Putnam
Asset
Allocation
Funds
ANNUAL REPORT ON PERFORMANCE AND OUTLOOK
9-30-00
[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.
Targeted portfolio structure*
----------------------------
Large-cap growth stocks 25%
Small-cap growth stocks 15
Value stocks 25
International equities 15
Domestic fixed-income securities 5
International fixed-income securities 5
High-yield securities 5
Cash and money market securities 5
* Balanced Portfolio is designed to seek total return for investors in
their peak accumulation years.
Targeted portfolio structure*
----------------------------
Large-cap growth stocks 20%
Small-cap growth stocks 10
Value stocks 20
International equities 15
Domestic fixed-income securities 10
International fixed-income securities 10
High-yield securities 10
Cash and money market securities 5
* Conservative Portfolio is designed to seek income while protecting
the original value of the investment for investors concerned about
maintaining their purchasing power.
Targeted portfolio structure*
----------------------------
Large-cap growth stocks 10%
Small-cap growth stocks 5
Value stocks 10
International equities 10
Domestic fixed-income securities 35
International fixed-income securities 15
High-yield securities 10
Cash and money market securities 5
* The targeted portfolio represents the ideal allocation of assets among
the various investment categories assuming that all security markets are
displaying historical tendencies and that no extraordinary opportunities
exist within any category.
Allocations in each portfolio will vary over time.
FROM THE TRUSTEES
[GRAPHIC OMITTED: PHOTO OF JOHN A. HILL AND GEORGE PUTNAM, III]
Dear Shareholder:
It is a pleasure to greet you in our new roles as Chairman of the
Trustees and President of the Funds. As you know, both of us have been
members of the Board of Trustees for a number of years -- years during
which the global securities markets, the mutual fund industry, and
Putnam itself have experienced tremendous growth and change.
As we look to the future, we are certain that the changes will be
breathtaking in their scope. What will not change is the Trustees'
dedication to serving the best interests of our shareholders.
We welcome the challenges that lie ahead and are confident that Putnam
and your Board will continue to face those challenges successfully as
they have for more than 60 years. We look forward to helping you meet
your financial objectives for many years to come.
Respectfully yours,
/S/ JOHN A. HILL /S/ GEORGE PUTNAM, III
John A. Hill George Putnam, III
Chairman of the Trustees President of the Funds
November 15, 2000
REPORT FROM FUND MANAGEMENT
William J. Landes and
the Global Asset
Allocation Team
The 2000 fiscal year for Putnam Asset Allocation Funds, which ended
September 30, encompassed several different types of market
environments. The second half of the year contrasted significantly with
the first in terms of market dominance and investor preferences. Several
major market trends reversed during the period, putting the asset
allocation strategies we employ to the test. The Conservative, Balanced,
and Growth portfolios finished the year with respectable returns not
only by seizing opportunities for capital appreciation and income but
also by providing defensive measures during market transitions. We
believe the results confirm the wisdom of employing a flexible,
diversified investment strategy that can respond to ever-changing global
markets.
* U.S. MARKET FAVORS CONSERVATIVE INVESTMENTS
Early in the period, the market was narrowly focused on a small number
of large-capitalization growth stocks whose valuations became greatly
overextended. Feverish capital spending on new technology, combined with
significant productivity gains, contributed to a rate of economic growth
often characterized as blistering. In an effort to slow the economy and
stave off inflation, the Federal Reserve Board continued its series of
increases in short-term interest rates. The most recent increase of half
a percentage point, authorized in May brought the total of the increases
to 1.75 percentage points over a nine-month tightening cycle. Investors,
fearful of falling corporate profits, moved assets into defensive
sectors. Later in the year, as the effects of Fed policy began to take
hold and the economy began to slow, the Fed twice elected to hold rates
steady.
In light of mounting evidence of slower economic growth, market
sentiment shifted from concerns of an overheating economy and further
Fed tightening to anxiety over the impact of high oil prices and the
lagging effect of recent rate increases. Overall weakness in technology
and telecommunications also caused market concern, following the
unprecedented strength of those sectors in earlier quarters. Volatility
remained high throughout the year, as investors changed their priorities
and sought relatively safer investment alternatives.
Stocks: In response to a severe market correction in March 2000,
investors signaled their discontent by shifting assets away from the
volatile technology sector and into more defensive areas, including the
financial, health-care, utilities, and energy sectors. The market
broadened, which is to say that active trading resumed for a large
number of stocks and sectors, following a long period when market
activity had been narrowly focused on technology stocks. Prices for many
stocks fell because of rising interest rates, which diminish business
activity.
In the second half of the fiscal year, stocks with attractive valuations
and fundamentals, including profitability and positive cash flow,
regained favor. Returns for value stocks pulled ahead by a wide margin,
while growth stocks had two consecutive quarterly declines. Small- and
mid-cap stocks had better returns than their large-cap counterparts due
in part to their higher rate of inherent growth, which makes it easier
to increase earnings in a slowing economy. The asset allocation funds
responded to these changing trends by seeking opportunities among
value-oriented sectors, with a slight emphasis on small- and mid-cap
stocks. Overall we have changed our slightly negative bias on equities
to a more neutral stance.
[GRAPHIC OMITTED: worm chart GROWTH OF A $10,000 INVESTMENT WORLD FIXED-INCOME
MARKETS]
WORLD FIXED-INCOME MARKETS
Growth of a $10,000 investment
Salomon Brothers
First Boston Lehman Brothers Non-U.S.
High Yield Aggregate World Government
Date Bond Index Bond Index Bond Index
9/30/99 10,000 10,000 10,000
10/99 9,951 10,037 9,989
11/99 10,086 10,036 9,852
12/99 10,208 9,988 9,842
1/00 10,168 9,955 9,546
2/00 10,231 10,075 9,397
3/00 10,077 10,208 9,728
4/00 10,062 10,179 9,303
5/00 9,901 10,174 9,398
6/00 10,123 10,385 9,651
7/00 10,218 10,480 9,391
8/00 10,287 10,632 9,243
9/30/00 $10,192 $10,699 $9,214
Footnote reads:
See page 13 for descriptions of the indexes. Past performance is
not indicative of future results. This is not intended to represent
the returns of any fund. It is not possible to invest directly
in an index.
Bonds: Early in the year, while interest rates rose for short- and
medium-term bonds, interest rates fell for long-term bonds, resulting in
an inverted yield curve. Contributing to this inversion were the
heightened demand for safer (investment-grade) securities and the U.S.
Treasury Department's announcement of a planned buyback of long-term
(30-year) Treasury bonds. Significant demand for these bonds, combined
with the reduced supply, drove their prices higher and their yields
lower and resulted in significantly better returns than those of other
fixed-income sectors. Throughout the period, higher-quality issues
continued to outperform lower-quality tiers. High-yield bonds lagged,
while mortgage-backed and agency securities fared better.
At midyear, signs of a slowing economy reassured the bond market, while
it became less likely that the Fed would continue with its interest-rate
increases. Both Treasury bonds and investment-grade corporate bonds
outperformed stocks in the final quarter of the fiscal year. Although
returns for high-yield corporate bonds were slightly negative,
conditions in that sector improved. As we enter into the new fiscal
year, we are cautious on bond yields. We believe bond market prices
reflect anticipation of a hard-landing scenario (or recession) that in
our opinion is not supported by economic facts.
* INTERNATIONAL MARKETS UNDERPERFORM
International equities proved to be a drag on fund performance during
the latter half of the fiscal year. Poor performance from international
growth stocks and emerging-markets stocks in particular dampened the
positive results we achieved from maintaining a value orientation.
International bond markets continued to provide lackluster results, and
the funds remain underweighted in non-U.S. bonds.
Stocks: Coming into the second half of the year, the portfolios had a
small preference for international stocks over domestic stocks. This
proved to be a disadvantage, as technology and telecommunications
sectors, which lost significant ground in the U.S. during the
correction, were even more damaged overseas. Against a backdrop of
rising interest rates, fear of a recession weighed heavily on
international technology stocks and emerging-markets stocks. Rising
energy prices contributed to inflationary fears and prompted further
declines in the euro. The decline was halted near the end of the period
by an unusual coordinated market intervention by five of the world's
central banks. Although the weak euro helped European companies boost
market share, it hurt the European profits of U.S. multinational
companies. The portfolios, though hedged to varying degrees, were also
hurt by a weak euro.
[GRAPHIC OMITTED: worm chart GROWTH OF A $10,000 INVESTMENT WORLD EQUITY
MARKETS]
WORLD EQUITY MARKETS
Growth of a $10,000 investment
Morgan Stanley
Standard & Poor's Capital International
[REGISTRATION MARK] Russell 2000 (MSCI) EAFE
Date 500 Index Index Index
9/30/99 10,000 10,000 10,000
10/99 10,633 10,041 10,375
11/99 10,849 10,640 10,735
12/99 11,488 11,844 11,699
1/00 10,911 11,654 10,955
2/00 10,704 13,579 11,250
3/00 11,751 12,684 11,686
4/00 11,398 11,920 11,071
5/00 11,164 11,226 10,801
6/00 11,439 12,204 11,223
7/00 11,260 11,811 10,753
8/00 11,960 12,713 10,846
9/30/00 $11,328 $12,339 $10,318
Footnote reads:
See page 13 for descriptions of the indexes. Past performance is
not indicative of future results. This is not intended to represent
the returns of any fund. It is not possible to invest directly
in an index.
In Japan, stocks generally weakened, as the economic recovery remained
sluggish and the progress on corporate restructurings stalled. Our
outlook for Japan has darkened, since the country's ability to emerge
from recession seems increasingly fragile. Nevertheless, a few select
Japanese companies are showing excellent trends in profitability and
continue to present attractive investment opportunities.
Bonds: The accelerating pace of global economic growth was less
beneficial for foreign fixed-income markets. We continued to underweight
non-U.S. bonds in our portfolios. European bonds are generally
overvalued and thus less attractive than U.S. Treasuries. Large telecom
companies are issuing investment-grade bonds to finance the cost of
licenses that ensure they will have the frequencies they need to conduct
wireless communications. This large supply of quality bonds puts
pressure on the high-yield bond markets that must compete for investment
dollars.
We believe that as the euro stabilizes, the outlook for European bonds
will improve, but for the medium term, we will remain underweighted in
these securities. Meanwhile, weakness in the yen points to the
possibility of higher interest rates in Japan. This factor along with a
glut of debt issues stemming from a high level of government borrowing
makes it likely that Japanese bonds will underperform. Emerging-markets
bonds had generally impressive returns, although their prices dropped
modestly at the end of the period. We maintain a neutral stance on these
securities.
* STRATEGY AND OUTLOOK
Continued high levels of productivity growth have helped restrain
inflation in the United States. Investment in and implementation of new
technologies have enabled a higher rate of growth without sparking
inflation. Most of the gains in productivity reflect improvements in
old-economy sectors, such as manufacturing, in which benefits are likely
to persist. Although economic growth is slowing, the majority of
companies reported solid earnings in the second quarter, extending the
string of generally solid reports from the first quarter and 1999. Our
research suggests that the fundamentals for many of the companies we
cover remain stronger than implied current market valuations.
In the United States, we see a favorable climate for continued solid
corporate earnings amid slower economic growth. We believe that the
market volatility experienced in 2000 is a response to short-term
factors rather than the beginning of a sustained bear market. We believe
that the worldwide economy has yet to catch up with the consumption and
investment boom that has characterized the U.S. economy over the last
two decades. Despite cyclical downturns in capital spending for new
technology, we believe a higher level of technology investment will
prove to be an irreversible long-term phenomenon.
Our quantitative models shifted in May to favor equities over bonds on a
global basis. In light of sound valuations, improved fundamentals and
the likelihood that the Fed is done raising short-term interest rates,
we have increased our allocation to U.S. equities. Among U.S. equities,
small-cap stocks are the most attractive. Overseas and at home, we favor
companies that are focused on adapting to the new economy, consolidating
where appropriate, investing in technology, and aggressively positioning
the firms within their own industries.
We maintain a generally positive stance toward Continental Europe. The
markets of France, Spain, and Italy are among our favorites, bolstered
by healthy economic growth and burgeoning technology and
telecommunications sectors. Valuations for Germany's equities have
become more attractive after last year's below-average performance.
Germany's industrial focus is well suited to the accelerating pace of
European economic growth.
We remain cautious on stocks of the United Kingdom in the near term,
since rising interest rates and relatively low earnings growth make
these equities less attractive than other choices. Despite recent poor
performance, we believe the prospects for emerging equity markets remain
favorable. We favor Asia (excluding Japan) and particularly South Korea.
The region's relatively swift rebound from the economic crisis of
1997-1998 is encouraging and highlights the resilience of these
economies. Latin America has shown promise as well with generally solid
performance and firmer prices for commodities.
As always, we will continue 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 9/30/00, all are
subject to review and adjustment in accordance with the funds'
investment strategies and may well vary in the future. International
investing may include risks such as currency fluctuations, economic
instability, and political developments.
PERFORMANCE SUMMARY
* GROWTH PORTFOLIO
<TABLE>
<CAPTION>
TOTAL RETURNS FOR PERIODS ENDED 9/30/00
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>
1 year 12.77% 6.25% 11.98% 6.97% 12.01% 11.00% 12.25% 8.35%
---------------------------------------------------------------------------------------
5 years 97.38 86.10 90.36 88.36 90.31 90.31 92.79 86.10
Annual average 14.57 13.23 13.74 13.50 13.73 13.73 14.03 13.23
---------------------------------------------------------------------------------------
Life of fund 135.78 122.18 124.67 124.67 123.36 123.36 128.07 120.08
Annual average 13.79 12.78 12.96 12.96 12.87 12.87 13.22 12.61
---------------------------------------------------------------------------------------
</TABLE>
PRICE AND DISTRIBUTION INFORMATION
12 MONTHS ENDED 9/30/00
Class A Class B Class C Class M
Share value NAV POP NAV NAV NAV POP
-----------------------------------------------------------------------------
9/30/99 $14.35 $15.23 $14.12 $14.00 $14.15 $14.66
-----------------------------------------------------------------------------
9/30/00 14.47 15.35 14.21 14.08 14.25 14.77
-----------------------------------------------------------------------------
Capital gains
Investment Long Short
Distributions Number income term term Total
-----------------------------------------------------------------------------
Class A 1 $0.159 $1.247 $0.318 $1.724
-----------------------------------------------------------------------------
Class B 1 0.056 1.247 0.318 1.621
-----------------------------------------------------------------------------
Class C 1 0.056 1.247 0.318 1.621
-----------------------------------------------------------------------------
Class M 1 0.086 1.247 0.318 1.651
-----------------------------------------------------------------------------
Performance data represent past results, are not indicative of future
performance, and the life-of-fund data reflect an expense limitation,
which was in effect until 12/31/94. Without the limitation, the funds'
total return would have been lower. More recent returns may be more or
less than those shown. Returns for class A and class M shares reflect
the current maximum initial sales charges of 5.75% and 3.50%,
respectively. Class B share returns for the 1-, 5-, and 10-year (where
available) and life-of-fund periods reflect the applicable contingent
deferred sales charge (CDSC), which is 5% in the first year, declines to
1% in the sixth year, and is eliminated thereafter. Returns shown for
class B and class M shares for periods prior to their inception are
derived from the historical performance of class A shares, adjusted to
reflect both the initial sales charge or CDSC, if any, currently
applicable to each class and, in the case of class B and class M shares,
the higher operating expenses applicable to such shares. For class C
shares, returns for periods prior to their inception are derived from
the historical performance of class A shares, adjusted to reflect both
the CDSC currently applicable to class C shares, which is 1% for the
first year and is eliminated thereafter, and the higher operating
expenses applicable to class C shares. All returns assume reinvestment
of distributions at NAV. Investment return and principal value will
fluctuate so that an investor's shares when redeemed may be worth more
or less than their original cost.
PERFORMANCE SUMMARY
<TABLE>
<CAPTION>
* BALANCED PORTFOLIO
TOTAL RETURNS FOR PERIOD ENDED 9/30/00
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>
1 year 15.88% 9.21% 15.01% 10.01% 14.97% 13.97% 15.33% 11.34%
-------------------------------------------------------------------------------------------
5 years 90.67 79.71 83.71 81.71 83.29 83.29 86.24 79.73
Annual average 13.78 12.44 12.93 12.69 12.88 12.88 13.24 12.44
-------------------------------------------------------------------------------------------
Life of fund 123.05 110.19 112.36 112.36 110.98 110.98 116.39 108.82
Annual average 12.84 11.84 12.01 12.01 11.90 11.90 12.33 11.73
-------------------------------------------------------------------------------------------
</TABLE>
PRICE AND DISTRIBUTION INFORMATION
12 MONTHS ENDED 9/30/00
Class A Class B Class C Class M
Share value NAV POP NAV NAV NAV POP
----------------------------------------------------------------------
9/30/99 $12.28 $13.03 $12.22 $12.15 $12.26 $12.70
----------------------------------------------------------------------
9/30/00 12.99 13.78 12.92 12.83 12.97 13.44
----------------------------------------------------------------------
Capital gains
Investment Long Short
Distributions Number income term term Total
----------------------------------------------------------------------
Class A 4 $0.258 $0.805 $0.126 $1.189
----------------------------------------------------------------------
Class B 4 0.160 0.805 0.126 1.091
----------------------------------------------------------------------
Class C 4 0.164 0.805 0.126 1.095
----------------------------------------------------------------------
Class M 4 0.193 0.805 0.126 1.124
----------------------------------------------------------------------
Performance data represent past results, are not indicative of future
performance, and the life-of-fund data reflect an expense limitation,
which was in effect until 12/31/94. Without the limitation, the funds'
total return would have been lower. More recent returns may be more or
less than those shown. Returns for class A and class M shares reflect
the current maximum initial sales charges of 5.75% and 3.50%,
respectively. Class B share returns for the 1-, 5-, and 10-year (where
available) and life-of-fund periods reflect the applicable contingent
deferred sales charge (CDSC), which is 5% in the first year, declines to
1% in the sixth year, and is eliminated thereafter. Returns shown for
class B and class M shares for periods prior to their inception are
derived from the historical performance of class A shares, adjusted to
reflect both the initial sales charge or CDSC, if any, currently
applicable to each class and, in the case of class B and class M shares,
the higher operating expenses applicable to such shares. For class C
shares, returns for periods prior to their inception are derived from
the historical performance of class A shares, adjusted to reflect both
the CDSC currently applicable to class C shares, which is 1% for the
first year and is eliminated thereafter, and the higher operating
expenses applicable to class C shares. All returns assume reinvestment
of distributions at NAV. Investment return and principal value will
fluctuate so that an investor's shares when redeemed may be worth more
or less than their original cost.
PERFORMANCE SUMMARY
<TABLE>
<CAPTION>
* CONSERVATIVE PORTFOLIO
TOTAL RETURNS FOR PERIOD ENDED 9/30/00
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>
1 year 8.18% 2.00% 7.40% 2.40% 7.39% 6.39% 7.66% 3.86%
---------------------------------------------------------------------------------------
5 years 56.31 47.33 50.91 48.91 50.76 50.76 52.60 47.30
Annual average 9.34 8.06 8.58 8.29 8.56 8.56 8.82 8.05
---------------------------------------------------------------------------------------
Life of fund 75.72 65.60 67.57 67.57 66.90 66.90 70.23 64.27
Annual average 8.86 7.89 8.08 8.08 8.02 8.02 8.34 7.76
---------------------------------------------------------------------------------------
</TABLE>
PRICE AND DISTRIBUTION INFORMATION
12 MONTHS ENDED 9/30/00
Class A Class B Class C Class M
Share value NAV POP NAV NAV NAV POP
------------------------------------------------------------------------------
9/30/99 $10.40 $11.03 $10.37 $10.34 $10.37 $10.75
------------------------------------------------------------------------------
9/30/00 10.45 11.09 10.42 10.39 10.42 10.80
------------------------------------------------------------------------------
Capital gains
Investment Long Short
Distributions Number income term term Total
----------------------------------------------------------------------
Class A 9 $0.402 $0.295 $0.088 $0.785
----------------------------------------------------------------------
Class B 9 0.324 0.295 0.088 0.707
----------------------------------------------------------------------
Class C 9 0.321 0.295 0.088 0.704
----------------------------------------------------------------------
Class M 9 0.349 0.295 0.088 0.732
----------------------------------------------------------------------
Performance data represent past results, are not indicative of future
performance, and the life-of-fund data reflect an expense limitation,
which was in effect until 12/31/94. Without the limitation, the funds'
total return would have been lower. More recent returns may be more or
less than those shown. Returns for class A and class M shares reflect
the current maximum initial sales charges of 5.75% and 3.50%,
respectively. Class B share returns for the 1-, 5-, and 10-year (where
available) and life-of-fund periods reflect the applicable contingent
deferred sales charge (CDSC), which is 5% in the first year, declines to
1% in the sixth year, and is eliminated thereafter. Returns shown for
class B and class M shares for periods prior to their inception are
derived from the historical performance of class A shares, adjusted to
reflect both the initial sales charge or CDSC, if any, currently
applicable to each class and, in the case of class B and class M shares,
the higher operating expenses applicable to such shares. For class C
shares, returns for periods prior to their inception are derived from
the historical performance of class A shares, adjusted to reflect both
the CDSC currently applicable to class C shares, which is 1% for the
first year and is eliminated thereafter, and the higher operating
expenses applicable to class C shares. All returns assume reinvestment
of distributions at NAV. Investment return and principal value will
fluctuate so that an investor's shares when redeemed may be worth more
or less than their original cost.
COMPARATIVE INDEX RETURNS FOR PERIOD ENDED 9/30/00
(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
----------------------------------------------------------------------------
1 year 6.99% 13.28% 23.39% 1.92% 3.46%
----------------------------------------------------------------------------
5 years 36.80 166.82 79.28 35.09 13.32
Annual average 6.47 21.68 12.38 6.20 2.53
----------------------------------------------------------------------------
Life of fund 48.91 239.28 114.57 49.97 18.74
Annual average 6.16 20.12 12.14 6.27 2.61
----------------------------------------------------------------------------
The performance of each index will differ from that of the funds, assume
reinvestment of all distributions, and does not take into account
brokerage commissions or other costs. The funds' portfolios contain
securities that do not match those in the indexes. Past performance is
not indicative of future results.
COMPARATIVE BENCHMARKS
Lehman Brothers Aggregate Bond Index is an unmanaged list consisting of
securities from Lehman Brothers Government/ Corporate Bond Index,
Mortgage-Backed Securities Index, and the Asset-Backed Securities Index.
Standard & Poor's 500 Index is an unmanaged list of common stocks that
is frequently used as a general measure of stock market performance.
Russell 2000 Index is an unmanaged list of common stocks that is
frequently used as a general performance measure of stocks of small to
midsize companies.
First Boston High Yield Bond Index is an unmanaged list of lower-rated,
higher-yielding U.S. corporate bonds.
Morgan Stanley Capital International (MSCI) EAFE Index is an unmanaged
list of equity securities from Europe, Australasia, and the Far East,
with values expressed in U.S. dollars.
Salomon Brothers Non-U.S. World Government Bond Index is an unmanaged
list of bonds issued by 10 countries.
Consumer price index (CPI) is a commonly used measure of inflation; it
does not represent an investment return.
[GRAPHIC OMITTED: worm chart GROWTH OF A $10,000 INVESTMENT]
GROWTH OF A $10,000 INVESTMENT
Cumulative total return of a $10,000 investment since 2/8/94
S&P 500
Growth portfolio Global Growth Consumer price [REGISTRATION MARK]
Date class A shares at POP Index Mix index Index
2/8/94 10,000 10,000 10,000 10,000
9/30/94 9,346 9,869 10,219 9,800
9/30/95 11,257 12,005 10,479 12,716
9/30/96 13,367 13,772 10,793 15,301
9/30/97 16,876 17,648 11,033 21,490
9/30/98 15,693 17,943 11,190 23,434
9/30/99 19,703 21,847 11,477 29,949
9/30/00 $22,218 $24,294 $11,874 $33,928
Footnote reads:
The Global Growth Index Mix is a combination of the following indexes: 25%
represented by the Russell 1000 Index, 25% by Salomon Smith Barney Primary
Market Index World ex US 50% Hedged, 10% by Russell 2000 Index, 10% by Lehman
Government Bond Index, 10% by Chase High Yield Developed Index, 10% by Salomon
Smith Barney World Government Bond Index ex US 50% Hedged, 5% by Salomon Smith
Barney Extended Market Index World ex US 50% Hedged, and 5% by Morgan Stanley
Capital International Emerging Markets Free Index, which reflects generally
the allocations of the different asset categories of Putnam Asset Allocation:
Growth Portfolio as of 9/30/00.
Past performance is no assurance of future results. At the end of the same time
period, a $10,000 investment in the fund's class B and class C shares would
have been valued at $22,467 and $22,336, respectively and no contingent
deferred sales charge would apply; a $10,000 investment in the fund's class M
shares would have been valued at $22,807 ($22,008 at public offering price.)
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.
[GRAPHIC OMITTED: worm chart GROWTH OF A $10,000 INVESTMENT]
GROWTH OF A $10,000 INVESTMENT
Cumulative total return of a $10,000 investment since 2/7/94
Balanced portfolio S&P 500
class A shares at POP Global Balanced Consumer price [REGISTRATION MARK]
Date since 2/7/94 Index Mix index Index
2/7/94 10,000 10,000 10,000 10,000
9/30/94 9,285 9,893 10,219 9,800
9/30/95 11,024 11,855 10,479 12,716
9/30/96 12,943 13,395 10,793 15,301
9/30/97 16,023 16,548 11,033 21,490
9/30/98 15,223 17,044 11,190 23,434
9/30/99 18,138 20,135 11,477 29,949
9/30/00 $21,019 $22,812 $11,874 $33,928
Footnote reads:
The Global Balanced Index Mix is a combination of the following indexes:
42.5% represented by the Russell 1000 Index, 15% by Lehman Government Bond
Index, 10% by Salomon Smith Barney Primary Market Index World ex US hedged,
7.5% by Russell 2000 Index, 7.5% by Lehman Corporate Bond Index, 7.5% by
Lehman-Mortgage Index, 5% by Merrill Lynch High Yield BB Rated Index, and 5%
by Merrill Lynch All Convertible All Quality Index, which reflects generally
the allocations of the different asset categories of Putnam Asset Allocation:
Balanced Portfolio as of 9/30/00.
Past performance is no assurance of future results. At the end of the same
time period, a $10,000 investment in the fund's class B and class C shares
would have been valued at $21,236 and $21,098, respectively and no contigent
deferred sales charge would apply; a $10,000 investment in the fund's class M
shares would have been valued at $21,639 ($20,882 at public offering price).
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.
[GRAPHIC OMITTED: worm chart GROWTH OF A $10,000 INVESTMENT]
GROWTH OF A $10,000 INVESTMENT
Cumulative total return of a $10,000 investment since 2/7/94
Global Lehman Brothers
Conservative portfolio Conservative Consumer price Aggregate
Date class A shares at POP Index Mix index Bond Index
2/7/94 10,000 10,000 10,000 10,000
9/30/94 9,191 9,853 10,219 9,543
9/30/95 10,595 11,523 10,479 10,885
9/30/96 11,838 12,587 10,793 11,418
9/30/97 13,881 14,555 11,033 12,527
9/30/98 13,785 15,438 11,190 13,969
9/30/99 15,308 17,056 11,477 13,918
9/30/00 $16,560 $18,698 $11,874 $14,891
Footnote reads:
The Global Conservative Index Mix is a combination of the following indexes:
12.5% represented by the Salomon Smith Barney World Government Bond Index ex
US Hedged, 12.5% by Lehman Corporate Bond Index, 12.5% by Lehman-Mortgage
Index, 12.5% by Chase High Yield Developed Index, 12.5% by Merrill Lynch High
Yield BB Rated Index, 12.5% by Lehman Government Bond Index, 10% by Russell
1000 Index, 10% by Merrill All Convertible All Quality Index, and 5% by
Salomon Smith Barney Primary Market Index World ex US Hedged, which reflects
generally the allocations of the different asset categories of Putnam Asset
Allocation: Conservative Portfolio as of 9/30/00.
Past performance is no assurance of future results. At the end of the same
time period, a $10,000 investment in the fund's class B and class C shares
would have been valued at $16,757 and $16,690, respectively and no contigent
deferred sales charge would apply; a $10,000 investment in the fund's class M
shares would have been valued at $17,023 ($16,427 at public offering price).
A GUIDE TO THE FINANCIAL STATEMENTS
These sections of the report, preceded by the Report of independent
accountants, constitute the fund's financial statements.
The fund's portfolio lists all the fund's investments and their values
as of the last day of the reporting period. Holdings are organized by
asset type and industry sector, country, or state to show areas of
concentration and diversification.
Statement of assets and liabilities shows how the fund's net assets and
share price are determined. All investment and noninvestment 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-end funds, a
separate table is provided for each share class.
REPORT OF INDEPENDENT ACCOUNTANTS
For the fiscal year ended September 30, 2000
To the Trustees and Shareholders of
Putnam Asset Allocation Funds
In our opinion, the accompanying statements of assets and liabilities,
including the funds' portfolio, and the related statements of operations
and of changes in net assets and the financial highlights present
fairly, in all material respects, the financial position of each of the
funds (Growth Portfolio, Balanced Portfolio, and Conservative Portfolio)
constituting Putnam Asset Allocation Funds (the "trust") at September
30, 2000, and the results of their operations, the changes in their net
assets and the financial highlights for the periods indicated, in
conformity with accounting principles generally accepted in the United
States of America. These financial statements and financial highlights
(hereafter referred to as "financial statements") are the responsibility
of the trust's management; our responsibility is to express an opinion
on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with auditing
standards generally accepted in the United States of America, which
require that we plan and perform the audit to obtain reasonable
assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial statements,
assessing the accounting principles used and significant estimates made
by management, and evaluating the overall financial statement
presentation. We believe that our audits, which included confirmation of
investments owned at September 30, 2000 by correspondence with the
custodian, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Boston, Massachusetts
November 8, 2000
<TABLE>
<CAPTION>
THE FUND'S PORTFOLIO
September 30, 2000
GROWTH BALANCED CONSERVATIVE
68.0% 58.4% 14.8%
COMMON STOCKS(a) Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C> <C>
Advertising and Marketing
Services 0.4% 0.3% 0.1%
---------------------------------------------------------------------------------------------------------------------------
Cheil Communications, Inc.
(Korea) 11,600 $ 977,937 -- $ -- -- $ --
DoubleClick, Inc. (NON) 500 16,000 1,100 35,200 -- --
Engage Technologies, Inc. (NON) 3,800 30,875 8,000 65,000 -- --
FreeShop.com, Inc. (NON) 7,400 20,813 33,500 94,219 -- --
Harte-Hanks, Inc. 13,800 376,050 21,500 585,875 -- --
Havas Advertising SA (France) 169,688 2,679,608 127,607 2,015,091 13,597 214,715
Interpublic Group Cos., Inc. 2,500 85,156 5,400 183,938 -- --
L90, Inc. (NON) 9,300 72,075 41,200 319,300 -- --
Lamar Advertising Co. (NON) 300 11,363 600 22,725 -- --
Omnicom Group, Inc. 1,700 123,994 3,700 269,869 -- --
Publicis SA (France) 45,050 1,375,112 36,730 1,121,151 3,930 119,960
True North Communications,
Inc. 11,300 403,975 17,600 629,200 -- --
WPP Group PLC (United Kingdom) 193,198 2,312,928 190,977 2,286,338 20,300 243,028
Young & Rubicam, Inc. 800 39,600 1,800 89,100 -- --
-------------- -------------- --------------
8,525,486 7,717,006 577,703
Aerospace and Defense 0.6% 0.6% 0.1%
---------------------------------------------------------------------------------------------------------------------------
AAR Corp. 65,300 746,869 102,100 1,167,769 -- --
Aeroflex, Inc. (NON) 13,750 668,594 55,600 2,703,550 -- --
Alliant Techsystems, Inc. (NON) 8,800 722,700 13,700 1,125,113 -- --
Anaren Microwave, Inc. (NON) 2,500 339,063 10,900 1,478,313 -- --
B.F. Goodrich Co. (The) 1,000 39,188 2,100 82,294 -- --
Bae Systems PLC
(United Kingdom) 159,825 862,208 -- -- -- --
Boeing Co. 39,600 2,494,800 70,800 4,460,400 6,700 422,100
Empresa Brasileira de
Aeronautica S/A (Brazil)
(NON) 117,400 897,690 -- -- -- --
Empresa Brasileira de
Aeronautica S/A ADR
(Brazil) (NON) 1,900 58,900 -- -- -- --
General Dynamics Corp. 17,500 1,099,219 30,300 1,903,219 3,400 213,563
Lockheed Martin Corp. 3,300 108,768 7,100 234,016 -- --
Newport News Shipbuilding, Inc. 10,100 438,088 15,800 685,325 -- --
Northrop Grumman Corp. 600 54,525 1,200 109,050 -- --
Primex Technologies, Inc. 28,400 825,375 43,400 1,261,313 -- --
Raytheon Co. Class B 2,500 71,094 5,400 153,563 -- --
Signal Technology Corp. (NON) 7,760 122,220 34,200 538,650 -- --
Triumph Group, Inc. (NON) 16,300 584,763 26,500 950,688 -- --
United Technologies Corp. 3,500 242,375 7,500 519,375 -- --
-------------- -------------- --------------
10,376,439 17,372,638 635,663
Agriculture --% --% --%
---------------------------------------------------------------------------------------------------------------------------
LESCO, Inc. 17,600 268,400 26,800 408,700 -- --
Airlines 0.1% 0.1% --%
---------------------------------------------------------------------------------------------------------------------------
AMR Corp. (NON) 400 13,075 800 26,150 -- --
British Airways PLC
(United Kingdom) 7,900 33,365 -- -- -- --
Cathay Pacific Airways
(Hong Kong) 47,000 86,203 -- -- -- --
China Eastern Airlines
(China) (NON) 1,184,000 189,824 -- -- -- --
Continental Airlines, Inc.
(NON) 600 27,263 1,200 54,525 -- --
Delta Air Lines, Inc. 600 26,625 1,200 53,250 -- --
Deutsche Lufthansa AG (Germany) 60,139 1,228,215 65,412 1,335,905 7,007 143,103
FedEx Corp. (NON) 1,400 62,076 2,900 128,586 -- --
Frontier Airlines, Inc. (NON) 12,400 241,025 -- -- -- --
Midwest Express Holdings, Inc.
(NON) 16,800 338,100 27,300 549,413 -- --
Southwest Airlines Co. 4,900 118,825 10,400 252,200 -- --
UAL Corp. 300 12,600 600 25,200 -- --
-------------- -------------- --------------
2,377,196 2,425,229 143,103
Automotive 0.7% 0.5% 0.1%
---------------------------------------------------------------------------------------------------------------------------
ANC Rental Corp. (NON) 400 2,300 762 4,382 -- --
Autoliv, Inc. 1,200 23,400 2,500 48,750 -- --
Bayerische Motoren Werke (BMW)
AG (Germany) 93,971 3,208,277 143,767 4,908,369 15,349 524,032
Borg-Warner Automotive, Inc. 13,600 450,500 21,200 702,250 -- --
CIR-Compagnie Industriali
Riunite SpA (Spain) 125,100 373,028 -- -- -- --
CLARCOR, Inc. 31,200 608,400 48,700 949,650 -- --
Carlisle Companies, Inc. 11,900 493,850 18,600 771,900 -- --
DaimlerChrysler AG (Germany) 6,300 280,839 -- -- -- --
Dana Corp. 2,000 43,000 4,200 90,300 -- --
Delphi Automotive Systems
Corp. 4,108 62,134 8,700 131,588 -- --
Ford Motor Co. 75,184 1,903,084 133,805 3,386,939 13,272 335,942
General Motors Corp. 5,300 344,500 11,300 734,500 -- --
Gentex Corp. (NON) 600 15,000 1,200 30,000 -- --
Genuine Parts Co. 1,300 24,781 2,700 51,469 -- --
Honda Motor Co., Ltd. (Japan)
(NON) 50,000 1,842,081 -- -- -- --
Hyundai Motor Co., Ltd.
(Korea) 91,100 1,184,709 -- -- -- --
IMPCO Technologies, Inc. (NON) 7,400 212,750 32,700 940,125 -- --
Midas, Inc. 800 11,200 1,200 16,800 -- --
TRW, Inc. 1,000 40,625 2,100 85,313 -- --
Tower Automotive, Inc. (NON) 24,800 232,500 38,900 364,688 -- --
Toyota Motor Corp. (Japan) 22,000 869,573 -- -- -- --
Valeo SA (France) 30,444 1,319,250 -- -- -- --
Volkswagon AG (Germany) 6,300 289,009 -- -- -- --
Volvo AB Class B (Sweden) 3,200 51,683 -- -- -- --
-------------- -------------- --------------
13,886,473 13,217,023 859,974
Banking 5.0% 3.6% 0.9%
---------------------------------------------------------------------------------------------------------------------------
ABN AMRO Holding NV
(Netherlands) 84,900 1,977,328 -- -- -- --
AMCORE Financial, Inc. 18,200 357,175 28,400 557,350 -- --
Allied Irish Banks PLC
(Ireland) 19,200 206,985 -- -- -- --
AmSouth Bancorporation 2,000 25,000 4,200 52,500 -- --
Australia & New Zealand
Banking Group, Ltd. 75,500 542,729 -- -- -- --
BB&T Corp. 63,000 1,897,875 109,100 3,286,638 12,900 388,613
BNP Paribas (France) 9,800 863,691 -- -- -- --
Banca Fideuram SpA (Italy) 29,100 482,121 -- -- -- --
Banca Intesa SpA (Italy) 255,200 983,851 395,596 1,525,107 42,175 162,594
Banca Popolare di Milano
(Italy) 129,489 803,073 -- -- -- --
Banco Bradesco S/A BRC
(Brazil) 44,000 364,125 1 6 -- --
Banco de Bilbao Vizcaya (BBV)
(Spain) 43,910 663,184 83,837 1,266,212 8,907 134,525
Banco Itau S/A (Brazil) 6,950 618,113 -- -- -- --
Banco Santander Central
Hispano SA (Spain) 16,000 175,593 -- -- -- --
Bank of America Corp. 89,500 4,687,563 159,079 8,331,763 16,100 843,238
Bank of East Asia, Ltd.
(Hong Kong) 174,000 390,550 -- -- -- --
Bank of New York Company,
Inc. 5,900 330,769 12,500 700,781 -- --
Bank of Nova Scotia (Canada) 116,736 3,395,519 88,875 2,585,122 -- --
Bank One Corp. 10,000 386,250 21,300 822,713 -- --
Bank Polska Kasa Opieki Grupa
Pekao SA (Poland) (NON) 63,700 776,383 -- -- -- --
Bank Sinopac (Taiwan) 544,500 292,162 -- -- -- --
Bank United Corp. Class A 50,600 2,564,788 79,000 4,004,313 -- --
Banknorth Group, Inc. 70,700 1,263,763 111,800 1,998,425 -- --
Barclays PLC (United Kingdom) 61,800 1,709,892 -- -- -- --
Bayerische Vereinsbank AG
(Germany) 1,600 87,514 -- -- -- --
Bipop-Carire SpA (Italy) (REL) 337,903 2,972,037 -- -- -- --
Centennial Bancorp (NON) 51,660 310,767 84,000 505,313 -- --
Charter One Financial, Inc. 78,960 1,924,650 135,720 3,308,171 16,590 404,381
Chase Manhattan Corp. 49,600 2,290,900 88,890 4,105,607 8,577 396,150
Chinatrust Commercial Bank
(Taiwan) (NON) 377,480 283,321 -- -- -- --
Citizens Banking Corp. 2,500 57,500 3,900 89,700 -- --
City National Corp. 22,400 865,200 32,600 1,259,175 -- --
Comerica, Inc. 44,435 2,596,670 76,770 4,486,247 9,025 527,398
Commerce Asset-Holding Berhad
(Malaysia) 109,000 256,724 -- -- -- --
Commercial Federal Corp. 27,100 518,288 42,300 808,988 -- --
Commonwealth Bank of
Australia (Australia) 15,800 236,050 -- -- -- --
Community First Bankshares 19,700 345,981 30,600 537,413 -- --
Credit Suisse Group
(Switzerland) 22,135 4,137,503 9,720 1,816,875 1,020 190,660
Cullen/Frost Bankers, Inc. 20,300 659,750 31,600 1,027,000 -- --
DBS Group Holdings, Ltd.
(Singapore) 145,069 1,600,945 121,181 1,337,323 12,749 140,695
Deutsche Bank AG (New Zealand) 12,000 995,122 -- -- -- --
Dresdner Bank AG (Germany) 17,915 779,958 25,974 1,130,819 2,772 120,683
Fifth Third Bancorp 3,300 177,788 6,900 371,738 -- --
First Midwest Bancorp, Inc. 27,300 726,863 42,700 1,136,888 -- --
First Security Corp. 600 9,788 1,200 19,575 -- --
First Tennessee National Corp. 1,500 30,656 3,100 63,356 -- --
First Union Corp. 9,600 309,000 20,300 653,406 -- --
Firstar Corp. 94,368 2,111,484 165,479 3,702,593 18,090 404,764
FleetBoston Financial Corp. 63,143 2,462,577 110,721 4,318,119 12,105 472,095
Greater Bay Bancorp 4,300 298,581 -- -- -- --
Greenpoint Finanacial Corp. 1,900 56,288 4,000 118,500 -- --
Grupo Financiero Bancomer, SA
de CV (Mexico) (NON) 570,253 2,615,396 -- -- -- --
HSBC Holdings (United Kingdom) 58,400 816,448 -- -- -- --
HSBC Holdings PLC
(United Kingdom) 45,000 639,826 -- -- -- --
Housing & Commercial Bank
(South Korea) 19,200 454,601 -- -- -- --
Housing Development Finance
Corporation, Ltd. (India) (NON) 38,600 365,119 -- -- -- --
Hudson United Bancorp 23,900 660,238 37,400 1,033,175 -- --
Huntington Bancshares, Inc. 670 9,841 1,430 21,003 -- --
ICICI Bank, Ltd. ADR (India)
(NON) 34,500 254,438 -- -- -- --
Imperial Bancorp (NON) 10,700 204,638 16,800 321,300 -- --
Irish Life & Permanent PLC
(Ireland) 45,896 453,887 -- -- -- --
Keppel Bank (Singapore) 129,363 231,988 231,000 414,255 26,000 46,626
Kookmin Bank 144A GDR
(South Korea) 24,000 286,278 -- -- -- --
Lloyds TSB Group PLC
(United Kingdom) 26,000 242,481 -- -- -- --
M & T Bank Corp. 2,200 1,122,000 3,800 1,938,000 475 242,250
Malayan Banking Berhad 96,000 368,842 -- -- -- --
Mellon Financial Corp. 5,000 231,875 10,600 491,575 -- --
Mitsubishi Bank, Ltd. (Japan) 47,000 555,577 -- -- -- --
Mitsubishi Trust and Banking
Corporation (The) (Japan) 31,000 255,105 -- -- -- --
Morgan (J.P.) & Co., Inc. 1,600 261,400 3,300 539,138 -- --
National Australia Bank, Ltd.
(Australia) 17,800 245,764 -- -- -- --
National Bank of Canada
(Canada) 47,100 745,283 -- -- -- --
National City Corp. 7,700 170,363 16,300 360,638 -- --
National Commerce
Bancorporation 1,300 25,919 2,700 53,831 -- --
North Fork Bancorporation, Inc. 19,700 426,013 32,300 698,488 -- --
Northern Trust Corp. 400 35,550 800 71,100 -- --
Overseas-Chinese Banking Corp.
(Singapore) 171,480 1,084,194 101,650 642,689 11,000 69,548
Overseas Union Bank, Ltd.
(Singapore) 164,979 768,094 -- -- -- --
PNC Financial Services Group 40,000 2,600,000 70,200 4,563,000 8,000 520,000
Panafon Hellenic Telecom SA
GDR (Greece) 7,400 370,000 -- -- -- --
Provident Bankshares Corp. 31,100 520,925 48,450 811,538 -- --
Public Bank Berhad (Malaysia) 298,000 221,147 -- -- -- --
Regions Financial Corp. 800 18,150 1,700 38,569 -- --
Republic Bancorp, Inc. 30,200 286,900 57,900 550,050 -- --
Royal Bank of Scotland Group
PLC (United Kingdom) 204,300 4,311,923 170,094 3,589,977 31,004 654,365
San Paolo-IMI SpA (Italy) 86,412 1,404,206 -- -- -- --
Shinhan Bank (Korea) 31,100 348,655 -- -- -- --
Silicon Valley Bancshares (NON) 12,300 716,283 -- -- -- --
Societe Generale (France) 13,400 748,891 -- -- -- --
SouthWest Bancorporation of
Texas, Inc. (NON) 28,500 931,594 44,500 1,454,594 -- --
Sovereign Bancorp, Inc. 23,200 214,600 37,700 348,725 -- --
Sparebanken NOR (Norway) 31,218 758,378 -- -- -- --
Standard Bank Investment
(South Africa) 188,400 744,096 -- -- -- --
State Street Corp. 9,400 1,222,000 16,000 2,080,000 1,600 208,000
Sterling Bancshares, Inc. 50,500 770,125 79,000 1,204,750 -- --
Sumitomo Trust & Banking
(Japan) 16,000 202,907 -- -- -- --
Summit Bancorp 800 27,600 1,700 58,650 -- --
SunTrust Banks, Inc. 2,700 134,494 5,800 288,913 -- --
Svenska Handelsbanken (Sweden) 67,900 1,093,114 108,922 1,753,522 24,211 389,770
Synovus Financial Corp. 46,800 991,575 79,965 1,694,258 10,125 214,523
TCF Financial Corp. 1,100 41,388 2,300 86,538 -- --
Taishin International Bank
(Taiwan) (NON) 518,700 314,765 -- -- -- --
Thai Farmers Bank Public Co.
(Thailand) (NON) 433,900 221,220 -- -- -- --
Toronto-Dominion Bank
(Canada) 58,700 1,724,978 54,750 1,608,902 -- --
Turkiye Garanti Bankasi 144A
(Turkey) (NON) 34,850,100 298,625 -- -- -- --
U.S. Bancorp 76,800 1,747,200 132,935 3,024,271 15,600 354,900
UBS AG (Switzerland) 10,200 1,357,639 -- -- -- --
Uniao de Bancos Brasileiros
S/A GDR (Brazil) 7,500 247,500 -- -- -- --
United Overseas Bank, Ltd.
(Singapore) 50,000 359,237 -- -- -- --
United World Chinese
Commercial Bank Corp. (Taiwan) 399,200 254,998 -- -- -- --
Vontobel Holding AG
(Switzerland) 69 189,271 -- -- -- --
Wachovia Corp. 2,000 113,375 4,200 238,088 -- --
Washington Federal, Inc. 29,900 680,225 47,000 1,069,250 -- --
Washington Mutual, Inc. 53,134 2,115,397 92,157 3,669,001 10,458 416,359
Webster Financial Corp. 24,100 649,194 37,000 996,688 -- --
Wells Fargo Co. 67,145 3,084,473 120,300 5,526,281 11,550 530,578
Westpac Banking Corp., Ltd.
(Australia) 80,200 553,506 -- -- -- --
Wilmington Trust Corp. 300 16,088 600 32,175 -- --
Yapi ve Kredi Bankasi A.S.
GDR (Turkey) 43,681 305,767 -- -- -- --
Zions Bancorp 900 46,027 2,000 102,281 -- --
-------------- -------------- --------------
99,349,981 97,302,949 7,832,715
Beverage 1.1% 0.7% 0.2%
---------------------------------------------------------------------------------------------------------------------------
Al Ahram Beverages Co. GDR 144A
(Egypt) (NON) 28,200 403,965 -- -- -- --
Anheuser-Busch Cos., Inc. 56,960 2,410,120 99,370 4,204,593 11,050 467,553
Bass PLC (United Kingdom) 137,300 1,349,481 -- -- -- --
Brown-Forman Corp. Class B 10,100 552,975 17,300 947,175 2,200 120,450
Carlsberg A/S (Denmark) 21,809 903,096 -- -- -- --
Coca-Cola Co. 32,300 1,780,538 61,800 3,406,725 3,400 187,425
Coca-Cola Enterprises, Inc. 80,400 1,281,375 137,200 2,186,625 16,900 269,344
Coca-Cola Femsa SA ADR
(Mexico) 77,400 1,548,000 -- -- -- --
Companhia de Bebidas das
Americas ADR (Brazil) 69,700 1,542,113 -- -- -- --
Diageo PLC (United Kingdom) 326,436 2,916,546 119,873 1,071,007 12,707 113,531
Fomento Economico Mexicano SA
de CV (Mexico) 326,805 1,270,389 -- -- -- --
Fortune Brands, Inc. 75,200 1,992,800 128,700 3,410,550 16,100 426,650
Grupo Modelo SA de CV (Mexico) 283,100 662,696 -- -- -- --
Heineken NV (Netherlands) 5,700 316,798 -- -- -- --
Pepsi Bottling Group, Inc.
(The) 66,700 2,005,169 86,600 2,603,413 10,900 327,681
PepsiCo, Inc. 10,500 483,000 22,200 1,021,200 -- --
Robert Mandavi Corp. (The)
(NON) 10,900 445,538 17,100 698,963 -- --
-------------- -------------- --------------
21,864,599 19,550,251 1,912,634
Biotechnology 0.7% 0.9% 0.2%
---------------------------------------------------------------------------------------------------------------------------
Albany Molecular Research, Inc.
(NON) 11,000 618,063 20,200 1,134,988 -- --
Alliance Pharmaceutical Corp.
(NON) 11,800 179,950 -- -- -- --
Amgen, Inc. (NON) 40,900 2,855,970 70,200 4,901,934 6,600 460,866
Applied Molecular Evolution,
Inc. (NON) 400 16,050 1,700 68,213 -- --
Aurora Biosciences Corp. (NON) 1,800 122,400 -- -- -- --
Biogen, Inc. (NON) 1,300 79,300 2,700 164,700 -- --
Cephalon, Inc. (NON) 5,500 266,750 24,200 1,173,700 -- --
Chiron Corp. (NON) 1,000 45,000 2,100 94,500 -- --
Connetics Corp. (NON) 17,300 417,363 -- -- -- --
Enzon, Inc. (NON) 7,500 495,000 -- -- -- --
Genaissance Pharmaceuticals
(NON) 1,400 28,963 6,200 128,263 -- --
Genentech, Inc. (NON) 15,100 2,803,881 25,400 4,716,463 2,900 538,494
Genzyme Corp. (NON) 600 40,913 1,300 88,644 -- --
Human Genome Sciences, Inc.
(NON) 200 34,625 400 69,250 -- --
IDEC Pharmaceuticals Corp.
(NON) 100 17,536 300 52,608 -- --
IDEXX Laboratories, Inc. (NON) 5,700 152,475 24,900 666,075 -- --
ILEX Oncology, Inc. (NON) 8,500 256,063 14,400 433,800 -- --
Immunex Corp. (NON) 1,700 73,950 3,700 160,950 -- --
Maxim Pharmaceuticals, Inc.
(NON) 2,260 137,295 10,100 613,575 -- --
Medimmune, Inc. (NON) 38,800 2,997,300 64,900 5,013,525 7,500 579,375
Millennium Pharmaceuticals,
Inc. (NON) 8,500 1,241,531 14,300 2,088,694 1,600 233,700
Myriad Genetics, Inc. (NON) 2,800 241,850 -- -- -- --
Neurocrine Biosciences, Inc.
(NON) 8,000 360,000 35,200 1,584,000 -- --
Pharmacopeia, Inc. (NON) 6,400 163,200 -- -- -- --
Regeneration Technologies, Inc.
(NON) 7,900 65,175 35,100 289,575 -- --
Sepracor, Inc. (NON) 400 49,075 800 98,150 -- --
Serologicals Corp. (NON) 39,500 274,031 71,900 498,806 -- --
Triangle Pharmaceuticals, Inc.
(NON) 22,900 193,219 -- -- -- --
Trimeris, Inc. (NON) 1,860 130,084 8,300 580,481 -- --
Xoma Ltd. (NON) 13,700 197,794 60,500 873,469 -- --
-------------- -------------- --------------
14,554,806 25,494,363 1,812,435
Broadcasting 1.2% 1.0% 0.3%
---------------------------------------------------------------------------------------------------------------------------
Ackerly Group, Inc. 7,900 79,000 34,700 347,000 -- --
Beasley Broadcasting Group,
Inc. (NON) 12,600 122,063 -- -- -- --
Capital Radio PLC
(United Kingdom) 31,036 653,665 -- -- -- --
Citadel Communications Corp.
(NON) 10,600 180,200 46,900 797,300 -- --
Clear Channel Communications,
Inc. (NON) 27,322 1,543,693 49,646 2,804,999 6,774 382,731
Corus Entertainment, Inc.
(Canada) (NON) 10,043 287,115 -- -- -- --
Cox Communications, Inc. (NON) 1,100 42,075 2,300 87,975 -- --
Echostar Communications Corp.
Class A (NON) 45,500 2,400,125 76,000 4,009,000 8,900 469,475
Fuji Television Network, Inc.
(Japan) -- -- -- -- 3 38,878
General Motors Corp. Class H
(NON) 2,200 81,796 4,600 171,028 -- --
Granada Media PLC 144A
(United Kingdom) (NON) 33,100 220,637 62,800 418,611 7,100 47,327
Granada Media PLC
(United Kingdom) (NON) 10,500 69,991 20,000 133,316 2,300 15,331
Grupo Televisa SA GDR (Mexico)
(NON) 27,337 1,577,003 20,421 1,178,036 -- --
GWR Group PLC (United Kingdom) 56,480 684,515 -- -- -- --
HIT Entertainment PLC
(United Kingdom) 107,398 695,256 -- -- -- --
Hispanic Broadcasting Corp.
(NON) 400 11,150 800 22,300 -- --
Infinity Broadcasting Corp.
Class A (NON) 2,600 85,800 5,600 184,800 -- --
Mediaset SpA (Italy) 125,702 1,871,896 186,776 2,781,382 20,328 302,715
News Corp., Ltd. ADR
(Australia) 58,481 3,278,591 99,964 5,604,232 13,578 761,217
Nippon Broadcasting Systems
(Japan) (NON) 1,000 55,725 -- -- -- --
Nippon Television Network Corp.
(Japan) (NON) 4,160 2,391,336 4,980 2,862,705 370 212,691
Pegasus Communications Corp.
(NON) 10,200 492,788 34,895 1,685,865 182 8,793
RTL Group (Luxembourg) 3,214 348,186 -- -- -- --
Radio One, Inc. Class A (NON) 5,540 46,051 24,000 199,500 -- --
Radio One, Inc. Class D (NON) 11,080 78,253 48,000 339,000 -- --
Regent Communications, Inc.
(NON) 11,210 62,356 49,600 275,900 -- --
SAGA Communications, Inc.
Class A (NON) 7,342 121,143 32,300 532,950 -- --
SBS Broadcasting SA
(Luxembourg) (NON) 11,600 461,825 -- -- -- --
Societe Television Francaise
(France) 61,934 3,551,481 50,148 2,875,637 5,342 306,326
Spanish Broadcasting System,
Inc. (NON) 6,614 78,541 -- -- 1,600 19,000
TV Azteca SA de CV (Mexico) 723,300 576,127 -- -- -- --
United Global Communications
(NON) 800 24,000 1,700 51,000 -- --
Univision Communications, Inc.
Class A (NON) 1,400 52,325 3,000 112,125 -- --
XM Satellite Radio Holdings,
Inc. Class A (NON) -- -- 58 2,498 38 1,636
-------------- -------------- --------------
22,224,708 27,477,159 2,566,120
Building Materials 0.1% --% --%
---------------------------------------------------------------------------------------------------------------------------
American Standard Companies,
Inc. (NON) 400 17,775 800 35,550 -- --
Apogee Enterprises, Inc. 88,100 501,069 137,500 782,031 -- --
Assa Abloy AB Class B, (Sweden) 4,600 83,133 -- -- -- --
Buzzi Unicem SpA (Italy) 114,881 550,320 -- -- -- --
Corporacion Moctezuma, SA de
CV (Mexico) 201,400 373,319 -- -- -- --
Masco Corp. 2,000 37,250 4,200 78,225 -- --
Sherwin Williams Co. 1,100 23,513 2,300 49,163 -- --
Siam Cement Public Company,
Ltd. (The) (Thailand) (NON) 12,600 99,796 -- -- -- --
Southdown, Inc. 300 21,375 600 42,750 -- --
USG Corp. 600 15,038 1,200 30,075 -- --
-------------- -------------- --------------
1,722,588 1,017,794 --
Cable Television 0.1% 0.2% 0.1%
---------------------------------------------------------------------------------------------------------------------------
AT&T Corp. -- Liberty Media
Group Class A (NON) 129,800 2,336,400 220,100 3,961,800 22,400 403,200
Cablevision Systems Corp.
