,000 2,031,768 1,500,000 846,570
S3, Inc. 144A cv. sub.
notes 5 3/4s, 2003 -- -- 300,000 339,375 200,000 226,250
SCI Systems, Inc. cv. sub.
3s, 2007 -- -- 600,000 694,500 400,000 463,000
SPACEHAB, Inc. cv. sub.
notes 8s, 2007 -- -- 300,000 219,375 200,000 146,250
Safeguard Scientifics, Inc.
cv. sub. notes 5s, 2006 -- -- 200,000 595,500 200,000 595,500
Sanmina Corp. cv. sub.
notes 4 1/4s, 2004 -- -- 300,000 490,875 200,000 327,250
Scandinavian Broadcasting
System S.A. cv. sub. notes
7s, 2004 (Luxembourg) -- -- 300,000 643,500 200,000 429,000
Seacor Holdings, Inc. cv.
sub. notes 5.38s, 2006 -- -- 200,000 204,250 200,000 204,250
Semtech Corp. 144A cv. sub.
notes 4 1/2s, 2007 -- -- 273,000 253,208 180,000 166,950
Sepracor, Inc. cv. sub.
deb. 7s, 2005 -- -- 500,000 654,375 300,000 392,625
Sepracor, Inc. cv. sub.
deb. 6 1/4s, 2005 -- -- 139,000 430,900 91,000 282,100
Siebel Systems, Inc. 144A
cv. sub. notes 5 1/2s,
2006 -- -- 200,000 526,250 -- --
Siebel Systems, Inc. cv.
sub. notes 5 1/2s, 2006 -- -- -- -- 117,000 307,856
Solectron Corp. cv. notes
zero %, 2019 -- -- 500,000 333,750 300,000 200,250
Standard Commercial Corp.
cv. sub. deb. 7 1/4s, 2007 -- -- 300,000 140,250 300,000 140,250
Standard Motor Products,
Inc. cv. sub. deb. 6 3/4s,
2009 -- -- 300,000 214,125 200,000 142,750
Swift Energy Co. cv. sub.
notes 6 1/4s, 2006 -- -- 300,000 263,625 230,000 202,113
Thermo Cardiosystems, Inc.
144A cv. company guaranty
4 3/4s, 2004 -- -- 500,000 432,500 300,000 259,500
Thermo Ecotek Corp. 144A
cv. bonds 4 7/8s, 2004 -- -- 300,000 261,000 200,000 174,000
Thermo Electron Corp. 144A
cv. sub. deb. 4 1/4s, 2003 -- -- 300,000 277,500 300,000 277,500
Thermo Instrument Systems,
Inc. cv. company guaranty
Ser. RG, 4s, 2005 -- -- 250,000 217,188 200,000 173,750
Thermo Optek Corp. 144A cv.
bonds 5s, 2000 -- -- 70,000 74,638 50,000 53,313
Thermo Quest Corp. cv. co.
guaranty 5s, 2000 -- -- 70,000 71,575 50,000 51,125
Times Mirror Co. cv. sub.
notes zero %, 2017 -- -- 426,000 233,235 280,000 153,300
Total Renal Care Holdings,
Inc. 144A cv. notes 7s,
2009 -- -- -- -- 680,000 394,400
Tower Automotive, Inc. cv.
sub. notes 5s, 2004 -- -- 500,000 431,250 300,000 258,750
TriQuint Semiconductor,
Inc. 144A cv. sub. notes
4s, 2007 -- -- 190,000 140,838 130,000 96,363
Vantive Corp. (The) cv.
sub. notes 4 3/4s, 2002 -- -- 200,000 158,250 -- --
Veritas Software Corp. cv.
disc. notes 1.856s, 2006 -- -- 582,000 2,127,202 382,000 1,396,210
VerticalNet, Inc. 144A cv.
sub. notes 5 1/4s, 2004 -- -- 41,000 145,653 27,000 95,911
ViroPharma, Inc. 144A cv.
sub. notes 6s, 2007 -- -- 120,000 86,400 80,000 57,600
Vitesse Semiconductor Corp.
144A cv. sub. deb. 4s,
2005 -- -- 560,000 580,300 360,000 373,050
Waste Management, Inc. cv.
sub. notes 4s, 2002 -- -- 300,000 263,250 200,000 175,500
Wellpoint Health Networks,
Inc. cv. sub. deb. zero %,
2019 -- -- 500,000 331,875 200,000 132,750
Whole Foods Market, Inc.
cv. sub. deb. zero %, 2018 -- -- 200,000 69,250 200,000 69,250
Young & Rubicam, Inc. 144A
cv. sub. notes 3s, 2005 -- -- 500,000 462,500 200,000 185,000
------------ ------------ --------------
Total Convertible Bonds and
Notes (cost $486,283,
$72,370,181 and
$44,484,383) $478,888 $72,946,759 $44,096,894
- ----------------------------------------------------------------------------------------------------------------------------
GROWTH BALANCED CONSERVATIVE
--% 6.4% 10.5%
U.S. GOVERNMENT AND Principal Principal Principal
AGENCY OBLIGATIONS (a) Amount Value Amount Value Amount Value
U.S. Government Agency
Mortgage Obligations --% 6.4% 10.4%
- ----------------------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage
Corporation
8 1/2s, July 1, 2028 $ -- $ -- $ 1,382,855 $ 1,409,212 $1,629,304 $ 1,660,358
6 1/2s, April 1, 2029 -- -- 388,500 364,580 -- --
6s, with due dates from
April 1, 2006 to February
1, 2029 -- -- 1,407,927 1,332,204 1,482,320 1,398,199
Federal National Mortgage
Association 7 1/2s, TBA,
April 1, 2030 -- -- 15,973,400 15,701,373 5,668,197 5,571,668
Federal National Mortgage
Association Adjustable
Rate Mortgages 6.884s,
July 1, 2025 -- -- 77,486 78,361 64,751 65,482
Federal National Mortgage
Association Pass-through
Certificates
8 1/2s, March 1, 2030 -- -- 775,854 791,371 -- --
8s, with due dates from
September 1, 2026 to
October 1, 2029 -- -- 938,437 941,075 -- --
7 1/2s, with due dates
from September 1, 2010 to
May 1, 2025 -- -- 2,115,169 2,115,169 1,880,711 1,880,711
7s, with due dates from
May 1, 2011 to November 1,
2029 -- -- 13,437,020 12,954,799 5,663,882 5,457,818
6 1/2s, with due dates
from August 1, 2010 to
March 1, 2028 -- -- 994,427 932,275 594,165 572,068
6s, with due dates from
July 1, 2006 to April 1,
2030 -- -- 71,431,711 65,942,234 40,595,203 37,436,634
Government National Mortgage
Association
8s, TBA, April 1, 2030 -- -- 1,573,400 1,591,352 668,197 675,821
Government National Mortgage
Association Pass-through
Certificates
10s, with due dates from
June 15, 2013 to March 1,
2029 -- -- 1,548,231 1,643,782 1,453,984 1,543,598
9 1/2s, December 15, 2017 -- -- 714,435 753,729 632,144 666,912
8s, with due dates from
April 15, 2017 to December
15, 2027 -- -- 8,260,790 8,390,584 -- --
8s, with due dates from
May 15, 2017 to July 15,
2026 -- -- -- -- 5,562,813 5,652,990
7 1/2s, with due dates
from April 15, 2013 to
January 15, 2024 -- -- 6,883,552 6,897,057 4,965,899 4,967,502
7s, with due dates from
March 15, 2023 to October
15, 2029 -- -- 21,773,922 21,160,751 4,368,273 4,241,698
6 1/2s, with due dates
from March 15, 2028 to
April 15, 2028 -- -- 333,933 314,931 1,068,709 1,007,922
5 1/2s, with due dates
from July 15, 2013 to
April 15, 2014 -- -- 13,497,800 12,409,471 7,378,556 6,912,060
------------ ------------ --------------
$ -- $155,724,310 $79,711,441
U.S. Treasury Obligations --% --% 0.1%
- ----------------------------------------------------------------------------------------------------------------------------
U.S. Treasury Notes 5 7/8s,
November 15, 2004 -- -- -- -- 530,000 520,391
------------ ------------ --------------
Total U.S. Government and
Agency Obligations (cost
$0, $155,066,217 and
$80,513,453) $ -- $155,724,310 $80,231,832
- ----------------------------------------------------------------------------------------------------------------------------
GROWTH BALANCED CONSERVATIVE
--% 0.2% 0.4%
FOREIGN GOVERNMENT Principal Principal Principal
BONDS AND NOTES (a) Amount Value Amount Value Amount Value
- ----------------------------------------------------------------------------------------------------------------------------
Ontario (Province of) sr.
unsub. 5 1/2s, 2008
(Canada) -- $ -- 4,390,000 $3,897,705 2,600,000 $ 2,308,436
Quebec (Province of) sr.
unsub. 5 3/4s, 2009
(Canada) -- -- 1,985,000 1,779,314 1,175,000 1,053,247
------------ ------------ --------------
Total Foreign Government
Bonds and Notes (cost $0,
$5,631,386 and $3,381,580) $ -- $5,677,019 $3,361,683
- ----------------------------------------------------------------------------------------------------------------------------
GROWTH BALANCED CONSERVATIVE
16.0% 13.8% 21.8%
Principal Principal Principal
SHORT-TERM INVESTMENTS (a) Amount Value Amount Value Amount Value
- ----------------------------------------------------------------------------------------------------------------------------
AIG Funding Corp. effective
yield of 6.04%, April 4,
2000 $30,000,000 $ 29,984,900 $10,000,000 $ 9,994,967 $10,000,000 $ 9,994,967
Asset Securitization
Cooperative Corp.
effective yield of 6.05%,
April 13, 2000 -- -- -- -- 17,000,000 16,965,717
Corporate Asset effective
yield of 5.94%, April 27,
2000 -- -- 21,090,000 20,999,524 -- --
Falcon Asset Securitization
Corp. effective yield of
6.07%, April 4, 2000 -- -- 12,085,000 12,078,887 -- --
Federal Home Loan Mortgage
effective yield of 5.90%,
April 7, 2000 30,000,000 29,970,500 29,000,000 28,971,483 -- --
Merrill Lynch & Co., Inc.
effective yield of 6.10%,
April 5, 2000 40,000,000 39,972,889 -- -- -- --
Salomon Smith Barney
effective yield of 5.99%,
April 19, 2000 -- -- 1,570,000 1,565,298 -- --
Sheffield Receivables Corp.
effective yield of 6.02%,
April 11, 2000 30,000,000 29,949,833 26,900,000 26,855,017 -- --
Sheffield Receivables Corp.
effective yield of 5.88%,
April 3, 2000 -- -- -- -- 7,000,000 6,997,612
Thunder Bay Funding, Inc.
effective yield of 5.95%,
April 12, 2000 22,394,000 22,353,286 -- -- -- --
Interest in $350,000,000
joint repurchase agreement
dated March 31, 2000 with
Salomon, Smith Barney,
Inc. due April 3, 2000
with respect to various
U.S. Treasury obligations
- -- maturity value of
$75,037,500, for an
effective yield of 6.00% 75,000,000 75,000,000 -- -- -- --
Interest in $754,202,000
joint repurchase agreement
dated March 31, 2000 with
Morgan (J.P.) & Co., Inc.
due April 3, 2000 with
respect to various U.S.
Treasury obligations --
maturity value of
$54,934,865, $90,045,675
and $40,020,300, for an
effective yield of 6.09% 54,907,000 54,907,000 90,000,000 90,000,000 40,000,000 40,000,000
Interest in $779,235,000
joint repurchase agreement
dated March 31, 2000 with
S.B.C. Warburg, Inc. due
April 3, 2000 with respect
to various U.S. Treasury
obligations -- maturity
value of$ 90,815,141 and
$30,064,275, for an
effective yield of 6.10% -- -- 90,769,000 90,769,000 30,049,000 30,049,000
Interest in $556,447,000
joint repurchase agreement
dated March 31, 2000 with
Morgan Stanley & Co., Inc.
due April 3, 2000 with
respect to various U.S.
Treasury obligations --
maturity value of
$40,020,067, for an
effective yield of 6.02% -- -- -- -- 40,000,000 40,000,000
US Treasury 5.90s, April
27, 2000 (SEG) -- -- 1,120,000 1,115,232 -- --
US Treasury 5.66s, April
27, 2000 (SEG) 38,218,000 38,061,912 36,993,000 36,841,971 23,324,000 23,228,740
US Treasury 5.64s, April
27, 2000 (SEG) 6,635,000 6,607,973 14,170,000 14,112,281 -- --
------------ ------------ --------------
Total Short-Term
Investments (cost
$326,688,330, $333,159,018
and $167,236,037) $ 326,808,293 $ 333,303,660 $ 167,236,036
- ----------------------------------------------------------------------------------------------------------------------------
Total Investments (cost
$1,942,559,869,
$2,181,379,657 and
$774,455,219) (b) $2,085,642,416 $2,464,329,878 $ 784,801,622
- ----------------------------------------------------------------------------------------------------------------------------
</TABLE>
(a) Percentages indicated are based on net assets as follows:
--------------------------------------------
Growth portfolio $2,046,901,994
Balanced portfolio 2,419,454,592
Conservative portfolio 767,356,193
--------------------------------------------
(b) The aggregate identified cost on a tax basis is as follows:
<TABLE>
<CAPTION>
Gross Gross
Aggregate Unrealized Unrealized Unrealized
Identified Cost Appreciation Depreciation Appreciation
- --------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Growth portfolio $1,952,545,694 $246,387,575 $113,290,853 $133,096,722
Balanced portfolio 2,193,364,169 401,716,944 130,751,235 270,965,709
Conservative portfolio 778,133,203 41,312,445 34,644,026 6,668,419
- --------------------------------------------------------------------------------------------
</TABLE>
(NON) Non-income-producing security.
(STP) The interest or dividend rate and date shown parenthetically
represent the new interest or dividend rate to be paid and the date the
fund will begin receiving interest or dividend income at this rate.
(PIK) Income may be received in cash or additional securities at the
discretion of the issuer.
(SEG) A portion of these securities were pledged and segregated with
the custodian to cover margin requirements for futures contracts at
March 31, 2000.
(R) Real Estate Investment Trust.
144A after the name of a security represents those exempt from
registration under Rule 144A of the Securities Act of 1933. These
securities may be resold in transactions exempt from registration,
normally to qualified institutional buyers.
ADR or GDR after the name of a foreign holding stands for American
Depositary Receipts or Global Depositary Receipts representing ownership
of foreign securities on deposit with a domestic custodian bank.
TBA after the name of a security represents to be announced
securities (Note 1).
