Putnam Asset Allocation Funds – ‘N-30D’ for 3/31/01

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Annual or Semi-Annual Report Mailed to Shareholders   —   Rule 30d-1
Filing Table of Contents

Document/Exhibit                   Description                      Pages   Size 

 1: N-30D       Putnam Asset Allocation Funds                        175±   983K 


Putnam                                                                          
Asset                                                                           
Allocation                                                                      
Funds                                                                           

SEMIANNUAL REPORT ON PERFORMANCE AND OUTLOOK                                    

3-31-01                                                                         

[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:                                                               

The ability of Putnam  Asset  Allocation Funds to invest across the full        
spectrum of the world's equity and fixed-income markets is one of their         
strengths. The feature also presents a daunting challenge for William           
Landes and the Global  Asset  Allocation Team as they seek out promising        
investments for the funds' three portfolios.                                    

The challenge was made all the greater during the first half of the             
funds' fiscal 2001 because worldwide economic and market turmoil eroded         
consumer confidence, pared down corporate earnings, and sent investors          
scrambling for safe havens to park their assets and wait for calmer             
weather.                                                                        

In the following report, Bill and his team review the market strategies         
and investment results for the semiannual period ended March 31, 2001.          
The managers also discuss the funds' potential strengths and challenges         
throughout the remainder of the fiscal year.                                    

Respectfully yours,                                                             

/S/ JOHN A. HILL                   /S/ GEORGE PUTNAM, III                       

John A. Hill                       George Putnam, III                           
Chairman of the Trustees           President of the Funds                       
May 18, 2001                                                                    

REPORT FROM THE FUND MANAGERS                                                   

William J. Landes and                                                           
the Global Asset                                                                
Allocation Team                                                                 

The first half of Putnam Asset Allocation Funds' fiscal 2001 was                
characterized by widespread declines in the global equity markets.              
Persistently high energy prices, higher short-term interest rates, and          
tighter credit conditions contributed to the downward economic spiral.          
Around the world, corporate profitability faltered, consumer confidence         
waned, and investors took increasingly conservative positions. As losses        
mounted, many investors learned firsthand the danger of having an overly        
concentrated portfolio. The funds navigated cautiously through turbulent        
waters seeking to preserve capital while seizing reasonable                     
opportunities for growth. Although the portfolios were not immune to the        
widespread declines, they did not lose as much ground as the overall            
market.                                                                         

* TURBULENT U.S. MARKETS REQUIRE CAUTION                                        

In the United States, the rapid deceleration that marked the fourth             
quarter of 2000 continued through first quarter 2001. Companies within          
the Standard & Poor's 500 Index revised their earnings projections              
steadily downward, contributing to negative sentiment and rendering             
occasional market rallies unsustainable. The Federal Reserve Board took         
aggressive action to fend off a possible recession by lowering                  
short-term interest rates a total of 1.5 percentage points in the first         
quarter. Investors seeking the safety of bonds bid their prices up so           
high as to make them  overvalued, in our opinion.                               

Stocks. Market declines were led by the technology and                          
telecommunications sectors as air continued to leak out of the                  
technology bubble. Most other industry sectors followed suit, falling           
precipitously as the effects of reduced capital spending and higher             
energy prices hit bottom lines. Defensive sectors, such as financials,          
health care, utilities, and energy, held up better. Value stocks bested         
growth stocks, extending their yearlong record of outperformance.               
Domestic stocks became increasingly attractive as valuations fell to            
lower levels. We widened the funds' exposure to U.S. equities during the        
period, eliminating their relatively underweight position in this asset         
class. The portfolios emphasized value stocks in defensive sectors. We          
have taken incremental steps recently to position the funds for an              
economic recovery. These steps have included tipping the portfolios in          
favor of stocks, reducing the value orientation in favor of a more              
neutral style, and emphasizing smaller-cap stocks.                              

Bonds: Although U.S. Treasury bonds have clearly been the asset of              
choice during the most recent six-month period, their high prices               
discouraged us. As investors flocked to fixed-income securities to find         
shelter from stormy equity markets, bond prices were bid upward. Our            
research, which analyzes bond prices and yields in relation to equities,        
inflation, historical bond valuations, and risk factors, suggested that         
bonds had become overvalued by most standards. We therefore took a              
conservative approach that emphasized shorter-duration bonds -- a               
position that actually detracted from fund performance until recently.          
As 2000 came to a close, the portfolio benefited from an emphasis on            
asset- and mortgage-backed securities. However, in first quarter 2001,          
mortgage-backeds dampened performance as the increasing incidence of            
mortgage prepayments caused the sector to lag Treasuries. We remain wary        
of the upside potential for government bonds. Recently, yields for              
10-year Treasury bonds fell as low as 4.7% which, when considered in            
light of a 3% inflation rate, represented a real yield of less than 2%.         
We believe investors are likely to move their assets to equities in             
search of higher yields shortly after the first signs of economic               
recovery become evident. This further explains our current strategy of          
emphasizing equities.                                                           

[GRAPHIC OMITTED: worm chart GROWTH OF A $10,000 INVESTMENT WORLD FIXED-INCOME  
MARKETS]                                                                        

WORLD FIXED-INCOME MARKETS                                                      

GROWTH OF A $10,000 INVESTMENT                                                  

Credit Suisse                   Salomon Brothers              
First Boston   Lehman Brothers      Non-U.S                   
   High Yield       Aggregate    World Government   Consumer Price
Date      Bond Index      Bond Index       Bond Index          Index            

3/31/00     10,000           10,000          10,000           10,000            
4/00         9,985            9,971           9,563           10,000            
5/00         9,825            9,967           9,661           10,012            
6/00        10,045           10,174           9,921           10,064            
7/00        10,140           10,266           9,654           10,088            
8/00        10,208           10,415           9,501           10,082            
9/00        10,114           10,481           9,472           10,134            
10/00        9,799           10,550           9,272           10,152            
11/00        9,413           10,723           9,454           10,169            
12/00        9,603           10,922           9,851           10,187            
1/01        10,178           11,100           9,807           10,257            
2/01        10,281           11,197           9,760           10,286            
3/31/01    $10,076          $11,253          $9,368          $10,292            

Footnote reads:                                                                 
See page 12 for descriptions of the indexes. Past performance is not            
indicative of future results. This is not intended to represent the             
returns of any fund.                                                            

* INTERNATIONAL MARKETS SHARE ECONOMIC WOES                                     

As in the United States, markets around the globe suffered declines, led        
by losses in the technology and telecom sectors. Europe was among the           
hardest hit, with major indexes driven downward by weakness in European         
telecom stocks. As of the end of the period, the European Central Bank          
was standing firm on interest rates, despite the economic slowdown and a        
gloomy outlook for corporate profitability. The attractiveness of               
European equities was further compromised by a weak euro, which                 
effectively reduced returns for non-euro-based investors. Economic              
growth in the United Kingdom and Japan slowed more than expected,               
despite interest rate reductions in those countries. Some Asian markets         
experienced negative growth rates. Australia's market, however, proved          
more resilient to negative influences and declined only modestly during         
the period.                                                                     

Stocks: The Asset Allocation Funds benefited from favorable stock               
selection in the United Kingdom, France, and the Netherlands. Other             
portfolio positives included health-care and energy holdings and strong         
stock selection in the technology sector. We kept the portfolio                 
prudently underweighted in European telecom stocks. Poor stock selection        
within media and financial sectors dampened returns in those areas.             

Bonds: As was the case with U.S. bonds, demand for relatively safe              
investment vehicles drove bond valuations in the rest of the world to           
unreasonable levels. During the fourth quarter of 2000, high-yield and          
investment-grade corporate bonds underperformed Treasuries. A flood of          
new high-yield debt issues glutted the market, threatening the liquidity        
of corporate bonds in general. This has created an attractive yield             
advantage and, for the asset allocation funds, a buying opportunity. The        
portfolios' strategy of underweighting Japanese bonds in favor of bonds         
of the United Kingdom, Europe, and Australia proved successful during           
the period.                                                                     

[GRAPHIC OMITTED: worm chart GROWTH OF A $10,000 INVESTMENT WORLD EQUITY        
MARKETS]                                                                        

WORLD EQUITY MARKETS                                                            

GROWTH OF A $10,000 INVESTMENT                                                  

                                                    Morgan Stanley
                                                   Capital International
    Standard & Poor's       Russell 2000         (MSCI) EAFE
Date         [REGISTRATION MARK]         Index                Index             
500 Index                                   

3/31/00           10,000                10,000                10,000            
4/00               9,699                 9,398                 9,474            
5/00               9,500                 8,851                 9,242            
6/00               9,734                 9,622                 9,604            
7/00               9,582                 9,312                 9,201            
8/00              10,177                10,023                 9,281            
9/00               9,640                 9,728                 8,829            
10/00              9,599                 9,294                 8,621            
11/00              8,843                 8,340                 8,297            
12/00              8,886                 9,056                 8,592            
1/01               9,201                 9,528                 8,595            
2/01               8,362                 8,903                 7,953            
3/31/01           $7,832                $8,467                $7,412            

Footnote reads:                                                                 
See page 12 for descriptions of the indexes. Past performance is not            
indicative of future results. This is not intended to represent the             
returns of any fund.                                                            

* A GLANCE FORWARD                                                              

We believe the outlook for investors will improve in coming months as           
the effects of interest-rate reductions ripple through the economy.             
Historically the stock market has continued to fall for three months            
following an initial interest-rate cut. Three months after the January          
rate cut, economic data are starting to suggest that the economy is             
stabilizing -- a signal that conditions are not getting any worse.              
Generally, the stock market is the first to see improvements that are           
later confirmed by leading  economic indicators.                                

We believe the conservative, balanced, and growth portfolios are                
positioned to participate in the recovery of world markets. Using a             
sophisticated combination of tools and strategies, including                    
forecasting, portfolio construction, risk budgeting, and currency               
management, the funds seek to locate the best opportunities in every            
market environment. Our research indicates that global equity markets           
are now slightly undervalued. Monetary easing will provide a tailwind           
for equity markets, but as the profit contraction continues in the              
United States, foreign stocks may outperform U.S. stocks. Furthermore we        
believe that global government bond markets remain expensive and that           
higher-yielding sectors will outperform throughout 2001.                        

Market declines have the potential to derail long-term wealth                   
accumulation. The past two years have provided a vivid demonstration of         
the pitfalls of a concentrated portfolio. The funds manage both risk and        
return using the power of diversification. Our goal is to participate in        
the markets when they are going up and to protect investment assets when        
markets are retreating. Since their inception in 1994, these                    
well-diversified portfolios have established a track record of strong,          
long-term performance.                                                          

The views expressed here are exclusively those of Putnam Management.            
They are not meant as investment advice. While these holdings and others        
discussed in the report were viewed favorably as of 3/31/01, 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                                                              

                                                        [Enlarge/Download Table]


TOTAL RETURNS FOR PERIODS ENDED 3/31/01                                                         

Change in value during period plus reinvested distributions                                     

                     Class A              Class B             Class C             Class M       
(inception dates)   (2/8/94)             (2/16/94)            (9/1/94)           (2/3/95)       
                   NAV     POP          NAV     CDSC         NAV    CDSC        NAV     POP     
------------------------------------------------------------------------------------------------
                                                                                                
6 months        -13.04%  -18.03%     -13.55%   -17.01%    -13.47%  -14.16%    -13.26%  -16.32%  
------------------------------------------------------------------------------------------------
1 year          -17.60   -22.33      -18.37    -21.64     -18.28   -18.93     -17.98   -20.87   
------------------------------------------------------------------------------------------------
5 years          56.77    47.78       50.62     48.74      50.82    50.82      52.95    47.59   
Annual average    9.41     8.12        8.54      8.26       8.57     8.57       8.87     8.10   
------------------------------------------------------------------------------------------------
Life of fund    105.03    93.21       94.24     94.24      93.28    93.28      97.83    90.90   
Annual average   10.58     9.66        9.74      9.74       9.67     9.67      10.03     9.48   
------------------------------------------------------------------------------------------------


PRICE AND DISTRIBUTION INFORMATION                                              
6 MONTHS ENDED 3/31/01                                                          

              Class A        Class B     Class C         Class M
Share value         NAV     POP        NAV         NAV         NAV     POP      
-----------------------------------------------------------------------------   
9/30/00            $14.47  $15.35     $14.21      $14.08      $14.25  $14.77    
-----------------------------------------------------------------------------   
3/31/01             10.02   10.63       9.84        9.72        9.87   10.23    
-----------------------------------------------------------------------------   

                         Capital gains
          Investment       Long              Short
Distributions   Number     income         term               term       Total   
------------------------------------------------------------------------------- 
Class A           1        $0.190        $1.411             $1.215      $2.816  
------------------------------------------------------------------------------- 
Class B           1         0.070         1.411              1.215       2.696  
------------------------------------------------------------------------------- 
Class C           1         0.089         1.411              1.215       2.715  
------------------------------------------------------------------------------- 
Class M           1         0.114         1.411              1.215       2.740  
------------------------------------------------------------------------------- 

Performance data represent past results, is not indicative of future            
performance, and the life-of-fund data reflect an expense limitation, which was 
in effect until 12/31/94. Without the limitation, the funds' total return would 
have been lower. More recent returns may be more or less than those shown.      
Returns for class A and class M shares reflect the current maximum initial      
sales charges of 5.75% and 3.50%, respectively. Class B share returns for the   
1-, 5-, and 10-year (where available) and life-of-fund periods reflect the      
applicable contingent deferred sales charge (CDSC), which is 5% in the first    
year, declines to 1% in the sixth year, and is eliminated thereafter. Returns   
shown for class B and class M shares for periods prior to their inception are   
derived from the historical performance of class A shares, adjusted to reflect  
both the initial sales charge or CDSC, if any, currently applicable to each     
class and, in the case of class B and class M shares, the higher operating      
expenses applicable to such shares. For class C shares, returns for periods     
prior to their inception are derived from the historical performance of         
class A shares, adjusted to reflect both the CDSC currently applicable to       
class C shares, which is 1% for the first year and is eliminated thereafter,    
and the higher operating expenses applicable to class C shares. All returns     
assume reinvestment of distributions at NAV. Investment return and principal    
value will fluctuate so that an investor's shares when redeemed may be worth    
more or less than their original cost. Performance data reflect an expense      
limitation previously in effect. Without it, the fund's total return would      
have been lower.                                                                

PERFORMANCE SUMMARY                                                             

                                                        [Enlarge/Download Table]


* BALANCED PORTFOLIO                                                                            

TOTAL RETURNS FOR PERIOD ENDED 3/31/01                                                          

Change in value during period plus reinvested distributions                                     

                    Class A            Class B              Class C            Class M          
(inception dates)  (2/7/94)           (2/11/94)            (9/1/94)            (2/6/95)         
                 NAV      POP        NAV     CDSC         NAV     CDSC        NAV     POP       
------------------------------------------------------------------------------------------------
                                                                                                
6 months       -11.27%  -16.36%    -11.62%  -15.45%     -11.53%  -12.30%    -11.53% -14.62%     
------------------------------------------------------------------------------------------------
1 year         -12.12   -17.19     -12.80   -16.56      -12.71   -13.46     -12.53  -15.60      
------------------------------------------------------------------------------------------------
5 years         55.81    46.85      50.02    48.04       49.94    49.94      51.76   46.48      
Annual average   9.27     7.99       8.45     8.16        8.44     8.44       8.70    7.93      
------------------------------------------------------------------------------------------------
Life of fund    97.90    86.49      87.69    87.69       86.65    86.65      91.45   84.74      
Annual average  10.03     9.12       9.22     9.22        9.13     9.13       9.52    8.98      
------------------------------------------------------------------------------------------------


PRICE AND DISTRIBUTION INFORMATION                                              
6 MONTHS ENDED 3/31/01                                                          

              Class A        Class B     Class C         Class M
Share value         NAV     POP        NAV         NAV         NAV     POP      
-----------------------------------------------------------------------------   
9/30/00            $12.99  $13.78    $12.92      $12.83       $12.97  $13.44    
-----------------------------------------------------------------------------   
3/31/01              9.95   10.56      9.89        9.82         9.93   10.29    
-----------------------------------------------------------------------------   

                         Capital gains
          Investment       Long              Short
Distributions   Number     income         term               term       Total   
------------------------------------------------------------------------------- 
Class A           2        $0.272        $0.880             $0.560     $1.712   
------------------------------------------------------------------------------- 
Class B           2         0.227         0.880              0.560      1.667   
------------------------------------------------------------------------------- 
Class C           2         0.228         0.880              0.560      1.668   
------------------------------------------------------------------------------- 
Class M           2         0.242         0.880              0.560      1.682   
------------------------------------------------------------------------------- 

Performance data represent past results, is not indicative of future            
performance, and the life-of-fund data reflect an expense limitation, which was 
in effect until 12/31/94. Without the limitation, the funds' total return would 
have been lower. More recent returns may be more or less than those shown.      
Returns for class A and class M shares reflect the current maximum initial      
sales charges of 5.75% and 3.50%, respectively. Class B share returns for the   
1-, 5-, and 10-year (where available) and life-of-fund periods reflect the      
applicable contingent deferred sales charge (CDSC), which is 5% in the first    
year, declines to 1% in the sixth year, and is eliminated thereafter. Returns   
shown for class B and class M shares for periods prior to their inception are   
derived from the historical performance of class A shares, adjusted to reflect  
both the initial sales charge or CDSC, if any, currently applicable to each     
class and, in the case of class B and class M shares, the higher operating      
expenses applicable to such shares. For class C shares, returns for periods     
prior to their inception are derived from the historical performance of class A 
shares, adjusted to reflect both the CDSC currently applicable to class C       
shares, which is 1% for the first year and is eliminated thereafter, and the    
higher operating expenses applicable to class C shares. All returns assume      
reinvestment of distributions at NAV. Investment return and principal value     
will fluctuate so that an investor's shares when redeemed may be worth more or  
less than their original cost. Performance data reflect an expense limitation   
previously in effect. Without it, the fund's total return would have been       
lower.                                                                          

PERFORMANCE SUMMARY                                                             

                                                        [Enlarge/Download Table]


* CONSERVATIVE PORTFOLIO                                                                        

TOTAL RETURNS FOR PERIOD ENDED 3/31/01                                                          

Change in value during period plus reinvested distributions                                     

                    Class A             Class B            Class C             Class M          
(inception dates)   (2/7/94)           (2/18/94)           (9/1/94)            (2/7/95)         
                  NAV      POP        NAV     CDSC        NAV    CDSC        NAV      POP       
------------------------------------------------------------------------------------------------
                                                                                                
6 months         -1.97%   -7.63%     -2.37%   -6.72%     -2.36%  -3.23%     -2.22%     -5.66%   
------------------------------------------------------------------------------------------------
1 year           -1.51    -7.15      -2.18    -6.50      -2.27   -3.14      -1.91      -5.33    
------------------------------------------------------------------------------------------------
5 years          44.41    36.08      39.34    37.39      39.34   39.34      41.07      36.10    
Annual average    7.63     6.36       6.86     6.56       6.86    6.86       7.12       6.36    
------------------------------------------------------------------------------------------------
Life of fund     72.26    62.34      63.60    63.60      62.96   62.96      66.46      60.63    
Annual average    7.91     7.02       7.14     7.14       7.08    7.08       7.40       6.86    
------------------------------------------------------------------------------------------------


PRICE AND DISTRIBUTION INFORMATION                                              
6 MONTHS ENDED 3/31/01                                                          

            Class A        Class B    Class C        Class M
Share value         NAV     POP        NAV        NAV        NAV     POP        
------------------------------------------------------------------------------  
9/30/00           $10.45   $11.09    $10.42     $10.39      $10.42  $10.80      
------------------------------------------------------------------------------  
3/31/01             9.11     9.67      9.08       9.05        9.08    9.41      
------------------------------------------------------------------------------  

                         Capital gains
          Investment       Long              Short
Distributions   Number     income         term               term       Total   
------------------------------------------------------------------------------  
Class A           6        $0.482        $0.289             $0.366     $1.137   
------------------------------------------------------------------------------  
Class B           6         0.444         0.289              0.366      1.099   
------------------------------------------------------------------------------  
Class C           6         0.445         0.289              0.366      1.100   
------------------------------------------------------------------------------  
Class M           6         0.458         0.289              0.366      1.113   
------------------------------------------------------------------------------  

Performance data represent past results, is not indicative of future            
performance, and the life-of-fund data reflect an expense limitation, which     
was in effect until 12/31/94. Without the limitation, the funds' total return   
would have been lower. More recent returns may be more or less than those       
shown. Returns for class A and class M shares reflect the current maximum       
initial sales charges of 5.75% and 3.50%, respectively. Class B share returns   
for the 1-, 5-, and 10-year (where available) and life-of-fund periods reflect  
the applicable contingent deferred sales charge (CDSC), which is 5% in the      
first year, declines to 1% in the sixth year, and is eliminated thereafter.     
Returns shown for class B and class M shares for periods prior to their         
inception are derived from the historical performance of class A shares,        
adjusted to reflect both the initial sales charge or CDSC, if any, currently    
applicable to each class and, in the case of class B and class M shares, the    
higher operating expenses applicable to such shares. For class C shares,        
returns for periods prior to their inception are derived from the historical    
performance of class A shares, adjusted to reflect both the CDSC currently      
applicable to class C shares, which is 1% for the first year and is             
eliminated thereafter, and the higher operating expenses applicable to class C  
shares. All returns assume reinvestment of distributions at NAV. Investment     
return and principal value will fluctuate so that an investor's shares when     
redeemed may be worth more or less than their original cost. Performance data   
reflect an expense limitation previously in effect. Without it, the fund's      
total return would have been lower.                                             

COMPARATIVE INDEX RETURNS FOR PERIOD ENDED 3/31/01                              
(Cumulative total returns)                                                      

                                           Credit Suisse
                 Lehman Bros.   Standard     Russell   First Boston     Consumer
                Aggregate     & Poor's      2000      High Yield       price
               Bond Index    500 Index     Index      Bond Index       index
--------------------------------------------------------------------------------
6 months            7.37%       -18.75%     -12.96%      -0.38%          1.56%  
--------------------------------------------------------------------------------
1 year             12.53        -21.68      -15.33        0.76           2.92   
--------------------------------------------------------------------------------
5 years            43.43         94.06       45.32       28.05          13.23   
Annual average      7.48         14.18        7.76        5.07           2.52   
--------------------------------------------------------------------------------
Life of fund       59.88        175.66       86.75       49.41          20.59   
Annual average      6.77         15.21        9.11        5.77           2.65   
--------------------------------------------------------------------------------
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.  

Credit Suisse First Boston (CSFB) 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.                                             

*Securities indexes assume reinvestment of all distributions and interest       
payments and do not take into account brokerage fees or taxes. Securities in  
the fund do not match those in the indexes and performance of the fund will   
differ. It is not possible to invest directly in an index.                    

TERMS AND DEFINITIONS                                                           

Total return shows how the value of the fund's shares changed over time,        
assuming you held the shares through the entire period and reinvested all       
distributions in the fund.                                                      

Class A shares are generally subject to an initial sales charge.                

Class B shares may be subject to a sales charge upon redemption.                

Class C shares are not subject to an initial sales charge and are subject to a  
contingent deferred sales charge only if the shares are redeemed during the     
first year.                                                                     

Class M shares have a lower initial sales charge and a higher 12b-1 fee than    
class A shares and no sales charge on redemption.                               

Net asset value (NAV) is the value of all your fund's assets, minus any         
liabilities, divided by the number of outstanding shares, not including any     
initial or contingent deferred sales charge.                                    

Public offering price (POP) is the price of a mutual fund share plus the        
maximum sales charge levied at the time of purchase. POP performance figures    
shown here assume the 5.75% maximum sales charge for class A shares and 3.50%   
for class M shares.                                                             

Contingent deferred sales charge (CDSC) is a charge applied at the time of the  
redemption of class B or C shares and assumes redemption at the end of the      
period. Your funds' class B CDSC declines from a 5% maximum during the first    
year to 1% during the sixth year. After the sixth year, the CDSC no longer      
applies. The CDSC for class C shares is 1% for one year after purchase.         

A GUIDE TO THE FINANCIAL STATEMENTS                                             

These sections of the report constitute the fund's financial  statements.       
The fund's portfolio  lists all the fund's investments and their values         
as of the last day of the reporting period. Holdings are organized by           
asset type and industry sector, country, or state to show areas of              
concentration and diversification.                                              

Statement of assets and liabilities  shows how the fund's net assets and        
share price are determined. All investment and 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.                                                  

                                                        [Enlarge/Download Table]


THE FUND'S PORTFOLIO                                                                                                              
March 31, 2001 (Unaudited)                                                                                                        

                                                          GROWTH                     BALANCED                 CONSERVATIVE        

                                                                  65.5%                       54.1%                       12.6%   
COMMON STOCKS(a)                                   Shares         Value        Shares         Value        Shares         Value   

Advertising and Marketing Services                                 0.8%                        0.4%                        0.1%   
-------------------------------------------------------------------------------------------------------------------------------   
                                                                                                                                  
Aegis Group PLC (United Kingdom)                   14,000  $     24,972            --  $         --            -- $          --   
Carlton Communications PLC                                                                                                        
(United Kingdom)                                  174,707       973,379       325,160     1,811,628        36,684       204,385   
Cheil Communications, Inc. (Korea)                 10,700       662,113            --            --            --            --   
Cordiant Communications Group                                                                                                     
(United Kingdom)                                  551,483     1,860,018            --            --            --            --   
Harte-Hanks, Inc.                                  11,100       251,082        19,800       447,876            --            --   
Havas Advertising SA (France)                     262,838     3,172,807       186,900     2,256,377        21,235       256,335   
Interpublic Group Cos., Inc.                        2,700        92,745         6,200       212,970            --            --   
Lamar Advertising Co. (NON)                           500        18,375         1,100        40,425            --            --   
Omnicom Group, Inc.                                 7,500       621,600        13,900     1,152,032         1,530       126,806   
Publicis SA (France) (NON)                         98,439     3,001,174        41,157     1,254,780         4,594       140,060   
True North Communications, Inc.                     8,900       335,975        15,800       596,450            --            --   
Valassis Communications, Inc. (NON)                 6,000       174,000        11,100       321,900         1,600        46,400   
WPP Group PLC (United Kingdom) (NON)              363,189     3,856,018       341,804     3,628,971        38,795       411,891   
                                                           ------------                ------------                ------------   
                                                             15,044,258                  11,723,409                   1,185,877   

Aerospace and Defense                                              0.7%                        0.7%                        0.1%   
-------------------------------------------------------------------------------------------------------------------------------   
AAR Corp.                                          67,500       861,300       120,600     1,559,622            --            --   
Aeroflex, Inc. (NON)                               13,400       138,188        24,000       247,500            --            --   
Alliant Techsystems, Inc. (NON)                    12,000     1,062,600        21,750     1,925,963            --            --   
BE Aerospace, Inc. (NON)                           35,700       655,988        64,600     1,187,025            --            --   
B.F. Goodrich Co. (The)                            22,500       863,325        41,200     1,580,844         5,600       214,872   
Boeing Co.                                         20,600     1,147,626        40,800     2,272,968         3,500       194,985   
BAE Systems PLC (United Kingdom)                  458,675     2,047,012       241,942     1,079,759        24,404       108,912   
Cobham PLC (United Kingdom)                        15,700       252,473            --            --            --            --   
Empresa Brasileira de Aeronautica                                                                                                 
SA (Brazil)                                       115,600     1,147,461            --            --            --            --   
General Dynamics Corp.                              6,000       376,440        11,700       734,058         1,100        69,014   
Heico Corp.                                        13,700       210,295        25,200       386,820            --            --   
Innovative Solutions & Support, Inc. (NON)         31,900       414,700        58,100       755,300            --            --   
L-3 Communications Holdings, Inc. (NON)               200        15,790           500        39,475            --            --   
Lockheed Martin Corp.                              27,600       983,940        53,700     1,914,405         5,200       185,380   
Northrop Grumman Corp.                             15,800     1,374,600        29,000     2,523,000         4,000       348,000   
Precision Castparts Corp.                             200         6,610           500        16,525            --            --   
Raytheon Co. Class B                                2,600        76,388         5,900       173,342            --            --   
Triumph Group, Inc. (NON)                          12,500       475,000        22,700       862,600            --            --   
United Technologies Corp.                           3,800       278,540         8,700       637,710            --            --   
                                                           ------------                ------------                ------------   
                                                             12,388,276                  17,896,916                   1,121,163   

Agriculture                                                         --%                         --%                         --%   
-------------------------------------------------------------------------------------------------------------------------------   
LESCO, Inc.                                        12,300       153,750        22,300       278,750            --            --   

Airlines                                                           0.1%                        0.1%                          --%  
-------------------------------------------------------------------------------------------------------------------------------   
Airtran Holdings Inc. (NON)                        59,300       464,912       106,500       834,960            --            --   
AMR Corp. (NON)                                       400        14,048           900        31,608            --            --   
British Airways PLC (United Kingdom)                8,000        35,817            --            --            --            --   
Cathay Pacific Airways (Hong Kong)                 43,000        62,578            --            --            --            --   
Continental Airlines, Inc. (NON)                      600        24,840         1,400        57,960            --            --   
Delta Air Lines, Inc.                                 600        23,700         1,400        55,300            --            --   
Deutsche Lufthansa AG (Germany)                    26,561       499,953           --             --            --            --   
FedEx Corp. (NON)                                   1,400        58,352         3,200       133,376            --            --   
Frontier Airlines, Inc. (NON)                      40,500       493,594        72,600       884,813            --            --   
Southwest Airlines Co.                             40,550       719,763        71,850     1,275,338         8,700       154,425   
UAL Corp.                                             300         9,915           700        23,135            --            --   
                                                           ------------                ------------                ------------   
                                                              2,407,472                   3,296,490                     154,425   

Automotive                                                         0.8%                        0.5%                        0.1%   
-------------------------------------------------------------------------------------------------------------------------------   
Autoliv, Inc.                                       1,200        18,768         2,700        42,228            --            --   
Bayerische Motoren Werke (BMW)                                                                                                    
AG (Germany)                                       84,633     2,617,656       147,449     4,560,524        16,671        515,626  
Borg-Warner Automotive, Inc.                       11,300       452,791        20,100       805,407            --            --   
Carlisle Companies, Inc.                           14,300       466,466        25,800       841,596            --            --   
CLARCOR, Inc.                                      22,700       524,370        40,400       933,240            --            --   
CSK Auto Corp. (NON)                               21,500       148,350        39,200       270,480            --            --   
DaimlerChrysler AG (Germany)                        7,500       332,050            --            --            --            --   
Dana Corp.                                          2,100        36,078         4,800        82,464            --            --   
Delphi Automotive Systems Corp.                     4,308        61,044         9,800       138,866            --            --   
Denway Motors, Ltd. (Hong Kong) (NON)           1,342,000       335,539            --            --            --            --   
Exide Corp.                                        26,100       214,020        47,700       391,140            --            --   
Ford Motor Co.                                     46,635     1,311,376        90,847     2,554,618         8,600       241,832   
General Motors Corp.                                5,300       274,805        12,100       627,385            --            --   
Gentex Corp. (NON)                                    600        13,875         1,400        32,375            --            --   
Genuine Parts Co.                                   1,300        33,683         3,000        77,730            --            --   
Honda Motor Co., Ltd. (Japan)                      82,000     3,350,678        62,000     2,533,440         7,000       286,034   
Hyundai Motor Co., Ltd. (South Korea)              23,600       305,203            --            --            --            --   
Nissan Motor Co., Ltd. (Japan)                     50,000       315,243            --            --            --            --   
Safety Components International, Inc. (NON              9            36            --            --             2             8   
Tower Automotive, Inc. (NON)                       34,600       371,258        62,300       668,479            --            --   
Toyota Motor Corp. (Japan)                         72,200     2,506,544            --            --            --            --   
Volkswagon AG (Germany)                             7,000       321,667            --            --            --            --   
Volvo AB Class B (Sweden)                           3,300        51,670            --            --            --            --   
                                                           ------------                ------------                ------------   
                                                             14,063,170                  14,559,972                   1,043,500   

Banking                                                            6.4%                        4.7%                        1.2%   
-------------------------------------------------------------------------------------------------------------------------------   
ABN AMRO Holding NV (Netherlands)                  71,963     1,318,297            --            --            --            --   
Allied Irish Banks PLC (Ireland)                   20,100       203,912            --            --            --            --   
AMCORE Financial, Inc.                             17,300       349,244        30,600       617,738            --            --   
AmSouth Bancorporation                              2,100        35,301         4,800        80,688            --            --   
Australia & New Zealand Banking                                                                                                   
Group, Ltd. (Australia)                            13,100        88,093            --            --            --            --   
Banca Commerciale Italiana SpA (Italy)             31,333       171,949        60,057       329,579         7,458        40,928   
Banca Intesa SpA (Italy)                          929,109     3,605,345       869,596     3,335,125        98,877       379,219   
Banca Popolare di Milano (Italy)                  355,174     1,676,051            --            --            --            --   
Banca Popolare di Verona (Italy)                  181,162     1,857,077            --            --            --            --   
Banco Bradesco SA (Brazil)                         66,816       360,299            --            --            --            --   
Banco de Biblao Vizcava (BBV) (Spain)              35,592       485,943            --            --            --            --   
Banco Itau SA (Brazil)                             23,950     1,857,728            --            --            --            --   
Banco Popular Espanol (Spain)                      19,718       650,816        39,569     1,306,022         4,359       143,874   
Banco Santander Central Hispano                                                                                                   
SA (Spain)                                         22,000       201,218            --            --            --            --   
Bank of America Corp.                              74,800     4,095,300       141,700     7,758,075        16,200       886,950   
Bank of East Asia, Ltd. (Hong Kong)               182,000       409,547            --            --            --            --   
Bank of New York Company, Inc.                     17,700       871,548        35,000     1,723,400         2,900       142,796   
Bank of Nova Scotia (Canada)                      112,315     2,882,616       103,079     2,645,570            --            --   
Bank One Corp.                                     10,400       376,272        23,700       857,466            --            --   
Bank Polska Kasa Opieki Grupa Pekao                                                                                               
SA (Poland) (NON)                                  85,100     1,353,769            --            --            --            --   
Bank Sinopac (Taiwan) (NON)                     1,178,500       592,175            --            --            --            --   
Bank United Corp. Class A (NON)                    20,100         5,025        36,500         9,125            --            --   
BankAtlantic Bancorp, Inc.                         18,200       116,480       32,600        208,640            --            --   
Banknorth Group, Inc.                              47,600       946,050        85,200     1,693,350            --            --   
Banque Nationale de Paris (France)                 10,300       867,431            --            --            --            --   
Barclays PLC (United Kingdom)                      62,553     1,951,499            --            --            --            --   
Bayerische Vereinsbank AG (Germany)                18,746     1,018,799        32,799     1,782,545         3,740       203,260   
BB&T Corp.                                         42,300     1,487,691        78,200     2,750,294        10,300       362,251   
Centennial Bancorp (NON)                           42,966       343,728        77,990       623,920            --            --   
Charter One Financial, Inc.                        83,900     2,374,370       153,010     4,330,183        21,600       611,280   
Chinatrust Commercial Bank (Taiwan) (NON)         730,480       580,611            --            --            --            --   
Citigroup, Inc.                                   180,420     8,115,292       342,733    15,416,130        36,800     1,655,264   
Citizens Banking Corp.                             13,500       360,281        24,500       653,844            --            --   
City National Corp.                                18,500       710,585        33,300     1,279,053            --            --   
Colonial Bancgroup, Inc.                           21,500       279,500        38,200       496,600            --            --   
Comerica, Inc.                                     48,400     2,976,600        86,200     5,301,300        11,200       688,800   
Commercial Federal Corp.                           21,400       477,220        38,000       847,400            --            --   
Commonwealth Bank of Australia                                                                                                    
(Australia)                                       177,643     2,479,328            --            --            --            --   
Community First Bankshares                         24,500       494,594        43,400       876,138            --            --   
Credit Suisse Group (Switzerland)                   3,480       616,134            --            --            --            --   
Cullen/Frost Bankers, Inc.                         16,000       548,000        28,400       972,700            --            --   
Danske Bank A/S (Denmark)                          69,661     1,105,010       116,299     1,844,814        13,242       210,054   
DBS Group Holdings, Ltd. (Singapore)              217,069     1,960,235       220,181     1,988,338        24,749       223,495   
Deutsche Bank AG (Germany)                          7,300       558,012            --            --            --            --   
DnB Holdings ASA (Norway)                         137,420       624,774            --            --            --            --   
Dresdner Bank AG (Germany)                          3,100       140,261            --            --            --            --   
East West Bancorp, Inc.                            22,300       429,275        40,500       779,625            --            --   
Fifth Third Bancorp                                31,600     1,688,625        55,900     2,987,156         7,400       395,438   
First Midwest Bancorp, Inc.                        20,700       582,705        37,600     1,058,440            --            --   
First Tennessee National Corp.                      1,500        46,350         3,400       105,060            --            --   
First Union Corp.                                  28,700       947,100        57,100     1,884,300         4,900       161,700   
FleetBoston Financial Corp.                        67,616     2,552,504       126,138     4,761,710        15,600       588,900   
Foreningssparbanken AB (Sweden)                    56,300       635,896            --            --            --            --   
Golden State Bancorp, Inc.                         20,200       563,176        36,500     1,017,620         5,300       147,764   
Greater Bay Bancorp                                31,400       790,888        56,600     1,425,613            --            --   
Greenpoint Finanacial Corp.                         2,000        65,200         4,600       149,960            --            --   
Grupo Financiero Banames-Accival                                                                                                  
(Mexico)                                          681,700     1,185,253            --            --            --            --   
Grupo Financiero Bancomer SA                                                                                                      
de CV (Mexico) (NON)                            1,443,600       970,513            --            --            --            --   
Hang Seng Bank, Ltd. (Hong Kong)                   14,000       162,455            --            --            --            --   
Housing & Commercial Bank                                                                                                         
(South Korea)                                      14,350       228,737            --            --            --            --   
Housing Development Finance                                                                                                       
Corporation, Ltd. (India) (NON)                    38,600       451,120            --            --            --            --   
HSBC Holdings PLC                                                                                                                 
(United Kingdom) (NON)                            103,126     1,237,076            --            --            --            --   
HSBC Holdings PLC (HK Reg)                                                                                                        
(United Kingdom)                                   62,024       731,650            --            --            --            --   
Hudson United Bancorp                              30,700       696,890        54,600     1,239,420            --            --   
Huntington Bancshares, Inc.                           670         9,548         1,530        21,803            --            --   
ICICI Bank, Ltd. ADR (India) (NON)                 64,700       465,840            --            --            --            --   
Investors Financial Services Corp.                 13,800       809,025        24,700     1,448,038            --            --   
San Paolo-IMI SpA (Italy)                         208,399     2,815,840       157,711     2,130,955        17,800       240,510   
KeyCorp                                             1,200        30,960         2,700        69,660            --            --   
Kookmin Bank (South Korea)                         36,600       374,256            --            --            --            --   
Lloyds TSB Group PLC                                                                                                              
(United Kingdom)                                   27,300       268,312            --            --            --            --   
M&T Bank Corp.                                     16,800     1,174,320        31,000     2,166,900         4,200       293,580   
Malayan Banking Berhad (Malaysia)                  98,000       324,947           --             --            --            --   
Mellon Financial Corp.                              5,200       210,704        11,900       482,188            --            --   
Mercantile Bankshares Corp.                        14,700       543,900        26,700       987,900         4,000       148,000   
Bank of Tokyo-Mitsubishi, Ltd. (Japan)             49,000       388,093            --            --            --            --   
Mitsubishi Tokyo Financial (Japan)                 32,000       169,191            --            --            --            --   
National Australia Bank, Ltd. (Australia)          18,600       259,596            --            --            --            --   
National Bank of Canada (Canada)                   41,300       729,919            --            --            --            --   
National City Corp.                                 8,000       214,000        18,200       486,850            --            --   
National Commerce Bancorporation                    1,300        32,256         3,000        74,438            --            --   
North Fork Bancorporation, Inc.                    27,900       724,005        51,800     1,344,210         3,100        80,445   
Northern Trust Corp.                                  400        25,000           900        56,250            --            --   
OTP Bank GDR (Greece)                              10,160       492,760            --            --            --            --   
Overseas Union Bank, Ltd. (Singapore)              45,979       160,481            --            --            --            --   
Overseas-Chinese Banking Corp.                                                                                                    
(Singapore)                                       203,480     1,318,956       117,650       762,607        13,000        84,266   
PNC Bank Corp.                                      3,300       223,575         7,500       508,125            --            --   
Provident Bankshares Corp.                         27,100       606,363        48,150     1,077,356            --            --   
Public Bank Berhad (Malaysia)                     377,000       309,537            --            --            --            --   
Regions Financial Corp.                               800        22,750         1,800        51,188            --            --   
Republic Bancorp, Inc.                             24,420       300,671        44,390       546,552            --            --   
Royal Bank of Scotland Group PLC                                                                                                  
(United Kingdom)                                  165,116     3,752,523       116,658     2,651,238        27,464       624,163   
Shinhan Bank (South Korea)                         37,080       296,919            --            --            --            --   
Siam Commercial Bank Public Co., Ltd.                                                                                             
(Thailand) (NON)                                  397,500       214,375            --            --            --            --   
Siam Commercial Bank Public Co., Ltd.                                                                                             
GDR (Thailand)                                     25,311       223,370            --            --            --            --   
Silicon Valley Bancshares (NON)                    11,900       279,650        21,700       509,950            --            --   
Societe Generale (France) (NON)                    25,238     1,561,197        15,650       968,093         1,750       108,253   
Sovereign Bancorp, Inc.                            19,000       160,906        34,900       295,559            --            --   
Sparebanken NOR (Norway)                           83,340     2,288,052            --            --            --            --   
Standard Bank Investment (South Africa)           257,800       949,889            --            --            --            --   
State Street Corp.                                 15,900     1,485,060        28,000     2,615,200         3,750       350,250   
Sterling Bancshares, Inc.                          38,300       670,250        69,600     1,218,000            --            --   
Sumitomo Mitsui Banking Corp. (Japan)              17,000       151,955            --            --            --            --   
SunTrust Banks, Inc.                                2,800       181,440         6,400       414,720            --            --   
Svenska Handelsbanken (Sweden)                     91,845     1,322,312       155,441     2,237,916        38,801       558,626   
Synovus Financial Corp.                            41,500     1,120,500        74,665     2,015,955        10,825       292,275   
Taishin International Bank (Taiwan) (NON)         581,700       306,466            --            --            --            --   
TCF Financial Corp.                                 1,400        52,906         3,200       120,928            --            --   
Thai Farmers Bank Public Co.                                                                                                      
(Thailand) (NON)                                  567,600       293,488            --            --            --            --   
Toronto-Dominion Bank (Canada)                    129,513     3,249,961       102,076     2,561,465            --            --   
U.S. Bancorp                                      170,965     3,966,388       314,139     7,288,025        41,068       952,778   
UBS AG (Switzerland)                               11,640     1,683,095            --            --            --            --   
UCBH Holdings, Inc.                                 5,400       262,913        10,000       486,875            --            --   
Uniao de Bancos Brasileiros S/A                                                                                                   
GDR (Brazil)                                       10,400       212,160            --            --            --            --   
United Overseas Bank, Ltd. (Singapore)             52,000       365,873            --            --            --            --   
Wachovia Corp.                                      2,100       126,525         4,800       289,200            --            --   
Washington Federal, Inc.                           40,920     1,005,098        74,360     1,826,468            --            --   
Washington Mutual, Inc.                            47,934     2,624,387        88,357     4,837,546        11,458       627,326   
Webster Financial Corp.                            31,900       935,069        57,900     1,697,194            --            --   
Wells Fargo Co.                                    58,800     2,908,836       113,226     5,601,290        11,800       583,746   
Westpac Banking Corp. (Australia)                 134,100       827,826            --            --            --            --   
Wilmington Trust Corp.                                300        17,724           700        41,356            --            --   
Zions Bancorp                                       1,300        67,717         3,000       156,270            --            --   
                                                           ------------                ------------                ------------   
                                                            115,115,058                 125,185,209                  11,786,191   

Beverage                                                           1.3%                        0.9%                        0.2%   
-------------------------------------------------------------------------------------------------------------------------------   
Al Ahram Beverage Co. GDR 144A                                                                                                    
(Egypt) (NON)                                      48,800       491,660            --            --            --            --   
Anheuser-Busch Cos., Inc.                          59,400     2,728,242       107,500     4,937,475        14,050       645,317   
Bass PLC (United Kingdom)                         130,077     1,275,661            --            --            --            --   
Brown-Forman Corp. Class B                          9,100       563,745        16,500     1,022,175         2,400       148,680   
Coca-Cola Co.                                      44,900     2,027,684        89,300     4,032,788         7,300       329,668   
Coca-Cola Enterprises, Inc.                        86,800     1,543,304       158,700     2,821,686        22,200       394,716   
Coca-Cola Femsa SA ADR (Mexico)                   123,260     2,360,429            --            --            --            --   
Companhia de Bebidas das Americas                                                                                                 
ADR (Brazil)                                       82,000     1,914,700        47,238     1,103,007            --            --   
Constellation Brands, Inc. (NON)                    3,300       236,775         6,100       437,675            --            --   
Diageo PLC (United Kingdom)                       222,287     2,233,671            --            --            --            --   
Fomento Economico Mexicano SA                                                                                                     
de CV (Mexico)                                    421,848     1,495,805            --            --            --            --   
Fortune Brands, Inc.                               51,500     1,771,600        92,900     3,195,760        13,300       457,520   
Foster's Brewing Group, Ltd. (Australia)           40,600       102,036            --            --            --            --   
Grupo Modelo SA de CV (Mexico)                    258,800       610,321            --            --            --            --   
Heineken NV (Netherlands)                           8,525       446,739            --            --            --            --   
Kirin Brewery Co., Ltd. (Japan)                    11,000       100,168            --            --            --            --   
Pepsi Bottling Group, Inc. (The)                   81,200     3,086,412       146,800     5,579,868        12,100       459,921   
PepsiCo, Inc.                                      11,400       501,030        26,000     1,142,700            --            --   
Robert Mondavi Corp. (The) (NON)                    8,300       371,944        15,100       676,669            --            --   
                                                           ------------                ------------                ------------   
                                                             23,861,926                  24,949,803                   2,435,822   

Biotechnology                                                      0.8%                        1.0%                        0.3%   
-------------------------------------------------------------------------------------------------------------------------------   
Albany Molecular Research, Inc. (NON)              13,900       486,500        24,900       871,500            --            --   
Alliance Pharmaceutical Corp. (NON)                72,700       236,275       129,700       421,525            --            --   
Amgen, Inc. (NON)                                  50,100     3,015,394        90,600     5,452,988        10,650       640,997   
Applera Corp-Applied                                                                                                              
Biosystems Group                                   42,200     1,171,050        71,200     1,975,800        10,500       291,375   
Ares-Serono Group Class B                                                                                                         
(Switzerland)                                       1,230       997,972         2,523     2,047,059           294       238,540   
Biogen, Inc. (NON)                                    100         6,331           200        12,663            --            --   
Celgene Corp. (NON)                                45,800     1,145,000        76,800     1,920,000        11,600       290,000   
Chiron Corp. (NON)                                  1,000        43,875         2,300       100,913            --            --   
Corixa Corp. (NON)                                 14,800       118,400        26,500       212,000            --            --   
Genentech, Inc. (NON)                              46,800     2,363,400        79,100     3,994,550        11,700       590,850   
Genmab A/S (Denmark) (NON)                         16,088       255,199            --            --            --            --   
Genzyme Corp. (NON)                                   600        54,198         1,400       126,462            --            --   
Human Genome Sciences, Inc. (NON)                     500        23,000         1,100        50,600            --            --   
IDEC Pharmaceuticals Corp. (NON)                   24,800       992,000        42,640     1,705,600         6,400       256,000   
Ligand Pharmaceuticals, Inc. (NON)                 24,300       237,684        43,600       426,463            --            --   
Martek Bioscience Corp. (NON)                      10,600       164,300        19,000       294,500            --            --   
MedImmune, Inc. (NON)                              41,200     1,478,050        71,500     2,565,063        10,400       373,100   
Myriad Genetics, Inc. (NON)                         6,100       247,431        10,900       442,131            --            --   
OSI Pharmaceuticals, Inc. (NON)                     7,300       289,263        13,100       519,088            --            --   
Pharmacipeia, Inc. (NON)                           13,900       248,463        24,900       445,088            --            --   
Protein Design Labs, Inc. (NON)                       200         8,900           500        22,250            --            --   
Serologicals Corp. (NON)                           38,400       518,400        69,700       940,950            --            --   
Triangle Pharmaceuticals, Inc. (NON)               93,200       535,900       166,200       955,650            --            --   
Waters Corp. (NON)                                  1,100        51,095         2,500       116,125            --            --   
                                                           ------------                ------------                ------------   
                                                             14,688,080                  25,618,968                   2,680,862   

Broadcasting                                                       0.8%                        0.8%                        0.2%   
-------------------------------------------------------------------------------------------------------------------------------   
Beasley Broadcasting Group, Inc. (NON)             39,500       592,500        70,800     1,062,000            --            --   
Clear Channel Communications, Inc. (NON)           57,900     3,152,655       104,908     5,712,241        13,800       751,410   
Echostar Communications Corp.                                                                                                     
Class A (NON)                                      55,300     1,531,119        94,700     2,622,006        14,100       390,394   
Fuji Television Network, Inc. (Japan)                 134       937,893           187     1,308,851            25       174,980   
Grupo Televisa SA GDR (Mexico) (NON)               47,477     1,586,207        49,393     1,650,220            --            --   
Hispanic Broadcasting Corp. (NON)                     400         7,640           900        17,190            --            --   
Mediaset SpA (Italy)                               10,500        97,150            --            --            --            --   
News Corp., Ltd. ADR (Australia)                   50,031     1,570,973        94,591     2,970,157        16,143       506,890   
Nippon Television Network Corp.                                                                                                   
(Japan)                                             3,210       999,122         4,980     1,550,040           240        74,701   
Pegasus Communications Corp. (NON) (SEG)               --            --            94         2,162            59         1,357   
ProSieben SAT.1 Media AG (Germany)                 60,109     1,078,302        31,230       560,238         3,743        67,146   
Societe Television Francaise (France)              57,529     1,975,071        77,786     2,670,529         8,666       297,519   
Spanish Broadcasting System, Inc. (NON)            15,900       103,350        28,900       187,850            --            --   
TV Azteca SA de CV Class A (Mexico)               805,200       373,328            --            --            --            --   
TV Azteca SA de CV ADR (Mexico)                    13,300        98,420            --            --            --            --   
United Global Communications (NON)                    800        10,500         2,247        29,492           333         4,371   
Univision Communications, Inc.                                                                                                    
Class A (NON)                                       3,000       114,480         6,800       259,488            --            --   
XM Satellite Radio Holdings, Inc.                                                                                                 
Class A (NON)                                          --            --           148         1,027           113           784   
                                                           ------------                ------------                ------------   
                                                             14,228,710                  20,603,491                   2,269,552   

Building Materials                                                 0.1%                         --%                         --%   
-------------------------------------------------------------------------------------------------------------------------------   
American Standard Companies, Inc. (NON)               400        23,628           900        53,163            --            --   
Apogee Enterprises, Inc.                           77,700       553,613       139,400       993,225            --            --   
Assa Abloy AB Class B (Sweden)                      4,500        61,079            --            --            --            --   
Corporacion Moctezuma SA de CV                                                                                                    
(Mexico)                                          375,500       722,115            --            --            --            --   
Hanson PLC (United Kingdom)                         9,870        57,060            --            --            --            --   
RMC Group PLC                                      28,500       265,321            --            --            --            --   
Sherwin Williams Co.                                1,100        28,028         2,500        63,700            --            --   
USG Corp.                                           4,800        73,344        10,900       166,552            --            --   
                                                           ------------                ------------                ------------   
                                                              1,784,188                   1,276,640                          --   

Cable Television                                                   0.3%                        0.3%                        0.1%   
-------------------------------------------------------------------------------------------------------------------------------   
Adelphia Communications Corp. (NON)                 2,500       101,250         5,700       230,850            --            --   
AT&T Corp. - Liberty Media Group                                                                                                  
Class A (NON)                                     116,300     1,628,200       211,200     2,956,800        24,600       344,400   
Comcast Corp. Class A (NON)                        45,900     1,924,931        76,300     3,199,831        11,700       490,669   
Insight Communications Company, Inc. (NON)          4,900       129,850         8,700       230,550            --            --   
USA Networks, Inc. (NON)                           34,200       818,663        67,700     1,620,569         5,900       141,231   
                                                           ------------                ------------                ------------   
                                                              4,602,894                   8,238,600                     976,300   

Capital Goods                                                       --%                         --%                         --%   
-------------------------------------------------------------------------------------------------------------------------------   
Eaton Corp.                                         1,800       123,300         3,700       253,450           300        20,550   

Chemicals                                                          1.3%                        1.1%                        0.2%   
-------------------------------------------------------------------------------------------------------------------------------   
Air Products & Chemicals, Inc.                      1,700        65,280        3,900        149,760            --            --   
Airgas, Inc. (NON)                                 65,600       516,928       117,700       927,476            --            --   
Akzo-Nobel NV (Netherlands)                       116,051     4,815,948       129,326     5,366,842        14,667       608,659   
BASF AG (Germany)                                   3,300       130,646            --            --            --            --   
BOC Group PLC (United Kingdom)                    212,261     2,890,157       277,256     3,775,133        31,516       429,124   
Brady Corp.                                        18,200       613,340        32,500     1,095,250            --            --   
Cabot Microelectronics Corp. (NON)                  4,100       181,425         7,500       331,875            --            --   
China Merchants Holdings International                                                                                            
Co., Ltd. (Hong Kong)                             438,000       306,074            --            --            --            --   
Clariant AG (Switzerland)                             500       137,062            --            --            --            --   
Crompton Corp.                                     81,300       910,560       145,400     1,628,480            --            --   
Delta & Pine Land Co.                              39,400       949,540        70,300     1,694,230            --            --   
Dow Chemical Co.                                   30,627       966,894        58,877     1,858,747         6,000       189,420   
du Pont (E.I.) de Nemours & Co., Ltd.              31,700     1,290,190        60,700     2,470,490         6,300       256,410   
Eastman Chemical Co.                                  700        34,454         1,600        78,752            --            --   
Ecolab, Inc.                                        1,100        46,662         2,500       106,050            --            --   
Edinburgh International Fund                                                                                                      
(United Kingdom) (NON)                                  2            99            --            --            --            --   
Engelhard Corp.                                    44,900     1,161,114        81,800     2,115,348        11,200       289,632   
Ferro Corp.                                        18,400       374,072        32,900       668,857            --            --   
Formosa Plastics Corp. (Taiwan)                   132,000       180,090            --            --            --            --   
Frmosa Chemicals & Fiber Co. (Taiwan)             276,000       235,344            --            --            --            --   
Givaudan (Switzerland)                                 32         8,123            --            --            --            --   
H.B. Fuller Co.                                    11,800       497,075        21,000       884,625            --            --   
Hercules, Inc. (NON)                                1,000        12,990         2,300        29,877            --            --   
Imperial Chemical Industries PLC                                                                                                  
(United Kingdom)                                   58,724       358,062       110,907       676,242         9,179        55,968   
Minnesota Mining & Manufacturing Co.                3,000       311,700         6,800       706,520            --            --   
Mississippi Chemical Corp. (NON)                   36,700       123,312        66,600       223,776            --            --   
Nan Ya Plastic Corp. (Taiwan)                     280,400       333,027            --            --            --            --   
Omnova Solutions, Inc.                             91,000       604,240       145,300       964,792            --            --   
Pilkington PLC                                    203,700       306,890            --            --            --            --   
PolyOne Corp.                                      95,400       868,140       171,200     1,557,920            --            --   
PPG Industries, Inc.                                9,000       414,810        17,200       792,748         1,900        87,571   
Praxair, Inc.                                       1,600        71,440         3,600       160,740            --            --   
Reliance Industries, Ltd. (Poland)                 97,200       815,004            --            --            --            --   
Rhodia SA (France)                                109,074     1,352,333            --            --            --            --   
Rohm & Haas Co.                                     6,900       212,589        12,900       397,449         1,600        49,296   
Shin-Etsu Chemical Co. (Japan)                     26,000       892,259            --            --            --            --   
Teijin, Ltd. (Japan)                               16,000        69,721            --            --            --            --   
                                                           ------------                ------------                ------------   
                                                             23,057,594                  28,661,979                   1,966,080   

Coal                                                                --%                         --%                         --%   
-------------------------------------------------------------------------------------------------------------------------------   
Beijing Datang Power Generation Co.,                                                                                              
Ltd. (China)                                    1,416,000       453,899            --            --            --            --   

Commercial and Consumer Services                                   0.8%                        0.5%                          --%  
-------------------------------------------------------------------------------------------------------------------------------   
ABM Industries, Inc.                               12,100       378,125        21,400       668,750            --            --   
Administaff, Inc. (NON)                            14,800       268,620        26,900       488,235            --            --   
ADVO, Inc. (NON)                                   33,300     1,228,770        59,900     2,210,310            --            --   
Airtours PLC                                       66,700       263,546            --            --            --            --   
Asatsu, Inc. (Japan)                                8,800       195,243        13,200       292,865         1,400        31,061   
Banta Corp.                                        22,100       535,925        39,300       953,025            --            --   
Benesse Corp.                                       2,300        83,520            --            --            --            --   
Bowne & Co.                                        23,800       262,990        42,300       467,415            --            --   
Capita Group PLC (United Kingdom)                 281,880     1,915,040            --            --            --            --   
Cendant Corp. (NON)                                 9,200       134,228        21,000       306,390            --            --   
Cintas Corp.                                          800        31,536         1,850        72,927            --            --   
Coinstar, Inc. (NON)                               45,400       760,450        81,600     1,366,800            --            --   
Corinthian Colleges, Inc. (NON)                    14,000       563,500        25,000     1,006,250            --            --   
Deluxe Corp.                                        1,900        44,973         4,300       101,781            --            --   
DST Systems, Inc. (NON)                               500        24,095         1,100        53,009            --            --   
eBay, Inc. (NON)                                    1,300        47,044         3,000       108,563            --            --   
ePlus, Inc. (NON)                                  17,500       160,781        31,300       287,569            --            --   
Galileo International, Inc.                         3,500        76,650         8,000       175,200            --            --   
Group 4 Falck A/S (Denmark)                           700        73,750            --            --            --            --   
H&R Block, Inc.                                       600        30,036         1,400        70,084            --            --   
Hagemeyer NV (Netherlands)                        103,206     2,186,139            --            --            --            --   
Hall, Kinion & Associates, Inc. (NON)              11,600        67,063        21,100       121,984            --            --   
Heidrick & Struggles International, Inc. (NON)     15,800       457,213        29,100       842,081            --            --   
Macrovision Corp. (NON)                             3,700       161,181         6,900       300,581            --            --   
Manpower, Inc.                                        600        17,280         1,400        40,320            --            --   
Maximus, Inc. (NON)                                 8,300       245,763        15,300       453,033            --            --   
Meitec Corp. (Japan)                                6,100       216,640            --            --            --            --   
Modis Professional Services, Inc. (NON)            41,000       188,600        76,000       349,600            --            --   
Moody's Corp.                                         900        24,804         2,100        57,876            --            --   
Paychex, Inc.                                      30,250     1,121,141        53,250     1,973,578         7,300       270,556   
R. R. Donnelley & Sons Co.                            700        18,354         1,600        41,952            --            --   
RemedyTemp, Inc. (NON)                             19,000       220,875        34,800       404,550            --            --   
Robert Half International, Inc. (NON)               1,000        22,350         2,300        51,405            --            --   
Sabre Group Holdings, Inc.                            289        13,343           705        32,550            --            --   
Securicor Group PLC (United Kingdom)               73,500       160,355            --            --            --            --   
Securitas AB Class B (Sweden)                     103,265     1,732,013            --            --            --            --   
Serco Group PLC (United Kingdom)                  101,000       667,514            --            --            --            --   
Varco International, Inc. (NON)                    20,100       415,065        36,500       753,725            --            --   
Vedior NV (Netherlands)                             6,500        75,247            --            --            --            --   
                                                           ------------                ------------                ------------   
                                                             15,089,762                  14,052,408                     301,617   

Communications Equipment                                           1.1%                        0.9%                        0.2%   
-------------------------------------------------------------------------------------------------------------------------------   
3Com Corp. (NON)                                    2,500        14,297         5,700        32,597            --            --   
Advanced Fibre Communications, Inc. (NON)             700        10,019         1,600        22,900            --            --   
Alcatel SA (France)                                31,245       945,684            --            --            --            --   
Brocade Communications Systems (NON)                1,500        31,335         3,400        71,026            --            --   
Cabletron Systems, Inc. (NON)                       2,400        30,960         5,500        70,950            --            --   
CIENA Corp. (NON)                                  27,500     1,148,125        47,800     1,995,650         6,570       274,298   
Cisco Systems, Inc. (NON)                         175,700     2,778,256       331,800     5,246,588        31,200       493,350   
Communications Systems, Inc.                       23,000       195,500        40,900       347,650            --            --   
Computer Network Technology Corp. (NON)            14,200       157,975        25,300       281,463            --            --   
Comverse Technology, Inc. (NON)                    37,900     2,231,931        64,100     3,774,849         9,400       553,566   
Corning, Inc.                                       5,000       103,450        11,400       235,866            --            --   
Inter-Tel, Inc.                                    39,900       406,481        72,500       738,594            --            --   
Juniper Networks, Inc. (NON)                          600        22,776         1,400        53,144            --            --   
Lightbridge, Inc. (NON)                            69,007       789,268       125,538     1,435,841            --            --   
Lucent Technologies, Inc.                          25,100       250,247        57,200       570,284            --            --   
Matsushita Communication Industrial                                                                                               
Co., Ltd. (Japan)                                  16,200     1,047,247            --            --            --            --   
Nokia OYJ AB Class A (Finland)                    139,372     3,351,266        90,098     2,166,449        10,226       245,889   
Nortel Networks Corp. (Canada)                     63,252       893,669        60,000       847,723            --            --   
Performance Technologies, Inc. (NON)               33,800       471,088        61,300       854,369            --            --   
QUALCOMM, Inc. (NON)                               38,800     2,197,050        67,300     3,810,863         8,900       503,963   
Scientific-Atlanta, Inc.                            1,500        62,385         3,400       141,406            --            --   
Sonus Networks, Inc. (NON)                         29,000       578,641        49,000       977,703         7,500       149,648   
Telefonaktiebolaget LM Ericsson                                                                                                   
Class B (Sweden)                                   71,000       388,919            --            --            --            --   
Teleste OYJ (Finland)                              46,584       724,527            --            --            --            --   
Tellabs, Inc. (NON)                                   300        12,206           700        28,481            --            --   
Tollgrade Communications, Inc. (NON)                5,460       140,595         9,800       252,350            --            --   
                                                           ------------                ------------                ------------   
                                                             18,983,897                  23,956,746                   2,220,714   

Computers                                                          1.3%                        1.2%                        0.2%   
-------------------------------------------------------------------------------------------------------------------------------   
Adaptec, Inc. (NON)                                 1,600        13,875        3,600         31,219            --            --   
Anixter International, Inc. (NON)                  25,500       614,550        45,900     1,106,190            --            --   
Apple Computer, Inc. (NON)                          2,500        55,175         5,700       125,799            --            --   
Asustek Computer, Inc. GDR (Taiwan)               111,000       574,657            --            --            --            --   
BARRA, Inc. (NON)                                  19,300     1,042,200        34,600     1,868,400            --            --   
Bsquare Corp. (NON)                                51,300       567,506        91,400     1,011,113            --            --   
Cap Gemini SA (France)                              1,500       172,322            --            --            --            --   
Compal Electronics, Inc.                          131,000       227,396            --            --            --            --   
Compaq Computer Corp.                              29,600       538,720        57,200     1,041,040         5,700       103,740   
Dassault Systemes SA (France)                       1,800        77,942            --            --            --            --   
Dell Computer Corp. (NON)                          86,200     2,214,263       152,800     3,925,050        20,000       513,750   
EMC Corp. (NON)                                    68,300     2,008,020       124,400     3,657,360        13,200       388,080   
Fujitsu, Ltd. (Japan)                             250,000     3,332,003        82,000     1,092,897         9,000       119,952   
Gateway, Inc. (NON)                                 1,600        26,896         3,600        60,516            --            --   
Gerber Scientific, Inc.                            33,300       222,111        59,200       394,864            --            --   
Hewlett-Packard Co.                                35,600     1,113,212        67,400     2,107,598         7,600       237,652   
Hitachi, Ltd. (Japan)                              49,000       419,609            --            --            --            --   
IBM Corp. (SEG)                                    27,700     2,664,186        55,600     5,347,608         4,100       394,338   
Iomega Corp. (NON)                                181,100       666,448       322,900     1,188,272            --            --   
Legend Holdings, Ltd. (Hong Kong)                 582,000       395,507            --            --            --            --   
M-Systems Flash Disk Pioneers, Ltd.                                                                                               
(Israel) (NON)                                     27,700       195,631            --            --            --            --   
Manhattan Associates, Inc. (NON)                    9,500       147,844        17,000       264,563            --            --   
MapInfo Corp. (NON)                                 7,300       129,575        13,100       232,525            --            --   
Maxtor Corp. (NON)                                 21,000       147,000        37,500       262,500            --            --   
Mentor Graphics Corp. (NON)                        33,300       686,813        59,700     1,231,313            --            --   
MSC. Software Corp. (NON)                          32,100       329,025        59,500       609,875            --            --   
NCR Corp. (NON)                                       800        31,224         1,800        70,254            --            --   
NEC Corp. (Japan)                                  35,000       558,101            --            --            --            --   
Netsolve, Inc. (NON)                               10,900        76,300        19,600       137,200            --            --   
Network Appliance, Inc. (NON)                      33,900       569,944        57,700       970,081         8,200       137,863   
Palm, Inc. (NON)                                    6,956        58,474        15,816       132,953            --            --   
Quanta Computer, Inc. (Taiwan)                    105,000       377,318            --            --            --            --   
Quantum Corp. (NON)                                19,800       229,680        45,100       523,160            --            --   
Quantum Corp. 144A (NON)                           29,600       312,576        53,100       560,736            --            --   
Sharp Corp. (Japan)                                32,000       407,598            --            --            --            --   
Sun Microsystems, Inc. (NON)                       21,600       331,992        49,200       756,204            --            --   
Tech Data Corp. (NON)                              12,100       356,950        22,000       649,000            --            --   
Tietoenator OYJ (Finland)                          20,700       503,046        13,000       315,923         1,600        38,883   
Tietoenator OYJ 144A (Finland)                     12,300       298,912        20,100       488,465         2,200        53,464   
Toshiba Corp. (Japan)                              40,000       233,679            --            --            --            --   
VeriSign, Inc. (NON)                               22,750       806,203        40,000     1,417,500         5,000       177,188   
Wipro Corp., Inc. (India) (NON)                     3,400        97,307            --            --            --            --   
                                                           ------------                ------------                ------------   
                                                             23,831,790                  31,580,178                   2,164,910   