Class A (NON) 1,200 79,575 3,600 238,725 800 53,050
Comcast Corp. Class A (NON) 6,500 266,094 13,800 564,938 -- --
ValueVision International,
Inc. (NON) 4,900 123,113 21,700 545,213 -- --
-------------- -------------- --------------
2,805,182 5,310,676 456,250
Capital Goods 0.1% --% --%
---------------------------------------------------------------------------------------------------------------------------
Altran Technologies SA
(France) 5,568 1,174,481 -- -- -- --
Eaton Corp. 600 36,975 1,300 80,113 -- --
-------------- -------------- --------------
1,211,456 80,113 --
Chemicals 1.2% 0.9% 0.2%
---------------------------------------------------------------------------------------------------------------------------
Air Products & Chemicals, Inc. 1,700 61,200 3,500 126,000 -- --
Airgas, Inc. (NON) 63,500 432,594 95,900 653,319 -- --
Akzo-Nobel NV (Netherlands) 123,266 5,198,024 113,196 4,773,380 12,031 507,337
Avery Dennison Corp. 1,400 64,925 2,900 134,488 -- --
BASF AG (Germany) 3,200 113,063 -- -- -- --
Beijung Yanhua Petrochemical
Company, Ltd. (China) 1,580,000 192,517 -- -- -- --
BOC Group PLC 172,830 2,286,213 205,795 2,722,277 21,993 290,926
China Merchants Holdings
International Co., Ltd.
(Hong Kong) 246,000 187,733 -- -- -- --
Clariant AG (Switzerland) 500 144,097 -- -- -- --
Crompton Corp. 88,700 698,513 140,100 1,103,288 -- --
Delta & Pine Land Co. 28,200 724,388 34,200 878,513 -- --
Dow Chemical Co. 33,105 825,556 58,485 1,458,470 5,945 148,253
du Pont (E.I.) de Nemours &
Co., Ltd. 46,718 1,935,877 82,813 3,431,564 8,400 348,075
Eastman Chemical Co. 700 25,856 1,500 55,406 -- --
Ecolab, Inc. 1,100 39,669 2,300 82,944 -- --
Engelhard Corp. 49,800 809,250 85,700 1,392,625 10,400 169,000
Ferro Corp. 21,200 404,125 33,100 630,969 -- --
Givaudan (Switzerland) (NON) 32 8,287 -- -- -- --
H.B. Fuller Co. 14,200 408,250 22,100 635,375 -- --
Henkel KGaA (Germany) 15,214 792,020 -- -- -- --
Hercules, Inc. 1,000 14,125 2,100 29,663 -- --
Minnesota Mining & Manufacturing
Co. 15,700 1,430,663 27,800 2,533,275 2,900 264,263
Mississippi Chemical Corp. 48,600 194,400 76,400 305,600 -- --
Nan Ya Plastic Corp. (Taiwan) 284,400 399,668 -- -- -- --
Nippon Sanso Corp. (Japan)
(NON) 156,000 534,296 -- -- -- --
Omnova Solutions, Inc. 80,800 449,450 125,900 700,319 -- --
PPG Industries, Inc. 27,400 1,087,438 47,667 1,891,784 5,592 221,933
PolyOne Corp. 119,300 872,381 187,900 1,374,019 -- --
Praxair, Inc. 1,600 59,800 3,300 123,338 -- --
Reliance Industries, Ltd.
(India) 92,200 686,242 -- -- -- --
Rhodia SA (France) 59,700 648,335 -- -- -- --
Rohm & Haas Co. 800 23,250 1,700 49,406 -- --
Shin-Etsu Chemical Co. (Japan) 13,000 547,533 -- -- -- --
Taiyo Ink Manufacturing
(Japan) 8,140 481,483 -- -- -- --
Teijin, Ltd. (Japan) 200,000 833,102 -- -- -- --
Union Carbide Corp. 700 26,425 1,500 56,625 -- --
-------------- -------------- --------------
23,640,748 25,142,647 1,949,787
Coal --% --% --%
---------------------------------------------------------------------------------------------------------------------------
Beijing Datang Power Gen. Co.,
Ltd. (China) 1,176,000 247,366 -- -- -- --
Combined Utilities 0.2% 0.2% --%
---------------------------------------------------------------------------------------------------------------------------
Constellation Energy Group 30,300 1,507,425 51,900 2,582,025 6,400 318,400
Korea Electric Power Corp.
(South Korea) 97,450 2,543,314 59,190 1,544,779 -- --
-------------- -------------- --------------
4,050,739 4,126,804 318,400
Commercial and Consumer Services 0.8% 0.5% --%
---------------------------------------------------------------------------------------------------------------------------
ABM Industries, Inc. 15,300 415,969 23,900 649,781 -- --
Adecco SA (Switzerland) 1,012 655,926 -- -- -- --
ADVO, Inc. (NON) 27,500 907,500 24,700 815,100 -- --
Administaff, Inc. (NON) 4,700 355,790 -- -- -- --
Asatsu, Inc. (Japan) 8,400 287,698 12,100 414,422 1,300 44,525
Avis Europe PLC 144A ADR
(United Kingdom) 220,867 669,205 -- -- -- --
Banta Corp. 20,000 487,500 31,200 760,500 -- --
Bowne & Co. 38,800 378,300 60,300 587,925 -- --
Capita Group PLC
(United Kingdom) 122,880 1,089,700 -- -- -- --
Cendant Corp. (NON) 4,700 51,113 10,000 108,750 -- --
Cintas Corp. 800 34,850 1,750 76,234 -- --
CoStar Group, Inc. (NON) 9,500 351,500 42,100 1,557,700 -- --
Cordiant Communications Group
PLC (United Kingdom) 130,902 503,030 -- -- -- --
Deluxe Corp. 1,800 36,563 3,900 79,219 -- --
Dun & Bradstreet Corp. (The) 800 27,550 1,700 58,544 -- --
eBay, Inc. (NON) 400 27,475 800 54,950 -- --
Falck A/S (Denmark) 5,470 796,018 -- -- -- --
G & K Services, Inc. Class A 22,600 634,213 35,400 993,413 -- --
Galileo International, Inc. 700 10,850 1,500 23,250 -- --
Group 4 Falck A/S (Denmark) 700 101,867 -- -- -- --
H&R Block, Inc. 600 22,238 1,300 48,181 -- --
Hagemeyer NV (Netherlands) 28,295 751,352 -- -- -- --
Hall, Kinion & Associates, Inc.
(NON) 14,700 418,031 41,200 1,171,625 -- --
Heidrick & Struggles
International, Inc. (NON) 5,700 292,838 -- -- -- --
Li & Fung, Ltd. (Hong Kong)
(NON) 196,000 413,534 -- -- -- --
Li & Fung, Ltd 144A.
(Hong Kong) (NON) 72,000 151,910 -- -- -- --
Macrovision Corp. (NON) 8,700 704,700 28,100 2,276,100 -- --
Manpower, Inc. 600 19,163 1,300 41,519 -- --
Mosaic Group, Inc. (Canada)
(NON) 21,900 241,699 -- -- -- --
PC Connection, Inc. (NON) 2,950 168,150 -- -- -- --
ProBusiness Services, Inc.
(NON) 4,580 138,545 20,450 618,613 -- --
Professional Detailing, Inc.
(NON) 7,510 428,070 29,700 1,692,900 -- --
R. R. Donnelley & Sons Co. 700 17,194 1,500 36,844 -- --
RemedyTemp, Inc. (NON) 23,600 282,094 37,300 445,852 -- --
Robert Half International,
Inc. (NON) 6,200 215,063 2,200 76,313 -- --
Sabre Group Holdings, Inc. 289 8,363 605 17,507 -- --
Securicor Group PLC
(United Kingdom) 80,000 165,536 -- -- -- --
Securitas AB, Class B (Sweden) 90,965 1,988,796 -- -- -- --
Semcon AB (Sweden) 28,976 412,309 -- -- -- --
Serco Group PLC
(United Kingdom) 80,300 712,100 -- -- -- --
SkillSoft Corp. (NON) 7,010 128,809 31,000 569,625 -- --
Taylor Nelson Sofres PLC
(United Kingdom) 52,302 224,177 -- -- -- --
TeleTech Holdings, Inc. (NON) 6,800 168,300 -- -- -- --
Varco International, Inc.
(NON) 26,000 541,125 40,400 840,825 -- --
Vedior NV (Netherlands) 6,200 90,249 -- -- -- --
-------------- -------------- --------------
16,526,962 14,015,692 44,525
Communications Equipment 3.5% 3.9% 1.1%
---------------------------------------------------------------------------------------------------------------------------
ADC Telecommunications, Inc.
(NON) 56,000 1,505,875 95,500 2,568,055 10,100 271,595
Advanced Fibre Communications
(NON) 700 26,513 1,400 53,025 -- --
Alcatel (France) 19,900 1,272,794 -- -- 9,680 619,128
BreezeCom, Ltd. (Israel) (NON) 9,900 326,081 -- -- -- --
Brocade Communications Systems
(NON) 17,800 4,200,800 29,650 6,997,400 3,400 802,400
CIENA Corp. (NON) 2,200 270,188 4,600 564,938 -- --
California Amplifier, Inc.
(NON) 5,200 119,600 22,800 524,400 -- --
Ceragon Networks Ltd.
(Israel) (NON) 5,800 155,875 17,800 478,375 -- --
Cisco Systems, Inc. (NON) 240,600 13,293,150 422,800 23,359,700 37,600 2,077,400
Clarent Corp. (NON) 2,500 98,438 -- -- -- --
Communications Systems, Inc. 29,300 391,888 45,600 609,900 -- --
Comverse Technology, Inc. (NON) 31,700 3,423,600 53,000 5,724,000 6,200 669,600
Copper Mountain Networks, Inc.
(NON) 900 33,750 2,000 75,000 -- --
Corning, Inc. 15,500 4,603,500 26,700 7,929,900 2,600 772,200
Corsair Communications, Inc.
(NON) 11,300 88,281 -- -- -- --
DMC Stratex Networks, Inc.
(NON) 4,900 78,706 -- -- -- --
Extreme Networks, Inc. (NON) 1,200 137,400 2,500 286,250 -- --
Foundry Networks, Inc. (NON) 900 60,244 2,000 133,875 -- --
Gilat Satellite Networks, Ltd.
(Israel) (NON) 6,300 484,313 -- -- -- --
IFR Systems, Inc. (NON) 8,000 40,000 12,400 62,000 -- --
Juniper Networks, Inc. (NON) 19,100 4,181,706 32,100 7,027,894 3,600 788,175
Lightbridge, Inc. (NON) 10,000 116,250 -- -- -- --
Lucent Technologies, Inc. 23,300 712,106 49,400 1,509,788 -- --
Marconi PLC (United Kingdom) -- -- -- -- 10,315 141,022
Matsushita Communication (Japan) 1,000 135,240 -- -- -- --
NICE Systems, Ltd. ADR (Israel)
(NON) 11,050 795,600 -- -- -- --
Natural Microsystems Corp.
(NON) 19,300 1,038,280 54,000 2,905,031 -- --
Netro Corp. (NON) 4,100 242,925 -- -- -- --
Nokia OYJ AB Class A (Finland) 268,474 10,876,049 299,162 12,119,239 31,944 1,294,071
Nortel Networks Corp. (Canada) 71,462 4,292,661 109,008 6,548,017 -- --
Novell, Inc. (NON) 2,400 23,850 5,000 49,688 -- --
Packeteer, Inc. (NON) 3,000 113,813 -- -- -- --
Performance Technologies, Inc.
(NON) 44,400 624,375 78,900 1,109,531 -- --
Plantronics, Inc. (NON) 9,000 342,000 -- -- -- --
Polycom, Inc. (NON) 300 20,091 600 40,181 -- --
Powerwave Technologies, Inc.
(NON) 6,400 243,000 16,200 615,094 -- --
Proxim, Inc. (NON) 7,900 351,550 35,200 1,566,400 -- --
QUALCOMM, Inc. (NON) 35,800 2,550,750 62,100 4,424,625 6,100 434,625
Redback Networks, Inc. (NON) 29,600 4,854,400 49,400 8,101,600 5,800 951,200
Scientific-Atlanta, Inc. 1,500 95,438 3,100 197,238 -- --
SeaChange International, Inc. (NON) 7,370 245,974 32,600 1,088,025 -- --
SpectraLink Corp. (NON) 7,300 68,894 32,000 302,000 -- --
Superior TeleCom, Inc. 45,700 274,200 71,300 427,800 -- --
Tekelec (NON) 3,700 121,638 -- -- -- --
Telefonaktiebolaget LM Ericsson
Class B, (Sweden) 164,075 2,496,571 163,043 2,480,868 17,436 265,307
Teleste OYJ (Finland) 25,188 777,730 -- -- -- --
Tellabs, Inc. (NON) 2,500 119,375 5,400 257,850 -- --
Terayon Communications Systems,
Inc. (NON) 2,700 91,631 -- -- -- --
Tollgrade Communications, Inc. (NON) 8,660 1,202,116 27,400 3,803,463 -- --
Tut Systems, Inc. (NON) 3,300 284,831 -- -- -- --
Videsh Sanchar Nigam, Ltd. GDR
(India) 17,700 143,813 -- -- -- --
Westell Technologies, Inc. (NON) 13,600 175,100 60,100 773,788 -- --
-------------- -------------- --------------
68,222,953 104,714,938 9,086,723
Computers 2.6% 2.4% 0.6%
---------------------------------------------------------------------------------------------------------------------------
3Com Corp. (NON) 2,400 46,050 5,000 95,938 -- --
Adaptec, Inc. (NON) 1,600 32,000 3,400 68,000 -- --
AdvantGo, Inc. (NON) 1,800 36,000 7,600 152,000 -- --
Apple Computer, Inc. (NON) 2,400 61,800 5,300 136,475 -- --
Ariba, Inc. (NON) 8,400 1,203,431 14,400 2,063,025 1,500 214,898
Aspen Technology, Inc. (NON) 6,600 297,825 -- -- -- --
Asustek Computer, Inc. GDR (Taiwan) 39,880 211,437 -- -- -- --
BARRA, Inc. (NON) 5,900 366,169 -- -- -- --
Cabletron Systems, Inc. (NON) 2,100 61,688 5,800 170,375 -- --
Cadence Design Systems, Inc. (NON) 1,600 41,100 3,300 84,769 -- --
Cognex Corp. (NON) 5,900 232,681 -- -- -- --
Compaq Computer Corp. 12,600 347,508 26,800 739,144 -- --
Comptel OYJ (Finland) 34,081 526,761 -- -- -- --
Dassault Systemes SA (France) 6,390 519,473 -- -- -- --
Dell Computer Corp. (NON) 15,800 486,838 33,500 1,032,219 -- --
Digital Island (NON) 7,800 146,250 -- -- -- --
EMC Corp. (NON) 72,900 7,226,213 126,700 12,559,138 11,300 1,120,113
Electronics for Imaging, Inc. (NON) 900 22,725 2,000 50,500 -- --
Eyretel PLC (United Kingdom) (NON) 70,786 219,706 -- -- -- --
Eyretel PLC 144A (United Kingdom)
(NON) 93,500 290,205 -- -- -- --
Fujitsu, Ltd. (Japan) (NON) 257,300 5,978,182 177,300 4,119,439 18,900 439,128
Gateway, Inc. (NON) 1,700 79,475 3,700 172,975 -- --
Gerber Scientific, Inc. 38,700 333,788 60,300 520,088 -- --
Hewlett-Packard Co. 21,900 2,124,300 40,300 3,909,100 3,300 320,100
Hitachi, Ltd. (Japan) 47,000 545,571 -- -- -- --
I-Manny, Inc. (NON) 2,000 39,875 8,800 175,450 -- --
IBM Corp. 28,300 3,183,750 53,700 6,041,250 3,300 371,250
InFocus Corp. (NON) 4,000 212,000 -- -- -- --
Inktomi Corp. (NON) 8,900 1,014,600 14,800 1,687,200 1,700 193,800
Lexmark International Group, Inc.
Class A (NON) 1,100 41,250 2,300 86,250 -- --
Liberate Technologies (NON) 1,400 40,513 3,000 86,813 -- --
M-Systems Flash Disk Pioneers, Ltd.
(Israel) (NON) 20,200 771,388 -- -- -- --
MMC Networks, Inc. (NON) 3,200 404,800 -- -- -- --
MRV Communications, Inc. (NON) 5,600 253,750 -- -- -- --
Manhattan Associates, Inc. (NON) 10,900 667,625 18,000 1,102,500 -- --
Maxtor Corp. (NON) 28,800 302,400 -- -- -- --
McAfee.com Corp. (NON) 3,600 53,550 15,900 236,513 -- --
Mentor Graphics Corp. (NON) 43,500 1,024,969 47,900 1,128,644 -- --
NCR Corp. (NON) 800 30,250 1,700 64,281 -- --
NEC Corp. (Japan) (NON) 222,082 5,046,851 225,985 5,135,547 24,000 545,404
Network Appliance, Inc. (NON) 14,500 1,846,938 25,300 3,222,588 2,400 305,700
Niku Corp. (NON) 4,900 119,438 -- -- -- --
Palm, Inc. (NON) 4,456 235,890 9,416 498,460 -- --
Parametric Technology Corp. (NON) 3,700 40,469 7,800 85,313 -- --
Psion PLC (United Kingdom) 29,787 325,786 -- -- -- --
Quantum Corp. (NON) 3,900 58,744 8,200 123,513 -- --
RealNetworks, Inc. (NON) 700 27,825 1,400 55,650 -- --
S1 Corp. (NON) 500 5,969 1,000 11,938 -- --
Satyam Computer Services, Ltd.
(India) (NON) 26,500 280,515 -- -- -- --
SERENA Software, Inc. (NON) 5,950 274,072 -- -- -- --
Seagate Technology, Inc. (NON) 1,800 124,200 3,900 269,100 -- --
Sharp Corp. (Japan) 31,400 485,984 -- -- -- --
SonicWall, Inc. (NON) 5,200 148,200 -- -- -- --
Sun Microsystems, Inc. (NON) 49,000 5,720,750 87,000 10,157,250 7,500 875,625
Sycamore Networks, Inc. (NON) 600 64,800 1,200 129,600 -- --
Symantec Corp. (NON) 8,800 387,200 1,800 79,200 -- --
Synopsys, Inc. (NON) 1,400 53,025 2,900 109,838 -- --
TIBCO Software, Inc. (NON) 1,400 118,213 2,880 243,180 -- --
Telecommunication Systems, Inc.
(NON) 5,300 101,363 23,600 451,350 -- --
Toshiba Corp. (Japan) 171,000 1,378,700 -- -- -- --
Universal Electronics, Inc. (NON) 8,510 205,836 37,400 904,613 -- --
VeriSign, Inc. (NON) 20,700 4,193,044 35,000 7,089,688 3,800 769,738
Vertel Corp. (NON) 8,320 76,960 36,900 341,325 -- --
Western Digital Corp. (NON) 37,900 222,663 -- -- -- --
Wipro Corp., Inc. (India) 1,800 103,894 -- -- -- --
-------------- -------------- --------------
51,125,225 65,390,239 5,155,756
Conglomerates 1.8% 1.8% 0.6%
---------------------------------------------------------------------------------------------------------------------------
Aegis Group PLC (United Kingdom) 295,859 638,428 231,564 499,687 24,566 53,010
Alfa SA de CV Class A, (Mexico) 88,500 185,793 -- -- -- --
Autonation, Inc. (NON) 3,900 23,400 6,500 39,000 -- --
Berkshire Hathaway, Inc. (NON) 1,100 2,277,000 1,900 3,933,000 300 621,000
Canadian Pacific, Ltd. 30,300 787,667 -- -- -- --
Citic Pacific, Ltd. (Hong Kong) 97,000 418,023 -- -- -- --
Cookson Group PLC (United Kingdom) 255,861 716,618 -- -- -- --
Cooper Industries, Inc. 31,000 1,092,750 53,300 1,878,825 6,600 232,650
Dogan Sirketler Grubu Holding A.S.
(Turkey) 22,331,000 419,629 -- -- -- --
GenCorp., Inc. 96,900 787,313 151,600 1,231,750 -- --
General Electric Co. 234,600 13,533,488 417,500 24,084,531 32,400 1,869,075
Grupo Carso S.A. de CV (Mexico)
(NON) 133,500 396,640 -- -- -- --
Honeywell International, Inc. 33,765 1,202,878 60,045 2,139,103 6,000 213,750
Hutchison Whampoa, Ltd. (Hong Kong) 34,100 452,672 -- -- -- --
IOI Corporation Berhad (Malaysia) 268,000 204,526 -- -- -- --
Internatio-Muller NV (Netherlands) 24,677 485,472 -- -- -- --
Investor AB (Sweden) 247,951 3,515,300 379,111 5,374,808 40,609 575,730
Mitsui Fudoscan Co., Ltd. (Japan)
(NON) 47,000 293,668 -- -- -- --
Norsk Hydro ASA (Norway) 8,600 360,043 -- -- -- --
Peninsular and Oriental Steam
Navigation Co. (United Kingdom) 20,500 180,279 -- -- -- --
Remgro, Ltd. (South Africa) (NON) 50,200 296,706 -- -- -- --
Smiths Industries PLC
(United Kingdom) 198,543 2,058,528 68,730 712,604 7,325 75,947
Sumitomo Corp. (Japan) 87,200 757,138 163,100 1,416,160 17,600 152,817
Textron, Inc. 600 27,675 1,200 55,350 -- --
Tomkins PLC (United Kingdom) 65,000 158,516 -- -- -- --
Tyco International, Ltd. 73,300 3,802,438 119,300 6,188,688 14,800 767,750
Venfin Ltd. (South Africa) 50,200 175,658 -- -- -- --
Vivendi SA (France) 4,500 334,266 -- -- 7,388 548,790
-------------- -------------- --------------
35,582,512 47,553,506 5,110,519
Construction 0.4% 0.2% 0.1%
---------------------------------------------------------------------------------------------------------------------------
CRH PLC (Ireland) 161,824 2,575,411 214,062 3,406,773 22,850 363,655
CSR, Ltd. (Australia) 447,940 983,700 76,900 168,877 8,900 19,545
Cemex SA de CV ADR (Mexico) 31,785 637,687 -- -- -- --
Hanson PLC (United Kingdom) 168,605 939,477 -- -- -- --
Lafarge Coppee (France) 32,360 2,226,743 33,291 2,290,807 3,554 244,556
-------------- -------------- --------------
7,363,018 5,866,457 627,756
Consumer Cyclicals 0.3% 0.2% 0.1%
---------------------------------------------------------------------------------------------------------------------------
Harman International Industries,
Inc. 8,700 340,170 -- -- -- --
Matsushita Electric Industrial Co.
(Japan) (NON) 47,000 1,231,232 -- -- -- --
Sony Corp. (Japan) 35,600 3,611,737 45,500 4,616,125 4,900 497,121
-------------- -------------- --------------
5,183,139 4,616,125 497,121
Consumer Finance 0.4% 0.2% 0.1%
---------------------------------------------------------------------------------------------------------------------------
Acom Co., Ltd. (Japan) 4,000 333,241 -- -- -- --
Aiful Corp. (Japan) 18,875 1,817,088 -- -- -- --
AmeriCredit Corp. (NON) 21,500 619,469 10,300 296,769 -- --
Capital One Financial Corp. 1,700 119,106 3,500 245,219 -- --
Countrywide Credit Industries, Inc. 600 22,650 1,300 49,075 -- --
Household International, Inc. 50,800 2,876,550 88,800 5,028,300 9,970 564,551
MBNA Corp. 6,000 231,000 12,800 492,800 -- --
Metris Companies, Inc. 12,200 481,900 -- -- -- --
Promise Co., Ltd. (Japan) 18,700 1,445,386 -- -- -- --
Providian Financial Corp. 1,500 190,500 3,100 393,700 -- --
Theta Group, Ltd. (South Africa)
(NON) 131,100 118,092 -- -- -- --
-------------- -------------- --------------
8,254,982 6,505,863 564,551
Consumer Goods 0.5% 0.4% 0.1%
---------------------------------------------------------------------------------------------------------------------------
AptarGroup, Inc. 28,000 670,250 43,200 1,034,100 -- --
Avon Products, Inc. 1,700 69,488 3,700 151,238 -- --
Beiersdorf AG (Germany) 1,000 93,954 -- -- -- --
Clorox Co. 1,200 47,475 2,500 98,906 -- --
Colgate-Palmolive Co. 4,800 226,560 10,200 481,440 -- --
Dial Corp. (The) 18,000 209,250 28,000 325,500 -- --
Estee Lauder Cos. Class A 1,100 40,288 20,600 754,475 2,300 84,238
Gillette Co. 6,400 197,600 13,600 419,900 -- --
Hindustan Lever, Ltd. (India) (NON) 95,000 430,627 -- -- -- --
International Flavors & Fragrances,
Inc. 1,000 18,250 2,100 38,325 -- --
KAO Corp. (Japan) 16,000 436,916 -- -- -- --
Kimberly-Clark Corp. 31,100 1,735,769 55,300 3,086,431 5,600 312,550
L'Oreal SA (France) 31,450 2,440,189 -- -- -- --
Lancaster Colony Corp. 21,700 533,006 33,800 830,213 -- --
Oneida, Ltd. 13,700 190,088 21,300 295,538 -- --
Procter & Gamble Co. 8,800 589,600 18,600 1,246,200 -- --
Shiseido Co., Ltd. (Japan) (NON) 168,000 2,086,976 113,000 1,403,740 12,000 149,070
Yankee Candle Company, Inc. (The)
(NON) 11,560 232,645 44,800 901,600 -- --
-------------- -------------- --------------
10,248,931 11,067,606 545,858
Consumer Services --% --% --%
---------------------------------------------------------------------------------------------------------------------------
HotJobs.com Ltd. (NON) 8,500 145,031 -- -- -- --
Hotel Reservations Network, Inc.
Class A (NON) 5,600 205,100 24,600 900,975 -- --
Ipsos (France) 1,336 154,399 -- -- -- --
Multex.com, Inc. (NON) 6,800 116,450 29,900 512,038 -- --
Register.com (NON) 11,200 106,400 -- -- -- --
TMP Worldwide, Inc. (NON) 400 32,200 800 64,400 -- --
VerticalNet, Inc. (NON) 1,100 38,638 2,400 84,300 -- --
-------------- -------------- --------------
798,218 1,561,713 --
Distribution 0.1% 0.2% --%
---------------------------------------------------------------------------------------------------------------------------
Performance Food Group Co. (NON) 24,600 925,575 31,000 1,166,375 -- --
SYSCO Corp. 40,800 1,889,550 70,700 3,274,294 8,270 383,004
-------------- -------------- --------------
2,815,125 4,440,669 383,004
Electric Utilities 1.6% 1.3% 0.4%
---------------------------------------------------------------------------------------------------------------------------
ACEA SpA (Italy) 31,313 437,017 -- -- -- --
AES Corp. (NON) 2,400 164,400 5,000 342,500 -- --
American Electric Power 440 17,215 1,020 39,908 -- --
CP&L, Inc. 44,200 1,842,588 76,800 3,201,600 8,900 371,019
Calpine Corp. (NON) 900 93,938 2,000 208,750 -- --
Chubu Electric Power, Inc. (Japan) 15,800 255,947 -- -- -- --
CiNergy Corp. 36,600 1,210,088 63,120 2,086,905 7,600 251,275
Citizens Communications Co. (NON) 1,100 14,781 2,300 30,906 -- --
Consolidated Edison, Inc. 2,500 85,313 5,200 177,450 -- --
DPL, Inc. 61,382 1,826,115 105,343 3,133,954 12,974 385,977
Dominion Resources, Inc. 13,800 801,263 24,700 1,434,144 2,400 139,350
Duke Energy Corp. 25,600 2,195,200 45,300 3,884,475 4,600 394,450
E.On AG (Germany) 50,725 2,613,376 -- -- -- --
Edison International 3,300 63,731 7,100 137,119 -- --
Electricidade de Portugal SA
(Portugal) 39,500 124,752 -- -- -- --
Eletropaulo Metropolitana (Brazil) 8,700 521,387 -- -- -- --
Entergy Corp. 30,000 1,117,500 53,100 1,977,975 5,600 208,600
FPL Group, Inc. 1,700 111,775 3,700 243,275 -- --
Hongkong Electric Holdings, Ltd.
(Hong Kong) 483,000 1,492,978 324,500 1,003,046 35,000 108,187
Iberdrola SA (Spain) 226,770 2,880,814 155,465 1,974,978 17,430 221,425
Manila Electric Co. Class B
(Philippines) 132,480 152,309 -- -- -- --
Montana Power Co. 400 13,350 800 26,700 -- --
NSTAR, Inc. 800 32,200 1,700 68,425 -- --
PPL Corp. 800 33,400 1,700 70,975 -- --
Pacific Gas & Electric Co. 42,500 1,027,969 74,650 1,805,597 8,200 198,338
Peco Energy Co. 1,700 102,956 3,600 218,025 -- --
Potomac Electric Power Co. 700 17,631 1,500 37,781 -- --
Public Service Co. of New Mexico 27,700 716,738 43,200 1,117,800 -- --
Public Service Enterprise Group,
Inc. 2,100 93,844 4,400 196,625 -- --
Puget Sound Energy, Inc. 600 15,225 1,300 32,988 -- --
Reliant Energy, Inc. 31,100 1,446,150 55,800 2,594,700 5,900 274,350
SMTC Corp. (Canada) (NON) 5,900 126,850 26,000 559,000 -- --
Scottish & Southern Energy PLC
(United Kingdom) 126,500 1,032,058 -- -- -- --
Scottish Power PLC (United Kingdom) 555,432 4,309,875 366,034 2,840,241 62,809 487,366
Sierra Pacific Resources 39,700 714,600 62,400 1,123,200 -- --
Southern Co. 2,800 90,825 5,900 191,381 -- --
TXU Corp. 44,612 1,767,751 77,710 3,079,259 8,960 355,040
Teco Energy, Inc. 1,000 28,750 2,100 60,375 -- --
Tokyo Electric Power Co. (Japan) 39,400 928,196 -- -- -- --
Unicom Corp. 1,900 106,756 4,100 230,369 -- --
Utilicorp United, Inc. 2,300 59,513 4,800 124,200 -- --
Viridian Group PLC (United Kingdom) 58,728 610,838 -- -- -- --
Wisconsin Energy Corp. 700 13,956 1,500 29,906 -- --
XCEL Energy, Inc. 1,705 46,888 3,565 98,038 -- --
-------------- -------------- --------------
31,358,806 34,382,570 3,395,377
Electrical Equipment 0.8% 0.4% 0.1%
---------------------------------------------------------------------------------------------------------------------------
ABB AG (Switzerland) 11,930 1,159,861 15,610 1,517,639 1,657 161,097
Advanced Lighting Techs (NON) 10,000 123,750 -- -- -- --
BE Aerospace, Inc. (NON) 54,300 875,588 94,600 1,525,425 -- --
BEI Technologies, Inc. 10,100 421,675 15,800 659,650 -- --
C&D Technologies, Inc. 8,900 505,075 -- -- -- --
Electro Scientific Industries, Inc.
(NON) 9,600 337,200 -- -- -- --
Emerson Electric Co. 33,800 2,264,600 59,600 3,993,200 6,400 428,800
Furukawa Electric Co., Ltd. (Japan) 52,000 1,436,823 5,000 138,156 -- --
Hilti AG (Switzerland) 615 512,500 -- -- -- --
Invensys PLC (United Kingdom) 586,919 1,281,681 -- -- -- --
Keyence Corp. (Japan) 4,050 1,402,111 -- -- -- --
Lincoln Electric Holdings, Inc. 16,200 215,663 23,100 307,519 -- --
Manufacturers' Services, Ltd. (NON) 13,100 155,563 58,000 688,750 -- --
REMEC, Inc. (NON) 6,350 186,928 -- -- -- --
Rockwell International Corp. 1,800 54,450 3,900 117,975 -- --
SGL Carbon (Germany) 10,993 698,258 -- -- -- --
SLI, Inc. 2,700 19,744 4,300 31,444 -- --
Schneider Electric SA (France) 19,450 1,225,138 -- -- -- --
Siemens AG (Germany) 8,000 1,028,645 -- -- -- --
Therma-Wave, Inc. (NON) 1,370 39,388 6,200 178,250 -- --
Thomas & Betts Corp. 33,600 585,900 53,200 927,675 -- --
Vestas Wind Systems A/S (Denmark) 24,180 1,235,863 -- -- -- --
Wavecom SA (France) (NON) 3,020 365,420 -- -- -- --
-------------- -------------- --------------
16,131,824 10,085,683 589,897
Electronics 5.1% 4.2% 0.7%
---------------------------------------------------------------------------------------------------------------------------
ADVA AG Optical Networking (NON) 7,193 682,159 -- -- -- --
ANADIGICS, Inc. (NON) 5,750 127,219 -- -- -- --
APW, Ltd. (NON) 19,800 965,250 30,800 1,501,500 -- --
ARM Holdings PLC (United Kingdom)
(NON) 268,519 2,984,471 121,000 1,344,862 12,863 142,967
ASE Test Limited (Taiwan) (NON) 52,513 1,102,773 -- -- -- --
Act Manufacturing, Inc. (NON) 14,300 754,325 63,000 3,323,250 -- --
Advanced Micro Devices, Inc. (NON) 3,000 70,875 6,200 146,475 -- --
Advantest Corp. (Japan) 4,700 738,739 -- -- -- --
Agilent Technologies, Inc. (NON) 3,201 156,649 6,767 331,160 -- --
Alpha Industries, Inc. (NON) 5,500 187,344 24,100 820,906 -- --
Altera Corp. (NON) 3,700 176,675 7,800 372,450 -- --
American Power Conversion Corp.
(NON) 1,300 24,944 2,700 51,806 -- --
American Superconductor Corp. (NON) 3,800 186,794 17,000 835,656 -- --
Amphenol Corp. (NON) 4,200 239,138 -- -- -- --
Analog Devices, Inc. (NON) 3,200 264,200 6,700 553,169 -- --
Applied Micro Circuits Corp. (NON) 21,100 4,369,019 35,600 7,371,425 4,000 828,250
Asyst Technologies, Inc. (NON) 11,800 238,950 -- -- -- --
Atmel Corp. (NON) 4,600 69,863 9,600 145,800 -- --
AudioCodes, Ltd. (Israel) (NON) 5,100 434,138 -- -- -- --
August Technology Corp. (NON) 2,500 33,125 10,900 144,425 -- --
Avnet, Inc. 26,800 760,450 42,000 1,191,750 -- --
Aware, Inc. (NON) 8,500 327,250 37,500 1,443,750 -- --
Belden, Inc. 26,300 621,338 41,200 973,350 -- --
Benchmark Electronics, Inc. (NON) 5,000 260,000 22,000 1,144,000 -- --
Broadcom Corp. (NON) 950 231,563 2,000 487,500 -- --
Brooks Automation, Inc. (NON) 2,900 96,063 -- -- -- --
C-Mac Industries, Inc. (Canada)
(NON) 1,400 80,048 2,800 160,096 -- --
Centillium Communications, Inc.
(NON) 3,200 307,200 14,100 1,353,600 -- --
Chartered Semiconductor
Manufacturing (Singapore) (NON) 349,000 2,226,635 -- -- 38,000 242,442
Chloride Group PLC (United Kingdom) 225,984 637,948 -- -- -- --
Cree Research, Inc. (NON) 1,200 139,500 -- -- -- --
CuberOptics Corp. (NON) 8,900 162,981 -- -- -- --
Cymer, Inc. (NON) 6,700 205,606 -- -- -- --
Cypress Semiconductor Corp. (NON) 7,100 295,094 -- -- -- --
DIAGONAL PLC (United Kingdom) 18,100 91,357 -- -- -- --
DSP Group, Inc. (NON) 16,700 624,163 -- -- -- --
Dallas Semiconductor Corp. 11,900 391,213 18,600 611,475 -- --
Delta Electronic Industrial
(Taiwan) 65,250 232,366 -- -- -- --
Dialog Semiconductor PLC
(United Kingdom) (NON) 9,426 328,467 -- -- -- --
Elantec Semiconductor, Inc. (NON) 4,000 398,500 -- -- -- --
Epcos AG (Germany) (NON) 14,520 1,178,478 -- -- -- --
Exar Corp. (NON) 12,150 1,470,150 33,900 4,101,900 -- --
FDK Corp. (Japan) (NON) 12,000 122,188 -- -- -- --
FEI Co. (NON) 10,500 227,719 -- -- -- --
GN Store Nord (Denmark) (NON) 7,623 1,082,274 -- -- -- --
General Cable Corp. 194,000 1,467,125 296,000 2,238,500 -- --
GlobeSpan, Inc. (NON) 1,500 183,000 -- -- -- --
Hirose Electric Co., Ltd. (Japan) 4,500 587,337 -- -- -- --
Hon Hai Precision Industry (Taiwan) 230,100 1,513,912 206,700 1,359,955 -- --
Infineon Technologies, Inc.
(Germany) (NON) 14,800 710,930 -- -- -- --
Integrated Silicon Solutions, Inc.
(NON) 21,900 310,706 54,600 774,638 -- --
Intel Corp. 199,000 8,270,938 356,287 14,808,178 29,700 1,234,406
Intergrated Device Technology,
Inc. (NON) 500 45,250 1,000 90,500 -- --
International Rectifier Corp. (NON) 4,100 207,306 -- -- -- --
JDS Uniphase Corp. (NON) 31,200 2,954,250 54,800 5,188,875 5,000 473,438
Jabil Circuit, Inc. (NON) 1,500 85,125 3,100 175,925 -- --
Johnson Electric Holdings, Ltd.
(Hong Kong) 573,000 1,231,002 -- -- -- --
Keithley Instruments, Inc. 3,700 259,000 16,500 1,155,000 -- --
Kent Electronics Corp. (NON) 5,700 136,088 25,400 606,425 -- --
Kyocera Corp. (Japan) 9,800 1,496,806 -- -- -- --
LSI Logic Corp. (NON) 2,600 76,050 5,600 163,800 -- --
Legend Holdings, Ltd. (Hong Kong) 434,000 411,918 -- -- -- --
Linear Technology Corp. 2,900 187,775 6,200 401,450 -- --
Littlelfuse, Inc. (NON) 18,800 558,125 20,600 611,563 -- --
MACNICA, Inc. (Japan) 3,800 589,188 -- -- -- --
MIPS Technologies, Inc. (NON) 3,700 170,200 -- -- -- --
Maxim Integrated Products, Inc.
(NON) 2,300 185,006 4,800 386,100 -- --
Methode Electronics, Inc. 14,350 635,884 22,400 992,600 -- --
Micrel, Inc. (NON) 8,600 576,200 19,100 1,279,700 -- --
Microchip Technology, Inc. (NON) 1,350 44,634 2,850 94,228 -- --
Micron Technology, Inc. (NON) 3,600 165,600 7,700 354,200 -- --
Molex, Inc. 500 27,219 975 53,077 -- --
Motorola, Inc. 49,000 1,384,250 90,000 2,542,500 7,200 203,400
Murata Manufacturing Co., Ltd.
(Japan) 10,700 1,475,794 -- -- -- --
NKT Hiolding A/S (Denmark) 2,019 606,737 -- -- -- --
Nanometrics, Inc. (NON) 9,000 480,938 20,100 1,074,094 -- --
National Semiconductor Corp. (NON) 2,200 88,550 4,700 189,175 -- --
Oak Technology, Inc. (NON) 17,260 472,493 22,500 615,938 -- --
PMC - Sierra, Inc. (NON) 15,900 3,422,475 26,900 5,790,225 2,800 602,700
PSi Technologies Holdings, Inc. ADR
(Philippines) (NON) 10,540 134,385 46,600 594,150 -- --
Pace Micro Technology PLC
(United Kingdom) 72,315 753,515 -- -- -- --
Park Electrochemical Corp. 19,600 1,090,250 30,600 1,702,125 -- --
Pemstar, Inc. (NON) 7,900 155,531 35,000 689,063 -- --
PerkinElmer, Inc. 14,400 1,503,000 23,600 2,463,250 2,800 292,250
Perlos OYJ (Finland) 43,342 1,143,266 -- -- -- --
Pioneer-Standard Electronics, Inc. 76,100 1,032,106 118,600 1,608,513 -- --
Plexus Corp. (NON) 7,000 493,500 -- -- -- --
Power-One, Inc. (NON) 2,100 127,083 -- -- -- --
Premier Farnell PLC (United Kingdom) 85,292 573,580 -- -- -- --
QLogic Corp. (NON) 800 70,400 1,700 149,600 -- --
RF Micro Devices, Inc. (NON) 1,600 51,200 3,200 102,400 -- --
Rambus, Inc. (NON) 900 71,044 1,900 149,981 -- --
Recoton Corp. (NON) 49,000 774,813 76,100 1,203,331 -- --
Rohm Co., Ltd. (Japan) 1,600 438,545 -- -- 500 137,045
S3, Inc. (NON) 5,600 57,750 8,800 90,750 -- --
SCI Systems, Inc. (NON) 1,500 61,500 3,200 131,200 -- --
SDL, Inc. (NON) 6,900 2,134,256 11,800 3,649,888 1,330 411,386
STMicroelectronics NV (France) 36,138 1,770,986 -- -- -- --
Samsung Electronics Co.
(South Korea) 30,319 5,492,770 24,967 4,523,170 -- --
Samsung SDI Co., Ltd. (South Korea) 18,000 711,928 -- -- -- --
Sanmina Corp. (NON) 1,400 131,075 2,900 271,513 -- --
Semitool, Inc. (NON) 14,000 179,375 -- -- -- --
Semtech Corp. (NON) 4,800 207,000 -- -- -- --
Silicon Valley Group, Inc. (NON) 12,500 328,906 -- -- -- --
Sipex Corp. (NON) 13,610 572,471 59,900 2,519,544 -- --
Solectron Corp. (NON) 3,600 166,050 7,700 355,163 -- --
Swatch Group AG (The) (Switzerland) 1,888 2,731,481 2,542 3,677,662 267 386,285
TDK Corp. (Japan) 8,000 1,014,533 -- -- -- --
TTM Technologies, Inc. (NON) 6,300 148,050 27,800 653,300 -- --
Taiwan Semiconductor Manufacturing
Co. (Taiwan) (NON) 1,463,200 4,860,198 748,360 2,485,769 -- --
Technitrol, Inc. 5,700 575,700 -- -- -- --
Texas Instruments, Inc. 67,300 3,175,719 118,100 5,572,844 11,100 523,781
TranSwitch Corp. (NON) 3,780 240,975 -- -- -- --
Trimble Navigation, Ltd. (NON) 15,700 351,288 48,900 1,094,138 -- --
United Microelectronics Corp.
(Taiwan) (NON) 639,920 1,369,359 -- -- -- --
United Microelectronics Corp. ADR
(Taiwan) 28,600 339,625 -- -- -- --
Varian, Inc. (NON) 3,200 137,800 -- -- -- --
Varian Medical Systems, Inc. (NON) 10,400 469,950 17,900 808,856 -- --
Varian Semiconductor Equipment (NON) 5,300 198,419 -- -- -- --
Venture Manufacturing, Ltd.
(Singapore) 127,187 1,228,154 23,000 222,094 3,000 28,969
Via Technologies, Inc. (Taiwan)
(NON) 11,000 116,289 -- -- -- --
Vishay Intertechnology, Inc. (NON) 900 27,675 2,000 61,500 -- --
Vitesse Semiconductor Corp. (NON) 1,200 106,725 2,500 222,344 -- --
W. W. Grainger 17,160 451,523 29,575 778,192 3,565 93,804
Winbond Electronics Corp. (Taiwan)
(NON) 484,000 731,179 -- -- -- --
Winbond Electronics Corp. GDR
(Taiwan) (NON) 22,163 335,215 -- -- -- --
Woodhead Industries, Inc. 17,900 372,544 27,900 580,669 -- --
X-Rite, Inc. 85,500 748,125 133,400 1,167,250 -- --
Xilinx, Inc. (NON) 30,300 2,594,438 50,900 4,358,313 5,600 479,500
Zoran Corp. (NON) 9,660 470,925 42,800 2,086,500 -- --
-------------- -------------- --------------
100,345,186 113,330,023 6,080,623
Energy 0.7% 0.8% 0.2%
---------------------------------------------------------------------------------------------------------------------------
BJ Services Co. (NON) 24,000 1,467,000 40,300 2,463,338 4,600 281,175
Baker Hughes, Inc. 3,100 115,088 6,600 245,025 -- --
Chiles Offshore, Inc. (NON) 20,600 445,475 32,300 698,488 -- --
Cooper Cameron Corp. (NON) 800 58,950 1,700 125,269 -- --
Diamond Offshore Drilling, Inc. 1,500 61,500 3,100 127,100 -- --
ENSCO International Inc. 1,100 42,075 2,300 87,975 -- --
Global Industries, Ltd. (NON) 6,300 78,750 9,800 122,500 -- --
Global Marine, Inc. (NON) 1,000 30,875 2,100 64,838 -- --
Grant Prideco, Inc. (NON) 800 17,550 1,700 37,294 -- --
GulfMark Offshore, Inc. (NON) 15,700 461,188 23,700 696,188 -- --
Halliburton Co. 3,500 171,281 7,500 367,031 -- --
Helmerich & Payne, Inc. 15,980 577,278 24,900 899,513 -- --
Hydril Co. (NON) 16,000 364,000 25,100 571,025 -- --
Nabors Industries, Inc. (NON) 29,200 1,530,080 48,700 2,551,880 5,700 298,680
National-Oilwell, Inc. (NON) 23,500 734,375 35,600 1,112,500 -- --
Newpark Resources, Inc. (NON) 53,900 498,575 78,900 729,825 -- --
Pride International, Inc. (NON) 23,800 630,700 35,200 932,800 -- --
ProSafe ASA (Norway) (NON) 26,799 426,637 -- -- -- --
R & B Falcon Corp. (NON) 1,200 33,450 2,500 69,688 -- --
Schlumberger, Ltd. 13,950 1,148,259 23,875 1,965,211 3,010 247,761
Smith International, Inc. (NON) 500 40,781 1,000 81,563 -- --
Spinnaker Exploration Company (NON) 14,200 495,225 22,200 774,225 -- --
TGS Nopec Geophysical Company ASA
(Norway) (NON) 32,460 443,448 -- -- -- --
Tidewater, Inc. 19,700 896,350 30,600 1,392,300 -- --
Transocean Sedco Forex, Inc. 47,100 2,761,238 79,300 4,648,963 9,800 574,525
Weatherford International, Inc.
(NON) 1,400 60,200 2,900 124,700 -- --
-------------- -------------- --------------
13,590,328 20,889,239 1,402,141
Energy (Oil Field) --% --% --%
---------------------------------------------------------------------------------------------------------------------------
Clayton Williams Energy, Inc. (NON) 7,600 307,800 -- -- -- --
Engineering and Construction 0.3% 0.2% --%
---------------------------------------------------------------------------------------------------------------------------
ABB, Ltd. (Switzerland) 1,690 165,349 3,190 312,108 344 33,657
Abengoa SA (Spain) 18,448 458,136 -- -- -- --
Ameron International Corp. 11,400 418,950 17,800 654,150 -- --
Bouygues SA (France) 21,282 1,072,051 26,172 1,318,378 2,793 140,694
Coflexip Stena Offshore ADR (France) 11,000 684,750 -- -- -- --
Dycom Industries, Inc. (NON) 10,400 432,900 45,900 1,910,588 -- --
Fluor Corp. 600 18,000 1,300 39,000 -- --
Grupo Dragados SA (Spain) 81,016 643,966 -- -- -- --
IJM Copr. Berhad (Malaysia) 374,000 311,011 -- -- -- --
Insituform Technologies, Inc. (NON) 8,100 272,363 35,600 1,197,050 -- --
MasTec, Inc. (NON) 4,750 148,438 -- -- -- --
Quanta Services, Inc. (NON) 6,050 166,375 -- -- -- --
Societe Generale d'Enterprises SA
(France) 28,241 1,438,796 -- -- -- --
Texas Industries, Inc. 12,800 408,000 20,200 643,875 -- --
VA Technolgies AG (Austria) 3,150 158,399 -- -- -- --
-------------- -------------- --------------
6,797,484 6,075,149 174,351
Entertainment 0.2% 0.2% 0.1%
---------------------------------------------------------------------------------------------------------------------------
AOI Advertising Promotions, Inc.
(Japan) 13,460 186,893 -- -- -- --
Bec World Public Co., Ltd.
(Thailand) 48,700 247,138 -- -- -- --
Manchester United PLC
(United Kingdom) 61,506 250,900 -- -- -- --
Six Flags, Inc. (NON) 600 9,300 1,200 18,600 -- --
Viacom, Inc. Class B (NON) 51,943 3,038,607 90,650 5,303,025 8,397 491,225
Yoshimoto Kogyo Co., Ltd. (Japan) 19,000 188,013 -- -- -- --
-------------- -------------- --------------
3,920,851 5,321,625 491,225
Financial 1.9% 1.5% 0.4%
---------------------------------------------------------------------------------------------------------------------------
Affiliated Managers Group, Inc.
(NON) 4,300 244,831 -- -- -- --
Allied Zurich AG (United Kingdom) 207,282 2,355,930 179,000 2,034,482 19,267 218,985
American Express Co. 10,900 662,175 23,100 1,403,325 -- --
Associates First Capital Corp. 6,300 239,400 13,300 505,400 -- --
Avocent Corp. (NON) 10,700 589,838 26,600 1,466,325 -- --
Axia Holding, Inc. 144A (PIK) (NON) 225 2,925 -- -- -- --
Bradespar S/A (Brazil) (NON) -- -- 1 -- -- --
Citigroup, Inc. 139,601 7,547,179 253,001 13,677,867 22,534 1,218,244
Cosco Pacific, Ltd. (Hong Kong) 486,000 367,771 -- -- -- --
Fannie Mae 73,500 5,255,250 129,830 9,282,845 13,700 979,550
Federal Home Loan Mortgage Corp. 49,100 2,654,469 85,900 4,643,969 9,100 491,969
Fortis B NV (Netherlands) 27,689 851,289 46,759 1,437,590 5,010 154,031
Fortis NL NV (Netherlands) 23,840 729,798 45,220 1,384,290 5,156 157,837
Groupe Bruxelles Lambert SA
(Belgium) 6,637 1,610,755 -- -- -- --
Haci Omer Sabanci Holdings ADR
(Turkey) (NON) 103,056 193,230 -- -- -- --
Heller Financial, Inc. 1,100 31,419 2,300 65,694 -- --
Hong Kong Exchanges and Clearing,
Ltd. (Hong Kong) 90,000 180,653 -- -- -- --
ICICI, Ltd. ADR (India) 17,600 193,600 -- -- -- --
Intuit, Inc. (NON) 1,000 57,000 2,100 119,700 -- --
Julius Baer Holdings AG
(Switzerland) 876 4,544,757 757 3,927,376 85 440,987
MGIC Investment Corp. 1,300 79,463 2,700 165,038 -- --
Mizuho Holdings, Inc. (Japan) 47 387,207 -- -- -- --
MLP AG (Germany) 25,196 3,767,631 -- -- -- --
NH Hoteles SA (Spain) 146,360 1,710,824 -- -- -- --
Nissin Co., Ltd. (Japan) (NON) 9,900 394,057 -- -- -- --
PSF Holdings LLC Class A (NON) 162 226,660 -- -- 41 57,400
Tecis Holdings (Germany) 21,162 1,530,868 -- -- -- --
Tucker Anthony Sutro Corp. 10,200 258,825 15,900 403,463 -- --
USA Education, Inc. 1,000 48,188 2,100 101,194 -- --
Yazicilar Otomotiv Gida Yatirim Ve
Pazarlama A.S. (Turkey) (NON) 3,643,300 164,310 -- -- -- --
-------------- -------------- --------------
36,880,302 40,618,558 3,719,003
Food 1.1% 0.9% 0.2%
---------------------------------------------------------------------------------------------------------------------------
American Italian Pasta Co. Class
A (NON) 14,700 282,056 27,600 529,575 -- --
Archer Daniels Midland Co. 3,360 28,980 7,035 60,677 -- --
Aurora Foods, Inc. (NON) 8,234 27,790 -- -- 354 1,195
Bestfoods Corp. 1,500 109,125 3,100 225,525 -- --
C TWO-NETWORK Co., Ltd. (Japan) 4,050 326,159 -- -- -- --
Campbell Soup Co. 800 20,700 1,700 43,988 -- --
ConAgra, Inc. 2,000 40,125 4,200 84,263 -- --
Danisco A/S (Denmark) 6,300 227,337 -- -- -- --
Dreyer's Grand Ice Cream, Inc. 6,000 129,375 -- -- -- --
Earthgrains Co. (The) 32,400 597,375 50,600 932,938 -- --
Elior 144A (France) (NON) 5,300 60,737 -- -- -- --
Elior (France) (NON) 63,959 732,956 -- -- -- --
General Mills, Inc. 3,000 106,500 6,500 230,750 -- --
Groupe Danone (France) 21,657 2,972,863 14,703 2,018,286 1,567 215,103
Grupo Sanborns SA de CV (Mexico)
(NON) 244,900 373,537 -- -- -- --
Hain Celestial Group, Inc. (NON) 6,600 231,825 29,000 1,018,625 -- --
Heinz (H.J.) Co. 44,600 1,652,988 77,200 2,861,225 9,200 340,975
IBP, Inc. 1,100 20,144 2,300 42,119 -- --
Iceland Group PLC (United Kingdom) 188,749 896,892 -- -- -- --
International Multifoods Corp. 62,700 1,089,413 93,500 1,624,563 -- --
Kellogg Co. 1,200 29,025 2,500 60,469 -- --
McCormick & Company, Inc. 800 23,800 1,700 50,575 -- --
Michael Foods, Inc. 15,400 359,975 24,200 565,675 -- --
Nabisco Group Holdings Corp. 4,200 119,700 8,800 250,800 -- --
Nabisco Holdings Corp. Class A 1,100 59,125 2,300 123,625 -- --
Nestle SA (Switzerland) 3,255 6,781,250 2,467 5,139,583 262 545,833
Nissin Food Products (Japan) (NON) 19,800 489,364 -- -- -- --
Quaker Oats Co. (The) 1,400 110,775 2,900 229,463 -- --
Ralston-Ralston Purina Group 75,100 1,778,931 128,700 3,048,581 15,900 376,631
Sara Lee Corp. 79,100 1,606,719 136,600 2,774,688 16,300 331,094
Smithfield Foods, Inc. (NON) 18,800 493,500 31,800 834,750 -- --
Universal Foods Corp. 27,800 566,425 43,300 882,238 -- --
-------------- -------------- --------------
22,345,466 23,632,981 1,810,831
Gaming and Lottery --% --% --%
---------------------------------------------------------------------------------------------------------------------------
Dover Downs Entertainment, Inc. 33,100 444,781 57,500 772,656 -- --
Fitzgeralds Gaming Corp. (NON) 1,338 13 -- -- 630 6
Harrah's Entertainment, Inc. (NON) 1,100 30,250 2,300 63,250 -- --
International Game Technology (NON) 800 26,900 1,700 57,163 -- --
Station Casinos, Inc. (NON) 18,450 262,913 -- -- -- --
-------------- -------------- --------------
764,857 893,069 6
Health Care Services 1.7% 1.9% 0.2%
---------------------------------------------------------------------------------------------------------------------------
Accredo Health, Inc. (NON) 8,300 405,663 36,600 1,788,825 -- --
Aetna, Inc. 500 29,031 1,000 58,063 -- --
AmSurg Corp. (NON) 3,800 53,200 16,800 235,200 -- --
AmeriSource Health Corp. Class A
(NON) 51,700 2,429,900 64,100 3,012,700 -- --
Baxter International, Inc. 29,600 2,362,450 51,700 4,126,306 5,800 462,913
Bindley Western Industries, Inc. 36,100 1,155,200 56,300 1,801,600 -- --
CIGNA Corp. 21,500 2,244,600 37,360 3,900,384 4,300 448,920
Cardinal Health, Inc. 2,500 220,469 5,300 467,394 -- --
Caremark Rx, Inc. (NON) 28,100 316,125 -- -- -- --
Cerner Corp. (NON) 7,200 334,350 -- -- -- --
Conventry Health Care, Inc. (NON) 55,400 837,925 85,700 1,296,213 -- --
ESC Medical Systems, Ltd. (Israel)
(NON) 29,800 558,750 -- -- -- --
HCA - The Healthcare Corp. 36,200 1,343,925 63,400 2,353,725 7,000 259,875
Health Management Assoc., Inc.