The rates shown on Floating Rate Notes (FRN) are the current
interest rates shown at March 31, 2000, 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, 2000:
(as percentage of Market Value)
Growth Portfolio
--------------------------------------------
Canada 1.1%
Finland 1.3
France 3.6
Germany 1.4
Hong Kong 1.0
Italy 1.1
Japan 6.4
Mexico 1.1
Netherlands 1.7
Sweden 1.5
Switzerland 1.3
United Kingdom 6.2
United States 65.7
Other 6.6
--------------------------------------------
Total 100.0%
Distribution of investments by country of issue at March 31, 2000:
(as percentage of Market Value)
Balanced Portfolio
--------------------------------------------
France 2.2%
Japan 3.3
Netherlands 1.1
Sweden 1.0
Switzerland 1.0
United Kingdom 3.4
United States 82.5
Other 5.5
--------------------------------------------
Total 100.0%
Distribution of investments by country of issue at March 31, 2000:
(as percentage of Market Value)
Conservative Portfolio
--------------------------------------------
Canada 1.3%
Japan 1.3
United Kingdom 1.9
United States 90.6
Other 4.9
--------------------------------------------
Total 100.0%
<TABLE>
<CAPTON>
- --------------------------------------------------------------------------------------------
Forward Currency Contracts
to Buy at March 31, 2000
(Unaudited) GROWTH
(aggregate face value $258,561,962)
Unrealized
Aggregate Face Delivery Appreciation/
Market Value Value Date (Depreciation)
- --------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Australian Dollars $ 82,056,661 $ 87,260,045 6/21/00 $ (5,203,384)
British Pounds 11,867,962 12,052,610 6/21/00 (184,648)
Canadian Dollars 17,142,604 17,184,483 6/21/00 (41,879)
Danish Krona 228,953 241,924 6/21/00 (12,971)
Euro Dollars 116,756,027 122,885,891 6/21/00 (6,129,864)
Euro Dollars 560,835 569,576 6/16/00 (8,741)
Greek Drachma 541,995 572,878 6/21/00 (30,883)
Korean Won 1,021,342 1,009,990 8/14/00 11,352
Korean Won 1,021,342 1,017,500 8/16/00 3,842
Japanese Yen 2,671,140 2,567,474 6/08/00 103,666
Swedish Krona 2,500,726 2,483,437 6/21/00 17,289
Swiss Franc 10,493,260 10,716,154 6/21/00 (222,894)
- --------------------------------------------------------------------------------------------
$(11,699,115)
- --------------------------------------------------------------------------------------------
Forward Currency Contracts
to Sell at March 31, 2000
(Unaudited) GROWTH
(aggregate face value $433,167,901)
Unrealized
Aggregate Face Delivery Appreciation/
Market Value Value Date (Depreciation)
- --------------------------------------------------------------------------------------------
Australian Dollars $ 3,844,400 $ 3,946,529 6/21/00 $ 102,129
British Pounds 35,144,620 35,520,301 6/21/00 375,681
British Pounds 65,171,836 64,754,073 6/21/00 (417,763)
Canadian Dollars 1,189,210 1,196,106 6/21/00 6,896
Danish Krona 1,871,712 1,942,103 6/21/00 70,391
Euro Dollars 69,033,607 71,120,695 6/21/00 2,087,088
Euro Dollars 51,586,147 51,406,111 6/21/00 (180,036)
Greek Drachma 1,054,848 1,112,157 6/21/00 57,309
Hong Kong 17,320,327 17,326,455 6/21/00 6,128
Japanese Yen 149,948,177 145,232,229 6/21/00 (4,715,948)
Singapore Dollars 5,029,722 5,094,083 6/21/00 64,361
Swedish Krona 24,196,580 24,023,798 6/21/00 (172,782)
Swiss Franc 694,758 707,009 6/21/00 12,251
Swiss Franc 9,839,974 9,786,252 6/21/00 (53,722)
- --------------------------------------------------------------------------------------------
$ (2,758,017)
- --------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------
Futures Contracts
Outstanding at March 31,
2000 (Unaudited) GROWTH
Unrealized
Aggregate Face Expiration Appreciation/
Total Value Value Date (Depreciation)
- --------------------------------------------------------------------------------------------
ASX Index (long) $ 2,608,387 $ 2,700,096 Jun-00 $ (91,709)
CAC 40 (short) 75,003,782 78,140,755 Apr-00 3,136,973
DAX Index (long) 17,067,528 17,638,105 Jun-00 (570,577)
Euro-Bund 10 yr (short) 31,307,310 31,201,667 Jun-00 (105,643)
FT-SE 100 (short) 58,968,418 58,982,072 Jun-00 13,654
Gilt (short) 18,257,246 18,369,476 Jun-00 112,230
Hang Seng (short) 5,830,091 6,116,386 Apr-00 286,295
IBEX Plus (long) 1,710,835 1,801,378 Apr-00 (90,543)
JGB 10yr (long) 38,291,413 38,015,764 Jun-00 275,649
MIB 30 Index (short) 25,182,730 26,101,046 Jun-00 918,316
Nikkei 225 (long) 34,566,108 32,957,312 Jun-00 1,608,796
OMX (long) 8,000,485 8,437,811 Apr-00 (437,326)
Russell 2000 Index (short) 9,270,950 10,295,232 Jun-00 1,024,282
S & P 500 Index (long) 14,395,350 13,463,464 Jun-00 931,886
S & P 500 Index (short) 71,219,100 69,134,233 Jun-00 (2,084,867)
S & P/TSE 60 Index (long) 22,255,313 21,161,800 Jun-00 1,093,513
Topix (long) 2,664,843 2,631,154 Jun-00 33,689
US Treasury Note 10yr
(long) 113,084,078 110,108,837 Jun-00 2,975,241
US Treasury Note 5yr
(long) 35,558,500 35,125,527 Jun-00 432,973
- --------------------------------------------------------------------------------------------
$ 9,462,832
- --------------------------------------------------------------------------------------------
Swap Contracts outstanding
at March 31, 2000
(Unaudited) GROWTH
Notional Termination Unrealized
Amount Date Appreciation
- --------------------------------------------------------------------------------------------
Agreement with Lehman
Brothers, Inc. Dated
February 29, 2000 to
receive (pay) monthly the
notional amount multiplied
by the return of Lehman
Government Index and pay
the notional amount
multiplied by one month
LIBOR adjusted by a
specified spread. $ 65,122,963 Mar-03 $ --
Agreement with Merrill
Lynch, Pierce, Fenner &
Smith, Inc. Dated March 1,
2000 to receive (pay)
monthly the notional
amount multiplied by the
return of Merrill Lynch
G0A0 Index and pay the
notional amount multiplied
by one month LIBOR
adjusted by a specified
spread. 56,054,157 May-00 116,220
Agreement with Salomon
Brothers Dated January 28,
2000 to receive (pay)
monthly the notional
amount multiplied by the
return of World Government
Bond Index (hedged) and
pay the notional amount
multiplied by one month
LIBOR adjusted by a
specified spread. 102,163,953 Jan-03 --
Agreement with Salomon
Brothers Dated January 28,
2000 to receive (pay)
monthly the notional
amount multiplied by the
return of World Government
Bond Index (unhedged) and
pay the notional amount
multiplied by one month
LIBOR adjusted by a
specified spread. 102,338,777 Jan-03 --
- --------------------------------------------------------------------------------------------
$ 116,220
- --------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------
Forward Currency Contracts
to Buy at March 31, 2000
(Unaudited) BALANCED
(aggregate face value $316,643,018)
Unrealized
Aggregate Face Delivery Appreciation/
Market Value Value Date (Depreciation)
- --------------------------------------------------------------------------------------------
Australian Dollars $ 70,357,768 $ 75,306,199 6/21/00 $ (4,948,431)
British Pounds 17,883,345 17,729,655 6/21/00 153,690
Canadian Dollars 17,933,222 17,986,819 6/21/00 (53,597)
Euro Dollars 148,254,435 154,564,857 6/21/00 (6,310,422)
Greek Drachma 1,311,391 1,386,114 6/21/00 (74,723)
Japanese Yen 38,667,826 37,209,162 6/21/00 1,458,664
Korean Won 1,092,810 1,080,663 8/14/00 12,147
Korean Won 1,092,810 1,088,699 8/16/00 4,111
Swiss Franc 10,043,716 10,290,850 6/21/00 (247,134)
- --------------------------------------------------------------------------------------------
$(10,005,695)
- --------------------------------------------------------------------------------------------
Forward Currency Contracts
to Sell at March 31, 2000
(Unaudited) BALANCED
(aggregate face value $476,428,655)
Unrealized
Market Aggregate Face Delivery Appreciation/
Value Value Date (Depreciation)
- --------------------------------------------------------------------------------------------
Australian Dollar $ 13,181,678 $ 13,791,320 6/21/00 $ 609,642
British Pound 96,262,710 97,264,127 6/21/00 1,001,417
Canadian Dollar 11,850,619 11,919,332 6/21/00 68,713
Euro Dollar 184,705,215 189,160,745 6/21/00 4,455,530
Greek Drachma 1,311,391 1,382,638 6/21/00 71,247
Hong Kong Dollar 14,885,520 14,891,920 6/21/00 6,400
Japanese Yen 109,546,519 105,979,386 6/21/00 (3,567,133)
Singapore Dollar 4,212,126 4,282,180 6/21/00 70,054
Swedish Krona 18,402,485 18,237,914 6/21/00 (164,571)
Swiss Franc 19,180,865 19,519,093 6/21/00 338,228
- --------------------------------------------------------------------------------------------
$ 2,889,527
- --------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------
Futures Contracts
Outstanding at March 31,
2000 (Unaudited) BALANCED
Unrealized
Aggregate Face Expiration Appreciation/
Total Value Value Date (Depreciation)
- --------------------------------------------------------------------------------------------
ASX Index (short) $ 5,796,417 $ 5,996,168 Jun-00 $ 199,751
CAC 40 (short) 49,423,419 51,491,455 Apr-00 2,068,036
DAX Index (short) 1,634,125 1,628,597 Jun-00 (5,528)
FT-SE 100 (short) 71,266,644 70,167,828 Jun-00 (1,098,816)
Hang Seng (short) 9,642,073 10,115,562 Apr-00 473,489
IBEX Plus (long) 114,056 115,973 Apr-00 (1,917)
JGB 10yr (long) 36,235,499 36,040,862 Jun-00 194,637
MIB 30 Index (short) 5,301,627 5,440,919 Jun-00 139,292
Nikkei 225 (long) 14,145,209 13,764,112 Jun-00 381,097
OMX (short) 13,024,790 13,729,910 Apr-00 705,120
Russell 2000 Index
(short) 169,331,175 187,316,095 Jun-00 17,984,920
S & P 500 Index (long) 198,883,125 184,782,867 Jun-00 14,100,258
S & P /TSE 60 Index
(short) 1,834,667 1,912,359 Jun-00 77,692
US Treasury Note 10yr
(long) 189,486,938 185,688,490 Jun-00 3,798,448
US Treasury Note 10yr
(short) 19,223,313 18,754,223 Jun-00 (469,090)
US Treasury Note 5yr
(short) 9,751,500 9,610,518 Jun-00 (140,982)
- --------------------------------------------------------------------------------------------
$38,406,407
- --------------------------------------------------------------------------------------------
Swap Contracts outstanding
at March 31, 2000
(Unaudited) BALANCED
Notional Termination Unrealized
Amount Date Appreciation
- --------------------------------------------------------------------------------------------
Agreement with Lehman
Brothers, Inc. Dated
February 29, 2000 to
receive (pay) monthly the
notional amount multiplied
by the return of Lehman
Government Index and pay
the notional amount
multiplied by one month
LIBOR adjusted by a
specified spread. $138,386,788 Mar-03 $ --
Agreement with Merrill
Lynch, Pierce, Fenner &
Smith, Inc. Dated March 1,
2000 to receive (pay)
monthly the notional
amount multiplied by the
return of Merrill Lynch
G0A0 Index and pay the
notional amount multiplied
by one month LIBOR
adjusted by a specified
spread. 116,961,565 May-00 243,008
- --------------------------------------------------------------------------------------------
$ 243,008
- --------------------------------------------------------------------------------------------
TBA Sale Commitments at
March 31, 2000 (Unaudited) BALANCED
(Proceeds receivable $23,293,325)
Principal Settlement Market
Agency Amount Date Value
- --------------------------------------------------------------------------------------------
FNMA, 7s, April 2030 $ 10,900,412 4/13/00 $10,479,765
FNMA, 6s, April 2030 5,700,000 4/13/00 5,188,767
FNMA, 6s, April 2015 4,035,000 4/18/00 3,799,195
GNMA, 8s, April 2030 1,573,400 4/19/00 1,591,352
GNMA, 7s, April 2030 2,400,000 4/19/00 2,325,384
- --------------------------------------------------------------------------------------------
$23,384,463
- --------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------
Forward Currency Contracts
to Buy at March 31, 2000
(Unaudited) CONSERVATIVE
(aggregate face value $130,835,997)
Unrealized
Aggregate Face Delivery Appreciation/
Market Value Value Date (Depreciation)
- --------------------------------------------------------------------------------------------
Australian Dollars $26,119,965 $27,765,501 6/21/00 $(1,645,536)
Canadian Dollars 5,578,918 5,594,664 6/21/00 (15,746)
Danish Kroner 1,290 1,363 6/21/00 (73)
Euro Dollars 72,876,594 75,657,338 6/21/00 (2,780,744)
Greek Drachma 341,545 361,007 8/16/00 (19,462)
Japanese Yen 14,511,982 13,581,651 8/16/00 930,331
Korean Won 3,581,161 3,554,519 8/16/00 26,642
Swiss Franc 4,200,535 4,319,954 6/21/00 (119,419)
- --------------------------------------------------------------------------------------------
$(3,624,007)
- --------------------------------------------------------------------------------------------
Forward Currency Contracts
to Sell at March 31, 2000
(Unaudited) CONSERVATIVE
(aggregate face value $106,920,119)
Unrealized
Market Aggregate Face Delivery Appreciation/
Value Value Date (Depreciation)
- --------------------------------------------------------------------------------------------
Australian Dollars $ 3,766,897 $ 4,035,047 6/21/00 $ 268,150
British Pounds 5,976,834 6,033,841 6/21/00 57,007
British Pounds 3,345,332 3,335,997 6/21/00 (9,335)
Canadian Dollars 373,357 371,364 6/21/00 (1,993)
Euro Dollars 57,714,304 60,554,600 6/21/00 2,840,296
Greek Drachma 343,480 362,148 6/21/00 18,668
Hong Kong Dollars 2,145,945 2,147,007 6/21/00 1,062
Japanese Yen 24,616,280 24,071,800 6/21/00 (544,480)
Singapore Dollars 826,480 850,271 6/21/00 23,791
Swedish Krona 2,410,669 2,415,647 6/21/00 4,978
Swiss Franc 2,630,808 2,742,397 6/21/00 111,589
- --------------------------------------------------------------------------------------------
$ 2,769,733
- --------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------
Futures Contracts
Outstanding at March 31,
2000 (Unaudited) CONSERVATIVE
Unrealized
Aggregate Face Expiration Appreciation/
Total Value Value Date (Depreciation)
- --------------------------------------------------------------------------------------------
ASX Index (short) $ 676,249 $ 699,553 Jun-00 $ 23,304
CAC 40 (short) 4,013,781 4,178,501 Apr-00 164,720
DAX Index (long) 1,815,694 1,882,574 Jun-00 (66,880)
Euro-Bund 10yr (short) 8,757,993 8,735,918 Jun-00 (22,075)
FT-SE 100 (short) 7,988,591 7,882,207 Jun-00 (106,384)
Gilt (short) 1,988,413 1,983,769 Jun-00 (4,644)
Hang Seng (long) 672,703 705,937 Apr-00 (33,234)
IBEX Plus (short) 342,167 359,785 Apr-00 17,618
JGB 10yr (long) 7,195,702 7,159,150 Jun-00 36,552
MIB 30 Index (short) 662,703 677,556 Jun-00 14,853
Nikkei 225 (long) 6,972,990 6,730,870 Jun-00 242,120
OMX (long) 5,632,342 5,940,219 Apr-00 (307,877)
Russell 2000 Index (short) 1,908,725 2,111,733 Jun-00 203,008
S & P 500 Index (short) 21,593,025 20,347,412 Jun-00 (1,245,613)
S & P/TSE 60 Index (long) 1,994,204 1,896,219 Jun-00 97,985
US Treasury Note 10yr
(long) 8,118,139 8,336,641 Jun-00 (218,502)
US Treasury Note 10yr
(short) 45,729,311 46,783,265 Jun-00 1,053,954
US Treasury Note 5yr
(long) 44,876,533 44,592,322 Jun-00 284,211
- --------------------------------------------------------------------------------------------
$ 133,116
- --------------------------------------------------------------------------------------------
Swap Contracts outstanding
at March 31, 2000
(Unaudited) CONSERVATIVE
Notional Termination Unrealized
Amount Date Appreciation
- --------------------------------------------------------------------------------------------
Agreement with Lehman
Brothers, Inc. Dated
February 29, 2000 to
receive (pay) monthly the
notional amount multiplied
by the return of Lehman
Government Index and pay
the notional amount
multiplied by one month
LIBOR adjusted by a
specified spread. $35,614,182 Mar-03 $ --
Agreement with Merrill
Lynch, Pierce, Fenner &
Smith, Inc. Dated March 1,
2000 to receive (pay)
monthly the notional
amount multiplied by the
return of Merrill Lynch
G0A0 Index and pay the
notional amount multiplied
by one month LIBOR
adjusted by a specified
spread. 30,511,347 May-00 63,393
Agreement with Salomon
Brothers Dated January 28,
2000 to receive (pay)
monthly the notional
amount multiplied by the
return of World Government
Bond Index (hedged) and
pay the notional amount
multiplied by one month
LIBOR adjusted by a
specified spread. 99,021,037 Mar-03 --
- --------------------------------------------------------------------------------------------
$ 63,393
- --------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------
TBA Sale Commitments at
March 31, 2000 (Unaudited) CONSERVATIVE
(Proceeds receivable $10,368,311)
Principal Settlement Market
Agency Amount Date Value
- --------------------------------------------------------------------------------------------
FNMA, 7s, March 2030 $5,023,104 4/13/00 $ 4,829,263
FNMA, 6s, April 2030 3,100,000 4/13/00 2,821,961
FNMA, 6s, April 2015 2,195,000 4/18/00 2,066,724
GNMA, 8s, April 2030 668,197 4/19/00 675,821
- --------------------------------------------------------------------------------------------
$10,393,769
- --------------------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
</TABLE>
<TABLE>
<CAPTION>
Statement of assets and liabilities
March 31, 2000 (Unaudited)
Putnam Asset Allocation: Growth Portfolio
Assets
- ----------------------------------------------------------------------------------------------
<S> <C>
Investments in securities, at value
(identified cost $1,942,559,869) (Note 1) $2,085,642,416
- ----------------------------------------------------------------------------------------------
Cash 341,649
- ----------------------------------------------------------------------------------------------
Foreign currency (cost $15,357,220) 16,966,610
- ----------------------------------------------------------------------------------------------
Dividends, interest and other receivables 7,567,262
- ----------------------------------------------------------------------------------------------
Receivable for shares of the fund sold 5,723,451
- ----------------------------------------------------------------------------------------------
Receivable for securities sold 22,064,457
- ----------------------------------------------------------------------------------------------
Receivable for variation margin 2,841,508
- ----------------------------------------------------------------------------------------------
Receivable for open forward currency contracts 2,918,383
- ----------------------------------------------------------------------------------------------
Receivable for closed forward currency contracts 12,016,954
- ----------------------------------------------------------------------------------------------
Receivable for open swap contracts 116,220
- ----------------------------------------------------------------------------------------------
Total assets 2,156,198,910
Liabilities
- ----------------------------------------------------------------------------------------------
Payable for securities purchased 64,709,844
- ----------------------------------------------------------------------------------------------
Payable for shares of the fund repurchased 15,610,356
- ----------------------------------------------------------------------------------------------
Payable for compensation of Manager (Note 2) 2,938,200
- ----------------------------------------------------------------------------------------------
Payable for investor servicing and custodian fees (Note 2) 454,926
- ----------------------------------------------------------------------------------------------
Payable for compensation of Trustees (Note 2) 39,732
- ----------------------------------------------------------------------------------------------
Payable for administrative services (Note 2) 4,404
- ----------------------------------------------------------------------------------------------
Payable for distribution fees (Note 2) 1,201,145
- ----------------------------------------------------------------------------------------------
Payable for open forward currency contracts 17,375,515
- ----------------------------------------------------------------------------------------------
Payable for closed forward currency contracts 6,745,225
- ----------------------------------------------------------------------------------------------
Other accrued expenses 217,569
- ----------------------------------------------------------------------------------------------
Total liabilities 109,296,916
- ----------------------------------------------------------------------------------------------
Net assets $2,046,901,994
Represented by
- ----------------------------------------------------------------------------------------------
Paid-in capital (Notes 1 and 4) $1,558,350,250
- ----------------------------------------------------------------------------------------------
Distributions in excess of net investment income (Note 1) (3,680,855)
- ----------------------------------------------------------------------------------------------
Accumulated net realized gain on investments and foreign currency
transactions (Note 1) 352,455,304
- ----------------------------------------------------------------------------------------------
Net unrealized appreciation of investments and assets and liabilities in
foreign currencies 139,777,295
- ----------------------------------------------------------------------------------------------
Total -- Representing net assets applicable to capital shares outstanding $2,046,901,994
Computation of net asset value and offering price
- ----------------------------------------------------------------------------------------------
Net asset value and redemption price per class A share
($827,997,267 divided by 54,224,217 shares) $15.27
- ----------------------------------------------------------------------------------------------
Offering price per class A share (100/94.25 of $15.27)* $16.20
- ----------------------------------------------------------------------------------------------
Net asset value and offering price per class B share
($541,132,991 divided by 35,966,147 shares)** $15.05
- ----------------------------------------------------------------------------------------------
Net asset value and offering price per class C share
($132,205,712 divided by 8,866,241 shares)** $14.91
- ----------------------------------------------------------------------------------------------
Net asset value and redemption price per class M share
($70,341,743 divided by 4,666,491 shares) $15.07
- ----------------------------------------------------------------------------------------------
Offering price per class M share (100/96.50 of $15.07)* $15.62
- ----------------------------------------------------------------------------------------------
Net asset value, offering price and redemption price per class Y share
($475,224,281 divided by 30,934,688 shares) $15.36
- ----------------------------------------------------------------------------------------------
* 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, 2000 (Unaudited)