Conglomerates                                                      2.1%                        1.9%                        0.6%   
-------------------------------------------------------------------------------------------------------------------------------   
Autonation, Inc. (NON)                              3,800        34,200         8,700        78,300            --            --   
Axia Holding, Inc. 144A (PIK) (NON)                   225         2,700            --            --            --            --   
Berkshire Hathaway, Inc. (NON)                        900     1,958,400         1,700     3,699,200           200       435,200   
Citic Pacific, Ltd. (Hong Kong)                   127,000       367,203            --            --            --            --   
Cookson Group PLC                                                                                                                 
(United Kingdom) (NON)                            255,508       535,651            --            --            --            --   
Cooper Industries, Inc.                            31,300     1,046,985        58,400     1,953,480         7,100       237,495   
FKI Babcock  (United Kingdom)                      73,000       198,431            --            --            --            --   
GenCorp., Inc.                                     87,900       933,498       156,300     1,659,906            --            --   
General Electric Co.                              333,000    13,939,380       614,500    25,722,970        66,200     2,771,132   
Grupo Carso SA de CV (Mexico) (NON)               191,500       453,223            --            --            --            --   
Honeywell International, Inc.                      27,965     1,140,972        51,845     2,115,276         6,500       265,200   
Hutchison Whampoa, Ltd. (Hong Kong)                36,100       377,242            --            --            --            --   
Internatio-Muller NV (Netherlands)                 69,144     1,545,895            --            --            --            --   
Investor AB (Sweden)                              211,384     2,571,980       430,502     5,238,063        47,881       582,584   
Mitsui Fudoscan Co., Ltd. (Japan)                  49,000       261,229            --            --            --            --   
Norsk Hydro ASA (Norway)                            9,100       373,754            --            --            --            --   
Peninsular and Oriental Steam                                                                                                     
Navigation Co. (United Kingdom)                    21,500        80,673            --            --            --            --   
Regus PLC (United Kingdom) (NON)                  178,825       696,409            --            --            --            --   
Remgro, Ltd. (South Africa)                        68,900       404,469            --            --            --            --   
Sime Darby Berhad (Malaysia)                      207,000       246,221            --            --            --            --   
Smiths Industries PLC (United Kingdom)            258,477     2,836,122       128,595     1,411,000        14,169       155,468   
Sumitomo Corp. (Japan)                                200         1,263           100           631            --            --   
Textron, Inc.                                         600        34,104         1,400        79,576            --            --   
Tomkins PLC (United Kingdom) (NON)                189,200       396,642            --            --            --            --   
Tyco International, Ltd. (Bermuda)                 69,219     2,992,337       119,533     5,167,412        17,700       765,171   
Vivendi SA (France)                                 5,200       316,382            --            --         6,047       367,916   
Vivendi Universal SA ADR (France)                  25,103     1,522,497        57,024     3,458,506         2,249       136,402   
Zodiac SA (France)                                  8,451     1,837,165            --            --            --            --   
                                                           ------------                ------------                ------------   
                                                             37,105,027                  50,584,320                   5,716,568   

Construction                                                       0.4%                        0.3%                        0.1%   
-------------------------------------------------------------------------------------------------------------------------------   
Cemex SA de CV ADR (Mexico)                        41,785       898,378            --            --            --            --   
CRH PLC (Ireland)                                 263,561     4,052,614       306,675     4,715,551        34,945       537,328   
Lafarge Coppee (France)                            26,684     2,358,065        47,222     4,173,008         5,356       473,310   
                                                           ------------                ------------                ------------   
                                                              7,309,057                   8,888,559                   1,010,638   

Consumer Cyclicals                                                 0.2%                        0.1%                         --%   
-------------------------------------------------------------------------------------------------------------------------------   
Harman International Industries, Inc.               9,800       250,782        17,700       452,943            --            --   
Matsushita Electric Industrial Co. (Japan)         49,000       885,754            --            --            --            --   
Sony Corp. (Japan)                                 41,900     2,976,137        20,400     1,449,002         2,300       163,368   
Vestel Elektronik Sanayi ve Ticaret AS                                                                                            
(Turkey) (NON)                                113,554,500       283,886            --            --            --            --   
                                                           ------------                ------------                ------------   
                                                              4,396,559                   1,901,945                     163,368   

Consumer Finance                                                   0.7%                        0.5%                        0.1%   
-------------------------------------------------------------------------------------------------------------------------------   
Acom Co., Ltd. (Japan)                             12,200       986,321            --            --            --            --   
Aiful Corp. (Japan)                                46,200     4,052,179         9,950       872,710         1,100        96,480   
AmeriCredit Corp. (NON)                            32,500     1,053,975        58,200     1,887,426            --            --   
American Express Co.                               18,600       768,180        36,600     1,511,580         3,200       132,160   
Capital One Financial Corp.                         1,800        99,900         4,100       227,550            --            --   
Countrywide Credit Industries, Inc.                 3,800       187,530         8,700       429,345            --            --   
Dun & Bradstreet Corp. (NON)                          400         9,424           950        22,382            --            --   
Household International, Inc.                      23,400     1,386,216        44,600     2,642,104         4,800       284,352   
MBNA Corp.                                          6,300       208,530        14,400       476,640            --            --   
Metris Companies, Inc.                             26,600       552,748        47,700       991,206            --            --   
Promise Co., Ltd. (Japan)                          16,700     1,252,833            --            --            --            --   
Providian Financial Corp.                          36,300     1,780,515        64,700     3,173,535         8,100       397,305   
Takefuji Corp. (Japan)                              1,000        75,978            --            --            --            --   
                                                           ------------                ------------                ------------   
                                                             12,414,329                  12,234,478                     910,297   

Consumer Goods                                                     0.6%                        0.5%                        0.1%   
-------------------------------------------------------------------------------------------------------------------------------   
Avon Products, Inc.                                 1,800        71,982         4,100       163,959            --            --   
Beiersdorf AG (Germany)                             1,000       105,602            --            --            --            --   
Clorox Co.                                          1,200        37,740         2,700        84,915            --            --   
Colgate-Palmolive Co.                               3,100       171,306         7,100       392,346            --            --   
Dial Corp. (The)                                   25,000       312,500        44,400       555,000            --            --   
Gillette Co.                                        3,000        93,510         6,800       211,956            --            --   
Hindustan Lever, Ltd. (India) (NON)                48,300       226,633            --            --            --            --   
International Flavors & Fragrances, Inc.            1,000        22,060         2,300        50,738            --            --   
KAO Corp. (Japan)                                  17,000       428,731            --            --            --            --   
Kimberly-Clark Corp.                               26,700     1,811,061        51,000     3,459,330         5,500       373,065   
L'OREAL SA (France)                                24,995     1,698,573            --            --            --            --   
Lancaster Colony Corp.                             17,200       499,875        30,600       889,313            --            --   
Procter & Gamble Co.                                9,400       588,440        21,400     1,339,640            --            --   
Shiseido Co., Ltd. (Japan)                        110,000     1,089,465       108,000     1,069,657        14,000       138,659   
Swatch Group AG (The) (Switzerland)                 5,983     1,303,743         3,245       707,111           354        77,139   
Swatch Group AG Class B (The)                                                                                                     
(Switzerland)                                       2,112     2,209,307         2,272     2,376,679           238       248,966   
Tupperware Corp.                                   30,500       727,730        56,600     1,350,476            --            --   
                                                           ------------                ------------                ------------   
                                                             11,398,258                  12,651,120                     837,829   

Consumer Services                                                  0.1%                        0.1%                         --%   
-------------------------------------------------------------------------------------------------------------------------------   
CDW Computer Centers, Inc. (NON)                      600        18,600         1,400        43,400            --            --   
Deutsche Post AG (Germany) (NON)                   24,600       433,693        54,125       954,214         6,200       109,305   
Freemarkets, Inc. (NON)                            16,200       154,406        29,500       281,172            --            --   
HotJobs.com, Ltd. (NON)                            74,200       375,638       135,100       683,944            --            --   
Korn/Ferry International (NON)                     17,100       286,767        30,700       514,839            --            --   
TMP Worldwide, Inc. (NON)                             400        15,025           900        33,806            --            --   
Travelocity.com (NON)                              16,700       247,369        30,400       450,300            --            --   
                                                           ------------                ------------                ------------   
                                                              1,531,498                   2,961,675                     109,305   

Distribution                                                       0.1%                        0.2%                         --%   
-------------------------------------------------------------------------------------------------------------------------------   
Performance Food Group Co. (NON)                   19,500     1,023,750        35,100     1,842,750            --            --   
SYSCO Corp.                                        55,800     1,479,258       103,500     2,743,785        13,400       355,234   
                                                           ------------                ------------                ------------   
                                                              2,503,008                   4,586,535                     355,234   

Electric Utilities                                                 1.7%                        1.3%                        0.4%   
-------------------------------------------------------------------------------------------------------------------------------   
ACEA SpA (Italy)                                   17,100       160,179            --            --            --            --   
Allegheny Energy, Inc.                              2,600       120,276         4,700       217,422           700        32,382   
American Electric Power                               640        30,080         1,420        66,740            --            --   
Chubu Electric Power, Inc. (Japan)                 14,000       218,994            --            --            --            --   
CiNergy Corp.                                      32,700     1,097,085        59,720     2,003,606         8,100       271,755   
CLP Holdings, Ltd. (Hong Kong)                    150,500       796,970            --            --            --            --   
CMS Energy Corp.                                   17,200       508,948        37,400     1,106,666         1,100        32,549   
Companhia Paranaense de                                                                                                           
Energia-Copel ADR (Brazil)                         54,200       449,860            --            --            --            --   
Consolidated Edison, Inc.                           2,600        96,460         5,900       218,890            --            --   
Constellation Energy Group                         27,200     1,199,520        49,200     2,169,720         7,000       308,700   
Dominion Resources, Inc.                           13,800       889,686        26,300     1,695,561         2,900       186,963   
DPL, Inc.                                          54,782     1,539,374        99,843     2,805,588        13,874       389,859   
DTE Energy Co.                                      3,200       127,360         5,700       226,860           800        31,840   
Duke Energy Corp.                                  32,400     1,384,776        62,100     2,654,154         6,500       277,810   
Edison International (NON)                          6,800        85,952        15,500       195,920            --            --   
Electrabel SA (Belgium)                             1,600       346,410            --            --            --            --   
Electricidade de Portugal SA (Portugal)            41,400       109,756            --            --            --            --   
Eletropaulo Metropolitana (Brazil)                 11,600       436,473            --            --            --            --   
Enersis SA ADR (Chile) (NON)                       15,600       261,300            --            --            --            --   
Entergy Corp.                                      36,900     1,402,200        68,900     2,618,200         8,300       315,400   
Exelon Corp.                                        3,462       227,107         7,887       517,387            --            --   
First Technology PLC (United Kingdom)              20,600       575,152        37,700     1,052,584         5,300       147,976   
FPL Group, Inc.                                     1,700       104,210         3,900       239,070            --            --   
Hong Kong Electric Holdings, Ltd.                                                                                                 
(Hong Kong)                                       260,500       935,236       410,500     1,473,760        45,500       163,352   
Iberdola SA (Spain)                                22,473       319,339            --            --            --            --   
Korea Electric Power Corp. (South Korea)           76,150     1,156,564        71,690     1,088,826            --            --   
Montana Power Co. (NON)                               400         5,640           900        12,690            --            --   
Northeast Utilities System                         21,100       366,718        38,300       665,654         5,600        97,328   
NRG Energy, Inc. (NON)                             11,300       411,320        20,200       735,280            --            --   
NSTAR, Inc.                                           800        30,640         1,800        68,940            --            --   
Pacific Gas & Electric Co. (NON)                    5,000        62,250        11,400       141,930            --            --   
Potomac Electric Power Co.                            700        16,366         1,600        37,408            --            --   
PPL Corp.                                             800        35,168         1,800        79,128            --            --   
Progress Energy, Inc.                              40,000     1,722,800        73,500     3,165,645         9,600       413,472   
Public Service Co. of New Mexico                   16,000       464,160        28,500       826,785            --            --   
Public Service Enterprise Group, Inc.               2,200        94,952         5,000       215,800            --            --   
Puget Sound Energy, Inc.                              600        13,728         1,400        32,032            --            --   
Reliant Energy, Inc.                               11,600       524,900        22,500     1,018,125         2,100        95,025   
Scottish & Southern Energy PLC                                                                                                    
(United Kingdom)                                  129,613     1,144,921            --            --            --            --   
Scottish Power PLC (United Kingdom)               748,276     4,977,296       490,383     3,261,873        80,293       534,084   
Sierra Pacific Resources                           49,700       735,560        92,200     1,364,560            --            --   
Southern Co.                                        2,900       101,761         6,600       231,594            --            --   
Teco Energy, Inc.                                  18,400       551,264        33,800     1,012,648         4,600       137,816   
Tokyo Electric Power Co. (Japan)                   38,000       846,129            --            --            --            --   
TXU Corp.                                          24,400     1,008,208        45,700     1,888,324         5,500       227,260   
Unified Energy Systems  ADR (Russia)               45,900       459,000            --            --            --            --   
Utilicorp United, Inc.                              2,300        74,428         5,200       168,272            --            --   
E. On AG (Germany)                                 41,681     1,989,009            --            --            --            --   
Wisconsin Energy Corp.                                700        15,106         1,600        34,528            --            --   
XCEL Energy, Inc.                                   1,705        51,338         3,865       116,375            --            --   
                                                           ------------                ------------                ------------   
                                                             30,281,929                  35,428,545                   3,663,571   

Electrical Equipment                                               0.7%                        0.3%                         --%   
-------------------------------------------------------------------------------------------------------------------------------   
ABB AG (Switzerland)                                3,870       282,596            --            --            --            --   
Avocent Corp. (NON)                                10,600       231,213        19,000       414,438            --            --   
BEI Technologies, Inc.                              9,700       153,988        17,700       280,988            --            --   
BSES, Ltd. GDR (India)                             61,600       248,210            --            --            --            --   
C&D Technologies, Inc.                             20,850       575,460        37,400     1,032,240            --            --   
Chubb PLC (United Kingdom) (NON)                   10,500        21,266            --            --            --            --   
Electro Scientific Industries, Inc. (NON)          28,700       805,394        51,100     1,433,994            --            --   
Emerson Electric Co.                                8,700       539,400        17,700     1,097,400         1,200        74,400   
Furukawa Electric Co., Ltd. (The)                                                                                                 
(Japan)                                             4,000        41,500            --            --            --            --   
Invensys PLC (United Kingdom)                   1,024,510     1,951,222       440,344       838,654        48,161        91,725   
Keyence Corp. (Japan)                               2,000       370,311            --            --            --            --   
Kidde PLC (United Kingdom) (NON)                2,216,230     2,023,829            --            --            --            --   
Lincoln Electric Holdings, Inc.                    25,500       548,250        46,200       993,300            --            --   
Rockwell International Corp.                        1,900        69,065         4,300       156,305            --            --   
Schneider-Electric SA (France)                     15,946       930,038            --            --            --            --   
SGL Carbon (Germany) (NON)                         26,524       850,845            --            --            --            --   
Siemens AG (Germany)                                6,188       639,795            --            --            --            --   
Sumitomo Electric Industries, Ltd.                                                                                                
(Japan)                                            91,000     1,049,441            --            --            --            --   
Thomas & Betts Corp.                               13,100       227,416        23,900       414,904            --            --   
Vestas Wind Systems A/S (Denmark)                  12,093       515,357            --            --            --            --   
                                                           ------------                ------------                ------------   
                                                             12,074,596                   6,662,223                     166,125   

Electronics                                                        2.6%                        2.0%                        0.3%   
-------------------------------------------------------------------------------------------------------------------------------   
Advanced Micro Devices, Inc. (NON)                  3,100        82,274         7,100       188,434            --            --   
Advantest Corp. (Japan)                             1,800       178,994            --            --            --            --   
Alpha Industries, Inc. (NON)                          400         6,300           900        14,175            --            --   
Altera Corp. (NON)                                    300         6,431           700        15,006            --            --   
American Power Conversion Corp. (NON)               1,300        16,758         3,000        38,672            --            --   
Applied Micro Circuits Corp. (NON)                 45,101       744,160        77,000     1,270,500        10,800       178,200   
ASE Test, Ltd. (Taiwan) (NON)                      79,313       966,627            --            --            --            --   
Atmel Corp. (NON)                                   4,700        46,119        10,700       104,994            --            --   
Avnet, Inc.                                        24,700       506,350        46,100       945,050            --            --   
Axcelis Technologies, Inc. (NON)                      707         8,175         1,632        18,870            --            --   
Balfour Beatty PLC                                137,000       350,493            --            --            --            --   
Belden, Inc.                                       22,100       443,105        39,800       797,990            --            --   
Chartered Semiconductor                                                                                                           
Manufacturing (Singapore) (NON)                   196,200       473,924        27,000        65,219        50,000       120,776   
Cirrus Logic, Inc. (NON)                           14,000       209,125        25,100       374,931            --            --   
Cree Research, Inc. (NON)                          12,150       181,886        22,100       330,837            --            --   
Cypress Semiconductor Corp. (NON)                  17,500       310,275        31,300       554,949            --            --   
Delta Electronic Industrial (Taiwan)              132,250       463,159            --            --            --            --   
DSP Group, Inc. (NON)                              25,800       399,900            --            --            --            --   
Elantec Semiconductor, Inc. (NON)                   8,700       231,094        15,600       414,375            --            --   
Emulex Corp. (NON) (SEG)                           17,300       325,456        29,000       545,563         4,300        80,894   
ESS Technology, Inc. (NON)                         35,800       205,850        65,300       375,475            --            --   
FDK Corp. (Japan)                                     400         2,177            --            --            --            --   
FEI Co. (NON)                                      24,300       536,119        43,500       959,719            --            --   
Fuji Soft ABC, Inc. (Japan)                         1,300        68,579            --            --            --            --   
General Cable Corp.                               159,400     1,729,490       285,100     3,093,335            --            --   
Hon Hai Precision Industry (Taiwan)               170,100     1,041,207            --            --            --            --   
Integrated Device Technology, Inc. (NON)              500        14,805         1,100        32,571            --            --   
Intel Corp.                                       184,700     4,859,919       341,200     8,977,825        36,900       970,931   
International Rectifier Corp. (NON)                15,200       615,600        27,000     1,093,500            --            --   
Jabil Circuit, Inc. (NON)                             900        19,458         1,900        41,078            --            --   
JDS Uniphase Corp. (NON)                           41,040       756,675        74,020     1,364,744         8,494       156,608   
Kulicke & Soffa Industries, Inc. (NON)             13,400       181,738        24,500       332,281            --            --   
Kyocera Corp. (Japan)                               5,600       509,050            --            --            --            --   
Linear Technology Corp.                            35,500     1,457,719        62,700     2,574,619         8,300       340,819   
MACNICA, Inc. (Japan)                               6,056       405,989            --            --            --            --   
Marvell Technology Group, Ltd.                                                                                                    
(Bermuda) (NON)                                    41,900       505,419        71,400       861,263        10,800       130,275   
Maxim Integrated Products, Inc. (NON)               2,900       120,611         6,600       274,494            --            --   
Measurement Specialties, Inc. (NON)                   300         5,763           700        13,447            --            --   
Methode Electronics, Inc.                          11,350       203,591        20,200       362,338            --            --   
Microchip Technology, Inc. (NON)                    1,000        25,313         2,300        58,219            --            --   
Micron Technology, Inc. (NON)                      52,300     2,172,019        89,900     3,733,547        12,400       514,972   
Mitel Corp. (Canada) (NON)                        124,800       992,628            --            --            --            --   
Molex, Inc.                                           500        17,641         1,175        41,455            --            --   
Motorola, Inc.                                     47,500       677,350        94,300     1,344,718         7,700       109,802   
Murata Manufacturing Co., Ltd. (Japan)             22,200     1,844,389        12,200     1,013,583         1,200        99,697   
National Semiconductor Corp. (NON)                  2,300        61,525         5,200       139,100            --            --   
Nidec Corp. (Japan)                                 5,000       219,473            --            --            --            --   
Oak Technology, Inc. (NON)                         31,460       185,811        56,400       333,113            --            --   
Omron Corp. (Japan)                                76,400     1,289,593        13,000       219,433         2,000        33,759   
Park Electrochemical Corp.                         15,200       343,520        26,800       605,680            --            --   
PerkinElmer, Inc.                                   5,900       309,455        10,600       555,970            --            --   
Perlos OYJ (Finland)                               36,433       358,984            --            --            --            --   
Pioneer-Standard Electronics, Inc.                 59,800       732,550       106,400     1,303,400            --            --   
PMC- Sierra, Inc. (NON)                             2,300        56,902         5,200       128,648            --            --   
QLogic Corp. (NON)                                 13,701       308,273        23,600       531,000         3,300        74,250   
Rambus, Inc. (NON)                                    800        16,480         1,800        37,080            --            --   
Recoton Corp. (NON)                                35,500       428,219        64,400       776,825            --            --   
RF Micro Devices, Inc. (NON)                        1,000        11,688         2,000        23,375            --            --   
Rohm Co., Ltd. (Japan)                              3,500       586,592         3,400       569,832           500        83,799   
Samsung Electronics Co. (South Korea)              34,829     5,446,941        30,517     4,772,583            --            --   
Sanmina Corp. (NON)                                31,500       616,219        53,500     1,046,594         7,600       148,675   
SCI Systems, Inc. (NON)                               900        16,380         2,100        38,220            --            --   
Siliconware Precision Industries Co.                                                                                              
ADR (Taiwan) (NON)                                 48,900       195,600            --            --            --            --   
Solectron Corp. (NON)                               7,600       144,476        15,600       296,556         1,100        20,911   
STMicroelectronics NV (France)                      9,400       328,118            --            --            --            --   
Taiwan Semiconductor Manufacturing                                                                                                
Co. (Taiwan) (NON)                              1,287,200     3,469,172       411,360     1,108,669            --            --   
Tandberg ASA (Norway) (NON)                        26,438       251,141            --            --            --            --   
TDK Corp. (Japan)                                   6,400       421,389            --            --            --            --   
Texas Instruments, Inc.                             7,800       241,644        17,800       551,444            --            --   
Thomson Multimedia SA (France) (NON)                2,807       101,384            --            --            --            --   
Tokyo Electron, Ltd. (Japan)                        2,100       138,771            --            --            --            --   
TranSwitch Corp. (NON)                              8,480       111,300        15,200       199,500            --            --   
Trimble Navigation, Ltd. (NON)                     15,100       285,956        27,100       513,206            --            --   
Ultratech Stepper, Inc. (NON)                      13,100       322,588        23,800       586,075            --            --   
United Microelectronics Corp.                                                                                                     
(Taiwan) (NON)                                    873,920     1,410,536            --            --            --            --   
Varian, Inc. (NON)                                  8,100       207,056        14,500       370,656            --            --   
Varian Medical Systems, Inc. (NON)                 17,100     1,039,680        31,100     1,890,880            --            --   
Venture Manufacturing, Ltd. (Singapore)            29,000       204,044        23,000       161,828         3,000        21,108   
Via Technologies, Inc. (Taiwan) (NON)              31,000       333,252            --            --            --            --   
Vishay Intertechnology, Inc. (NON)                    900        17,910         2,100        41,790            --            --   
Vitesse Semiconductor Corp. (NON)                   3,400        80,963         7,700       183,356            --            --   
W.W. Grainger                                      15,460       523,321        28,175       953,724         3,965       134,215   
Winbond Electronics Corp. (Taiwan) (NON)          278,000       347,955            --            --            --            --   
Woodhead Industries, Inc.                          17,400       303,413        31,200       544,050            --            --   
X-Rite, Inc.                                       72,400       710,244       128,800     1,263,528            --            --   
                                                           ------------                ------------                ------------   
                                                             47,098,222                  51,973,891                   3,219,691   

Energy                                                             0.6%                        0.7%                        0.1%   
-------------------------------------------------------------------------------------------------------------------------------   
Baker Hughes, Inc.                                  3,400       123,454         7,700       279,587            --            --   
Bharat Petroleum Corp., Ltd. (India)               57,800       236,308            --            --            --            --   
Chiles Offshore, Inc. (NON)                        18,800       382,956        34,100       694,617            --            --   
Diamond Offshore Drilling, Inc.                     1,500        59,025         3,400       133,790            --            --   
ENSCO International, Inc.                           1,100        38,500         2,500        87,500            --            --   
Global Industries, Ltd. (NON)                      29,300       426,681        53,200       774,725            --            --   
Global Marine, Inc. (NON)                           1,000        25,600         2,300        58,880            --            --   
Grant Prideco, Inc. (NON)                             800        13,760         1,800        30,960            --            --   
Grey Wolf, Inc. (NON)                              24,000       156,000        42,900       278,850            --            --   
GulfMark Offshore, Inc. (NON)                      12,200       394,975        22,100       715,488            --            --   
Halliburton Co.                                     3,600       132,300         8,200       301,350            --            --   
Helmerich & Payne, Inc.                            25,100     1,162,130        45,200     2,092,760            --            --   
Hydril Co. (NON)                                   17,600       402,600        32,000       732,000            --            --   
Nabors Industries, Inc. (NON)                         600        31,104         1,400        72,576            --            --   
National-Oilwell, Inc. (NON)                        8,800       304,744        16,000       554,080            --            --   
Newpark Resources, Inc. (NON)                      46,100       414,439        85,400       767,746            --            --   
Patterson Energy, Inc. (NON)                       11,300       357,363        20,300       641,988            --            --   
Pride International, Inc. (NON)                    18,300       434,808        33,100       786,456            --            --   
Schlumberger, Ltd.                                 10,400       599,144        18,900     1,088,829         2,700       155,547   
Seacor Smit, Inc. (NON)                                --            --             1            45            --            --   
Smith International, Inc. (NON)                       500        35,100         1,100        77,220            --            --   
Spinnaker Exploration Co. (NON)                    23,200     1,013,840        42,700     1,865,990            --            --   
Tidewater, Inc.                                     8,700       393,240        15,500       700,600            --            --   
Transocean Sedco Forex, Inc.                       54,950     2,382,083        95,350     4,133,423        14,100       611,235   
Unit Corp. (NON)                                   15,800       261,490        28,200       466,710            --            --   
UTI Energy Corp. (NON)                             12,500       378,125        22,900       692,725            --            --   
                                                           ------------                ------------                ------------   
                                                             10,159,769                  18,028,895                     766,782   

Engineering & Construction                                         0.6%                        0.1%                         --%   
-------------------------------------------------------------------------------------------------------------------------------   
Abengoa SA (Spain)                                 31,544       878,076            --            --            --            --   
ACS, Actividades Cons y Serv (Spain)               75,522     2,068,903            --            --            --            --   
Aggregate Industries PLC                          331,600       369,973            --            --            --            --   
Ameron International Corp.                         12,800       627,840        22,800     1,118,340            --            --   
Bouygues SA (France)                               42,660     1,432,548        62,941     2,113,597         7,077       237,650   
Coflexip SA ADR (France)                            6,250       407,813            --            --            --            --   
Fluor Corp.                                           800        35,600         1,800        80,100            --            --   
Fomento de Construcciones Y                                                                                                       
Contratas SA (Spain)                               16,700       339,429            --            --            --            --   
Grupo Dragados SA (Spain)                         163,247     2,032,643            --            --            --            --   
IJM Copr. Berhad (Malaysia)                       407,000       325,600            --            --            --            --   
Massey Energy Co.                                     600        14,352         1,400        33,488            --            --   
Quanta Services, Inc. (NON)                        15,150       338,148        27,100       604,872            --            --   
VA Technolgies AG (Australia)                       3,250       121,917            --            --            --            --   
Vinci SA (France) (NON)                            28,969     1,791,993            --            --            --            --   
                                                           ------------                ------------                ------------   
                                                             10,784,835                   3,950,397                     237,650   

Entertainment                                                      0.1%                        0.2%                         --%   
-------------------------------------------------------------------------------------------------------------------------------   
Bec World Public Co., Ltd. (Thailand)              69,700       372,023            --            --            --            --   
Six Flags, Inc. (NON)                                 600        11,610         1,400        27,090            --            --   
Viacom, Inc. Class B (NON)                         52,240     2,296,971        97,361     4,280,963         9,197       404,392   
                                                           ------------                ------------                ------------   
                                                              2,680,604                   4,308,053                     404,392   

Financial                                                          0.8%                        0.8%                        0.2%   
-------------------------------------------------------------------------------------------------------------------------------   
Cosco Pacific, Ltd. (Hong Kong)                   232,000       138,324            --            --            --            --   
Dexia (Belgium)                                    20,200     2,981,074        13,010     1,919,988         1,477       217,973   
Dexia (Belgium)                                       599        88,452            --            --            --            --   
Deutsche Boerse 144A (Germany)                         50        14,139            --            --            --            --   
Fannie Mae                                         66,300     5,277,480       124,430     9,904,628        14,800     1,178,080   
Federal Home Loan Mortgage Corp.                   49,500     3,209,085        92,000     5,964,360        11,300       732,579   
Fortis B (Netherlands)                             28,044       737,279        53,589     1,408,859         6,108       160,580   
Heller Financial, Inc.                              2,700        94,905         6,200       217,930            --            --   
ICICI, Ltd. ADR (India)                            24,700       290,225            --            --            --            --   
Keppel Capial Holdings, Ltd. (Singapore)           37,653        47,770        67,100        85,130         7,050         8,944   
MGIC Investment Corp.                               1,500       102,630         3,400       232,628            --            --   
PSF Holdings LLC Class A (NON)                        162       263,088            --            --            41        66,625   
Singapore Exchange, Ltd. 144A                                                                                                     
(Singapore) (NON)                                 167,000       104,548            --            --            --            --   
Tucker Anthony Sutro Corp.                          8,000       151,600        14,300       270,985            --            --   
USA Education, Inc.                                 1,000        72,650         2,300       167,095            --            --   
                                                           ------------                ------------                ------------   
                                                             13,573,249                  20,171,603                   2,364,781   

Food                                                               1.4%                        0.9%                        0.2%   
-------------------------------------------------------------------------------------------------------------------------------   
Ajinomoto Co., Inc.                                 9,000        93,879            --            --            --            --   
American Italian Pasta Co. Class A (NON)           11,300       361,600        20,500       656,000            --            --   
Archer Daniels Midland Co.                          3,460        45,499         7,935       104,345            --            --   
Aurora Foods, Inc. (NON)                            8,234        56,815            --            --         2,302        15,884   
Campbell Soup Co.                                     800        23,896         1,800        53,766            --            --   
Compass Group PLC                                                                                                                 
(United Kingdom) (NON)                            352,238     2,513,192       641,423     4,576,506        72,843       519,729   
ConAgra, Inc.                                       2,100        38,304         4,800        87,552            --            --   
Danisco A/S (Denmark)                               7,600       224,919            --            --            --            --   
Earthgrains Co. (The)                              21,500       456,875        38,200       811,750            --            --   
Elior (France) (NON)                               61,641       800,741            --            --            --            --   
General Mills, Inc.                                 2,900       124,729         6,600       283,866            --            --   
Groupe Danone (France)                             30,627     3,891,959        23,200     2,948,165         2,603       330,779   
Heinz (H.J.) Co.                                   40,500     1,628,100        74,200     2,982,840         9,900       397,980   
IBP, Inc.                                           5,800        95,120        13,200       216,480            --            --   
International Multifoods Corp. (NON)               49,100       945,175        87,900     1,692,075            --            --   
Kamps AG (Germany)                                 85,028     1,051,949            --            --            --            --   
Kellogg Co.                                         1,000        27,030         2,300        62,169            --            --   
McCormick & Company, Inc.                             800        33,592         1,800        75,582            --            --   
Nestle SA (Switzerland)                             3,643     7,636,471         2,934     6,150,263           335       702,228   
Nissin Food Products (Japan)                       48,700     1,096,042            --            --            --            --   
Parmalat Finanziaria SpA (Italy)                1,018,944     1,440,705            --            --            --            --   
Quaker Oats Co. (The)                               1,400       135,870         3,200       310,560            --            --   
Ralston-Ralston Purina Group                        1,000        31,150         2,300        71,645            --            --   
Sara Lee Corp.                                     40,600       876,148        75,100     1,620,658         9,800       211,484   
Sensient Technologies, Corp.                       23,500       535,330        42,000       956,760            --            --   
Smithfield Foods, Inc. (NON)                       13,700       445,250        24,900       809,250            --            --   
Wrigley (Wm.) Jr, Co.                                 600        28,950         1,400        67,550            --            --   
                                                           ------------                ------------                ------------   
                                                             24,639,290                  24,537,782                   2,178,084   

Gaming & Lottery                                                   0.1%                        0.1%                         --%   
-------------------------------------------------------------------------------------------------------------------------------   
Argosy Gaming Co. (NON)                            20,800       542,880        37,900       989,190            --            --   
Dover Downs Entertainment, Inc.                    24,700       308,750        44,800       560,000            --            --   
Fitzgeralds Gaming Corp. (NON)                      1,338            13            --            --           630             6   
Harrah's Entertainment, Inc. (NON)                  1,100        32,373         2,500        73,575            --            --   
International Game Technology (NON)                   800        40,280         1,800        90,630            --            --   
Station Casinos, Inc. (NON)                         9,800       135,338        17,800       245,818            --            --   
                                                           ------------                ------------                ------------   
                                                              1,059,634                   1,959,213                           6   

Health Care Services                                               1.4%                        1.7%                        0.1%   
-------------------------------------------------------------------------------------------------------------------------------   
AdvancePCS (NON)                                    2,600       141,091         4,700       255,048            --            --   
Aetna, Inc. (NON)                                     500        17,960         1,100        39,512            --            --   
AmeriSource Health Corp. Class A (NON)             39,800     1,952,190        71,700     3,516,885            --            --   
Apria Healthcare Group, Inc. (NON)                  8,100       195,858        14,700       355,446            --            --   
Beverly Enterprises, Inc. (NON)                    50,200       401,600       118,300       946,400            --            --   
Cardinal Health, Inc.                               2,600       251,550         5,900       570,825            --            --   
Caremark Rx, Inc. (NON)                            76,700     1,000,168       139,500     1,819,080            --            --   
Cerner Corp. (NON)                                 10,000       342,500        17,900       613,075            --            --   
CIGNA Corp.                                        19,900     2,136,464        37,500     4,026,000         4,600       493,856   
Cobalt Corp.                                       26,800       171,520        47,800       305,920            --            --   
Conventry Health Care, Inc. (NON)                  21,100       349,469        39,100       647,594            --            --   
DaVita, Inc. (NON)                                 39,400       669,012        70,600     1,198,788            --            --   
Dit-Rohstoff Fonds (Germany)                       40,500       330,985            --            --            --            --   
Eclipsys Corp. (NON)                                9,300       181,350        16,500       321,750            --            --   
Fresenius Medical Care AG (Germany)                 2,100       142,059            --            --            --            --   
HCA-The Healthcare Co.                             33,000     1,328,910        61,700     2,484,659         7,500       302,025   
Health Management Association, Inc. (NON)           2,000        31,100         4,600        71,530            --            --   
Healthsouth Corp. (NON)                             6,300        81,207        14,400       185,616            --            --   
Hooper Holmes, Inc.                                22,100       189,839        39,400       338,446            --            --   
IDX Systems Corp. (NON)                            14,600       263,713        26,000       469,625            --            --   
IMS Health, Inc.                                    2,800        69,720         6,400       159,360            --            --   
Invacare Corp.                                     14,700       580,944        26,600     1,051,232            --            --   
Laboratory Corp. of America Holdings (NON)          8,100       974,025        14,500     1,743,625            --            --   
LifePoint Hospitals, Inc. (NON)                    19,050       681,038        33,900     1,211,925            --            --   
Lincare Holdings, Inc. (NON)                       15,100       799,356        27,300     1,445,194            --            --   
Mckesson HBOC, Inc.                                 1,600        42,800         3,600        96,300            --            --   
Mid Atlantic Medical Services, Inc. (NON)          44,200       897,260        79,200     1,607,760            --            --   
Omnicare, Inc.                                     98,000     2,102,100       175,800     3,770,910            --            --   
On Assignment, Inc. (NON)                          16,290       340,054        29,200       609,550            --            --   
Orthodontic Centers of America, Inc. (NON)         14,600       299,300        27,100       555,550            --            --   
Owens & Minor, Inc.                                75,800     1,252,974       135,900     2,246,427            --            --   
Oxford Health Plans, Inc. (NON)                    21,900       585,825        42,400     1,134,200            --            --   
Parexel International Corp. (NON)                  17,100       212,681        31,100       386,806            --            --   
Per-Se Technologies, Inc. (NON)                    33,400       197,269        60,700       358,509            --            --   
Pharmaceutical Product Development,                                                                                               
Inc. (NON)                                         18,300       770,888        32,800     1,381,700            --            --   
Priority Healthcare Corp. Class B (NON)            10,900       411,475        19,500       736,125            --            --   
PSS World Medical, Inc. (NON)                      31,200       139,425        56,700       253,378            --            --   
Quest Diagnostics, Inc. (NON)                       6,150       546,551        11,600     1,030,892            --            --   
Quintiles Transnational Corp. (NON)                 1,100        20,763         2,500        47,188            --            --   
RehabCare Group, Inc. (NON)                         7,600       313,120        13,900       572,680            --            --   
Rightchoice Managed Care, Inc. (NON)                6,800       230,860        12,400       420,980            --            --   
ServiceMaster Co. (The)                             4,300        48,289         9,800       110,054            --            --   
Syncor International Corp. (NON)                   15,700       506,325        28,100       906,225            --            --   
Tenet Healthcare Corp.                              2,800       123,200         6,400       281,600            --            --   
Trigon Healthcare, Inc. (NON)                       5,800       298,700        10,700       551,050            --            --   
UnitedHealth Group, Inc.                           27,900     1,653,354        48,300     2,862,258         6,402       379,383   
US Oncology, Inc. (NON)                            65,600       533,000       121,300       985,563            --            --   
Wellpoint Health Networks, Inc. (NON)                 300        28,593           700        66,717            --            --   
                                                           ------------                ------------                ------------   
                                                             24,838,434                  44,749,957                   1,175,264   

Homebuilding                                                       0.1%                        0.1%                         --%   
-------------------------------------------------------------------------------------------------------------------------------   
Daiwa House Industry Co., Ltd. (Japan)             37,000       239,481            --            --            --            --   
Lennar Corp.                                       16,900       673,634        30,100     1,199,786            --            --   
NVR, Inc. (NON)                                     7,950     1,295,850        14,200     2,314,600            --            --   
                                                           ------------                ------------                ------------   
                                                              2,208,965                   3,514,386                          --   

Household Furniture and Appliances                                 0.1%                        0.1%                          --%  
-------------------------------------------------------------------------------------------------------------------------------   
Applica (NON)                                      39,000       241,800        70,800       438,960            --            --   
Black & Decker Manufacturing Co.                      600        22,050         1,400        51,450            --            --   
Electrolux AB (Sweden)                              6,600        87,663            --            --            --            --   
Forbo Holding AG (Switzerland)                      1,700       770,443            --            --            --            --   
Furniture Brands International, Inc. (NON)         21,400       507,180        38,800       919,560            --            --   
Haverty Furniture Companies, Inc.                  24,900       341,130        44,500       609,650            --            --   
Hunter Douglas NV (Netherlands)                    18,240       477,113            --            --            --            --   
Leggett & Platt, Inc.                               1,600        30,768         3,600        69,228            --            --   
Maytag Corp.                                          600        19,350         1,400        45,150            --            --   
Newell Rubbermaid, Inc.                             1,700        45,050         3,900       103,350            --            --   
Whirlpool Corp.                                     2,132       106,579         4,838       241,852            --            --   
                                                           ------------                ------------                ------------   
                                                              2,649,126                   2,479,200                          --   

Insurance                                                          3.6%                        2.8%                        0.7%   
-------------------------------------------------------------------------------------------------------------------------------   
Ace, Ltd.                                          28,100     1,032,956        51,100     1,878,436         7,300       268,348   
Aegon NV (Netherlands)                             66,515     1,960,878            --            --            --            --   
AFLAC, Inc.                                         4,600       126,684        10,500       289,170            --            --   
AGF (Assurances Generales de France)                                                                                              
(France)                                           18,700     1,103,883            --            --            --            --   
Alleanza Assicurazioni SA (Italy)                  23,500       295,098            --            --            --            --   
Allianz AG (Germany) (NON)                         20,008     5,843,594        16,435     4,800,053         1,856       542,069   
AMBAC Indemnity Corp.                                 600        38,058         1,400        88,802            --            --   
American General Corp.                             55,100     2,107,575       102,900     3,935,925        12,800       489,600   
American International Group, Inc.                 41,900     3,372,950        82,400     6,633,200         6,800       547,400   
AmerUs Group Co.                                   22,300       676,805        39,400     1,195,790            --            --   
AMP, Ltd. (Australia)                             196,996     1,929,410            --            --            --            --   
AON Corp.                                           1,300        46,150         3,000       106,500            --            --   
Axa SA (France)                                    13,734     1,528,015        12,570     1,398,511         1,423       158,320   
Berkley (W.R.) Corp.                               38,300     1,725,894        68,700     3,095,794            --            --   
Cathay Life Insurance Co., Ltd. (Taiwan)          260,120       439,646            --            --            --            --   
CGNU PLC (Hong Kong)                               24,100       332,086            --            --            --            --   
Cincinnati Financial Corp.                            500        18,969         1,100        41,731            --            --   
CNA Financial Corp. (NON)                           7,000       245,070        16,000       560,160            --            --   
CNP Assurances (France) (NON)                      66,935     2,194,482            --            --            --            --   
Commerce Group, Inc.                               30,700       982,400        54,900     1,756,800            --            --   
Conseco Financing Trust IV                          2,500        40,250         5,700        91,770            --            --   
Erie Indemnity Co. Class A                            600        17,172         1,400        40,068            --            --   
Fairfax Financial Holdings, Ltd.                                                                                                  
(Canada) (NON)                                     14,300     1,812,369            --            --            --            --   
FBL Financial Group, Inc. Class A                  15,553       242,627        28,303       441,527            --            --   
Fidelity National Financial, Inc.                  19,600       524,692        34,800       931,596            --            --   
Fremont General Corp.                              80,500       312,340       144,200       559,496            --            --   
Fubon Insurance Co. (Taiwan)                      317,000       290,578            --            --            --            --   
Gallagher, Arthur J. & Co.                         15,600       432,120        28,000       775,600            --            --   
Hartford Financial Services Group                  32,400     1,911,600        59,600     3,516,400         7,900       466,100   
Horace Mann Educators Corp.                        22,100       391,170        39,300       695,610            --            --   
ING Groep NV (Netherlands)                        190,478    12,456,080       218,775    14,306,529        24,707     1,615,685   
Jefferson-Pilot Corp.                               1,300        88,257         3,000       203,670            --            --   
Liberty Group, Ltd. (South Africa)                 95,800       729,900            --            --            --            --   
Lincoln National Corp.                              1,200        50,964         2,700       114,669            --            --   
Loews Corp.                                           800        47,528         1,700       100,997            --            --   
Market Corp. (NON)                                  3,200       598,400         5,800     1,084,600            --            --   
MBIA, Inc.                                            600        48,408         1,400       112,952            --            --   
Metlife, Inc.                                       1,000        30,050         2,300        69,115            --            --   
Muenchener Rueckversicherungs AG                                                                                                  
(Germany)                                          14,985     4,489,121        14,087     4,220,103         1,689       505,981   
Muenchener Rueckversicherungs AG                                                                                                  
144A (Germany) (NON)                                1,603       480,218           900       269,617           100        29,957   
Nationwide Financial Services, Inc.                                                                                               
Class A                                               600        22,788         1,400        53,172            --            --   
Old Mutual PLC (United Kingdom)                   475,900     1,001,067            --            --            --            --   
Philadelphia Consolidated Holding                                                                                                 
Corp. (NON)                                         7,200       198,900        12,900       356,363            --            --   
Pohjola Group Insurance Corp.                                                                                                     
(Finland)                                          18,103       687,738            --            --            --            --   
Presidential Life Corp.                            44,900       740,850        79,500     1,311,750            --            --   
Protective Life Corp.                                  --            --         1,471        45,116           922        28,278   
Prudential Corp. PLC                                                                                                              
(United Kingdom) (NON)                             96,954     1,036,950       104,944     1,122,406        39,019       417,319   
Radian Group, Inc.                                 30,066     2,036,972        52,386     3,549,152         5,000       338,750   
Royal & Sun Alliance Insurance Group                                                                                              
PLC (United Kingdom)                               15,000       102,014            --            --            --            --   
St. Paul Cos., Inc.                                11,500       506,575        21,400       942,670         2,700       118,935   
Stancorp Financial Group                           18,300       770,430        33,200     1,397,720            --            --   
State Auto Financial Corp.                         31,200       473,850        56,600       859,613            --            --   
Sun Life Financial Services of Canada,                                                                                            
Inc. (Canada)                                      48,337       936,585       105,047     2,035,407            --            --   
Swiss Reinsurance Co. (Switzerland)                    80       161,808            --            --            --            --   
The Chubb Corp.                                    27,200     1,970,368        50,100     3,629,244         6,600       478,104   
The PMI Group, Inc.                                10,300       669,294        18,700     1,215,126         2,700       175,446   
Torchmark Corp.                                     1,600        62,128         3,600       139,788            --            --   
UnumProvident Corp.                                18,700       546,414        34,300     1,002,246         4,600       134,412   
Zurich Financial Services AG                                                                                                      
(Switzerland)                                       8,241     2,722,324         5,984     1,976,749           681       224,961   
                                                           ------------                ------------                ------------   
                                                             65,641,502                  72,951,713                   6,539,665   

Investment Banking/Brokerage                                       1.8%                        1.3%                        0.3%   
-------------------------------------------------------------------------------------------------------------------------------   
3i Group PLC (United Kingdom)                      10,800       172,227            --            --            --            --   
Amvescap Corp. PLC (United Kingdom)                76,419     1,113,297            --            --            --            --   
Banca Fideuram SpA                                118,300     1,175,049            --            --            --            --   
Bear Stearns Companies, Inc. (The)                 25,700     1,175,518        47,000     2,149,780         6,400       292,736   
BiPop-Carire SpA (Italy) (REL)                     38,910       183,615            --            --            --            --   
Eaton Vance Corp.                                  27,500       853,875        49,300     1,530,765            --            --   
Federated Investors, Inc.                          34,600       980,910        62,200     1,763,370            --            --   
Fortis (Netherlands)                              129,215     3,387,937       103,711     2,719,238        11,801       309,415   
Franklin Resources, Inc.                            1,600        62,576         3,600       140,796            --            --   
Goldman Sachs Group, Inc. (The)                    14,400     1,225,440        26,000     2,212,600         3,100       263,810   
Good Morning Securities Co., Ltd.                                                                                                 
(South Korea) (NON)                                94,200       310,223            --            --            --            --   
Inestment Technology Group, Inc. (NON)             12,700       650,240        22,800     1,167,360            --            --   
J.P. Morgan Chase & Co.                            54,000     2,424,600       105,010     4,714,949         9,900       444,510   
Julius Baer Holdings AG (Switzerland)                 943     4,235,439           863     3,876,123            91       408,722   
Legg Mason, Inc.                                      500        21,050         1,100        46,310            --            --   
Lehman Brothers Holdings, Inc.                     16,200     1,015,740        30,500     1,912,350         3,700       231,990   
Marschollek, Lautenschlaeger                                                                                                      
und Partner AG (Germany)                               83         8,362            --            --            --            --   
Mediolanum SpA (Italy)                             49,327       513,057            --            --            --            --   
Merrill Lynch & Co., Inc.                          18,200     1,008,280        36,100     1,999,940         3,000       166,200   
Mizuho Holdings, Inc. (Japan)                          50       281,325            --            --            --            --   
Moolen Holding (van Der)                                                                                                          
(Netherlands)                                      15,754     1,468,055            --            --            --            --   
Morgan Stanley, Dean Witter & Co.                  41,100     2,198,850        79,100     4,231,850         8,300       444,050   
Nikko Securities Co., Ltd. (Japan)                544,000     3,820,591       912,000     6,405,108       104,000       730,407   
Nomura Securities Co., Ltd. (Japan)                81,000     1,454,509            --            --            --            --   
Sampo Insurance Co., Ltd. Class A                                                                                                 
(Finland)                                          47,859     2,283,822            --            --            --            --   
Samsung Securities Co., Ltd.                                                                                                      
(South Korea)                                      36,240       817,444            --            --            --            --   
Schwab (Charles) Corp.                             11,950       184,269        27,200       419,424            --            --   
Skandia Forsakrings AB (Sweden)                     3,600        32,285            --            --            --            --   
Stilwell Financial, Inc.                            1,600        42,912         3,600        96,552            --            --   
T. Rowe Price Group, Inc.                             600        18,788         1,400        43,838            --            --   
                                                           ------------                ------------                ------------   
                                                             33,120,285                  35,430,353                   3,291,840   

Leisure                                                            0.2%                        0.2%                         --%   
-------------------------------------------------------------------------------------------------------------------------------   
Brunswick Corp.                                       700        13,741         1,600        31,408            --            --   
Callaway Golf Co.                                  62,000     1,377,020       110,700     2,458,647            --            --   
Gtech Holdings Corp. (NON)                         11,700       318,825        21,600       588,600            --            --   
Harley-Davidson, Inc.                              16,200       614,790        28,600     1,085,370         3,500       132,825   
Polaris Industires, Inc.                           22,200     1,003,440        40,500     1,830,600            --            --   
Shimano, Inc. (Japan)                              37,200       570,321            --            --            --            --   
                                                           ------------                ------------                ------------   
                                                              3,898,137                   5,994,625                     132,825   

Lodging/Tourism                                                    0.3%                        0.1%                         --%   
-------------------------------------------------------------------------------------------------------------------------------   
Accor SA (France) (NON)                            25,046       941,766            --            --            --            --   
Extended Stay America, Inc. (NON)                  20,100       301,500        35,800       537,000            --            --   
Hilton Hotels Corp.                                 2,200        22,990         5,000        52,250            --            --   
Host Marriott Corp.                                 3,600        42,048         8,200        95,776            --            --   
Marriott International, Inc. Class A               26,800     1,103,624        49,000     2,017,820         6,700       275,906   
NH Hoteles SA (Spain)                              51,132       631,691            --            --            --            --   
Orbis SA (Poland)                                  42,600       237,709            --            --            --            --   
Orient Express Hotels, Ltd. (NON)                  85,619     1,541,142            --            --            --            --   
Starwood Hotels & Resorts Worldwide, Inc.           2,000        68,020         4,600       156,446            --            --   
Tanjong PLC (Malaysia)                            168,000       271,895            --            --            --            --   
                                                           ------------                ------------                ------------   
                                                              5,162,385                   2,859,292                     275,906   

Machinery                                                          0.5%                        0.4%                        0.1%   
-------------------------------------------------------------------------------------------------------------------------------   
Alstom (France)                                    26,126       719,177        44,984     1,238,286         5,108       140,609   
Caterpillar, Inc.                                  10,700       474,866        20,200       896,476         2,400       106,512   
Deere (John) & Co.                                    600        21,804         1,400        50,876            --            --   
Disco Corp. (Japan)                                   200        14,525            --            --            --            --   
Dover Corp.                                         1,500        53,760         3,400       121,856            --            --   
DT Industries, Inc. (NON)                          44,600       139,375        79,300       247,813            --            --   
Flow International Corp. (Japan) (NON)              8,500        89,250        13,600       142,800            --            --   
FSI International, Inc. (NON)                      38,400       316,800        69,900       576,675            --            --   
Fuji Machine Manufacturing Co., Ltd.                                                                                              
(Japan)                                            15,800       400,990            --            --            --            --   
Gardner Denver, Inc. (NON)                         21,400       419,440        38,800       760,480            --            --   
Ingersoll-Rand Co.                                  1,100        43,681         2,500        99,275            --            --   
Kurita Water Industries, Ltd. (Japan)              17,000       201,205            --            --            --            --   
Larsen & Toubro, Ltd. GDR (India)                  39,100       185,603            --            --            --            --   
Milacron, Inc.                                     38,300       693,613        68,200     1,235,102            --            --   
MSC Industrial Direct Co., Inc. Class A (N         24,500       392,245        44,400       710,844            --            --   
NEG Micon A/S (Denmark) (NON)                      31,725     1,351,998            --            --            --            --   
Parker-Hannifin Corp.                              20,900       830,148        38,100     1,513,332         5,300       210,516   
Presstek, Inc. (NON)                               53,400       580,725        95,300     1,036,388            --            --   
Regal-Beloit Corp.                                 16,500       274,725        29,300       487,845            --            --   
Samsung Heavy Industries                                                                                                          
(South Korea) (NON)                                92,700       416,105            --            --            --            --   
Sandvik AB (Sweden)                                49,037       898,540        98,260     1,800,489        13,044       239,015   
SMC Corp.                                           6,000       703,911            --            --            --            --   
                                                           ------------                ------------                ------------   
                                                              9,222,486                  10,918,537                     696,652   

Manufacturing                                                      0.3%                        0.3%                         --%   
-------------------------------------------------------------------------------------------------------------------------------   
AMETEK, Inc.                                       28,600       789,360        52,000     1,435,200            --            --   
BBA Group PLC                                      75,000       271,824            --            --            --            --   
Danaher Corp.                                         700        38,192         1,600        87,296            --            --   
Geberit International AG (Switzerland)              6,074     1,650,945            --            --            --            --   
Illinois Tool Works, Inc.                           9,600       545,664        18,300     1,040,172         1,900       107,996   
Kaman Corp.                                        28,200       461,775        51,400       841,675            --            --   
Mettler Toledo International, Inc. (NON)            6,100       251,076        11,200       460,992            --            --   
Pentair, Inc.                                      20,800       529,984        37,000       942,760            --            --   
Roper Industries, Inc.                              6,100       218,380        11,200       400,960            --            --   
Scott Technologies, Inc. (NON)                      8,400       185,850        15,300       338,513            --            --   
SKF AB Class B (Sweden)                             3,300        46,391            --            --            --            --   
Teleflex, Inc.                                     11,100       454,545        19,700       806,715            --            --   
Tennant Co.                                         7,100       299,975        12,600       532,350            --            --   
Thermo Electron Corp. (NON)                         1,000        22,480         2,300        51,704            --            --   
Wolseley PLC (United Kingdom) (NON)                44,700       263,658            --            --            --            --   
                                                           ------------                ------------                ------------   
                                                              6,030,099                   6,938,337                     107,996   

Media                                                              0.6%                        0.7%                        0.2%   
-------------------------------------------------------------------------------------------------------------------------------   
Agora SA GDR (Poland) (NON)                        13,778       183,592            --            --            --            --   
AOL Time Warner, Inc. (NON)                       179,900     7,222,985       334,382    13,425,437        37,200     1,493,580   
Disney (Walt) Productions, Inc.                    90,300     2,582,580       170,200     4,867,720        19,400       554,840   
EMI Group PLC (United Kingdom)                     26,200       169,247            --            --            --            --   
Fox Entertainment Group, Inc. (NON)                 5,300       103,880        12,100       237,160            --            --   
Granada PLC 144A                                   38,386        94,523        73,266       180,411         8,489        20,903   
Martha Stewart Living Omnimedia                                                                                                   
Class A (NON)                                      24,900       448,200        44,600       802,800            --            --   
News Corp., Ltd. (Australia)                        5,000        37,893            --            --            --            --   
                                                           ------------                ------------                ------------   
                                                             10,842,900                  19,513,528                   2,069,323   

Medical Technology                                                 0.6%                        0.7%                        0.1%   
-------------------------------------------------------------------------------------------------------------------------------   
Apogent Technologies, Inc. (NON)                    1,200        24,288         2,700        54,648            --            --   
Arrow International, Inc.                           9,050       341,638        16,100       607,775            --            --   
Bard (C.R.), Inc.                                     600        27,240         1,400        63,560            --            --   
Bausch & Lomb, Inc.                                   600        27,396         1,400        63,924            --            --   
Baxter International, Inc.                          2,500       235,350         5,700       536,598            --            --   
Beckman Coulter, Inc.                              10,900       426,081        19,700       770,073            --            --   
Becton, Dickson and Co.                             2,400        84,768         5,500       194,260            --            --   
Biomet, Inc.                                        1,700        66,964         3,850       151,654            --            --   
Boston Scientific Corp. (NON)                       1,100        22,198         2,500        50,450            --            --   
Coherent, Inc. (NON)                                7,400       262,700        13,300       472,150            --            --   
Coloplast A/S (Denmark)                               400        18,941            --            --            --            --   
Conmed Corp. (NON)                                  8,100       155,419        12,900       247,519            --            --   
Cytyc Corp. (NON)                                  15,000       247,500        27,300       450,450            --            --   
Datascope Corp.                                     6,350       229,791        11,400       412,538            --            --   
DENTSPLY International, Inc.                          600        21,900         1,400        51,100            --            --   
Diagnostic Products Corp.                          10,200       531,930        18,400       959,560            --            --   
ESC Medical Systems, Ltd. (Israel) (NON)           39,600       952,875            --            --            --            --   
Genmab A/S 144A (Denmark) (NON)                    12,800       203,042            --            --            --            --   
Haemonetics Corp. (NON)                            17,400       575,940        31,600     1,045,960            --            --   
I-Stat Corp. (NON)                                 10,500       208,688        18,800       373,650            --            --   
Medtronic, Inc.                                    52,000     2,378,480        92,600     4,235,524        10,900       498,566   
Mentor Corp.                                       61,200     1,377,000       109,600     2,466,000            --            --   
Meridian Bioscience, Inc.                          24,400        61,000        43,300       108,250            --            --   
Millipore Corp.                                       500        23,130         1,100        50,886            --            --   
Pall Corp.                                         28,300       620,336        50,800     1,113,536         7,100       155,632   
PolyMedica Corp. (NON)                              9,000       204,750        16,100       366,275            --            --   
Respironics, Inc. (NON)                             7,800       237,900        14,300       436,150            --            --   
Smith & Nephew PLC                                                                                                                
(United Kingdom) (NON)                             40,400       176,281       111,455       486,322        14,212        62,013   
St. Jude Medical, Inc. (NON)                          700        37,695         1,600        86,160            --            --   
Staar Surgical Co. (NON)                            9,600        41,100        17,600        75,350            --            --   
Stryker Corp.                                       1,100        57,475         2,500       130,625            --            --   
Sybron Dental Specialties, Inc. (NON)                 400         8,400           866        18,186            --            --   
Synthes-Stratec, Inc. (Switzerland)                   100        53,318            --            --            --            --   
Tecan AG (Switzerland)                                348       297,479            --            --            --            --   
Techne Corp. (NON)                                  7,700       201,163        14,000       365,750            --            --   
Vital Signs, Inc.                                  13,900       446,538        24,800       796,700            --            --   
                                                           ------------                ------------                ------------   
                                                             10,886,694                  17,241,583                     716,211   

Metals                                                             0.7%                        0.3%                         --%   
-------------------------------------------------------------------------------------------------------------------------------   
Alcoa, Inc.                                         6,836       245,754        15,560       559,382            --            --   
Allegheny Technologies, Inc.                        1,100        19,151         2,500        43,525            --            --   
Anglo American Platinum Corp.                                                                                                     
(South Africa)                                     11,600       388,294            --            --            --            --   
Arkivator AB (Sweden)                              73,973       932,327            --            --            --            --   
BHP, Ltd. (Australia)                              20,100       192,252            --            --            --            --   
Carpenter Technology Corp.                         17,000       476,850        30,100       844,305            --            --   
China Steel Corp. (Taiwan)                        614,000       364,619            --            --            --            --   
Coflexip SA (France)                                1,000       135,029            --            --            --            --   
Companhia Vale do Rio Doce ADR                                                                                                    
(Brazil)                                           56,300     1,384,980            --            --            --            --   
Corus Group PLC                                   252,700       224,477            --            --            --            --   
De Beers-Centenary (South Africa)                  37,600     1,432,372            --            --            --            --   
Freeport-McMoRan Copper & Gold                                                                                                    
Co., Inc. Class B (NON)                            35,300       460,665        66,300       865,215            --            --   
Gerdau S/A (Brazil)                                29,900       262,281            --            --            --            --   
Grupo Mexico SA (Mexico)                           76,300       230,749            --            --            --            --   
Impala Platinum Holdings, Ltd.                                                                                                    
(South Africa)                                     14,202       505,548            --            --            --            --   
Lone Star Technologies, Inc. (NON)                  3,500       149,625         6,300       269,325            --            --   
Material Sciences Corp. (NON)                      11,400        91,770        20,600       165,830            --            --   
Newmont Mining Corp.                                1,000        16,120         2,300        37,076            --            --   
Nucor Corp.                                           700        28,049         1,600        64,112            --            --   
OneSteel, Ltd. (Australia)                          5,000         2,118            --            --            --            --   
Pohang Iron & Steel Company, Ltd.                                                                                                 
(South Korea)                                       7,210       487,895            --            --            --            --   
Pohang Iron & Steel Company, Ltd.                                                                                                 
ADR (South Korea)                                  32,540       584,093        53,258       955,981            --            --   
Quanex Corp.                                       35,000       628,250        62,000     1,112,900            --            --   
Reliance Steel & Aluminum Co.                      13,300       311,885        24,100       565,145            --            --   
Rio Tinto PLC (United Kingdom) (NON)               32,900       572,819        68,158     1,186,694         8,290       144,337   
Rio Tinto, Ltd. (Australia)                        43,100       682,514        47,100       745,857         5,400        85,512   
Steel Dynamics, Inc. (NON)                         16,100       179,113        29,100       323,738            --            --   
Stillwater Mining Co. (NON)                        18,600       503,130        33,400       903,470            --            --   
Usiminas (Brazil)                                  74,500       295,455            --            --            --            --   
Yanzhou Coal Mining Co., Ltd.                                                                                                     
(Turkey) (NON)                                    988,000       376,877            --            --            --            --   
                                                           ------------                ------------                ------------   
                                                             12,165,061                   8,642,555                     229,849   

Natural Gas Utilities                                              0.4%                        0.5%                        0.1%   
-------------------------------------------------------------------------------------------------------------------------------   
AGL Resources, Inc.                                13,800       302,358        24,600       538,986            --            --   
Atmos Energy Corp.                                  9,800       233,240        17,400       414,120            --            --   
Dynegy, Inc.                                        1,200        61,212         2,700       137,727            --            --   
EL Paso Energy, Corp.                               5,237       341,976        11,966       781,380            --            --   
Enron Corp.                                        60,200     3,497,620       104,100     6,048,210        14,200       825,020   
Hong Kong and China Gas Co., Ltd.                                                                                                 
(Hong Kong)                                       394,800       536,585       456,000       619,764        46,000        62,520   
KeySpan Corp.                                       1,000        38,130         2,300        87,699            --            --   
NiSource, Inc.                                      1,000        31,120         2,300        71,576            --            --   
Sempra Energy                                       1,000        23,280         2,300        53,544            --            --   
Williams Cos., Inc.                                41,229     1,766,663        75,061     3,216,364        10,300       441,355   
                                                           ------------                ------------                ------------   
                                                              6,832,184                  11,969,370                   1,328,895   

Office Equipment & Supplies                                        0.3%                        0.2%                         --%   
-------------------------------------------------------------------------------------------------------------------------------   
Canon, Inc. (Japan)                                82,000     2,977,654        12,000       435,754         1,000        36,313   
Falcon Products, Inc.                              20,900       164,065        37,900       297,515            --            --   
HON INDUSTRIES, Inc.                               12,100       277,937        22,000       505,340            --            --   
OCE NV (Netherlands)                               41,106       537,616            --            --            --            --   
Pitney Bowes, Inc.                                  1,500        52,125         3,400       118,150            --            --   
Reynolds and Reynolds Co. (The)                                                                                                   
Class A                                               800        15,400         1,800        34,650            --            --   
Standard Register Co. (The)                        45,000       733,500        80,100     1,305,630            --            --   
Steelcase, Inc.                                    10,200       123,420        23,200       280,720            --            --   
United Stationers, Inc. (NON)                       9,400       227,950        17,300       419,525            --            --   
Wallace Computer Services, Inc.                    40,300       654,875        71,600     1,163,500            --            --   
                                                           ------------                ------------                ------------   
                                                              5,764,542                   4,560,784                      36,313   