(NON) 1,900 39,544 4,000 83,250 -- --
Hooper Holmes, Inc. 38,500 366,135 88,400 840,684 -- --
IMS Health, Inc. 2,700 56,025 5,800 120,350 -- --
Invacare Corp. 27,900 896,288 43,600 1,400,650 -- --
Invitrogen Corp. (NON) 3,000 213,375 13,200 938,850 -- --
Laboratory Corp. of America Holdings
(NON) 3,700 443,075 -- -- -- --
LifePoint Hospitals, Inc. (NON) 19,550 694,025 26,500 940,750 -- --
Lincare Holdings, Inc. (NON) 15,700 450,394 24,700 708,581 -- --
Mallinckrodt, Inc. 1,300 59,313 2,700 123,188 -- --
Matria Healthcare, Inc. (NON) 54,500 190,750 85,800 300,300 -- --
Mckesson HBOC, Inc. 1,600 48,900 3,300 100,856 -- --
Mid Atlantic Medical Services, Inc.
(NON) 30,500 461,313 -- -- -- --
Neose Technologies, Inc. (NON) 4,000 193,500 -- -- -- --
Omnicare, Inc. 126,300 2,036,588 197,300 3,181,463 -- --
On Assignment, Inc. (NON) 16,890 529,924 44,500 1,396,188 -- --
Orthodontic Centers of America,
Inc. (NON) 25,200 839,475 39,600 1,319,175 -- --
Oxford Health Plans, Inc. (NON) 13,100 402,620 2,300 70,689 -- --
PSS World Medical, Inc. (NON) 51,800 187,775 73,800 267,525 -- --
Per-Se Technologies, Inc. (NON) 44,400 563,325 78,200 992,163 -- --
Pharmaceutical Product Development,
Inc. (NON) 1,500 39,844 6,900 183,281 -- --
PolyMedica Corp. (NON) 3,600 154,350 -- -- -- --
Province Healthcare Co. (NON) 19,680 785,970 87,450 3,492,534 -- --
Quest Diagnostics, Inc. (NON) 13,500 1,549,125 14,500 1,663,875 1,700 195,075
Quintiles Transnational Corp. (NON) 1,100 17,531 2,300 36,656 -- --
Quorum Health Group, Inc. (NON) 45,800 595,400 72,200 938,600 -- --
RehabCare Group, Inc. (NON) 21,900 930,750 63,400 2,694,500 -- --
Rightchoice Managed Care, Inc.
Class C (NON) 17,000 412,250 -- -- -- --
ServiceMaster Co. (The) 4,100 40,488 8,600 84,925 -- --
Sun Life Financial Services of
Canada, Inc. (Canada) (NON) 65,300 1,348,025 125,091 2,582,325 -- --
Syncor International Corp. (NON) 7,200 265,050 -- -- -- --
Tecan (Switzerland) 1,002 1,066,944 -- -- -- --
Tenet Healthcare Corp. 2,700 98,213 5,700 207,338 -- --
Total Renal Care Holdings, Inc.
(NON) 35,100 263,250 -- -- -- --
Trigon Healthcare, Inc. (NON) 15,200 798,950 23,600 1,240,475 -- --
US Oncology, Inc. (NON) 57,800 261,906 90,600 410,531 -- --
United Health Group, Inc. Class A
(NON) 23,601 2,330,599 39,600 3,910,500 4,500 444,375
United Wisconsin Services, Inc. 49,400 247,000 76,800 384,000 -- --
Universal Health Services, Inc.
(NON) 9,200 787,750 14,300 1,224,438 -- --
Vital Signs, Inc. 17,700 469,050 27,400 726,100 -- --
Wellpoint Health Networks, Inc.
(NON) 200 19,200 400 38,400 -- --
-------------- -------------- --------------
33,445,577 51,643,550 1,811,158
Homebuilding --% --% --%
---------------------------------------------------------------------------------------------------------------------------
Lennar Corp. 21,500 638,281 33,600 997,500 -- --
Standard Pacific Corp. 5,100 91,800 8,000 144,000 -- --
-------------- -------------- --------------
730,081 1,141,500 --
Household Furniture and Appliances 0.1% --% --%
---------------------------------------------------------------------------------------------------------------------------
Applica, Inc, (NON) 24,300 150,356 38,400 237,600 -- --
Black & Decker Manufacturing Co. 600 20,513 1,200 41,025 -- --
Electrolux AB (Sweden) 6,300 79,175 -- -- -- --
Forbo Holding AG (Switzerland) 1,007 431,238 -- -- -- --
Furniture Brands International, Inc.
(NON) 7,000 116,375 11,000 182,875 -- --
Haverty Furniture Companies, Inc. 22,400 245,000 -- -- -- --
Leggett & Platt, Inc. 1,600 25,300 3,300 52,181 -- --
Maytag Corp. 600 18,638 1,300 40,381 -- --
Newell Rubbermaid, Inc. 1,700 38,781 3,700 84,406 -- --
Salton, Inc. (NON) 3,700 119,556 -- -- -- --
Whirlpool Corp. 500 19,438 1,000 38,875 -- --
-------------- -------------- --------------
1,264,370 677,343 --
Insurance 2.7% 2.0% 0.6%
---------------------------------------------------------------------------------------------------------------------------
AFLAC, Inc. 2,100 134,531 4,400 281,875 -- --
AMBAC Indemnity Corp. 400 29,300 800 58,600 -- --
AMP, Ltd. (Australia) 191,447 1,699,536 -- -- -- --
AON Corp. 1,300 51,025 2,700 105,975 -- --
AXA Financial, Inc. 1,800 91,688 3,900 198,656 -- --
Aegon NV (Netherlands) 80,460 3,034,472 5,800 218,741 620 23,383
Alleanza Assicurazioni SA (Italy) 22,400 296,419 -- -- -- --
Allianz AG (Germany) 9,369 3,070,571 6,951 2,278,102 744 243,837
Allstate Corp. 35,200 1,223,200 72,257 2,510,931 13,525 469,994
AmerUs Group Co. 21,400 551,050 33,300 857,475 -- --
American General Corp. 33,840 2,639,520 58,400 4,555,200 6,600 514,800
American International Group, Inc. 37,700 3,607,419 69,400 6,640,713 4,550 435,378
Assurances Generales de France (AGF)
(France) 15,700 844,883 -- -- -- --
Axa SA (France) 33,256 4,342,090 33,189 4,333,342 3,547 463,116
Berkley (W.R.) Corp. 47,000 1,624,438 73,500 2,540,344 -- --
CNP Assurances (France) 9,020 267,291 -- -- -- --
Cathay Life Insurance Co., Ltd.
(Taiwan) 283,120 632,973 -- -- -- --
Commerce Group, Inc. 27,700 801,569 43,500 1,258,781 -- --
Conseco, Inc. 1,900 14,488 4,000 30,500 -- --
Enhance Financial Services Group,
Inc. 47,100 612,300 73,400 954,200 -- --
Erie Indemnity Co. Class A 600 17,625 1,300 38,188 -- --
FBL Financial Group, Inc. Class A 26,000 422,500 43,900 713,375 -- --
Fidelity National Financial, Inc. 26,200 648,450 40,900 1,012,275 -- --
Fremont General Corp. 76,900 264,344 120,000 412,500 -- --
Gallagher, Arthur J. & Co. 3,600 212,850 -- -- -- --
Hartford Financial Services Group 45,780 3,339,079 79,025 5,763,886 9,495 692,542
Horace Mann Educators Corp. 26,300 430,663 41,100 673,013 -- --
Internationale Nederlanden Groep
(ING) NV (Netherlands) 167,567 11,158,028 177,319 11,807,398 18,934 1,260,786
Jefferson-Pilot Corp. 1,300 88,238 2,700 183,263 -- --
Lincoln National Corp. 32,300 1,554,438 55,800 2,685,375 6,400 308,000
Loews Corp. 300 25,013 600 50,025 -- --
MBIA, Inc. 600 42,675 1,200 85,350 -- --
Nationwide Financial Services, Inc.
Class A 600 22,425 1,200 44,850 -- --
Old Mutual PLC (United Kingdom) 357,800 864,634 -- -- -- --
Pohjola Group Insurance Corp.
(Finland) 16,869 651,080 -- -- -- --
Presidential Life Corp. 38,700 578,081 60,500 903,719 -- --
Prudential Corp. PLC
(United Kingdom) -- -- -- -- 20,458 279,087
Royal & Sun Alliance Insurance Group
PLC (United Kingdom) 14,300 95,532 -- -- -- --
Sampo Insurance Co., Ltd. Class
A (Finland) 34,465 1,684,438 -- -- -- --
Samsung Fire & Marine Insurance
(South Korea) 11,000 286,099 -- -- -- --
Skandia Forsakrings AB (Sweden) 121,971 2,419,657 -- -- -- --
Stancorp Financial Group 15,400 658,350 24,100 1,030,275 -- --
State Auto Financial Corp. 1,400 18,375 2,200 28,875 -- --
Swiss Reinsurance Co. (Switzerland) 539 1,029,340 1,019 1,946,007 108 206,250
The Chubb Corp. 500 39,563 1,000 79,125 -- --
The PMI Group, Inc. 800 54,200 1,700 115,175 -- --
Torchmark Corp. 1,700 47,281 3,500 97,344 -- --
Zurich Allied AG (Switzerland) 1,484 686,178 -- -- -- --
-------------- -------------- --------------
52,907,899 54,493,453 4,897,173
Investment Banking and Brokerage 1.2% 0.9% 0.3%
---------------------------------------------------------------------------------------------------------------------------
3i Group PLC (United Kingdom) 7,700 191,536 -- -- -- --
Bear Stearns Companies, Inc. (The) 30,100 1,895,700 51,700 3,257,100 6,200 390,600
Blackrock, Inc. (NON) 7,300 233,600 -- -- -- --
Consors Discount Broker AG (Germany)
(NON) 21,428 2,249,550 -- -- -- --
Direkt Anlage Bank AG (Germany)
(NON) 17,819 880,316 -- -- -- --
E*Trade Group, Inc. (NON) 1,100 18,081 2,300 37,806 -- --
Franklin Resources, Inc. 1,500 66,645 3,100 137,733 -- --
Goldman Sachs Group, Inc. (The) 34,100 3,885,269 58,200 6,631,163 6,800 774,775
Investment Technology Group, Inc.
(NON) 5,800 231,638 -- -- -- --
Knight Trading Group, Inc. (NON) 600 21,600 1,200 43,200 -- --
Legg Mason, Inc. 400 23,250 800 46,500 -- --
Lehman Brothers Holdings, Inc. 700 103,425 1,500 221,625 -- --
Merrill Lynch & Co., Inc. 6,200 409,200 13,000 858,000 -- --
Van der Moolen Holding NV
(Netherlands) 5,146 376,577 -- -- -- --
Morgan Stanley, Dean Witter, Discover
and Co. 31,600 2,889,219 56,700 5,184,506 4,600 420,613
Nikko Securities Co., Ltd. (Japan) 766,000 6,806,998 798,000 7,091,364 85,000 755,346
Nomura Securities Co., Ltd. (Japan) 58,000 1,261,687 -- -- -- --
Paine Webber Group, Inc. 1,600 109,000 3,300 224,813 -- --
Schwab (Charles) Corp. 8,050 285,775 17,100 607,050 -- --
Stilwell Financial, Inc. (NON) 1,600 69,600 3,400 147,900 -- --
T. Rowe Price Associates, Inc. 800 37,550 1,700 79,794 -- --
TD Waterhouse Group, Inc. (NON) 52,125 970,828 -- -- -- --
Waddell & Reed Financial, Inc. 5,200 161,200 -- -- -- --
-------------- -------------- --------------
23,178,244 24,568,554 2,341,334
Leisure Time 0.1% --% --%
---------------------------------------------------------------------------------------------------------------------------
Brunswick Corp. 700 12,775 1,500 27,375 -- --
Callaway Golf Co. 17,300 265,988 9,100 139,913 -- --
Harley-Davidson, Inc. 2,300 110,113 4,800 229,800 -- --
Swatch Group AG (The) (Switzerland) 3,069 905,781 2,833 836,128 312 92,083
-------------- -------------- --------------
1,294,657 1,233,216 92,083
Lodging and Tourism 0.3% 0.2% 0.1%
---------------------------------------------------------------------------------------------------------------------------
Four Seasons Hotels, Inc. (Canada) 19,617 1,458,135 -- -- -- --
Hilton Hotels Corp. 2,100 24,281 4,400 50,875 -- --
Marriott International, Inc.
Class A 29,800 1,085,838 51,300 1,869,244 6,200 225,913
Orbis SA (Poland) 24,800 140,181 -- -- -- --
Orient Express Hotels, Ltd. (NON) 39,800 766,150 -- -- -- --
Resorts World Berhad (Malaysia) 116,000 187,737 -- -- -- --
Starwood Hotels & Resorts Worldwide,
Inc. 42,552 1,329,750 73,500 2,296,875 8,800 275,000
Tanjong Public, Ltd. (Malaysia) 142,000 293,342 -- -- -- --
-------------- -------------- --------------
5,285,414 4,216,994 500,913
Machinery 0.5% 0.3% 0.1%
---------------------------------------------------------------------------------------------------------------------------
Caterpillar, Inc. 44,100 1,488,375 75,800 2,558,250 9,200 310,500
DT Industries, Inc. 57,500 287,500 90,000 450,000 -- --
Deere (John) & Co. 600 19,950 1,200 39,900 -- --
Disco Corp. (Japan) 5,050 673,614 -- -- -- --
Dover Corp. 1,500 70,406 3,100 145,506 -- --
FSI International, Inc. (NON) 16,100 229,425 -- -- -- --
Fujitec Co., Ltd. (Japan) 45,000 360,317 -- -- -- --
Gardner Denver, Inc. (NON) 28,000 455,000 44,000 715,000 -- --
Ingersoll-Rand Co. 1,100 37,263 2,300 77,913 -- --
KCI Konecranes International PLC
(Finland) 29,052 777,861 -- -- -- --
Kurita Water Industries, Ltd.
(Japan) 16,000 295,473 -- -- -- --
Larsen & Toubro, Ltd. GDR (India) 32,200 115,914 -- -- -- --
MSC Industrial Direct Co., Inc.
Class A (NON) 32,600 497,150 50,300 767,075 -- --
Milacron, Inc. 44,700 595,069 69,600 926,550 -- --
NEG Micon A/S (Denmark) 5,700 303,471 -- -- -- --
Parker-Hannifin Corp. 600 20,250 1,200 40,500 -- --
Presstek, Inc. (NON) 17,000 326,188 -- -- -- --
Regal-Beloit Corp. 21,000 356,160 32,700 554,592 -- --
SMC Corp. (Japan) 10,000 1,680,089 -- -- -- --
Sandvik AB (Sweden) 46,059 925,677 82,158 1,651,181 10,700 215,045
Tomra Systems ASA 144A (Norway) 1,100 36,175 -- -- -- --
Tomra Systems ASA (Norway) 12,368 406,739 -- -- -- --
Wabtex Corp. 16,600 168,075 26,400 267,300 -- --
-------------- -------------- --------------
10,126,141 8,193,767 525,545
Manufacturing 0.5% 0.3% --%
---------------------------------------------------------------------------------------------------------------------------
AMETEK, Inc. 13,900 294,506 21,900 464,006 -- --
Bombardier, Inc. (Canada) 58,810 1,016,595 -- -- -- --
CoorsTek, Inc. (NON) 5,200 198,900 23,000 879,750 -- --
Danaher Corp. 600 29,850 1,300 64,675 -- --
GSI Lumonics, Inc. (Canada) (NON) 47,165 778,223 38,400 633,600 -- --
Geberit International AG
(Switzerland) 3,104 901,741 -- -- -- --
Hankuk Electric Glass (South Korea) 3,940 222,619 -- -- -- --
Illinois Tool Works, Inc. 28,320 1,582,380 49,180 2,747,933 5,645 315,414
Kaman Corp. 17,900 225,988 28,100 354,763 -- --
Klockner Windsor India, Ltd. (India)
(NON) 13,900 72,975 21,800 114,450 -- --
Pentair, Inc. 13,900 371,825 21,700 580,475 -- --
Riber SA (France) (NON) 703 16,528 -- -- -- --
Roper Industries, Inc. 13,000 431,438 20,400 677,025 -- --
SKF AB (Sweden) 75,832 984,524 -- -- -- --
SKF Corp. AB (Sweden) 29,021 361,708 32,857 409,518 3,682 45,891
Stinnes AG (Germany) 32,476 729,151 -- -- -- --
Teleflex, Inc. 11,800 405,625 18,300 629,063 -- --
Tennant Co. 10,600 469,050 16,400 725,700 -- --
Thermo Electron Corp. (NON) 1,000 26,000 2,100 54,600 -- --
UCAR International, Inc. (NON) 21,800 276,588 33,900 430,106 -- --
Vestel Elektronik Sanayi ve Ticaret
A.S. (Turkey) (NON) 2,266,300 417,351 -- -- -- --
-------------- -------------- --------------
9,813,565 8,765,664 361,305
Media 0.7% 0.7% 0.2%
---------------------------------------------------------------------------------------------------------------------------
Agora SA GDR (Poland) (NON) 28,000 541,100 -- -- -- --
Carlton Communications PLC
(United Kingdom) 187,056 1,459,755 310,860 2,425,902 33,225 259,283
Disney (Walt) Productions, Inc. 62,800 2,402,100 113,400 4,337,550 10,400 397,800
EMI Group PLC (United Kingdom) 151,869 1,212,097 199,115 1,589,177 20,943 167,150
Fox Entertainment Group, Inc. (NON) 1,200 31,800 2,500 66,250 -- --
Impresa SGPS 144A (Portugal) (NON) 13,911 132,173 -- -- -- --
Impresa SGPS (Portugal) (NON) 36,316 345,049 -- -- -- --
Johnnies Industrial Corp.
(South Africa) 76,000 986,863 -- -- -- --
Martha Stewart Living Omnimedia
Class A (NON) 9,500 249,375 -- -- -- --
NRJ Group (France) (NON) 15,208 598,376 -- -- -- --
Seagram Co., Ltd. 47,319 2,717,885 89,839 5,160,128 -- --
Time Warner, Inc. 36,100 2,824,825 63,100 4,937,575 5,500 430,375
-------------- -------------- --------------
13,501,398 18,516,582 1,254,608
Medical Technology 0.7% 0.8% 0.1%
---------------------------------------------------------------------------------------------------------------------------
Adac Laboratories (NON) 21,400 445,388 -- -- -- --
Allergan, Inc. 1,300 109,769 2,700 227,981 -- --
Arrow International, Inc. 11,550 420,131 18,000 654,750 -- --
ArthroCare Corp. (NON) 10,900 211,869 48,400 940,775 -- --
Bard (C.R.), Inc. 600 25,350 1,300 54,925 -- --
Bausch & Lomb, Inc. 600 23,363 1,200 46,725 -- --
Beckman Coulter, Inc. 8,700 670,988 13,600 1,048,900 -- --
Becton, Dickson and Co. 2,300 60,806 4,800 126,900 -- --
Biomet, Inc. 1,600 56,000 3,450 120,750 -- --
Biosite Diagnostics, Inc. (NON) 4,400 175,450 -- -- -- --
Boston Scientific Corp. (NON) 2,100 34,519 4,400 72,325 -- --
Coherent, Inc. (NON) 2,800 190,400 -- -- -- --
Cyberonics, Inc. (NON) 3,800 81,463 16,700 358,006 -- --
Cytyc Corp. (NON) 3,200 138,000 -- -- -- --
DENTSPLY International, Inc. 600 20,963 1,200 41,925 -- --
Diagnostic Products Corp. 8,400 450,450 13,100 702,488 -- --
Edwards Lifesciences Corp. (NON) 16,300 355,544 -- -- -- --
Guidant Corp. (NON) 1,800 127,238 3,900 275,681 -- --
Haemonetics Corp. (NON) 20,600 525,300 36,400 928,200 -- --
Igen, Inc. (NON) 1,800 36,225 8,100 163,013 -- --
Medtronic, Inc. 8,100 419,681 17,200 891,175 -- --
Mentor Corp. 55,100 867,825 86,100 1,356,075 -- --
Meridian Diagnostics, Inc. 30,900 243,338 48,200 379,575 -- --
Millipore Corp. 500 24,219 1,000 48,438 -- --
Molecular Devices Corp. (NON) 2,700 265,275 12,100 1,188,825 -- --
Owens & Minor, Inc. 99,700 1,570,275 151,500 2,386,125 -- --
Oxford Glycosciences PLC
(United Kingdom) (NON) 18,613 628,329 -- -- -- --
PE Corp. -- PE Biosystems Group 35,200 4,100,800 59,200 6,896,800 6,600 768,900
Pall Corp. 1,100 21,931 2,300 45,856 -- --
ResMed, Inc. (NON) 7,310 228,438 32,800 1,025,000 -- --
Respironics, Inc. (NON) 3,200 53,400 5,000 83,438 -- --
St. Jude Medical, Inc. (NON) 1,200 61,200 2,600 132,600 -- --
Stryker Corp. 1,100 47,231 2,300 98,756 -- --
Sybron International Corp. (NON) 1,200 28,800 2,500 60,000 -- --
Techne Corp. (NON) 2,300 257,600 -- -- -- --
Waters Corp. (NON) 1,200 106,800 2,400 213,600 -- --
-------------- -------------- --------------
13,084,358 20,569,607 768,900
Metals 0.6% 0.2% --%
---------------------------------------------------------------------------------------------------------------------------
Alcoa, Inc. 6,536 165,443 13,960 353,363 -- --
Allegheny Technologies, Inc. 1,100 19,938 2,300 41,688 -- --
Anglo American Platinum Corp.
(South Africia) 8,500 327,467 -- -- -- --
Anglogold, Ltd. (South Africa) 6,100 226,552 -- -- -- --
Arkivator AB (Sweden) 46,774 1,141,659 -- -- -- --
Broken Hill Proprietary Co., Ltd.
(Australia) 19,200 199,025 -- -- -- --
Carpenter Technology Corp. 15,600 454,350 24,100 701,913 -- --
Coflexip SA (France) 4,800 603,425 -- -- -- --
Companhia Vale do Rio Doce ADR
(Brazil) 40,400 994,850 -- -- -- --
Compania de Minas Buenaventura SA
ADR (Peru) 9,700 137,013 -- -- -- --
De Beers-Centenary (South Africa) 29,000 806,181 -- -- -- --
Draka Holding NV (Netherlands) 8,637 575,277 -- -- -- --
Gerdau S/A. (Brazil) 34,900 447,606 -- -- -- --
Grupo Mexico SA (Mexico) 119,400 455,291 -- -- -- --
Impala Platinum Holdings, Ltd.
(South Africa) 25,000 1,084,396 -- -- -- --
Lone Star Technologies, Inc. (NON) 5,100 235,365 -- -- -- --
Material Sciences Corp. (NON) 27,000 307,125 42,200 480,025 -- --
Newmont Mining Corp. 1,000 17,000 2,100 35,700 -- --
Nucor Corp. 700 21,088 1,500 45,188 -- --
Pohang Iron & Steel Company, Ltd.
(South Korea) 8,610 650,538 1,365 103,134 -- --
Pohang Iron & Steel Company, Ltd.
ADR (South Korea) 38,700 720,788 40,368 751,854 -- --
Quanex Corp. 22,800 434,625 35,300 672,906 -- --
Reliance Steel & Aluminum Co. 17,300 364,381 27,700 583,431 -- --
Rio Tinto PLC (United Kingdom) 24,400 353,780 45,700 662,613 5,290 76,701
Rio Tinto, Ltd. (Australia) 15,800 211,675 -- -- -- --
Usiminas (Brazil) 54,900 312,608 -- -- -- --
Yanzhou Coal Mining Co., Ltd.
(Turkey) 694,000 189,151 -- -- -- --
-------------- -------------- --------------
11,456,597 4,431,815 76,701
Natural Gas Utilities 0.4% 0.5% 0.2%
---------------------------------------------------------------------------------------------------------------------------
AGL Resources, Inc. 17,700 355,106 27,400 549,713 -- --
Coastal Corp. 1,900 140,838 4,000 296,500 -- --
Columbia Gas System, Inc. 500 35,500 1,000 71,000 -- --
Dynegy, Inc. 1,000 57,000 2,000 114,000 -- --
El Paso Energy Corp. 2,500 154,063 5,200 320,450 -- --
Enron Corp. 50,500 4,425,063 86,300 7,562,038 9,000 788,625
Hong Kong and China Gas Co., Ltd.
(Hong Kong) 375,800 469,949 366,000 457,694 44,000 55,023
KeySpan Corp. 1,000 40,125 2,100 84,263 -- --
Sempra Energy 69,474 1,445,928 118,994 2,476,563 14,764 307,276
Williams Cos., Inc. 37,100 1,567,475 64,800 2,737,800 7,200 304,200
-------------- -------------- --------------
8,691,047 14,670,021 1,455,124
Office Equipment and Supplies 0.2% 0.1% --%
---------------------------------------------------------------------------------------------------------------------------
Cannon, Inc. (Japan) 41,000 1,817,921 -- -- -- --
Falcon Products, Inc. 24,800 232,500 37,500 351,563 -- --
HON INDUSTRIES, Inc. 16,500 406,313 25,600 630,400 -- --
Pitney Bowes, Inc. 1,500 59,156 3,100 122,256 -- --
Reynolds and Reynolds Co. (The)
Class A 800 15,900 1,700 33,788 -- --
Standard Register Co. (The) 30,100 481,600 47,000 752,000 -- --
Steelcase, Inc. 2,400 40,200 5,000 83,750 -- --
United Stationers, Inc. (NON) 14,600 392,375 22,700 610,063 -- --
Wallace Computer Services, Inc. 50,400 768,600 79,300 1,209,325 -- --
-------------- -------------- --------------
4,214,565 3,793,145 --
Oil and Gas 3.8% 3.2% 1.0%
---------------------------------------------------------------------------------------------------------------------------
Alberta Energy Company, Ltd.
(Canada) 25,700 1,067,060 -- -- -- --
Anadarko Petroleum Corp. 2,984 198,317 6,285 417,701 -- --
Apache Corp. 13,814 816,753 23,500 1,389,438 2,500 147,813
Basin Exploratin, Inc. (NON) 37,800 737,100 58,700 1,144,650 -- --
British Petroleum Co. PLC
(United Kingdom) 930,557 8,279,687 798,932 7,108,545 93,896 835,445
Brown (Tom), Inc. (NON) 15,200 372,400 -- -- -- --
Burlington Resources, Inc. 2,200 80,988 4,600 169,338 -- --
Chevron, Inc. 25,100 2,139,775 44,865 3,824,741 4,200 358,050
Conoco, Inc. 23,100 603,488 39,520 1,032,460 4,945 129,188
Conoco, Inc. Class B 35,300 950,894 63,446 1,709,077 5,900 158,931
Cross Timbers Oil Co. 14,250 273,422 -- -- -- --
Devon Energy Corp. 14,100 848,115 12,600 757,890 -- --
EEX Corp. (NON) 42,100 205,238 -- -- -- --
Ente Nazionale Idrocarburi (ENI)
SpA (Italy) 834,040 4,414,741 807,404 4,273,751 119,902 634,665
ExxonMobil Corp. 116,100 10,347,413 209,501 18,671,777 19,365 1,725,906
KEY Production Company, Inc. (NON) 19,300 425,806 -- -- -- --
Louis Dreyfus Natural Gas (NON) 6,400 253,600 -- -- -- --
Meridian Resource Corp. (NON) 37,600 258,500 -- -- -- --
Mitchell Energy & Development Corp.
Class A 12,600 587,475 19,600 913,850 -- --
Murphy Oil Corp. 6,000 388,875 -- -- -- --
Newfield Exploration Co. (NON) 11,900 555,581 18,200 849,713 -- --
Nobile Affilitates, Inc. 6,700 248,738 -- -- -- --
Noble Drilling Corp. (NON) 700 35,175 1,500 75,375 -- --
Occidental Petroleum Corp. 3,500 76,344 7,500 163,594 -- --
PTT Exploration & Production Public
Co. Ltd. (Thailand) 85,000 215,675 -- -- -- --
PetroChina Co., Ltd. (Hong Kong) 1,600,000 326,292 -- -- -- --
Petroleo Brasileiro S.A.-Petrobras 9,000 269,414 -- -- -- --
Petroleo Brasileiro S.A.-Petrobras
ADR (NON) 95,700 2,876,981 55,400 1,665,463 -- --
Petroleo Brasileiro S.A.-Petrobras
ADR (Euro) 30,150 851,738 -- -- -- --
Polski Koncern Naftowy Orlen SA GDR
(Poland) (NON) 16,000 123,600 -- -- -- --
Range Resources Corp. 70,400 338,800 109,400 526,488 -- --
Repsol SA (Spain) 11,000 202,333 -- -- -- --
Royal Dutch Petroleum Co. PLC NV
(Netherlands) 39,450 2,383,643 -- -- -- --
Royal Dutch Petroleum Co. PLC ADR
NV (Netherlands) 52,100 3,122,744 88,900 5,328,444 11,240 673,698
Sasol, Ltd. (South Africa) 122,600 968,431 -- -- -- --
Shell Transportation & Trading
(United Kingdom) 888,466 7,235,472 1,473,605 12,000,715 157,087 1,279,282
Siam Commercial Bank Public Co. Ltd.
GDR 65,000 502,125 -- -- -- --
St. Mary Land & Exploration Co. 23,000 530,438 36,000 830,250 -- --
Stone Energy Corp. (NON) 3,200 176,000 -- -- -- --
Suncor Energy, Inc. (Canada) 19,100 421,594 36,158 798,116 -- --
Surgutneftegaz ADR (Russia) 80,200 1,122,800 -- -- -- --
Swift Energy Co. (NON) 6,300 261,844 -- -- -- --
Tatneft ADR (Russia) 53,600 532,650 -- -- -- --
Texaco, Inc. 3,200 168,000 6,700 351,750 -- --
Tosco Corp. 24,020 749,124 41,590 1,297,088 4,925 153,598
Total Fina Elf SA ADR (France) 22,000 1,615,625 30,400 2,232,500 3,800 279,063
Total Fina Elf SA Class B (France) 103,312 15,111,318 116,732 17,074,245 12,394 1,812,855
USX-Marathon Group, Inc. 1,100 31,213 2,300 65,263 -- --
Ultramar Diamond Shamrock Corp. 1,200 30,450 2,500 63,438 -- --
Unocal Corp. 2,100 74,419 4,400 155,925 -- --
Vintage Petroleum 28,200 641,550 28,800 655,200 -- --
-------------- -------------- --------------
75,049,758 85,546,785 8,188,494
Paper and Forest Products 0.6% 0.4% 0.1%
---------------------------------------------------------------------------------------------------------------------------
Abitibi-Consolidated, Inc. (Canada) 95,712 894,059 -- -- -- --
Albany International Corp. (NON) 22,600 271,200 35,500 426,000 -- --
Aracruz Celulose S/A ADR (Brazil) 139,800 233,505 -- -- -- --
BWAY Corp. (NON) 26,500 130,844 41,800 206,388 -- --
Bemis Company, Inc. 500 16,063 1,000 32,125 -- --
Boise Cascade Corp. 45,600 1,211,250 77,500 2,058,594 9,700 257,656
Bowater, Inc. 13,300 617,619 22,600 1,049,488 2,800 130,025
Caraustar Industries, Inc. 23,300 257,756 35,900 397,144 -- --
Fort James Corp. 600 18,338 1,300 39,731 -- --
Georgia Pacific Corp. 1,300 30,550 2,700 63,450 -- --
International Paper Co. 2,865 82,190 6,060 173,846 -- --
Jefferson Smurfit Group PLC
(Ireland) 706,281 1,221,343 -- -- -- --
Mead Corp. 1,200 28,050 2,500 58,438 -- --
Norske Skogindustrier ASA (Norway) 800 20,184 -- -- -- --
Owens-Illinois, Inc. (NON) 45,600 421,800 78,800 728,900 9,400 86,950
P.H. Glatfelter Co. 25,200 305,550 39,000 472,875 -- --
Packaging Corporation of America
(NON) 21,700 240,056 34,000 376,125 -- --
Sappi, Ltd. (South Africa) 221,888 1,645,095 -- -- -- --
Sealed Air Corp. (NON) 1,000 45,250 2,100 95,025 -- --
Smurfit-Stone Container Corp. (NON) 2,800 33,600 5,900 70,800 -- --
Stora Enso OYJ (Finland) 74,822 626,416 142,253 1,190,953 15,180 127,088
Svenska Cellulosa AB (SCA) (Sweden) 35,231 622,068 -- -- -- --
Temple Inland, Inc. 400 15,150 800 30,300 -- --
Votorantim Celulose e Papel S/A ADR
(Brazil) 15,300 301,219 -- -- -- --
Weyerhaeuser Co. 40,000 1,615,000 69,000 2,785,875 8,200 331,075
Willamette Industries, Inc. 800 22,400 1,700 47,600 -- --
-------------- -------------- --------------
10,926,555 10,303,657 932,794
Pharmaceuticals 4.9% 4.3% 1.3%
---------------------------------------------------------------------------------------------------------------------------
Abbott Laboratories 66,500 3,162,906 118,500 5,636,156 11,900 565,994
Alpharma, Inc. Class A 4,300 262,838 -- -- -- --
Alza Corp. (NON) 700 60,550 1,500 129,750 -- --
American Home Products Corp. 68,900 3,897,156 118,700 6,713,969 11,900 673,094
Andrx Group (NON) 12,900 1,204,538 25,100 2,343,713 2,600 242,775
Anesta Corp. (NON) 13,200 303,600 58,500 1,345,500 -- --
Angiotech Pharmaceuticals, Inc.
(Canada) (NON) 3,300 130,350 15,300 604,350 -- --
Ares-Serono Group Class B
(Switzerland) 5,002 6,107,766 4,713 5,754,878 501 611,753
AstraZeneca Group PLC
(United Kingdom) 9,000 472,061 -- -- -- --
Aventis S.A. (France) 105,759 7,930,550 112,429 8,430,713 11,966 897,294
Bayer AG (Germany) 16,000 591,427 -- -- -- --
Block Drug, Inc. Class A 13,000 560,625 20,300 875,438 -- --
Bristol-Myers Squibb Co. 56,700 3,238,988 103,200 5,895,300 8,900 508,413
Cambrex Corp. 12,500 462,500 19,400 717,800 -- --
Cubist Pharmaceuticals, Inc. (NON) 3,400 177,013 -- -- -- --
Discovery Partners International, Inc.
(NON) 6,900 140,156 30,500 619,531 -- --
Dura Pharmaceuticals, Inc. (NON) 6,500 229,938 -- -- -- --
Durect Corp. (NON) 400 6,000 1,900 28,500 -- --
Eisai Co., Ltd. (Japan) 77,000 2,430,529 68,000 2,146,441 7,000 220,957
Elan Corp. PLC (Ireland) (NON) 32,998 1,848,538 64,513 3,613,999 6,705 375,612
Elan Corp. PLC ADR (Ireland) (NON) 42,454 2,324,357 10,480 573,780 1,101 60,280
Forest Laboratories, Inc. (NON) 7,800 894,563 19,700 2,259,344 2,000 229,375
Fujisawa Pharmaceutical Co. (Japan) 88,800 3,271,536 45,600 1,679,978 5,800 213,681
GelTex Pharmaceuticals, Inc. (NON) 10,500 491,531 -- -- -- --
Glaxo Wellcome PLC (United Kingdom) 31,600 956,514 -- -- -- --
IVAX Corp. (NON) 34,600 1,591,600 48,850 2,247,100 5,500 253,000
Johnson & Johnson 52,600 4,941,113 94,300 8,858,306 9,000 845,438
King Pharmacueticals, Inc. (NON) 6,850 229,047 -- -- -- --
Lilly (Eli) & Co. 48,700 3,950,788 84,100 6,822,613 8,300 673,338
Medicines Co. (NON) 2,000 68,375 8,900 304,269 -- --
Medicis Pharmaceutical Corp.
Class A (NON) 6,860 421,890 13,700 842,550 -- --
Merck & Co., Inc. 17,600 1,310,100 37,400 2,783,963 -- --
Mylan Laboratories, Inc. 800 21,550 1,700 45,794 -- --
NPS Pharmaceuticals, Inc. (NON) 5,000 282,813 -- -- -- --
Novartis AG ADR (Switzerland) 780 1,196,181 -- -- -- --
Novo-Nordisk A/S (Denmark) 4,350 964,985 -- -- -- --
Pfizer, Inc. 223,675 10,051,395 386,550 17,370,591 35,560 1,597,978
Pharmacia Corp. 58,323 3,510,316 104,014 6,260,343 10,253 617,102
Pharmacia Corp. SDR 8,388 507,044 -- -- -- --
Pharmagene PLC 144A (United Kingdom)
(NON) 28,300 142,213 -- -- -- --
Pharmagene PLC (United Kingdom)
(NON) 5,174 26,000 -- -- -- --
Priority Healthcare Corp. Class B
(NON) 11,550 880,688 31,800 2,424,750 -- --
Roche Holdings AG (Switzerland) 32 281,481 -- -- -- --
Sankyo Co, Ltd. (Japan) 16,000 356,197 -- -- -- --
Sanofi-Synthelabo SA (France) 127,235 6,835,825 117,491 6,312,319 12,562 674,906
Schering-Plough Corp. 39,600 1,841,400 72,600 3,375,900 6,050 281,325
SmithKline Beecham PLC ADR
(United Kingdom) 281,300 3,852,029 -- -- -- --
Takeda Chemical Industries (Japan) 68,000 4,494,307 35,000 2,313,246 4,000 264,371
Watson Pharmaceuticals, Inc. (NON) 800 51,900 1,700 110,288 -- --
Yamanouchi Pharmaceutical Co., Ltd.
(Japan) 37,000 1,780,987 -- -- -- --
Zeneca Group PLC (United Kingdom) 128,369 6,724,009 127,485 6,677,705 13,560 710,277
-------------- -------------- --------------
97,470,763 116,118,877 10,516,963
Photography and Imaging 0.2% 0.2% 0.1%
---------------------------------------------------------------------------------------------------------------------------
Advanced Vision Technology, Ltd.
(Israel) (NON) 11,492 116,590 -- -- -- --
Advanced Vision Technology, Ltd.
144A (Israel) (NON) 14,949 151,662 -- -- -- --
BMC Industries, Inc. 74,500 512,188 116,400 800,250 -- --
Eastman Kodak Co. 33,560 1,371,765 58,130 2,376,064 6,916 282,692
Imation Corp. (NON) 19,500 363,188 30,600 569,925 -- --
Polaroid Corp. 4,300 57,781 6,800 91,375 -- --
Ricoh Co., Ltd. (Japan) (NON) 40,000 727,576 -- -- -- --
T/R Systems, Inc. (NON) 5,100 45,263 22,600 200,575 -- --
Xerox Corp. 52,790 795,149 91,760 1,382,135 10,495 158,081
-------------- -------------- --------------
4,141,162 5,420,324 440,773
Power Producers --% --% --%
---------------------------------------------------------------------------------------------------------------------------
Centrais Geradoras do Sul do Brasil
S/A (Brazil) (NON) 59,110 91,358 -- -- -- --
Southern Energy, Inc. (NON) 600 18,825 -- -- -- --
-------------- -------------- --------------
110,183 -- --
Publishing 0.5% 0.4% 0.1%
---------------------------------------------------------------------------------------------------------------------------
Dai Nippon Printing Co., Ltd.
(Japan) (NON) 80,000 1,188,559 -- -- -- --
EMAP PLC (United Kingdom) 50,443 677,703 93,395 1,254,764 9,956 133,759
Gannett Co., Inc. 2,400 127,200 5,000 265,000 -- --
Hurriyet Gazetecilik Ve Matbaacilik
A.S. (Turkey) 55,095,660 521,802 -- -- -- --
Information Holdings, Inc. (NON) 6,600 233,888 29,300 1,038,319 -- --
Kadokawa Shoten Publishing Co., Ltd.
(Japan) 3,200 147,218 -- -- -- --
Knight-Ridder, Inc. 400 20,325 800 40,650 -- --
McClatchy Co. (The) 12,300 432,806 19,400 682,638 -- --
McGraw-Hill, Inc. 24,600 1,563,638 42,500 2,701,406 5,100 324,169
Media General, Inc. Class A 6,000 258,000 10,000 430,000 -- --
New York Times Co. (The) Class A 600 23,588 1,300 51,106 -- --
PRIMEDIA, Inc. (NON) 1,000 16,375 2,100 34,388 -- --
Pearson PLC (United Kingdom) 53,000 1,471,896 -- -- -- --
Reader's Digest Association, Inc.
(The) Class A 700 24,719 1,500 52,969 -- --
Reed International PLC
(United Kingdom) 70,300 557,961 -- -- -- --
Singapore Press Holdings, Ltd.
(Singapore) 5,000 75,009 5,000 75,009 1,000 15,002
Tribune Co. 20,900 911,763 36,400 1,587,950 4,200 183,225
Trinity PLC (United Kingdom) 59,986 437,977 -- -- -- --
VNU NV (Netherlands) 9,500 477,711 -- -- -- --
Wiley (John) & Sons 10,300 236,256 -- -- -- --
Wolters Kluwer NV (Netherlands) 42,270 857,684 72,483 1,470,724 7,750 157,252
-------------- -------------- --------------
10,262,078 9,684,923 813,407
Railroads 0.1% 0.1% --%
---------------------------------------------------------------------------------------------------------------------------
Burlington Northern Santa Fe Corp. 4,700 101,344 10,000 215,625 -- --
CSX Corp. 3,900 85,069 8,300 181,044 -- --
GATX Corp. 600 25,125 1,200 50,250 -- --
Kansas City Southern Industries, Inc. 450 3,909 850 7,384 -- --
Union Pacific Corp. 48,800 1,897,100 84,200 3,273,275 10,100 392,638
-------------- -------------- --------------
2,112,547 3,727,578 392,638
Real Estate 0.5% 0.5% 0.2%
---------------------------------------------------------------------------------------------------------------------------
Apartment Investment & Management Co.
Class A (R) 500 23,031 1,000 46,063 -- --
Avalonbay Communities, Inc. (R) 500 23,844 1,000 47,688 -- --
Cheung Kong Infrastructure Holdings
(Hong Kong) 252,476 3,052,043 431,000 5,210,121 46,000 556,069
China Resources Beijing Land
(Hong Kong) 1,290,000 266,382 -- -- -- --
Consorcio ARA SA (Mexico) (NON) 353,837 573,425 -- -- -- --
Duke Realty Investments, Inc. (R) 800 19,300 1,700 41,013 -- --
Equity Office Properties Trust (R) 58,800 1,826,475 101,900 3,165,269 12,000 372,750
Equity Residential Properties Trust
(R) 59,192 2,841,216 101,780 4,885,440 12,298 590,304
Henderson Land Development Co., Ltd.
(Hong Kong) (R) 47,000 242,333 -- -- -- --
Host Marriott Corp. 3,600 40,500 7,700 86,625 -- --
Keppel Land, Ltd. (Singapore) 32,000 45,982 -- -- -- --
LNR Property Corp. 22,300 493,388 34,900 772,163 -- --
Spieker Properties, Inc. (R) 500 28,781 1,000 57,563 -- --
Sun Hung Kai Properties, Ltd.
(Hong Kong) 32,000 301,666 -- -- -- --
Vornado Realty Trust (R) 600 22,275 1,200 44,550 -- --
-------------- -------------- --------------
9,800,641 14,356,495 1,519,123
Regional Bells 0.8% 1.1% 0.3%
---------------------------------------------------------------------------------------------------------------------------
BellSouth Corp. 75,300 3,030,825 134,500 5,413,625 13,100 527,275
SBC Communications, Inc. 161,000 8,050,000 285,000 14,250,000 28,700 1,435,000
Verizon Communications 107,542 5,209,066 191,969 9,298,498 18,880 914,500
-------------- -------------- --------------
16,289,891 28,962,123 2,876,775
Restaurants 0.4% 0.4% 0.1%
---------------------------------------------------------------------------------------------------------------------------
AmeriKing, Inc. (NON) 150 1,500 -- -- -- --
CBRL Group, Inc. 56,300 809,313 87,500 1,257,813 -- --
California Pizza Kitchen, Inc. (NON) 4,500 126,000 20,100 562,800 -- --
Cheesecake Factory (The) (NON) 4,700 203,275 21,000 908,250 -- --
Granada Compass PLC (United Kingdom)
(NON) 500,770 4,685,074 565,301 5,288,809 60,318 564,320
Jack in the Box, Inc. (NON) 11,400 244,388 -- -- -- --
McDonald's Corp. 40,700 1,228,631 73,500 2,218,781 6,800 205,275
NPC International, Inc. (NON) 19,800 193,669 -- -- -- --
Outback Steakhouse, Inc. (NON) 1,200 32,550 2,500 67,813 -- --
P.F. Chang's China Bistro, Inc.
(NON) 3,270 113,019 14,700 508,069 -- --
RARE Hospitality International, Inc.
(NON) 21,300 433,988 -- -- -- --
Starbucks Corp. (NON) 1,500 60,094 3,100 124,194 -- --
Tricon Global Restaurants, Inc.
(NON) 1,000 30,625 2,100 64,313 -- --
Wendy's International, Inc. 1,200 24,075 2,500 50,156 -- --
-------------- -------------- --------------
8,186,201 11,050,998 769,595
Retail 2.3% 2.0% 0.4%
---------------------------------------------------------------------------------------------------------------------------
99 Cents Only Stores (NON) 4,900 245,919 21,600 1,084,050 -- --
Aaron Rents, Inc. 12,000 154,500 15,500 199,563 -- --
Albertsons, Inc. 42,775 898,275 74,060 1,555,260 8,555 179,655
Amazon.com, Inc. (NON) 600 23,063 1,300 49,969 -- --
American Eagle Outfitters, Inc. (NON) 6,000 189,000 26,700 841,050 -- --
Audiodev 144A (NON) 9,000 65,434 -- -- -- --
AutoZone, Inc. (NON) 1,200 27,225 2,500 56,719 -- --
Baker (J.), Inc. 36,200 162,900 55,100 247,950 -- --
Barnes & Noble, Inc. (NON) 15,000 295,313 24,900 490,219 -- --
Bed Bath & Beyond, Inc. (NON) 2,200 53,659 4,600 112,197 -- --
Best Buy Co., Inc. (NON) 1,200 76,350 2,500 159,063 -- --
Bulgari SpA (Italy) 173,625 2,136,749 99,443 1,223,814 10,521 129,479
CDW Computer Centers, Inc. (NON) 600 41,400 1,200 82,800 -- --
CVS Corp. 27,400 1,268,963 48,250 2,234,578 5,200 240,825
Carrefour Supermarche SA (France) 6,400 472,577 -- -- -- --
Castorama Dubois Investissements
(France) 4,775 1,053,126 -- -- -- --
Chico's FAS, Inc. (NON) 6,700 227,800 -- -- -- --
China Everbright, Ltd. (Hong Kong) 221,000 215,424 -- -- -- --
Circuit City Stores, Inc. 1,700 39,100 3,700 85,100 -- --
Claire's Stores, Inc. 56,000 1,008,000 87,900 1,582,200 -- --
Coldwater Creek, Inc. (NON) 35,500 958,500 40,900 1,104,300 -- --
Columbia Sportswear Co. (NON) 5,100 233,963 -- -- -- --
Companhia Brasileria de
Distribuicano Grupo Pao de Acucar
(Brazil) 5,300 198,865 -- -- -- --
Companhia Brasileira de
Distribuicao Grupo Pao de Acucar
ADR (Brazil) 9,200 342,125 -- -- -- --
Controladora Comercial Mexicana
(Mexico) 136,900 160,956 -- -- -- --
Cost Plus, Inc. (NON) 14,250 429,281 36,700 1,105,588 -- --
Costco Wholesale Corp. (NON) 2,600 90,838 5,600 195,650 -- --
Delhaize America, Inc. 1,300 21,775 2,700 45,225 -- --
Dixons Group PLC (United Kingdom) 49,200 153,434 -- -- -- --
Dollar General Corp. 1,400 23,450 2,925 48,994 -- --
Dollar Tree Stores, Inc. (NON) 200 8,113 400 16,225 -- --
Electronics Boutique PLC
(United Kingdom) 326,201 260,348 -- -- -- --
Esprit Holdings, Ltd. (Hong Kong) 297,000 243,795 -- -- -- --
Factory 2-U Stores, Inc. (NON) 12,280 375,308 38,800 1,185,825 -- --
Family Dollar Stores, Inc. 1,000 19,250 2,100 40,425 -- --
Fastenal Co. 400 23,050 800 46,100 -- --
Federated Department Stores, Inc.
(NON) 46,500 1,214,813 79,975 2,089,347 9,750 254,719
Gap, Inc. (The) 5,000 100,625 10,700 215,338 -- --
Genesco, Inc. (NON) 16,900 286,244 -- -- -- --
Grupo Elektra SA ADR 42,300 401,850 -- -- -- --
Gucci Group NV (Netherlands) 22,741 2,293,998 43,358 4,373,738 4,578 461,806
Gucci Group NV (Netherlands) 7,500 758,251 -- -- -- --
HOT Topic, Inc. (NON) 6,600 198,000 -- -- -- --
Harcourt General, Inc. 600 35,400 1,300 76,700 -- --
Home Depot, Inc. (The) 65,400 3,470,288 116,100 6,160,556 9,600 509,400
Intimate Brands, Inc. 54,500 1,018,469 90,800 1,696,825 10,800 201,825
J. Jill Group, Inc. (NON) 75,000 965,625 -- -- -- --
Jones Apparel Group, Inc. (NON) 1,500 39,750 3,100 82,150 -- --
K mart Corp. (NON) 71,100 426,600 122,700 736,200 14,600 87,600
Kenneth Cole Productions, Inc.
Class A (NON) 7,350 259,547 -- -- -- --
Kingfisher Leisure PLC
(United Kingdom) 7,900 51,609 -- -- -- --
Kohls Corp. (NON) 2,800 161,525 5,900 340,356 -- --
Kojima Co., Ltd. (Japan) 4,700 116,380 -- -- -- --
Koninklijke Ahold NV (Netherlands) 9,690 274,664 -- -- -- --
Kookmin Credit Card Company, Ltd.
(South Korea) (NON) 10,000 290,583 -- -- -- --
Kroger Co. (NON) 6,000 135,375 12,700 286,544 -- --
LG Home Shopping, Inc.
(South Korea) 2,000 159,283 -- -- -- --
La Rinascente SpA (Italy) 3,200 17,955 -- -- -- --
Lands' End, Inc. (NON) 12,600 264,600 19,700 413,700 -- --
Limited, Inc. (The) 2,700 59,569 5,800 127,963 -- --
Linens 'N Things, Inc. (NON) 2,100 53,550 8,900 226,950 -- --
Lowe's Cos., Inc. 3,200 143,600 6,700 300,663 -- --
Marks & Spencer PLC (United Kingdom) 18,000 54,006 -- -- -- --
Marui Co., Ltd. (Japan) (NON) 52,000 807,220 -- -- -- --
Matalan PLC (United Kingdom) 78,379 637,143 -- -- -- --
May Department Stores Co. 1,500 30,750 3,200 65,600 -- --
Metro AG (Germany) 19,013 778,280 45,118 1,846,864 3,782 154,813
Michaels Stores, Inc. (NON) 3,700 148,000 -- -- -- --
Next PLC (United Kingdom) 7,900 84,127 -- -- -- --
Oakley, Inc. (NON) 26,500 465,406 -- -- -- --
Office Depot, Inc. (NON) 2,600 20,313 5,500 42,969 -- --
Organizacion Soriana S.A. (Mexico) 68,400 249,952 -- -- -- --
Penney (J.C.) Co., Inc. 1,600 18,900 3,300 38,981 -- --
Pier 1 Imports, Inc. 160,200 2,172,713 174,100 2,361,231 -- --
President Chain Store Corp.
(Taiwan) 137,104 433,513 -- -- -- --
Promodes SA (France) 160 134,094 -- -- -- --
RadioShack Corp. 32,600 2,106,775 54,600 3,528,525 6,200 400,675
Regis Corp. 29,000 435,000 45,200 678,000 -- --
Rent-A-Center, Inc. (NON) 5,800 201,188 -- -- -- --
Ross Stores, Inc. 1,300 18,688 2,700 38,813 -- --
Ruddick Corp. 32,800 455,100 51,300 711,788 -- --
SUPERVALU, Inc. 1,300 19,581 2,700 40,669 -- --
Safeway, Inc. (NON) 4,000 186,750 8,500 396,844 -- --
Saks, Inc. (NON) 1,200 11,850 2,500 24,688 -- --
Sears, Roebuck & Co. 27,800 901,276 48,400 1,569,128 5,600 181,552
Spiegel, Inc. Class A 29,200 204,400 -- -- -- --
Staples, Inc. (NON) 41,500 588,781 72,500 1,028,594 8,100 114,919
Stein Mart, Inc. (NON) 17,900 193,544 -- -- -- --
Sundrug Co., Ltd. (Japan) 9,100 585,439 -- -- -- --
TJX Cos., Inc. (The) 3,300 74,250 7,100 159,750 -- --
Talbots, Inc. (The) 3,300 218,625 -- -- -- --
Target Corp. 6,900 176,813 14,600 374,125 -- --
Tesco PLC (United Kingdom) 566,343 2,080,082 842,625 3,094,818 89,369 328,237
Tiffany & Co. 800 30,850 1,600 61,700 -- --
Timberland Co. (The) Class A (NON) 4,700 192,700 -- -- -- --
Too, Inc. (NON) 8,000 190,000 -- -- -- --
Topps Co., Inc. (The) (NON) 23,100 212,231 -- -- -- --
Tsuruha Co., Ltd. (Japan) 7,200 153,291 -- -- -- --
Tuesday Morning Corp. (NON) 2,790 21,797 12,300 96,094 -- --
Tweeter Home Entertainment Group,
Inc. (NON) 10,984 398,857 29,800 1,082,113 -- --
Ultimate Electonics, Inc. (NON) 6,000 246,750 -- -- -- --
United Natural Foods, Inc. (NON) 52,200 645,975 82,900 1,025,888 -- --
Vendex International NV
(Netherlands) 6,400 86,780 -- -- -- --
Walgreen Co. 6,500 246,594 13,700 519,744 -- --
Walmart de Mexico Ser. C (Mexico)
(NON) 87,400 172,930 -- -- -- --
Walmart de Mexico Ser. V (Mexico)
(NON) 205,000 425,591 -- -- -- --
Wal-Mart Stores, Inc. 61,400 2,954,875 111,300 5,356,313 8,200 394,625
Wet Seal, Inc. (NON) 4,300 67,456 18,400 288,650 -- --
Zale Corp. (NON) 5,000 162,188 -- -- -- --
-------------- -------------- --------------
46,097,405 55,351,783 3,640,130
Schools 0.1% 0.2% --%
---------------------------------------------------------------------------------------------------------------------------
Career Education Corp. (NON) 21,400 952,300 36,200 1,610,900 -- --
Corinthian Colleges, Inc. (NON) 4,900 289,100 -- -- -- --
Education Management Corp. (NON) 1,100 29,631 4,400 118,525 -- --
Learning Tree International, Inc.
(NON) 16,290 775,811 41,800 1,990,725 -- --
Prosoft Training.com (NON) 11,060 157,605 48,700 693,975 -- --
-------------- -------------- --------------
2,204,447 4,414,125 --
Semiconductor 0.3% 0.4% --%
---------------------------------------------------------------------------------------------------------------------------
ASM Lithography Holding NV
(Netherlands) (NON) 5,100 169,171 -- -- -- --
ATMI, Inc. (NON) 2,900 67,788 12,900 301,538 -- --
Advanced Energy Industries, Inc.
(NON) 8,700 287,100 18,600 613,800 -- --
Applied Materials, Inc. (NON) 6,000 355,875 12,700 753,269 -- --
Cohu, Inc. 19,200 294,000 30,000 459,375 -- --
Conexant Systems, Inc. (NON) 2,000 83,750 4,400 184,250 -- --
Credence Systems Corp. (NON) 4,900 147,000 21,600 648,000 -- --
DuPont Photomasks, Inc. (NON) 8,300 487,625 12,900 757,875 -- --
Helix Technology Corp. 15,000 448,125 47,000 1,404,125 -- --
KLA Tencor Corp. (NON) 1,500 61,781 3,100 127,681 -- --
LAM Research Corp. (NON) 1,400 29,313 3,000 62,813 -- --
LTX Corp. (NON) 15,660 296,561 68,800 1,302,900 -- --
Novellus Systems, Inc. (NON) 1,300 60,531 2,700 125,719 -- --
Orbotech, Ltd. (Israel) (NON) 21,150 1,156,641 -- -- -- --
Photon Dynamics, Inc. (NON) 3,800 143,450 16,900 637,975 -- --
Rudolph Technologies, Inc. (NON) 2,907 97,203 12,900 431,344 -- --
Teradyne, Inc. (NON) 1,500 52,500 3,100 108,500 -- --
Veeco Instruments, Inc. (NON) 5,260 558,957 23,100 2,454,736 -- --
Zygo Corp. (NON) 5,190 451,530 13,100 1,139,700 -- --
-------------- -------------- --------------
5,248,901 11,513,600 --
Shipping 0.1% 0.2% --%
---------------------------------------------------------------------------------------------------------------------------
China Shipping Development Co.