Putnam Asset Allocation: Growth Portfolio
Investment income:
- ----------------------------------------------------------------------------------------------
<S> <C>
Interest income $ 14,576,719
- ----------------------------------------------------------------------------------------------
Dividends (net of foreign tax of $249,005) 6,937,913
- ----------------------------------------------------------------------------------------------
Total investment income 21,514,632
Expenses:
- ----------------------------------------------------------------------------------------------
Compensation of Manager (Note 2) 5,652,815
- ----------------------------------------------------------------------------------------------
Investor servicing and custodian fees (Note 2) 2,420,428
- ----------------------------------------------------------------------------------------------
Compensation of Trustees (Note 2) 19,230
- ----------------------------------------------------------------------------------------------
Administrative services (Note 2) 8,945
- ----------------------------------------------------------------------------------------------
Distribution fees -- Class A (Note 2) 949,638
- ----------------------------------------------------------------------------------------------
Distribution fees -- Class B (Note 2) 2,607,008
- ----------------------------------------------------------------------------------------------
Distribution fees -- Class C (Note 2) 602,773
- ----------------------------------------------------------------------------------------------
Distribution fees -- Class M (Note 2) 251,262
- ----------------------------------------------------------------------------------------------
Reports to shareholders 48,623
- ----------------------------------------------------------------------------------------------
Registration fees 64,167
- ----------------------------------------------------------------------------------------------
Auditing 44,799
- ----------------------------------------------------------------------------------------------
Legal 7,436
- ----------------------------------------------------------------------------------------------
Postage 117,781
- ----------------------------------------------------------------------------------------------
Other 65,338
- ----------------------------------------------------------------------------------------------
Total expenses 12,860,243
- ----------------------------------------------------------------------------------------------
Expense reduction (Note 2) (237,237)
- ----------------------------------------------------------------------------------------------
Net expenses 12,623,006
- ----------------------------------------------------------------------------------------------
Net investment income 8,891,626
- ----------------------------------------------------------------------------------------------
Net realized gain on investments (Notes 1 and 3) 449,103,533
- ----------------------------------------------------------------------------------------------
Net realized loss on futures contracts (Note 1) (75,864,999)
- ----------------------------------------------------------------------------------------------
Net realized loss on foreign currency transactions (Note 1) (8,220,532)
- ----------------------------------------------------------------------------------------------
Net realized gain on swap contracts (Note 1) 3,524,709
- ----------------------------------------------------------------------------------------------
Net unrealized depreciation of assets and liabilities in
foreign currencies during the period (12,937,752)
- ----------------------------------------------------------------------------------------------
Net unrealized depreciation of investments, futures contracts, swap
contracts and TBA sale commitments during the period (47,093,070)
- ----------------------------------------------------------------------------------------------
Net gain on investments 308,511,889
- ----------------------------------------------------------------------------------------------
Net increase in net assets resulting from operations $317,403,515
- ----------------------------------------------------------------------------------------------
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
2000* 1999
- -------------------------------------------------------------------------------------------------------
<S> <C> <C>
Increase in net assets
- -------------------------------------------------------------------------------------------------------
Operations:
- -------------------------------------------------------------------------------------------------------
Net investment income $ 8,891,626 $ 12,413,579
- -------------------------------------------------------------------------------------------------------
Net realized gain on investments and foreign currency
transactions 368,542,711 164,789,419
- -------------------------------------------------------------------------------------------------------
Net unrealized appreciation (depreciation) of investments and
assets and liabilities in foreign currencies (60,030,822) 160,553,774
- -------------------------------------------------------------------------------------------------------
Net increase in net assets resulting from operations 317,403,515 337,756,772
- -------------------------------------------------------------------------------------------------------
Distributions to shareholders:
- -------------------------------------------------------------------------------------------------------
From net investment income
Class A (7,363,351) (5,108,856)
- -------------------------------------------------------------------------------------------------------
Class B (1,873,390) (302,109)
- -------------------------------------------------------------------------------------------------------
Class C (413,031) (91,915)
- -------------------------------------------------------------------------------------------------------
Class M (357,845) (215,219)
- -------------------------------------------------------------------------------------------------------
Class Y (5,236,059) (2,230,591)
- -------------------------------------------------------------------------------------------------------
From net realized gain on investments
Class A (72,475,751) (13,947,178)
- -------------------------------------------------------------------------------------------------------
Class B (52,354,553) (9,163,974)
- -------------------------------------------------------------------------------------------------------
Class C (11,542,732) (2,091,072)
- -------------------------------------------------------------------------------------------------------
Class M (6,511,946) (1,224,056)
- -------------------------------------------------------------------------------------------------------
Class Y (41,178,056) (4,648,483)
- -------------------------------------------------------------------------------------------------------
Increase from capital share transactions (Note 4) 244,916,548 55,864,763
- -------------------------------------------------------------------------------------------------------
Total increase in net assets 363,013,349 354,598,082
Net assets
- -------------------------------------------------------------------------------------------------------
Beginning of period 1,683,888,645 1,329,290,563
- -------------------------------------------------------------------------------------------------------
End of period (including distributions in excess of net
investment income and undistributed net investment income of
$3,680,855 and $2,671,195, respectively) $2,046,901,994 $1,683,888,645
- -------------------------------------------------------------------------------------------------------
* Unaudited
The accompanying notes are an integral part of these financial statements.
</TABLE>
<TABLE>
<CAPTION>
Financial highlights
(For a share outstanding throughout the period)
Putnam Asset Allocation: Growth Portfolio
CLASS A
- --------------------------------------------------------------------------------------------------------------------------
Six months
ended
Per-share March 31
operating performance (Unaudited) Year ended September 30
- --------------------------------------------------------------------------------------------------------------------------
2000 1999 1998 1997 1996 1995
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value,
beginning of period $14.35 $11.76 $13.64 $11.41 $10.06 $8.43
- --------------------------------------------------------------------------------------------------------------------------
Investment operations
- --------------------------------------------------------------------------------------------------------------------------
Net investment income (c) .09 .14 .15 .17 .18 .18(d)
- --------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investments 2.55 2.82 (1.06) 2.69 1.63 1.53
- --------------------------------------------------------------------------------------------------------------------------
Total from
investment operations 2.64 2.96 (.91) 2.86 1.81 1.71
- --------------------------------------------------------------------------------------------------------------------------
Less distributions:
- --------------------------------------------------------------------------------------------------------------------------
From net
investment income (.16) (.10) (.14) (.16) (.19) (.08)
- --------------------------------------------------------------------------------------------------------------------------
From net realized gain
on investments (1.56) (.27) (.83) (.47) (.27) --
- --------------------------------------------------------------------------------------------------------------------------
Total distributions (1.72) (.37) (.97) (.63) (.46) (.08)
- --------------------------------------------------------------------------------------------------------------------------
Net asset value,
end of period $15.27 $14.35 $11.76 $13.64 $11.41 $10.06
- --------------------------------------------------------------------------------------------------------------------------
Ratios and supplemental data
- --------------------------------------------------------------------------------------------------------------------------
Total return at
net asset value (%)(a) 19.00* 25.55 (7.01) 26.25 18.75 20.45
- --------------------------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $827,997 $664,640 $602,273 $486,107 $210,531 $122,228
- --------------------------------------------------------------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(b) .57* 1.21 1.31 1.39 1.45 1.49(d)
- --------------------------------------------------------------------------------------------------------------------------
Ratio of net investment income
to average net assets (%) .57* 1.00 1.13 1.42 1.72 1.98(d)
- --------------------------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 103.41* 105.11 146.58 99.96 100.93 88.36
- --------------------------------------------------------------------------------------------------------------------------
+ Commencement of operations.
* Not annualized.
(a) Total return assumes dividend reinvestment and does not reflect the effect of sales charges.
(b) Includes amounts paid through expense offset and brokerage service arrangements (Note 2).
(c) Per share net investment income has been determined on the basis of the weighted average number of shares
outstanding during the period.
(d) Expenses for the year ended September 30, 1995 reflect a reduction of less than $0.01 per share for class A,
class B, class C, class M and class Y, respectively.
</TABLE>
<TABLE>
<CAPTION>
Financial highlights
(For a share outstanding throughout the period)
Putnam Asset Allocation: Growth Portfolio
CLASS B
- --------------------------------------------------------------------------------------------------------------------------
Six months
ended
Per-share March 31
operating performance (Unaudited) Year ended September 30
- --------------------------------------------------------------------------------------------------------------------------
2000 1999 1998 1997 1996 1995
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value,
beginning of period $14.12 $11.59 $13.47 $11.29 $9.97 $8.39
- --------------------------------------------------------------------------------------------------------------------------
Investment operations
- --------------------------------------------------------------------------------------------------------------------------
Net investment income (c) .03 .03 .05 .08 .10 .11(d)
- --------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investments 2.52 2.78 (1.05) 2.67 1.64 1.52
- --------------------------------------------------------------------------------------------------------------------------
Total from
investment operations 2.55 2.81 (1.00) 2.75 1.74 1.63
- --------------------------------------------------------------------------------------------------------------------------
Less distributions:
- --------------------------------------------------------------------------------------------------------------------------
From net
investment income (.06) (.01) (.05) (.10) (.15) (.05)
- --------------------------------------------------------------------------------------------------------------------------
From net realized gain
on investments (1.56) (.27) (.83) (.47) (.27) --
- --------------------------------------------------------------------------------------------------------------------------
Total distributions (1.62) (.28) (.88) (.57) (.42) (.05)
- --------------------------------------------------------------------------------------------------------------------------
Net asset value,
end of period $15.05 $14.12 $11.59 $13.47 $11.29 $9.97
- --------------------------------------------------------------------------------------------------------------------------
Ratios and supplemental data
- --------------------------------------------------------------------------------------------------------------------------
Total return at
net asset value (%)(a) 18.59* 24.52 (7.72) 25.23 18.04 19.57
- --------------------------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $541,133 $470,073 $385,645 $357,501 $199,871 $116,263
- --------------------------------------------------------------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(b) .94* 1.96 2.06 2.14 2.21 2.23(d)
- --------------------------------------------------------------------------------------------------------------------------
Ratio of net investment income
to average net assets (%) .19* .25 .40 .68 .95 1.22(d)
- --------------------------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 103.41* 105.11 146.58 99.96 100.93 88.36
- --------------------------------------------------------------------------------------------------------------------------
+ Commencement of operations.
* Not annualized.
(a) Total return assumes dividend reinvestment and does not reflect the effect of sales charges.
(b) Includes amounts paid through expense offset and brokerage service arrangements (Note 2).
(c) Per share net investment income has been determined on the basis of the weighted average number of shares
outstanding during the period.
(d) Expenses for the year ended September 30, 1995 reflect a reduction of less than $0.01 per share for class A,
class B, class C, class M and class Y, respectively.
</TABLE>
<TABLE>
<CAPTION>
Financial highlights
(For a share outstanding throughout the period)
Putnam Asset Allocation: Growth Portfolio
CLASS C
- --------------------------------------------------------------------------------------------------------------------------
Six months
ended
Per-share March 31
operating performance (Unaudited) Year ended September 30
- --------------------------------------------------------------------------------------------------------------------------
2000 1999 1998 1997 1996 1995
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value,
beginning of period $14.00 $11.50 $13.38 $11.24 $9.93 $8.39
- --------------------------------------------------------------------------------------------------------------------------
Investment operations
- --------------------------------------------------------------------------------------------------------------------------
Net investment income (c) .03 .03 .05 .08 .10 .11(d)
- --------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investments 2.50 2.75 (1.04) 2.65 1.63 1.51
- --------------------------------------------------------------------------------------------------------------------------
Total from
investment operations 2.53 2.78 (.99) 2.73 1.73 1.62
- --------------------------------------------------------------------------------------------------------------------------
Less distributions:
- --------------------------------------------------------------------------------------------------------------------------
From net
investment income (.06) (.01) (.06) (.12) (.15) (.08)
- --------------------------------------------------------------------------------------------------------------------------
From net realized gain
on investments (1.56) (.27) (.83) (.47) (.27) --
- --------------------------------------------------------------------------------------------------------------------------
Total distributions (1.62) (.28) (.89) (.59) (.42) (.08)
- --------------------------------------------------------------------------------------------------------------------------
Net asset value,
end of period $14.91 $14.00 $11.50 $13.38 $11.24 $9.93
- --------------------------------------------------------------------------------------------------------------------------
Ratios and supplemental data
- --------------------------------------------------------------------------------------------------------------------------
Total return at
net asset value (%)(a) 18.61* 24.47 (7.70) 25.31 18.01 19.46
- --------------------------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $132,206 $103,209 $88,076 $68,749 $27,556 $7,985
- --------------------------------------------------------------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(b) .94* 1.96 2.06 2.14 2.23 2.23(d)
- --------------------------------------------------------------------------------------------------------------------------
Ratio of net investment income
to average net assets (%) .20* .25 .41 .67 .94 1.24(d)
- --------------------------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 103.41* 105.11 146.58 99.96 100.93 88.36
- --------------------------------------------------------------------------------------------------------------------------
+ Commencement of operations.
* Not annualized.
(a) Total return assumes dividend reinvestment and does not reflect the effect of sales charges.
(b) Includes amounts paid through expense offset and brokerage service arrangements (Note 2).
(c) Per share net investment income has been determined on the basis of the weighted average number of shares
outstanding during the period.
(d) Expenses for the year ended September 30, 1995 reflect a reduction of less than $0.01 per share for class A,
class B, class C, class M and class Y, respectively.
</TABLE>
<TABLE>
<CAPTION>
Financial highlights
(For a share outstanding throughout the period)
Putnam Asset Allocation: Growth Portfolio
CLASS M
- --------------------------------------------------------------------------------------------------------------------------
Six months
ended For the period
Per-share March 31 Feb. 3, 1995+
operating performance (Unaudited) Year ended September 30 to Sept. 30
- --------------------------------------------------------------------------------------------------------------------------
2000 1999 1998 1997 1996 1995
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value,
beginning of period $14.15 $11.60 $13.49 $11.32 $10.01 $8.39
- --------------------------------------------------------------------------------------------------------------------------
Investment operations
- --------------------------------------------------------------------------------------------------------------------------
Net investment income (c) .05 .07 .08 .11 .12 .08(d)
- --------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investments 2.52 2.80 (1.05) 2.67 1.64 1.54
- --------------------------------------------------------------------------------------------------------------------------
Total from
investment operations 2.57 2.87 (.97) 2.78 1.76 1.62
- --------------------------------------------------------------------------------------------------------------------------
Less distributions:
- --------------------------------------------------------------------------------------------------------------------------
From net
investment income (.09) (.05) (.09) (.14) (.18) --
- --------------------------------------------------------------------------------------------------------------------------
From net realized gain
on investments (1.56) (.27) (.83) (.47) (.27) --
- --------------------------------------------------------------------------------------------------------------------------
Total distributions (1.65) (.32) (.92) (.61) (.45) --
- --------------------------------------------------------------------------------------------------------------------------
Net asset value,
end of period $15.07 $14.15 $11.60 $13.49 $11.32 $10.01
- --------------------------------------------------------------------------------------------------------------------------
Ratios and supplemental data
- --------------------------------------------------------------------------------------------------------------------------
Total return at
net asset value (%)(a) 18.71* 25.05 (7.52) 25.63 18.21 19.31*
- --------------------------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $70,342 $59,604 $49,702 $34,381 $12,369 $3,160
- --------------------------------------------------------------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(b) .82* 1.71 1.81 1.89 1.95 1.45(d)*
- --------------------------------------------------------------------------------------------------------------------------
Ratio of net investment income
to average net assets (%) .32* .50 .65 .92 1.16 .79(d)*
- --------------------------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 103.41* 105.11 146.58 99.96 100.93 88.36
- --------------------------------------------------------------------------------------------------------------------------
+ Commencement of operations.