Oil & Gas                                                          4.6%                        4.1%                        1.1%   
-------------------------------------------------------------------------------------------------------------------------------   
Alberta Energy Co., Ltd. (Canada)                  31,000     1,376,596            --            --            --            --   
Amerada Hess Corp.                                  1,100        85,932         2,500       195,300            --            --   
Anadarko Petroleum Corp.                            3,200       200,896         7,285       457,352            --            --   
Andrson Exploration, Ltd. (Canada) (NON)           12,200       276,691            --            --            --            --   
Apache Corp.                                        1,400        80,654         3,200       184,352            --            --   
Barrett Resources Corp. (NON)                      12,600       756,630        23,000     1,381,150            --            --   
BP Amoco PLC (United Kingdom)                     955,367     7,902,763       822,292     6,801,971       132,705     1,097,731   
BP Amoco PLC ADR (United Kingdom)                  13,500       669,870        24,500     1,215,690         3,600       178,632   
Brown (Tom), Inc. (NON)                            15,400       508,200        27,600       910,800            --            --   
Burlington Resources, Inc.                          2,300       102,925         5,200       232,700            --            --   
Canadian Hunter Exploration, Ltd.                                                                                                 
(Canada) (NON)                                     10,200       261,140            --            --            --            --   
Chesapeake Energy Corp. (NON)                      21,100       186,735        37,800       334,530            --            --   
Chevron, Inc.                                      24,900     2,186,220        48,100     4,223,180         5,100       447,780   
CNOOC, Ltd. (Hong Kong) (NON)                     733,500       648,940            --            --            --            --   
Conoco, Inc.                                       35,100       986,310        67,900     1,907,990         6,600       185,460   
Conoco, Inc. Class B                               32,800       926,600        62,946     1,778,225         6,500       183,625   
Cross Timbers Oil Co.                              30,950       766,013        55,400     1,371,150            --            --   
Devon Energy Corp.                                    500        29,100         1,100        64,020            --            --   
ENI-Ente Nazionale Idrocarburi SpA                                                                                                
(Italy)                                         1,158,245     7,574,204     1,096,903     7,173,066       168,299     1,100,571   
Exco Resources, Inc. (NON)                          7,900       154,050        14,300       278,850            --            --   
ExxonMobil Corp.                                  108,400     8,780,400       208,501    16,888,581        20,865     1,690,065   
Houston Exploration Co. (NON)                      10,500       315,000        18,800       564,000            --            --   
KEY Production Company, Inc. (NON)                 19,400       402,550        34,800       722,100            --            --   
Louis Dreyfus Natural Gas (NON)                    13,900       514,300        24,900       921,300            --            --   
Mitchell Energy & Development Corp.                                                                                               
Class A                                             8,900       467,250        15,800       829,500            --            --   
Newfield Exploration Co. (NON)                      9,100       317,590        16,400       572,360            --            --   
Nobile Affilitates, Inc.                           10,600       442,338        18,900       788,697            --            --   
Noble Drilling Corp. (NON)                            700        32,312         1,600        73,856            --            --   
Occidental Petroleum Corp.                          3,600        89,100         8,200       202,950            --            --   
PanCanadian Petroleum, Ltd. (Canada)               16,500       455,975        35,000       967,219            --            --   
PetroChina Co., Ltd. (Hong Kong)                2,251,000       404,072            --            --            --            --   
Petroleo Brasileiro SA-Petrobras ADR                                                                                              
(Brazil)                                           91,752     2,183,698        69,831     1,661,978            --            --   
Petroleo Brasileiro SA-Petrobras                                                                                                  
Preference Share (Brazil)                          34,450       749,288            --            --            --            --   
Petroleo Brasileiro SA-Petrobras (Brazil)          43,900       951,977            --            --            --            --   
Phillips Petroleum Co.                              1,200        66,060         2,700       148,635            --            --   
Pogo Producing Co.                                 11,700       345,267        20,900       616,759            --            --   
PTT Exploration & Production                                                                                                      
Public Co., Ltd. (Thailand)                       121,000       269,098            --            --            --            --   
Range Resources Corp. (NON)                        55,200       303,600        98,200       540,100            --            --   
Repsol SA (Spain)                                  11,500       203,962            --            --            --            --   
Royal Dutch Petroleum Co. PLC NV                                                                                                  
(Netherlands)                                      30,531     1,699,486            --            --            --            --   
Royal Dutch Petroleum Co. PLC NV                                                                                                  
ADR (Netherlands)                                  53,200     2,949,408        95,800     5,311,152        13,900       770,616   
Santos, Ltd. (Australia)                           70,700       231,851            --            --            --            --   
Sasol, Ltd. (South Africa)                         61,700       507,854            --            --            --            --   
Shell Transport & Trading, Co.                                                                                                    
(United Kingdom)                                1,286,302     9,945,522     1,732,043    13,391,935       195,403     1,510,831   
St. Mary Land & Exploration Co.                    50,400     1,171,800        90,300     2,099,475            --            --   
Stone Energy Corp. (NON)                           16,577       816,749        29,826     1,469,527            --            --   
Suncor Energy, Inc. (Canada)                       34,800       896,253        74,764     1,925,502            --            --   
Surgutneftegaz ADR (Russia)                       158,400     1,663,200            --            --            --            --   
Swift Energy Co. (NON)                              6,700       214,668        12,000       384,480            --            --   
Texaco, Inc.                                        3,300       219,120         7,500       498,000            --            --   
Tosco Corp.                                        29,000     1,240,040        52,900     2,262,004         7,200       307,872   
TotalFinaElf SA ADR (France)                       27,000     1,834,650        35,900     2,439,405         5,200       353,340   
TotalFinaElf SA Class B (France)                   95,729    12,985,443       138,513    18,789,005        15,462     2,097,389   
Ultramar Diamond Shamrock Corp.                    17,500       633,150        31,500     1,139,670         4,300       155,574   
Universal Compression Holdings, Inc. (NON)         14,300       500,500        26,500       927,500            --            --   
Unocal Corp.                                       38,000     1,313,660        69,700     2,409,529         9,300       321,501   
USX-Marathon Group, Inc.                           25,700       692,615        46,800     1,261,260         6,400       172,480   
Vintage Petroleum                                  14,500       295,075        25,900       527,065            --            --   
YUKOS Oil Co. (Russia) (NON)                      131,700       346,371            --            --            --            --   
                                                           ------------                ------------                ------------   
                                                             83,131,721                 108,843,870                  10,573,467   

Paper & Forest Products                                            0.7%                        0.4%                        0.1%   
-------------------------------------------------------------------------------------------------------------------------------   
Abitibi-Consolidated, Inc. (Canada)               327,112     2,558,128           --             --            --            --   
Abitibi-Consolidated, Inc. (Canada)               151,000     1,191,390       271,800     2,144,502        39,300       310,077   
Albany International Corp. (NON)                   17,300       318,320        31,500       579,600            --            --   
Aracruz Celulose SA (Brazil)                       62,400        82,681            --            --            --            --   
Aracruz Celulose SA ADR (Brazil)                   13,300       175,560            --            --            --            --   
Bemis Company, Inc.                                   300         9,927           700        23,163            --            --   
Boise Cascade Corp.                                19,100       599,740        34,800     1,092,720         5,000       157,000   
Bowater, Inc.                                         400        18,960           900        42,660            --            --   
BPB PLC (United Kingdom)                           22,500        77,070            --            --            --            --   
BWAY Corp. (NON)                                   23,600        79,060        42,900       143,715            --            --   
Georgia Pacific Corp.                               1,484        43,630         3,395        99,813            --            --   
International Paper Co.                             6,065       218,825        12,560       453,165           700        25,256   
Jefferson Smurfit Group PLC (Ireland)             719,560     1,160,777            --            --            --            --   
Mead Corp.                                          1,200        30,108         2,700        67,743            --            --   
Owens-Illinois, Inc. (NON)                         95,500       811,750       173,900     1,478,150        20,800       176,800   
P.H. Glatfelter Co.                                19,700       250,978        35,000       445,900            --            --   
Packaging Corp. Of America (NON)                   16,500       217,800        30,000       396,000            --            --   
Sappi, Ltd. (South Africa)                        168,700     1,327,467            --            --            --            --   
Sealed Air Corp. (NON)                                900        29,997         2,100        69,993            --            --   
Smurfit-Stone Container Corp. (NON)                27,200       362,032        53,100       706,761         4,900        65,219   
Sonoco Products Co.                                 8,600       184,900        15,600       335,400         2,200        47,300   
Stora Enso OYJ Class A (Finland)                  100,648       955,244       191,525     1,817,752        21,796       206,864   
Svenska Cellulosa AB (SCA) Class B                                                                                                
(Sweden)                                            6,800       139,764            --            --            --            --   
Temple Inland, Inc.                                   400        17,700           900        39,825            --            --   
Uni-Charm Corp. (Japan)                             1,700        73,264            --            --            --            --   
UPM-Kymmene OYJ (Finland)                           1,747        49,402            --            --            --            --   
Votorantim Celulose e Papel S/A ADR                                                                                               
(Brazil)                                           17,800       218,050            --            --            --            --   
Weyerhaeuser Co.                                   19,800     1,005,642        37,200     1,889,388         4,400       223,476   
Willamette Industries, Inc.                           800        36,800         1,800        82,800            --            --   
                                                           ------------                ------------                ------------   
                                                             12,244,966                  11,909,050                   1,211,992   

Pharmaceuticals                                                    5.8%                        5.4%                        1.7%   
-------------------------------------------------------------------------------------------------------------------------------   
Abbott Laboratories                                53,300     2,515,227       101,700     4,799,223        10,700       504,933   
Allergan, Inc.                                     17,500     1,297,625        30,000     2,224,500         4,200       311,430   
Alpharma, Inc. Class A                             22,300       730,102        40,600     1,329,244            --            --   
Alza Corp. (NON)                                    1,400        56,700         3,200       129,600            --            --   
American Home Products Corp.                      114,400     6,721,000       203,300    11,943,875        27,100     1,592,125   
Andrx Group (NON)                                  14,100       690,900        23,600     1,156,400         3,600       176,400   
AstraZeneca Group PLC                                                                                                             
(United Kingdom) (NON)                            254,972    12,176,361       272,432    13,010,175        30,912     1,476,224   
AstraZeneca Group PLC                                                                                                             
(United Kingdom)                                    9,400       447,467            --            --            --            --   
AstraZeneca Group PLC ADR                                                                                                         
(United Kingdom)                                    5,300       255,725        12,100       583,825            --            --   
Aventis SA (France)                               103,702     8,055,284       118,978     9,241,881        13,565     1,053,692   
Bayer AG (Germany)                                 33,614     1,422,855            --            --            --            --   
Bristol-Myers Squibb Co.                           55,000     3,267,000       106,800     6,343,920        10,100       599,940   
Cambrex Corp.                                       9,800       407,190        17,500       727,125            --            --   
Daiichi Pharmaceutical Co. Ltd. (Japan)             4,000        92,259            --            --            --            --   
Eisai Co., Ltd. (Japan)                            27,000       672,306        31,000       771,907         4,000        99,601   
Elan Corp. PLC (Ireland) (NON)                     31,831     1,715,872        64,897     3,498,318         7,415       399,711   
Elan Corp. PLC ADR (Ireland) (NON)                 13,854       723,872        27,645     1,444,451        20,325     1,061,981   
Enzon, Inc. (NON)                                  11,500       546,250        21,000       997,500            --            --   
Forest Laboratories, Inc. (NON)                    13,100       776,044        22,900     1,356,596         3,000       177,720   
Fujisawa Pharmaceutical Co. (Japan)                24,000       509,497        27,000       573,184         2,000        42,458   
Gedeon Richter Rt. (Hungary)                        7,851       409,882            --            --            --            --   
GlaxoSmithKline PLC                                                                                                               
(United Kingdom) (NON)                            322,718     8,444,282       290,590     7,603,617        33,016       863,901   
H. Lundbeck A/S (Denmark)                           2,041        47,839            --            --            --            --   
IVAX Corp. (NON)                                   41,400     1,304,100        71,250     2,244,375         7,100       223,650   
Johnson & Johnson                                  65,300     5,711,791       126,634    11,076,676        17,454     1,526,701   
King Pharmacueticals, Inc. (NON)                   22,600       920,950        38,600     1,572,950         5,950       242,463   
Lilly (Eli) & Co.                                  52,970     4,060,680        95,000     7,282,700        11,900       912,254   
Medicis Pharmaceutical Corp. Class A (NON)          4,500       201,690         8,100       363,042            --            --   
Merck & Co., Inc.                                  53,800     4,083,420       106,400     8,075,760         9,000       683,100   
Mylan Laboratories, Inc.                              800        20,680         1,800        46,530            --            --   
Neose Technologies, Inc. (NON)                      9,800       240,100        17,600       431,200            --            --   
Novartis AG ADR (Switzerland)                         770     1,208,884            --            --            --            --   
Noven Pharmaceuticals, Inc. (NON)                     300         8,494           700        19,819            --            --   
Novo-Nordisk A/S (Denmark)                         11,725     2,387,334            --            --            --            --   
Perrigo Co. (NON)                                  41,600       410,800        76,900       759,388            --            --   
Pfizer, Inc.                                      280,275    11,477,261       497,650    20,378,768        59,160     2,422,602   
Pharmacia Corp.                                    16,700       841,179        34,934     1,759,626         1,800        90,666   
Pharmacia Corp.-Dep Shs                             4,288       217,840            --            --            --            --   
Roche Holdings AG (Switzerland)                        32       231,817            --            --            --            --   
Sankyo Co., Ltd. (Japan)                          149,000     2,919,354       100,000     1,959,298        11,000       215,523   
Sanofi-Synthelabo SA (France)                     137,336     7,670,194       170,288     9,510,558        19,064     1,064,721   
Schering Corp. (Germany)                            2,241       109,118            --            --            --            --   
Schering-Plough Corp.                              77,100     2,816,463       140,100     5,117,853        16,500       602,745   
Sepracor, Inc. (NON)                                  500        16,000         9,839       314,848         5,193       166,176   
Shinogi & Co., Ltd. (Japan)                        30,000       462,091        62,000       954,988         7,000       107,821   
Takeda Chemical Industries (Japan)                 66,000     3,186,752        44,000     2,124,501         4,000       193,136   
Tanabe Seiyaku Co. Ltd. (Japan)                    38,000       334,206            --            --            --            --   
Teva Pharmaceutical Industries (Israel)            12,700       693,738            --            --            --            --   
Welfide Corp. (Japan)                              42,000       318,436            --            --            --            --   
Yamanouchi Pharmaceutical Co., Ltd.                                                                                               
(Japan)                                            13,000       448,204            --            --            --            --   
                                                           ------------                ------------                ------------   
                                                            104,283,115                 141,728,221                  16,811,674   

Photography/Imaging                                                0.2%                        0.1%                         --%   
-------------------------------------------------------------------------------------------------------------------------------   
BMC Industries, Inc.                               80,700       450,306       145,500       811,890            --            --   
Eastman Kodak Co.                                  20,900       833,701        38,700     1,543,743         4,900       195,461   
Ikon Office Solutions, Inc.                        55,600       316,920        99,900       569,430            --            --   
Imation Corp. (NON)                                16,800       376,824        30,400       681,872            --            --   
Ricoh Co., Ltd. (Japan)                            63,000     1,141,341            --            --            --            --   
Xerox Corp.                                         4,200        25,158         9,600        57,504            --            --   
                                                           ------------                ------------                ------------   
                                                              3,144,250                   3,664,439                     195,461   

Power Producers                                                    0.1%                        0.1%                         --%   
-------------------------------------------------------------------------------------------------------------------------------   
Calpine Corp. (NON)                                20,900     1,150,963        35,800     1,971,506         5,500       302,885   
Centrais Geradoras do Sul do Brasil                                                                                               
S/A (Brazil) (NON)                                 66,910       109,355            --            --            --            --   
International Power PLC (NON)                      93,500       352,163            --            --            --            --   
                                                           ------------                ------------                ------------   
                                                              1,612,481                   1,971,506                     302,885   

Publishing                                                         0.5%                        0.3%                        0.1%   
-------------------------------------------------------------------------------------------------------------------------------   
Dai Nippon Printing Co., Ltd. (Japan)              33,000       395,052            --            --            --            --   
EMAP PLC (United Kingdom)                           1,600        16,442            --            --            --            --   
Eniro AB (Sweden)                                  88,827       912,857            --            --            --            --   
Eniro AB 144A (Sweden) (NON)                        5,000        51,384            --            --            --            --   
Hurriyet Gazetecilik Ve Matbaacilik AS                                                                                            
(Turkey)                                       75,803,360       182,149            --            --            --            --   
Kadokawa Shoten Publishing Co., Ltd.                                                                                              
(Japan)                                             3,300        81,644            --            --            --            --   
Knight-Ridder, Inc.                                   400        21,484           900        48,339            --            --   
McClatchy Co. (The)                                 9,800       395,920        17,400       702,960            --            --   
McGraw-Hill, Inc.                                   1,500        89,475         3,400       202,810            --            --   
New York Times Co. (The) Class A                      400        16,388           900        36,873            --            --   
Quebecor World, Inc. (Canada)                      75,400     1,666,933            --            --            --            --   
Reader's Digest Association, Inc. (The)                                                                                           
Class A                                               700        19,236         1,600        43,968            --            --   
Scholastic Corp. (NON)                             18,400       663,550        33,000     1,190,063            --            --   
Singapore Press Holdings, Ltd.                                                                                                    
(Singapore)                                        54,300       595,645       104,000     1,140,831        12,000       131,634   
Tribune Co.                                        18,100       737,394        33,200     1,352,568         4,500       183,330   
Trinity PLC (United Kingdom) (NON)                172,360     1,180,781            --            --            --            --   
United Business Media PLC                                                                                                         
(United Kingdom)                                   90,275       825,020       183,203     1,674,285        20,666       188,866   
Wolters Kluwer NV (Netherlands)                    19,774       497,842        35,653       897,622         3,958        99,649   
                                                           ------------                ------------                ------------   
                                                              8,349,196                   7,290,319                     603,479   

Railroads                                                          0.2%                        0.2%                        0.1%   
-------------------------------------------------------------------------------------------------------------------------------   
Burlington Northern Santa Fe Corp.                  4,900       148,862        11,200       340,256            --            --   
CSX Corp.                                           4,100       138,170         9,300       313,410            --            --   
East Japan Railway Co. (Japan)                         45       241,700            --            --            --            --   
GATX Corp.                                            600        25,476         1,400        59,444            --            --   
Kansas City Southern Industries, Inc.                 450         6,390         1,050        14,910            --            --   
Union Pacific Corp.                                43,600     2,452,500        79,800     4,488,750        10,900       613,125   
                                                           ------------                ------------                ------------   
                                                              3,013,098                   5,216,770                     613,125   

Real Estate                                                        0.6%                        0.6%                        0.2%   
-------------------------------------------------------------------------------------------------------------------------------   
Alexandria Real Estate Equities                     1,000        37,750         1,800        67,950            --            --   
Apartment Investment & Management                                                                                                 
Co. Class A                                           500        22,225         1,100        48,895            --            --   
Avalonbay Communities, Inc.                           500        22,905         1,100        50,391            --            --   
Boston Properties, Inc.                            23,200       892,040        42,200     1,622,590         6,100       234,545   
Cheung Kong Holdings (Hong Kong)                  257,476     2,698,858       493,000     5,167,615        56,000       586,991   
China Resources Beijing Land                                                                                                      
(Hong Kong)                                     1,231,000       260,434            --            --            --            --   
Consorcio ARA SA (Mexico) (NON)                   439,500       546,481            --            --            --            --   
Duke Realty Investments, Inc.                         800        18,520         1,800        41,670            --            --   
Equity Office Properties Trust                     53,200     1,489,600        98,100     2,746,800        12,900       361,200   
Equity Residential Properties Trust                52,992     2,757,174        97,080     5,051,072        13,298       691,895   
First Industrial Realty Trust                       3,800       120,232         7,100       224,644            --            --   
General Porperty Trust (Australia)                186,100       237,940            --            --            --            --   
Henderson Land Development Co.,                                                                                                   
Ltd. (Hong Kong)                                   49,000       249,426            --            --            --            --   
Keppel Land, Ltd. (Singapore)                      33,000        34,554            --            --            --            --   
Liberty International PLC                          33,400       252,311            --            --            --            --   
LNR Property Corp.                                 25,000       708,750        44,400     1,258,740            --            --   
Spieker Properties, Inc.                              600        32,910         1,400        76,790            --            --   
Sun Hung Kai Properties, Ltd.                                                                                                     
(Hong Kong)                                        34,000       324,781            --            --            --            --   
Vornado Realty Trust                                  600        21,498         1,400        50,162            --            --   
                                                           ------------                ------------                ------------   
                                                             10,728,389                  16,407,319                   1,874,631   

Regional Bells                                                     0.7%                        0.9%                        0.3%   
-------------------------------------------------------------------------------------------------------------------------------   
BellSouth Corp.                                    60,200     2,463,384       115,500     4,726,260        11,800       482,856   
SBC Communications, Inc. (SEG)                    136,700     6,100,921       260,500    11,626,115        28,500     1,271,955   
Verizon Communications                             90,736     4,473,285       173,974     8,576,918        18,000       887,400   
                                                           ------------                ------------                ------------   
                                                             13,037,590                  24,929,293                   2,642,211   

Restaurants                                                        0.4%                        0.4%                        0.1%   
-------------------------------------------------------------------------------------------------------------------------------   
AmeriKing, Inc. (NON)                                 150           150            --            --            --            --   
CBRL Group, Inc.                                   40,800       742,050        72,800     1,324,050            --            --   
Darden Restaurants, Inc.                           31,700       752,875        59,400     1,410,750         7,200       171,000   
Granada Compass PLC                                                                                                               
(United Kingdom)                                  743,741     1,831,390       675,318     1,662,904        77,335       190,430   
Jack in the Box, Inc. (NON)                        26,000       778,700        46,600     1,395,670            --            --   
McDonald's Corp.                                   58,100     1,542,555       109,400     2,904,570        13,000       345,150   
Outback Steakhouse, Inc. (NON)                      1,200        30,552         2,700        68,742            --            --   
RARE Hospitality International, Inc. (NON)         32,100       798,488        57,600     1,432,800            --            --   
Starbucks Corp. (NON)                              17,100       725,681        29,800     1,264,638         4,000       169,750   
Tricon Global Restaurants, Inc. (NON)               4,000       152,760         7,700       294,063           800        30,552   
Wendy's International, Inc.                         1,200        26,784         2,700        60,264            --            --   
                                                           ------------                ------------                ------------   
                                                              7,381,985                  11,818,451                     906,882   

Retail                                                             2.9%                        2.8%                        0.5%   
-------------------------------------------------------------------------------------------------------------------------------   
Aaron Rents, Inc.                                  12,000       193,200        15,900       255,990            --            --   
Albertsons, Inc.                                   14,500       461,390        27,600       878,232         3,100        98,642   
American Eagle Outfitters, Inc. (NON)               7,500       215,625        13,500       388,125            --            --   
Arriva PLC                                         73,692       332,806            --            --            --            --   
AutoZone, Inc. (NON)                                1,200        33,624         2,700        75,654            --            --   
Barnes & Noble, Inc. (NON)                         12,900       308,310        23,400       559,260            --            --   
Bed Bath & Beyond, Inc. (NON)                      16,600       407,738        28,600       702,488         4,200       103,163   
Best Buy Co., Inc. (NON)                            1,200        43,152         2,700        97,092            --            --   
BJ's Wholesale Club, Inc. (NON)                       400        19,140           900        43,065            --            --   
Blackrock, Inc.                                    15,900       572,400        28,500     1,026,000            --            --   
Blockbuster, Inc.                                  34,200       512,658        62,300       933,877            --            --   
Bulgari SpA (Italy)                                 2,100        22,548            --            --            --            --   
Carrefour Supermarche SA (France)                   8,720       476,222            --            --            --            --   
Casey's General Stores, Inc.                       12,700       151,606        22,900       273,369            --            --   
Castorama Dubois Ivestissments                                                                                                    
(France)                                            2,014       439,960            --            --            --            --   
Casual Male Corp.                                  27,100        81,300        48,100       144,300            --            --   
Chico's FAS, Inc. (NON)                            14,500       475,781        26,000       853,125            --            --   
China Everbright, Ltd. (Hong Kong)                328,000       283,879            --            --            --            --   
Circuit City Stores, Inc.                          34,200       362,520        62,400       661,440         8,800        93,280   
Claire's Stores, Inc.                              52,900       936,330        95,800     1,695,660            --            --   
Coldwater Creek, Inc. (NON)                        28,800       648,864        51,900     1,169,307            --            --   
Columbia Sportswear Co. (NON)                       6,700       304,745        11,900       541,264            --            --   
Companhia Brasileira de Distribuicao                                                                                              
Grupo Pao de Acucar ADR (Brazil)                   10,100       314,110            --            --            --            --   
Companhia Brasileira de Distribuicao                                                                                              
Grupo Pao de Acucar (Brazil)                        5,300       162,719            --            --            --            --   
Consolidated Stores Corp.                                                                                                         
(United Kingdom) (NON)                             28,300       284,415        51,000       512,550            --            --   
CVS Corp.                                           7,800       456,222        14,800       865,652         1,800       105,282   
Delhaize America, Inc.                              1,300        26,247         3,000        60,570            --            --   
Dillards, Inc. Class A                             35,600       781,064        65,800     1,443,652            --            --   
Dixons Group PLC (United Kingdom)                  51,600       204,066            --            --            --            --   
Dollar General Corp.                                1,400        28,616         3,225        65,919            --            --   
Dollar Tree Stores, Inc. (NON)                        700        13,486         1,600        30,825            --            --   
Expedia, Inc. (NON)                                23,700       309,581        42,600       556,463            --            --   
Factory 2-U Stores, Inc. (NON)                      7,780       212,491        13,900       379,644            --            --   
Family Dollar Stores, Inc.                          1,000        25,700         2,300        59,110            --            --   
Fast Retailing Co., Ltd. (Japan)                    7,900     1,311,413         5,800       962,809           700       116,201   
Fastenal Co.                                          500        27,250         1,100        59,950            --            --   
Federated Department Stores, Inc. (NON)            25,200     1,047,060        46,200     1,919,610         6,300       261,765   
Footstar, Inc. (NON)                                6,800       273,020        12,300       493,845            --            --   
Fuji Television Network, Inc. (Japan)                  28       195,978            --            --            --            --   
Gap, Inc. (The)                                    20,400       483,888        36,900       875,268         5,400        128,088  
Genesco, Inc. (NON)                                36,700     1,005,580        65,800     1,802,920            --            --   
Grupo Elektra SA ADR (Mexico)                      57,400       475,272            --            --            --            --   
Gucci Group NV (Netherlands)                        8,400       720,410            --            --            --            --   
Gucci Group NV ADR (Netherlands)                   19,275     1,612,354        41,410     3,463,947         4,801       401,604   
Harcourt General, Inc.                                600        33,402         1,400        77,938            --            --   
Home Depot, Inc. (The)                             13,200       568,920        30,100     1,297,310            --            --   
HOT Topic, Inc. (NON)                              28,800       806,400        51,600     1,444,800            --            --   
Intimate Brands, Inc.                              12,400       182,280        28,300       416,010            --            --   
J. Jill Group, Inc. (NON)                          50,300       880,250            --            --            --            --   
Jones Apparel Group, Inc. (NON)                     1,500        56,700         3,400       128,520            --            --   
K mart Corp. (NON)                                  2,000        18,800         4,600        43,240            --            --   
Kenneth Cole Productions, Inc.                                                                                                    
Class A (NON)                                       5,450       135,978         9,900       247,005            --            --   
Kingfisher Leisure PLC                                                                                                            
(United Kingdom)                                    8,200        53,029            --            --            --            --   
Kohls Corp. (NON)                                  23,900     1,474,391        40,900     2,523,121         6,250       385,563   
Kojima Co., Ltd. (Japan)                            4,900        87,793            --            --            --            --   
Koninklijke Ahold NV (Netherlands)                 36,090     1,121,986            --            --            --            --   
Kroger Co. (NON)                                   49,400     1,274,026        92,300     2,380,417        11,300       291,427   
La Rinascente SpA (Italy)                           3,300        15,106            --            --            --            --   
Lands' End, Inc. (NON)                             19,000       521,550        34,700       952,515            --            --   
LG Home Shopping, Inc. (South Korea)                9,970       275,112            --            --            --            --   
Limited, Inc. (The)                                49,400       776,568        90,900     1,428,948        12,100       190,212   
Lowe's Cos., Inc.                                  13,000       759,850        25,000     1,461,250         2,500       146,125   
Marks & Spencer PLC (United Kingdom)               18,900        71,454            --            --            --            --   
Matalan PLC (United Kingdom)                      169,061     1,105,317            --            --            --            --   
May Department Stores Co.                          18,300       649,284        33,800     1,199,224         4,400       156,112   
Metro AG (Germany)                                 22,256       947,980        45,118     1,921,771         4,361       185,754   
Next PLC (United Kingdom)                           8,200       103,260            --            --            --            --   
Oakley, Inc. (NON)                                 25,700       456,689        46,100       819,197            --            --   
Office Depot, Inc. (NON)                            8,200        71,750        18,700       163,625            --            --   
Organizacion Soriana SA (Mexico)                   30,200        64,601            --            --            --            --   
Penney (J.C.) Co., Inc.                             5,300        84,747        12,100       193,479            --            --   
Pier 1 Imports, Inc.                               87,600     1,138,800       158,100     2,055,300            --            --   
President Chain Store Corp. (Taiwan)              111,104       314,666            --            --            --            --   
Regis Corp.                                        27,800       406,575        49,500       723,938            --            --   
Rent-A-Center, Inc. (NON)                          12,600       578,813        22,600     1,038,188            --            --   
Rite Aid Corp. (NON)                                   --            --        43,500       291,015        29,000       194,010   
Ross Stores, Inc.                                   1,300        24,375         3,000        56,250            --            --   
Ruddick Corp.                                      25,800       353,460        45,900       628,830            --            --   
Safeway PLC                                        55,300       257,998            --            --            --            --   
Safeway, Inc. (NON)                                 4,000       220,600         9,100       501,865            --            --   
Saks, Inc. (NON)                                   11,500       149,500        26,200       340,600            --            --   
Sears, Roebuck & Co.                               43,900     1,548,353        80,700     2,846,289        11,000       387,970   
Seven-Eleven Japan Co., Ltd. (Japan)               29,000     1,157,223            --            --            --            --   
Sharper Image Corp. (NON)                          11,800       124,638        21,300       224,981            --            --   
Spiegel, Inc. Class A                              39,700       277,900        72,600       508,200            --            --   
Staples, Inc. (NON)                                77,900     1,158,763       140,300     2,086,963        20,300       301,963   
Stein Mart, Inc. (NON)                             30,400       332,500        54,500       596,094            --            --   
SUPERVALU, Inc.                                    11,600       154,628        26,400       351,912            --            --   
Talbots, Inc. (The)                                14,400       611,712        25,800     1,095,984            --            --   
Target Corp.                                        3,700       133,496         8,400       303,072            --            --   
Tesco PLC (United Kingdom)                        758,788     2,706,948       962,664     3,434,268       142,427       508,103   
Ticketmaster (NON)                                 45,000       407,813        81,900       742,219            --            --   
Tiffany & Co.                                         900        24,525         2,100        57,225            --            --   
Timberland Co. (The) Class A (NON)                 10,200       518,160        18,300       929,640            --            --   
TJX Cos., Inc. (The)                               37,200     1,190,400        68,800     2,201,600         8,800       281,600   
Topps Co., Inc. (The) (NON)                        29,000       293,625        52,800       534,600            --            --   
United Natural Foods, Inc. (NON)                   24,400       343,064        44,200       621,452            --            --   
Vendex International NV (Netherlands)              35,778       553,298            --            --            --            --   
Wal-Mart de Mexico/Mexico City Ser.C                                                                                              
(Mexico)                                          243,400       516,808            --            --            --            --   
Wal-Mart de Mexico/Mexico City Ser. V                                                                                             
(Mexico)                                          292,800       678,778            --            --            --            --   
Wal-Mart Stores, Inc.                             107,700     5,438,850       195,000     9,847,500        22,100     1,116,050   
Walgreen Co.                                        4,600       187,680        10,500       428,400            --            --   
WH Smith Group PLC                                 24,900       187,569            --            --            --            --   
Woolworths Ltd. (Australia)                        15,600        63,186            --            --            --            --   
                                                           ------------                ------------                ------------   
                                                             51,906,667                  72,995,737                   5,452,914   

Schools                                                            0.1%                        0.1%                         --%   
-------------------------------------------------------------------------------------------------------------------------------   
MemberWorks, Inc. (NON)                            14,000       329,000        25,600       601,600            --            --   
Apollo Group, Inc. Class A (NON)                   19,200       630,000        34,350     1,127,109            --            --   
Career Education Corp. (NON)                        9,900       497,475        17,700       889,425            --            --   
Education Management Corp. (NON)                    6,600       215,325        11,800       384,975            --            --   
                                                           ------------                ------------                ------------   
                                                              1,671,800                   3,003,109                          --   

Semiconductor                                                      0.3%                        0.4%                        0.1%   
-------------------------------------------------------------------------------------------------------------------------------   
Applied Materials, Inc. (NON)                      50,500     2,196,750        91,000     3,958,500        11,000       478,500   
ASM Lithography Holding NV                                                                                                        
(Netherlands) (NON)                                10,000       222,692            --            --            --            --   
Cohu, Inc.                                         28,500       443,531        51,500       801,469            --            --   
Helix Technology Corp.                             10,500       246,586        19,000       446,203            --            --   
KLA Tencor Corp. (NON)                             30,400     1,197,000        53,800     2,118,375         7,100       279,563   
LAM Research Corp. (NON)                            1,400        33,250         3,200        76,000            --            --   
Novellus Systems, Inc. (NON)                        1,200        48,675         2,700       109,519            --            --   
Orbotech, Ltd. (Israel) (NON)                      18,950       588,634            --            --            --            --   
Photronics, Inc. (NON)                              5,600       138,250        10,000       246,875            --            --   
Semitool, Inc. (NON)                               33,700       303,300        60,400       543,600            --            --   
Silicon Valley Group, Inc. (NON)                   18,800       517,000        34,200       940,500            --            --   
Teradyne, Inc. (NON)                                4,200       138,600         9,600       316,800            --            --   
Veeco Instruments, Inc. (NON)                       2,900       120,531         5,300       220,281            --            --   
                                                           ------------                ------------                ------------   
                                                              6,194,799                   9,778,122                     758,063   

Shipping                                                           0.1%                        0.1%                         --%   
-------------------------------------------------------------------------------------------------------------------------------   
EGL, Inc. (NON)                                    13,300       324,188        23,700       577,688            --            --   
Expeditors International                                                                                                          
of Washington, Inc.                                 5,800       292,538        10,700       539,681            --            --   
Fritz Companies, Inc. (NON)                        30,480       333,375        54,700       598,281            --            --   
P&O Princess Cruises PLC                                                                                                          
(United Kingdom) (NON)                             83,500       326,366            --            --            --            --   
USFreightways Corp.                                21,000       661,500        37,700     1,187,550            --            --   
                                                           ------------                ------------                ------------   
                                                              1,937,967                   2,903,200                          --   

Software                                                           2.0%                        2.0%                        0.5%   
-------------------------------------------------------------------------------------------------------------------------------   
Adobe Systems, Inc.                                22,700       793,819        40,100     1,402,297         5,200       181,844   
Advent Software, Inc. (NON)                         6,400       283,600        11,600       514,025            --            --   
Amdocs, Ltd. (NON)                                 23,750     1,137,625         2,700       129,330            --            --   
Aspen Technology, Inc. (NON)                       14,400       343,800        25,800       615,975            --            --   
Autodesk, Inc.                                     15,100       461,494        27,300       834,356            --            --   
BEA Systems, Inc. (NON)                            49,900     1,465,813        86,400     2,538,000        11,500       337,813   
BMC Software, Inc. (NON)                            3,600        77,400         8,300       178,450            --            --   
Cadence Design Systems, Inc. (NON)                  1,600        29,584         3,600        66,564            --            --   
Check Point Software Technologies, Ltd.                                                                                           
(Israel) (NON)                                     41,425     1,967,688        31,800     1,510,500         4,820       228,950   
Citrix Systems, Inc. (NON)                          1,700        35,913         3,900        82,388            --            --   
Computer Associates International, Inc.            29,181       793,723        54,607     1,485,310         6,600       179,520   
Compuware Corp. (NON)                               2,400        23,400         5,500        53,625            --            --   
Cybear Group (NON)                                      1             1            --            --            --            --   
Docmentum, Inc. (NON)                              11,200       123,200        20,100       221,100            --            --   
Electronic Arts, Inc. (NON)                        22,400     1,215,200        38,500     2,088,625         5,300       287,525   
FileNET Corp. (NON)                                17,800       279,237        31,900       500,431            --            --   
HCL Technologies, Ltd. (India) (NON)               20,100       158,963            --            --            --            --   
HNC Software (NON)                                 20,900       367,056        37,200       653,325            --            --   
Hyperion Solutions Corp. (NON)                     27,000       435,375        49,100       791,738            --            --   
Infosys Technologies, Ltd. (India) (NON)            6,900       604,290            --            --            --            --   
Interact Commerce Corp. (NON)                      31,100       365,425        56,500       663,875            --            --   
Interwoven, Inc. (NON)                             23,350       234,959        41,800       420,613            --            --   
Intranet Solutions, Inc. (NON)                      8,300       198,681        14,900       356,669            --            --   
J.D. Edwards & Co. (NON)                           30,300       295,425        54,000       526,500            --            --   
JDA Software Group, Inc. (NON)                     30,500       348,844        47,400       542,138            --            --   
Kronos, Inc. (NON)                                  7,200       226,350        12,900       405,544            --            --   
McData Corp. (NON)                                      1            19            --            --            --            --   
Mercury Interactive Corp. (NON)                    14,700       615,563        25,400     1,063,625         3,700       154,938   
Micromuse, Inc. (NON)                              32,800     1,239,512        55,500     2,097,345         8,100       306,099   
Microsoft Corp. (NON) (SEG)                       188,700    10,319,531       334,000    18,265,625        39,900     2,182,031   
Misys PLC (United Kingdom)                        340,297     2,437,667       253,494     1,815,867        26,951       193,060   
NET One Systems Co., Ltd. (Japan)                      27       560,255            --            --            --            --   
Netegrity, Inc. (NON)                               6,600       162,525        11,800       290,575            --            --   
NETIQ Corp. (NON)                                   8,300       156,663        14,900       281,238            --            --   
NIIT, Ltd. (India) (NON)                           15,700       241,208            --            --            --            --   
Open Text Corp. (Canada) (NON)                     32,480       634,496            --            --            --            --   
Openwave Systems, Inc. (NON)                          844        16,745         1,888        37,458            --            --   
Oracle Corp. (NON)                                 52,500       786,450        98,400     1,474,032         8,800       131,824   
Parametric Technology Corp. (NON)                  13,300       120,531        30,300       274,594            --            --   
PeopleSoft, Inc. (NON)                              1,900        44,531         4,300       100,781            --            --   
Rational Software Corp. (NON)                       2,200        39,050         5,000        88,750            --            --   
Remedy Corp. (NON)                                  8,100       155,925        14,800       284,900            --            --   
Retek, Inc. (NON)                                  18,500       348,031        33,700       633,981            --            --   
SAP AG (Germany)                                   11,851     1,356,218        13,214     1,512,199         1,442       165,021   
Satyam Computer Services, Ltd.                                                                                                    
(India) (NON)                                      63,500       318,590            --            --            --            --   
Secure Computing Corp. (NON)                       41,900       403,288        74,800       719,950            --            --   
Siebel Systems, Inc. (NON)                         29,500       802,400        50,500     1,373,600         7,250       197,200   
Symantec Corp. (NON)                                  800        33,450         1,800        75,263            --            --   
Synopsys, Inc. (NON)                                1,300        61,019         3,000       140,813            --            --   
VERITAS Software Corp. (NON)                       50,003     2,312,139        86,591     4,003,968        11,425       528,292   
Verity, Inc. (NON)                                  9,680       219,615        17,300       392,494            --            --   
Wipro, Ltd. ADR (India) (NON)                       5,600       179,760            --            --            --            --   
Zebra Technology Corp. (NON)                        6,100       232,563        11,100       423,188            --            --   
                                                           ------------                ------------                ------------   
                                                             36,064,609                  51,931,624                   5,074,117   

Technology                                                         0.2%                        0.1%                        0.1%   
-------------------------------------------------------------------------------------------------------------------------------   
Informa Group PLC                                                                                                                 
(United Kingdom) (NON)                             48,280       362,497            --            --            --            --   
Koninklijke Philips Electronics NV                                                                                                
(Netherlands)                                     118,050     3,244,376        48,451     1,331,582        20,340       559,006   
                                                           ------------                ------------                ------------   
                                                              3,606,873                   1,331,582                     559,006   

Technology Services                                                0.5%                        0.4%                         --%   
-------------------------------------------------------------------------------------------------------------------------------   
Acxiom Corp. (NON)                                    700        14,613         1,600        33,400            --            --   
Affiliated Computer Services, Inc.                                                                                                
Class A (NON)                                         600        38,940         1,400        90,860            --            --   
Altran Technologies SA (France)                    28,314     1,585,086            --            --            --            --   
American Management Systems (NON)                  12,400       227,075        22,900       419,356            --            --   
Automatic Data Processing, Inc.                     4,800       261,024        10,900       592,742            --            --   
BISYS Group, Inc. (The) (NON)                         600        32,063         1,400        74,813            --            --   
CACI International, Inc. (NON)                      5,800       156,600        10,600       286,200            --            --   
Checkfree Corp. (NON)                               3,200        94,200         7,300       214,894            --            --   
Ciber, Inc. (NON)                                  30,100       146,888        54,700       266,936            --            --   
CNET Networks, Inc. (NON)                           1,500        16,781         3,400        38,038            --            --   
Cognizant Technology Solutions Corp. (NON)          9,500       285,594        17,000       511,063            --            --   
Commerce One, Inc. (NON)                            2,000        18,660         4,600        42,918            --            --   
Computer Task Group, Inc.                          32,900       152,985        58,600       272,490            --            --   
Convergys Corp. (NON)                               6,700       241,669        14,500       523,015           300        10,821   
CSG Systems International, Inc. (NON)                 900        37,069         2,100        86,494            --            --   
Davox Corp. (NON)                                  16,100       183,138        29,500       335,563            --            --   
Digex, Inc. (NON)                                     500         6,969         1,100        15,331            --            --   
Electronic Data Systems Corp.                       6,900       385,434        14,200       793,212           900        50,274   
Fiserv, Inc. (NON)                                    600        26,841         1,400        62,628            --            --   
Forrester Research, Inc. (NON)                     13,800       328,613        24,700       588,169            --            --   
GFI Informatique (France) (NON)                    29,130       646,129            --            --            --            --   
Global Payments, Inc. (NON)                        18,080       334,480        32,240       596,440            --            --   
GoTo.com, Inc. (NON)                               17,700       138,834        32,200       252,569            --            --   
Keane, Inc. (NON)                                  22,000       286,000        40,000       520,000            --            --   
KPMG Consulting, Inc. (NON)                        28,500       370,500        52,300       679,900         7,200        93,600   
Logica PLC (United Kingdom)                        57,591       810,355            --            --            --            --   
MTS Systems Corp.                                  47,800       434,681        85,000       772,969            --            --   
SEI Investments Co.                                 1,600        49,900         3,600       112,275            --            --   
StarMedia Network, Inc. (NON)                     191,500       574,500            --            --            --            --   
SunGard Data Systems, Inc. (NON)                      800        39,384         1,800        88,614            --            --   
Symbol Technologies, Inc.                           1,800        62,820         4,100       143,090            --            --   
Unisys Corp. (NON)                                 38,600       540,400        69,400       971,600        10,000       140,000   
Yahoo!, Inc. (NON)                                  2,100        33,075         4,800        75,600            --            --   
                                                           ------------                ------------                ------------   
                                                              8,561,300                   9,461,179                     294,695   

Telecommunications                                                 3.2%                        2.0%                        0.6%   
-------------------------------------------------------------------------------------------------------------------------------   
Advanced Info Service Public Co., Ltd.                                                                                            
(Thailand)                                         45,400       430,121            --            --            --            --   
ALLTEL Corp.                                       15,900       834,114        30,100     1,579,046         3,400       178,364   
America Movil SA de Cv ADR                                                                                                        
(Mexico) (NON)                                     61,437       900,052         7,879       115,427            --            --   
American Tower Corp. Class A (NON)                    600        11,100         1,400        25,900            --            --   
AT&T Corp.                                         80,000     1,704,000       157,600     3,356,880        13,500       287,550   
AT&T Wireless Group (NON)                           2,200        42,196         5,000        95,900            --            --   
Avaya, Inc. (NON)                                   2,041        26,533         4,616        60,008            --            --   
BCE, Inc. (Canada)                                 24,199       544,827        51,963     1,169,919            --            --   
BCE, Inc. (Canada)                                 85,256     1,919,113        62,666     1,410,612            --            --   
Brasil Telecom Paricipacoes S/A ADR                                                                                               
(Brazil) (NON)                                      9,300       364,095            --            --            --            --   
British Telecommunications PLC ADR                                                                                                
(United Kingdom) (NON)                             45,000       326,188            --            --            --            --   
Cable & Wireless PLC                                                                                                              
(United Kingdom) (NON)                            316,697     2,138,077       319,415     2,156,427        35,703       241,037   
Carso Global Telecom (Mexico) (NON)               577,000     1,033,614            --            --            --            --   
CenturyTel, Inc.                                      500        14,375         1,100        31,625            --            --   
China Mobile, Ltd. (Hong Kong) (NON)              754,498     3,318,239       216,500       952,155        26,000       114,347   
Citizens Communications Co. (NON)                   1,100        13,915         2,500        31,625            --            --   
Comdisco, Inc.                                      8,300        66,400        18,900       151,200            --            --   
Compania Telecommunicaciones                                                                                                      
de Chile SA ADR (Chile)                            21,500       283,800            --            --            --            --   
Cosmote Mobile Communications SA                                                                                                  
144A (Greece) (NON)                                81,200       640,067            --            --            --            --   
Crown Castle International Corp. (NON)              1,800        26,663         4,137        61,279            19           281   
Deutsche Telekom AG (Germany)                      17,000       401,111            --            --            --            --   
Embratel Participacoes S/A (Brazil)                45,300       421,290            --            --            --            --   
Embratel Participacoes S/A ADR                                                                                                    
(Brazil)                                            8,900        77,454            --            --            --            --   
Energis PLC (United Kingdom) (NON)                129,600       513,919            --            --            --            --   
France Telecom SA (France)                         35,010     2,052,759        52,198     3,060,551         5,820       341,247   
Global Crossing, Ltd. (NON)                        11,100       149,739        25,300       341,297            --            --   
Grupo Iusacell SA de CV ADR                                                                                                       
(Mexico) (NON)                                     12,900       103,845            --            --            --            --   
Humax Co., Ltd. (South Korea)                      31,650       404,549            --            --            --            --   
Illuminet Holdings, Inc. (NON)                     18,800       386,575        34,300       705,294            --            --   
Japan Telecom Co., Ltd. (Japan)                         1        17,877             2        35,754            --            --   
Johnnies Industrial Corp.                                                                                                         
(South Africa) (NON)                               87,200       631,703            --            --            --            --   
Leap Wireless (NON)                                 9,700       272,206        17,300       485,481            --            --   
Level 3 Communication, Inc. (NON)                   3,400        59,075         7,700       133,788            --            --   
McLeodUSA, Inc. Class A (NON)                       2,600        22,588         5,900        51,256            --            --   
Nextel Communications, Inc. Class A (NON)           2,900        41,688         6,600        94,875            --            --   
Nippon Telegraph and Telephone Corp.                                                                                              
(Japan)                                               999     6,378,292           850     5,426,975           116       740,623   
NTL, Inc. (United Kingdom) (NON)                       --            --            --            --            14           352   
NTT DoCoMo, Inc. (Japan)                              257     4,471,349           320     5,567,438            49       852,514   
NTT DoCoMo, Inc. 144A (Japan) (NON)                    66     1,148,284           140     2,435,754            16       278,372   
Orange SA (France) (NON)                           37,505       321,489            --            --            --            --   
Orange SA 144A (France) (NON)                      19,000       162,866            --            --            --            --   
Pac-West Telecomm Inc. (NON)                       94,800       331,800       172,500       603,750            --            --   
Portugal Telecom SA (Portugal)                    265,341     2,274,474       160,900     1,379,217        71,800       615,462   
Qwest Communications                                                                                                              
International, Inc. (NON)                          47,063     1,649,558        87,234     3,057,552         8,700       304,935   
Royal PTT (United Kingdom)                          9,765        95,440            --            --            --            --   
Singapore Telecommunications                                                                                                      
(Singapore)                                        97,000       102,105            --            --            --            --   
SK Telecom Co., Ltd. (South Korea)                  9,870     1,358,053            --            --            --            --   
SK Telecom Co., Ltd. ADR                                                                                                          
(South Korea)                                      20,700       314,226        41,400       628,452            --            --   
Sonera Group OYJ (Finland)                          3,700        26,811            --            --            --            --   
Sprint Corp. (Fon Group)                           53,400     1,174,266       103,200     2,269,368        10,300       226,497   
Sprint Corp. (PCS Group) (NON)                        700        13,300         1,600        30,400            --            --   
Swisscom AG ADR (Switzerland)                         700       158,215            --            --            --            --   
Taiwan Cellular Corp. (Taiwan) (NON)              184,000       278,491            --            --            --            --   
Tele Celular Sul Participacoes S/A                                                                                                
(Brazil)                                          107,200       148,476            --            --            --            --   
Tele Celular Sul Participacoes S/A                                                                                                
ADR (Brazil)                                       28,300       503,740            --            --            --            --   
Tele Danmark A/S (Denmark)                         22,028       773,164            --            --            --            --   
Tele Norte Leste Participacoes S/A                                                                                                
ADR (Brazil)                                       40,800       664,224            --            --            --            --   
Telecom Italia Mobile SpA (Italy)                  80,800       545,519            --            --            --            --   
Telefonos de Mexico S/A ADR Class L                                                                                               
(Mexico)                                           99,237     3,129,935        27,579       869,842            --            --   
Telekom Austria AG (Austria) (NON)                  6,000        31,124            --            --            --            --   
Telekomunikacja Polska SA (Poland)                 70,921       380,120            --            --            --            --   
Telemig Celular Participacoes S/A ADR                                                                                             
(Brazil)                                            4,300       172,215            --            --            --            --   
Telephone and Data Systems, Inc.                      500        46,750         1,100       102,850            --            --   
Telesp Celular Participacoes S/A (Brazil)          49,500       289,778            --            --            --            --   
TyCom, Ltd. (Bermuda) (NON)                         3,800        49,970         8,700       114,405            --            --   
United States Cellular Corp. (NON)                    300        19,050           700        44,450            --            --   
Videsh Sanchar Nigam, Ltd. ADR (India)             20,075       237,889            --            --            --            --   
Vodafone Group PLC (United Kingdom)             2,963,549     8,129,338     3,461,415     9,495,039       388,703     1,066,255   
Voicestream Wireless Corp. (NON)                    1,209       111,681         2,722       251,422            --            --   
Western Wireless Corp. (NON)                        2,990       121,469         6,822       277,144            --            --   
Worldcom, Inc. (NON)                               79,600     1,487,525       151,225     2,826,017        16,400       306,475   
XO Communications, Inc. (NON)                     127,100       889,700       212,500     1,487,500        32,500       227,500   
                                                           ------------                ------------                ------------   
                                                             58,184,553                  52,973,874                   5,781,811   

Telephone                                                          0.6%                        0.3%                        0.1%   
-------------------------------------------------------------------------------------------------------------------------------   
Allegiance Telecom, Inc. (NON)                        650         9,588         1,450        21,388            --            --   
Broadwing, Inc. (NON)                               5,000        95,750        11,700       224,055            --            --   
Korea Telecom Corp. ADR                                                                                                           
(South Korea)                                      49,580     1,151,248        53,300     1,237,626            --            --   
MGC Communications, Inc. (NON)                        604         1,529            --            --           120           304   
Mpower Communications Corp.                            --            --           255           645           402         1,018   
Philippine Long Distance Telephone Co.                                                                                            
ADR (Philippines)                                  14,100       202,335            --            --            --            --   
Telecom Corp. of New Zealand, Ltd.                                                                                                
(New Zealand)                                      95,527       222,736            --            --            --            --   
Telecom Italia SpA (Italy)                        495,631     4,993,076       319,393     3,217,623        35,868       361,341   
Telecom Italia SpA RNC (Italy)                    366,724     1,983,333       423,249     2,289,034        47,700       257,973   
TelecomAsia Corporation Public Co.,                                                                                               
Ltd. (Thailand) (NON)                             593,800       250,911            --            --            --            --   
Telefonica SA (Spain) (NON)                        48,258       776,150         1,625        26,135           323         5,195   
Telekom Malaysia Berhad (Malaysia)                197,000       606,553            --            --            --            --   
                                                           ------------                ------------                ------------   
                                                             10,293,209                   7,016,506                     625,831   

Textiles                                                           0.1%                        0.1%                         --%   
-------------------------------------------------------------------------------------------------------------------------------   
Far Eastern Textile, Ltd. (Taiwan)                454,760       319,912            --            --            --            --   
Interface, Inc.                                    48,600       334,125        89,000       611,875            --            --   
Liz Claiborne, Inc.                                   500        23,525         1,100        51,755            --            --   
Nike, Inc.                                            600        24,330         1,400        56,770            --            --   
V. F. Corp.                                           600        21,000         1,400        49,000            --            --   
WESCO International, Inc. (NON)                    51,000       471,750        91,600       847,300            --            --   
Wilsons The Leather Experts (NON)                   6,400       122,000        11,800       224,938            --            --   
Wolverine World Wide, Inc.                         35,200       513,216        63,400       924,372            --            --   
                                                           ------------                ------------                ------------   
                                                              1,829,858                   2,766,010                          --   

Tire & Rubber                                                       --%                         --%                         --%   
-------------------------------------------------------------------------------------------------------------------------------   
Goodyear Tire & Rubber Co. (The)                      600        14,310         1,400        33,390            --            --   
Michelin Corp. Class B SA (France)                  5,200       169,518            --            --            --            --   
                                                           ------------                ------------                ------------   
                                                                183,828                      33,390                          --   

Tobacco                                                            0.6%                        0.5%                        0.2%   
-------------------------------------------------------------------------------------------------------------------------------   
Altadis SA (Spain)                                106,500     1,317,597        32,220       398,619         3,660        45,281   
BAT Industries PLC (United Kingdom)                18,100       133,516            --            --            --            --   
Cie Finance Richemont AG                                                                                                          
(Switzerland)                                         513     1,159,193         1,017     2,298,049           114       257,598   
ITC, Ltd. (India)                                  24,600       429,735            --            --            --            --   
Philip Morris Cos., Inc.                          119,403     5,665,672       224,525    10,653,711        25,771     1,222,834   
R.J. Reynolds Tobacco Holdings, Inc.                2,100       117,810         4,800       269,280            --            --   
Shanghai Industrial Holdings, Ltd.                                                                                                
(Hong Kong)                                       111,000       180,752            --            --            --            --   
Swedish Match AB (Sweden)                         231,060       996,866            --            --            --            --   
UST, Inc.                                           3,300        99,165         7,500       225,375            --            --   
                                                           ------------                ------------                ------------   
                                                             10,100,306                  13,845,034                   1,525,713   

Toys                                                               0.1%                        0.1%                         --%   
-------------------------------------------------------------------------------------------------------------------------------   
Mattel, Inc.                                        7,600       134,824        17,300       306,902            --            --   
Nintendo Co., Ltd. (Japan)                          7,400     1,211,285        13,100     2,144,302         2,100       343,743   
Toys R Us (NON)                                     1,600        40,160         3,600        90,360            --            --   
Zapf Creaton AG (Germany)                          19,436       669,848            --            --            --            --   
                                                           ------------                ------------                ------------   
                                                              2,056,117                   2,541,564                     343,743   

Transaction Processing                                              --%                        0.1%                         --%   
-------------------------------------------------------------------------------------------------------------------------------   
Concord EFS, Inc. (NON)                             1,700        68,744         3,900       157,706            --            --   
National Data Corp.                                30,300       707,505        53,800     1,256,230            --            --   
NOVA Corp./Georgia (NON)                              600        11,064         1,400        25,816            --            --   
                                                           ------------                ------------                ------------   
                                                                787,313                   1,439,752                          --   

Transportation Services                                            0.2%                         --%                         --%   
-------------------------------------------------------------------------------------------------------------------------------   
Deutsche Post AG 144A (Germany)                    14,600       257,395        24,600       433,693         2,500        44,075   
Firstgroup PLC (United Kingdom)                   494,537     2,145,558            --            --            --            --   
Grupo Aeroportuario del Sureste SA                                                                                                
de CV ADR (Mexico) (NON)                           99,200     1,920,512            --            --            --            --   
TNT Post  Group NV (Netherlands)                    5,000       104,718            --            --            --            --   
                                                           ------------                ------------                ------------   
                                                              4,428,183                     433,693                      44,075   

Trucks & Parts                                                      --%                         --%                         --%   
-------------------------------------------------------------------------------------------------------------------------------   
Johnson Controls, Inc.                              1,000        62,460         2,300       143,658            --            --   
PACCAR, Inc.                                          500        22,406         1,100        49,294            --            --   
                                                           ------------                ------------                ------------   
                                                                 84,866                     192,952                          --   

Utilities                                                           --%                         --%                         --%   
-------------------------------------------------------------------------------------------------------------------------------   
Celcaribe SA (France) (NON)                        28,943         3,618            --            --         2,316           290   
EVN AG (Australia)                                  1,000        29,162            --            --            --            --   
Tenneco, Inc. (Malaysia)                          153,000       475,105            --            --            --            --   
                                                           ------------                ------------                ------------   
                                                                507,885                          --                         290   

Waste Management                                                   0.2%                        0.2%                        0.1%   
-------------------------------------------------------------------------------------------------------------------------------   
Republic Services, Inc. (NON)                      74,800     1,402,500       132,700     2,488,125        19,500       365,625   
Stericycle, Inc. (NON)                              4,900       218,663         8,800       392,700            --            --   
Tomra Systems ASA (Norway) (NON)                      700        10,916            --            --            --            --   
Waste Management, Inc.                             65,700     1,622,790       123,633     3,053,735        14,200       350,740   
                                                           ------------                ------------                ------------   
                                                              3,254,869                   5,934,560                     716,365   

Water Utilities                                                    0.2%                         --%                         --%   
-------------------------------------------------------------------------------------------------------------------------------   
Anglian Water PLC (United Kingdom)                 16,500       135,432            --            --            --            --   
Kelda Group PLC (United Kingdom)                  250,600     1,243,060            --            --            --            --   
Severn Trent Water PLC                                                                                                            
(United Kingdom)                                  219,203     2,163,737            --            --            --            --   
Suez Lyonnaise des Eaux (France)                    3,017       445,243            --            --            --            --   
                                                         --------------              --------------                ------------   
                                                              3,987,472                          --                          --   
                                                         --------------              --------------                ------------   
Total Common Stocks                                                                                                               
(cost $1,310,265,399,                                                                                                             
$1,545,102,547 and $138,810,795)                         $1,180,719,953              $1,433,087,589                $125,945,053   
-------------------------------------------------------------------------------------------------------------------------------   

                                                          GROWTH                     BALANCED                 CONSERVATIVE        

                                                                  13.0%                        3.2%                        5.4%   
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               $       -- $          --   $    52,361 $      52,222   $    50,375 $      50,241   
Capital One Master Trust Ser. 96-2,                                                                                               
Class A, 5.669s, 2005                           8,435,000     8,437,615     2,870,000     2,870,890     1,695,000     1,695,525   
Capital One Master Trust Ser. 99-2,                                                                                               
Class A, 5.694s, 2005                          12,679,000    12,671,012     4,212,000     4,209,346       609,000       608,616   
Chase Credit Card Master Trust                                                                                                    
Ser. 00-2, Class A, 5.264s, 2005               10,012,000    10,015,104     3,326,000     3,327,031     2,162,000     2,162,670   
Chevy Chase Master Credit Card Trust                                                                                              
Ser. 95-C, Class A, 5.424s, 2006                6,488,000     6,492,023     2,208,000     2,209,369     1,304,000     1,304,808   
Conseco Finance Securitization                                                                                                    
Ser. 00-4, Class A6, 8.31s, 2032                  885,000       943,908     3,680,000     3,924,950     1,900,000     2,026,469   
Conseco Finance Securitization                                                                                                    
Ser. 00-5, Class A6, 7.96s, 2032                  505,000       528,672     2,105,000     2,203,672     1,090,000     1,141,094   
Discover Card Master Trust I                                                                                                      
Ser. 00-3, Class A, 5.284s, 2005               15,000,000    15,009,300     5,000,000     5,003,100     5,000,000     5,003,100   
Federal Home Loan Mortgage                                                                                                        
Acceptance Corp. Ser. T-25,                                                                                                       
Class A1, 6.791s, 2030                         18,916,009    18,916,009     1,616,304     1,616,304            --            --   
First Plus 144A Ser. 98-A, Class A,                                                                                               
8 1/2s, 2023                                      157,050       118,426       339,086       255,692       521,122       392,958   
First USA Credit Card Master Trust                                                                                                
Ser. 95-2, Class A, 6.28s, 2004                 7,096,000     7,107,070     1,304,000     1,306,034            --            --   
First USA Credit Card Master Trust                                                                                                
Ser. 98-1, Class A, 5.96s, 2006                 9,495,000     9,491,012     3,155,000     3,153,675     2,050,000     2,049,139   
Fleet Credit Card Master Trust II                                                                                                 
Ser. 00-B, Class A, 5.274s, 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. 00-B, Class A, 5.998s, 2005               30,000,000    30,018,600    10,000,000    10,006,200            --            --   
MBNA Master Credit Card Trust                                                                                                     
Ser. 95-E, Class A, 6.103s, 2005                9,213,000     9,230,228       787,000       788,472            --            --   
MBNA Master Credit Card Trust                                                                                                     
Ser. 96-E, Class A, 5.334s, 2005               30,000,000    30,046,800    12,000,000    12,018,720     8,000,000     8,012,480   
MBNA Master Credit Card Trust                                                                                                     
Ser. 96-J, Class A, 5.314s, 2006               30,000,000    30,046,800    20,000,000    20,031,200    20,000,000    20,031,200   
MBNA Master Credit Card Trust                                                                                                     
Ser. 96-K, Class A, 5.294s, 2006                9,365,000     9,373,709     3,112,000     3,114,894     2,023,000     2,024,881   
MBNA Master Credit Card Trust                                                                                                     
Ser. 98-A, Class A, 5.274s, 2005               21,345,000    21,358,234     4,743,000     4,745,941     2,407,000     2,408,492   
Provident Bank Home Equity                                                                                                        
Loan Trust 6.798s, 2019                                --            --        77,263        77,263            --            --   
                                                           ------------                ------------                ------------   
Total Asset-Backed Securities                                                                                                     
(cost $234,786,394, $85,687,000                                                                                                   
and $53,867,143)                                           $234,809,172                $ 85,916,525                $ 53,913,223   
-------------------------------------------------------------------------------------------------------------------------------   

                                                         GROWTH                     BALANCED                 CONSERVATIVE         

                                                                  12.7%                       16.9%                       39.5%   
CORPORATE BONDS                                 Principal                   Principal                   Principal                 
AND NOTES                                          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   
AOA Holdings LLC                                                                                                                  
sr. notes 10 3/8s, 2006                           520,000       494,000            --            --       260,000       247,000   
Interact Operating Co.                                                                                                            
144A notes 14s, 2003                              245,008         4,900            --            --        55,126         1,103   
Lamar Media Corp.                                                                                                                 
company guaranty 9 5/8s, 2006                     790,000       825,550            --            --       615,000       642,675   
Lamar Media Corp.                                                                                                                 
sr. sub. notes 9 1/4s, 2007                       105,000       107,625            --            --            --            --   
                                                           ------------                ------------                ------------   
                                                              1,529,925                          --                     952,578   

Aerospace and Defense                                              0.3%                        0.4%                        0.8%   
-------------------------------------------------------------------------------------------------------------------------------   
Argo-Tech Corp. company guaranty                                                                                                  
Ser. D, 8 5/8s, 2007                               80,000        71,600            --            --       240,000       214,800   
Argo-Tech Corp. 144A company                                                                                                      
guaranty 8 5/8s, 2007                           1,085,000       971,075            --            --       360,000       322,200   
BE Aerospace, Inc. sr. sub. notes                                                                                                 
9 1/2s, 2008                                      865,000       888,788            --            --       470,000       482,925   
BE Aerospace, Inc. sr. sub. notes                                                                                                 
Ser. B, 8s, 2008                                  520,000       501,800            --            --       180,000       173,700   
Decrane Aircraft Holdings Co.                                                                                                     
company guaranty Ser. B, 12s, 2008                     --            --            --            --       150,000       142,875   
L-3 Communications Corp. company                                                                                                  
guaranty Ser. B, 8s, 2008                         300,000       295,500            --            --        80,000        78,800   
L-3 Communications Corp.                                                                                                          
sr. sub. notes 8 1/2s, 2008                       950,000       954,750            --            --       290,000       291,450   
L-3 Communications Corp.                                                                                                          
sr. sub. notes Ser. B, 10 3/8s, 2007                   --            --            --            --        40,000        41,000   
Lockheed Martin Corp. bonds                                                                                                       
8 1/2s, 2029                                           --            --     3,265,000     3,690,952     1,830,000     2,068,742   
Lockheed Martin Corp. company                                                                                                     
guaranty 7 1/4s, 2006                                  --            --     5,165,000     5,412,817     2,475,000     2,593,751   
Moog, Inc. sr. sub. notes Ser. B, 10s, 200        290,000       291,450            --            --       140,000       140,700   
Sequa Corp. sr. notes 9s, 2009                    760,000       765,700     1,070,000     1,078,025     1,440,000     1,450,800   
                                                           ------------                ------------                ------------   
                                                              4,740,663                  10,181,794                   8,001,743   

Agriculture                                                        0.1%                         --%                         --%   
-------------------------------------------------------------------------------------------------------------------------------   
Premium Standard Farms, Inc.                                                                                                      
sr. sec. notes 11s, 2003 (PIK)                  1,491,122     1,416,566            --            --       829,560       788,082   