(China) (NON) 1,030,000 179,666 -- -- -- --
Circle International Group, Inc. 16,900 511,225 26,300 795,575 -- --
EGL, Inc. (NON) 8,420 254,705 37,100 1,122,275 -- --
Expeditors International of
Washington, Inc. 7,500 337,969 31,800 1,432,988 -- --
Fritz Companies, Inc. (NON) 48,080 576,960 80,300 963,600 -- --
USFreightways Corp. 25,400 576,263 40,000 907,500 -- --
Wabash National Corp. 5,800 52,925 8,400 76,650 -- --
-------------- -------------- --------------
2,489,713 5,298,588 --
Software 2.9% 3.4% 0.9%
---------------------------------------------------------------------------------------------------------------------------
Actuate Corp. (NON) 9,000 310,922 -- -- -- --
Adobe Systems, Inc. 11,600 1,800,900 19,700 3,058,425 2,000 310,500
Advent Software, Inc. (NON) 3,800 265,525 -- -- -- --
Agile Software Corp. (NON) 25,200 2,266,425 41,600 3,741,400 5,000 449,688
Allaire Corp. (NON) 11,500 97,750 -- -- -- --
Amdocs, Ltd. (NON) 14,750 920,031 1,000 62,375 -- --
Autodesk, Inc. 12,700 322,263 20,500 520,188 -- --
BEA Systems, Inc. (NON) 42,100 3,278,538 69,600 5,420,100 7,800 607,425
BMC Software, Inc. (NON) 1,700 32,513 3,600 68,850 -- --
BackWeb Technologies, Ltd. (Israel)
(NON) 2,400 24,338 10,500 106,477 -- --
BroadVision, Inc. (NON) 6,600 169,538 4,000 102,750 -- --
Broadbase Software, Inc. (NON) 5,700 77,306 -- -- -- --
Citrix Systems, Inc. (NON) 1,700 34,106 3,500 70,219 -- --
Click Commerce, Inc. (NON) 11,200 478,800 49,600 2,120,400 -- --
Computer Associates International,
Inc. 23,481 591,428 41,507 1,045,458 4,300 108,306
Compuware Corp. (NON) 2,300 19,263 4,800 40,200 -- --
DSET Corp. (NON) 10,400 214,500 46,200 952,875 -- --
Dendrite International, Inc. (NON) 8,300 222,544 36,800 986,700 -- --
Documentum, Inc. (NON) 4,200 340,988 -- -- -- --
E.piphany, Inc. (NON) 200 15,413 400 30,825 -- --
Electronic Arts, Inc. (NON) 1,200 59,250 2,600 128,375 -- --
eXcelon Corp. (NON) 9,400 116,325 41,600 514,800 -- --
Hyperion Solutions Corp. (NON) 22,000 569,250 35,400 915,975 -- --
I2 Technologies, Inc. (NON) 18,900 3,535,481 31,100 5,817,644 3,650 682,778
Informatica Corp. (NON) 3,800 354,350 16,900 1,575,925 -- --
Infosys Technologies, Ltd. (India)
(NON) 9,250 1,475,740 -- -- -- --
Internet Security Systems, Inc.
(NON) 300 22,538 600 45,075 -- --
JDA Software Group, Inc. (NON) 30,500 388,875 47,400 604,350 -- --
Kronos, Inc. (NON) 6,630 198,900 29,400 882,000 -- --
MIH, Ltd. (United Kingdom) (NON) 10,100 302,369 -- -- -- --
Macromedia, Inc. (NON) 500 40,406 1,000 80,813 -- --
Magic Software Enterprises, Ltd.
(Israel) (NON) 21,300 162,413 -- -- -- --
Manugistics Group, Inc. (NON) 9,600 942,000 42,300 4,150,688 -- --
Mercury Interactive Corp. (NON) 500 78,375 1,000 156,750 -- --
Micromuse, Inc. (NON) 10,000 2,009,375 16,700 3,355,656 1,900 381,781
Microsoft Corp. (NON) (SEG) 84,100 5,072,281 152,700 9,209,719 11,000 663,438
Misys PLC (United Kingdom) 244,200 2,291,890 259,972 2,439,915 27,685 259,832
NET One Systems Co., Ltd. (Japan) 27 767,287 -- -- -- --
NETIQ Corp. (NON) 3,800 249,613 -- -- -- --
NVIDIA Corp. (NON) 2,000 163,750 -- -- -- --
Netegrity, Inc. (NON) 6,000 420,000 26,250 1,837,500 -- --
Network Associates, Inc. (NON) 2,200 49,775 4,700 106,338 -- --
Nuance Communications, Inc. (NON) 1,400 170,363 -- -- -- --
Open Text Corp. (Canada) (NON) 20,580 398,164 -- -- -- --
Oracle Corp. (Japan) 50 11,515 -- -- -- --
Oracle Corp. (Japan) (NON) 85,100 6,701,625 148,300 11,678,625 13,800 1,086,750
Orchestream Holdings PLC 144A
(United Kingdom) (NON) 82,800 826,054 -- -- -- --
Orchestream Holdings PLC
(United Kingdom) (NON) 24,321 242,638 -- -- -- --
PeopleSoft, Inc. (NON) 1,800 50,288 3,900 108,956 -- --
Phone.com, Inc. (NON) 21,700 2,465,663 35,900 4,079,138 4,300 488,588
Portal Software, Inc. (NON) 900 36,000 2,000 80,000 -- --
Progress Software Corp. (NON) 12,400 168,950 -- -- -- --
Rational Software Corp. (NON) 22,100 1,533,188 37,500 2,601,563 4,000 277,500
SAP AG (Germany) 11,148 2,143,979 11,537 2,218,791 1,227 235,976
SAP AG Systeme Preference Bearer
(Germany) 8,409 2,062,321 15,959 3,913,970 1,704 417,909
Secure Computing Corp. (NON) 13,500 351,844 -- -- -- --
Siebel Systems, Inc. (NON) 33,800 3,762,363 57,200 6,367,075 6,200 690,138
Silverline Technologies, Ltd. ADR
(India) (NON) 13,113 233,575 -- -- -- --
Software.com, Inc. (NON) 500 90,719 1,000 181,438 -- --
Synavant, Inc. (NON) 135 903 290 1,939 -- --
VERITAS Software Corp. (NON) 42,400 6,020,800 71,950 10,216,900 7,825 1,111,150
Verity, Inc. (NON) 7,180 256,236 -- -- -- --
Vignette Corp. (NON) 1,000 29,875 2,100 62,738 -- --
Vitria Technology, Inc. (NON) 500 23,313 1,000 46,625 -- --
webMethods, Inc. (NON) 100 11,513 200 23,025 -- --
-------------- -------------- --------------
58,345,223 91,729,548 7,771,759
Technology 0.3% 0.2% 0.1%
---------------------------------------------------------------------------------------------------------------------------
HCL Technologies Ltd. (India) 12,200 305,583 -- -- -- --
Informa Group PLC (United Kingdom) 55,056 610,296 -- -- -- --
Koninklijke Philips Electronics NV
(Netherlands) 120,374 5,179,079 103,456 4,451,183 21,812 938,459
Lightpath Technologies, Inc.
Class A (NON) 4,200 199,500 18,700 888,250 -- --
-------------- -------------- --------------
6,294,458 5,339,433 938,459
Technology Services 1.0% 0.9% 0.1%
---------------------------------------------------------------------------------------------------------------------------
Acxiom Corp. (NON) 600 19,050 1,200 38,100 -- --
Affiliated Computer Services, Inc.
Class A (NON) 600 29,925 1,300 64,838 -- --
America Online, Inc. (NON) 61,200 3,289,500 109,200 5,869,500 8,900 478,375
American Management Systems (NON) 8,500 146,094 25,500 438,281 -- --
Analysts International Corp. 29,600 213,675 45,900 331,341 -- --
Art Technology Group, Inc. (NON) 200 18,950 400 37,900 -- --
Asianfo Holdings, Inc. (NON) 300 5,681 600 11,363 -- --
Automatic Data Processing, Inc. 5,100 341,063 10,900 728,938 -- --
BISYS Group, Inc. (The) (NON) 300 23,194 600 46,388 -- --
C-Bridge Internet Solutions, Inc.
(NON) 5,200 97,500 23,100 433,125 -- --
CACI International, Inc. (NON) 15,200 325,850 23,800 510,213 -- --
CMG Information Services, Inc.
(NON) 1,500 41,906 3,101 86,634 -- --
CNET Networks, Inc. (NON) 1,900 46,283 4,000 97,438 -- --
CSG Systems International, Inc.
(NON) 900 26,100 2,000 58,000 -- --
Checkfree Corp. (NON) 400 16,756 800 33,513 -- --
Ciber, Inc. (NON) 40,200 331,650 62,700 517,275 -- --
Cognizant Technology Solutions Corp.
(NON) 4,400 171,600 -- -- -- --
Commerce One, Inc. (NON) 1,900 149,150 4,000 314,000 -- --
Computer Sciences Corp. (NON) 1,200 89,100 2,500 185,625 -- --
Computer Task Group, Inc. 41,800 130,625 65,200 203,750 -- --
Davox Corp. (NON) 53,200 535,325 85,600 861,350 -- --
Diamond Technology Partners, Inc.
(NON) 4,700 348,975 -- -- -- --
Digex, Inc. (NON) 500 23,438 1,000 46,875 -- --
Docent, Inc. (NON) 3,500 64,094 15,500 170,500 -- --
Electronic Data Systems Corp. 28,200 1,170,300 49,540 2,055,910 5,400 224,100
Enea Data AB (Sweden) 219,796 1,267,000 -- -- -- --
Exodus Communications, Inc. (NON) 2,500 123,438 5,400 266,625 -- --
Fair, Isaac and Company, Inc. 8,100 345,769 12,700 542,131 -- --
FileNET Corp. (NON) 44,100 802,069 59,300 1,078,519 -- --
Fiserv, Inc. (NON) 600 35,925 1,300 77,838 -- --
Forrester Research, Inc. (NON) 6,300 401,625 -- -- -- --
Globix Corp. (NON) 8,700 202,819 38,600 899,863 -- --
Go2Net, Inc. (NON) 4,600 249,622 -- -- -- --
GoTo.com, Inc. (NON) 8,700 143,550 -- -- -- --
HiQ International AB (Sweden) 51,202 417,465 -- -- -- --
InfoSpace.com, Inc. (NON) 36,700 1,110,175 61,100 1,848,275 7,100 214,775
Internet Capital Group, Inc. (NON) 1,200 20,925 2,600 45,338 -- --
Internet Pictures Corp. (NON) 16,200 88,088 -- -- -- --
Intranet Solutions, Inc. (NON) 4,400 220,000 -- -- -- --
Jack Henry & Associates, Inc. 3,900 169,163 -- -- -- --
Keane, Inc. (NON) 19,600 341,040 32,100 558,540 -- --
LifeMinders, Inc. (NON) 5,100 116,981 -- -- -- --
Logica PLC (United Kingdom) 14,500 476,840 -- -- -- --
Logitech International (Switzerland)
(NON) 1,384 435,704 -- -- -- --
LookSmart, Ltd. (NON) 12,700 142,081 -- -- -- --
Lycos, Inc. (NON) 7,900 543,248 1,600 110,025 -- --
MTS Systems Corp. 56,200 393,400 87,300 611,100 -- --
Management Network Group, Inc. (The)
(NON) 14,860 310,203 65,300 1,363,138 -- --
MarchFirst, Inc. (NON) 505 7,922 1,138 17,852 -- --
Navisite Technologies, Inc. (NON) 500 13,469 1,000 26,938 -- --
PSINet, Inc. (NON) 600 5,775 1,300 12,513 -- --
Pandatel AG (Germany) (NON) 1,250 122,405 -- -- -- --
Paychex, Inc. 25,250 1,325,625 42,650 2,239,125 4,700 246,750
Pilot Network Services, Inc. (NON) 5,270 54,676 23,200 240,700 -- --
Predictive Systems, Inc. (NON) 80 1,545 100 1,931 -- --
Rare Medium Group, Inc. (NON) 11,400 84,788 -- -- -- --
SEI Investments Co. 800 56,600 1,800 127,350 -- --
Safeguard Scientifics, Inc. (NON) 1,400 27,913 2,900 57,819 -- --
Sapient Corp. (NON) 1,200 48,825 2,400 97,650 -- --
Scient Corp. (NON) 900 18,844 2,000 41,875 -- --
Siliconware Precision Industries ADR
(Taiwan) (NON) 42,100 207,869 -- -- -- --
Softbank Corp. (Japan) 800 74,794 -- -- -- --
SunGard Data Systems, Inc. (NON) 800 34,250 1,700 72,781 -- --
Support.com, Inc. (NON) 4,200 128,625 18,400 563,500 -- --
Symbol Technologies, Inc. 1,050 37,734 2,200 79,063 -- --
Tech Data Corp. (NON) 6,000 256,500 -- -- -- --
Telxon Corp. 34,400 602,000 53,600 938,000 -- --
U.S. Interactive, Inc. (NON) -- -- 500 1,266 300 759
Unisys Corp. (NON) 2,500 28,125 5,200 58,500 -- --
Yahoo!, Inc. (NON) 2,000 182,000 4,200 382,200 -- --
-------------- -------------- --------------
19,333,198 25,501,312 1,164,759
Telecommunications 4.2% 2.9% 0.8%
---------------------------------------------------------------------------------------------------------------------------
ALLTEL Corp. 34,265 1,788,205 59,670 3,114,028 6,800 354,875
APAC Customer Services, Inc. (NON) 24,500 130,156 -- -- -- --
AT&T Wireless Group (NON) 1,200 25,050 2,500 52,188 -- --
Advanced Info Service (Thailand)
(NON) 30,400 256,637 -- -- -- --
Airgate PCS, Inc. (NON) 8,200 367,975 36,100 1,619,988 -- --
Alamosa PCS Holdings, Inc. (NON) 8,000 129,500 35,500 574,656 -- --
Allegiance Telecom, Inc. (NON) 650 24,213 1,450 54,013 -- --
American Telephone & Telegraph Co. 122,408 3,595,735 220,169 6,467,464 20,700 608,063
American Tower Corp. Class A (NON) 600 22,613 1,300 48,994 -- --
At Home Corp. (NON) 600 8,475 1,300 18,363 -- --
BCE, Inc. (Canada) 13,599 316,897 25,829 601,892 -- --
Boston Communications Group (NON) 7,300 140,525 32,400 623,700 -- --
Brasil Telecom Participacoes S/A ADR
(Brazil) 6,700 390,275 -- -- -- --
British Telecommunications PLC ADR
(United Kingdom) 64,000 672,549 -- -- -- --
Carphone Warehouse Group PLC 144A
(United Kingdom) (NON) 38,100 109,245 -- -- -- --
CTC Communications Group, Inc. (NON) 3,900 78,975 17,300 350,325 -- --
Cable & Wireless PLC
(United Kingdom) 163,628 2,333,777 139,364 1,987,707 14,876 212,172
Carphone Warehouse Group PLC 144A
(United Kingdom) (NON) 139,561 400,166 -- -- -- --
Carso Global Telecom (Mexico) (NON) 691,442 1,677,155 482,727 1,170,898 -- --
CenturyTel, Inc. 500 13,625 1,000 27,250 -- --
China Telecom, Ltd. (Hong Kong)
(NON) 671,998 4,460,335 510,000 3,385,086 54,500 361,740
China Unicom, Ltd. (Hong Kong)
(NON) 208,000 465,530 -- -- -- --
Choice One Communications, Inc.
(NON) 4,900 59,719 21,600 263,250 -- --
Clearnet Communications, Inc.
(Canada) (NON) 26,367 1,169,257 -- -- -- --
Colt Telecommunications Group PLC
(United Kingdom) (NON) 16,375 469,524 -- -- -- --
Comdisco, Inc. 600 11,438 1,300 24,781 -- --
Compania Telecommunications de Chile
S.A. ADR (Chile) 15,500 269,313 -- -- -- --
Covad Communications Group, Inc.
144A (NON) 950 12,706 2,000 26,750 -- --
DDI Corp. (Japan) 2 14,429 -- -- -- --
Deutsche Telekom AG (Germany) 18,900 648,602 -- -- -- --
Digi.com Berhad (Malaysia) (NON) 147,000 263,053 -- -- -- --
Embratel Participacoes S/A (Brazil) 8,900 130,845 -- -- -- --
Embratel Participacoes S/A ADR
(Brazil) 25,000 462,500 -- -- -- --
Energis PLC (United Kingdom) (NON) 154,700 1,092,931 -- -- -- --
France Telecom SA (France) 9,800 1,049,571 -- -- -- --
Global Light Telecom, Inc. (Canada)
(NON) 10,800 55,620 -- -- -- --
Hellenic Telecommunications
Organization SA (Greece) 16,264 313,005 -- -- -- --
Hellenic Telecommunications
Organization SA GDR (Greece) 53,200 492,100 -- -- -- --
Inet Technologies, Inc. (NON) 500 14,625 1,000 29,250 -- --
Infonet Services Corp. (NON) 500 5,281 1,000 10,563 -- --
KPNQwest NV (Netherlands) (NON) 26,523 754,605 -- -- -- --
Kingston Communication (Hull) PLC
(United Kingdom) 89,903 552,767 -- -- -- --
Leap Wireless (NON) 5,200 325,325 309 19,332 447 27,965
Level 3 Communication, Inc. (NON) 1,900 146,538 4,000 308,500 -- --
Liberty Digital, Inc. Class A (NON) 400 8,100 800 16,200 -- --
MCK Communications, Inc. (NON) 19,100 432,138 84,600 1,914,075 -- --
MGC Communications, Inc. (NON) 604 5,266 -- -- 120 1,046
Mahanager Telephone GDR 144A (India) 70,500 361,313 -- -- -- --
McLeodUSA, Inc. Class A (NON) 2,300 32,919 4,800 68,700 -- --
Metrocall, Inc. (NON) 26,100 78,300 -- -- -- --
Metromedia Fiber Network, Inc.
Class A (NON) 75,500 1,835,594 126,500 3,075,531 14,600 354,963
Mpower Communications Corp. (NON) -- -- 45 392 31 270
NTL, Inc. (United Kingdom) (NON) 800 37,050 1,700 78,731 -- --
NTT DoCoMo (Japan) (NON) 215 6,169,583 163 4,677,404 25 717,393
Net2Phone, Inc. (NON) 3,900 87,750 -- -- -- --
NetCom AB (Sweden) (NON) 4,081 209,391 -- -- -- --
Nextel Communications, Inc. Class A
(NON) 34,500 1,612,875 58,200 2,720,850 6,300 294,525
Nextlink Communications, Inc.
Class A (NON) 31,000 1,090,813 52,500 1,847,344 5,700 200,569
Nippon Telegraph and Telephone Corp.
(Japan) (NON) 715 7,015,644 684 6,711,469 74 726,095
Panafon Hellenic Telecommunication
GDR 44,000 418,000 -- -- -- --
Peco II, Inc. (NON) 5,200 243,425 23,200 1,086,050 -- --
Pinnacle Holdings, Inc. (NON) 7,900 210,338 36,000 958,500 -- --
Portugal Telecom SA (Portugal) 15,800 162,387 -- -- -- --
Price Communications Corp. (NON) 13,592 265,894 59,800 1,169,838 -- --
Qwest Communications International,
Inc. (NON) 7,563 363,497 16,034 770,634 -- --
RCN Corp. (NON) 300 6,225 600 12,450 -- --
Research in Motion, Ltd. (Canada)
(NON) 2,500 246,406 -- -- -- --
Rhythms Netconnections, Inc. (NON) 16,900 124,638 -- -- -- --
Royal PTT (United Kingdom) 9,300 202,486 -- -- -- --
Rural Cellular Corp. Class A (NON) 3,560 242,525 15,800 1,076,375 -- --
SBA Communications Corp. (NON) 11,530 483,539 50,300 2,109,456 -- --
SK Telecom Co., Ltd. (South Korea) 6,120 1,492,951 -- -- -- --
SK Telecom Co., Ltd. ADR
(South Korea) 11,400 292,125 -- -- -- --
Somera Communications, Inc. (NON) 11,880 112,860 52,000 494,000 -- --
Sonera Group OYJ (Finland) 3,900 99,089 -- -- -- --
Sprint Corp. 61,100 1,790,994 106,200 3,112,988 11,900 348,819
Sprint Corp. (PCS Group) (NON) 56,600 1,984,538 95,400 3,344,963 10,700 375,169
Sunrise Telecom, Inc. (NON) 800 23,050 1,700 48,981 -- --
Swisscom AG ADR (Switzerland) 700 171,557 -- -- -- --
Taiwan Cellular Corp. (Taiwan) (NON) 69,000 167,486 -- -- -- --
Tele Celular Sul Participacoes S/A
(Brazil) 74,000 172,560 -- -- -- --
Tele Celular Sul Participacoes S/A
ADR (Brazil) 19,200 576,000 -- -- -- --
Tele Danmark A/S (Denmark) 3,200 176,049 -- -- -- --
Tele Norte Leste Participacoes S/A
ADR (Brazil) 29,600 677,100 -- -- -- --
Telecom Italia Mobile SpA (Italy) 80,000 646,476 -- -- -- --
Telefonos de Mexico SA ADR Class L
(Mexico) 115,633 6,150,230 74,173 3,945,076 -- --
Telephone and Data Systems, Inc. 500 55,350 1,000 110,700 -- --
Telesp Celular Participacoes S/A ADR
(Brazil) 35,200 464,052 -- -- -- --
Teligent, Inc. Class A (NON) 12,600 163,800 -- -- -- --
Uecomm, Ltd 144A (NON) 44,100 38,194 -- -- -- --
United States Cellular Corp. (NON) 300 21,000 600 42,000 -- --
Versatel Telecom International NV
(Netherlands) (NON) 23,322 536,999 -- -- -- --
Vodafone Group PLC
(United Kingdom) 4,723,289 17,627,078 4,130,880 15,416,238 440,041 1,642,211
VoiceStream Wireless Corp. (NON) 1,300 150,881 2,700 313,369 -- --
Western Wireless Corp. (NON) 600 21,375 1,200 42,750 -- --
Williams PLC (United Kingdom) 82,300 401,410 138,398 675,022 14,776 72,068
WinStar Communications, Inc. (NON) 500 7,750 1,722 26,691 380 5,890
Worldcom, Inc. (NON) 21,800 662,175 46,300 1,406,363 -- --
-------------- -------------- --------------
82,350,592 78,052,118 6,303,833
Telephone 0.7% 0.4% 0.2%
---------------------------------------------------------------------------------------------------------------------------
BCE, Inc. (Canada) 111,300 2,601,638 29,085 679,862 -- --
Broadwing, Inc. 600 15,338 1,200 30,675 -- --
CT Communications, Inc. 16,800 341,250 26,400 536,250 -- --
Elisa Communications OYJ (Finland) 12,750 455,434 -- -- -- --
Korea Telecom Corp. (South Korea) 43,800 1,472,775 50,300 1,691,338 -- --
Manitoba Telecom Svcs, Inc. (Canada) 25,129 505,387 -- -- -- --
Tampere Telephone PLC (Finland) 14,531 89,735 -- -- -- --
Telecom Corp. of New Zealand, Ltd.
(New Zealand) 50,000 124,267 -- -- -- --
Telecom Italia SpA (Italy) 31,000 329,272 -- -- -- --
TelecomAsia Corporation Public Co.,
Ltd. (Thailand) (NON) 467,800 313,383 -- -- -- --
Telefonica SA (Spain) (NON) 306,830 6,076,888 299,382 5,929,377 67,664 1,340,112
Telefonica SA ADR (Spain) (NON) 9,508 565,132 18,309 1,088,241 -- --
Telekom Malaysia Berhad (Malaysia) 114,000 300,000 -- -- -- --
-------------- -------------- --------------
13,190,499 9,955,743 1,340,112
Textiles 0.2% 0.1% --%
---------------------------------------------------------------------------------------------------------------------------
Adidas-Salomon AG (Germany) 17,400 951,717 -- -- -- --
Culp, Inc. 31,700 126,800 48,400 193,600 -- --
Far Eastern Textile, Ltd. (Taiwan) 243,760 260,810 -- -- -- --
Interface, Inc. 33,800 269,344 53,100 423,141 -- --
Liz Claiborne, Inc. 500 19,250 1,000 38,500 -- --
Nike, Inc. 600 24,038 1,200 48,075 -- --
OshKosh B' Gosh, Inc. Class A 12,500 190,234 19,500 296,766 -- --
Shaw Industries, Inc. 51,800 958,300 89,000 1,646,500 10,800 199,800
Ted Baker PLC (United Kingdom) 7,495 52,176 -- -- -- --
V. F. Corp. 600 14,813 1,200 29,625 -- --
WESCO International, Inc. (NON) 26,500 212,000 -- -- -- --
Wolverine World Wide, Inc. 39,000 363,188 60,800 566,200 -- --
-------------- -------------- --------------
3,442,670 3,242,407 199,800
Tire and Rubber --% --% --%
---------------------------------------------------------------------------------------------------------------------------
Goodyear Tire & Rubber Co. (The) 600 10,800 1,200 21,600 -- --
Michelin Corp. Class B SA (France) 5,000 138,947 -- -- -- --
-------------- -------------- --------------
149,747 21,600 --
Tobacco 0.5% 0.5% 0.2%
---------------------------------------------------------------------------------------------------------------------------
British American Tobacco PLC
(United Kingdom) 80,800 521,876 -- -- -- --
Cie Finance Richemont AG
(Switzerland) 1,763 5,300,223 2,454 7,377,622 261 784,661
ITC, Ltd. (India) 15,800 246,182 -- -- -- --
Philip Morris Cos., Inc. 128,203 3,773,976 226,125 6,656,555 23,871 702,703
R.J. Reynolds Tobacco Holdings,
Inc. 2,000 64,500 4,200 135,450 -- --
UST, Inc. 3,200 73,200 6,700 153,263 -- --
-------------- -------------- --------------
9,979,957 14,322,890 1,487,364
Toys 0.1% 0.1% --%
---------------------------------------------------------------------------------------------------------------------------
Hasbro, Inc. 500 5,719 1,000 11,438 -- --
Mattel, Inc. 3,200 35,800 6,700 74,956 -- --
Nintendo Co., Ltd. (Japan) (NON) 8,400 1,534,129 11,600 2,118,560 1,900 347,005
Toys R Us (NON) 1,600 26,000 3,300 53,625 -- --
Zapf Creaton AG (Germany) 12,694 559,932 -- -- -- --
-------------- -------------- --------------
2,161,580 2,258,579 347,005
Transaction Processing --% 0.1% --%
---------------------------------------------------------------------------------------------------------------------------
Concord EFS, Inc. (NON) 1,700 60,377 3,600 127,856 -- --
NOVA Corp./Georgia (NON) 600 10,275 1,200 20,550 -- --
National Data Corp. 27,500 902,344 43,100 1,414,219 -- --
-------------- -------------- --------------
972,996 1,562,625 --
Transportation Services 0.1% --% --%
---------------------------------------------------------------------------------------------------------------------------
Beijing Capital international Airport
(China) 146,000 26,778 -- -- -- --
Firstgroup PLC (United Kingdom) 218,294 703,352 -- -- -- --
Grupo Aeroportuario del Sureste SA
de CV ADR (Mexico) (NON) 61,900 940,106 -- -- -- --
TNT Post Group NV (Netherlands) 4,800 111,581 -- -- -- --
-------------- -------------- --------------
1,781,817 -- --
Trucks and Parts --% --% --%
---------------------------------------------------------------------------------------------------------------------------
Johnson Controls, Inc. 1,000 53,188 2,100 111,694 -- --
PACCAR, Inc. 500 18,531 1,000 37,063 -- --
-------------- -------------- --------------
71,719 148,757 --
Utilities --% --% --%
---------------------------------------------------------------------------------------------------------------------------
BSES, Ltd. GDR (India) 44,600 219,609 -- -- -- --
Celcaribe S.A. (France) (NON) 28,943 3,618 -- -- 2,316 290
Electrabel SA (Belgium) 800 167,900 -- -- -- --
Tenneco, Inc. (Malaysia) 69,000 205,184 -- -- -- --
-------------- -------------- --------------
596,311 -- 290
Waste Management 0.1% 0.2% 0.1%
---------------------------------------------------------------------------------------------------------------------------
Republic Services, Inc. (NON) 38,300 502,688 65,200 855,750 8,200 107,625
Stericycle, Inc. (NON) 6,400 156,800 10,000 245,000 -- --
Waste Connections, Inc. (NON) 7,900 202,438 35,200 902,000 -- --
Waste Management, Inc. 90,100 1,571,119 155,000 2,702,813 18,300 319,106
-------------- -------------- --------------
2,433,045 4,705,563 426,731
Water Utilities --% --% --%
---------------------------------------------------------------------------------------------------------------------------
Anglian Water PLC (United Kingdom) 15,800 135,210 -- -- -- --
-------------- -------------- --------------
Total Common Stocks
(cost $1,294,483,631, $1,410,971,863
and $112,609,147) $1,346,293,316 $1,583,110,699 $122,899,699
---------------------------------------------------------------------------------------------------------------------------
GROWTH BALANCED CONSERVATIVE
12.3% 3.6% 7.3%
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 $ -- $ -- $ 120,791 $ 120,229 $ 116,209 $ 115,669
Advanta Mortgage Loan Trust Ser.
99-2, Class A4, 6.89s, 2029 1,400,000 1,341,594 6,000,000 5,749,688 3,000,000 2,874,844
Advanta Mortgage Loan Trust Ser.
97-4, Class A7, 6.63s, 2029 -- -- 1,515,000 1,478,013 1,275,000 1,243,872
CN Finance Ser. 00-5, Class A6,
7.96s, 2032 505,000 505,947 2,105,000 2,108,947 1,090,000 1,092,044
Capital One Master Trust Ser.
99-2, Class A, 6.74s, 2005 12,679,000 12,651,233 4,212,000 4,202,776 609,000 607,666
Capital One Master Trust Ser.
96-2, Class A, 6.72s, 2005 8,435,000 8,432,301 2,870,000 2,869,082 1,695,000 1,694,458
Chase Credit Card Master Trust
Ser. 00-2, Class A, 6.72s, 2005 10,012,000 10,021,311 3,326,000 3,329,093 2,162,000 2,164,011
Chevy Chase Master Credit Card
Trust Ser. 95-C, Class A, 6.88s,
2006 6,488,000 6,494,034 2,208,000 2,210,053 1,304,000 1,305,213
Citibank Credit Card Issuance
Trust Ser. 00-A1, Class A1, 6.9s,
2007 2,500,000 2,506,250 -- -- -- --
Conseco Finance Securitization
Ser. 00-4, Class A6, 8.31s,
2032 505,000 515,413 2,070,000 2,112,683 1,080,000 1,102,270
Conseco Finance Securitization
Corp. Ser. 00-4, Class A4, 7.73s,
2032 1,515,000 1,533,453 6,200,000 6,275,516 3,240,000 3,279,463
Contimortgage Home Equity Loan
Trust Ser. 97-1, Class M2, 7.67s,
2028 -- -- 38,986 19,286 -- --
Discover Card Master Trust I Ser.
00-3, Class A, 6.74s, 2005 15,000,000 15,000,000 5,000,000 5,000,000 5,000,000 5,000,000
Federal Home Loan Mortgage
Acceptance Corp. Ser. T-25,
Class A1, 6.76s, 2030 22,064,115 22,064,115 1,885,298 1,885,298 -- --
First Plus Ser. 98-A, Class A,
8 1/2s, 2023 179,015 133,310 386,509 287,829 594,004 442,347
First USA Credit Card Master
Trust Ser. 95-2, Class A, 6.86s,
2004 7,096,000 7,115,940 1,304,000 1,307,664 -- --
First USA Credit Card Master
Trust Ser. 98-1, Class A, 6.70s,
2006 9,495,000 9,497,943 3,155,000 3,155,978 2,050,000 2,050,636
Fleet Credit Card Master Trust II
Ser. 00-B, Class A, 6.223s,
2005 15,000,000 15,004,650 5,000,000 5,001,550 5,000,000 5,001,550
MBNA Master Credit Card Trust
Ser. 96-E, Class A, 6.97s,
2005 30,000,000 30,075,000 12,000,000 12,030,000 8,000,000 8,020,000
MBNA Master Credit Card Trust
Ser. 95-E, Class A, 6.84s,
2005 9,213,000 9,241,745 787,000 789,455 -- --
MBNA Master Credit Card Trust
Ser. 96-J, Class A, 6.77s,
2006 30,000,000 30,056,100 20,000,000 20,037,400 20,000,000 20,037,400
MBNA Master Credit Card Trust
Ser. 96-K, Class A, 6.75s,
2006 9,365,000 9,376,706 3,112,000 3,115,890 2,023,000 2,025,529
MBNA Master Credit Card Trust
Ser. 00-B, Class A, 6.74s,
2005 30,000,000 30,018,600 10,000,000 10,006,200 -- --
MBNA Master Credit Card Trust
Ser. 98-A, Class A, 6.73s,
2005 21,345,000 21,351,617 4,743,000 4,744,470 2,407,000 2,407,746
Provident Bank Home Equity Loan
Trust Ser. 99-1, class A2, 6.77s,
2019 -- -- 180,498 180,498 -- --
-------------- -------------- --------------
Total Asset Backed Securities
(cost $242,912,271, $97,960,942
and $60,534,144) $ 242,937,262 $ 98,017,598 $ 60,464,718
---------------------------------------------------------------------------------------------------------------------------
GROWTH BALANCED CONSERVATIVE
8.2% 11.2% 33.0%
CORPORATE BONDS Principal Principal Principal
AND NOTES (a) Amount Value Amount Value Amount Value
Advertising and Marketing Services 0.1% --% 0.1%
---------------------------------------------------------------------------------------------------------------------------
Adams Outdoor Advertising sr.
notes 10 3/4s, 2006 $ 95,000 $ 97,850 $ -- $ -- $ 60,000 $ 61,800
Interact Operating Co. notes
14s, 2003 228,980 11,449 -- -- 51,520 2,576
Lamar Media Corp. company guaranty
9 5/8s, 2006 530,000 542,588 -- -- 615,000 629,606
Lamar Media Corp. sr. sub. notes 9
1/4s, 2007 835,000 847,525 -- -- 110,000 111,650
Lamar Media Corp. company guaranty
8 5/8s, 2007 75,000 73,875 -- -- 10,000 9,850
SFX Entertainment, Inc. company
guaranty 9 1/8s, 2008 290,000 303,050 -- -- -- --
SFX Entertainment, Inc. 144A
company guaranty Ser. B, 9 1/8s,
2008 340,000 355,300 -- -- 450,000 470,250
-------------- -------------- --------------
2,231,637 -- 1,285,732
Aerospace and Defense 0.2% 0.5% 1.0%
---------------------------------------------------------------------------------------------------------------------------
Argo-Tech Corp. company guaranty
8 5/8s, 2007 835,000 688,875 -- -- 220,000 181,500
Argo-Tech Corp. company guaranty
Ser. D, 8 5/8s, 2007 80,000 65,600 -- -- 240,000 196,800
BE Aerospace, Inc. sr. sub. notes
9 1/2s, 2008 405,000 395,888 -- -- 300,000 293,250
BE Aerospace, Inc. sr. sub. notes
Ser. B, 8s, 2008 380,000 341,050 -- -- -- --
Decrane Aircraft Holdings company
guaranty Ser. B, 12s, 2008 -- -- -- -- 150,000 138,750
L-3 Communications Corp. sr. sub.
notes Ser. B, 10 3/8s, 2007 465,000 475,463 -- -- 380,000 388,550
L-3 Communications Corp. sr. sub.
notes 8 1/2s, 2008 320,000 298,400 -- -- 70,000 65,275
L-3 Communications Corp. company
guaranty Ser. B, 8s, 2008 300,000 271,500 -- -- 80,000 72,400
Lockheed Martin Corp. bonds 8 1/2s,
2029 -- -- 3,265,000 3,440,428 1,830,000 1,928,326
Lockheed Martin Corp. company
guaranty 7.45s, 2004 -- -- 2,770,000 2,793,684 1,435,000 1,447,269
Lockheed Martin Corp. company
guaranty 7 1/4s, 2006 -- -- 4,765,000 4,726,642 2,475,000 2,455,076
Moog, Inc. sr. sub. notes Ser.
B, 10s, 2006 580,000 575,650 -- -- 220,000 218,350
Sequa Corp. med. term notes 10s,
2001 120,000 120,850 -- -- 30,000 30,212
Sequa Corp. sr. notes 9s, 2009 50,000 49,000 1,070,000 1,048,600 990,000 970,200
-------------- -------------- --------------
3,282,276 12,009,354 8,385,958
Agriculture --% --% --%
---------------------------------------------------------------------------------------------------------------------------
Premium Standard Farms, Inc. sr.
sec. notes 11s, 2003 (PIK) 21,122 19,221 -- 519,560 472,800
Airlines 0.1% 0.2% 0.5%
---------------------------------------------------------------------------------------------------------------------------
Airbus Industries 144A equipment
trust 12.266s, 2020 200,000 212,291 548,692 582,412 450,000 477,655
Calair LLC 144A company guaranty
8 1/8s, 2008 710,000 667,400 1,970,000 1,851,800 1,100,000 1,034,000
Continental Airlines, Inc. notes 8s,
2005 130,000 123,375 -- -- 70,000 66,433
Continental Airlines, Inc.
pass-through certificates Ser.
981C, 6.541s, 2009 -- -- 2,099,375 2,006,330 1,112,489 1,063,184
Northwest Airlines, Inc. company
guaranty 8.52s, 2004 -- -- 1,100,000 1,062,424 950,000 917,548
Northwest Airlines, Inc. company
guaranty 8 3/8s, 2004 410,000 392,743 -- -- 40,000 38,316
Northwest Airlines, Inc. company
guaranty 7 7/8s, 2008 -- -- -- -- 40,000 36,453
Northwest Airlines, Inc. company
guaranty 7 5/8s, 2005 -- -- -- -- 130,000 121,573
US Air, Inc. pass-through
certificates Ser. 93A3, 10 3/8s,
2013 90,000 82,125 -- -- 100,000 91,250
US Air, Inc. pass-through
certificates Ser. 93-A2, 9 5/8s,
2003 100,000 95,572 1,100,000 1,051,292 400,000 382,288
-------------- -------------- --------------
1,573,506 6,554,258 4,228,700
Automotive 0.3% 0.4% 1.1%
---------------------------------------------------------------------------------------------------------------------------
Aftermarket Technology Corp. sr.
sub. notes 12s, 2004 763,000 763,000 -- -- 398,000 398,000
Chrysler Corp. deb. Ser. B, 7.45s,
2097 -- -- 1,715,000 1,554,699 990,000 897,465
Collins & Aikman Products, Inc.
company guaranty 11 1/2s, 2006 160,000 155,200 -- -- 80,000 77,600
Delphi Automotive Systems Corp.
notes 6 1/8s, 2004 -- -- 3,660,000 3,493,031 1,895,000 1,808,550
Dura Operating Corp. company
guaranty Ser. B, 9s, 2009 650,000 559,000 -- -- 340,000 292,400
Federal Mogul Corp. notes 7 3/4s,
2006 1,510,000 588,900 490,000 191,100 1,050,000 409,500
Federal Mogul Corp. notes 7 1/2s,
2009 280,000 106,400 3,370,000 1,280,600 3,180,000 1,208,400
Federal Mogul Corp. notes 7 3/8s,
2006 90,000 35,100 240,000 93,600 90,000 35,100
Hayes Wheels International, Inc.
144A sr. sub. notes 9 1/8s,
2007 -- -- -- -- 320,000 280,000
Hayes Wheels International, Inc.
company guaranty Ser. B, 9 1/8s,
2007 665,000 591,850 -- -- 280,000 249,200
Lear Corp. sub. notes 9 1/2s,
2006 150,000 151,367 730,000 736,650 250,000 252,278
Lear Corp. company guaranty 8.11s,
2009 720,000 684,475 -- -- 450,000 427,797
Lear Corp. company guaranty Ser. B,
7.96s, 2005 40,000 38,325 -- -- -- --
Navistar International Corp. sr.
notes Ser. B, 7s, 2003 500,000 475,000 640,000 608,000 250,000 237,500
Oxford Automotive, Inc. company
guaranty Ser. D, 10 1/8s, 2007 700,000 630,000 -- -- 370,000 333,000
Safety Components International,
Inc. sr. sub. notes Ser. B, 10
1/8s, 2007 (In default) (NON) 160,000 64,000 -- -- 35,000 14,000
Talon Automotive Group sr. sub.
notes Ser. B, 9 5/8s, 2008 780,000 195,000 -- -- 190,000 47,500
Tenneco, Inc. company guaranty
Ser. B, 11 5/8s, 2009 (Malaysia) 720,000 460,800 -- -- 390,000 249,600
Visteon Corp. sr. notes 8 1/4s,
2010 -- -- 3,780,000 3,785,973 1,950,000 1,953,081
-------------- -------------- --------------
5,498,417 11,743,653 9,170,971
Banking 0.1% 1.4% 3.1%
---------------------------------------------------------------------------------------------------------------------------
Bank One Corp. sub notes 7 7/8s,
2010 -- -- 5,725,000 5,858,074 2,950,000 3,018,571
BankAmerica Corp. sr. notes 5 7/8s,
2009 -- -- 4,750,000 4,317,180 2,490,000 2,263,111
Bank United Corp. sub. notes 8 7/8s,
2007 120,000 118,723 2,025,000 2,003,454 1,785,000 1,766,008
Chevy Chase Savings Bank, Inc.
sub. deb. 9 1/4s, 2008 460,000 424,350 -- -- -- --
Chevy Chase Savings Bank, Inc.
sub. deb. 9 1/4s, 2005 120,000 112,950 -- -- 300,000 282,375
Citicorp sub. notes 6 3/8s, 2008 -- -- 1,190,000 1,130,262 565,000 536,637
Citigroup, Inc. deb. 6 5/8s, 2028 -- -- 1,770,000 1,554,626 970,000 851,970
Colonial Capital II 144A company
guaranty 8.92s, 2027 35,000 32,212 540,000 496,984 980,000 901,933
Dime Capital Trust I bank guaranty
Ser. A, 9.33s, 2027 -- -- -- -- 30,000 27,584
First Union Institute Capital I
bonds 8.04s, 2026 -- -- 4,530,000 4,045,924 2,370,000 2,116,742
First Union National Bank sub.
notes 7 7/8s, 2010 -- -- 1,910,000 1,940,445 1,075,000 1,092,136
Firstar Bank Milwaukee sr. bank
notes 6 1/4s, 2002 -- -- 1,420,000 1,396,542 805,000 791,701
GS Escrow Corp. sr. notes 7 1/8s,
2005 875,000 807,905 3,850,000 3,554,782 3,565,000 3,291,636
Imperial Bank sub. notes 8 1/2s,
2009 -- -- 2,700,000 2,458,408 2,300,000 2,094,199
Merita Bank, Ltd. sub. notes 6 1/2s,
2006 (Finland) -- -- 1,230,000 1,181,944 645,000 619,800
NationsBank Corp. sub. notes 6 7/8s,
2005 -- -- 1,385,000 1,371,081 740,000 732,563
Peoples Bank-Bridgeport sub. notes
7.2s, 2006 -- -- 1,075,000 1,002,180 595,000 554,695
Peoples Heritage Capital Trust
company guaranty Ser. B, 9.06s,
2027 -- -- 210,000 205,764 175,000 171,470
Provident Capital Trust company
guaranty 8.6s, 2026 -- -- 190,000 160,514 -- --
Riggs Capital Trust 144A bonds
8 5/8s, 2026 35,000 27,978 120,000 95,926 70,000 55,957
Sovereign Bancorp, Inc. sr. notes
10 1/2s, 2006 190,000 192,850 4,420,000 4,486,300 3,730,000 3,785,950
Sovereign Capital Trust company
guaranty 9s, 2027 50,000 36,685 -- -- 45,000 33,017
St. Paul Bancorp sr. notes 7 1/8s,
2004 -- -- 1,070,000 1,043,100 585,000 570,293
Superior Financial 144A sr. notes
8.65s, 2003 -- -- -- -- 240,000 232,684
Webster Capital Trust I 144A bonds
9.36s, 2027 5,000 4,255 20,000 17,022 140,000 119,153
-------------- -------------- --------------
1,757,908 38,320,512 25,910,185
Beverage 0.1% --% 0.1%
---------------------------------------------------------------------------------------------------------------------------
Triarc Consumer Products, Inc.
company guaranty 10 1/4s, 2009 980,000 1,096,375 -- -- 510,000 570,563
Broadcasting 0.6% 0.2% 1.3%
---------------------------------------------------------------------------------------------------------------------------
AMFM Operating, Inc. deb. 12 5/8s,
2006 (PIK) 25,500 29,198 63,600 72,822 22,200 25,419
Acme Television sr. disc. notes
10 7/8s, 2004 680,000 646,000 -- -- 360,000 342,000
Allbritton Communications Co. sr.
sub. notes Ser. B, 8 7/8s, 2008 680,000 635,800 -- -- 360,000 336,600
Benedek Communications Corp. sr.
disc. notes stepped-coupon zero %
(13 1/4s, 5/15/01), 2006 (STP) 1,050,000 905,625 -- -- 565,000 487,313
Capstar Broadcasting sr. disc.
notes stepped-coupon zero %
(12 3/4s, 2/1/02), 2009 (STP) 1,060,000 1,014,950 -- -- 915,000 876,113
Capstar Broadcasting sub. deb.
12s, 2009 (PIK) 234,100 269,215 -- -- 56,900 65,435
Capstar Broadcasting sr. sub.
notes 9 1/4s, 2007 1,080,000 1,101,600 -- -- 195,000 198,900
Citadel Broadcasting, Inc. sr.
sub. notes 10 1/4s, 2007 104,370 108,545 -- -- 240,000 249,600
Diva Systems Corp. sr. disc.
notes, stepped-coupon Ser. B,
zero % (12 5/8s, 3/1/03), 2008
(STP) 1,719,000 756,360 -- -- 403,000 177,320
Echostar Broadband Corp. 144A
sr. notes 10 3/8s, 2007 2,360,000 2,360,000 -- -- 1,250,000 1,250,000
Fox Family Worldwide, Inc. sr.
disc. notes stepped-coupon zero %
(10 1/4s, 11/1/02), 2007 (STP) 140,000 101,850 -- -- 80,000 58,200
Fox Family Worldwide, Inc. sr.
notes 9 1/4s, 2007 460,000 440,450 -- -- 250,000 239,375
Golden Sky DBS, Inc. sr. disc.
notes, stepped-coupon Ser. B,
zero % (13 1/2s, 3/1/04), 2007
(STP) 575,000 405,375 -- -- -- --
Golden Sky Systems company
guaranty Ser. B, 12 3/8s, 2006 750,000 821,250 -- -- 300,000 328,500
Granite Broadcasting Corp. sr.
sub. notes 9 3/8s, 2005 225,000 182,250 -- -- -- --
Granite Broadcasting Corp. sr.
sub. notes 8 7/8s, 2008 -- -- -- -- 150,000 105,000
Knology Holdings, Inc. sr. disc.
notes stepped-coupon zero %
(11 7/8s, 10/15/02), 2007 (STP) 655,000 343,875 -- -- 260,000 136,500
LIN Holdings Corp. sr. disc.
notes stepped-coupon zero %
(10s, 3/1/2003), 2008 (STP) 350,000 252,000 -- -- 350,000 252,000
LIN Television Corp. company
guaranty 8 3/8s, 2008 740,000 708,550 -- -- 290,000 277,675
News America Holdings, Inc. deb.
7.7s, 2025 -- -- 6,585,000 6,061,032 3,590,000 3,304,344
Onepoint Communications, Inc.
company guaranty Ser. B, 14 1/2s,
2008 190,000 190,950 -- -- 50,000 50,250
PHI Holdings, Inc. sr. sub.
notes zero %, 2001 606,000 570,125 -- -- 788,000 741,350
Pegasus Communications Corp. sr.
notes Ser. B, 9 3/4s, 2006 150,000 146,250 -- -- 40,000 39,000
Pegasus Media & Communications
notes Ser. B, 12 1/2s, 2005 200,000 208,000 -- -- 160,000 166,400
RCN Corp. sr. notes 10 1/8s,
2010 -- -- -- -- 170,000 121,550
Radio One, Inc. company guaranty
Ser. B, 7s, 2004 255,000 270,300 -- -- 130,000 137,800
Scandinavian Broadcasting System
SA cv. sub. notes 7s, 2004
(Luxembourg) -- -- 300,000 420,375 200,000 280,250
Spanish Broadcasting System, Inc.
sr. sub notes 9 5/8s, 2009 360,000 359,100 -- -- 190,000 189,525
-------------- -------------- --------------
12,827,618 6,554,229 10,436,419
Building Materials 0.2% --% 0.2%
---------------------------------------------------------------------------------------------------------------------------
American Architectural Products Corp.
company guaranty 11 3/4s, 2007
(In default) (NON) 125,000 22,500 -- -- 25,000 4,500
American Standard, Inc. company
guaranty 7 5/8s, 2010 315,000 296,888 -- -- 270,000 254,475
American Standard, Inc. company
guaranty 7 1/8s, 2003 425,000 413,313 -- -- 110,000 106,975
Atrium Companies, Inc. company
guaranty Ser. B, 10 1/2s, 2009 210,000 189,000 -- -- 50,000 45,000
Building Materials Corp. company
guaranty 8s, 2008 330,000 207,900 1,240,000 781,200 930,000 585,900
Dayton Superior Corp. company
guaranty 13s, 2009 560,000 562,800 -- -- 280,000 281,400
NCI Building Systems, Inc. sr.
sub. notes Ser. B, 9 1/4s, 2009 380,000 358,150 -- -- 100,000 94,250
-------------- -------------- --------------
2,050,551 781,200 1,372,500
Cable Television 0.4% 0.2% 1.0%
---------------------------------------------------------------------------------------------------------------------------
Adelphia Communications Corp. sr.
notes Ser. B, 9 7/8s, 2007 585,000 549,900 -- -- 295,000 277,300
Adelphia Communications Corp. sr.
notes Ser. B, 8 3/8s, 2008 60,000 52,350 -- -- -- --
Adelphia Communications Corp. sr.
notes 7 7/8s, 2009 -- -- 835,000 695,138 280,000 233,100
CSC Holdings, Inc. sr. sub. deb.
10 1/2s, 2016 10,000 10,713 10,000 10,713 260,000 278,525
CSC Holdings, Inc. sr. sub. deb.
9 7/8s, 2013 375,000 384,375 1,310,000 1,342,750 1,560,000 1,599,000
CSC Holdings, Inc. sr. notes
7 7/8s, 2007 -- -- 1,285,000 1,268,475 630,000 621,898
CSC Holdings, Inc. sr. notes
7 1/4s, 2008 -- -- 310,000 292,553 110,000 103,809
Century Communications Corp. sr.
notes 8 7/8s, 2007 130,000 118,950 30,000 27,450 50,000 45,750
Charter Communications Holdings
LLC sr. disc. notes, stepped-coupon
zero % (11 3/4s, 1/15/05), 2010
(STP) 70,000 40,950 -- -- 40,000 23,400
Charter Communications Holdings
LLC sr. notes 8 5/8s, 2009 1,840,000 1,646,800 -- -- 975,000 872,625
Classic Cable, Inc. company
guaranty 10 1/2s, 2010 210,000 178,500 -- -- 60,000 51,000
Comcast UK Cable, Ltd. deb.
stepped-coupon zero % (11.2s,
11/15/00), 2007 (Bermuda) (STP) 550,000 519,750 -- -- 1,090,000 1,030,050
Diamond Cable Communication Co.
sr. disc. notes stepped-coupon
zero % (10 3/4s, 2/15/02), 2007
(United Kingdom) (STP) 1,025,000 786,688 1,070,000 821,225 1,330,000 1,020,775
Jones Intercable, Inc. sr.
notes 8 7/8s, 2007 -- -- 1,230,000 1,274,194 340,000 352,216
NTL Communications Corp. 144A
sr. notes 11 7/8s, 2010 1,320,000 1,293,600 -- -- 210,000 205,800
NTL Communications Corp. sr.
notes Ser. B, 11 1/2s, 2008 300,000 291,750 -- -- -- --
Supercanal Holdings S.A. 144A sr.
notes 11 1/2s, 2005 (In default)
(Argentina) (NON) 420,000 176,400 -- -- 100,000 42,000
TeleWest Communications PLC 144A
sr. disc. notes stepped-coupon
zero % (11 3/8s, 2/1/05), 2010
(United Kingdom) (STP) -- -- -- -- 260,000 137,800
TeleWest Communications PLC deb.
stepped-coupon zero % (11s,
10/1/00), 2007 (United Kingdom)
(STP) 710,000 678,050 -- -- 170,000 162,350
TeleWest Communications PLC
144A sr. notes 9 7/8s, 2010
(United Kingdom) 620,000 570,400 -- -- 390,000 358,800
TeleWest Communications PLC sr.
disc. notes zero % (9 1/4s,
4/15/04) 2009 (United Kingdom)
(STP) 60,000 31,800 -- -- 30,000 15,900
United Pan-Europe NV sr. disc.
notes stepped-coupon Ser. B,
zero % (13 3/4s, 2/01/05), 2010
(Netherlands) (STP) 1,250,000 575,000 -- -- 490,000 225,400
United Pan-Europe NV sr. disc.
notes stepped coupon zero %
(12 1/2s, 8/1/04), 2009
(Netherlands) (STP) 80,000 38,400 -- -- 460,000 220,800
United Pan-Europe NV sr. notes
Ser. B, 10 7/8s, 2009 (Netherlands) -- -- -- -- 80,000 67,800
Williams Communications Group,
Inc. 144A sr. notes 11.7s, 2008 400,000 388,000 -- -- 210,000 203,700
-------------- -------------- --------------
8,332,376 5,732,498 8,149,798
Chemicals 0.3% 0.5% 1.4%
---------------------------------------------------------------------------------------------------------------------------
Arco Chemical Co. deb. 9.8s, 2020 -- -- -- -- 240,000 235,200
du Pont (E.I.) de Nemours & Co.,
Ltd. notes 6 7/8s, 2009 -- -- 6,715,000 6,579,961 3,475,000 3,405,118
Geo Specialty Chemicals, Inc. sr.
sub. notes 10 1/8s, 2008 340,000 299,200 -- -- 70,000 61,600
Huntsman Corp. 144A sr. sub. notes
9 1/2s, 2007 140,000 120,400 -- -- 360,000 309,600
Huntsman Corp. 144A sr. sub. notes
FRN 10.0262s, 2007 760,000 615,600 -- -- 100,000 81,000
Huntsman ICI Chemicals, Inc.
company guaranty 10 1/8s, 2009 1,490,000 1,467,650 -- -- 800,000 788,000
ISP Holdings, Inc. sr. notes
Ser. B, 9 3/4s, 2002 190,000 185,725 895,000 874,863 835,000 816,213
ISP Holdings, Inc. sr. notes
Ser. B, 9s, 2003 100,000 90,000 -- -- 50,000 45,000
Lyondell Petrochemical Co. sr.
sub. notes 10 7/8s, 2009 -- -- -- -- 710,000 688,700
Lyondell Petrochemical Co. sec.
notes Ser. B, 9 7/8s, 2007 1,630,000 1,597,400 2,950,000 2,891,000 3,575,000 3,503,500
Lyondell Petrochemical Co. notes
Ser. A, 9 5/8s, 2007 310,000 303,800 1,780,000 1,744,400 660,000 646,800
PCI Chemicals & Pharmaceuticals
company guaranty 9 1/4s, 2007
(India) 100,000 49,500 -- -- -- --
Pioneer Americas Acquisition 144A
sr. notes 9 1/4s, 2007 185,000 118,400 -- -- 90,000 57,600
Polymer Group, Inc. company
guaranty Ser. B, 9s, 2007 70,000 56,000 -- -- 120,000 96,000
Polymer Group, Inc. company
guaranty Ser. B, 8 3/4s, 2008 440,000 347,600 -- -- 150,000 118,500
Polytama International notes
11 1/4s, 2007 (Indonesia) 203,146 16,516 -- -- 48,368 3,932
Royster-Clark, Inc. 1st mtge.