* Not annualized.
(a) Total return assumes dividend reinvestment and does not reflect the effect of sales charges.
(b) Includes amounts paid through expense offset and brokerage service arrangements (Note 2).
(c) Per share net investment income has been determined on the basis of the weighted average number of shares
outstanding during the period.
(d) Expenses for the year ended September 30, 1995 reflect a reduction of less than $0.01 per share for class A,
class B, class C, class M and class Y, respectively.
</TABLE>
<TABLE>
<CAPTION>
Financial highlights
(For a share outstanding throughout the period)
Putnam Asset Allocation: Growth Portfolio
CLASS Y
- --------------------------------------------------------------------------------------------------------------------------
Six months
ended
Per-share March 31
operating performance (Unaudited) Year ended September 30
- --------------------------------------------------------------------------------------------------------------------------
2000 1999 1998 1997 1996 1995
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value,
beginning of period $14.44 $11.84 $13.72 $11.47 $10.09 $8.43
- --------------------------------------------------------------------------------------------------------------------------
Investment operations
- --------------------------------------------------------------------------------------------------------------------------
Net investment income (c) .11 .17 .18 .21 .21 .17(d)
- --------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investments 2.57 2.83 (1.07) 2.70 1.65 1.57
- --------------------------------------------------------------------------------------------------------------------------
Total from
investment operations 2.68 3.00 (.89) 2.91 1.86 1.74
- --------------------------------------------------------------------------------------------------------------------------
Less distributions:
- --------------------------------------------------------------------------------------------------------------------------
From net
investment income (.20) (.13) (.16) (.19) (.21) (.08)
- --------------------------------------------------------------------------------------------------------------------------
From net realized gain
on investments (1.56) (.27) (.83) (.47) (.27) --
- --------------------------------------------------------------------------------------------------------------------------
Total distributions (1.76) (.40) (.99) (.66) (.48) (.08)
- --------------------------------------------------------------------------------------------------------------------------
Net asset value,
end of period $15.36 $14.44 $11.84 $13.72 $11.47 $10.09
- --------------------------------------------------------------------------------------------------------------------------
Ratios and supplemental data
- --------------------------------------------------------------------------------------------------------------------------
Total return at
net asset value (%)(a) 19.19* 25.76 (6.79) 26.54 19.20 20.94
- --------------------------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $475,224 $386,363 $203,595 $233,292 $58,301 $45,150
- --------------------------------------------------------------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(b) .44* .96 1.06 1.14 1.21 1.28(d)
- --------------------------------------------------------------------------------------------------------------------------
Ratio of net investment income
to average net assets (%) .70* 1.24 1.40 1.71 1.97 2.05(d)
- --------------------------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 103.41* 105.11 146.58 99.96 100.93 88.36
- --------------------------------------------------------------------------------------------------------------------------
+ Commencement of operations.
* Not annualized.
(a) Total return assumes dividend reinvestment and does not reflect the effect of sales charges.
(b) Includes amounts paid through expense offset and brokerage service arrangements (Note 2).
(c) Per share net investment income has been determined on the basis of the weighted average number of shares
outstanding during the period.
(d) Expenses for the year ended September 30, 1995 reflect a reduction of less than $0.01 per share for class A,
class B, class C, class M and class Y, respectively.
</TABLE>
<TABLE>
<CAPTION>
Statement of assets and liabilities
March 31, 2000 (Unaudited)
Putnam Asset Allocation: Balanced Portfolio
Assets
- ----------------------------------------------------------------------------------------------
<S> <C>
Investments in securities, at value
(identified cost $2,181,379,657) (Note 1) $2,464,329,878
- ----------------------------------------------------------------------------------------------
Cash 580,811
- ----------------------------------------------------------------------------------------------
Foreign currency (cost $12,700,972) 12,763,117
- ----------------------------------------------------------------------------------------------
Dividends, interest and other receivables 10,764,454
- ----------------------------------------------------------------------------------------------
Receivable for shares of the fund sold 6,601,232
- ----------------------------------------------------------------------------------------------
Receivable for securities sold 147,509,755
- ----------------------------------------------------------------------------------------------
Receivable for variation margin 3,758,298
- ----------------------------------------------------------------------------------------------
Receivable for open forward currency contracts 8,249,843
- ----------------------------------------------------------------------------------------------
Receivable for closed forward currency contracts 8,120,388
- ----------------------------------------------------------------------------------------------
Receivable for open swap contracts 243,008
- ----------------------------------------------------------------------------------------------
Total assets 2,662,920,784
Liabilities
- ----------------------------------------------------------------------------------------------
Payable for securities purchased 165,475,649
- ----------------------------------------------------------------------------------------------
Payable for shares of the fund repurchased 27,508,474
- ----------------------------------------------------------------------------------------------
Payable for compensation of Manager (Note 2) 3,353,493
- ----------------------------------------------------------------------------------------------
Payable for investor servicing and custodian fees (Note 2) 482,819
- ----------------------------------------------------------------------------------------------
Payable for compensation of Trustees (Note 2) 27,760
- ----------------------------------------------------------------------------------------------
Payable for administrative services (Note 2) 4,440
- ----------------------------------------------------------------------------------------------
Payable for distribution fees (Note 2) 1,420,476
- ----------------------------------------------------------------------------------------------
Payable for open forward currency contracts 15,366,011
- ----------------------------------------------------------------------------------------------
Payable for closed forward currency contracts 6,334,822
- ----------------------------------------------------------------------------------------------
TBA sales commitments, at value (proceeds receivable $23,293,325) 23,384,463
- ----------------------------------------------------------------------------------------------
Other accrued expenses 107,785
- ----------------------------------------------------------------------------------------------
Total liabilities 243,466,192
- ----------------------------------------------------------------------------------------------
Net assets $2,419,454,592
Represented by
- ----------------------------------------------------------------------------------------------
Paid-in capital (Notes 1 and 4) $1,921,138,007
- ----------------------------------------------------------------------------------------------
Distributions in excess of net investment income (Note 1) (5,991,403)
- ----------------------------------------------------------------------------------------------
Accumulated net realized gain on investments and foreign currency
transactions (Note 1) 190,677,501
- ----------------------------------------------------------------------------------------------
Net unrealized appreciation of investments and assets and liabilities in
foreign currencies 313,630,487
- ----------------------------------------------------------------------------------------------
Total -- Representing net assets applicable to capital shares outstanding $2,419,454,592
Computation of net asset value and offering price
- ----------------------------------------------------------------------------------------------
Net asset value and redemption price per class A share
($1,098,563,153 divided by 83,095,848 shares) $13.22
- ----------------------------------------------------------------------------------------------
Offering price per class A share (100/94.25 of $13.22)* $14.03
- ----------------------------------------------------------------------------------------------
Net asset value and offering price per class B share
($599,488,512 divided by 45,591,048 shares)** $13.15
- ----------------------------------------------------------------------------------------------
Net asset value and offering price per class C share
($142,591,195 divided by 10,917,304 shares)** $13.06
- ----------------------------------------------------------------------------------------------
Net asset value and redemption price per class M share
($73,438,973 divided by 5,566,357 shares) $13.19
- ----------------------------------------------------------------------------------------------
Offering price per class M share (100/96.50 of $13.19)* $13.67
- ----------------------------------------------------------------------------------------------
Net asset value, offering price and redemption price per class Y share
($505,372,759 divided by 38,212,225 shares) $13.23
- ----------------------------------------------------------------------------------------------
* 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, 2000 (Unaudited)
Putnam Asset Allocation: Balanced Portfolio
Investment income:
- ----------------------------------------------------------------------------------------------
<S> <C>
Interest $ 25,060,790
- ----------------------------------------------------------------------------------------------
Dividends (net of foreign tax of $220,444) 7,614,127
- ----------------------------------------------------------------------------------------------
Total investment income 32,674,917
Expenses:
- ----------------------------------------------------------------------------------------------
Compensation of Manager (Note 2) 6,535,132
- ----------------------------------------------------------------------------------------------
Investor servicing and custodian fees (Note 2) 2,675,750
- ----------------------------------------------------------------------------------------------
Compensation of Trustees (Note 2) 18,910
- ----------------------------------------------------------------------------------------------
Administrative services (Note 2) 9,028
- ----------------------------------------------------------------------------------------------
Distribution fees -- Class A (Note 2) 1,248,392
- ----------------------------------------------------------------------------------------------
Distribution fees -- Class B (Note 2) 2,942,736
- ----------------------------------------------------------------------------------------------
Distribution fees -- Class C (Note 2) 661,034
- ----------------------------------------------------------------------------------------------
Distribution fees -- Class M (Note 2) 265,145
- ----------------------------------------------------------------------------------------------
Reports to shareholders 18,364
- ----------------------------------------------------------------------------------------------
Auditing 40,886
- ----------------------------------------------------------------------------------------------
Legal 8,507
- ----------------------------------------------------------------------------------------------
Postage 116,803
- ----------------------------------------------------------------------------------------------
Other 76,019
- ----------------------------------------------------------------------------------------------
Total expenses 14,616,706
- ----------------------------------------------------------------------------------------------
Expense reduction (Note 2) (310,498)
- ----------------------------------------------------------------------------------------------
Net expenses 14,306,208
- ----------------------------------------------------------------------------------------------
Net investment income 18,368,709
- ----------------------------------------------------------------------------------------------
Net realized gain on investments (Notes 1 and 3) 321,831,421
- ----------------------------------------------------------------------------------------------
Net realized loss on futures contracts (Note 1) (112,167,365)
- ----------------------------------------------------------------------------------------------
Net realized gain on swap contracts (Note 1) 3,111,092
- ----------------------------------------------------------------------------------------------
Net realized loss on foreign currency transactions (Note 1) (10,382,497)
- ----------------------------------------------------------------------------------------------
Net unrealized depreciation of assets and liabilities in
foreign currencies during the period (7,920,337)
- ----------------------------------------------------------------------------------------------
Net unrealized appreciation of investments, futures contracts, swap
contracts and TBA sale commitments during the period 135,268,421
- ----------------------------------------------------------------------------------------------
Net gain on investments 329,740,735
- ----------------------------------------------------------------------------------------------
Net increase in net assets resulting from operations $348,109,444
- ----------------------------------------------------------------------------------------------
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
2000* 1999
- -------------------------------------------------------------------------------------------------------
<S> <C> <C>
Increase in net assets
- -------------------------------------------------------------------------------------------------------
Operations:
- -------------------------------------------------------------------------------------------------------
Net investment income $ 18,368,709 $ 32,876,104
- -------------------------------------------------------------------------------------------------------
Net realized gain on investments and foreign currency
transactions 202,392,651 146,907,807
- -------------------------------------------------------------------------------------------------------
Net unrealized appreciation of investments and assets and
liabilities in foreign currencies 127,348,084 144,921,393
- -------------------------------------------------------------------------------------------------------
Net increase in net assets resulting from operations 348,109,444 324,705,304
- -------------------------------------------------------------------------------------------------------
Distributions to shareholders:
- -------------------------------------------------------------------------------------------------------
From net investment income
Class A (11,505,641) (17,001,979)
- -------------------------------------------------------------------------------------------------------
Class B (4,795,365) (5,733,718)
- -------------------------------------------------------------------------------------------------------
Class C (1,096,697) (1,222,425)
- -------------------------------------------------------------------------------------------------------
Class M (653,381) (860,001)
- -------------------------------------------------------------------------------------------------------
Class Y (6,398,890) (6,217,689)
- -------------------------------------------------------------------------------------------------------
From net realized gain on investments
Class A (66,297,566) (14,689,181)
- -------------------------------------------------------------------------------------------------------
Class B (41,791,913) (8,284,024)
- -------------------------------------------------------------------------------------------------------
Class C (9,236,973) (1,662,318)
- -------------------------------------------------------------------------------------------------------
Class M (4,918,496) (985,347)
- -------------------------------------------------------------------------------------------------------
Class Y (34,117,108) (3,641,867)
- -------------------------------------------------------------------------------------------------------
Increase from capital share transactions (Note 4) 227,350,873 65,633,045
- -------------------------------------------------------------------------------------------------------
Total increase in net assets 394,648,287 330,039,800
Net assets
- -------------------------------------------------------------------------------------------------------
Beginning of period 2,024,806,305 1,694,766,505
- -------------------------------------------------------------------------------------------------------
End of period (including distributions in excess of net
investment income and undistributed net investment income of
$5,991,403 and $89,862, respectively) $2,419,454,592 $2,024,806,305
- -------------------------------------------------------------------------------------------------------
* Unaudited
</TABLE>
<TABLE>
<CAPTION>
Financial highlights
(For a share outstanding throughout the period)
Putnam Asset Allocation: Balanced Portfolio
CLASS A
- --------------------------------------------------------------------------------------------------------------------------
Six months
ended
Per-share March 31
operating performance (Unaudited) Year ended September 30
- --------------------------------------------------------------------------------------------------------------------------
2000 1999 1998 1997 1996 1995
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value,
beginning of period $12.28 $10.66 $12.28 $10.71 $9.67 $8.33
- --------------------------------------------------------------------------------------------------------------------------
Investment operations
- --------------------------------------------------------------------------------------------------------------------------
Net investment income (c) .12 .23 .26 .28 .29 .27(d)
- --------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investments 1.90 1.78 (.84) 2.13 1.32 1.27
- --------------------------------------------------------------------------------------------------------------------------
Total from
investment operations 2.02 2.01 (.58) 2.41 1.61 1.54
- --------------------------------------------------------------------------------------------------------------------------
Less distributions:
- --------------------------------------------------------------------------------------------------------------------------
From net
investment income (.15) (.21) (.18) (.31) (.28) (.20)
- --------------------------------------------------------------------------------------------------------------------------
From net realized gain
on investments (.93) (.18) (.86) (.53) (.29) --
- --------------------------------------------------------------------------------------------------------------------------
Total distributions (1.08) (.39) (1.04) (.84) (.57) (.20)
- --------------------------------------------------------------------------------------------------------------------------
Net asset value,
end of period $13.22 $12.28 $10.66 $12.28 $10.71 $9.67
- --------------------------------------------------------------------------------------------------------------------------
Ratios and supplemental data
- --------------------------------------------------------------------------------------------------------------------------
Total return at
net asset value (%)(a) 16.99* 19.09 (4.97) 23.82 17.41 18.73
- --------------------------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $1,098,563 $873,219 $846,574 $680,720 $327,326 $152,317
- --------------------------------------------------------------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(b) .55* 1.14 1.22 1.27 1.33 1.32(d)
- --------------------------------------------------------------------------------------------------------------------------
Ratio of net investment income
to average net assets (%) .91* 1.89 2.17 2.44 2.83 2.95(d)
- --------------------------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 112.27* 119.70 158.14 136.75 122.12 106.03
- --------------------------------------------------------------------------------------------------------------------------
+ Commencement of operations.
* Not annualized.
(a) Total return assumes dividend reinvestment and does not reflect the effect of sales charges.
(b) Includes amounts paid through expense offset and brokerage service arrangements. (Note 2)
(c) Per share net investment income has been determined on the basis of the weighted average number of shares
outstanding during the period.
(d) Expenses for the year ended September 30, 1995 reflect a reduction of less than $0.01 per share for class A,
class B, class C, class M and class Y, respectively.
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 B
- --------------------------------------------------------------------------------------------------------------------------
Six months
ended
Per-share March 31
operating performance (Unaudited) Year ended September 30
- --------------------------------------------------------------------------------------------------------------------------
2000 1999 1998 1997 1996 1995
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value,
beginning of period $12.22 $10.61 $12.23 $10.67 $9.64 $8.31
- --------------------------------------------------------------------------------------------------------------------------
Investment operations
- --------------------------------------------------------------------------------------------------------------------------
Net investment income (c) .07 .14 .17 .19 .21 .20(d)
- --------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investments 1.90 1.78 (.83) 2.13 1.32 1.26
- --------------------------------------------------------------------------------------------------------------------------
Total from
investment operations 1.97 1.92 (.66) 2.32 1.53 1.46
- --------------------------------------------------------------------------------------------------------------------------
Less distributions:
- --------------------------------------------------------------------------------------------------------------------------
From net
investment income (.11) (.13) (.10) (.23) (.21) (.13)
- --------------------------------------------------------------------------------------------------------------------------
From net realized gain
on investments (.93) (.18) (.86) (.53) (.29) --
- --------------------------------------------------------------------------------------------------------------------------
Total distributions (1.04) (.31) (.96) (.76) (.50) (.13)
- --------------------------------------------------------------------------------------------------------------------------
Net asset value,
end of period $13.15 $12.22 $10.61 $12.23 $10.67 $9.64
- --------------------------------------------------------------------------------------------------------------------------
Ratios and supplemental data
- --------------------------------------------------------------------------------------------------------------------------
Total return at
net asset value (%)(a) 16.57* 18.22 (5.70) 22.95 16.54 17.83
- --------------------------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $599,489 $553,738 $482,029 $442,463 $264,830 $159,230
- --------------------------------------------------------------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(b) .92* 1.89 1.97 2.02 2.08 2.07(d)
- --------------------------------------------------------------------------------------------------------------------------
Ratio of net investment income
to average net assets (%) .54* 1.13 1.42 1.70 2.08 2.26(d)
- --------------------------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 112.27* 119.70 158.14 136.75 122.12 106.03
- --------------------------------------------------------------------------------------------------------------------------
+ Commencement of operations.