Airlines                                                           0.1%                        0.7%                        1.3%   
-------------------------------------------------------------------------------------------------------------------------------   
Air Canada Corp. 144A 10 1/4s, 2011                                                                                               
(Canada)                                          250,000       242,500            --            --       120,000       116,400   
Airbus Industries 144A notes Ser. D,                                                                                              
12.266s, 2020                                     200,000       215,244       550,000       591,920       450,000       484,298   
Calair LLC 144A company guaranty                                                                                                  
8 1/8s, 2008                                      710,000       683,375     2,490,000     2,396,625     1,620,000     1,559,250   
Northwest Airlines, Inc. company                                                                                                  
guaranty 8.7s, 2007                                    --            --     1,330,000     1,297,535       170,000       165,850   
Northwest Airlines, Inc. company                                                                                                  
guaranty 8.52s, 2004                                   --            --     3,160,000     3,164,203     2,890,000     2,893,844   
Northwest Airlines, Inc. company                                                                                                  
guaranty 8 3/8s, 2004                             410,000       405,957            --            --        40,000        39,606   
Northwest Airlines, Inc. company                                                                                                  
guaranty 7 5/8s, 2005                              80,000        78,421            --            --       170,000       166,644   
United Air Lines Corp. deb. 9 3/4s, 2021               --            --     3,370,000     3,237,391     2,630,000     2,526,510   
United Air Lines Corp. pass-through                                                                                               
certificates Ser. 00-2, 7.186s, 2011                   --            --     4,190,000     4,357,265     2,720,000     2,828,582   
US Air, Inc. pass thru certificates                                                                                               
Ser. 93-A2, 9 5/8s, 2003                          100,000        99,638       270,000       269,023       230,000       229,167   
US Air, Inc. pass-through certificates                                                                                            
Ser. 93-A3, 10 3/8s, 2013                         280,000       277,200     2,400,000     2,376,000     1,780,000     1,762,200   
                                                           ------------                ------------                ------------   
                                                              2,002,335                  17,689,962                  12,772,351   

Automotive                                                         0.3%                        0.4%                        0.7%   
-------------------------------------------------------------------------------------------------------------------------------   
Aftermarket Technology Corp.                                                                                                      
sr. sub. notes 12s, 2004                          763,000       717,220            --            --       398,000       374,120   
Collins & Aikman Products, Inc.                                                                                                   
company guaranty 11 1/2s, 2006                    310,000       255,750            --            --       160,000       132,000   
Dana Corp. notes 6 1/4s, 2004                     440,000       394,808            --            --       210,000       188,431   
Delphi Automotive Systems Corp.                                                                                                   
notes 6 1/8s, 2004                                     --            --     3,660,000     3,645,287     1,895,000     1,887,382   
Dura Operating Corp. company                                                                                                      
guaranty Ser. B, 9s, 2009                         520,000       452,400            --            --       250,000       217,500   
Federal Mogul Corp. notes 7 3/4s, 2006          1,510,000       211,400            --            --       540,000        75,600   
Federal Mogul Corp. notes 7 3/8s, 2006             90,000        12,600            --            --            --            --   
Ford Motor Co. bonds 6 5/8s, 2028                      --            --     3,440,000     3,048,597     1,810,000     1,604,058   
Hayes Lemmerz International, Inc.                                                                                                 
company guaranty Ser. B, 8 1/4s, 2008             630,000       428,400            --            --        80,000        54,400   
Hayes Wheels International, Inc.                                                                                                  
company guaranty 11s, 2006                        300,000       249,000            --            --        80,000        66,400   
Hayes Wheels International, Inc.                                                                                                  
company guaranty Ser. B, 9 1/8s, 2007             915,000       658,800            --            --       300,000       216,000   
Hayes Wheels International, Inc. 144A                                                                                             
sr. sub. notes 9 1/8s, 2007                       280,000       198,800            --            --       570,000       404,700   
Lear Corp. company guaranty Ser. B,                                                                                               
8.11s, 2009                                       670,000       669,410            --            --       340,000       339,701   
Lear Corp. company guaranty Ser. B,                                                                                               
7.96s, 2005                                       560,000       566,698            --            --       260,000       263,110   
Lear Corp. sub. notes 9 1/2s, 2006                     --            --     2,480,000     2,550,184       210,000       215,943   
Oxford Automotive, Inc. company                                                                                                   
guaranty Ser. D, 10 1/8s, 2007                  1,300,000       793,000            --            --       640,000       390,400   
Safety Components International, Inc.                                                                                             
sr. sub. notes Ser. B, 10 1/8s, 2007                                                                                              
(In default) (NON)                                160,000        64,400            --            --        35,000        14,088   
Talon Automotive Group sr. sub. notes                                                                                             
Ser. B, 9 5/8s, 2008 (In default) (NON)           780,000        39,000            --            --       190,000         9,500   
Visteon Corp. sr. notes 8 1/4s, 2010                   --            --     1,405,000     1,475,444       730,000       766,601   
                                                           ------------                ------------                ------------   
                                                              5,711,686                  10,719,512                   7,219,934   

Banking                                                            0.3%                        2.1%                        3.6%   
-------------------------------------------------------------------------------------------------------------------------------   
Bank of America Corp. sub. notes                                                                                                  
7.4s, 2011                                             --            --     2,680,000     2,819,976     1,135,000     1,194,281   
Bank One Corp. sub notes 7 7/8s, 2010                  --            --     3,260,000     3,535,968     1,900,000     2,060,840   
BankAmerica Corp. sr. notes                                                                                                       
5 7/8s, 2009                                           --            --    10,035,000     9,632,998     6,150,000     5,903,631   
Chevy Chase Savings Bank, Inc.                                                                                                    
sub. deb. 9 1/4s, 2008                            330,000       325,050            --            --            --            --   
Chevy Chase Savings Bank, Inc.                                                                                                    
sub. deb. 9 1/4s, 2005                            120,000       119,400            --            --       300,000       298,500   
Citicorp, Inc. sub. notes 6 3/8s, 2008                 --            --     1,190,000     1,189,334       565,000       564,684   
Citigroup, Inc. deb. 6 5/8s, 2028                      --            --     1,770,000     1,667,198       970,000       913,662   
Citigroup, Inc. notes 6 1/2s, 2011                     --            --     1,700,000     1,714,093     1,015,000     1,023,414   
Colonial Bank sub. notes 8s, 2009                      --            --     1,390,000     1,348,717       610,000       591,883   
Colonial Capital II 144A company                                                                                                  
guaranty 8.92s, 2027                              395,000       368,649       540,000       503,976       980,000       914,622   
CSBI Capital Trust I 144A company                                                                                                 
guaranty 11.75%, 2007                                  --            --            --            --        90,000       103,050   
Dime Capital Trust I bank guaranty                                                                                                
Ser. A, 9.33s, 2027                                    --            --     3,370,000     3,294,883     2,320,000     2,268,287   
First Union Capital II company                                                                                                    
guaranty Ser. A, 7.95s, 2029                           --            --     4,755,000     4,643,353     3,155,000     3,080,921   
Firstar Bank Milwaukee sr. bank notes                                                                                             
6 1/4s, 2002                                           --            --     1,420,000     1,448,343       805,000       821,068   
FleetBoston Financial Corp. notes                                                                                                 
7 1/4s, 2005                                           --            --     4,690,000     4,962,395     2,210,000     2,338,357   
GS Escrow Corp. sr. notes 7 1/8s, 2005          2,765,000     2,714,511     3,850,000     3,779,699     4,485,000     4,403,104   
Merita Bank, Ltd. sub. notes 6 1/2s, 2006                                                                                         
(Finland)                                              --            --     1,230,000     1,259,188       645,000       660,306   
NationsBank Corp. sub. notes                                                                                                      
6 7/8s, 2005                                           --            --     1,385,000     1,429,957       740,000       764,020   
Peoples Bank-Bridgeport sub. notes                                                                                                
7.2s, 2006                                             --            --     1,075,000     1,056,811       595,000       584,933   
Peoples Heritage Capital Trust                                                                                                    
company guaranty Ser. B, 9.06s, 2027                   --            --       210,000       185,795       175,000       154,830   
Provident Capital Trust                                                                                                           
company guaranty 8.6s, 2026                            --            --       190,000       166,157            --            --   
Riggs Capital Trust 144A bonds                                                                                                    
8 5/8s, 2026                                       35,000        23,561       120,000        80,779        70,000        47,121   
Sovereign Bancorp, Inc. sr. notes                                                                                                 
10 1/2s, 2006                                   1,580,000     1,674,800     5,220,000     5,533,200     4,290,000     4,547,400   
Sovereign Capital Trust                                                                                                           
company guaranty 9s, 2027                          50,000        32,983            --            --        45,000        29,684   
St. Paul Bancorp sr. notes 7 1/8s, 2004                --            --     1,070,000     1,091,047       585,000       596,507   
Webster Capital Trust I 144A bonds                                                                                                
9.36s, 2027                                         5,000         4,358        20,000        17,434       320,000       278,941   
Wells Fargo & Co. sr. notes 7 1/4s, 2005               --            --     4,710,000     5,004,422     2,225,000     2,364,085   
                                                           ------------                ------------                ------------   
                                                              5,263,312                  56,365,723                  36,508,131   

Beverage                                                            --%                        0.1%                        0.1%   
-------------------------------------------------------------------------------------------------------------------------------   
Anheuser-Busch Cos., Inc.                                                                                                         
deb. 7.55s, 2030                                       --            --     1,805,000     2,000,806       930,000     1,030,886   
Constellation Brands, Inc.                                                                                                        
company guaranty 8 1/2s, 2009                     100,000       101,000            --            --        60,000        60,600   
Constellation Brands, Inc. 144A                                                                                                   
sr. notes 8s, 2008                                410,000       419,225            --            --       140,000       143,150   
                                                           ------------                ------------                ------------   
                                                                520,225                   2,000,806                   1,234,636   

Broadcasting                                                       0.7%                        0.4%                        1.3%   
-------------------------------------------------------------------------------------------------------------------------------   
Acme Television 144A sr. disc. notes                                                                                              
10 7/8%, 2004                                     980,000       911,400            --            --       470,000       437,100   
Allbritton Communications Co. sr. sub.                                                                                            
notes Ser. B, 8 7/8s, 2008                        240,000       238,800            --            --       120,000       119,400   
AMFM Operating, Inc.                                                                                                              
deb. 12 5/8s, 2006 (PIK)                           25,500        28,178        63,600        70,278        22,200        24,531   
Benedek Communications Corp.                                                                                                      
sr. disc. notes stepped-coupon                                                                                                    
zero % (13 1/4s, 5/15/01), 2006 (STP)             560,000       375,200            --            --       275,000       184,250   
British Sky Broadcasting PLC                                                                                                      
company guaranty 8.2s, 2009                                                                                                       
(United Kingdom)                                   80,000        80,591            --            --        40,000        40,296   
British Sky Broadcasting PLC                                                                                                      
company guaranty 7.3s, 2006                                                                                                       
(United Kingdom)                                  150,000       149,241            --            --        70,000        69,646   
British Sky Broadcasting PLC                                                                                                      
company guaranty 6 7/8s, 2009                                                                                                     
(United Kingdom)                                  270,000       251,373     4,219,000     3,927,931     3,020,000     2,811,650   
Chancellor Media Corp.                                                                                                            
company guaranty 8s, 2008                       1,320,000     1,367,850            --            --       710,000       735,738   
Citadel Broadcasting, Inc. sr. sub. notes                                                                                         
10 1/4s, 2007                                     104,370       111,676            --            --       240,000       256,800   
Echostar Broadband Corp. sr. notes                                                                                                
10 3/8s, 2007                                   3,495,000     3,564,900            --            --     1,730,000     1,764,600   
Emmis Escrow Corp. 144A sr. disc.                                                                                                 
notes stepped-coupon zero %                                                                                                       
(12 1/2s, 3/15/06), 2011 (STP)                    270,000       149,175            --            --       130,000        71,825   
Fox Family Worldwide, Inc. sr. disc.                                                                                              
notes stepped-coupon zero %                                                                                                       
(10 1/4s, 11/1/02), 2007 (STP)                    390,000       335,400            --            --       130,000       111,800   
Fox Family Worldwide, Inc. sr. notes                                                                                              
9 1/4s, 2007                                      780,000       780,000            --            --       510,000       510,000   
Fox/Liberty Networks LLC sr. notes                                                                                                
8 7/8s, 2007                                      260,000       267,150            --            --       140,000       143,850   
Golden Sky Systems company                                                                                                        
guaranty Ser. B, 12 3/8s, 2006                    270,000       274,050            --            --       150,000       152,250   
Granite Broadcasting Corp.                                                                                                        
sr. sub. notes 9 3/8s, 2005                       225,000       157,500            --            --            --            --   
Granite Broadcasting Corp.                                                                                                        
sr. sub. notes 8 7/8s, 2008                            --            --            --            --       150,000       102,000   
Lin Holdings Corp. sr. disc. notes                                                                                                
stepped-coupon zero %                                                                                                             
(10s, 3/1/03), 2008 (STP)                         350,000       252,000            --            --       350,000       252,000   
LIN Television Corp.                                                                                                              
company guaranty 8 3/8s, 2008                   1,000,000       900,000            --            --       370,000       333,000   
News America Holdings, Inc.                                                                                                       
deb. 7.7s, 2025                                        --            --     7,085,000     6,676,621     3,590,000     3,383,072   
News America Holdings, Inc.                                                                                                       
sr. notes 6 5/8s, 2008                            440,000       425,823            --            --       200,000       193,556   
Pegasus Communications Corp.                                                                                                      
sr. notes Ser. B, 9 3/4s, 2006                    150,000       144,750            --            --        40,000        38,600   
Pegasus Media & Communications                                                                                                    
notes Ser. B, 12 1/2s, 2005                       200,000       204,000            --            --       140,000       142,800   
PHI Holdings, Inc. sr. sub. notes                                                                                                 
zero %, 2001                                      606,000       599,031            --            --       788,000       778,938   
Radio One, Inc. company quaranty                                                                                                  
Ser. B, 12s, 2004                                 255,000       267,750            --            --       130,000       136,500   
Sinclair Broadcast Group, Inc.                                                                                                    
company guaranty 9s, 2007                         230,000       211,600            --            --        90,000        82,800   
Sinclair Broadcast Group, Inc.                                                                                                    
sr. sub notes 10s, 2005                            40,000        38,200            --            --            --            --   
Sinclair Broadcast Group, Inc.                                                                                                    
sr. sub. notes 8 3/4s, 2007                       310,000       280,550            --            --       180,000       162,900   
Young Broadcasting, Inc. 144A                                                                                                     
sr. sub notes 10s, 2011                           800,000       772,000            --            --       380,000       366,700   
                                                           ------------                ------------                ------------   
                                                             13,138,188                  10,674,830                  13,406,602   

Building Materials                                                 0.1%                         --%                        0.2%   
-------------------------------------------------------------------------------------------------------------------------------   
American Standard, Inc.                                                                                                           
company guaranty 7 5/8s, 2010                     515,000       509,850            --            --       390,000       386,100   
American Standard, Inc.                                                                                                           
company guaranty 7 1/8s, 2003                     425,000       425,000            --            --       110,000       110,000   
Atrium Companies, Inc.                                                                                                            
company guaranty Ser. B,                                                                                                          
10 1/2s, 2009                                     180,000       148,500            --            --        50,000        41,250   
Building Materials Corp. of America                                                                                               
company guaranty 8s, 2008                         210,000       111,300     1,240,000       657,200       740,000       392,200   
Dayton Superior Corp.                                                                                                             
company guaranty 13s, 2009                        860,000       864,300            --            --       460,000       462,300   
NCI Building Systems, Inc. sr. sub. notes                                                                                         
Ser. B, 9 1/4s, 2009                              280,000       270,200            --            --       100,000        96,500   
Nortek, Inc. sr. notes Ser. B, 8 7/8s, 200        240,000       231,600            --            --       120,000       115,800   
                                                           ------------                ------------                ------------   
                                                              2,560,750                     657,200                   1,604,150   

Cable Television                                                   0.9%                        0.4%                        1.5%   
-------------------------------------------------------------------------------------------------------------------------------   
Adelphia Communications Corp.                                                                                                     
sr. notes 10 7/8s, 2010                           690,000       727,950            --            --       360,000       379,800   
Adelphia Communications Corp.                                                                                                     
sr. notes 7 7/8s, 2009                                 --            --       835,000       772,375       280,000       259,000   
Adelphia Communications Corp.                                                                                                     
sr. notes Ser. B, 9 7/8s, 2007                  1,335,000     1,338,338            --            --       795,000       796,988   
Adelphia Communications Corp.                                                                                                     
sr. notes Ser. B, 8 3/8s, 2008                     60,000        57,000            --            --            --            --   
Century Communications Corp.                                                                                                      
sr. notes 8 7/8s, 2007                            190,000       178,600        30,000        28,200        50,000        47,000   
Charter Communications Holdings LLC                                                                                               
sr. notes 8 1/4s, 2007                            190,000       181,925            --            --       100,000        95,750   
Charter Communications Holdings LLC                                                                                               
sr. notes 11 1/8s, 2011                         3,260,000     3,496,350            --            --     1,560,000     1,673,100   
Charter Communications Holdings LLC                                                                                               
sr. notes 10 3/4s, 2009                           120,000       127,800            --            --        60,000        63,900   
Comcast UK Cable, Ltd.                                                                                                            
deb. 10 3/4%, 11/15/2007                          550,000       495,000            --            --     1,090,000       981,000   
CSC Holdings, Inc. deb. 7 5/8s, 2018                   --            --     1,630,000     1,463,707     1,380,000     1,239,212   
CSC Holdings, Inc. sr. notes 7 7/8s, 2007              --            --     1,285,000     1,298,197       630,000       636,470   
CSC Holdings, Inc. sr. notes 7 1/4s, 2008              --            --       310,000       301,069       110,000       106,831   
CSC Holdings, Inc. sr. notes                                                                                                      
Ser. B, 8 1/8s, 2009                                   --            --     3,560,000     3,613,222     1,440,000     1,461,528   
CSC Holdings, Inc.                                                                                                                
sr. sub. deb. 10 1/2s, 2016                     1,090,000     1,199,000            --            --       720,000       792,000   
CSC Holdings, Inc.                                                                                                                
sr. sub. deb. 9 7/8s, 2013                        375,000       401,250     1,310,000     1,401,700     1,710,000     1,829,700   
Diamond Cable Communication Co.                                                                                                   
sr. disc. notes stepped-coupon                                                                                                    
zero % (10 3/4s, 2/15/02), 2007                                                                                                   
(United Kingdom) (STP)                          1,025,000       732,875     1,070,000       765,050     1,330,000       950,950   
Diva Systems Corp. sr. disc. notes                                                                                                
stepped-coupon Ser. B, zero %                                                                                                     
(12 5/8s, 3/1/03), 2008 (STP)                   1,719,000       429,750            --            --     1,063,000       265,750   
Insight Communications Company, Inc.                                                                                              
144A sr. disc. notes zero %, 2011                 110,000        60,225            --            --        30,000        16,425   
Insight Midwest LP/Insight Capital, Inc.                                                                                          
144A sr. notes 10 1/2s, 2010                      960,000     1,024,800            --            --       480,000       512,400   
International Cabletel, Inc.                                                                                                      
sr. disc. notes 11 1/2%, 2006                          --            --            --            --       500,000       442,500   
Jones Intercable, Inc. sr. notes 8 7/8s, 2             --            --     1,230,000     1,311,451       340,000       362,515   
Knology Holdings, Inc.                                                                                                            
sr. disc. notes stepped-coupon                                                                                                    
zero % (11 7/8s, 10/15/02), 2007 (STP)             45,000        11,250            --            --        20,000         5,000   
Mediacom LLC/Mediacom Capital                                                                                                     
Corp. 144A sr. notes 9 1/2s, 2013                 330,000       323,400            --            --       160,000       156,800   
NTL Communications Corp. sr. notes                                                                                                
Ser. B, 11 1/2s, 2008                           2,710,000     2,411,900            --            --       870,000       774,300   
RCN Corp. sr. notes 10 1/8s, 2010                      --            --            --            --       170,000        68,000   
Rogers Cablesystems, Ltd.                                                                                                         
deb. 10 1/8s, 2012 (Canada)                       180,000       192,600            --            --        90,000        96,300   
Rogers Cablesystems, Ltd.                                                                                                         
notes 11s, 2015 (Canada)                           90,000       100,800            --            --        50,000        56,000   
Supercanal Holdings SA 144A                                                                                                       
sr. notes 11 1/2s, 2005 (Argentina)                                                                                               
(In default) (NON)                                420,000        96,600            --            --       100,000        23,000   
TeleWest Communications PLC                                                                                                       
deb. 11s, 2007 (United Kingdom)                   450,000       439,875            --            --            --            --   
TeleWest Communications PLC                                                                                                       
sr. disc. notes stepped-coupon                                                                                                    
zero % (11 3/8s, 2/1/05), 2010                                                                                                    
(United Kingdom) (STP)                                 --            --            --            --       260,000       148,200   
TeleWest Communications PLC                                                                                                       
sr. disc. notes stepped-coupon                                                                                                    
zero % (9 1/4s, 4/15/04), 2009                                                                                                    
(United Kingdom) (STP)                            340,000       200,600            --            --            --            --   
TeleWest Communications PLC                                                                                                       
sr. notes 9 7/8s, 2010                                                                                                            
(United Kingdom)                                   70,000        65,800            --            --       270,000       253,800   
TeleWest Communications PLC                                                                                                       
144A sr. notes 11 1/4s, 2008                                                                                                      
(United Kingdom)                                  260,000       265,200            --            --       120,000       122,400   
United Pan-Europe NV sr. disc. notes                                                                                              
stepped-coupon zero %                                                                                                             
(13 3/4s, 2/1/05), 2010                                                                                                           
(Netherlands) (STP)                             1,340,000       455,600            --            --       160,000        54,400   
United Pan-Europe NV                                                                                                              
sr. notes Ser. B, 10 7/8s, 2007                                                                                                   
(Netherlands)                                     530,000       349,800            --            --       220,000       145,200   
United Pan-Europe NV 144A bonds                                                                                                   
10 7/8s, 2009 (Netherlands)                            --            --            --            --        80,000        53,600   
United Pan-Europe NV 144A                                                                                                         
sr. disc. notes12 1/2%, 2009                                                                                                      
(Netherlands)                                     670,000       234,500            --            --       750,000       262,500   
                                                           ------------                ------------                ------------   
                                                             15,598,788                  10,954,971                  15,132,319   

Chemicals                                                          0.5%                        0.5%                        1.3%   
-------------------------------------------------------------------------------------------------------------------------------   
ARCO Chemical Co. deb. 9.8s, 2020                      --            --            --            --       240,000       230,400   
Geo Specialty Chemicals, Inc.                                                                                                     
sr. sub. notes 10 1/8s, 2008                      840,000       747,600            --            --       350,000       311,500   
Georgia Gulf Corp.                                                                                                                
company guaranty 10 3/8s, 2007                    190,000       197,600            --            --        90,000        93,600   
Hercules, Inc. 144A                                                                                                               
company guaranty 11 1/8s, 2007                    110,000       111,100            --            --        30,000        30,300   
Huntsman Corp. 144A                                                                                                               
sr. sub. notes 9.486s, 2007                       760,000       566,200            --            --       100,000        74,500   
Huntsman ICI Chemicals, Inc.                                                                                                      
company guaranty 10 1/8s, 2009                    830,000       854,900            --            --       630,000       648,900   
ISP Holdings, Inc. sr. notes                                                                                                      
Ser. B, 9 3/4s, 2002                              520,000       488,800       895,000       841,300       985,000       925,900   
ISP Holdings, Inc. sr. notes                                                                                                      
Ser. B, 9s, 2003                                  100,000        93,000            --            --        50,000        46,500   
Lyondell Petrochemical Co.                                                                                                        
notes Ser. A, 9 5/8s, 2007                        890,000       914,475     4,390,000     4,510,725     2,530,000     2,599,575   
Lyondell Petrochemical Co.                                                                                                        
sec. notes Ser. B, 9 7/8s, 2007                 2,280,000     2,337,000     1,750,000     1,793,750     2,615,000     2,680,375   
Lyondell Petrochemical Co.                                                                                                        
sr. sub. notes 10 7/8s, 2009                           --            --            --            --       390,000       395,850   
PCI Chemicals & Pharmaceuticals                                                                                                   
company guaranty 9 1/4s, 2007                                                                                                     
(India)                                           100,000        38,500            --            --            --            --   
Pioneer Americas Acquisition 144A                                                                                                 
sr. notes 9 1/4s, 2007 (In default) (NON)         185,000        49,950            --            --        90,000        24,300   
PMD Group, Inc. 144A                                                                                                              
sr. sub notes 11s, 2011                           250,000       260,000            --            --       120,000       124,800   
Polymer Group, Inc. company                                                                                                       
guaranty Ser. B, 9s, 2007                         230,000       119,600            --            --       230,000       119,600   
Polymer Group, Inc. company                                                                                                       
guaranty Ser. B, 8 3/4s, 2008                     560,000       257,600            --            --       160,000        73,600   
Polytama International notes                                                                                                      
11 1/4s, 2007 (Indonesia)                         203,146        10,157            --            --        48,368         2,418   
Praxair, Inc. notes 6 1/2s, 2008                       --            --     2,260,000     2,268,226     1,300,000     1,304,732   
Rohm & Haas Co. notes 7.4s, 2009                       --            --     4,455,000     4,712,945     2,415,000     2,554,829   
Royster-Clark, Inc. 1st mtge.                                                                                                     
10 1/4s, 2009                                     495,000       396,000            --            --       450,000       360,000   
Scotts Co. (The) company guaranty                                                                                                 
8 5/8s, 2009                                      290,000       292,900            --            --       150,000       151,500   
Sterling Chemicals Holdings                                                                                                       
sr. disc. notes stepped-coupon                                                                                                    
zero % (13 1/2s, 8/15/01), 2008 (STP)             370,000        44,400            --            --       100,000        12,000   
Sterling Chemicals, Inc. company                                                                                                  
guaranty Ser. B, 12 3/8s, 2006                    500,000       470,000            --            --       260,000       244,400   
Texas Petrochemical Corp.                                                                                                         
sr. sub. notes Ser. B, 11 1/8s, 2006              140,000       115,500            --            --        70,000        57,750   
                                                           ------------                ------------                ------------   
                                                              8,365,282                  14,126,946                  13,067,329   

Commercial and Consumer Services                                   0.1%                        0.1%                        0.2%   
-------------------------------------------------------------------------------------------------------------------------------   
Coinmach Corp. sr. notes                                                                                                          
Ser. D, 11 3/4s, 2005                           1,110,000     1,126,650            --            --       690,000       700,350   
Hertz Corp. sr. notes 7s, 2028                         --            --     2,265,000     2,080,923     1,270,000     1,166,787   
Travel Centers of America                                                                                                         
notes 12 3/4s, 2009                               130,000       127,075            --            --        60,000        58,650   
                                                           ------------                ------------                ------------   
                                                              1,253,725                   2,080,923                   1,925,787   

Components                                                          --%                        0.1%                        0.1%   
-------------------------------------------------------------------------------------------------------------------------------   
Seagate Technology, Inc. 144A                                                                                                     
company guaranty 12 1/2s, 2007                                                                                                    
(Cayman Islands)                                  220,000       219,450     1,680,000     1,675,800     1,430,000     1,426,425   

Conglomerates                                                       --%                        0.3%                        0.5%   
-------------------------------------------------------------------------------------------------------------------------------   
Tyco International, Ltd.                                                                                                          
company guaranty 6 3/8s, 2005                                                                                                     
(Luxembourg)                                           --            --       935,000       946,098       515,000       521,113   
Tyco International, Ltd.                                                                                                          
company guaranty                                                                                                                  
6 3/4s, 2011 (Luxembourg)                              --            --     4,985,000     5,008,430     2,665,000     2,677,526   
Tyco International, Ltd.                                                                                                          
company guaranty 6 1/4s, 2003                                                                                                     
(Luxembourg)                                           --            --     2,210,000     2,240,299     1,550,000     1,571,251   
                                                           ------------                ------------                ------------   
                                                                     --                   8,194,827                   4,769,890   

Construction                                                       0.1%                         --%                        0.1%   
-------------------------------------------------------------------------------------------------------------------------------   
Better Minerals & Aggregates Co.                                                                                                  
company guaranty 13s, 2009                      1,180,000       991,200            --            --       600,000       504,000   
Morrison Knudsen Corp. 144A                                                                                                       
sr. notes 11s, 2010                               570,000       136,800            --            --       275,000        66,000   
                                                           ------------                ------------                ------------   
                                                              1,128,000                          --                     570,000   

Consumer                                                           0.2%                         --%                        0.1%   
-------------------------------------------------------------------------------------------------------------------------------   
Home Interiors & Gifts, Inc.                                                                                                      
company guaranty 10 1/8s, 2008                    540,000       218,700            --            --       280,000       113,400   
Jostens, Inc. sr. sub notes 12 3/4s, 2010         830,000       865,275            --            --       480,000       500,400   
Samsonite Corp. sr. sub. notes                                                                                                    
10 3/4s, 2008                                   1,340,000     1,085,400            --            --       620,000       502,200   
Sealy Mattress Co. sr. sub. notes                                                                                                 
Ser. B, 9 7/8s, 2007                              775,000       794,375            --            --       365,000       374,125   
                                                           ------------                ------------                ------------   
                                                              2,963,750                          --                   1,490,125   

Consumer Finance                                                   0.1%                        1.2%                        2.0%   
-------------------------------------------------------------------------------------------------------------------------------   
Aames Financial Corp. sr. notes                                                                                                   
9 1/8s, 2003                                       20,000        11,400            --            --       190,000       108,300   
American Express Co.                                                                                                              
notes 6 7/8s, 2005                                     --            --     2,175,000     2,292,602     1,145,000     1,206,910   
Capital One Financial Corp.                                                                                                       
notes 7 1/4s, 2006                                     --            --     1,120,000     1,094,226       880,000       859,749   
Conseco Finance Trust III, Inc.                                                                                                   
bonds 8.796s, 2027                              1,360,000       782,000            --            --       600,000       345,000   
Conseco Financial Corp. sr. sub.                                                                                                  
notes 10 1/4s, 2002                                    --            --     3,150,000     2,929,500     1,850,000     1,720,500   
Contifinancial Corp. sr. notes                                                                                                    
8 3/8s, 2003 (In default) (NON)                   505,000        85,850            --            --       135,000        22,950   
Contifinancial Corp. sr. notes                                                                                                    
8 1/8s, 2008 (In default) (NON)                   730,000       124,100            --            --       200,000        34,000   
Contifinancial Corp. sr. notes                                                                                                    
7 1/2s, 2002 (In default) (NON)                   810,000       137,700            --            --       210,000        35,700   
Delta Financial Corp. company                                                                                                     
guaranty 9 1/2s, 2004                             767,000       276,120            --            --       192,000        69,120   
Ford Motor Credit Corp. bonds                                                                                                     
7 3/8s, 2011                                           --            --     2,685,000     2,781,311     1,560,000     1,615,957   
Ford Motor Credit Corp. notes                                                                                                     
7 3/8s, 2009                                           --            --     5,910,000     6,114,722     3,385,000     3,502,256   
Ford Motor Credit Corp.                                                                                                           
sr. notes 5.8s, 2009                                   --            --     1,750,000     1,642,165       960,000       900,845   
General Motors Acceptance Corp.                                                                                                   
5 3/4s, 2003                                           --            --     3,970,000     3,977,662     2,835,000     2,840,472   
General Motors Acceptance Corp.                                                                                                   
notes 6 5/8s, 2002                                     --            --     1,600,000     1,628,048       900,000       915,777   
Household Finance Corp.                                                                                                           
notes 8s, 2005                                         --            --     7,400,000     7,955,148     4,225,000     4,541,960   
Household Finance Corp. notes                                                                                                     
6 1/2s, 2006                                           --            --     2,305,000     2,349,924     1,195,000     1,218,291   
Nationwide Credit, Inc. sr. notes                                                                                                 
Ser. A, 10 1/4s, 2008                             660,000       231,000            --            --       160,000        56,000   
ONO Finance PLC sr. notes 13s, 2009                                                                                               
(United Kingdom)                                       --            --            --            --       150,000       115,500   
ONO Finance PLC 144A sr. notes                                                                                                    
14s, 2011 (United Kingdom)                        290,000       249,400            --            --            --            --   
Outsourcing Solutions, Inc. sr. sub. notes                                                                                        
Ser. B, 11s, 2006                                 100,000        80,000            --            --       215,000       172,000   
                                                           ------------                ------------                ------------   
                                                              1,977,570                  32,765,308                  20,281,287   

Consumer Goods                                                     0.2%                        0.3%                        0.6%   
-------------------------------------------------------------------------------------------------------------------------------   
Albecca, Inc. company guaranty                                                                                                    
10 3/4s, 2008                                   1,390,000     1,372,625            --            --       680,000       671,500   
Chattem, Inc. company guaranty                                                                                                    
Ser. B, 8 7/8s, 2008                               50,000        42,500            --            --        20,000        17,000   
Doane Pet Care Corp. sr. sub. deb.                                                                                                
9 3/4s, 2007                                    1,210,000       968,000            --            --       590,000       472,000   
Elizabeth Arden, Inc. 144A notes                                                                                                  
11 3/4s, 2011                                     420,000       441,000            --            --       250,000       262,500   
French Fragrances, Inc. company guaranty                                                                                          
Ser. D, 10 3/8s, 2007                             180,000       178,650            --            --        40,000        39,700   
NBTY, Inc. 144A sr. sub. notes                                                                                                    
8 5/8s, 2007                                      550,000       462,000            --            --       240,000       201,600   
Playtex Products, Inc. sr. sub notes                                                                                              
9s, 2003                                          280,000       279,300            --            --       150,000       149,625   
Playtex Products, Inc. 144A company                                                                                               
guaranty Ser. B, 8 7/8s, 2004                     100,000       101,250            --            --        90,000        91,125   
Procter & Gamble Co. unsub. notes                                                                                                 
6 7/8s, 2009                                           --            --     6,810,000     7,245,023     3,840,000     4,085,299   
                                                           ------------                ------------                ------------   
                                                              3,845,325                   7,245,023                   5,990,349   

Containers                                                         0.2%                        0.2%                        0.5%   
-------------------------------------------------------------------------------------------------------------------------------   
AEP Industries, Inc. sr. sub. notes                                                                                               
9 7/8s, 2007                                      575,000       552,000            --            --       280,000       268,800   
Ball Corp. company guaranty                                                                                                       
8 1/4s, 2008                                      290,000       292,175     2,275,000     2,292,063       455,000       458,413   
Ball Corp. company guaranty 7 3/4s, 2006               --            --       945,000       949,725     1,772,000     1,780,860   
Huntsman Packaging Corp. company                                                                                                  
guaranty 13s, 2010                                     --            --            --            --       160,000        88,000   
Owens-Illinois, Inc. sr. notes 8.1s, 2007         270,000       210,600            --            --       170,000       132,600   
Owens-Illinois, Inc. sr. notes 7.35s, 2008             --            --       130,000        97,500       120,000        90,000   
Owens-Illinois, Inc. sr. notes 7.15s, 2005        370,000       296,000     2,440,000     1,952,000     1,900,000     1,520,000   
Radnor Holdings, Inc. sr. notes 10s, 2003         185,000       157,250       365,000       310,250       170,000       144,500   
Tekni-Plex, Inc. company guaranty                                                                                                 
Ser. B, 12 3/4s, 2010                           1,690,000     1,537,900            --            --       820,000       746,200   
U.S. Can Corp. 144A sr. sub. notes                                                                                                
12 3/8s, 2010                                     260,000       270,400            --            --       140,000       145,600   
                                                           ------------                ------------                ------------   
                                                              3,316,325                   5,601,538                   5,374,973   

Electric Utilities                                                 0.1%                        1.0%                        1.7%   
-------------------------------------------------------------------------------------------------------------------------------   
Arizona Public Service Co. sr. notes                                                                                              
6 3/4s, 2006                                           --            --     1,975,000     2,010,945     1,135,000     1,155,657   
Cleveland Electric Illuminating Co.                                                                                               
1st mtge. Ser. B, 9 1/2s, 2005                     60,000        61,852            --            --       150,000       154,631   
CMS Energy Corp. pass thru certificates                                                                                           
7s, 2005                                          480,000       460,018       900,000       862,533       460,000       440,850   
CMS Energy Corp. sr. notes 8 1/2s, 2011           180,000       178,650            --            --        90,000        89,325   
CMS Energy Corp. sr. notes 7 1/2s, 2009                --            --            --            --        70,000        66,164   
CMS Energy Corp. sr. notes Ser. B,                                                                                                
6 3/4s, 2004                                      655,000       632,075     2,700,000     2,605,500     2,490,000     2,402,850   
Dominion Resources, Inc. sr. notes Ser. B,                                                                                        
7 5/8s, 2005                                           --            --     4,690,000     4,969,712     2,210,000     2,341,804   
Luannan Energy Co. sec. notes                                                                                                     
12 1/4s, 2002 (Cayman Islands)                      7,390         3,695            --            --         1,847           924   
Niagara Mohawk Power Corp. sr. notes                                                                                              
Ser. G, 7 3/4s, 2008                                   --            --     4,030,000     4,207,925     2,310,000     2,411,987   
Northeast Utilities System notes                                                                                                  
Ser. A, 8.58s, 2006                                13,253        13,741        33,132        34,352       160,168       166,066   
Northeast Utilities System notes                                                                                                  
Ser. B, 8.38s, 2005                               152,533       158,404       187,733       194,959       123,200       127,942   
NRG Northeast Generating Corp.                                                                                                    
company guaranty Ser. A-1,                                                                                                        
8.065s, 2004                                           --            --     2,058,750     2,096,919     1,105,313     1,125,805   
Progress Energy, Inc. sr. notes 7.1s, 2011             --            --     3,965,000     4,082,879     2,295,000     2,363,230   
PSEG Energy Holdings, Inc. 144A                                                                                                   
sr. notes 8 5/8s, 2008                                 --            --     4,720,000     4,741,706     3,280,000     3,295,084   
Toledo Edison Co. med. term notes                                                                                                 
9.22s, 2021                                            --            --            --            --       500,000       541,625   
                                                           ------------                ------------                ------------   
                                                              1,508,435                  25,807,430                  16,683,944   

Electrical Equipment                                                --%                         --%                         --%   
-------------------------------------------------------------------------------------------------------------------------------   
Avista Corp. 144A sr. notes 9 3/4s, 2008               --            --     3,250,000     3,227,933     2,230,000     2,214,858   

Electronics                                                         --%                         --%                        0.1%   
-------------------------------------------------------------------------------------------------------------------------------   
Celestica International, Ltd. 144A                                                                                                
sr. sub. notes 10 1/2s, 2006 (Canada)             375,000       390,000            --            --       250,000       260,000   
Celestica, Inc. notes zero %, 2020                                                                                                
(Canada)                                               --            --     1,302,000       458,955     1,034,000       364,485   
                                                           ------------                ------------                ------------   
                                                                390,000                     458,955                     624,485   

Energy                                                             0.2%                        0.4%                        0.9%   
-------------------------------------------------------------------------------------------------------------------------------   
Cliffs Drilling Co. company guaranty                                                                                              
Ser. D, 10 1/4s, 2003                             200,000       206,000       150,000       154,500       500,000       515,000   
Compagnie Generale de Geophysique                                                                                                 
SA 144A sr. notes 10 5/8s, 2007                                                                                                   
(France)                                          170,000       180,625            --            --        70,000        74,375   
Grant Prideco, Inc. 144A sr. notes                                                                                                
9 5/8s, 2007                                      250,000       258,750            --            --       130,000       134,550   
Key Energy Services, Inc. 144A sr. notes                                                                                          
8 3/8s, 2008                                      100,000       102,897            --            --       850,000       874,625   
Parker Drilling Corp. company guaranty                                                                                            
Ser. D, 9 3/4s, 2006                              850,000       871,250            --            --       440,000       451,000   
Pride Petroleum Services, Inc. sr. notes                                                                                          
9 3/8s, 2007                                    1,140,000     1,197,000     2,130,000     2,236,500     1,920,000     2,016,000   
R&B Falcon Corp. sr. notes Ser. B,                                                                                                
6.95s, 2008                                            --            --     2,370,000     2,402,588     1,630,000     1,652,413   
R&B Falcon Corp. sr. notes Ser. B,                                                                                                
6 3/4s, 2005                                      900,000       902,250            --            --       290,000       290,725   
RBF Finance Co. company guaranty                                                                                                  
11s, 2006                                              --            --     1,100,000     1,364,000       670,000       830,800   
Transocean Sedco Forex, Inc.                                                                                                      
144A notes 6 5/8s, 2011                                --            --     3,830,000     3,834,788     2,210,000     2,212,763   
                                                           ------------                ------------                ------------   
                                                              3,718,772                   9,992,376                   9,052,251   

Entertainment                                                      0.2%                         --%                        0.1%   
-------------------------------------------------------------------------------------------------------------------------------   
AMC Entertainment, Inc. sr. sub. notes                                                                                            
9 1/2s, 2009                                        5,000         4,000            --            --       223,000       178,400   
Cinemark USA, Inc. sr. sub. notes                                                                                                 
8 1/2s, 2008 (Mexico)                             675,000       506,250            --            --       290,000       217,500   
Premier Parks, Inc. sr. notes 9 3/4s, 2007        690,000       707,250            --            --       230,000       235,750   
Premier Parks, Inc. sr. notes 9 1/4s, 2006        838,000       846,380            --            --       355,000       358,550   
Silver Cinemas, Inc. sr. sub. notes                                                                                               
10 1/2s, 2005 (In default) (NON)                  450,000        34,875            --            --       110,000         8,525   
Six Flags Corp. sr. notes 8 7/8s, 2006            500,000       510,000            --            --       400,000       408,000   
Six Flags, Inc. 144A sr. notes 9 1/2s, 200        230,000       235,750            --            --            --            --   
United Artists Theatre sr. sub. notes                                                                                             
Ser. B, 9 3/4s, 2008 (In default) (NON)         1,650,000        66,000            --            --       435,000        17,400   
                                                           ------------                ------------                ------------   
                                                              2,910,505                          --                   1,424,125   

Financial                                                          0.2%                        1.0%                        1.8%   
-------------------------------------------------------------------------------------------------------------------------------   
Advanta Corp. med. term notes                                                                                                     
Ser. B, 7s, 2001                                  352,000       350,166       706,000       702,322       340,000       338,229   
Advanta Corp. med. term notes                                                                                                     
Ser. D, 6.98s, 2002                                20,000        19,890       140,000       139,227        90,000        89,503   
Advanta Corp. med. term notes                                                                                                     
Ser. D, 6.92s, 2002                               110,000       109,342       460,000       457,249     1,030,000     1,023,841   
Advanta Corp. notes Ser. C, 7.47s, 2001            26,000        26,008        64,000        64,019        35,000        35,010   
Advanta Corp. 144A company guaranty                                                                                               
Ser. B, 8.99s, 2026                                    --            --       100,000        65,000        85,000        55,250   
AMRESCO, Inc. sr. sub. notes Ser. 97-A,                                                                                           
10s, 2004                                         101,000        55,045            --            --        30,000        16,350   
AMRESCO, Inc. sr. sub. notes Ser. 98-A,                                                                                           
9 7/8s, 2005                                      400,000       216,000            --            --       210,000       113,400   
Associates First Capital Corp. sr. notes                                                                                          
6 1/4s, 2008                                           --            --     4,195,000     4,186,484     2,820,000     2,814,275   
Conseco Financing Trust II company                                                                                                
guaranty 8.7s, 2026                               310,000       178,250     3,540,000     2,035,500     2,860,000     1,644,500   
Goldman Sachs Group, Inc (The) notes                                                                                              
Ser. B, 7.35s, 2009                                    --            --     1,450,000     1,512,843       640,000       667,738   
Goldman Sachs Group, Inc. (The) bonds                                                                                             
6 7/8s, 2011                                           --            --     2,210,000     2,239,813     1,260,000     1,276,997   
Imperial Credit Capital Trust I 144A                                                                                              
company guaranty 10 1/4s, 2002                    305,000       183,000            --            --       160,000        96,000   
Markel Capital Trust I company guaranty                                                                                           
Ser. B, 8.71s, 2046                                    --            --     2,250,000     1,446,728     1,750,000     1,125,233   
Money Store, Inc. notes 8.05s, 2002                    --            --     1,960,000     2,021,544     1,090,000     1,124,226   
Nisource Finance Corp. company                                                                                                    
guaranty Ser. B, 7 5/8s, 2005                          --            --     4,690,000     4,985,798     2,210,000     2,349,385   
Ocwen Capital Trust I company guaranty                                                                                            
10 7/8s, 2027                                      70,000        55,300            --            --        15,000        11,850   
Ocwen Federal Bank sub. deb. 12s, 2005            102,000        97,410            --            --        55,000        52,525   
Ocwen Financial Corp. notes 11 7/8s, 2003         140,000       133,000            --            --        80,000        76,000   
RBF Finance Co. company guaranty                                                                                                  
11 3/8s, 2009                                     830,000     1,004,300       900,000     1,089,000     1,180,000     1,427,800   
Resource America, Inc. 144A sr. notes                                                                                             
12s, 2004                                       1,042,000       984,690            --            --       263,000       248,535   
Superior Financial 144A sr. notes                                                                                                 
8.65s, 2003                                            --            --            --            --       240,000       240,857   
TIG Capital Trust I 144A bonds                                                                                                    
8.597s, 2027                                           --            --     1,495,000       917,736     1,530,000       939,221   
TIG Holdings, Inc. notes 8 1/8s, 2005                  --            --     3,938,000     3,702,783     2,370,000     2,228,440   
Willis Corron Corp. 144A                                                                                                          
sr. sub notes 9s, 2009                            230,000       225,400            --            --       110,000       107,800   
                                                           ------------                ------------                ------------   
                                                              3,637,801                  25,566,046                  18,102,965   

Food                                                               0.1%                         --%                        0.1%   
-------------------------------------------------------------------------------------------------------------------------------   
Aurora Foods, Inc. 144A sr. sub. notes                                                                                            
Ser. D, 9 7/8s, 2007                            1,075,000       886,875            --            --       520,000       429,000   
Premier International Foods PLC                                                                                                   
sr. notes 12s, 2009 (United Kingdom)              400,000       376,000            --            --       210,000       197,400   
RAB Enterprises, Inc. company guaranty                                                                                            
10 1/2s, 2005                                     700,000       490,000            --            --       160,000       112,000   
Vlasic Foods Intl., Inc. sr. sub. notes Ser. B,                                                                                   
10 1/4s, 2009 (In default) (NON)                       --            --            --            --       240,000        48,000   
                                                           ------------                ------------                ------------   
                                                              1,752,875                          --                     786,400   

Gaming & Lottery                                                   1.0%                        0.8%                        2.4%   
-------------------------------------------------------------------------------------------------------------------------------   
Anchor Gaming company guaranty                                                                                                    
9 7/8s, 2008                                      570,000       602,063            --            --       280,000       295,750   
Argosy Gaming Co. 144A sr. sub notes                                                                                              
10 3/4s, 2009                                     700,000       750,750            --            --       340,000       364,650   
Autotote Corp. company guaranty Ser. B,                                                                                           
12 1/2s, 2010                                     830,000       771,900            --            --       410,000       381,300   
Boyd Gaming Corp. sr. sub. notes                                                                                                  
9 1/2s, 2007                                           --            --     2,070,000     1,925,100     1,430,000     1,329,900   
Fitzgeralds Gaming Corp. company                                                                                                  
guaranty Ser. B, 12 1/4s, 2004                                                                                                    
(In default) (NON)                                608,989       365,393            --            --       168,643       101,186   
Harrah's Entertainment, Inc. company                                                                                              
guaranty 7 7/8s, 2005                                  --            --            --            --       170,000       170,425   
Harrah's Entertainment, Inc. company                                                                                              
guaranty 7 1/2s, 2009                             500,000       497,510     1,250,000     1,243,775       450,000       447,759   
Harrah's Entertainment, Inc. 144A                                                                                                 
company guaranty 8s, 2011                         120,000       122,339            --            --       120,000       122,339   
Hollywood Casino Corp. company                                                                                                    
guaranty 11 1/4s, 2007                          1,650,000     1,753,125            --            --       800,000       850,000   
Hollywood Park, Inc. company guaranty                                                                                             
Ser. B, 9 1/4s, 2007                              280,000       277,200            --            --       220,000       217,800   
Hollywood Park, Inc. sr. sub. notes                                                                                               
Ser. B, 9 1/2s, 2007                              750,000       744,375            --            --       190,000       188,575   
International Game Technology 144A                                                                                                
sr. notes 8 3/8s, 2009                          1,030,000     1,053,175     2,390,000     2,443,775     2,150,000     2,198,375   
Isle of Capri Black Hawk LLC 144A                                                                                                 
1st mtge. Ser. B, 13s, 2004                       110,000       119,900            --            --       400,000       436,000   
Isle of Capri Casinos company guaranty                                                                                            
8 3/4s, 2009                                      434,000       392,770            --            --       210,000       190,050   
Mandalay Resort Group sr. sub notes                                                                                               
Ser. B, 10 1/4s, 2007                           1,230,000     1,266,900     2,810,000     2,894,300     2,790,000     2,873,700   
MGM Mirage company guaranty                                                                                                       
8 3/8s, 2011                                    1,520,000     1,525,700     3,080,000     3,091,550     2,860,000     2,870,818   
Mohegan Tribal Gaming Auth.                                                                                                       
sr. notes 8 1/8s, 2006                            190,000       192,850       460,000       466,900       270,000       274,050   
Mohegan Tribal Gaming Auth.                                                                                                       
sr. sub. notes 8 3/4s, 2009                       950,000       970,188     1,460,000     1,491,025     1,710,000     1,746,338   
Park Place Entertainment Corp. sr. sub.                                                                                           
notes 9 3/8s, 2007                                240,000        248,400    3,660,000     3,788,100     2,640,000     2,732,400   
Park Place Entertainment Corp. sr. sub.                                                                                           
notes 8 7/8s, 2008                                950,000       964,250            --            --       520,000       527,800   
Park Place Entertainment Corp. sr. sub.                                                                                           
notes 7 7/8s, 2005                                     --            --            --            --        70,000        69,650   
Penn National Gaming, Inc. 144A sr. sub                                                                                           
notes 11 1/8s, 2008                               250,000       250,000            --            --       120,000       120,000   
Riviera Black Hawk, Inc.                                                                                                          
1st mtge. 13s, 2005                                    --            --            --            --       130,000       130,000   
Station Casinos Inc. sr. sub notes                                                                                                
8 7/8s, 2008                                      630,000       630,000            --            --       230,000       230,000   
Station Casinos, Inc. sr. sub notes                                                                                               
9 7/8s, 2010                                      560,000       578,200            --            --       350,000       361,375   
Station Casinos, Inc. 144A sr. notes                                                                                              
8 3/8s, 2008                                           --            --     3,460,000     3,477,300     2,390,000     2,401,950   
Trump A.C. 1st mtge. 11 1/4s, 2006              1,350,000       891,000            --            --       665,000       438,900   
Trump Castle Funding, Inc. 144A                                                                                                   
sub. notes 10 1/4s, 2003                        1,120,000     1,134,000            --            --       700,000       708,750   
Trump Castle Funding, Inc. 144A                                                                                                   
sr. sub. notes 11 3/4s, 2003                    1,890,000     1,512,000            --            --       720,000       576,000   
Venetian Casino, Inc. company guaranty                                                                                            
12 1/4s, 2004                                     380,000       393,300            --            --       270,000       279,450   
                                                           ------------                ------------                ------------   
                                                             18,007,288                  20,821,825                  23,635,290   

Health Care                                                        0.6%                        0.5%                        1.4%   
-------------------------------------------------------------------------------------------------------------------------------   
ALARIS Medical Systems, Inc. 144A                                                                                                 
company guaranty 9 3/4s, 2006                     265,000       148,400            --            --            --            --   
Bio-Rad Labs Corp. sr. sub. notes                                                                                                 
11 5/8s, 2007                                     250,000       270,000            --            --       120,000       129,600   
Columbia/HCA Healthcare Corp.                                                                                                     
deb. 7.19s, 2015                                  550,000       495,000     2,425,000     2,182,500     1,480,000     1,332,000   
Conmed Corp. company guaranty                                                                                                     
9s, 2008                                          410,000       385,400            --            --       205,000       192,700   
HCA-The Healthcare Co. med. term                                                                                                  
notes 7.69s, 2025                                  80,000        72,000       200,000       180,000        70,000        63,000   
HCA-The Healthcare Co. med. term                                                                                                  
notes 6.63s, 2045                                 270,000       267,856       640,000       634,918       530,000       525,792   
HCA-The Healthcare Co. notes                                                                                                      
8 3/4s, 2010                                      280,000       297,500            --            --       930,000       988,125   
HCA-The Healthcare Co. notes                                                                                                      
8.36s, 2024                                        50,000        48,375            --            --       125,000       120,938   
HCA-The Healthcare Co. notes                                                                                                      
7 1/4s, 2008                                           --            --        35,000        34,431            --            --   
HCA-The Healthcare Co. notes 7s, 2007             230,000       223,675            --            --       100,000        97,250   
HCA-The Healthcare Co. notes                                                                                                      
6.91s, 2005                                       980,000       960,400            --            --       200,000       196,000   
HCA-The Healthcare Co. sr. notes                                                                                                  
7 7/8s, 2011                                      930,000       939,300     2,370,000     2,393,700     1,890,000     1,908,900   
Kinetic Concepts, Inc. company guaranty                                                                                           
Ser. B, 9 5/8s, 2007                              465,000       441,750            --            --       100,000        95,000   
Lifepoint Hospital Holdings company                                                                                               
guaranty Ser. B, 10 3/4s, 2009                    510,000       563,550            --            --       260,000       287,300   
Magellan Health Services, Inc. sr. sub.                                                                                           
notes 9s, 2008                                    700,000       655,375            --            --       330,000       308,963   
Mediq, Inc. company guaranty 11s, 2008                                                                                            
(In default) (NON)                                510,000         5,100            --            --       130,000         1,300   
Mediq, Inc. deb. stepped-coupon zero %                                                                                            
(13s, 6/1/03), 2009 (In default ) (NON) (STP)     410,000            41            --            --       100,000            10   
Omnicare, Inc. 144A sr. sub notes                                                                                                 
8 1/8s, 2011                                      530,000       540,600            --            --       850,000       867,000   
Paracelsus Healthcare sr. sub. notes                                                                                              
10s, 2006 (In default) (NON)                      505,000       161,600            --            --       115,000        36,800   
Tenet Healthcare Corp. sr. notes 8s, 2005              --            --       975,000       999,375       550,000       563,750   
Tenet Healthcare Corp. sr. notes Ser. B,                                                                                          
9 1/4s, 2010                                      540,000       596,700            --            --       430,000       475,150   
Tenet Healthcare Corp. sr. notes Ser. B,                                                                                          
8 1/8s, 2008                                           --            --     3,190,000     3,289,688     2,310,000     2,382,188   
Tenet Healthcare Corp. sr. notes Ser. B,                                                                                          
7 5/8s, 2008                                    1,750,000     1,763,125       390,000       392,925       760,000       765,700   
Tenet Healthcare Corp. sr. sub. notes                                                                                             
8 5/8s, 2007                                           --            --     2,650,000     2,756,000     2,010,000     2,090,400   
Triad Hospitals Holdings company                                                                                                  
guaranty Ser. B, 11s, 2009                      1,095,000     1,204,500            --            --       680,000       748,000   
                                                           ------------                ------------                ------------   
                                                             10,040,247                  12,863,537                  14,175,866   

Homebuilding                                                       0.3%                        0.2%                        0.5%   
-------------------------------------------------------------------------------------------------------------------------------   
D.R. Horton, Inc. company guaranty                                                                                                
10s, 2006                                         120,000       122,400            --            --       290,000       295,800   
D.R. Horton, Inc. company guaranty                                                                                                
8 3/8s, 2004                                           --            --     1,400,000     1,403,500       920,000       922,300   
D.R. Horton, Inc. company guaranty                                                                                                
8s, 2009                                          370,000       361,675       810,000       791,775       560,000       547,400   
Del Webb Corp. sr. sub. deb. 10 1/4s, 2010        300,000       294,750            --            --       190,000       186,675   
Del Webb Corp. sr. sub. deb. 9 3/8s, 2009         150,000       142,500            --            --       140,000       133,000   
Del Webb Corp. sr. sub. debs 9 3/4s, 2008         160,000       156,000            --            --        90,000        87,750   
Del Webb Corp. sr. sub. debs 9s, 2006             290,000       278,400            --            --        20,000        19,200   
K. Hovnanian Enterprises Inc. company                                                                                             
guaranty 9 1/8s, 2009                             220,000       200,750            --            --       100,000        91,250   
K. Hovnanian Enterprises, Inc. company                                                                                            
guaranty 10 1/2s, 2007                            480,000       492,000            --            --       250,000       256,250   
KB Home sr. sub notes 9 1/2s, 2011                650,000       643,500            --            --       300,000       297,000   
Lennar Corp. company guaranty Ser. B,                                                                                             
9.95s, 2010                                       810,000       868,725       530,000       568,425       890,000       954,525   
Lennar Corp. sr. notes 7 5/8s, 2009               480,000       472,800            --            --       150,000       147,750   
M.D.C. Holdings, Inc. sr. notes 8 3/8s, 20         60,000        59,625            --            --        30,000        29,813   
Ryland Group, Inc. sr. notes 9 3/4s, 2010         560,000       576,800            --            --       270,000       278,100   
Standard Pacific Corp. sr. notes                                                                                                  
9 1/2s, 2010                                      500,000       505,000            --            --       240,000       242,400   
Toll Corp. company guaranty 8 1/8s, 2009           30,000        29,700       390,000       386,100       130,000       128,700   
Toll Corp. sr. sub notes 8 1/4s, 2011             770,000       761,160     1,750,000     1,729,910       370,000       365,752   
WCI Communications, Inc. 144A                                                                                                     
sr. sub notes 10 5/8s, 2011                       160,000       164,800            --            --        80,000        82,400   
                                                           ------------                ------------                ------------   
                                                              6,130,585                   4,879,710                   5,066,065   

Industrial                                                          --%                         --%                         --%   
-------------------------------------------------------------------------------------------------------------------------------   
BRL Universal Equipment 144A secd.                                                                                                
notes 8 7/8s, 2008                                370,000       381,100     2,960,000     3,048,800     2,220,000     2,286,600   

Lodging/Tourism                                                    0.2%                        0.6%                        1.2%   
-------------------------------------------------------------------------------------------------------------------------------   
Epic Resorts LLC company guaranty                                                                                                 
Ser. B, 13s, 2005                                 350,000        91,000            --            --        80,000        20,800   
Felcor Lodging company guaranty                                                                                                   
9 1/2s, 2008                                      340,000       350,520     1,770,000     1,824,764     1,600,000     1,649,504   
HMH Properties, Inc. company guaranty                                                                                             
Ser. B, 7 7/8s, 2008                            2,570,000     2,447,925     8,490,000     8,086,725     7,365,000     7,015,163   
HMH Properties, Inc. sr. notes Ser. C,                                                                                            
8.45s, 2008                                            --            --            --            --        10,000         9,825   
Host Marriott L.P. sr. notes Ser. E,                                                                                              
8 3/8s, 2006                                      100,000        98,250       320,000       314,400            --            --   
ITT Corp. notes 6 3/4s, 2005                      450,000       443,903     1,665,000     1,642,439       975,000       961,789   
Meristar Hospitality Corp. 144A                                                                                                   
sr. notes 9 1/8s, 2011                            630,000       642,600            --            --       310,000       316,200   
Meristar Hospitality Corp. 144A                                                                                                   
sr. notes 9s, 2008                                     --            --     2,960,000     3,004,400     2,040,000     2,070,600   
                                                           ------------                ------------                ------------   
                                                              4,074,198                  14,872,728                  12,043,881   

Machinery                                                           --%                         --%                        0.1%   
-------------------------------------------------------------------------------------------------------------------------------   
Terex Corp. 144A sr. sub notes                                                                                                    
10 3/8s, 2011                                     120,000       120,600            --            --        60,000        60,300   

Manufacturing                                                      0.2%                         --%                        0.2%   
-------------------------------------------------------------------------------------------------------------------------------   
Blount, Inc. 144A company guaranty                                                                                                
13s, 2009                                       1,620,000       972,000            --            --     1,005,000       603,000   
Continental Global Group sr. notes                                                                                                
Ser. B, 11s, 2007                                 235,000        98,700            --            --        60,000        25,200   
Day International Group, Inc. company                                                                                             
guaranty 9 1/2s, 2008                             550,000       478,500            --            --       200,000       174,000   
Flowserve Corp. company guaranty                                                                                                  
12 1/4s, 2010                                   1,110,000     1,171,050            --            --       540,000       569,700   
Insilco Holding Co. sr. disc. notes                                                                                               
stepped-coupon zero %                                                                                                             
(14s, 8/15/03), 2008 (STP)                        320,000       187,200            --            --       150,000        87,750   
Motors and Gears, Inc. sr. notes Ser. D,                                                                                          
10 3/4s, 2006                                   1,005,000       974,850            --            --       630,000       611,100   
Roller Bearing Co. company guaranty                                                                                               
Ser. B, 9 5/8s, 2007                                   --            --            --            --       230,000       209,300   
                                                           ------------                ------------                ------------   
                                                              3,882,300                          --                   2,280,050   

Media                                                               --%                        0.4%                        0.5%   
-------------------------------------------------------------------------------------------------------------------------------   
Time Warner Entertainment, Inc.                                                                                                   
sr. notes 8 3/8s, 2033                                 --            --     4,800,000     5,268,144     2,200,000     2,414,566   
Viacom Inc. company guaranty                                                                                                      
7 7/8s, 2030                                           --            --     4,625,000     4,942,876     2,520,000     2,693,200   
                                                           ------------                ------------                ------------   
                                                                     --                  10,211,020                   5,107,766   

Medical Services                                                   0.1%                        0.2%                        0.4%   
-------------------------------------------------------------------------------------------------------------------------------   
Healthsouth Corp. sr. sub. notes                                                                                                  
10 3/4s, 2008                                   1,410,000     1,498,125     3,750,000     3,984,375     3,380,000     3,591,250   
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 Ser. B, 9 1/2s, 2007                                                                                               
(In default) (NON)                              1,160,000        11,008            --            --       170,000         1,613   
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         2,183            --            --       100,000           949   
Multicare Cos., Inc. sr. sub. notes 9s, 2007                                                                                      
(In default) (NON)                              1,410,000        56,400            --            --       330,000        13,200   
Sun Healthcare Group, Inc. sr. sub. notes                                                                                         
Ser. B, 9 1/2s, 2007 (In default) (NON)           250,000         2,500            --            --            --            --   
                                                           ------------                ------------                ------------   
                                                              1,580,816                   3,984,375                   3,609,812   

Medical Technology                                                  --%                        0.1%                        0.3%   
-------------------------------------------------------------------------------------------------------------------------------   
Hanger Orthopedic Group, Inc.                                                                                                     
sr. sub. notes 11 1/4s, 2009                      330,000       138,600            --            --       160,000        67,200   

Metals                                                             0.2%                        0.3%                        0.8%   
-------------------------------------------------------------------------------------------------------------------------------   
AK Steel Corp. company guaranty                                                                                                   
7 7/8s, 2009                                    1,340,000     1,239,500     3,520,000     3,256,000     3,060,000     2,830,500   
AK Steel Corp. sr. notes 9 1/8s, 2006                  --            --       510,000       503,625       685,000       676,438   
Alcoa, Inc. notes 6 3/4s, 2028                         --            --     3,575,000     3,504,287     2,310,000     2,264,308   
Anker Coal Group, Inc. company                                                                                                    
guaranty Ser. B, 14 1/4s, 2007 (PIK)              608,325       267,663            --            --       292,800       128,832   
Kaiser Aluminum & Chemical Corp.                                                                                                  
sr. sub. notes 12 3/4s, 2003                    1,005,000       864,300            --            --       545,000       468,700   
LTV Corp. company guaranty                                                                                                        
11 3/4s, 2009 (In default) (NON)                  910,000        95,550     1,490,000       156,450     1,790,000       187,950   
Murrin, Murrin Holdings Property, Ltd                                                                                             
sr. notes 9 3/8s, 2007                            100,000        79,000            --            --     1,040,000       821,600   
National Steel Corp. 1st mortgage                                                                                                 
Ser. D, 9 7/8s, 2009                              380,000       140,600            --            --       180,000        66,600   
Oregon Steel Mills 1st mortgage 11s, 2003              --            --            --            --       110,000        96,800   
P & L Coal Holdings Corp. company                                                                                                 
guaranty Ser. B, 9 5/8s, 2008                     260,000       273,650            --            --       140,000       147,350   
WCI Steel, Inc. sr. notes Ser. B, 10s, 200        640,000       556,800            --            --       320,000       278,400   
Wheeling -Pittsburgh Steel Corp. sr. notes                                                                                        
9 1/4s, 2007 (In default) (NON)                        --            --            --            --       250,000         6,875   
WHX Corp. sr. notes 10 1/2s, 2005                 470,000       300,800            --            --       160,000       102,400   
                                                           ------------                ------------                ------------   
                                                              3,817,863                   7,420,362                   8,076,753   

Natural Gas Utilities                                               --%                        0.3%                        0.4%   
-------------------------------------------------------------------------------------------------------------------------------   
CMS Panhandle Holding Corp. sr. notes                                                                                             
6 1/8s, 2004                                           --            --     2,325,000     2,285,429     1,320,000     1,297,534   
Columbia Gas System, Inc. notes Ser. E,                                                                                           
7.32s, 2010                                            --            --       670,000       672,988       380,000       381,695   
Columbia Gas System, Inc. notes Ser. B,                                                                                           
6.61s, 2002                                            --            --       530,000       539,688       210,000       213,839   
K N Energy, Inc. sr. notes 6.45s, 2003                 --            --     3,770,000     3,826,362     2,110,000     2,141,545   
                                                           ------------                ------------                ------------   
                                                                     --                   7,324,467                   4,034,613   