10 1/4s, 2009 495,000 371,250 -- -- 450,000 337,500
Sterling Chemicals Holdings sr.
disc. notes stepped-coupon zero %
(13 1/2s, 8/15/01), 2008 (STP) 370,000 148,000 -- -- 100,000 40,000
Sterling Chemicals, Inc. company
guaranty Ser. B, 12 3/8s, 2006 500,000 510,000 -- -- 260,000 265,200
Texas Petrochemical Corp. sr.
sub. notes Ser. B, 11 1/8s, 2006 140,000 119,000 -- -- 70,000 59,500
-------------- -------------- --------------
6,416,041 12,090,224 11,558,963
Coal --% --% --%
---------------------------------------------------------------------------------------------------------------------------
Lodestar Holdings, Inc. company
guaranty 11 1/2s, 2005 710,000 99,400 -- -- 190,000 26,600
Commercial and Consumer Services --% --% 0.1%
---------------------------------------------------------------------------------------------------------------------------
Coinmach Corp. sr. notes Ser.
D, 11 3/4s, 2005 830,000 830,000 -- -- 440,000 440,000
Computers --% --% 0.1%
---------------------------------------------------------------------------------------------------------------------------
Unisys Corp. sr. notes 7 7/8s,
2008 310,000 286,750 670,000 619,750 600,000 555,000
Conglomerates --% 0.1% 0.2%
---------------------------------------------------------------------------------------------------------------------------
Tyco International, Ltd. company
guaranty 6 3/8s, 2005 -- -- 935,000 908,268 515,000 500,276
Tyco International, Ltd. company
guaranty 6 1/4s, 2003 -- -- 1,785,000 1,738,769 1,030,000 1,003,323
-------------- -------------- --------------
-- 2,647,037 1,503,599
Construction --% --% --%
---------------------------------------------------------------------------------------------------------------------------
Morrison Knudsen Corp. 144A sr.
notes 11s, 2010 720,000 738,000 -- -- 375,000 384,375
Republic Group, Inc. sr. sub.
notes 9 1/2s, 2008 55,000 54,450 -- -- -- --
-------------- -------------- --------------
792,450 -- 384,375
Consumer 0.1% 0.1% 0.2%
---------------------------------------------------------------------------------------------------------------------------
Fortune Brands, Inc. 144A sr. notes
7 1/8s, 2004 -- -- 3,040,000 3,033,160 1,690,000 1,686,198
Home Interiors & Gifts, Inc.
company guaranty 10 1/8s, 2008 730,000 218,088 -- -- 370,000 110,538
Samsonite Corp. sr. sub. notes
10 3/4s, 2008 1,090,000 861,100 -- -- 220,000 173,800
-------------- -------------- --------------
1,079,188 3,033,160 1,970,536
Consumer Finance --% 0.9% 1.5%
---------------------------------------------------------------------------------------------------------------------------
Associates First Capital Corp. sr.
notes 6 1/4s, 2008 -- -- 3,590,000 3,354,891 2,030,000 1,897,055
Contifinancial Corp. sr. notes
8 3/8s, 2003 (In default) (NON) 505,000 70,700 -- -- 135,000 18,900
Contifinancial Corp. sr. notes
8 1/8s, 2008 (In default) (NON) 730,000 102,200 -- -- 200,000 28,000
Contifinancial Corp. sr. notes
7 1/2s, 2002 (In default) (NON) 810,000 113,400 -- -- 210,000 29,400
Finova Capital Corp. sr. notes
7 5/8s, 2009 -- -- 2,700,000 1,876,500 1,300,000 903,500
Finova Capital Corp. notes 7.4s,
2007 -- -- 520,000 353,600 290,000 197,200
Finova Capital Corp. notes 7 1/4s,
2004 -- -- 2,050,000 1,537,500 1,120,000 840,000
Ford Motor Credit Corp. notes
7 3/8s, 2009 -- -- 5,475,000 5,349,185 2,840,000 2,774,737
Ford Motor Credit Corp. sr. notes
5.8s, 2009 -- -- 2,690,000 2,380,058 1,510,000 1,336,018
General Motors Acceptance Corp.
notes 6 5/8s, 2002 -- -- 1,600,000 1,589,120 900,000 893,880
Household Finance Corp. notes 8s,
2005 -- -- 6,800,000 7,025,760 3,545,000 3,662,694
Outsourcing Solutions, Inc. sr.
sub. notes Ser. B, 11s, 2006 100,000 85,000 -- -- 215,000 182,750
-------------- -------------- --------------
371,300 23,466,614 12,764,134
Consumer Goods --% 0.2% 0.5%
---------------------------------------------------------------------------------------------------------------------------
French Fragrances, Inc. company
guaranty Ser. D, 10 3/8s, 2007 180,000 175,500 -- -- 40,000 39,000
French Fragrances, Inc. sr. notes
Ser. B, 10 3/8s, 2007 115,000 114,425 -- -- 30,000 29,850
NBTY, Inc. 144A sr. sub. notes
8 5/8s, 2007 -- -- -- -- 530,000 453,150
Procter & Gamble Co. unsub. 6 7/8s,
2009 -- -- 6,210,000 6,158,271 3,240,000 3,213,011
Revlon Consumer Products sr. notes
9s, 2006 530,000 381,600 -- -- 275,000 198,000
-------------- -------------- --------------
671,525 6,158,271 3,933,011
Consumer Services --% --% --%
---------------------------------------------------------------------------------------------------------------------------
Iron Mountain, Inc. sr. sub. notes
8 1/4s, 2011 490,000 445,900 -- -- 40,000 36,400
Containers 0.3% 0.2% 0.5%
---------------------------------------------------------------------------------------------------------------------------
AEP Industries, Inc. sr. sub. notes
9 7/8s, 2007 935,000 790,075 -- -- 470,000 397,150
Ball Corp. company guaranty 8 1/4s,
2008 290,000 272,600 2,275,000 2,138,500 455,000 427,700
Ball Corp. company guaranty 7 3/4s,
2006 -- -- 545,000 512,300 1,877,000 1,764,380
Consumers International sr. notes
10 1/4s, 2005 15,000 6,000 -- -- 5,000 2,000
Huntsman Packaging Corp. 144A
company guaranty 13s, 2010 -- -- -- -- 160,000 149,859
Owens-Illinois, Inc. sr. notes
8.1s, 2007 350,000 318,458 -- -- 510,000 464,039
Owens-Illinois, Inc. sr. notes
7.35s, 2008 220,000 189,493 560,000 482,345 190,000 163,653
Owens-Illinois, Inc. sr. notes
7.15s, 2005 430,000 393,076 670,000 612,467 230,000 210,250
Radnor Holdings, Inc. sr. notes
10s, 2003 185,000 164,650 365,000 324,850 170,000 151,300
Tekni-Plex, Inc. 144A sr. sub.
notes 12 3/4s, 2010 960,000 945,600 -- -- 510,000 502,350
-------------- -------------- --------------
3,079,952 4,070,462 4,232,681
Distribution --% --% --%
---------------------------------------------------------------------------------------------------------------------------
RAB Enterprises, Inc. company
guaranty 10 1/2s, 2005 700,000 560,000 -- -- 160,000 128,000
Electric Utilities --% 0.3% 0.8%
---------------------------------------------------------------------------------------------------------------------------
Arizona Public Service Co. sr.
notes 6 3/4s, 2006 -- -- 1,975,000 1,899,476 1,135,000 1,091,598
CMS Energy Corp. sr. notes 7 1/2s,
2009 -- -- -- -- 70,000 62,498
CMS Energy Corp. pass-through
certificates 7s, 2005 480,000 441,782 900,000 828,342 460,000 423,375
CMS Energy Corp. sr. notes Ser.
B, 6 3/4s, 2004 -- -- 1,750,000 1,636,250 2,400,000 2,244,000
Cleveland Electric Illuminating Co.
1st mtge. Ser. B, 9 1/2s, 2005 60,000 60,833 -- -- 150,000 152,084
Jersey Central Power & Light Co.
1st mtge. med. term note 6.85s,
2006 -- -- 420,000 411,886 230,000 225,556
NRG Northeast Generating Corp.
144A notes 8.065s, 2004 -- -- 2,440,000 2,448,833 1,310,000 1,314,742
Northeast Utilities System notes
Ser. A, 8.58s, 2006 14,940 15,197 37,349 37,993 180,553 183,668
Northeast Utilities System
notes Ser. B, 8.38s, 2005 82,133 82,356 238,933 239,581 134,400 134,764
PP&L Capital Funding, Inc. company
guaranty 5.9s, 2000 -- -- 665,000 664,814 360,000 359,899
Panda Global Energy Co. company
guaranty 12 1/2s, 2004 (China) 20,000 9,000 -- -- 5,000 2,250
Toledo Edison Co. med. term notes
9.22s, 2021 -- -- -- -- 500,000 525,165
-------------- -------------- --------------
609,168 8,167,175 6,719,599
Energy 0.3% 0.2% 0.6%
---------------------------------------------------------------------------------------------------------------------------
AES Corp. sr. notes 9 3/8s,
2010 1,210,000 1,228,150 -- -- 640,000 649,600
Cliffs Drilling Co. company
guaranty Ser. D, 10 1/4s, 2003 200,000 206,000 150,000 154,500 500,000 515,000
Leviathan Gas Corp. company
guaranty Ser. B, 10 3/8s, 2009 430,000 453,650 620,000 654,100 700,000 738,500
Parker Drilling Corp. company
guaranty Ser. D, 9 3/4s, 2006 -- -- -- -- 250,000 251,875
Petro Geo-Services ADR notes
7 1/2s, 2007 (Norway) -- -- 1,295,000 1,275,420 720,000 709,114
Pride Petroleum Services, Inc. sr.
notes 9 3/8s, 2007 -- -- 810,000 830,250 690,000 707,250
RBF Finance Co. company guaranty
11 3/8s, 2009 830,000 958,650 -- -- 800,000 924,000
RBF Finance Co. company guaranty
11s, 2006 420,000 480,900 1,100,000 1,259,500 670,000 767,150
-------------- -------------- --------------
3,327,350 4,173,770 5,262,489
Entertainment 0.1% --% 0.2%
---------------------------------------------------------------------------------------------------------------------------
AMC Entertainment, Inc. sr. sub.
notes 9 1/2s, 2009 5,000 2,300 -- -- 223,000 102,580
Autotote Corp. 144A company
guaranty 12 1/2s, 2010 650,000 659,750 -- -- 340,000 345,100
Cinemark USA, Inc. sr. sub. notes
8 1/2s, 2008 (Mexico) 675,000 324,000 -- -- 290,000 139,200
Premier Parks, Inc. sr. notes 9
3/4s, 2007 690,000 648,600 -- -- 230,000 216,200
Premier Parks, Inc. sr. notes 9
1/4s, 2006 668,000 622,075 -- -- 525,000 488,906
Silver Cinemas, Inc. sr. sub.
notes 10 1/2s, 2005 (In default)
(NON) 450,000 36,000 -- -- 110,000 8,800
United Artists Theatre sr. sub.
notes 9 3/4s, 2008 (In default)
(NON) 1,650,000 28,875 -- -- 435,000 7,613
-------------- -------------- --------------
2,321,600 -- 1,308,399
Financial 0.2% 1.0% 2.1%
---------------------------------------------------------------------------------------------------------------------------
AMRESCO, Inc. sr. sub. notes Ser.
97-A, 10s, 2004 101,000 45,450 -- -- 30,000 13,500
AMRESCO, Inc. sr. sub. notes Ser.
98-A, 9 7/8s, 2005 840,000 378,000 -- -- 210,000 94,500
Aames Financial Corp. sr. notes
9 1/8s, 2003 20,000 10,250 -- -- 190,000 97,375
Advanta Corp. company guaranty
Ser. B, 8.99s, 2026 -- -- 100,000 62,375 85,000 53,019
Advanta Corp. med. term notes
Ser. B, 7s, 2001 352,000 335,910 706,000 673,729 340,000 324,459
Advanta Corp. med. term notes
Ser. D, 6.98s, 2002 20,000 17,918 140,000 125,425 90,000 80,630
Advanta Corp. med. term notes
Ser. D, 6.92s, 2002 110,000 98,493 460,000 411,879 1,030,000 922,252
Advanta Corp. notes Ser. C,
7.47s, 2001 26,000 25,490 64,000 62,745 35,000 34,314
Conseco Finance Trust III, Inc.
bonds 8.796s, 2027 -- -- -- -- 260,000 111,800
Conseco Financial Corp. sr. sub.
notes 10 1/4s, 2002 -- -- 2,700,000 2,025,000 2,300,000 1,725,000
Delta Financial Corp. sr. notes
9 1/2s, 2004 767,000 345,150 -- -- 192,000 86,400
General Motors Acceptance Corp.
notes 5 3/4s, 2003 -- -- 3,135,000 3,025,494 1,805,000 1,741,951
Goldman Sachs Group, Inc. (The)
notes Ser. B, 7.35s, 2009 -- -- 6,775,000 6,700,204 3,505,000 3,466,305
Heller Financial, Inc. notes 6s,
2004 -- -- 3,760,000 3,620,090 1,960,000 1,887,068
Imperial Credit Capital Trust I
144A company guaranty 10 1/4s,
2002 385,000 250,250 -- -- 200,000 130,000
Imperial Credit Industries, Inc.
sr. notes 9 7/8s, 2007 535,000 294,250 -- -- 40,000 22,000
Money Store, Inc. notes 8.05s,
2002 -- -- 1,960,000 1,986,009 1,090,000 1,104,464
National Westminster Bank sub.
notes 7 3/8s, 2009 (United Kingdom) -- -- 5,235,000 5,185,634 2,715,000 2,689,398
Nationwide Credit, Inc. sr. notes
Ser. A, 10 1/4s, 2008 660,000 415,800 -- -- 160,000 100,800
Ocwen Capital Trust I company
guaranty 10 7/8s, 2027 70,000 35,700 -- -- 15,000 7,650
Ocwen Federal Bank FSB sub. deb.
12s, 2005 15,000 13,800 -- -- 5,000 4,600
Ocwen Financial Corp. notes 11
7/8s, 2003 20,000 18,050 -- -- 10,000 9,025
Resource America, Inc. 144A sr.
notes 12s, 2004 1,042,000 948,220 -- -- 263,000 239,330
TIG Holdings, Inc. notes 8 1/8s,
2005 -- -- 3,408,000 3,055,681 2,900,000 2,600,198
-------------- -------------- --------------
3,232,731 26,934,265 17,546,038
Food --% --% --%
---------------------------------------------------------------------------------------------------------------------------
Aurora Foods, Inc. 144A ser. sub.
notes Ser. D, 9 7/8s, 2007 385,000 302,225 -- -- -- --
Aurora Foods, Inc. sr. sub. notes
Ser. B, 9 7/8s, 2007 80,000 62,800 -- -- 20,000 15,700
Doane Pet Care Co. sr. sub. notes
9 3/4s, 2007 -- -- -- -- 220,000 190,300
Premier International Foods PLC sr.
notes 12s, 2009 (United Kingdom) 140,000 116,200 -- -- 70,000 58,100
Vlasic Foods Intl., Inc. sr.
sub notes Ser. B, 10 1/4s, 2009 -- -- -- -- 240,000 132,000
-------------- -------------- --------------
481,225 -- 396,100
Gaming & Lottery 0.5% 0.2% 1.1%
---------------------------------------------------------------------------------------------------------------------------
Ameristar Casinos, Inc. company
guaranty Ser. B, 10 1/2s, 2004 -- -- -- -- 90,000 90,225
Fitzgeralds Gaming Corp. company
guaranty Ser. B, 12 1/4s, 2004
(In default) (NON) 650,000 351,000 -- -- 180,000 97,200
Harrahs Entertainment, Inc.
company guaranty 7 1/2s, 2009 500,000 471,140 1,250,000 1,177,850 450,000 424,026
Hollywood Casino Corp. company
guaranty 11 1/4s, 2007 930,000 974,175 -- -- 510,000 534,225
Hollywood Park, Inc. sr. sub.
notes Ser. B, 9 1/2s, 2007 750,000 766,875 -- -- 190,000 194,275
Hollywood Park, Inc. company
guaranty Ser. B, 9 1/4s, 2007 280,000 285,600 -- -- 220,000 224,400
International Game Technology
144A sr. notes 8 3/8s, 2009 50,000 49,000 1,400,000 1,372,000 1,230,000 1,205,400
Isle of Capri Black Hawk LLC
144A 1st mtge. Ser. B, 13s,
2004 110,000 119,900 -- -- 400,000 436,000
Isle of Capri Black Hawk LLC
company guaranty 8 3/4s, 2009 870,000 809,100 -- -- 190,000 176,700
MGM Grand, Inc. company guaranty
9 3/4s, 2007 590,000 609,175 -- -- 310,000 320,075
Mohegan Tribal Gaming, Auth. sr.
sub. notes 8 3/4s, 2009 590,000 585,575 850,000 843,625 1,010,000 1,002,425
Mohegan Tribal Gaming, Auth. sr.
notes 8 1/8s, 2006 190,000 185,250 460,000 448,500 270,000 263,250
Park Place Entertainment sr. sub.
notes 9 3/8s, 2007 -- -- 1,620,000 1,650,375 1,380,000 1,405,875
Park Place Entertainment sr. sub.
notes 8 7/8s, 2008 480,000 475,200 -- -- 180,000 178,200
Park Place Entertainment sr. sub.
notes 7 7/8s, 2005 -- -- -- -- 70,000 67,200
Riviera Black Hawk, Inc. 1st
mtge. 13s, 2005 -- -- -- -- 200,000 200,000
Trump A.C. 1st mtge. 11 1/4s,
2006 2,150,000 1,488,875 -- -- 1,135,000 785,988
Trump Castle Funding, Inc. 144A
sr. sub. notes 11 3/4s, 2003 810,000 676,350 -- -- 290,000 242,150
Trump Castle Funding, Inc. 144A
sub. notes 10 1/4s, 2003 1,120,000 1,120,000 -- -- 700,000 700,000
Venetian Casino, Inc. company
guaranty 12 1/4s, 2004 270,000 278,100 -- -- 320,000 329,600
-------------- -------------- --------------
9,245,315 5,492,350 8,877,214
Health Care 0.2% 0.2% 0.9%
---------------------------------------------------------------------------------------------------------------------------
ALARIS Medical Systems, Inc.
company guaranty 9 3/4s, 2006 265,000 193,450 -- -- -- --
Bio-Rad Labs Corp. sr. sub. notes
11 5/8s, 2007 170,000 178,500 -- -- 110,000 115,500
Columbia/HCA Healthcare Corp.
notes 8 3/4s, 2010 280,000 283,755 -- -- 180,000 182,414
Columbia/HCA Healthcare Corp. deb.
8.36s, 2024 50,000 46,750 -- -- 125,000 116,875
Columbia/HCA Healthcare Corp.
med. term notes 7.69s, 2025 80,000 67,000 200,000 167,500 70,000 58,625
Columbia/HCA Healthcare Corp.
notes 7 1/4s, 2008 -- -- 35,000 32,550 -- --
Columbia/HCA Healthcare Corp. debs.
7.19s, 2015 310,000 261,950 1,665,000 1,406,925 1,800,000 1,521,000
Columbia/HCA Healthcare Corp.
notes 6.91s, 2005 1,240,000 1,165,600 -- -- 290,000 272,600
Columbia/HCA Healthcare Corp.
med. term notes 6.63s, 2045 270,000 259,122 640,000 614,214 230,000 220,733
Conmed Corp. company guaranty
9s, 2008 410,000 344,400 -- -- 205,000 172,200
Hudson Respiratory Care, Inc.
sr. sub. notes 9 1/8s, 2008 450,000 315,000 -- -- 110,000 77,000
Kinetic Concepts, Inc. company
guaranty Ser. B, 9 5/8s, 2007 465,000 358,050 -- -- 100,000 77,000
Lifepoint Hospital Holdings
company guaranty Ser. B, 10 3/4s,
2009 -- -- -- -- 260,000 273,000
Mediq, Inc. deb. stepped-coupon
zero % (13s, 6/1/03), 2009 (STP) 410,000 41 -- -- 100,000 10
Mediq, Inc. company guaranty 11s,
2008 (In default) (NON) 510,000 15,300 -- -- 130,000 3,900
Paracelsus Healthcare sr. sub.
notes 10s, 2006 (In default)
(NON) 505,000 202,000 -- -- 115,000 46,000
Tenet Healthcare Corp. sr. sub.
notes 8 5/8s, 2007 -- -- 2,240,000 2,206,400 2,170,000 2,137,450
Tenet Healthcare Corp. sr. notes
Ser. B, 8 1/8s, 2008 -- -- 810,000 772,538 950,000 906,063
Tenet Healthcare Corp. sr. notes
8s, 2005 -- -- 975,000 960,375 500,000 492,500
Tenet Healthcare Corp. sr. notes
Ser. B, 7 5/8s, 2008 430,000 405,275 390,000 367,575 680,000 640,900
Triad Hospitals Holdings company
guaranty Ser. B, 11s, 2009 675,000 691,875 -- -- 360,000 369,000
-------------- -------------- --------------
4,788,068 6,528,077 7,682,770
Homebuilding 0.1% 0.1% 0.4%
---------------------------------------------------------------------------------------------------------------------------
D.R. Horton, Inc. company guaranty
10s, 2006 120,000 121,950 -- -- 290,000 294,713
D.R. Horton, Inc. company guaranty
8 3/8s, 2004 -- -- 760,000 735,300 610,000 590,175
D.R. Horton, Inc. company guaranty
8s, 2009 190,000 177,413 810,000 756,338 480,000 448,200
Del Webb Corp. sr. sub. deb.
10 1/4s, 2010 -- -- -- -- 50,000 48,250
Del Webb Corp. sr. sub. deb. 9 3/8s,
2009 60,000 55,200 -- -- 110,000 101,200
K. Hovnanian Enterprises, Inc.
144A company guaranty 10 1/2s,
2007 480,000 469,800 -- -- 250,000 244,688
Lennar Corp. company guaranty
Ser. B, 9.95s, 2010 -- -- 530,000 545,900 510,000 525,300
Lennar Corp. sr. notes 7 5/8s,
2009 370,000 340,400 -- -- 90,000 82,800
Ryland Group, Inc. sr. notes
9 3/4s, 2010 430,000 435,375 -- -- 230,000 232,875
Standard Pacific Corp. sr. notes
9 1/2s, 2010 400,000 401,000 -- -- 210,000 210,525
Toll Corp. company guaranty 8 1/8s,
2009 170,000 161,075 390,000 369,525 200,000 189,500
-------------- -------------- --------------
2,162,213 2,407,063 2,968,226
Household Furniture and Appliances 0.1% --% 0.1%
---------------------------------------------------------------------------------------------------------------------------
Albecca, Inc. company guaranty
10 3/4s, 2008 450,000 406,125 -- -- 110,000 99,275
Sealy Mattress Co. sr. sub.
notes Ser. B, 9 7/8s, 2007 775,000 749,813 -- -- 365,000 353,138
-------------- -------------- --------------
1,155,938 -- 452,413
Industrial --% 0.1% 0.2%
---------------------------------------------------------------------------------------------------------------------------
Ford Motor Co. bonds 6 5/8s, 2028 -- -- 3,440,000 2,892,524 1,810,000 1,521,939
Lodging and Tourism 0.1% 0.2% 0.7%
---------------------------------------------------------------------------------------------------------------------------
Epic Resorts LLC company guaranty
Ser. B, 13s, 2005 350,000 105,000 -- -- 80,000 24,000
HMH Properties, Inc. sr. notes
Ser. C, 8.45s, 2008 -- -- -- -- 10,000 9,550
HMH Properties, Inc. company
guaranty Ser. B, 7 7/8s, 2008 1,860,000 1,715,850 3,880,000 3,579,300 4,195,000 3,869,888
Host Marriott L.P. sr. notes
Ser. E, 8 3/8s, 2006 100,000 96,250 220,000 211,750 100,000 96,250
ITT Corp. notes 6 3/4s, 2005 530,000 494,718 1,665,000 1,554,161 1,205,000 1,124,783
Starwood Hotels & Resorts notes
6 3/4s, 2003 -- -- 485,000 466,037 505,000 485,255
-------------- -------------- --------------
2,411,818 5,811,248 5,609,726
Manufacturing 0.1% --% 0.2%
---------------------------------------------------------------------------------------------------------------------------
Blount, Inc. company guaranty
13s, 2009 1,000,000 1,027,500 -- -- 525,000 539,438
Continental Global Group sr.
notes Ser. B, 11s, 2007 235,000 77,550 -- -- 60,000 19,800
Day International Group, Inc.
company guaranty 9 1/2s, 2008 600,000 513,000 -- -- 140,000 119,700
Motors and Gears, Inc. sr. notes
Ser. D, 10 3/4s, 2006 815,000 798,700 -- -- 430,000 421,400
Roller Bearing Co. company
guaranty Ser. B, 9 5/8s, 2007 -- -- -- -- 450,000 414,000
-------------- -------------- --------------
2,416,750 -- 1,514,338
Media --% 0.2% 0.3%
---------------------------------------------------------------------------------------------------------------------------
TCI Communications, Inc. sr. notes
8.65s, 2004 -- -- 4,070,000 4,273,012 2,095,000 2,199,499
Medical Services --% --% --%
---------------------------------------------------------------------------------------------------------------------------
Extendicare Health Services, Inc.
company guaranty 9.35s, 2007 855,000 495,900 -- -- 220,000 127,600
Integrated Health Services, Inc.
sr. sub. notes Ser. A, 9 1/2s,
2007 (In default) (NON) 810,000 8,100 -- -- 220,000 2,200
Integrated Health Services, Inc.
sr. sub. notes Ser. A, 9 1/4s,
2008 (In default) (NON) 250,000 2,500 -- -- 60,000 600
Mariner Post-Acute Network, Inc.
sr. sub. notes stepped-coupon
Ser. B, zero % (10 1/2s, 11/1/02),
2007 (In default) (STP) (NON) 230,000 1,725 -- -- 100,000 750
Mariner Post-Acute Network, Inc.
sr. sub. notes Ser. B, 9 1/2s,
2007 (In default) (NON) 1,160,000 8,700 -- -- 170,000 1,275
Multicare Cos., Inc. sr. sub.
notes 9s, 2007 (In default)
(NON) 1,410,000 77,550 -- -- 330,000 18,150
Sun Healthcare Group, Inc. sr.
sub. notes Ser. B, 9 1/2s, 2007
(In default) (NON) 250,000 5,000 -- -- -- --
-------------- -------------- --------------
599,475 -- 150,575
Medical Technology --% --% --%
---------------------------------------------------------------------------------------------------------------------------
Hanger Orthopedic Group, Inc. sr.
sub. notes 11 1/4s, 2009 260,000 232,700 -- -- 140,000 125,300
Metals 0.2% 0.3% 0.9%
---------------------------------------------------------------------------------------------------------------------------
AK Steel Corp. sr. notes 9 1/8s,
2006 -- -- 510,000 492,150 685,000 661,025
AK Steel Corp. company guaranty
7 7/8s, 2009 690,000 617,550 3,080,000 2,756,600 2,420,000 2,165,900
Alcoa, Inc. notes 7 3/8s, 2010 -- -- 3,200,000 3,226,912 1,655,000 1,668,919
Anker Coal Group, Inc. company
guaranty Ser. B, 14 1/4s, 2007
(PIK) 1,478,325 665,246 -- -- 342,800 154,260
Kaiser Aluminum & Chemical Corp.
sr. sub. notes 12 3/4s, 2003 1,125,000 1,001,250 -- -- 275,000 244,750
LTV Corp. company guaranty 11
3/4s, 2009 980,000 509,600 1,490,000 774,800 1,790,000 930,800
National Steel Corp. 1st mtge.
Ser. D, 9 7/8s, 2009 890,000 534,000 1,410,000 846,000 1,690,000 1,014,000
Oregon Steel Mills 1st mtge.
11s, 2003 -- -- -- -- 110,000 88,000
WCI Steel, Inc. sr. notes Ser.
B, 10s, 2004 600,000 540,000 -- -- 400,000 360,000
WHX Corp. sr. notes 10 1/2s,
2005 470,000 260,850 -- -- 160,000 88,800
Wheeling-Pittsburgh Steel Corp.
sr. notes 9 1/4s, 2007 -- -- -- -- 250,000 87,500
-------------- -------------- --------------
4,128,496 8,096,462 7,463,954
Oil and Gas 0.3% 0.8% 1.9%
---------------------------------------------------------------------------------------------------------------------------
Belco Oil & Gas Corp. company
guaranty Ser. B, 10 1/2s, 2006 1,325,000 1,328,313 -- -- 370,000 370,925
Belco Oil & Gas Corp. sr. sub.
notes Ser. B, 8 7/8s, 2007 900,000 850,500 -- -- 220,000 207,900
CMS Panhandle Holding Corp.
sr. notes 6 1/8s, 2004 -- -- 2,325,000 2,215,562 1,320,000 1,257,868
Columbia Gas System, Inc. notes
Ser. E, 7.32s, 2010 -- -- 670,000 628,004 380,000 356,182
Columbia Gas System, Inc. notes
Ser. B, 6.61s, 2002 -- -- 530,000 519,533 210,000 205,853
Conoco, Inc. sr. notes 5.9s, 2004 -- -- 1,200,000 1,163,868 700,000 678,923
Giant Industries Corp. company
guaranty 9s, 2007 40,000 36,900 -- -- 140,000 129,150
Gulf Canada Resources, Ltd.
sr. sub. notes 9 5/8s, 2005
(Canada) 755,000 774,819 1,215,000 1,246,894 500,000 513,125
HS Resources, Inc. company
guaranty 9 1/4s, 2006 70,000 70,525 -- -- 90,000 90,675
HS Resources, Inc. sr. sub.
notes Ser. B, 9 1/4s, 2006 260,000 260,000 -- -- 270,000 270,000
K N Energy, Inc. sr. notes 6.45s,
2003 -- -- 3,770,000 3,701,989 2,110,000 2,071,936
Nuevo Energy Co. sr. sub. notes
Ser. B, 9 1/2s, 2008 -- -- -- -- 80,000 80,200
Nuevo Energy Co. 144A sr. sub.
notes 9 3/8s, 2010 690,000 686,550 -- -- 280,000 278,600
Ocean Energy, Inc. company
guaranty Ser. B, 8 7/8s, 2007 170,000 171,700 370,000 373,700 630,000 636,300
Ocean Energy, Inc. company
guaranty Ser. B, 8 3/8s, 2008 140,000 139,300 350,000 348,250 580,000 577,100
Phillips Petroleum Co. notes
8 1/2s, 2005 -- -- 5,015,000 5,301,156 2,590,000 2,737,785
Pioneer Natural Resources Co.
company guaranty 9 5/8s, 2010 230,000 243,800 530,000 561,800 540,000 572,400
Port Arthur Finance Corp.
company guaranty 12 1/2s, 2009 -- -- 1,350,000 1,350,000 1,300,000 1,300,000
Seven Seas Petroleum sr. notes
Ser. B, 12 1/2s, 2005 -- -- -- -- 60,000 14,400
Snyder Oil Corp. sr. sub. notes
8 3/4s, 2007 35,000 35,817 90,000 92,101 30,000 30,700
Stone Energy Corp. company
guaranty 8 3/4s, 2007 130,000 124,150 -- -- 380,000 362,900
Triton Energy, Ltd. 144A sr.
notes 8 7/8s, 2007
(Cayman Islands) 530,000 530,000 -- -- 280,000 280,000
Union Pacific Resources Group,
Inc. notes 7.3s, 2009 -- -- 4,425,000 4,374,998 2,295,000 2,269,067
Vintage Petroleum sr. sub.
notes 9 3/4s, 2009 840,000 877,800 -- -- 430,000 449,350
-------------- -------------- --------------
6,130,174 21,877,855 15,741,339
Paper and Forest Products 0.4% 0.4% 1.1%
---------------------------------------------------------------------------------------------------------------------------
Boise Cascade Co. med. term notes
Ser. A, 7.43s, 2005 20,000 19,424 660,000 640,985 10,000 9,712
Doman Industries, Ltd. company
guaranty 12s, 2004 (Canada) 190,000 192,850 -- -- 100,000 101,500
Doman Industries, Ltd. 144A sr.
notes 8 3/4s, 2004 580,000 417,600 -- -- 305,000 219,600
Gaylord Container Corp. sr. notes
Ser. B, 9 3/8s, 2007 340,000 227,800 -- -- 130,000 87,100
Georgia Pacific Corp. bonds
7 3/4s, 2029 -- -- 1,570,000 1,431,212 880,000 802,208
International Paper Co. 144A
notes 8 1/8s, 2005 -- -- 5,745,000 5,934,125 2,940,000 3,036,785
Norampac, Inc. sr. notes 9 1/2s,
2008 (Canada) -- -- 1,350,000 1,356,750 1,150,000 1,155,750
Pacifica Papers, Inc. sr. notes
10s, 2009 (Canada) 950,000 954,750 -- -- 330,000 331,650
Packaging Corp. company guaranty
9 5/8s, 2009 330,000 333,300 -- -- 170,000 171,700
Repap New Brunswick sr. notes
10 5/8s, 2005 (Canada) 1,415,000 1,457,450 -- -- 730,000 751,900
Riverwood International Corp.
company guaranty 10 7/8s, 2008 1,775,000 1,650,750 -- -- 455,000 423,150
Riverwood International Corp.
company guaranty 10 1/4s, 2006 520,000 514,800 -- -- 555,000 549,450
Stone Container Corp. 1st mtge.
10 3/4s, 2002 500,000 506,250 -- -- -- --
Stone Container Corp. sr. notes
12.58s, 2016 350,000 361,375 -- -- 40,000 41,300
Tembec Industries, Inc. company
guaranty 8 5/8s, 2009 (Canada) 700,000 682,500 1,080,000 1,053,000 1,330,000 1,296,750
-------------- -------------- --------------
7,318,849 10,416,072 8,978,555
Pharmaceuticals --% --% 0.1%
---------------------------------------------------------------------------------------------------------------------------
ICN Pharmaceuticals, Inc. 144A sr.
notes 9 1/4s, 2005 265,000 263,013 150,000 148,875 230,000 228,275
ICN Pharmaceuticals, Inc. 144A sr.
notes 8 3/4s, 2008 -- -- 820,000 811,800 670,000 663,300
-------------- -------------- --------------
263,013 960,675 891,575
Power Producers 0.2% 0.2% 0.7%
---------------------------------------------------------------------------------------------------------------------------
Calpine Corp. sr. notes 10 1/2s,
2006 150,000 154,500 1,000,000 1,030,000 250,000 257,500
Calpine Corp. sr. notes 8 3/4s,
2007 240,000 241,318 -- -- 80,000 80,439
Calpine Corp. sr. notes 7 7/8s,
2008 50,000 47,954 380,000 364,454 510,000 489,135
Calpine Corp. sr. notes 7 3/4s,
2009 280,000 266,350 2,000,000 1,902,500 2,435,000 2,316,294
Midland Funding II Corp. deb.
Ser. B, 13 1/4s, 2006 53,000 59,633 395,000 444,434 80,000 90,012
Midland Funding II Corp. deb.
Ser. A, 11 3/4s, 2005 2,710,000 2,930,188 1,400,000 1,513,750 2,050,000 2,216,563
York Power Funding 144A
company guaranty 12s, 2007
(Cayman Islands) 277,000 279,770 674,000 680,740 248,000 250,480
-------------- -------------- --------------
3,979,713 5,935,878 5,700,423
Publishing 0.1% --% 0.1%
---------------------------------------------------------------------------------------------------------------------------
Affinity Group Holdings sr.
notes 11s, 2007 1,165,000 966,950 -- -- 600,000 498,000
Garden State Newspapers, Inc.
sr. sub. notes Ser. B, 8 3/4s,
2009 1,175,000 1,098,625 -- -- 275,000 257,125
Garden State Newspapers, Inc.
sr. sub. notes 8 5/8s, 2011 280,000 257,600 -- -- 90,000 82,800
-------------- -------------- --------------
2,323,175 -- 837,925
Railroads --% 0.2% 0.4%
---------------------------------------------------------------------------------------------------------------------------
Kansas City Southern Railway
144A sr. notes 9 1/2s, 2008 530,000 537,950 -- -- 280,000 284,200
Union Pacific Corp. notes 7 3/8s,
2009 -- -- 6,700,000 6,581,343 3,475,000 3,413,458
-------------- -------------- --------------
537,950 6,581,343 3,697,658
Regional Bells --% 0.1% 0.1%
---------------------------------------------------------------------------------------------------------------------------
GTE Corp. deb. 6.94s, 2028 -- -- 1,750,000 1,586,463 980,000 888,419
Restaurants 0.1% --% 0.1%
---------------------------------------------------------------------------------------------------------------------------
FRD Acquisition Co. sr. notes
Ser. B, 12 1/2s, 2004 275,000 127,875 -- -- 75,000 34,875
Felcor Lodging 144A sr. notes
9 1/2s, 2008 390,000 390,975 -- -- 210,000 210,525
Sbarro, Inc. company guaranty
11s, 2009 330,000 339,900 -- -- 170,000 175,100
Tricon Global Restaurants,
Inc. sr. notes 7.65s, 2008 300,000 280,146 -- -- 160,000 149,411
-------------- -------------- --------------
1,138,896 -- 569,911
Retail 0.2% 0.2% 0.6%
---------------------------------------------------------------------------------------------------------------------------
Amazon.com, Inc. sr. disc. notes
stepped-coupon zero % (10s, 5/1/03),
2008 (STP) 1,000,000 530,000 -- -- 500,000 265,000
Federated Department Stores,
Inc. sr. notes 8 1/2s, 2003 -- -- 690,000 704,104 390,000 397,972
Federated Department Stores, Inc.
deb. 7.45s, 2017 -- -- 1,130,000 982,467 585,000 508,622
Iron Age Holdings Corp. sr. disc.
notes stepped-coupon zero %
(12 1/8s, 5/1/03), 2009 (STP) -- -- 340,000 51,000 -- --
Iron Age Corp. company guaranty
9 7/8s, 2008 815,000 570,500 -- -- 190,000 133,000
K mart Corp. med. term notes
8.85s, 2011 140,000 118,607 350,000 296,517 120,000 101,663
K mart Corp. notes 8 3/8s,
2004 -- -- 2,990,000 2,569,337 2,780,000 2,388,882
K mart Corp. med. term notes 8s,
2001 10,000 9,771 310,000 302,913 -- --
K mart Corp. deb. 7 3/4s, 2012 10,000 8,597 5,000 4,298 10,000 8,597
Mothers Work, Inc. sr. notes
12 5/8s, 2005 560,000 515,200 -- -- 300,000 276,000
Saks, Inc. company guaranty
8 1/4s, 2008 1,860,000 1,116,000 -- -- 980,000 588,000
Southland Corp. sr. sub. deb.
5s, 2003 135,000 117,052 350,000 303,468 165,000 143,063
-------------- -------------- --------------
2,985,727 5,214,104 4,810,799
Shipping --% --% 0.1%
---------------------------------------------------------------------------------------------------------------------------
Eletson Holdings, Inc. 1st pfd.
mtge. notes 9 1/4s, 2003 (Greece) -- -- 585,000 552,825 480,000 453,600
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 (In default) (NON) -- -- -- -- 70,000 39,900
Navistar International Corp. sr.
notes Ser. B, 8s, 2008 190,000 174,800 210,000 193,200 430,000 395,600
-------------- -------------- --------------
209,600 824,325 915,200
Software --% --% --%
---------------------------------------------------------------------------------------------------------------------------
Telehub Communications Corp.
company guaranty stepped-coupon
zero % (13 7/8s, 7/31/02), 2005
(STP) 290,000 52,200 -- -- 80,000 14,400
Specialty Printing --% --% --%
---------------------------------------------------------------------------------------------------------------------------
Perry-Judd company guaranty
10 5/8s, 2007 615,000 547,350 -- -- 130,000 115,700
Von Hoffman Press, Inc. 144A
sr. sub. notes 13 1/2s, 2009 113,608 102,247 -- -- 27,014 24,313
Von Hoffman Press, Inc. 144A
sr. sub. notes 10 3/8s, 2007 125,000 115,000 -- -- 30,000 27,600
-------------- -------------- --------------
764,597 -- 167,613
Technology 0.2% 0.3% 0.7%
---------------------------------------------------------------------------------------------------------------------------
Amkor Technologies, Inc., structured
note (issued by Steers, Credit
Linked Trust 2000) 12.58s, 2005 270,000 270,675 -- -- 140,000 140,350
Amkor Technologies, Inc. sr.
notes 9 1/4s, 2006 -- -- 1,080,000 1,069,200 1,050,000 1,039,500
Celestica International, Ltd.
144A sr. sub. notes 10 1/2s,
2006 (Canada) 375,000 386,250 -- -- 250,000 257,500
Fairchild Semiconductor Corp.
company guaranty 10 3/8s, 2007 80,000 80,800 -- -- 270,000 272,700
Fairchild Semiconductor Corp. sr.
sub. notes 10 1/8s, 2007 905,000 905,000 -- -- 250,000 250,000
Flextronics International, Ltd.
sr. sub. notes Ser. B, 8 3/4s,
2007 1,490,000 1,460,200 -- -- 395,000 387,100
IBM Corp. deb. 6 1/2s, 2028 -- -- 6,695,000 5,918,179 3,510,000 3,102,735
Telecommunications Techniques, Inc.
company guaranty 9 3/4s, 2008 700,000 658,000 -- -- 60,000 56,400
U.S. Can Corp. 144A sr. sub.
notes 12 3/8s, 2010 260,000 262,600 -- -- 140,000 141,400
Viasystems, Inc. sr. notes Ser.
B, 9 3/4s, 2007 700,000 637,000 -- -- 225,000 204,750
Viasystems, Inc. sr. sub notes
9 3/4s, 2007 210,000 197,400 -- -- 330,000 310,200
-------------- -------------- --------------
4,857,925 6,987,379 6,162,635
Technology Services 0.2% --% 0.3%
---------------------------------------------------------------------------------------------------------------------------
Covad Communications Group, Inc.
sr. notes 12 1/2s, 2009 670,000 505,850 -- -- 140,000 105,700
Equinix, Inc. sr. notes 13s, 2007 -- -- -- -- 540,000 432,000
Exodus Communications, Inc. 144A sr.
notes 11 5/8s, 2010 1,160,000 1,165,800 -- -- 540,000 542,700
Exodus Communications, Inc. sr.
notes 10 3/4s, 2009 200,000 193,500 -- -- 160,000 154,800
Globix Corp. sr. notes 12 1/2s,
2010 255,000 183,600 -- -- 130,000 93,600
Iron Mountain, Inc. company
guaranty 8 3/4s, 2009 1,165,000 1,130,050 -- -- 525,000 509,250
PSINet, Inc. sr. notes 11s, 2009 800,000 520,000 -- -- 310,000 201,500
Pierce Leahy Corp. sr. sub.
notes 11 1/8s, 2006 -- -- -- -- 100,000 103,500
Rhythms Netconnections sr. notes
Ser. B, 14s, 2010 -- -- -- -- 160,000 105,600
-------------- -------------- --------------
3,698,800 -- 2,248,650
Telecommunications 1.0% 0.9% 3.2%
---------------------------------------------------------------------------------------------------------------------------
360Networks, Inc. sr. notes 13s,
2008 510,000 474,300 -- -- 270,000 251,100
AirTouch Communications, Inc.
notes 7s, 2003 -- -- 910,000 908,544 560,000 559,104
American Mobile Satellite Corp.
company guaranty 12 1/4s, 2008 -- -- -- -- 20,000 14,900
Arch Communications, Inc. sr.
notes 13 3/4s, 2008 80,000 62,800 -- -- 40,000 31,400
Call-Net Enterprises, Inc. sr.
notes 8s, 2008 (Canada) 410,000 164,000 -- -- 110,000 44,000
Carrier1 Intl. S.A. sr. notes
Ser. B, 13 1/4s, 2009
(Luxembourg) 1,050,000 924,000 -- -- 470,000 413,600
CellNet Data Systems, Inc. sr.
disc. notes stepped-coupon zero %
(14s, 10/1/02), 2007 (In default)
(STP) (NON) 1,420,000 99,400 -- -- 375,000 26,250
Clearnet Communications, Inc. sr.
disc. notes stepped-coupon
zero % (14 3/4s, 12/15/00), 2005
(STP) 60,000 63,000 -- -- 30,000 31,500
Crown Castle Intl., Corp. sr.
notes 10 3/4s, 2011 510,000 515,100 -- -- 260,000 262,600
Dobson Communications Corp. sr.
notes 10 7/8s, 2010 420,000 409,500 -- -- 220,000 214,500
Dobson/Sygnet Communications, Inc.
sr. notes 12 1/4s, 2008 300,000 301,500 -- -- 540,000 542,700
Esprit Teleom Group PLC sr.
notes 11 1/2s, 2007
(United Kingdom) 600,000 280,500 -- -- 160,000 74,800
Exodus Communications, Inc. sr.
notes 11 1/4s, 2008 180,000 177,300 -- -- 120,000 118,200
Flag Ltd. 144A sr. notes 8 1/4s,
2008 (Bermuda) 640,000 563,200 1,945,000 1,711,600 1,740,000 1,531,200
Flextronics International Ltd.
144A sr. sub. notes 9 7/8s, 2010 -- -- -- -- 340,000 351,900
Global Crossing Holdings, Ltd.
company guaranty 9 5/8s, 2008
(Bermuda) 600,000 598,500 1,530,000 1,526,175 1,300,000 1,296,750
Global Crossing Holdings, Ltd.
144A sr. notes 9 1/2s, 2009
(Bermuda) 300,000 298,500 1,410,000 1,402,950 1,240,000 1,233,800
Global Crossing Holdings, Ltd.
company guaranty 9 1/8s, 2006
(Bermuda) 1,450,000 1,431,875 -- -- 710,000 701,125
Koninklijke KPN NV 144A sr.
unsub. notes 8 3/8s, 2030
(Netherlands) -- -- 4,160,000 4,171,398 2,230,000 2,236,110
Level 3 Communications, Inc.
sr. notes 11s, 2008 180,000 174,600 -- -- 590,000 572,300
Level 3 Communications, Inc.
sr. notes 9 1/8s, 2008 995,000 858,188 -- -- -- --
Loral Space & Communication, Ltd.
sr. notes 9 1/2s, 2006 -- -- -- -- 130,000 94,250
MCI WorldCom, Inc. sr. notes
6 1/8s, 2001 -- -- 540,000 536,020 290,000 287,863
Metrocall, Inc. sr. sub. notes
11s, 2008 150,000 100,500 -- -- 80,000 53,600
Metrocall, Inc. sr. sub. notes
10 3/8s, 2007 210,000 130,200 -- -- 120,000 74,400
Metrocall, Inc. sr. sub. notes
9 3/4s, 2007 70,000 46,375 -- -- 30,000 19,875
Metromedia Fiber Network, Inc.
sr. notes 10s, 2009 -- -- -- -- 240,000 224,400
Metromedia Fiber Network, Inc.
sr. notes Ser. B, 10s, 2008 1,730,000 1,617,550 700,000 654,500 1,190,000 1,112,650
Millicom International
Cellular S.A. sr. disc. notes
stepped-coupon zero % (13 1/2s,
6/1/01), 2006 (Luxembourg)
(STP) 813,000 699,180 -- -- 434,000 373,240
Nextel Communications, Inc.
sr. notes 12s, 2008 950,000 1,016,500 -- -- 650,000 695,500
Nextel Communications, Inc.
sr. notes 9 3/8s, 2009 1,640,000 1,607,200 2,200,000 2,156,000 2,720,000 2,665,600
Nextel International, Inc.
144A sr. notes 12 3/4s, 2010 1,400,000 1,386,000 -- -- 910,000 900,900
Nextel Partners, Inc. sr. notes
11s, 2010 50,000 50,250 -- -- 270,000 271,350
NorthEast Optic Network, Inc.
sr. notes 12 3/4s, 2008 450,000 387,000 -- -- 240,000 206,400
NorthPoint Communications
Group, Inc. sr. notes 12 7/8s,
2010 370,000 370,000 -- -- 200,000 200,000
Orbital Imaging Corp. sr. notes
Ser. B, 11 5/8s, 2005 415,000 153,550 -- -- 100,000 37,000
Pinnacle Holdings, Inc. sr.
disc. notes stepped-coupon
zero % (10s, 3/15/03), 2008
(STP) 60,000 43,200 -- -- 130,000 93,600
Price Communications Wireless,
Inc. 144A sr. notes 9 1/8s, 2006 445,000 445,000 2,820,000 2,820,000 2,590,000 2,590,000
Primus Telecommunications Group,
Inc. sr. notes 12 3/4s, 2009 265,000 156,350 -- -- 205,000 120,950
Primus Telecommunications Group,
Inc. sr. notes Ser. B, 9 7/8s,
2008 310,000 173,600 -- -- 80,000 44,800
RSL Communications, Ltd. 144A
12 7/8s, 2010 60,000 10,800 -- -- 420,000 75,600
RSL Communications, Ltd. company
guaranty 12 1/4s, 2006 490,000 147,000 -- -- 123,000 36,900
RSL Communications, Ltd. 144A
10 1/2s, 2008 360,000 91,800 -- -- 90,000 22,950
RSL Communications, Ltd. company
guaranty 9 1/8s, 2008 600,000 150,000 -- -- 165,000 41,250
Rogers Cantel, Inc. sr. sub.
notes 8.8s, 2007 (Canada) 625,000 618,750 950,000 940,500 695,000 688,050
Spectrasite Holdings, Inc.
sr. disc. notes stepped-coupon
Ser. B, zero % (12 7/8s, 3/15/05),
2010 (STP) 540,000 275,400 -- -- 280,000 142,800
Spectrasite Holdings, Inc.
sr. disc. notes stepped-coupon
zero % (11 1/4s, 4/15/04), 2009
(STP) 20,000 10,900 -- -- 10,000 5,450
Sprint Capital Corp. company
guaranty 6.9s, 2019 -- -- 1,485,000 1,313,007 705,000 623,347
Sprint Capital Corp. company
guaranty 6 7/8s, 2028 -- -- 90,000 77,689 -- --
Sprint Capital Corp. company
guaranty 6 1/8s, 2008 -- -- 2,330,000 2,104,689 1,310,000 1,183,323
Sprint Capital Corp. company
guaranty 5.7s, 2003 -- -- 30,000 28,691 -- --
Startec Global Communications
Corp. sr. notes 12s, 2008 390,000 312,000 -- -- 90,000 72,000
Viatel, Inc. sr. disc. notes
stepped-coupon zero % (12 1/2s,
4/15/03), 2008 (STP) 920,000 331,200 -- -- 1,110,000 399,600
Viatel, Inc. sr. notes 11 1/2s,
2009 753,000 376,500 -- -- 178,000 89,000
Viatel, Inc. sr. notes 11 1/4s,
2008 230,000 117,300 -- -- -- --
Williams Communications
Group, Inc. sr. notes 10 7/8s,
2009 310,000 282,875 3,210,000 2,929,125 2,675,000 2,440,938
World Access, Inc. sr. notes
Ser. B, 13 1/4s, 2008 560,000 436,800 -- -- 320,000 249,600
-------------- -------------- --------------
18,940,043 23,280,888 26,645,025
Telephone 0.6% 0.1% 1.1%
---------------------------------------------------------------------------------------------------------------------------
Airgate PCS, Inc. sr. sub. notes
stepped-coupon zero % (13 1/2s,
10/1/04), 2009 (STP) 570,000 342,000 -- -- -- --
Alamosa PCS Holdings, Inc.
company guaranty stepped-coupon
zero % (12 7/8s, 2/15/05), 2010
(STP) -- -- -- -- 550,000 291,500
Alaska Communications Systems
Corp. company guaranty 9 3/8s,
2009 -- -- -- -- 300,000 276,000
Allegiance Telecom, Inc. sr.
disc. notes stepped-coupon
Ser. B, zero % (11 3/4s,
2/15/03), 2008 (STP) 10,000 6,700 -- -- 10,000 6,700
Allegiance Telecom, Inc. sr.
notes 12 7/8s, 2008 60,000 59,400 -- -- 30,000 29,700
BTI Telecom Corp. sr. notes
10 1/2s, 2007 855,000 495,900 -- -- 390,000 226,200
Birch Telecommunications, Inc. sr.
notes 14s, 2008 340,000 204,000 -- -- 300,000 180,000
Covad Communications Group, Inc.
sr. disc. notes stepped-coupon
Ser. B, zero % (13 1/2s,
03/15/03), 2008 (STP) -- -- -- -- 330,000 151,800
Firstworld Communication Corp.
sr. disc. notes stepped-coupon
zero % (13, 4/15/03), 2008
(STP) 520,000 124,800 -- -- 360,000 86,400
Focal Communications Corp. sr.
disc. notes stepped-coupon
Ser. B, zero % (12 1/8s,
02/15/03), 2008 (STP) 580,000 290,000 -- -- 420,000 210,000
Focal Communications Corp. sr.
notes 11 7/8s, 2010 170,000 130,900 -- -- 20,000 15,400
GTE Corp. deb. 6.46s, 2008 -- -- 1,730,000 1,637,237 980,000 927,452
Hyperion Telecommunications Corp.,
Inc. sr. notes Ser. B, 12 1/4s,
2004 -- -- 1,470,000 1,337,700 1,160,000 1,055,600
ICG Holdings, Inc. company
guaranty stepped-coupon zero %
(12 1/2s, 5/1/01), 2006 (STP) 425,000 85,000 -- -- 115,000 23,000
ICG Services, Inc. sr. disc.
notes stepped-coupon zero %
(10s, 2/15/03), 2008 (STP) 2,190,000 295,650 -- -- 940,000 126,900
ICG Services, Inc. sr. disc.
notes stepped-coupon zero %
(9 7/8s, 5/1/03), 2008 (STP) 130,000 17,225 -- -- 245,000 32,463
KMC Telecommunications Holdings,
Inc.sr. disc. notes stepped-coupon
zero % (12 1/2s, 2/15/03), 2008
(STP) 780,000 312,000 -- -- 1,155,000 462,000
MGC Communications, Inc. sr.
notes 13s, 2010 -- -- -- -- 210,000 126,000
Madison River Capital Corp.
sr. notes 13 1/4s, 2010 1,000,000 800,000 -- -- 510,000 408,000
McLeodUSA, Inc. sr. notes
8 1/8s, 2009 1,590,000 1,383,300 -- -- 810,000 704,700
Microcell Telecommunications sr.
disc. notes stepped-coupon
Ser. B, zero % (14s, 12/1/01),
2006 (Canada) (STP) 850,000 813,875 -- -- 450,000 430,875
NEXTLINK Communications, Inc.
sr. notes 10 1/2s, 2009 500,000 455,000 -- -- 220,000 200,200
Telecorp PCS, Inc. 144A sr.
sub. notes 10 5/8s, 2010 1,240,000 1,246,200 -- -- 650,000 653,250
Time Warner Telecom, Inc. sr.
notes 9 3/4s, 2008 1,160,000 1,075,900 -- -- 430,000 398,825
Triton PCS, Inc. company
guaranty stepped-coupon
zero % (11s, 5/1/03), 2008
(STP) 120,000 91,200 -- -- 60,000 45,600
US UnWired, Inc. company
guaranty, stepped-coupon Ser. B,
zero % (13 3/8s, 11/1/04),
2009 (STP) 770,000 408,100 -- -- 640,000 339,200
UbiquiTel Operating Co. company
guaranty stepped-coupon zero %
(14s, 4/15/05), 2010 (STP) -- -- -- -- 590,000 280,250
Versatel Telecom NV sr. notes
13 1/4s, 2008 (Netherlands) 180,000 162,000 -- -- 40,000 36,000
Versatel Telecom NV 144A sr.
notes 13 1/4s, 2008 (Netherlands) 390,000 351,000 -- -- 280,000 252,000
Voicestream Wire, Inc. sr.
notes 10 3/8s, 2009 1,040,000 1,118,000 -- -- 530,000 569,750
WinStar Communications, Inc.
144A sr. disc. notes
stepped-coupon zero %
(14 3/4s, 4/15/05), 2010 (STP) 2,339,000 725,090 -- -- 1,187,000 367,970
WinStar Communications, Inc.