* Not annualized.
(a) Total return assumes dividend reinvestment and does not reflect the effect of sales charges.
(b) Includes amounts paid through expense offset and brokerage service arrangements. (Note 2)
(c) Per share net investment income has been determined on the basis of the weighted average number of shares
outstanding during the period.
(d) Expenses for the year ended September 30, 1995 reflect a reduction of less than $0.01 per share for class A,
class B, class C, class M and class Y, respectively.
</TABLE>
<TABLE>
<CAPTION>
Financial highlights
(For a share outstanding throughout the period)
Putnam Asset Allocation: Balanced Portfolio
CLASS C
- --------------------------------------------------------------------------------------------------------------------------
Six months
ended
Per-share March 31
operating performance (Unaudited) Year ended September 30
- --------------------------------------------------------------------------------------------------------------------------
2000 1999 1998 1997 1996 1995
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value,
beginning of period $12.15 $10.56 $12.18 $10.64 $9.62 $8.31
- --------------------------------------------------------------------------------------------------------------------------
Investment operations
- --------------------------------------------------------------------------------------------------------------------------
Net investment income (c) .07 .13 .16 .19 .22 .20(d)
- --------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investments 1.88 1.77 (.82) 2.11 1.30 1.27
- --------------------------------------------------------------------------------------------------------------------------
Total from
investment operations 1.95 1.90 (.66) 2.30 1.52 1.47
- --------------------------------------------------------------------------------------------------------------------------
Less distributions:
- --------------------------------------------------------------------------------------------------------------------------
From net
investment income (.11) (.13) (.10) (.23) (.21) (.16)
- --------------------------------------------------------------------------------------------------------------------------
From net realized gain
on investments (.93) (.18) (.86) (.53) (.29) --
- --------------------------------------------------------------------------------------------------------------------------
Total distributions (1.04) (.31) (.96) (.76) (.50) (.16)
- --------------------------------------------------------------------------------------------------------------------------
Net asset value,
end of period $13.06 $12.15 $10.56 $12.18 $10.64 $9.62
- --------------------------------------------------------------------------------------------------------------------------
Ratios and supplemental data
- --------------------------------------------------------------------------------------------------------------------------
Total return at
net asset value (%)(a) 16.52* 18.14 (5.70) 22.86 16.47 17.89
- --------------------------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $142,591 $120,660 $94,553 $70,847 $29,724 $11,921
- --------------------------------------------------------------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(b) .92* 1.89 1.97 2.02 2.09 2.09(d)
- --------------------------------------------------------------------------------------------------------------------------
Ratio of net investment income
to average net assets (%) .54* 1.12 1.41 1.70 2.18 2.22(d)
- --------------------------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 112.27* 119.70 158.14 136.75 122.12 106.03
- --------------------------------------------------------------------------------------------------------------------------
+ Commencement of operations.
* Not annualized.
(a) Total return assumes dividend reinvestment and does not reflect the effect of sales charges.
(b) Includes amounts paid through expense offset and brokerage service arrangements. (Note 2)
(c) Per share net investment income has been determined on the basis of the weighted average number of shares
outstanding during the period.
(d) Expenses for the year ended September 30, 1995 reflect a reduction of less than $0.01 per share for class A,
class B, class C, class M and class Y, respectively.
</TABLE>
<TABLE>
<CAPTION>
Financial highlights
(For a share outstanding throughout the period)
Putnam Asset Allocation: Balanced Portfolio
CLASS M
- --------------------------------------------------------------------------------------------------------------------------
Six months
ended For the period
Per-share March 31 Feb. 6, 1995+
operating performance (Unaudited) Year ended September 30 to Sept. 30
- --------------------------------------------------------------------------------------------------------------------------
2000 1999 1998 1997 1996 1995
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value,
beginning of period $12.26 $10.65 $12.27 $10.71 $9.66 $8.34
- --------------------------------------------------------------------------------------------------------------------------
Investment operations
- --------------------------------------------------------------------------------------------------------------------------
Net investment income (c) .08 .17 .20 .22 .24 .14(d)
- --------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investments 1.90 1.78 (.83) 2.13 1.34 1.31
- --------------------------------------------------------------------------------------------------------------------------
Total from
investment operations 1.98 1.95 (.63) 2.35 1.58 1.45
- --------------------------------------------------------------------------------------------------------------------------
Less distributions:
- --------------------------------------------------------------------------------------------------------------------------
From net
investment income (.12) (.16) (.13) (.26) (.24) (.13)
- --------------------------------------------------------------------------------------------------------------------------
From net realized gain
on investments (.93) (.18) (.86) (.53) (.29) --
- --------------------------------------------------------------------------------------------------------------------------
Total distributions (1.05) (.34) (.99) (.79) (.53) (.13)
- --------------------------------------------------------------------------------------------------------------------------
Net asset value,
end of period $13.19 $12.26 $10.65 $12.27 $10.71 $9.66
- --------------------------------------------------------------------------------------------------------------------------
Ratios and supplemental data
- --------------------------------------------------------------------------------------------------------------------------
Total return at
net asset value (%)(a) 16.65* 18.45 (5.46) 23.19 17.05 17.46*
- --------------------------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $73,439 $66,854 $55,511 $44,121 $14,967 $3,509
- --------------------------------------------------------------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(b) .80* 1.64 1.72 1.77 1.84 1.38(d)*
- --------------------------------------------------------------------------------------------------------------------------
Ratio of net investment income
to average net assets (%) .66* 1.38 1.67 1.93 2.42 1.56(d)*
- --------------------------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 112.27* 119.70 158.14 136.75 122.12 106.03
- --------------------------------------------------------------------------------------------------------------------------
+ Commencement of operations.
* Not annualized.
(a) Total return assumes dividend reinvestment and does not reflect the effect of sales charges.
(b) Includes amounts paid through expense offset and brokerage service arrangements. (Note 2)
(c) Per share net investment income has been determined on the basis of the weighted average number of shares
outstanding during the period.
(d) Expenses for the year ended September 30, 1995 reflect a reduction of less than $0.01 per share for class A,
class B, class C, class M and class Y, respectively.
</TABLE>
<TABLE>
<CAPTION>
Financial highlights
(For a share outstanding throughout the period)
Putnam Asset Allocation: Balanced Portfolio
CLASS Y
- --------------------------------------------------------------------------------------------------------------------------
Six months
ended
Per-share March 31
operating performance (Unaudited) Year ended September 30
- --------------------------------------------------------------------------------------------------------------------------
2000 1999 1998 1997 1996 1995
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value,
beginning of period $12.29 $10.67 $12.29 $10.71 $9.66 $8.33
- --------------------------------------------------------------------------------------------------------------------------
Investment operations
- --------------------------------------------------------------------------------------------------------------------------
Net investment income (c) .14 .26 .29 .31 .31 .29(d)
- --------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investments 1.90 1.78 (.84) 2.14 1.34 1.26
- --------------------------------------------------------------------------------------------------------------------------
Total from
investment operations 2.04 2.04 (.55) 2.45 1.65 1.55
- --------------------------------------------------------------------------------------------------------------------------
Less distributions:
- --------------------------------------------------------------------------------------------------------------------------
From net
investment income (.17) (.24) (.21) (.34) (.31) (.22)
- --------------------------------------------------------------------------------------------------------------------------
From net realized gain
on investments (.93) (.18) (.86) (.53) (.29) --
- --------------------------------------------------------------------------------------------------------------------------
Total distributions (1.10) (.42) (1.07) (.87) (.60) (.22)
- --------------------------------------------------------------------------------------------------------------------------
Net asset value,
end of period $13.23 $12.29 $10.67 $12.29 $10.71 $9.66
- --------------------------------------------------------------------------------------------------------------------------
Ratios and supplemental data
- --------------------------------------------------------------------------------------------------------------------------
Total return at
net asset value (%)(a) 17.13* 19.37 (4.74) 24.21 17.81 18.89
- --------------------------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $505,373 $410,335 $216,100 $232,021 $126,482 $71,661
- --------------------------------------------------------------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(b) .42* .89 .97 1.02 1.08 1.07(d)
- --------------------------------------------------------------------------------------------------------------------------
Ratio of net investment income
to average net assets (%) 1.04* 2.10 2.43 2.70 3.03 3.35(d)
- --------------------------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 112.27* 119.70 158.14 136.75 122.12 106.03
- --------------------------------------------------------------------------------------------------------------------------
+ Commencement of operations.
* Not annualized.
(a) Total return assumes dividend reinvestment and does not reflect the effect of sales charges.
(b) Includes amounts paid through expense offset and brokerage service arrangements. (Note 2)
(c) Per share net investment income has been determined on the basis of the weighted average number of shares
outstanding during the period.
(d) Expenses for the year ended September 30, 1995 reflect a reduction of less than $0.01 per share for class A,
class B, class C, class M and class Y, respectively.
</TABLE>
<TABLE>
<CAPTION>
Statement of assets and liabilities
March 31, 2000 (Unaudited)
Putnam Asset Allocation: Conservative Portfolio
Assets
- ----------------------------------------------------------------------------------------------
<S> <C>
Investments in securities, at value
(identified cost $774,455,219) (Note 1) $784,801,622
- ----------------------------------------------------------------------------------------------
Cash 2,246,107
- ----------------------------------------------------------------------------------------------
Foreign currency (cost $4,080,103) 4,002,758
- ----------------------------------------------------------------------------------------------
Dividends, interest and other receivables 7,753,253
- ----------------------------------------------------------------------------------------------
Receivable for shares of the fund sold 2,041,747
- ----------------------------------------------------------------------------------------------
Receivable for securities sold 22,061,208
- ----------------------------------------------------------------------------------------------
Receivable for open forward currency contracts 4,282,514
- ----------------------------------------------------------------------------------------------
Receivable for closed forward currency contracts 6,166,677
- ----------------------------------------------------------------------------------------------
Receivable for open swap contracts 63,393
- ----------------------------------------------------------------------------------------------
Total assets 833,419,279
Liabilities
- ----------------------------------------------------------------------------------------------
Payable for variation margin 87,726
- ----------------------------------------------------------------------------------------------
Payable for securities purchased 40,924,827
- ----------------------------------------------------------------------------------------------
Payable for shares of the fund repurchased 5,630,453
- ----------------------------------------------------------------------------------------------
Payable for compensation of Manager (Note 2) 1,275,415
- ----------------------------------------------------------------------------------------------
Payable for investor servicing and custodian fees (Note 2) 210,916
- ----------------------------------------------------------------------------------------------
Payable for compensation of Trustees (Note 2) 17,528
- ----------------------------------------------------------------------------------------------
Payable for administrative services (Note 2) 2,370
- ----------------------------------------------------------------------------------------------
Payable for distribution fees (Note 2) 490,686
- ----------------------------------------------------------------------------------------------
Payable for open forward currency contracts 5,136,788
- ----------------------------------------------------------------------------------------------
Payable for closed forward currency contracts 1,830,769
- ----------------------------------------------------------------------------------------------
TBA sales commitments, at value (proceeds receivable $10,368,311) 10,393,769
- ----------------------------------------------------------------------------------------------
Other accrued expenses 61,839
- ----------------------------------------------------------------------------------------------
Total liabilities 66,063,086
- ----------------------------------------------------------------------------------------------
Net assets $767,356,193
Represented by
- ----------------------------------------------------------------------------------------------
Paid-in capital (Notes 1 and 4) $699,983,188
- ----------------------------------------------------------------------------------------------
Undistributed net investment income (Note 1) 3,019,138
- ----------------------------------------------------------------------------------------------
Accumulated net realized gain on investments and foreign currency
transactions (Note 1) 55,228,722
- ----------------------------------------------------------------------------------------------
Net unrealized appreciation of investments and assets and liabilities in
foreign currencies 9,125,145
- ----------------------------------------------------------------------------------------------
Total -- Representing net assets applicable to capital shares outstanding $767,356,193
Computation of net asset value and offering price
- ----------------------------------------------------------------------------------------------
Net asset value and redemption price per class A share
($398,289,104 divided by 37,800,428 shares) $10.54
- ----------------------------------------------------------------------------------------------
Offering price per class A share (100/94.25 of $10.54)* $11.18
- ----------------------------------------------------------------------------------------------
Net asset value and offering price per class B share
($184,773,955 divided by 17,595,597 shares)** $10.50
- ----------------------------------------------------------------------------------------------
Net asset value and offering price per class C share
($45,014,509 divided by 4,296,224 shares)** $10.48
- ----------------------------------------------------------------------------------------------
Net asset value and redemption price per class M share
($25,290,223 divided by 2,408,328 shares) $10.50
- ----------------------------------------------------------------------------------------------
Offering price per class M share (100/96.50 of $10.50)* $10.88
- ----------------------------------------------------------------------------------------------
Net asset value, offering price and redemption price per class Y share
($113,988,402 divided by 10,798,880 shares) $10.56
- ----------------------------------------------------------------------------------------------
* 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, 2000 (Unaudited)
Putnam Asset Allocation: Conservative Portfolio
Investment income:
- ----------------------------------------------------------------------------------------------
<S> <C>
Interest income $16,274,131
- ----------------------------------------------------------------------------------------------
Dividends (net of foreign tax of $45,020) 1,437,515
- ----------------------------------------------------------------------------------------------
Total investment income 17,711,646
Expenses:
- ----------------------------------------------------------------------------------------------
Compensation of Manager (Note 2) 2,570,644
- ----------------------------------------------------------------------------------------------
Investor servicing and custodian fees (Note 2) 1,220,809
- ----------------------------------------------------------------------------------------------
Compensation of Trustees (Note 2) 10,354
- ----------------------------------------------------------------------------------------------
Administrative services (Note 2) 4,819
- ----------------------------------------------------------------------------------------------
Distribution fees -- Class A (Note 2) 490,375
- ----------------------------------------------------------------------------------------------
Distribution fees -- Class B (Note 2) 946,308
- ----------------------------------------------------------------------------------------------
Distribution fees -- Class C (Note 2) 263,171
- ----------------------------------------------------------------------------------------------
Distribution fees -- Class M (Note 2) 102,839
- ----------------------------------------------------------------------------------------------
Reports to shareholders 10,669
- ----------------------------------------------------------------------------------------------
Auditing 35,283
- ----------------------------------------------------------------------------------------------
Legal 4,602
- ----------------------------------------------------------------------------------------------
Postage 13,460
- ----------------------------------------------------------------------------------------------
Other 16,792
- ----------------------------------------------------------------------------------------------
Total expenses 5,690,125
- ----------------------------------------------------------------------------------------------
Expense reduction (Note 2) (145,752)
- ----------------------------------------------------------------------------------------------
Net expenses 5,544,373
- ----------------------------------------------------------------------------------------------
Net investment income 12,167,273
- ----------------------------------------------------------------------------------------------
Net realized gain on investments (Notes 1 and 3) 79,410,441
- ----------------------------------------------------------------------------------------------
Net realized loss on futures contracts (Notes 1) (26,294,857)
- ----------------------------------------------------------------------------------------------
Net realized gain on swap contracts (Note 1) 1,878,689
- ----------------------------------------------------------------------------------------------
Net realized gain on foreign currency transactions (Note 1) 3,920,583
- ----------------------------------------------------------------------------------------------
Net unrealized appreciation of assets and liabilities in
foreign currencies during the period 2,168,353
- ----------------------------------------------------------------------------------------------
Net unrealized depreciation of investments, futures contracts, swap
contracts and TBA sale commitments during the period (17,241,177)
- ----------------------------------------------------------------------------------------------
Net gain on investments 43,842,032
- ----------------------------------------------------------------------------------------------
Net increase in net assets resulting from operations $56,009,305
- ----------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Statement of changes in net assets
Six months ended Year ended
March 31 September 30
2000* 1999
- -------------------------------------------------------------------------------------------------------
<S> <C> <C>
Increase in net assets
- -------------------------------------------------------------------------------------------------------
Operations:
- -------------------------------------------------------------------------------------------------------
Net investment income $12,167,273 $21,901,750
- -------------------------------------------------------------------------------------------------------
Net realized gain on investments and foreign currency
transactions 58,914,856 36,606,656
- -------------------------------------------------------------------------------------------------------
Net unrealized appreciation (depreciation) of investments and
assets and liabilities in foreign currencies (15,072,824) 11,216,752
- -------------------------------------------------------------------------------------------------------
Net increase in net assets resulting from operations 56,009,305 69,725,158
- -------------------------------------------------------------------------------------------------------
Distributions to shareholders:
- -------------------------------------------------------------------------------------------------------
From net investment income
Class A (9,592,909) (13,105,936)
- -------------------------------------------------------------------------------------------------------
Class B (3,986,236) (4,776,576)
- -------------------------------------------------------------------------------------------------------
Class C (1,164,436) (1,480,210)
- -------------------------------------------------------------------------------------------------------
Class M (597,336) (677,682)
- -------------------------------------------------------------------------------------------------------
Class Y (2,893,084) (1,861,346)
- -------------------------------------------------------------------------------------------------------
In excess of net investment income
Class A -- (2,288,170)
- -------------------------------------------------------------------------------------------------------
Class B -- (833,945)
- -------------------------------------------------------------------------------------------------------
Class C -- (258,431)
- -------------------------------------------------------------------------------------------------------
Class M -- (118,317)
- -------------------------------------------------------------------------------------------------------
Class Y -- (324,973)
- -------------------------------------------------------------------------------------------------------
From net realized gain on investments
Class A (13,824,003) (3,163,448)
- -------------------------------------------------------------------------------------------------------
Class B (6,780,121) (1,383,942)
- -------------------------------------------------------------------------------------------------------
Class C (2,046,426) (418,800)
- -------------------------------------------------------------------------------------------------------
Class M (970,248) (175,747)
- -------------------------------------------------------------------------------------------------------
Class Y (3,934,173) (228,480)
- -------------------------------------------------------------------------------------------------------
Increase (decrease) from capital share transactions (Note 4) (2,325,137) 99,357,554
- -------------------------------------------------------------------------------------------------------
Total increase in net assets 7,895,196 137,986,709
Net assets
- -------------------------------------------------------------------------------------------------------
Beginning of period 759,460,997 621,474,288
- -------------------------------------------------------------------------------------------------------
End of period (including undistributed net investment income of
$3,019,138 and $9,085,866, respectively) $767,356,193 $759,460,997
- -------------------------------------------------------------------------------------------------------
* 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
Per-share March 31
operating performance (Unaudited) Year ended September 30
- --------------------------------------------------------------------------------------------------------------------------
2000 1999 1998 1997 1996 1995
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value,
beginning of period $10.40 $9.81 $10.61 $9.69 $9.19 $8.23
- --------------------------------------------------------------------------------------------------------------------------
Investment operations
- --------------------------------------------------------------------------------------------------------------------------
Net investment income .18(c) .34(c) .38(c) .38(c) .36 .33(d)
- --------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investments .60 .73 (.45) 1.22 .68 .90
- --------------------------------------------------------------------------------------------------------------------------
Total from
investment operations .78 1.07 (.07) 1.60 1.04 1.23
- --------------------------------------------------------------------------------------------------------------------------
Less distributions:
- --------------------------------------------------------------------------------------------------------------------------
From net
investment income (.26) (.34) (.20) (.35) (.36) (.27)
- --------------------------------------------------------------------------------------------------------------------------
In excess of net investment income -- (.06) -- -- -- --
- --------------------------------------------------------------------------------------------------------------------------
From net realized gain
on investments (.38) (.08) (.43) (.33) (.18) --
- --------------------------------------------------------------------------------------------------------------------------
In excess of net realized
gain on investments -- -- (.10) -- -- --
- --------------------------------------------------------------------------------------------------------------------------
Total distributions (.64) (.48) (.73) (.68) (.54) (.27)
- --------------------------------------------------------------------------------------------------------------------------
Net asset value,
end of period $10.54 $10.40 $9.81 $10.61 $9.69 $9.19
- --------------------------------------------------------------------------------------------------------------------------
Ratios and supplemental data
- --------------------------------------------------------------------------------------------------------------------------
Total return at
net asset value (%)(a) 7.67* 11.05 (0.69) 17.26 11.73 15.27
- --------------------------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $398,289 $373,313 $367,806 $295,239 $106,933 $57,341
- --------------------------------------------------------------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(b) .63* 1.31 1.39 1.38 1.47 1.22(d)
- --------------------------------------------------------------------------------------------------------------------------
Ratio of net investment income
to average net assets (%) 1.68* 3.25 3.67 3.74 4.08 4.48(d)
- --------------------------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 175.90* 165.48 203.19 219.44 183.67 159.80
- --------------------------------------------------------------------------------------------------------------------------
+ Commencement of operations.