Oil & Gas                                                          0.6%                        0.9%                        2.0%   
-------------------------------------------------------------------------------------------------------------------------------   
Coda Energy, Inc. company guaranty                                                                                                
Ser. B, 10 1/2s, 2006                           1,325,000     1,354,813            --            --       370,000       378,325   
Belco Oil & Gas Corp. sr. sub. notes                                                                                              
Ser. B, 8 7/8s, 2007                              900,000       886,500            --            --       220,000       216,700   
Chesapeake Energy Corp. company                                                                                                   
guaranty 144A 8 1/8s, 2011                        990,000       973,497            --            --       490,000       481,832   
Chesapeake Energy Corp. company                                                                                                   
guaranty Ser. B, 9 5/8s, 2005                     200,000       216,000            --            --        50,000        54,000   
Giant Industries Corp. company guaranty                                                                                           
9s, 2007                                           40,000        36,600            --            --        20,000        18,300   
Gulf Canada Resources, Ltd. sr. sub. notes                                                                                        
9 5/8s, 2005 (Canada)                             755,000       781,425     1,215,000     1,257,525       500,000       517,500   
HS Resources, Inc. company guaranty                                                                                               
9 1/4s, 2006                                       70,000        71,750            --            --        90,000        92,250   
HS Resources, Inc. sr. sub. notes Ser. B,                                                                                         
9 1/4s, 2006                                      260,000       266,500            --            --       270,000       276,750   
Leviathan Gas Corp. company guaranty                                                                                              
Ser. B, 10 3/8s, 2009                             430,000       456,875       620,000       658,750       700,000       743,750   
Newfield Exploration Co. sr. notes                                                                                                
7 5/8s, 2011                                      240,000       244,200            --            --       120,000       122,100   
Nuevo Energy Co. sr. sub notes Ser. B,                                                                                            
9 3/8s, 2010                                    1,040,000     1,024,400            --            --       460,000       453,100   
Nuevo Energy Co. sr. sub. notes Ser. B,                                                                                           
9 1/2s, 2008                                       55,000        54,450            --            --       100,000        99,000   
Occidental Petroleum Corp. sr. notes                                                                                              
7 3/8s, 2008                                           --            --     4,305,000     4,498,338     2,465,000     2,575,703   
Ocean Energy, Inc. company guaranty                                                                                               
Ser. B, 8 7/8s, 2007                              750,000       797,933       370,000       393,647       540,000       574,511   
Ocean Energy, Inc. company guaranty                                                                                               
Ser. B, 8 3/8s, 2008                              140,000       148,079       350,000       370,199       480,000       507,701   
Parker & Parsley Petroleum sr. notes                                                                                              
8 7/8s, 2005                                           --            --       330,000       344,025       170,000       177,225   
Phillips Petroleum Co. notes 8 1/2s, 2005              --            --     5,465,000     6,007,073     3,020,000     3,319,554   
Pioneer Natural Resources Co. company                                                                                             
guaranty 9 5/8s, 2010                           1,120,000     1,223,600       530,000       579,025     2,010,000     2,195,925   
Port Arthur Finance Corp. company                                                                                                 
guaranty 12 1/2s, 2009                                 --            --     1,350,000     1,333,125     1,190,000     1,175,125   
Seven Seas Petroleum sr. notes Ser. B,                                                                                            
12 1/2s, 2005                                          --            --            --            --        60,000        24,000   
Snyder Oil Corp. sr. sub. notes                                                                                                   
8 3/4s, 2007                                       35,000        37,286        90,000        95,878        30,000        31,959   
Stone Energy Corp. company guaranty                                                                                               
8 3/4s, 2007                                      130,000       131,625            --            --       380,000       384,750   
Triton Energy, Ltd. sr. notes 8 7/8s, 2007                                                                                        
(Cayman Islands)                                  530,000       548,550            --            --       280,000       289,800   
Union Pacific Resources Group, Inc.                                                                                               
notes 7.3s, 2009                                       --            --     5,285,000     5,578,899     3,145,000     3,319,893   
Vintage Petroleum sr. sub. notes                                                                                                  
9 3/4s, 2009                                    1,000,000     1,090,000     1,770,000     1,929,300     2,050,000     2,234,500   
                                                           ------------                ------------                ------------   
                                                             10,344,083                  23,045,784                  20,264,253   

Paper & Forest Products                                            0.5%                        0.2%                        0.8%   
-------------------------------------------------------------------------------------------------------------------------------   
Abitibi-Consolidated, Inc. bonds                                                                                                  
8.55s, 2010 (Canada)                              500,000       532,505            --            --       260,000       276,903   
Abitibi-Consolidated Inc. deb. 8.85s, 2030                                                                                        
(Canada)                                          350,000       361,459            --            --       190,000       196,221   
Doman Industries, Ltd. sr. notes 144A                                                                                             
8 3/4s, 2004                                      580,000       330,600            --            --       305,000       173,850   
Four M Corp. sr. notes Ser. B, 12s, 2006          895,000       877,100            --            --       470,000       460,600   
Gaylord Container Corp. sr. notes                                                                                                 
Ser. B, 9 3/8s, 2007                              340,000       214,200            --            --       130,000        81,900   
Georgia Pacific Corp. bonds 7 3/4s, 2029               --            --     1,275,000     1,061,782       725,000       603,758   
International Paper Co. notes 8 1/8s, 2005             --            --     3,335,000     3,553,561     1,705,000     1,816,738   
Norampac, Inc. sr. notes 9 1/2s, 2008                                                                                             
(Canada)                                               --            --       690,000       719,325       540,000       562,950   
Pacifica Papers, Inc. sr. notes 10s, 2009                                                                                         
(Canada)                                          610,000       658,800            --            --       340,000       367,200   
Riverwood International Corp. company                                                                                             
guaranty 10 7/8s, 2008                          1,485,000     1,440,450            --            --       535,000       518,950   
Riverwood International Corp. company                                                                                             
guaranty 10 5/8s, 2007                                 --            --            --            --       190,000       195,700   
Stone Container Corp. sr. notes                                                                                                   
12.58s, 2016                                      350,000       371,000            --            --        40,000        42,400   
Stone Container Corp. 144A sr. notes                                                                                              
9 3/4s, 2011                                    2,100,000     2,136,750            --            --     1,140,000     1,159,950   
Stone Container Corp. 144A sr. notes                                                                                              
9 1/4s, 2008                                      520,000       525,200            --            --       240,000       242,400   
Tembec Industries, Inc. company guaranty                                                                                          
8 5/8s, 2009 (Canada)                             800,000       818,000     1,080,000     1,104,300     1,310,000     1,339,475   
                                                           ------------                ------------                ------------   
                                                              8,266,064                   6,438,968                   8,038,995   

Pharmaceuticals                                                    0.1%                        0.1%                        0.2%   
-------------------------------------------------------------------------------------------------------------------------------   
ICN Pharmaceuticals, Inc. sr. notes                                                                                               
Ser. B, 9 1/4s, 2005                              265,000       268,975       150,000       152,250       230,000       233,450   
ICN Pharmaceuticals, Inc. 144A sr. notes                                                                                          
8 3/4s, 2008                                      580,000       591,600     1,370,000     1,397,400     1,210,000     1,234,200   
PharMerica, Inc comapny guaranty                                                                                                  
8 3/8s, 2008                                      440,000       429,000            --            --       220,000       214,500   
                                                           ------------                ------------                ------------   
                                                              1,289,575                   1,549,650                   1,682,150   

Power Producers                                                    0.3%                        0.6%                        1.3%   
-------------------------------------------------------------------------------------------------------------------------------   
AES Corp. sr. notes 9 3/8s, 2010                1,840,000     1,934,116     4,870,000     5,119,101     4,240,000     4,456,876   
AES Corp. sr. notes 8 7/8s, 2011                  390,000       396,361            --            --       180,000       182,936   
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                   --            --            --            --        80,000        82,217   
Calpine Corp. sr. notes 8 5/8s, 2010              350,000       359,013            --            --            --            --   
Calpine Corp. sr. notes 7 7/8s, 2008              450,000       448,598       380,000       378,816       730,000       727,726   
Calpine Corp. sr. notes 7 3/4s, 2009              280,000       276,634     2,350,000     2,321,748     2,085,000     2,059,933   
Midland Funding II Corp. deb. Ser. A,                                                                                             
11 3/4s, 2005                                   1,420,000     1,582,576     3,170,000     3,532,933     2,729,000     3,041,443   
Midland Funding II Corp. deb. Ser. B,                                                                                             
13 1/4s, 2006                                          --            --       395,000       467,301        80,000        94,643   
Tiverton/Rumford Power Associates, Ltd.                                                                                           
144A pass-through certificates 9s, 2018           560,000       575,490     2,370,000     2,435,554     1,920,000     1,973,107   
                                                           ------------                ------------                ------------   
                                                              5,727,288                  15,285,453                  12,876,381   

Publishing                                                         0.1%                         --%                        0.1%   
-------------------------------------------------------------------------------------------------------------------------------   
Affinity Group Holdings 144A sub. notes                                                                                           
11s, 2007                                       1,115,000       892,000            --            --       580,000       464,000   
Garden State Newspapers, Inc. sr. sub.                                                                                            
notes 8 5/8s, 2011                                 50,000        48,250            --            --        90,000        86,850   
Garden State Newspapers, Inc. sr. sub.                                                                                            
notes Ser. B, 8 3/4s, 2009                        395,000       383,150            --            --       145,000       140,650   
PRIMEDIA, Inc. company guaranty                                                                                                   
7 5/8s, 2008                                      310,000       295,275            --            --       170,000       161,925   
PRIMEDIA, Inc. company guaranty Ser. B,                                                                                           
8 1/2s, 2006                                      310,000       313,100            --            --       150,000       151,500   
                                                           ------------                ------------                ------------   
                                                              1,931,775                          --                   1,004,925   

Railroads                                                          0.1%                        0.4%                        0.7%   
-------------------------------------------------------------------------------------------------------------------------------   
Burlington Northern Santa Fe Corp.                                                                                                
debs. 7.95s, 2030                                      --            --     2,105,000     2,252,708     1,220,000     1,305,607   
Kansas City Soutern Railway 144A                                                                                                  
sr. notes 9 1/2s, 2008                            530,000       543,250     1,000,000     1,025,000     1,280,000     1,312,000   
Railamerica Transportation Corp.                                                                                                  
company guaranty 12 7/8s, 2010                    610,000       588,650            --            --       300,000       289,500   
Transportation Manufacturing                                                                                                      
Operations, Inc. company guaranty                                                                                                 
11 1/4s, 2009                                          --            --            --            --       210,000        31,500   
Union Pacific Corp. notes 7 3/8s, 2009                 --            --     7,076,000     7,434,329     3,475,000     3,650,974   
                                                           ------------                ------------                ------------   
                                                              1,131,900                  10,712,037                   6,589,581   

Regional Bells                                                      --%                        0.2%                        0.3%   
-------------------------------------------------------------------------------------------------------------------------------   
Alaska Communications Systems Corp.                                                                                               
company guaranty 9 3/8s, 2009                          --            --            --            --       140,000       119,000   
Verizon Global Funding Corp. 144A                                                                                                 
bonds 7 3/4s, 2030                                     --            --     2,645,000     2,807,747     1,535,000     1,629,449   
Verizon Global Funding Corp. 144A                                                                                                 
notes 7 1/4s, 2010                                     --            --     2,180,000     2,280,934     1,125,000     1,177,088   
                                                           ------------                ------------                ------------   
                                                                     --                   5,088,681                   2,925,537   

Restaurants                                                        0.1%                         --%                        0.1%   
-------------------------------------------------------------------------------------------------------------------------------   
Domino's, Inc. company guaranty Ser. B,                                                                                           
10 3/8s, 2009                                     230,000       233,450            --            --       140,000       142,100   
FRD Acquisition Co. sr. notes Ser. B,                                                                                             
12 1/2s, 2004                                     275,000        68,750            --            --        75,000        18,750   
Sbarro, Inc. company guaranty 11s, 2009           330,000       349,800            --            --       170,000       180,200   
Tricon Global Restaurants, Inc. sr. notes                                                                                         
7.65s, 2008                                       560,000       537,118            --            --       300,000       287,742   
Tricon Global Restaurants, Inc. sr. notes                                                                                         
7.45s, 2005                                       460,000       454,333            --            --       230,000       227,166   
                                                           ------------                ------------                ------------   
                                                              1,643,451                          --                     855,958   

Retail                                                             0.3%                        0.2%                        0.7%   
-------------------------------------------------------------------------------------------------------------------------------   
Amazon.com, Inc. sr. sub. notes                                                                                                   
stepped-coupon zero %                                                                                                             
(10s, 5/1/03), 2008 (STP)                       1,090,000       643,100            --            --       540,000       318,600   
Fleming Co., Inc. company guaranty                                                                                                
Ser. B, 10 1/2s, 2004                             230,000       232,300            --            --       110,000       111,100   
Fleming Comanies, Inc. 144A sr. notes                                                                                             
10 1/8s, 2008                                     490,000       501,025            --            --       240,000       245,400   
Great Atlantic & Pacific Tea Co. notes                                                                                            
7 3/4s, 2007                                      180,000       131,400            --            --        90,000        65,700   
Great Atlantic & Pacific Tea Co. sr. notes                                                                                        
7.7s, 2004                                        170,000       139,400            --            --        80,000        65,600   
Iron Age Holdings Corp. sr. disc. notes                                                                                           
stepped-coupon zero %                                                                                                             
(12 1/8s, 5/1/03), 2009 (STP)                          --            --       320,000        32,000            --            --   
K mart Corp. deb. 7 3/4s, 2012                     10,000         8,500         5,000         4,250        10,000         8,500   
K mart Corp. med. term notes 8.85s, 2011          140,000       121,990       350,000       304,976       120,000       104,563   
K mart Corp. notes 9 3/8s, 2006                   280,000       279,532     1,140,000     1,138,096       280,000       279,532   
K mart Corp. notes 8 3/8s, 2004                   820,000       823,993     2,990,000     3,004,561     3,250,000     3,265,828   
Mothers Work, Inc. sr. notes 12 5/8s, 2005        340,000       310,250            --            --       170,000       155,125   
Saks, Inc. company guaranty 8 1/4s, 2008          920,000       809,600     1,700,000     1,496,000     1,480,000     1,302,400   
Saks, Inc. company guaranty 7 1/2s, 2010          960,000       782,400            --            --       780,000       635,700   
Southland Corp. deb. Ser. A, 4 1/2s, 2004              --            --            --            --        20,000        16,800   
Southland Corp. sr. sub. deb. 5s, 2003            135,000       122,711       350,000       318,140       165,000       149,980   
                                                           ------------                ------------                ------------   
                                                              4,906,201                   6,298,023                   6,724,828   

Semiconductor                                                      0.1%                         --%                        0.1%   
-------------------------------------------------------------------------------------------------------------------------------   
ChipPac Intl., Ltd. company guaranty                                                                                              
Ser. B, 12 3/4s, 2009                             370,000       333,000            --            --       180,000       162,000   
Fairchild Semiconductor Corp.                                                                                                     
company guaranty 10 3/8s, 2007                         --            --            --            --       150,000       141,750   
Fairchild Semiconductor Corp.                                                                                                     
sr. sub. notes 10 1/8s, 2007                      725,000       676,063            --            --       200,000       186,500   
Fairchild Semiconductor Corp. 144A                                                                                                
sr. sub. notes 10 1/2s, 2009                      140,000       133,350            --            --        70,000        66,675   
                                                           ------------                ------------                ------------   
                                                              1,142,413                          --                     556,925   

Shipping                                                           0.1%                         --%                        0.1%   
-------------------------------------------------------------------------------------------------------------------------------   
Eletson Holdings 1st pfd. mtge. notes                                                                                             
9 1/4s, 2003 (Greece)                                  --            --       585,000       582,075       480,000       477,600   
Kitty Hawk, Inc. company guaranty                                                                                                 
9.95s, 2004 (In default) (NON)                         --            --            --            --        70,000        21,700   
Navistar International Corp. sr. notes                                                                                            
Ser. B, 8s, 2008                                  930,000       853,275       210,000       192,675       700,000       642,250   
Newport News Shipbuilding, Inc.                                                                                                   
sr. notes 8 5/8s, 2006                             90,000        92,700            --            --        40,000        41,200   
                                                           ------------                ------------                ------------   
                                                                945,975                     774,750                   1,182,750   

Software                                                            --%                         --%                         --%   
-------------------------------------------------------------------------------------------------------------------------------   
Telehub Communications Corp.                                                                                                      
company guaranty stepped-coupon                                                                                                   
zero % (13 7/8s, 7/31/02), 2005                                                                                                   
(In default) (NON) (STP)                          290,000        17,400            --            --        80,000         4,800   

Specialty Printing                                                  --%                         --%                         --%   
-------------------------------------------------------------------------------------------------------------------------------   
Perry-Judd company guaranty                                                                                                       
10 5/8s, 2007                                     615,000       559,650            --            --       130,000       118,300   
Von Hoffman Press, Inc. 144A                                                                                                      
sr. sub. notes 13 1/2s, 2009                      121,276        97,021            --            --        28,837        23,070   
Von Hoffman Press, Inc. 144A                                                                                                      
sr. sub. notes 10 3/8s, 2007                      125,000       115,000            --            --        30,000        27,600   
                                                           ------------                ------------                ------------   
                                                                771,671                          --                     168,970   

Technology                                                         0.2%                        0.1%                        0.3%   
-------------------------------------------------------------------------------------------------------------------------------   
Amkor Technologies, Inc. sr. notes                                                                                                
9 1/4s, 2006                                       50,000        47,625     1,590,000     1,514,475     1,290,000     1,228,725   
Amkor Technologies, Inc. sr. sub. notes                                                                                           
10 1/2s, 2009                                     330,000       318,450            --            --       200,000       193,000   
Amkor Technologies, Inc. 144A sr. notes                                                                                           
9 1/4s, 2008                                      560,000       534,800            --            --       130,000       124,150   
Amkor Technologies, Inc.                                                                                                          
Structured Notes 12.58s (Issued by                                                                                                
STEERS Credit Linked Trust 2000)                                                                                                  
2005                                              270,000       270,000            --            --       140,000       140,000   
Flextronics International, Ltd.                                                                                                   
sr. sub. notes 9 7/8s, 2010 (Singapore)           140,000       135,800       340,000       329,800       500,000       485,000   
Flextronics International, Ltd.                                                                                                   
sr. sub. notes Ser. B, 8 3/4s, 2007                                                                                               
(Singapore)                                     1,120,000     1,030,400            --            --       255,000       234,600   
SCG Holding & Semiconductor Corp.                                                                                                 
company guaranty 12s, 2009                        310,000       238,700            --            --       150,000       115,500   
Telecommunications Techniques, Inc.                                                                                               
company guaranty 9 3/4s, 2008                     500,000       410,000            --            --       250,000       205,000   
Viasystems, Inc. sr. notes Ser. B, 9 3/4s,        700,000       441,000            --            --       225,000       141,750   
Viasystems, Inc. sr. sub. notes 9 3/4s, 20        430,000       270,900            --            --       310,000       195,300   
                                                           ------------                ------------                ------------   
                                                              3,697,675                   1,844,275                   3,063,025   

Technology Services                                                0.2%                         --%                        0.2%   
-------------------------------------------------------------------------------------------------------------------------------   
Equinix, Inc. sr. notes 13s, 2007                 570,000       399,000            --            --       540,000       378,000   
Exodus Communications, Inc.                                                                                                       
sr. notes 11 5/8s, 2010                           980,000       788,900            --            --       420,000       338,100   
Exodus Communications, Inc.                                                                                                       
sr. notes 10 3/4s, 2009                           430,000       331,100            --            --       280,000       215,600   
Exodus Communications, Inc.                                                                                                       
144A sr. notes 11 1/4s, 2008                      320,000       254,400            --            --       130,000       103,350   
Firstworld Communication Corp.                                                                                                    
sr. disc. notes stepped-coupon                                                                                                    
zero % (13s, 4/15/03), 2008 (STP)                 520,000        96,200            --            --       360,000        66,600   
Globix Corp. sr. notes 12 1/2s, 2010              405,000       121,500            --            --       210,000        63,000   
Iron Mountain, Inc. company guaranty                                                                                              
8 5/8s, 2013                                           --            --            --            --        20,000        20,150   
Iron Mountain, Inc. company guaranty                                                                                              
8 3/4s, 2009                                      785,000       800,700            --            --       465,000       474,300   
Iron Mountain, Inc. sr. sub. notes                                                                                                
8 1/4s, 2011                                      490,000       486,325            --            --        40,000        39,700   
Iron Mountain Corp. sr. sub. notes                                                                                                
11 1/8s, 2006                                          --            --            --            --       100,000       105,000   
Pierce Leahy Command Co. company                                                                                                  
guaranty 8 1/8s, 2008 (Canada)                    180,000       177,300            --            --        90,000        88,650   
PSINet, Inc. sr. notes 11s, 2009                  530,000        47,700            --            --       290,000        26,100   
                                                           ------------                ------------                ------------   
                                                              3,503,125                          --                   1,918,550   

Telecommunications                                                 1.1%                        0.6%                        1.9%   
-------------------------------------------------------------------------------------------------------------------------------   
360Networks, Inc. sr. notes 13s, 2008                                                                                             
(Canada)                                          870,000       330,600            --            --       430,000       163,400   
AirTouch Communications, Inc.                                                                                                     
notes 7s, 2003                                         --            --       910,000       940,248       560,000       578,614   
American Cellular Corp. 144A                                                                                                      
sr. sub notes 9 1/2s, 2009                        560,000       543,200            --            --       270,000       261,900   
American Tower Corp. 144A                                                                                                         
sr. notes 9 3/8s, 2009                            990,000       945,450            --            --       490,000       467,950   
Arch Communications, Inc.                                                                                                         
sr. notes 13 3/4s, 2008                            80,000        28,200            --            --        40,000        14,100   
BTI Telecom Corp. sr. notes 10 1/2s, 2007         855,000       128,250            --            --       390,000        58,500   
Call-Net Enterprises, Inc. sr. notes                                                                                              
8s, 2008 (Canada)                                 410,000       135,300            --            --       110,000        36,300   
Carrier1 Intl. SA 144A sr. notes Ser. B,                                                                                          
13 1/4s, 2009 (Sweden)                            120,000        81,600            --            --        60,000        40,800   
Covad Communications Group, Inc.                                                                                                  
sr. disc. notes stepped-coupon                                                                                                    
Ser. B, zero % (13 1/2s, 3/15/03),                                                                                                
2008 (STP)                                             --            --            --            --       330,000        19,800   
Covad Communications Group, Inc.                                                                                                  
sr. notes 12 1/2s, 2009                           490,000        78,400            --            --        60,000         9,600   
Crown Castle International Corp.                                                                                                  
sr. disc. notes stepped-coupon                                                                                                    
zero % (11 1/4s, 8/1/04), 2011 (STP)              200,000       142,000            --            --       100,000        71,000   
Crown Castle International Corp.                                                                                                  
sr. notes 10 3/4s, 2011                         1,020,000     1,050,600            --            --       650,000       669,500   
Dobson Communications Corp.                                                                                                       
sr. notes 10 7/8s, 2010                           370,000       377,400            --            --       180,000       183,600   
Dobson/Sygnet Communications, Inc.                                                                                                
sr. notes 12 1/4s, 2008                           300,000       308,250            --            --       540,000       554,850   
Esprit Telecom Group PLC                                                                                                          
sr. notes 11 1/2s, 2007 (United                                                                                                   
Kingdom) (In default) (NON)                       430,000        12,900            --            --       160,000         4,800   
Global Crossing Holdings, Ltd. company                                                                                            
guaranty 9 5/8s, 2008 (Bermuda)                   350,000       329,875     1,530,000     1,442,025     1,290,000     1,215,825   
Global Crossing Holdings, Ltd.                                                                                                    
company guaranty 9 1/2s, 2009                                                                                                     
(Bermuda)                                       1,350,000     1,262,250            --            --       660,000       617,100   
Global Crossing Holdings, Ltd. 144A                                                                                               
sr. notes 8.7s, 2007 (Bermuda)                    470,000       433,575     9,340,000     8,616,150     6,340,000     5,848,650   
Hermes Europe Railtel sr. notes                                                                                                   
10 3/8s, 2009                                      90,000        22,500            --            --        50,000        12,500   
Hermes Europe Railtel 144A sr. notes                                                                                              
11 1/2s, 2007 (Netherlands)                        40,000        10,000            --            --        20,000         5,000   
Level 3 Communication, Inc. sr. disc.                                                                                             
notes stepped-coupon zero %                                                                                                       
(12 7/8s, 3/15/05), 2010 (STP)                    480,000       196,800            --            --            --            --   
Level 3 Communication, Inc. sr. notes                                                                                             
11s, 2008                                         940,000       740,250            --            --       720,000       567,000   
Level 3 Communication, Inc. sr. notes                                                                                             
9 1/8s, 2008                                       10,000         7,100            --            --            --            --   
McCaw International, Ltd. sr. disc. notes                                                                                         
stepped-coupon zero %                                                                                                             
(13s, 4/15/02), 2007 (STP)                        440,000       281,600            --            --       140,000        89,600   
McLeodUSA, Inc. sr. notes 8 1/8s, 2009          1,130,000       960,500            --            --       550,000       467,500   
MCI WorldCom, Inc. sr. notes 6 1/8s, 2001              --            --       540,000       540,427       290,000       290,229   
Metrocall, Inc. sr. sub. notes 11s, 2008                                                                                          
(In default) (NON)                                150,000        12,000            --            --        80,000         6,400   
Metrocall, Inc. sr. sub. notes 10 3/8s, 20        210,000        37,800            --            --       120,000        21,600   
Metrocall, Inc. sr. sub. notes 9 3/4s, 200         70,000        12,600            --            --        30,000         5,400   
Millicom International Cellular SA sr. disc.                                                                                      
notes stepped-coupon zero %                                                                                                       
(13 1/2s, 6/1/01), 2006                                                                                                           
(Luxembourg) (STP)                              1,003,000       892,670            --            --       494,000       439,660   
Nextel Communications, Inc. sr. notes                                                                                             
12s, 2008                                         950,000       904,875            --            --       650,000       619,125   
Nextel Communications, Inc. 144A                                                                                                  
sr. notes 9 1/2s, 2011                          2,640,000     2,227,500            --            --     1,010,000       852,188   
Nextel International, Inc. sr. notes                                                                                              
12 3/4s, 2010                                   1,070,000       802,500            --            --       580,000       435,000   
Nextel Partners, Inc. sr. notes                                                                                                   
11s, 2010                                         440,000       385,000            --            --            --            --   
Nextel Partners, Inc. sr. notes                                                                                                   
11s, 2010                                          50,000        43,250            --            --       270,000       233,550   
NorthEast Optic Network, Inc.                                                                                                     
sr. notes 12 3/4s, 2008                           450,000       202,500            --            --       240,000       108,000   
Orbital Imaging Corp. sr. notes                                                                                                   
Ser. B, 11 5/8s, 2005 (In default) (NON)          415,000        58,100            --            --       100,000        14,000   
Pinnacle Holdings, Inc. sr. disc. notes                                                                                           
stepped-coupon zero %                                                                                                             
(10s, 3/15/03), 2008 (STP)                        500,000       300,000            --            --       250,000       150,000   
Price Communications Wireless, Inc.                                                                                               
144A sr. notes 9 1/8s, 2006                       395,000       406,850            --            --       210,000       216,300   
Primus Telecommunications Group, Inc.                                                                                             
sr. notes 12 3/4s, 2009                           265,000        71,550            --            --       205,000        55,350   
Primus Telecommunications Group, Inc.                                                                                             
sr. notes Ser. B, 9 7/8s, 2008                    310,000        93,000            --            --        80,000        24,000   
Rhythms Netconnections, Inc. sr. notes                                                                                            
Ser. B, 14s, 2010                                      --            --            --            --       160,000        12,800   
Rogers Cantel, Inc. sr. sub. notes                                                                                                
8.8s, 2007 (Canada)                               500,000       510,000       950,000       969,000       635,000       647,700   
RSL Communications, Ltd. 144A                                                                                                     
12 7/8s, 2010 (United Kingdom)                                                                                                    
(In default) (NON)                                 60,000         1,050            --            --       420,000         7,350   
RSL Communications, Ltd.                                                                                                          
company guaranty 9 1/8s, 2008                                                                                                     
(United Kingdom) (In default) (NON)               600,000        10,500            --            --       165,000         2,888   
RSL Communications, Ltd.                                                                                                          
company guaranty 12 1/4s, 2006                                                                                                    
(Bermuda) (In default) (NON)                      490,000         8,575            --            --       123,000         2,153   
Rural Cellular Corp. sr. sub notes                                                                                                
Ser. B, 9 5/8s, 2008                              590,000       548,700            --            --       290,000       269,700   
SBA Communications Corp. 144A                                                                                                     
sr. notes 10 1/4s, 2009                           500,000       475,000            --            --       240,000       228,000   
Spectrasite Holdings, Inc. sr. disc. notes                                                                                        
stepped-coupon zero %                                                                                                             
(11 1/8s, 4/15/04), 2009                          210,000        94,500            --            --       120,000        54,000   
Spectrasite Holdings, Inc. sr. disc. notes                                                                                        
stepped-coupon Ser. B, zero %                                                                                                     
(12 7/8s, 3/15/05), 2010 (STP)                    740,000       325,600            --            --       390,000       171,600   
Sprint Capital Corp. company guaranty                                                                                             
7 5/8s, 2011                                           --            --     1,235,000     1,242,558       720,000       724,406   
Sprint Capital Corp. company guaranty                                                                                             
6 7/8s, 2028                                           --            --        90,000        76,496            --            --   
Sprint Capital Corp. company guaranty                                                                                             
6 1/8s, 2008                                           --            --     1,095,000     1,009,754       590,000       544,069   
Sprint Capital Corp. company guaranty                                                                                             
5 7/8s, 2004                                           --            --        30,000        29,304            --            --   
Viatel, Inc. sr. disc. notes stepped-coupon                                                                                       
zero % (12 1/2s, 4/15/03), 2008 (STP)             920,000       147,200            --            --     1,110,000       177,600   
Viatel, Inc. sr. notes 11 1/2s, 2009              753,000       112,950            --            --       178,000        26,700   
Viatel, Inc. sr. notes 11 1/4s, 2008               70,000        10,500            --            --            --            --   
Williams Communications Group, Inc.                                                                                               
sr. notes 11.7s, 2010                             890,000       685,300            --            --       510,000       392,700   
Williams Communications Group, Inc.                                                                                               
sr. notes 11.7s, 2008                             320,000       252,800            --            --            --            --   
Williams Communications Group, Inc.                                                                                               
sr. notes 10 7/8s, 2009                         1,240,000       911,400            --            --       695,000       510,825   
Williams Communications Group, Inc.                                                                                               
sr. notes 10.7s, 2007                             130,000        99,450            --            --        80,000        61,200   
World Access, Inc. sr. notes Ser. B,                                                                                              
13 1/4s, 2008                                     560,000       168,000            --            --       320,000        96,000   
                                                           ------------                ------------                ------------   
                                                             19,218,320                  14,865,962                  19,358,382   

Telephone                                                          0.9%                         --%                        0.9%   
-------------------------------------------------------------------------------------------------------------------------------   
Airgate PCS, Inc. sr. sub. notes                                                                                                  
stepped-coupon zero %                                                                                                             
(13 1/2s, 10/1/04), 2009 (STP)                    140,000        81,900            --            --            --            --   
Allegiance Telecom, Inc. sr. disc. notes                                                                                          
stepped-coupon Ser. B, zero %                                                                                                     
(11 3/4s, 2/15/03), 2008 (STP)                    310,000       213,900            --            --       140,000        96,600   
Allegiance Telecom, Inc. 144A sr. notes                                                                                           
12 7/8s, 2008                                     290,000       284,200            --            --       160,000       156,800   
Birch Telecommunications, Inc. sr. notes                                                                                          
14s, 2008                                         340,000       187,000            --            --       300,000       165,000   
Focal Communications Corp. sr. notes                                                                                              
11 7/8s, 2010                                      70,000        49,000            --            --        40,000        28,000   
Focal Communications Corp. sr. sub.                                                                                               
notes stepped-coupon Ser. B, zero %                                                                                               
(12 1/8s, 2/15/03), 2008 (STP)                    500,000       240,000            --            --       230,000       110,400   
Horizon PCS., Inc. 144A company                                                                                                   
guaranty stepped-coupon zero %                                                                                                    
(14s, 10/1/05), 2010 (STP)                        700,000       301,000            --            --       340,000       146,200   
Hyperion Telecommunications Corp., Inc.                                                                                           
sr. sub. notes 12s, 2007                          360,000       216,000            --            --       550,000       330,000   
ICG Holdings, Inc. company guaranty                                                                                               
stepped-coupon zero %                                                                                                             
(12 1/2s, 5/1/01), 2006 (In default) (STP)        425,000        29,750            --            --       115,000         8,050   
ICG Services, Inc. sr. disc. notes                                                                                                
stepped-coupon zero %                                                                                                             
(9 7/8s, 5/1/03), 2008 (In default) (NON)         130,000         7,150            --            --       245,000        13,475   
ICG Services, Inc. sr. disc. notes                                                                                                
stepped-coupon zero % (10s, 2/15/03),                                                                                             
2008 (In default) (NON) (STP)                   2,190,000       120,450            --            --       940,000        51,700   
Intermedia Communications, Inc. sr. notes                                                                                         
Ser. B, 8 7/8s, 2007                              588,000       576,240            --            --       290,000       284,200   
Intermedia Communications, Inc. sr. notes                                                                                         
Ser. B, 8.6s, 2008                                 40,000        39,200            --            --        20,000        19,600   
Intermedia Communications, Inc. sr. notes                                                                                         
Ser. B, 8 1/2s, 2008                              290,000       284,200            --            --       470,000       460,600   
Ipcs Inc. sr. disc. notes stepped-coupon                                                                                          
zero % (14s, 7/15/05), 2010 (STP)                 500,000       215,000            --            --       260,000       111,800   
KMC Telecommunications Holdings, Inc.                                                                                             
sr. disc. notes stepped-coupon zero %                                                                                             
(12 1/2s, 2/15/03), 2008 (STP)                    780,000        78,000            --            --     1,155,000       115,500   
Madison River Capital Corp. sr. notes                                                                                             
13 1/4s, 2010                                   1,000,000       720,000            --            --       510,000       367,200   
Metromedia Fiber Network, Inc. sr. notes                                                                                          
10s, 2009                                         420,000       344,400            --            --       180,000       147,600   
Metromedia Fiber Network, Inc. sr. notes                                                                                          
Ser. B, 10s, 2008                                 690,000       565,800       700,000       574,000       970,000       795,400   
Microcell Telecommunications sr. disc.                                                                                            
notes stepped-coupon Ser. B, zero %                                                                                               
(14s, 12/1/01), 2006 (Canada) (STP)               590,000       590,000            --            --       290,000       290,000   
Nextlink Communications, Inc. sr. notes                                                                                           
10 1/2s, 2009                                     430,000       251,550            --            --       180,000       105,300   
Nextlink Communications, Inc. sr. disc.                                                                                           
notes stepped-coupon zero %                                                                                                       
(12 1/4s, 6/1/04), 2009 (STP)                   1,150,000       379,500            --            --       480,000       158,400   
Startec Global Communications Corp.                                                                                               
sr. notes 12s, 2008                               390,000       191,100            --            --        90,000        44,100   
Tele1 Europe B.V. sr. notes 13s, 2009                                                                                             
(Netherlands)                                     250,000       225,000            --            --       130,000       117,000   
Telecorp PCS, Inc. company guaranty                                                                                               
10 5/8s, 2010                                     750,000       723,750            --            --       370,000       357,050   
Time Warner Telecom, Inc. sr. notes                                                                                               
10 1/8s, 2011                                          --            --            --            --        70,000        70,000   
Time Warner Telecom, Inc. sr. notes                                                                                               
9 3/4s, 2008                                    1,160,000     1,136,800            --            --       430,000       421,400   
Tritel PCS, Inc. 144A sr. sub notes                                                                                               
10 3/8s, 2011                                     580,000       556,800            --            --       260,000       249,600   
Triton PCS, Inc. 144A sr. sub notes                                                                                               
9 3/8s, 2011                                      500,000       480,000            --            --       250,000       240,000   
UbiquiTel Operating Co. company                                                                                                   
guaranty stepped-coupon zero %                                                                                                    
(14s, 4/15/05), 2010 (STP)                      1,000,000       445,000            --            --       590,000       262,550   
US UnWired, Inc. company guaranty                                                                                                 
stepped-coupon Ser. B, zero %                                                                                                     
(13 3/8s, 11/1/04), 2009 (STP)                    880,000       455,400            --            --       430,000       222,525   
VoiceStream Wireless Corp. sr. notes                                                                                              
10 3/8s, 2009                                   5,460,000     6,006,000            --            --     2,670,000     2,937,000   
WinStar Communications, Inc. sr. disc.                                                                                            
notes stepped-coupon zero %                                                                                                       
(14 3/4s, 4/15/05), 2010 (STP)                  2,569,000       333,970            --            --     1,307,000       169,910   
WinStar Communications, Inc. sr. notes                                                                                            
12 3/4s, 2010                                     230,000        85,100            --            --        90,000        33,300   
XO Communications, Inc. sr. disc. notes                                                                                           
stepped-coupon zero %                                                                                                             
(9.45s, 4/15/03), 2008 (STP)                      200,000        78,000            --            --       100,000        39,000   
                                                           ------------                ------------                ------------   
                                                             16,491,160                     574,000                   9,125,260   

Textiles                                                           0.3%                        0.2%                        0.5%   
-------------------------------------------------------------------------------------------------------------------------------   
Galey & Lord, Inc. company guaranty                                                                                               
9 1/8s, 2008                                      370,000       247,900            --            --       180,000       120,600   
Guess Jeans, Inc. sr. sub. notes 9 1/2s, 2003     730,000       649,700       940,000       836,600       725,000       645,250   
Kasper ASL., Ltd. sr. notes 12 3/4s, 2004                                                                                         
(In default) (NON)                                285,000        85,500            --            --        30,000         9,000   
Levi Strauss & Co. 144A sr. notes                                                                                                 
11 5/8s, 2008                                   1,710,000     1,752,750     2,970,000     3,018,404     2,870,000     2,941,750   
Tommy Hilfiger USA, Inc. company                                                                                                  
guaranty 6 1/2s, 2003                             150,000       142,500            --            --        70,000        66,500   
Westpoint Stevens, Inc. sr. notes                                                                                                 
7 7/8s, 2008                                      880,000       695,200       500,000       395,000       390,000       308,100   
Westpoint Stevens, Inc. sr. notes                                                                                                 
7 7/8s, 2005                                    1,170,000       959,400            --            --       780,000       639,600   
William Carter Holdings Co.                                                                                                       
sr. sub. notes Ser. A, 12s, 2008                  190,000       176,700            --            --        50,000        46,500   
William Carter Holdings Co.                                                                                                       
sr. sub. notes Ser. A, 10 3/8s, 2006              750,000       750,000            --            --       340,000       340,000   
                                                           ------------                ------------                ------------   
                                                              5,459,650                   4,250,004                   5,117,300   

Waste Management                                                   0.2%                        0.3%                        0.7%   
-------------------------------------------------------------------------------------------------------------------------------   
Allied Waste Industries, Inc. company                                                                                             
guaranty Ser. B, 10s, 2009                      1,990,000     2,027,313            --            --       885,000       901,594   
Allied Waste Industries, Inc. company                                                                                             
guaranty Ser. B, 7 7/8s, 2009                     255,000       247,350     2,725,000     2,643,250     2,060,000     1,998,200   
Allied Waste Industries, Inc. company                                                                                             
guaranty Ser. B, 7 5/8s, 2006                     430,000       418,713       420,000       408,975       120,000       116,850   
Allied Waste Industries, Inc. 144A                                                                                                
company guaranty 8 7/8s, 2008                     200,000       205,000            --            --       210,000       215,250   
Browning-Ferris Industries, Inc. 144A                                                                                             
deb. 7.4s, 2035                                   320,000       259,200     3,746,000     3,034,260     3,090,000     2,502,900   
Waste Management, Inc. sr. notes                                                                                                  
7 3/8s, 2010                                      280,000       281,887     2,310,000     2,325,569     1,730,000     1,741,660   
                                                           ------------                ------------                ------------   
                                                              3,439,463                   8,412,054                   7,476,454   

Water Utilities                                                    0.1%                        0.2%                        0.5%   
-------------------------------------------------------------------------------------------------------------------------------   
Azurix Corp. sr. notes Ser. B, 10 3/4s, 20        650,000       659,750            --            --        30,000        30,450   
Azurix Corp. sr. notes Ser. B, 10 3/8s, 20        521,000       526,210     6,360,000     6,423,600     4,780,000     4,827,800   
                                                           ------------                ------------                ------------   
                                                              1,185,960                   6,423,600                   4,858,250   
Total Corporate Bonds and Notes                                                                                                   
(cost $251,340,124, $437,894,642                                                                                                  
and $403,413,881)                                          $228,756,999                $446,977,968                $395,643,189   
-------------------------------------------------------------------------------------------------------------------------------   

                                                          GROWTH                     BALANCED                 CONSERVATIVE        
                                                                   3.5%                       10.9%                       13.7%   
U.S. GOVERNMENT AND                             Principal                   Principal                   Principal                 
AGENCY OBLIGATIONS                                 Amount         Value        Amount         Value        Amount         Value   

U.S. Government                                                                                                                   
Agency Mortgage Obligations                                        2.9%                        9.5%                       13.5%   
-------------------------------------------------------------------------------------------------------------------------------   
Federal Home Loan                                                                                                                 
Mortgage Corporation                                                                                                              
8 1/2s, July 1, 2028                          $        -- $          --   $ 1,156,068  $  1,224,726   $ 1,362,099 $   1,442,994   
6 1/2s, April 1, 2029                                  --            --       357,433       356,886            --            --   
Federal National Mortgage Association                                                                                             
Pass-through Certificates                                                                                                         
8 1/2s, with due dates from                                                                                                       
March 1, 2030 to April 1, 2030                         --            --       540,869       563,357            --            --   
8s, with due dates from                                                                                                           
October 1, 2022 to March 1, 2031                6,249,965     6,448,453    37,010,269    38,206,227    17,448,256    18,011,155   
8s, TBA, April 1, 2031                            850,000       876,563     3,715,000     3,831,094     1,915,000     1,974,844   
7 1/2s, with due dates from                                                                                                       
January 1, 2030 to January 1, 2031              3,007,992     3,074,769     4,129,465     4,221,138     2,835,066     2,898,006   
6 1/2s, with due dates from                                                                                                       
August 1, 2010 to January 1, 2031                 254,430       253,855       150,706       150,176       615,631       623,346   
6s, with due dates from May 1, 2014                                                                                               
to March 1, 2031                               31,178,610    30,955,266   164,529,512   162,977,043    82,902,839    82,097,576   
6s, April 1, 2031                               1,330,000     1,296,750     4,210,000     4,104,750     2,100,000     2,047,500   
Government National Mortgage                                                                                                      
Association Pass-through Certificates                                                                                             
10s, with due dates from June 15, 2013                                                                                            
to March 1, 2029                                       --            --     1,246,515     1,364,421     1,169,533     1,279,409   
9 1/2s, December 15, 2017                              --            --       572,578       618,247       506,627       547,036   
9s, with due dates from                                                                                                           
January 15, 2025 to October 15, 2029                   --            --     5,135,525     5,419,231     2,668,340     2,815,028   
8s, with due dates from June 15, 2017                                                                                             
to April 15, 2028                               3,884,479     4,036,845    16,406,223    17,044,893     9,411,487     9,777,844   
7 1/2s, with due dates from                                                                                                       
April 15, 2022 to December 15, 2030             1,822,625     1,861,210    10,902,364    11,184,992     3,176,703     3,263,717   
7s, with due dates from                                                                                                           
August 15, 2025 to February 15, 2031            4,016,383     4,083,336    11,540,013    11,739,187     6,638,271     6,749,116   
6 1/2s, March 15, 2028                                 --            --       299,053       299,510            --            --   
                                                           ------------                ------------                ------------   
                                                             52,887,047                 263,305,878                 133,527,571   

U.S. Treasury Obligations                                          0.6%                        1.4%                        0.2%   
-------------------------------------------------------------------------------------------------------------------------------   
US Treasury Notes 09/13/01 4.17s,                                                                                                 
September 13, 2001 (SEG)                       10,300,000    10,104,008    25,990,000    25,490,862     3,200,000     3,138,544   
                                                           ------------                ------------                ------------   
Total U.S. Government and                                                                                                         
Agency Obligations                                                                                                                
(cost $62,676,629, $286,787,371                                                                                                   
and $135,830,598)                                          $ 62,991,055                $288,796,740                $136,666,115   
-------------------------------------------------------------------------------------------------------------------------------   

                                                          GROWTH                     BALANCED                 CONSERVATIVE        

                                                                   1.1%                        1.7%                        2.5%   
COLLATERALIZED                                  Principal                   Principal                   Principal                 
MORTGAGE OBLIGATIONS(a)                            Amount         Value        Amount         Value        Amount         Value   
-------------------------------------------------------------------------------------------------------------------------------   
Comm Ser. 01-J1A, Class A2,                                                                                                       
6.457s, 2034                                  $   900,000 $     902,109  $  4,500,000 $    4,510,547  $ 2,300,000 $    2,305,391  
Commercial Mortgage Acceptance                                                                                                    
Corp. Ser. 97-ML1, Class D,                                                                                                       
7.053s, 2010                                           --            --       110,000       108,768            --            --   
Countrywide Mortgage Backed                                                                                                       
Securities, Inc. Ser. 93-C, Class A8,                                                                                             
6 1/2s, 2024                                           --            --       180,000       178,054            --            --   
Criimi Mae Commercial Mortgage Trust                                                                                              
Ser. 98-C1, Class A2, 7s, 2011                         --            --       760,000       732,944       470,000       453,268   
CS First Boston Mortgage Securities                                                                                               
Corp. Ser. 99-C1, Class A2, 7.29s, 2009           730,000       774,028     3,430,000     3,636,872     1,810,000     1,919,166   
Deutsche Mortgage & Asset Receiving                                                                                               
Corp. Ser. 98-C1, Class X,                                                                                                        
Interest Only (IO), 1.22s, 2031                 3,119,158         151,08    7,236,446       350,515     5,988,783       290,082   
Fannie Mae                                                                                                                        
Ser. 00-4, Class SX, 10.205s, 2023                     --            --     1,120,000     1,122,800     1,020,000     1,022,550   
281, Class 2, IO, 9.0s, 2026                      393,860        79,572       203,785        41,171            --            --   
Ser. 99-64, Class SE, IO, 8s, 2030              4,124,219       257,538            --            --            --            --   
Ser. 99-51, Class S, IO, 8.0s, 2029                    --            --     1,874,441       153,471     1,623,780       132,948   
Ser. 99-T2, Class A1, 7.5s, 2039                1,203,200     1,243,808     4,991,999     5,160,479     2,549,028     2,635,058   
Ser. 00-T6, Class A1, 7.5s, 2030                  862,600       891,713     3,973,775     4,107,890     2,122,578     2,194,215   
Ser. 97-91, Class FB, IO, 7.5s, 2023              407,162        34,472            --            --            --            --   
Ser. 98-1, Class SA, IO, 6.5s, 2024                    --            --     3,765,200     1,586,676     1,885,300       794,476   
Ser. 92-184, Class J, IO, 6.14s, 2022                  --            --         5,130       129,287         4,560       114,922   
Ser. 97-91, Class SL, IO, 5.843s, 2023                 --            --            --            --       778,380        91,814   
Ser. 92-181, Class PJ, IO, 5.3s, 2022                  --            --         3,456        74,821         3,253        70,419   
Ser. 97-92, Class SM, IO, 4.57s, 2022                  --            --     1,588,420       145,936       818,041        75,158   
Ser. 98-66, Class SB, IO, 3.1s, 2028                   --            --            --            --     1,068,649        66,768   
FFCA Secured Lending Corp.                                                                                                        
Ser. 00-1, Class A2, 7.77s, 2027 144A           1,025,000     1,073,688     4,355,000     4,561,863     2,175,000     2,278,313   
Ser. 00-1, Class X, IO, 1.72s, 2027             1,338,796       127,186     5,706,667       542,133     2,855,308       271,254   
Freddie Mac                                                                                                                       
Ser. 2028, Class SG, IO, 10.473s, 2023                 --            --     1,324,000       566,386     1,035,000       442,757   
Ser. 2032, Class SK, 9.36s, 2024                1,593,000       554,401            --            --            --            --   
Ser. 1717, 6 1/2s, 2024                                --            --        70,210        71,430            --            --   
Ser. 183. Class IO, 3.266s, 2027                       --            --       309,386        63,618        10,248         2,107   
Ser. 2191, Class MS, 0.605s, 2027                      --            --       281,428        14,872            --            --   
Ser. 180, Principal Only (PO),                                                                                                    
zero %, 2026                                           --            --        10,703         8,937       100,359        83,800   
Ser. 1208, Class F, PO, zero %, 2022               82,082        69,411            --            --            --            --   
Ser. 203, PO, zero %, 2029                             --            --       340,988       259,628       113,010        86,046   
GE Capital Mortgage Services, Inc.                                                                                                
Ser. 98-11, Class 2A4, 6 3/4s, 2028                    --            --        75,000        75,507            --            --   
Government National                                                                                                               
Mortgage Association                                                                                                              
Ser. 99-43, Class SJ, IO, 8.5s, 2029            2,067,460       129,837     1,407,926        88,418            --            --   
Ser. 99-46, Class SQ, IO, 8s, 2027                     --            --     1,481,133        81,462            --            --   
Ser. 00-17, Class SB, 7.5s, 2026                  215,879       247,486     1,502,719     1,722,732       792,680       908,736   
Ser. 99-31, Class MP, PO, zero %, 2029            556,245       478,544     2,627,930     2,260,841     1,313,966     1,130,421   
Ser. 98-2, Class EA, PO, zero %, 2028             347,941       285,746        66,383        54,517            --            --   
Holmes Financing PLC FRN                                                                                                          
6.879s, 2040                                    1,030,000     1,030,474     4,390,000     4,392,019     2,200,000     2,201,012   
Merrill Lynch Mortgage Investors, Inc.                                                                                            
Ser. 1995-C3, Class D, 7.782s, 2025                    --            --        75,000        78,105            --            --   
Ser. 96-C2, Class E, 6.96s, 2028                       --            --        65,000        61,380            --            --   
Ser. 96-C2, IO, 9.04s, 2028                     1,301,009        88,428     2,216,353       150,643       802,902        54,572   
Ser. 98-C2, IO, 7.86s, 2030                     2,234,763       147,941     8,354,429       553,063     4,276,223       283,086   
Mortgage Capital Funding, Inc.                                                                                                    
Ser. 97-MC2, Class X, IO, 8.05s, 2012           1,842,613       114,300       510,495        31,667            --            --   
PNC Mortgage Securities Corp.                                                                                                     
Ser. 97-6, Class A2, 6.6s, 2027                        --            --        78,032        78,687            --            --   
Prudential Home Mortgage Securities                                                                                               
Ser. 93-57, Class A4, 5.9s, 2023                       --            --         4,404         4,421            --            --   
Salomon Brothers Mortgage Securities                                                                                              
VII Ser. 00-C3, Class A2, 6.592s, 2010            595,000       605,249     2,400,000     2,441,342     1,205,000     1,225,757   
Structured Asset Security Corp.                                                                                                   
Ser. 00-1, Class A1, 5.34s, 2024               11,153,720    11,155,462     3,717,906     3,718,487     3,717,907     3,718,487   
                                                           ------------                ------------                ------------   
Total Collateralized Mortgage Obligations                                                                                         
(cost $20,268,554, $42,952,281                                                                                                    
and $24,362,444)                                           $ 20,442,477                $ 43,922,389                $ 24,852,583   
-------------------------------------------------------------------------------------------------------------------------------   
                                                          GROWTH                     BALANCED                 CONSERVATIVE        

                                                                   0.4%                         --%                        0.1%   
PREFERRED STOCKS*                                  Shares         Value        Shares         Value        Shares         Value   
-------------------------------------------------------------------------------------------------------------------------------   
AmeriKing, Inc. $3.25 cum. pfd. (PIK)               9,884  $      9,884            --  $         --            -- $          --   
California Federal Bancorp, Inc.                                                                                                  
Ser. A, $2.28 pfd.                                  8,100       202,500        22,060       551,500        15,240       381,000   
Chevy Chase Capital Corp.                                                                                                         
Ser. A, $5.19 pfd. (PIK)                            4,057       217,050            --            --         2,028       108,498   
Citadel Broadcasting, Inc.                                                                                                        
144A $13.25 cum. pfd. (PIK)                         5,543       620,816            --            --         1,269       142,128   
CSC Holdings, Inc. Ser. M, $11.13                                                                                                 
cum. pfd. (PIK)                                     6,855       747,195            --            --           925       100,825   
Dobson Communications Corp.                                                                                                       
13.00% pfd.                                           989       929,660            --            --           318       298,920   
Dobson Communications Corp.                                                                                                       
144A 12.25% pfd. (PIK)                                444       399,600            --            --            --            --   
Intermedia Communications, Inc.                                                                                                   
Ser. B, 13.50% pfd. (PIK)                             735       735,000             1         1,000             2         2,000   
Marschollek, Lautenschlaeger und                                                                                                  
Partner AG zero % pfd. (Germany)                   17,278     1,732,983            --            --            --            --   
Nextel Communications, Inc. 144A                                                                                                  
Ser. E, $11.125 pfd. (PIK)                              5         3,650            --            --             2         1,460   
Paxson Communications Corp.                                                                                                       
12.50% pfd. (PIK)                                       1         1,000            --            --            --            --   
Paxson Communications Corp.                                                                                                       
144A 13.25% cum. pfd. (PIK)                           109     1,030,050            --            --            25       236,250   
Public Service Co. of New Hampshire                                                                                               
$2.651 1st mtge. pfd                                  577        11,540         3,141        62,820           577        11,540   
XO Communications, Inc. Ser. B,                                                                                                   
13.50% pfd.                                            12         3,480            --            --             1           290   
                                                           ------------                ------------                ------------   
Total Preferred Stocks                                                                                                            
(cost $7,543,325, $630,218                                                                                                        
and $1,307,717)                                            $  6,644,408                $    615,320                $  1,282,911   
-------------------------------------------------------------------------------------------------------------------------------   
                                                          GROWTH                     BALANCED                 CONSERVATIVE        

                                                                   0.2%                        2.6%                        5.6%   
CONVERTIBLE BONDS                               Principal                   Principal                   Principal                 
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  $     86,153   $    82,000  $     56,068   
Interpublic Group Cos., Inc.                                                                                                      
cv. sub. notes 1.8s, 2004                              --            --       600,000       594,000       400,000       396,000   
Omnicom Group, Inc.                                                                                                               
cv. sub. deb. 2 1/4s, 2013                             --            --       449,000       773,964       356,000       613,655   
Young & Rubicam, Inc. 144A                                                                                                        
cv. sr. notes 3s, 2005                                 --            --       250,000       233,750       260,000       243,100   
                                                           ------------                ------------                ------------   
                                                                     --                   1,687,867                   1,308,823   

Aerospace and Defense                                               --%                         --%                         --%   
-------------------------------------------------------------------------------------------------------------------------------   
Hexcel Corp. cv. sub. notes 7s, 2003              190,000       172,425            --            --       120,000       108,900   
SPACEHAB, Inc. cv. sub. notes 8s, 2007                 --            --       157,000        99,499        97,000        61,474   
                                                           ------------                ------------                ------------   
                                                                172,425                      99,499                     170,374   

Automotive                                                          --%                        0.1%                        0.1%   
-------------------------------------------------------------------------------------------------------------------------------   
Exide Corp. 144A cv. sr. sub. notes                                                                                               
2.9s, 2005                                      1,170,000       508,950            --            --       530,000       230,550   
Magna International cv. sub. deb.                                                                                                 
5s, 2002                                               --            --       800,000       805,000       700,000       704,375   
Standard Motor Products, Inc. cv. sub.                                                                                            
notes 6 3/4s, 2009                            $        --  $         --  $    239,000 $      139,516  $   146,000 $      85,228   
Tower Automotive, Inc. cv. sub. notes                                                                                             
5s, 2004                                               --            --       600,000       482,250       400,000       321,500   
                                                           ------------                ------------                ------------   
                                                                508,950                   1,426,766                   1,341,653   

Biotechnology                                                       --%                        0.1%                        0.2%   
-------------------------------------------------------------------------------------------------------------------------------   
Affymetrix, Inc. cv. sub. notes                                                                                                   
4 3/4s, 2007                                           --            --       284,000       172,885       203,000       123,576   
Alexion Pharmaceuticals, Inc. 144A                                                                                                
cv. sub. notes 5 3/4s, 2007                            --            --       178,000       102,795       118,000        68,145   
CV Therapeutics 144A cv. sub. notes                                                                                               
4 3/4s, 2007                                           --            --       148,000       110,445        96,000        71,640   
COR Therapeutics, Inc. 144A cv. notes                                                                                             
5s, 2007                                               --            --       139,000       125,100        89,000        80,100   
Genzyme Corp. cv. sub. notes                                                                                                      
5 1/4s, 2005                                           --            --       200,000       465,750            --            --   
Gilead Sciences, Inc. 144A cv. notes                                                                                              
5s, 2007                                               --            --       239,000       218,088       171,000       156,038   
Human Genome Sciences, Inc. cv. sub.                                                                                              
notes 3 3/4s, 2007                                     --            --       430,000       309,600       290,000       208,800   
IDEC Pharmaceuticals Corp. cv. sub.                                                                                               
notes zero %, 2019                                     --            --       142,000       231,638       113,000       184,331   
Imclone Systems, Inc 144A cv. sub.                                                                                                
notes 5 1/2s, 2005                                     --            --        56,000        47,740        35,000        29,838   
Invitrogen Corp. 144A cv. sub. notes                                                                                              
5 1/2s, 2007                                           --            --       140,000       134,925        90,000        86,738   
Millennium Pharmaceuticals, Inc.                                                                                                  
cv. sub. notes 5 1/2s, 2007                            --            --       323,000       325,019       329,000       331,056   
Protein Design Labs, Inc. 144A                                                                                                    
cv. sub. notes 5 1/2s, 2007                            --            --       159,000       142,703        95,000        85,263   
Roche Holdings, Inc. 144A                                                                                                         
cv. bonds zero %, 2015                                 --            --     1,266,000       925,763       972,000       710,775   
Vertex Pharmaceuticals, Inc. 144A                                                                                                 
cv. sub. notes 5s, 2007                                --            --        88,000        62,700        69,000        49,163   
ViroPharma, Inc. 144A cv. sub. notes                                                                                              
6s, 2007                                               --            --       120,000        62,700        80,000        41,800   
                                                           ------------                ------------                ------------   
                                                                     --                   3,437,851                   2,227,263   

Broadcasting                                                        --%                        0.2%                        0.3%   
-------------------------------------------------------------------------------------------------------------------------------   
Clear Channel Communications, Inc.                                                                                                
cv. sr. notes 2 5/8s, 2003                             --            --       360,000       375,750       285,000       297,469   
Clear Channel Communications, Inc.                                                                                                
cv. sr. notes 1 1/2s, 2002                             --            --       812,000       762,265       437,000       410,234   
Echostar Communications Corp.                                                                                                     
cv. sub. notes 4 7/8s, 2007                            --            --       664,000       585,150       609,000       536,681   
Echostar Communications Corp.                                                                                                     
144A cv. sub. notes 4 7/8s, 2007                       --            --       472,000       415,950       182,000       160,388   
Jacor Communications, Inc.                                                                                                        
cv. Liquid Yield Option Notes                                                                                                     
(LYON) zero %, 2018                                    --            --     1,706,000       850,868     1,045,000       521,194   
Jacor Communications, Inc.                                                                                                        
cv. sr. notes zero %, 2011                             --            --       518,000       457,135       376,000       331,820   
News America Holdings, Inc.                                                                                                       
cv. LYON zero %, 2013                                  --            --       782,000       488,750       700,000       437,500   
Scandinavian Broadcasting System SA                                                                                               
cv. sub. notes 7s, 2004 (Luxembourg)                   --            --       234,000       193,343       140,000       115,675   
                                                           ------------                ------------                ------------   
                                                                     --                   4,129,211                   2,810,961   

Cable Television                                                    --%                        0.1%                        0.3%   
-------------------------------------------------------------------------------------------------------------------------------   
Adelphia Communications Corp.                                                                                                     
cv. sub. notes 6s, 2006                                --            --       550,000       539,688       450,000       441,563   
AT&T-Liberty Media Group                                                                                                          
cv. mortgage-backed 4s, 2029                           --            --     1,297,000       847,914       966,000       631,523   
AT&T-Liberty Media Group 144A                                                                                                     
cv. sr. notes 3 1/2s, 2031                             --            --       520,000       383,500       390,000       287,625   
AT&T-Liberty Media Group 144A                                                                                                     
cv. sr. notes 3 1/4s, 2031                             --            --       810,000       786,713       630,000       611,888   
Charter Communications 144A                                                                                                       
cv. bonds 5 3/4s, 2005                                 --            --       447,000       542,546       508,000       616,585   
Rogers Communications                                                                                                             
cv. deb. 2s, 2005                                  30,000        22,538            --            --        10,000         7,513   
TeleWest Finance Corp.                                                                                                            
cv. sub. notes 6s, 2005                                                                                                           
(United Kingdom)                                  680,000       528,700            --            --       270,000       209,925   
                                                           ------------                ------------                ------------   
                                                                551,238                   3,100,361                   2,806,622   

Commercial and Consumer Services                                    --%                         --%                        0.1%   
-------------------------------------------------------------------------------------------------------------------------------   
Cedant Corp. cv. sub. notes 3s, 2002                   --            --     1,099,000     1,055,040       868,000       833,280   

Communications Equipment                                            --%                        0.1%                        0.3%   
-------------------------------------------------------------------------------------------------------------------------------   
Antec Corp. cv. sub. notes 4 1/2s, 2003                --            --       594,000       380,903       472,000       302,670   
CommScope, Inc. cv. sub. notes 4s, 2006                --            --       122,000        92,873        73,000        55,571   
Comverse Technology, Inc.                                                                                                         
cv. sub. deb. 4 1/2s, 2005                             --            --       257,000       704,501       203,000       556,474   
Corning, Inc. cv. deb. zero %, 2015                    --            --     1,992,000     1,165,320     1,903,000     1,113,255   
Efficient Networks, Inc. 144A                                                                                                     
cv. sub. notes 5s, 2005                                --            --       225,000       222,750       165,000       163,350   
Juniper Networks, Inc. cv. sub. notes                                                                                             
4 3/4s, 2007                                           --            --       494,000       356,915       387,000       279,608   
ONI System Corp. cv. notes 5s, 2005                    --            --       195,000       121,144       169,000       104,991   
Redback Networks, Inc. cv. sub. notes                                                                                             
5s, 2007                                               --            --     1,178,000       693,548       931,000       548,126   
Redback Networks, Inc. 144A                                                                                                       
cv. sub. notes 5s, 2007                                --            --       220,000       129,525       133,000        78,304   
                                                           ------------                ------------                ------------   
                                                                     --                   3,867,479                   3,202,349   

Computers                                                           --%                        0.1%                        0.1%   
-------------------------------------------------------------------------------------------------------------------------------   
Adaptec, Inc. cv. sub. notes 4 3/4s, 2004              --            --       151,000       123,820        95,000        77,900   
Anixter International, Inc. 144A                                                                                                  
cv. sr. notes zero %, 2020                             --            --     1,079,000       269,750       799,000       199,750   
Digital Island, Inc. cv. bonds 6s, 2005                --            --       330,000        96,113       210,000        61,163   
Hewlett-Packard Co. cv. sub. notes                                                                                                
zero %, 2017                                           --            --     1,474,000       819,913     1,125,000       625,781   
Quantum Corp. cv. sub. 7s, 2004                        --            --       162,000       133,650       100,000        82,500   
                                                           ------------                ------------                ------------   
                                                                     --                   1,443,246                   1,047,094   

Conglomerates                                                       --%                        0.1%                        0.3%   
-------------------------------------------------------------------------------------------------------------------------------   
Berkshire Hathaway, Inc.                                                                                                          
cv. sr. notes 1s, 2001                                 --            --       149,000       400,251        99,000       265,939   
Tyco International, Ltd. cv. notes                                                                                                
zero %, 2020 (Bermuda)                                 --            --       645,000       473,269     3,005,000     2,204,919   
Tyco International, Ltd. 144A cv. notes                                                                                           
zero %, 2020 (Bermuda)                                 --            --     2,336,000     1,714,040     1,390,000     1,019,913   
                                                           ------------                ------------                ------------   
                                                                     --                   2,587,560                   3,490,771   

Consumer Finance                                                    --%                         --%                         --%   
-------------------------------------------------------------------------------------------------------------------------------   
Providian Financial Corp.                                                                                                         
cv. sr. notes 3 1/4s, 2005                             --            --       505,000       483,538       360,000       344,700   

Consumer Services                                                   --%                         --%                        0.1%   
-------------------------------------------------------------------------------------------------------------------------------   
Flag Ltd. 144A sr. notes                                                                                                          
8 1/4s, 2008 (Bermuda)                            580,000       522,000       105,000        94,500       370,000       333,000   
Getty Images, Inc. cv. sub. notes                                                                                                 
5s, 2007                                               --            --       100,000        63,125       100,000        63,125   
Getty Images, Inc. 144A cv. sub. notes                                                                                            
5s, 2007                                               --            --       350,000       220,938       230,000       145,188   
VerticalNet, Inc. cv. sub. deb.                                                                                                   
5 1/4s, 2004                                           --            --        56,000        21,210        35,000        13,256   
                                                           ------------                ------------                ------------   
                                                                522,000                     399,773                     554,569   