144A sr. notes 12 3/4s, 2010 151,000 108,720 -- -- 106,000 76,320
-------------- -------------- --------------
11,101,960 2,974,937 8,990,055
Textiles 0.2% --% 0.3%
---------------------------------------------------------------------------------------------------------------------------
Guess Jeans, Inc. sr. sub. notes
9 1/2s, 2003 1,030,000 1,023,563 940,000 934,125 865,000 859,594
Kasper A.S.L., Ltd. sr. notes
12 3/4s, 2004 285,000 162,450 -- -- 30,000 17,100
Levi Strauss & Co. notes 6.8s,
2003 740,000 621,600 -- -- 390,000 327,600
Westpoint Stevens, Inc. sr.
notes 7 7/8s, 2008 1,090,000 904,700 500,000 415,000 510,000 423,300
Westpoint Stevens, Inc. sr.
notes 7 7/8s, 2005 370,000 320,050 -- -- 440,000 380,600
William Carter Holdings Co. sr.
sub. notes Ser. A, 12s, 2008 190,000 174,800 -- -- 50,000 46,000
William Carter Holdings Co. sr.
sub. notes Ser. A, 10 3/8s, 2006 750,000 723,750 -- -- 340,000 328,100
-------------- -------------- --------------
3,930,913 1,349,125 2,382,294
Transportation Services --% 0.1% 0.1%
---------------------------------------------------------------------------------------------------------------------------
Hertz Corp. sr. notes 7s, 2028 -- -- 2,265,000 1,955,080 1,270,000 1,096,226
North American Van Lines, Inc.
144A sr. sub. notes 13 3/8s,
2009 1,000,000 922,500 -- -- -- --
-------------- -------------- --------------
922,500 1,955,080 1,096,226
Trucks and Parts --% --% --%
---------------------------------------------------------------------------------------------------------------------------
Transportation Manufacturing
Operations, Inc. company guaranty
11 1/4s, 2009 -- -- -- -- 210,000 157,500
Waste Management 0.1% 0.1% 0.5%
---------------------------------------------------------------------------------------------------------------------------
Allied Waste Industries, Inc.
company guaranty Ser. B, 10s,
2009 1,425,000 1,236,188 -- -- 805,000 698,338
Allied Waste Industries, Inc.
company guaranty Ser. B, 7 7/8s,
2009 425,000 370,813 3,415,000 2,979,588 3,090,000 2,696,025
Allied Waste Industries, Inc.
company guaranty Ser. B, 7 5/8s,
2006 180,000 161,550 270,000 242,325 150,000 134,625
Browning-Ferris Industries, Inc.
deb. 7.4s, 2035 320,000 231,200 506,000 365,585 500,000 361,250
-------------- -------------- --------------
1,999,751 3,587,498 3,890,238
Water Utilities --% 0.1% 0.2%
---------------------------------------------------------------------------------------------------------------------------
Azurix Corp. 144A notes 10 3/8s,
2007 260,000 236,600 2,360,000 2,147,600 2,020,000 1,838,200
-------------- -------------- --------------
Total Corporate Bonds and Notes
(cost $179,251,803, $310,692,708
and $290,898,868) $ 161,807,624 $ 304,236,390 $ 273,940,144
---------------------------------------------------------------------------------------------------------------------------
GROWTH BALANCED CONSERVATIVE
1.6% 5.0% 8.8%
U.S. GOVERNMENT AND
AGENCY Principal Principal Principal
OBLIGATIONS(a) Amount Value Amount Value Amount Value
---------------------------------------------------------------------------------------------------------------------------
U.S. Government Agency
Mortgage Obligations 1.6% 4.9% 8.7%
---------------------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage
Association
8 1/2s, July 1, 2028 $ -- $ -- $1,264,889 $ 1,299,142 $1,490,314 $ 1,530,672
6 1/2s, April 1, 2029 -- -- 372,664 358,025 -- --
Federal National Mortgage
Association 7s, TBA, October 1,
2030 3,500,000 3,427,830 -- -- -- --
Federal National Mortgage
Association Pass-Through
Certificates
8 1/2s, March 1, 2030 -- -- 660,576 676,879 -- --
8s, with due dates from
October 1, 2022 to July 1,
2030 31,545 31,969 7,748,595 7,852,658 1,701,439 1,724,289
7 1/2s, with due dates from
January 1, 2015 to September 1,
2030 13,762,710 13,848,855 51,210,758 51,518,455 26,899,912 27,064,925
7s, with due dates from
August 1, 2029 to September 1,
2030 1,531,029 1,499,597 17,401,363 17,044,112 12,789,368 12,526,801
6 1/2s, with due dates from
August 1, 2010 to December 1,
2011 -- -- -- -- 560,606 549,653
6s, with due dates from
October 1, 2013 to June 15,
2015 3,868,600 3,722,912 13,087,677 12,594,797 7,647,782 7,359,766
Government National Mortgage
Association Pass-Through
Certificates
10s, with due dates from June 15,
2013 to March 1, 2029 -- -- 1,389,317 1,498,361 1,304,012 1,405,256
9 1/2s, December 15, 2017 -- -- 625,007 672,102 553,017 594,688
9s, with due dates from
December 15, 2009 to October 15,
2029 4,456,605 4,676,650 11,774,684 12,311,341 5,940,075 6,213,462
8s, with due dates from
January 15, 2022 to August 15,
2030 1,864,235 1,898,425 13,858,677 14,132,101 8,359,895 8,524,287
7 1/2s, with due dates from
April 15, 2022 to January 15,
2024 -- -- 1,466,401 1,474,701 1,938,978 1,949,951
7s, with due dates from
August 15, 2025 to November 15,
2028 2,860,242 2,820,948 12,360,169 12,195,996 2,637,173 2,601,571
6 1/2s, March 15, 2028 -- -- 315,980 304,327 -- --
-------------- -------------- --------------
31,927,186 133,932,997 72,045,321
U.S. Treasury Obligations --% 0.1% 0.1%
---------------------------------------------------------------------------------------------------------------------------
U.S. Treasury Interest Strip
zero %, February 15, 2023 640,000 167,430 7,815,000 2,044,482 3,610,000 944,412
U.S. Treasury Interest Strip
zero %, November 15, 2024 650,000 153,654 -- -- -- --
-------------- -------------- --------------
321,084 2,044,482 944,412
Total U.S. Government and
Agency Obligations (cost
$31,824,288, $134,606,711 and
$70,740,581) $ 32,248,270 $ 135,977,479 $ 72,989,733
---------------------------------------------------------------------------------------------------------------------------
GROWTH BALANCED CONSERVATIVE
1.3% 1.7% 3.2%
COLLATERALIZED Principal Principal Principal
MORTGAGE OBLIGATIONS(a) Amount Value Amount Value Amount Value
---------------------------------------------------------------------------------------------------------------------------
Collateralized Mortgage
Obligation Trust
Ser. 64, Class Z, 9s, 2020 $ -- $ -- $1,146,801 $ 1,193,390 $ 931,412 $ 969,251
Commercial Mortgage
Acceptance Corp.
Ser. 97-ML1, Class D, 7.50s,
2010 -- -- 110,000 104,414 -- --
Ser. 97-ML1, Interest Only
(IO), 0.8963s, 2017 5,157,215 230,463 6,898,863 308,293 7,329,437 327,534
Commercial Mortgage
Asset Trust
Ser. 99-C1, Class A3,
6.64s, 2010 -- -- 25,000 24,214 -- --
Countrywide Mortgage Backed
Securities, Inc. Ser.
93-C, Class A8, 6 1/2s, 2024 -- -- 180,000 166,738 -- --
Criimi Mae Commercial
Mortgage Trust
Ser. 98-C1, Class A2, 7s,
2011 -- -- 760,000 691,363 470,000 427,553
CS First Boston
Mortgage Securities Corp.
Ser. 00-C1, Class A2,
7.545s, 2010 870,000 890,798 3,160,000 3,235,544 1,645,000 1,684,326
DLJ Commercial
Mortgage Corp.
Ser. 98-CG1, Class A1A,
6.11s, 2007 1,453,626 1,413,708 4,703,262 4,574,106 2,047,434 1,991,209
Deutsche Mortgage
& Asset Receiving Corp.
Ser. 98-C1, Class X, IO,
1.241s, 2031 3,142,963 158,376 7,291,674 367,432 6,034,489 304,082
Fannie Mae
Ser. 92-184, Class J, IO,
11.46s, 2022 -- -- 5,516 201,052 4,903 178,713
Ser. 92-181, Class PJ, IO,
1--7s, 2022 -- -- 3,739 118,718 3,519 111,735
Ser. 281, Class 2, IO, 9s, 2026 440,740 121,961 228,040 63,103 -- --
Ser. 98-1, Class SA, IO,
8.93s, 2024 -- -- 3,765,200 1,871,422 1,885,300 937,053
Ser. 00-4, Class SX, 8.93s,
2023 -- -- 1,120,000 1,057,000 1,020,000 962,625
Ser. 266, Class 2, IO, 7.5s,
2024 937,076 264,138 500,842 141,175 -- --
Ser. 252, Class 2, IO, 7.5s,
2023 -- -- 3,629,598 1,054,852 3,327,911 967,174
Ser. 218, Class 2, IO, 7.5s,
2023 -- -- 22,231 6,329 20,865 5,940
Ser. 276, Class 2, IO, 6.5s,
2024 -- -- 938,174 267,966 -- --
Ser. 97-23, Class SJ, IO,
5.94s, 2023 -- -- 579,000 119,509 -- --
Ser. 97-23, Class SH, IO,
4.87s, 2023 -- -- 548,489 124,610 -- --
Ser. 97-91, Class FB, IO,
4.74s, 2023 439,873 80,827 -- -- -- --
Ser. 203, Class 2, IO, 4.371s,
2023 207,716 58,939 1,102,936 312,958 598,482 169,819
Ser. 251, Class 2, IO, 3.922s,
2023 234,966 66,672 1,247,584 354,002 676,764 192,032
Ser. 97-91, Class SL, IO,
2.76s, 2023 -- -- -- -- 830,462 83,955
Ser. 97-92, Class SM, IO,
2.44s, 2022 -- -- 1,702,166 129,790 876,621 66,842
Ser. 99-51, Class S, IO,
2.38s, 2029 -- -- 2,047,632 158,691 1,773,810 137,470
Ser. 99-64, Class SE, IO,
1.778s, 2030 4,495,681 250,775 -- -- -- --
Ser. 98-66, Class SB, IO,
1.53s, 2028 -- -- -- -- 1,141,183 60,269
Freddie Mac
Ser. 2032, Class SK, IO,
8.93s, 2024 2,593,000 1,226,003 -- -- -- --
Ser. 2028, Class SG, IO,
8.35s, 2023 -- -- 1,324,000 648,139 1,035,000 506,665
Ser. 147, IO, 8s, 2023 313,725 87,647 638,157 178,285 346,287 96,744
Ser. 2113,
Class ZM, 6.5s, 2028 -- -- 47,745 39,091 36,984 30,281
Ser. 1717, Class L, 6.5s,
2024 -- -- 70,210 68,227 -- --
Ser. 2122, Class ZA, 6
1/4s, 2028 266,407 214,458 -- -- -- --
Ser. 2183, Class SG, 3.96s,
2014 160,000 131,000 -- -- -- --
Ser. 2090, Class SB, IO,
2.18s, 2028 1,653,978 93,036 311,456 17,519 -- --
Ser. 2090, Class SC, IO,
2.18s, 2028 576,875 32,449 108,630 6,110 -- --
Ser. 2191, Class MS, IO,
1.78s, 2027 -- -- 318,438 16,917 -- --
Ser. 203, Principal Only
(PO), zero %, 2029 -- -- 355,793 228,375 117,917 75,688
Ser. 180, PO zero %, 2026 -- -- 11,426 8,214 107,135 77,020
Ser. 1208, Class F, PO,
zero %, 2022 92,257 69,856 -- -- -- --
GE Capital Mortgage
Services, Inc. Ser. 98-11,
Class 2A4, 6 3/4s, 2028 -- -- 75,000 71,267 -- --
Government National
Mortgage Association
Ser. 99-44, Class SZ, 11 1/2s,
2029 429,582 412,936 -- -- -- --
Ser. 99-30, Class SG, 9.64s,
2025 137,244 133,299 -- -- 247,359 240,247
Ser. 00-17, Class SB, 9.14s,
2026 234,863 242,383 1,634,866 1,687,214 862,387 890,001
Ser. 00-16, Class SA, 8.64s,
2026 -- -- 1,664,500 1,532,006 -- --
Ser. 99-46, Class SQ, IO,
1.83s, 2027 -- -- 1,695,716 87,965 -- --
Ser. 98-2, Class EA, PO,
zero %, 2028 379,603 265,722 72,424 50,696 -- --
GS Mortgage Securities Corp.
II Ser. 98-C1, Class A2, 6.62s,
2030 660,000 637,158 2,510,000 2,423,130 1,275,000 1,230,873
LB Commercial Conduit Mortgage
Trust Ser. 99-C1, Class A2,
6.78s, 2009 2,480,000 2,424,816 10,130,000 9,904,591 5,315,000 5,196,733
LB-UBS Commercial Mortgage Trust
Ser. 00-C4, Class A2, 7.37s,
2010 1,055,000 1,068,666 4,355,000 4,411,413 2,255,000 2,284,211
Merrill Lynch Mortgage
Investors, Inc.
Ser. 95-C3, Class D, 7.79s,
2025 -- -- 75,000 74,578 -- --
Ser. 96-C2, Class E, 6.96s,
2028 -- -- 65,000 57,688 -- --
Ser. 98-C2, Class A1, 6.22s,
2030 106,923 104,902 562,336 551,704 495,014 485,655
Ser. 96-C2, IO, 3.06s, 2028 1,377,858 89,561 2,347,270 152,573 850,329 55,271
Ser. 98-C2, IO, 1.57s, 2030 2,263,451 154,551 8,461,677 577,774 4,331,118 295,734
Mortgage Capital Funding, Inc.
Ser. 98-MC1, Class A1,
6.417s, 2007 429,325 421,979 508,520 499,820 483,511 475,239
Ser. 97-MC2, Class X, IO,
1.58s, 2012 1,854,961 122,456 513,916 33,926 -- --
Ser. 98-MC1, Class X, IO,
0.854s, 2009 3,404,992 119,441 5,576,221 195,603 7,902,885 277,218
Morgan Stanley
Capital I Ser. 98-HF1, Class
A1, 6.19s, 2007 189,686 185,789 428,691 419,883 357,243 349,903
PNC Mortgage
Securities Corp. Ser. 97-6,
Class A2, 6.6s, 2027 -- -- 86,397 86,123 -- --
Prudential Home Mortgage
Securities Ser. 93-57, Class A
4, 5.9s, 2023 -- -- 6,569 6,470 -- --
Washington Mutual
Corp. Ser. 00-1, Class A1,
6.91s, 2024 13,038,537 13,038,537 4,346,179 4,346,179 4,346,179 4,346,179
-------------- -------------- --------------
Total Collateralized Mortgage
Obligations
(cost $24,434,085, $44,512,596
and $26,349,889) $ 24,813,302 $ 45,028,151 $ 26,491,244
---------------------------------------------------------------------------------------------------------------------------
GROWTH BALANCED CONSERVATIVE
0.4% 0.1% 0.5%
PREFERRED STOCKS (a) Shares Value Shares Value Shares Value
---------------------------------------------------------------------------------------------------------------------------
AmeriKing, Inc. $3.25 cum. pfd.
(PIK) 9,084 $ 36,336 188 $ 752 -- $ --
CSBI Capital Trust I 144A company
guaranty $11.75, 2027 -- -- -- -- 90,000 90,000
CSC Holdings, Inc. Ser. M, $11.13
cum. pfd. (PIK) 6,670 715,358 -- -- 876 93,951
Citadel Broadcasting, Inc. 144A
Ser. B, $13.25 cum. pfd. (PIK) 5,199 584,888 -- -- 1,191 133,988
Dobson Communications 12.25% pfd.
(PIK) 418 392,920 -- -- -- --
Dobson Communications 13.00% pfd.
(PIK) 939 887,355 -- -- 299 282,555
Fresenius Medical Capital Trust I
Ser. D, 9.00% company guaranty, pfd.
(Germany) 1,010,000 1,002,425 1,380,000 1,369,650 1,610,000 1,597,925
Fresenius Medical Capital
Trust II 7.875% company guaranty,
pfd. (Germany) -- -- 1,000,000 940,000 450,000 423,000
Golden State Bancorp Ser. A,
$2.28 pfd. 8,100 188,325 20,300 471,975 17,000 395,250
Intermedia Communications Ser. B,
13.50% pfd. (PIK) 1,105 1,049,750 27 25,650 294 279,300
NEXTLINK Communications, Inc.
14.00% pfd. (PIK) 1,222 54,990 -- -- 124 5,580
NEXTLINK Communications, Inc.
Ser. B, 13.50% pfd. (PIK) 312 240,240 8 6,160 76 58,520
Nextel Communications, Inc. Ser. D,
13.00% cum. pfd. (PIK) 248 265,360 -- -- 52 55,640
Nextel Communications, Inc. Ser. E,
$11.125 pfd. (PIK) 5 4,825 -- -- 2 1,930
Paxson Communications Corp. 13.25%
cum. pfd. (PIK) 102 999,600 -- -- 23 225,400
Prosieben Media AG zero % pfd.
(Germany) 11,616 1,321,945 -- -- -- --
Public Service Co. of New
Hampshire $2.651 1st mtge. pfd. 577 14,569 3,141 79,310 577 14,569
R & B Falcon Corp. 13.875%
cum. pfd. (PIK) 189 241,920 439 561,920 275 352,000
United Global Communications
$0.875 pfd. -- -- 5,800 184,150 3,900 123,825
-------------- -------------- --------------
Total Preferred Stocks
(cost $8,348,196, $3,889,429
and $4,362,969 $ 8,000,806 $ 3,639,567 $ 4,133,433
---------------------------------------------------------------------------------------------------------------------------
GROWTH BALANCED CONSERVATIVE
0.2% 0.1% 0.2%
UNITS(a) Units Value Units Value Units Value
---------------------------------------------------------------------------------------------------------------------------
Cipla, Ltd. equity participation
note (issued by Credit Suisse
First Boston) zero %, 2003 8,000 $ 118,080 -- $ -- -- $ --
D.R. Reddy's lab, Ltd. Ser. A
equity participation notes
(issued by Credit Suisse First
Boston) zero %, 2003 4,000 108,143 -- -- -- --
Horizon Pcs., Inc. units
stepped-coupon zero % (14s,
10/1/05), 2010 (STP) 790,000 402,900 -- -- 420,000 214,200
Investcorp units 12 3/4s, 2010 440,000 453,200 -- -- 240,000 247,200
IPCS, Inc. units stepped-coupon
zero % (14s 7/15/05), 2010
(STP) 500,000 260,000 -- -- 260,000 135,200
Nippon Television Network Corp.
structured warrants (issued
by Lehman Brothers Finance
S.A.) zero %, 2001 -- -- 440 253,260 -- --
Railamerica Transportation
Corp. units 12 7/8s, 2010 1,210,000 1,142,900 -- -- 640,000 601,600
Ranbaxy Labs equity
participation note (issued by
Credit Suisse First Boston)
zero % 2003 14,000 189,889 -- -- -- --
Stone Container Corp. sr. sub.
deb. stepped-coupon zero %
(12 1/4s, 11/13/00), 2002
(STP) -- -- -- -- 520,000 525,200
Tokyo Broadcasting System, Inc.
structured note (Issued by UBS
AG) 3.15%, 2000 (Japan) 22,100 909,137 39,000 1,604,359 5,000 205,687
Tokyo Broadcasting System, Inc.
structured call warrants (Issued
by Lehman Brothers Finance
S.A.) zero %, 2000 (Japan) 600 24,216 -- -- -- --
WIPRO, Ltd. equity participation
note (issued by Goldman Sachs)
zero %, 2001 1,350 77,936 -- -- -- --
WIPRO, Ltd. structured notes
(issued by The Goldman Sachs
Group, Inc.) zero %, 2001
(India) 8,000 461,760 -- -- -- --
-------------- -------------- --------------
Total Units
(cost $5,265,230, $1,293,123 and
$1,873,756) $ 4,148,161 $ 1,857,619 $ 1,929,087
<CAPTION>
------------------------------------------------------------------------------------------------------------------------------
GROWTH BALANCED CONSERVATIVE
0.1% --% --%
Expiration
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 $ --
Birch Telecommunications,
INC. 144A (PIK) 6/15/08 340 34,000 -- -- 80 8,000
Carrier1 Intl. SA 2/19/09 465 116,250 -- -- 163 40,750
CellNet Data
Systems, Inc. 10/01/07 995 1 -- -- 210 --
Dayton Superior
Corp. 6/15/09 560 11,200 -- -- 280 5,600
Diva Systems
Corp. 5/15/06 295 168,150 -- -- 75 42,750
Diva Systems
Corp. 3/1/08 5,157 85,091 -- -- 1,209 19,949
Epic Resorts 6/15/05 -- -- -- -- 80 1
Firstworld
Communication Corp. 4/15/08 1,510 30,200 -- -- 360 7,200
Globalstar
Telecommunications 2/15/04 400 400 -- -- 90 90
Huntsman Packaging
Corp. 144A 6/1/10 -- -- -- -- 160 5,817
ICG Communications 10/15/05 1,287 1,287 -- -- 330 330
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 Telecommunications
Holdings, Inc. 4/15/08 700 2,100 -- -- 175 525
Knology Holdings 10/22/07 1,005 6,030 -- -- 210 1,260
LEHM Vodaphone 144A 12/20/00 161,300 488,127 -- -- -- --
McCaw International,
Ltd. 4/15/07 30 600 -- -- 10 200
Mediq, Inc. 144A 6/1/09 410 4 -- -- 100 1
Motient Corp. 144A 4/1/08 -- -- -- -- 20 760
Onepoint Communications,
Inc. 6/1/08 190 15,200 -- -- 50 4,000
Orbital Imaging
Corp. 144A 3/1/05 415 2,075 -- -- 100 500
Paxson Communications
Corp. 144A 6/30/03 960 5,280 -- -- 320 1,760
Raintree Resort 144A 12/1/04 195 2 -- -- 40 --
Startec Global
Communications Corp. 5/15/08 390 390 -- -- 90 90
Sterling Chemicals
Holdings 8/15/08 145 580 -- -- 30 120
Telehub Communications
Corp. 7/31/05 290 145 -- -- 80 40
UIH Australia/Pacific,
Inc. 144A 5/15/06 820 24,600 -- -- 200 6,000
Ubiquitel, Inc. 144A 4/15/10 -- -- -- -- 590 23,600
Versatel Telecom NV 5/15/08 20 5,200 -- -- 10 2,600
-------------- -------------- --------------
Total Warrants
(cost $1,253,532, $0 and $185,179) $ 996,920 $ -- $ 171,945
<CAPTION>
---------------------------------------------------------------------------------------------------------------------------
GROWTH BALANCED CONSERVATIVE
--% 1.5% 3.3%
CONVERTIBLE
PREFERRED STOCKS(a) Shares Value Shares Value Shares Value
Automotive --% --% --%
---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Federal-Mogul Financial Trust
$3.50 cum. cv. pfd. -- $ -- 8,600 $ 62,350 3,500 $ 25,375
Tower Automotive Capital Trust
$3.375 cv. pfd. -- -- 8,600 222,525 5,900 152,663
-------------- -------------- --------------
-- 284,875 178,038
Banking --% 0.1% 0.1%
---------------------------------------------------------------------------------------------------------------------------
CNB Capital Trust I $1.50 cum. cv.
pfd. -- -- 14,900 599,725 10,100 406,525
Sovereign Bancorp, Inc. $7.50 cv.
pfd. -- -- 6,100 333,975 4,100 224,475
Union Planters Corp. Ser. E, $2.00
cv. cum. pfd. -- -- 8,500 349,563 5,700 234,413
-------------- -------------- --------------
-- 1,283,263 865,413
Biotechnology --% --% 0.1%
---------------------------------------------------------------------------------------------------------------------------
Alkermes, Inc. $3.25 cv. pfd. -- -- 1,600 210,200 1,100 144,513
Biovail Corp. $3.375 cv. pfd. -- -- 5,043 375,073 3,196 237,703
Cephalon, Inc. $3.63 cv. pfd. -- -- 1,156 157,216 706 96,016
-------------- -------------- --------------
-- 742,489 478,232
Broadcasting --% 0.1% 0.1%
---------------------------------------------------------------------------------------------------------------------------
Cox Communications, Inc. $3.50 cv.
pfd. -- -- 8,400 436,800 7,600 395,200
Emmis Broadcasting Corp. Ser. A,
$3.13 cv. pfd. -- -- 4,800 200,400 3,300 137,775
Paxson Communications Corp. 144A
9.75% cv. pfd. (PIK) -- -- -- -- 10 97,000
Pegasus Communications Corp.
Ser. C, $6.50 cum. cv. pfd. -- -- 1,555 137,618 981 86,819
Radio One, Inc. $6.50 cum. cv. pfd. -- -- 300 175,500 180 105,300
Sinclair Broadcast Group, Inc.
$3.00 cv. pfd. -- -- 6,900 219,075 4,600 146,050
XM Satellite Radio Holdings Ser. B,
$8.25 cv. pfd. -- -- 1,992 125,994 1,355 85,704
-------------- -------------- --------------
-- 1,295,387 1,053,848
Cable Television --% 0.1% 0.3%
---------------------------------------------------------------------------------------------------------------------------
Adelphia Communications Corp. Ser. D,
$5.50 cv. pfd. -- -- 1,600 173,400 1,100 119,213
MediaOne Group, Inc. $6.25 cv. pfd. -- -- 31,803 2,589,264 19,855 1,620,664
TCI Pacific Comm $5.00 cv. pfd. -- -- 3,331 618,733 2,101 390,261
-------------- -------------- --------------
-- 3,381,397 2,130,138
Commercial and Consumer Services --% --% --%
---------------------------------------------------------------------------------------------------------------------------
Carriage Services Capital Trust
$3.50 cv. pfd. -- -- -- -- 1,500 33,000
Consumer Goods --% --% 0.1%
---------------------------------------------------------------------------------------------------------------------------
Estee Lauder Aces TR II $5.41 cv.
pfd. -- -- 8,600 597,700 5,100 354,450
Electric Utilities --% 0.3% 0.5%
---------------------------------------------------------------------------------------------------------------------------
AES Trust II $3.38 cv. pfd. -- -- 19,294 1,994,517 14,800 1,529,950
Alliant Energy 144A $7.25 cv. pfd. -- -- 16,294 914,582 10,200 572,526
CMS Energy Corp. 8.75% cum. cv. pfd. -- -- 13,730 437,644 8,613 274,539
Calpine Corp. 144A $2.875 cv. pfd. -- -- 7,440 802,590 4,658 502,482
NiSource, Inc. $3.875 c.v. pfd. -- -- 5,000 228,125 3,400 155,125
Reliant Energy, Inc. $2.00 cv. pfd. -- -- 19,649 1,508,061 12,290 943,258
TXU Corporation $4.625 cum. cv. pfd. -- -- 9,300 432,450 3,600 167,400
TXU Corporation $1.657 cum. cv. pfd. -- -- 5,300 213,325 3,600 144,900
-------------- -------------- --------------
-- 6,531,294 4,290,180
Electronics --% --% --%
---------------------------------------------------------------------------------------------------------------------------
Interact Systems, Inc. 14.00% cv. pfd -- -- -- -- 90 1
Pioneer Standard Electronics, Inc.
144A $3.375 cv. pfd. -- -- 3,200 155,200 2,000 97,000
Titan Corp. 144A $5.75 cv. pfd. -- -- 3,000 90,000 2,000 60,000
World Access, Inc. 144A Ser. D, zero %
cv. pfd. -- -- -- -- 27 23,490
-------------- -------------- --------------
-- 245,200 180,491
Energy --% --% 0.1%
---------------------------------------------------------------------------------------------------------------------------
Evi, Inc. $2.50 cum. cv. pfd. -- -- 18,217 863,030 11,385 539,364
Hanover Compressor 7.25% cv. pfd. -- -- 1,900 186,200 1,300 127,400
-------------- -------------- --------------
-- 1,049,230 666,764
Entertainment --% --% --%
---------------------------------------------------------------------------------------------------------------------------
Six Flags, Inc. 7.50% pfd. -- -- 3,481 114,873 2,176 71,808
Food --% --% 0.1%
---------------------------------------------------------------------------------------------------------------------------
Suiza Capital Trust II $2.75 cv. pfd. -- -- 16,033 637,312 10,117 402,151
Household Furniture and Appliances --% --% 0.1%
---------------------------------------------------------------------------------------------------------------------------
Metromedia International Group, Inc.
$3.625 cum. cv. pfd. -- -- 11,400 283,575 7,300 181,588
Newell Financial Trust I $2.625 cv.
cum. pfd. -- -- 12,300 445,875 8,300 300,875
-------------- -------------- --------------
-- 729,450 482,463
Insurance --% 0.1% 0.2%
---------------------------------------------------------------------------------------------------------------------------
ACE, Ltd. $4.125 cv. pfd. -- -- 2,877 226,204 1,799 141,446
Conseco Financing Trust IV $3.50 cum.
cv. pfd. -- -- 10,691 105,574 6,568 64,859
Lincoln National Corp. $0.463 cum.
cv. pfd. -- -- 11,399 245,079 7,130 153,295
Metlife Capital Trust I $4.00 cv. pfd. -- -- 17,402 1,444,366 10,150 842,450
Philadelphia Consolidated Holding
Corp. $7.00 cv. pfd. -- -- 81,500 733,500 42,200 379,800
Protective Life Corp. $3.25 cum. cv.
pfd. -- -- 4,800 227,400 2,500 118,438
-------------- -------------- --------------
-- 2,982,123 1,700,288
Media --% --% --%
---------------------------------------------------------------------------------------------------------------------------
Seagram Co., Ltd. $3.76 cv. pfd.
(Canada) -- -- 3,793 195,814 2,285 117,963
Medical Technology --% --% --%
---------------------------------------------------------------------------------------------------------------------------
Owens & Minor Trust I 144A Ser. A,
$2.69 cum. cv. pfd. -- -- 14,200 601,725 9,700 411,038
Metals --% --% --%
---------------------------------------------------------------------------------------------------------------------------
Kinam Gold, Inc. Ser. B, $3.75 cum. cv.
pfd. -- -- 7,800 58,500 5,200 39,000
Natural Gas Utilities --% 0.1% 0.1%
---------------------------------------------------------------------------------------------------------------------------
El Paso Energy Capital Trust $2.375 cv.
pfd. -- -- 9,600 727,200 4,400 333,300
K N Energy, Inc. $3.55 cv. pfd. -- -- 12,000 655,500 8,000 437,000
Semco Energy Inc. 11.00% cv. cum.
pfd. -- -- 10,541 115,951 6,651 73,161
-------------- -------------- --------------
-- 1,498,651 843,461
Oil and Gas --% 0.1% 0.2%
---------------------------------------------------------------------------------------------------------------------------
Apache Corp. $2.015 cv. pfd. -- -- 9,423 475,862 5,906 298,253
Coastal Corp. $1.656 cv. pfd. -- -- 9,900 405,900 6,700 274,700
Kerr-McGee Corp. $1.825 cv. pfd. -- -- 5,000 270,625 3,300 178,613
Newfield Exploration Co. $3.25 cv. pfd. -- -- 3,700 259,000 2,500 175,000
Pogo Producing Co. Ser. A, $3.25 cv.
pfd. -- -- 3,200 190,800 2,391 142,563
Tosco Financing Trust $2.875 cv. pfd. -- -- 5,000 253,125 3,500 177,188
Unocal Capital Trust $3.125 cum. cv.
pfd. -- -- 21,500 1,029,313 14,600 698,975
-------------- -------------- --------------
-- 2,884,625 1,945,292
Paper and Forest Products --% 0.1% 0.2%
---------------------------------------------------------------------------------------------------------------------------
Georgia Pacific Corp. $3.75 cv. pfd. -- -- 8,583 247,834 5,170 149,284
Inrernational Paper Co. $2.625 cv. pfd. -- -- 21,700 840,875 15,600 604,500
Owens-Illinois, Inc. $2.375 cv.pfd. -- -- 12,300 210,638 8,300 142,138
Sealed Air Corp. Ser. A, $2.00 cv.pfd. -- -- 24,000 1,071,000 13,400 597,975
-------------- -------------- --------------
-- 2,370,347 1,493,897
Pharmaceuticals --% --% 0.1%
---------------------------------------------------------------------------------------------------------------------------
Monsanto Co. $2.60 cv. pfd. -- -- 15,022 773,633 9,821 505,782
Power Producers --% --% --%
---------------------------------------------------------------------------------------------------------------------------
SEI Trust I $3.125 cum. cv. pfd. -- -- 8,900 590,181 5,500 364,719
Publishing --% 0.1% 0.2%
---------------------------------------------------------------------------------------------------------------------------
Readers Digest $0.453 cv. pfd. -- -- 6,900 212,175 4,600 141,450
Tribune Co. $2.00 cv. pfd. -- -- 15,297 1,812,695 11,268 1,335,258
Tribune Co. $1.75 cv. pfd. -- -- 11,317 164,097 7,075 102,588
-------------- -------------- --------------
-- 2,188,967 1,579,296
Railroads --% --% 0.1%
---------------------------------------------------------------------------------------------------------------------------
Canadian National Railway Co. $2.625
cv. pfd. (Canada) -- -- 2,100 93,975 4,000 179,000
Union Pacific Capital Trust $3.125
cum. cv. pfd. -- -- 19,435 774,971 12,156 484,721
-------------- -------------- --------------
-- 868,946 663,721
Real Estate --% 0.1% 0.1%
---------------------------------------------------------------------------------------------------------------------------
Equity Residential Properties Trust
Ser. E, $1.75 cv. pfd. -- -- 32,594 867,815 18,254 486,013
Vornado Realty Trust Ser. A, $3.25
cum. cv. pfd. -- -- 5,100 262,650 3,400 175,100
-------------- -------------- --------------
-- 1,130,465 661,113
Restaurants --% --% --%
---------------------------------------------------------------------------------------------------------------------------
Wendy's Financing Ser. A, $2.50 cv.
pfd. -- -- 1,336 62,625 846 39,656
Retail --% --% 0.1%
---------------------------------------------------------------------------------------------------------------------------
CVS Auto Exchange 6.00% cv. pfd. -- -- 5,163 413,040 4,100 328,000
Dollar General Strypes Trust $3.352 cv.
pfd. -- -- 2,086 63,884 1,239 37,944
K mart Financing I $3.875 cum. cv. pfd. -- -- 12,132 374,576 7,588 234,280
-------------- -------------- --------------
-- 851,500 600,224
Shipping --% --% --%
---------------------------------------------------------------------------------------------------------------------------
CNF Trust I Ser. A, $2.50 cum. cv. pfd. -- -- 15,000 575,625 10,100 387,588
Software --% --% --%
---------------------------------------------------------------------------------------------------------------------------
Amdocs 6.75% cv. pfd. -- -- 1,174 61,929 741 39,088
Technology Services --% --% --%
---------------------------------------------------------------------------------------------------------------------------
NBC Internet, Inc. $7.25 cv. pfd. -- -- 1,000 18,500 700 12,950
PSINet, Inc. 144A $3.50 cv. pfd. -- -- -- -- 4,000 68,500
-------------- -------------- --------------
-- 18,500 81,450
Telecommunications --% 0.3% 0.5%
---------------------------------------------------------------------------------------------------------------------------
Comcast Corp. 2.00% cv. pfd. -- -- 5,600 599,900 3,800 407,075
Comcast Corp. 2.00% cv. pfd. -- -- 3,400 233,538 2,300 157,981
Cox Communications, Inc. $7.75 cv. pfd. -- -- 15,600 1,103,700 14,400 1,018,800
Crown Castle International Corp.
$3.125 cum. cv. pfd. -- -- 1,067 57,351 670 36,013
DECS Trust VI 6.25% cv. pfd. -- -- 10,110 444,840 6,380 280,720
Global Crossing Ltd. 6.75% cum. cv. pfd -- -- 6,467 1,618,771 4,938 1,236,043
Global Crossing Ltd. $6.375 cum cv. pfd. -- -- 3,756 333,345 2,370 210,338
Global Telesystems Group, Inc. $3.63
cv. pfd. -- -- 4,600 48,898 3,600 38,268
Mpower Communications Corp. $3.625 cum.
cv. pfd. -- -- 1,400 22,050 1,000 15,750
Nextlink Communications, Inc. $3.25 cv.
pfd. -- -- 3,393 556,452 2,141 351,124
Omnipoint Corp. $3.50 cv. pfd. -- -- 635 106,045 381 63,627
Qwest Trends Trust 144A 5.75% cv. pfd. -- -- 4,500 353,250 3,600 282,600
Williams Communications Group, Inc.
144A $3.375 cv. pfd. -- -- 6,700 280,563 4,200 175,875
WinStar Communications, Inc. $3.50 cv.
pfd. -- -- 3,784 121,088 2,369 75,807
Interact Systems, Inc. 14.00% cv. pfd 400 4 -- -- -- --
Paxson Communications Corp. 144A 9.75%
cv. pfd. (PIK) 30 291,000 -- -- -- --
World Access, Inc. 144A Ser. D, zero %
cv. pfd. 106 92,220 -- -- -- --
-------------- -------------- --------------
383,224 5,879,791 4,350,021
-------------- -------------- --------------
Total Convertible Preferred Stocks
(cost $417,647, $42,287,354 and
$28,216,098) $ 383,224 $ 40,486,417 $ 27,010,573
---------------------------------------------------------------------------------------------------------------------------
GROWTH BALANCED CONSERVATIVE
--% 2.5% 5.2%
CONVERTIBLE Principal Principal Principal
BONDS AND NOTES(a) Amount Value Amount Value Amount Value
Advertising and
Marketing Services --% 0.1% 0.1%
---------------------------------------------------------------------------------------------------------------------------
DoubleClick, Inc. cv. sub. notes 4
3/4s, 2006 $ -- $ -- $ 126,000 $ 121,433 $ 82,000 $ 79,028
Inco, Ltd. cv. deb. 7 3/4s, 2016 -- -- 144,000 129,420 90,000 80,888
Interpublic Group Cos., Inc. cv.
sub. notes 1.8s, 2004 -- -- 500,000 497,500 300,000 298,500
Omnicom Group, Inc. cv. sub.
deb. 2 1/4s, 2013 -- -- 329,000 508,716 200,000 309,250
Young & Rubicam, Inc. 144A cv.
sr. notes 3s, 2005 -- -- 250,000 245,625 160,000 157,200
-------------- -------------- --------------
-- 1,502,694 924,866
Aerospace and Defense --% --% --%
---------------------------------------------------------------------------------------------------------------------------
Orbital Sciences Corp. cv. sub.
notes 5s, 2002 -- -- 200,000 114,500 200,000 114,500
SPACEHAB, Inc. cv. sub. notes 8s,
2007 -- -- 157,000 113,825 97,000 70,325
-------------- -------------- --------------
-- 228,325 184,825
Automotive --% 0.1% 0.1%
---------------------------------------------------------------------------------------------------------------------------
Magna International cv. sub. deb.
5s, 2002 -- -- 800,000 775,000 500,000 484,375
Standard Motor Products, Inc. cv.
sub. deb. 6 3/4s, 2009 -- -- 239,000 121,890 146,000 74,460
Tower Automotive, Inc. cv. sub.
notes 5s, 2004 -- -- 500,000 397,500 300,000 238,500
-------------- -------------- --------------
-- 1,294,390 797,335
Biotechnology --% 0.3% 0.6%
---------------------------------------------------------------------------------------------------------------------------
Affymetrix, Inc. cv. sub. notes 4
3/4s, 2007 -- -- 100,000 59,250 100,000 59,250
Alexion Pharmaceuticals, Inc. 144A cv.
sub. notes 5 3/4s, 2007 -- -- 178,000 218,940 118,000 145,140
Alkermes, Inc. cv. sub. notes 3
3/4s, 2007 -- -- 200,000 151,000 200,000 151,000
Athena Neurosciences, Inc. cv. notes 4
3/4s, 2004 -- -- 800,000 1,233,000 500,000 770,625
Centocor, Inc. cv. sub. deb. 4 3/4s,
2005 -- -- 1,019,000 1,295,404 550,000 699,188
Chiron Corp. cv. sub. notes 1.9s,
2000 -- -- 179,000 279,688 112,000 175,000
COR Therapeutics, Inc. 144A cv.
notes 5s, 2007 -- -- 139,000 272,788 89,000 174,663
Genzyme Corp. cv. sub. notes 5 1/4s,
2005 -- -- 200,000 369,500 -- --
Human Genome Sciences, Inc. cv. sub.
notes 3 3/4s, 2007 -- -- 430,000 416,563 290,000 280,938
IDEC Pharmaceuticals Corp. cv. sub.
notes zero %, 2019 -- -- 80,000 189,200 53,000 125,345
Imclone Systems, Inc 144A cv. sub.
notes 5 1/2s, 2005 -- -- 56,000 67,830 35,000 42,394
Millennium Pharmaceuticals, Inc. cv.
sub. notes 5 1/2s, 2007 -- -- 323,000 610,874 189,000 357,446
Protein Design Labs, Inc. 144A cv.
sub. notes 5 1/2s, 2007 -- -- 170,000 297,713 112,000 196,140
Roche Holdings, Inc. 144A cv. bonds
zero %, 2015 -- -- 1,266,000 1,201,118 772,000 732,435
Sepracor, Inc. cv. sub. deb. 7s,
2005 -- -- 661,000 1,365,791 413,000 853,361
Sepracor, Inc. cv. sub. deb. 6 1/4s,
2005 -- -- 38,000 197,125 25,000 129,688
Vertex Pharmaceuticals, Inc. 144A
cv. sub. notes 5s, 2007 -- -- 190,000 209,475 130,000 143,325
ViroPharma, Inc. 144A cv. sub.
notes 6s, 2007 -- -- 120,000 50,700 80,000 33,800
-------------- -------------- --------------
-- 8,485,959 5,069,738
Broadcasting --% 0.1% 0.2%
---------------------------------------------------------------------------------------------------------------------------
Clear Channel Communications, Inc.
cv. sr. notes 1 1/2s, 2002 -- -- 1,100,000 1,017,500 500,000 462,500
Echostar Communications Corp. cv.
sub. notes 4 7/8s, 2007 -- -- 936,000 1,235,520 591,000 780,120
Jacor Communications, Inc. cv.
sr. notes zero %, 2011 -- -- 418,000 367,840 276,000 242,880
News America Holdings, Inc. cv.
notes zero %, 2013 -- -- 782,000 796,178 500,000 509,065
-------------- -------------- --------------
-- 3,417,038 1,994,565
Commercial and Consumer Services --% --% 0.1%
---------------------------------------------------------------------------------------------------------------------------
Cedant Corp. cv. sub. notes 3s,
2002 -- -- 1,000,000 912,500 500,000 456,250
Communications Equipment --% 0.2% 0.3%
---------------------------------------------------------------------------------------------------------------------------
American Tower Corp. 144A cv. notes 5s,
2010 -- -- 1,100,000 1,045,000 700,000 665,000
Antec Corp. cv. sub. notes 4 1/2s,
2003 -- -- 47,000 62,216 29,000 38,389
Commscope, Inc. cv. sub. notes 4s,
2006 -- -- 122,000 103,853 73,000 62,141
Comverse Technology, Inc. cv. sub.
deb. 4 1/2s, 2005 -- -- 200,000 1,007,750 -- --
Efficient Networks, Inc. 144A cv.
sub. notes 5s, 2005 -- -- 337,000 214,838 204,000 130,050
Juniper Networks, Inc. cv. sub. notes
4 3/4s, 2007 -- -- 1,000,000 1,517,500 630,000 956,025
Redback Networks, Inc. 144A cv. sub.
notes 5s, 2007 -- -- 220,000 244,200 133,000 147,630
Terayon Communications Systems, Inc.
144A cv. sr. notes 5s, 2007 -- -- 193,000 128,104 116,000 76,995
-------------- -------------- --------------
-- 4,323,461 2,076,230
Computers --% 0.1% 0.2%
---------------------------------------------------------------------------------------------------------------------------
Adaptec, Inc. cv. sub. notes 4 3/4s,
2004 -- -- 151,000 127,406 95,000 80,156
Anixter International, Inc. 144A sr.
notes zero %, 2020 -- -- 979,000 271,673 599,000 166,223
Aspen Technology, Inc. cv. sub. deb.
5 1/4s, 2005 -- -- -- -- 111,000 112,943
Critical Path, Inc. 144A cv. bonds
5 3/4s, 2005 -- -- 67,000 58,960 42,000 36,960
Digital Island, Inc. cv. bonds 6s,
2005 -- -- 330,000 191,813 210,000 122,063
Hewlett-Packard Co. cv. sub. notes
zero %, 2017 -- -- 1,321,000 972,586 826,000 608,143
Quantum Corp. cv. sub. 7s, 2004 -- -- 500,000 393,440 300,000 236,064
Vantive Corp. (The) cv. sub. notes
4 3/4s, 2002 -- -- 200,000 202,000 -- --
-------------- -------------- --------------
-- 2,217,878 1,362,552
Conglomerates --% --% --%
---------------------------------------------------------------------------------------------------------------------------
ADT Operations, Inc. cv. sub. notes
zero %, 2010 -- -- 79,000 223,274 49,000 138,486
Consumer Services --% --% --%
---------------------------------------------------------------------------------------------------------------------------
Getty Images, Inc. 144A cv. sub.
notes 5s, 2007 -- -- 350,000 270,813 230,000 177,963
VerticalNet, Inc. cv. sub. deb. 5
1/4s, 2004 -- -- 56,000 105,000 35,000 65,625
-------------- -------------- --------------
-- 375,813 243,588
Electrical Equipment --% --% 0.1%
---------------------------------------------------------------------------------------------------------------------------
Amkor Technologies, Inc. 144A cv.
sub. notes 5s, 2007 -- -- 229,000 182,055 144,000 114,480
Oak Industries, Inc. cv. sub.
notes 4 7/8s, 2008 -- -- 70,000 446,775 46,000 293,595
-------------- -------------- --------------
-- 628,830 408,075
Electronics --% 0.3% 0.6%
---------------------------------------------------------------------------------------------------------------------------
Benchmark Electronics, Inc. cv. sub
notes 6s, 2006 -- -- -- -- 29,000 41,144
Benchmark Electronics, Inc. 144A cv.
sub. notes 6s, 2006 -- -- 114,000 161,738 -- --
Burr-Brown Corp. 144A cv. sub.
notes 4 1/4s, 2007 -- -- 135,000 179,381 85,000 112,944
Cypress Semiconductor Corp. cv.
sub. notes 4s, 2005 -- -- 225,000 253,688 142,000 160,105
Cypress Semiconductor Corp. cv. sub.
deb. 3 3/4s, 2005 -- -- 133,000 124,854 83,000 77,916
Kent Electronics Corp. cv. sub.
notes 4 1/2s, 2004 -- -- 81,000 66,521 51,000 41,884
Kulicke & Soffa Industries, Inc.
144A cv. sub. notes 4 3/4s, 2006 -- -- 130,000 108,875 82,000 68,675
LSI Logic Corp. cv. sub. notes 4
1/4s, 2004 -- -- 165,000 326,288 99,000 195,773
Park Electrochemical Corp. cv. sub.
notes 5 1/2s, 2006 -- -- 183,000 250,024 115,000 157,119
Perkinelmer, Inc. cv. deb. zero %,
2020 -- -- 318,000 216,240 199,000 135,320
S3, Inc. 144A cv. sub. notes 5
3/4s, 2003 -- -- 300,000 274,875 200,000 183,250
SCI Systems, Inc. cv. sub. 3s,
2007 -- -- 600,000 597,750 400,000 398,500
Sanmina Corp. cv. sub. notes 4
1/4s, 2004 -- -- 363,000 803,138 227,000 502,238
Semtech Corp. 144A cv. sub notes
4 1/2s, 2007 -- -- 49,000 58,188 31,000 36,813
Solectron Corp. cv. notes zero %, 2020 -- -- 1,592,000 1,066,640 1,110,000 743,700
Solectron Corp. cv. notes zero%, 2019 -- -- 2,042,000 1,503,423 1,273,000 937,246
Transwitch Corp. 144A cv. notes 4 1/2s,
2005 -- -- 330,000 405,075 210,000 257,775
TriQuint Semiconductor, Inc. cv.
notes 4s, 2007 -- -- 190,000 149,388 130,000 102,213
Vitesse Semiconductor Corp. 144A cv.
sub. deb. 4s, 2005 -- -- 864,000 898,560 540,000 561,600
-------------- -------------- --------------
-- 7,444,646 4,714,215
Energy --% 0.1% 0.2%
---------------------------------------------------------------------------------------------------------------------------
Baker Hughes, Inc. cv. notes zero %,
2008 -- -- 100,000 79,750 100,000 79,750
Diamond Offshore Drilling, Inc. cv.
sub. notes 3 3/4s, 2007 -- -- 900,000 1,010,250 700,000 785,750
Diamond Offshore Drilling, Inc. 144A
cv. deb. zero %, 2020 -- -- 310,000 155,000 190,000 95,000
Global Marine, Inc. 144A cv. deb.
zero %, 2020 -- -- 1,008,000 511,560 630,000 319,725
Offshore Logistics, Inc. cv. sub.
notes 6s, 2003 -- -- 213,000 209,805 141,000 138,885
Parker Drilling Corp. cv. sub. notes
5 1/2s, 2004 -- -- -- -- 245,000 207,638
Pride International, Inc. cv. sub.
deb. zero %, 2018 -- -- 281,000 130,314 172,000 79,765
Seacor Holdings, Inc. cv. sub. notes
5.38s, 2006 -- -- 200,000 221,000 115,000 127,075
-------------- -------------- --------------
-- 2,317,679 1,833,588
Environmental --% --% --%
---------------------------------------------------------------------------------------------------------------------------
Thermo Electron Corp. cv. sr. notes 4s,
2005 -- -- 250,000 218,750 200,000 175,000
Health Care Services --% 0.1% 0.2%
---------------------------------------------------------------------------------------------------------------------------
HEALTHSOUTH Corp. cv. sub. deb. 3 1/4s,
2003 -- -- 391,000 325,508 176,000 146,520
Invitrogen Corp. 144A cv. sub. notes
5 1/2s, 2007 -- -- 140,000 141,225 90,000 90,788
Omnicare, Inc. cv. bonds 5s, 2007 -- -- 1,000,000 741,250 450,000 333,563
Total Renal Care Holdings, Inc. 144A
cv. notes 7s, 2009 -- -- -- -- 680,000 482,800
Universal Health Services, Inc. 144A
cv. sr. notes 0.426s, 2020 -- -- 680,000 377,400 420,000 233,100
Wellpoint Health Networks, Inc. cv.
sub. deb. zero %, 2019 -- -- 500,000 392,500 200,000 157,000
-------------- -------------- --------------
-- 1,977,883 1,443,771
Homebuilding --% --% --%
---------------------------------------------------------------------------------------------------------------------------
Lennar Corp. cv. deb. zero %, 2018 -- -- 440,000 210,100 288,000 137,520
Insurance --% --% --%
---------------------------------------------------------------------------------------------------------------------------
Mutual Risk Management cv. sub. deb.
zero %, 2015 -- -- 656,000 334,560 403,000 205,530
Investment Banking and Brokerage --% --% 0.1%
---------------------------------------------------------------------------------------------------------------------------
Berkshire Hathaway, Inc. cv. sr.
notes 1s, 2001 -- -- 149,000 482,574 99,000 320,636
E*Trade Group, Inc. 144A cv. sub.
notes 6s, 2007 -- -- 51,000 46,410 32,000 29,120
E*Trade Group, Inc. cv. sub. notes
6s, 2007 -- -- 190,000 172,900 119,000 108,290
-------------- -------------- --------------
-- 701,884 458,046
Manufacturing --% --% 0.1%
---------------------------------------------------------------------------------------------------------------------------
Thermo Ecotek Corp. 144A cv. bonds
4 7/8s, 2004 -- -- 300,000 276,375 200,000 184,250
Thermo Electron Corp. 144A cv. sub.
deb. 4 1/4s, 2003 -- -- 300,000 283,125 300,000 283,125
-------------- -------------- --------------
-- 559,500 467,375
Medical Technology --% --% --%
---------------------------------------------------------------------------------------------------------------------------
Thermo Cardiosystems, Inc. 144A cv.
company guaranty 4 3/4s, 2004 -- -- 500,000 438,750 300,000 263,250
Metals --% --% --%
---------------------------------------------------------------------------------------------------------------------------
Inco, Ltd. deb. 5 3/4s, 2004 (Canada) -- -- 300,000 271,125 200,000 180,750
Quanex Corp. cv. sub. deb. 6.88s,
2007 -- -- 276,000 248,400 173,000 155,700
-------------- -------------- --------------
-- 519,525 336,450
Oil and Gas --% 0.1% 0.2%
---------------------------------------------------------------------------------------------------------------------------
Anadarko Petroleum Corp. cv. sub.
notes zero %, 2020 -- -- 410,000 336,713 257,000 211,061
Devon Energy Corp. cv. deb. 4.95s,
2008 -- -- 1,200,000 1,156,500 900,000 867,375
Kerr-McGee Corp. cv. sub. deb. 5 1/4s,
2010 -- -- 200,000 248,500 200,000 248,500
Swift Energy Co. cv. sub. notes 6 1/4s,
2006 -- -- 300,000 393,750 198,000 259,875
-------------- -------------- --------------
-- 2,135,463 1,586,811
Pharmaceuticals --% 0.1% 0.3%
---------------------------------------------------------------------------------------------------------------------------
Alpharma, Inc. cv. sub. notes 5 3/4s,
2005 -- -- 160,000 348,000 101,000 219,675
Alza Corp. cv. sub. zero %, 2014 -- -- 756,000 849,555 473,000 531,534
C.V. Therapeutics 144A cv. sub. notes
4 3/4s, 2007 -- -- 148,000 198,505 96,000 128,760
IVAX Corp. 144A cv. sr. sub. notes
5 1/2s, 2007 -- -- 250,000 360,000 160,000 230,400
Inhale Therapeutic Systems 144A cv.
sub. notes 5s, 2007 -- -- 116,000 183,715 77,000 121,949
Roche Holdings, Inc. 144A cv. unsub.
zero %, 2010 (Switzerland) -- -- 2,060,000 1,129,086 1,350,000 739,935
-------------- -------------- --------------
-- 3,068,861 1,972,253
Photography and Imaging --% --% --%
---------------------------------------------------------------------------------------------------------------------------
Xerox Corp. cv. sub. deb. 0.57s, 2018 -- -- 490,000 249,900 294,000 149,940
Publishing --% --% --%
---------------------------------------------------------------------------------------------------------------------------
Times Mirror Co. cv. sub. notes
zero %, 2017 -- -- 426,000 278,498 280,000 183,050
Real Estate --% --% --%
---------------------------------------------------------------------------------------------------------------------------
EOP Operating LP 144A cv. sr. notes
7 1/4s, 2008 -- -- 373,000 380,926 234,000 238,973
Retail --% 0.1% 0.2%
---------------------------------------------------------------------------------------------------------------------------
Amazon.com, Inc. cv. sub. deb. 4 3/4s,
2009 -- -- 502,000 333,830 315,000 209,475
Ann Taylor Stores Corp. cv. company
guaranty 0.55s, 2019 -- -- 400,000 225,500 400,000 225,500
Costco Cos, Inc. cv. sub. notes
zero %, 2017 -- -- 700,000 587,125 500,000 419,375
Office Depot, Inc. cv. zero %, 2007 -- -- 1,500,000 907,500 700,000 423,500
Rite Aid Corp. cv. sub. notes 5 1/4s,
2002 -- -- 300,000 107,250 200,000 71,500
-------------- -------------- --------------
-- 2,161,205 1,349,350
Semiconductor --% 0.1% 0.1%
---------------------------------------------------------------------------------------------------------------------------
Advanced Energy Industries, Inc. cv.
sub. notes 5 1/4s, 2006 -- -- 200,000 185,250 200,000 185,250
Conexant Systems, Inc. cv. sub. notes
4 1/4s, 2006 -- -- 200,000 383,250 200,000 383,250
Conexant Systems, Inc. 144A cv. sub.
notes 4s, 2007 -- -- 200,000 142,750 200,000 142,750
Conexant Systems, Inc. cv. sub.
notes 4s, 2007 -- -- 176,000 125,620 110,000 78,513
Photronics, Inc. cv. sub. notes 6s,
2004 -- -- 300,000 288,750 200,000 192,500
-------------- -------------- --------------
-- 1,125,620 982,263
Software --% 0.3% 0.7%
---------------------------------------------------------------------------------------------------------------------------
Akamai Technologies, Inc. 144A cv. sub.
notes 5 1/2s, 2007 -- -- 107,000 76,505 66,000 47,190
BEA Systems, Inc. 144A cv. sub.
notes 4s, 2006 -- -- 605,000 1,434,606 366,000 867,878
BEA Systems, Inc. cv. sub. notes 4s,
2006 -- -- 201,000 476,621 126,000 298,778
Citrix Systems, Inc. cv. sub. deb.
zero %, 2019 -- -- 283,000 103,295 174,000 63,510
I2 Technologies, Inc. cv. sub. notes
5 1/4s, 2006 -- -- 406,000 1,044,943 254,000 653,733
Mercury Interactive Corp. 144A cv.
bonds 4 3/4s, 2007 -- -- 304,000 470,820 187,000 289,616
Network Associates, Inc. cv. sub deb.
zero %, 2018 -- -- 2,200,000 830,500 1,100,000 415,250
Rational Software Corp. 144A cv. sub.
notes 5s, 2007 -- -- 500,000 1,035,000 300,000 621,000
Siebel Systems, Inc. cv. sub. notes
5 1/2s, 2006 -- -- 220,000 1,066,450 138,000 668,955
Veritas Software Corp. cv. disc.
notes 1.856s, 2006 -- -- 731,000 2,929,483 459,000 1,825,308
-------------- -------------- --------------
-- 9,468,223 5,751,218
Technology Services --% 0.2% 0.3%
---------------------------------------------------------------------------------------------------------------------------
America Online, Inc. cv. sub. notes 4s,
2002 -- -- 71,000 584,419 -- --
America Online, Inc. cv. sub. notes
zero %, 2019 -- -- 1,200,000 616,500 1,100,000 565,125
Automatic Data Processing, Inc. cv.
deb. zero %, 2012 -- -- 300,000 528,750 200,000 352,500
CNET Networks, Inc. cv. sub. notes 5s,
2006 -- -- 56,000 48,370 34,000 29,368
CheckFree Holdings Corp. 144A cv. sub.
notes 6 1/2s, 2006 -- -- 196,000 171,990 121,000 106,178
EarthWeb, Inc. cv. sub. notes 7s,
2005 -- -- 200,000 77,500 -- --
Exodus Communications, Inc. 144A cv.
sub. notes 4 3/4s, 2008 -- -- 500,000 766,250 339,000 519,518
Exodus Communications, Inc. cv. sub.
notes 4 3/4s, 2008 -- -- 657,000 1,006,853 380,000 582,350
Internet Capital Group, Inc. cv. sub.
notes 5 1/2s, 2004 -- -- 449,000 231,235 279,000 143,685
Safeguard Scientifics, Inc. cv. sub.
notes 5s, 2006 -- -- 296,000 294,150 200,000 198,750
-------------- -------------- --------------
-- 4,326,017 2,497,474
Telecommunications --% 0.2% 0.5%
---------------------------------------------------------------------------------------------------------------------------
Aether Systems, Inc. cv. sub. notes 6s,
2005 -- -- 183,000 139,766 112,000 85,540
American Tower Corp. cv. notes 6 1/4s,
2009 -- -- 97,000 163,081 61,000 102,556
Corecomm, Ltd. cv. sub. notes 6s,
2006 -- -- 300,000 140,250 200,000 93,500
Covad Communications Group, Inc. 144A
cv. sr. notes 6s, 2005 -- -- 250,000 231,250 160,000 148,000
Cox Communications, Inc. cv. sub. deb.