* Not annualized.
(a) Total return assumes dividend reinvestment and does not reflect the effect of sales charges.
(b) Includes amounts paid through expense offset and brokerage service arrangements (Note 2).
(c) Per share net investment income has been determined on the basis of the weighted average number of shares
outstanding during the period.
(d) Expenses for the year ended September 30, 1995 reflect a reduction of $0.03, $0.03, $0.03, $0.02 and $0.03 per
share for class A, class B, class C, class M and class Y, respectively.
</TABLE>
<TABLE>
<CAPTION>
Financial highlights
(For a share outstanding throughout the period)
Putnam Asset Allocation: Conservative Portfolio
CLASS B
- --------------------------------------------------------------------------------------------------------------------------
Six months
ended
Per-share March 31
operating performance (Unaudited) Year ended September 30
- --------------------------------------------------------------------------------------------------------------------------
2000 1999 1998 1997 1996 1995
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value,
beginning of period $10.37 $9.78 $10.57 $9.66 $9.16 $8.22
- --------------------------------------------------------------------------------------------------------------------------
Investment operations
- --------------------------------------------------------------------------------------------------------------------------
Net investment income .14(c) .26(c) .30(c) .30(c) .29 .30(d)
- --------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investments .60 .73 (.43) 1.22 .68 .85
- --------------------------------------------------------------------------------------------------------------------------
Total from
investment operations .74 .99 (.13) 1.52 .97 1.15
- --------------------------------------------------------------------------------------------------------------------------
Less distributions:
- --------------------------------------------------------------------------------------------------------------------------
From net
investment income (.23) (.26) (.13) (.28) (.29) (.21)
- --------------------------------------------------------------------------------------------------------------------------
In excess of net investment income -- (.06) -- -- -- --
- --------------------------------------------------------------------------------------------------------------------------
From net realized gain
on investments (.38) (.08) (.43) (.33) (.18) --
- --------------------------------------------------------------------------------------------------------------------------
In excess of net realized
gain on investments -- (.10) -- -- --
- --------------------------------------------------------------------------------------------------------------------------
Total distributions (.61) (.40) (.66) (.61) (.47) (.21)
- --------------------------------------------------------------------------------------------------------------------------
Net asset value,
end of period $10.50 $10.37 $9.78 $10.57 $9.66 $9.16
- --------------------------------------------------------------------------------------------------------------------------
Ratios and supplemental data
- --------------------------------------------------------------------------------------------------------------------------
Total return at
net asset value (%)(a) 7.20* 10.29 (1.32) 16.36 10.96 14.22
- --------------------------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $184,774 $187,112 $162,807 $138,457 $94,954 $65,783
- --------------------------------------------------------------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(b) 1.00* 2.06 2.14 2.13 2.22 1.98(d)
- --------------------------------------------------------------------------------------------------------------------------
Ratio of net investment income
to average net assets (%) 1.31* 2.50 2.92 2.97 3.33 3.81(d)
- --------------------------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 175.90* 165.48 203.19 219.44 183.67 159.80
- --------------------------------------------------------------------------------------------------------------------------
+ Commencement of operations.
* Not annualized.
(a) Total return assumes dividend reinvestment and does not reflect the effect of sales charges.
(b) Includes amounts paid through expense offset and brokerage service arrangements (Note 2).
(c) Per share net investment income has been determined on the basis of the weighted average number of shares
outstanding during the period.
(d) Expenses for the year ended September 30, 1995 reflect a reduction of $0.03, $0.03, $0.03, $0.02 and $0.03 per
share for class A, class B, class C, class M and class Y, respectively.
</TABLE>
<TABLE>
<CAPTION>
Financial highlights
(For a share outstanding throughout the period)
Putnam Asset Allocation: Conservative Portfolio
CLASS C
- --------------------------------------------------------------------------------------------------------------------------
Six months
ended
Per-share March 31
operating performance (Unaudited) Year ended September 30
- --------------------------------------------------------------------------------------------------------------------------
2000 1999 1998 1997 1996 1995
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value,
beginning of period $10.34 $9.75 $10.56 $9.64 $9.15 $8.22
- --------------------------------------------------------------------------------------------------------------------------
Investment operations
- --------------------------------------------------------------------------------------------------------------------------
Net investment income .14(c) .26(c) .30(c) .29(c) .30 .29(d)
- --------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investments .60 .74 (.45) 1.24 .66 .87
- --------------------------------------------------------------------------------------------------------------------------
Total from
investment operations .74 1.00 (.15) 1.53 .96 1.16
- --------------------------------------------------------------------------------------------------------------------------
Less distributions:
- --------------------------------------------------------------------------------------------------------------------------
From net
investment income (.22) (.26) (.13) (.28) (.29) (.23)
- --------------------------------------------------------------------------------------------------------------------------
In excess of net investment income -- (.07) -- -- -- --
- --------------------------------------------------------------------------------------------------------------------------
From net realized gain
on investments (.38) (.08) (.43) (.33) (.18) --
- --------------------------------------------------------------------------------------------------------------------------
In excess of net realized
gain on investments -- (.10) -- -- --
- --------------------------------------------------------------------------------------------------------------------------
Total distributions (.60) (.41) (.66) (.61) (.47) (.23)
- --------------------------------------------------------------------------------------------------------------------------
Net asset value,
end of period $10.48 $10.34 $9.75 $10.56 $9.64 $9.15
- --------------------------------------------------------------------------------------------------------------------------
Ratios and supplemental data
- --------------------------------------------------------------------------------------------------------------------------
Total return at
net asset value (%)(a) 7.29* 10.34 (1.51) 16.52 10.86 14.41
- --------------------------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $45,015 $58,831 $45,740 $29,032 $16,326 $7,198
- --------------------------------------------------------------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(b) 1.00* 2.06 2.14 2.13 2.22 1.89(d)
- --------------------------------------------------------------------------------------------------------------------------
Ratio of net investment income
to average net assets (%) 1.29* 2.50 2.93 2.96 3.30 3.92(d)
- --------------------------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 175.90* 165.48 203.19 219.44 183.67 159.80
- --------------------------------------------------------------------------------------------------------------------------
+ Commencement of operations.
* Not annualized.
(a) Total return assumes dividend reinvestment and does not reflect the effect of sales charges.
(b) Includes amounts paid through expense offset and brokerage service arrangements (Note 2).
(c) Per share net investment income has been determined on the basis of the weighted average number of shares
outstanding during the period.
(d) Expenses for the year ended September 30, 1995 reflect a reduction of $0.03, $0.03, $0.03, $0.02 and $0.03 per
share for class A, class B, class C, class M and class Y, respectively.
</TABLE>
<TABLE>
<CAPTION>
Financial highlights
(For a share outstanding throughout the period)
Putnam Asset Allocation: Conservative Portfolio
CLASS M
- --------------------------------------------------------------------------------------------------------------------------
Six months
ended For the period
Per-share March 31 Feb. 7, 1995+
operating performance (Unaudited) Year ended September 30 to Sept. 30
- --------------------------------------------------------------------------------------------------------------------------
2000 1999 1998 1997 1996 1995
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value,
beginning of period $10.37 $9.78 $10.59 $9.67 $9.18 $8.21
- --------------------------------------------------------------------------------------------------------------------------
Investment operations
- --------------------------------------------------------------------------------------------------------------------------
Net investment income .15(c) .29(c) .33(c) .32(c) .33 .21(d)
- --------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investments .60 .73 (.46) 1.24 .66 .92
- --------------------------------------------------------------------------------------------------------------------------
Total from
investment operations .75 1.02 (.13) 1.56 .99 1.13
- --------------------------------------------------------------------------------------------------------------------------
Less distributions:
- --------------------------------------------------------------------------------------------------------------------------
From net
investment income (.24) (.29) (.15) (.31) (.32) (.16)
- --------------------------------------------------------------------------------------------------------------------------
In excess of net investment income -- (.06) -- -- -- --
- --------------------------------------------------------------------------------------------------------------------------
From net realized gain
on investments (.38) (.08) (.43) (.33) (.18) --
- --------------------------------------------------------------------------------------------------------------------------
In excess of net realized
gain on investments -- (.10) -- -- --
- --------------------------------------------------------------------------------------------------------------------------
Total distributions (.62) (.43) (.68) (.64) (.50) (.16)
- --------------------------------------------------------------------------------------------------------------------------
Net asset value,
end of period $10.50 $10.37 $9.78 $10.59 $9.67 $9.18
- --------------------------------------------------------------------------------------------------------------------------
Ratios and supplemental data
- --------------------------------------------------------------------------------------------------------------------------
Total return at
net asset value (%)(a) 7.32* 10.56 (1.27) 16.80 11.17 13.92*
- --------------------------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $25,290 $29,373 $18,868 $12,689 $4,622 $1,366
- --------------------------------------------------------------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(b) .88* 1.81 1.89 1.88 1.96 1.10(d)*
- --------------------------------------------------------------------------------------------------------------------------
Ratio of net investment income
to average net assets (%) 1.42* 2.77 3.17 3.19 3.60 2.73(d)*
- --------------------------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 175.90* 165.48 203.19 219.44 183.67 159.80
- --------------------------------------------------------------------------------------------------------------------------
+ Commencement of operations.
* Not annualized.
(a) Total return assumes dividend reinvestment and does not reflect the effect of sales charges.
(b) Includes amounts paid through expense offset and brokerage service arrangements (Note 2).
(c) Per share net investment income has been determined on the basis of the weighted average number of shares
outstanding during the period.
(d) Expenses for the year ended September 30, 1995 reflect a reduction of $0.03, $0.03, $0.03, $0.02 and $0.03 per
share for class A, class B, class C, class M and class Y, respectively.
</TABLE>
<TABLE>
<CAPTION>
Financial highlights
(For a share outstanding throughout the period)
Putnam Asset Allocation: Conservative Portfolio
CLASS Y
- --------------------------------------------------------------------------------------------------------------------------
Six months
ended
Per-share March 31
operating performance (Unaudited) Year ended September 30
- --------------------------------------------------------------------------------------------------------------------------
2000 1999 1998 1997 1996 1995
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value,
beginning of period $10.42 $9.82 $10.62 $9.69 $9.19 $8.23
- --------------------------------------------------------------------------------------------------------------------------
Investment operations
- --------------------------------------------------------------------------------------------------------------------------
Net investment income .19(c) .36(c) .41(c) .40(c) .38 .36(d)
- --------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investments .61 .75 (.45) 1.23 .68 .89
- --------------------------------------------------------------------------------------------------------------------------
Total from
investment operations .80 1.11 (.04) 1.63 1.06 1.25
- --------------------------------------------------------------------------------------------------------------------------
Less distributions:
- --------------------------------------------------------------------------------------------------------------------------
From net
investment income (.28) (.36) (.23) (.37) (.38) (.29)
- --------------------------------------------------------------------------------------------------------------------------
In excess of net investment income -- (.07) -- -- -- --
- --------------------------------------------------------------------------------------------------------------------------
From net realized gain
on investments (.38) (.08) (.43) (.33) (.18) --
- --------------------------------------------------------------------------------------------------------------------------
In excess of net realized
gain on investments -- (.10) -- -- --
- --------------------------------------------------------------------------------------------------------------------------
Total distributions (.66) (.51) (.76) (.70) (.56) (.29)
- --------------------------------------------------------------------------------------------------------------------------
Net asset value,
end of period $10.56 $10.42 $9.82 $10.62 $9.69 $9.19
- --------------------------------------------------------------------------------------------------------------------------
Ratios and supplemental data
- --------------------------------------------------------------------------------------------------------------------------
Total return at
net asset value (%)(a) 7.80* 11.42 (0.44) 17.62 11.99 15.54
- --------------------------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $113,988 $110,831 $26,253 $18,760 $6,025 $1,818
- --------------------------------------------------------------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(b) .50* 1.06 1.14 1.13 1.22 .92(d)
- --------------------------------------------------------------------------------------------------------------------------
Ratio of net investment income
to average net assets (%) 1.81* 3.50 3.93 3.96 4.45 4.93(d)
- --------------------------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 175.90* 165.48 203.19 219.44 183.67 159.80
- --------------------------------------------------------------------------------------------------------------------------
+ Commencement of operations.
* Not annualized.
(a) Total return assumes dividend reinvestment and does not reflect the effect of sales charges.
(b) Includes amounts paid through expense offset and brokerage service arrangements (Note 2).
(c) Per share net investment income has been determined on the basis of the weighted average number of shares
outstanding during the period.
(d) Expenses for the year ended September 30, 1995 reflect a reduction of $0.03, $0.03, $0.03, $0.02 and $0.03 per
share for class A, class B, class C, class M and class Y, respectively.
</TABLE>
Notes to financial statements
March 31, 2000 (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 and class C shares. Class Y shares, which
are sold at net asset value, are generally subject to the same expenses
as class A, class B, class C and class M shares, but do not bear a
distribution fee. Class Y shares are sold to defined contribution plans
that invest at least $150 million in a combination of Putnam funds and
other accounts managed by affiliates of Putnam Investment Management,
Inc. ("Putnam Management"), the funds' manager, a wholly owned
subsidiary of Putnam Investments, Inc.
Expenses of the trust are borne pro-rata by the holders of each class of
shares, except that each class bears expenses unique to that class
(including the distribution fees applicable to such class). Each class
votes as a class only with respect to its own distribution plan or other
matters on which a class vote is required by law or determined by the
Trustees. Shares of each class would receive their pro-rata share of the
net assets of the 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 of the financial statements and the reported
amounts of increases and decreases in net assets from operations during
the reporting period. Actual results could differ from those estimates.
A) Security valuation Investments for which market quotations are
readily available are stated at market value, which is determined using
the last reported sales price on its principal exchange, or if no sales
are reported -- as in the case of some securities traded
over-the-counter -- the last reported bid price. Short-term investments
having remaining maturities of 60 days or less are stated at amortized
cost, which approximates market value. 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 debt obligations; such investments are
stated at fair value on the basis of valuations furnished by a pricing
service or dealers, approved by the Trustees, which determine valuations
for normal institutional-size trading units of such securities using
methods based on market transactions for comparable securities and
variable relationships between securities that are generally recognized
by institutional traders. See Sections E, 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, receive delivery of the underlying securities,
the market value of which at the time of purchase is required to be in
an amount at least equal to the resale price, including accrued
interest. Collateral for certain tri-party repurchase agreements is held
at the counterparty's custodian in a segregated account for the benefit
of the fund and the counterparty. Putnam Management is responsible for
determining that the value of these underlying securities is at all
times at least equal to the resale price, including accrued interest.
