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Putnam Asset Allocation Funds · N-30D · For 3/31/01

Filed On 6/4/01, 3:42pm ET   ·   Accession Number 928816-1-500183   ·   SEC File 811-07121

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  As Of                Filer                Filing    For/On/As Docs:Size              Issuer               Agent

 6/04/01  Putnam Asset Allocation Funds     N-30D       3/31/01    1:459K                                   McMunn Associates Inc/FA

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
7/1/95
12/15/00
2/28/01
3/1/01
3/30/01
For The Period Ended3/31/01NSAR-A
4/2/01
4/16/01
4/17/01
4/19/01
4/20/01
5/3/01
5/18/01
Filed On / Filed As Of6/4/01
9/13/01
8/1/10
6/15/13
5/1/14
6/15/17
12/15/17
4/15/22
10/1/22
1/15/25
8/15/25
3/15/28
7/1/28
3/1/29
4/1/29
10/15/29
1/1/30
3/1/30
4/1/30
 
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