0.426s, 2020 -- -- 887,000 368,105 550,000 228,250
Level 3 Communication, Inc. cv. sub.
deb. 6s, 2010 -- -- 613,000 518,751 390,000 330,038
Level 3 Communication, Inc. cv. sub.
notes 6s, 2009 -- -- 473,000 636,776 297,000 399,836
Liberty Media Group 144A cv. deb.
3 3/4s, 2030 -- -- 962,000 739,538 421,000 323,644
Liberty Media Group cv.
mortgage-backed 4s, 2029 -- -- 957,000 893,599 598,000 558,383
NTL, Inc. cv. sub. notes 7s,
2008 (United Kingdom) -- -- 296,000 393,310 187,000 248,476
Nextel Communications, Inc. sr.
notes 5 1/4s, 2010 -- -- 1,401,000 1,313,438 1,125,000 1,054,688
Pinnacle Holdings, Inc. 144A cv. sub.
notes 5 1/2s, 2007 -- -- 240,000 157,800 210,000 138,075
Primus Telecommunications Group, Inc.
144A cv.sub. deb 5 3/4s, 2007 -- -- 70,000 30,800 50,000 22,000
-------------- -------------- --------------
-- 5,726,464 3,732,986
Tobacco --% --% --%
---------------------------------------------------------------------------------------------------------------------------
Standard Commercial Corp. cv. sub.
deb. 7 1/4s, 2007 -- -- 300,000 188,250 300,000 188,250
Transaction Processing --% --% --%
---------------------------------------------------------------------------------------------------------------------------
National Data Corp. cv. sub. notes 5s,
2003 -- -- 600,000 529,500 246,000 217,095
Waste Management --% --% --%
---------------------------------------------------------------------------------------------------------------------------
HEALTHSOUTH Corp. cv. sub. deb.
3 1/4s, 2003 110,000 91,575 -- -- -- --
Parker Drilling Corp. cv. sub.
notes 5 1/2s, 2004 440,000 372,900 -- -- -- --
Waste Management, Inc. cv. sub.
notes 4s, 2002 -- -- 300,000 279,000 200,000 186,000
-------------- -------------- --------------
464,475 279,000 186,000
-------------- -------------- --------------
Total Convertible Bonds and Notes
(cost $437,783, $66,870,369 and
$42,395,696) $ 464,475 $ 68,251,366 $ 42,726,918
<CAPTION>
---------------------------------------------------------------------------------------------------------------------------
GROWTH BALANCED CONSERVATIVE
PURCHASED --% --% --%
OPTIONS Expiration Date/ Contract Contract Contract
OUTSTANDING(a) Strike Price Amount Value Amount Value Amount Value
---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Japanese Government
Bond Future Contracts
(Call) Oct-00/110.6 $19,967,577 $11,142 $ -- $ -- $ -- $ --
Japanese Government
Bond Future Contracts
(Call) Oct-00/110.6 20,125,127 12,075 -- -- -- --
NA Van Lines (Put) Oct-00/93.0 1,000,000 7,950 -- -- -- --
-------- -------- --------
Total Purchased Options
Outstanding (cost $378,955,
$0 and $0) $31,167 $ -- $ --
---------------------------------------------------------------------------------------------------------------------------
<CAPTION>
GROWTH BALANCED CONSERVATIVE
FOREIGN GOVERNMENT Principal --% Principal 0.2% Principal 0.4%
BONDS AND NOTES(a) Amount Value Amount Value Amount Value
---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Ontario (Province of) sr. unsub.
5 1/2s, 2008 (Canada) $ -- $ -- $ 4,590,000 $ 4,208,112 $2,400,000 $ 2,200,320
Quebec (Province of) sr. unsub.
5 3/4s, 2009 (Canada) -- -- 1,985,000 1,826,002 1,175,000 1,080,883
-------------- -------------- --------------
Total Foreign Government
Bonds and Notes (cost
$0, $5,842,017 and
$3,216,118) $ -- $ 6,034,114 $ 3,281,203
---------------------------------------------------------------------------------------------------------------------------
GROWTH BALANCED CONSERVATIVE
7.4% 14.6% 21.9%
SHORT-TERM Principal Principal Principal
INVESTMENTS(a) Amount Value Amount Value Amount Value
---------------------------------------------------------------------------------------------------------------------------
Asset Securitization Cooperative
Corp. effective yield of 6.49s,
November 14, 2000 $ -- $ -- $50,000,000 $ 49,603,389 $ -- $ --
Barclays U.S. Funding Corp.
effective yield of 6 1/2s,
October 10, 2000 -- -- -- -- 20,000,000 19,967,500
CBA Delaware Finance
effective yield of 6.49s,
October 10, 2000 -- -- 25,000,000 24,959,437 -- --
Corporate Asset effective yield
of 6 1/2s, November 22, 2000 -- -- -- -- 25,000,000 24,765,278
Corporate Receivables Corp.
effective yield of 6 1/2s,
November 7, 2000 -- -- 25,000,000 24,832,986 -- --
CXC Incorp. effective yield
of 6 1/2s, December 15,
2000 -- -- -- -- 28,000,000 27,671,389
Falcon Asset Securitization
Corp. effective yield of 6.52s,
October 4, 2000 -- -- 40,000,000 39,978,267 -- --
Formosa Plstics Corp. effective
yield of 6.52s, October 4, 2000 20,000,000 19,989,133 -- -- -- --
Merrill Lynch & Co., Inc.
effective yield of 6.49s,
October 11, 2000 -- -- -- -- 20,000,000 19,963,944
Old Line Funding Corp. effective
yield of 6 1/2s, November 3, 2000 -- -- -- -- 20,000,000 19,880,833
Old Slip Funding Corp. effective
yield of 6.53s, November 1, 2000 -- -- 18,864,000 18,751,083 -- --
Park Avenue Receivables
effective yield of 6.52s,
October 17, 2000 -- -- 50,000,000 49,855,111 -- --
Sheffield Receivables
Corp. effective yield of 6.52s,
October 19, 2000 50,000,000 49,837,000 -- -- -- --
Sigma Finance, Inc. effective
yield of 6 1/2s, October 13,
2000 -- -- 41,900,000 41,809,217 -- --
Sigma Finance, Inc. effective
yield of 6 1/2s, October 23,
2000 25,000,000 24,900,694 -- -- -- --
Sigma Finance, Inc. effective
yield of 6 1/2s, November 16,
2000 -- -- -- -- 20,000,000 19,833,889
Thunder Bay Funding, Inc.
effective yield of 6.51s,
October 5, 2000 -- -- 29,946,000 29,924,339 -- --
Venture Business Trust effective
yield of 6.52s, October 6, 2000 -- -- 30,000,000 29,972,833 -- --
Interest in $789,642,000
joint repurchase agreement dated
September 29, 2000 with Morgan
(J.P.) & Co., Inc. due October
2, 2000 with respect to
various U.S. Government
Agency obligations --
maturity value of $40,090,204,
$56,930,154, and $41,141,787,
for an effective yield of
6.65% 40,068,000 40,068,000 56,920,000 56,920,000 41,119,000 41,119,000
Interest in $843,280,000
joint repurchase agreement dated
September 29, 2000 with Morgan
Stanley & Co., Inc. due October
2, 2000 with respect to
various U.S. Government
Agency obligations --
maturity value of 4,443,454,
for an effective yield of 6.63% -- -- -- -- 4,441,000 4,441,000
US Treasury 5.99s, December
21, 2000 (SEG) -- -- 29,680,000 29,282,813 -- --
US Treasury 5.975s, December
21, 2000 (SEG) 11,925,000 11,764,692 -- -- -- --
US Treasury 5.432s, December
21, 2000 (SEG) -- -- -- -- 4,200,000 4,143,539
-------------- -------------- --------------
Total Short-Term Investments
(cost $146,559,519, $395,889,475
and $181,786,372) $ 146,559,519 $ 395,889,475 $181,786,372
---------------------------------------------------------------------------------------------------------------------------
Total Investments (cost
$1,935,566,940, $2,514,816,587
and $823,168,817) $1,968,684,046 $2,682,528,875 $817,825,069
---------------------------------------------------------------------------------------------------------------------------
<CAPTION>
(a) Percentages indicated are based on net assets as follows:
------------------------------------------------------------------
Growth portfolio $1,978,571,472
Balanced portfolio 2,710,173,254
Conservative portfolio 829,434,220
------------------------------------------------------------------
(b) The aggregate identified cost on a tax basis is as follows:
Unrealized
Aggregate Gross Unrealized Gross Unrealized Appreciation/
Identified Cost Appreciation Depreciation (Depreciation)
---------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Growth portfolio $ 1,962,582,535 $168,791,139 $162,689,628 $ 6,101,511
Balanced portfolio 2,533,907,081 305,190,325 156,568,531 148,621,794
Conservative portfolio 825,616,466 30,391,596 38,182,993 (7,791,397)
---------------------------------------------------------------------------------------------------------
(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.
(REL) BiPop-Carire SpA is involved in a joint venture with Putnam Investments.
(SEG) A portion of these securities were pledged and segregated with the custodian to cover margin
requirements for futures contracts at September 30, 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 at September 30, 2000,
which are subject to change based on the terms of the security.
DIVERSIFICATION BY COUNTRY
Distribution of investments by country of issue at September 30, 2000:
(as percentage of Market Value)
Growth Portfolio
-----------------------------------
Brazil 1.0%
Canada 1.5
Finland 1.0
France 3.6
Germany 1.8
Hong Kong 1.0
Italy 1.0
Japan 4.7
Mexico 1.1
Netherlands 2.2
South Korea 1.0
Spain 1.0
Sweden 1.0
Switzerland 2.1
Taiwan 1.0
United Kingdom 6.0
United States 65.1
Other 3.9
-----------------------------------
Total 100.0%
Distribution of investments by country of issue at September 30, 2000: (as percentage of Market Value)
Balanced Portfolio
-----------------------------------
Canada 1.1%
France 1.9
Germany 1.0
Japan 1.8
Netherlands 1.5
Switzerland 1.2
United Kingdom 3.1
United States 84.8
Other 3.6
-----------------------------------
Total 100.0%
Distribution of investments by country of issue at September 30, 2000: (as percentage of Market Value)
Conservative Portfolio
-----------------------------------
Bermuda 1.0%
Canada 1.1
France 1.0
Japan 1.0
Netherlands 1.0
United Kingdom 1.7
United States 91.1
Other 2.1
-----------------------------------
Total 100.0%
-----------------------------------------------------------------------------
Forward Currency Contracts
to Buy at September 30, 2000
(aggregate face value $216,869,058)
GROWTH
Unrealized
Aggregate Face Delivery Appreciation/
Market Value Value Date (Depreciation)
-----------------------------------------------------------------------------
Australian Dollars $49,665,559 $52,839,946 12/20/00 $(3,174,387)
British Pounds 8,931,176 8,526,887 12/20/00 404,289
Canadian Dollars 196,521 197,542 12/20/00 (1,021)
Euro Dollars 118,758,996 119,539,655 12/20/00 (780,659)
Greek Drachma 5,127,227 5,032,782 12/20/00 94,445
Japanese Yen 20,575,598 20,731,632 12/20/00 (156,034)
Swedish Krona 9,970,536 10,000,614 12/20/00 (30,078)
-----------------------------------------------------------------------------
$(3,643,445)
-----------------------------------------------------------------------------
Forward Currency Contracts
to Sell at September 30, 2000
(aggregate face value $436,208,257)
GROWTH
Unrealized
Market Aggregate Face Delivery Appreciation/
Value Value Date (Depreciation)
-----------------------------------------------------------------------------
Australian Dollars $3,424,814 $3,645,004 12/20/00 $ 220,190
British Pounds 68,347,923 67,082,266 12/20/00 (1,265,657)
Canadian Dollars 18,539,142 18,897,229 12/20/00 358,087
Danish Krone 1,510,025 1,530,661 12/20/00 20,636
Euro Dollars 192,507,604 193,603,548 12/20/00 1,095,944
Hong Kong Dollar 11,244,261 11,244,115 12/20/00 (146)
Japanese Yen 93,112,069 96,113,657 12/20/00 3,001,588
Singapore Dollar 4,991,183 5,050,000 12/20/00 58,817
Swiss Franc 22,480,869 22,463,196 12/20/00 (17,673)
Swedish Krona 14,443,752 14,864,795 12/20/00 421,043
Mexican Peso 1,759,434 1,713,786 12/20/00 (45,648)
-----------------------------------------------------------------------------
$ 3,847,181
-----------------------------------------------------------------------------
-----------------------------------------------------------------------------
Futures Contracts Outstanding
at September 30, 2000
GROWTH
Unrealized
Aggregate Face Expiration Appreciation/
Total Value Value Date (Depreciation)
-----------------------------------------------------------------------------
ASX Index (long) $46,921,383 $ 46,931,543 Dec-00 $ (10,160)
CAC 40 (short) 7,549,691 7,597,338 Oct-00 47,647
DAX Index (long) 454,818 485,328 Dec-00 (30,510)
DAX Index (short) 5,609,425 5,966,331 Dec-00 356,906
Euro-Bund 10yr (short) 15,606,471 15,581,628 Dec-00 (24,843)
FT-SE 100 (short) 43,595,797 45,530,042 Dec-00 1,934,245
Gilt (short) 10,881,849 10,799,786 Dec-00 (82,063)
JGB 10yr (long) 23,895,307 23,646,085 Dec-00 249,222
MIB 30 Index (short) 5,038,465 5,371,364 Dec-00 332,899
S & P 500 Index (long) 7,631,925 7,979,636 Dec-00 (347,711)
S & P 500 Index (short) 3,634,250 3,809,083 Dec-00 174,833
Topix (long) 35,106,915 35,623,480 Dec-00 (516,565)
US Agency 10yr (long) 1,701,844 1,693,686 Dec-00 8,158
US Long Bond (long) 1,282,531 1,281,930 Dec-00 601
US Treasury Note 10yr
(long) 40,688,813 40,677,845 Dec-00 10,968
US Treasury Note 10yr
(short) 216,372,281 216,207,871 Dec-00 (164,410)
US Treasury Note 5yr
(long) 40,111,969 39,901,696 Dec-00 210,273
US Treasury Note 2yr
(long) 2,000,156 1,999,105 Dec-00 1,051
----------------------------------------------------------------------------
$ 2,150,541
----------------------------------------------------------------------------
<CAPTION>
--------------------------------------------------------------------------------------------
Swap Contracts Outstanding
at September 30, 2000
GROWTH
Unrealized
Notional Termination Appreciation/
Amount Date Depreciation
--------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Agreement with Lehman Brothers, Inc. dated
February 29, 2000 to receive (pay) monthly the
notional amount multiplied by the return of the
Lehman Brothers U.S. Government Index and pay
the notional amount multiplied by one month
LIBOR adjusted by a specified spread. $67,860,829 Mar-03 $ 103,928
Agreement with J.P. Morgan Securities, Inc. dated
May 15, 2000 to receive (pay) monthly the notional
amount multiplied by the return of the Lehman
Brothers U.S. Government Bond Index and pay the
notional amount multiplied by one month LIBOR
adjusted by a specified spread. 58,321,809 Jun-03 (321,150)
Agreement with Deutshe Bank AG dated
September 5, 2000 to receive (pay)
semi-annually the notional amount
multiplied by 6.845% and pay quarterly
the notional amount multiplied by three
months LIBOR adjusted by a specified spread. 18,000,000 Sep-05 (39,098)
Agreement with Deutshe Bank AG dated
September 21, 2000 to receive (pay)
semi-annually the notional amount multiplied
by the return of 7.0275% and pay quarterly
the notional amount multiplied by three
months LIBOR adjusted by a specified spread. 7,300,000 Sep-10 (65,253)
Agreement with Merrill Lynch, Pierce, Fenner &
Smith, Inc. dated September 29, 2000 to
receive (pay) monthly the notional amount
multiplied by the return of the Merrill Lynch
Mortgage Index and pay the notional amount
multiplied by one month LIBOR adjusted by a
specified spread. 13,000,278 Dec-00 (773)
Agreement with Salomon Brothers dated
January 28, 2000 to receive (pay)
monthly the notional amount multiplied by the
return of the Salomon Brothers Non-U.S. World
Government bond Index (hedged) and pay the
notional amount multiplied by one month LIBOR
adjusted by a specified spread. 105,662,826 Jan-03 238,229
Agreement with Salomon Brothers dated
January 28, 2000 to receive (pay)
monthly the notional amount multiplied by the
return of the Salomon Brothers Non-U.S. World
Government Bond Index (unhedged) and pay the
notional amount multiplied by one month LIBOR
adjusted by a specified spread. 96,683,645 Jan-03 84,480
-------------------------------------------------------------------------------------------
$ 363
-------------------------------------------------------------------------------------------
Forward Currency Contracts to Buy
at September 30, 2000
(aggregate face value $284,893,847)
BALANCED
Unrealized
Aggregate Face Delivery Appreciation/
Market Value Value Date (Depreciation)
---------------------------------------------------------------------------
Australian Dollars $ 48,446,162 $ 51,546,676 12/20/00 $(3,100,514)
British Pounds 8,491,574 8,107,184 12/20/00 384,390
Canadian Dollars 9,334,118 9,518,359 12/20/00 (184,241)
Euro Dollars 168,053,213 169,048,869 12/20/00 (995,656)
Greek Drachma 1,199,331 1,224,870 12/20/00 (25,539)
Japanese Yen 32,855,917 33,922,335 12/20/00 (1,066,418)
Swedish Krona 10,202,171 10,232,628 12/20/00 (30,457)
Swiss Franc 1,295,404 1,292,926 12/20/00 2,478
---------------------------------------------------------------------------
$(5,015,957)
---------------------------------------------------------------------------
---------------------------------------------------------------------------
Forward Currency Contracts to Sell
at September 30, 2000
(aggregate face value $569,230,536)
BALANCED
Unrealized
Market Aggregate Face Delivery Appreciation/
Value Value Date (Depreciation)
---------------------------------------------------------------------------
Australian Dollars $ 9,398,202 $ 9,997,940 12/20/00 $ 599,738
British Pounds 89,606,168 87,969,005 12/20/00 (1,637,163)
Canadian Dollars 34,484,573 35,165,566 12/20/00 680,993
Euro Dollars 283,788,041 285,139,669 12/20/00 1,351,628
Greek Drachma 1,199,331 1,225,359 12/20/00 26,028
Hong Kong Dollars 14,877,115 14,876,922 12/20/00 (193)
Japanese Yen 80,963,982 83,577,376 12/20/00 2,613,394
Singapore Dollars 4,179,852 4,229,108 12/20/00 49,256
Swedish Krona 16,554,680 17,037,258 12/20/00 482,578
Swiss Franc 30,069,987 30,012,333 12/20/00 (57,654)
---------------------------------------------------------------------------
$ 4,108,605
---------------------------------------------------------------------------
Futures Contracts Outstanding
at September 30, 2000
BALANCED
Unrealized
Aggregate Face Expiration Appreciation/
Total Value Value Date (Depreciation)
------------------------------------------------------------------------------
ASX Index (long) $63,938,789 $ 63,935,955 Dec-00 $ 2,834
ASX Index (short) 2,245,042 2,213,728 Dec-00 (31,314)
CAC 40 (short) 23,648,297 23,797,424 Oct-00 149,127
DAX Index (short) 19,860,395 21,124,036 Dec-00 1,263,641
FT-SE 100 (short) 102,412,541 106,956,173 Dec-00 4,543,632
Hang Seng (short) 3,121,192 3,049,808 Oct-00 (71,384)
IBEX Plus (short) 6,945,102 7,202,072 Oct-00 256,970
JGB 10yr (long) 34,188,670 33,836,168 Dec-00 352,502
MIB 30 Index (short) 8,464,621 9,023,891 Dec-00 559,270
Nikkei 225 (short) 9,345,552 9,682,703 Dec-00 337,151
OMX (short) 3,169,397 3,371,210 Oct-00 201,813
Russell 2000 Index
(short) 121,565,700 125,170,428 Dec-00 3,604,728
S & P 500 Index (long) 320,904,275 333,975,196 Dec-00 (13,070,921)
S & P/TSE 60 Index (short) 8,053,560 8,447,855 Dec-00 394,295
Topix (long) 48,578,173 49,292,307 Dec-00 (714,134)
Topix (short) 21,499,583 21,667,119 Dec-00 167,536
US Agency 10yr (long) 2,930,953 2,911,710 Dec-00 19,243
US Treasury Note 10yr
(long) 57,224,906 57,209,489 Dec-00 15,417
US Treasury Note 10yr
(short) 287,327,157 287,019,130 Dec-00 (308,027)
US Treasury Note 5yr
(long) 64,541,063 64,230,229 Dec-00 310,834
US Treasury Note 5yr
(short) 4,825,500 4,792,602 Dec-00 (32,898)
----------------------------------------------------------------------------
$ (2,049,685)
----------------------------------------------------------------------------
----------------------------------------------------------------------------
<CAPTION>
Swap Contracts Outstanding
at September 30, 2000
BALANCED
Unrealized
Notional Termination Appreciation/
Amount Date (Depreciation)
--------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Agreement with Lehman Brothers, Inc. dated
February 29, 2000 to receive (pay) monthly the
notional amount multiplied by the return of the
Lehman Brothers U.S. Government Bond Index and
pay the notional amount multiplied by one month
LIBOR adjusted by a specified spread. $144,204,775 Mar-03 $ 220,847
Agreement with J.P. Morgan Securities, Inc. dated
March 15, 2000 to receive (pay) monthly the
notional amount multiplied by the return of the
Lehman Brothers U. S. Government Bond Index and
pay the notional amount multiplied by one month
LIBOR adjusted by a specified spread. 121,945,693 Jun-03 (671,495)
--------------------------------------------------------------------------------------------
$(450,648)
--------------------------------------------------------------------------------------------
Forward Currency Contracts to Buy
at September 30, 2000
(aggregate face value $97,048,429)
CONSERVATIVE
Unrealized
Aggregate Face Delivery Appreciation/
Market Value Value Date (Depreciation)
----------------------------------------------------------------------------
Australian Dollars $17,244,744 $18,349,610 12/20/00 $(1,104,866)
Canadian Dollars 2,892,534 2,949,628 12/20/00 (57,094)
Danish Krone 1,185 1,202 12/20/00 (17)
Euro Dollars 71,837,846 72,285,463 12/20/00 (447,617)
Greek Drachma 312,360 319,012 12/20/00 (6,652)
Swedish Krona 3,132,973 3,142,264 12/20/00 (9,291)
Swiss Franc 1,253 1,250 12/20/00 3
----------------------------------------------------------------------------
$(1,625,534)
----------------------------------------------------------------------------
Forward Currency Contracts to Sell
at September 30, 2000
(aggregate face value $114,625,703)
CONSERVATIVE
Unrealized
Market Aggregate Face Delivery Appreciation/
Value Value Date (Depreciation)
----------------------------------------------------------------------------
Australian Dollars $2,805,094 $2,983,784 12/20/00 $178,690
British Pounds 8,661,642 8,502,869 12/20/00 (158,773)
Canadian Dollars 3,226,287 3,290,069 12/20/00 63,782
Euro Dollars 82,118,914 82,450,257 12/20/00 331,343
Greek Drachma 314,129 320,946 12/20/00 6,817
Hong Kong Dollars 2,144,733 2,144,705 12/20/00 (28)
Japanese Yen 7,139,021 7,370,735 12/20/00 231,714
Singapore Dollars 820,147 829,812 12/20/00 9,665
Swedish Krona 2,168,611 2,231,828 12/20/00 63,217
Swiss Franc 4,509,344 4,500,698 12/20/00 (8,646)
----------------------------------------------------------------------------
$717,781
----------------------------------------------------------------------------
----------------------------------------------------------------------------
Futures Contracts Outstanding
at September 30, 2000
CONSERVATIVE
Unrealized
Aggregate Face Expiration Appreciation/
Total Value Value Date (Depreciation)
-----------------------------------------------------------------------------
ASX Index (long) $15,849,995 $15,852,892 Dec-00 $ (2,897)
CAC 40 (short) 2,553,572 2,569,683 Oct-00 16,111
DAX Index (short) 1,970,879 2,096,278 Dec-00 125,399
Euro-Bund 10yr (short) 7,989,027 7,976,309 Dec-00 (12,718)
FT-SE 100 (short) 7,798,386 8,144,518 Dec-00 346,132
Gilt (short) 1,506,718 1,495,355 Dec-00 (11,363)
JGB 10yr (long) 8,945,423 8,850,935 Dec-00 94,488
MIB 30 Index (short) 1,007,693 1,074,273 Dec-00 66,580
S & P 500 Index (short) 6,905,075 7,237,257 Dec-00 332,182
Topix (long) 11,974,452 12,150,750 Dec-00 (176,298)
US Agency 10yr (long) 1,607,297 1,596,744 Dec-00 10,553
US Long Bond 986,563 1,002,503 Dec-00 (15,940)
US Treasury Note 10yr
(long) 30,666,937 30,658,702 Dec-00 8,235
US Treasury Note 10yr
(short) 88,092,281 88,159,187 Dec-00 (66,906)
US Treasury Note 5yr
(long) 16,688,188 16,603,456 Dec-00 84,732
US Treasury Note 5yr
(short) 2,513,281 2,496,168 Dec-00 (17,113)
-----------------------------------------------------------------------------
$ 781,177
-----------------------------------------------------------------------------
<CAPTION>
Swap Contracts Outstanding
at September 30, 2000
CONSERVATIVE
Unrealized
Notional Termination Appreciation/
Amount Date (Depreciation)
--------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Agreement with Lehman Brothers, Inc. dated
February 29, 2000 to receive (pay) monthly the
notional amount multiplied by the return of the
Lehman Brothers U.S. Government Bond Index and
pay the notional amount multiplied by one month
LIBOR adjusted by a specified spread. $37,111,455 Mar-03 $ 56,836
Agreement with J.P. Morgan Securities, Inc. dated
March 15, 2000 to receive (pay) monthly the notional
amount multiplied by the return of the Lehman
Brothers U.S. Government Bond Index and pay the
notional amount multiplied by one month LIBOR
adjusted by a specified spread. 31,812,455 Jun-03 (175,176)
Agreement with Salomon Brothers dated January 28,
2000 to receive (pay) monthly the notional
amount multiplied by the return of the Salomon
Brothers Non-U.S. World Government Bond Index
(unhedged) and pay the notional amount multiplied
by one month LIBOR adjusted by a specified
spread. 102,237,323 Jan-03 230,505
--------------------------------------------------------------------------------------------
$ 112,165
--------------------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
</TABLE>
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
September 30, 2000
Putnam Asset Allocation: Growth Portfolio
<S> <C>
Assets
----------------------------------------------------------------------------------------------
Investments in securities, at value (identified cost $1,935,566,940) (Note 1) $1,968,684,046
----------------------------------------------------------------------------------------------
Cash 35,649
----------------------------------------------------------------------------------------------
Foreign currency (cost $19,059,240) 19,112,928
----------------------------------------------------------------------------------------------
Dividends, interest and other receivables 8,041,422
----------------------------------------------------------------------------------------------
Receivable for shares of the fund sold 3,544,313
----------------------------------------------------------------------------------------------
Receivable for securities sold 21,222,914
----------------------------------------------------------------------------------------------
Receivable for closed forward currency contracts 910,309
----------------------------------------------------------------------------------------------
Receivable for open forward currency contracts 5,936,217
----------------------------------------------------------------------------------------------
Receivable for closed swap contracts 105,064
----------------------------------------------------------------------------------------------
Receivable for open swap contracts (Note 1) 426,637
----------------------------------------------------------------------------------------------
Total assets 2,028,019,499
Liabilities
----------------------------------------------------------------------------------------------
Payable for variation margin 34,882
----------------------------------------------------------------------------------------------
Payable for securities purchased 29,783,487
----------------------------------------------------------------------------------------------
Payable for shares of the fund repurchased 3,456,422
----------------------------------------------------------------------------------------------
Payable for compensation of Manager (Note 2) 2,976,166
----------------------------------------------------------------------------------------------
Payable for investor servicing and custodian fees (Note 2) 1,248,244
----------------------------------------------------------------------------------------------
Payable for compensation of Trustees (Note 2) 55,467
----------------------------------------------------------------------------------------------
Payable for administrative services (Note 2) 4,275
----------------------------------------------------------------------------------------------
Payable for distribution fees (Note 2) 1,070,838
----------------------------------------------------------------------------------------------
Payable for closed forward currency contracts 2,609,915
----------------------------------------------------------------------------------------------
Payable for open forward currency contracts 5,732,481
----------------------------------------------------------------------------------------------
Payable for closed swap contracts 1,870,979
----------------------------------------------------------------------------------------------
Payable for open swap contracts (Note 1) 426,274
----------------------------------------------------------------------------------------------
Other accrued expenses 178,597
----------------------------------------------------------------------------------------------
Total liabilities 49,448,027
----------------------------------------------------------------------------------------------
Net assets $1,978,571,472
Represented by
----------------------------------------------------------------------------------------------
Paid-in capital (Notes 1 and 4) $1,598,745,954
----------------------------------------------------------------------------------------------
Undistributed net investment income (Note 1) 8,277,388
----------------------------------------------------------------------------------------------
Accumulated net realized gain on investments and foreign currency
transactions (Note 1) 336,006,904
----------------------------------------------------------------------------------------------
Net unrealized appreciation of investments and assets and liabilities in
foreign currencies 35,541,226
----------------------------------------------------------------------------------------------
Total -- Representing net assets applicable to capital shares outstanding $1,978,571,472
Computation of net asset value and offering price
----------------------------------------------------------------------------------------------
Net asset value and redemption price per class A share
($817,886,595 divided by 56,504,869 shares) $14.47
----------------------------------------------------------------------------------------------
Offering price per class A share (100/94.25 of $14.47)* $15.35
----------------------------------------------------------------------------------------------
Net asset value and offering price per class B share
($469,645,139 divided by 33,054,569 shares)** $14.21
----------------------------------------------------------------------------------------------
Net asset value and offering price per class C share
($135,438,997 divided by 9,617,109 shares)** $14.08
----------------------------------------------------------------------------------------------
Net asset value and redemption price per class M share
($67,225,122 divided by 4,716,651 shares) $14.25
----------------------------------------------------------------------------------------------
Offering price per class M share (100/96.50 of $14.25)* $14.77
----------------------------------------------------------------------------------------------
Net asset value, offering price and redemption price per class Y share
($488,375,619 divided by 33,495,847 shares) $14.58
----------------------------------------------------------------------------------------------
* On single retail sales of less than $50,000. On sales of $50,000
or more and on group sales, the offering price is reduced.
** Redemption price per share is equal to net asset value less any
applicable contingent deferred sales charges.
The accompanying notes are an integral part of these financial statements.
</TABLE>
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
Year ended September 30, 2000
Putnam Asset Allocation: Growth Portfolio
<S> <C>
Investment income:
----------------------------------------------------------------------------------------------
Interest income $ 39,171,591
----------------------------------------------------------------------------------------------
Dividends (net of foreign tax of $933,151) 19,392,666
----------------------------------------------------------------------------------------------
Total investment income 58,564,257
Expenses:
----------------------------------------------------------------------------------------------
Compensation of Manager (Note 2) 11,504,965
----------------------------------------------------------------------------------------------
Investor servicing and custodian fees (Note 2) 5,854,487
----------------------------------------------------------------------------------------------
Compensation of Trustees (Note 2) 38,208
----------------------------------------------------------------------------------------------
Administrative services (Note 2) 17,464
----------------------------------------------------------------------------------------------
Distribution fees -- Class A (Note 2) 1,974,696
----------------------------------------------------------------------------------------------
Distribution fees -- Class B (Note 2) 5,091,219
----------------------------------------------------------------------------------------------
Distribution fees -- Class C (Note 2) 1,263,765
----------------------------------------------------------------------------------------------
Distribution fees -- Class M (Note 2) 506,298
----------------------------------------------------------------------------------------------
Other 632,283
----------------------------------------------------------------------------------------------
Total expenses 26,883,385
----------------------------------------------------------------------------------------------
Expense reduction (Note 2) (661,336)
----------------------------------------------------------------------------------------------
Net expenses 26,222,049
----------------------------------------------------------------------------------------------
Net investment income 32,342,208
----------------------------------------------------------------------------------------------
Net realized gain on investments (Notes 1 and 3) 428,378,785
----------------------------------------------------------------------------------------------
Net realized loss on futures contracts (Note 1) (68,667,006)
----------------------------------------------------------------------------------------------
Net realized loss on foreign currency transactions (Note 1) (12,774,911)
----------------------------------------------------------------------------------------------
Net realized loss on swap contracts (Note 1) (5,954,034)
----------------------------------------------------------------------------------------------
Net unrealized appreciation of assets and liabilities in foreign
currencies during the year 219,768
----------------------------------------------------------------------------------------------
Net unrealized depreciation of investments, futures contracts, swap
contracts and TBA sale commitments during the year (164,486,659)
----------------------------------------------------------------------------------------------
Net gain on investments 176,715,943
----------------------------------------------------------------------------------------------
Net increase in net assets resulting from operations $ 209,058,151
----------------------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
</TABLE>
<TABLE>
<CAPTION>
STATEMENT OF CHANGES IN NET ASSETS
Putnam Asset Allocation: Growth Portfolio
Year ended September 30
---------------------------------
2000 1999
-------------------------------------------------------------------------------------------------------
<S> <C> <C>
Increase in net assets
-------------------------------------------------------------------------------------------------------
Operations:
-------------------------------------------------------------------------------------------------------
Net investment income $32,342,208 $12,413,579
-------------------------------------------------------------------------------------------------------
Net realized gain on investments and foreign currency
transactions 340,982,834 164,789,419
-------------------------------------------------------------------------------------------------------
Net unrealized appreciation (depreciation) of investments and
assets and liabilities in foreign currencies (164,266,891) 160,553,774
-------------------------------------------------------------------------------------------------------
Net increase in net assets resulting from operations 209,058,151 337,756,772
-------------------------------------------------------------------------------------------------------
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) 284,931,390 55,864,763
-------------------------------------------------------------------------------------------------------
Total increase in net assets 294,682,827 354,598,082
Net assets
-------------------------------------------------------------------------------------------------------
Beginning of year 1,683,888,645 1,329,290,563
-------------------------------------------------------------------------------------------------------
End of year (including undistributed net investment income of
$8,277,388 and $2,671,195, respectively) $1,978,571,472 $1,683,888,645
-------------------------------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
</TABLE>
<TABLE>
<CAPTION>
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
PUTNAM ASSET ALLOCATION: GROWTH PORTFOLIO
CLASS A
-----------------------------------------------------------------------------------------------------------
Per-share
operating performance Year ended September 30
-----------------------------------------------------------------------------------------------------------
2000 1999 1998 1997 1996
-----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net asset value,
beginning of period $14.35 $11.76 $13.64 $11.41 $10.06
-----------------------------------------------------------------------------------------------------------
Investment operations
-----------------------------------------------------------------------------------------------------------
Net investment income (c) .28 .14 .15 .17 .18
-----------------------------------------------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investments 1.56 2.82 (1.06) 2.69 1.63
-----------------------------------------------------------------------------------------------------------
Total from
investment operations 1.84 2.96 (.91) 2.86 1.81
-----------------------------------------------------------------------------------------------------------
Less distributions:
-----------------------------------------------------------------------------------------------------------
From net
investment income (.16) (.10) (.14) (.16) (.19)
-----------------------------------------------------------------------------------------------------------
From net realized gain
on investments (1.56) (.27) (.83) (.47) (.27)
-----------------------------------------------------------------------------------------------------------
Total distributions (1.72) (.37) (.97) (.63) (.46)
-----------------------------------------------------------------------------------------------------------
Net asset value,
end of period $14.47 $14.35 $11.76 $13.64 $11.41
-----------------------------------------------------------------------------------------------------------
Ratios and supplemental data
-----------------------------------------------------------------------------------------------------------
Total return at
net asset value (%)(a) 12.77 25.55 (7.01) 26.25 18.75
-----------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $817,887 $664,640 $602,273 $486,107 $210,531
-----------------------------------------------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(b) 1.18 1.21 1.31 1.39 1.45
-----------------------------------------------------------------------------------------------------------
Ratio of net investment income
to average net assets (%) 1.87 1.00 1.13 1.42 1.72
-----------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 155.18 105.11 146.58 99.96 100.93
-----------------------------------------------------------------------------------------------------------
(a) Total return assumes dividend reinvestment and does not reflect
the effect of sales charges.
(b) Includes amounts paid through expense offset 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.
</TABLE>
<TABLE>
<CAPTION>
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
PUTNAM ASSET ALLOCATION: GROWTH PORTFOLIO
CLASS B
-----------------------------------------------------------------------------------------------------------
Per-share
operating performance Year ended September 30
-----------------------------------------------------------------------------------------------------------
2000 1999 1998 1997 1996
-----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net asset value,
beginning of period $14.12 $11.59 $13.47 $11.29 $9.97
-----------------------------------------------------------------------------------------------------------
Investment operations
-----------------------------------------------------------------------------------------------------------
Net investment income (c) .16 .03 .05 .08 .10
-----------------------------------------------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investments 1.55 2.78 (1.05) 2.67 1.64
-----------------------------------------------------------------------------------------------------------
Total from
investment operations 1.71 2.81 (1.00) 2.75 1.74
-----------------------------------------------------------------------------------------------------------
Less distributions:
-----------------------------------------------------------------------------------------------------------
From net
investment income (.06) (.01) (.05) (.10) (.15)
-----------------------------------------------------------------------------------------------------------
From net realized gain
on investments (1.56) (.27) (.83) (.47) (.27)
-----------------------------------------------------------------------------------------------------------
Total distributions (1.62) (.28) (.88) (.57) (.42)
-----------------------------------------------------------------------------------------------------------
Net asset value,
end of period $14.21 $14.12 $11.59 $13.47 $11.29
-----------------------------------------------------------------------------------------------------------
Ratios and supplemental data
-----------------------------------------------------------------------------------------------------------
Total return at
net asset value (%)(a) 11.98 24.52 (7.72) 25.23 18.04
-----------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $469,645 $470,073 $385,645 $357,501 $199,871
-----------------------------------------------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(b) 1.93 1.96 2.06 2.14 2.21
-----------------------------------------------------------------------------------------------------------
Ratio of net investment income
to average net assets (%) 1.07 .25 .40 .68 .95
-----------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 155.18 105.11 146.58 99.96 100.93
-----------------------------------------------------------------------------------------------------------
(a) Total return assumes dividend reinvestment and does not reflect
the effect of sales charges.
(b) Includes amounts paid through expense offset 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.
</TABLE>
<TABLE>
<CAPTION>
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
PUTNAM ASSET ALLOCATION: GROWTH PORTFOLIO
CLASS C
-----------------------------------------------------------------------------------------------------------
Per-share
operating performance Year ended September 30
-----------------------------------------------------------------------------------------------------------
2000 1999 1998 1997 1996
-----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net asset value,
beginning of period $14.00 $11.50 $13.38 $11.24 $9.93
-----------------------------------------------------------------------------------------------------------
Investment operations
-----------------------------------------------------------------------------------------------------------
Net investment income (c) .17 .03 .05 .08 .10
-----------------------------------------------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investments 1.53 2.75 (1.04) 2.65 1.63
-----------------------------------------------------------------------------------------------------------
Total from
investment operations 1.70 2.78 (.99) 2.73 1.73
-----------------------------------------------------------------------------------------------------------
Less distributions:
-----------------------------------------------------------------------------------------------------------
From net
investment income (.06) (.01) (.06) (.12) (.15)
-----------------------------------------------------------------------------------------------------------
From net realized gain
on investments (1.56) (.27) (.83) (.47) (.27)
-----------------------------------------------------------------------------------------------------------
Total distributions (1.62) (.28) (.89) (.59) (.42)
-----------------------------------------------------------------------------------------------------------
Net asset value,
end of period $14.08 $14.00 $11.50 $13.38 $11.24
-----------------------------------------------------------------------------------------------------------
Ratios and supplemental data
-----------------------------------------------------------------------------------------------------------
Total return at
net asset value (%)(a) 12.01 24.47 (7.70) 25.31 18.01
-----------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $135,439 $103,209 $88,076 $68,749 $27,556
-----------------------------------------------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(b) 1.93 1.96 2.06 2.14 2.23
-----------------------------------------------------------------------------------------------------------
Ratio of net investment income
to average net assets (%) 1.13 .25 .41 .67 .94
-----------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 155.18 105.11 146.58 99.96 100.93
-----------------------------------------------------------------------------------------------------------
(a) Total return assumes dividend reinvestment and does not reflect
the effect of sales charges.
(b) Includes amounts paid through expense offset 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.
</TABLE>
<TABLE>
<CAPTION>
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
PUTNAM ASSET ALLOCATION: GROWTH PORTFOLIO
CLASS M
-----------------------------------------------------------------------------------------------------------
Per-share
operating performance Year ended September 30
-----------------------------------------------------------------------------------------------------------
2000 1999 1998 1997 1996
-----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net asset value,
beginning of period $14.15 $11.60 $13.49 $11.32 $10.01
-----------------------------------------------------------------------------------------------------------
Investment operations
-----------------------------------------------------------------------------------------------------------
Net investment income (c) .20 .07 .08 .11 .12
-----------------------------------------------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investments 1.55 2.80 (1.05) 2.67 1.64
-----------------------------------------------------------------------------------------------------------
Total from
investment operations 1.75 2.87 (.97) 2.78 1.76
-----------------------------------------------------------------------------------------------------------
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 $14.25 $14.15 $11.60 $13.49 $11.32
-----------------------------------------------------------------------------------------------------------
Ratios and supplemental data
-----------------------------------------------------------------------------------------------------------
Total return at
net asset value (%)(a) 12.25 25.05 (7.52) 25.63 18.21
-----------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $67,225 $59,604 $49,702 $34,381 $12,369
-----------------------------------------------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(b) 1.68 1.71 1.81 1.89 1.95
-----------------------------------------------------------------------------------------------------------
Ratio of net investment income
to average net assets (%) 1.35 .50 .65 .92 1.16
-----------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 155.18 105.11 146.58 99.96 100.93
-----------------------------------------------------------------------------------------------------------
(a) Total return assumes dividend reinvestment and does not reflect
the effect of sales charges.
(b) Includes amounts paid through expense offset 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.
</TABLE>
<TABLE>
<CAPTION>
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
PUTNAM ASSET ALLOCATION: GROWTH PORTFOLIO
CLASS Y
-----------------------------------------------------------------------------------------------------------
Per-share
operating performance Year ended September 30
-----------------------------------------------------------------------------------------------------------
2000 1999 1998 1997 1996
-----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net asset value,
beginning of period $14.44 $11.84 $13.72 $11.47 $10.09
-----------------------------------------------------------------------------------------------------------
Investment operations
-----------------------------------------------------------------------------------------------------------
Net investment income (c) .32 .17 .18 .21 .21
-----------------------------------------------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investments 1.58 2.83 (1.07) 2.70 1.65
-----------------------------------------------------------------------------------------------------------
Total from
investment operations 1.90 3.00 (.89) 2.91 1.86
-----------------------------------------------------------------------------------------------------------
Less distributions:
-----------------------------------------------------------------------------------------------------------
From net
investment income (.20) (.13) (.16) (.19) (.21)
-----------------------------------------------------------------------------------------------------------
From net realized gain
on investments (1.56) (.27) (.83) (.47) (.27)
-----------------------------------------------------------------------------------------------------------
Total distributions (1.76) (.40) (.99) (.66) (.48)
-----------------------------------------------------------------------------------------------------------
Net asset value,
end of period $14.58 $14.44 $11.84 $13.72 $11.47
-----------------------------------------------------------------------------------------------------------
Ratios and supplemental data
-----------------------------------------------------------------------------------------------------------
Total return at
net asset value (%)(a) 13.14 25.76 (6.79) 26.54 19.20
-----------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $488,376 $386,363 $203,595 $233,292 $58,301
-----------------------------------------------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(b) .93 .96 1.06 1.14 1.21
-----------------------------------------------------------------------------------------------------------
Ratio of net investment income
to average net assets (%) 2.13 1.24 1.40 1.71 1.97
-----------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 155.18 105.11 146.58 99.96 100.93
-----------------------------------------------------------------------------------------------------------
(a) Total return assumes dividend reinvestment and does not reflect
the effect of sales charges.
(b) Includes amounts paid through expense offset 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.
</TABLE>
STATEMENT OF ASSETS AND LIABILITIES
Putnam Asset Allocation: Balanced Portfolio
September 30, 2000
Assets
-------------------------------------------------------------------------------
Investments in securities, at value
(identified cost $2,514,816,587) (Note 1) $2,682,528,875
-------------------------------------------------------------------------------
Foreign currency (cost $24,339,107) 24,412,058
-------------------------------------------------------------------------------
Dividends, interest and other receivables 11,459,075
-------------------------------------------------------------------------------
Receivable for shares of the fund sold 14,473,265
-------------------------------------------------------------------------------
Receivable for securities sold 29,101,347
-------------------------------------------------------------------------------
Receivable for open forward currency contracts 6,445,358
-------------------------------------------------------------------------------
Receivable for closed forward currency contracts 201,281
-------------------------------------------------------------------------------
Receivable for open swap contracts (Note 1) 220,847
-------------------------------------------------------------------------------
Total assets 2,768,842,106
Liabilities
-------------------------------------------------------------------------------
Payable to subcustodian (Note 2) 346,708
-------------------------------------------------------------------------------
Payable for variation margin 4,075,093
-------------------------------------------------------------------------------
Payable for securities purchased 31,263,118
-------------------------------------------------------------------------------
Payable for shares of the fund repurchased 5,244,951
-------------------------------------------------------------------------------
Payable for compensation of Manager (Note 2) 3,843,789
-------------------------------------------------------------------------------
Payable for investor servicing and custodian fees (Note 2) 1,106,374
-------------------------------------------------------------------------------
Payable for compensation of Trustees (Note 2) 32,781
-------------------------------------------------------------------------------
Payable for administrative services (Note 2) 6,753
-------------------------------------------------------------------------------
Payable for distribution fees (Note 2) 1,468,119
-------------------------------------------------------------------------------
Payable for open forward currency contracts 7,352,710
-------------------------------------------------------------------------------
Payable for closed forward currency contracts 1,943,536
-------------------------------------------------------------------------------
Payable for closed swap contracts 1,090,835
-------------------------------------------------------------------------------
Payable for open swap contracts (Note 1) 671,495
-------------------------------------------------------------------------------
Other accrued expenses 222,590
-------------------------------------------------------------------------------
Total liabilities 58,668,852
-------------------------------------------------------------------------------
Net assets $2,710,173,254
Represented by
-------------------------------------------------------------------------------
Paid-in capital (Notes 1 and 4) $2,253,708,291
-------------------------------------------------------------------------------
Undistributed net investment income (Note 1) 9,477,809
-------------------------------------------------------------------------------
Accumulated net realized gain on investments and
foreign currency transactions (Note 1) 283,209,370
-------------------------------------------------------------------------------
Net unrealized appreciation of investments and
assets and liabilities in foreign currencies 163,777,784
-------------------------------------------------------------------------------
Total - Representing net assets applicable to
capital shares outstanding $2,710,173,254
Computation of net asset value and offering price
-------------------------------------------------------------------------------
Net asset value and redemption price per class A share
($1,377,301,593 divided by 106,011,533 shares) $12.99
-------------------------------------------------------------------------------
Offering price per class A share (100/94.25 of $12.99)* $13.78
-------------------------------------------------------------------------------
Net asset value and offering price per class B share
($535,662,857 divided by 41,451,031 shares)** $12.92
-------------------------------------------------------------------------------
Net asset value and offering price per class C share
($142,760,737 divided by 11,123,832 shares)** $12.83
-------------------------------------------------------------------------------
Net asset value and redemption price per class M share
($70,757,340 divided by 5,457,552 shares) $12.97
-------------------------------------------------------------------------------
Offering price per class M share (100/96.50 of $12.97)* $13.44
-------------------------------------------------------------------------------
Net asset value, offering price and redemption price per class Y share
($583,690,727 divided by 44,905,035 shares) $13.00
-------------------------------------------------------------------------------
* 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.
STATEMENT OF OPERATIONS
Year ended September 30, 2000
Putnam Asset Allocation: Balanced Portfolio
Investment income:
-------------------------------------------------------------------------------
Interest $ 59,600,803
-------------------------------------------------------------------------------
Dividends (net of foreign tax of $642,377) 23,117,618
-------------------------------------------------------------------------------
Total investment income 82,718,421
Expenses:
-------------------------------------------------------------------------------
Compensation of Manager (Note 2) 13,932,212
-------------------------------------------------------------------------------
Investor servicing and custodian fees (Note 2) 5,800,126
-------------------------------------------------------------------------------
Compensation of Trustees (Note 2) 36,862
-------------------------------------------------------------------------------
Administrative services (Note 2) 22,507
-------------------------------------------------------------------------------
Distribution fees - Class A (Note 2) 2,849,048
-------------------------------------------------------------------------------
Distribution fees - Class B (Note 2) 5,726,959
-------------------------------------------------------------------------------
Distribution fees - Class C (Note 2) 1,360,390
-------------------------------------------------------------------------------
Distribution fees - Class M (Note 2) 544,360
-------------------------------------------------------------------------------
Other 673,421
-------------------------------------------------------------------------------
Total expenses 30,945,885
-------------------------------------------------------------------------------
Expense reduction (Note 2) (875,852)
-------------------------------------------------------------------------------
Net expenses 30,070,033
-------------------------------------------------------------------------------
Net investment income 52,648,388
-------------------------------------------------------------------------------
Net realized gain on investments (Notes 1 and 3) 369,522,626
-------------------------------------------------------------------------------
Net realized loss on futures contracts (Note 1) (68,967,457)
-------------------------------------------------------------------------------
Net realized gain on swap contracts (Note 1) 5,525,726
-------------------------------------------------------------------------------
Net realized loss on foreign currency transactions (Note 1) (8,295,109)
-------------------------------------------------------------------------------
Net unrealized depreciation of assets and
liabilities in foreign currencies during the year (1,476,497)
-------------------------------------------------------------------------------
Net unrealized depreciation of investments, futures contracts,
swap contracts and TBA sale commitments during the year (21,028,122)
-------------------------------------------------------------------------------
Net gain on investments 275,281,167
-------------------------------------------------------------------------------
Net increase in net assets resulting from operations $327,929,555
-------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
<TABLE>
<CAPTION>
STATEMENT OF CHANGES IN NET ASSETS
PUTNAM ASSET ALLOCATION: BALANCED PORTFOLIO
Year ended September 30
--------------------------------
2000 1999
---------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Increase in net assets
---------------------------------------------------------------------------------------------------------------
Operations:
---------------------------------------------------------------------------------------------------------------
Net investment income $ 52,648,388 $ 32,876,104
---------------------------------------------------------------------------------------------------------------
Net realized gain on investments and
foreign currency transactions 297,785,786 146,907,807
---------------------------------------------------------------------------------------------------------------
Net unrealized appreciation (depreciation) of investments
and assets and liabilities in foreign currencies (22,504,619) 144,921,393
---------------------------------------------------------------------------------------------------------------
Net increase in net assets resulting from operations 327,929,555 324,705,304
---------------------------------------------------------------------------------------------------------------
Distributions to shareholders:
---------------------------------------------------------------------------------------------------------------
From net investment income
Class A (22,163,223) (17,001,979)
---------------------------------------------------------------------------------------------------------------
Class B (7,115,666) (5,733,718)
---------------------------------------------------------------------------------------------------------------
Class C (1,713,203) (1,222,425)
---------------------------------------------------------------------------------------------------------------
Class M (1,065,211) (860,001)
---------------------------------------------------------------------------------------------------------------
Class Y (11,498,180) (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 (34,117,109) (3,641,867)
---------------------------------------------------------------------------------------------------------------
Increase from capital share transactions (Note 4) 557,354,934 65,633,045
---------------------------------------------------------------------------------------------------------------
Total increase in net assets 685,366,949 330,039,800
Net assets
---------------------------------------------------------------------------------------------------------------
Beginning of year 2,024,806,305 1,694,766,505
---------------------------------------------------------------------------------------------------------------
End of year (including undistributed net investment
income of $9,477,809 and $89,862, respectively) $2,710,173,254 $2,024,806,305
---------------------------------------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
</TABLE>
<TABLE>
<CAPTION>
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
PUTNAM ASSET ALLOCATION: BALANCED PORTFOLIO
CLASS A
-----------------------------------------------------------------------------------------------------------
Per-share
operating performance Year ended September 30
-----------------------------------------------------------------------------------------------------------
2000 1999 1998 1997 1996
-----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net asset value,
beginning of period $12.28 $10.66 $12.28 $10.71 $9.67
-----------------------------------------------------------------------------------------------------------
Investment operations
-----------------------------------------------------------------------------------------------------------
Net investment income (c) .31 .23 .26 .28 .29
-----------------------------------------------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investments 1.59 1.78 (.84) 2.13 1.32
-----------------------------------------------------------------------------------------------------------
Total from
investment operations 1.90 2.01 (.58) 2.41 1.61
-----------------------------------------------------------------------------------------------------------
Less distributions:
-----------------------------------------------------------------------------------------------------------
From net
investment income (.26) (.21) (.18) (.31) (.28)
-----------------------------------------------------------------------------------------------------------
From net realized gain
on investments (.93) (.18) (.86) (.53) (.29)
-----------------------------------------------------------------------------------------------------------
Total distributions (1.19) (.39) (1.04) (.84) (.57)
-----------------------------------------------------------------------------------------------------------
Net asset value,
end of period $12.99 $12.28 $10.66 $12.28 $10.71
-----------------------------------------------------------------------------------------------------------
Ratios and supplemental data
-----------------------------------------------------------------------------------------------------------
Total return at
net asset value (%)(a) 15.88 19.09 (4.97) 23.82 17.41
-----------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $1,377,302 $873,219 $846,574 $680,720 $327,326
-----------------------------------------------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(b) 1.09 1.14 1.22 1.27 1.33
-----------------------------------------------------------------------------------------------------------
Ratio of net investment income
to average net assets (%) 2.37 1.89 2.17 2.44 2.83
-----------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 182.86 119.70 158.14 136.75 122.12
-----------------------------------------------------------------------------------------------------------
(a) Total return assumes dividend reinvestment and does not reflect the effect of sales charges.