D) Security transactions and related investment income Security
transactions are accounted for on the trade date (date the order to buy
or sell is executed). Gains or losses on securities sold are determined
on the identified cost basis.
Interest income is recorded on the accrual basis. Dividend income is
recorded on the ex-dividend date except that certain dividends from
foreign securities are recorded as soon as the fund is informed of the
ex-dividend date. Discounts on zero coupon bonds, original issue
discount bonds, stepped-coupon bonds and payment in kind bonds are
accreted according to the yield-to-maturity basis. Any premium resulting
from the purchase of is amortized on a yield-to-maturity basis.
E) Foreign currency translation The accounting records of the funds are
maintained in U.S. dollars. The market value of foreign securities,
currency holdings, and other assets and liabilities are recorded in the
books and records of the fund after translation to U.S. dollars based on
the exchange rates on that day. The cost of each security is determined
using historical exchange rates. Income and withholding taxes are
translated at prevailing exchange rates when accrued or incurred. The
fund does not isolate that portion of realized or unrealized gains or
losses resulting from changes in the foreign exchange rate on
investments from fluctuations arising from changes in the market prices
of the securities. Such gains and losses are included with the net
realized and unrealized gain or loss on investments. Net realized gains
and losses on foreign currency transactions represent net realized
exchange gains or losses on closed forward currency contracts,
disposition of foreign currencies and the difference between the amount
of investment income and foreign withholding taxes recorded on each
fund's books and the U.S. dollar equivalent amounts actually received or
paid. Net unrealized appreciation and depreciation of assets and
liabilities in foreign currencies arise from changes in the value of
open forward currency contracts and assets and liabilities other than
investments at the period end, resulting from changes in the exchange
rate. Investments in foreign securities involve certain risks, including
those related to economic instability, unfavorable political
developments, and currency fluctuations, not present with domestic
investments.
F) Forward currency contracts The funds may engage in forward currency
contracts, which are agreements between two parties to buy and sell
currencies at a set price on a future date, to protect against a decline
in value relative to the U.S. dollar of the currencies in which its
portfolio securities are denominated or quoted (or an increase in the
value of a currency in which securities a fund intends to buy are
denominated, when a fund holds cash reserves and short-term
investments). The U.S. dollar value of forward currency contracts is
determined using current forward currency exchange rates supplied by a
quotation service. The market value of the contract will fluctuate with
changes in currency exchange rates. The contract is "marked to market"
daily and the change in market value is recorded as an unrealized gain
or loss. When the contract is closed, the fund records a realized gain
or loss equal to the difference between the value of the contract at the
time it was opened and the value at the time it was closed. The funds
could be exposed to risk if the value of the currency changes
unfavorably, if the counterparties to the contracts are unable to meet
the terms of their contracts or if the fund is unable to enter into a
closing position.
G) Futures and options contracts The funds may use futures and options
contracts to hedge against changes in the values of securities the funds
own or expect to purchase. The funds may also write options on
securities they own or in which they may invest to increase their
current returns.
The potential risk to the funds is that the change in value of futures
and options contracts may not correspond to the change in value of the
hedged instruments. In addition, losses may arise from changes in the
value of the underlying instruments, if there is an illiquid secondary
market for the contracts, or if the counterparty to the contract is
unable to perform. When the contract is closed, the fund records a
realized gain or loss equal to the difference between the value of the
contract at the time it was opened and the value at the time it was
closed. Realized gains and losses on purchased options are included in
realized gains and losses on investment securities.
Futures contracts are valued at the quoted daily settlement prices
established by the exchange on which they trade. Exchange traded options
are valued at the last sale price, or if no sales are reported, the last
bid price for purchased options and the last ask price for written
options. Options traded over-the-counter are valued using prices
supplied by dealers.
H) Swap contracts The fund may engage in swap agreements, which are
agreements to exchange the return generated by one instrument for the
return generated by another instrument. The fund may enter into equity
swap agreements, to manage its exposure to equity markets, which involve
a commitment by one party to pay interest in exchange for a
market-linked return based on a notional amount. To the extent that the
total return of the security or index underlying the transaction exceeds
or falls short of the offsetting interest rate obligation, the fund will
receive a payment from or make a payment to the counterparty,
respectively. Equity swaps are marked to market daily based upon
quotations from market makers and the change, if any, is recorded as
unrealized gain or loss. Payments received or made at the end of the
measurement period are recorded as realized gains or losses. The fund
could be exposed to credit or market risk due to unfavorable changes in
the fluctuation of interest rates or in the price of the underlying
security or index, the possibility that there is no liquid market for
these agreements or that the counterparty may default on its obligation
to perform.
I) 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 0.01% from the principal amount. The funds hold, and maintain
until settlement date, cash or high-grade debt obligations in an amount
sufficient to meet the purchase price, or the funds may enter into
offsetting contracts for the forward sale of other securities they own.
Income on the securities will not be earned until settlement date. TBA
purchase commitments may be considered securities in themselves, and
involve a risk of loss if the value of the security to be purchased
declines prior to the settlement date, which risk is in addition to the
risk of decline in the value of each fund's other assets. Unsettled TBA
purchase commitments are valued at the current market value of the
underlying securities, according to the procedures described under
"Security valuation" above.
Although the funds will generally enter into TBA purchase commitments
with the intention of acquiring securities for their portfolio or for
delivery pursuant to options contracts they have entered into, the funds
may dispose of a commitment prior to settlement if Putnam Management
deems it appropriate to do so.
J) TBA sale commitments The funds may enter into TBA sale commitments to
hedge their portfolio positions or to sell mortgage-backed securities
they own under delayed delivery arrangements. Proceeds of TBA sale
commitments are not received until the contractual settlement date.
During the time a TBA sale commitment is outstanding, equivalent
deliverable securities, or an offsetting TBA purchase commitment
deliverable on or before the sale commitment date, are held as "cover"
for the transaction.
Unsettled TBA sale commitments are valued at the current market value of
the underlying securities, generally according to the procedures
described under "Security valuation" above. The contract is
"marked-to-market" daily and the change in market value is recorded by
the fund as an unrealized gain or loss. If the TBA sale commitment is
closed through the acquisition of an offsetting purchase commitment, the
fund realizes a gain or loss. If the fund delivers securities under the
commitment, the fund realizes a gain or a loss from the sale of the
securities based upon the unit price established at the date the
commitment was entered into.
K) 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, 2000, the funds had no borrowings against the line of
credit.
L) Federal taxes It is the policy of the funds to distribute all of its
taxable income within the prescribed time and otherwise comply with the
provisions of the Internal Revenue Code applicable to regulated
investment companies. It is also the intention of the funds to
distribute an amount sufficient to avoid imposition of any excise tax
under Section 4982 of the Internal Revenue Code of 1986, as amended.
Therefore, no provision has been made for federal taxes on income,
capital gains or unrealized appreciation on securities held nor for
excise tax on income and capital gains.
M) 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.
N) 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, 2000, fund expenses were reduced by
$237,237, $310,498 and $145,752 (for Growth Portfolio, Balanced
Portfolio and Conservative Portfolio, respectively) under expense offset
arrangements with PFTC and brokerage service arrangements. Investor
servicing and custodian fees reported in the Statement of operations
exclude these credits. Each fund 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 fund receives an annual Trustee fee, of which
$1,736, $1,774 and $953 (for Growth Portfolio, Balanced Portfolio and
Conservative Portfolio, respectively) has been allocated to the fund,
and an additional fee for each Trustees meeting attended. 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
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 a Trustee for at least five years. Benefits under the
Pension Plan are equal to 50% of the Trustee's average total retainer
and meeting fees for the three years preceding retirement. Pension
expense for the fund is included in Compensation of Trustees in the
Statement of operations. Accrued pension liability is included in
Payable for compensation of Trustees in the Statement of assets and
liabilities.
Each fund has adopted distribution plans (the "Plans") with respect to
its class A, class B, class C and class M shares pursuant to Rule 12b-1
under the Investment Company Act of 1940. The purpose of the Plans is to
compensate Putnam Mutual Funds Corp., a wholly-owned subsidiary of
Putnam Investments Inc., for services provided and expenses incurred by
it in distributing shares of the fund. The Plans provide for payments by
the funds to Putnam Mutual Funds Corp. at an annual rate up to 0.35%,
1.00%, 1.00% and 1.00% of the average net assets attributable to class
A, class B, class C and class M shares, respectively. The Trustees have
approved payment by 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, 2000, Putnam Mutual Funds Corp.,
acting as underwriter received net commissions of $265,666 and $21,784
from the sale of class A and class M shares, respectively, and received
$925,706 and $40,776 in contingent deferred sales charges from
redemptions of class B and class 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, 2000, Putnam Mutual Funds
Corp., acting as underwriter received $42,768 on class A redemptions.
Note 3
Purchases and sales of securities
During the six months ended March 31, 2000, cost of purchases and
proceeds from sales of investment securities other short-term
investments were as follows:
U.S. Government Obligations
- ---------------------------------------------------------------------------
Purchases Sales
- ---------------------------------------------------------------------------
Growth Portfolio $ 46,221,721 $ 75,401,619
- ---------------------------------------------------------------------------
Balanced Portfolio 239,054,684 256,585,390
- ---------------------------------------------------------------------------
Conservative Portfolio 217,617,722 281,809,050
- ---------------------------------------------------------------------------
Other Securities
- ---------------------------------------------------------------------------
Purchases Sales
- ---------------------------------------------------------------------------
Growth Portfolio $1,868,755,759 $2,068,332,562
- ---------------------------------------------------------------------------
Balanced Portfolio 2,096,421,442 2,281,371,454
- ---------------------------------------------------------------------------
Conservative Portfolio 884,345,285 974,149,260
- ---------------------------------------------------------------------------
Note 4
Capital shares
At March 31, 2000, 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 2000
- ---------------------------------------------------------------------------
Growth Portfolio Shares Amount
- ---------------------------------------------------------------------------
Shares sold 11,792,151 $177,619,610
- ---------------------------------------------------------------------------
Shares issued in connection
with reinvestment of distributions 5,418,253 78,943,933
- ---------------------------------------------------------------------------
Shares repurchased (9,306,748) (139,816,681)
- ---------------------------------------------------------------------------
Net increase 7,903,656 $116,746,862
- ---------------------------------------------------------------------------
Year ended September 30
- ---------------------------------------------------------------------------
Class A 1999
- ---------------------------------------------------------------------------
Growth Portfolio Shares Amount
- ---------------------------------------------------------------------------
Shares sold 18,752,326 $258,495,329
- ---------------------------------------------------------------------------
Shares issued in connection
with reinvestment of distributions 1,462,109 18,875,831
- ---------------------------------------------------------------------------
Shares repurchased (25,108,226) (349,190,266)
- ---------------------------------------------------------------------------
Net decrease (4,893,791) $(71,819,106)
- ---------------------------------------------------------------------------
Six months ended March 31
- ---------------------------------------------------------------------------
Class B 2000
- ---------------------------------------------------------------------------
Growth Portfolio Shares Amount
- ---------------------------------------------------------------------------
Shares sold 5,264,665 $78,315,981
- ---------------------------------------------------------------------------
Shares issued in connection
with reinvestment of distributions 3,565,153 51,302,499
- ---------------------------------------------------------------------------
Shares repurchased (6,159,222) (91,161,103)
- ---------------------------------------------------------------------------
Net increase 2,670,596 $38,457,377
- ---------------------------------------------------------------------------
Year ended September 30
- ---------------------------------------------------------------------------
Class B 1999
- ---------------------------------------------------------------------------
Growth Portfolio Shares Amount
- ---------------------------------------------------------------------------
Shares sold 6,079,466 $81,965,810
- ---------------------------------------------------------------------------
Shares issued in connection
with reinvestment of distributions 703,237 8,980,332
- ---------------------------------------------------------------------------
Shares repurchased (6,754,966) (91,948,806)
- ---------------------------------------------------------------------------
Net increase (decrease) 27,737 $(1,002,664)
- ---------------------------------------------------------------------------
Six months ended March 31
- ---------------------------------------------------------------------------
Class C 2000
- ---------------------------------------------------------------------------
Growth Portfolio Shares Amount
- ---------------------------------------------------------------------------
Shares sold 1,956,137 $28,532,670
- ---------------------------------------------------------------------------
Shares issued in connection
with reinvestment of distributions 764,706 10,904,619
- ---------------------------------------------------------------------------
Shares repurchased (1,224,230) (17,995,129)
- ---------------------------------------------------------------------------
Net increase 1,496,613 $21,442,160
- ---------------------------------------------------------------------------
Year ended September 30
- ---------------------------------------------------------------------------
Class C 1999
- ---------------------------------------------------------------------------
Growth Portfolio Shares Amount
- ---------------------------------------------------------------------------
Shares sold 1,904,307 $25,665,203
- ---------------------------------------------------------------------------
Shares issued in connection
with reinvestment of distributions 155,976 1,979,527
- ---------------------------------------------------------------------------
Shares repurchased (2,349,688) (31,738,963)
- ---------------------------------------------------------------------------
Net decrease (289,405) $(4,094,233)
- ---------------------------------------------------------------------------
Six months ended March 31
- ---------------------------------------------------------------------------
Class M 2000
- ---------------------------------------------------------------------------
Growth Portfolio Shares Amount
- ---------------------------------------------------------------------------
Shares sold 816,651 $12,045,402
- ---------------------------------------------------------------------------
Shares issued in connections
with reinvestment of distributions 471,294 6,786,640
- ---------------------------------------------------------------------------
Shares repurchased (833,078) (12,406,373)
- ---------------------------------------------------------------------------
Net increase 454,867 $ 6,425,669
- ---------------------------------------------------------------------------
Year ended September 30
- ---------------------------------------------------------------------------
Class M 1999
- ---------------------------------------------------------------------------
Growth Portfolio Shares Amount
- ---------------------------------------------------------------------------
Shares sold 1,465,010 $19,502,042
- ---------------------------------------------------------------------------
Shares issued in connections
with reinvestment of distributions 110,711 1,414,889
- ---------------------------------------------------------------------------
Shares repurchased (1,647,545) (22,770,812)
- ---------------------------------------------------------------------------
Net decrease (71,824) $(1,853,881)
- ---------------------------------------------------------------------------
Six months ended March 31
- ---------------------------------------------------------------------------
Class Y 2000
- ---------------------------------------------------------------------------
Growth Portfolio Shares Amount
- ---------------------------------------------------------------------------
Shares sold 7,276,165 $110,229,838
- ---------------------------------------------------------------------------
Shares issued in connection
with reinvestment of distributions 3,170,139 46,414,115
- ---------------------------------------------------------------------------
Shares repurchased (6,260,923) (94,799,473)
- ---------------------------------------------------------------------------
Net increase 4,185,381 $61,844,480
- ---------------------------------------------------------------------------
Year ended September 30
- ---------------------------------------------------------------------------
Class Y 1999
- ---------------------------------------------------------------------------
Growth Portfolio Shares Amount
- ---------------------------------------------------------------------------
Shares sold 15,271,247 $214,959,955
- ---------------------------------------------------------------------------
Shares issued in connection
with reinvestment of distributions 530,451 6,879,074
- ---------------------------------------------------------------------------
Shares repurchased (6,244,410) (87,204,382)
- ---------------------------------------------------------------------------
Net increase 9,557,288 $134,634,647
- ---------------------------------------------------------------------------
Six months ended March 31
- ---------------------------------------------------------------------------
Class A 2000
- ---------------------------------------------------------------------------
Balanced Portfolio Shares Amount
- ---------------------------------------------------------------------------
Shares sold 19,574,612 $250,915,152
- ---------------------------------------------------------------------------
Shares issued in connection
with reinvestment of distributions 6,117,947 76,819,670
- ---------------------------------------------------------------------------
Shares repurchased (13,693,430) (175,041,199)
- ---------------------------------------------------------------------------
Net increase 11,999,129 $152,693,623
- ---------------------------------------------------------------------------
Year ended September 30
- ---------------------------------------------------------------------------
Class A 1999
- ---------------------------------------------------------------------------
Balanced Portfolio Shares Amount
- ---------------------------------------------------------------------------
Shares sold 26,789,898 $ 319,446,022
- ---------------------------------------------------------------------------
Shares issued in connection
with reinvestment of distributions 2,657,991 31,312,005
- ---------------------------------------------------------------------------
Shares repurchased (37,757,615) (455,952,183)
- ---------------------------------------------------------------------------
Net decrease (8,309,726) $(105,194,156)
- ---------------------------------------------------------------------------
Six months ended March 31
- ---------------------------------------------------------------------------
Class B 2000
- ---------------------------------------------------------------------------
Balanced Portfolio Shares Amount
- ---------------------------------------------------------------------------
Shares sold 5,384,760 $ 68,586,525
- ---------------------------------------------------------------------------
Shares issued in connection