Electronics                                                         --%                        0.4%                        0.8%   
-------------------------------------------------------------------------------------------------------------------------------   
ADT Operations, Inc. cv. sub. notes                                                                                               
zero %, 2010                                           --            --        42,000        98,858        32,000        75,320   
Analog Devices, Inc. 144A cv. notes                                                                                               
4 3/4s, 2005                                           --            --       860,000       757,875       600,000       528,750   
Analog Devices, Inc. 144A                                                                                                         
cv. sub. notes 4 3/4s, 2005                            --            --       332,000       292,575       199,000       175,369   
Arrow Electronics, Inc. cv. deb.                                                                                                  
zero %, 2021                                           --            --       857,000       351,370       690,000       282,900   
Benchmark Electronics, Inc. 144A                                                                                                  
cv. sub. notes 6s, 2006                                --            --       166,000       122,218       149,000       109,701   
Burr-Brown Corp. cv. sub. notes                                                                                                   
4 1/4s, 2007                                           --            --       179,000       198,914       107,000       118,904   
Cypress Semiconductor Corp. cv. sub.                                                                                              
deb. 3 3/4s, 2005                                      --            --       504,000       391,860       397,000       308,668   
DDi Corp. cv. sub. notes 5 1/4s, 2008                  --            --        80,000        68,200        60,000        51,150   
Kulicke & Soffa Industries, Inc. 144A                                                                                             
cv. notes 4 3/4s, 2006                                 --            --       145,000       120,350       115,000        95,450   
Lattice Semiconductor Corp. cv. sub.                                                                                              
notes 4 3/4s, 2006                                     --            --       223,000       245,579       132,000       145,365   
LSI Logic Corp. cv. sub. notes                                                                                                    
4 1/4s, 2004                                           --            --       263,000       306,395       287,000       334,355   
LSI Logic Corp. cv. sub. notes 4s, 2005                --            --       508,000       403,225       542,000       430,213   
PerkinElmer, Inc. cv. deb. zero %, 2020                --            --       318,000       164,565       299,000       154,733   
RF Micro Devices, Inc. cv. sub. notes                                                                                             
3 3/4s, 2005                                           --            --       100,000        63,875       100,000        63,875   
RF Micro Devices, Inc. 144A cv. sub.                                                                                              
notes 3 3/4s, 2005                                     --            --       385,000       245,919       235,000       150,106   
S3, Inc. 144A cv. sub. notes 5 3/4s, 2003              --            --       300,000       218,250       300,000       218,250   
Sanmina Corp. cv. sub. notes                                                                                                      
4 1/4s, 2004                                           --            --       513,000       568,148       552,000       611,340   
SCI Systems, Inc. cv. sub. 3s, 2007                    --            --       278,000       207,458       264,000       197,010   
Semtech Corp. 144A cv. sub. notes                                                                                                 
4 1/2s, 2007                                           --            --       110,000       102,300        68,000        63,240   
Solectron Corp. cv. notes zero %, 2020                 --            --     6,046,000     3,015,443     4,736,000     2,362,080   
TranSwitch Corp. cv. notes 4 1/2s, 2005                --            --       170,000       113,475       111,000        74,093   
TranSwitch Corp. 144A cv. notes                                                                                                   
4 1/2s, 2005                                           --            --       362,000       235,753       310,000       201,888   
TriQuint Semiconductor, Inc. cv. notes                                                                                            
4s, 2007                                               --            --       557,000       349,518       374,000       234,685   
Vitesse Semiconductor Corp. cv. sub.                                                                                              
deb. 4s, 2005                                          --            --       913,000       668,773       526,000       385,295   
Vitesse Semiconductor Corp. 144A                                                                                                  
cv. sub. deb. 4s, 2005                                 --            --       427,000       312,778       261,000       191,183   
                                                           ------------                ------------                ------------   
                                                                     --                   9,623,674                   7,563,923   

Energy                                                              --%                        0.2%                        0.3%   
-------------------------------------------------------------------------------------------------------------------------------   
Baker Hughes, Inc. cv. notes                                                                                                      
zero %, 2008                                           --            --       100,000         80,87       100,000        80,875   
Diamond Offshore Drilling, Inc.                                                                                                   
cv. deb. zero %, 2020                                  --            --            --            --       100,000        51,000   
Diamond Offshore Drilling, Inc.                                                                                                   
cv. sub. notes Ser., 3 3/4s, 2007                      --            --     1,000,000     1,007,500       900,000       906,750   
Diamond Offshore Drilling, Inc.                                                                                                   
144A cv. deb. zero %, 2020                             --            --       310,000       158,100       190,000        96,900   
Global Marine, Inc. cv. deb. zero %, 2020              --            --       100,000        50,750       200,000       101,500   
Global Marine, Inc. 144A cv. deb.                                                                                                 
zero %, 2020                                           --            --     1,008,000       511,560       630,000       319,725   
Hanover Compressor Co. cv. sr. notes                                                                                              
4 3/4s, 2008                                           --            --       122,000       121,390        95,000        94,525   
Nabors Industries, Inc. cv. deb.                                                                                                  
zero %, 2020                                           --            --       497,000       346,036       385,000       268,056   
Offshore Logistics, Inc. cv. sub. notes                                                                                           
6s, 2003                                               --            --       103,000       117,806        81,000        92,644   
Parker Drilling Corp. cv. sub. notes                                                                                              
5 1/2s, 2004                                           --            --       220,000       193,325       134,000       117,753   
Pride International, Inc. cv. deb.                                                                                                
zero %, 2021                                           --            --        76,000        50,445        60,000        39,825   
Pride International, Inc. cv. sub. deb.                                                                                           
zero %, 2018                                           --            --       281,000       124,343       272,000       120,360   
Seacor Smit, Inc. cv. sub. notes                                                                                                  
5.38s, 2006                                            --            --       145,000       152,975        83,000        87,565   
Transocean cv. deb. zero %, 2020                       --            --       682,000       397,265       540,000       314,550   
York Power Funding 144A notes                                                                                                     
12s, 2007 (Cayman Islands)                        274,000       294,550       667,000       717,025       245,000       263,375   
                                                           ------------                ------------                ------------   
                                                                294,550                   4,029,395                   2,955,403   

Entertainment                                                       --%                         --%                         --%   
-------------------------------------------------------------------------------------------------------------------------------   
Six Flags, Inc. cv. notes 7 1/4s, 2009                 --            --        18,300       528,413        14,500       418,688   

Health Care Services                                                --%                        0.1%                        0.2%   
-------------------------------------------------------------------------------------------------------------------------------   
AmeriSource Health Corp. 144A                                                                                                     
cv. sub. notes 5s, 2007                                --            --       350,000       416,063       257,000       305,509   
Caremark RX Capital Trust I cv. notes                                                                                             
7s, 2029                                               --            --         1,821       169,125         1,296       120,366   
Medical Care International, Inc. 144A                                                                                             
cv. notes 6 3/4s, 2006                                 --            --       507,000       489,255       350,000       337,750   
Omnicare, Inc. cv. bonds 5s, 2007                      --            --     1,100,000       957,000       550,000       478,500   
Province Healthcare Co. 144A cv. sub.                                                                                             
notes 4 1/2s, 2005                                     --            --        90,000        90,450        50,000        50,250   
Universal Health Services, Inc. 144A                                                                                              
cv. sr. notes 0.426s, 2020                             --            --       780,000       461,175       520,000       307,450   
Wellpoint Health Networks, Inc.                                                                                                   
cv. sub. deb. zero %, 2019                             --            --       162,000       129,803       129,000       103,361   
                                                           ------------                ------------                ------------   
                                                                     --                   2,712,871                   1,703,186   

Homebuilding                                                        --%                         --%                         --%   
-------------------------------------------------------------------------------------------------------------------------------   
Lennar Corp. cv. deb. zero %, 2018                     --            --       843,000       494,209       664,000       389,270   

Insurance                                                           --%                         --%                         --%   
-------------------------------------------------------------------------------------------------------------------------------   
Mutual Risk Management, Ltd.                                                                                                      
cv. sub. deb. zero %, 2015                             --            --       756,000       292,950       503,000       194,913   

Investment Banking/Brokerage                                        --%                         --%                         --%   
-------------------------------------------------------------------------------------------------------------------------------   
E(a)Trade Group, Inc. cv. sub. notes                                                                                              
6s, 2007                                               --            --       417,000       234,041       323,000       181,284   
E(a)Trade Group, Inc. 144A cv. sub.                                                                                               
notes 6s, 2007                                         --            --        51,000        28,624        32,000        17,960   
                                                           ------------                ------------                ------------   
                                                                     --                     262,665                     199,244   

Lodging/Tourism                                                     --%                         --%                         --%   
-------------------------------------------------------------------------------------------------------------------------------   
Four Seasons Hotels, Inc. cv. notes                                                                                               
zero %, 2029 (Canada)                                  --            --       163,000        51,956        98,000        31,238   
Royal Caribbean Cruises cv. sr. notes                                                                                             
zero %, 2021                                           --            --     1,130,000       420,925       890,000       331,525   
                                                           ------------                ------------                ------------   
                                                                     --                     472,881                     362,763   

Manufacturing                                                       --%                         --%                        0.1%   
-------------------------------------------------------------------------------------------------------------------------------   
Thermo Ecotek Corp. 144A                                                                                                          
cv. bonds 4 7/8s, 2004                                 --            --       300,000       283,875       200,000       189,250   
Thermo Electron Corp. 144A                                                                                                        
cv. sub. deb. 4 1/4s, 2003                             --            --       300,000       289,875       400,000       386,500   
Thermo Electron Corp.                                                                                                             
cv. sr. notes 4s, 2005                                 --            --       550,000       508,750       300,000       277,500   
                                                           ------------                ------------                ------------   
                                                                     --                   1,082,500                     853,250   

Medical Services                                                    --%                         --%                        0.1%   
-------------------------------------------------------------------------------------------------------------------------------   
Davita, Inc. sub. notes 7s, 2009                  240,000       206,088            --            --            --            --   
Healthsouth Corp. cv. sub. deb.                                                                                                   
3 1/4s, 2003                                      110,000        99,688       823,000       745,844       472,000       427,750   
Total Renal Care Holdings, Inc.                                                                                                   
144A cv. 7s, 2009                                      --            --            --            --       680,000       595,850   
                                                           ------------                ------------                ------------   
                                                                305,776                     745,844                   1,023,600   

Medical Technology                                                  --%                         --%                         --%   
-------------------------------------------------------------------------------------------------------------------------------   
Thermo Cardiosystems, Inc. 144A                                                                                                   
cv. company guaranty 4 3/4s, 2004                      --            --       600,000       534,000       400,000       356,000   

Metals                                                              --%                         --%                        0.1%   
-------------------------------------------------------------------------------------------------------------------------------   
Consumers International 144A                                                                                                      
sr. notes 10 1/4s, 2005 (In default) (NON)         15,000         5,100            --            --         5,000         1,700   
Inco, Ltd. cv. deb. 7 3/4s, 2016 (Canada)              --            --       144,000       138,420        90,000        86,513   
Inco, Ltd. cv. deb. 5 3/4s, 2004 (Canada)              --            --       300,000       287,625       300,000       287,625   
Quanex Corp. cv. sub. deb. 6.88s, 2007                 --            --       276,000       235,290       173,000       147,483   
                                                           ------------                ------------                ------------   
                                                                  5,100                     661,335                     523,321   

Oil & Gas                                                           --%                        0.1%                        0.2%   
-------------------------------------------------------------------------------------------------------------------------------   
Anadarko Petroleum Corp. cv. sub.                                                                                                 
notes zero %, 2020                                     --            --       510,000       404,175       357,000       282,923   
Devon Energy Corp. cv. deb.                                                                                                       
4.95s, 2008                                            --            --     1,400,000     1,380,750     1,200,000     1,183,500   
Kerr-McGee Corp. cv. sub. deb.                                                                                                    
5 1/4s, 2010                                           --            --       517,000       636,556       409,000       503,581   
                                                           ------------                ------------                ------------   
                                                                     --                   2,421,481                   1,970,004   

Paper & Forest Products                                             --%                         --%                         --%   
-------------------------------------------------------------------------------------------------------------------------------   
Mail-Well, Inc. cv. sub. notes 5s, 2002                --            --       435,000       381,713       344,000       301,860   

Pharmaceuticals                                                     --%                        0.2%                        0.4%   
-------------------------------------------------------------------------------------------------------------------------------   
Alkermes, Inc. cv. sub. notes                                                                                                     
3 3/4s, 2007                                           --            --       459,000       270,236       350,000       206,063   
Allergan, Inc. 144A cv. bonds                                                                                                     
zero %, 2020                                           --            --       845,000       521,788       510,000       314,925   
Alpharma, Inc. cv. sr. notes 5 3/4s, 2005              --            --       160,000       187,800       151,000       177,236   
Alza Corp. cv. sub. LYON zero %, 2014                  --            --     1,052,000     1,119,065       827,000       879,721   
Aviron cv. sub. notes 5 1/4s, 2008                     --            --       120,000       107,700       100,000        89,750   
Inhale Therapeutic Systems 144A                                                                                                   
cv. sub. notes 5s, 2007                                --            --       116,000        87,725        77,000        58,231   
Inhale Therapeutic Systems 144A                                                                                                   
cv. sub. notes 3 1/2s, 2007                            --            --       340,000       209,100       210,000       129,150   
IVAX Corp. cv. sr. sub. notes                                                                                                     
5 1/2s, 2007                                           --            --            --            --       100,000       110,000   
IVAX Corp. 144A cv. sr. sub. notes                                                                                                
5 1/2s, 2007                                           --            --       250,000       275,000       160,000       176,000   
Roche Holdings, Inc. 144A cv. unsub.                                                                                              
LYON zero %, 2010 (Switzerland)                        --            --     2,360,000     1,321,600     1,750,000       980,000   
Sepracor, Inc. cv. sub. deb. 7s, 2005                  --            --       761,000       585,970       513,000       395,010   
Sepracor, Inc. cv. sub. deb. 5s, 2007                  --            --       294,000       179,340       231,000       140,910   
Teva Pharmacuetical Corp. LLC 144A                                                                                                
cv. sub. notes 1 1/2s, 2005                            --            --       610,000       603,900       410,000       405,900   
                                                           ------------                ------------                ------------   
                                                                     --                   5,469,224                   4,062,896   

Photography/Imaging                                                 --%                         --%                         --%   
-------------------------------------------------------------------------------------------------------------------------------   
Xerox Corp. cv. sub. deb. 0.57s, 2018                  --            --       900,000       288,000       800,000       256,000   

Publishing                                                          --%                         --%                         --%   
-------------------------------------------------------------------------------------------------------------------------------   
Times Mirror Co. cv. sub. notes                                                                                                   
zero %, 2017                                           --            --       526,000       325,463       380,000       235,125   

Real Estate                                                         --%                         --%                        0.1%   
-------------------------------------------------------------------------------------------------------------------------------   
EOP Operating LP cv. sr. notes FRN                                                                                                
7 1/4s, 2008                                           --            --       100,000       101,375       200,000       202,750   
EOP Operating LP 144A cv. sr. notes                                                                                               
7 1/4s, 2008                                           --            --       980,000       993,475       586,000       594,058   
                                                           ------------                ------------                ------------   
                                                                     --                   1,094,850                     796,808   

Retail                                                              --%                        0.1%                        0.2%   
-------------------------------------------------------------------------------------------------------------------------------   
Ann Taylor Stores Corp. cv. company                                                                                               
guaranty 0.55s, 2019                                   --            --       500,000       246,250       500,000       246,250   
Costco Cos, Inc. cv. sub. notes                                                                                                   
zero %, 2017                                           --            --       800,000       751,000       500,000       469,375   
Jones Apparel Group, Inc. 144A                                                                                                    
cv. sr. notes zero %, 2021                             --            --       396,000       202,950       350,000       179,375   
Lowe's Cos., Inc. 144A cv. sr. notes                                                                                              
zero %, 2021                                           --            --       857,000       552,765       676,000       436,020   
Office Depot, Inc. cv. LYON                                                                                                       
zero %, 2007                                           --            --     1,500,000     1,014,375       900,000       608,625   
TJX Cos., Inc. (The) 144A cv. sub. notes                                                                                          
zero %, 2021                                           --            --       414,000       296,010       332,000       237,380   
                                                           ------------                ------------                ------------   
                                                                     --                   3,063,350                   2,177,025   

Semiconductor                                                       --%                         --%                        0.1%   
-------------------------------------------------------------------------------------------------------------------------------   
Advanced Energy Industries, Inc.                                                                                                  
cv. sub. notes 5 1/4s, 2006                            --            --       200,000       173,000       300,000       259,500   
ASM Lithography Holdings 144A                                                                                                     
cv. bonds 4 1/4s, 2004 (Netherlands)                   --            --         3,000         2,880            --            --   
Conexant Systems, Inc. cv. sub. notes                                                                                             
4s, 2007                                               --            --       476,000       252,875       410,000       217,813   
LAM Research Corp. cv. sub. notes                                                                                                 
5s, 2002                                               --            --       184,000       203,320        87,000        96,135   
Photronics, Inc. cv. sub. notes 6s, 2004               --            --       300,000       311,250       300,000       311,250   
                                                           ------------                ------------                ------------   
                                                                     --                     943,325                     884,698   

Software                                                            --%                        0.1%                        0.2%   
-------------------------------------------------------------------------------------------------------------------------------   
Akamai Technologies, Inc. cv. sub. notes                                                                                          
5 1/2s, 2007                                           --            --       475,000       183,172       349,000       134,583   
Akamai Technologies, Inc. 144A                                                                                                    
cv. sub. notes 5 1/2s, 2007                            --            --       107,000        41,463        66,000        25,575   
Aspen Technology, Inc. cv. sub. deb.                                                                                              
5 1/4s, 2005                                           --            --            --            --       111,000        89,216   
BEA Systems, Inc. cv. sub. notes                                                                                                  
4s, 2006                                               --            --       110,000       121,825       142,000       157,265   
BEA Systems, Inc. 144A cv. sub. notes                                                                                             
4s, 2006                                               --            --       405,000       448,538       206,000       228,145   
Citrix Systems, Inc. cv. sub. deb.                                                                                                
zero %, 2019                                           --            --       283,000       120,983       174,000        74,385   
I2 Technologies, Inc. cv. sub. notes                                                                                              
5 1/4s, 2006                                           --            --       258,000       204,788       312,000       247,650   
Network Associates, Inc. cv. sub. deb.                                                                                            
zero %, 2018                                           --            --       685,000       245,744       532,000       190,855   
NVIDIA Corp. cv. sub. notes                                                                                                       
4 3/4s, 2007                                           --            --       128,000       123,040        79,000        75,939   
Peregrine Systems, Inc. 144A cv. sub.                                                                                             
notes 5 1/2s, 2007                                     --            --       180,000       187,200       100,000       104,000   
Rational Software Corp. cv. sub. notes                                                                                            
5s, 2007                                               --            --       100,000        83,375       100,000        83,375   
Rational Software Corp. 144A cv. sub.                                                                                             
notes 5s, 2007                                         --            --       500,000       416,875       300,000       250,125   
Siebel Systems, Inc. cv. sub. notes                                                                                               
5 1/2s, 2006                                           --            --       193,000       269,235       153,000       213,435   
Veritas Software Corp. cv. disc. notes                                                                                            
1.856s, 2006                                           --            --       148,000       209,975       116,000       164,575   
                                                           ------------                ------------                ------------   
                                                                     --                   2,656,213                   2,039,123   

Technology                                                          --%                         --%                         --%   
-------------------------------------------------------------------------------------------------------------------------------   
Amkor Technologies, Inc. 144A                                                                                                     
cv. sub. notes 5s, 2007                                --            --        81,000        58,928        50,000        36,375   
Amkor Technologies, Inc. cv. sub. notes                                                                                           
5s, 2007                                          250,000       181,875       185,000       134,588       319,000       232,073   
                                                           ------------                ------------                ------------   
                                                                181,875                     193,516                     268,448   

Technology Services                                                 --%                        0.1%                        0.1%   
-------------------------------------------------------------------------------------------------------------------------------   
Automatic Data Processing, Inc.                                                                                                   
cv. deb. zero %, 2012                                  --            --       300,000       423,000       300,000       423,000   
BISYS Group, Inc. (The) 144A                                                                                                      
cv. notes 4s, 2006                                     --            --       220,000       228,250       180,000       186,750   
CheckFree Holdings Corp.                                                                                                          
cv. company guaranty 6 1/2s, 2006                      --            --        64,000        50,240        38,000        29,830   
CheckFree Holdings Corp. 144A                                                                                                     
cv. sub. notes 6 1/2s, 2006                            --            --        59,000        46,315        35,000        27,475   
CNET, Inc. cv. sub. notes 5s, 2006                     --            --        56,000        36,890        34,000        22,398   
EarthWeb, Inc. cv. sub. notes 7s, 2005                 --            --       200,000        70,500            --            --   
Exodus Communications, Inc.                                                                                                       
cv. sub. notes 4 3/4s, 2008                            --            --       704,000       374,880       502,000       267,315   
Exodus Communications, Inc. 144A                                                                                                  
cv. sub. notes 4 3/4s, 2008                            --            --       500,000       275,000       339,000       186,450   
Safeguard Scientifics, Inc. cv. sub. notes                                                                                        
5s, 2006                                               --            --       488,000       253,760       387,000       201,240   
                                                           ------------                ------------                ------------   
                                                                     --                   1,758,835                   1,344,458   

Telecommunications                                                 0.1%                        0.1%                        0.4%   
-------------------------------------------------------------------------------------------------------------------------------   
Aether Systems, Inc. cv. sub. notes                                                                                               
6s, 2005                                               --            --       233,000       114,170       262,000       128,380   
American Tower Corp. 144A                                                                                                         
cv. notes 5s, 2010                                     --            --     1,100,000       866,250       900,000       708,750   
Broadwing, Inc. cv. notes 6.75s, 2049                  --            --        10,160       391,160         6,949       267,537   
Corecomm, Ltd. cv. sub. notes 6s, 2006                 --            --       300,000        28,500       200,000        19,000   
Covad Communications Group, Inc.                                                                                                  
144A cv. sr. notes 6s, 2005                            --            --       727,000       101,780       574,000        80,360   
Level 3 Communication, Inc.                                                                                                       
cv. sub. deb. 6s, 2010                            640,000       253,600     2,086,000       826,578     2,083,000       825,389   
Level 3 Communication, Inc.                                                                                                       
cv. sub. notes 6s, 2009                                --            --       174,000        84,825       303,000       147,713   
Nextel Communications, Inc.                                                                                                       
cv. sr. notes 5 1/4s, 2010                        570,000       368,363     1,515,000       979,069     1,473,000       951,926   
Nextel Communications, Inc.                                                                                                       
cv. sr. notes 4 3/4s, 2007                             --            --       240,000       216,000       270,000       243,000   
Pinnacle Holdings, Inc. 144A                                                                                                      
cv. sub. notes 5 1/2s, 2007                            --            --       240,000       136,800       310,000       176,700   
Primus Telecommunications Group, Inc.                                                                                             
144A cv. sub. deb. 5 3/4s, 2007                        --            --        70,000        17,150        50,000        12,250   
RSL Communications PLC 144A                                                                                                       
10 1/2s, 2008 (In default) (NON)                  360,000         6,300            --            --        90,000         1,575   
Spectrasite Holdings, Inc. cv. sr. notes                                                                                          
6 3/4s, 2010                                      170,000       101,150            --            --        50,000        29,750   
Versatel Telecom NV sr. notes                                                                                                     
13 1/4s, 2008 (Netherlands)                       390,000       237,900            --            --       280,000       170,800   
Versatel Telecom NV sr. notes                                                                                                     
13 1/4s, 2008 (Netherlands)                       180,000       109,800            --            --        40,000        24,400   
XO Communications, Inc. 144A                                                                                                      
cv. sub. notes 5 3/4s, 2009                            --            --       191,000        90,009       149,000        70,216   
                                                           ------------                ------------                ------------   
                                                              1,077,113                   3,852,291                   3,857,746   

Textiles                                                            --%                         --%                         --%   
-------------------------------------------------------------------------------------------------------------------------------   
Reebok International, Ltd. 144A                                                                                                   
cv. bonds 4 1/4s, 2021                                 --            --       126,000       124,740        99,000        98,010   

Tobacco                                                             --%                         --%                         --%   
-------------------------------------------------------------------------------------------------------------------------------   
Standard Commercial Corp.                                                                                                         
cv. sub. deb. 7 1/4s, 2007                             --            --       300,000       235,125       400,000       313,500   

Transaction Processing                                              --%                         --%                         --%   
-------------------------------------------------------------------------------------------------------------------------------   
National Data Corp.                                                                                                               
cv. sub. notes 5s, 2003                                --            --       700,000       627,375       346,000       310,103   

Waste Management                                                    --%                         --%                         --%   
-------------------------------------------------------------------------------------------------------------------------------   
Waste Management, Inc.                                                                                                            
cv. sub. notes 4s, 2002                                --            --       300,000       289,875       300,000       289,875   
                                                           ------------                ------------                ------------   
Total Convertible Bonds and Notes                                                                                                 
(cost $4,268,562, $81,554,136                                                                                                     
and $65,894,245)                                           $  3,619,027                $ 68,884,304                $ 55,887,699   
-------------------------------------------------------------------------------------------------------------------------------   
                                                          GROWTH                     BALANCED                 CONSERVATIVE        

                                                                   0.1%                        0.1%                        0.1%   
                                                Number of                   Number of                   Number of                 
UNITS(a)                                            Units         Value         Units         Value         Units         Value   
-------------------------------------------------------------------------------------------------------------------------------   
Cipla, Ltd. Ser. B Equity participation                                                                                           
notes zero %, 2003 (Issued by                                                                                                     
Credit Suisse First Boston) (India)                11,300  $    242,095            --  $         --            --  $         --   
Fresenius Medical Capital Trust II units                                                                                          
8.75%, 2008 (Germany)                                  --            --     1,330,000     1,293,425       990,000       962,775   
IWO Holdings, Inc. 144A units                                                                                                     
14s, 2011                                         390,000       397,800            --            --       190,000       193,800   
Nippon Television Network Corp.                                                                                                   
Structured Call Warrants expiration                                                                                               
8/6/01 zero % (Issued by Lehman                                                                                                   
Brothers Finance SA) (Japan)                           --            --           440       137,109            --            --   
Tokyo Broadcasting System, Inc.                                                                                                   
Structured Call Warrants expiration                                                                                               
9/17/01 zero % (Issued by Lehman                                                                                                  
Brothers Finance SA) (Japan)                        1,000        23,903            --            --            --            --   
Tokyo Broadcasting System, Inc.                                                                                                   
Structured Notes 3.15s, 2001                                                                                                      
(Issued by UBS AG) (Japan)                         22,100       556,734        39,000       982,472         5,000       125,958   
                                                           ------------                ------------                ------------   
Total Units (cost $1,557,286,                                                                                                     
$3,139,171 and $1,340,643)                                 $  1,220,532                $  2,413,006                $  1,282,533   
-------------------------------------------------------------------------------------------------------------------------------   
                                                          GROWTH                     BALANCED                 CONSERVATIVE        

                                                                    --%                        0.3%                        0.5%   
FOREIGN GOVERNMENT                              Principal                   Principal                   Principal                 
BONDS AND NOTES(a)                                 Amount         Value        Amount         Value        Amount         Value   
-------------------------------------------------------------------------------------------------------------------------------   
CAD   Ontario (Province of)                                                                                                       
sr. unsub. 5 1/2s, 2008                                                                                                           
(Canada)                                       $       --  $         --    $5,675,000  $  5,528,074    $3,490,000  $  3,399,644   
CAD   Quebec (Province of)                                                                                                        
sr. unsub. 5 3/4s, 2009                                                                                                           
(Canada)                                               --            --     1,985,000     1,958,064     1,175,000     1,159,055   
                                                           ------------                ------------                ------------   
Total Foreign Government Bonds                                                                                                    
and Notes (cost $--, $6,929,266                                                                                                   
and $4,289,369)                                            $         --                $  7,486,138                $  4,558,699   
-------------------------------------------------------------------------------------------------------------------------------   



                                                          GROWTH                     BALANCED                 CONSERVATIVE        

                                                                       --%                         --%                         --%
                                    Expiration     Number of                   Number of                   Number of              
WARRANTS(a) (NON)                         Date      Warrants         Value      Warrants         Value      Warrants         Value
----------------------------------------------------------------------------------------------------------------------------------
                                                                                                                                  
Anker Coal Group, Inc. 144A           10/23/09            32  $          1            --  $         --             7   $         1
Birch Telecommunications, Inc.                                                                                                    
144A (PIK)                             6/15/08           340           340            --            --            80            80
CellNet Data Systems, Inc.             10/1/07           995             1            --            --           210             1
Compaq 144A                             7/1/01        21,700       325,198        39,200       587,455         5,700        85,421
Dayton Superior Corp.                  6/15/09           630         7,560            --            --           330         3,960
Delta Financial Corp.                 12/21/10         8,130             1            --            --         2,035             1
Diva Systems Corp.                     5/15/06           295       132,750            --            --            75        33,750
Diva Systems Corp. 144A                 3/1/08         5,157        30,941            --            --         3,189        19,131
Epic Resorts 144A                      6/15/05            --            --            --            --            80             1
Firstworld Communication                                                                                                          
Corp.                                  4/15/08         1,510         7,550            --            --           360         1,800
Globalstar Telecommunications          2/15/04           400             4            --            --            90             1
Horizon PCS, Inc.                      10/1/01           700        21,000            --            --           340        10,200
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             1            --            --            40             1
IPCS, Inc. 144A                        7/15/10           500        10,000            --            --           260         5,200
Jostens, Inc.                           5/1/10           830        16,600            --            --           480         9,600
KMC Telecommunications                                                                                                            
Holdings, Inc. 144A                    4/15/08           700             7            --            --           175             2
Knology Holdings                      10/22/07         1,005         1,005            --            --           210           210
McCaw International, Ltd.              4/15/07            30           600            --            --            10           200
Mediq, Inc. 144A                        6/1/09           410             4            --            --           100             1
Orbital Imaging Corp. 144A              3/1/05           415             1            --            --           100             1
Paxson Communications                                                                                                             
Corp. 144A                             6/30/03           960         3,360            --            --           320         1,120
Pliant Corp. 144A                       6/1/10            --            --            --            --           160         1,280
Railamerica, Inc.                      8/15/10           610        12,200            --            --           300         6,000
Raintree Resort 144A                   12/1/04           195             2            --            --            40             1
Solectron Corp. 144A                   4/24/01         8,600       159,064        15,600       288,538         2,300        42,540
Startec Global                                                                                                                    
Communications Corp.                   5/15/08           390           254            --            --            90            57
Sterling Chemicals Holdings            8/15/08           145           218            --            --            30            45
Telehub Communications                                                                                                            
Corp. 144A                             7/31/05           290            73            --            --            80            20
Travel Centers of America               5/1/09           210             2            --            --           180             2
Ubiquitel, Inc. 144A                   4/15/10            --            --            --            --           590        17,700
UIH  Australia/Pacific, Inc.                                                                                                      
144A                                   5/15/06           820         1,640            --            --           200           400
Versatel Telecom NV                                                                                                               
(Netherlands)                          5/15/08            20           900            --            --            10           450
                                                ------------                ------------                ------------              
Total Warrants                                                                                                                    
(cost $1,243,084,                                                                                                                 
$891,469 and $370,899)                                        $    732,572                $    875,993                 $   239,509
----------------------------------------------------------------------------------------------------------------------------------



                                                          GROWTH                     BALANCED                 CONSERVATIVE        

                                                                    --%                        1.4%                        2.9%   
CONVERTIBLE                                     Number of                   Number of                   Number of                 
PREFERRED STOCKS(a)                                Shares         Value        Shares         Value        Shares         Value   
-------------------------------------------------------------------------------------------------------------------------------   
                                                                                                                                  
Aerospace and Defense                                               --%                         --%                         --%   
-------------------------------------------------------------------------------------------------------------------------------   
Coltech Capitial Trust $5.25 cv. pfd.                  -- $          --         4,592 $     202,048         3,241  $    142,604   

Airlines                                                            --%                         --%                         --%   
-------------------------------------------------------------------------------------------------------------------------------   
Continental Airlines Finance 144A                                                                                                 
3.00% cv. notes                                        --            --         2,483       112,977         1,486        67,613   

Automotive                                                          --%                         --%                         --%   
-------------------------------------------------------------------------------------------------------------------------------   
Tower Automotive Capital Trust                                                                                                    
$3.375 cv. pfd.                                        --            --         9,900       263,588         7,800       207,675   

Banking                                                             --%                         --%                        0.1%   
-------------------------------------------------------------------------------------------------------------------------------   
CNB Capital Trust I $1.50 cum. cv. pfd.                --            --        12,130       447,294         9,607       354,258   
Sovereign Bancorp, Inc. $7.50 cv. pfd.                 --            --         2,477       125,708         2,015       102,261   
Union Planters Corp. Ser. E, $2.00                                                                                                
cv. cum. pfd.                                          --            --         9,800       471,625         7,500       360,938   
                                                           ------------                ------------                ------------   
                                                                     --                   1,044,627                     817,457   

Broadcasting                                                        --%                        0.1%                        0.1%   
-------------------------------------------------------------------------------------------------------------------------------   
Cox Communications, Inc. $3.50 cv. pfd.                --            --         9,600       571,200        10,000       595,000   
Emmis Broadcasting Corp. Ser. A,                                                                                                  
$3.13 cv. pfd.                                         --            --         4,825       191,191         3,833       151,883   
Paxson Communications Corp. 144A                                                                                                  
9.75% cv. pfd. (PIK)                                   37       338,550            --            --            12       109,800   
Pegasus Communications Corp. Ser. C,                                                                                              
$6.50 cum. cv. pfd.                                    --            --         1,755        90,602         1,281        66,132   
Radio One, Inc. $6.50 cum. cv. pfd.                    --            --            --            --           100        98,000   
Radio One, Inc. 144A $6.50 cv. cum. pfd.               --            --           233       228,340           171       167,580   
Sinclair Broadcast Group, Inc. $3.00 cv. p             --            --         7,900       177,750         6,100       137,250   
United Global Communications Ser. D,                                                                                              
$3.50 cv. pfd.                                         --            --         6,700       116,413         5,200        90,350   
XM Satellite Radio Holdings, Inc. Ser. B,                                                                                         
$8.25 cv. pfd.                                         --            --         2,292        41,543         1,755        31,809   
                                                           ------------                ------------                ------------   
                                                                338,550                   1,417,039                   1,447,804   

Cable Television                                                    --%                         --%                        0.1%   
-------------------------------------------------------------------------------------------------------------------------------   
Adelphia Communications Corp. Ser. D,                                                                                             
$5.50 cv. pfd.                                         --            --         2,900       367,213         2,100       265,913   
MediaOne Group, Inc. $6.25 cv. pfd.                    --            --        17,000       518,500        13,200       402,600   
                                                           ------------                ------------                ------------   
                                                                     --                     885,713                     668,513   

Commercial and Consumer Services                                    --%                         --%                         --%   
-------------------------------------------------------------------------------------------------------------------------------   
Carriage Services Capital Trust                                                                                                   
$3.50 cv. pfd.                                         --            --            --            --         1,500        30,000   

Consumer Goods                                                      --%                         --%                         --%   
-------------------------------------------------------------------------------------------------------------------------------   
Estee Lauder Aces TR II $5.41 cv. pfd.                 --            --         9,900       704,138         6,700       476,538   

Electric Utilities                                                  --%                        0.1%                        0.3%   
-------------------------------------------------------------------------------------------------------------------------------   
Alliant Energy 144A $7.25 cv. pfd.                     --            --         3,526       165,281         2,744       128,625   
CMS Energy Corp. 8.75% cv. cum. pfd.                   --            --        15,730       538,753        11,413       390,895   
Dominion Resources, Inc. $4.75 cv. pfd.                --            --        14,887       927,013        10,446       650,472   
Duke Energy Corp. $2.063 cv. pfd.                      --            --        20,200       550,450        15,700       427,825   
NRG Energy, Inc. $1.625 cv. pfd.                       --            --         7,756       253,040         6,008       196,011   
Reliant Energy, Inc. $2.00 cv. pfd.                    --            --         3,553       220,954         2,800       174,126   
TXU Corporation $4.625 cv. cum. pfd.                   --            --         5,300       224,588         4,800       203,400   
TXU Corporation $1.657 cv. cum. pfd.                   --            --        14,086       656,760        11,082       516,698   
                                                           ------------                ------------                ------------   
                                                                     --                   3,536,839                   2,688,052   

Electronics                                                         --%                         --%                         --%   
-------------------------------------------------------------------------------------------------------------------------------   
Interact Systems, Inc. 144A 14.00% cv. pfd            400             4            --            --            90             1   
Pioneer Standard Electronics, Inc.                                                                                                
144A $3.375 cv. pfd.                                   --            --         3,700       159,100         2,600       111,800   
Titan Capital Trust $2.875 cum. cv. pfd.               --            --           400        11,900           600        17,850   
Titan Capital Trust 144A $5.75 cv. pfd.                --            --         3,000        90,750         2,000        60,500   
                                                           ------------                ------------                ------------   
                                                                      4                     261,750                     190,151   

Energy                                                              --%                         --%                        0.1%   
-------------------------------------------------------------------------------------------------------------------------------   
Evi, Inc. $2.50 cum. cv. pfd.                          --            --        13,449       721,203        10,467       561,293   
Hanover Compressor 7.75% cum. cv. pfd.                 --            --           300        28,800           400        38,400   
Hanover Compressor 144A                                                                                                           
$3.625 cv. pfd.                                        --            --         1,900       182,400         1,300       124,800   
                                                           ------------                ------------                ------------   
                                                                     --                     932,403                     724,493   

Entertainment                                                       --%                         --%                        0.1%   
-------------------------------------------------------------------------------------------------------------------------------   
Six Flags, Inc. 7.50% cv. cum. pfd.                    --            --         3,981       156,254         2,876       112,883   

Food                                                                --%                         --%                         --%   
-------------------------------------------------------------------------------------------------------------------------------   
Suiza Capital Trust II $2.75 cv. pfd.                  --            --        18,433       693,542        13,317       501,052   

Health Care Services                                                --%                         --%                         --%   
-------------------------------------------------------------------------------------------------------------------------------   
Owens & Minor Trust I 144A Ser. A,                                                                                                
$2.6875 cv. cum. pfd.                                  --            --        10,072       491,010         8,027       391,316   

Household Furniture and Appliances                                  --%                         --%                         --%   
-------------------------------------------------------------------------------------------------------------------------------   
Metromedia International Group, Inc.                                                                                              
3.625% cv. cum. pfd.                                   --            --         6,232       112,176         3,728        67,104   
Newell Financial Trust I $2.625                                                                                                   
cv. cum. pfd.                                          --            --         4,348       169,572         2,916       113,724   
                                                           ------------                ------------                ------------   
                                                                     --                     281,748                     180,828   

Insurance                                                           --%                        0.1%                        0.2%   
-------------------------------------------------------------------------------------------------------------------------------   
ACE, Ltd. $4.125 cv. cum. pfd.                         --            --         4,877       378,577         3,761       291,948   
Lincoln National Corp. $0.463 cv. cum. pfd             --            --        13,099       261,980         9,430       188,600   
Metlife Capital Trust I $4.00 cv. pfd.                 --            --        21,142     2,040,203        15,348     1,481,082   
Philadelphia Consolidated Holding Corp.                                                                                           
$7.00 cv. pfd.                                         --            --        56,029       595,308        34,179       363,152   
                                                           ------------                ------------                ------------   
                                                                     --                   3,276,068                   2,324,782   

Metals                                                              --%                         --%                         --%   
-------------------------------------------------------------------------------------------------------------------------------   
Kinam Gold, Inc. Ser. B, 3.75% cv. cum. pf             --            --         9,000        67,500         6,900        51,750   

Natural Gas Utilities                                               --%                        0.1%                        0.2%   
-------------------------------------------------------------------------------------------------------------------------------   
El Paso Energy Capital Trust $2.375 cv. pf             --            --        11,000       882,750         5,800       465,450   
K N Energy, Inc. $3.555 cv. pfd.                       --            --        13,800       940,125        10,600       722,125   
NiSource, Inc. zero % cv. pfd.                         --            --         5,700       314,213         4,500       248,063   
Semco Energy Inc. 11.00% cv. cum. pfd.                 --            --        27,613       334,808        18,896       229,114   
                                                           ------------                ------------                ------------   
                                                                     --                   2,471,896                   1,664,752   

Oil & Gas                                                           --%                        0.1%                        0.3%   
-------------------------------------------------------------------------------------------------------------------------------   
Apache Corp. $2.015 cv. pfd.                           --            --         8,144       402,110         6,319       312,001   
Coastal Corp. $1.656 cv. pfd.                          --            --        11,400       500,175         8,800       386,100   
Kerr-McGee Corp. $1.825 cv. pfd.                       --            --         5,700       307,088         4,400       237,050   
Newfield Exploration Co. $3.25 cv. pfd.                --            --         4,200       228,900         3,300       179,850   
Pogo Producing Co. Ser. A, $3.25 cv. pfd.              --            --         3,700       251,600         3,191       216,988   
Unocal Capital Trust $3.125 cv. cum. pfd.              --            --        35,499     1,717,264        24,391     1,179,915   
                                                           ------------                ------------                ------------   
                                                                     --                   3,407,137                   2,511,904   

Paper & Forest Products                                             --%                        0.1%                        0.1%   
-------------------------------------------------------------------------------------------------------------------------------   
Georgia Pacific Corp. $3.75 cv. pfd.                   --            --         9,883       343,434        10,170       353,408   
International Paper Co. $2.625 cv. pfd.                --            --        21,700       933,100        15,600       670,800   
Owens-Illinois, Inc. $2.375 cv. pfd.                   --            --        10,656       197,136         7,485       138,473   
Sealed Air Corp. Ser. A, $2.00 cv. pfd.                --            --         7,899       282,389         6,209       221,972   
                                                           ------------                ------------                ------------   
                                                                     --                   1,756,059                   1,384,653   

Pharmaceuticals                                                     --%                        0.1%                        0.1%   
-------------------------------------------------------------------------------------------------------------------------------   
Biovail Corporation $3.375 cv. pfd.                    --            --         5,743       386,217         4,196       282,181   
Pharmacia Corp. $2.60 cv. cum. pfd.                    --            --        24,675     1,162,809        16,879       795,423   
                                                           ------------                ------------                ------------   
                                                                     --                   1,549,026                   1,077,604   

Power Producers                                                     --%                        0.2%                        0.3%   
-------------------------------------------------------------------------------------------------------------------------------   
AES Trust II $3.38 cv. pfd.                            --            --        19,494     1,508,348        14,800     1,145,150   
Calpine Capital Trust II 144A                                                                                                     
$2.75 cv. cum. pfd.                                    --            --        11,720     1,289,200         9,134     1,004,740   
Calpine Corp. 144A $2.75 cv. pfd.                      --            --         7,440       818,400         4,658       512,380   
Sei Trust I Ser.  A, $3.125 cv. pfd                    --            --        13,052       972,374         9,138       680,781   
                                                           ------------                ------------                ------------   
                                                                     --                   4,588,322                   3,343,051   

Publishing                                                          --%                        0.1%                        0.2%   
-------------------------------------------------------------------------------------------------------------------------------   
Tribune Co. $2.00 cv. pfd.                             --            --        15,297     1,537,349        19,768     1,985,506   
Tribune Co. $1.75 cv. pfd.                             --            --        13,017       271,730         9,375       195,703   
                                                           ------------                ------------                ------------   
                                                                     --                   1,809,079                   2,181,209   

Railroads                                                           --%                         --%                        0.1%   
-------------------------------------------------------------------------------------------------------------------------------   
Canadian National Railway Co.                                                                                                     
$2.625 cv. pfd. (Canada)                               --            --         2,400       132,000         5,300       291,500   
Union Pacific Capital Trust                                                                                                       
$3.125 cum. cv. pfd.                                   --            --        22,335     1,091,623        16,056       784,737   
                                                           ------------                ------------                ------------   
                                                                     --                   1,223,623                   1,076,237   

Real Estate                                                         --%                        0.1%                        0.1%   
-------------------------------------------------------------------------------------------------------------------------------   
Equity Residential Properties Trust                                                                                               
Ser. E, $1.75 cv. pfd.                                 --            --        38,094     1,104,726        25,854       749,766   
Vornado Realty Trust Ser. A, $3.25                                                                                                
cv. cum. pfd.                                          --            --         5,900       293,525         4,500       223,875   
                                                           ------------                ------------                ------------   
                                                                     --                   1,398,251                     973,641   

Restaurants                                                         --%                         --%                        0.1%   
-------------------------------------------------------------------------------------------------------------------------------   
Wendy's Financing Ser. A, $2.50 cv. pfd.               --            --         1,536        72,960         1,146        54,435   

Retail                                                              --%                         --%                         --%   
-------------------------------------------------------------------------------------------------------------------------------   
CVS Auto Exchange 6.00% cv. pfd.                       --            --         5,963       574,684         5,400       520,425   

Shipping                                                            --%                         --%                         --%   
-------------------------------------------------------------------------------------------------------------------------------   
CNF Trust I Ser. A, $2.50 cv. cum. pfd.                --            --        15,000       628,125        10,100       422,938   

Software                                                            --%                         --%                         --%   
-------------------------------------------------------------------------------------------------------------------------------   
Amdocs 6.75% cv. pfd.                                  --            --         1,374        57,536           941        39,404   

Technology Services                                                 --%                        0.1%                        0.1%   
-------------------------------------------------------------------------------------------------------------------------------   
NBC Internet, Inc. $7.25 cv. pfd.                      --            --         1,000        11,250           900        10,125   

Telecommunications                                                  --%                        0.1%                        0.3%   
-------------------------------------------------------------------------------------------------------------------------------   
Comcast Corp. 2.00% cv. pfd.                           --            --        43,445     1,819,259        34,188     1,431,623   
Crown Castle International Corp.                                                                                                  
$3.125 cv. cum. pfd.                                   --            --         1,267        38,168           670        20,184   
DECS Trust VI 6.25% cv. pfd.                           --            --        11,850       158,494         9,140       122,248   
Global Crossing, Ltd. $6.375 cv. cum. pfd.             --            --         4,356       236,858         3,170       172,369   
Global Crossing, Ltd. 6.75% cv. pfd.                   --            --         4,452       701,747         3,465       546,171   
Global Telesystems Group, Inc.                                                                                                    
$3.63 cv. pfd.                                         --            --         5,300         5,963            --            --   
Omnipoint Corp. $3.50 cv. pfd.                         --            --           735        99,317           481        64,995   
Qwest Trends Trust 144A 5.75% cv. pfd.                 --            --         9,141       565,599         6,451       399,156   
Williams Communications Group, Inc.                                                                                               
144A $3.375 cv. pfd.                                   --            --         6,390       147,769         5,300       122,563   
WinStar Communications, Inc.                                                                                                      
$3.50 cv. pfd.                                         --            --         4,384        39,456         3,169        28,521   
World Access, Inc. 144A Ser. D,                                                                                                   
zero % cv. pfd.                                       114        22,808            --            --            29         5,756   
XO Communications, Inc. $3.25 cv. pfd                  --            --         3,342       121,148         2,345        85,006   
                                                           ------------                ------------                ------------   
                                                                 22,808                   3,933,778                   2,998,592   
                                                           ------------                ------------                ------------   
Total Convertible Preferred Stocks                                                                                                
(cost $456,748, $38,805,600                                                                                                       
and $30,137,579)                                          $      361,362              $   37,808,970              $  29,282,481   
-------------------------------------------------------------------------------------------------------------------------------   



                                                              GROWTH                    BALANCED                CONSERVATIVE      

PURCHASED                                                            --%                          --%                       --%   
OPTIONS                       Expiration Date/      Contract                    Contract                    Contract              
OUTSTANDING(a)                   Strike Price         Amount       Value          Amount        Value         Amount      Value   
-------------------------------------------------------------------------------------------------------------------------------   
                                                                                                                                  
GBP/USD Fx OTC                                                                                                                    
option (HSBC Fx)                                                                                                                  
(Call)                            Apr-01/1.47  $  41,358,000 $    23,513     $43,974,000  $    25,000    $15,894,000 $    9,036   
GBP/USD Fx OTC                                                                                                                    
option (Goldman                                                                                                                   
Sachs Co.) (Call)                 Apr-01/1.47     41,358,000       5,878      43,974,000        6,250     15,894,000      2,259   
                                                             -----------                  -----------                ----------   
                                                                  29,391                       31,250                    11,295   
                                                             -----------                  -----------                ----------   
Total Purchased Options                                                                                                           
Outstanding (cost $596,693,                                                                                                       
$634,435 and $229,311)                                       $    29,391                  $    31,250                $   11,295   
-------------------------------------------------------------------------------------------------------------------------------   



                                                          GROWTH                     BALANCED                 CONSERVATIVE        

                                                                   4.8%                       12.3%                       22.0%   
SHORT-TERM                                      Principal                   Principal                   Principal                 
INVESTMENTS(a)                                     Amount         Value        Amount         Value        Amount         Value   
-------------------------------------------------------------------------------------------------------------------------------   
BMW US Capital Corp. effective yield                                                                                              
of 4.93%, April 20, 2001                       $       --  $         --   $32,402,000 $  32,317,692    $       --   $        --   
Corporate Asset Funding Corp.                                                                                                     
effective yield of 5.35%, April 17, 2001               --            --            --            --     7,944,000     7,925,111   
Corporate Asset Funding Corp.                                                                                                     
effective yield of 4.85%, May 15, 2001          4,000,000     3,976,289    14,000,000    13,917,011     7,000,000     6,958,506   
Corporate Receivables Corp. effective                                                                                             
yield of 5.34%, April 19, 2001                 11,600,000    11,569,028    12,148,000    12,115,565    10,000,000     9,973,300   
CXC Corp. effective yield of 5.33%,                                                                                               
April 19, 2001                                         --            --    35,300,000    35,205,926    16,400,000    16,356,294   
CXC Corp. effective yield of 5.07%,                                                                                               
April 17, 2001                                         --            --            --            --    25,000,000    24,943,667   
Demir Funding Corp. effective yield                                                                                               
of 6.46%, April 10, 2001                       12,500,000    12,483,125            --            --            --            --   
Eureka Securitization, Inc. effective yield                                                                                       
of 5.15%, April 2, 2001                                --            --    25,000,000    24,996,458    25,000,000    24,996,458   
Falcon Asset Securitization, Corp.                                                                                                
effective yield of 5.41%, April 2, 2001                --            --    20,000,000    19,996,994            --            --   
Florens Container, Inc. effective yield                                                                                           
of 5.47%, 4/10/2001                            15,000,000    14,979,713            --            --    20,000,000    19,972,650   
Old Line Funding Corp. effective yield                                                                                            
of 4.95%, May 3, 2001                                  --            --    34,454,000    34,302,402            --            --   
Old Slip Funding Corp. effective yield                                                                                            
of 5.03%, April 16, 2001                               --            --    25,000,000    24,937,125            --            --   
Receivables Capital Corp. effective                                                                                               
yield of 5.28%, April 2, 2001                          --            --    50,000,000    49,985,333    30,000,000    29,991,200   
Receivables Capital Corp. effecitve                                                                                               
yield of 5.28%, April 3, 2001                  10,000,000     9,994,344            --            --            --            --   
Thunder Bay Funding, Inc. effective                                                                                               
yield of 5.15%, April 17, 2001                         --            --            --            --    15,084,000    15,043,001   
Interest in $500,000,000 joint Tri-party                                                                                          
repurchase agreement dated                                                                                                        
March 30, 2001 with                                                                                                               
S.B.C. Warburg, Inc. due April 2, 2001                                                                                            
with respect to various U.S.                                                                                                      
Government obligations --                                                                                                         
maturity value of $33,445,905 and                                                                                                 
$32,158,331 for an effective yield                                                                                                
of 5.35%                                       33,431,000    33,431,000            --            --    32,144,000    32,144,000   
Interest in $400,000,000 joint                                                                                                    
repurchase agreement dated                                                                                                        
March 30, 2001 with Merrill Lynch,                                                                                                
Pierce, Fenner & Smith, Inc. due                                                                                                  
April 2, 2001with respect to                                                                                                      
various U.S. Government                                                                                                           
obligations -- maturity value                                                                                                     
of $46,423,688 amd $ 32,014,267                                                                                                   
for an effective yield of 5.35%                        --            --    46,403,000    46,403,000    32,000,000    32,000,000   
Interest in $392,644,000 joint                                                                                                    
repurchase agreement dated                                                                                                        
March 30, 2001 with Morgan (J.P)                                                                                                  
& Co., Inc.  due April 2, 2001 with                                                                                               
respect to various U.S. Government                                                                                                
obligations -- maturity value of                                                                                                  
$31,881,934 for an effective yield                                                                                                
of 5.25%.                                              --            --    31,848,000    31,848,000            --            --   
                                                         --------------              --------------              --------------   
Total Short-Term Investments                                                                                                      
(cost $86,433,499, $326,025,506                                                                                                   
and $220,304,187)                                        $   86,433,499              $  326,025,506              $  220,304,187   
-------------------------------------------------------------------------------------------------------------------------------   
Total Investments                                                                                                                 
(cost $1,981,436,297, $2,857,033,642                                                                                              
and $1,080,158,811)                                      $1,826,760,447              $2,742,841,698              $1,049,869,477   
-------------------------------------------------------------------------------------------------------------------------------   


* Percentages indicated are based on net assets as follows:                 
-----------------------------------------------------------                 
Growth portfolio         $1,802,638,454                                 
Balanced portfolio        2,648,220,008                                 
Conservative portfolio    1,001,005,559                                 
-----------------------------------------------------------                 

                                                        [Enlarge/Download Table]


*** The aggregate identified cost on a tax basis is as follows:                                         

                           Aggregate     Gross Unrealized  Gross Unrealized   Unrealized                
                        Identified Cost    Appreciation      Appreciation    Depreciation               
------------------------------------------------------------------------------------------              
                                                                                                        
Growth portfolio         $2,008,074,475    $ 67,834,765      $249,148,793    $(181,314,028)             
Balanced portfolio        2,876,028,706     144,362,159       277,549,167     (133,187,008)             
Conservative portfolio    1,082,606,460      25,187,699        57,924,682      (32,736,983)             
------------------------------------------------------------------------------------------              

(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 March 31, 2001.                                     

  (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                    
      March 31, 2001, which are subject to change based on the terms of the security.                   

      DIVERSIFICATION BY COUNTRY                                                                        

      Distribution of investments by country of issue at March 31, 2001: (as percentage of Market Value)


Growth Portfolio                                                                
-----------------------------------                                             
Australia                       2.9%                                            
Canada                          1.0                                             
France                          1.6                                             
Germany                         1.2                                             
Hong Kong                       1.0                                             
India                           1.0                                             
Japan                           3.7                                             
Mexico                          1.0                                             
Netherlands                     1.1                                             
South Korea                     1.0                                             
Spain                           1.4                                             
Switzerland                     1.4                                             
Taiwan                          1.1                                             
United Kingdom                  3.4                                             
United States                  74.3                                             
Other                           2.9                                             
-----------------------------------                                             
Total                         100.0%                                            

Balanced Portfolio                                                              
-----------------------------------                                             
Australia                       9.4%                                            
Brazil                          1.0                                             
France                          1.1                                             
Germany                         1.2                                             
Hong Kong                       1.0                                             
India                           1.0                                             
Japan                           3.6                                             
Mexico                          1.0                                             
Netherlands                     2.1                                             
Spain                           1.0                                             
Switzerland                     1.0                                             
Taiwan                          1.0                                             
United Kingdom                  3.6                                             
United States                  69.4                                             
Other                           2.6                                             
-----------------------------------                                             
Total                         100.0%                                            

Conservative Portfolio                                                          
-----------------------------------                                             
Australia                      12.5%                                            
Brazil                          1.0                                             
Canada                          1.0                                             
Cayman Islands                  1.0                                             
France                          1.0                                             
Germany                         1.0                                             
Japan                           2.8                                             
Netherlands                     1.0                                             
South Korea                     1.0                                             
Switzerland                     1.0                                             
United Kingdom                  2.5                                             
United States                  71.8                                             
Other                           2.4                                             
-----------------------------------                                             
Total                         100.0%                                            

                                                        [Enlarge/Download Table]


-----------------------------------------------------------------------------------------------------------  
Forward Currency Contracts                                                                                   
to Buy at March 31, 2001 (Unaudited)                                                      GROWTH             
(aggregate face value $355,583,190)                                                                          
                                                                 Aggregate Face      Delivery   Unrealized   
                                                  Market Value        Value            Date    Depreciation  
-----------------------------------------------------------------------------------------------------------  
                                                                                                             
Australian Dollars                                $  1,437,424   $  1,481,588         6/20/01  $    (44,164) 
Australian Dollars                                  32,408,804     33,408,513         6/12/01      (999,709) 
British Pounds                                      86,965,020     88,945,091         6/20/01    (1,980,071) 
Canadian Dollars                                    51,051,988     51,733,724         6/20/01      (681,736) 
Euro Dollars                                       144,131,130    149,909,621         6/20/01    (5,778,491) 
Japanese Yen                                         8,904,987      9,326,073         6/20/01      (421,086) 
Swedish Krona                                        1,797,299      1,889,973         6/20/01       (92,674) 
Norwegian Krone                                     18,593,699     18,888,607         6/20/01      (294,908) 
-----------------------------------------------------------------------------------------------------------  
                                                                                               $(10,292,839) 
-----------------------------------------------------------------------------------------------------------  

-----------------------------------------------------------------------------------------------------------  
Forward Currency Contracts                                                                                   
to Sell at March 31, 2001 (Unaudited)                                                     GROWTH             
(aggregate face value $480,387,956)                                                                          
                                                                                                Unrealized   
                                                      Market     Aggregate Face      Delivery  Appreciation/ 
                                                      Value           Value            Date   (Depreciation) 
-----------------------------------------------------------------------------------------------------------  
Australian Dollars                                $  3,085,826   $  3,180,920         6/20/01   $    95,094  
Australian Dollars                                  22,007,214     22,362,356         6/12/01       355,142  
British Pounds                                      78,233,309     80,013,444         6/20/01     1,780,135  
Canadian Dollars                                    13,961,452     14,177,746         6/20/01       216,294  
Danish Krone                                         6,646,517      6,996,648         6/20/01       350,131  
Euro Dollars                                       186,186,719    193,058,469         6/20/01     6,871,750  
Hong Kong Dollars                                   11,232,408     11,231,429         6/20/01          (979) 
Japanese Yen                                       110,206,679    114,486,326         6/20/01     4,279,647  
Singapore Dollars                                    4,791,527      4,920,069         6/20/01       128,542  
Swiss Franc                                         20,457,649     21,301,589         6/20/01       843,940  
Swedish Krona                                        7,830,647      8,229,794         6/20/01       399,147  
Mexican Peso                                           442,170        429,166         6/20/01       (13,004) 
-----------------------------------------------------------------------------------------------------------  
                                                                                                $15,305,839  
-----------------------------------------------------------------------------------------------------------  
Futures Contracts Outstanding                                                                                
at March 31, 2001 (Unaudited)                                                             GROWTH             
                                                                                                Unrealized   
                                                                 Aggregate Face     Expiration Appreciation/ 
                                                   Total Value        Value            Date   (Depreciation) 
-----------------------------------------------------------------------------------------------------------  
ASX Index (long)                                   $   292,300    $   297,811          Jun-01   $    (5,511) 
CAC 40 (long)                                        4,252,730      4,113,704          Apr-01       139,026  
CAC 40 (short)                                      16,780,204     16,962,034          Apr-01       181,830  
DAX Index (long)                                     2,702,696      2,843,353          Jun-01      (140,657) 
Euro-Bund 10yr (short)                              18,395,449     18,124,390          Jun-01      (271,059) 
FT-SE 100 (long)                                    23,495,603     24,356,645          Jun-01      (861,042) 
Gilt (short)                                        10,620,867     10,543,082          Jun-01       (77,785) 
JGB 10yr (short)                                    40,358,763     40,193,540          Jun-01      (165,223) 
MIB 30 Index (long)                                  1,699,443      1,695,196          Jun-01         4,247  
S & P 500 Index (long)                              72,782,700     72,768,546          Jun-01        14,154  
S & P 500 Index (short)                             49,398,700     49,170,427          Jun-01      (228,273) 
SPI 200 Index (long)                                15,970,230     16,303,941          Jun-01      (333,711) 
Topix (long)                                        15,849,002     16,478,213          Jun-01      (629,211) 
US Treasury Note 10yr                                                                                        
  (long)                                            40,220,344     40,408,911          Jun-01      (188,567) 
US Treasury Note 10yr                                                                                        
  (short)                                           27,612,813     27,605,979          Jun-01        (6,834) 
US Treasury Note 5yr                                                                                         
  (short)                                            8,652,281      8,642,774          Jun-01        (9,507) 
-----------------------------------------------------------------------------------------------------------  
                                                                                                $(2,578,123) 
-----------------------------------------------------------------------------------------------------------  



TBA Sale Commitments                                                                                         
at March 31, 2001 (Unaudited)                                             GROWTH                             
(Proceeds receivable $14,201,364)                                                                            
                                                    Principal        Settlement        Market                
Agency                                               Amount             Date            Value                
-----------------------------------------------------------------------------------------------              
                                                                                                             
FNMA, 6s, April 2031                               $ 2,235,000         4/16/01      $ 2,179,125              
FNMA, 6s, April 2016                                11,978,000         4/19/01       11,955,601              
-----------------------------------------------------------------------------------------------              
                                                                                    $14,134,726              
-----------------------------------------------------------------------------------------------              

-----------------------------------------------------------------------------------------------              
Swap Contracts Outstanding at                                                                                
March 31, 2001 (Unaudited)                                                GROWTH                             
                                                                                   Unrealized                
                                                    Notional         Termination  Appreciation/              
                                                     Amount             Date     (Depreciation)              
-----------------------------------------------------------------------------------------------              
Agreement with Merrill Lynch dated                                                                           
February 28, 2001 to pay semi-annually the                                                                   
notional amount multiplied by 5.815%, and                                                                    
receive quarterly the notional amount multiplied                                                             
by USD Three Month LIBOR.                         $  7,200,000          Mar-11      $    16,560              

Agreement with Merrill Lynch dated                                                                           
February 28, 2001 to pay semi-annually the                                                                   
notional amount multiplied by 5.485%, and                                                                    
receive quarterly the notional amount multiplied                                                             
by USD Three Month LIBOR.                            2,500,000          Mar-06           (9,250)             

Agreement with Salomon Smith Barney dated                                                                    
March 30, 2001 to receive monthly the notional                                                               
amount multiplied by the return of the World                                                                 
Government Bond Index Unhedged-NON USD                                                                       
and pay monthly the notional amount multiplied                                                               
by USD One Month LIBOR, adjusted by a                                                                        
specified spread.                                   90,599,818          Jun-03               --              

Agreement with Salomon Smith Barney dated                                                                    
March 30, 2001 to receive monthly the notional                                                               
amount multiplied by the return of the World                                                                 
Government Bond Index Hedged-NON USD                                                                         
and pay monthly the notional amount multiplied                                                               
by USD One Month LIBOR, adjusted                                                                             
by a specified spread.                              90,600,062          Feb-03               --              

Agreement with JP Morgan Securities dated                                                                    
March 30, 2001 to receive monthly the notional                                                               
amount multiplied by the return of the Lehman                                                                
Brothers US Government Index and pay                                                                         
monthly the notional amount multiplied by                                                                    
USD One Month LIBOR, adjusted by a                                                                           
specified spread.                                   53,648,319          Jun-03               --              

Agreement with Merrill Lynch Capital Services                                                                
dated March 30, 2001 to pay monthly the                                                                      
notional amount multiplied by the return of the                                                              
Merrill Mortgage Index and receive monthly the                                                               
notional amount multiplied by USD One Month                                                                  
LIBOR, adjusted by a specified spread. (short)      35,984,413          Apr-01          (48,680)             

Agreement with Salomon Smith Barney. dated                                                                   
March 1, 2001 to receive (pay) the notional                                                                  
amount multiplied by the return of World                                                                     
Government Bond Index Unhedged-NON USD                                                                       
and pay monthly the notional amount multiplied                                                               
by one month USD LIBOR, adjusted by a                                                                        
specified spread.                                   99,896,108          Jan-03       (4,178,944)             

Agreement with Salomon Smith Barney. dated                                                                   
March 1, 2001 to receive (pay) the notional                                                                  
amount multiplied by the return of World                                                                     
Government Bond Index Unhedged-NON USD,                                                                      
and pay monthly the notional amount multiplied                                                               
by one month USD LIBOR, adjusted by a                                                                        
specified spread.                                  111,856,993          Jan-03          305,217              

Agreement with JP Morgan Securities. dated                                                                   
March 1, 2001 to receive (pay) the notional                                                                  
amount multiplied by the return of Lehman                                                                    
Brothers US Government Index and pay monthly                                                                 
the notional amount multiplied by one month                                                                  
USD LIBOR, adjusted by a specified spread.          62,528,329          Jun-03          (74,903)             

Agreement with Merrill Lynch Capital Services                                                                
dated March 30, 2001 to pay monthly the                                                                      
notional amount multiplied by the return of the                                                              
Merrill Mortgage Index and receive monthly the                                                               
notional amount multiplied by USD One Month                                                                  
LIBOR, adjusted by a specified spread. (short)      36,249,833          Jul-01               --              
-----------------------------------------------------------------------------------------------------------  
Swap Contracts Outstanding at                                                                                
March 31, 2001 (Unaudited) (continued)                                  GROWTH                               
                                                                                     Unrealized              
                                                    Notional         Termination    Appreciation/            
                                                     Amount              Date       Depreciation             
-----------------------------------------------------------------------------------------------------------  
Agreement with Merrill Lynch Capital Services                                                                
dated February 28, 2001 to receive quarterly                                                                 
the notional amount multiplied by the return of                                                              
10 Year Receiver Swaption 6.12% and pay                                                                      
quarterly the notional amount multiplied by                                                                  
USD Three Month LIBOR, adjusted by a                                                                         
specified spread.                                 $    401,580          Mar-03   $   (67,651)                

Agreement with Lehman Brothers dated                                                                         
March 1, 2001 to pay monthly the notional                                                                    
amount multiplied by the return of the Lehman                                                                
Brothers US Government Index and receive                                                                     
monthly the notional amount multiplied by USD                                                                
One Month LIBOR, adjusted by a specified spread.    72,755,362          Mar-03       (90,287)                
-----------------------------------------------------------------------------------------------------------  
                                                                                 $(4,147,938)                
-----------------------------------------------------------------------------------------------------------  


Forward Currency Contracts to Buy                                                                            
at March 31, 2001 (Unaudited)                                                         BALANCED               
(aggregate face value $361,928,140)                                                                          

                                                                Aggregate Face       Delivery   Unrealized   
                                                   Market Value      Value             Date    Depreciation  
-----------------------------------------------------------------------------------------------------------  
                                                                                                             