(b) Includes amounts paid through expense offset 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.
</TABLE>
<TABLE>
<CAPTION>
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
PUTNAM ASSET ALLOCATION: BALANCED PORTFOLIO
CLASS B
-----------------------------------------------------------------------------------------------------------
Per-share
operating performance Year ended September 30
-----------------------------------------------------------------------------------------------------------
2000 1999 1998 1997 1996
-----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net asset value,
beginning of period $12.22 $10.61 $12.23 $10.67 $9.64
-----------------------------------------------------------------------------------------------------------
Investment operations
-----------------------------------------------------------------------------------------------------------
Net investment income (c) .20 .14 .17 .19 .21
-----------------------------------------------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investments 1.59 1.78 (.83) 2.13 1.32
-----------------------------------------------------------------------------------------------------------
Total from
investment operations 1.79 1.92 (.66) 2.32 1.53
-----------------------------------------------------------------------------------------------------------
Less distributions:
-----------------------------------------------------------------------------------------------------------
From net
investment income (.16) (.13) (.10) (.23) (.21)
-----------------------------------------------------------------------------------------------------------
From net realized gain
on investments (.93) (.18) (.86) (.53) (.29)
-----------------------------------------------------------------------------------------------------------
Total distributions (1.09) (.31) (.96) (.76) (.50)
-----------------------------------------------------------------------------------------------------------
Net asset value,
end of period $12.92 $12.22 $10.61 $12.23 $10.67
-----------------------------------------------------------------------------------------------------------
Ratios and supplemental data
-----------------------------------------------------------------------------------------------------------
Total return at
net asset value (%)(a) 15.01 18.22 (5.70) 22.95 16.54
-----------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $535,663 $553,738 $482,029 $442,463 $264,830
-----------------------------------------------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(b) 1.84 1.89 1.97 2.02 2.08
-----------------------------------------------------------------------------------------------------------
Ratio of net investment income
to average net assets (%) 1.56 1.13 1.42 1.70 2.08
-----------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 182.86 119.70 158.14 136.75 122.12
-----------------------------------------------------------------------------------------------------------
(a) Total return assumes dividend reinvestment and does not reflect the effect of sales charges.
(b) Includes amounts paid through expense offset 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.
</TABLE>
<TABLE>
<CAPTION>
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
PUTNAM ASSET ALLOCATION: BALANCED PORTFOLIO
CLASS C
-----------------------------------------------------------------------------------------------------------
Per-share
operating performance Year ended September 30
-----------------------------------------------------------------------------------------------------------
2000 1999 1998 1997 1996
-----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net asset value,
beginning of period $12.15 $10.56 $12.18 $10.64 $9.62
-----------------------------------------------------------------------------------------------------------
Investment operations
-----------------------------------------------------------------------------------------------------------
Net investment income (c) .20 .13 .16 .19 .22
-----------------------------------------------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investments 1.57 1.77 (.82) 2.11 1.30
-----------------------------------------------------------------------------------------------------------
Total from
investment operations 1.77 1.90 (.66) 2.30 1.52
-----------------------------------------------------------------------------------------------------------
Less distributions:
-----------------------------------------------------------------------------------------------------------
From net
investment income (.16) (.13) (.10) (.23) (.21)
-----------------------------------------------------------------------------------------------------------
From net realized gain
on investments (.93) (.18) (.86) (.53) (.29)
-----------------------------------------------------------------------------------------------------------
Total distributions (1.09) (.31) (.96) (.76) (.50)
-----------------------------------------------------------------------------------------------------------
Net asset value,
end of period $12.83 $12.15 $10.56 $12.18 $10.64
-----------------------------------------------------------------------------------------------------------
Ratios and supplemental data
-----------------------------------------------------------------------------------------------------------
Total return at
net asset value (%)(a) 14.97 18.14 (5.70) 22.86 16.47
-----------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $142,761 $120,660 $94,553 $70,847 $29,724
-----------------------------------------------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(b) 1.84 1.89 1.97 2.02 2.09
-----------------------------------------------------------------------------------------------------------
Ratio of net investment income
to average net assets (%) 1.58 1.12 1.41 1.70 2.18
-----------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 182.86 119.70 158.14 136.75 122.12
-----------------------------------------------------------------------------------------------------------
(a) Total return assumes dividend reinvestment and does not reflect the effect of sales charges.
(b) Includes amounts paid through expense offset 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.
</TABLE>
<TABLE>
<CAPTION>
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
PUTNAM ASSET ALLOCATION: BALANCED PORTFOLIO
CLASS M
-----------------------------------------------------------------------------------------------------------
Per-share
operating performance Year ended September 30
-----------------------------------------------------------------------------------------------------------
2000 1999 1998 1997 1996
-----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net asset value,
beginning of period $12.26 $10.65 $12.27 $10.71 $9.66
-----------------------------------------------------------------------------------------------------------
Investment operations
-----------------------------------------------------------------------------------------------------------
Net investment income (c) .24 .17 .20 .22 .24
-----------------------------------------------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investments 1.59 1.78 (.83) 2.13 1.34
-----------------------------------------------------------------------------------------------------------
Total from
investment operations 1.83 1.95 (.63) 2.35 1.58
-----------------------------------------------------------------------------------------------------------
Less distributions:
-----------------------------------------------------------------------------------------------------------
From net
investment income (.19) (.16) (.13) (.26) (.24)
-----------------------------------------------------------------------------------------------------------
From net realized gain
on investments (.93) (.18) (.86) (.53) (.29)
-----------------------------------------------------------------------------------------------------------
Total distributions (1.12) (.34) (.99) (.79) (.53)
-----------------------------------------------------------------------------------------------------------
Net asset value,
end of period $12.97 $12.26 $10.65 $12.27 $10.71
-----------------------------------------------------------------------------------------------------------
Ratios and supplemental data
-----------------------------------------------------------------------------------------------------------
Total return at
net asset value (%)(a) 15.33 18.45 (5.46) 23.19 17.05
-----------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $70,757 $66,854 $55,511 $44,121 $14,967
-----------------------------------------------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(b) 1.59 1.64 1.72 1.77 1.84
-----------------------------------------------------------------------------------------------------------
Ratio of net investment income
to average net assets (%) 1.84 1.38 1.67 1.93 2.42
-----------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 182.86 119.70 158.14 136.75 122.12
-----------------------------------------------------------------------------------------------------------
(a) Total return assumes dividend reinvestment and does not reflect the effect of sales charges.
(b) Includes amounts paid through expense offset 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.
</TABLE>
<TABLE>
<CAPTION>
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
PUTNAM ASSET ALLOCATION: BALANCED PORTFOLIO
CLASS Y
-----------------------------------------------------------------------------------------------------------
Per-share
operating performance Year ended September 30
-----------------------------------------------------------------------------------------------------------
2000 1999 1998 1997 1996
-----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net asset value,
beginning of period $12.29 $10.67 $12.29 $10.71 $9.66
-----------------------------------------------------------------------------------------------------------
Investment operations
-----------------------------------------------------------------------------------------------------------
Net investment income (c) .33 .26 .29 .31 .31
-----------------------------------------------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investments 1.60 1.78 (.84) 2.14 1.34
-----------------------------------------------------------------------------------------------------------
Total from
investment operations 1.93 2.04 (.55) 2.45 1.65
-----------------------------------------------------------------------------------------------------------
Less distributions:
-----------------------------------------------------------------------------------------------------------
From net
investment income (.29) (.24) (.21) (.34) (.31)
-----------------------------------------------------------------------------------------------------------
From net realized gain
on investments (.93) (.18) (.86) (.53) (.29)
-----------------------------------------------------------------------------------------------------------
Total distributions (1.22) (.42) (1.07) (.87) (.60)
-----------------------------------------------------------------------------------------------------------
Net asset value,
end of period $13.00 $12.29 $10.67 $12.29 $10.71
-----------------------------------------------------------------------------------------------------------
Ratios and supplemental data
-----------------------------------------------------------------------------------------------------------
Total return at
net asset value (%)(a) 16.15 19.37 (4.74) 24.21 17.81
-----------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $583,691 $410,335 $216,100 $232,021 $126,482
-----------------------------------------------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(b) .84 .89 .97 1.02 1.08
-----------------------------------------------------------------------------------------------------------
Ratio of net investment income
to average net assets (%) 2.58 2.10 2.43 2.70 3.03
-----------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 182.86 119.70 158.14 136.75 122.12
-----------------------------------------------------------------------------------------------------------
(a) Total return assumes dividend reinvestment and does not reflect the effect of sales charges.
(b) Includes amounts paid through expense offset 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.
</TABLE>
STATEMENT OF ASSETS AND LIABILITIES
September 30, 2000
Putnam Asset Allocation: Conservative Portfolio
Assets
------------------------------------------------------------------------------
Investments in securities, at value
(identified cost $823,168,817) (Note 1) $817,825,069
------------------------------------------------------------------------------
Cash 930,161
------------------------------------------------------------------------------
Foreign currency (cost $5,313,860) 5,294,641
------------------------------------------------------------------------------
Dividends, interest and other receivables 8,571,078
------------------------------------------------------------------------------
Receivable for shares of the fund sold 1,879,949
------------------------------------------------------------------------------
Receivable for securities sold 10,236,884
------------------------------------------------------------------------------
Receivable for open forward currency contracts 944,307
------------------------------------------------------------------------------
Receivable for closed forward currency contracts 63,133
------------------------------------------------------------------------------
Receivable for closed swap contracts 101,658
------------------------------------------------------------------------------
Receivable for open swap contracts (Note 1) 287,341
------------------------------------------------------------------------------
Receivable for variation margin 211,756
------------------------------------------------------------------------------
Total assets 846,345,977
Liabilities
------------------------------------------------------------------------------
Payable for securities purchased 9,819,837
------------------------------------------------------------------------------
Payable for shares of the fund repurchased 1,890,070
------------------------------------------------------------------------------
Payable for compensation of Manager (Note 2) 1,363,159
------------------------------------------------------------------------------
Payable for investor servicing and custodian fees (Note 2) 439,146
------------------------------------------------------------------------------
Payable for compensation of Trustees (Note 2) 20,262
------------------------------------------------------------------------------
Payable for administrative services (Note 2) 2,299
------------------------------------------------------------------------------
Payable for distribution fees (Note 2) 426,011
------------------------------------------------------------------------------
Payable for open forward currency contracts 1,852,060
------------------------------------------------------------------------------
Payable for closed forward currency contracts 593,135
------------------------------------------------------------------------------
Payable for closed swap contracts 282,476
------------------------------------------------------------------------------
Payable for open swap contracts (Note 1) 175,176
------------------------------------------------------------------------------
Other accrued expenses 48,126
------------------------------------------------------------------------------
Total liabilities 16,911,757
------------------------------------------------------------------------------
Net assets $829,434,220
Represented by
------------------------------------------------------------------------------
Paid-in capital (Notes 1 and 4) $768,361,113
------------------------------------------------------------------------------
Undistributed net investment income (Note 1) 18,146,569
------------------------------------------------------------------------------
Accumulated net realized gain on investments
and foreign currency transactions (Note 1) 48,440,794
------------------------------------------------------------------------------
Net unrealized depreciation of investments
and assets and liabilities in foreign currencies (5,514,256)
------------------------------------------------------------------------------
Total - Representing net assets applicable to
capital shares outstanding $829,434,220
Computation of net asset value and offering price
------------------------------------------------------------------------------
Net asset value and redemption price per class A share
($406,224,451 divided by 38,869,948 shares) $10.45
------------------------------------------------------------------------------
Offering price per class A share (100/94.25 of $10.45)* $11.09
------------------------------------------------------------------------------
Net asset value and offering price per class B share
($153,985,404 divided by 14,780,696 shares)** $10.42
------------------------------------------------------------------------------
Net asset value and offering price per class C share
($41,845,743 divided by 4,025,880 shares)** $10.39
------------------------------------------------------------------------------
Net asset value and redemption price per class M share
($24,869,093 divided by 2,387,363 shares) $10.42
------------------------------------------------------------------------------
Offering price per class M share (100/96.50 of $10.42)* $10.80
------------------------------------------------------------------------------
Net asset value, offering price and redemption price per class Y share
($202,509,529 divided by 19,336,774 shares) $10.47
------------------------------------------------------------------------------
* 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.
STATEMENT OF OPERATIONS
Year ended September 30, 2000
PUTNAM ASSET ALLOCATION: CONSERVATIVE PORTFOLIO
Investment income:
-------------------------------------------------------------------------
Interest income $ 40,582,876
-------------------------------------------------------------------------
Dividends (net of foreign tax of $93,489) 3,297,314
-------------------------------------------------------------------------
Total investment income 43,880,190
Expenses:
-------------------------------------------------------------------------
Compensation of Manager (Note 2) 5,203,915
-------------------------------------------------------------------------
Investor servicing and custodian fees (Note 2) 2,412,455
-------------------------------------------------------------------------
Compensation of Trustees (Note 2) 20,290
-------------------------------------------------------------------------
Administrative services (Note 2) 9,399
-------------------------------------------------------------------------
Distribution fees - Class A (Note 2) 967,624
-------------------------------------------------------------------------
Distribution fees - Class B (Note 2) 1,802,871
-------------------------------------------------------------------------
Distribution fees - Class C (Note 2) 478,054
-------------------------------------------------------------------------
Distribution fees - Class M (Note 2) 195,976
-------------------------------------------------------------------------
Other 210,226
-------------------------------------------------------------------------
Total expenses 11,300,810
-------------------------------------------------------------------------
Expense reduction (Note 2) (330,347)
-------------------------------------------------------------------------
Net expenses 10,970,463
-------------------------------------------------------------------------
Net investment income 32,909,727
-------------------------------------------------------------------------
Net realized gain on investments (Notes 1 and 3) 80,652,371
-------------------------------------------------------------------------
Net realized loss on futures contracts (Note 1) (26,941,270)
-------------------------------------------------------------------------
Net realized gain on swap contracts (Note 1) 2,450,303
-------------------------------------------------------------------------
Net realized gain on foreign currency transactions (Note 1) 931,496
-------------------------------------------------------------------------
Net unrealized appreciation of assets and liabilities in
foreign currencies during the year 2,496,812
-------------------------------------------------------------------------
Net unrealized depreciation of investments, futures contracts,
swap contracts and TBA sale commitments during the year (32,209,037)
-------------------------------------------------------------------------
Net gain on investments 27,380,675
-------------------------------------------------------------------------
Net increase in net assets resulting from operations $ 60,290,402
-------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
<TABLE>
<CAPTION>
STATEMENT OF CHANGES IN NET ASSETS
PUTNAM ASSET ALLOCATION: CONSERVATIVE PORTFOLIO
Year ended September 30
--------------------------------
2000 1999
---------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Increase in net assets
---------------------------------------------------------------------------------------------------------------
Operations:
---------------------------------------------------------------------------------------------------------------
Net investment income $ 32,909,727 $ 21,901,750
---------------------------------------------------------------------------------------------------------------
Net realized gain on investments and
foreign currency transactions 57,092,900 36,606,656
---------------------------------------------------------------------------------------------------------------
Net unrealized appreciation (depreciation) of investments
and assets and liabilities in foreign currencies (29,712,225) 11,216,752
---------------------------------------------------------------------------------------------------------------
Net increase in net assets resulting from operations 60,290,402 69,725,158
---------------------------------------------------------------------------------------------------------------
Distributions to shareholders:
---------------------------------------------------------------------------------------------------------------
From net investment income
Class A (14,757,033) (13,105,936)
---------------------------------------------------------------------------------------------------------------
Class B (5,637,499) (4,776,576)
---------------------------------------------------------------------------------------------------------------
Class C (1,576,843) (1,480,210)
---------------------------------------------------------------------------------------------------------------
Class M (866,030) (677,682)
---------------------------------------------------------------------------------------------------------------
Class Y (5,258,551) (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 (970,249) (175,747)
---------------------------------------------------------------------------------------------------------------
Class Y (3,934,173) (228,480)
---------------------------------------------------------------------------------------------------------------
Increase from capital share transactions (Note 4) 65,333,749 99,357,554
---------------------------------------------------------------------------------------------------------------
Total increase in net assets 69,973,223 137,986,709
Net assets
---------------------------------------------------------------------------------------------------------------
Beginning of year 759,460,997 621,474,288
---------------------------------------------------------------------------------------------------------------
End of year (including undistributed net investment
income of $18,146,569 and $9,085,866, respectively) $829,434,220 $759,460,997
---------------------------------------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
</TABLE>
<TABLE>
<CAPTION>
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
PUTNAM ASSET ALLOCATION: CONSERVATIVE PORTFOLIO
CLASS A
-----------------------------------------------------------------------------------------------------------
Per-share
operating performance Year ended September 30
-----------------------------------------------------------------------------------------------------------
2000 1999 1998 1997 1996
-----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net asset value,
beginning of period $10.40 $9.81 $10.61 $9.69 $9.19
-----------------------------------------------------------------------------------------------------------
Investment operations
-----------------------------------------------------------------------------------------------------------
Net investment income .46(c) .34(c) .38(c) .38(c) .36
-----------------------------------------------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investments .37 .73 (.45) 1.22 .68
-----------------------------------------------------------------------------------------------------------
Total from
investment operations .83 1.07 (.07) 1.60 1.04
-----------------------------------------------------------------------------------------------------------
Less distributions:
-----------------------------------------------------------------------------------------------------------
From net
investment income (.40) (.34) (.20) (.35) (.36)
-----------------------------------------------------------------------------------------------------------
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 (.78) (.48) (.73) (.68) (.54)
-----------------------------------------------------------------------------------------------------------
Net asset value,
end of period $10.45 $10.40 $9.81 $10.61 $9.69
-----------------------------------------------------------------------------------------------------------
Ratios and supplemental data
-----------------------------------------------------------------------------------------------------------
Total return at
net asset value (%)(a) 8.18 11.05 (.69) 17.26 11.73
-----------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $406,224 $373,313 $367,806 $295,239 $106,933
-----------------------------------------------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(b) 1.25 1.31 1.39 1.38 1.47
-----------------------------------------------------------------------------------------------------------
Ratio of net investment income
to average net assets (%) 4.37 3.25 3.67 3.74 4.08
-----------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 276.48 165.48 203.19 219.44 183.67
-----------------------------------------------------------------------------------------------------------
(a) Total return assumes dividend reinvestment and does not reflect the effect of sales charges.
(b) Includes amounts paid through expense offset 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.
</TABLE>
<TABLE>
<CAPTION>
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
PUTNAM ASSET ALLOCATION: CONSERVATIVE PORTFOLIO
CLASS B
-----------------------------------------------------------------------------------------------------------
Per-share
operating performance Year ended September 30
-----------------------------------------------------------------------------------------------------------
2000 1999 1998 1997 1996
-----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net asset value,
beginning of period $10.37 $9.78 $10.57 $9.66 $9.16
-----------------------------------------------------------------------------------------------------------
Investment operations
-----------------------------------------------------------------------------------------------------------
Net investment income .37(c) .26(c) .30(c) .30(c) .29
-----------------------------------------------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investments .38 .73 (.43) 1.22 .68
-----------------------------------------------------------------------------------------------------------
Total from
investment operations .75 .99 (.13) 1.52 .97
-----------------------------------------------------------------------------------------------------------
Less distributions:
-----------------------------------------------------------------------------------------------------------
From net
investment income (.32) (.26) (.13) (.28) (.29)
-----------------------------------------------------------------------------------------------------------
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 (.70) (.40) (.66) (.61) (.47)
-----------------------------------------------------------------------------------------------------------
Net asset value,
end of period $10.42 $10.37 $9.78 $10.57 $9.66
-----------------------------------------------------------------------------------------------------------
Ratios and supplemental data
-----------------------------------------------------------------------------------------------------------
Total return at
net asset value (%)(a) 7.40 10.29 (1.32) 16.36 10.96
-----------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $153,985 $187,112 $162,807 $138,457 $94,954
-----------------------------------------------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(b) 2.00 2.06 2.14 2.13 2.22
-----------------------------------------------------------------------------------------------------------
Ratio of net investment income
to average net assets (%) 3.57 2.50 2.92 2.97 3.33
-----------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 276.48 165.48 203.19 219.44 183.67
-----------------------------------------------------------------------------------------------------------
(a) Total return assumes dividend reinvestment and does not reflect the effect of sales charges.
(b) Includes amounts paid through expense offset 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.
</TABLE>
<TABLE>
<CAPTION>
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
PUTNAM ASSET ALLOCATION: CONSERVATIVE PORTFOLIO
CLASS C
-----------------------------------------------------------------------------------------------------------
Per-share
operating performance Year ended September 30
-----------------------------------------------------------------------------------------------------------
2000 1999 1998 1997 1996
-----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net asset value,
beginning of period $10.34 $9.75 $10.56 $9.64 $9.15
-----------------------------------------------------------------------------------------------------------
Investment operations
-----------------------------------------------------------------------------------------------------------
Net investment income .36(c) .26(c) .30(c) .29(c) .30
-----------------------------------------------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investments .39 .74 (.45) 1.24 .66
-----------------------------------------------------------------------------------------------------------
Total from
investment operations .75 1.00 (.15) 1.53 .96
-----------------------------------------------------------------------------------------------------------
Less distributions:
-----------------------------------------------------------------------------------------------------------
From net
investment income (.32) (.26) (.13) (.28) (.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 (.70) (.41) (.66) (.61) (.47)
-----------------------------------------------------------------------------------------------------------
Net asset value,
end of period $10.39 $10.34 $9.75 $10.56 $9.64
-----------------------------------------------------------------------------------------------------------
Ratios and supplemental data
-----------------------------------------------------------------------------------------------------------
Total return at
net asset value (%)(a) 7.39 10.34 (1.51) 16.52 10.86
-----------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $41,846 $58,831 $45,740 $29,032 $16,326
-----------------------------------------------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(b) 2.00 2.06 2.14 2.13 2.22
-----------------------------------------------------------------------------------------------------------
Ratio of net investment income
to average net assets (%) 3.51 2.50 2.93 2.96 3.30
-----------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 276.48 165.48 203.19 219.44 183.67
-----------------------------------------------------------------------------------------------------------
(a) Total return assumes dividend reinvestment and does not reflect the effect of sales charges.
(b) Includes amounts paid through expense offset 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.
</TABLE>
<TABLE>
<CAPTION>
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
PUTNAM ASSET ALLOCATION: CONSERVATIVE PORTFOLIO
CLASS M
-----------------------------------------------------------------------------------------------------------
Per-share
operating performance Year ended September 30
-----------------------------------------------------------------------------------------------------------
2000 1999 1998 1997 1996
-----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net asset value,
beginning of period $10.37 $9.78 $10.59 $9.67 $9.18
-----------------------------------------------------------------------------------------------------------
Investment operations
-----------------------------------------------------------------------------------------------------------
Net investment income .40(c) .29(c) .33(c) .32(c) .33
-----------------------------------------------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investments .38 .73 (.46) 1.24 .66
-----------------------------------------------------------------------------------------------------------
Total from
investment operations .78 1.02 (.13) 1.56 .99
-----------------------------------------------------------------------------------------------------------
Less distributions:
-----------------------------------------------------------------------------------------------------------
From net
investment income (.35) (.29) (.15) (.31) (.32)
-----------------------------------------------------------------------------------------------------------
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 (.73) (.43) (.68) (.64) (.50)
-----------------------------------------------------------------------------------------------------------
Net asset value,
end of period $10.42 $10.37 $9.78 $10.59 $9.67
-----------------------------------------------------------------------------------------------------------
Ratios and supplemental data
-----------------------------------------------------------------------------------------------------------
Total return at
net asset value (%)(a) 7.66 10.56 (1.27) 16.80 11.17
-----------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $24,869 $29,373 $18,868 $12,689 $4,622
-----------------------------------------------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(b) 1.75 1.81 1.89 1.88 1.96
-----------------------------------------------------------------------------------------------------------
Ratio of net investment income
to average net assets (%) 3.82 2.77 3.17 3.19 3.60
-----------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 276.48 165.48 203.19 219.44 183.67
-----------------------------------------------------------------------------------------------------------
(a) Total return assumes dividend reinvestment and does not reflect the effect of sales charges.
(b) Includes amounts paid through expense offset 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.
</TABLE>
<TABLE>
<CAPTION>
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
PUTNAM ASSET ALLOCATION: CONSERVATIVE PORTFOLIO
CLASS Y
-----------------------------------------------------------------------------------------------------------
Per-share
operating performance Year ended September 30
-----------------------------------------------------------------------------------------------------------
2000 1999 1998 1997 1996
-----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net asset value,
beginning of period $10.42 $9.82 $10.62 $9.69 $9.19
-----------------------------------------------------------------------------------------------------------
Investment operations
-----------------------------------------------------------------------------------------------------------
Net investment income .51(c) .36(c) .41(c) .40(c) .38
-----------------------------------------------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investments .35 .75 (.45) 1.23 .68
-----------------------------------------------------------------------------------------------------------
Total from
investment operations .86 1.11 (.04) 1.63 1.06
-----------------------------------------------------------------------------------------------------------
Less distributions:
-----------------------------------------------------------------------------------------------------------
From net
investment income (.43) (.36) (.23) (.37) (.38)
-----------------------------------------------------------------------------------------------------------
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 (.81) (.51) (.76) (.70) (.56)
-----------------------------------------------------------------------------------------------------------
Net asset value,
end of period $10.47 $10.42 $9.82 $10.62 $9.69
-----------------------------------------------------------------------------------------------------------
Ratios and supplemental data
-----------------------------------------------------------------------------------------------------------
Total return at
net asset value (%)(a) 8.43 11.42 (.44) 17.62 11.99
-----------------------------------------------------------------------------------------------------------
Net assets, end of period
(in thousands) $202,510 $110,831 $26,253 $18,760 $6,025
-----------------------------------------------------------------------------------------------------------
Ratio of expenses to
average net assets (%)(b) 1.00 1.06 1.14 1.13 1.22
-----------------------------------------------------------------------------------------------------------
Ratio of net investment income
to average net assets (%) 4.84 3.50 3.93 3.96 4.45
-----------------------------------------------------------------------------------------------------------
Portfolio turnover (%) 276.48 165.48 203.19 219.44 183.67
-----------------------------------------------------------------------------------------------------------
(a) Total return assumes dividend reinvestment and does not reflect the effect of sales charges.
(b) Includes amounts paid through expense offset 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.
</TABLE>
NOTES TO FINANCIAL STATEMENTS
September 30, 2000
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 funds each offer class A, class B, class C, class M and class Y
shares. Class A shares are sold with a maximum front-end sales charge of
5.75%. Class B shares, which convert to class A shares after
approximately eight years, do not pay a front-end sales charge but pay a
higher ongoing distribution fee than class A shares, and are subject to
a contingent deferred sales charge, if those shares are redeemed within
six years of purchase. Class C shares are subject to the same fees and
expenses as class B shares, except that class C shares have a one-year
1.00% contingent deferred sales charge and do not convert to class A
shares. Class M shares are sold with a maximum front end sales charge of
3.50% and pay an ongoing distribution fee that is higher than class A
shares but lower than class B and class C shares. Class Y shares, which
are sold at net asset value, are generally subject to the same expenses
as class A, class B, class C and class M shares, but do not bear a
distribution fee. Class Y shares are sold to defined contribution plans
that invest at least $150 million in a combination of Putnam funds and
other accounts managed by affiliates of Putnam Investment Management,
Inc. ("Putnam Management"), the fund's manager, a wholly-owned
subsidiary of Putnam Investments, Inc.
Expenses of a fund 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 its financial
statements. The preparation of financial statements is in conformity
with generally accepted accounting principles and requires management to
make estimates and assumptions that affect the reported amounts of
assets and liabilities 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. Securities quoted in
foreign currencies are translated into U.S. dollars at the current
exchange rate. Short-term investments having remaining maturities of 60
days or less are stated at amortized cost, which approximates market
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 F, G, H, I, J and K of Note 1 with respect to
valuation of forward currency contracts, futures and options contracts,
swap 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 fund may transfer uninvested
cash balances into a joint trading account along with the cash of other
registered investment companies and certain other accounts managed by
Putnam Management. These balances may be invested in one or more
repurchase agreements and/or short-term money market instruments.
C) Repurchase agreements The funds, or any joint trading account,
through its custodian, receives delivery of the underlying securities,
the market value of which at the time of purchase is required to be in
an amount at least equal to the resale price, including accrued
interest. Collateral for certain tri-party repurchase agreements is held
at the counterparty's custodian in a segregated account for the benefit
of the fund and the counterparty. Putnam Management is responsible for
determining that the value of these underlying securities is at all
times at least equal to the resale price, including accrued interest.
D) Security transactions and related investment income Security
transactions are accounted for on the trade date (date the order to buy
or sell is executed). Gains or losses on securities sold are determined
on the identified cost basis.
Interest income is recorded on the accrual basis. Dividend income is
recorded on the ex-dividend date except that certain dividends from
foreign securities are recorded as soon as the fund is informed of the
ex-dividend date. Non-cash dividends, if any, are recorded at the fair
market value of the securities received. Discounts on zero coupon bonds,
original issue discount bonds, stepped-coupon bonds and payment in kind
bonds are accreted according to the yield-to-maturity basis. Any premium
resulting from the purchase of stepped-coupon securities in excess of
maturity value is amortized on a yield-to-maturity basis.
E) Foreign currency translation The accounting records of the funds are
maintained in U.S. dollars. The market value of foreign securities,
currency holdings, and other assets and liabilities are recorded in the
books and records of the funds after translation to U.S. dollars based
on the exchange rates on that day. The cost of each security is
determined using historical exchange rates. Income and withholding taxes
are translated at prevailing exchange rates when accrued or incurred.
The funds do not isolate that portion of realized or unrealized gains or
losses resulting from changes in the foreign exchange rate on
investments from fluctuations arising from changes in the market prices
of the securities. Such gains and losses are included with the net
realized and unrealized gain or loss on investments. Net realized gains
and losses on foreign currency transactions represent net realized
exchange gains or losses on closed forward currency contracts,
disposition of foreign currencies and the difference between the amount
of investment income and foreign withholding taxes recorded on the
fund's books and the U.S. dollar equivalent amounts actually received or
paid. Net unrealized appreciation and depreciation of assets and
liabilities in foreign currencies arise from changes in the value of
open forward currency contracts and assets and liabilities other than
investments at the period end, resulting from changes in the exchange
rate. 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 fund 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 fund
could be exposed to risk if the value of the currency changes
unfavorably, if the counterparties to the contracts are unable to meet
the terms of their contracts or if 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 fund
owns or expects to purchase. The fund may also write options on
securities it owns or in which it may invest to increase its current
returns.
The potential risk to the funds is that the change in value of futures
and options contracts may not correspond to the change in value of the
hedged instruments. In addition, losses may arise from changes in the
value of the underlying instruments, if there is an illiquid secondary
market for the contracts, or if the counterparty to the contract is
unable to perform. When the contract is closed, the funds record a
realized gain or loss equal to the difference between the value of the
contract at the time it was opened and the value at the time it was
closed. Realized gains and losses on purchased options are included in
realized gains and losses on investment securities.
Futures contracts are valued at the quoted daily settlement prices
established by the exchange on which they trade. Exchange traded options
are valued at the last sale price, or if no sales are reported, the last
bid price for purchased options and the last ask price for written
options. Options traded over-the-counter are valued using prices
supplied by dealers.
H) Interest rate swap contracts The funds may engage in interest rate
swap agreements, which are agreements between two parties to exchange
cash flows based on a notional amount. The funds may enter into interest
rate swap agreements, to change the fund's exposure to interest rates.
Interest rate swaps are marked to market daily based upon quotations
from market makers and the change, if any, is recorded as unrealized
gain or loss. Net payments are included as part of interest income.
Payments received or made at the end of the measurement period are
recorded as income. The fund could be exposed to credit or market risk
due to unfavorable changes in the fluctuation of interest rates or that
the counterparty may default on its obligation to perform.
I) Equity swap contracts The funds may engage in swap agreements, which
are agreements to exchange the return generated by one instrument for
the return generated by another instrument. To manage its exposure to
equity markets the fund may enter into equity swap agreements, 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 funds
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.
J) 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 fund holds, and maintains
until settlement date, cash or high-grade debt obligations in an amount
sufficient to meet the purchase price, or the funds may enter into
offsetting contracts for the forward sale of other securities it owns.
Income on the securities will not be earned until settlement date. TBA
purchase commitments may be considered securities in themselves, and
involve a risk of loss if the value of the security to be purchased
declines prior to the settlement date, which risk is in addition to the
risk of decline in the value of the fund's other assets. Unsettled TBA
purchase commitments are valued at the current market value of the
underlying securities, according to the procedures described under
"Security valuation" above.
Although the funds will generally enter into TBA purchase commitments
with the intention of acquiring securities for their portfolio or for
delivery pursuant to options contracts it has entered into, the fund may
dispose of a commitment prior to settlement if Putnam Management deems
it appropriate to do so.
K) TBA sale commitments The fund may enter into TBA sale commitments to
hedge its portfolio positions or to sell mortgage-backed securities it
owns under delayed delivery arrangements. Proceeds of TBA sale
commitments are not received until the contractual settlement date.
During the time a TBA sale commitment is outstanding, equivalent
deliverable securities, or an offsetting TBA purchase commitment
deliverable on or before the sale commitment date, are held as "cover"
for the transaction.
Unsettled TBA sale commitments are valued at the current market value of
the underlying securities, generally according to the procedures
described under "Security valuation" above. The contract is
"marked-to-market" daily and the change in market value is recorded by
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 funds deliver 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.
L) Line of credit The funds have entered into a committed line of credit
with certain banks. This line of credit agreement includes restrictions
that the fund maintain an asset coverage ratio of at least 300% and
borrowings must not exceed prospectus limitations. For the year ended
September 30, 2000, the fund had no borrowings against the line of
credit.
M) 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 fund 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.
N) Distributions to shareholders Distributions to shareholders from net
investment income are recorded by the fund on the ex-dividend date.
Capital gain distributions, if any, are recorded on the ex-dividend date
and paid at least annually. The amount and character of income and gains
to be distributed are determined in accordance with income tax
regulations which may differ from generally accepted accounting
principles. These differences include temporary and permanent
differences of losses on wash sale transactions, foreign currency gains
and losses, post-October loss deferrals, organization costs, nontaxable
dividends, defaulted bond interest, paydown gains and losses on
mortgage-backed securities, market discount, interest on payment-in-kind
securities, unrealized and realized gains and losses on passive foreign
investment companies, book accretion/amortization adjustment, unrealized
gains and losses on certain futures contracts, and income on swap
contracts. Reclassifications are made to each fund's capital accounts to
reflect income and gains available for distribution (or available
capital loss carryovers) under income tax regulations. Reclassifications
for the year ended September 30, 2000 were as follows:
Undistributed Net Investment Income
---------------------------------------------------------------------------
Growth Portfolio (11,492,339)
---------------------------------------------------------------------------
Balanced Portfolio 295,042
---------------------------------------------------------------------------
Conservative Portfolio 4,246,932
---------------------------------------------------------------------------
Accumulated Net Realized Gain
---------------------------------------------------------------------------
Growth Portfolio 11,111,477
---------------------------------------------------------------------------
Balanced Portfolio (2,861,265)
---------------------------------------------------------------------------
Conservative Portfolio (4,965,971)
---------------------------------------------------------------------------
Additional Paid-in Capital
---------------------------------------------------------------------------
Growth Portfolio 380,862
---------------------------------------------------------------------------
Balanced Portfolio 2,566,223
---------------------------------------------------------------------------
Conservative Portfolio 719,039
---------------------------------------------------------------------------
O) 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 fund and
their staff who provide administrative services to the fund. 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.
Under the subcustodian contract between the subcustodian bank and PFTC,
the subcustodian bank has a lien on the securities of a fund to the
extent permitted by the fund's investment restrictions to cover any
advances made by the subcustodian bank for the settlement of securities
purchased by the fund. At September 30, 2000, the amount payable to the
subcustodian bank represents the amount due for cash advance for the
settlement of a security purchased.
For the year ended September 30, 2000, fund expenses were reduced by
$661,336, $875,852 and $330,347 (for Growth Portfolio, Balanced
Portfolio and Conservative Portfolio, respectively) under expense offset
arrangements with PFTC and brokerage service arrangements. Investor
servicing and custodian fees reported in the Statement of operations
exclude these credits. The fund could have invested a portion of the
assets utilized in connection with the expense offset arrangements in an
income producing asset if it had not entered into such arrangements.
Each Trustee of the funds receives an annual Trustee fee, of which
$1,620, $2,373 and $880 (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 fund 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 of the funds 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 Retail Management, Inc., 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 fund to Putnam Retail Management, Inc. at an
annual rate up to 0.35%, 1.00%, 1.00% and 1.00% of the average net
assets attributable to class A, class B, class C and class M shares,
respectively. The Trustees have approved payment by the funds at an
annual rate of 0.25%, 1.00%, 1.00% and 0.75% of the average net assets
attributable to class A, class B, class C and class M shares
respectively.
For the year ended September 30, 2000, Putnam Retail Management, Inc.,
acting as underwriter received net commissions of $630,191 and $44,839
from the sale of class A and class M shares, respectively, and received
$1,830,689 and $71,245 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 year ended September 30, 2000, Putnam Retail Management,
Inc., acting as underwriter received $49,138 on class A redemptions.
Note 3
Purchases and sales of securities
During the year ended September 30, 2000, cost of purchases and proceeds
from sales of investment securities other than short-term investments
were as follows:
U.S. Government Obligations
---------------------------------------------------------------------------
Purchases Sales
---------------------------------------------------------------------------
Growth Portfolio $209,140,840 $227,284,354
---------------------------------------------------------------------------
Balanced Portfolio $391,101,158 $432,019,062
---------------------------------------------------------------------------
Conservative Portfolio $428,728,191 $360,992,572
---------------------------------------------------------------------------
Other Securities
---------------------------------------------------------------------------
Purchases Sales
---------------------------------------------------------------------------
Growth Portfolio $2,784,945,151 $2,801,558,348
---------------------------------------------------------------------------
Balanced Portfolio $3,517,067,819 $3,454,039,534
---------------------------------------------------------------------------
Conservative Portfolio $1,352,031,771 $1,543,674,242
---------------------------------------------------------------------------
Note 4
Capital shares
At September 30, 2000, there was an unlimited number of shares of
beneficial interest authorized. Transactions in capital shares were as
follows:
Year ended September 30
---------------------------------------------------------------------------
Class A 2000
---------------------------------------------------------------------------
Growth Portfolio Shares Amount
---------------------------------------------------------------------------
Shares sold 23,511,972 $348,642,136
---------------------------------------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 5,418,462 78,946,976
---------------------------------------------------------------------------
Shares repurchased (18,746,126) (278,308,268)
---------------------------------------------------------------------------
Net increase 10,184,308 $149,280,844
---------------------------------------------------------------------------
Year ended September 30
---------------------------------------------------------------------------
Class A 1999
---------------------------------------------------------------------------
Growth Portfolio Shares Amount
---------------------------------------------------------------------------
Shares sold 18,752,326 $258,495,329
---------------------------------------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 1,462,109 18,875,831
---------------------------------------------------------------------------
Shares repurchased (25,108,226) (349,190,266)
---------------------------------------------------------------------------
Net decrease (4,893,791) $(71,819,106)
---------------------------------------------------------------------------
Year ended September 30
---------------------------------------------------------------------------
Class B 2000
---------------------------------------------------------------------------
Growth Portfolio Shares Amount
---------------------------------------------------------------------------
Shares sold 9,185,249 $134,563,252
---------------------------------------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 3,565,212 51,303,344
---------------------------------------------------------------------------
Shares repurchased (12,991,443) (189,359,843)
---------------------------------------------------------------------------
Net decrease (240,982) $ (3,493,247)
---------------------------------------------------------------------------
Year ended September 30
---------------------------------------------------------------------------
Class B 1999
---------------------------------------------------------------------------
Growth Portfolio Shares Amount
---------------------------------------------------------------------------
Shares sold 6,079,466 $81,965,810
---------------------------------------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 703,237 8,980,332
---------------------------------------------------------------------------
Shares repurchased (6,754,966) (91,948,806)
---------------------------------------------------------------------------
Net increase (decrease) 27,737 $(1,002,664)
---------------------------------------------------------------------------
Year ended September 30
---------------------------------------------------------------------------
Class C 2000
---------------------------------------------------------------------------
Growth Portfolio Shares Amount
---------------------------------------------------------------------------
Shares sold 3,539,220 $51,144,368
---------------------------------------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 764,712 10,904,790
---------------------------------------------------------------------------
Shares repurchased (2,056,451) (29,960,983)
---------------------------------------------------------------------------
Net increase 2,247,481 $32,088,175
---------------------------------------------------------------------------
Year ended September 30
---------------------------------------------------------------------------
Class C 1999
---------------------------------------------------------------------------
Growth Portfolio Shares Amount
---------------------------------------------------------------------------
Shares sold 1,904,307 $25,665,203
---------------------------------------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 155,976 1,979,527
---------------------------------------------------------------------------
Shares repurchased (2,349,688) (31,738,963)
---------------------------------------------------------------------------
Net decrease (289,405) $(4,094,233)
---------------------------------------------------------------------------
Year ended September 30
---------------------------------------------------------------------------
Class M 2000
---------------------------------------------------------------------------
Growth Portfolio Shares Amount
---------------------------------------------------------------------------
Shares sold 1,586,242 $23,158,133
---------------------------------------------------------------------------
Shares issued in
connections with
reinvestment of
distributions 471,258 6,786,113
---------------------------------------------------------------------------
Shares repurchased (1,552,473) (23,441,390)
---------------------------------------------------------------------------
Net increase 505,027 $6,502,856
---------------------------------------------------------------------------
Year ended September 30
---------------------------------------------------------------------------
Class M 1999
---------------------------------------------------------------------------
Growth Portfolio Shares Amount
---------------------------------------------------------------------------
Shares sold 1,465,010 $19,502,042
---------------------------------------------------------------------------
Shares issued in
connections with
reinvestment of
distributions 110,711 1,414,889
---------------------------------------------------------------------------
Shares repurchased (1,647,545) (22,770,812)
---------------------------------------------------------------------------
Net decrease (71,824) $(1,853,881)
---------------------------------------------------------------------------
Year ended September 30
---------------------------------------------------------------------------
Class Y 2000
---------------------------------------------------------------------------
Growth Portfolio Shares Amount
---------------------------------------------------------------------------
Shares sold 13,302,387 $199,863,338
---------------------------------------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 3,170,148 46,414,115
---------------------------------------------------------------------------
Shares repurchased (9,725,995) (145,724,691)
---------------------------------------------------------------------------
Net increase 6,746,540 $100,552,762
---------------------------------------------------------------------------
Year ended September 30
---------------------------------------------------------------------------
Class Y 1999
---------------------------------------------------------------------------
Growth Portfolio Shares Amount
---------------------------------------------------------------------------
Shares sold 15,271,247 $214,959,955
---------------------------------------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 530,451 6,879,074
---------------------------------------------------------------------------
Shares repurchased (6,244,410) (87,204,382)
---------------------------------------------------------------------------
Net increase 9,557,288 $134,634,647
---------------------------------------------------------------------------
Year ended September 30
---------------------------------------------------------------------------
Class A 2000
---------------------------------------------------------------------------
Balanced Portfolio Shares Amount
---------------------------------------------------------------------------
Shares sold 57,452,184 $739,305,555
---------------------------------------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 6,926,557 87,295,477
---------------------------------------------------------------------------
Shares repurchased (29,463,927) (378,626,634)
---------------------------------------------------------------------------
Net increase 34,914,814 $447,974,398
---------------------------------------------------------------------------
Year ended September 30
---------------------------------------------------------------------------
Class A 1999
---------------------------------------------------------------------------
Balanced Portfolio Shares Amount
---------------------------------------------------------------------------
Shares sold 26,789,898 $319,446,022
---------------------------------------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 2,657,991 31,312,005
---------------------------------------------------------------------------
Shares repurchased (37,757,615) (455,952,183)
---------------------------------------------------------------------------
Net decrease (8,309,726) $(105,194,156)
---------------------------------------------------------------------------
Year ended September 30
---------------------------------------------------------------------------
Class B 2000
---------------------------------------------------------------------------
Balanced Portfolio Shares Amount
---------------------------------------------------------------------------
Shares sold 9,951,479 $127,026,445
---------------------------------------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 3,669,339 45,855,574
---------------------------------------------------------------------------
Shares repurchased (17,484,194) (222,981,859)
---------------------------------------------------------------------------
Net decrease (3,863,376) $(50,099,840)
---------------------------------------------------------------------------
Year ended September 30
---------------------------------------------------------------------------
Class B 1999
---------------------------------------------------------------------------
Balanced Portfolio Shares Amount
---------------------------------------------------------------------------
Shares sold 8,301,654 $98,580,466
---------------------------------------------------------------------------
Shares issued in
connection with
reinvestment of distributions 1,124,391 13,101,703
---------------------------------------------------------------------------
Shares repurchased (9,541,695) (113,931,558)
---------------------------------------------------------------------------
Net decrease (115,650) $(2,249,389)
---------------------------------------------------------------------------
Year ended September 30
---------------------------------------------------------------------------
Class C 2000
---------------------------------------------------------------------------
Balanced Portfolio Shares Amount
---------------------------------------------------------------------------
Shares sold 3,703,078 $46,890,743
---------------------------------------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 799,922 9,936,053
---------------------------------------------------------------------------
Shares repurchased (3,307,882) (41,913,489)
---------------------------------------------------------------------------
Net increase 1,195,118 $14,913,307
---------------------------------------------------------------------------
Year ended September 30
---------------------------------------------------------------------------
Class C 1999
---------------------------------------------------------------------------
Balanced Portfolio Shares Amount
---------------------------------------------------------------------------
Shares sold 3,361,616 $40,015,780
---------------------------------------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 223,409 2,591,926
---------------------------------------------------------------------------
Shares repurchased (2,611,861) (31,143,056)
---------------------------------------------------------------------------
Net increase 973,164 $11,464,650
---------------------------------------------------------------------------
Year ended September 30
---------------------------------------------------------------------------
Class M 2000
---------------------------------------------------------------------------
Balanced Portfolio Shares Amount
---------------------------------------------------------------------------
Shares sold 2,210,703 $28,538,940
---------------------------------------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 466,033 5,851,602
---------------------------------------------------------------------------
Shares repurchased (2,669,974) (34,278,023)
---------------------------------------------------------------------------
Net increase 6,762 $112,519
---------------------------------------------------------------------------
Year ended September 30
---------------------------------------------------------------------------
Class M 1999
---------------------------------------------------------------------------
Balanced Portfolio Shares Amount
---------------------------------------------------------------------------
Shares sold 1,910,023 $22,711,244
---------------------------------------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 152,511 1,789,141
---------------------------------------------------------------------------
Shares repurchased (1,823,486) (22,015,241)
---------------------------------------------------------------------------
Net increase 239,048 $2,485,144
---------------------------------------------------------------------------
Year ended September 30
---------------------------------------------------------------------------
Class Y 2000
---------------------------------------------------------------------------
Balanced Portfolio Shares Amount
---------------------------------------------------------------------------
Shares sold 20,458,616 $260,542,598
---------------------------------------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 3,619,327 45,615,289
---------------------------------------------------------------------------
Shares repurchased (12,560,109) (161,703,337)
---------------------------------------------------------------------------
Net increase 11,517,834 $144,454,550
---------------------------------------------------------------------------
Year ended September 30
---------------------------------------------------------------------------
Class Y 1999
---------------------------------------------------------------------------
Balanced Portfolio Shares Amount
---------------------------------------------------------------------------
Shares sold 18,714,733 $226,860,733
---------------------------------------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 830,901 9,859,556
---------------------------------------------------------------------------
Shares repurchased (6,417,534) (77,593,493)
---------------------------------------------------------------------------
Net increase 13,128,100 $159,126,796
---------------------------------------------------------------------------
Year ended September 30
---------------------------------------------------------------------------
Class A 2000
---------------------------------------------------------------------------
Conservative
Portfolio Shares Amount
---------------------------------------------------------------------------
Shares sold 25,168,746 $262,460,869
---------------------------------------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 2,701,861 28,125,681
---------------------------------------------------------------------------
Shares repurchased (24,892,439) (258,018,559)
---------------------------------------------------------------------------
Net increase 2,978,168 $ 32,567,991
---------------------------------------------------------------------------
Year ended September 30
---------------------------------------------------------------------------
Class A 1999
---------------------------------------------------------------------------
Conservative
Portfolio Shares Amount
---------------------------------------------------------------------------
Shares sold 15,911,751 $164,942,186
---------------------------------------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 1,771,466 18,189,578
---------------------------------------------------------------------------
Shares repurchased (19,288,553) (200,954,773)
---------------------------------------------------------------------------
Net decrease (1,605,336) $(17,823,009)
---------------------------------------------------------------------------
Year ended September 30
---------------------------------------------------------------------------
Class B 2000
---------------------------------------------------------------------------
Conservative
Portfolio Shares Amount
---------------------------------------------------------------------------
Shares sold 3,119,134 $ 32,439,091
---------------------------------------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 1,068,376 11,090,655
---------------------------------------------------------------------------
Shares repurchased (7,455,256) (77,580,404)
---------------------------------------------------------------------------
Net decrease (3,267,746) $(34,050,658)
---------------------------------------------------------------------------
Year ended September 30
---------------------------------------------------------------------------
Class B 1999
---------------------------------------------------------------------------
Conservative
Portfolio Shares Amount
---------------------------------------------------------------------------
Shares sold 4,648,804 $48,054,330
---------------------------------------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 607,685 6,213,353
---------------------------------------------------------------------------
Shares repurchased (3,853,643) (39,855,674)
---------------------------------------------------------------------------
Net increase 1,402,846 $14,412,009
---------------------------------------------------------------------------
Year ended September 30
---------------------------------------------------------------------------
Class C 2000
---------------------------------------------------------------------------
Conservative
Portfolio Shares Amount
---------------------------------------------------------------------------
Shares sold 986,097 $ 10,245,806
---------------------------------------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 317,930 3,290,989
---------------------------------------------------------------------------
Shares repurchased (2,966,838) (30,834,984)
---------------------------------------------------------------------------
Net decrease (1,662,811) $(17,298,189)
---------------------------------------------------------------------------
Year ended September 30
---------------------------------------------------------------------------
Class C 1999
---------------------------------------------------------------------------
Conservative
Portfolio Shares Amount
---------------------------------------------------------------------------
Shares sold 2,910,586 $30,014,096
---------------------------------------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 187,718 1,916,327
---------------------------------------------------------------------------
Shares repurchased (2,098,944) (21,792,052)
---------------------------------------------------------------------------
Net increase 999,360 $10,138,371
---------------------------------------------------------------------------
Year ended September 30
---------------------------------------------------------------------------
Class M 2000
---------------------------------------------------------------------------
Conservative
Portfolio Shares Amount
---------------------------------------------------------------------------
Shares sold 610,265 $ 6,363,506
---------------------------------------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 174,583 1,810,827
---------------------------------------------------------------------------
Shares repurchased (1,231,179) (12,969,309)
---------------------------------------------------------------------------
Net decrease (446,331) $(4,794,976)
---------------------------------------------------------------------------
Year ended September 30
---------------------------------------------------------------------------
Class M 1999
---------------------------------------------------------------------------
Conservative
Portfolio Shares Amount
---------------------------------------------------------------------------
Shares sold 1,447,538 $14,991,909
---------------------------------------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 92,868 950,726
---------------------------------------------------------------------------
Shares repurchased (635,492) (6,614,546)
---------------------------------------------------------------------------
Net increase 904,914 $ 9,328,089
---------------------------------------------------------------------------
Year ended September 30
---------------------------------------------------------------------------
Class Y 2000
---------------------------------------------------------------------------
Conservative
Portfolio Shares Amount
---------------------------------------------------------------------------
Shares sold 14,340,881 $147,912,331
---------------------------------------------------------------------------
Shares issued in
connection with
reinvestment of
distributions 878,911 9,192,724
---------------------------------------------------------------------------
Shares repurchased (6,523,605) (68,195,474)
---------------------------------------------------------------------------
Net increase 8,696,187 $ 88,909,581
---------------------------------------------------------------------------
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
---------------------------------------------------------------------------
FEDERAL TAX INFORMATION
(Unaudited)
Pursuant to Section 852 of the Internal Revenue Code, as amended, the
Fund hereby designates $202,135,967, $175,245,568 and $22,383,192 for
Growth, Balanced, and Conservative, respectively, as capital gain, for
its taxable year ended September 30, 2000.
The fund has designated 4.27%, 7.05%, and 3.35% for Growth, Balanced,
and Conservative, respectively, of the distributions from net investment
income as qualifying for the dividends received deduction for
corporations.
The Form 1099 you receive in January 2001 will show the tax status of
all distributions paid to your account in calendar year 2000.
FUND INFORMATION
WEB SITE
www.putnaminvestments.com
INVESTMENT MANAGER
Putnam Investment Management, Inc.
One Post Office Square
Boston, MA 02109
MARKETING SERVICES
Putnam Retail Management, Inc.
One Post Office Square
Boston, MA 02109
CUSTODIAN
Putnam Fiduciary Trust Company
LEGAL COUNSEL
Ropes & Gray
INDEPENDENT ACCOUNTANTS
PricewaterhouseCoopers LLP
TRUSTEES
John A. Hill, 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, III
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 and
Putnam's Quarterly Ranking 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.putnaminvestments.com.
Not FDIC Insured, May Lose Value, No Bank Guarantee
[LOGO OMITTED]
PUTNAM INVESTMENTS
The Putnam Funds
One Post Office Square
Boston, Massachusetts 02109
---------------------
PRST STD
U.S. POSTAGE PAID
PUTNAM
INVESTMENTS
---------------------
For account balances, economic forecasts, and the latest on Putnam funds, visit
www.putnaminvestments.com
AN060-65461 250/259/264 11/00
PUTNAM INVESTMENTS [SCALE LOGO OMITTED]
----------------------------------------------------------------------------
Putnam Asset Allocation Funds, Growth Portfolio
Supplement to Annual Report dated September 30, 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.
ANNUAL RESULTS AT A GLANCE
----------------------------------------------------------------------------
Total return NAV
Twelve months ended 9/30/00
9/30/99-9/30/00 13.14%
5 years (Cumulative) 100.03%
5 years (Annualized) 14.87%
Life (annualized)
2/8/94-9/30/00 14.09%
----------------------------------------------------------------------------
Share value NAV
2/8/94 (Inception date) $8.50
9/30/99 $14.44
9/30/00 $14.58
----------------------------------------------------------------------------
Distributions No. Income Capital gains Total
Short Long
9/30/99 to 9/30/00 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 Annual Report dated September 30, 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.
ANNUAL RESULTS AT A GLANCE
----------------------------------------------------------------------------
Total return NAV
Twelve months ended 9/30/00
9/30/99-9/30/00 16.15%
5 years (Cumulative) 93.28%
5 years (Annualized) 14.09%
Life (annualized)
2/7/94-9/30/00 13.11%
----------------------------------------------------------------------------
Share value NAV
2/7/94 (Inception date) $8.50
9/30/99 $12.29
9/30/00 $13.00
----------------------------------------------------------------------------
Distributions No. Income Capital gains Total
Short Long
9/30/99 to 9/30/00 4 $0.289 $0.126 $0.805 $1.220
----------------------------------------------------------------------------
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 Annual Report dated September 30, 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.
ANNUAL RESULTS AT A GLANCE
----------------------------------------------------------------------------
Total return NAV
Twelve months ended 9/30/00
9/30/99-9/30/00 8.43%
5 years (Cumulative) 58.45%
5 years (Annualized) 9.64%
Life (annualized)
2/7/94-9/30/00 9.13%
----------------------------------------------------------------------------
Share value NAV
2/7/94 (Inception date) $8.50
9/30/99 $10.42
9/30/00 $10.47
----------------------------------------------------------------------------
Distributions No. Income Capital gains Total
Short Long
9/30/99 to 9/30/00 9 $0.428 $0.088 $0.295 $0.811
----------------------------------------------------------------------------
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.