with reinvestment of distributions 3,501,930 43,698,291
- ---------------------------------------------------------------------------
Shares repurchased (8,610,049) (109,840,066)
- ---------------------------------------------------------------------------
Net increase 276,641 $ 2,444,750
- ---------------------------------------------------------------------------
Year ended September 30
- ---------------------------------------------------------------------------
Class B 1999
- ---------------------------------------------------------------------------
Balanced Portfolio Shares Amount
- ---------------------------------------------------------------------------
Shares sold 8,301,654 $98,580,466
- ---------------------------------------------------------------------------
Shares issued in connection
with reinvestment of distributions 1,124,391 13,101,703
- ---------------------------------------------------------------------------
Shares repurchased (9,541,695) (113,931,558)
- ---------------------------------------------------------------------------
Net decrease (115,650) $(2,249,389)
- ---------------------------------------------------------------------------
Six months ended March 31
- ---------------------------------------------------------------------------
Class C 2000
- ---------------------------------------------------------------------------
Balanced Portfolio Shares Amount
- ---------------------------------------------------------------------------
Shares sold 2,176,976 $27,507,613
- ---------------------------------------------------------------------------
Shares issued in connection
with reinvestment of distributions 756,599 9,381,152
- ---------------------------------------------------------------------------
Shares repurchased (1,944,985) (24,506,208)
- ---------------------------------------------------------------------------
Net increase 988,590 $12,382,557
- ---------------------------------------------------------------------------
Year ended September 30
- ---------------------------------------------------------------------------
Class C 1999
- ---------------------------------------------------------------------------
Balanced Portfolio Shares Amount
- ---------------------------------------------------------------------------
Shares sold 3,361,616 $40,015,780
- ---------------------------------------------------------------------------
Shares issued in connection
with reinvestment of distributions 223,409 2,591,926
- ---------------------------------------------------------------------------
Shares repurchased (2,611,861) (31,143,056)
- ---------------------------------------------------------------------------
Net increase 973,164 $11,464,650
- ---------------------------------------------------------------------------
Six months ended March 31
- ---------------------------------------------------------------------------
Class M 2000
- ---------------------------------------------------------------------------
Balanced Portfolio Shares Amount
- ---------------------------------------------------------------------------
Shares sold 818,137 $10,449,951
- ---------------------------------------------------------------------------
Shares issued in connection
with reinvestment of distributions 434,941 5,449,998
- ---------------------------------------------------------------------------
Shares repurchased (1,137,511) (14,489,027)
- ---------------------------------------------------------------------------
Net increase 115,567 $ 1,410,922
- ---------------------------------------------------------------------------
Year ended September 30
- ---------------------------------------------------------------------------
Class M 1999
- ---------------------------------------------------------------------------
Balanced Portfolio Shares Amount
- ---------------------------------------------------------------------------
Shares sold 1,910,023 $22,711,244
- ---------------------------------------------------------------------------
Shares issued in connection
with reinvestment of distributions 152,511 1,789,141
- ---------------------------------------------------------------------------
Shares repurchased (1,823,486) (22,015,241)
- ---------------------------------------------------------------------------
Net increase 239,048 $ 2,485,144
- ---------------------------------------------------------------------------
Six months ended March 31
- ---------------------------------------------------------------------------
Class Y 2000
- ---------------------------------------------------------------------------
Balanced Portfolio Shares Amount
- ---------------------------------------------------------------------------
Shares sold 9,887,734 $124,603,809
- ---------------------------------------------------------------------------
Shares issued in connection
with reinvestment of distributions 3,226,246 40,515,998
- ---------------------------------------------------------------------------
Shares repurchased (8,288,956) (106,700,786)
- ---------------------------------------------------------------------------
Net increase 4,825,024 $ 58,419,021
- ---------------------------------------------------------------------------
Year ended September 30
- ---------------------------------------------------------------------------
Class Y 1999
- ---------------------------------------------------------------------------
Balanced Portfolio Shares Amount
- ---------------------------------------------------------------------------
Shares sold 18,714,733 $226,860,733
- ---------------------------------------------------------------------------
Shares issued in connection
with reinvestment of distributions 830,901 9,859,556
- ---------------------------------------------------------------------------
Shares repurchased (6,417,534) (77,593,493)
- ---------------------------------------------------------------------------
Net increase 13,128,100 $159,126,796
- ---------------------------------------------------------------------------
Six months ended March 31
- ---------------------------------------------------------------------------
Class A 2000
- ---------------------------------------------------------------------------
Conservative
Portfolio Shares Amount
- ---------------------------------------------------------------------------
Shares sold 8,653,844 $90,846,461
- ---------------------------------------------------------------------------
Shares issued in connection
with reinvestment of distributions 2,214,383 23,056,582
- ---------------------------------------------------------------------------
Shares repurchased (8,959,579) (94,094,888)
- ---------------------------------------------------------------------------
Net increase 1,908,648 $19,808,155
- ---------------------------------------------------------------------------
Year ended September 30
- ---------------------------------------------------------------------------
Class A 1999
- ---------------------------------------------------------------------------
Conservative
Portfolio Shares Amount
- ---------------------------------------------------------------------------
Shares sold 15,911,751 $164,942,186
- ---------------------------------------------------------------------------
Shares issued in connection
with reinvestment of distributions 1,771,466 18,189,578
- ---------------------------------------------------------------------------
Shares repurchased (19,288,553) (200,954,773)
- ---------------------------------------------------------------------------
Net decrease (1,605,336) $(17,823,009)
- ---------------------------------------------------------------------------
Six months ended March 31
- ---------------------------------------------------------------------------
Class B 2000
- ---------------------------------------------------------------------------
Conservative
Portfolio Shares Amount
- ---------------------------------------------------------------------------
Shares sold 1,491,564 $15,590,233
- ---------------------------------------------------------------------------
Shares issued in connection
with reinvestment of distributions 926,718 9,621,259
- ---------------------------------------------------------------------------
Shares repurchased (2,871,127) (30,018,258)
- ---------------------------------------------------------------------------
Net decrease (452,845) $(4,806,766)
- ---------------------------------------------------------------------------
Year ended September 30
- ---------------------------------------------------------------------------
Class B 1999
- ---------------------------------------------------------------------------
Conservative
Portfolio Shares Amount
- ---------------------------------------------------------------------------
Shares sold 4,648,804 $48,054,330
- ---------------------------------------------------------------------------
Shares issued in connection
with reinvestment of distributions 607,685 6,213,353
- ---------------------------------------------------------------------------
Shares repurchased (3,853,643) (39,855,674)
- ---------------------------------------------------------------------------
Net increase 1,402,846 $14,412,009
- ---------------------------------------------------------------------------
Six months ended March 31
- ---------------------------------------------------------------------------
Class C 2000
- ---------------------------------------------------------------------------
Conservative
Portfolio Shares Amount
- ---------------------------------------------------------------------------
Shares sold 567,593 $ 5,931,159
- ---------------------------------------------------------------------------
Shares issued in connection
with reinvestment of distributions 281,262 2,911,568
- ---------------------------------------------------------------------------
Shares repurchased (2,241,322) (23,332,999)
- ---------------------------------------------------------------------------
Net decrease (1,392,467) $(14,490,272)
- ---------------------------------------------------------------------------
Year ended September 30
- ---------------------------------------------------------------------------
Class C 1999
- ---------------------------------------------------------------------------
Conservative
Portfolio Shares Amount
- ---------------------------------------------------------------------------
Shares sold 2,910,586 $30,014,096
- ---------------------------------------------------------------------------
Shares issued in connection
with reinvestment of distributions 187,718 1,916,327
- ---------------------------------------------------------------------------
Shares repurchased (2,098,944) (21,792,052)
- ---------------------------------------------------------------------------
Net increase 999,360 $10,138,371
- ---------------------------------------------------------------------------
Six months ended March 31
- ---------------------------------------------------------------------------
Class M 2000
- ---------------------------------------------------------------------------
Conservative
Portfolio Shares Amount
- ---------------------------------------------------------------------------
Shares sold 348,788 $ 3,650,523
- ---------------------------------------------------------------------------
Shares issued in connection
with reinvestment of distributions 149,170 1,547,226
- ---------------------------------------------------------------------------
Shares repurchased (923,324) (9,661,136)
- ---------------------------------------------------------------------------
Net decrease (425,366) $(4,463,387)
- ---------------------------------------------------------------------------
Year ended September 30
- ---------------------------------------------------------------------------
Class M 1999
- ---------------------------------------------------------------------------
Conservative
Portfolio Shares Amount
- ---------------------------------------------------------------------------
Shares sold 1,447,538 $14,991,909
- ---------------------------------------------------------------------------
Shares issued in connection
with reinvestment of distributions 92,868 950,726
- ---------------------------------------------------------------------------
Shares repurchased (635,492) (6,614,546)
- ---------------------------------------------------------------------------
Net increase 904,914 $ 9,328,089
- ---------------------------------------------------------------------------
Six months ended March 31
- ---------------------------------------------------------------------------
Class Y 2000
- ---------------------------------------------------------------------------
Conservative
Portfolio Shares Amount
- ---------------------------------------------------------------------------
Shares sold 3,569,922 $33,567,524
- ---------------------------------------------------------------------------
Shares issued in connection
with reinvestment of distributions 277,525 6,827,257
- ---------------------------------------------------------------------------
Shares repurchased (3,689,154) (38,767,648)
- ---------------------------------------------------------------------------
Net increase 158,293 $ 1,627,133
- ---------------------------------------------------------------------------
Year ended September 30
- ---------------------------------------------------------------------------
Class Y 1999
- ---------------------------------------------------------------------------
Conservative
Portfolio Shares Amount
- ---------------------------------------------------------------------------
Shares sold 11,982,451 $124,630,096
- ---------------------------------------------------------------------------
Shares issued in connection with
reinvestment of distributions 233,490 2,414,799
- ---------------------------------------------------------------------------
Shares repurchased (4,250,057) (43,742,801)
- ---------------------------------------------------------------------------
Net increase 7,965,884 $ 83,302,094
- ---------------------------------------------------------------------------
As of March 31, 2000,
Putnam Investments, Inc.
owned the following shares,
% Market
Fund Shares Ownership Value
- ---------------------------------------------------------------------------
Growth
Class Y 11,396,523 36.84% $175,050,593
- ---------------------------------------------------------------------------
Balanced
Class Y 30,264,789 79.20% $400,403,158
- ---------------------------------------------------------------------------
Conservative
Class A 11,103,938 29.38% $117,035,507
Class M 274,782 11.41 2,885,211
Class Y 8,029,494 74.35 84,791,457
- ---------------------------------------------------------------------------
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.+
* 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.
+ Regular investing, of course, does not guarantee a profit or protect against
a loss in a declining market.
The Putnam family of funds
The following is a complete list of Putnam's open-end mutual funds.
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.
GROWTH FUNDS
Asia Pacific Growth Fund
Capital Appreciation Fund
Capital Opportunities Fund
Europe Growth Fund
Global Equity Fund
Global Growth Fund
Global Natural Resources Fund
Growth Opportunities Fund
Health Sciences Trust
International Growth Fund
International New Opportunities Fund
Investors Fund
New Century Growth Fund
New Opportunities Fund
OTC & Emerging Growth Fund
Research Fund
Tax Smart Equity Fund
Vista Fund
Voyager Fund
Voyager Fund II
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
Small Cap Value Fund
Utilities Growth and Income Fund
INCOME FUNDS
American Government Income Fund
Diversified Income Trust
Global Governmental Income Trust
High Yield Advantage Fund [DBL. DAGGER]
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
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
ASSET ALLOCATION 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
[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 not insured or guaranteed by the
Federal Deposit Insurance Corporation or any other government agency.
Although the funds seek to preserve your investment at $1.00 per share, it
is possible to lose money by investing in the fund.
Check your account balances and current performance at www.putnaminv.com.
Fund information
WEB SITE
www.putnaminv.com
INVESTMENT MANAGER
Putnam Investment
Management, Inc.
One Post Office Square
Boston, MA 02109
MARKETING SERVICES
Putnam Mutual Funds Corp.
One Post Office Square
Boston, MA 02109
CUSTODIAN
Putnam Fiduciary Trust Company
LEGAL COUNSEL
Ropes & Gray
TRUSTEES
George Putnam, Chairman
William F. Pounds, Vice Chairman
John A. Hill, Vice Chairman
Jameson Adkins Baxter
Hans H. Estin
Ronald J. Jackson
Paul L. Joskow
Elizabeth T. Kennan
Lawrence J. Lasser
John H. Mullin III
Robert E. Patterson
George Putnam, III
A.J.C. Smith
W. Thomas Stephens
W. Nicholas Thorndike
OFFICERS
George Putnam
President
Charles E. Porter
Executive Vice President
Patricia C. Flaherty
Senior Vice President
John D. Hughes
Senior Vice President and Treasurer
Lawrence J. Lasser
Vice President
Gordon H. Silver
Vice President
Ian C. Ferguson
Vice President
Brett C. Browchuk
Vice President
Stephen Oristaglio
Vice President
William J. Landes
Vice President and Fund Manager
Richard G. Leibovitch
Vice President
Richard A. Monaghan
Vice President
John R. Verani
Vice President
This report is for the information of shareholders of Putnam Asset
Allocation Funds. It may also be used as sales literature when preceded
or accompanied by the current prospectus, which gives details of sales
charges, investment objectives, and operating policies of the fund, and
the most recent copy of Putnam's Quarterly Performance Summary. For more
information or to request a prospectus, call toll free: 1-800-225-1581.
You can also learn more at Putnam Investments' Web site: www.putnaminv.com.
Shares of mutual funds are not deposits or obligations of, or guaranteed
or endorsed by, any financial institution; are not insured by the
Federal Deposit Insurance Corporation (FDIC), the Federal Reserve Board,
or any other agency; and involve risk, including the possible loss of
the principal amount invested.
[LOGO OMITTED]
PUTNAM INVESTMENTS
The Putnam Funds
One Post Office Square
Boston, Massachusetts 02109
www.putnaminv.com
- ---------------------
BULK RATE
U.S. POSTAGE PAID
PUTNAM
INVESTMENTS
- ---------------------
SA060-60362 250/259/264 5/00
PUTNAM INVESTMENTS [SCALE LOGO OMITTED]
- ---------------------------------------------------------------------------
Putnam Asset Allocation Funds, Growth Portfolio
Supplement to Semiannual Report dated March 31, 2000
The following information has been prepared to provide class Y shareholders
with a performance overview specific to their holdings. Class Y shares are
offered exclusively to defined contribution plans investing $150 million or
more in one or more of Putnam's funds or private accounts. Performance of
class Y shares, which incur neither a front-end load, distribution fee, nor
contingent deferred sales charge, will differ from performance of class A,
B, C and M shares, which are discussed more extensively in the Semiannual
Report.
SEMIANNUAL RESULTS AT A GLANCE
- ---------------------------------------------------------------------------
Total return NAV
Six months ended 3/31/00
9/30/99-3/31/00 19.19%
Life (annualized)
2/8/94-3/31/00 16.30%
- ---------------------------------------------------------------------------
Share value NAV
2/8/94 (Inception date) $8.50
9/30/99 $14.44
3/31/00 $15.36
- ---------------------------------------------------------------------------
Distributions No. Income Capital gains Total
Short Long
9/30/99 to 3/31/00 1 $0.199 $0.318 $1.247 $1.764
- ---------------------------------------------------------------------------
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
Semiannual 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.
PUTNAM INVESTMENTS [SCALE LOGO OMITTED]
- ---------------------------------------------------------------------------
Putnam Asset Allocation Funds, Balanced Portfolio
Supplement to Semiannual Report dated March 31, 2000
The following information has been prepared to provide class Y shareholders
with a performance overview specific to their holdings. Class Y shares are
offered exclusively to defined contribution plans investing $150 million or
more in one or more of Putnam's funds or private accounts. Performance of
class Y shares, which incur neither a front-end load, distribution fee, nor
contingent deferred sales charge, will differ from performance of class A,
B, C and M shares, which are discussed more extensively in the Semiannual
Report.
SEMIANNUAL RESULTS AT A GLANCE
- ---------------------------------------------------------------------------
Total return NAV
Six months ended 3/31/00
9/30/99-3/31/00 17.13%
Life (annualized)
2/7/94-3/31/00 14.40%
- ---------------------------------------------------------------------------
Share value NAV
2/7/94 (Inception date) $8.50
9/30/99 $12.29
3/31/00 $13.23
- ---------------------------------------------------------------------------
Distributions No. Income Capital gains Total
Short Long
9/30/99 to 3/31/00 2 $0.17 $0.126 $0.805 $1.101
- ---------------------------------------------------------------------------
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
Semiannual 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.
PUTNAM INVESTMENTS [SCALE LOGO OMITTED]
- ---------------------------------------------------------------------------
Putnam Asset Allocation Funds, Conservative Portfolio
Supplement to Semiannual Report dated March 31, 2000
The following information has been prepared to provide class Y shareholders
with a performance overview specific to their holdings. Class Y shares are
offered exclusively to defined contribution plans investing $150 million or
more in one or more of Putnam's funds or private accounts. Performance of
class Y shares, which incur neither a front-end load, distribution fee, nor
contingent deferred sales charge, will differ from performance of class A,
B, C and M shares, which are discussed more extensively in the Semiannual
Report.
SEMIANNUAL RESULTS AT A GLANCE
- ---------------------------------------------------------------------------
Total return NAV
Six months ended 3/31/00
9/30/99-3/31/00 7.80%
Life (annualized)
2/7/94-3/31/00 9.81%
- ---------------------------------------------------------------------------
Share value NAV
2/7/94 (Inception date) $8.50
9/30/99 $10.42
3/31/00 $10.56
- ---------------------------------------------------------------------------
Distributions No. Income Capital gains Total
Short Long
9/30/99 to 3/31/00 3 $0.278 $0.088 $0.295 $0.661
- ---------------------------------------------------------------------------
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
Semiannual 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.