Australian Dollars                                $ 27,314,704   $ 28,157,162         6/12/01  $   (842,458) 
British Pounds                                      72,643,471     74,297,461         6/20/01    (1,653,990) 
Canadian Dollars                                    54,186,977     54,910,071         6/20/01      (723,094) 
Euro Dollars                                       148,551,096    154,437,703         6/20/01    (5,886,607) 
Japanese Yen                                        28,232,430     29,542,489         6/20/01    (1,310,059) 
Norwegian Krone                                     20,262,037     20,583,254         6/20/01      (321,217) 
-----------------------------------------------------------------------------------------------------------  
                                                                                               $(10,737,425) 
-----------------------------------------------------------------------------------------------------------  
Forward Currency Contracts to Sell                                                                           
at March 31, 2001 (Unaudited)                                                         BALANCED               
(aggregate face value $536,187,630)                                                                          
                                                                                                Unrealized   
                                                      Market     Aggregate Face      Delivery  Appreciation/ 
                                                      Value          Value             Date   (Depreciation) 
-----------------------------------------------------------------------------------------------------------  
Australian Dollars                                $  8,467,969   $  8,728,288         6/20/01   $   260,319  
Australian Dollars                                  18,954,011     19,197,142         6/12/01       243,131  
British Pounds                                      99,897,510    102,171,835         6/20/01     2,274,325  
Canadian Dollars                                    28,021,402     28,452,146         6/20/01       430,744  
Euro Dollars                                       245,435,634    255,390,944         6/20/01     9,955,310  
Hong Kong                                           14,861,433     14,860,137         6/20/01        (1,296) 
Japanese Yen                                        69,570,725     72,779,772         6/20/01     3,209,047  
Singapore Dollars                                    4,012,651      4,120,297         6/20/01       107,646  
Swedish Krona                                        8,691,786      9,134,827         6/20/01       443,041  
Swiss Franc                                         20,490,976     21,352,242         6/20/01       861,266  
-----------------------------------------------------------------------------------------------------------  
                                                                                                $17,783,533  
-----------------------------------------------------------------------------------------------------------  

-----------------------------------------------------------------------------------------------------------  
Futures Contracts Outstanding                                                                                
at March 31, 2001 (Unaudited)                                                         BALANCED               
                                                                                                 Unrealized  
                                                                 Aggregate Face      Expiration Appreciation/
                                                   Total Value       Value              Date  (Depreciation) 
-----------------------------------------------------------------------------------------------------------  
CAC 40 (long)                                     $  6,858,395   $  6,933,210          Apr-01  $    (74,815) 
CAC 40 (short)                                      19,843,620     20,058,645          Apr-01       215,025  
CAN 10yr (long)                                     69,371,450     69,743,348          Jun-01      (371,898) 
DAX Index (long)                                     5,147,993      5,415,911          Jun-01      (267,918) 
DJ Euro Stoxx                                                                                                
50 Index (short)                                    48,953,081     50,028,947          Jun-01     1,075,866  
FT-SE 100 (long)                                    36,486,346     37,823,459          Jun-01    (1,337,113) 
FT-SE 100 (short)                                   34,241,033     35,647,845          Jun-01     1,406,812  
Hang Seng Index                                                                                              
(short)                                              2,638,253      2,673,693          Jun-01        35,440  
MIB 30 Index (long)                                  2,889,053      2,881,834          Jun-01         7,219  
Russell 2000 Index                                                                                           
(short)                                            129,361,500    139,505,078          Jun-01    10,143,578  
S & P 500 Index (long)                             319,776,200    343,419,023          Jun-01   (23,642,823) 
S & P/TSE 60 Index                                                                                           
(short)                                              5,906,613      6,450,630          Jun-01       544,017  
SPI 200 Index (long)                                24,402,200     24,914,644          Jun-01      (512,444) 
SPI 200 Index (short)                                4,041,129      4,040,773          Jun-01          (356) 
Topix (short)                                        8,330,886      7,921,573          Jun-01      (409,313) 
US Agency 10yr (short)                              37,727,063     37,559,942          Jun-01      (167,121) 
US Treasury Note                                                                                             
10yr (short)                                       164,296,235    163,230,551          Jun-01    (1,065,684) 
US Treasury Note                                                                                             
5yr (short)                                         31,760,203     31,577,097          Jun-01      (183,106) 
-----------------------------------------------------------------------------------------------------------  
                                                                                               $(14,604,634) 
-----------------------------------------------------------------------------------------------------------  



TBA Sale Commitments                                                                                         
at March 31, 2001 (Unaudited)                                             BALANCED                           
(Proceeds receivable $64,364,733)                                                                            
                                                    Principal       Settlement     Market                    
Agency                                                Amount           Date        Value                     
-----------------------------------------------------------------------------------------------------------  
                                                                                                             
FNMA, 6s, April 2031                               $54,520,000         4/16/01   $54,418,048                 
FNMA, 6s, April 2016                                 9,890,000         4/19/01     9,642,750                 
-----------------------------------------------------------------------------------------------------------  
                                                                                 $64,060,798                 
-----------------------------------------------------------------------------------------------------------  

-----------------------------------------------------------------------------------------------------------  
Swap Contracts Outstanding                                                                                   
at March 31, 2001 (Unaudited)                                             BALANCED                           

                                                    Notional          Termination    Unrealized              
                                                      Amount             Date       Depreciation             
-----------------------------------------------------------------------------------------------------------  
Agreement with JP Morgan Securities dated                                                                    
March 30, 2001 to receive monthly the notional                                                               
amount multiplied by the return of the Lehman                                                                
Brothers US Government Index and pay monthly                                                                 
the notional amount multiplied by USD One                                                                    
Month LIBOR, adjusted by a specified spread.      $162,052,246          Jun-03     $      --                 

Agreement with JP Morgan Securities. dated                                                                   
March 1, 2001 to receive (pay) the notional                                                                  
amount multiplied by the return of Lehman                                                                    
Brothers US Government Index and pay                                                                         
monthly the notional amount multiplied by                                                                    
one month USD LIBOR, adjusted by a                                                                           
specified spread.                                  131,153,922          Jun-03      (191,860)                

Agreement with Lehman Brothers dated                                                                         
March 1, 2001 to pay monthly the notional                                                                    
amount multiplied by the return of the                                                                       
Lehman Brothers US Government Index and                                                                      
receive monthly the notional amount multiplied                                                               
by USD One Month LIBOR, adjusted by a                                                                        
specified spread.                                  155,093,808          Mar-03      (156,617)                
-----------------------------------------------------------------------------------------------------------  
                                                                                   $(348,477)                
-----------------------------------------------------------------------------------------------------------  



Forward Currency Contracts to Buy                                                                            
at March 31, 2001 (Unaudited)                                                          CONSERVATIVE          
(aggregate face value $128,475,730)                                                                          
                                                                Aggregate Face       Delivery   Unrealized   
                                                   Market Value      Value             Date    Depreciation  
-----------------------------------------------------------------------------------------------------------  
                                                                                                             
Australian Dollars                                 $10,766,045    $11,097,954         6/12/01   $  (331,909) 
Canadian Dollars                                    19,089,847     19,343,714         6/20/01      (253,867) 
Danish Krone                                             1,183          1,246         6/20/01           (63) 
Euro Dollars                                        60,952,061     63,370,370         6/20/01    (2,418,309) 
British Pounds                                      26,656,616     27,205,777         6/20/01      (549,161) 
Norwegian Krone                                      7,340,259      7,456,669         6/20/01      (116,410) 
-----------------------------------------------------------------------------------------------------------  
                                                                                                $(3,669,719) 
-----------------------------------------------------------------------------------------------------------  
Forward Currency Contracts to Sell                                                                           
at March 31, 2001 (Unaudited)                                                          CONSERVATIVE          
(aggregate face value $96,259,783)                                                                           
                                                                                                Unrealized   
                                                      Market    Aggregate Face       Delivery  Appreciation/ 
                                                      Value          Value             Date   (Depreciation) 
-----------------------------------------------------------------------------------------------------------  
Australian Dollars                                 $ 7,640,920    $ 7,761,312         6/12/01    $  120,392  
British Pounds                                      13,010,783     13,306,836         6/20/01       296,053  
Canadian Dollars                                     1,262,954      1,282,861         6/20/01        19,907  
Euro Dollars                                        57,427,295     59,651,464         6/20/01     2,224,169  
Hong Kong Dollars                                    2,142,472      2,142,286         6/20/01          (186) 
Japanese Yen                                         4,298,914      4,498,396         6/20/01       199,482  
Singapore Dollars                                      787,340        808,462         6/20/01        21,122  
Swedish Krona                                        2,016,472      2,119,257         6/20/01       102,785  
Swiss Franc                                          4,499,776      4,688,909         6/20/01       189,133  
-----------------------------------------------------------------------------------------------------------  
                                                                                                 $3,172,857  
-----------------------------------------------------------------------------------------------------------  

-----------------------------------------------------------------------------------------------------------  
Futures Contracts Outstanding                                                                                
at March 31, 2001 (Unaudited)                                                          CONSERVATIVE          
                                                                                                Unrealized   
                                                                Aggregate Face      Expiration  Appreciation/
                                                    Total Value      Value             Date   (Depreciation) 
-----------------------------------------------------------------------------------------------------------  
CAC 40 (long)                                      $ 2,264,525     $1,987,520          Apr-01   $   277,005  
CAC 40 (short)                                       2,469,022      2,495,776          Apr-01        26,754  
CAN 10yr (long)                                     34,356,013     34,540,242          Jun-01      (184,229) 
DAX Index (long)                                     1,544,398      1,624,773          Jun-01       (80,375) 
Euro-Bund 10yr (short)                               3,485,453      3,466,364          Jun-01       (19,089) 
FT-SE 100 (long)                                    11,787,896     12,219,887          Jun-01      (431,991) 
Gilt (short)                                         1,825,461      1,812,092          Jun-01       (13,369) 
JGB 10yr (short)                                    26,794,661     26,702,151          Jun-01       (92,510) 
MIB 30 Index (long)                                    849,722        847,598          Jun-01         2,124  
S & P 500 Index (long)                               9,938,200     10,095,262          Jun-01      (157,062) 
S & P 500 Index (short)                             26,599,300     26,489,791          Jun-01      (109,509) 
SPI 200 Index (long)                                 8,315,399      8,489,792          Jun-01      (174,393) 
Topix (long)                                         2,336,712      2,429,480          Jun-01       (92,768) 
US Treasury Bond                                     5,001,000      4,954,296          Jun-01       (46,704) 
US Treasury Note                                                                                             
10yr (long)                                         19,222,765     18,975,294          Jun-01       247,471  
US Treasury Note                                                                                             
10yr (short)                                        30,374,093     30,183,338          Jun-01      (190,755) 
US Treasury Note                                                                                             
5yr (short)                                         13,189,453     13,080,226          Jun-01      (109,227) 
-----------------------------------------------------------------------------------------------------------  
                                                                                                $(1,148,627) 
-----------------------------------------------------------------------------------------------------------  



TBA Sale Commitments                                                                                         
at March 31, 2001 (Unaudited)                                             CONSERVATIVE                       
(Proceeds receivable $31,672,453)                                                                            
                                                     Principal       Settlement     Market                   
Agency                                                Amount            Date        Value                    
-----------------------------------------------------------------------------------------------------------  
                                                                                                             
FNMA, 6s, April 2031                               $26,602,000         4/16/01   $26,552,254                 
FNMA, 6s, April 2016                                 5,100,000         4/19/01     4,972,500                 
-----------------------------------------------------------------------------------------------------------  
                                                                                 $31,524,754                 
-----------------------------------------------------------------------------------------------------------  

-----------------------------------------------------------------------------------------------------------  
Swap Contracts Outstanding                                                                                   
at March 31, 2001 (Unaudited)                                             CONSERVATIVE                       

                                                     Notional        Termination    Unrealized               
                                                      Amount            Date       Depreciation              
-----------------------------------------------------------------------------------------------------------  
Agreement with Lehman Brothers dated                                                                         
March 1, 2001 to pay monthly the notional                                                                    
amount multiplied by the return of the                                                                       
Lehman Brothers US Government Index and                                                                      
receive monthly the notional amount multiplied                                                               
by USD One Month LIBOR, adjusted by a                                                                        
specified spread.                                 $ 39,788,157          Mar-03      $(49,375)                

Agreement with Salomon Smith Barney dated                                                                    
March 30, 2001 to receive monthly the notional                                                               
amount multiplied by the return of the  World                                                                
Government Bond Index Hedged-NON USD                                                                         
and pay monthly the notional amount multiplied                                                               
by USD One Month LIBOR, adjusted by a                                                                        
specified spread.                                  125,800,059          Feb-03            --                 

Agreement with JP Morgan Securities dated                                                                    
March 30, 2001 to receive monthly the notional                                                               
amount multiplied by the return of the  Lehman                                                               
Brothers US Government Index and pay monthly                                                                 
the notional amount multiplied by USD One                                                                    
Month LIBOR, adjusted by a specified spread.        55,595,470          Jun-03            --                 

Agreement with JP Morgan Securities. dated                                                                   
March 1, 2001 to receive (pay) the notional                                                                  
amount multiplied by the return of Lehman                                                                    
Brothers US Government Index and pay                                                                         
monthly the notional amount multiplied by                                                                    
one month USD LIBOR, adjusted by a                                                                           
specified spread.                                   34,106,961          Jun-03       (40,858)                
-----------------------------------------------------------------------------------------------------------  
                                                                                    $(90,233)                
-----------------------------------------------------------------------------------------------------------  

The accompanying notes are an integral part of these financial statements.                                   


                                                        [Enlarge/Download Table]


STATEMENT OF ASSETS AND LIABILITIES                                                         
March 31, 2001 (Unaudited)                                                                  

Putnam Asset Allocation: Growth Portfolio                                                   
                                                                                            
Assets                                                                                      
------------------------------------------------------------------------------------------- 
Investments in securities, at value                                                         
(identified cost $1,981,436,297) (Note 1)                                    $1,826,760,447 
------------------------------------------------------------------------------------------- 
Cash                                                                              1,843,457 
------------------------------------------------------------------------------------------- 
Foreign currency (cost $5,819,425)                                                5,531,115 
------------------------------------------------------------------------------------------- 
Dividends, interest and other receivables                                        10,895,782 
------------------------------------------------------------------------------------------- 
Receivable for shares of the fund sold                                            2,225,735 
------------------------------------------------------------------------------------------- 
Receivable for securities sold                                                   32,811,539 
------------------------------------------------------------------------------------------- 
Receivable for closed forward currency contracts (Note 1)                         1,806,208 
------------------------------------------------------------------------------------------- 
Receivable for open forward currency contracts (Note 1)                          15,320,310 
------------------------------------------------------------------------------------------- 
Receivable for open swap contracts (Note 1)                                         321,777 
------------------------------------------------------------------------------------------- 
Total assets                                                                  1,897,516,370 

Liabilities                                                                                 
------------------------------------------------------------------------------------------- 
Payable for variation margin (Note 1)                                               584,524 
------------------------------------------------------------------------------------------- 
Payable for securities purchased                                                 57,043,004 
------------------------------------------------------------------------------------------- 
Payable for shares of the fund repurchased                                        2,153,257 
------------------------------------------------------------------------------------------- 
Payable for compensation of Manager (Note 2)                                      2,804,754 
------------------------------------------------------------------------------------------- 
Payable for investor servicing and custodian fees (Note 2)                        1,174,226 
------------------------------------------------------------------------------------------- 
Payable for compensation of Trustees (Note 2)                                        33,381 
------------------------------------------------------------------------------------------- 
Payable for administrative services (Note 2)                                          4,443 
------------------------------------------------------------------------------------------- 
Payable for distribution fees (Note 2)                                              943,302 
------------------------------------------------------------------------------------------- 
Payable for closed forward currency contracts (Note 1)                              999,395 
------------------------------------------------------------------------------------------- 
Payable for open forward currency contracts (Note 1)                             10,307,310 
------------------------------------------------------------------------------------------- 
Payable for open swap contracts (Note 1)                                          4,469,715 
------------------------------------------------------------------------------------------- 
TBA sales commitments, at value                                                             
(proceeds receivable $14,201,364) (Note 1)                                       14,134,726 
------------------------------------------------------------------------------------------- 
Other accrued expenses                                                              225,879 
------------------------------------------------------------------------------------------- 
Total liabilities                                                                94,877,916 
------------------------------------------------------------------------------------------- 
Net assets                                                                   $1,802,638,454 

Represented by                                                                              
------------------------------------------------------------------------------------------- 
Paid-in capital (Notes 1 and 4)                                              $2,079,183,648 
------------------------------------------------------------------------------------------- 
Undistributed net investment income (Note 1)                                      6,543,107 
------------------------------------------------------------------------------------------- 
Accumulated net realized loss on investments                                                
and foreign currency transactions (Note 1)                                     (126,190,739)
------------------------------------------------------------------------------------------- 
Net unrealized depreciation of investments and                                              
assets and liabilities in foreign currencies                                   (156,897,562)
------------------------------------------------------------------------------------------- 
Total -- Representing net assets applicable to                                              
capital shares outstanding                                                   $1,802,638,454 

Computation of net asset value and offering price                                           
------------------------------------------------------------------------------------------- 
Net asset value and redemption price per class A share                                      
($750,667,375 divided by 74,922,602 shares)                                          $10.02 
------------------------------------------------------------------------------------------- 
Offering price per class A share (100/94.25 of $10.02)*                              $10.63 
------------------------------------------------------------------------------------------- 
Net asset value and offering price per class B share                                        
($362,111,359 divided by 36,791,032 shares)**                                         $9.84 
------------------------------------------------------------------------------------------- 
Net asset value and offering price per class C share                                        
($115,522,410 divided by 11,888,501 shares)**                                         $9.72 
------------------------------------------------------------------------------------------- 
Net asset value and redemption price per class M share                                      
($55,684,962 divided by 5,640,784 shares)                                             $9.87 
------------------------------------------------------------------------------------------- 
Offering price per class M share (100/96.50 of $9.87)*                               $10.23 
------------------------------------------------------------------------------------------- 
Net asset value, offering price and redemption price per class Y share                      
($518,652,348 divided by 51,449,795 shares)                                          $10.08 
------------------------------------------------------------------------------------------- 

 * On single retail sales of less than $50,000. On sales of $50,000                         
   or more and on group sales, the offering price is reduced.                               

** Redemption preice per share is equal to net asset value less any                         
   applicable contingent deferred sales charges.                                            

   The accompanying notes are an integral part of these financial statements.               


                                                        [Enlarge/Download Table]


STATEMENT OF OPERATIONS                                                                     
Six months ended March 31, 2001 (Unaudited)                                                 

Putnam Asset Allocation: Growth Portfolio                                                   
                                                                                            
Investment income:                                                                          
------------------------------------------------------------------------------------------- 
Interest income                                                              $   26,275,148 
------------------------------------------------------------------------------------------- 
Dividends (net of foreign tax of $347,694)                                        7,318,323 
------------------------------------------------------------------------------------------- 
Total investment income                                                          33,593,471 

Expenses:                                                                                   
------------------------------------------------------------------------------------------- 
Compensation of Manager (Note 2)                                                  5,631,835 
------------------------------------------------------------------------------------------- 
Investor servicing and custodian fees (Note 2)                                    3,525,602 
------------------------------------------------------------------------------------------- 
Compensation of Trustees (Note 2)                                                    15,693 
------------------------------------------------------------------------------------------- 
Administrative services (Note 2)                                                      8,954 
------------------------------------------------------------------------------------------- 
Distribution fees -- Class A (Note 2)                                               980,628 
------------------------------------------------------------------------------------------- 
Distribution fees -- Class B (Note 2)                                             2,092,102 
------------------------------------------------------------------------------------------- 
Distribution fees -- Class C (Note 2)                                               632,640 
------------------------------------------------------------------------------------------- 
Distribution fees -- Class M (Note 2)                                               228,983 
------------------------------------------------------------------------------------------- 
Other                                                                               546,710 
------------------------------------------------------------------------------------------- 
Total expenses                                                                   13,663,147 
------------------------------------------------------------------------------------------- 
Expense reduction (Note 2)                                                         (466,563)
------------------------------------------------------------------------------------------- 
Net expenses                                                                     13,196,584 
------------------------------------------------------------------------------------------- 
Net investment income                                                            20,396,887 
------------------------------------------------------------------------------------------- 
Net realized loss on investments (Notes 1 and 3)                               (100,231,832)
------------------------------------------------------------------------------------------- 
Net realized loss on futures contracts (Note 1)                                  (9,794,389)
------------------------------------------------------------------------------------------- 
Net realized gain on foreign currency transactions (Note 1)                         777,408 
------------------------------------------------------------------------------------------- 
Net realized gain on swap contracts (Note 1)                                      7,845,480 
------------------------------------------------------------------------------------------- 
Net unrealized appreciation of  assets and liabilities                                      
in foreign currencies during the period                                           4,164,495 
------------------------------------------------------------------------------------------- 
Net unrealized depreciation of investments, futures contracts,                              
swap contracts and TBA sale commitments during the period                      (196,603,283)
------------------------------------------------------------------------------------------- 
Net loss on investments                                                        (293,842,121)
------------------------------------------------------------------------------------------- 
Net decrease in net assets resulting from operations                          $(273,445,234)
------------------------------------------------------------------------------------------- 

The accompanying notes are an integral part of these financial statements.                  


                                                        [Enlarge/Download Table]


STATEMENT OF CHANGES IN NET ASSETS                                                                 

Putnam Asset Allocation: Growth Portfolio                                                          
                                                                 Six months ended       Year ended 
                                                                         March 31     September 30 
                                                                            2001*             2000 
-------------------------------------------------------------------------------------------------- 
                                                                                                   
Increase (decrease) in net assets                                                                  
-------------------------------------------------------------------------------------------------- 
Operations:                                                                                        
-------------------------------------------------------------------------------------------------- 
Net investment income                                              $   20,396,887   $   32,342,208 
-------------------------------------------------------------------------------------------------- 
Net realized gain (loss) on investments and                                                        
foreign currency transactions                                        (101,403,333)     340,982,834 
-------------------------------------------------------------------------------------------------- 
Net unrealized depreciation of investments                                                         
and assets and liabilities in foreign currencies                     (192,438,788)    (164,266,891)
-------------------------------------------------------------------------------------------------- 
Net increase (decrease) in net assets resulting                                                    
from operations                                                      (273,445,234)     209,058,151 
-------------------------------------------------------------------------------------------------- 
Distributions to shareholders (Note 1):                                                            
-------------------------------------------------------------------------------------------------- 
  From net investment income                                                                       
   Class A                                                            (10,852,085)      (7,363,351)
-------------------------------------------------------------------------------------------------- 
   Class B                                                             (2,248,299)      (1,873,390)
-------------------------------------------------------------------------------------------------- 
   Class C                                                               (850,876)        (413,031)
-------------------------------------------------------------------------------------------------- 
   Class M                                                               (518,264)        (357,845)
-------------------------------------------------------------------------------------------------- 
   Class Y                                                             (7,661,644)      (5,236,059)
-------------------------------------------------------------------------------------------------- 
  From net realized gain on investments                                                            
   Class A                                                           (149,987,221)     (72,475,751)
-------------------------------------------------------------------------------------------------- 
   Class B                                                            (84,343,316)     (52,354,553)
-------------------------------------------------------------------------------------------------- 
   Class C                                                            (25,105,620)     (11,542,732)
-------------------------------------------------------------------------------------------------- 
   Class M                                                            (11,938,255)      (6,511,946)
-------------------------------------------------------------------------------------------------- 
   Class Y                                                            (89,419,898)     (41,178,056)
-------------------------------------------------------------------------------------------------- 
Increase from capital share transactions (Note 4)                     480,437,694      284,931,390 
-------------------------------------------------------------------------------------------------- 
Total increase (decrease) in net assets                              (175,933,018)     294,682,827 

Net assets                                                                                         
-------------------------------------------------------------------------------------------------- 
Beginning of period                                                 1,978,571,472    1,683,888,645 
-------------------------------------------------------------------------------------------------- 
End of period (including undistributed net investment                                              
income of $6,543,107 and $8,277,388, respectively)                 $1,802,638,454   $1,978,571,472 
-------------------------------------------------------------------------------------------------- 

* Unaudited                                                                                        

  The accompanying notes are an integral part of these financial statements.                       


                                                        [Enlarge/Download Table]


FINANCIAL HIGHLIGHTS                                                                                              
(For a share outstanding throughout the period)                                                                   

Putnam Asset Allocation: Growth Portfolio                                                                         
CLASS A                                                                                                           
------------------------------------------------------------------------------------------------------------------
                                    Six months                                                                    
                                       ended                                                                      
Per-share                            March 31                                                                     
operating performance               (Unaudited)                      Year ended September 30                      
------------------------------------------------------------------------------------------------------------------
                                        2001         2000         1999         1998         1997         1996     
------------------------------------------------------------------------------------------------------------------
                                                                                                                  
Net asset value,                                                                                                  
beginning of period                   $14.47       $14.35       $11.76       $13.64       $11.41       $10.06     
------------------------------------------------------------------------------------------------------------------
Investment operations                                                                                             
------------------------------------------------------------------------------------------------------------------
Net investment income (a)                .14          .28          .14          .15          .17          .18     
------------------------------------------------------------------------------------------------------------------
Net realized and unrealized                                                                                       
gain (loss) on investments             (1.77)        1.56         2.82        (1.06)        2.69         1.63     
------------------------------------------------------------------------------------------------------------------
Total from                                                                                                        
investment operations                  (1.63)        1.84         2.96         (.91)        2.86         1.81     
------------------------------------------------------------------------------------------------------------------
Less distributions:                                                                                               
------------------------------------------------------------------------------------------------------------------
From net                                                                                                          
investment income                       (.19)        (.16)        (.10)        (.14)        (.16)        (.19)    
------------------------------------------------------------------------------------------------------------------
From net realized gain                                                                                            
on investments                         (2.63)       (1.56)        (.27)        (.83)        (.47)        (.27)    
------------------------------------------------------------------------------------------------------------------
Total distributions                    (2.82)       (1.72)        (.37)        (.97)        (.63)        (.46)    
------------------------------------------------------------------------------------------------------------------
Net asset value,                                                                                                  
end of period                         $10.02       $14.47       $14.35       $11.76       $13.64       $11.41     
------------------------------------------------------------------------------------------------------------------
Total return at                                                                                                   
net asset value (%)(b)                (13.04)*      12.77        25.55        (7.01)       26.25        18.75     
------------------------------------------------------------------------------------------------------------------

Ratios and supplemental data                                                                                      
------------------------------------------------------------------------------------------------------------------
Net assets, end of period                                                                                         
(in thousands)                      $750,667     $817,887     $664,640     $602,273     $486,107     $210,531     
------------------------------------------------------------------------------------------------------------------
Ratio of expenses to                                                                                              
average net assets (%)(c)                .63*        1.18         1.21         1.31         1.39         1.45     
------------------------------------------------------------------------------------------------------------------
Ratio of net investment income                                                                                    
to average net assets (%)               1.15*        1.87         1.00         1.13         1.42         1.72     
------------------------------------------------------------------------------------------------------------------
Portfolio turnover (%)                 50.02*      155.18       105.11       146.58        99.96       100.93     
------------------------------------------------------------------------------------------------------------------

  * Not annualized                                                                                                

(a) Per share net investment income has been determined on the basis                                              
    of the weighted average number of shares outstanding during the period.                                       

(b) Total return assumes dividend reinvestment and does not reflect                                               
    the effect of sales charges.                                                                                  

(c) Includes amounts paid through expense offset arrangements (Note 2).                                           


                                                        [Enlarge/Download Table]


FINANCIAL HIGHLIGHTS                                                                                              
(For a share outstanding throughout the period)                                                                   

Putnam Asset Allocation: Growth Portfolio                                                                         
CLASS B                                                                                                           
------------------------------------------------------------------------------------------------------------------
                                    Six months                                                                    
                                       ended                                                                      
Per-share                            March 31                                                                     
operating performance               (Unaudited)                      Year ended September 30                      
------------------------------------------------------------------------------------------------------------------
                                        2001         2000         1999         1998         1997         1996     
------------------------------------------------------------------------------------------------------------------
                                                                                                                  
Net asset value,                                                                                                  
beginning of period                   $14.21       $14.12       $11.59       $13.47       $11.29        $9.97     
------------------------------------------------------------------------------------------------------------------
Investment operations                                                                                             
------------------------------------------------------------------------------------------------------------------
Net investment income (a)                .09          .16          .03          .05          .08          .10     
------------------------------------------------------------------------------------------------------------------
Net realized and unrealized                                                                                       
gain (loss) on investments             (1.76)        1.55         2.78        (1.05)        2.67         1.64     
------------------------------------------------------------------------------------------------------------------
Total from                                                                                                        
investment operations                  (1.67)        1.71         2.81        (1.00)        2.75         1.74     
------------------------------------------------------------------------------------------------------------------
Less distributions:                                                                                               
------------------------------------------------------------------------------------------------------------------
From net                                                                                                          
investment income                       (.07)        (.06)        (.01)        (.05)        (.10)        (.15)    
------------------------------------------------------------------------------------------------------------------
From net realized gain                                                                                            
on investments                         (2.63)       (1.56)        (.27)        (.83)        (.47)        (.27)    
------------------------------------------------------------------------------------------------------------------
Total distributions                    (2.70)       (1.62)        (.28)        (.88)        (.57)        (.42)    
------------------------------------------------------------------------------------------------------------------
Net asset value,                                                                                                  
end of period                          $9.84       $14.21       $14.12       $11.59       $13.47       $11.29     
------------------------------------------------------------------------------------------------------------------
Total return at                                                                                                   
net asset value (%)(b)                (13.55)*      11.98        24.52        (7.72)       25.23        18.04     
------------------------------------------------------------------------------------------------------------------

Ratios and supplemental data                                                                                      
------------------------------------------------------------------------------------------------------------------
Net assets, end of period                                                                                         
(in thousands)                      $362,111     $469,645     $470,073     $385,645     $357,501     $199,871     
------------------------------------------------------------------------------------------------------------------
Ratio of expenses to                                                                                              
average net assets (%)(c)               1.01*        1.93         1.96         2.06         2.14         2.21     
------------------------------------------------------------------------------------------------------------------
Ratio of net investment income                                                                                    
to average net assets (%)                .77*        1.07          .25          .40          .68          .95     
------------------------------------------------------------------------------------------------------------------
Portfolio turnover (%)                 50.02*      155.18       105.11       146.58        99.96       100.93     
------------------------------------------------------------------------------------------------------------------

  * Not annualized                                                                                                

(a) Per share net investment income has been determined on the basis                                              
    of the weighted average number of shares outstanding during the period.                                       

(b) Total return assumes dividend reinvestment and does not reflect                                               
    the effect of sales charges.                                                                                  

(c) Includes amounts paid through expense offset arrangements (Note 2).                                           


                                                        [Enlarge/Download Table]


FINANCIAL HIGHLIGHTS                                                                                              
(For a share outstanding throughout the period)                                                                   

Putnam Asset Allocation: Growth Portfolio                                                                         
CLASS C                                                                                                           
------------------------------------------------------------------------------------------------------------------
                                    Six months                                                                    
                                      ended                                                                       
Per-share                           March 31                                                                      
operating performance              (Unaudited)                       Year ended September 30                      
------------------------------------------------------------------------------------------------------------------
                                        2001         2000         1999         1998         1997         1996     
------------------------------------------------------------------------------------------------------------------
                                                                                                                  
Net asset value,                                                                                                  
beginning of period                   $14.08       $14.00       $11.50       $13.38       $11.24        $9.93     
------------------------------------------------------------------------------------------------------------------
Investment operations                                                                                             
------------------------------------------------------------------------------------------------------------------
Net investment income (a)                .09          .17          .03          .05          .08          .10     
------------------------------------------------------------------------------------------------------------------
Net realized and unrealized                                                                                       
gain (loss) on investments             (1.73)        1.53         2.75        (1.04)        2.65         1.63     
------------------------------------------------------------------------------------------------------------------
Total from                                                                                                        
investment operations                  (1.64)        1.70         2.78         (.99)        2.73         1.73     
------------------------------------------------------------------------------------------------------------------
Less distributions:                                                                                               
------------------------------------------------------------------------------------------------------------------
From net                                                                                                          
investment income                       (.09)        (.06)        (.01)        (.06)        (.12)        (.15)    
------------------------------------------------------------------------------------------------------------------
From net realized gain                                                                                            
on investments                         (2.63)       (1.56)        (.27)        (.83)        (.47)        (.27)    
------------------------------------------------------------------------------------------------------------------
Total distributions                    (2.72)       (1.62)        (.28)        (.89)        (.59)        (.42)    
------------------------------------------------------------------------------------------------------------------
Net asset value,                                                                                                  
end of period                          $9.72       $14.08       $14.00       $11.50       $13.38       $11.24     
------------------------------------------------------------------------------------------------------------------
Total return at                                                                                                   
net asset value (%)(b)                (13.47)*      12.01        24.47        (7.70)       25.31        18.01     
------------------------------------------------------------------------------------------------------------------

Ratios and supplemental data                                                                                      
------------------------------------------------------------------------------------------------------------------
Net assets, end of period                                                                                         
(in thousands)                      $115,522     $135,439     $103,209      $88,076      $68,749      $27,556     
------------------------------------------------------------------------------------------------------------------
Ratio of expenses to                                                                                              
average net assets (%)(c)               1.01*        1.93         1.96         2.06         2.14         2.23     
------------------------------------------------------------------------------------------------------------------
Ratio of net investment income                                                                                    
to average net assets (%)                .77*        1.13          .25          .41          .67          .94     
------------------------------------------------------------------------------------------------------------------
Portfolio turnover (%)                 50.02*      155.18       105.11       146.58        99.96       100.93     
------------------------------------------------------------------------------------------------------------------

  * Not annualized                                                                                                

(a) Per share net investment income has been determined on the basis                                              
    of the weighted average number of shares outstanding during the period.                                       

(b) Total return assumes dividend reinvestment and does not reflect                                               
    the effect of sales charges.                                                                                  

(c) Includes amounts paid through expense offset arrangements (Note 2).                                           


                                                        [Enlarge/Download Table]


FINANCIAL HIGHLIGHTS                                                                                              
(For a share outstanding throughout the period)                                                                   

Putnam Asset Allocation: Growth Portfolio                                                                         
CLASS M                                                                                                           
------------------------------------------------------------------------------------------------------------------
                                    Six months                                                                    
                                       ended                                                                      
Per-share                            March 31                                                                     
operating performance               (Unaudited)                      Year ended September 30                      
------------------------------------------------------------------------------------------------------------------
                                        2001         2000         1999         1998         1997         1996     
------------------------------------------------------------------------------------------------------------------
                                                                                                                  
Net asset value,                                                                                                  
beginning of period                   $14.25       $14.15       $11.60       $13.49       $11.32       $10.01     
------------------------------------------------------------------------------------------------------------------
Investment operations                                                                                             
------------------------------------------------------------------------------------------------------------------
Net investment income (a)                .10          .20          .07          .08          .11          .12     
------------------------------------------------------------------------------------------------------------------
Net realized and unrealized                                                                                       
gain (loss) on investments             (1.74)        1.55         2.80        (1.05)        2.67         1.64     
------------------------------------------------------------------------------------------------------------------
Total from                                                                                                        
investment operations                  (1.64)        1.75         2.87         (.97)        2.78         1.76     
------------------------------------------------------------------------------------------------------------------
Less distributions:                                                                                               
------------------------------------------------------------------------------------------------------------------
From net                                                                                                          
investment income                       (.11)        (.09)        (.05)        (.09)        (.14)        (.18)    
------------------------------------------------------------------------------------------------------------------
From net realized gain                                                                                            
on investments                         (2.63)       (1.56)        (.27)        (.83)        (.47)        (.27)    
------------------------------------------------------------------------------------------------------------------
Total distributions                    (2.74)       (1.65)        (.32)        (.92)        (.61)        (.45)    
------------------------------------------------------------------------------------------------------------------
Net asset value,                                                                                                  
end of period                          $9.87       $14.25       $14.15       $11.60       $13.49       $11.32     
------------------------------------------------------------------------------------------------------------------
Total return at                                                                                                   
net asset value (%)(b)                (13.26)*      12.25        25.05        (7.52)       25.63        18.21     
------------------------------------------------------------------------------------------------------------------

Ratios and supplemental data                                                                                      
------------------------------------------------------------------------------------------------------------------
Net assets, end of period                                                                                         
(in thousands)                       $55,685      $67,225      $59,604      $49,702      $34,381      $12,369     
------------------------------------------------------------------------------------------------------------------
Ratio of expenses to                                                                                              
average net assets (%)(c)                .88*        1.68         1.71         1.81         1.89         1.95     
------------------------------------------------------------------------------------------------------------------
Ratio of net investment income                                                                                    
to average net assets (%)                .89*        1.35          .50          .65          .92         1.16     
------------------------------------------------------------------------------------------------------------------
Portfolio turnover (%)                 50.02*      155.18       105.11       146.58        99.96       100.93     
------------------------------------------------------------------------------------------------------------------

  * Not annualized                                                                                                

(a) Per share net investment income has been determined on the basis                                              
    of the weighted average number of shares outstanding during the period.                                       

(b) Total return assumes dividend reinvestment and does not reflect                                               
    the effect of sales charges.                                                                                  

(c) Includes amounts paid through expense offset arrangements (Note 2).                                           


                                                        [Enlarge/Download Table]


FINANCIAL HIGHLIGHTS                                                                                              
(For a share outstanding throughout the period)                                                                   

Putnam Asset Allocation: Growth Portfolio                                                                         
CLASS Y                                                                                                           
------------------------------------------------------------------------------------------------------------------
                                    Six months                                                                    
                                       ended                                                                      
Per-share                            March 31                                                                     
operating performance               (Unaudited)                       Year ended September 30                     
------------------------------------------------------------------------------------------------------------------
                                        2001         2000         1999         1998         1997         1996     
------------------------------------------------------------------------------------------------------------------
                                                                                                                  
Net asset value,                                                                                                  
beginning of period                   $14.58       $14.44       $11.84       $13.72       $11.47       $10.09     
------------------------------------------------------------------------------------------------------------------
Investment operations                                                                                             
------------------------------------------------------------------------------------------------------------------
Net investment income (a)                .15          .32          .17          .18          .21          .21     
------------------------------------------------------------------------------------------------------------------
Net realized and unrealized                                                                                       
gain (loss) on investments             (1.80)        1.58         2.83        (1.07)        2.70         1.65     
------------------------------------------------------------------------------------------------------------------
Total from                                                                                                        
investment operations                  (1.65)        1.90         3.00         (.89)        2.91         1.86     
------------------------------------------------------------------------------------------------------------------
Less distributions:                                                                                               
------------------------------------------------------------------------------------------------------------------
From net                                                                                                          
investment income                       (.22)        (.20)        (.13)        (.16)        (.19)        (.21)    
------------------------------------------------------------------------------------------------------------------
From net realized gain                                                                                            
on investments                         (2.63)       (1.56)        (.27)        (.83)        (.47)        (.27)    
------------------------------------------------------------------------------------------------------------------
Total distributions                    (2.85)       (1.76)        (.40)        (.99)        (.66)        (.48)    
------------------------------------------------------------------------------------------------------------------
Net asset value,                                                                                                  
end of period                         $10.08       $14.58       $14.44       $11.84       $13.72       $11.47     
------------------------------------------------------------------------------------------------------------------
Total return at                                                                                                   
net asset value (%)(b)                (13.08)*      13.14        25.76        (6.79)       26.54        19.20     
------------------------------------------------------------------------------------------------------------------

Ratios and supplemental data                                                                                      
------------------------------------------------------------------------------------------------------------------
Net assets, end of period                                                                                         
(in thousands)                      $518,652     $488,376     $386,363     $203,595     $233,292      $58,301     
------------------------------------------------------------------------------------------------------------------
Ratio of expenses to                                                                                              
average net assets (%)(c)                .51*         .93          .96         1.06         1.14         1.21     
------------------------------------------------------------------------------------------------------------------
Ratio of net investment income                                                                                    
to average net assets (%)               1.28*        2.13         1.24         1.40         1.71         1.97     
------------------------------------------------------------------------------------------------------------------
Portfolio turnover (%)                 50.02*      155.18       105.11       146.58        99.96       100.93     
------------------------------------------------------------------------------------------------------------------

  * Not annualized                                                                                                

(a) Per share net investment income has been determined on the basis                                              
    of the weighted average number of shares outstanding during the period.                                       

(b) Total return assumes dividend reinvestment and does not reflect                                               
    the effect of sales charges.                                                                                  

(c) Includes amounts paid through expense offset arrangements (Note 2).                                           


                                                        [Enlarge/Download Table]


STATEMENT OF ASSETS AND LIABILITIES                                                                

Putnam Asset Allocation: Balanced Portfolio                                                        
March 31, 2001 (Unaudited)                                                                         
                                                                                                   
Assets                                                                                             
-------------------------------------------------------------------------------------------------- 
Investments in securities, at value                                                                
(identified cost $2,857,033,642) (Note 1)                                           $2,742,841,698 
-------------------------------------------------------------------------------------------------- 
Cash                                                                                     1,337,342 
-------------------------------------------------------------------------------------------------- 
Foreign currency (cost $16,458,459)                                                     15,746,188 
-------------------------------------------------------------------------------------------------- 
Dividends, interest and other receivables                                               14,336,785 
-------------------------------------------------------------------------------------------------- 
Receivable for shares of the fund sold                                                   5,950,756 
-------------------------------------------------------------------------------------------------- 
Receivable for securities sold                                                          86,234,336 
-------------------------------------------------------------------------------------------------- 
Receivable for closed forward currency contracts (Note 1)                                1,634,719 
-------------------------------------------------------------------------------------------------- 
Receivable for open forward currency contracts (Note 1)                                 17,784,973 
-------------------------------------------------------------------------------------------------- 
Receivable for variation margin (Note 1)                                                    72,629 
-------------------------------------------------------------------------------------------------- 
Total assets                                                                         2,885,939,426 

Liabilities                                                                                        
-------------------------------------------------------------------------------------------------- 
Distributions payable to shareholders                                                       89,146 
-------------------------------------------------------------------------------------------------- 
Payable for securities purchased                                                       150,907,885 
-------------------------------------------------------------------------------------------------- 
Payable for shares of the fund repurchased                                               3,937,036 
-------------------------------------------------------------------------------------------------- 
Payable for compensation of Manager (Note 2)                                             3,836,999 
-------------------------------------------------------------------------------------------------- 
Payable for investor servicing and custodian fees (Note 2)                               1,065,212 
-------------------------------------------------------------------------------------------------- 
Payable for compensation of Trustees (Note 2)                                               49,362 
-------------------------------------------------------------------------------------------------- 
Payable for administrative services (Note 2)                                                 7,031 
-------------------------------------------------------------------------------------------------- 
Payable for distribution fees (Note 2)                                                   1,393,469 
-------------------------------------------------------------------------------------------------- 
Payable for closed forward currency contracts (Note 1)                                     993,362 
-------------------------------------------------------------------------------------------------- 
Payable for open forward currency contracts (Note 1)                                    10,738,865 
-------------------------------------------------------------------------------------------------- 
Payable for open swap contracts (Note 1)                                                   348,477 
-------------------------------------------------------------------------------------------------- 
TBA sales commitments, at value                                                                    
(proceeds receivable $64,364,733) (Note 1)                                              64,060,798 
-------------------------------------------------------------------------------------------------- 
Other accrued expenses                                                                     291,776 
-------------------------------------------------------------------------------------------------- 
Total liabilities                                                                      237,719,418 
-------------------------------------------------------------------------------------------------- 
Net assets                                                                          $2,648,220,008 

Represented by                                                                                     
-------------------------------------------------------------------------------------------------- 
Paid-in capital (Notes 1 and 4)                                                     $2,886,048,176 
-------------------------------------------------------------------------------------------------- 
Distributions in excess of net investment income (Note 1)                              (17,894,108)
-------------------------------------------------------------------------------------------------- 
Accumulated net realized loss on investments                                                       
and foreign currency transactions (Note 1)                                             (97,806,012)
-------------------------------------------------------------------------------------------------- 
Net unrealized depreciation of investments and                                                     
assets and liabilities in foreign currencies                                          (122,128,048)
-------------------------------------------------------------------------------------------------- 
Total-- Representing net assets applicable to                                                      
capital shares outstanding                                                          $2,648,220,008 

Computation of net asset value and offering price                                                  
-------------------------------------------------------------------------------------------------- 
Net asset value and redemption price per class A share                                             
($1,339,024,215 divided by 134,534,546 shares)                                               $9.95 
-------------------------------------------------------------------------------------------------- 
Offering price per class A share (100/94.25 of $9.95)*                                      $10.56 
-------------------------------------------------------------------------------------------------- 
Net asset value and offering price per class B share                                               
($442,100,773 divided by 44,697,685 shares)**                                                $9.89 
-------------------------------------------------------------------------------------------------- 
Net asset value and offering price per class C share                                               
($131,054,479 divided by 13,346,974 shares)**                                                $9.82 
-------------------------------------------------------------------------------------------------- 
Net asset value and redemption price per class M share                                             
($60,884,208 divided by 6,129,653 shares)                                                    $9.93 
-------------------------------------------------------------------------------------------------- 
Offering price per class M share (100/96.50 of $9.93)*                                      $10.29 
-------------------------------------------------------------------------------------------------- 
Net asset value, offering price and redemption price per class Y share                             
($675,156,333 divided by 67,780,136 shares)                                                  $9.96 
-------------------------------------------------------------------------------------------------- 

  * 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.                     


                                                        [Enlarge/Download Table]


STATEMENT OF OPERATIONS                                                                           

Six months ended March 31, 2001 (Unaudited)                                                       
Putnam Asset Allocation: Balanced Portfolio                                                       
                                                                                                  
Investment income:                                                                                
--------------------------------------------------------------------------------------------------
Interest                                                                            $  38,312,295 
--------------------------------------------------------------------------------------------------
Dividends (net of foreign tax of $201,980)                                              9,562,259 
--------------------------------------------------------------------------------------------------
Total investment income                                                                47,874,554 

Expenses:                                                                                         
--------------------------------------------------------------------------------------------------
Compensation of Manager (Note 2)                                                        7,625,537 
--------------------------------------------------------------------------------------------------
Investor servicing and custodian fees (Note 2)                                          3,508,102 
--------------------------------------------------------------------------------------------------
Compensation of Trustees (Note 2)                                                          35,506 
--------------------------------------------------------------------------------------------------
Administrative services (Note 2)                                                           14,190 
--------------------------------------------------------------------------------------------------
Distribution fees-- Class A (Note 2)                                                    1,705,063 
--------------------------------------------------------------------------------------------------
Distribution fees-- Class B (Note 2)                                                    2,455,492 
--------------------------------------------------------------------------------------------------
Distribution fees-- Class C (Note 2)                                                      689,366 
--------------------------------------------------------------------------------------------------
Distribution fees-- Class M (Note 2)                                                      247,578 
--------------------------------------------------------------------------------------------------
Other                                                                                     509,484 
--------------------------------------------------------------------------------------------------
Total expenses                                                                         16,790,318 
--------------------------------------------------------------------------------------------------
Expense reduction (Note 2)                                                               (605,716)
--------------------------------------------------------------------------------------------------
Net expenses                                                                           16,184,602 
--------------------------------------------------------------------------------------------------
Net investment income                                                                  31,689,952 
--------------------------------------------------------------------------------------------------
Net realized loss on investments (Notes 1 and 3)                                      (57,577,121)
--------------------------------------------------------------------------------------------------
Net realized loss on futures contracts (Note 1)                                       (27,290,919)
--------------------------------------------------------------------------------------------------
Net realized loss on foreign currency transactions (Note 1)                            (1,677,412)
--------------------------------------------------------------------------------------------------
Net realized gain on swap contracts (Note 1)                                           12,762,279 
--------------------------------------------------------------------------------------------------
Net unrealized appreciation of assets and liabilities in                                          
foreign currencies during the period                                                    8,147,243 
--------------------------------------------------------------------------------------------------
Net unrealized depreciation of investments, futures contracts,                                    
swap contracts and TBA sale commitments during the period                            (294,053,075)
--------------------------------------------------------------------------------------------------
Net loss on investments                                                              (359,689,005)
--------------------------------------------------------------------------------------------------
Net decrease in net assets resulting from operations                                $(327,999,053)
--------------------------------------------------------------------------------------------------

The accompanying notes are an integral part of these financial statements.                        


                                                        [Enlarge/Download Table]


STATEMENT OF CHANGES IN NET ASSETS                                                                 

Putnam Asset Allocation: Balanced Portfolio                                                        
                                                               Six months ended         Year ended 
                                                                       March 31       September 30 
                                                                          2001*               2000 
-------------------------------------------------------------------------------------------------- 
                                                                                                   
Increase (decrease) in net assets                                                                  
-------------------------------------------------------------------------------------------------- 
Operations:                                                                                        
-------------------------------------------------------------------------------------------------- 
Net investment income                                            $   31,689,952     $   52,648,388 
-------------------------------------------------------------------------------------------------- 
Net realized gain (loss) on investments and                                                        
foreign currency transactions                                       (73,783,173)       297,785,786 
-------------------------------------------------------------------------------------------------- 
Net unrealized depreciation of investments and                                                     
assets and liabilities in foreign currencies                       (285,905,832)       (22,504,619)
-------------------------------------------------------------------------------------------------- 
Net increase (decrease) in net assets resulting                                                    
from operations                                                    (327,999,053)       327,929,555 
-------------------------------------------------------------------------------------------------- 
Distributions to shareholders (Note 1):                                                            
-------------------------------------------------------------------------------------------------- 
  From net investment income                                                                       
    Class A                                                         (31,001,703)       (22,163,223)
-------------------------------------------------------------------------------------------------- 
    Class B                                                          (9,406,163)        (7,115,666)
-------------------------------------------------------------------------------------------------- 
    Class C                                                          (2,575,146)        (1,713,203)
-------------------------------------------------------------------------------------------------- 
    Class M                                                          (1,333,989)        (1,065,211)
-------------------------------------------------------------------------------------------------- 
    Class Y                                                         (14,744,868)       (11,498,180)
-------------------------------------------------------------------------------------------------- 
  From net realized gain on investments                                                            
    Class A                                                        (157,292,476)       (66,297,566)
-------------------------------------------------------------------------------------------------- 
    Class B                                                         (58,819,999)       (41,791,913)
-------------------------------------------------------------------------------------------------- 
    Class C                                                         (15,779,441)        (9,236,973)
-------------------------------------------------------------------------------------------------- 
    Class M                                                          (7,755,159)        (4,918,496)
-------------------------------------------------------------------------------------------------- 
    Class Y                                                         (67,585,134)       (34,117,109)
-------------------------------------------------------------------------------------------------- 
Increase from capital share transactions (Note 4)                   632,339,885        557,354,934 
-------------------------------------------------------------------------------------------------- 
Total increase (decrease) in net assets                             (61,953,246)       685,366,949 

Net assets                                                                                         
-------------------------------------------------------------------------------------------------- 
Beginning of period                                               2,710,173,254      2,024,806,305 
-------------------------------------------------------------------------------------------------- 
End of period (including distributions in excess of and                                            
undistributed net investment income of $17,894,108                                                 
and $9,477,809, respectively)                                    $2,648,220,008     $2,710,173,254 
-------------------------------------------------------------------------------------------------- 

* Unaudited                                                                                        

  The accompanying notes are an integral part of these financial statements.                       


                                                        [Enlarge/Download Table]


FINANCIAL HIGHLIGHTS                                                                                              
(For a share outstanding throughout the period)                                                                   

Putnam Asset Allocation: Balanced Portfolio                                                                       
CLASS A                                                                                                           
------------------------------------------------------------------------------------------------------------------
                                    Six months                                                                    
                                      ended                                                                       
Per-share                            March 31                                                                     
operating performance              (Unaudited)                       Year ended September 30                      
------------------------------------------------------------------------------------------------------------------
                                        2001         2000         1999         1998         1997         1996     
------------------------------------------------------------------------------------------------------------------
                                                                                                                  
Net asset value,                                                                                                  
beginning of period                   $12.99       $12.28       $10.66       $12.28       $10.71        $9.67     
------------------------------------------------------------------------------------------------------------------
Investment operations                                                                                             
------------------------------------------------------------------------------------------------------------------
Net investment income (a)                .14          .31          .23          .26          .28          .29     
------------------------------------------------------------------------------------------------------------------
Net realized and unrealized                                                                                       
gain (loss) on investments             (1.47)        1.59         1.78         (.84)        2.13         1.32     
------------------------------------------------------------------------------------------------------------------
Total from                                                                                                        
investment operations                  (1.33)        1.90         2.01         (.58)        2.41         1.61     
------------------------------------------------------------------------------------------------------------------
Less distributions:                                                                                               
------------------------------------------------------------------------------------------------------------------
From net                                                                                                          
investment income                       (.27)        (.26)        (.21)        (.18)        (.31)        (.28)    
------------------------------------------------------------------------------------------------------------------
From net realized gain                                                                                            
on investments                         (1.44)        (.93)        (.18)        (.86)        (.53)        (.29)    
------------------------------------------------------------------------------------------------------------------
Total distributions                    (1.71)       (1.19)        (.39)       (1.04)        (.84)        (.57)    
------------------------------------------------------------------------------------------------------------------
Net asset value,                                                                                                  
end of period                          $9.95       $12.99       $12.28       $10.66       $12.28       $10.71     
------------------------------------------------------------------------------------------------------------------
Total return at                                                                                                   
net asset value (%)(b)                (11.27)*      15.88        19.09        (4.97)       23.82        17.41     
------------------------------------------------------------------------------------------------------------------

Ratios and supplemental data                                                                                      
------------------------------------------------------------------------------------------------------------------
Net assets, end of period                                                                                         
(in thousands)                    $1,339,024   $1,377,302     $873,219     $846,574     $680,720     $327,326     
------------------------------------------------------------------------------------------------------------------
Ratio of expenses to                                                                                              
average net assets (%)(c)                .56*        1.09         1.14         1.22         1.27         1.33     
------------------------------------------------------------------------------------------------------------------
Ratio of net investment income                                                                                    
to average net assets (%)               1.23*        2.37         1.89         2.17         2.44         2.83     
------------------------------------------------------------------------------------------------------------------
Portfolio turnover (%)                 67.04*      182.86       119.70       158.14       136.75       122.12     
------------------------------------------------------------------------------------------------------------------

  * Not annualized                                                                                                

(a) Per share net investment income has been determined on the basis                                              
    of the weighted average number of shares outstanding during the period.                                       

(b) Total return assumes dividend reinvestment and does not reflect                                               
    the effect of sales charges.                                                                                  

(c) Includes amounts paid through expense offset arrangements (Note 2).                                           


                                                        [Enlarge/Download Table]


FINANCIAL HIGHLIGHTS                                                                                              
(For a share outstanding throughout the period)                                                                   

Putnam Asset Allocation: Balanced Portfolio                                                                       
CLASS B                                                                                                           
------------------------------------------------------------------------------------------------------------------
                                    Six months                                                                    
                                       ended                                                                      
Per-share                            March 31                                                                     
operating performance               (Unaudited)                       Year ended September 30                     
------------------------------------------------------------------------------------------------------------------
                                        2001         2000         1999         1998         1997         1996     
------------------------------------------------------------------------------------------------------------------
                                                                                                                  
Net asset value,                                                                                                  
beginning of period                   $12.92       $12.22       $10.61       $12.23       $10.67        $9.64     
------------------------------------------------------------------------------------------------------------------
Investment operations                                                                                             
------------------------------------------------------------------------------------------------------------------
Net investment income (a)                .10          .20          .14          .17          .19          .21     
------------------------------------------------------------------------------------------------------------------
Net realized and unrealized                                                                                       
gain (loss) on investments             (1.46)        1.59         1.78         (.83)        2.13         1.32     
------------------------------------------------------------------------------------------------------------------
Total from                                                                                                        
investment operations                  (1.36)        1.79         1.92         (.66)        2.32         1.53     
------------------------------------------------------------------------------------------------------------------
Less distributions:                                                                                               
------------------------------------------------------------------------------------------------------------------
From net                                                                                                          
investment income                       (.23)        (.16)        (.13)        (.10)        (.23)        (.21)    
------------------------------------------------------------------------------------------------------------------
From net realized gain                                                                                            
on investments                         (1.44)        (.93)        (.18)        (.86)        (.53)        (.29)    
------------------------------------------------------------------------------------------------------------------
Total distributions                    (1.67)       (1.09)        (.31)        (.96)        (.76)        (.50)    
------------------------------------------------------------------------------------------------------------------
Net asset value,                                                                                                  
end of period                          $9.89       $12.92       $12.22       $10.61       $12.23       $10.67     
------------------------------------------------------------------------------------------------------------------
Total return at                                                                                                   
net asset value (%)(b)                (11.62)*      15.01        18.22        (5.70)       22.95        16.54     
------------------------------------------------------------------------------------------------------------------

Ratios and supplemental data                                                                                      
------------------------------------------------------------------------------------------------------------------
Net assets, end of period                                                                                         
(in thousands)                      $442,101     $535,663     $553,738     $482,029     $442,463     $264,830     
------------------------------------------------------------------------------------------------------------------
Ratio of expenses to                                                                                              
average net assets (%)(c)                .93*        1.84         1.89         1.97         2.02         2.08     
------------------------------------------------------------------------------------------------------------------
Ratio of net investment income                                                                                    
to average net assets (%)                .85*        1.56         1.13         1.42         1.70         2.08     
------------------------------------------------------------------------------------------------------------------
Portfolio turnover (%)                 67.04*      182.86       119.70       158.14       136.75       122.12     
------------------------------------------------------------------------------------------------------------------

  * Not annualized                                                                                                

(a) Per share net investment income has been determined on the basis                                              
    of the weighted average number of shares outstanding during the period.                                       

(b) Total return assumes dividend reinvestment and does not reflect                                               
    the effect of sales charges.                                                                                  

(c) Includes amounts paid through expense offset arrangements (Note 2).                                           


                                                        [Enlarge/Download Table]


FINANCIAL HIGHLIGHTS                                                                                              
(For a share outstanding throughout the period)                                                                   

Putnam Asset Allocation: Balanced Portfolio                                                                       
CLASS C                                                                                                           
------------------------------------------------------------------------------------------------------------------
                                    Six months                                                                    
                                      ended                                                                       
Per-share                           March 31                                                                      
operating performance              (Unaudited)                       Year ended September 30                      
------------------------------------------------------------------------------------------------------------------
                                        2001         2000         1999         1998         1997         1996     
------------------------------------------------------------------------------------------------------------------
                                                                                                                  
Net asset value,                                                                                                  
beginning of period                   $12.83       $12.15       $10.56       $12.18       $10.64        $9.62     
------------------------------------------------------------------------------------------------------------------
Investment operations                                                                                             
------------------------------------------------------------------------------------------------------------------
Net investment income (a)                .10          .20          .13          .16          .19          .22     
------------------------------------------------------------------------------------------------------------------
Net realized and unrealized                                                                                       
gain (loss) on investments             (1.44)        1.57         1.77         (.82)        2.11         1.30     
------------------------------------------------------------------------------------------------------------------
Total from                                                                                                        
investment operations                  (1.34)        1.77         1.90         (.66)        2.30         1.52     
------------------------------------------------------------------------------------------------------------------
Less distributions:                                                                                               
------------------------------------------------------------------------------------------------------------------
From net                                                                                                          
investment income                       (.23)        (.16)        (.13)        (.10)        (.23)        (.21)    
------------------------------------------------------------------------------------------------------------------
From net realized gain                                                                                            
on investments                         (1.44)        (.93)        (.18)        (.86)        (.53)        (.29)    
------------------------------------------------------------------------------------------------------------------
Total distributions                    (1.67)       (1.09)        (.31)        (.96)        (.76)        (.50)    
------------------------------------------------------------------------------------------------------------------
Net asset value,                                                                                                  
end of period                          $9.82       $12.83       $12.15       $10.56       $12.18       $10.64     
------------------------------------------------------------------------------------------------------------------
Total return at                                                                                                   
net asset value (%)(b)                (11.53)*      14.97        18.14        (5.70)       22.86        16.47     
------------------------------------------------------------------------------------------------------------------

Ratios and supplemental data                                                                                      
------------------------------------------------------------------------------------------------------------------
Net assets, end of period                                                                                         
(in thousands)                      $131,054     $142,761     $120,660      $94,553      $70,847      $29,724     
------------------------------------------------------------------------------------------------------------------
Ratio of expenses to                                                                                              
average net assets (%)(c)                .93*        1.84         1.89         1.97         2.02         2.09     
------------------------------------------------------------------------------------------------------------------
Ratio of net investment income                                                                                    
to average net assets (%)                .86*        1.58         1.12         1.41         1.70         2.18     
------------------------------------------------------------------------------------------------------------------
Portfolio turnover (%)                 67.04*      182.86       119.70       158.14       136.75       122.12     
------------------------------------------------------------------------------------------------------------------

  * Not annualized                                                                                                

(a) Per share net investment income has been determined on the basis                                              
    of the weighted average number of shares outstanding during the period.                                       

(b) Total return assumes dividend reinvestment and does not reflect                                               
    the effect of sales charges.                                                                                  

(c) Includes amounts paid through expense offset arrangements (Note 2).                                           


                                                        [Enlarge/Download Table]


FINANCIAL HIGHLIGHTS                                                                                              
(For a share outstanding throughout the period)                                                                   

Putnam Asset Allocation: Balanced Portfolio                                                                       
CLASS M                                                                                                           
------------------------------------------------------------------------------------------------------------------
                                    Six months                                                                    
                                       ended                                                                      
Per-share                            March 31                                                                     
operating performance               (Unaudited)                      Year ended September 30                      
------------------------------------------------------------------------------------------------------------------
                                        2001         2000         1999         1998         1997         1996     
------------------------------------------------------------------------------------------------------------------
                                                                                                                  
Net asset value,                                                                                                  
beginning of period                   $12.97       $12.26       $10.65       $12.27       $10.71        $9.66     
------------------------------------------------------------------------------------------------------------------
Investment operations                                                                                             
------------------------------------------------------------------------------------------------------------------
Net investment income (a)                .11          .24          .17          .20          .22          .24     
------------------------------------------------------------------------------------------------------------------
Net realized and unrealized                                                                                       
gain (loss) on investments             (1.47)        1.59         1.78         (.83)        2.13         1.34     
------------------------------------------------------------------------------------------------------------------
Total from                                                                                                        
investment operations                  (1.36)        1.83         1.95         (.63)        2.35         1.58     
------------------------------------------------------------------------------------------------------------------
Less distributions:                                                                                               
------------------------------------------------------------------------------------------------------------------
From net                                                                                                          
investment income                       (.24)        (.19)        (.16)        (.13)        (.26)        (.24)    
------------------------------------------------------------------------------------------------------------------
From net realized gain                                                                                            
on investments                         (1.44)        (.93)        (.18)        (.86)        (.53)        (.29)    
------------------------------------------------------------------------------------------------------------------
Total distributions                    (1.68)       (1.12)        (.34)        (.99)        (.79)        (.53)    
------------------------------------------------------------------------------------------------------------------
Net asset value,                                                                                                  
end of period                          $9.93       $12.97       $12.26       $10.65       $12.27       $10.71     
------------------------------------------------------------------------------------------------------------------
Total return at                                                                                                   
net asset value (%)(b)                (11.53)*      15.33        18.45        (5.46)       23.19        17.05     
------------------------------------------------------------------------------------------------------------------

Ratios and supplemental data                                                                                      
------------------------------------------------------------------------------------------------------------------
Net assets, end of period                                                                                         
(in thousands)                       $60,884      $70,757      $66,854      $55,511      $44,121      $14,967     
------------------------------------------------------------------------------------------------------------------
Ratio of expenses to                                                                                              
average net assets (%)(c)                .81*        1.59         1.64         1.72         1.77         1.84     
------------------------------------------------------------------------------------------------------------------
Ratio of net investment income                                                                                    
to average net assets (%)                .98*        1.84         1.38         1.67         1.93         2.42     
------------------------------------------------------------------------------------------------------------------
Portfolio turnover (%)                 67.04*      182.86       119.70       158.14       136.75       122.12     
------------------------------------------------------------------------------------------------------------------

  * Not annualized                                                                                                

(a) Per share net investment income has been determined on the basis                                              
    of the weighted average number of shares outstanding during the period.                                       

(b) Total return assumes dividend reinvestment and does not reflect                                               
    the effect of sales charges.                                                                                  

(c) Includes amounts paid through expense offset arrangements (Note 2).                                           


                                                        [Enlarge/Download Table]


FINANCIAL HIGHLIGHTS                                                                                              
(For a share outstanding throughout the period)                                                                   

Putnam Asset Allocation: Balanced Portfolio                                                                       
CLASS Y                                                                                                           
------------------------------------------------------------------------------------------------------------------
                                    Six months                                                                    
                                      ended                                                                       
Per-share                            March 31                                                                     
operating performance              (Unaudited)                       Year ended September 30                      
------------------------------------------------------------------------------------------------------------------
                                        2001         2000         1999         1998         1997         1996     
------------------------------------------------------------------------------------------------------------------
                                                                                                                  
Net asset value,                                                                                                  
beginning of period                   $13.00       $12.29       $10.67       $12.29       $10.71        $9.66     
------------------------------------------------------------------------------------------------------------------
Investment operations                                                                                             
------------------------------------------------------------------------------------------------------------------
Net investment income (a)                .16          .33          .26          .29          .31          .31     
------------------------------------------------------------------------------------------------------------------
Net realized and unrealized                                                                                       
gain (loss) on investments             (1.47)        1.60         1.78         (.84)        2.14         1.34     
------------------------------------------------------------------------------------------------------------------
Total from                                                                                                        
investment operations                  (1.31)        1.93         2.04         (.55)        2.45         1.65     
------------------------------------------------------------------------------------------------------------------
Less distributions:                                                                                               
------------------------------------------------------------------------------------------------------------------
From net                                                                                                          
investment income                       (.29)        (.29)        (.24)        (.21)        (.34)        (.31)    
------------------------------------------------------------------------------------------------------------------
From net realized gain                                                                                            
on investments                         (1.44)        (.93)        (.18)        (.86)        (.53)        (.29)    
------------------------------------------------------------------------------------------------------------------
Total distributions                    (1.73)       (1.22)        (.42)       (1.07)        (.87)        (.60)    
------------------------------------------------------------------------------------------------------------------
Net asset value,                                                                                                  
end of period                          $9.96       $13.00       $12.29       $10.67       $12.29       $10.71     
------------------------------------------------------------------------------------------------------------------
Total return at                                                                                                   
net asset value (%)(b)                (11.15)*      16.15        19.37        (4.74)       24.21        17.81     
------------------------------------------------------------------------------------------------------------------

Ratios and supplemental data                                                                                      
------------------------------------------------------------------------------------------------------------------
Net assets, end of period                                                                                         
(in thousands)                      $675,156     $583,691     $410,335     $216,100     $232,021     $126,482     
------------------------------------------------------------------------------------------------------------------
Ratio of expenses to                                                                                              
average net assets (%)(c)                .43*         .84          .89          .97         1.02         1.08     
------------------------------------------------------------------------------------------------------------------
Ratio of net investment income                                                                                    
to average net assets (%)               1.36*        2.58         2.10         2.43         2.70         3.03     
------------------------------------------------------------------------------------------------------------------
Portfolio turnover (%)                 67.04*      182.86       119.70       158.14       136.75       122.12     
------------------------------------------------------------------------------------------------------------------

  * Not annualized                                                                                                

(a) Per share net investment income has been determined on the basis                                              
    of the weighted average number of shares outstanding during the period.                                       

(b) Total return assumes dividend reinvestment and does not reflect                                               
    the effect of sales charges.                                                                                  

(c) Includes amounts paid through expense offset arrangements (Note 2).                                           


                                                        [Enlarge/Download Table]


STATEMENT OF ASSETS AND LIABILITIES                                                         

March 31, 2001 (Unaudited)                                                                  
Putnam Asset Allocation: Conservative Portfolio                                             
                                                                                            
Assets                                                                                      
------------------------------------------------------------------------------------------- 
Investments in securities, at value                                                         
(identified cost $1,080,158,811) (Note 1)                                    $1,049,869,477 
------------------------------------------------------------------------------------------- 
Cash                                                                                302,486 
------------------------------------------------------------------------------------------- 
Foreign currency (cost $3,696,457)                                                3,397,206 
------------------------------------------------------------------------------------------- 
Dividends, interest and other receivables                                        11,240,659 
------------------------------------------------------------------------------------------- 
Receivable for shares of the fund sold                                            2,044,445 
------------------------------------------------------------------------------------------- 
Receivable for securities sold                                                   62,103,718 
------------------------------------------------------------------------------------------- 
Receivable for closed forward currency contracts (Note 1)                           490,666 
------------------------------------------------------------------------------------------- 
Receivable for open forward currency contracts (Note 1)                           3,173,048 
------------------------------------------------------------------------------------------- 
Receivable for closed swap contracts (Note 1)                                       462,629 
------------------------------------------------------------------------------------------- 
Total assets                                                                  1,133,084,334 

Liabilities                                                                                 
------------------------------------------------------------------------------------------- 
Payable for variation margin (Note 1)                                               482,903 
------------------------------------------------------------------------------------------- 
Distributions payable to shareholders                                                50,847 
------------------------------------------------------------------------------------------- 
Payable for securities purchased                                                 91,779,984 
------------------------------------------------------------------------------------------- 
Payable for shares of the fund repurchased                                        1,392,503 
------------------------------------------------------------------------------------------- 
Payable for compensation of Manager (Note 2)                                      1,611,773 
------------------------------------------------------------------------------------------- 
Payable for investor servicing and custodian fees (Note 2)                          420,338 
------------------------------------------------------------------------------------------- 
Payable for compensation of Trustees (Note 2)                                        21,602 
------------------------------------------------------------------------------------------- 
Payable for administrative services (Note 2)                                          2,387 
------------------------------------------------------------------------------------------- 
Payable for distribution fees (Note 2)                                              526,855 
------------------------------------------------------------------------------------------- 
Payable for closed forward currency contracts (Note 1)                              368,088 
------------------------------------------------------------------------------------------- 
Payable for open forward currency contracts (Note 1)                              3,669,910 
------------------------------------------------------------------------------------------- 
Payable for open swap contracts (Note 1)                                             90,233 
------------------------------------------------------------------------------------------- 
TBA sales commitments, at value                                                             
(priceeds receivable $31,672,453) (Note 1)                                       31,524,754 
------------------------------------------------------------------------------------------- 
Other accrued expenses                                                              136,598 
------------------------------------------------------------------------------------------- 
Total liabilities                                                               132,078,775 
------------------------------------------------------------------------------------------- 
Net assets                                                                   $1,001,005,559 

Represented by                                                                              
------------------------------------------------------------------------------------------- 
Paid-in capital (Notes 1 and 4)                                              $1,049,480,004 
------------------------------------------------------------------------------------------- 
Undistributed net investment income (Note 1)                                      2,876,720 
------------------------------------------------------------------------------------------- 
Accumulated net realized loss on investments                                                
and foreign currency transactions (Note 1)                                      (19,087,267)
------------------------------------------------------------------------------------------- 
Net unrealized depreciation of investments and                                              
assets and liabilities in foreign currencies                                    (32,263,898)
------------------------------------------------------------------------------------------- 
Total -- Representing net assets applicable to                                              
capital shares outstanding                                                   $1,001,005,559 

Computation of net asset value and offering price                                           
------------------------------------------------------------------------------------------- 
Net asset value and redemption price per class A share                                      
($574,750,771 divided by 63,110,624 shares)                                           $9.11 
------------------------------------------------------------------------------------------- 
Offering price per class A share (100/94.25 of $9.11)*                                $9.67 
------------------------------------------------------------------------------------------- 
Net asset value and offering price per class B share                                        
($140,772,535 divided by 15,504,489 shares)**                                         $9.08 
------------------------------------------------------------------------------------------- 
Net asset value and offering price per class C share                                        
($41,545,884 divided by 4,588,323 shares)**                                           $9.05 
------------------------------------------------------------------------------------------- 
Net asset value and redemption price per class M share                                      
($23,221,347 divided by 2,558,693 shares)                                             $9.08 
------------------------------------------------------------------------------------------- 
Offering price per class M share (100/96.50 of $9.08)*                                $9.41 
------------------------------------------------------------------------------------------- 
Net asset value, offering price and redemption price per class Y share                      
($220,715,022 divided by 24,176,396 shares)                                           $9.13 
------------------------------------------------------------------------------------------- 

 * On single retail sales of less than $50,000. On sales of $50,000                         
   or more and on group sales, the offering price is reduced.                               

** Redemption price per share is equal to net asset value less any                          
   applicable contingent deferred sales charges.                                            

   The accompanying notes are an integral part of these financial statements.               


                                                        [Enlarge/Download Table]


STATEMENT OF OPERATIONS                                                                     

Six months ended March 31, 2001 (Unaudited)                                                 
Putnam Asset Allocation: Conservative Portfolio                                             
                                                                                            
Investment income:                                                                          
------------------------------------------------------------------------------------------- 
Interest income                                                                $ 28,433,622 
------------------------------------------------------------------------------------------- 
Dividends (net of foreign tax of $22,363)                                         1,667,393 
------------------------------------------------------------------------------------------- 
Total investment income                                                          30,101,015 

Expenses:                                                                                   
------------------------------------------------------------------------------------------- 
Compensation of Manager (Note 2)                                                  2,957,148 
------------------------------------------------------------------------------------------- 
Investor servicing and custodian fees (Note 2)                                    1,418,872 
------------------------------------------------------------------------------------------- 
Compensation of Trustees (Note 2)                                                     9,385 
------------------------------------------------------------------------------------------- 
Administrative services (Note 2)                                                      4,812 
------------------------------------------------------------------------------------------- 
Distribution fees -- Class A (Note 2)                                               603,869 
------------------------------------------------------------------------------------------- 
Distribution fees -- Class B (Note 2)                                               719,514 
------------------------------------------------------------------------------------------- 
Distribution fees -- Class C (Note 2)                                               207,382 
------------------------------------------------------------------------------------------- 
Distribution fees -- Class M (Note 2)                                                88,107 
------------------------------------------------------------------------------------------- 
Other                                                                               194,479 
------------------------------------------------------------------------------------------- 
Total expenses                                                                    6,203,568 
------------------------------------------------------------------------------------------- 
Expense reduction (Note 2)                                                         (281,854)
------------------------------------------------------------------------------------------- 
Net expenses                                                                      5,921,714 
------------------------------------------------------------------------------------------- 
Net investment income                                                            24,179,301 
------------------------------------------------------------------------------------------- 
Net realized loss on investments (Note 1 and 3)                                 (17,289,985)
------------------------------------------------------------------------------------------- 
Net realized loss on futures contracts (Notes 1)                                 (2,596,393)
------------------------------------------------------------------------------------------- 
Net realized gain on swap contracts (Note 1)                                      6,726,058 
------------------------------------------------------------------------------------------- 
Net realized loss on foreign currency transactions (Note 1)                      (2,929,413)
------------------------------------------------------------------------------------------- 
Net unrealized appreciation of assets and liabilities                                       
in foreign currencies during the period                                             180,445 
------------------------------------------------------------------------------------------- 
Net unrealized depreciation of investments, futures contracts,                              
swap contracts and TBA sale commitments during the period                       (26,930,087)
------------------------------------------------------------------------------------------- 
Net loss on investments                                                         (42,839,375)
------------------------------------------------------------------------------------------- 
Net decrease in net assets resulting from operations                           $(18,660,074)
------------------------------------------------------------------------------------------- 

The accompanying notes are an integral part of these financial statements.                  


                                                        [Enlarge/Download Table]


STATEMENT OF CHANGES IN NET ASSETS                                                                 

Putnam Asset Allocation: Conservative Portfolio                                                    
                                                                 Six months ended       Year ended 
                                                                         March 31     September 30 
                                                                            2001*             2000 
-------------------------------------------------------------------------------------------------- 
                                                                                                   
Increase in net assets                                                                             
-------------------------------------------------------------------------------------------------- 
Operations:                                                                                        
-------------------------------------------------------------------------------------------------- 
Net investment income                                              $   24,179,301     $ 32,909,727 
-------------------------------------------------------------------------------------------------- 
Net realized gain (loss) on investments and                                                        
foreign currency transactions                                         (16,089,733)      57,092,900 
-------------------------------------------------------------------------------------------------- 
Net unrealized depreciation of investments and                                                     
assets and liabilities in foreign currencies                          (26,749,642)     (29,712,225)
-------------------------------------------------------------------------------------------------- 
Net increase (decrease) in net assets                                                              
resulting from operations                                             (18,660,074)      60,290,402 
-------------------------------------------------------------------------------------------------- 
Distributions to shareholders (Note 1):                                                            
-------------------------------------------------------------------------------------------------- 
  From net investment income                                                                       
   Class A                                                            (20,201,142)     (14,757,033)
-------------------------------------------------------------------------------------------------- 
   Class B                                                             (6,364,269)      (5,637,499)
-------------------------------------------------------------------------------------------------- 
   Class C                                                             (1,847,194)      (1,576,843)
-------------------------------------------------------------------------------------------------- 
   Class M                                                             (1,070,686)        (866,030)
-------------------------------------------------------------------------------------------------- 
   Class Y                                                             (9,965,859)      (5,258,551)
-------------------------------------------------------------------------------------------------- 
  From net realized gain on investments                                                            
   Class A                                                            (25,211,547)     (13,824,003)
-------------------------------------------------------------------------------------------------- 
   Class B                                                             (9,276,639)      (6,780,121)
-------------------------------------------------------------------------------------------------- 
   Class C                                                             (2,687,672)      (2,046,426)
-------------------------------------------------------------------------------------------------- 
   Class M                                                             (1,512,172)        (970,249)
-------------------------------------------------------------------------------------------------- 
   Class Y                                                            (12,750,298)      (3,934,173)
-------------------------------------------------------------------------------------------------- 
Increase from capital share transactions (Note 4)                     281,118,891       65,333,749 
-------------------------------------------------------------------------------------------------- 
Total increase in net assets                                          171,571,339       69,973,223 

Net assets                                                                                         
-------------------------------------------------------------------------------------------------- 
Beginning of period                                                   829,434,220      759,460,997 
-------------------------------------------------------------------------------------------------- 
End of period (including undistributed net investment                                              
income of $2,876,720 and $18,146,569, respectively)                $1,001,005,559     $829,434,220 
-------------------------------------------------------------------------------------------------- 

* Unaudited                                                                                        

  The accompanying notes are an integral part of these financial statements.                       


                                                        [Enlarge/Download Table]


FINANCIAL HIGHLIGHTS                                                                                              
(For a share outstanding throughout the period)                                                                   

Putnam Asset Allocation: Conservative Portfolio                                                                   
CLASS A                                                                                                           
------------------------------------------------------------------------------------------------------------------
                                     Six months                                                                   
                                       ended                                                                      
Per-share                            March 31                                                                     
operating performance               (Unaudited)                      Year ended September 30                      
------------------------------------------------------------------------------------------------------------------
                                        2001         2000         1999         1998         1997         1996     
------------------------------------------------------------------------------------------------------------------
                                                                                                                  
Net asset value,                                                                                                  
beginning of period                   $10.45       $10.40        $9.81       $10.61        $9.69        $9.19     
------------------------------------------------------------------------------------------------------------------
Investment operations                                                                                             
------------------------------------------------------------------------------------------------------------------
Net investment income                    .27 (a)      .46 (a)      .34 (a)      .38 (a)      .38 (a)      .36     
------------------------------------------------------------------------------------------------------------------
Net realized and unrealized                                                                                       
gain (loss) on investments              (.47)         .37          .73         (.45)        1.22          .68     
------------------------------------------------------------------------------------------------------------------
Total from                                                                                                        
investment operations                   (.20)         .83         1.07         (.07)        1.60         1.04     
------------------------------------------------------------------------------------------------------------------
Less distributions:                                                                                               
------------------------------------------------------------------------------------------------------------------
From net                                                                                                          
investment income                       (.48)        (.40)        (.34)        (.20)        (.35)        (.36)    
------------------------------------------------------------------------------------------------------------------
In excess of net investment income        --           --         (.06)          --           --           --     
------------------------------------------------------------------------------------------------------------------
From net realized gain                                                                                            
on investments                          (.66)        (.38)        (.08)        (.43)        (.33)        (.18)    
------------------------------------------------------------------------------------------------------------------
In excess of net realized                                                                                         
gain on investments                       --           --           --         (.10)          --           --     
------------------------------------------------------------------------------------------------------------------
Total distributions                    (1.14)        (.78)        (.48)        (.73)        (.68)        (.54)    
------------------------------------------------------------------------------------------------------------------
Net asset value,                                                                                                  
end of period                          $9.11       $10.45       $10.40        $9.81       $10.61        $9.69     
------------------------------------------------------------------------------------------------------------------
Total return at                                                                                                   
net asset value (%)(b)                 (1.97)*       8.18        11.05         (.69)       17.26        11.73     
------------------------------------------------------------------------------------------------------------------

Ratios and supplemental data                                                                                      
------------------------------------------------------------------------------------------------------------------
Net assets, end of period                                                                                         
(in thousands)                      $574,751     $406,224     $373,313     $367,806     $295,239     $106,933     
------------------------------------------------------------------------------------------------------------------
Ratio of expenses to                                                                                              
average net assets (%)(c)                .63*        1.25         1.31         1.39         1.38         1.47     
------------------------------------------------------------------------------------------------------------------
Ratio of net investment income                                                                                    
to average net assets (%)               2.72*        4.37         3.25         3.67         3.74         4.08     
------------------------------------------------------------------------------------------------------------------
Portfolio turnover (%)                 59.81*      276.48       165.48       203.19       219.44       183.67     
------------------------------------------------------------------------------------------------------------------

  * Not annualized                                                                                                

(a) Per share net investment income has been determined on the basis                                              
    of the weighted average number of shares outstanding during the period.                                       

(b) Total return assumes dividend reinvestment and does not reflect                                               
    the effect of sales charges.                                                                                  

(c) Includes amounts paid through expense offset arrangements (Note 2).                                           


                                                        [Enlarge/Download Table]


FINANCIAL HIGHLIGHTS                                                                                              
(For a share outstanding throughout the period)                                                                   

Putnam Asset Allocation: Conservative Portfolio                                                                   
CLASS B                                                                                                           
------------------------------------------------------------------------------------------------------------------
                                    Six months                                                                    
                                       ended                                                                      
Per-share                            March 31                                                                     
operating performance               (Unaudited)                      Year ended September 30                      
------------------------------------------------------------------------------------------------------------------
                                        2001         2000         1999         1998         1997         1996     
------------------------------------------------------------------------------------------------------------------
                                                                                                                  
Net asset value,                                                                                                  
beginning of period                   $10.42       $10.37        $9.78       $10.57        $9.66        $9.16     
------------------------------------------------------------------------------------------------------------------
Investment operations                                                                                             
------------------------------------------------------------------------------------------------------------------
Net investment income                    .23 (a)      .37 (a)      .26 (a)      .30 (a)      .30 (a)      .29     
------------------------------------------------------------------------------------------------------------------
Net realized and unrealized                                                                                       
gain (loss) on investments              (.47)         .38          .73         (.43)        1.22          .68     
------------------------------------------------------------------------------------------------------------------
Total from                                                                                                        
investment operations                   (.24)         .75          .99         (.13)        1.52          .97     
------------------------------------------------------------------------------------------------------------------
Less distributions:                                                                                               
------------------------------------------------------------------------------------------------------------------
From net                                                                                                          
investment income                       (.44)        (.32)        (.26)        (.13)        (.28)        (.29)    
------------------------------------------------------------------------------------------------------------------
In excess of net investment income        --           --         (.06)          --           --           --     
------------------------------------------------------------------------------------------------------------------
From net realized gain                                                                                            
on investments                          (.66)        (.38)        (.08)        (.43)        (.33)        (.18)    
------------------------------------------------------------------------------------------------------------------
In excess of net realized                                                                                         
gain on investments                       --           --           --         (.10)          --           --     
------------------------------------------------------------------------------------------------------------------
Total distributions                    (1.10)        (.70)        (.40)        (.66)        (.61)        (.47)    
------------------------------------------------------------------------------------------------------------------
Net asset value,                                                                                                  
end of period                          $9.08       $10.42       $10.37        $9.78       $10.57        $9.66     
------------------------------------------------------------------------------------------------------------------
Total return at                                                                                                   
net asset value (%)(b)                 (2.37)*       7.40        10.29        (1.32)       16.36        10.96     
------------------------------------------------------------------------------------------------------------------

Ratios and supplemental data                                                                                      
------------------------------------------------------------------------------------------------------------------
Net assets, end of period                                                                                         
(in thousands)                      $140,773     $153,985     $187,112     $162,807     $138,457      $94,954     
------------------------------------------------------------------------------------------------------------------
Ratio of expenses to                                                                                              
average net assets (%)(c)               1.01*        2.00         2.06         2.14         2.13         2.22     
------------------------------------------------------------------------------------------------------------------
Ratio of net investment income                                                                                    
to average net assets (%)               2.35*        3.57         2.50         2.92         2.97         3.33     
------------------------------------------------------------------------------------------------------------------
Portfolio turnover (%)                 59.81*      276.48       165.48       203.19       219.44       183.67     
------------------------------------------------------------------------------------------------------------------

  * Not annualized                                                                                                

(a) Per share net investment income has been determined on the basis                                              
    of the weighted average number of shares outstanding during the period.                                       

(b) Total return assumes dividend reinvestment and does not reflect                                               
    the effect of sales charges.                                                                                  

(c) Includes amounts paid through expense offset arrangements (Note 2).                                           


                                                        [Enlarge/Download Table]


FINANCIAL HIGHLIGHTS                                                                                              
(For a share outstanding throughout the period)                                                                   

Putnam Asset Allocation: Conservative Portfolio                                                                   
CLASS C                                                                                                           
------------------------------------------------------------------------------------------------------------------
                                    Six months                                                                    
                                       ended                                                                      
Per-share                            March 31                                                                     
operating performance               (Unaudited)                       Year ended September 30                     
------------------------------------------------------------------------------------------------------------------
                                        2001         2000         1999         1998         1997         1996     
------------------------------------------------------------------------------------------------------------------
                                                                                                                  
Net asset value,                                                                                                  
beginning of period                   $10.39       $10.34        $9.75       $10.56        $9.64        $9.15     
------------------------------------------------------------------------------------------------------------------
Investment operations                                                                                             
------------------------------------------------------------------------------------------------------------------
Net investment income                    .23 (a)      .36 (a)      .26 (a)      .30 (a)      .29 (a)      .30     
------------------------------------------------------------------------------------------------------------------
Net realized and unrealized                                                                                       
gain (loss) on investments              (.47)         .39          .74         (.45)        1.24          .66     
------------------------------------------------------------------------------------------------------------------
Total from                                                                                                        
investment operations                   (.24)         .75         1.00         (.15)        1.53          .96     
------------------------------------------------------------------------------------------------------------------
Less distributions:                                                                                               
------------------------------------------------------------------------------------------------------------------
From net                                                                                                          
investment income                       (.44)        (.32)        (.26)        (.13)        (.28)        (.29)    
------------------------------------------------------------------------------------------------------------------
In excess of net investment income        --           --         (.07)          --           --           --     
------------------------------------------------------------------------------------------------------------------
From net realized gain                                                                                            
on investments                          (.66)        (.38)        (.08)        (.43)        (.33)        (.18)    
------------------------------------------------------------------------------------------------------------------
In excess of net realized                                                                                         
gain on investments                       --           --           --         (.10)          --           --     
------------------------------------------------------------------------------------------------------------------
Total distributions                    (1.10)        (.70)        (.41)        (.66)        (.61)        (.47)    
------------------------------------------------------------------------------------------------------------------
Net asset value,                                                                                                  
end of period                          $9.05       $10.39       $10.34        $9.75       $10.56        $9.64     
------------------------------------------------------------------------------------------------------------------
Total return at                                                                                                   
net asset value (%)(b)                 (2.36)*       7.39        10.34        (1.51)       16.52        10.86     
------------------------------------------------------------------------------------------------------------------

Ratios and supplemental data                                                                                      
------------------------------------------------------------------------------------------------------------------
Net assets, end of period                                                                                         
(in thousands)                       $41,546      $41,846      $58,831      $45,740      $29,032      $16,326     
------------------------------------------------------------------------------------------------------------------
Ratio of expenses to                                                                                              
average net assets (%)(c)               1.01*        2.00         2.06         2.14         2.13         2.22     
------------------------------------------------------------------------------------------------------------------
Ratio of net investment income                                                                                    
to average net assets (%)               2.35*        3.51         2.50         2.93         2.96         3.30     
------------------------------------------------------------------------------------------------------------------
Portfolio turnover (%)                 59.81*      276.48       165.48       203.19       219.44       183.67     
------------------------------------------------------------------------------------------------------------------

  * Not annualized                                                                                                

(a) Per share net investment income has been determined on the basis                                              
    of the weighted average number of shares outstanding during the period.                                       

(b) Total return assumes dividend reinvestment and does not reflect                                               
    the effect of sales charges.                                                                                  

(c) Includes amounts paid through expense offset arrangements (Note 2).                                           


                                                        [Enlarge/Download Table]


FINANCIAL HIGHLIGHTS                                                                                              
(For a share outstanding throughout the period)                                                                   

Putnam Asset Allocation: Conservative Portfolio                                                                   
CLASS M                                                                                                           
------------------------------------------------------------------------------------------------------------------
                                    Six months                                                                    
                                       ended                                                                      
Per-share                            March 31                                                                     
operating performance               (Unaudited)                      Year ended September 30                      
------------------------------------------------------------------------------------------------------------------
                                        2001         2000         1999         1998         1997         1996     
------------------------------------------------------------------------------------------------------------------
                                                                                                                  
Net asset value,                                                                                                  
beginning of period                   $10.42       $10.37        $9.78       $10.59        $9.67        $9.18     
------------------------------------------------------------------------------------------------------------------
Investment operations                                                                                             
------------------------------------------------------------------------------------------------------------------
Net investment income                    .24 (a)      .40 (a)      .29 (a)      .33 (a)      .32 (a)      .33     
------------------------------------------------------------------------------------------------------------------
Net realized and unrealized                                                                                       
gain (loss) on investments              (.47)         .38          .73         (.46)        1.24          .66     
------------------------------------------------------------------------------------------------------------------
Total from                                                                                                        
investment operations                   (.23)         .78         1.02         (.13)        1.56          .99     
------------------------------------------------------------------------------------------------------------------
Less distributions:                                                                                               
------------------------------------------------------------------------------------------------------------------
From net                                                                                                          
investment income                       (.45)        (.35)        (.29)        (.15)        (.31)        (.32)    
------------------------------------------------------------------------------------------------------------------
In excess of net investment income        --           --         (.06)          --           --           --     
------------------------------------------------------------------------------------------------------------------
From net realized gain                                                                                            
on investments                          (.66)        (.38)        (.08)        (.43)        (.33)        (.18)    
------------------------------------------------------------------------------------------------------------------
In excess of net realized                                                                                         
gain on investments                       --           --           --         (.10)          --           --     
------------------------------------------------------------------------------------------------------------------
Total distributions                    (1.11)        (.73)        (.43)        (.68)        (.64)        (.50)    
------------------------------------------------------------------------------------------------------------------
Net asset value,                                                                                                  
end of period                          $9.08       $10.42       $10.37        $9.78       $10.59        $9.67     
------------------------------------------------------------------------------------------------------------------
Total return at                                                                                                   
net asset value (%)(b)                 (2.22)*       7.66        10.56        (1.27)       16.80        11.17     
------------------------------------------------------------------------------------------------------------------

Ratios and supplemental data                                                                                      
------------------------------------------------------------------------------------------------------------------
Net assets, end of period                                                                                         
(in thousands)                       $23,221      $24,869      $29,373      $18,868      $12,689       $4,622     
------------------------------------------------------------------------------------------------------------------
Ratio of expenses to                                                                                              
average net assets (%)(c)                .88*        1.75         1.81         1.89         1.88         1.96     
------------------------------------------------------------------------------------------------------------------
Ratio of net investment income                                                                                    
to average net assets (%)               2.47*        3.82         2.77         3.17         3.19         3.60     
------------------------------------------------------------------------------------------------------------------
Portfolio turnover (%)                 59.81*      276.48       165.48       203.19       219.44       183.67     
------------------------------------------------------------------------------------------------------------------

  * Not annualized                                                                                                

(a) Per share net investment income has been determined on the basis                                              
    of the weighted average number of shares outstanding during the period.                                       

(b) Total return assumes dividend reinvestment and does not reflect                                               
    the effect of sales charges.                                                                                  

(c) Includes amounts paid through expense offset arrangements (Note 2).                                           


                                                        [Enlarge/Download Table]


FINANCIAL HIGHLIGHTS                                                                                              
(For a share outstanding throughout the period)                                                                   

Putnam Asset Allocation: Conservative Portfolio                                                                   
CLASS Y                                                                                                           
------------------------------------------------------------------------------------------------------------------
                                    Six months                                                                    
                                      ended                                                                       
Per-share                            March 31                                                                     
operating performance              (Unaudited)                        Year ended September 30                     
------------------------------------------------------------------------------------------------------------------
                                        2001         2000         1999         1998         1997         1996     
------------------------------------------------------------------------------------------------------------------
                                                                                                                  
Net asset value,                                                                                                  
beginning of period                   $10.47       $10.42        $9.82       $10.62        $9.69        $9.19     
------------------------------------------------------------------------------------------------------------------
Investment operations                                                                                             
------------------------------------------------------------------------------------------------------------------
Net investment income                    .28 (a)      .51 (a)      .36 (a)      .41 (a)      .40 (a)      .38     
------------------------------------------------------------------------------------------------------------------
Net realized and unrealized                                                                                       
gain (loss) on investments              (.47)         .35          .75         (.45)        1.23          .68     
------------------------------------------------------------------------------------------------------------------
Total from                                                                                                        
investment operations                   (.19)         .86         1.11         (.04)        1.63         1.06     
------------------------------------------------------------------------------------------------------------------
Less distributions:                                                                                               
------------------------------------------------------------------------------------------------------------------
From net                                                                                                          
investment income                       (.49)        (.43)        (.36)        (.23)        (.37)        (.38)    
------------------------------------------------------------------------------------------------------------------
In excess of net investment income        --           --         (.07)          --           --           --     
------------------------------------------------------------------------------------------------------------------
From net realized gain                                                                                            
on investments                          (.66)        (.38)        (.08)        (.43)        (.33)        (.18)    
------------------------------------------------------------------------------------------------------------------
In excess of net realized                                                                                         
gain on investments                       --           --           --         (.10)          --           --     
------------------------------------------------------------------------------------------------------------------
Total distributions                    (1.15)        (.81)        (.51)        (.76)        (.70)        (.56)    
------------------------------------------------------------------------------------------------------------------
Net asset value,                                                                                                  
end of period                          $9.13       $10.47       $10.42        $9.82       $10.62        $9.69     
------------------------------------------------------------------------------------------------------------------
Total return at                                                                                                   
net asset value (%)(b)                 (1.84)*       8.43        11.42        (0.44)       17.62        11.99     
------------------------------------------------------------------------------------------------------------------

Ratios and supplemental data                                                                                      
------------------------------------------------------------------------------------------------------------------
Net assets, end of period                                                                                         
(in thousands)                      $220,715     $202,510     $110,831      $26,253      $18,760       $6,025     
------------------------------------------------------------------------------------------------------------------
Ratio of expenses to                                                                                              
average net assets (%)(c)                .51*        1.00         1.06         1.14         1.13         1.22     
------------------------------------------------------------------------------------------------------------------
Ratio of net investment income                                                                                    
to average net assets (%)               2.85*        4.84         3.50         3.93         3.96         4.45     
------------------------------------------------------------------------------------------------------------------
Portfolio turnover (%)                 59.81*      276.48       165.48       203.19       219.44       183.67     
------------------------------------------------------------------------------------------------------------------

  * Not annualized                                                                                                

(a) Per share net investment income has been determined on the basis                                              
    of the weighted average number of shares outstanding during the period.                                       

(b) Total return assumes dividend reinvestment and does not reflect                                               
    the effect of sales charges.                                                                                  

(c) Includes amounts paid through expense offset arrangements (Note 2).                                           


NOTES TO FINANCIAL STATEMENTS                                                   
March 31, 2001 (Unaudited)                                                      

Note 1                                                                          
Significant Accounting Policies                                                 

Putnam Asset Allocation Funds (the "trust") is registered under the             
Investment Company Act of 1940, as amended, as a diversified, open-end          
management investment company which consists of a series of investment          
portfolios (the "funds"), each of which is represented by a separate            
series of shares of beneficial interest. The trust currently offers             
three funds: Growth Portfolio, Balanced Portfolio and Conservative              
Portfolio, whose objectives are to seek capital appreciation, total             
return and total return consistent with preservation of capital,                
respectively.                                                                   

The 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,           
LLC ("Putnam Management"), the funds's manager, a wholly-owned                  
subsidiary of Putnam Investments, LLC.                                          

Expenses of the funds are borne pro-rata by the holders of each class of        
shares, except that each class bears expenses unique to that class              
(including the distribution fees applicable to such class). Each class          
votes as a class only with respect to its own distribution plan or other        
matters on which a class vote is required by law or determined by the           
Trustees. Shares of each class would receive their pro-rata share of the        
net assets of the funds, if that funds 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 accounting principles generally accepted in the United States of           
America and requires management to make estimates and assumptions that          
affect the reported amounts of assets and liabilities in 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 an independent 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, TBA purchase commitments, TBA sale commitments and swap              
contracts.                                                                      

B) Joint trading Pursuant to an exemptive order issued by the Securities        
and Exchange Commission, the funds may transfer uninvested cash balances        
into a joint trading account along with the cash of other registered            
investment companies and certain other accounts managed by Putnam               
Investment 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 funds 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 funds 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 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 does not isolate that portion of realized or unrealized gains         
or losses resulting from changes in the foreign exchange rate on                
investments from fluctuations arising from changes in the market prices         
of the securities. Such gains and losses are included with the net              
realized and unrealized gain or loss on investments. Net realized gains         
and losses on foreign currency transactions represent net realized              
exchange gains or losses on closed forward currency contracts,                  
disposition of foreign currencies and the difference between the amount         
of investment income and foreign withholding taxes recorded on the              
funds's books and the U.S. dollar equivalent amounts actually received          
or paid. Net unrealized appreciation and depreciation of assets and             
liabilities in foreign currencies arise from changes in the value of            
open forward currency contracts and assets and liabilities other than           
investments at the period end, resulting from changes in the exchange           
rate. Investments in foreign securities involve certain risks, including        
those related to economic instability, unfavorable political                    
developments, and currency fluctuations, not present with domestic              
investments.                                                                    

F) Forward currency contracts The funds may engage in forward currency          
contracts, which are agreements between two parties to buy and sell             
currencies at a set price on a future date. These contracts are used 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 funds          
intends to buy are denominated, when a funds holds cash reserves and            
short-term investments). The U.S. dollar value of forward currency              
contracts is determined using current forward currency exchange rates           
supplied by a quotation service. The market value of the contract will          
fluctuate with changes in currency exchange rates. The contract is              
"marked to market" daily and the change in market value is recorded as          
an unrealized gain or loss. When the contract is closed, the funds              
records a realized gain or loss equal to the difference between the             
value of the contract at the time it was opened and the value at the            
time it was closed. The funds could be exposed to risk if the value of          
the currency changes unfavorably, if the counterparties to the contracts        
are unable to meet the terms of their contracts or if the funds is              
unable to enter into a closing position.                                        

G) Futures and options contracts The funds may use futures and options          
contracts to hedge against changes in the values of securities the funds        
owns or expects to purchase. The funds may also write options on                
securities it owns or in which it may invest to increase its current            
returns. The potential risk to the funds is that the change in value of         
futures and options contracts may not correspond to the change in value         
of the hedged instruments. In addition, losses may arise from changes in        
the value of the underlying instruments, if there is an illiquid                
secondary market for the contracts, or if the counterparty to the               
contract is unable to perform. When the contract is closed, the 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 arrangements between two parties to exchange         
cash flows based on a notional principal amount. The funds may enter            
into interest rate swap agreements, to manage the funds 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. Payments made or received are included as           
part of interest income. Payments received or made upon early                   
termination are recorded as realized gain or loss. The funds 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 equity swap agreements,        
which are arrangements to exchange the return generated by one                  
instrument for the return generated by another instrument. To manage its        
exposure to equity markets the funds 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 principal               
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 funds 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 funds hold and maintain          
until settlement date, cash or high-grade debt obligations in an amount         
sufficient to meet the purchase price, or the funds may enter into              
offsetting contracts for the forward sale of other securities it owns.          
Income on the securities will not be earned until settlement date. TBA          
purchase commitments may be considered securities in themselves, and            
involve a risk of loss if the value of the security to be purchased             
declines prior to the settlement date, which risk is in addition to the         
risk of decline in the value of the funds's other assets. Unsettled TBA         
purchase commitments are valued at the current market value of the              
underlying securities, according to the procedures described under              
"Security valuation" above.                                                     

Although the funds will generally enter into TBA purchase commitments           
with the intention of acquiring securities for their portfolio or for           
delivery pursuant to options contracts it has entered into, the funds           
may dispose of a commitment prior to settlement if Putnam Management            
deems it appropriate to do so.                                                  

K) TBA sale commitments The funds may enter into TBA sale commitments to        
hedge its portfolio positions or to sell mortgage-backed securities it          
owns under delayed delivery arrangements. Proceeds of TBA sale                  
commitments are not received until the contractual settlement date.             
During the time a TBA sale commitment is outstanding, equivalent                
deliverable securities, or an offsetting TBA purchase commitment                
deliverable on or before the sale commitment date, are held as "cover"          
for the transaction.                                                            

Unsettled TBA sale commitments are valued at the current market value of        
the underlying securities, generally according to the procedures                
described under "Security valuation" above. The contract is                     
"marked-to-market" daily and the change in market value is recorded by          
the funds as an unrealized gain or loss. If the TBA sale commitment is          
closed through the acquisition of an offsetting purchase commitment, the        
funds realize a gain or loss. If the funds deliver securities under the         
commitment, the funds realize 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 funds maintain an asset coverage ratio of at least 300% and            
borrowings must not exceed prospectus limitations. For the six months           
ended March 31, 2001, 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 funds to                  
distribute an amount sufficient to avoid imposition of any excise tax           
under Section 4982 of the Internal Revenue Code of 1986, as amended.            
Therefore, no provision has been made for federal taxes on income,              
capital gains or unrealized appreciation on securities held nor for             
excise tax on income and capital gains.                                         

N) Distributions to shareholders Distributions to shareholders from net         
investment income are recorded by the funds on the ex-dividend date.            

Capital gain distributions, if any, are recorded on the ex-dividend date        
and paid at least annually. The amount and character of income and gains        
to be distributed are determined in accordance with income tax                  
regulations which may differ from generally accepted accounting                 
principles. Reclassifications are made to the funds's capital accounts          
to reflect income and gains available for distribution (or available            
capital loss carryovers) under income tax regulations.                          

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 funds, 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 funds reimburse Putnam Management an allocated amount for the               
compensation and related expenses of certain officers of the funds and          
their staff who provide administrative services to the funds. The               
aggregate amount of all such reimbursements is determined annually by           
the Trustees.                                                                   

Custodial functions for the funds' assets are provided by Putnam                
Fiduciary Trust Company (PFTC), a subsidiary of Putnam Investments, LLC.        
Investor servicing agent functions are provided by Putnam Investor              
Services, a division of PFTC.                                                   

The funds have entered into an arrangement with PFTC whereby credits            
realized as a result of uninvested cash balances are used to reduce a           
portion of the funds's expenses. The funds also reduced expenses through        
brokerage service arrangements. For the six months ended March 31, 2001,        
the funds' expenses were reduced by $466,563, $605,716, and $281,854            
(for Growth Portfolio, Balanced Portfolio, and Conservative Portfolio,          
respectively) under these arrangements.                                         

Each independent Trustee of the funds receives an annual Trustee fee, of        
which $1,739, $2,611, and $951 (for Growth Portfolio, Balanced                  
Portfolio, and Conservative Portfolio, respectively) has been allocated         
to the funds, and an additional fee for each Trustees meeting attended.         
Trustees receive additional fees for attendance at certain committee            
meetings.                                                                       

The funds 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.                                                              

The funds have adopted an unfunded noncontributory defined benefit              
pension plan (the "Pension Plan") covering all Trustees of the funds who        
have served as a Trustee for at least five years. Benefits under the            
Pension Plan are equal to 50% of the Trustee's average total retainer           
and meeting fees for the three years preceding retirement. Pension              
expense for the funds is included in Compensation of Trustees in the            
Statement of operations. Accrued pension liability is included in               
Payable for compensation of Trustees in the Statement of assets and             
liabilities.                                                                    

The funds have 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, a wholly-owned subsidiary of Putnam        
Investments, LLC and Putnam Retail Management GP, Inc. for services             
provided and expenses incurred by it in distributing shares of the              
funds. The Plans provide for payments by the funds to Putnam 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 six months ended March 31, 2001, Putnam Retail Management,              
acting as underwriter received net commissions of $259,507 and $11,892          
from the sale of class A and class M shares, respectively, and received         
$831,338 and $21,732 in contingent deferred sales charges from                  
redemptions of class B and class C shares, respectively. A deferred             
sales charge of up to 1% is assessed on certain redemptions of class A          
shares. For the six months ended March 31, 2001, Putnam Retail                  
Management, acting as underwriter received $4,502 on class A                    
redemptions.                                                                    

Note 3                                                                          
Purchases and sales of securities                                               

During the six months ended March 31, 2001, 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                                 $ 65,255,943        $ 67,647,377      
---------------------------------------------------------------------------     
Balanced                                                                        
Portfolio                                 $111,394,277        $117,923,150      
---------------------------------------------------------------------------     
Conservative                                                                    
Portfolio                                 $ 46,938,686        $ 48,932,684      
---------------------------------------------------------------------------     

                                                    Other Securities
---------------------------------------------------------------------------     
                                       Purchases               Sales
---------------------------------------------------------------------------     
Growth                                                                          
Portfolio                               $1,109,243,412      $  910,989,167      
---------------------------------------------------------------------------     
Balanced                                                                        
Portfolio                               $1,844,601,880      $1,425,028,108      
---------------------------------------------------------------------------     
Conservative                                                                    
Portfolio                               $  704,628,587      $  471,231,504      
---------------------------------------------------------------------------     

Note 4                                                                          
Capital shares                                                                  

At March 31, 2001, there was an unlimited number of shares of beneficial        
interest authorized. Transactions in capital shares were as follows:            

                                           Six months ended March 31
---------------------------------------------------------------------------     
Class A                                                               2001      
---------------------------------------------------------------------------     
Growth Portfolio                                Shares              Amount      
---------------------------------------------------------------------------     
Shares sold                                 14,131,262       $ 166,167,063      
---------------------------------------------------------------------------     
Shares issued in                                                                
connection with                                                                 
reinvestment of                                                                 
distributions                               14,433,341         158,911,085      
---------------------------------------------------------------------------     
Shares                                                                          
repurchased                                (10,146,870)       (119,411,354)     
---------------------------------------------------------------------------     
Net increase                                18,417,733       $ 205,666,794      
---------------------------------------------------------------------------     

                                             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      
---------------------------------------------------------------------------     

                                           Six months ended March 31
---------------------------------------------------------------------------     
Class B                                                               2001      
---------------------------------------------------------------------------     
Growth Portfolio                                Shares              Amount      
---------------------------------------------------------------------------     
Shares sold                                  3,536,253        $ 40,744,796      
---------------------------------------------------------------------------     
Shares issued in                                                                
connection with                                                                 
reinvestment of                                                                 
distributions                                7,558,894          82,014,002      
---------------------------------------------------------------------------     
Shares                                                                          
repurchased                                 (7,358,684)        (83,395,596)     
---------------------------------------------------------------------------     
Net increase                                 3,736,463        $ 39,363,202      
---------------------------------------------------------------------------     

                                             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)     
---------------------------------------------------------------------------     

                                           Six months ended March 31
---------------------------------------------------------------------------     
Class C                                                               2001      
---------------------------------------------------------------------------     
Growth Portfolio                                Shares              Amount      
---------------------------------------------------------------------------     
Shares sold                                  1,749,297        $ 20,374,357      
---------------------------------------------------------------------------     
Shares issued in                                                                
connection with                                                                 
reinvestment of                                                                 
distributions                                2,268,836          24,299,238      
---------------------------------------------------------------------------     
Shares                                                                          
repurchased                                 (1,746,741)        (19,907,980)     
---------------------------------------------------------------------------     
Net increase                                 2,271,392        $ 24,765,615      
---------------------------------------------------------------------------     

                                             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      
---------------------------------------------------------------------------     

                                           Six months ended March 31
---------------------------------------------------------------------------     
Class M                                                               2001      
---------------------------------------------------------------------------     
Growth Portfolio                                Shares              Amount      
---------------------------------------------------------------------------     
Shares sold                                    594,640        $  7,210,431      
---------------------------------------------------------------------------     
Shares issued in                                                                
connections with                                                                
reinvestment of                                                                 
distributions                                1,128,272          12,253,032      
---------------------------------------------------------------------------     
Shares                                                                          
repurchased                                   (798,779)         (9,389,733)     
---------------------------------------------------------------------------     
Net increase                                   924,133        $ 10,073,730      
---------------------------------------------------------------------------     

                                             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      
---------------------------------------------------------------------------     

                                           Six months ended March 31
---------------------------------------------------------------------------     
Class Y                                                               2001      
---------------------------------------------------------------------------     
Growth Portfolio                                Shares              Amount      
---------------------------------------------------------------------------     
Shares sold                                 17,073,171        $192,845,565      
---------------------------------------------------------------------------     
Shares issued in                                                                
connection with                                                                 
reinvestment of                                                                 
distributions                                8,761,761          97,081,542      
---------------------------------------------------------------------------     
Shares                                                                          
repurchased                                 (7,880,984)        (89,358,754)     
---------------------------------------------------------------------------     
Net increase                                17,953,948        $200,568,353      
---------------------------------------------------------------------------     

                                             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      
---------------------------------------------------------------------------     

                                           Six months ended March 31
---------------------------------------------------------------------------     
Class A                                                               2001      
---------------------------------------------------------------------------     
Balanced Portfolio                              Shares              Amount      
---------------------------------------------------------------------------     
Shares sold                                 27,884,615       $ 314,756,163      
---------------------------------------------------------------------------     
Shares issued in                                                                
connection with                                                                 
reinvestment of                                                                 
distributions                               17,119,120         185,920,316      
---------------------------------------------------------------------------     
Shares                                                                          
repurchased                                (16,480,722)       (186,457,063)     
---------------------------------------------------------------------------     
Net increase                                28,523,013       $ 314,219,416      
---------------------------------------------------------------------------     

                                             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      
---------------------------------------------------------------------------     

                                           Six months ended March 31
---------------------------------------------------------------------------     
Class B                                                               2001      
---------------------------------------------------------------------------     
Balanced Portfolio                              Shares              Amount      
---------------------------------------------------------------------------     
Shares sold                                  4,954,660        $ 55,047,375      
---------------------------------------------------------------------------     
Shares issued in                                                                
connection with                                                                 
reinvestment of                                                                 
distributions                                5,904,192          63,844,838      
---------------------------------------------------------------------------     
Shares                                                                          
repurchased                                 (7,612,198)        (83,991,161)     
---------------------------------------------------------------------------     
Net increase                                 3,246,654        $ 34,901,052      
---------------------------------------------------------------------------     

                                             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)     
---------------------------------------------------------------------------     

                                           Six months ended March 31
---------------------------------------------------------------------------     
Class C                                                               2001      
---------------------------------------------------------------------------     
Balanced Portfolio                              Shares              Amount      
---------------------------------------------------------------------------     
Shares sold                                  2,707,600        $ 29,674,866      
---------------------------------------------------------------------------     
Shares issued in                                                                
connection with                                                                 
reinvestment of                                                                 
distributions                                1,545,838          16,588,755      
---------------------------------------------------------------------------     
Shares                                                                          
repurchased                                 (2,030,296)        (22,676,856)     
---------------------------------------------------------------------------     
Net increase                                 2,223,142        $ 23,586,765      
---------------------------------------------------------------------------     

                                             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      
---------------------------------------------------------------------------     

                                           Six months ended March 31
---------------------------------------------------------------------------     
Class M                                                               2001      
---------------------------------------------------------------------------     
Balanced Portfolio                              Shares              Amount      
---------------------------------------------------------------------------     
Shares sold                                    750,656        $  8,433,719      
---------------------------------------------------------------------------     
Shares issued in                                                                
connection with                                                                 
reinvestment of                                                                 
distributions                                  819,805           8,894,245      
---------------------------------------------------------------------------     
Shares                                                                          
repurchased                                   (898,360)        (10,082,519)     
---------------------------------------------------------------------------     
Net increase                                   672,101        $  7,245,445      
---------------------------------------------------------------------------     

                                             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      
---------------------------------------------------------------------------     

                                           Six months ended March 31
---------------------------------------------------------------------------     
Class Y                                                               2001      
---------------------------------------------------------------------------     
Balanced Portfolio                              Shares              Amount      
---------------------------------------------------------------------------     
Shares sold                                 24,447,781       $ 270,549,280      
---------------------------------------------------------------------------     
Shares issued in                                                                
connection with                                                                 
reinvestment of                                                                 
distributions                                7,579,687          82,330,002      
---------------------------------------------------------------------------     
Shares                                                                          
repurchased                                 (9,152,367)       (100,492,075)     
---------------------------------------------------------------------------     
Net increase                                22,875,101       $ 252,387,207      
---------------------------------------------------------------------------     

                                             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      
---------------------------------------------------------------------------     

                                           Six months ended March 31
---------------------------------------------------------------------------     
Class A                                                               2001      
---------------------------------------------------------------------------     
Conservative                                                                    
Portfolio                                       Shares              Amount      
---------------------------------------------------------------------------     
Shares sold                                 31,193,875        $291,509,611      
---------------------------------------------------------------------------     
Shares issued in                                                                
connection with                                                                 
reinvestment of                                                                 
distributions                                2,126,810          19,765,962      
---------------------------------------------------------------------------     
Shares                                                                          
repurchased                                 (9,080,009)        (87,877,232)     
---------------------------------------------------------------------------     
Net increase                                24,240,676        $223,398,341      
---------------------------------------------------------------------------     

                                             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      
---------------------------------------------------------------------------     

                                           Six months ended March 31
---------------------------------------------------------------------------     
Class B                                                               2001      
---------------------------------------------------------------------------     
Conservative                                                                    
Portfolio                                       Shares              Amount      
---------------------------------------------------------------------------     
Shares sold                                  2,955,859        $ 27,719,278      
---------------------------------------------------------------------------     
Shares issued in                                                                
connection with                                                                 
reinvestment of                                                                 
distributions                                  613,583           5,676,501      
---------------------------------------------------------------------------     
Shares                                                                          
repurchased                                 (2,845,649)        (27,418,163)     
---------------------------------------------------------------------------     
Net increase                                   723,793        $  5,977,616      
---------------------------------------------------------------------------     

                                             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)     
---------------------------------------------------------------------------     

                                           Six months ended March 31
---------------------------------------------------------------------------     
Class C                                                               2001      
---------------------------------------------------------------------------     
Conservative                                                                    
Portfolio                                       Shares              Amount      
---------------------------------------------------------------------------     
Shares sold                                    985,388         $ 9,347,676      
---------------------------------------------------------------------------     
Shares issued in                                                                
connection with                                                                 
reinvestment of                                                                 
distributions                                  182,557           1,683,332      
---------------------------------------------------------------------------     
Shares                                                                          
repurchased                                   (605,502)         (5,803,838)     
---------------------------------------------------------------------------     
Net increase                                   562,443         $ 5,227,170      
---------------------------------------------------------------------------     

                                             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)     
---------------------------------------------------------------------------     

                                           Six months ended March 31
---------------------------------------------------------------------------     
Class M                                                               2001      
---------------------------------------------------------------------------     
Conservative                                                                    
Portfolio                                       Shares              Amount      
---------------------------------------------------------------------------     
Shares sold                                    494,807         $ 4,610,823      
---------------------------------------------------------------------------     
Shares issued in                                                                
connection with                                                                 
reinvestment of                                                                 
distributions                                  113,915           1,053,993      
---------------------------------------------------------------------------     
Shares                                                                          
repurchased                                   (437,392)         (4,200,066)     
---------------------------------------------------------------------------     
Net increase                                   171,330         $ 1,464,750      
---------------------------------------------------------------------------     

                                             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)     
---------------------------------------------------------------------------     

                                           Six months ended March 31
---------------------------------------------------------------------------     
Class Y                                                               2001      
---------------------------------------------------------------------------     
Conservative                                                                    
Portfolio                                       Shares              Amount      
---------------------------------------------------------------------------     
Shares sold                                  7,923,483        $ 75,122,090      
---------------------------------------------------------------------------     
Shares issued in                                                                
connection with                                                                 
reinvestment of                                                                 
distributions                                2,453,481          22,716,157      
---------------------------------------------------------------------------     
Shares                                                                          
repurchased                                 (5,537,342)        (52,787,233)     
---------------------------------------------------------------------------     
Net increase                                 4,839,622        $ 45,051,014      
---------------------------------------------------------------------------     

                                             Year ended September 30
---------------------------------------------------------------------------     
Class Y                                                               2000      
---------------------------------------------------------------------------     
Conservative                                                                    
Portfolio                                       Shares              Amount      
---------------------------------------------------------------------------     
Shares sold                                 14,715,540        $147,912,331      
---------------------------------------------------------------------------     
Shares issued in                                                                
connection with                                                                 
reinvestment of                                                                 
distributions                                  504,252           9,192,724      
---------------------------------------------------------------------------     
Shares                                                                          
repurchased                                 (6,523,605)        (68,195,474)     
---------------------------------------------------------------------------     
Net increase                                 8,696,187        $ 88,909,581      
---------------------------------------------------------------------------     

Note 5                                                                          
New accounting pronouncement                                                    

In November 2000, the AICPA issued a revised Audit and Accounting Guide,        
Audits of Investment Companies, which is effective for fiscal years             
beginning after December 15, 2000. The revised Guide will require the           
fund to amortize premium and accrete discount on all fixed-income               
securities, and classify as interest income gains and losses realized on        
paydowns on mortgage-backed securities which are presently included in          
realized gain/loss. Adopting these accounting principles will not affect        
the funds' net asset values, but will change the classification of              
certain amounts between interest income and realized and unrealized             
gain/loss in the Statements of operations. The funds have not yet               
quantified impact, if any, resulting from the adoption of this principle        
on the financial statements.                                                    

OUR COMMITMENT TO QUALITY SERVICE                                               

* CHOOSE AWARD-WINNING SERVICE                                                  

Putnam has won the DALBAR Service Award 10 times in  the past 11 years.         
In 1997, 1998 and 2000, Putnam won all  3 DALBAR awards -- for service          
to investors, to financial  advisors, and to variable annuity contract          
holders.*                                                                       

* HELP YOUR INVESTMENTS GROW                                                    

Set up a systematic program for investing with as little as  $25 a month        
from a Putnam money market fund or from  your checking or savings               
account.+                                                                       

* SWITCH FUNDS EASILY                                                           

Within the same class of shares, you can move money  from one account to        
another without a service charge.  (This privilege is subject to change         
or termination.)                                                                

* ACCESS YOUR MONEY QUICKLY                                                     

You can get checks sent regularly or redeem shares any  business day at         
the then-current net asset value, which  may be more or less than the           
original cost of the shares.                                                    

For details about any of these or other services, contact  your                 
financial advisor or call the toll-free number shown  below and speak           
with a helpful Putnam representative.  To learn more about Putnam, visit        
our Web site.                                                                   

www.putnaminvestments.com                                                       

To make an additional investment in this or any other Putnam fund,              
contact your financial advisor or call our toll-free number.                    

1-800-225-1581                                                                  

*DALBAR, Inc., an independent research firm, presents the awards to             
financial services firms that provide consistently excellent service.         

+Regular investing, of course, does not guarantee a profit or protect           
against a loss in a declining market.                                         

THE PUTNAM FAMILY OF FUNDS                                                      

The following is a complete list of Putnam's open-end mutual funds.             
Please call your financial advisor or Putnam at 1-800-225-1581 to obtain        
a prospectus for any Putnam fund. It contains more complete information,        
including charges and expenses. Please read it carefully before you             
invest or send money.                                                           

GROWTH FUNDS                                                                    

Asia Pacific Growth Fund                                                        
Capital Appreciation Fund                                                       
Capital Opportunities Fund                                                      
Europe Growth Fund                                                              
Global Equity Fund                                                              
Global Growth Fund                                                              
Global Natural Resources Fund                                                   
Growth Opportunities Fund                                                       
Health Sciences Trust                                                           
International Growth Fund                                                       
International New Opportunities Fund                                            
Investors Fund                                                                  
New Century Growth Fund                                                         
New Opportunities Fund                                                          
OTC & Emerging Growth Fund                                                      
Research Fund                                                                   
Tax Smart Equity Fund                                                           
Technology Fund                                                                 
Vista Fund                                                                      
Voyager Fund                                                                    
Voyager Fund II                                                                 

GROWTH AND INCOME FUNDS                                                         

Balanced Fund                                                                   
Balanced Retirement Fund                                                        
Classic Equity Fund *                                                           
Convertible Income-Growth Trust                                                 
Equity Income Fund                                                              
The George Putnam Fund of Boston                                                
Global Growth and Income Fund                                                   
The Putnam Fund for Growth and Income                                           
International Growth and Income Fund                                            
Mid Cap Value Fund                                                              
New Value Fund                                                                  
Small Cap Value Fund                                                            
Utilities Growth and Income Fund                                                

INCOME FUNDS                                                                    

American Government Income Fund                                                 
Diversified Income Trust                                                        
Global Governmental Income Trust                                                
High Yield Advantage Fund [DBL. DAGGER]                                         
High Yield Trust [DBL. DAGGER]                                                  
High Yield Trust II                                                             
Income Fund                                                                     
Intermediate U.S. Government Income Fund                                        
Money Market Fund **                                                            
Preferred Income Fund                                                           
Strategic Income Fund                                                           
U.S. Government Income Trust                                                    

TAX-FREE INCOME FUNDS                                                           

Municipal Income Fund                                                           
Tax Exempt Income Fund                                                          
Tax Exempt Money Market Fund **                                                 
Tax-Free High Yield Fund                                                        
Tax-Free Insured Fund                                                           

State tax-free income funds [SECTION MARK]                                      

Arizona, California, Florida, Massachusetts, Michigan, Minnesota, New           
Jersey, New York, Ohio and Pennsylvania                                         

State tax-free money market funds [SECTION MARK] **                             

California, New York                                                            

ASSET ALLOCATION FUNDS                                                          

Putnam Asset Allocation Funds--three investment portfolios that spread          
your money across a variety of stocks, bonds, and money market                  
investments.                                                                    

The three portfolios:                                                           

Asset Allocation: Balanced Portfolio                                            
Asset Allocation: Conservative Portfolio                                        
Asset Allocation: Growth Portfolio                                              

* Formerly Putnam Growth and Income Fund II                                     

[DBL. DAGGER] Closed to new investors. Some exceptions may apply.               
Contact Putnam for details.                         

[SECTION MARK] Not available in all states.                                     

** An investment in a money market fund is not insured or guaranteed by the     
Federal Deposit Insurance Corporation or any other government agency.     
Although the funds seek to preserve your investment at $1.00 per share, it
is possible to lose money by investing in the fund.                       

Check your account balances and current performance at                    
www.putnaminvestments.com.                                                

WELCOME TO WWW.PUTNAMINVESTMENTS.COM                                            

Now you can use your PC to get up-to-date information about your funds,         
learn more about investing and retirement planning, and access market           
news and economic outlooks from Putnam.                                         

VISIT PUTNAM'S SITE ON THE WORLD WIDE WEB FOR:                                  

* the benefits of investing with Putnam                                         

* Putnam's money management philosophy                                          

* complete fund information, daily pricing and long-term performance            

* your current account value, portfolio value and transaction history           

* the latest on new funds and other Putnam news                                 

You can also read Putnam economist Dr. Robert Goodman's commentary and          
Putnam's Capital Markets outlook, search for a particular fund by name          
or objective, use our glossary to decode investment terms . . . and much        
more.                                                                           

The site can be accessed through any of the major online services               
(America Online, CompuServe, Prodigy) that offer web access. Of course,         
you can also access it via Netscape or Microsoft Internet Explorer,             
using an independent Internet service provider.                                 

New features will be added to the site regularly. So be sure to bookmark us at  
http://www.putnaminvestments.com                                                

FUND INFORMATION                                                                

WEB SITE                                                                        

www.putnaminvestments.com                                                       

INVESTMENT MANAGER                                                              

Putnam Investment Management, LLC                                               
One Post Office Square                                                          
Boston, MA 02109                                                                

MARKETING SERVICES                                                              

Putnam Retail Management                                                        
One Post Office Square                                                          
Boston, MA 02109                                                                

CUSTODIAN                                                                       

Putnam Fiduciary Trust Company                                                  

LEGAL COUNSEL                                                                   

Ropes & Gray                                                                    

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 and Treasurer                                          

Patricia C. Flaherty                                                            
Senior Vice President                                                           

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                                                     

---------------------                                                           
PRSRT STD                                                                       
U.S. POSTAGE PAID                                                               
PUTNAM                                                                          
INVESTMENTS                                                                     
---------------------                                                           

For account balances, economic forecasts, and the latest on Putnam funds, visit 
www.putnaminvestments.com                                                       

SA060-71204  250/259/264  5/01                                                  

PUTNAM INVESTMENTS                                      [SCALE LOGO OMITTED]    
----------------------------------------------------------------------------    
Putnam Asset Allocation Funds, Growth Portfolio                                 
Supplement to semiannual Report dated 3/31/01                                   

The following information has been prepared to provide class Y shareholders     
with a performance overview specific to their holdings. Class Y shares are      
offered exclusively to defined contribution plans investing $150 million or     
more in one or more of Putnam's funds or private accounts. Performance of       
class Y shares, which incur neither a front-end load, distribution fee, nor     
contingent deferred sales charge, will differ from performance of class A,      
B, C, and M shares, which are discussed more extensively in the annual          
report.                                                                         

SEMIANNUAL RESULTS AT A GLANCE                                                  
----------------------------------------------------------------------------    
Total return for periods ended 3/31/01                                          

                               NAV
6 months                                            -13.08%                     
1 year                                              -17.49                      
5 years                                                                         
Annual average                                        9.64                      
Life of fund (since class A inception, 2/8/94)                                  
Annual average                                       10.84                      

Share value:                                          NAV                       

9/30/00                                             $14.58                      
3/31/01                                             $10.08                      
----------------------------------------------------------------------------    
Distributions:      No.      Income        Capital gains        Total           
                   Short    Long
9/30/00 - 3/31/01    1       $0.225       $1.215   $1.411       $2.851          
----------------------------------------------------------------------------    
Please note that past performance is not indicative of future results.          
More recent returns may be more or less than those shown. Returns shown for     
class Y shares for periods prior to their inception are derived from the        
historical performance of class A shares, and are not adjusted to reflect       
the initial sales charge currently applicable to class A shares. These          
returns have not been adjusted to reflect differences in operating              
expenses which, for class Y shares, typically are lower than the operating      
expenses applicable to class A shares. All returns assume reinvestment of       
distributions at net asset value. Investment return and principal value         
will fluctuate so your shares, when redeemed, may be worth more or less         
than their original cost. See full report for information on comparative        
benchmarks. If you have questions, please consult your fund prospectus or       
call Putnam toll free at 1-800-752-9894.                                        

PUTNAM INVESTMENTS                                      [SCALE LOGO OMITTED]    
----------------------------------------------------------------------------    
Putnam Asset Allocation Funds, Balanced Portfolio                               
Supplement to semiannual Report dated 3/31/01                                   

The following information has been prepared to provide class Y shareholders     
with a performance overview specific to their holdings. Class Y shares are      
offered exclusively to defined contribution plans investing $150 million or     
more in one or more of Putnam's funds or private accounts. Performance of       
class Y shares, which incur neither a front-end load, distribution fee, nor     
contingent deferred sales charge, will differ from performance of class A,      
B, C, and M shares, which are discussed more extensively in the annual          
report.                                                                         

SEMIANNUAL RESULTS AT A GLANCE                                                  
----------------------------------------------------------------------------    
Total return for periods ended 3/31/01                                          

                               NAV
6 months                                            -11.15%                     
1 year                                              -11.89                      
5 years                                                                         
Annual average                                        9.55                      
Life of fund (since class A inception, 2/7/94)                                  
Annual average                                       10.30                      

Share value:                                          NAV                       

9/30/00                                              $13.00                     
3/31/01                                               $9.96                     
----------------------------------------------------------------------------    
Distributions:      No.      Income        Capital gains        Total           
                   Short    Long
9/30/00 - 3/31/01    2       $0.287       $0.560   $0.880       $1.727          
----------------------------------------------------------------------------    
Please note that past performance is not indicative of future results.          
More recent returns may be more or less than those shown. Returns shown for     
class Y shares for periods prior to their inception are derived from the        
historical performance of class A shares, and are not adjusted to reflect       
the initial sales charge currently applicable to class A shares. These          
returns have not been adjusted to reflect differences in operating              
expenses which, for class Y shares, typically are lower than the operating      
expenses applicable to class A shares. All returns assume reinvestment of       
distributions at net asset value. Investment return and principal value will    
fluctuate so your shares, when redeemed, may be worth more or less than         
their original cost. See full report for information on comparative             
benchmarks. If you have questions, please consult your fund prospectus or       
call Putnam toll free at 1-800-752-9894.                                        

PUTNAM INVESTMENTS                                      [SCALE LOGO OMITTED]    
----------------------------------------------------------------------------    
Putnam Asset Allocation Funds, Conservative Portfolio                           
Supplement to semiannual Report dated 3/31/01                                   

The following information has been prepared to provide class Y shareholders     
with a performance overview specific to their holdings. Class Y shares are      
offered exclusively to defined contribution plans investing $150 million or     
more in one or more of Putnam's funds or private accounts. Performance of       
class Y shares, which incur neither a front-end load, distribution fee, nor     
contingent deferred sales charge, will differ from performance of class A,      
B, C, and M shares, which are discussed more extensively in the annual          
report.                                                                         

SEMIANNUAL RESULTS AT A GLANCE                                                  
----------------------------------------------------------------------------    
Total return for periods ended 3/31/01                                          

                               NAV
6 months                                             -1.84%                     
1 year                                               -1.27                      
5 years                                                                         
Annual average                                        7.92                      
Life of fund (since class A inception, 2/7/94)                                  
Annual average                                        8.19                      

Share value:                                          NAV                       
9/30/00                                             $10.47                      
3/31/01                                              $9.13                      
----------------------------------------------------------------------------    
Distributions:      No.      Income        Capital gains        Total           
                   Short    Long
9/30/00 - 3/31/01    6       $0.494       $0.366   $0.289      $1.149           
----------------------------------------------------------------------------    
Please note that past performance is not indicative of future results. More     
recent returns may be more or less than those shown. Returns shown for          
class Y shares for periods prior to their inception are derived from the        
historical performance of class A shares, and are not adjusted to reflect       
the initial sales charge currently applicable to class A shares. These          
returns have not been adjusted to reflect differences in operating expenses     
which, for class Y shares, typically are lower than the operating               
expenses applicable to class A shares. All returns assume reinvestment of       
distributions at net asset value. Investment return and principal value         
will fluctuate so your shares, when redeemed, may be worth more or less         
than their original cost. See full report for information on comparative        
benchmarks. If you have questions, please consult your fund prospectus or       
call Putnam toll free at 1-800-752-9894.                                        

Dates Referenced Herein   and   Documents Incorporated by Reference

This ‘N-30D’ Filing		Date		Other Filings
		4/1/30
		3/1/30
		1/1/30
		10/15/29
		4/1/29
		3/1/29
		7/1/28
		3/15/28
		8/15/25
		1/15/25
		10/1/22
		4/15/22
		12/15/17
		6/15/17
		5/1/14
		6/15/13
		8/1/10
		9/13/01
Filed on:		6/4/01
		5/18/01
		5/3/01
		4/20/01
		4/19/01
		4/17/01
		4/16/01
		4/2/01
For Period End:		3/31/01		NSAR-A
		3/30/01
		3/1/01
		2/28/01
		12/15/00
		7/1/95
				List all Filings